GS Finance to price buffered digital notes linked to index basket

By Angela McDaniels

Tacoma, Wash., July 11 – GS Finance Corp. plans to price 36- to 39-month 0% buffered digital 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 36% weight, the Topix index with a 27% weight, the FTSE 100 index with a 19% weight, the Swiss Market index with a 10% weight and the S&P/ASX 200 index with an 8% weight.

If the basket return is positive or zero, the payout at maturity will be the greater of the threshold settlement amount and par plus the basket return. The threshold settlement amount is expected to be $1,268.10 to $1,314.60 per $1,000 principal amount of notes and will be set at pricing.

If the basket return is negative but not below negative 15%, the payout will be par. Otherwise, investors will lose 1.1765% for every 1% that the basket declines beyond 15%.

The notes will be guaranteed by Goldman Sachs Group, Inc.

Goldman Sachs & Co. LLC is the underwriter.

The Cusip number is 40056FU45.

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