GS Finance to price buffered digital notes linked to peso, rand, lira

By Angela McDaniels

Tacoma, Wash., Sept. 18 – GS Finance Corp. plans to price 18- to 21-month 0% buffered digital notes linked to the performance of the Mexican peso, the South African rand and the Turkish lira, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Goldman Sachs Group, Inc.

The currencies are equally weighted, and the performance of each currency is measured relative to the dollar.

The issuer said that by purchasing this note, investors are taking the view that the basket return will be positive, which means that the final basket level has increased from the initial basket level because the sum of the currency returns is positive. A currency return will be positive if it takes a greater number of dollars to purchase one unit of the relevant foreign currency on the determination date than on the trade date.

If the basket return is zero or positive, the payout at maturity will be the greater of the threshold settlement amount, which is expected to be between $1,108.30 and $1,127.30 per $1,000 principal amount of notes, and the sum of par plus the basket return.

If the basket return is negative but not below negative 20%, the payout will be par.

If the basket return is below negative 20%, investors will lose 1.25% for every 1% that the basket declines beyond 20%.

The exact terms will be set at pricing.

Goldman Sachs & Co. is the agent.

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