Goldman plans leveraged buffer notes due 2022 tied to indexes, fund

By Susanna Moon

Chicago, April 11 – GS Finance Corp. plans to price 0% leveraged buffered basket-linked notes due Nov. 7, 2022 tied to a basket of two indexes and a fund, according to a 424B2 filing with the Securities and Exchange Commission.

The basket comprised 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 1.85 times to 1.95 times any basket gain, with the exact participation rate to be set at pricing.

Investors will receive par if the basket falls by up to 40% and be fully exposed to any losses if the basket finishes below its 60% trigger level.

The notes are guaranteed by Goldman Sachs Group, Inc.

Goldman Sachs & Co. is the underwriter.

The notes will price on May 2 and settle on May 7.

The Cusip is 40055AW78.

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