Goldman plans 0% buffered notes tied to Morningstar Wide Moat index

By Toni Weeks

San Diego, Nov. 7 - Goldman Sachs Group Inc. plans to price five-year 0% bufferd notes linked to the Morningstar Wide Moat Focus Target Volatility 20 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par plus the index return. If the index falls by up to the buffer amount, the payout will be par. Investors will be exposed to any losses beyond the buffer amount. The exact buffer amount will be determined at pricing and is expected to be 5% to 10% of the initial level.

The index allocates exposure between the Morningstar Wide Moat Focus Total Return index (the base index) and a hypothetical cash position based on the volatility of the base index over the prior 20 or 60 trading days, whichever is greater, less Libor. The index maintains a volatility target of 20% by allocating exposure between the base index and a hypothetical cash position that earns interest based on the federal funds effective rate.

The objective of the base index is to track the performance of companies that Morningstar believes have a sustainable competitive advantage, which Morningstar refers to as a "wide economic moat." The base index is reconstituted and rebalanced on a quarterly basis. It consists of an equally weighted basket of the 20 U.S. stocks with a wide economic moat that have the lowest ratios of current market price to fair value price, as determined by Morningstar.

Goldman Sachs & Co. is the underwriter.

The Cusip number is 38141GGY4.

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