Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-198735
The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer
to sell nor does it seek an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to Completion. Dated March 26, 2015.
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The Goldman Sachs Group, Inc.
$ Leveraged EURO STOXX 50® Index-Linked Notes due |
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The notes will not bear interest. The amount that you will be paid on your notes on the stated maturity
date (expected to be November 2, 2022) is based on the performance of the EURO STOXX 50® Index as measured from the
trade date (expected to be April 28, 2015) to and including the determination date (expected to be October 28, 2022). If the final index level on the determination date is greater than the initial index level (set on the trade date), the
return on your notes will be positive, subject to the maximum settlement amount (of $1,840.00 for each $1,000 face amount of your notes). If the final index level is equal to or less than the initial index level, you will receive the face amount
of your notes.
To determine your payment at maturity, we will calculate the index return, which is the percentage increase or decrease in the
final index level from the initial index level. On the stated maturity date, for each $1,000 face amount of your notes you will receive an amount in cash equal to:
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if the index return is positive (the final index level is greater than the initial index level), the sum of (i) $1,000 plus
(ii) the product of (a) $1,000 times (b) 1.20 times (c) the index return, subject to the maximum settlement amount; or |
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if the index return is zero or negative (the final index level is equal to or less than the initial index level), $1,000.
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Your investment in the notes involves certain risks, including, among other things, our credit risk. See page
PS-11.
You should read the additional disclosure herein so that you may better understand the terms and risks of your investment.
The estimated value of your notes at the time the terms of your notes are set on the trade date (as determined by reference to pricing models used by
Goldman, Sachs & Co. (GS&Co.) and taking into account our credit spreads) is expected to be between $895 and $945 per $1,000 face amount, which will be less than the original issue price. The value of your notes at any time will reflect
many factors and cannot be predicted; however, the price (not including GS&Co.s customary bid and ask spreads) at which GS&Co. would initially buy or sell notes (if it makes a market, which it is not obligated to
do) and the value that GS&Co. will initially use for account statements and otherwise will equal approximately $ per $1,000 face amount, which will exceed the estimated value of your notes as
determined by reference to these models. The amount of the excess will decline on a straight line basis over the period from the trade date through
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Original issue date: |
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expected to be April 30, 2015 |
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Original issue price: |
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100.00% of the face amount* |
Underwriting discount: |
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% of the face amount* |
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Net proceeds to the issuer: |
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% of the face amount |
* |
The original issue price will be % for certain investors; see Summary Information Supplemental plan of distribution on page PS-5.
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Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these securities or passed
upon the accuracy or adequacy of this prospectus. Any representation to the contrary is a criminal offense. The notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are
they obligations of, or guaranteed by, a bank.
Goldman, Sachs & Co.
Pricing Supplement No. dated
, 2015.
The issue price, underwriting discount and net proceeds listed above relate to the notes we sell initially. We may
decide to sell additional notes after the date of this pricing supplement, at issue prices and with underwriting discounts and net proceeds that differ from the amounts set forth above. The return (whether positive or negative) on your investment in
notes will depend in part on the issue price you pay for such notes.
Goldman Sachs may use this prospectus in the initial sale of the notes. In
addition, Goldman, Sachs & Co. or any other affiliate of Goldman Sachs may use this prospectus in a market-making transaction in a note after its initial sale. Unless Goldman Sachs or its agent informs the purchaser otherwise in the
confirmation of sale, this prospectus is being used in a market-making transaction.
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Leveraged EURO STOXX 50® Index-Linked Notes due |
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INVESTMENT THESIS
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For investors willing to forgo interest payments for the potential to earn 120.00% of any positive return of the underlier, up to a maximum payment of 184.00% of
the face amount |
DETERMINING THE CASH SETTLEMENT AMOUNT
At maturity, for each $1,000 face amount, the investor will receive (in each case as a percentage of the face amount):
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If the final underlier level is above 100.00% of its initial level, 100.00% plus 120.00% times the underlier return, subject to a maximum of
184.00% |
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If the final underlier level is at or below its initial level, 100.00% |
KEY TERMS
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Issuer: |
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The Goldman Sachs Group, Inc. |
Underlier: |
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The EURO STOXX 50® Index (Bloomberg symbol, SX5E
Index) |
Face Amount: |
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$ in the aggregate; each note will have a face amount equal to $1,000 |
Trade Date: |
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Expected to be April 28, 2015 |
Settlement Date: |
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Expected to be April 30, 2015 |
Determination Date: |
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Expected to be October 28, 2022 |
Stated Maturity Date: |
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Expected to be November 2, 2022 |
Initial Underlier Level: |
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To be determined on the trade date |
Final Underlier Level: |
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The closing level of the underlier on the determination date |
Underlier Return: |
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The quotient of (i) the final underlier level minus the initial underlier level divided by (ii) the initial underlier level, expressed as a positive or negative
percentage. |
Upside Participation Rate: |
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120.00% |
Maximum Settlement Amount: |
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$1,840.00 |
Cap Level: |
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170.00% of the initial underlier level |
CUSIP/ISIN: |
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38147QY34 / US38147QY340 |
HYPOTHETICAL PAYMENT AT MATURITY
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Hypothetical Final
Underlier Level (as % of
Initial Underlier Level) |
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Hypothetical Cash Settlement
Amount (as % of Face Amount) |
200.000% |
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184.000% |
170.000% |
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184.000% |
150.000% |
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160.000% |
130.000% |
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136.000% |
120.000% |
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124.000% |
110.000% |
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112.000% |
100.000% |
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100.000% |
75.000% |
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100.000% |
50.000% |
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100.000% |
25.000% |
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100.000% |
0.000% |
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100.000% |
RISKS
Please read the section entitled Additional Risk Factors Specific to Your Notes of this pricing supplement as well as the risks and considerations
described in the accompanying prospectus dated September 15, 2014, in the accompanying prospectus supplement dated September 15, 2014, under Additional Risk Factors Specific to the Underlier-Linked Notes in the accompanying
product supplement no. 3141 dated September 15, 2014, and under Additional Risk Factors Specific to the Notes in the accompanying general terms supplement dated September 26, 2014.
PS-3
SUMMARY INFORMATION
We refer to the notes we are offering by this pricing supplement as the offered notes or the
notes. Each of the offered notes, including your notes, has the terms described below. Please note that in this pricing supplement, references to The Goldman Sachs Group, Inc., we, our and
us mean only The Goldman Sachs Group, Inc. and do not include its consolidated subsidiaries. Also, references to the accompanying prospectus mean the accompanying prospectus, dated September 15, 2014, as supplemented by
the accompanying prospectus supplement, dated September 15, 2014, of The Goldman Sachs Group, Inc. relating to the Medium-Term Notes, Series D program of The Goldman Sachs Group, Inc., references to the accompanying general terms
supplement mean the accompanying general terms supplement, dated September 26, 2014, of The Goldman Sachs Group, Inc. and references to the accompanying product supplement no. 3141 mean the accompanying product supplement no.
3141, dated September 15, 2014, of The Goldman Sachs Group, Inc.
This section is meant
as a summary and should be read in conjunction with the section entitled General Terms of the Underlier-Linked Notes on page S-27 of the accompanying product supplement no. 3141 and Supplemental Terms of the Notes on page
S-13 of the accompanying general terms supplement. Please note that certain features, as noted below, described in the accompanying product supplement no. 3141 and general terms supplement are not applicable to the notes. This pricing supplement
supersedes any conflicting provisions of the accompanying product supplement no. 3141 or the accompanying general terms supplement.
Key Terms
Issuer: The Goldman Sachs Group, Inc.
Underlier: the EURO STOXX
50® Index (Bloomberg symbol, SX5E Index)
Specified currency: U.S. dollars ($)
Terms to be specified in accordance with the
accompanying product supplement no. 3141:
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type of notes: notes linked to a single underlier |
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exchange rates: not applicable |
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averaging dates: not applicable |
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redemption right or price dependent redemption right: not applicable |
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cap level: yes, as described below |
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downside participation percentage: not applicable |
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interest: not applicable |
Face amount:
each note will have a face amount of $1,000; $ in the aggregate for all the offered notes; the aggregate face amount of the offered notes may be increased if the issuer, at its sole option,
decides to sell an additional amount of the offered notes on a date subsequent to the date of this pricing supplement
Purchase at amount
other than face amount: the amount we will pay you at the stated maturity date for your notes will not be adjusted based on the issue price you pay for your notes, so if you acquire notes at a premium (or discount) to face amount and hold them
to the stated maturity date, it could affect your investment in a number of ways. The return on your investment in such notes will be lower (or higher) than it would have been had you purchased the notes at face amount. Also, the cap level would be
triggered at a lower (or higher) percentage return than indicated below, relative to your initial investment. See Additional Risk Factors Specific to Your Notes If You Purchase Your Notes at a Premium to Face Amount, the Return on Your
Investment Will Be Lower Than the Return on Notes Purchased at Face Amount and the Impact of Certain Key Terms of the Notes Will be Negatively Affected on page PS-13 of this pricing supplement.
Supplemental discussion of U.S. federal income tax consequences: The notes will be treated as debt instruments subject to the special rules governing
contingent payment debt instruments for U.S. federal income tax purposes. Under this treatment, it is the opinion of Sidley Austin LLP that if you are a U.S. individual or taxable entity, you generally should be required to pay taxes
on ordinary income from
PS-4
the notes over their term based on the comparable yield for the notes. In addition, any gain you may recognize on the sale, exchange or maturity of the notes will be taxed as ordinary interest
income.
Cash settlement amount (on the stated maturity date): for each $1,000 face amount of your notes, we will pay you on the stated maturity
date an amount in cash equal to:
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if the final underlier level is greater than or equal to the cap level, the maximum settlement amount; |
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if the final underlier level is greater than the initial underlier level but less than the cap level, the sum of (1) $1,000
plus (2) the product of (i) $1,000 times (ii) the upside participation rate times (iii) the underlier return; or |
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if the final underlier level is equal to or less than the initial underlier level, $1,000. |
Initial underlier level (to be set on the trade date):
Final underlier level: the closing level of the underlier on the determination date, except in the limited circumstances described under Supplemental
Terms of the Notes Consequences of a Market Disruption Event or a Non-Trading Day on page S-19 of the accompanying general terms supplement and subject to adjustment as provided under Supplemental Terms of the Notes
Discontinuance or Modification of an Underlier on page S-23 of the accompanying general terms supplement
Underlier return: the
quotient of (1) the final underlier level minus the initial underlier level divided by (2) the initial underlier level, expressed as a percentage
Upside participation rate: 120.00%
Cap
level: 170.00% of the initial underlier level
Maximum settlement amount: $1,840.00
Trade date: expected to be April 28, 2015
Original issue date (settlement date) (to be set on the trade date): expected to be April 30, 2015
Determination date (to be set on the trade date): expected to be October 28, 2022, subject to adjustment as described under Supplemental Terms of
the Notes Determination Date on page S-14 of the accompanying general terms supplement
Stated maturity date (to be set on the
trade date): expected to be November 2, 2022, subject to adjustment as described under Supplemental Terms of the Notes Stated Maturity Date on page S-13 of the accompanying general terms supplement
No interest: the offered notes will not bear interest
No listing: the offered notes will not be listed on any securities exchange or interdealer quotation system
No redemption: the offered notes will not be subject to redemption right or price dependent redemption right
Closing level: as described under Supplemental Terms of the Notes Special Calculation Provisions Closing Level on page S-27 of the
accompanying general terms supplement
Business day: as described under Supplemental Terms of the Notes Special Calculation
Provisions Business Day on page S-27 of the accompanying general terms supplement
Trading day: as described under
Supplemental Terms of the Notes Special Calculation Provisions Trading Day on page S-27 of the accompanying general terms supplement
Use of proceeds and hedging: as described under Use of Proceeds and Hedging on page S-31 of the accompanying product supplement no. 3141
ERISA: as described under Employee Retirement Income Security Act on page S-43 of the accompanying product supplement no. 3141
Supplemental plan of distribution: as described under Supplemental Plan of Distribution on page S-44 of the accompanying product
supplement no. 3141; The Goldman Sachs Group, Inc. estimates that its share of the total offering expenses, excluding underwriting discounts and commissions, will be approximately
$ .
PS-5
The Goldman Sachs Group, Inc. expects to agree to sell to Goldman, Sachs & Co., and Goldman, Sachs &
Co. expects to agree to purchase from The Goldman Sachs Group, Inc., the aggregate face amount of the offered notes specified on the front cover of this pricing supplement. Goldman, Sachs & Co. proposes initially to offer the notes to the
public at the original issue prices set forth on the cover page of this pricing supplement, and to certain securities dealers at such prices less a concession not in excess of % of the face amount. The original issue price
for notes purchased by certain fee-based advisory accounts will be % of the face amount of the notes, which will reduce the underwriting discount specified on the cover of this pricing supplement with respect to such notes to
%.
We expect to deliver the notes against payment therefor in New York, New York on April 30, 2015, which is expected to
be the second scheduled business day following the date of this pricing supplement and of the pricing of the notes.
We have been advised by Goldman,
Sachs & Co. that it intends to make a market in the notes. However, neither Goldman, Sachs & Co. nor any of our other affiliates that makes a market is obligated to do so and any of them may stop doing so at any time without
notice. No assurance can be given as to the liquidity or trading market for the notes.
Calculation agent: Goldman, Sachs & Co.
CUSIP no.: 38147QY34
ISIN
no.: US38147QY340
FDIC: the notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other
governmental agency, nor are they obligations of, or guaranteed by, a bank
PS-6
HYPOTHETICAL EXAMPLES
The following table and chart are provided for purposes of illustration only. They should not be taken as an indication or prediction of future investment results
and are intended merely to illustrate the impact that the various hypothetical underlier levels on the determination date could have on the cash settlement amount at maturity assuming all other variables remain constant.
The examples below are based on a range of final underlier levels that are entirely hypothetical; no one can predict what the underlier level will be on any day
throughout the life of your notes, and no one can predict what the final underlier level will be on the determination date. The underlier has been highly volatile in the past meaning that the underlier level has changed considerably in
relatively short periods and its performance cannot be predicted for any future period.
The information in the following examples reflects
hypothetical rates of return on the offered notes assuming that they are purchased on the original issue date at the face amount and held to the stated maturity date. If you sell your notes in a secondary market prior to the stated maturity date,
your return will depend upon the market value of your notes at the time of sale, which may be affected by a number of factors that are not reflected in the table below such as interest rates, the volatility of the underlier and our creditworthiness.
In addition, the estimated value of your notes at the time the terms of your notes are set on the trade date (as determined by reference to pricing models used by Goldman, Sachs & Co.) will be less than the original issue price of your
notes. For more information on the estimated value of your notes, see Additional Risk Factors Specific to Your Notes The Estimated Value of Your Notes At the Time the Terms of Your Notes Are Set On the Trade Date (as Determined By
Reference to Pricing Models Used By Goldman, Sachs & Co.) Will Be Less Than the Original Issue Price Of Your Notes on page PS-11 of this pricing supplement. The information in the table also reflects the key terms and assumptions in
the box below.
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Key Terms and Assumptions |
Face amount |
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$1,000 |
Upside participation rate |
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120.00% |
Cap level |
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170.00% of the initial underlier level |
Maximum settlement amount |
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$1,840.00 |
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Neither a market disruption event nor a non-trading day occurs on the originally scheduled determination date |
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No change in or affecting any of the underlier stocks or the method by which the underlier sponsor calculates the underlier |
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Notes purchased on original issue date at the face amount and held to the stated maturity date |
Moreover, we have not yet set the initial underlier level that will serve as the baseline for determining the underlier
return and the amount that we will pay on your notes at maturity. We will not do so until the trade date. As a result, the actual initial underlier level may differ substantially from the underlier level prior to the trade date.
For these reasons, the actual performance of the underlier over the life of your notes, as well as the amount payable at maturity may bear little relation to the
hypothetical examples shown below or to the historical underlier levels shown elsewhere in this pricing supplement. For information about the historical levels of the underlier during recent periods, see The Underlier Historical Closing
Levels of the Underlier below. Before investing in the offered notes, you should consult publicly available information to determine the levels of the underlier between the date of this pricing supplement and the date of your purchase of the
offered notes.
PS-7
Also, the hypothetical examples shown below do not take into account the effects of applicable taxes. Because of the
U.S. tax treatment applicable to your notes, tax liabilities could affect the after-tax rate of return on your notes to a comparatively greater extent than the after-tax return on the underlier stocks.
The levels in the left column of the table below represent hypothetical final underlier levels and are expressed as percentages of the initial underlier level. The
amounts in the right column represent the hypothetical cash settlement amounts, based on the corresponding hypothetical final underlier level (expressed as a percentage of the initial underlier level), and are expressed as percentages of the face
amount of a note (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical cash settlement amount of 100.000% means that the value of the cash payment that we would deliver for each $1,000 of the outstanding face amount of the
offered notes on the stated maturity date would equal 100.000% of the face amount of a note, based on the corresponding hypothetical final underlier level (expressed as a percentage of the initial underlier level) and the assumptions noted above.
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Hypothetical Final Underlier Level
(as Percentage of Initial Underlier Level) |
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Hypothetical Cash Settlement Amount
(as Percentage of Face Amount) |
200.000% |
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184.000% |
190.000% |
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184.000% |
170.000% |
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184.000% |
150.000% |
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160.000% |
140.000% |
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148.000% |
130.000% |
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136.000% |
120.000% |
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124.000% |
110.000% |
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112.000% |
100.000% |
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100.000% |
75.000% |
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100.000% |
50.000% |
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100.000% |
25.000% |
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100.000% |
0.000% |
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100.000% |
If, for example, the final underlier level were determined to be 25.000% of the initial underlier level, the cash settlement amount
that we would deliver on your notes at maturity would be 100.000% of the face amount of your notes, as shown in the table above. As a result, if you purchased your notes on the original issue date at the face amount and held them to the stated
maturity date, you would receive no return on your investment. In addition, if the final underlier level were determined to be 200.000% of the initial underlier level, the cash settlement amount that we would deliver on your notes at maturity would
be capped at the maximum settlement amount (expressed as a percentage of the face amount), or 184.000% of each $1,000 face amount of your notes, as shown in the table above. As a result, if you held your notes to the stated maturity date, you would
not benefit from any increase in the final underlier level over 170.000% of the initial underlier level.
The following chart also shows a graphical
illustration of the hypothetical cash settlement amounts (expressed as a percentage of the face amount of your notes) that we would pay on your notes on the stated maturity date, if the final underlier level (expressed as a percentage of the initial
underlier level) were any of the hypothetical levels shown on the horizontal axis. The chart shows that any hypothetical final underlier level (expressed as a percentage of the initial underlier level) of less than 100.000% (the section left of the
100.000% marker on the horizontal axis) would result in a hypothetical cash settlement amount of 100.000% of the face amount of your notes. The chart also shows that any hypothetical final underlier level (expressed as a percentage of the initial
underlier level) of greater than or equal to 170.000% (the section right of the 170.000% marker on the horizontal axis) would result in a capped return on your investment.
PS-8
The cash settlement amounts shown above are entirely hypothetical; they are based on market prices for the underlier stocks that
may not be achieved on the determination date and on assumptions that may prove to be erroneous. The actual market value of your notes on the stated maturity date or at any other time, including any time you may wish to sell your notes, may bear
little relation to the hypothetical cash settlement amounts shown above, and these amounts should not be viewed as an indication of the financial return on an investment in the offered notes. The hypothetical cash settlement amounts on notes held to
the stated maturity date in the examples above assume you purchased your notes at their face amount and have not been adjusted to reflect the actual issue price you pay for your notes. The return on your investment (whether positive or negative) in
your notes will be affected by the amount you pay for your notes. If you purchase your notes for a price other than the face amount, the return on your investment will differ from, and may be significantly lower than, the hypothetical returns
suggested by the above examples. Please read Additional Risk Factors Specific to the Underlier-Linked Notes The Market Value of Your Notes May Be Influenced by Many Unpredictable Factors on page S-25 of the accompanying product
supplement no. 3141.
Payments on the notes are economically equivalent to the amounts that would be paid on a combination of other instruments. For
example, payments on the notes are economically equivalent to a combination of an interest-bearing bond bought by the holder and one or more options entered into between the holder and us (with one or more implicit option premiums paid over time).
The discussion in this paragraph does not modify or affect the terms of the notes or the U.S. federal income tax treatment of the notes, as described elsewhere in this pricing supplement.
PS-9
We cannot predict the actual final underlier level or what the market value of your notes will be on any particular trading day, nor can we predict the relationship between the underlier level and the market
value of your notes at any time prior to the stated maturity date. The actual amount that you will receive at maturity and the rate of return on the offered notes will depend on the actual initial underlier level, which we will set on the trade
date, and the actual final underlier level determined by the calculation agent as described above. Moreover, the assumptions on which the hypothetical returns are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in
respect of your notes on the stated maturity date may be very different from the information reflected in the table and chart above.
PS-10
ADDITIONAL RISK FACTORS SPECIFIC TO YOUR NOTES
An investment in your notes is subject to the risks described below, as well as the risks and considerations
described in the accompanying prospectus dated September 15, 2014, in the accompanying prospectus supplement dated September 15, 2014, under Additional Risk Factors Specific to the Notes in the accompanying general terms
supplement, and under Additional Risk Factors Specific to the Underlier-Linked Notes in the accompanying product supplement no. 3141. You should carefully review these risks and considerations as well as the terms of the notes described
herein and in the accompanying prospectus, dated September 15, 2014, as supplemented by the accompanying prospectus supplement, dated September 15, 2014, the accompanying general terms supplement, dated September 26, 2014, and the
accompanying product supplement no. 3141, dated September 15, 2014, of The Goldman Sachs Group, Inc. Your notes are a riskier investment than ordinary debt securities. Also, your notes are not equivalent to investing directly in the underlier
stocks, i.e., the stocks comprising the underlier to which your notes are linked. You should carefully consider whether the offered notes are suited to your particular circumstances.
The Estimated Value of Your Notes At the Time the Terms of Your Notes Are Set On the Trade Date (as Determined By Reference to Pricing Models
Used By Goldman, Sachs & Co.) Will Be Less Than the Original Issue Price Of Your Notes
The original issue price for your notes will exceed
the estimated value of your notes as of the time the terms of your notes are set on the trade date, as determined by reference to Goldman, Sachs & Co.s pricing models and taking into account our credit spreads. Such expected estimated
value on the trade date is set forth on the cover of this pricing supplement; after the trade date, the estimated value as determined by reference to these models will be affected by changes in market conditions, our creditworthiness and other
relevant factors. The price at which Goldman, Sachs & Co. would initially buy or sell your notes (if Goldman, Sachs & Co. makes a market, which it is not obligated to do), and the value that Goldman, Sachs & Co. will
initially use for account statements and otherwise, will also exceed the estimated value of your notes as determined by reference to these models. As agreed by Goldman, Sachs & Co. and the distribution participants, the amount of this
excess will decline on a straight line basis over the period from the date hereof through the applicable date set forth on the cover. Thereafter, if Goldman, Sachs & Co. buys or sells your notes it will do so at prices that reflect the
estimated value determined by reference to such pricing models at that time. The price at which Goldman, Sachs & Co. will buy or sell your notes at any time also will reflect its then current bid and ask spread for similar sized trades of
structured notes.
In estimating the value of your notes as of the time the terms of your notes are set on the trade date, as disclosed on the front
cover of this pricing supplement, Goldman, Sachs & Co.s pricing models consider certain variables, including principally our credit spreads, interest rates (forecasted, current and historical rates), volatility, price-sensitivity
analysis and the time to maturity of the notes. These pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. As a result, the actual value you would receive if you sold your notes
in the secondary market, if any, to others may differ, perhaps materially, from the estimated value of your notes determined by reference to our models due to, among other things, any differences in pricing models or assumptions used by others. See
Additional Risk Factors Specific to the Underlier-Linked Notes The Market Value of Your Notes May Be Influenced by Many Unpredictable Factors on page S-25 of the accompanying product supplement no. 3141.
The difference between the estimated value of your notes as of the time the terms of your notes are set on the trade date and the original issue price is a result
of certain factors, including principally the underwriting discount and commissions, the expenses incurred in creating, documenting and marketing the notes, and an estimate of the difference between the amounts we pay to Goldman, Sachs &
Co. and the amounts Goldman, Sachs & Co. pays to us in connection with your notes. We pay to Goldman, Sachs & Co. amounts based on what we would pay to holders of a non-structured note with a similar maturity. In return for such
payment, Goldman, Sachs & Co. pays to us the amounts we owe under your notes.
In addition to the factors discussed above, the value and quoted
price of your notes at any time will reflect many factors and cannot be predicted. If Goldman, Sachs & Co. makes a market in the notes, the price
PS-11
quoted by Goldman, Sachs & Co. would reflect any changes in market conditions and other relevant factors, including any deterioration in our creditworthiness or perceived
creditworthiness. These changes may adversely affect the value of your notes, including the price you may receive for your notes in any market making transaction. To the extent that Goldman, Sachs & Co. makes a market in the notes, the
quoted price will reflect the estimated value determined by reference to Goldman, Sachs & Co.s pricing models at that time, plus or minus its then current bid and ask spread for similar sized trades of structured notes (and subject to
the declining excess amount described above).
Furthermore, if you sell your notes, you will likely be charged a commission for secondary market
transactions, or the price will likely reflect a dealer discount. This commission or discount will further reduce the proceeds you would receive for your notes in a secondary market sale.
There is no assurance that Goldman, Sachs & Co. or any other party will be willing to purchase your notes at any price and, in this regard, Goldman, Sachs & Co. is not obligated to make a market
in the notes. See Additional Risk Factors Specific to the Underlier-Linked Notes Your Notes May Not Have an Active Trading Market on page S-24 of the accompanying product supplement no. 3141.
The Notes Are Subject to the Credit Risk of the Issuer
Although the return on the notes will be based on the performance of the underlier, the payment of any amount due on the notes is subject to our credit risk. The notes are our unsecured obligations. Investors are
dependent on our ability to pay all amounts due on the notes, and therefore investors are subject to our credit risk and to changes in the markets view of our creditworthiness. See Description of the Notes We May Offer Information
About Our Medium-Term Notes, Series D Program How the Notes Rank Against Other Debt on page S-4 of the accompanying prospectus supplement.
The Amount Payable on Your Notes Is Not Linked to the Level of the Underlier at Any Time Other than the Determination Date
The final underlier level will be based on the closing level of the underlier on the determination date (subject to adjustment as described elsewhere in this pricing supplement). Therefore, if the closing level of
the underlier dropped precipitously on the determination date, the cash settlement amount for your notes may be significantly less than it would have been had the cash settlement amount been linked to the closing level of the underlier prior to such
drop in the level of the underlier. Although the actual level of the underlier on the stated maturity date or at other times during the life of your notes may be higher than the final underlier level, you will not benefit from the closing level of
the underlier at any time other than on the determination date.
Also, the market price of your notes prior to the stated maturity date may be
significantly lower than the purchase price you pay for your notes. Consequently, if you sell your notes before the stated maturity date, you may receive far less than the amount of your investment in the notes.
Your Notes Will Not Bear Interest
You will
not receive any interest payments on your notes. As a result, even if the cash settlement amount payable for your notes on the stated maturity date exceeds the face amount of your notes, the overall return you earn on your notes may be less than you
would have earned by investing in a non-indexed debt security of comparable maturity that bears interest at a prevailing market rate.
The Potential for the Value of Your Notes to Increase Will Be Limited
Your ability to participate in any change in the value of the underlier over the life of your notes will be limited because of the cap level, which will be set on the trade date. The maximum settlement amount will
limit the cash settlement amount you may receive for each of your notes at maturity, no matter how much the level of the underlier may rise beyond the cap level over the life of your notes. Accordingly, the amount payable for each of your notes may
be significantly less than it would have been had you invested directly in the underlier.
You Have No Shareholder Rights or Rights to
Receive Any Underlier Stock
Investing in your notes will not make you a holder of any of the underlier stocks. Neither you nor any other holder or
owner of your notes will have any voting rights, any right to receive dividends or other distributions, any rights to make a claim against the underlier stocks or any other rights with respect to the
PS-12
underlier stocks. Your notes will be paid in cash and you will have no right to receive delivery of any underlier stocks.
We May Sell an Additional Aggregate Face Amount of the Notes at a Different Issue Price
At our sole option,
we may decide to sell an additional aggregate face amount of the notes subsequent to the date of this pricing supplement. The issue price of the notes in the subsequent sale may differ substantially (higher or lower) from the original issue price
you paid as provided on the cover of this pricing supplement.
If You Purchase Your Notes at a Premium to Face Amount, the Return on
Your Investment Will Be Lower Than the Return on Notes Purchased at Face Amount and the Impact of Certain Key Terms of the Notes Will be Negatively Affected
The cash settlement amount will not be adjusted based on the issue price you pay for the notes. If you purchase notes at a price that differs from the face amount of the notes, then the return on your investment in
such notes held to the stated maturity date will differ from, and may be substantially less than, the return on notes purchased at face amount. If you purchase your notes at a premium to face amount and hold them to the stated maturity date the
return on your investment in the notes will be lower than it would have been had you purchased the notes at face amount or a discount to face amount. In addition, the impact of the cap level on the return on your investment will depend upon the
price you pay for your notes relative to face amount. For example, if you purchase your notes at a premium to face amount, the cap level will only permit a lower percentage increase in your investment in the notes than would have been the case for
notes purchased at face amount or a discount to face amount.
An Investment in the Offered Notes Is Subject to Risks Associated with
Foreign Securities
You should be aware that investments in securities linked to the value of foreign equity securities involve particular risks.
The foreign securities markets whose stocks comprise the underlier may have less liquidity and may be more volatile than U.S. or other securities markets and market developments may affect foreign markets differently from U.S. or other securities
markets. Direct or indirect government intervention to stabilize the foreign securities markets, as well as cross-shareholdings in foreign companies, may affect trading prices and volumes in those markets. Also, there is generally less publicly
available information about foreign companies than about those U.S. companies that are subject to the reporting requirements of the U.S. Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial
reporting standards and requirements that differ from those applicable to U.S. reporting companies.
Securities prices in foreign countries are subject
to political, economic, financial and social factors that apply in those geographical regions. These factors, which could negatively affect those securities markets, include the possibility of recent or future changes in a foreign governments
economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to foreign companies or investments in foreign equity securities and the possibility of fluctuations in the rate
of exchange between currencies, the possibility of outbreaks of hostility and political instability and the possibility of natural disaster or adverse public health development in the region. Moreover, foreign economies may differ favorably or
unfavorably from the U.S. economy in important respects such as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
Your Notes Will Be Treated as Debt Instruments Subject to Special Rules Governing Contingent Payment Debt Instruments for U.S. Federal Income Tax Purposes
The notes will be treated as debt instruments subject to special rules governing contingent payment debt instruments for U.S. federal income tax purposes. If you
are a U.S. individual or taxable entity, you generally will be required to pay taxes on ordinary income from the notes over their term based on the comparable yield for the notes, even though you will not receive any payments from us until maturity.
This comparable yield is determined solely to calculate the amount on which you will be taxed prior to maturity and is neither a prediction nor a guarantee of what the actual yield will be. In addition, any gain you may recognize on the sale,
exchange or maturity of the notes will be taxed as ordinary interest income. If you are a secondary purchaser of the notes, the tax consequences to you may be different. Please see Supplemental Discussion of Federal Income Tax
Consequences below for a more detailed discussion.
PS-13
Please also consult your tax advisor concerning the U.S. federal income tax and any other applicable tax consequences to you of owning your notes in your particular circumstances.
Foreign Account Tax Compliance Act (FATCA) Withholding May Apply to Payments on Your Notes, Including as a Result of the Failure of the Bank or
Broker Through Which You Hold the Notes to Provide Information to Tax Authorities
Please see the discussion under United States Taxation
Taxation of Debt Securities Foreign Account Tax Compliance Act (FATCA) Withholding in the accompanying prospectus for a description of the applicability of FATCA to payments made on your notes.
PS-14
THE UNDERLIER
The EURO STOXX
50® Index is a capitalization-weighted index of 50 European blue-chip stocks and was created by and is sponsored and
maintained by STOXX Limited. Publication of the EURO STOXX 50 Index began on February 26, 1998, based on an initial index value of 1,000 at December 31, 1991. The level of the EURO STOXX 50® Index is disseminated on the STOXX Limited website. STOXX Limited is under no obligation to continue to publish the index and may discontinue publication of it at any
time. Additional information regarding the EURO STOXX 50® Index may be obtained from the STOXX Limited website:
http://www.stoxx.com. We are not incorporating by reference the website or any material it includes in this pricing supplement.
The top ten constituent stocks of the EURO STOXX 50® Index as of March 12, 2015, by weight, are: Bayer AG (5.04%), Sanofi (4.70%), Total S.A. (4.70%), Daimler AG (4.02%), Anheuser-Busch InBev N.V. (3.84%), BASF SE
(3.60%), Banco Santander S.A. (3.52%), Siemens AG (3.50%), Allianz SE (3.07%) and Unilever N.V. (2.69%); constituent weights may be found at http://www.stoxx.com/download/indices/factsheets/SX5GT.pdf under Factsheets and
Methodologies and are updated periodically.
As of March 12, 2015, the sixteen industry sectors which comprise the EURO
STOXX 50® Index represent the following weights in the index: Automobiles & Parts (7.29%), Banks (17.25%),
Chemicals (10.45%), Construction & Materials (2.09%), Food & Beverage (5.45%), Health Care (5.70%), Industrial Goods & Services (9.17%), Insurance (7.52%), Media (1.21%), Oil & Gas (7.33%), Personal &
Household Goods (6.50%), Real Estate (1.07%), Retail (2.10%), Technology (5.44%), Telecommunications (5.92%) and Utilities (5.51%); industry weightings may be found at http://www.stoxx.com/download/indices/factsheets/SX5GT.pdf under
Factsheets and Methodologies and are updated periodically. Percentages may not sum to 100% due to rounding. Sector designations are determined by the underlier sponsor using criteria it has selected or developed. Index sponsors may use
very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector
comparisons between indices with different index sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices.
As of March 12, 2015, the seven countries which comprise the EURO STOXX 50® Index
represent the following weights in the index: Belgium (3.84%), Finland (1.18%), France (34.86%), Germany (33.31%), Italy (7.51%), Netherlands (7.67%) and Spain (11.63%); country weightings may be found at
http://www.stoxx.com/download/indices/factsheets/SX5GT.pdf under Factsheets and Methodologies and are updated periodically.
The above information supplements the description of the EURO STOXX 50® Index found in
the accompanying general terms supplement. This information was derived from information prepared by the underlier sponsor, however, the percentages we have listed above are approximate and may not match the information available on the underlier
sponsors website due to subsequent corporation actions or other activity relating to a particular stock. For more details about the EURO STOXX 50® Index, the underlier sponsor and license agreement between the underlier sponsor and the issuer, see The Underliers EURO STOXX 50® Index on page S-67 of the accompanying general terms supplement.
The EURO STOXX
50® is the intellectual property of STOXX Limited, Zurich, Switzerland and/or its licensors (Licensors), which
is used under license. The securities or other financial instruments based on the index are in no way sponsored, endorsed, sold or promoted by STOXX and its Licensors and neither STOXX nor its Licensors shall have any liability with respect thereto.
Historical Closing Levels of the Underlier
The closing level of the underlier has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing level of the underlier during the
period shown below is not an indication that the underlier is more or less likely to increase or decrease at any time during the life of your notes.
You should not take the historical levels of the underlier as an indication of the future performance of the underlier. We cannot give you any assurance
that the future performance of the underlier or the underlier stocks will result in your receiving an amount greater than the outstanding face amount of your notes on the stated maturity date.
PS-15
Neither we nor any of our affiliates make any representation to you as to the performance of the underlier. The actual
performance of the underlier over the life of the offered notes, as well as the cash settlement amount, may bear little relation to the historical levels shown below.
The graph below shows the daily historical closing levels of the underlier from March 25, 2005 through March 25, 2015. We obtained the closing levels in the graph below from Bloomberg Financial Services,
without independent verification.
PS-16
PS-17
SUPPLEMENTAL DISCUSSION OF FEDERAL INCOME TAX CONSEQUENCES
The following section supplements the discussion of U.S. federal income taxation in the accompanying product supplement.
The following section is the opinion of Sidley Austin LLP, counsel to The Goldman Sachs Group, Inc. It applies to you only if you hold your notes as
a capital asset for tax purposes. This section does not apply to you if you are a member of a class of holders subject to special rules, such as:
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a dealer in securities or currencies; |
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a trader in securities that elects to use a mark-to-market method of accounting for your securities holdings; |
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a regulated investment company; |
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a life insurance company; |
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a tax-exempt organization; |
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a person that owns the notes as a hedge or that is hedged against interest rate risks; |
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a person that purchases or sells the notes as part of a wash-sale for tax purposes; |
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a person that owns the notes as part of a straddle or conversion transaction for tax purposes; or |
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a United States holder (as defined below) whose functional currency for tax purposes is not the U.S. dollar. |
This section is based on the U.S. Internal Revenue Code of 1986, as amended, its legislative history, existing and proposed regulations under the Internal Revenue
Code, published rulings and court decisions, all as currently in effect. These laws are subject to change, possibly on a retroactive basis.
You should
consult your tax advisor concerning the U.S. federal income tax and other tax consequences of your investment in the notes, including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws.
United States Holders
This
subsection describes the tax consequences to a United States holder. You are a United States holder if you are a beneficial owner of notes and you are:
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a citizen or resident of the United States; |
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a domestic corporation; |
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an estate whose income is subject to U.S. federal income tax regardless of its source; or |
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a trust if a United States court can exercise primary supervision over the trusts administration and one or more United States persons are authorized to
control all substantial decisions of the trust. |
If you are not a United States holder, this section does not apply to you and you
should refer to United States Alien Holders below.
Your notes will be treated as debt instruments subject to special rules governing
contingent payment debt instruments for U.S. federal income tax purposes. Under those rules, the amount of interest you are required to take into account for each accrual period will be determined by constructing a projected payment schedule for
your notes and applying rules similar to those for accruing original issue discount on a hypothetical noncontingent debt instrument with that projected payment schedule. This method is applied by first determining the yield at which we would issue a
noncontingent fixed rate debt instrument with terms and conditions similar to your notes (the comparable yield) and then determining as of the issue date a payment schedule that would produce the comparable yield. These rules will
generally have the effect of requiring you to include amounts in income in respect of your notes prior to your receipt of cash attributable to such income.
PS-18
We have determined that the comparable yield for the notes is equal to % per annum, compounded
semi-annually, with a projected payment at maturity of $ based on an investment of $1,000. Based on this comparable yield, if you are an initial holder that holds a note until maturity and you pay your
taxes on a calendar year basis, we have determined that you would be required to report the following amounts as ordinary income, not taking into account any positive or negative adjustments you may be required to take into account based on the
actual payments on the notes, from the note each year:
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Accrual Period |
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Interest Deemed to Accrue
During Accrual Period (per $1,000 note) |
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Total Interest Deemed to Have Accrued from Original Issue
Date (per $1,000 note) as of End of Accrual Period |
through December 31, 2015 |
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January 1, 2016 through December 31, 2016 |
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January 1, 2017 through December 31, 2017 |
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January 1, 2018 through December 31, 2018 |
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January 1, 2019 through December 31, 2019 |
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January 1, 2020 through December 31, 2020 |
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January 1, 2021 through December 31, 2021 |
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January 1, 2022 through |
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You are required to use the comparable yield and projected payment schedule that we compute in determining your interest accruals
in respect of your notes, unless you timely disclose and justify on your U.S. federal income tax return the use of a different comparable yield and projected payment schedule.
The comparable yield and projected payment schedule are not provided to you for any purpose other than the determination of your interest accruals in respect of your notes, and we make no representation regarding
the amount of contingent payments with respect to your notes.
You will recognize income or loss upon the sale, exchange or maturity of your notes in an
amount equal to the difference, if any, between the cash amount you receive at such time and your adjusted basis in your notes. In general, your adjusted basis in your notes will equal the amount you paid for your notes, increased by the amount of
interest you previously accrued with respect to your notes (in accordance with the comparable yield and the projected payment schedule for your notes) and increased or decreased by the amount of any positive or negative adjustment, respectively,
that you are required to make if you purchase your notes at a price other than the adjusted issue price determined for tax purposes (as described in the accompanying product supplement).
Any income you recognize upon the sale, exchange or maturity of your notes will be ordinary interest income. Any loss you recognize at such time will be ordinary loss to the extent of interest you included as
income in the current or previous taxable years in respect of your notes, and thereafter, capital loss. If you are a noncorporate holder, you would generally be able to use such ordinary loss to offset your income only in the taxable year in which
you recognize the ordinary loss and would generally not be able to carry such ordinary loss forward or back to offset income in other taxable years.
United States Alien Holders
If you are a United States alien holder, please see the discussion under
United States Taxation Taxation of Debt Securities United States Alien Holders in the accompanying prospectus for a description of the tax consequences relevant to you. You are a United States alien holder if you are the
beneficial owner of the notes and are, for U.S. federal income tax purposes:
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a nonresident alien individual; |
PS-19
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a foreign corporation; or |
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an estate or trust that in either case is not subject to U.S. federal income tax on a net income basis on income or gain from the notes.
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Foreign Account Tax Compliance Act (FATCA) Withholding
Pursuant to Treasury regulations, Foreign Account Tax Compliance Act (FATCA) withholding (as described in United States TaxationTaxation of Debt
SecuritiesForeign Account Tax Compliance Act (FATCA) Withholding in the accompanying prospectus) will generally apply to obligations that are issued on or after July 1, 2014; therefore, the notes will generally be subject to FATCA
withholding. However, according to final Treasury regulations, the withholding tax described above will not apply to payments of gross proceeds from the sale, exchange or other disposition of the notes made before January 1, 2017.
PS-20
We have not authorized anyone to provide any information or to make any representations other than those contained or
incorporated by reference in this pricing supplement, the accompanying product supplement, the accompanying general terms supplement, the accompanying prospectus supplement or the accompanying prospectus. We take no responsibility for, and can
provide no assurance as to the reliability of, any other information that others may give you. This pricing supplement, the accompanying product supplement, the accompanying general terms supplement, the accompanying prospectus supplement and the
accompanying prospectus is an offer to sell only the notes offered hereby, but only under circumstances and in jurisdictions where it is lawful to do so. The information contained in this pricing supplement, the accompanying product supplement, the
accompanying general terms supplement, the accompanying prospectus supplement and the accompanying prospectus is current only as of the respective dates of such documents.
TABLE OF CONTENTS
Pricing Supplement
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Page |
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Summary Information |
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PS-4 |
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Hypothetical Examples |
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PS-7 |
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Additional Risk Factors Specific to Your Notes |
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PS-11 |
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The Underlier |
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PS-15 |
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Supplemental Discussion of Federal Income Tax Consequences |
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PS-18 |
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Product Supplement No. 3141 dated September 15, 2014 |
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Summary Information |
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S-1 |
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Hypothetical Returns on the Underlier-Linked Notes |
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S-8 |
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Additional Risk Factors Specific to the Underlier-Linked Notes |
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S-23 |
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General Terms of the Underlier-Linked Notes |
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S-27 |
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Use of Proceeds |
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S-31 |
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Hedging |
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S-31 |
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Supplemental Discussion of Federal Income Tax Consequences |
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S-33 |
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Employee Retirement Income Security Act |
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S-43 |
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Supplemental Plan of Distribution |
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S-44 |
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General Terms Supplement dated September 26, 2014 |
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Additional Risk Factors Specific to the Notes |
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S-1 |
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Supplemental Terms of the Notes |
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S-13 |
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The Underliers |
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S-33 |
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S&P 500®
Index |
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S-37 |
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MSCI Indices |
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S-42 |
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Hang Seng China Enterprises Index |
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S-50 |
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Russell
2000® Index |
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S-55 |
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FTSE® 100
Index |
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S-62 |
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EURO STOXX
50® Index |
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S-67 |
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TOPIX |
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S-73 |
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The Dow Jones Industrial AverageSM |
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S-78 |
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The iShares®
MSCI Emerging Markets ETF |
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S-81 |
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Prospectus Supplement dated September 15, 2014 |
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Use of Proceeds |
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S-2 |
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Description of Notes We May Offer |
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S-3 |
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Considerations Relating to Indexed Notes |
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S-19 |
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United States Taxation |
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S-22 |
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Employee Retirement Income Security Act |
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S-23 |
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Supplemental Plan of Distribution |
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S-24 |
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Validity of the Notes |
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S-26 |
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Prospectus dated September 15, 2014 |
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Available Information |
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2 |
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Prospectus Summary |
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4 |
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Use of Proceeds |
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8 |
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Description of Debt Securities We May Offer |
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9 |
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Description of Warrants We May Offer |
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39 |
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Description of Purchase Contracts We May Offer |
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56 |
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Description of Units We May Offer |
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61 |
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Description of Preferred Stock We May Offer |
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67 |
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Description of Capital Stock of The Goldman Sachs Group, Inc. |
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75 |
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Legal Ownership and Book-Entry Issuance |
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80 |
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Considerations Relating to Floating Rate Securities |
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85 |
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Considerations Relating to Indexed Securities |
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87 |
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Considerations Relating to Securities Denominated or Payable in or Linked to a Non-U.S. Dollar Currency |
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88 |
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United States Taxation |
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91 |
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Plan of Distribution |
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114 |
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Conflicts of Interest |
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117 |
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Employee Retirement Income Security Act |
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118 |
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Validity of the Securities |
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119 |
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Experts |
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119 |
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Review of Unaudited Condensed Consolidated Financial Statements by Independent Registered Public Accounting Firm |
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120 |
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Cautionary Statement Pursuant to the Private Securities Litigation Reform Act of 1995 |
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120 |
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$
The Goldman Sachs Group, Inc.
Leveraged EURO STOXX 50® Index-Linked Notes due
Goldman, Sachs & Co.
Goldman Sachs (NYSE:GS)
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