Goldman Sachs plans autocallables linked to S&P, Euro Stoxx, Russell

By Angela McDaniels

Tacoma, Wash., Sept. 16 – Goldman Sachs Group, Inc. plans to price 36-month 0% autocallable notes linked to the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a call premium if each index closes at or above its initial level on either call observation date, which are expected to be about 13 months and 24 months after the trade date, respectively. The call premium is expected to be 10.617% to 12.458% for the first call observation date and 19.6% to 23% for the second call observation date.

If the notes are not called and the return of each index is greater than or equal to zero, the payout at maturity will be a fixed amount that is expected to be $1,294 to $1,345 per $1,000 principal amount of notes and will be set at pricing.

If the return of each index is greater than or equal to negative 35% but the return of any index is less than zero, the payout will be par.

If the return of any index is less than negative 35%, investors will lose 1.5385% for every 1% that the least-performing index declines beyond 35%.

The exact terms will be set at pricing.

Goldman Sachs & Co. is the agent.

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