By Susanna Moon
Chicago, July 9 – Goldman Sachs Group, Inc. priced $2 million of 0% currency-linked notes due July 11, 2017 tied to a basket of four equally weighted currencies, each relative to the yen, according to a 424B2 filing with the Securities and Exchange Commission.
The currencies are the Brazilian real, Indian rupee, Indonesian rupiah and Turkish lira.
If the basket finishes above its initial level, the payout at maturity for each $1,000 of notes will be the greater of the minimum amount of $1,290.50 and par plus any gain, up to a maximum payout of $2,000 per $1,000 principal amount.
If the basket falls by up to the 60% trigger level, the payout will be the minimum amount of $1,290.50.
If the basket falls by more than 40%, investors will be fully exposed to any losses.
Goldman Sachs & Co. is the underwriter with JPMorgan as placement agent.
| Issuer: | Goldman Sachs Group, Inc.
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| Issue: | Currency-linked notes
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| Underlying currencies: | Brazilian real, Indian rupee, Indonesian rupiah and Turkish lira, equally weighted and relative to yen
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| Amount: | $2 million
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| Maturity: | July 11, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If basket gains, par plus return, floor of 29.05% and capped at 200%; if basket falls by up to 40%, par plus 29.05%; otherwise, full exposure to any losses
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| Trigger level: | 60% of initial level
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| Underwriter: | Goldman Sachs & Co.
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| Pricing date: | July 3
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| Settlement date: | July 11
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| Fees: | 2.25%
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| Cusip: | 38147QCL8
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