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0000950123-11-014259.txt : 20110215
0000950123-11-014259.hdr.sgml : 20110215
20110215161403
ACCESSION NUMBER: 0000950123-11-014259
CONFORMED SUBMISSION TYPE: 424B2
PUBLIC DOCUMENT COUNT: 3
FILED AS OF DATE: 20110215
DATE AS OF CHANGE: 20110215
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: GOLDMAN SACHS GROUP INC
CENTRAL INDEX KEY: 0000886982
STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211]
IRS NUMBER: 134019460
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: 424B2
SEC ACT: 1933 Act
SEC FILE NUMBER: 333-154173
FILM NUMBER: 11614409
BUSINESS ADDRESS:
STREET 1: 200 WEST STREET
CITY: NEW YORK
STATE: NY
ZIP: 10282
BUSINESS PHONE: 2129021000
MAIL ADDRESS:
STREET 1: 200 WEST STREET
CITY: NEW YORK
STATE: NY
ZIP: 10282
FORMER COMPANY:
FORMER CONFORMED NAME: GOLDMAN SACHS GROUP INC/
DATE OF NAME CHANGE: 20010104
424B2
1
c12686e424b2.htm
PRICING SUPPLEMENT NO. 721 DATED FEBRUARY 11, 2011
424b2
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-154173
The Goldman Sachs Group, Inc.
Medium-Term Notes, Series D
$22,205,000
Leveraged Buffered Index-Linked Notes due 2013
(Linked to the MSCI EAFE Index)
The notes do not bear interest. The amount that you will be paid on your notes on the stated
maturity date (February 20, 2013, subject to adjustment) is based on the performance of the MSCI
EAFE Index (which we refer to as the index or underlier) as measured from the trade date (February
11, 2011) to and including the determination date (February 12, 2013, subject to adjustment). If
the index return (defined below) is less than -10.00% (the final index level is less than the
initial index level by more than 10.00%), you would lose a portion of your investment in the notes
and may lose your entire investment, depending on the performance of the index. Additionally, the
amount you may receive for each $1,000 face amount of your notes at maturity is subject to a
maximum settlement amount of $1,313.00.
To determine your payment at maturity, we will first calculate the percentage increase or
decrease in the final index level (determined on the determination date, subject to adjustment)
from the initial index level (1,719.08, which is lower than the actual closing level of the index
on the trade date, which is 1,723.88), which we refer to as the index return. The index return may
reflect a positive return (based on any increase in the index level over the life of the notes) or
a negative return (based on any decrease in the index level over the life of the notes). On the
stated maturity date, for each $1,000 face amount of your notes:
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if the index return is positive (the final index level is greater than the initial
index level), you will receive an amount in cash equal to the sum of (i) $1,000 plus
(ii) the product of $1,000 times 2.0 times 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 less than or equal to the initial index level but not by more than 10.00%), you will
receive an amount in cash equal to $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%), you will receive an amount in cash
equal to 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. You will receive less than
$1,000. |
The amount you will be paid on your notes on the stated maturity date will not be affected by
the closing level of the index on any day other than the determination date. You could lose your
entire investment in the notes. A percentage decrease of more than 10.00% between the initial
index level and the final index level will reduce the payment you will receive, if any, on the
stated maturity date below the face amount of your notes, potentially to $0. Further, the maximum
payment that you could receive on the stated maturity date with respect to a $1,000 face amount
note (the minimum denomination) is limited to the maximum settlement amount of $1,313.00. In
addition, the notes do not pay interest, and no other payments on your notes will be made prior to
the stated maturity date.
Because we have provided only a brief summary of the terms of your notes above, you should
read the detailed description of the terms of the notes found in Summary Information on page PS-2
in this pricing supplement and the general terms of the leveraged buffered index-linked notes found
in General Terms of the Non-Principal Protected Underlier-Linked Notes on page S-45 of the
accompanying prospectus supplement no. 376.
Your investment in the notes involves certain risks. In particular, assuming no changes in
market conditions or our creditworthiness and other relevant factors, the value of your notes on
the trade date (as determined by reference to pricing models used by Goldman, Sachs & Co. and
taking into account our credit spreads) is, and the price you may receive for your notes may be,
significantly less than the original issue price. The value or quoted price of your notes at any
time will reflect many factors and cannot be predicted; however, the price at which Goldman, Sachs
& Co. would initially buy or sell notes (if Goldman, Sachs & Co. makes a market) and the value that
Goldman, Sachs & Co. will initially use for account statements and otherwise will significantly
exceed the value of your notes using such pricing models. The amount of the excess will decline
on a straight line basis over the period from the date hereof through June 10, 2011. We encourage
you to read Additional Risk Factors Specific to the Non-Principal Protected Underlier-Linked
Notes on page S-33 of the accompanying prospectus supplement no. 376 and Additional Risk Factors
Specific to Your Notes on page PS-8 of this pricing supplement so that you may better understand
those risks.
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Original issue date (settlement date):
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February 18, 2011
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Original issue price:
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100.00% of the face amount |
Underwriting discount:
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0.175% of the face amount
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Net proceeds to the issuer:
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99.825% of the face amount |
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, 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.
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 pricing supplement.
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 may use this pricing supplement in the initial sale of the notes. In addition,
Goldman, Sachs & Co. or any other affiliate of Goldman Sachs may use this pricing supplement 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 pricing supplement is being used
in a market-making transaction.
The MSCI indices are the exclusive property of MSCI Inc. (MSCI). MSCI and the MSCI index
names are service mark(s) of MSCI or its affiliates and are licensed for use for certain purposes
by The Goldman Sachs Group, Inc. and its affiliates. These securities, based on such index, have
not been passed on by MSCI as to their legality or suitability, and are not issued, sponsored,
endorsed, sold or promoted by MSCI, and MSCI bears no liability with respect to any such notes. No
purchaser, seller or holder of the notes, or any other person or entity, should use or refer to any
MSCI trade name, trademark or service mark to sponsor, endorse, market or promote the notes without
first contacting MSCI to determine whether MSCIs permission is required. Under no circumstances
may any person or entity claim any affiliation with MSCI without the prior written permission of
MSCI. The prospectus contains a more detailed description of the limited relationship MSCI has with
The Goldman Sachs Group, Inc. and any related securities.
Pricing Supplement dated February 11, 2011.
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 April 6,
2009, as supplemented by the accompanying prospectus supplement, dated April 6, 2009, of The
Goldman Sachs Group, Inc., and references to the accompanying prospectus supplement no. 376 mean
the accompanying prospectus supplement no. 376, dated June 21, 2010, of The Goldman Sachs Group,
Inc., to the accompanying prospectus.
This section is meant as a summary and should be read in conjunction with the section entitled
General Terms of the Non-Principal Protected Underlier-Linked Notes on page S-45 of the
accompanying prospectus supplement no. 376.
Key Terms
Issuer: The Goldman Sachs Group, Inc.
Underlier: the MSCI EAFE Index (Bloomberg symbol, MXEA), as maintained by MSCI Inc. (MSCI)
Specified currency: U.S. dollars ($)
Terms to be specified in accordance with the accompanying prospectus supplement no. 376:
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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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buffer level: yes, as described below |
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cap level: yes, as described below |
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averaging dates: not applicable |
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interest: not applicable |
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redemption right or price dependent redemption right: not applicable |
Face amount: each note will have a face amount of $1,000; $22,205,000 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 but prior to the settlement date
Payment amount: on the stated maturity date we will pay you, for each $1,000 face amount of your
notes, an amount in cash equal to the cash settlement amount
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 above, 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-9 of this pricing supplement
Cash settlement amount:
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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) the $1,000 face amount plus (2) the product of (i) the $1,000
face amount 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, the $1,000 face amount; or |
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if the final underlier level is less than the buffer level, the sum of (1) the $1,000
face amount plus (2) the product of (i) the |
PS-2
$1,000 face amount times (ii) the buffer rate times (iii) the sum of the underlier return
plus the buffer amount
Initial underlier level: 1,719.08 (which is lower than the actual closing level of the underlier on
the trade date, which is 1,723.88)
Final underlier level: the closing level of the underlier on the determination date, except in the
limited circumstances described under General Terms of the Non-Principal Protected
Underlier-Linked Notes Payment of Principal on Stated Maturity Date Consequences of a Market
Disruption Event or a Non-Trading Day on page S-52 of the accompanying prospectus supplement no.
376 and subject to adjustment as provided under General Terms of the Non-Principal Protected
Underlier-Linked Notes Discontinuance or Modification of an Underlier on page S-54 of the
accompanying prospectus supplement no. 376
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: 200.00%
Cap level: 115.65% of the initial underlier level
Maximum settlement amount: $1,313.00
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: February 11, 2011
Original issue date (settlement date): February 18, 2011
Stated maturity date: February 20, 2013, subject to adjustment as described under General Terms of
the Non-Principal Protected Underlier-Linked Notes Payment of Principal on Stated Maturity Date
Stated Maturity Date on page S-50 of the accompanying prospectus supplement no. 376
Determination date: February 12, 2013, subject to adjustment as described under General Terms of
the Non-Principal Protected Underlier-Linked Notes Payment of Principal on Stated Maturity Date
Determination Date on page S-50 of the accompanying prospectus supplement no. 376
No interest: the offered notes do 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 General Terms of the Non-Principal Protected Underlier-Linked
Notes Special Calculation Provisions Closing Level on page S-56 of the accompanying
prospectus supplement no. 376
Business day: as described under General Terms of the Non-Principal Protected Underlier-Linked
Notes Special Calculation Provisions Business Day on page S-56 of the accompanying
prospectus supplement no. 376
Trading day: as described under General Terms of the Non-Principal Protected Underlier-Linked
Notes Special Calculation Provisions Trading Day on page S-56 of the accompanying
prospectus supplement no. 376
Use of proceeds and hedging: as described under Use of Proceeds and Hedging on page S-61 of the
accompanying prospectus supplement no. 376
Supplemental discussion of 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 respect of the underlier, as described under Supplemental Discussion of
Federal Income Tax Consequences on page S-63 of the accompanying prospectus supplement no. 376
Please see the discussion under United States Taxation Taxation of Debt Securities Backup
Withholding and Information Reporting in the accompanying prospectus. In addition, pursuant to
recently enacted legislation, certain payments in respect of the notes made to corporate U.S.
holders after December 31, 2011 may be subject to information reporting and backup withholding
ERISA: as described under Employee Retirement Income Security Act on page S-69 of
PS-3
the accompanying prospectus supplement no. 376
Supplemental plan of distribution: as described under Supplemental Plan of Distribution on page
S-70 of the accompanying prospectus supplement no. 376; The Goldman Sachs Group, Inc. estimates
that its share of the total offering expenses, excluding underwriting discounts and commissions,
will be approximately $10,000;
we will deliver the notes against payment therefor in New York, New York on February 18, 2011,
which is 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 Exchange Act, 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 will
initially settle in five business days (T + 5), to specify alternative settlement arrangements to
prevent a failed settlement
Calculation agent: Goldman, Sachs & Co.
CUSIP no.: 38146M296
ISIN no.: US38146M2961
Conflicts of interest: Goldman, Sachs & Co. is an affiliate of The Goldman Sachs Group, Inc. and,
as such, has a conflict of interest in this offering within the meaning of FINRA Rule 5121.
Consequently, the offering is being conducted in compliance with the provisions of Rule 5121.
Goldman, Sachs & Co. is not permitted to sell notes in this offering to an account over which it
exercises discretionary authority without the prior specific written approval of the account holder
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-4
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 payment 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 and the volatility of the underlier. In addition, assuming no changes in market
conditions or our creditworthiness and any other relevant factors, the value of your notes on the
trade date (as determined by reference to pricing models used by Goldman, Sachs & Co. and taking
into account our credit spreads) is, and the price you may receive for your notes may be,
significantly less than the issue price. For more information on the value of your notes in the
secondary market, see Additional Risk Factors Specific to the Non-Principal Protected
Underlier-Linked Notes Assuming No Changes in Market Conditions or any Other Relevant Factors,
the Market Value of Your Notes on the Date of Any Applicable Pricing Supplement (as Determined By
Reference to Pricing Models Used By Goldman, Sachs & Co.) Will, and the Price You May Receive for
Your Notes May, Be Significantly Less Than the Issue Price on page S-33 of the accompanying
prospectus supplement no. 376 and Additional Risk Factors Specific to Your Notes Assuming No
Changes in Market Conditions or Any Other Relevant Factors, the Market Value of Your Notes on the
Trade Date (as Determined By Reference to Pricing Models Used by Goldman, Sachs & Co.) Is, and the
Price You May Receive for Your Notes May Be, Significantly Less Than the Issue Price on page PS-8
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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200.00 |
% |
Cap level
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115.65% of the initial underlier
level
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Maximum settlement amount
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$ |
1,313.00 |
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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 |
% |
Neither a market disruption event nor a non-trading day occurs on the
originally scheduled determination date
No change in or affecting any of the underlier stocks or the method by which
the underlier sponsor calculates the underlier
Notes purchased on original issue date at the face amount and held to the
stated maturity 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 High, Low and 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-5
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 payment 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 payment 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 |
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Hypothetical Payment Amount |
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(as Percentage of Initial Underlier Level) |
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(as Percentage of Face Amount) |
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150.000 |
% |
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131.300 |
% |
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140.000 |
% |
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131.300 |
% |
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130.000 |
% |
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131.300 |
% |
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120.000 |
% |
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131.300 |
% |
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115.650 |
% |
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131.300 |
% |
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112.000 |
% |
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124.000 |
% |
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108.000 |
% |
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116.000 |
% |
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104.000 |
% |
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108.000 |
% |
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100.000 |
% |
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100.000 |
% |
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99.000 |
% |
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100.000 |
% |
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96.000 |
% |
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100.000 |
% |
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93.000 |
% |
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100.000 |
% |
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90.000 |
% |
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100.000 |
% |
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75.000 |
% |
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83.333 |
% |
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50.000 |
% |
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55.556 |
% |
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25.000 |
% |
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27.778 |
% |
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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 payment 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 payment 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
131.300% 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 115.650% of the initial underlier level.
The following chart also shows a graphical illustration of the hypothetical payment 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 payment amount of less than 100.000% of the face amount of your notes (the
section below the 100.000% marker on the vertical axis) and, accordingly, in a loss of principal to
the holder of the notes. The chart also
PS-6
shows that any hypothetical final underlier level (expressed as a percentage of the initial
underlier level) of greater than 115.650% (the section right of the 115.650% marker on the
horizontal axis) would result in a capped return on your investment.
The payment 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 payment 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 payment 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 Non-Principal Protected Underlier-Linked Notes The
Market Value of Your Notes May Be Influenced by Many Unpredictable Factors on page S-37 of the
accompanying prospectus supplement no. 376.
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 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-7
ADDITIONAL RISK FACTORS SPECIFIC TO YOUR NOTES
An investment in your notes is subject to the risks described below, as well as the risks
described under Considerations Relating to Indexed Securities in the accompanying prospectus
dated April 6, 2009, and Additional Risk Factors Specific to the Non-Principal Protected
Underlier-Linked Notes in the accompanying prospectus supplement no. 376. 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.
Assuming No Changes in Market Conditions or Any Other Relevant Factors, the Market Value of
Your Notes on the Trade Date (As Determined By Reference to Pricing Models Used By Goldman, Sachs &
Co.) Is, and the Price You May Receive for Your Notes May Be, Significantly Less Than the Issue
Price
The price at which Goldman, Sachs & Co. would initially buy or sell notes (if Goldman, Sachs &
Co. makes a market) and the value that Goldman, Sachs & Co. will initially use for account
statements and otherwise will significantly exceed the value of your notes using such pricing
models. The amount of the excess will decline on a straight line basis over the period from the
date hereof through June 10, 2011. After June 10, 2011, the price at which Goldman, Sachs & Co.
would buy or sell notes will reflect the value determined by reference to the pricing models, plus
our customary bid and asked spread.
In addition to the factors discussed above, the value or quoted price of your notes at any time,
however, will reflect many factors and cannot be predicted. If Goldman, Sachs & Co. makes a market
in the notes, the price quoted by Goldman, Sachs & Co. would reflect any changes in market
conditions and other relevant factors, including a deterioration in our creditworthiness or
perceived creditworthiness whether measured by our credit ratings or other credit measures. These
changes may adversely affect the market price of your notes, including the price you may receive
for your notes in any market making transaction. In addition, even if our creditworthiness does not
decline, the value of your notes on the trade date is significantly less than the original issue
price taking into account our credit spreads on that date. The quoted price (and the value of your
notes that Goldman, Sachs & Co. will use for account statements or otherwise) could be higher or
lower than the original issue price, and may be higher or lower than the value of your notes as
determined by reference to pricing models used by Goldman, Sachs & Co.
If at any time a third party dealer quotes a price to purchase your notes or otherwise values
your notes, that price may be significantly different (higher or lower) than any price quoted by
Goldman, Sachs & Co. You should read Additional Risk Factors Specific to the Non-Principal
Protected Underlier-Linked Notes The Market Value of Your Notes May Be Influenced by Many
Unpredictable Factors on page S-37 of the accompanying prospectus supplement no. 376.
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.
There is no assurance that Goldman, Sachs & Co. or any other party will be willing to purchase
your notes and, in this regard, Goldman, Sachs & Co. is not obligated to make a market in the
notes. See Additional Risk Factors Specific to the Non-Principal Protected Underlier-Linked Notes
Your Notes May Not Have an Active Trading Market on page S-37 of the accompanying prospectus
supplement no. 376.
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 MSCI EAFE Index as measured from
the initial underlier level of 1,719.08 to the closing level on the determination date. If the
final underlier level for your notes is less than the buffer level, you will have a loss for
PS-8
each $1,000 of the face amount of your notes equal to the product of approximately 1.1111
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 Do Not Bear Interest
You will not receive any interest payments on your notes. As a result, even if the amount
payable for each of 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 May 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 is equal to 115.65% of the initial underlier
level. The cap level will limit the amount in cash 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.
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 but prior to the settlement date. The issue
price of the notes in the subsequent sale may differ substantially (higher or lower) from the 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 you will be paid for your notes on the stated maturity date 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 Federal income tax treatment of an instrument such as your notes that
are currently characterized as prepaid 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
PS-9
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-63 of the accompanying prospectus
supplement no. 376. You should consult your own tax adviser 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-63 of the accompanying
prospectus supplement no. 376 unless and until such time as Congress, the Treasury Department or
the Internal Revenue Service determine that some other treatment is more appropriate.
PS-10
THE UNDERLIER
The MSCI EAFE Index (the underlier) is a stock index calculated, published and
disseminated daily by MSCI Inc., which we refer to as MSCI, through numerous data vendors, on the
MSCI website and in real time on Bloomberg Financial Markets and Reuters Limited.
MSCI EAFE Index
Index Stock Weighting by Country
as of January 18, 2011
|
|
|
|
|
Country: |
|
Percentage (%)* |
Australia |
|
|
8.41 |
|
Austria |
|
|
0.32 |
|
Belgium |
|
|
0.90 |
|
Denmark |
|
|
1.00 |
|
Finland |
|
|
1.11 |
|
France |
|
|
9.69 |
|
Germany |
|
|
8.24 |
|
Greece |
|
|
0.25 |
|
Hong Kong |
|
|
2.91 |
|
Ireland |
|
|
0.23 |
|
Israel |
|
|
0.79 |
|
Italy |
|
|
2.70 |
|
Japan |
|
|
21.82 |
|
Netherlands |
|
|
2.52 |
|
New Zealand |
|
|
0.10 |
|
Norway |
|
|
0.88 |
|
Portugal |
|
|
0.26 |
|
Singapore |
|
|
1.70 |
|
Spain |
|
|
3.43 |
|
Sweden |
|
|
3.23 |
|
Switzerland |
|
|
7.76 |
|
United Kingdom |
|
|
21.76 |
|
*Information provided by MSCI Barra. Percentages may not sum to 100% due to rounding.
MSCI EAFE Index
Index Stock Weighting by Sector
as of January 18, 2011
|
|
|
|
|
Sector**: |
|
Percentage (%)* |
Energy |
|
|
8.14 |
|
Materials |
|
|
11.12 |
|
Industrials |
|
|
12.85 |
|
Consumer Discretionary |
|
|
10.48 |
|
Consumer Staples |
|
|
9.63 |
|
Health Care |
|
|
8.00 |
|
Financials |
|
|
24.35 |
|
Information Technology |
|
|
4.98 |
|
Telecommunication Services |
|
|
5.44 |
|
Utilities |
|
|
5.01 |
|
*Information provided by MSCI Barra. Percentages may not sum to 100% due to rounding.
**Sector designations are determined by the index 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
prospectus supplement no. 376. For more details about the underlier, the underlier sponsor and
license agreement between the underlier sponsor and the issuer, see The Underliers-MSCI Indices
on page A-5 of the accompanying prospectus supplement no. 376
Historical High, Low and 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 any 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. In light of the increased
volatility currently being experienced by the financial services sector and U.S. and global
securities markets, and recent market declines, it may be substantially more likely that you could
lose all or a substantial portion of your investment in the notes. During the period from January
1, 2008 through February 11, 2011, there were 293 24-month periods, the first of which began on
January 1, 2008 and the last of which ended on February 11, 2011. In 184 of such 293 24-month
periods the closing level of the underlier on the final date of such period has fallen below 90.00%
of the closing level of the underlier on the initial date of such period. Therefore, during
approximately 62.80% of such 24-month periods, if you had owned notes with terms similar to these
notes, you may have received less than the face amount of such notes at maturity. (We calculated
these figures using fixed 24-month periods and did not take into account holidays or non-business
days.)
PS-11
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 amount payable at maturity, may bear little relation to the historical levels shown below.
The table below shows the high, low and final closing levels of the underlier for each of the
four calendar quarters in 2008, 2009 and 2010 and the first calendar quarter of 2011 (through
February 11, 2011). We obtained the closing levels listed in the table below from Bloomberg
Financial Services, without independent verification.
PS-12
Quarterly High, Low and Closing Levels of the Underlier
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
High |
|
Low |
|
Close |
2008 |
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended March 31 |
|
|
2,253.36 |
|
|
|
1,913.53 |
|
|
|
2,038.62 |
|
Quarter ended June 30 |
|
|
2,206.72 |
|
|
|
1,957.23 |
|
|
|
1,967.19 |
|
Quarter ended September 30 |
|
|
1,934.39 |
|
|
|
1,553.15 |
|
|
|
1,553.15 |
|
Quarter ended December 31 |
|
|
1,568.20 |
|
|
|
1,044.23 |
|
|
|
1,237.42 |
|
2009 |
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended March 31 |
|
|
1,281.02 |
|
|
|
911.39 |
|
|
|
1,056.23 |
|
Quarter ended June 30 |
|
|
1,361.36 |
|
|
|
1,071.10 |
|
|
|
1,307.16 |
|
Quarter ended September 30 |
|
|
1,580.58 |
|
|
|
1,251.65 |
|
|
|
1,552.84 |
|
Quarter ended December 31 |
|
|
1,617.99 |
|
|
|
1,496.75 |
|
|
|
1,580.77 |
|
2010 |
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended March 31 |
|
|
1,642.20 |
|
|
|
1,451.53 |
|
|
|
1,584.28 |
|
Quarter ended June 30 |
|
|
1,636.19 |
|
|
|
1,305.12 |
|
|
|
1,348.11 |
|
Quarter ended September 30 |
|
|
1,570.36 |
|
|
|
1,337.85 |
|
|
|
1,561.01 |
|
Quarter ended December 31 |
|
|
1,675.07 |
|
|
|
1,535.13 |
|
|
|
1,658.30 |
|
2011 |
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ending March 31 (through February 11, 2011) |
|
|
1,747.52 |
|
|
|
1,631.60 |
|
|
|
1,723.88 |
|
PS-13
No dealer, salesperson or other person is authorized to give any information or to represent
anything not contained in this pricing supplement. You must not rely on any unauthorized
information or representations. This pricing supplement 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 is current only as of its date.
TABLE OF CONTENTS
Pricing Supplement
|
|
|
|
|
|
|
Page |
|
|
PS-2 |
|
|
PS-4 |
|
|
PS-5 |
|
|
PS-8 |
|
|
PS-11 |
|
|
|
|
|
Prospectus Supplement No. 376 dated June 21, 2010 |
Summary Information |
|
|
S-3 |
|
Hypothetical Returns on the Non-Principal Protected
Underlier-Linked Notes |
|
|
S-13 |
|
Additional Risk Factors Specific to the Non-Principal
Protected Underlier-Linked Notes |
|
|
S-33 |
|
General Terms of the Non-Principal Protected
Underlier-Linked Notes |
|
|
S-45 |
|
Use of Proceeds and Hedging |
|
|
S-61 |
|
Supplemental Discussion of Federal Income Tax Consequences |
|
|
S-63 |
|
Employee Retirement Income Security Act |
|
|
S-69 |
|
Supplemental Plan of Distribution |
|
|
S-70 |
|
The Underliers |
|
|
A-1 |
|
S&P 500® Index |
|
|
A-1 |
|
MSCI Indices |
|
|
A-5 |
|
Hang Seng China Enterprises Index |
|
|
A-9 |
|
Russell 2000® Index |
|
|
A-12 |
|
FTSE® 100 Index |
|
|
A-17 |
|
Euro STOXX 50® Index |
|
|
A-20 |
|
TOPIX® Index |
|
|
A-24 |
|
|
|
|
|
|
Prospectus Supplement dated April 6, 2009 |
Use of Proceeds |
|
|
S-2 |
|
Description of Notes We May Offer |
|
|
S-3 |
|
United States Taxation |
|
|
S-24 |
|
Employee Retirement Income Security Act |
|
|
S-25 |
|
Supplemental Plan of Distribution |
|
|
S-26 |
|
Validity of the Notes |
|
|
S-27 |
|
|
|
|
|
|
Prospectus dated April 6, 2009 |
Available Information |
|
|
2 |
|
Prospectus Summary |
|
|
4 |
|
Use of Proceeds |
|
|
8 |
|
Description of Debt Securities We May Offer |
|
|
9 |
|
Description of Warrants We May Offer |
|
|
33 |
|
Description of Purchase Contracts We May Offer |
|
|
49 |
|
Description of Units We May Offer |
|
|
54 |
|
Description of Preferred Stock We May Offer |
|
|
59 |
|
The Issuer Trusts |
|
|
66 |
|
Description of Capital Securities and Related Instruments |
|
|
68 |
|
Description of Capital Stock of The Goldman Sachs Group,
Inc. |
|
|
91 |
|
Legal Ownership and Book-Entry Issuance |
|
|
96 |
|
Considerations Relating to Securities Issued in Bearer Form |
|
|
102 |
|
Considerations Relating to Indexed Securities |
|
|
106 |
|
Considerations Relating to Securities Denominated or
Payable in or Linked to a Non-U.S. Dollar Currency |
|
|
109 |
|
Considerations Relating to Capital Securities |
|
|
112 |
|
United States Taxation |
|
|
116 |
|
Plan of Distribution |
|
|
140 |
|
Employee Retirement Income Security Act |
|
|
143 |
|
Validity of the Securities |
|
|
144 |
|
Experts |
|
|
144 |
|
Cautionary Statement Pursuant to the Private Securities
Litigation Reform Act of 1995 |
|
|
144 |
|
$22,205,000
The Goldman Sachs Group, Inc.
Leveraged Buffered Index-Linked Notes
due 2013
(Linked to the MSCI EAFE Index)
Medium-Term Notes, Series D
Goldman, Sachs & Co.
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