New Issue: Goldman Sachs prices $2.77 million buffered notes tied to index basket

By Marisa Wong

Madison, Wis., March 31 – Goldman Sachs Group, Inc. priced $2.77 million of 0% buffered notes due May 1, 2017 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 37% weight, FTSE 100 index with a 23% weight, Topix index with a 23% weight, Swiss Market index with a 9% weight and S&P/ASX 200 index with an 8% weight.

If the basket return is positive, the payout at maturity will be par plus the basket return, subject to a maximum settlement amount of $1,131 per $1,000 principal amount.

Investors will receive par if the basket declines by up to 20% and will lose 1.25% for each 1% decline in the basket beyond the 20% buffer.

Goldman Sachs & Co. is the underwriter.

Issuer:	Goldman Sachs Group, Inc.
Issue:	Buffered basket-linked notes
Underlying basket:	Euro Stoxx 50 index (37% weight), FTSE 100 index (23% weight), Topix index (23% weight), Swiss Market index (9% weight) and S&P/ASX 200 index (8% weight)
Amount:	$2.77 million
Maturity:	May 1, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus basket return, capped at 13.1%; par if basket falls by up to 20%; 1.25% loss for each 1% decline beyond 20%
Initial index levels:	3,669.79 for Euro Stoxx, 6,895.33 for FTSE 100, 1,568.82 for Topix, 9,082.51 for Swiss Market and 5,879.058 for S&P/ASX
Pricing date:	March 26
Settlement date:	April 2
Underwriter:	Goldman Sachs & Co.
Fees:	1.675%
Cusip:	38146U504

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