By Angela McDaniels
Tacoma, Wash., Jan. 24 - Goldman Sachs Group, Inc. priced $6.88 million of 0% autocallable index-linked notes due Feb. 2, 2012 linked to the S&P MidCap 400 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index closes at or above 107% of the initial index level on any call observation date, the notes will be called and investors will receive 107% of par. The call observation dates are every other Monday, beginning on March 14.
If the notes are not called and the index closes below the initial level by more than 24% on any day during the life of the notes, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, the payout will be par plus the index return, subject to a floor of par.
The final valuation date is also a call observation date. As a result, the return on the notes is capped at 7%.
Goldman Sachs & Co. is the underwriter with J.P. Morgan Securities LLC as co-agent.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Autocallable index-linked notes
|
| Underlying index: | S&P MidCap 400 index
|
| Amount: | $6,875,000
|
| Maturity: | Feb. 2, 2012
|
| Coupon: | 0%
|
| Price: | Variable prices
|
| Payout at maturity: | Par plus index return if index closes below initial level by more than 24% during life of notes; otherwise, par plus index return with floor of par
|
| Call: | Automatically if index closes at or above 107% of initial level on any of the call observation dates, which are every other Monday beginning March 14
|
| Initial index level: | 916.74
|
| Pricing date: | Jan. 20
|
| Settlement date: | Jan. 25
|
| Underwriter: | Goldman Sachs & Co. with co-agent J.P. Morgan Securities LLC
|
| Fees: | 1.1%
|
| Cusip: | 38143UQW4
|
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