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

By Angela McDaniels

Tacoma, Wash., Oct. 20 - Goldman Sachs Group, Inc. plans to price 24- to 25-month 0% autocallable buffered index-linked notes linked to 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 if the index closes at or above the initial index level on a call date. The first call date will occur 13 to 14 months after the settlement date, and the second call date will occur five months later. The call premium is expected to be 11.92% to 14.08% for the first call date and 16.5% to 19.5% for the second call date.

If the notes are not called and the index return is zero or positive, the payout at maturity will be par plus a fixed amount that is expected to be between 22% and 26%. Investors will receive par if the index declines by 30% or less and will lose 1.4286% for every 1% that it declines beyond 30%.

The exact terms will be set at pricing.

Goldman Sachs & Co. is the underwriter.

The Cusip number is 38143UYM7.

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