Goldman plans 0% autocallable buffered notes tied to S&P 500 index

By Jennifer Chiou

New York, Aug. 25 - Goldman Sachs Group, Inc. plans to price 0% autocallable buffered index-linked notes tied to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The maturity date is expected to be between seven and eight months after issue.

If the index closes at or above the initial index level on any of the call observation dates, the notes will be automatically called at par plus a call premium of 0.95% to 1.1%.

The first call observation date is expected to be one to two months after issue, with the remaining six dates to follow every month thereafter.

If the notes are not called and the final index level is at least 85% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1.1765% for every 1% index decline beyond 15%.

The exact deal terms for the notes will be set at pricing.

Goldman, Sachs & Co. is the underwriter.

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