By Susanna Moon
Chicago, March 30 - Goldman Sachs Group, Inc. priced $35.4 million of 0% autocallable index-linked notes due June 24, 2011 based on the S&P MidCap 400 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at $1,070 per $1,000 principal amount if the index gains by 7% or more on any observation day, which will be Wednesday of each week.
If the index remains at or above the knock-out trigger - 80% of the initial level - throughout the life of the notes, the payout at maturity will be par plus any gain.
If the index falls by more than 20% on any trading day, the payout at maturity will be par plus the index return with exposure to losses.
Goldman, Sachs & Co. is the underwriter with J.P. Morgan Securities Inc. as co-agent.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Autocallable index-linked notes
|
| Underlying index: | S&P MidCap 400
|
| Amount: | $35,402,000
|
| Maturity: | June 24, 2011
|
| Coupon: | 0%
|
| Price: | Variable
|
| Payout at maturity: | Par plus index return if index ever falls by more than 20%; otherwise, par plus any index gain
|
| Call: | At par plus 7% if index closes at or above 107% of initial index level on Wednesday of any week
|
| Initial index level: | 787.02
|
| Pricing date: | March 26
|
| Settlement date: | March 31
|
| Underwriter: | Goldman, Sachs & Co. with J.P. Morgan Securities Inc. as co-agent
|
| Fees: | 1.01%
|
| Cusip: | 38143UHE4
|
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