Goldman Sachs plans notes due 2016 linked to Mexican peso vs. euro

By Marisa Wong

Madison, Wis., Oct. 2 – Goldman Sachs Group, Inc. plans to price 0% currency-linked notes due April 11, 2016 linked to the Mexican peso relative to the euro, according to a 424B2 filing with the Securities and Exchange Commission.

If the currency return is greater than or equal to 0.75%, the payout at maturity will be the maximum settlement amount of $1,200 per $1,000 of notes.

If the return is greater than or equal to zero but less than 0.75%, the payout will be $1,050 per $1,000 principal amount.

Investors will receive par if the currency falls by up to 10% and will be fully exposed to any losses if the currency finishes below the 90% trigger level.

Goldman Sachs & Co. is the underwriter with JPMorgan as the placement agent.

The notes are expected to price Oct. 3 and settle Oct. 10.

The Cusip number is 38147QK39.

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