Goldman plans notes linked to 10-year Constant Maturity Swap rate

By Jennifer Chiou

New York, March 10 - Goldman Sachs Group, Inc. plans to price five-year notes linked to the 10-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a fixed coupon of 1% for the first four years, payable semiannually.

The payout at maturity will be par plus a supplemental amount, which will equal the amount, if any, by which the 10-year CMS rate exceeds the strike - expected to be 5.5% - times a to-be-determined multiplier of between 13 and 15.

The return will be capped at 39% to 45%, and the exact terms will be set at pricing.

Goldman Sachs & Co. is the underwriter.

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