Goldman Sachs plans autocallable buffered notes on iShares MSCI EM

By Angela McDaniels

Tacoma, Wash., June 22 – Goldman Sachs Group, Inc. plans to price 30-month 0% autocallable buffered notes linked to the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called if the ETF closes at or above the trigger price on any of three call observation dates, which are expected to be 12 months, 18 months and 24 months after the pricing date. The trigger price is expected to be 93% to 97% of the initial share price. The call premium is expected to be 8% for the first call observation date, 12% for the second call observation date and 16% for the third call observation date.

If the notes are not called and the final share price is greater than or equal to the trigger price, the payout at maturity will be $1,200 per $1,000 principal amount of notes. If the final share price is less than the trigger price and greater than or equal to 85% of the initial share price, the payout will be par. If the final share price is less than 85% of the initial share price, investors will lose 1.1765% for each 1% that the share price declines beyond 15%.

The exact terms will be set at pricing.

Goldman Sachs & Co. is the underwriter.

The Cusip number is 38148T5Z8.

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