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Published on 5/6/2011 in the Prospect News Structured Products Daily.

New Issue: Goldman prices $8.04 million autocallable notes tied to S&P MidCap 400

By Susanna Moon

Chicago, May 6 - Goldman Sachs Group, Inc. priced $8.04 million of 0% autocallable index-linked notes due May 21, 2012 linked to the S&P MidCap 400 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a premium of 4% if the index closes at or above 104% of the initial index level on any call observation date, which will be on every other Wednesday beginning June 15.

The payout at maturity will be par unless the index ever falls by more than 25%, in which case investors will be exposed to any losses.

Goldman Sachs & Co. is the underwriter.

Issuer:Goldman Sachs Group, Inc.
Issue:Autocallable index-linked notes
Underlying index:S&P MidCap 400 index
Amount:$8,044,000
Maturity:May 21, 2012
Coupon:0%
Price:Par
Payout at maturity:Par unless the index finishes below its initial level, in which case investors will be exposed to any losses
Call:At par plus 4% if index closes at or above 104% of the initial index level on any call observation date, which will be on every other Wednesday beginning June 15
Initial index level:990.28
Pricing date:May 4
Settlement date:May 9
Underwriter:Goldman, Sachs & Co.
Fees:1.1%
Cusip:38143UUM1

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