Goldman Sachs plans 1% five-year notes linked to 10-year CMT rate

By Susanna Moon

Chicago, June 29 - Goldman Sachs Group, Inc. plans to price notes due 2015 based on the 10-year Constant Maturity Treasury rate, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 1%, payable annually.

If the 10-year CMT rate rises by more than 5% of its initial level, the payout at maturity will be par plus 11 to 13 times the gain minus 500 basis points, up to a maximum of $1,330 to $1,390 for each $1,000 principal amount.

Otherwise, the payout will be par.

The exact deal terms will be set at pricing.

Goldman, Sachs & Co. is the underwriter.

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