GS plans contingent coupon autocallables tied to Russell 2000, S&P 500

By Angela McDaniels

Tacoma, Wash., Feb. 5 – GS Finance Corp. plans to price autocallable contingent coupon notes due March 11, 2026 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Goldman Sachs Group, Inc. will guarantee the notes.

Each quarter, the notes will pay a contingent coupon at the rate of 6.8% per year if each index’s closing level is greater than or equal to 50% of its initial level on the determination date for that quarter.

Beginning in February 2017, the notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any determination date.

If the notes have not been called and the return of each index is greater than or equal to negative 50%, the payout maturity will be par plus the contingent coupon. If the return of either index is less than negative 50%, investors will be fully exposed to the decline of the lesser-performing index.

Goldman Sachs & Co. is the underwriter.

The notes are expected to price Feb. 25.

The Cusip number is 40054K2S4.

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