GS Finance plans autocallable notes linked to Russell 2000, S&P 500

By Tali Rackner

Norfolk, Va., Feb. 3 – GS Finance Corp. plans to price 0% autocallable notes due Feb. 28, 2019 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Goldman Sachs Group, Inc.

The notes will be called at par plus a call premium of 12.5% per year if each index closes at or above its call level on either call observation date. For each index, the call level for the first call observation date, March 10, 2017, is expected to be 100% of the initial level, and the call level for the second call observation date, Feb. 26, 2018, is expected to be 95% of the initial level.

If the notes are not called and the return of each index is greater than or equal to negative 10%, the payout at maturity will be $1,375 per $1,000 principal amount of notes.

If the return of each index is greater than or equal to negative 25% but the return of either index is less than negative 10%, the payout will be par.

If the return of either index is less than negative 25%, investors will be fully exposed to the decline of the lesser-performing index.

Goldman Sachs & Co. is the agent.

The notes will price on Feb. 24 and settle on Feb. 29.

The Cusip number is 40054CBZ6.

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