Goldman Sachs plans 0% notes linked to two indexes, index fund

By Jennifer Chiou

New York, April 28 - Goldman Sachs Group, Inc. plans to price 0% notes linked to a basket of indexes and an index fund, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 65% weight, the MSCI EAFE index with a 30% weight and the iShares MSCI Emerging Markets index fund with a 5% weight.

The notes are expected to mature between 24 and 26 months after issue.

Payout at maturity will be par plus 150% of any basket gain. Investors will receive par for losses up to 10% and will share in losses at a rate of 1.11% per 1% decline beyond 10%.

Goldman, Sachs & Co. is the underwriter.

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