GS Finance plans leveraged buffered relative performance index notes on Stoxx, S&P

By Wendy Van Sickle

Columbus, Ohio, May 22 – GS Finance Corp. plans to price 24- to 27-month 0% leveraged buffered relative performance index-linked notes based on the relative performance of the Euro Stoxx 50 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

The relative performance will be the difference of the Euro Stoxx 50 performance minus the S&P 500 performance. Each index’s performance will be its final level divided by its initial level.

If the relative performance is positive, the payout at maturity will be par plus 2 times the relative performance, subject to a maximum payment of between $1,254.80 and $1,299.60 per $1,000 principal amount.

If the relative performance is zero or negative but not less than negative 5%, the payout will be par.

If the relative performance is less than negative 10%, investors will lose 1.1111% for every 1% that the relative performance is less than negative 10%.

Goldman, Sachs & Co. is the underwriter.

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