Goldman plans zero-coupon three-year autocallables tied to two indexes

By Susanna Moon

Chicago, June 15 – GS Finance Corp. plans to price 0% autocallable index-linked notes due July 2, 2020 linked to the least performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a call premium of 10% per year if each index closes at or above its call level on July 2, 2018 or June 27, 2019. The call level will be 100% of the initial level on the first call observation date and 95% of the respective initial level the second call observation date.

If each index finishes at or above its 90% threshold, the payout at maturity will be par plus 30%.

If either index falls by up to 25%, the payout will be par.

If either index finishes below its 75% trigger level, investors will receive par plus the return of the worse performing index.

The notes are guaranteed by Goldman Sachs Group, Inc.

Goldman Sachs & Co. LLC is the agent.

The notes will price on June 27.

The Cusip number is 40054LEH3.

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