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Published on 9/2/2011 in the Prospect News Structured Products Daily.

New Issue: Goldman Sachs prices $14.81 million leveraged buffered index-linked notes on MSCI EAFE

By Toni Weeks

San Diego, Sept. 2 - Goldman Sachs Group, Inc. priced $14.81 million of 0% leveraged buffered index-linked notes due Sept. 9, 2013 tied to the MSCI EAFE index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par plus 150% of the index gain, subject to a maximum return of $1,331.50 per $1,000 note.

Investors will receive par if the index falls by up to 25% and will share in losses at a rate of 1.3333% per 1% drop beyond 25%.

The initial index level is higher than the actual closing level of 1,523.58 on the pricing date.

Goldman, Sachs & Co. is the underwriter.

Issuer:Goldman Sachs Group, Inc.
Issue:Leveraged buffered index-linked notes
Underlying index:MSCI EAFE
Amount:$14,814,000
Maturity:Sept. 9, 2013
Coupon:0%
Price:Par
Payout at maturity:If index return is positive, par plus 150% of index gain, capped at $1,331.50 per note; par if index falls by up to 25%; 1.3333% loss for every 1% decline beyond 25%
Initial level:1,528.12
Pricing date:Aug. 31
Settlement date:Sept. 8
Underwriter:Goldman Sachs & Co.
Fees:0.175%
Cusip:38146R139

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