Goldman Sachs plans autocallable buffered notes linked to Russell 2000

By Marisa Wong

Madison, Wis., Nov. 9 - 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 notes will mature between 13 and 24 months after the issue date.

The notes will be called at par of $1,000 plus a call premium if the index closes at or above the initial index level on either of two call dates. The call premium is expected to be 10% to 11.5% for the first call date and 20% to 23% for the second call date.

If the notes are not called and the index return is zero or positive, the payout at maturity will be the maximum payment amount of between $1,300 and $1,345 per note. Investors will receive par if the index declines by 20% or less and will lose 1.25% for every 1% that it declines beyond 20%.

The exact terms will be set at pricing.

Goldman Sachs & Co. is the underwriter.

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