Goldman Sachs to price notes linked to South African rand

By Angela McDaniels

Tacoma, Wash., April 23 - Goldman Sachs Group, Inc. plans to price 0% notes due May 2, 2016 linked to the performance of the South African rand relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

The issuer said that by purchasing the notes, investors are taking the view that the currency return will be positive, which means that it will take fewer rand to purchase one dollar at maturity than at pricing.

If the currency return is greater than 5%, the payout at maturity will be $1,950 per $1,000 principal amount of notes.

If the currency return is positive but less than or equal to 5%, the payout will be $1,050 per $1,000 principal amount of notes.

If the currency return is zero or negative but not less than negative 20%, the payout will be par.

If the currency return is less than negative 20%, investors will have one-to-one exposure to the decline from the initial exchange rate.

The final exchange rate will be the average of the exchange rate on each of the averaging dates, which are expected to be the five trading days ending April 26, 2016.

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

The notes are expected to price April 25 and settle May 2.

The Cusip number is 38147Q4G8.

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