GS Finance to price leveraged buffered notes linked to index basket

By Angela McDaniels

Tacoma, Wash., July 31 – GS Finance Corp. plans to price 24- to 27-month 0% leveraged buffered notes liked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be 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.

If the final basket level is greater than the initial basket level, the payout at maturity will be par plus three times the basket return, subject to a maximum settlement amount that is expected to be $1,204.60 to $1,240.60 per $1,000 principal amount of notes and will be set at pricing. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that it may decline beyond 10%.

Goldman Sachs & Co. is the underwriter.

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