New Issue: Goldman prices $4.25 million autocallable underlier notes on S&P 500, iShares EM

By Marisa Wong

Madison, Wis., July 23 – Goldman Sachs Group, Inc. priced $4.25 million of 0% autocallable underlier-linked notes due July 30, 2018 based on the performance of the S&P 500 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a call premium if both components close at or above their initial levels on either annual call observation date. The call premium is 11.6% if the notes are called July 21, 2016 and 23.2% if called on July 21, 2017.

If the notes are not called and both components finish at or above their initial levels, the payout at maturity will be $1,348 per $1,000 principal amount.

If both components finish below their initial levels but the return of each component is at least negative 30%, the payout will be $1,100 per $1,000 note.

If the return of either component is less than negative 30%, the payout will be par plus the return of the lesser performing component, with full exposure to losses.

Goldman, Sachs & Co. is the agent.

Issuer:	Goldman Sachs Group, Inc.
Issue:	Autocallable underlier notes
Underlying components:	S&P 500 index, iShares MSCI Emerging Markets ETF
Amount:	$4,248,000
Maturity:	July 30, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	If both components finish at or above their initial levels, $1,348 per $1,000 note; if both components finish below their initial levels but the return of each component is at least negative 30%, $1,100 per $1,000 note; if return of either component is less than negative 30%, par plus the return of the lesser performing component, with full exposure to losses
Call:	At par plus a call premium if both components close at or above their initial levels on either annual call observation date; call premium is 11.6% if the notes are called July 21, 2016 and 23.2% if called on July 21, 2017
Initial levels:	2,119.21 for index, $38.52 for ETF
Pricing date:	July 21
Settlement date:	July 28
Agent:	Goldman, Sachs & Co.
Fees:	2.25%
Cusip:	38148TAF6

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