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 April 27, 2015
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The Goldman Sachs Group, Inc.
$ Leveraged
Buffered S&P 500® 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 the third scheduled business day after the determination date) is based on the performance of the S&P
500® Index as measured from the trade date to and including the determination date (expected to be between 24 and 27
months after the trade date). If the final index level on the determination date is greater than the initial index level (set on the trade date and may be higher or lower than the actual closing level of the index on the trade date), the return on
your notes will be positive, subject to the maximum settlement amount (expected to be between $1,165.00 and $1,193.50 for each $1,000 face amount of your notes). If the final index level declines by up to 10.00% from the initial index level, you
will receive the face amount of your notes. If the final index level declines by more than 10.00% from the initial index level, the return on your notes will be negative. You could lose your entire investment in the 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) 1.5 times (c) the index return, subject to the maximum settlement amount; |
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if the index return is zero or negative but not below -10.00% (the final index level is equal to or less than the initial
index level but not by more than 10.00%), $1,000; or |
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if the index return is negative and is below -10.00% (the final index level is less than the initial index level by more than 10.00%), the
sum of (i) $1,000 plus (ii) the product of (a) approximately 1.1111 times (b) the sum of the index return plus 10.00% times (c) $1,000. |
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 $960 and $980 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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, 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 |
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.
About Your Prospectus
The notes are part of the Medium-Term Notes, Series D program of The Goldman Sachs Group, Inc. This prospectus includes this pricing supplement and the accompanying documents listed below. This pricing supplement
constitutes a supplement to the documents listed below and should be read in conjunction with such documents:
The information in this pricing supplement supersedes any conflicting information in the documents
listed above. In addition, some of the terms or features described in the listed documents may not apply to your notes.
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Leveraged Buffered S&P 500® Index-Linked Notes due |
INVESTMENT THESIS
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For investors willing to forgo gains above a maximum payment of between 116.50% and 119.35% of the face amount in exchange for (a) leveraged upside
participation if the underlier return is positive but not greater than between 11.00% and 12.90% and (b) a buffer against loss of principal in the event of a decline of up to 10.00% in the final underlier level relative to the initial
underlier level. |
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For investors willing to forgo interest payments and risk losing their entire investment for the potential to earn 150.00% of any positive return of the
underlier up to a maximum payment of between 116.50% and 119.35% of the face amount. |
DETERMINING THE CASH SETTLEMENT AMOUNT
At maturity, for each $1,000 face amount, the investor will receive (in each case as a percentage of the face amount):
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If the final underlier level is above 100.00% of its initial level, 100.00% plus 150.00% times the underlier return, subject to a maximum of between 116.50% and
119.35% |
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If the final underlier level is between 90.00% and 100.00% of its initial level, 100.00% |
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If the final underlier level is below 90.00% of its initial level, 100.00% minus approximately 1.1111% for every 1.00% that the underlier has declined below
90.00% of its initial level |
If the final underlier level declines by more than 10.00% from the initial underlier level, the return
on the notes will be negative and the investor could lose their entire investment in the notes.
KEY TERMS
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Issuer: |
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The Goldman Sachs Group, Inc. |
Underlier: |
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The S&P 500® Index (Bloomberg symbol, SPX
Index) |
Face Amount: |
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$ in the aggregate; each note will have a face amount equal to $1,000 |
Trade Date: |
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Settlement Date: |
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Expected to be the fifth scheduled business day after the trade date |
Determination Date: |
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Expected to be between 24 and 27 months after the trade date |
Stated Maturity Date: |
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Expected to be the third scheduled business day after the determination date |
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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150.00% |
Buffer Level: |
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90.00% of the initial underlier level (equal to a -10.00% underlier return) |
Buffer Amount: |
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10.00% |
Buffer Rate: |
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The quotient of the initial underlier level divided by the buffer level, which equals approximately 111.11% |
Maximum Settlement Amount: |
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Expected to be between $1,165.00 and $1,193.50 |
Cap Level: |
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Expected to be between 111.00% and 112.90% of the initial underlier level |
CUSIP/ISIN: |
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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) |
150.000% |
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116.500% |
130.000% |
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116.500% |
120.000% |
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116.500% |
111.000% |
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116.500% |
108.000% |
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112.000% |
105.000% |
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107.500% |
100.000% |
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100.000% |
94.000% |
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100.000% |
90.000% |
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100.000% |
75.000% |
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83.333% |
50.000% |
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55.556% |
25.000% |
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27.778% |
0.000% |
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0.000% |
* |
assumes the cap level is set at the bottom of the cap level range of between 111.00% and 112.90% of the initial underlier level |
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. 3136 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
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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. 3136 mean the accompanying product supplement no. 3136, 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-35 of the accompanying product supplement no. 3136 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. 3136 and general terms supplement are not applicable to the notes. This pricing supplement supersedes any conflicting provisions of the accompanying product supplement no. 3136 or the accompanying general terms
supplement. |
Key Terms
Issuer: The Goldman Sachs Group, Inc.
Underlier: the S&P 500® Index (Bloomberg symbol, SPX Index), as published by S&P Dow Jones Indices LLC (S&P)
Specified currency: U.S. dollars ($)
Terms to be specified in accordance with the accompanying product supplement no. 3136:
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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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buffer level: yes, as described below |
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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 stated buffer level
would not offer the same measure of protection to your investment as would be the case if you had purchased the notes at face amount. Additionally, 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: you will be obligated pursuant to the terms of the notes in the absence of a change in law, an administrative determination or a judicial ruling to the contrary to characterize
each note for all tax purposes as a pre-paid derivative contract in
PS-4
respect of the underlier, as described under Supplemental Discussion of Federal Income Tax Consequences on page S-42 of the accompanying product supplement no. 3136. Pursuant to this
approach, it is the opinion of Sidley Austin LLP that upon the sale, exchange or maturity of your notes, it would be reasonable for you to recognize capital gain or loss equal to the difference, if any, between the amount of cash you
receive at such time and your tax basis in your notes. Pursuant to Treasury regulations, Foreign Account Tax Compliance Act (FATCA) withholding (as described in United States Taxation Taxation of Debt Securities Foreign 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.
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; |
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if the final underlier level is equal to or less than the initial underlier level but greater than or equal to the buffer level,
$1,000; or |
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if the final underlier level is less than the buffer level, the sum of (1) $1,000 plus (2) the product of (i) $1,000
times (ii) the buffer rate times (iii) the sum of the underlier return plus the buffer amount |
Initial underlier level (to be set on the trade date and may be higher or lower than the actual closing level of the underlier 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: 150.00%
Cap level (to be set on the trade date): expected to be between 111.00% and 112.90% of the initial underlier level
Maximum settlement amount (to be set on the trade date): expected to be between $1,165.00 and $1,193.50
Buffer level: 90.00% of the initial underlier level
Buffer amount: 10.00%
Buffer rate: the
quotient of the initial underlier level divided by the buffer level, which equals approximately 111.11%
Trade date:
Original issue date (settlement date) (to
be set on the trade date): expected to be the fifth scheduled business day following the trade date
Determination date (to be set on the
trade date): a specified date that is expected to be between 24 and 27 months after the trade date, 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): a specified date that is expected to be the third scheduled
business day after the determination date, subject to adjustment as described under Supplemental Terms of the Notes Stated Maturity Date on page S-13 of the accompanying general terms supplement
PS-5
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-40 of the accompanying product supplement no. 3136
ERISA: as described under Employee Retirement Income Security Act on page S-49 of the accompanying product supplement no. 3136
Supplemental plan of distribution: as described under Supplemental Plan of Distribution on page S-50 of the accompanying product
supplement no. 3136; The Goldman Sachs Group, Inc. estimates that its share of the total offering expenses, excluding underwriting discounts and commissions, will be approximately $ .
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 price set
forth on the cover page of this pricing supplement. The underwriting discount set forth on the cover page of this pricing supplement per $1,000 face amount is comprised of $ of underwriting fees and
$ of selling commission.
We expect to deliver the notes against payment therefor in New York, New York
on , 2015, which is expected to be the fifth scheduled business day following the date of this pricing supplement and of the pricing of the notes. Under
Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade
notes on any date prior to three business days before delivery will be required, by virtue of the fact that the notes are initially expected to settle in five business days (T + 5), to specify alternative settlement arrangements to prevent a
failed settlement.
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.:
ISIN no.:
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 |
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Face amount |
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$1,000 |
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Upside participation rate |
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150.00% |
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Cap level |
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111.00% of the initial underlier level |
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Maximum settlement amount |
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$1,165.00 |
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Buffer level |
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90.00% of the initial underlier level |
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Buffer rate |
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approximately 111.11% |
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Buffer amount |
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10.00% |
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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 |
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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, if any, 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 and may be
higher or lower than the actual closing level of the underlier on 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, if any, 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
PS-7
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.
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) |
150.000% |
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116.500% |
140.000% |
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116.500% |
130.000% |
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116.500% |
120.000% |
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116.500% |
111.000% |
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116.500% |
108.000% |
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112.000% |
105.000% |
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107.500% |
102.000% |
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103.000% |
100.000% |
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100.000% |
97.000% |
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100.000% |
94.000% |
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100.000% |
92.000% |
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100.000% |
90.000% |
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100.000% |
75.000% |
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83.333% |
50.000% |
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55.556% |
25.000% |
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27.778% |
0.000% |
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0.000% |
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 approximately 27.778% 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 lose approximately 72.222% of your investment (if you purchased your notes at a premium to face amount you would lose a correspondingly higher percentage of your investment). In addition, if the final underlier level
were determined to be 150.000% 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 116.500% 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 111.000% 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 90.000% (the section left of the 90.000% marker on the horizontal axis) would result in a hypothetical cash settlement amount of less than
100.000% of the face amount of your notes (the section below the 100.000% marker
PS-8
on the vertical axis) and, accordingly, in a loss of principal to the holder of the 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 111.000% (the section right of the 111.000% marker on the horizontal axis) would result in a capped return on your investment.
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-32 of the accompanying product
supplement no. 3136.
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
PS-9
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.
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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, if any, at maturity and the rate of return on the offered notes will depend on the
actual initial underlier level, the cap level and the maximum settlement amount, 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, if any, 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
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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. 3136. 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. 3136, 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-32 of the accompanying product
supplement no. 3136.
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-31 of the accompanying product supplement no. 3136.
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.
You May Lose Your Entire Investment in the Notes
You can lose your entire investment in the notes. The cash payment on your notes, if any, on the stated maturity date will be based on
the performance of the S&P 500® Index as measured from the initial underlier level set on the trade date (which could
be higher or lower than the actual closing level of the underlier on the trade date) to the closing level on the determination date. If the final underlier level is less than the buffer level, you will have a loss for each $1,000 of the face
amount of your notes equal to the product of the buffer rate times the sum of the underlier return plus the buffer amount times $1,000. Thus, you may lose your entire investment in the notes, which would include
any premium to face amount you paid when you purchased the notes.
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
PS-12
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 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 buffer level and 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. Similarly, the buffer level, while still providing some protection for the return on the notes, will allow a greater percentage decrease in your investment in the notes
than would have been the case for notes purchased at face amount or a discount to face amount.
Your Notes May Be Subject to an
Adverse Change in Tax Treatment in the Future
The Internal Revenue Service announced on December 7, 2007 that it is considering issuing
guidance regarding the proper U.S. federal income tax treatment of an instrument such as your notes that are currently characterized as pre-paid derivative contracts, and any such guidance could adversely affect the tax treatment and the value of
your notes. Among other things, the Internal Revenue Service may decide to require the holders to accrue ordinary income on a current basis and recognize ordinary income on payment at maturity, and could subject non-U.S. investors to withholding
tax. Furthermore, in 2007, legislation was introduced in Congress that, if enacted, would have required holders that acquired instruments such as your notes after the bill was enacted to accrue interest income over the term of such notes even though
there may be no interest payments over the term of such notes. It is not possible to predict whether a similar or identical bill will be enacted in the future, or whether any such bill would affect the tax treatment of such notes. We describe these
developments in more detail under Supplemental Discussion of Federal Income Tax Consequences on page S-42 of the accompanying product supplement no. 3136. You should consult your tax advisor about this matter. Except to the extent
otherwise provided by law, The Goldman Sachs Group, Inc. intends to continue treating the notes for U.S. federal income tax purposes in accordance with the treatment described under Supplemental Discussion of Federal Income Tax
Consequences on page S-42 of the accompanying product supplement no. 3136 unless and until such time as Congress, the Treasury Department or the Internal Revenue Service determine that some other treatment is more appropriate.
PS-13
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 S&P
500® Index includes a representative sample of 500 leading companies in leading industries of the U.S. economy. The
S&P 500® Index is calculated, maintained and published by S&P Dow Jones Indices LLC.
The underlier sponsor has announced that it expects that, effective with the September 2015 rebalance, consolidated share class lines will no
longer be included in the S&P 500® Index. Each share class line will be subject to public float and liquidity criteria
individually, but the companys total market capitalization will be used to evaluate each share class line. This may result in one listed share class line of a company being included in the S&P 500® Index while a second listed share class line of the same company is excluded.
As of April 21, 2015, the 500 companies included in the S&P 500® Index were
divided into ten Global Industry Classification Sectors. The Global Industry Classification Sectors include (with the approximate percentage currently included in such sectors indicated in parentheses): Consumer Discretionary (12.54%), Consumer
Staples (9.65%), Energy (8.33%), Financials (16.03%), Health Care (15.02%), Industrials (10.34%), Information Technology (19.69%), Materials (3.16%), Telecommunication Services (2.25%) and Utilities (2.99%). (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.)
The above information supplements the description of the underlier 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 underlier, the underlier sponsor and license agreement between the underlier sponsor and the issuer, see The Underliers S&P 500® Index on page S-37 of the accompanying general terms supplement.
The S&P
500® Index is a product of S&P Dow Jones Indices LLC, and has been licensed for use by The Goldman Sachs Group, Inc.
(Goldman). Standard & Poors® and S&P® are registered trademarks of Standard & Poors Financial Services LLC; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones) and these trademarks have been licensed for use by S&P Dow Jones Indices LLC
and sublicensed for certain purposes by Goldman. Goldmans notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, Standard & Poors Financial Services LLC or any of their respective
affiliates and neither S&P Dow Jones Indices LLC, Dow Jones, Standard & Poors Financial Services LLC or any of their respective affiliates make any representation regarding the advisability of investing in such notes.
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.
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.
PS-15
The graph below shows the daily historical closing levels of the underlier from April 24, 2005 through
April 24, 2015. We obtained the closing levels in the graph below from Bloomberg Financial Services, without independent verification.
PS-16
PS-17
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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Product Supplement No. 3136 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-10 |
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Additional Risk Factors Specific to the Underlier-Linked Notes |
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S-30 |
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General Terms of the Underlier-Linked Notes |
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S-35 |
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Use of Proceeds |
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S-40 |
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Hedging |
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S-40 |
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Supplemental Discussion of Federal Income Tax Consequences |
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S-42 |
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Employee Retirement Income Security Act |
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S-49 |
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Supplemental Plan of Distribution |
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S-50 |
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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 AverageTM |
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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 Buffered S&P 500® Index-Linked Notes due
Goldman, Sachs & Co.
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