Goldman Sachs to price index-linked digital notes tied to S&P 500

By Marisa Wong

Madison, Wis., June 27 - Goldman Sachs Group, Inc. plans to price 0% index-linked digital notes tied to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The maturity date is expected to be between 18 and 21 months after issue.

If the index return is at least negative 20%, the payout at maturity will be the maximum settlement amount of between $1,087.50 and $1,102.50 per $1,000 principal amount. Otherwise, investors will be fully exposed to losses at a rate of 1.25% per 1% drop beyond 20%.

Goldman Sachs & Co. is the underwriter.

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