Goldman Sachs plans leveraged buffered notes linked to index basket

By Toni Weeks

San Luis Obispo, Calif., Dec. 4 – Goldman Sachs Group, Inc. plans to price 41- to 44-month 0% leveraged buffered notes linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 50% weight, Euro Stoxx 50 index with a 30% weight and S&P Banks Select Industry index with a 20% weight.

If the basket return is positive, the payout at maturity will be par plus 1.15 to 1.25 times the basket return.

Investors will receive par if the basket falls by 10% or less and will lose 1.1111% for every 1% that the basket declines beyond 10%.

The exact maturity date and participation rate will be set at pricing.

Goldman Sachs & Co. is the underwriter.

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