GS Finance plans autocallable notes tied to S&P, Euro Stoxx, Russell

By Devika Patel

Knoxville, Tenn., Feb. 10 – GS Finance Corp. plans to price 0% autocallable notes linked to the S&P 500 index, the Euro Stoxx 50 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 tenor of the notes is expected to be 35 to 38 months.

The notes will be called at par of $1,000 plus a call premium that is expected to fall between 22.2% and 26% per year for the first call date and between 12.025% and 14.083% per year for the second call date if each index closes at or above its initial level on a call observation date.

If the notes are not called and the return of each index is greater than its initial level the payout at maturity will be par plus the maturity premium, which is expected to fall between 32.375% and 41.167%.

If the return of each index is less than their respective initial levels but greater than or equal to the buffer, 65% of its initial level, the payout will be par.

If the return of either index is less than negative 35%, investors will be fully exposed to the decline of the lesser-performing index.

The exact maturity, call premiums and maturity premium will be set at pricing.

Goldman Sachs & Co. is the agent.

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