GS Finance plans to price index-linked notes tied to S&P, Russell

By Sarah Lizee

Olympia, Wash., June 19 – GS Finance Corp. plans to price 0% index-linked notes due July 1, 2021 tied to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

If each index closes at or above its initial level, the payout at maturity will be par plus the return of the lesser performing index, capped at $1,252.50 per $1,000 of notes.

If either index falls but finishes at or above 85% of its initial level, the payout at maturity will be par plus the absolute value of the return of the lesser performing index.

If either index falls by more than 15%, investors will lose 1% for each 1% decline of the lesser performing index beyond 15%.

Goldman Sachs & Co. LLC is the agent.

The notes (Cusip: 40056FPM1) will price June 27.

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