Goldman Sachs plans to price 0% notes linked to three indexes

By Angela McDaniels

Tacoma, Wash., Dec. 15 - Goldman Sachs Group, Inc. plans to price 0% underlier-linked notes due Jan. 14, 2011 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the Dow Jones Euro Stoxx 50 index with a 49% weight, the FTSE 100 index with a 23% weight and the Topix index with a 28% weight.

The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.

If an index's underlying return is positive or flat, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than zero but not less than negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%.

The cap is 25.1% for the Euro Stoxx 50, 10.9% for the FTSE 100 and 6% for the Topix. Based on these caps, the maximum payout at maturity is $1,164.86 per $1,000 principal amount of notes.

The notes will price Dec. 18 and settle Dec. 23.

Goldman, Sachs & Co. is the underwriter with J.P. Morgan Securities Inc. as co-agent.

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