Goldman plans notes tied to Asian currency vs. dollar exchange rates

By Marisa Wong

Madison, Wis., May 9 - Goldman Sachs Group, Inc. plans to price 0% currency-linked notes tied to a basket of exchange rates, according to a 424B2 filing with the Securities and Exchange Commission.

The maturity date is expected to be between 24 and 26 months after the issue date.

The basket includes the Chinese renminbi with a 50% weight, the South Korean won with a 25% weight and the Singapore dollar with a 25% weight, all against the U.S. dollar.

If the basket return is greater than or equal to 15%, the payout at maturity will equal the maximum settlement amount of $1,195 to $1,225 that will be set at pricing.

If the basket return is positive but less than 15%, the payout will be par plus 1.3 to 1.5 times the basket return. The exact upside participation factor will be set at pricing.

If the basket return is zero or negative, investors will receive par plus the basket return.

Goldman, Sachs & Co. is the underwriter.

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