Goldman Sachs to price contingent-coupon CDs linked to commodities

By Angela McDaniels

Tacoma, Wash., June 6 - Goldman Sachs Bank USA plans to price variable contingent-coupon basket-linked certificates of deposit due 2018 linked to a basket of commodities, according to a term sheet.

The basket includes grade A copper, corn, RBOB gasoline, gold, Brent crude oil, Henry Hub natural gas, silver, soybeans, wheat and special high grade zinc.

The CDs will pay a coupon each year equal to the average of the basket components' performances, subject to a minimum interest rate of zero.

If a basket component's return is zero or positive, its performance will be equal to the fixed percentage. If a basket component's return is negative, its performance will be the greater of its return and negative 20%. The fixed percentage is expected to be 6.5% to 8.5% and will be set at pricing.

The payout at maturity will be par plus the final coupon, if any.

The CDs (Cusip: 38143ATU9) are expected to price June 22 and settle June 28.

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

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