Goldman to price notes due 2012 linked to leveraged buffered indexes

By Jennifer Chiou

New York, June 14 - Goldman Sachs Group, Inc. plans to price 0% leveraged buffered basket-linked notes due 2012 tied to a basket of indexes and their related currencies, each converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.

The components are 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 related currencies are the euro for the Euro Stoxx, the pound for the FTSE 100 and the yen for the Topix.

The basket return will equal the sum of the weighted component returns for the three basket components.

The component return for each basket index will be determined by the change in index level. If the ending index level is greater than the initial index level, the index return will be doubled, subject to the maximum return set at pricing. If the ending and initial index levels are equal or the index loses up to 10%, the component return will be zero. If the index return is less than negative 10%, every 1% that is less than negative 10% will be multiplied by 1.1111.

The maximum return will not be less than 21.2% for the Euro Stoxx, 15.12% for the FTSE 100 and 5.3% for the Topix.

The ending basket return will be the average of the basket return on five consecutive averaging dates ending June 29, 2012.

The notes (Cusip: 38143UVY4) are expected to price on June 17 and settle on June 22.

JPMorgan is the lead agent with Goldman Sachs & Co. as co-agent.

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