Goldman Sachs to price 0% notes linked to MSCI EAFE index, iShares MSCI Emerging Markets

By Angela McDaniels

Tacoma, Wash., Feb. 13 - The Goldman Sachs Group, Inc. plans to price 0% medium-term notes, series B, linked to a basket containing the MSCI EAFE index and the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission.

The index will have an 84% weight in the basket, and the exchange-traded fund will have a 16% weight.

The notes will mature 15 to 17 months after issuance, with the exact tenor to be determined at pricing.

If the final basket return is positive, the payout at maturity will be par plus the gain, subject to a maximum return that is expected to be 19% to 23% and will be set at pricing.

If the final basket return is negative but not below negative 20%, the payout will be par. Investors will lose 1.25% for each 1% that the return is below negative 20%.

Goldman, Sachs & Co. will be the underwriter.

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