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

By Jennifer Chiou

New York, June 11 - Goldman Sachs Group, Inc. plans to price 0% currency-linked notes due in one year tied to the performance of equal weights of the euro and the Japanese yen, both against the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket return is greater than or equal to 10%, the payout at maturity will be par plus the maximum settlement amount, which is expected to be at least $1,140 per $1,000 principal amount.

If the basket return is positive and less than 10%, investors will receive 1.4 times the gain, capped at the maximum settlement amount.

If the basket return is zero or negative, investors will receive par plus the basket return.

The exact terms will be set at pricing.

The notes are expected to settle on June 25.

Goldman, Sachs & Co. is the underwriter.

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