Goldman Sachs to price 36- to 39-month buffered notes tied to S&P 500

By Marisa Wong

Madison, Wis., Sept. 11 - Goldman Sachs Group, Inc. plans to price 0% buffered notes linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature between 36 and 39 months after pricing.

If the index return is positive, the payout at maturity will be par plus the index return, subject to a maximum return of 34% to 40%. The exact cap will be set at pricing.

If the index falls by up to 20%, the payout will be par. Investors will lose 1.25% for every 1% index decline beyond the 20% buffer.

Goldman Sachs & Co. is the underwriter.

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