Goldman Sachs plans 0% notes linked to 10-year dollar interest swap rate

By Angela McDaniels

Tacoma, Wash., Jan. 20 - Goldman Sachs Group, Inc. plans to price 0% notes linked to the 10-year dollar interest swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will have a tenor of 36 to 39 months.

The payout at maturity will be par plus the average of the daily amounts for the 15 business days ending on the determination date.

On each day, the daily amount will equal $1,000 multiplied by 25 to 30 times the spread of the swap rate over the strike, which is expected to be 4% to 4.75%. The exact multiplier and strike will be set at pricing.

The daily amount will be $0 for any day on which the swap rate is less than or equal to the strike.

Goldman, Sachs & Co. is the underwriter.

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