Goldman Sachs to price notes linked to Mexican peso versus euro

By Angela McDaniels

Tacoma, Wash., Nov. 7 - Goldman Sachs Group, Inc. plans to price 0% currency-linked notes due May 18, 2015 linked to the performance of the Mexican peso relative to the euro, according to a 424B2 filing with the Securities and Exchange Commission.

By purchasing the notes, investors are taking the view that the currency return will be positive, which means the peso will appreciate relative to the euro.

If the currency return is greater than 5%, the payout at maturity will be par plus 24.05%.

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

If the currency return is zero or negative but not below negative 15%, the payout will be par.

If the currency return is less than negative 15%, investors will have 1-to-1 exposure to the decline from the initial exchange rate.

The final exchange rate will be the average of the exchange rates on the five trading days ending May 13, 2015.

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

The notes will price Nov. 8 and settle Nov. 18.

The Cusip number is 38147QP26.

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