New Issue: Goldman prices $3.7 million leveraged basket-linked notes on indexes, ETF

By Wendy Van Sickle

Columbus, Ohio, July 3 – GS Finance Corp. priced $3.7 million of 0% leveraged notes due Aug. 27, 2020 linked to a basket of indexes, 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 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.

The notes are guaranteed by Goldman Sachs Group, Inc.

If the basket return is positive, the payout at maturity will be par plus 1.5 times the basket return, subject to a maximum settlement amount of $1,240 for each $1,000 of notes.

Investors will receive par if the basket falls by up to 25% and will be exposed to any losses if the basket falls by more than 25%.

Goldman Sachs & Co. is the agent.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Leveraged notes
Basket components:	S&P 500 index (40% weight), iShares MSCI EAFE ETF (30% weight), S&P MidCap 400 index (20% weight), Russell 2000 index (10% weight)
Amount:	$3,702,000
Maturity:	Aug. 27, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus 1.5 times the basket return, subject to maximum settlement amount of $1,240 for each $1,000 of note; par if basket falls by up to 25%; full exposure to losses if basket falls by more than 25%
Initial index levels:	2,754.88 for S&P 500; $67.80 for ETF; 1,989.61 for S&P MidCap; 1,685.577 for Russell
Pricing date:	June 22
Settlement date:	June 27
Agent:	Goldman Sachs & Co.
Fees:	0.675%
Cusip:	40055QD41

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