By William Gullotti
Buffalo, N.Y., Feb. 13 – GS Finance Corp. priced $1.11 million of 0% leveraged notes due Feb. 11, 2028 linked to a weighted basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Russell 2000 index, the S&P 500 index and the iShares MSCI EAFE ETF.
Settlement at maturity is dependent upon the weighted return of the basket, which is calculated by adding the products of the highest performing basket component’s return times 40%, the second highest component’s return times 35% and the lowest performer’s return times 25%.
If the weighted return is positive, the payout at maturity will be par plus 1.115 times the weighted return.
Investors will receive par if the weighted return is flat or falls by up to 30% and will lose 1% for every 1% of decline if it declines more than 30%.
The notes are guaranteed by Goldman Sachs Group, Inc.
Goldman Sachs & Co. LLC is the agent.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Leveraged index-linked notes
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| Basket components: | Russell 2000 index, S&P 500 index, iShares MSCI EAFE ETF
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| Amount: | $1.11 million
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| Maturity: | Feb. 11, 2028
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Settlement at maturity is dependent upon the weighted return of the basket, which is calculated by adding the products of the highest performing basket component’s return times 40%, the second highest component’s return times 35% and the lowest performer’s return times 25%; if weighted return is positive, par plus 1.115 times weighted return; par if weighted return is flat or declines by up to 30%; otherwise, 1% loss for every 1% of basket decline from initial level
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| Initial levels: | 1,942.599 for Russell, 4,117.86 for S&P, $70.85 for ETF
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| Buffer level: | 70% of initial level
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| Pricing date: | Feb. 8
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| Settlement date: | Feb. 13
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| Agent: | Goldman Sachs & Co. LLC
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| Fees: | 0.8%
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| Cusip: | 40057PM74
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