Goldman Sachs plans notes with averaging on basket of ETFs, indexes

By Toni Weeks

San Luis Obispo, Calif., March 6 – Goldman Sachs Group, Inc. plans to price 0% basket-linked notes due March 12, 2021, according to a 424B2 filing with the Securities and Exchange Commission.

The basket is comprised of equal weights of the S&P 500 index, the Russell 2000 index, the iShares MSCI EAFE exchange-traded fund and the iShares Emerging Markets ETF.

The payout at maturity will be par plus the greater of the basket return and 3%. If the final basket level is equal to or less than 103% of the initial basket level, investors will receive $1,030 per $1,000 principal amount of notes.

The final basket level will be the average of the closing basket levels on each of the semiannual averaging dates, which begin on Sept. 9, 2015 and end on March 9, 2021.

The notes (Cusip: 38147QVU7) are expected to price March 9 and settle March 12.

Goldman Sachs & Co. is the underwriter.

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