Goldman plans two-year leveraged buffered autocallables on Russell

By Toni Weeks

San Luis Obispo, Calif., July 26 - Goldman Sachs Group, Inc. plans to price 0% two-year leveraged autocallable buffered notes linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a 5.5% to 6.4% call premium if the closing index level on the call observation date is equal to or greater than the initial level. The call observation date will be 13 to 15 months after pricing.

If the notes are not called and the index return is positive, the payout at maturity will be par plus 150% of the gain, subject to a maximum settlement of $1,232.50 for each $1,000 principal amount.

Investors will receive par if the index falls by up to 20% and will lose 1.25% for each 1% index decline beyond the 20% buffer.

The exact terms will be set at pricing.

Goldman Sachs & Co. is the underwriter.

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