New Issue: GS Finance prices $16.6 million buffered autocallables linked to European banking stocks

By Angela McDaniels

Tacoma, Wash., Sept. 5 – GS Finance Corp. priced $16.6 million of 0% autocallable buffered notes due Sept. 4, 2020 linked to a basket of the 25 stocks included in the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Goldman Sachs Group, Inc.

The basket includes Banco Bilbao Vizcaya Argentaria, SA, Banco de Sabadell SA, Banco Santander SA, BNP Paribas SA, CaixaBank SA, Credit Agricole SA, Commerzbank AG, Deutsche Bank AG, Erste Group Bank AG, ING Groep NV, Intesa Sanpaolo SpA, KBC Group NV, Societe Generale SA and UniCredit SpA, each with a 5% weight; ABN Amro Group NV with a 4.74% weight; Bank of Ireland with a 3.63% weight; Natixis SA with a 3.3% weight; Mediobanca SpA with a 3.02% weight; Bankinter, SA with a 3% weight; Banco BPM SpA with a 2.8% weight; Bankia SA with a 2.33% weight; and Unione di Banche Italiane ScpA with a 2.3% weight; BPER Banca SpA with a 1.31% weight; Raiffeisen Bank International AG with a 1.93% weight; and FinecoBank Banca Fineco SpA with a 1.64% weight.

To determine the weights of each basket stock, the calculation agent began with the weights of the 25 companies in the index as of Aug. 7. Next, the calculation agent capped the weight of any company that was weighted at more than 5% in the index at 5% and distributed the excess weight to each of the other non-capped basket stocks pro rata according to their initial weights. The calculation agent repeated this reweighting process iteratively until no basket stock was weighted more than 5%.

The notes will be automatically called at par plus a call premium if the basket closes at or above the initial basket level on Sept. 28, 2018 or Aug. 30, 2019. The call premium is 13% for the first call observation date and 24% for the second call observation date.

If the notes are not called and the basket return is zero or positive, the payout at maturity will be par plus 36%. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.

Goldman Sachs & Co. is the underwriter.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Autocallable buffered notes
Underlying stocks:	ABN Amro Group NV (4.74% weight), Banco BPM SpA (2.8% weight), Banco Bilbao Vizcaya Argentaria, SA (5% weight), Bank of Ireland (3.63% weight), Bankia SA (2.33% weight), Bankinter, SA (3% weight), BNP Paribas SA (5% weight), CaixaBank SA (5% weight), Credit Agricole SA (5% weight), Commerzbank AG (5% weight), Natixis SA (3.3% weight), UniCredit SpA (5% weight), Deutsche Bank AG (5% weight), BPER Banca SpA (1.31% weight), Erste Group Bank AG (5% weight), FinecoBank Banca Fineco SpA (1.64% weight), ING Groep NV (5% weight), Intesa Sanpaolo SpA (5% weight), KBC Group NV (5% weight), Mediobanca SpA (3.02% weight), Raiffeisen Bank International AG (1.93% weight), Banco de Sabadell SA (5% weight), Banco Santander SA (5% weight), Societe Generale SA (5% weight) and Unione di Banche Italiane ScpA (2.3% weight)
Amount:	$16.6 million
Maturity:	Sept. 4, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is zero or positive, par plus 36%; par if basket declines by 10% or less; 1.1111% loss for every 1% that basket declines beyond 10%
Call:	Automatically at par plus call premium if basket closes at or above initial basket level on Sept. 28, 2018 or Aug. 30, 2019; call premium is 13% for first call observation date and 24% for second call observation date
Pricing date:	Aug. 31
Settlement date:	Sept. 8
Underwriter:	Goldman Sachs & Co.
Fees:	2.125%
Cusip:	40054LQ64

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