Goldman Sachs plans leveraged buffered notes linked to index basket

By Susanna Moon

Chicago, May 21 - Goldman Sachs Group, Inc. plans to price 0% leveraged buffered index-linked notes based on a basket of three indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 33.4% weight, the MSCI EAFE index with a 33.3% weight and the Russell 2000 index with a 33.3% weight.

The maturity will be between 15 and 17 months after issue.

The payout at maturity will be par plus 1.5 times any basket gain, up to the maximum settlement amount of $1,198.75 to $1,228.75 per $1,000 principal amount.

Investors will receive par if the basket falls by up to 10% and will be exposed to any losses beyond 10%.

The exact deal terms will be set at pricing.

Goldman, Sachs & Co. is the underwriter.

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