By Jennifer Chiou
New York, Feb. 7 - Goldman Sachs Group, Inc. priced $37,681,000 of 0% leveraged buffered basket-linked notes due Feb. 21, 2013 linked 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 55% weight, the FTSE 100 index with a 22% weight and the Topix index with a 23% weight.
On the pricing date and on each of the five averaging dates, the 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. For each index, its final level will be the average of its converted levels on the averaging dates, which are the five trading days ending Feb. 15, 2013.
The payout at maturity will be par plus the sum of the weighted index returns.
If a basket index's final level is greater than its initial level, its return will be double the gain, subject to a 20% 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%.
Goldman Sachs & Co. is the underwriter with J.P. Morgan Securities LLC as dealer.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Leveraged buffered basket-linked notes
|
| Underlying indexes: | Euro Stoxx 50 (55% weight), FTSE 100 (22% weight), Topix (23% weight)
|
| Amount: | $37,681,000
|
| Maturity: | Feb. 21, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of the weighted index returns; if a basket index's final level is greater than its initial level, return will be double the gain, subject to a 20% cap; zero if index falls up to 10%; 1.1111% loss for every 1% decline in the index beyond 10%
|
| Pricing date: | Feb. 3
|
| Settlement date: | Feb. 8
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 1.1%
|
| Cusip: | 38143UQ46
|
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