Goldman Sachs plans notes linked to leveraged buffered index basket

By Jennifer Chiou

New York, June 1 - Goldman Sachs Group, Inc. plans to price 0% leveraged buffered basket-linked notes due June 20, 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 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 1.1111% for every 1% decline beyond 10%.

The cap is 21% for the Euro Stoxx 50, 12% for the FTSE 100 and 7% for the Topix.

The notes (Cusip: 38143UUX7) are expected to price on June 3 with settlement on June 8.

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

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