Goldman plans currency-linked notes on Mexican peso via JPMorgan

By Jennifer Chiou

New York, June 6 - Goldman Sachs Group, Inc. plans to price 0% currency-linked notes due June 23, 2014 tied to the Mexican peso relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

If the currency return is greater than or equal to 5%, the payout at maturity will be par plus the maximum settlement amount of 20.55%.

If the return is flat or positive, the payout will be par plus the greater of the currency return and 8.665%.

Investors will receive par plus 8.665% for losses of up to 10% and will be fully exposed to any losses beyond the buffer.

The notes (Cusip: 38147QBJ4) are expected to price on June 7 and settle on June 14.

Goldman Sachs & Co. will be the underwriter with JPMorgan as placement agent.

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