Goldman plans six-month range accrual notes tied to Canadian dollar

By Jennifer Chiou

New York, Aug. 31 - Goldman Sachs Group, Inc. plans to price 0% range accrual notes linked to the performance of the Canadian dollar against the U.S. dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The tenor of the notes is expected to be six months.

If the final exchange rate is less than the lower rate limit - 0.99 Canadian dollars per U.S. dollar - the notional payment for each $1,000 principal amount of notes will equal the greater of $800 and the difference of $950 minus the product of (a) $1,000 times (b) 150% times (c) the quotient of the lower rate limit minus the final exchange rate divided by the final exchange rate.

If the final exchange rate is greater than the upper rate limit - 1.10 Canadian dollars per U.S. dollar - the notional payment for each $1,000 principal amount of notes will equal the greater of $800 and the difference of $950 minus the product of (a) $1,000 times (b) 150% times (c) the quotient of the final exchange rate minus the upper rate limit divided by the final exchange rate.

Otherwise, the payment will equal $950 per $1,000 principal amount.

The supplemental amount will equal par times 11% multiplied by the proportion of trading days on which the exchange rate is between 0.99 and 1.10.

The payout at maturity will equal the notional amount plus, if any, the supplemental amount. The maximum settlement amount is expected to be $1,060 per $1,000 principal amount.

The exact deal terms for the notes (Cusip: 38143UMM0) will be set at pricing.

Goldman, Sachs & Co. is the underwriter.

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