Goldman Sachs plans notes based on basket of six currencies vs. dollar

By Susanna Moon

Chicago, July 22 - Goldman Sachs Group, Inc. plans to price 0% currency-linked notes based on the performance of a basket of six equally weighted currencies relative to the U.S. dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The underlying currencies are the Mexican peso, Australian dollar, Norwegian krone, Indian rupee, Singapore dollar and Malaysian ringgit.

The notes will mature between 25 and 27 months after issue.

The payout at maturity will be par plus any basket gain, up to a maximum settlement amount of $1,145 to $1,170 per $1,000 principal amount. The exact cap will be set at pricing.

Investors will receive par if the basket falls by up to 20% and will lose 1.25% for each 1% decline beyond 20%.

Goldman, Sachs & Co. is the underwriter.

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