Goldman plans knock-out notes with 28%-32% cap tied to iShares MSCI EM

By Susanna Moon

Chicago, June 21 - Goldman Sachs Group, Inc. plans to price 0% index fund-linked notes tied to the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-out event occurs if the fund ever closes below the 55% trigger level during the life of the notes.

If the fund finishes above its initial level, the payout at maturity will be par plus the gain, up to a maximum settlement amount of $1,280 to $1,320 for each $1,000 principal amount. The exact cap will be set at pricing.

If the fund falls but a knock-out event never occurs, the payout will be par plus the absolute return.

Otherwise, investors will be exposed to any losses.

Goldman Sachs & Co. is the underwriter.

The exact deal terms will be set at pricing.

The Cusip number is 38143U4C2.

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