By Susanna Moon
Chicago, July 11 – GS Finance Corp. priced $678,000 of 0% notes due July 2, 2020 linked to the least performing of the Russell 2000 index and the S&P 500 index, 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 plus1.15 times the gain of the worse performing index.
If either index falls by up to the 70% threshold, the payout will be par plus the absolute value of the return of the worse performing index.
Otherwise, investors will receive par plus 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.
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| Guarantor: | Goldman Sachs Group, Inc.
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| Issue: | Index-linked notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $678,000
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| Maturity: | July 2, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index gains, par plus 1.15 times return of worse performing index; if any index falls by up to 30%, par plus absolute return of worse performing index; otherwise, par plus return of worse performing index
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| Initial levels: | 1,403.522 for Russell 2000 and 2,419.38 for S&P 500
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| Barrier levels: | 70% of initial levels
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| Pricing date: | June 27
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| Settlement date: | June 30
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| Underwriter: | Goldman Sachs & Co.
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| Fees: | 1%
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| Cusip: | 40054LFF6
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