Goldman Sachs to price five-year notes linked to ETF, four indexes

By Angela McDaniels

Tacoma, Wash., March 29 - Goldman Sachs Group, Inc. plans to price 0% five-year notes linked to a basket of four indexes and one exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index, the MSCI EAFE index, the Russell 2000 index, the Dow Jones - UBS Commodity index and the iShares MSCI Emerging Markets index fund.

The payout at maturity will be par plus the sum of the locked-in underlier returns, subject to a minimum payout of $1,050.00.

One each of five annual observation dates, the basket component that has experienced the best return from the pricing date to that observation date will be selected, and its return will be the locked-in underlier return for that observation date. It will then be removed from the basket.

The locked-in underlier return on each observation date will be subject to a floor of negative 15% and a cap of 19.75% to 23%. The cap will result in a maximum payout at maturity of $1,9875.50 to $2,150.00 per $1,000 principal amount of notes. The exact cap will be set at pricing.

Goldman Sachs & Co. is the underwriter.

The Cusip number is 38143UTH4.

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