GS Finance to price digital notes due 2021 linked to EM, EAFE funds

By Sarah Lizee

Olympia, Wash., Aug. 27 – GS Finance Corp. plans to price 0% digital notes due Sept. 21, 2021 linked to the iShares MSCI Emerging Markets exchange-traded fund and the iShares MSCI EAFE exchange-traded fund, 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 ETF is equal to or greater than its initial level, the payout at maturity will be the greater of par plus 1.25 times the return of the lesser performing ETF and the threshold settlement amount of $1,250 for each $1,000 of notes.

Investors will receive par if the return of each ETF is below its initial level but is greater than or equal to 80% of its initial level.

If either ETF ends below 80% of its initial level, investors will lose 1% for every 1% that the lesser-performing ETF declines beyond 20%.

Goldman Sachs & Co. is the underwriter.

The notes will price on Sept. 14 and settle on Sept. 21.

The Cusip number is 40055QUX8.

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