Goldman plans autocallable monthly range accrual notes on two indexes

By Marisa Wong

Madison, Wis., Sept. 11 - Goldman Sachs Group, Inc. plans to price autocallable monthly index-linked range accrual notes due Sept. 18, 2023 linked to 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 7.25% per year multiplied by the proportion of days on which each index closes at or above its trigger level, 65% of its initial level. Interest will be payable monthly.

Beginning Sept. 18, 2014, the notes will be automatically called at par plus accrued interest if both indexes close at or above their initial levels on any monthly call observation date.

If the notes are not called, the payout at maturity will be par unless either index finishes below its 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 Sept. 13 and settle Sept. 18.

The Cusip number is 38147QUS3.

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