Goldman Sachs plans leveraged buffered notes linked to index basket

By Susanna Moon

Chicago, May 12 – GS Finance Corp. plans to offer 0% leveraged buffered notes due in 24 to 27 months linked to a basket of indexes, according to a 424B2 filed with the Securities and Exchange Commission.

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.

The payout at maturity will be par plus 1.5 times any basket gain, up to a maximum settlement amount of between $1,150.15 and $1,176.55 for each $1,000 principal amount of notes.

Investors will receive par if the basket falls by up to 20% and will lose 1.25% for each 1% decline beyond 20%.

Goldman, Sachs & Co. is the agent.

Goldman Sachs Group, Inc. is the guarantor.

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