New Issue: Goldman prices $3.67 million absolute return notes tied to indexes

By Susanna Moon

Chicago, May 11 – GS Finance Corp. priced $3.67 million of 0% leveraged notes due May 3, 2021 linked to the lesser performing of the Nikkei 225, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

If each index finishes at or above its initial level, the payout at maturity will be par plus the maximum settlement amount of $1,700 for each $1,000 principal amount.

If any index falls by up to the 62% threshold level, the payout will be par plus the absolute value of the return of the worst performing index.

If any index drops by more than 38%, investors will receive par plus 50% of the return of the worst performing index with full exposure to any losses.

The notes are guaranteed by Goldman Sachs Group, Inc.

Goldman Sachs & Co. LLC is the agent.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Leveraged notes
Underlying assets:	Nikkei 225, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF
Amount:	$3,669,000
Maturity:	May 3, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	If each index gains, par plus 70%; if any index falls by up to 38%, par plus 50% of the absolute return of worst performing index; otherwise, par plus return of worst performing index
Initial levels:	19,196.74 for Nikkei 225, 3,559.59 for Euro Stoxx, $40.06 for MSCI EM fund
Barrier level:	62% of initial levels
Pricing date:	April 28
Settlement date:	May 3
Underwriter:	Goldman Sachs & Co. LLC
Fees:	0.55%
Cusip:	40054LA61

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