New Issue: Goldman prices $258,000 leveraged basket-linked notes on indexes, ETF

By Kiku Steinfeld

Chicago, July 15 – GS Finance Corp. priced $258,000 of 0% leveraged notes due July 3, 2024 linked to a basket of indexes and an exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

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.

The notes are guaranteed by Goldman Sachs Group, Inc.

If the basket return is positive, the payout at maturity will be par plus 135% of the basket return.

If the basket return is flat or declines by up to 40%, the payout will be par.

Otherwise, investors will lose 1% for each 1% decline of the basket beyond 40% of its initial level.

Goldman Sachs & Co. LLC is the agent.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Leveraged notes
Underlying indexes:	S&P 500 index (40% weight), Russell 2000 index (20% weight), Euro Stoxx 50 index (20% weight) and iShares MSCI Emerging Markets ETF (20% weight)
Amount:	$258,000
Maturity:	July 3, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus 135% of the basket return; par if basket is flat or declines by up to 40%; otherwise, full exposure to basket’s decline
Initial levels:	2,941.76 for S&P, 1,566.572 for Russell, 3,473.69 for Stoxx and $42.91 for ETF
Buffer levels:	60% of initial levels
Pricing date:	June 28
Settlement date:	July 3
Agent:	Goldman Sachs & Co. LLC
Fees:	1.41%
Cusip:	40056FMU6

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