Goldman Sachs to price leveraged notes linked to index basket

By Marisa Wong

Madison, Wis., Dec. 10 – Goldman Sachs Group, Inc. plans to price 24- to 27-month 0% leveraged notes linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight.

If the basket return is positive, the payout at maturity will be par plus double the basket return, subject to a maximum settlement amount of $1,344 to $1,392 for each $1,000 principal amount of notes.

Investors will be fully exposed to any decline in the basket.

The exact terms will be set at pricing.

Goldman Sachs & Co. is the underwriter.

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