GS Finance plans leveraged buffered notes on index basket

By Devika Patel

Knoxville, Tenn., Dec. 27 – GS Finance Corp. plans to price 0% leveraged buffered notes due Jan. 7, 2021 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 42.5% weight, the Topix index with a 24.25% weight, the FTSE 100 index with a 15% weight, the Swiss Market index with an 8% weight, the S&P/ASX 200 index with a 7% weight and the Hang Seng China Enterprises index with a 3.25% weight.

If the basket return is positive, the payout at maturity will be par plus 165% to 175% of the basket return. The exact participation rate will be set at pricing.

Investors will receive par if the basket declines by 20% or less and will lose 1.25% for every 1% that the basket declines beyond 20%.

Goldman Sachs & Co. is the agent.

The notes (Cusip: 40055ABW6) will price on Jan. 2 and settle Jan. 5.

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