Goldman plans autocallable contingent coupon notes on index, crude oil

By Jennifer Chiou

New York, Dec. 15 – Goldman Sachs Group, Inc. plans to price autocallable contingent coupon notes due Jan. 11, 2023 linked to the Russell 2000 index and the West Texas Intermediate light sweet crude oil futures contract, according to a 424B2 filing with the Securities and Exchange Commission.

If each underlying component closes at or above the 75% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 8% to 12% for that interest period. The planned quarterly contingent coupon will be 2% for the first 16 quarters, 2.5% for the next eight quarters and 3% for the final eight quarters.

If each component closes at or above its initial level on any determination date, the notes will be called at par plus the coupon.

If the notes have not been called, the payout at maturity will be par plus the contingent coupon unless either component finishes below its initial level by more than 25%.

If the return of both components is at least negative 50% and the return of either component is less than negative 25%, the payout at maturity will be par.

If the return of either component is less than negative 50%, investors will share fully in losses of the worst-performing component.

The notes (Cusip: 38147QQ33) will price on Dec. 24 and settle on Dec. 30.

Goldman Sachs & Co. is the agent.

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