By Tali Rackner
Minneapolis, Feb. 26 – GS Finance Corp. priced $500,000 of 0% leveraged buffered notes due Aug. 25, 2022 linked to a basket of indexes and a 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 Euro Stoxx 50 index with a 60% weight, the iShares MSCI Emerging Markets exchange-traded fund with a 20% weight and the Nikkei 225 index with a 20% weight.
If the basket return is positive, the payout at maturity will be par plus 1.565 times the basket return.
Investors will receive par if the basket falls by up to 25% and will lose 1% for every 1% decline below the initial level if the basket falls by more than 25%.
Goldman Sachs & Co. is the underwriter.
| Issuer: | GS Finance Corp.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Leveraged buffered notes
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| Underlying basket: | Euro Stoxx 50 index (60% weight), the iShares MSCI Emerging Markets ETF (20% weight) and the Nikkei 225 index (20%) weight
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| Amount: | $500,000
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| Maturity: | Aug. 25, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If basket return is positive, par plus 1.565 times the basket return; par if basket falls by up to 25%; otherwise, 1% loss for each 1% decline if basket falls by more than 25%
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| Initial levels: | 3,435.08 for Stoxx, $48.86 for EM ETF and 21,925.10 for Nikkei
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| Pricing date: | Feb. 20
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| Settlement date: | Feb. 23
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| Underwriter: | Goldman Sachs & Co. LLC
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| Fees: | 1%
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| Cusip: | 40055AMS3
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