Goldman Sachs plans two-year notes tied to Mexican peso versus yen

By Toni Weeks

San Luis Obispo, Calif., Feb. 26 - Goldman Sachs Group, Inc. plans to price 0% currency-linked notes due March 7, 2016 linked to the performance of the Mexican peso relative to the Japanese yen, according to a 424B2 filing with the Securities and Exchange Commission.

If the currency return is zero or positive, investors will receive per $1,000 principal amount of notes the greater of par plus the return and $1,164.50.

If the currency return is negative but not less than negative 15%, the payout will be $1,164.50 for each $1,000 of notes.

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 March 2, 2016.

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

The notes will price Feb. 28 and settle March 7.

The Cusip number is 38147QSB3.

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