Goldman Sachs plans currency-linked notes tied to exchange rates

By Jennifer Chiou

New York, Oct. 18 - Goldman Sachs Group, Inc. plans to price 0% currency-linked notes due in 18 to 21 months linked to equal weights of the Brazilian real, Mexican peso, Korean won and Indonesian rupiah relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket return is zero or positive, investors will receive the greater of the return and the threshold settlement amount, which is expected to be between 15% and 17%.

Investors will receive par for losses up to 15% and will share in losses at a rate of 1.1765% per 1% decline beyond the buffer.

Goldman Sachs & Co. is the underwriter.

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