By Angela McDaniels
Tacoma, Wash., Sept. 28 - Goldman Sachs Group, Inc. priced $11.57 million of 0% underlier-linked notes due Oct. 13, 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 20.9% for the Euro Stoxx 50, 9% for the FTSE 100 and 5% for the Topix. Based on these caps, the maximum payout at maturity is $1,142.28 per $1,000 principal amount.
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 (52% weight), FTSE 100 (24% weight) and Topix (24% weight)
|
| Amount: | $11,574,000
|
| Maturity: | Oct. 13, 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 20.9% for Euro Stoxx 50, 9% for FTSE 100 and 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: | 2,792.75 for Euro Stoxx 50; 5,598.48 for FTSE 100; 838.41 for Topix
|
| Final levels: | For each index, the average of its levels on the five trading days ending Oct. 7, 2011
|
| Pricing date: | Sept. 24
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| Settlement date: | Sept. 29
|
| Underwriter: | Goldman, Sachs & Co. with co-agent J.P. Morgan Securities LLC
|
| Fees: | 1.1%
|
| Cusip: | 38143UNB3
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