New Issue: Goldman Sachs prices $5.87 million of 0% notes linked to currency basket vs. dollar

By Jennifer Chiou

New York, July 7 - Goldman Sachs Group, Inc. priced $5.87 million of 0% currency-linked notes due July 12, 2012 tied to the performance of a basket of currencies against the U.S. dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The equally weighted basket includes the Mexican peso, Australian dollar, Norwegian krone, Indian rupee, Singapore dollar and the Malaysian ringgit.

If the basket return is zero or positive, the payout at maturity will be the greater of par plus the threshold settlement amount of 17.5% and the basket return.

Investors will receive par for losses up to 20% and will share in losses at a rate of 1.25% per 1% decline beyond 20%.

Goldman, Sachs & Co. is the agent.

Issuer:	Goldman Sachs Group, Inc.
Issue:	Currency-linked notes
Underlying currencies:	Mexican peso, Australian dollar, Norwegian krone, Indian rupee, Singapore dollar and Malaysian ringgit, equally weighted against the U.S. dollar
Amount:	$5,868,000
Maturity:	July 12, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	If basket remains flat or appreciates relative to U.S. dollar, par plus greater of basket gain and 17.5%; par if basket depreciates by 20% or less; 1.25% loss for every 1% decline beyond 20%
Initial exchange rates:	13.0550 for peso; 1.1827 for Australian dollar; 6.4180 for krone; 46.8500 for rupee; 1.3915 for Singapore dollar; 3.2230 for ringgit
Pricing date:	July 2
Settlement date:	July 12
Underwriter:	Goldman, Sachs & Co.
Fees:	0.1%
Cusip:	38143UKV2

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