Goldman Sachs to price 0% notes linked to eight currencies versus euro

By Angela McDaniels

Tacoma, Wash., May 15 - Goldman Sachs Group, Inc. plans to price 0% medium-term notes, series B, linked to the performance of a basket of currencies versus the euro, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will mature 24 to 27 months after issue.

The basket includes equal weights of the Australian dollar, Brazilian real, Indian rupee, Malaysian ringgit, Mexican peso, Norwegian krone, Russian ruble and Singapore dollar.

If the basket does not appreciate relative to the euro by 2% or more, the payout at maturity will be par.

If the basket appreciates by at least 2% but the product of the basket gain multiplied by the participation rate - expected to be 140% to 160% - is less than the step-up percentage, the payout will be par plus the step-up percentage, which is expected to be 14% to 16% and will be set at pricing.

If the product of the basket appreciation multiplied by the participation rate is greater than or equal to the step-up percentage, the payout will be par plus the basket appreciation multiplied by the participation rate.

Goldman, Sachs & Co. will be the underwriter.

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