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Goldman plans notes linked to 10-year Constant Maturity Swap rate
By Marisa Wong
Madison, Wis., July 6 - Goldman Sachs Group, Inc. plans to price 0% 10-year notes linked to the 10-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus a supplemental amount, if any, which will equal the amount by which the 10-year CMS rate exceeds the strike - 6% - times a to-be-determined multiplier of between 65 and 70.
The payout will be capped at between $2,600 and $2,800 for each $1,000 principal amount, and the exact terms for the notes (Cusip: 38143UUY5) will be set at pricing.
Goldman Sachs & Co. is the underwriter.
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