Goldman plans contingent absolute return notes on Vanguard FTSE EM ETF

By Angela McDaniels

Tacoma, Wash., Oct. 23 – Goldman Sachs Group, Inc. plans to price 0% contingent absolute return performance securities due Oct. 30, 2020 linked to the Vanguard FTSE Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

If the ETF return is positive, the payout at maturity will be par of $10 plus the ETF return.

If the ETF return is zero or negative and the final share price is greater than or equal to the trigger level, the payout will be par plus the absolute value of the ETF return. The trigger level is expected to be 67% to 70% of the initial share price and will be set at pricing.

If the final share price is less than the trigger level, investors will be fully exposed to the ETF’s decline from its initial share price.

Goldman Sachs & Co. is the underwriter.

The notes will price Oct. 27 and settle Oct. 30.

The Cusip number is 38148X480.

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