Goldman Sachs to price autocallable notes linked to S&P MidCap 400

By Angela McDaniels

Tacoma, Wash., March 31 - Goldman Sachs Group, Inc. plans to price 0% autocallable underlier-linked notes due July 11, 2011 linked to the S&P MidCap 400 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus 7% if the index closes at or above 107% of its initial level on Wednesday of any week.

If the notes are not called and the index closes below 80% of its initial level on any day during the life of the notes, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, the payout will be par plus any index gain, with a floor of par.

The notes are expected to price April 1 and settle April 7.

Goldman, Sachs & Co. is the underwriter with J.P. Morgan Securities Inc. as co-agent.

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