Goldman prices $2.66 million dollar vs. euro notes; Deutsche Bank plans peso vs. euro offering

By Sheri Kasprzak

New York, Oct. 15 – A small wave of new current deals linked against the euro has cropped up as volatility in the Eurozone picks up.

Goldman Sachs Group, Inc. priced on Wednesday $2.66 million of zero-coupon leveraged notes linked to the performance of the dollar relative to the euro.

Additionally, Deutsche Bank AG, London Branch said Wednesday that it will offer zero-coupon step-up digital return notes linked to the performance of the Mexican peso relative to the euro.

On Friday, Goldman priced $20.74 million of zero-coupon notes also linked to the dollar versus the euro.

Friday’s notes are due Dec. 14, 2015 and pay par plus the currency return if the final exchange rate is lower than the initial exchange rate. The notes do not offer principal protection so investors can receive less than par at maturity if the currency return is negative.

All of these deals come at a time when Europe is facing an economic crisis. Factory orders out of Germany were down, and the country, which is Europe’s industrial powerhouse, has cut its economic growth predictions for both 2014 and 2015.

Dollar must appreciate

In Wednesday’s Goldman offering, the bookrunner priced $2.66 million of notes. The currency return will be positive if the dollar appreciates relative to the euro.

If the currency return is positive or zero, the payout at maturity will be par plus 4.14 times the currency return, subject to a maximum settlement amount of $1,414 per $1,000 principal amount of notes. If the currency return is negative, investors will have one-to-one exposure to the decline.

The notes are due Oct. 20, 2017.

Goldman Sachs & Co. is the underwriter with J.P. Morgan Securities LLC as agent.

Deutsche Bank plans 18-month notes

The Deutsche notes also require the reference current return to be positive if the peso strengthens against the euro. Those notes are due April 21, 2016.

If the reference currency return is greater than or equal to 1.5%, the payout at maturity will be par plus 20%.

If the reference currency return is greater than or equal to zero but less than 1.5%, the payout will be par plus 5%.

If the reference currency return is less than zero but greater than or equal to negative 10%, the payout will be par.

If the reference currency return is less than negative 10%, investors will lose 1% for each 1% that the reference currency return is below zero.

Pricing for the deal is slated for Oct. 17.

JPMorgan Chase Bank, N.A. and J.P. Morgan Securities LLC are the placement agents.

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