Goldman Sachs plans floating-rate total return index-linked notes linked to S&P Diversified Trends

By Jennifer Chiou

New York, Feb. 7 - Goldman Sachs Group Inc. plans to price floating-rate total return index-linked notes due 2009 linked to the S&P Diversified Trends Indicator Total Return Modified, according to a 424B2 filing with the Securities and Exchange Commission.

The index is a modified version of the S&P Diversified Trends Indicator Total Return, which is an index of futures contracts on physical commodities and financial instruments.

Interest will be equal to Libor minus an amount to be determined and will be quarterly.

The notes will automatically be redeemed in whole if the index closes at or below 85% of the initial level.

The payout at maturity will be par plus the triple absolute value of the index return, minus triple the realized Treasury bill amount, minus the final fee of 1.5% per year.

Goldman, Sachs & Co. is will be the underwriter.

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