Goldman plans notes linked to 10-year Constant Maturity Swap rate

By Jennifer Chiou

New York, May 2 - Goldman Sachs Group, Inc. plans to price 0% five-year notes linked to the 10-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus a supplemental amount, which will equal the amount, if any, by which the 10-year CMS rate exceeds the strike - expected to be 4% - times a to-be-determined multiplier of between 9.5 and 11.5.

The return will be capped at 38% to 46%, and the exact terms for the notes (Cusip: 38143UUF6) will be set at pricing.

Goldman Sachs & Co. is the underwriter.

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