Goldman plans autocallable contingent coupon notes tied to two indexes

By Lisa Mayntz

Chicago, Feb. 9 – GS Finance Corp. plans to price autocallable contingent coupon index-linked notes due Feb. 25, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Goldman Sachs Group, Inc.

The notes will pay a contingent monthly coupon at an annualized rate of 6% if each index closes at or above its coupon trigger level, 70% of its initial level, on the valuation date for that month.

Beginning in Feb. 2018, the notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly coupon determination date.

If the notes are not called and the final level of each index is greater than or equal to its 70% final coupon trigger level, the payout at maturity will be par plus the contingent coupon. If the final index level of each index is between 60% and 70% of its initial index level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worse performing index.

Goldman, Sachs & Co. is the agent.

The notes will price on Feb. 17 and settle on Feb. 23.

The Cusip number is 40054KW93.

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