Goldman Sachs plans to price six-year notes linked to 10-year CMS rate

By Angela McDaniels

Tacoma, Wash., Nov. 12 - Goldman Sachs Group, Inc. plans to price six-year swap rate-linked notes tied to the 10-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a coupon of 1% for the first five years. Interest will be payable annually.

The payout at maturity will be par plus 15 times the spread of the 10-year CMS rate over the strike, which is expected to be 5% to 5.4% and will be set at pricing. The payout will have a floor of par and a cap of $1,750 per note.

Goldman, Sachs & Co. is the underwriter.

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