Goldman plans two times leveraged buffered notes linked to indexes

By Susanna Moon

Chicago, Oct. 4 - Goldman Sachs Group, Inc. plans to price 0% leveraged buffered basket-linked notes due Oct. 24, 2012 tied to a basket of three indexes, each converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 53% weight, the FTSE 100 index with a 24% weight and the Topix with a 23% weight.

The related currencies are the euro for the Euro Stoxx, the pound for the FTSE 100 and the yen for the Topix.

The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the three basket indexes.

The component return for each basket index will be determined by the change in its level. If the ending index level is greater than the initial index level, the index return will be doubled, subject to a maximum return. If the ending index level declines from the initial level by up to 10%, the component return will be zero. If the index return is less than negative 10%, the component return will be 1.1111 times the decline in excess of 10%.

The maximum return will be 34.96% for the Euro Stoxx, 23.48% for the FTSE and 9.46% for the Topix.

The final level of each index will be the average of its converted levels on the five trading days ending Oct. 19, 2012.

Goldman Sachs & Co. is the underwriter, and JPMorgan is the placement agent.

The notes will price on Oct. 7 and settle on Oct. 13.

The Cusip number is 38143UF97.

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