By Marisa Wong
Madison, Wis., April 24 - Goldman Sachs Group, Inc. priced $20.61 million of 0% leveraged buffered basket-linked notes due May 7, 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 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 initial level of each index was 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 2, 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 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 18.7%. 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%.
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 index (55% weight), Topix index (23% weight) and FTSE 100 index (22% weight)
|
| Amount: | $20,606,000
|
| Maturity: | May 7, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted index returns; if index's final level is greater than initial level, its return will be double the gain, capped at 18.7%; if index declines by 10% or less, its return will be 0%; if index declines by more than 10%, its return will be 0% minus 1.111111% for every 1% drop beyond 10%
|
| Initial converted levels: | 3,052.725416 for Euro Stoxx, 9,302.685548 for FTSE, 9.949635 for Topix
|
| Final level: | Average of converted levels for five trading days ending May 2, 2013
|
| Pricing date: | April 20
|
| Settlement date: | April 25
|
| Underwriter: | Goldman Sachs & Co. with J.P. Morgan Securities LLC as dealer
|
| Fees: | 1.1%
|
| Cusip: | 38143U2L4
|
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