Goldman Sachs to price underlier-linked notes linked to three indexes

By Angela McDaniels

Tacoma, Wash., Aug. 10 - Goldman Sachs Group, Inc. plans to price 0% underlier-linked notes due Sept. 8, 2011 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the Euro Stoxx 50 index with a 52% weight, the FTSE 100 index with a 24% weight and the Topix index with a 24% weight.

The payout at maturity will be par plus the sum of the weighted index returns.

If a basket index finishes above its initial level, its return will be double the gain, subject to a cap. If an index declines by 10% or less, its return will be 0%. If an index declines by more than 10%, its return will be 0% minus 1.1111% for every 1% decline beyond 10%.

The cap is 21.5% for the Euro Stoxx 50, 10% for the FTSE 100 and 6% for the Topix. Based on these caps, the maximum payment at maturity will be $1,150.20 per $1,000 principal amount of notes.

The notes (Cusip: 38143ULT6) will price Aug. 13 and settle Aug. 18.

Goldman, Sachs & Co. is the underwriter with J.P. Morgan Securities Inc. as co-agent.

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