Goldman plans autocallable contingent coupon notes linked to indexes

By Jennifer Chiou

New York, March 6 - Goldman Sachs Group, Inc. plans to price autocallable contingent coupon notes due April 9, 2029 linked to the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon if both indexes close at or above their initial levels on the related coupon determination date. For each $1,000 principal amount of notes, the contingent coupon will be (a) the product of $20.00 times the number of coupon determination dates that have occurred up to and including the relevant coupon determination date minus (b) the sum of all coupons previously paid, if any.

Beginning in March 2016, the notes will be automatically called at par plus the contingent coupon if both indexes close at or above their initial levels on any coupon determination date.

If the notes have not been called and the return of both indexes is greater than or equal to zero, the payout at maturity will be par plus the contingent coupon.

If the return of both indexes is greater than or equal to negative 50% but the return of either index is less than zero, the payout will be par.

If the return of either index is less than negative 50%, investors will have one-to-one exposure to the decline of the lesser performing index.

The notes (Cusip: 38147QUK0) are expected to price on March 24 and settle on March 27.

Goldman Sachs & Co. is the underwriter.

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