Goldman Sachs plans 0% autocallable buffered notes on Russell 2000

By Marisa Wong

Madison, Wis., Aug. 6 - Goldman Sachs Group, Inc. plans to price 0% autocallable buffered index-linked notes tied to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The maturity date is expected to be between 24 and 25 months after issue.

If the index closes at or above the initial index level on any of the call observation dates, the notes will be automatically called at par plus an applicable call premium. The call premium will be 5.25% to 6.25% for the first call observation date, 10.5% to 12.5% for the second, 15.75% to 18.75% for the third and 21% to 25% for the fourth for the final observation date, which is also the determination date.

The first call observation date is expected to be six to seven months after issue, with the remaining dates to follow every six months thereafter.

If the notes are not called and the final index level is at least 80% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1.25% for every 1% index decline beyond 20%.

The exact deal terms for the notes (Cusip: 38143ULR0) will be set at pricing.

Goldman, Sachs & Co. is the underwriter.

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