Goldman plans currency-linked notes tied to four exchange rates

By Toni Weeks

San Diego, Sept. 24 - Goldman Sachs Group, Inc. plans to price 0% currency-linked notes tied to a basket of four equally weighted currency exchange rates relative to the U.S. dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to mature in 17 to 19 months.

The basket currencies include the Brazilian real, Mexican peso, Korean won and Indonesian rupiah.

If the basket return is zero or positive, the payout at maturity will be the greater of the threshold settlement amount and par plus the basket return. The threshold settlement amount is expected to be between $1,150 and $1,170 per $1,000 principal amount of notes and will be set at pricing.

Investors will receive par if the basket falls by up to 15% and will lose 1.1765% for every 1% basket decline beyond 15%.

Goldman Sachs & Co. is the underwriter.

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