Goldman Sachs plans six-month buffered autocallables on Brent crude

By Toni Weeks

San Diego, May 15 - Goldman Sachs Group, Inc. plans to price 0% autocallable buffered commodity-linked notes due Nov.27, 2012 tied to the ICE Brent crude futures contract, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a 5.525% call premium on any call observation date if the closing price of the ICE Brent Crude futures contract is equal to or greater than the initial price. The call observation dates are expected to be every trading day beginning Aug. 20 through but excluding the Nov. 19, 2012 determination date.

If the notes are not called, the payout at maturity will be par plus 5.525% if the futures contract return is zero or positive.

Investors will receive par if the futures contract price falls up to 15% and will be exposed to losses beyond the 15% buffer.

The notes (Cusip: 38143UV24) are expected to price May 18 and settle May 25.

Goldman Sachs & Co. will be the underwriter with J.P. Morgan Securities LLC as placement agent.

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