Goldman plans leveraged notes linked to Euro Stoxx, Topix, FSTE 100

By Angela McDaniels

Tacoma, Wash., Feb. 2 – Goldman Sachs Group, Inc. plans to price 0% leveraged basket-linked notes due Feb. 27, 2017 linked to a basket comprised of the Euro Stoxx 50 index (58% weight), the Topix index (23% weight) and the FTSE 100 index (19% weight), according to a 424B2 filing with the Securities and Exchange Commission.

For each $1,000 principal amount of notes, the payout at maturity will be $1,000 multiplied by the basket return, which will be the sum of the weighted component returns for each index. There is no principal protection, so the payout may be less than par.

If an index’s return is positive, its component return will be sum of 100% plus the product of two times that index’s return, subject to a maximum component return of 126.4%. If an index’s return is zero or negative, its component return will be the sum of 100% plus its return.

Each index’s final level will be the average of its closing levels on the five trading days ending Feb. 22, 2017.

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

The notes will price Feb. 3.

The Cusip number is 38148TLV9.

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