Goldman Sachs plans currency-linked notes on euro, yen exchange rates

By Marisa Wong

Milwaukee, June 9 - Goldman Sachs Group, Inc. plans to price 0% currency-linked notes due June 20, 2011 tied to the performance of a basket of exchange rates, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes equal weights of the euro and the Japanese yen, both against the dollar.

The payout at maturity will be par plus 1.4 times any basket gain, up to the maximum settlement amount of at least $1,140 per $1,000 principal amount. The exact upside participation factor and cap will be set at pricing. If the basket return is zero or negative, investors will receive par plus the basket return.

The notes are expected to settle June 18.

Goldman, Sachs & Co. is the underwriter.

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