Goldman Sachs to price 0% notes linked to S&P Diversified Trends Indicator for Svensk

By Angela McDaniels

Seattle, May 1 - Goldman, Sachs & Co. plans to price an offering of total return notes due May 23, 2008 linked to the Standard & Poor's Diversified Trends Indicator - Total Return for issuer AB Svensk Exportkredit, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to price on May 2 and settle on May 16.

Interest will equal Libor minus a to-be-determined spread, with a floor of zero. Interest will be paid and reset quarterly.

The payout at maturity will be par plus triple any positive or negative return on the index, minus the final Treasury bill amount and minus a 1.5% annual fee. The final Treasury bill amount will equal the sum of the auction high rate of the three-month U.S. Treasury bill for each day during the life of the notes.

The notes will be putable at any time, and the redemption amount will be calculated in the same way as the payout at maturity.

If the index falls by 15% or more, the notes will be called and the redemption amount will be calculated using the closing value of the index on the day prior to the call.

Goldman Sachs will receive an underwriting discount of 0.25%.

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