Goldman plans relative performance notes tied to index basket vs. S&P

By Toni Weeks

San Luis Obispo, Calif., Jan. 27 – Goldman Sachs Group, Inc. plans to price 0% relative performance notes due Feb. 18, 2016 linked to a basket of indexes and the downside return of the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The equally weighted basket consists of the Financial Select Sector index, the Health Care Select Sector index and the Consumer Discretionary Select Sector index.

The payout at maturity will be par plus the note performance.

If the sector average return and the S&P 500 index performance are both positive, the note performance will equal par plus 1.11 times the basket gain, up to a maximum return of 22.2%.

If the sector average return is positive but the S&P 500 performance is negative, the note performance will be par plus the sector performance minus the S&P 500 performance.

If the sector average return and the S&P 500 performance are both negative, the note performance will equal the return of the S&P 500 index.

If the sector average return is negative but the S&P 500 performance is positive, the note performance will equal zero.

For each index, the final index value will be the average of that index’s levels on the five trading days ending Feb. 12, 2016. The sector average return will be the average of the returns for the three basket indexes.

The notes (Cusip: 38147QT55) will price on Jan. 30 and settle Feb. 4.

Goldman Sachs & Co. is the underwriter with J.P. Morgan Securities LLC as the placement agent.

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