Goldman plans leveraged buffered notes on S&P GSCI Ultra Light Energy

By Angela McDaniels

Tacoma, Wash., Aug. 1 - Goldman Sachs Group, Inc. plans to price 0% leveraged buffered medium-term notes linked to the S&P GSCI Ultra Light Energy Enhanced E96 Excess Return Strategy, according to a 424B2 filing with the Securities and Exchange Commission.

The tenor of the notes is expected to be 48 to 51 months.

If the strategy return is positive, the payout at maturity will be par plus 1.1 to 1.16 times the strategy return. Investors will receive par if the strategy return is zero or negative but not below negative 10% and will lose 1.1111% for every 1% that the strategy declines beyond 10%.

The exact maturity date and participation rate will be set at pricing.

The initial strategy level set for the notes may be higher or lower than the actual closing level of the strategy on the pricing date.

The strategy reflects the excess returns that are potentially available through an unleveraged investment in the same commodity contracts that are included in the S&P GSCI Ultra Light Energy Index Excess Return. The strategy is calculated on a basis similar to the index, but it is adjusted to apply certain dynamic and modified rolling rules to certain contracts in the index and to have a different roll period than the index.

Goldman Sachs & Co. is the underwriter.

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