New Issue: GS Finance prices $6.17 million contingent income callable notes on S&P, Russell

By Marisa Wong

Morgantown, W.Va., Oct. 11 – GS Finance Corp. priced $6.17 million of contingent income callable securities due Oct. 4, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

Each quarter, the notes pay a contingent coupon at an annual rate of 9% if each index closes at or above its coupon threshold level, 75% of its initial index level, on the observation date for that quarter.

Beginning Oct. 4, 2017, the notes are callable at par on any quarterly coupon payment date other than the final one.

If each index finishes at or above its downside threshold level, 55% of the initial level, the payout at maturity will be par plus the final contingent coupon, if any. If the final level of either index is less than its downside threshold level, investors will be fully exposed to the decline of the lesser-performing index.

Goldman Sachs & Co. is the underwriter. Morgan Stanley Wealth Management is acting as dealer.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Contingent income callable securities
Underlying indexes:	Russell 2000 and S&P 500
Amount:	$6,169,000
Maturity:	Oct. 4, 2023
Coupon:	9% per year, payable each quarter that each index closes at or above its coupon threshold on observation date for that quarter
Price:	Par
Payout at maturity:	If each index finishes at or above downside threshold, par plus final contingent coupon, if any; otherwise, full exposure to decline of lesser-performing index
Call option:	Beginning Oct. 4, 2017, at par on any quarterly determination date other than final one
Initial index levels:	2,168.27 for S&P and 1,251.646 for Russell
Coupon thresholds:	1,626.2025 for S&P and 938.7345 for Russell, 75% of initial levels
Downside thresholds:	1,192.5485 for S&P and 688.4053 for Russell, 55% of initial index levels
Pricing date:	Sept. 30
Settlement date:	Oct. 5
Underwriter:	Goldman Sachs & Co.
Dealer:	Morgan Stanley Wealth Management
Fees:	3.875%
Cusip:	40054KKG0

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