Goldman Sachs to price 0% leveraged notes linked to three indexes

By Susanna Moon

Chicago, June 24 - Goldman Sachs Group, Inc. plans to price 0% leveraged equity index-linked notes linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 55% weight, the MSCI EAFE index with a 30% weight and the Russell 2000 index with a 15% weight.

The maturity will be about 53 weeks after issue.

Payout at maturity will be par plus triple any basket gain, capped at an appreciation in the index of between 6.5% and 8%. Investors will receive par for losses up to 10% and will lose 1% for each 1% drop beyond 10%.

The maximum settlement amount is expected to be between $1,130 and $1,160 per $1,000 note.

Goldman, Sachs & Co. will be the underwriter.

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