Goldman Sachs plans 0% autocallable notes linked to S&P 500

By Susanna Moon

Chicago, May 13 - Goldman Sachs Group, Inc. plans to price three-year 0% autocallable index-linked notes based on the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes above its initial level on any of six observations dates beginning six months after issue, the notes will be called at par plus a premium that starts at 5% and increases 5% on each subsequent observation date.

If the index finishes at or above the knock-out trigger - 70% of the initial level - the payout at maturity will be par. If the index finishes below the trigger, investors will be fully exposed to the decline.

Goldman, Sachs & Co. is the underwriter.

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