By Jennifer Chiou
New York, March 25 – Goldman Sachs Group, Inc. priced $410,000 of 0% currency-linked notes due April 6, 2016 tied to the Mexican peso relative to the euro, according to a 424B2 filing with the Securities and Exchange Commission.
The currency return will be positive if the final exchange rate is less than the initial exchange rate, which means it will take fewer pesos to purchase one euro at the final exchange rate, compared to the initial rate of 16.2463 pesos per euro.
If the currency return is greater than or equal to 5%, the payout at maturity will be par plus the maximum settlement amount of $1,212.50 per $1,000 principal amount of notes.
Investors will receive par plus 5% if the currency return is flat or finishes positive by up to 5%.
Investors will receive par if the currency return is negative by up to 10% and will share fully in losses if the currency return drops by more than 10%. There is a minimum payout of zero.
The final exchange rate will be the average of the exchange rates on the five trading days ending April 1, 2016.
Goldman Sachs & Co. is the underwriter. J.P. Morgan Securities LLC is the placement agent.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Currency-linked notes
|
| Underlying currency: | Mexican peso relative to euro
|
| Amount: | $410,000
|
| Maturity: | April 6, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If currency return is greater than or equal to 5%, par plus 21.25%; par plus 5% if currency return is flat or positive by up to 5%; par for losses up to 10% and full exposure to losses if the currency return drops by more than 10%; floor of zero
|
| Initial rate: | 16.2463
|
| Pricing date: | March 20
|
| Settlement date: | March 27
|
| Underwriter: | Goldman Sachs & Co.
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.1%
|
| Cusip: | 38147QXC5
|
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