GS Finance to price autocallable buffered notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., June 20 – GS Finance Corp. plans to price three-year 0% autocallable buffered notes linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Goldman Sachs Group, Inc.

The notes will be automatically called at par plus a call premium if the index closes at or above the initial index level on either of two call observation dates, which are expected to occur about 13 and 24 months after the original issue date. The call premium is expected to be 7.042% to 8.125% for the first call observation date and 13% to 15% for the second call observation date.

If the notes are not called and the index return is zero or positive, the payout at maturity will be par plus a fixed return that is expected to be 19.5% to 22.5% and will be set at pricing. Investors will receive par if the index declines by 30% or less and will lose 1.4286% for every 1% that it declines beyond 30%.

Goldman Sachs & Co. is the underwriter.

The Cusip number is 40054KE93.

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