Goldman Sachs plans notes with absolute return feature linked to S&P

By Angela McDaniels

Tacoma, Wash., July 28 – Goldman Sachs Group, Inc. plans to price 0% notes due Feb. 8, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par plus the index return, subject to a maximum settlement amount of $1,147.50 per $1,000 principal amount of notes. If the index return is negative and the final index level is at least 85.25% of the initial index level, the payout will be par plus the absolute value of the index return. If the final index level is less than 85.25% of the initial index level, investors will experience a loss proportionate to the index’s decline.

Goldman Sachs & Co. is the underwriter. J.P. Morgan Securities LLC is agent.

The notes are expected to price July 31 and settle Aug. 5.

The Cusip number is 38148TB40.

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