Goldman Sachs amends payout of digital notes linked to S&P 500 index

By Angela McDaniels

Tacoma, Wash., May 31 - Goldman Sachs Group, Inc. changed the payout at maturity of its upcoming two-year 0% index-linked digital notes linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be equal to the threshold settlement amount if the index return is greater than or equal to zero. The threshold settlement amount is expected to be $1,135 to $1,155 per $1,000 principal amount of notes and will be set at pricing.

Investors will receive par if the index declines by 20% or less and will lose 1% for every 1% that it declines beyond 20%.

When plans for the offering were first announced on May 29, the payout at maturity was going to be the threshold settlement if the final index level was at least 80% of the initial level, and the threshold settlement amount was expected to be $1,100 to $1,115 per $1,000 principal amount. Investors were to lose 1% for every 1% that the index declined beyond 20%.

Goldman Sachs & Co. is the underwriter.

The Cusip number is 38143UW64.

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