Goldman Sachs plans buffered notes linked to MSCI Spain companies

By Tali Rackner

Norfolk, Va., Sept. 10 – Goldman Sachs Group, Inc. plans to price 0% buffered notes linked to an unequally weighted basket of the 25 ordinary shares of the companies included in the MSCI Spain 25/50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will mature between 24 and 27 months after pricing.

The payout at maturity will be par plus the basket gain, up to maximum settlement amount that is expected to be between $1,310 and $1,364 for each $1,000 principal amount. The exact cap will be set at pricing.

Investors will receive par if the basket falls by up to the 15% buffer amount and will lose 1.1765% for every 1% decline beyond 15%.

The basket includes the following shares with a 5% weight each: Amadeus IT Holding SA, Banco Bilbao Vizcaya Argenta, Banco De Sabadell SA, Banco Santander SA, Caixabank SA, Ferrovial SA, Iberdrola SA, Inditex, Repsol SA and Telefonica SA. It also includes Abertis Infraestructuras SA (3.96% weight), ACS Actividades de Construccion y Servicios SA (3.443% weight), Aena SA (3.398% weight), Banco Popular Espanol (4.128% weight), Bankia SA (3.307% weight), Bankinter, SA (2.295% weight), Distribuidora Internacional de Alimentacion SA (2.569% weight), Enagas SA (3.393% weight), Endesa SA (2.923% weight), Gas Natural SDG SA (4.02% weight), Grifols SA (3.739% weight), International Consolidated Airlines Group SA, (3.961% weight), Mapfre SA (2.22% weight), Red Electrica Corporacion SA (4.72% weight) and Zardoya Otis SA (1.924% weight).

The basket was selected on Aug. 27 and includes all of the constituents of the index at that time. To determine the initial weight of each stock, the calculation agent began with the weights of the 25 companies in the index as of Aug. 27 and then reweighted each of the stocks so that no stock was weighted in excess of 5% of the basket. For each stock having an initial weight of more than 5%, the excess weight was distributed to each of the other non-capped stocks pro rata according to their initial weights.

Goldman Sachs & Co. is the agent.

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