Goldman Sachs plans contingent coupon notes linked to three currencies

By Angela McDaniels

Tacoma, Wash., May 21 - Goldman Sachs Group, Inc. plans to price five-year contingent coupon notes linked to the performance of a basket of currencies relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes equal weights of the euro, the Japanese yen and the Swiss franc.

The issuer said that by purchasing the notes, investors are taking the view that the sum of the returns for the basket currencies will be positive. A currency return will be positive if it takes fewer dollars to purchase one unit of the relevant currency on a coupon observation date or determination date, as applicable, than on the pricing date.

Each year, the notes will pay a 1.5% coupon if the sum of the returns for the basket currencies on the coupon observation date for that year is positive or zero. If the sum is negative, no coupon will be paid that year.

If the basket return is positive, the payout at maturity will be par plus the basket return, subject up to a maximum payout of $2,015 (including the final coupon payment) per $1,000 principal amount of notes. If the basket return is zero, the payout will be $1,015 per $1,000 principal amount. If the basket return is negative, the payout will be par.

Goldman Sachs & Co. is the underwriter.

The Cusip number is 38147Q6M3.

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