Goldman Sachs plans 0% autocallable buffered notes linked to S&P 500

By Marisa Wong

Milwaukee, June 16 - Goldman Sachs Group, Inc. plans to price 0% autocallable buffered index-linked notes based on the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index closes at or above the initial index level on any of 12 monthly call observation dates, the notes will be automatically called at par plus an applicable call premium. The call premium will be 1% to 1.2% for the first call observation date, 2% to 2.4% for the second, 3% to 3.6% for the third, 4% to 4.8% for the fourth, 5% to 6% for the fifth, 6% to 7.2% for the sixth, 7% to 8.4% for the seventh, 8% to 9.6% for the eighth, 9% to 10.8% for the ninth, 10% to 12% for the 10th, 11% to 13.2% for the 11th and 12% to 14.4% for the 12th.

The first call observation date is expected to be one to two months after issue.

The notes are expected to mature 11 months after the first call observation date.

If the notes are not called and the final index level is at least 80% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1.25% for every 1% index decline beyond 20%.

The exact deal terms will be set at pricing.

Goldman, Sachs & Co. is the underwriter.

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