By Susanna Moon
Chicago, Jan. 10 - Goldman Sachs Group, Inc. priced $22.86 million of 0% leveraged buffered basket-linked notes due Jan. 24, 2013 tied to three indexes, each converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 22% 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, up to a 22% cap.
If an index falls by up to 10%, 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%.
Goldman Sachs & Co. is the underwriter, and JPMorgan is the placement agent.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Leveraged buffered index basket-linked notes
|
| Underlying basket: | Euro Stoxx 50 index (55% weight), the FTSE 100 index (22% weight) and the Topix index (23% weight)
|
| Amount: | $22,858,000
|
| Maturity: | Jan. 24, 2013
|
| Coupon: | 0%
|
| Price: | Variable
|
| Payout at maturity: | Par plus the sum of weighted index returns: If a basket index finishes above its initial level, its return will be double the gain, up to a 22% cap. If an index falls by up to 10%, 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%
|
| Initial converted levels: | 1.27140 dollars per euro; 1.54075 dollars per pound; 1 dollar per 77.115 yen
|
| Pricing date: | Jan. 6
|
| Settlement date: | Jan. 11
|
| Underwriter: | Goldman Sachs & Co., JPMorgan (placement agent)
|
| Fees: | 1.1%
|
| Cusip: | 38143UM40
|
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