By Angela McDaniels
Tacoma, Wash., Aug. 5 - Goldman Sachs Group, Inc. priced $3.78 million of 0% buffered commodity index-linked notes due Sept. 24, 2013 linked to the S&P GSCI Enhanced Commodity Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus the index return if the index return is positive, subject to a maximum settlement amount of $1,290 per $1,000 principal amount of notes. Investors will receive par if the index declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.
The initial index level set by the issuer, 440.6, is higher than the actual closing level of the index on the trade date, which was 437.9426.
The index reflects the excess returns that are potentially available through an unleveraged investment in the same commodities that are included in the S&P GSCI index, calculated on a basis similar to the S&P GSCI index, but modified to apply certain dynamic and seasonal rolling rules as well as a modified roll schedule.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Buffered commodity index-linked notes
|
| Underlying index: | S&P GSCI Enhanced Commodity Index Excess Return
|
| Amount: | $3,775,000
|
| Maturity: | Sept. 24, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus any index gain, up to maximum return of 29%; par if index falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
|
| Initial index level: | 440.6
|
| Pricing date: | Aug. 3
|
| Settlement date: | Aug. 10
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 0.175%
|
| Cusip: | 38143UXN6
|
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