New Issue: Goldman prices $750,000 buffered notes due 2020 linked to index basket

By Susanna Moon

Chicago, Jan. 23 – GS Finance Corp. priced $750,000 of 0% buffered notes due July 22, 2020 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

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, up to a maximum settlement amount of $1,180 per $1,000 principal amount.

Investors will receive par if the basket falls by up to 20% and will be exposed to any losses beyond 20%.

The guarantor is Goldman Sachs Group, Inc.

Goldman Sachs & Co. LLC is the agent.

Issuer:	GS Finance Corp.
Guarantor:	Goldman Sachs Group, Inc.
Issue:	Buffered notes
Underlying basket:	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:	$750,000
Maturity:	July 22, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus any basket gain, capped at 18%; par if basket declines by up to 20%; 1% loss per 1% decline beyond 20%
Initial levels:	2,635.96 for S&P 500, 3,069.35 for Stoxx, $41.35 for EM fund, 1,792.20 for S&P MidCap and 1,467.249 for Russell
Barrier levels:	90% of initial level
Pricing date:	Jan. 17
Settlement date:	Jan. 22
Agents:	Goldman Sachs & Co. LLC
Fees:	0.15%
Cusip:	40056ETN8

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