Goldman Sachs plans leveraged buffered notes on S&P 500, MSCI EAFE

By Susanna Moon

Chicago, Feb. 18 - Goldman Sachs Group, Inc. plans to price 0% leveraged buffered basket-linked notes based on equal weights of the S&P 500 index and the MSCI EAFE index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will mature between 18 and 21 months after issue.

The payout at maturity will be par plus 1.4 times any basket gain, up to a maximum settlement amount of $1,133 to $1,154 per $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 underwriter.

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