Goldman Sachs plans leveraged buffered notes with cap tied to indexes

By Susanna Moon

Chicago, April 28 – GS Finance Corp. plans to price 0% 18- to 21-month leveraged buffered notes linked to an index basket, according to a 424B2 filed with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

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.

The payout at maturity will be par plus 1.5 times any basket gain, up to a maximum settlement amount of $1,181.50 and $1,213.00 for each $1,000 principal amount. The exact cap will be set at pricing.

Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.

Goldman Sachs & Co. is the agent.

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