Goldman Sachs plans to price leveraged notes linked to index basket

By Toni Weeks

San Luis Obispo, Calif., Jan. 29 – Goldman Sachs Group, Inc. plans to price 0% leveraged notes due Feb. 18, 2016 linked to a basket of three indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 58% weight, FTSE 100 index with a 21% weight and Topix index with a 21% weight.

The payout at maturity will be par plus the basket return, subject to a maximum settlement amount of $1,211.40 per $1,000 principal amount.

The basket return will be the sum of the component returns for each index multiplied by the applicable index weighting.

For each component, if the index return is positive, the component return will be par plus double the index return, subject to the maximum component return of 21.14%. If that component’s return is zero or negative, the component return will be par plus the index return.

The final index level for the FTSE 100 and Euro Stoxx indexes will be the average of the closing index levels on five trading days ending Feb. 12, 2016. For the Topix, it will be the average of the closing index levels on four trading days ending Feb. 12, 2016.

The notes (Cusip: 38147QSY3) are expected to price Jan. 30 and settle Feb. 4.

Goldman Sachs & Co. is the underwriter. J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.

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