By Angela McDaniels
Tacoma, Wash., Nov. 2 - Goldman Sachs Group, Inc. priced $44.55 million of 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 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 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 is $1,167.82 per $1,000 principal amount of notes. Goldman, Sachs & Co. is the underwriter with J.P. Morgan Securities LLC as co-agent.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Underlier-linked notes
|
| Underlying indexes: | Euro Stoxx 50 (51% weight), FTSE 100 (25% weight) and Topix (24% weight), each converted into dollars
|
| Amount: | $44,551,000
|
| Maturity: | Nov. 16, 2011
|
| Coupon: | 0%
|
| Price: | Variable
|
| Payout at maturity: | Par plus sum of weighted component return for each index
|
| Component return: | 200% of any positive return, capped at 24.7% for Euro Stoxx 50, 10.5% for FTSE 100 and 6.5% for Topix; zero if return is between zero and negative 10%; 0% minus 1.1111% for every 1% that return is less than negative 10%
|
| Initial index levels: | 3,954.251601 for Euro Stoxx 50; 9,073.445808 for FTSE 100; 10.067163 for Topix
|
| Initial exchange rates: | 1.3899 for euro; 1.5988 for pound; 800.55 for yen
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| Pricing date: | Oct. 29
|
| Settlement date: | Nov. 3
|
| Underwriter: | Goldman, Sachs & Co. with co-agent J.P. Morgan Securities LLC
|
| Fees: | 1.1%
|
| Cusip: | 38143UPA3
|
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