Goldman Sachs to price notes linked to five currencies versus dollar

By Angela McDaniels

Tacoma, Wash., June 7 - Goldman Sachs Group, Inc. plans to price 0% currency-linked notes linked to the performance of a basket of currencies relative to the U.S. dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The tenor of the notes will be 27 to 30 months.

The basket includes the Chinese renminbi, the Korean won, the Singapore dollar, the Malaysian ringgit and the Philippine peso, equally weighted.

If the basket appreciates relative to the U.S. dollar, the payout at maturity will be par plus 140% to 160% of the basket return. The exact participation rate will be set at pricing.

If the basket depreciates relative to the U.S. dollar, the payout will be par if the basket decline is 10% or less. Investors will lose 1.1111% for every 1% that the basket declines beyond 10%.

Goldman Sachs & Co. is the underwriter.

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