Goldman plans notes with 85% trigger on basket of seven currencies

By Susanna Moon

Chicago, March 8 - Goldman Sachs Group, Inc. plans to price 0% notes linked to a basket of currencies relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the Mexican peso with a 16% weight, Indonesian rupiah with a 16% weight, Malaysian ringgit with a 16% weight, Chilean peso with a 16% weight, Indian rupee with a 16% weight, Brazilian real with a 10% weight, Korean won with a 10% weight, each relative to the dollar.

The notes will mature between 18 and 21 months after pricing.

If the basket finishes above its initial level, the payout at maturity will be par plus the greater of the minimum return of $1,100 to $1,130 and of any gain up to a maximum of $2,000 for each $1,000 principal amount.

Investors will receive par if the basket falls by up to 15% and will lose 1.1765% for each 1% decline beyond 10%.

Goldman Sachs & Co. is the underwriter.

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