By Marisa Wong
Madison, Wis., Nov. 15 - Goldman Sachs Group, Inc. priced $53.5 million of 0% leveraged buffered notes due Nov. 28, 2012 tied 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 55% weight, the FTSE 100 index with a 22% weight and the Topix index with a 23% 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 final level of each index will be the average of its converted levels on the five trading days ending on Nov. 23, 2012.
The payout at maturity will be par plus the sum of the weighted basket component returns.
If a basket component's final underlying level is greater than its initial underlying level, the component return will be double the index gain, subject to a return cap of 22.24%. If an underlying index declines by 10% or less, the component return will be 0%. If an underlying index declines by more than 10%, the component return will be 0% minus 1.111111% for every 1% decline beyond 10%.
Goldman Sachs & Co. is the underwriter, with J.P. Morgan Securities LLC as placement agent.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Leveraged buffered basket-linked notes
|
| Underlying indexes: | Euro Stoxx 50 (55% weight), FTSE 100 (22% weight) and Topix (23% weight)
|
| Amount: | $53,504,000
|
| Maturity: | Nov. 28, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted component returns
|
| Component return: | If index finishes above initial level, return is double the gain, subject to cap of 22.24%; if index declines by 10% or less, 0%; otherwise, 0% minus 1.111111% for every 1% drop beyond 10%
|
| Initial converted levels: | 3,193.126535 for Euro Stoxx 50; 8,916.416502 for FTSE 100; 9.460620 for Topix
|
| Initial exchange rates: | 1.3735 dollars per euro; 1.6079 dollars per pound; 1 dollar per 77.07 yen
|
| Pricing date: | Nov. 11
|
| Settlement date: | Nov. 16
|
| Underwriter: | Goldman Sachs & Co. with J.P. Morgan Securities LLC as placement agent
|
| Fees: | 1.1%
|
| Cusip: | 38143UZS3
|
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