Goldman plans autocallable monthly range accrual notes on indexes

By Toni Weeks

San Luis Obispo, Calif., Nov. 4 - Goldman Sachs Group, Inc. plans to price autocallable monthly index-linked range accrual notes due Nov. 20, 2028 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 8% per year multiplied by the proportion of days on which each index closes at or above 70% of its initial level. Interest will be payable monthly.

Beginning Nov. 20, 2016, the notes will be automatically called at par plus accrued interest if each index closes at or above its initial level on any monthly call observation date.

If the notes are not called, the payout at maturity will be par unless any index finishes below the 50% trigger level, in which case investors will lose 1% for every 1% that the lesser-performing index drops below its initial level.

Goldman Sachs & Co. is the agent.

The notes are expected to price Nov. 15 and settle Nov. 20.

The Cusip number is 38147QL61.

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