New Issue: GS Finance sells $200,000 buffered notes linked to index, ETF basket

By Marisa Wong

Morgantown, W.Va., Feb. 1 – GS Finance Corp. priced $200,000 of 0% buffered notes due July 29, 2020 linked to a basket of four indexes and an exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

The basket consists of the S&P 500 index with a 25% weight, the Euro Stoxx 50 index with a 22.5% weight, the iShares MSCI Emerging Markets ETF with a 22.5% weight, the S&P MidCap 400 index with a 15% weight and the Russell 2000 index with a 15% weight.

The payout at maturity will be par plus any basket gain, subject to a maximum settlement amount of $1,195 per $1,000 principal amount.

Investors will receive par if the basket falls by up to 20% and will lose 1% for every 1% decline beyond 20%.

Goldman Sachs & Co. is the underwriter.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Buffered notes
Underlying assets:	S&P 500 index (25% weight), Euro Stoxx 50 index (22.5% weight), iShares MSCI Emerging Markets ETF (22.5% weight), S&P MidCap 400 index (15% weight) and Russell 2000 index (15% weight)
Amount:	$200,000
Maturity:	July 29, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus any basket gain, capped at par plus 19.5%; par if the basket falls by up to 20%; 1% loss for every 1% decline beyond 20%
Initial levels:	2,642.33 for S&P, 3,126.31 for Stoxx, $41.65 for ETF, 1,799.23 for MidCap, 1,464.406 for Russell
Pricing date:	Jan. 24
Settlement date:	Jan. 29
Underwriter:	Goldman Sachs & Co.
Fees:	0.9%
Cusip:	40056EQP6

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