GS Finance eyes trigger autocallable contingent yield note on indexes

By Devika Patel

Knoxville, Tenn., Feb. 15 – GS Finance Corp. plans to price 0% trigger autocallable contingent yield notes due Feb. 26, 2027 linked to the S&P 500 index and the Euro Stoxx 50 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 quarterly coupon at an annual rate of 6% if each index closes at or above its coupon barrier, expected to be between 51% and 56% of its initial level, on the observation date for that quarter. The exact coupon barrier will be set at pricing.

The notes will be called at par if each index closes at or above its initial level on any quarterly observation date beginning Feb. 26, 2018.

The payout at maturity will be par plus the final coupon unless either index finishes below the downside threshold level, which is expected to be between 51% and 56% of its initial level and will be set at pricing, in which case investors will lose 1% for every 1% loss of the worse performing index.

Goldman Sachs & Co. is the agent.

The notes (Cusip: 36251V135) will price on Feb. 24 and settle on Feb. 28.

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