Goldman Sachs plans leveraged currency-linked notes on dollar vs. euro

By Jennifer Chiou

New York, March 25 – Goldman Sachs Group, Inc. plans to price 0% leveraged currency-linked notes due April 15, 2016 tied to the dollar 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 dollars to purchase one euro at the final exchange rate, compared to the initial rate.

The payout at maturity will be par plus 2.6 times any currency gain, up to a maximum payout of $1,130 per $1,000 principal amount of notes. Investors will share in losses if the currency return is negative, with a minimum payout of zero.

The final exchange rate will be the average of the exchange rates on the five trading days ending April 8, 2016.

The notes (Cusip: 38147QXZ4) are expected to price on March 27 and settle on April 6.

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

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