GS Finance plans to price buffered notes linked to basket

By Sarah Lizee

Olympia, Wash., Jan. 3 – GS Finance Corp. plans to price 0% buffered notes due in 18 months linked to a basket of indexes and exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.

The basket will be comprised of the S&P 500 index with a 25% weight, the Euro Stoxx 50 index with a 22.5% weight, the iShares MSCI Emerging Markets exchange-traded fund with a 22.5% weight, the S&P MidCap 400 index with a 15% weight and the Russell 2000 index with a 15% weight.

The notes will be guaranteed by Goldman Sachs Group, Inc.

If the final basket level is greater than the initial basket level, the payout at maturity will be par plus the basket return, capped at par plus 18% to 20%.

Investors will receive par if the basket declines by 20% or less and will lose 1% for every 1% that it may decline beyond 20%.

Goldman Sachs & Co. is the underwriter.

The Cusip number is 40056EQP6.

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