By Angela McDaniels
Tacoma, Wash., Aug. 30 - Goldman Sachs Group, Inc. priced $31.29 million of 0% leveraged buffered basket-linked notes due Sept. 12, 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 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 of 22%. 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 final level of each index will be the average of its converted levels on the five trading days ending on Sept. 7, 2012.
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 (53% weight), FTSE 100 (24% weight) and Topix (23% weight)
|
| Amount: | $31,294,000
|
| Maturity: | Sept. 12, 2012
|
| Coupon: | 0%
|
| Price: | Variable prices
|
| 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%; if index declines by 10% or less, 0%; otherwise, 0% minus 1.111111% for every 1% decline beyond 10%
|
| Initial converted levels: | 3,145.362318 for Euro Stoxx 50; 8,323.808192 for FTSE 100; 9.837616290417 for Topix
|
| Initial exchange rates: | 1.43595 dollars per euro; 1.62260 dollars per pound; 1 dollar per 76.855 yen
|
| Pricing date: | Aug. 26
|
| Settlement date: | Aug. 31
|
| Underwriter: | Goldman Sachs & Co. with J.P. Morgan Securities LLC as placement agent
|
| Fees: | 1.1%
|
| Cusip: | 38143UB83
|
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