GS Finance plans leveraged buffered basket-linked notes on ETFs

By Sarah Lizee

Olympia, Wash., Dec. 12 – GS Finance Corp. plans to price 0% leveraged buffered notes due May 29, 2020 linked to a basket consisting of the SPDR S&P MidCap 400 ETF Trust with an 60% weight and the iShares Russell 2000 ETF with a 40% weight, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

The payout at maturity will be par plus 1.5 times any basket gain, capped at $1,199.5 for each $1,000 face amount.

Investors will receive par if the basket falls by 10% or less and will be exposed to any decline beyond 10%.

Goldman Sachs & Co. is the underwriter.

The notes will price on Dec. 21.

The Cusip is 40056EMV7.

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