Goldman Sachs to price floaters linked to Dow Jones - UBS Commodity

By Angela McDaniels

Tacoma, Wash., Oct. 21 - Goldman Sachs Group, Inc. plans to price 13-month floating-rate index-linked notes tied to the Dow Jones - UBS Commodity Index Total Return, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is Libor minus a spread that will be set at pricing. Interest will be payable quarterly.

The notes are putable at any time if requested by all holders, and they will be automatically called if the index closes at or below 85% of the initial index level.

The payout at maturity or upon redemption will be par plus triple the sum of the index return minus the realized TBill amount and minus a fee of 0.2% per year.

The TBill amount will equal the interest amount based on the prevailing three-month Treasury bill auction high rate. Goldman Sachs noted that because the auction high rate is based on a three-month maturity, it must be converted into a daily amount. The realized TBill amount is the accumulation of the daily amounts over the life of the notes.

Goldman, Sachs & Co. is the underwriter.

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