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

By Angela McDaniels

Tacoma, Wash., Oct. 26 - Goldman Sachs Group, Inc. plans to price 0% underlier-linked notes due Nov. 16, 2011 linked to a basket of indexes, each converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the Euro Stoxx 50 index with a 51% weight, the FTSE 100 index with a 25% weight and the Topix index with a 24% weight.

The initial level and final level of each index will be converted from its underlying currency into dollars at the exchange rate then in effect. The underlying currency is the euro for the Euro Stoxx 50, the British pound for the FTSE 100 and the Japanese yen for the Topix.

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

If a basket index's underlying return is positive, its component return will be double the gain, subject to a cap. If an index's underlying return is between zero and negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% decline beyond 10%.

The cap is 24.7% for the Euro Stoxx 50, 10.5% for the FTSE 100 and 6.5% for the Topix. Based on these caps, the maximum payment at maturity will be $1,167.82 per $1,000 principal amount of notes.

The notes (Cusip 38143UPA3) will price Oct. 29 and settle Nov. 3.

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

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