New Issue: GS Finance sells $9.70 million leveraged notes on ETF, index basket

By Marisa Wong

Morgantown, W.Va., March 14 – GS Finance Corp. priced $9,695,000 of 0% leveraged notes due March 12, 2020 linked to a basket of indexes and an exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

The basket consists of the S&P 500 index with a 40% weight, the iShares MSCI EAFE ETF with a 30% weight, the S&P MidCap 400 index with a 20% weight and the Russell 2000 index with a 10% weight.

If the basket return is positive, the payout at maturity will be par plus 1.5 times the basket gain, with the return capped at 24.825%.

If the basket falls by up to 25%, the payout will be par. Otherwise, investors will be fully exposed to any basket decline from the initial level.

Goldman Sachs & Co. is the agent.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Leveraged notes
Underlying basket:	S&P 500 index (40% weight), iShares MSCI EAFE ETF (30% weight), S&P MidCap 400 index (20% weight) and Russell 2000 index (10% weight)
Amount:	$9,695,000
Maturity:	March 12, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	If the basket return is positive, par plus 1.5 times the basket gain, with the return capped at 24.825%; if the basket falls by up to 25%, par; otherwise, full exposure to any basket decline from the initial level
Initial levels:	2,726.80 for S&P, $70.18 for EAFE, 1,920.42 for MidCap and 1,574.533 for Russell
Pricing date:	March 7
Settlement date:	March 12
Agent:	Goldman Sachs & Co.
Fees:	0.675%
Cusip:	40055ALU9

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