Goldman Sachs plans 13- to 15-month notes linked to 10-year CMS rate

By Susanna Moon

Chicago, May 12 – Goldman Sachs Group, Inc. plans to price 13- to 15-month 0% notes linked to the 10-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

If the CMS rate finishes at or above the strike level of 1.85%, the payout at maturity will be the maximum settlement amount of $1,060 per $1,000 principal amount of notes.

If the rate ends between 1.739% and 1.85%, the payout will be par plus the performance rate and $60.00, or a payment between par and $1,060.

Investors will receive par if falls by up to 1.739% and will be fully exposed to any losses if the rate ends below 1.739%.

Goldman Sachs & Co. is the underwriter.

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