Goldman Sachs to price 2.5-year notes linked to S&P 500 index

By Angela McDaniels

Tacoma, Wash., June 13 - Goldman Sachs Group, Inc. plans to price 0% S&P 500 index-linked medium-term notes due 2.5 years after issuance, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus the index return, which could be positive or negative, plus the supplemental amount, if any.

Investors will receive the supplemental amount if the index closes below the initial index level on any trading day during the look-back period, which will be roughly the first six months after issuance, and the index does not close below the knock-out level, 60% to 65% of the initial index level, during the remainder of the life of the notes.

The supplemental amount will be $1,000 multiplied by the result of 1 minus the look-back performance, which will be determined by dividing the lowest closing level of the index during the look-back period, provided that it may not be greater than the initial index level, by the initial index level. For example, if the lowest closing level during the look-back period is 90% of the initial index level, the supplemental amount will be $100 per $1,000 principal amount of notes.

Goldman Sachs & Co. is the underwriter.

The Cusip number is 38143UY88.

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