Goldman plans notes on Enhanced A124 Strategy on S&P GSCI Brent Crude

By Marisa Wong

Madison, Wis., Oct. 26 - Goldman Sachs Group, Inc. plans to price 24- to 27-month 0% commodity strategy-linked notes linked to the Enhanced A124 Strategy on the S&P GSCI Brent Crude Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to price between 97.5 and 99.5.

The payout at maturity will be par plus the strategy return, with full exposure to losses.

The strategy reflects the excess returns that are potentially available through an unleveraged investment in the same commodity contract included in the S&P GSCI Brent Crude index. The strategy is also calculated on a basis similar to that of the index but is modified to apply certain rolling rules to the commodity contract.

Goldman, Sachs & Co. will be the agent.

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