By Toni Weeks
San Luis Obispo, Calif., Feb. 24 – Goldman Sachs Group, Inc. priced $255,000 of 0% currency-linked notes due March 14, 2016 linked to the Mexican peso relative to the euro, according to a 424B2 filing with the Securities and Exchange Commission.
If the currency finishes at or above the initial level, the payout at maturity will be par plus the greater of the currency return and $79 per $1,000 principal amount of notes.
If the currency return is negative but not below negative 10%, the payout will be $1,079 per $1,000 of notes.
Otherwise, investors will be fully exposed to any losses.
The final exchange rate will be the average of the exchange rates on the five trading dates ending March 9, 2016.
Goldman Sachs & Co. is the underwriter with J.P. Morgan Securities LLC as the placement agent.
| Issuer: | Goldman Sachs Group, Inc.
|
| Issue: | Currency-linked notes
|
| Underlying currency: | Mexican peso relative to euro
|
| Amount: | $255,000
|
| Maturity: | March 14, 2016
|
| Coupon: | 0%
|
| Price: | Par of $1,000
|
| Payout at maturity: | For $1,000 principal amount, if currency return is zero or positive, par plus greater of return and $79; if return is negative but not below negative 10%, $1,079; exposure to any losses
|
| Initial exchange rate: | 17.10789
|
| Pricing date: | Feb. 20
|
| Settlement date: | Feb. 27
|
| Underwriter: | Goldman Sachs & Co.
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.1%
|
| Cusip: | 38147QV37
|
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