Goldman Sachs to price 0% notes linked to currency basket vs. dollar

By Jennifer Chiou

New York, June 30 - Goldman Sachs Group, Inc. plans to price 26- to 28-month 0% currency-linked notes 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 greater than the to-be-determined threshold return of 2% to 3%, the payout at maturity will be par plus the threshold settlement amount of 12%.

Investors will receive 97% of par if the basket level ends at less than the threshold return.

Goldman, Sachs & Co. is the agent.

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