Goldman Sachs plans currency-linked notes tied to Mexican peso vs. yen

By Toni Weeks

San Luis Obispo, Calif., June 6 - Goldman Sachs Group, Inc. plans to price 0% currency-linked notes due June 23, 2014 linked to the Mexican peso against the Japanese yen, according to a 424B2 filing with the Securities and Exchange Commission.

The exchange rate is expressed as the peso value of one yen and is derived by dividing the peso per dollar exchange rate by the yen per dollar exchange rate.

If the currency return is greater than or equal to negative 10%, the payout at maturity will be par plus the greater of the currency return and 10.825%, subject to a maximum payment of $2,000 per $1,000 principal amount of notes.

Otherwise, investors will be fully exposed to losses.

Goldman Sachs & Co. is the underwriter with J.P. Morgan Securities LLC as placement agent.

The notes (Cusip: 38147QBN5) are expected to price June 7 and settle June 14.

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