Goldman Sachs Bank plans to price CDs due 2020 on Morningstar Wide Moat Focus Target Volatility 5

By Toni Weeks

San Diego, Jan. 7 - Goldman Sachs Bank USA plans to price index-linked certificates of deposit due Jan. 30, 2020 linked to the Morningstar Wide Moat Focus Target Volatility 5 index, according to a term sheet.

The index allocates exposure between a base index, the Morningstar Wide Moat Focus Total Return index, and a hypothetical cash position based on the degree of variation of the base index over the prior 20 or 60 trading days, whichever is greater, less the Libor rate. The index, which maintains a volatility target of 5% and is rebalanced quarterly, tracks the performance of 20 companies with a sustainable competitive advantage.

The index return will be positive if the return on the exposure to the base index and the hypothetical cash position exceeds the return on Libor accrued over the applicable period.

The payout at maturity will be par plus the index return. Investors will receive par if the index stays flat or falls.

The CDs (Cusip: 38143A3U7) are expected to price Jan. 25 and settle Jan. 30.

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

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