Goldman Sachs plans 0% notes tied to currency basket versus dollar

By Jennifer Chiou

New York, June 30 - Goldman Sachs Group, Inc. plans to price 24- to 27-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.

The payout at maturity will be par plus any basket gain, up to a maximum return of 15% to 18%. 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 every 1% decline beyond 20%.

Goldman, Sachs & Co. is the agent.

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