By Marisa Wong
Madison, Wis., Aug. 17 - Goldman Sachs Group, Inc. priced $16.5 million of 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 1.111111% 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 payout at maturity is $1,150.20 per $1,000 principal amount.
The final level of each index will equal the average of the closing levels for the index on the five consecutive trading days ending Sept. 5, 2011.
Goldman, Sachs & Co. is the underwriter with J.P. Morgan Securities Inc. as placement agent.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Underlier-linked notes
|
| Underlying indexes: | Euro Stoxx 50 (52% weight), FTSE 100 (24% weight) and Topix (24% weight)
|
| Amount: | $16,501,000
|
| Maturity: | Sept. 8, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted component returns
|
| Component return: | 200% of any positive return, capped at 21.5% for Euro Stoxx 50, 10% for FTSE 100 and 6% for Topix; zero if return is between zero and negative 10%; 0% minus 1.111111% for every 1% that return is less than negative 10%
|
| Initial levels: | 2,708.73 for Euro Stoxx 50; 5,275.44 for FTSE 100; 831.24 for Topix
|
| Final levels: | For each index, the average of its levels on the five trading days ending Sept. 5, 2011
|
| Pricing date: | Aug. 13
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| Settlement date: | Aug. 18
|
| Underwriter: | Goldman, Sachs & Co. with placement agent J.P. Morgan Securities Inc.
|
| Fees: | 1.1%
|
| Cusip: | 38143ULT6
|
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