Goldman Sachs plans leveraged basket-linked notes on five indexes

By Devika Patel

Knoxville, Tenn., Dec. 4 – Goldman Sachs Group, Inc. plans to price 0% leveraged notes linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature within 18 to 21 months, with the exact maturity to be set at pricing.

The basket consists of the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight.

If the basket return is positive, the payout at maturity will be three times the basket gain, subject to the maximum settlement amount, which is expected to be between $1,120 and $1,139.50 for each $1,000 of notes.

If the basket return falls by up to 10%, the payout at maturity will be par. Investors will lose 1.1111% for every 1% decline beyond the 10% buffer.

The exact terms will be set at pricing.

Goldman Sachs & Co. is the agent.

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