Goldman Sachs to price notes linked to S&P 500, Russell 2000, FTSE 100, Euro Stoxx 50, Topix

By Jennifer Chiou

New York, Feb. 15 - The Goldman Sachs Group Inc. is planning to price an issue of 0% notes due 2008 linked to a basket of indexes, according to a 424B3 filing with the Securities and Exchange Commission.

The underlying indexes are the S&P 500 with a 58.34% weight, Russell 2000 with an 8.33% weight, FTSE 100 with a 10% weight, Euro Stoxx 50 with a 13.33% weight and Topix with a 10% weight.

Payout at maturity will be based on the basket value on the determination date.

If the basket value rises, investors will receive par plus the percentage increase in the basket.

If the basket value return is less than or equal to 0% but greater than the downside threshold, expected to be between negative 12% and negative 14%, investors will receive par.

If the basket value declines beyond the downside threshold level, investors will receive par minus losses beyond the downside buffer multiplied by a factor of 100% divided by the downside buffer. The downside buffer is expected to be between 86% and 88%, with the exact level to be determined on the pricing date.

Goldman, Sachs & Co. will be the agency.

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