Goldman Sachs plans contingent coupon notes linked to five currencies

By Toni Weeks

San Luis Obispo, Calif., Sept. 12 – Goldman Sachs Group, Inc. plans to price 60- to 63-month contingent coupon notes linked to the performance of a basket of five currencies relative to the euro, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes equal weights of the Canadian dollar, Mexican peso, U.S. dollar, British pound and Norwegian krone.

The issuer said that by purchasing the notes, investors are taking the view that the sum of the returns for the basket currencies will be positive. A currency return will be positive if it takes fewer units of the relevant foreign currency to purchase one euro than on the pricing date.

Each year, the notes will pay an 8.25% to 9.25% coupon if the sum of the returns for the basket currencies on the coupon observation date for that year is positive or zero. If the sum is negative, no coupon will be paid that year. The exact coupon will be set at pricing.

If the basket return is zero or positive, the payout at maturity will be par plus the basket return, subject to a maximum payout of $2,000 per $1,000 principal amount of notes. If the basket return is negative, the payout will be par plus the basket return, with a minimum payout of $900 per $1,000 of notes.

For purposes of calculating the coupon, the applicable coupon exchange rate will be the average of the exchange rates on the five trading days ending on the applicable coupon observation date. Likewise, for purposes of determining the payout at maturity, the final exchange rate will be the average of the exchange rates on the five trading dates ending on the final determination date.

Goldman Sachs & Co. is the underwriter.

The notes will price in September.

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