GS Finance to price leveraged buffered notes on indexes, ETF basket

By Sarah Lizee

Olympia, Wash., Nov. 13 – GS Finance Corp. plans to price 0% leveraged buffered notes due May 20, 2020 linked to an unequally weighted basket of three indexes and one exchange-traded fund, 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 S&P 500 index with an initial weight of 40%, the Euro Stoxx 50 index with an initial weight of 25%, the iShares MSCI Emerging Markets ETF with an initial weight of 18% and the Nikkei 225 index with an initial weight of 17%.

If the basket return is positive, the payout at maturity will be par plus 150% of the basket return, capped at $1,210 per $1,000 of notes.

Investors will receive par if the basket declines by up to 15% and will lose 1% for each 1% decline of the basket beyond 15%.

Goldman Sachs & Co. is the agent.

The notes (Cusip: 40056EGL6) will price on Nov. 15 and settle on Nov. 20.

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