Goldman plans contingent absolute return notes linked to Russell 2000

By Susanna Moon

Chicago, Aug. 16 - Goldman Sachs Group, Inc. plans to price 0% notes linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-out event occurs if the index ever closes below the trigger level, 73% to 77% of the initial level, on any day during the life of the notes.

If the index finishes above its initial level, the payout will be par plus any index gain, up to a maximum upside settlement amount of $1,300 for each $1,000 par amount.

If the index falls by up to the trigger amount, the payout at maturity will be par plus the absolute value of the index return.

Otherwise, the payout will be par plus the index return, with full exposure to any losses.

The exact deal terms, including trigger level, will be set at pricing.

Goldman Sachs & Co. is the underwriter.

The Cusip number is 38147QNS1.

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