By Susanna Moon
Chicago, July 16 – GS Finance Corp. priced $1.23 million of 0% leveraged buffered notes due March 11, 2020 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the SPDR S&P 500 ETF Trust with a 64% weight, the SPDR S&P MidCap 400 ETF Trust with a 22% weight and the iShares Russell 2000 ETF with a 14% weight.
The payout at maturity will be par plus 1.5 times any basket gain, up to a maximum settlement amount of $1,151.5 for each $1,000 principal amount.
Investors will receive par if the basket falls by up to 15% and will be exposed to any losses beyond the buffer.
The notes are guaranteed by Goldman Sachs Group, Inc.
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: | SPDR S&P 500 ETF Trust (64% weight), SPDR S&P MidCap 400 ETF Trust (22% weight) and iShares Russell 2000 ETF (14% weight)
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| Amount: | $1,225,000
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| Maturity: | March 11, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 1.5 times any basket gain, capped at 15.15%; par if basket falls by up to 15%; otherwise, 1% loss per 1% decline beyond 15%
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| Initial levels: | $275.42 for S&P 500 fund, $361.77 for S&P midcap fund and $168.25 for Russell fund
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| Pricing date: | July 6
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| Settlement date: | July 11
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| Underwriter: | Goldman Sachs & Co. LLC
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| Fees: | 0.15%
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| Cusip: | 40055QM41
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