New Issue: GS Finance sells $2.39 million leveraged notes on basket of indexes, ETF

By Sarah Lizee

Olympia, Wash., June 8 – GS Finance Corp. priced $2.39 million of 0% leveraged notes due June 13, 2023 linked to an unequally weighted basket of indexes and an 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 a 40% weight, the Russell 2000 index with a 20% weight, the Euro Stoxx 50 index with a 20% weight and the iShares MSCI Emerging Markets exchange-traded fund with a 20% weight.

If the basket return is positive, the payout at maturity will be par plus 140% of the basket return.

Investors will receive par if the basket declines by up to 35% and will lose 1% for each 1% decline beyond 35%.

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), Russell 2000 index (20% weight), Euro Stoxx 50 index (20% weight) and iShares MSCI Emerging Markets exchange-traded fund (20% weight)
Amount:	$2,386,000
Maturity:	June 13, 2023
Coupon:	0%
Price:	Par
Payout at maturity:	If the basket return is positive, par plus 140% of the basket gain; if the basket falls by up to 35%, par; 1% loss for each 1% decline beyond 35%
Initial levels:	2,772.35 for S&P 500, 1,675.949 for Russell 2000, 3,460.82 for Euro Stoxx 50 and $47.14 for iShares MSCI Emerging Markets
Pricing date:	June 6
Settlement date:	June 13
Agent:	Goldman Sachs & Co.
Fees:	3.85%
Cusip:	40055QE99

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