Goldman Sachs Bank plans contingent coupon CDs on GS Momentum Builder

By Toni Weeks

San Luis Obispo, Calif., Aug. 1 - Goldman Sachs Bank USA plans to price contingent coupon index-linked certificates of deposit due Aug. 27, 2020 tied to the GS Momentum Builder Multi-Asset 2 ER index, according to a term sheet.

The index measures the extent to which the performance of the up to 18 exchange-traded funds included in the index outperform Libor. The index is rebalanced monthly and sometimes daily. The ETFs must outperform Libor for the index level to increase.

The interest rate on any annual determination date will equal the index return divided by the number of coupon payment dates that have occurred up to and including the relevant coupon determination date. Interest is payable annually and cannot be less than zero.

The payout at maturity will be par plus the index return, subject to a minimum payout of par.

The CDs (Cusip: 38147JKA9) are expected to price Aug. 26 and settle Aug. 29.

Goldman Sachs & Co. is the agent. Incapital LLC is the distributor.

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