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Published on 3/2/2011 in the Prospect News Structured Products Daily.

Goldman Sachs plans autocallable notes due 2013 tied to Russell 2000

By Susanna Moon

Chicago, March 2 - Goldman Sachs Group, Inc. plans to price 0% autocallable index-linked notes due Feb. 6, 2013 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a premium if the index closes at or above the initial index level on any of six call observation dates that will begin six to seven months after issue and thereafter spaced about six months apart.

The call premium will be 4.25% to 5% on the first call date, 8.5% to 10% on the second call date, 12.75% to 15% on the third call date, 17% to 20% on the fourth call date, 21.25% to 25% on the fifth call date and 25.5% to 30% on the final call date.

The payout at maturity will be par unless the index finishes below its initial level, in which case investors will be exposed to any losses.

Goldman Sachs & Co. is the underwriter.

The Cusip number is 38143USK8.


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