Goldman Sachs plans leveraged buffered notes on indexes, currencies

By Toni Weeks

San Diego, May 1 - Goldman Sachs Group, Inc. plans to price 0% leveraged buffered basket-linked notes due May 21, 2013 linked to five indexes, each converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the Hang Seng China Enterprises index with a 21% weight, the Hang Seng index with a 25% weight, the Korea Composite Stock Price Index 200 with a 25% weight, the MSCI Singapore Free index with a 9% weight and the MSCI Taiwan index with a 20% weight.

The related currencies are the Hong Kong dollar for the Hang Seng China Enterprises and Hang Seng indexes, the South Korean won for the Kospi 200 index, the Taiwan dollar for the MSCI Taiwan index and the Singapore dollar for the MSCI Singapore Free index.

If the basket appreciates relative to the U.S. dollar, the payout at maturity will be par plus double the basket return, subject to a cap of 6.9%. Investors will receive par if the basket declines by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.

The maximum settlement amount is $1,138 per $1,000 principal amount.

The notes (Cusip: 38143U3N9) are expected to price May 4 and settle May 9.

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

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