Goldman Sachs plans to price 0% notes linked to five-currency basket

By Jennifer Chiou

New York, Aug. 7 - Goldman Sachs Group, Inc. plans to price 18- to 21-month 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 Australian dollar, Brazilian real, Chinese renminbi, Indian rupee and Norwegian krone.

If the basket appreciates relative to the dollar, the payout at maturity will be par plus 1.65 to 1.75 times the gain. The exact upside participation factor will be set at pricing.

If the basket depreciates relative to the dollar, investors will share in losses up to 20%, with a floor of 80% of par.

Goldman, Sachs & Co. is the underwriter.

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