By Angela McDaniels
Tacoma, Wash., Oct. 12 - Goldman Sachs Group, Inc. priced $20.32 million of 0% leveraged buffered basket-linked notes due Oct. 24, 2012 linked to a basket of indexes converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Euro Stoxx 50 index with a 53% weight, the FTSE 100 index with a 24% weight and the Topix index with a 23% weight.
The initial level of each index was converted into dollars from its underlying currency, which is the euro for the Euro Stoxx 50, the British pound sterling for the FTSE 100 and the Japanese yen for the Topix index.
The final level of each index will be the average of its converted closing levels on the five trading days ending Oct. 19, 2012.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of the basket indexes.
If an index's final level is greater than its initial level, its component return will be double the underlying return, subject to a maximum return of 34.96% for the Euro Stoxx 50, 23.48% for the FTSE 100 and 9.46% for the Topix. If the index's level declines by up to 10%, its component return will be zero. If the index's level declines by more than 10%, its component return will be 1.1111 times the sum of the index return plus 10%.
Due to the maximum returns, the maximum payout at maturity is $1,263.398 per $1,000 principal amount of notes.
Goldman Sachs & Co. is the underwriter with J.P. Morgan Securities LLC as dealer.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Leveraged buffered basket-linked notes
|
| Underlying indexes: | Euro Stoxx 50 index (53% weight), FTSE 100 index (24% weight) and Topix index (23% weight)
|
| Amount: | $20,316,000
|
| Maturity: | Oct. 24, 2012
|
| Coupon: | 0%
|
| Price: | Variable prices
|
| Payout at maturity: | Par plus basket return, which will equal sum of weighted component returns of basket indexes
|
| Component return: | If index's final level is greater than initial level, 200% of underlying return, subject to cap of 34.96% for Euro Stoxx 50, 23.48% for FTSE 100 and 9.46% for Topix; zero if index's level declines by up to 10%; 1.1111 times sum of index return plus 10% if index's level declines by more than 10%
|
| Initial converted levels: | 3,061.591148 for Euro Stoxx 50; 8,282.31978 for FTSE 100; 9.660630537 for Topix
|
| Final levels: | For each index, average of its converted closing levels on five trading days ending Oct. 19, 2012
|
| Initial exchange rates: | 1.3492 dollars per euro; 1.5617 dollars per pound; 1 dollar per 76.76 yen
|
| Pricing date: | Oct. 7
|
| Settlement date: | Oct. 13
|
| Underwriter: | Goldman Sachs & Co. with J.P. Morgan Securities LLC as dealer
|
| Fees: | 1.1%
|
| Cusip: | 38143UF97
|
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