Goldman plans seven-year 0% notes linked to Morningstar Wide Moat

By Susanna Moon

Chicago, Feb. 4 - Goldman Sachs Group Inc. plans to price 0% notes due Feb. 27, 2020 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 finishes at or above the initial level, the payout at maturity will be par plus any index gain, with a minimum payout of par.

Otherwise, investors will be exposed to any losses.

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.

Goldman Sachs & Co. is the underwriter.

The notes will price on Feb. 22 and settle on Feb. 27.

The Cusip number is 38143A5Y7.

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