Goldman Sachs plans to price notes tied to leveraged buffered indexes

By Marisa Wong

Madison, Wis., April 24 - Goldman Sachs Group, Inc. plans to price 0% leveraged buffered basket-linked notes due May 15, 2013 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 55% weight, the Topix index with a 23% weight and the FTSE 100 index with a 22% weight.

The initial level of each index will be converted from its underlying currency into dollars at the exchange rate in effect on the pricing date. On each of the five trading days ending May 10, 2013, the indexes will be converted at the exchange rate then in effect. The average of these five converted levels will be the index's final level.

The underlying currency is the euro for the Euro Stoxx 50, the Japanese yen for the Topix and the British pound for the FTSE 100.

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 cap of 20.2%. 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 notes (Cusip: 38143U2Y6) are expected to price April 27 and settle May 2.

Goldman Sachs & Co. is the underwriter with J.P. Morgan Securities LLC as placement agent.

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