Goldman Sachs to price floating-rate notes linked to Consumer Price Index

By Angela McDaniels

Tacoma, Wash., July 28 - Goldman Sachs Group, Inc. plans to price three-year inflation-linked notes linked to the Consumer Price Index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be payable annually. For each interest period:

• If the year-over-year change in the Consumer Price Index is greater than or equal to the upper limit, the interest rate will equal 100 times the multiplier coupon. The upper limit is expected to be 2% to 3%, and the multiplier coupon will be 0.06% to 0.075%;

• If the year-over-year change is greater than or equal to the lower limit and less than the upper limit, then for every 0.01% increase in the index above the lower limit, the interest rate will equal the multiplier coupon. The lower limit is expected to be 1% to 2%; or

• If the year-over-year change is less than the lower limit, the interest rate will be zero.

On each interest payment date, investors will also receive the supplemental amount, which will be Libor minus the product of 100 times the multiplier coupon, with a floor of zero.

The year-over-year change will be calculated using the index's level in the month of June that is two months prior to the interest payment date and the index's level in the month of June that is 14 months prior to the interest date.

The payout at maturity will be par.

Goldman, Sachs & Co. will be the underwriter.

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