Goldman Sachs plans notes linked to S&P GSCI Energy Enhanced index

By Angela McDaniels

Tacoma, Wash., Nov. 6 - Goldman Sachs Group, Inc. plans to price 18-month 0% notes linked to the S&P GSCI Energy Enhanced Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.

The index reflects the excess returns that are potentially available through an unleveraged investment in the crude oil, RBOB gasoline, heating oil, gasoil and natural gas contracts that are included in the S&P GSCI index, calculated on a basis similar to the S&P GSCI index, but modified to apply certain dynamic and seasonal rolling rules, as well as a modified roll schedule.

The issue price is expected to be 100.4% to 101.4% of par and will be set at pricing.

The payout at maturity will be par plus the index return. If that index return is negative, the payout will be less than par.

Goldman Sachs & Co. is the underwriter.

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