New Issue: GS Finance prices $1.38 million index-linked notes on S&P, Russell

By Marisa Wong

Morgantown, W.Va., July 27 – GS Finance Corp. priced $1.38 million of 0% index-linked notes due July 29, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

If the return of each index is zero or positive, the payout at maturity will be par plus the return of the lesser performing index, capped at par plus 25%.

If either index falls but the return of each index is at least negative 30%, the payout will be par plus 0.5 times the absolute value of the return of the lesser performing index.

If either index falls by more than 30%, investors will be fully exposed to the decline of the worse performing index.

Goldman, Sachs & Co. is the agent.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Index-linked notes
Underlying indexes:	S&P 500, Russell 2000
Amount:	$1,376,000
Maturity:	July 29, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	If the return of each index is zero or positive, par plus return of the lesser performing index, capped at par plus 25%; if either index falls but the return of each index is at least negative 30%, par plus 0.5 times absolute value of return of lesser performing index; if either index falls by more than 30%, full exposure to the decline of the worse performing index
Initial levels:	2,820.40 for S&P and 1,680.195 for Russell
Pricing date:	July 24
Settlement date:	July 27
Underwriter:	Goldman Sachs & Co.
Fees:	0.175%
Cusip:	40055QMD1

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