Goldman Sachs Bank plans contingent coupon CDs on Morningstar Wide Moat Focus Target Volatility 5

By Toni Weeks

San Diego, Sept. 18 - Goldman Sachs Bank USA plans to price contingent coupon certificates of deposit due 2019 linked to the Morningstar Wide Moat Focus Target Volatility 5 index, according to a term sheet.

The index allocates exposure between a base index, the Morningstar Wide Moat Focus Total Return index, and a hypothetical cash position based on the degree of variation of the base index over the prior 20 or 60 trading days, whichever is greater, less the Libor rate. The index, which maintains a volatility target of 5% and is rebalanced quarterly, tracks the performance of 20 companies with a sustainable competitive advantage.

The index return will be positive if the return on the exposure to the base index and the hypothetical cash position exceeds the return on Libor accrued over the applicable period.

On any coupon determination date, if the index return is positive, the CDs will pay a coupon equal to the index return divided by the number of coupon determination dates that have occurred up to and including the applicable coupon determination date. If the index return is zero or negative on the applicable coupon determination date, the coupon will be 0%. The coupon determination dates occur in September of each year.

The payout at maturity will be par.

The Cusip number is 38143AB53.

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

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