New Issue: Goldman Sachs prices $1.58 million 9.25% notes linked to 10-year CMS rate

By Angela McDaniels

Tacoma, Wash., June 15 – Goldman Sachs Group, Inc. priced $1.58 million of 9.25% notes due June 21, 2017 linked to the 10-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable quarterly.

If the final 10-year CMS rate is at least 80% of the initial 10-year CMS rate, the payout at maturity will be par. Otherwise, investors will lose 1.25% for every 1% that the decline in the reference rate exceeds 20%.

Goldman Sachs & Co. is the underwriter.

Issuer:	Goldman Sachs Group, Inc.
Issue:	Notes
Underlying rate:	10-year Constant Maturity Swap rate
Amount:	$1,575,000
Maturity:	June 21, 2017
Coupon:	9.25%, payable quarterly
Price:	Par
Payout at maturity:	If final reference rate level is greater than or equal to threshold level, par; otherwise, product of (a) $1,000 times (b) the quotient of the final reference rate level divided by the threshold level
Initial reference rate:	1.485%
Threshold level:	1.188%, 80% of initial reference rate
Pricing date:	June 13
Settlement date:	June 20
Underwriter:	Goldman Sachs & Co.
Fees:	1.1%
Cusip:	38148TN62

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