GS Finance to price autocallable index-linked notes on Nasdaq, Dow, S&P

By Sarah Lizee

Olympia, Wash., May 14 – GS Finance Corp. plans to price 0% autocallable index-linked notes due May 27, 2025 tied to the Nasdaq-100 index, the Dow Jones industrial average and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

The notes will be automatically called at par plus the call return on any annual call observation date if the closing level of each index is greater than or equal to its applicable call level on the related call observation date. The call level will be 102% of the initial level on the first call observation date and step up by 2% on each following call observation date. The call payment for each $1,000 face amount of notes equal par plus 1.25 times the return of the worst performing index on the applicable call date.

If the notes are not called and each index closes at or above its initial level, investors will receive par plus 125% of the worst performing index return.

If the worst performing index falls, but not more than the 70% trigger buffer level, investors will receive par.

Otherwise, investors will be exposed to any losses of the least-performing index.

Goldman Sachs & Co. is the agent.

The notes will price on May 18.

The Cusip number is 40057C2N0.

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