Goldman plans leverage buffer notes due 2021 tied to indexes, fund

By Susanna Moon

Chicago, July 18 – GS Finance Corp. plans to price 0% leveraged buffered notes due Jan. 3, 2023 linked to a basket of two indexes and an exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 60% weight, the iShares MSCI Emerging Markets ETF with a 20% weight and the Nikkei 225 index with a 20% weight.

The payout at maturity will be par plus 180% to 190% of any basket gain, with the exact participation rate to be set at pricing.

If the basket falls by up to the 40% trigger buffer level, the payout will be par.

Otherwise, the payout will be par plus the return.

The notes are guaranteed by Goldman Sachs Group, Inc.

Goldman Sachs & Co. LLC is the underwriter.

The notes will price on Aug. 1.

The Cusip number is 40055QKN1.

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