By Susanna Moon
Chicago, Feb. 22 - Goldman Sachs Group, Inc. priced $5.78 million of 0% leveraged buffered basket-linked notes due Feb. 25, 2014 based on the performance of a basket containing an index and an exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the MSCI EAFE index with a 75% weight and the iShares MSCI Emerging Markets index fund with a 25% weight.
The payout at maturity will be par plus 1.5 times any basket gain, up to a maximum settlement amount of $1,550.50 per $1,000 principal amount.
Investors will receive par if the basket falls by up to 15% and will lose 1.1765% for every 1% decline beyond 15%.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Leveraged buffered index-linked notes
|
| Underlying basket: | MSCI EAFE index (75% weight) and iShares MSCI Emerging Markets index fund (25% weight)
|
| Amount: | $5.78 million
|
| Maturity: | Feb. 25, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 150% of any basket gain, capped at 55.05%; 1.1765% loss for each 1% drop beyond 15%
|
| Initial levels: | 1,753.83 for EAFE; $46.03 for EM
|
| Pricing date: | Feb. 17
|
| Settlement date: | Feb. 25
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 0.35%
|
| Cusip: | 38143URS2
|
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