GS Finance plans leveraged buffered notes linked to basket of indexes

By Marisa Wong

Morgantown, W.Va., April 11 – GS Finance Corp. plans to price 0% 24- to 27-month leveraged buffered notes linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

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 par plus 1.5 times the basket return, subject to a maximum settlement of $1,300 to $1,352.50 per $1,000 principal amount. The exact cap will be set at pricing.

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

Goldman Sachs & Co. is the agent.

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