Goldman Sachs plans 0% notes linked to S&P GSCI Ultra-Light Energy Enhanced Strategy

By Susanna Moon

Chicago, June 11 - Goldman Sachs Group, Inc. plans to price 0% notes linked to the S&P GSCI Ultra-Light Energy Enhanced Strategy Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature 24 months after issue.

The strategy reflects the excess returns potentially available through an unleveraged investment in the S&P GSCI Ultra-Light Energy index. The index includes the same commodity contracts included in the S&P GSCI index, with the weights of contracts of energy-related commodities reduced to one-eighth of their original weights and the weights of all other contracts increased proportionately.

Payout at maturity will be par plus 125% of any index gain, up to a maximum payout of between 126% and 130% of par. The exact cap will be set at pricing.

If the strategy falls by up to 10%, the payout will be par. Investors will lose 1.1111% for each 1% decline beyond 10%.

Goldman, Sachs & Co. is the underwriter.

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