By Marisa Wong
Madison, Wis., June 22 - Goldman Sachs Group, Inc. priced $9.95 million of 0% currency-linked notes due Aug. 27, 2013 tied to the performance of an equally weighted basket of currencies relative to the U.S. dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Norwegian krone, Russian ruble and Canadian dollar.
If the basket appreciates relative to the U.S. dollar, the payout at maturity will be the greater of the threshold settlement amount - $1,170 per $1,000 principal amount of notes - and par plus 170% of the basket return.
If the basket depreciates relative to the U.S. dollar, the payout will be par if the basket decline is 20% or less. Investors will lose 1.25% for every 1% that the basket declines beyond 20%.
Goldman Sachs & Co. is the underwriter.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Currency-linked notes
|
| Underlying currencies: | Norwegian krone, Russian ruble and Canadian dollar; all relative to U.S. dollar
|
| Amount: | $9.95 million
|
| Maturity: | Aug. 27, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket appreciates, the greater of $1,170 and par plus 170% of basket return; if basket falls, par if decline is 20% or less and 1.25% loss for every 1% drop beyond 20%
|
| Initial exchange rates: | 5.484 for krone, 28.3 for ruble and 0.9892 for Canadian dollar
|
| Pricing date: | June 27
|
| Settlement date: | July 5
|
| Underwriter: | Goldman Sachs & Co.
|
| Fees: | 0.125%
|
| Cusip: | 38143UWF4
|
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