Goldman Sachs plans leveraged buffered notes linked to index basket

By Toni Weeks

San Diego, April 5 - Goldman Sachs Group, Inc. plans to price 0% leveraged buffered basket-linked notes due April 25, 2012 linked to three 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 51% weight, the FTSE 100 index, with a 25% weight, and the Topix index, with a 24% weight.

The initial and final levels 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 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 9.77% for the Euro Stoxx 50, 6.5% for the FTSE 100 and 3.32% for the Topix.

The final level of each index will be the average of its converted levels on the five trading days ending April 20, 2012.

The maximum settlement amount is $1,148.09 per $1,000 principal amount.

The notes (Cusip: 38143UTT8) are expected to price April 8 and settle April 13.

J.P. Morgan Securities LLC is the lead agent with Goldman Sachs & Co. as co-agent.

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