GS plans relative performance notes linked to S&P 500 versus basket

By Angela McDaniels

Tacoma, Wash., Jan. 7 – GS Finance Corp. plans to price 0% relative performance notes due Jan. 25, 2017 linked to the performance of the S&P 500 index and a basket that includes the Health Care Select Sector index, the Technology Select Sector index, the Consumer Discretionary Select Sector index and the SPDR S&P Bank exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

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

The basket performance will equal the average of the basket components’ returns.

If the basket performance is positive and the S&P 500 return is positive or zero, the payout at maturity will be par plus the basket performance.

If the basket performance is positive but the S&P 500 return is negative, the payout will par plus the basket performance plus the S&P 500 return. In this case, the return on the notes could be positive or negative and will be negative in the event that the decline in the S&P 500 is greater than the basket performance.

If the basket performance is zero or negative and the S&P 500 return is negative, investors will be fully exposed to the decline of the S&P 500.

If the basket performance is zero or negative but the S&P 500 return is positive, the payout will be par.

If the basket performance is zero or negative and the S&P 500 return is zero, the payout will be par.

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

The notes will price Jan. 8.

The Cusip number is 40054CAX2.

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