New Issue: GS Finance sells $1.17 million leveraged buffered notes index, ETF basket

By Kiku Steinfeld

Chicago, Feb. 28 – GS Finance Corp. priced $1.17 million of leveraged buffered notes due Feb. 23, 2024 linked to a basket of eight indexes and one exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 45.91% weight, the S&P MidCap 400 index with a 10.72% weight, the iShares MSCI EAFE Small Cap exchange-traded fund with a 9.56% weight, the MSCI Emerging Market index with a 9.09% weight, the Euro Stoxx 50 index with an 8.71% weight, the Russell 2000 index with a 5.36% weight, the Topix index with a 5.23% weight, the FTSE 100 index with a 3.87% weight and the S&P/ASX 200 index with a 1.55% weight.

The payout at maturity will be par plus 1.25 times any basket gain, subject to a maximum settlement amount of $1,550 per $1,000 principal amount of notes.

Investors will receive par if the basket falls by up to 15% and will lose 1% for every 1% decline beyond 15%.

Goldman Sachs & Co. LLC is the underwriter.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Leveraged buffered basket-linked notes
Underliers:	S&P 500 index (45.91% weight), S&P MidCap 400 index (10.72% weight), iShares MSCI EAFE Small Cap ETF (9.56% weight), MSCI Emerging Market index (9.09% weight), Euro Stoxx 50 index (8.71% weight), Russell 2000 index (5.36% weight), Topix index (5.23% weight), FTSE 100 index (3.87% weight) and S&P/ASX 200 index (1.55% weight)
Amount:	$1,165,000
Maturity:	Feb. 23, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 1.25 times any gain, subject to maximum settlement amount of $1,550 per $1,000 principal amount of notes; par if basket declines by up to 15%; 1% loss for every 1% decline beyond 15%
Initial levels:	3,373.23 for S&P, 2,106.12 for S&P MidCap, $60.86 for Small Cap ETF, 1,095.32 for EM, 3,822.98 for Stoxx, 1,696.069 for Russell, 1,674.48 for Topix, 7,436.64 for FTSE and 7,162.494 for S&P/ASX
Buffer levels:	85% of initial levels
Pricing date:	Feb. 20
Settlement date:	Feb. 25
Underwriter:	Goldman Sachs & Co. LLC
Fees:	1.23%
Cusip:	40056YD50

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