Goldman to price currency-linked notes tied to six exchange rates

By Jennifer Chiou

New York, Oct. 5 - Goldman Sachs Group, Inc. plans to price 0% currency-linked notes linked to an equally weighted basket of six currency exchange rates against the U.S. dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The basket currencies include the New Zealand dollar, Swedish krona, Russian ruble, Korean won, Malaysian ringgit and Chilean peso.

The notes will have a maturity of between 24 and 27 months after issue.

If the basket return is positive or flat, the payout at maturity will be the greater of the threshold settlement amount and par plus 1.5 times the basket return. The threshold settlement amount is expected to be between $1,300 and $1,350 and will be set at pricing.

Investors will receive par if the basket falls by 20% or less and will lose 1.25% for every 1% decline beyond 20%.

Goldman Sachs & Co. is the agent.

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