By Marisa Wong
Madison, Wis., Dec. 23 - Goldman Sachs Group, Inc. priced $5.19 million of 0% leveraged buffered basket-linked notes due June 29, 2012 tied to a basket of 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 an 80% weight and the iShares MSCI Emerging Markets index fund with a 20% weight.
The payout at maturity will be par plus 1.5 times any basket gain, up to a maximum settlement amount of $1,240 per $1,000 principal amount.
Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
Goldman, Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Leveraged buffered basket-linked notes
|
| Underlying basket: | MSCI EAFE index (80% weight) and iShares MSCI Emerging Markets index fund (20% weight)
|
| Amount: | $5,185,000
|
| Maturity: | June 29, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 1.5 times any basket gain, capped at 24%; 1.1111% loss for each 1% drop beyond 10%
|
| Initial levels: | 1,647 for MSCI EAFE; $46.39 for iShares MSCI EM
|
| Pricing date: | Dec. 21
|
| Settlement date: | Dec. 29
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 0.15%
|
| Cusip: | 38146M627
|
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