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Published on 5/24/2011 in the Prospect News Structured Products Daily.

New Issue: Goldman prices $48.16 million notes on leveraged buffered index basket

By Jennifer Chiou

New York, May 24 - Goldman Sachs Group, Inc. priced $48.16 million of 0% leveraged buffered basket-linked notes due June 6, 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 53% weight, the FTSE 100 index with a 24% 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 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 1.111111% for every 1% decline beyond 10%.

The cap is 22.86% for the Euro Stoxx 50, 12.5% for the FTSE 100 and 7% for the Topix.

The final level of each index will be the average of its converted levels on the five trading days ending on June 1, 2012.

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

Issuer:Goldman Sachs Group, Inc.
Issue:Leveraged buffered basket-linked notes
Underlying indexes:Euro Stoxx 50 (53% weight), FTSE 100 (24% weight) and Topix (23% weight)
Amount:$48.16 million
Maturity:June 6, 2012
Coupon:0%
Price:Par
Payout at maturity:Par plus sum of weighted index returns
Index return:If index finishes above initial level, double the gain, subject to cap of 22.86% for Euro Stoxx, 12.5% for FTSE 100 and 7% for Topix; if index declines by 10% or less, 0%; otherwise, 0% minus 1.111111% for every 1% decline beyond 10%
Initial converted levels:4,039.095195 for Euro Stoxx 50; 9,633.579555 for FTSE 100; 10.138649 for Topix
Initial exchange rates:1.41525 dollars per euro; 1.6195 dollars per pound; 1 dollar per 81.645 yen
Pricing date:May 20
Settlement date:May 25
Agents:J.P. Morgan Securities LLC (lead) and Goldman Sachs & Co. (co-agent)
Fees:1.1%
Cusip:38143UUX7

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