New Issue: Goldman Sachs prices $49.46 million 0% notes linked to 10-year dollar interest swap rate

By Angela McDaniels

Tacoma, Wash., Jan. 26 - Goldman Sachs Group, Inc. priced $49.46 million of 0% notes due May 5, 2012 linked to the 10-year dollar interest swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus the average of the daily amounts for the 15 business days ending April 23, 2012.

On each day, the daily amount will equal $1,000 multiplied by 25 times the spread of the swap rate over the strike, which is 4.25% per year. 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.

Issuer:	Goldman Sachs Group, Inc.
Issue:	Swap rate-linked notes
Amount:	$49,458,000
Maturity:	May 5, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus the average of the daily amounts for the 15 business days ending April 23, 2012; daily amount on each day will equal $1,000 multiplied by 25 times the sum of the swap rate minus 4.25%, subject to floor of $0
Pricing date:	Jan. 22
Settlement date:	Feb. 5
Underwriter:	Goldman, Sachs & Co.
Fees:	0.25%

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