Goldman Sachs plans absolute return knock-out notes linked to JPMorgan

By Toni Weeks

San Diego, May 30 - Goldman Sachs Group, Inc. plans to price 0% absolute return knock-out notes linked to the common stock of JPMorgan Chase & Co., according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature two years after issue.

A knock-out event will occur if JPMorgan shares decline during the life of the notes by more than the knock-out amount, which is expected to be between 35% and 40% and will be set at pricing.

If a knock-out event has occurred and the stock return is zero or positive, the payout at maturity will be par plus double the stock return, subject to the maximum upside settlement amount of $1,600 per $1,000 principal amount of notes.

If a knock-out event has occurred and the stock return is negative, investors will be exposed to the decline in the stock price.

If a knock-out event has not occurred and the final price is greater than or equal to the initial price, the payout will be par plus double the stock return, subject to the maximum upside settlement.

If a knock-out event has not occurred and the stock return is negative, the payout will be par plus the absolute value of the stock return.

The Cusip is 38143UW98.

Goldman Sachs & Co. will be the underwriter.

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