424b2
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-176914
The Goldman Sachs Group, Inc.
Medium-Term Notes, Series D
$5,807,000
Digital Buffered Index-Linked Notes due 2016
(Linked to the S&P 500
® Index)
The notes do not bear interest. The amount that you will be paid on your notes on the stated
maturity date (December 12, 2016, subject to adjustment) is based on the performance of the S&P
500® Index (which we refer to as the index or underlier) as measured from the trade date
(December 5, 2011) to and including the determination date (December 5, 2016, subject to
adjustment). If the index return (defined below) is less than -15.00% (the final index level is
less than the initial index level by more than 15.00%), you would lose a portion of your investment
in the notes and may lose a substantial portion of your investment depending on the performance of
the index.
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 (1,263.30, which is higher than the actual closing level of the index on the
trade date, which is 1,257.08), 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:
|
|
if the index return is equal to or greater than zero (the final index
level is equal to or greater than the initial index level), you will
receive an amount in cash equal to the greater of (i) the threshold
settlement amount, which is $1,641.00, and (ii) the sum of (a) $1,000
plus (b) the product of (1) $1,000 times (2) the index return; |
|
|
|
if the index return is negative but not below -15.00% (the final index
level is less than the initial index level but not by more than
15.00%), you will receive an amount in cash equal to $1,000; or |
|
|
|
if the index return is negative and is below -15.00% (the final index
level is less than the initial index level by more than 15.00%), you
will receive an amount in cash equal to the sum of (i) $1,000 plus
(ii) the product of (a) the sum of the index return plus 15.00% times
(b) $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 a
substantial portion of your investment in the notes. A percentage decrease of more than 15.00%
between the initial index level and the final index level will reduce the payment you will receive
on the stated maturity date below the face amount of your notes. 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 notes found in General Terms of the
Underlier-Linked Digital Notes on page S-35 of the accompanying product supplement no. 1127 and
the description of the underlier and additional terms of the notes in the accompanying general
terms supplement.
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 September 5, 2012. We encourage
you to read Additional Risk Factors Specific to the Underlier-Linked Digital Notes on page S-31
of the accompanying product supplement no. 1127, Additional Risk Factors Specific to the Notes on
page S-1 of the accompanying general terms supplement and Additional Risk Factors Specific to Your
Notes on page PS-9 of this pricing supplement so that you may better understand those risks.
|
|
|
|
|
|
|
Original issue date (settlement date):
|
|
December 12, 2011
|
|
Original issue price:
|
|
100.00% of the face amount |
Underwriting discount:
|
|
0.35% of the face amount
|
|
Net proceeds to the issuer:
|
|
99.65% 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,
the accompanying product supplement, the accompanying general terms supplement, the accompanying
prospectus supplement or the accompanying 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 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.
Standard & Poors®, S&P® and S&P 500® are registered
trademarks of Standard & Poors Financial Services LLC (Standard & Poors) and are licensed for
use by The Goldman Sachs Group, Inc. and its affiliates. The securities are not sponsored,
endorsed, sold or promoted by Standard & Poors and Standard & Poors does not make any
representation regarding the advisability of investing in the securities.
Goldman, Sachs & Co.
Pricing Supplement dated December 5, 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 September 19, 2011, as supplemented by the
accompanying prospectus supplement, dated September 19, 2011, 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 19,
2011, of The Goldman Sachs Group, Inc. and references to the accompanying
product supplement no. 1127 mean the accompanying product supplement no. 1127,
dated October 25, 2011, 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 Digital Notes on page
S-35 of the accompanying product supplement no. 1127 and Supplemental Terms of
the Notes on page S-12 of the accompanying general terms supplement. Please
note that certain features, as noted below, described in the accompanying
product supplement no. 1127 and general terms supplement are not applicable to
the notes. This pricing supplement supersedes any conflicting provisions of the
accompanying product supplement no. 1127 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 Standard
& Poors Financial Services LLC (Standard & Poors)
Specified currency: U.S. dollars ($)
Terms to be specified in accordance with the accompanying product supplement no. 1127:
|
|
type of notes: notes linked to a single underlier |
|
|
|
exchange rates: not applicable |
|
|
|
averaging dates: not applicable |
|
|
|
buffer level: yes, as described below |
|
|
|
redemption right or price dependent redemption right: not applicable |
|
|
|
cap level: not applicable |
|
|
|
threshold level: yes, as described below |
|
|
|
interest: not applicable |
Face amount: each note will have a face amount of $1,000; $5,807,000 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. 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-10 of this pricing supplement
PS-2
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:
|
|
if the final underlier level is equal to or greater than the threshold level,
the greater of (1) the threshold settlement amount, and (2) the sum of (i)
$1,000 plus (ii) the product of (a) $1,000 times (b) the underlier return; |
|
|
|
if the final underlier level is less than the threshold level but greater
than or equal to the buffer level, $1,000; or |
|
|
|
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: 1,263.30 (which is higher than the actual closing level of the underlier
on the trade date, which is 1,257.08)
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-17 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-21 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
Threshold level: 100.00% of the initial underlier level
Threshold settlement amount: $1,641.00
Buffer level: 85.00% of the initial underlier level
Buffer amount: 15.00%
Buffer rate: 100.00%
Trade date: December 5, 2011
Original issue date (settlement date): December 12, 2011
Determination date: December 5, 2016, subject to adjustment as described under Supplemental Terms
of the Notes Determination Date on page S-13 of the accompanying general terms supplement
Stated maturity date: December 12, 2016, subject to adjustment as described under Supplemental
Terms of the Notes Stated Maturity Date on page S-12 of the accompanying general terms
supplement
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 Supplemental Terms of the Notes Special Calculation
Provisions Closing Level on page S-25 of the accompanying general terms supplement
Business day: as described under Supplemental Terms of the Notes Special Calculation
Provisions Business Day on page S-24 of the accompanying general terms supplement
Trading day: as described under Supplemental Terms of the Notes Special Calculation Provisions
Trading Day on page S-25 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. 1127
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
PS-3
contract in respect of the underlier, as described under Supplemental Discussion of Federal Income
Tax Consequences on page S-42 of the accompanying product supplement no. 1127
ERISA: as described under Employee Retirement Income Security Act on page S-48 of the
accompanying product supplement no. 1127
Supplemental plan of distribution: as described under Supplemental Plan of Distribution on page
S-49 of the accompanying product supplement no. 1127; 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 December 12, 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.: 38146R659
ISIN no.: US38146R6595
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 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, 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 Underlier-Linked Digital
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-31 of the accompanying product
supplement no. 1127 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-9 of this
pricing supplement. The information in the table also reflects the key terms and assumptions in the box below.
|
|
|
|
|
Key Terms and Assumptions |
|
|
|
|
Face amount
|
|
$ |
1,000 |
|
Threshold settlement amount
|
|
$ |
1,641.00 |
|
Threshold level
|
|
100.00% of the initial underlier level
|
Buffer level
|
|
85.00% of the initial underlier level
|
Buffer rate
|
|
|
100.00 |
% |
Buffer amount
|
|
|
15.00 |
% |
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 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 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.
|
|
|
|
|
|
|
|
|
|
|
Hypothetical Final Underlier Level |
|
Hypothetical Cash Settlement Amount |
|
|
(as Percentage of Initial Underlier Level) |
|
(as Percentage of Face Amount) |
|
|
|
200.000 |
% |
|
|
200.000 |
% |
|
|
|
190.000 |
% |
|
|
190.000 |
% |
|
|
|
180.000 |
% |
|
|
180.000 |
% |
|
|
|
170.000 |
% |
|
|
170.000 |
% |
|
|
|
164.100 |
% |
|
|
164.100 |
% |
|
|
|
142.000 |
% |
|
|
164.100 |
% |
|
|
|
128.000 |
% |
|
|
164.100 |
% |
|
|
|
114.000 |
% |
|
|
164.100 |
% |
|
|
|
100.000 |
% |
|
|
164.100 |
% |
|
|
|
99.999 |
% |
|
|
100.000 |
% |
|
|
|
96.250 |
% |
|
|
100.000 |
% |
|
|
|
92.500 |
% |
|
|
100.000 |
% |
|
|
|
88.750 |
% |
|
|
100.000 |
% |
|
|
|
85.000 |
% |
|
|
100.000 |
% |
|
|
|
75.000 |
% |
|
|
90.000 |
% |
|
|
|
50.000 |
% |
|
|
65.000 |
% |
|
|
|
25.000 |
% |
|
|
40.000 |
% |
|
|
|
0.000 |
% |
|
|
15.000 |
% |
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 40.000%
of the face amount of your notes, as shown in the table above. As a result, if you purchased your
notes on the original issue date at the face amount and held them to the stated maturity date, you
would lose 60.000% of your investment (if you purchased your notes at a premium to face amount you
would lose a correspondingly higher percentage of your investment).
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 85.000% (the section left of the 85.000% 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 on the vertical axis) and, accordingly, in a loss of
principal to the holder of the notes.
PS-6
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 Digital Notes The Market Value of Your
Notes May Be Influenced by Many Unpredictable Factors on page S-32 of the accompanying product
supplement no. 1127.
Payments on the notes are economically equivalent to the amounts that would be paid on a
combination of other instruments. For example, payments on the notes are economically equivalent to
a combination of an interest-bearing bond bought by the holder and one or more options entered into
between the holder and us (with one or more implicit option premiums paid over time). The
discussion in this paragraph does not modify or affect the terms of the notes or the U.S. federal
income tax treatment of the notes, as described elsewhere in this pricing supplement.
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
PS-7
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 on the stated maturity date may be very
different from the information reflected in the table and chart above.
PS-8
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 September 19, 2011, Additional Risk Factors
Specific to the Notes in the accompanying general terms supplement, and
Additional Risk Factors Specific to the Underlier-Linked Notes in the
accompanying product supplement no. 1127. 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 original issue price for your notes, the price at which Goldman, Sachs & Co. would initially
buy or sell your notes (if Goldman, Sachs & Co. makes a market, which it is under no obligation to
do) 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 September
5, 2012. After September 5, 2012, 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. To the extent that Goldman, Sachs & Co. makes a
market in the notes, it may receive income from the spreads between its bid and offer prices for
the notes, if any. 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 Underlier-Linked
Digital Notes The Market Value of Your Notes May Be Influenced by Many Unpredictable Factors on
page S-32 of the accompanying product supplement no. 1127.
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 Underlier-Linked Digital Notes Your Notes May Not Have
an Active Trading Market on page S-32 of the accompanying product supplement no. 1127.
You May Lose a Substantial Portion of Your Investment in the Notes
You can lose a substantial portion of your investment in the notes. The cash payment on your notes
on the stated maturity date will be based on the performance of the S&P 500® Index as
measured from the initial underlier level of 1,263.30 (which is higher than the actual closing
level of the underlier on the trade date, which is 1,257.08) 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 each $1,000 of the face amount of your notes equal to the sum of the underlier
return plus the buffer amount times $1,000. Thus, you may lose a substantial portion of your
investment in the notes, which would include any premium to face amount you paid when you purchased
the notes.
PS-9
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 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.
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 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 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 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. 1127. 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-42 of the accompanying product supplement no. 1127 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 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 Standard & Poors Financial Services LLC (Standard & Poors).
As of December 5, 2011, 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 percentage currently included in such sectors indicated in parentheses): Consumer
Discretionary (10.68%), Consumer Staples (11.27%), Energy (12.48%), Financials (13.58%), Health
Care (11.42%), Industrials (10.70%), Information Technology (19.56%), Materials (3.57%),
Telecommunication Services (3.05%) and Utilities (3.69%). (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
general terms supplement. In addition, Standard & Poors has updated its policies with respect to
the S&P 500® Index such that certain de minimis merger and acquisition related changes
may be computed and implemented quarterly and no adjustment to the divisor will be made if a
spun-off company is added to the index but no company is removed. 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-31 of the accompanying general
terms supplement.
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 a substantial portion of your investment in the notes. During the period from January 2, 2004
through December 5, 2011, there were 739 60-month periods, the first of which began on January 2,
2004 and the last of which ended on December 5, 2011. In 140 of such 739 60-month periods the
closing level of the underlier on the final date of such period has fallen below 85.00% of the
closing level of the underlier on the initial date of such period. Therefore, during approximately
18.94% of such 60-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 60-month periods and did not take into account holidays or non-business days.)
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, 2010 and 2011 (through December 5, 2011). We obtained the closing
levels listed in the table below from Bloomberg Financial Services, without independent
verification.
PS-11
Quarterly High, Low and Closing Levels of the Underlier
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
High |
|
Low |
|
Close |
2008 |
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended March 31 |
|
|
1,447.16 |
|
|
|
1,273.37 |
|
|
|
1,322.70 |
|
Quarter ended June 30 |
|
|
1,426.63 |
|
|
|
1,278.38 |
|
|
|
1,280.00 |
|
Quarter ended September 30 |
|
|
1,305.32 |
|
|
|
1,106.39 |
|
|
|
1,166.36 |
|
Quarter ended December 31 |
|
|
1,161.06 |
|
|
|
752.44 |
|
|
|
903.25 |
|
2009 |
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended March 31 |
|
|
934.70 |
|
|
|
676.53 |
|
|
|
797.87 |
|
Quarter ended June 30 |
|
|
946.21 |
|
|
|
811.08 |
|
|
|
919.32 |
|
Quarter ended September 30 |
|
|
1,071.66 |
|
|
|
879.13 |
|
|
|
1,057.08 |
|
Quarter ended December 31 |
|
|
1,127.78 |
|
|
|
1,025.21 |
|
|
|
1,115.10 |
|
2010 |
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended March 31 |
|
|
1,174.17 |
|
|
|
1,056.74 |
|
|
|
1,169.43 |
|
Quarter ended June 30 |
|
|
1,217.28 |
|
|
|
1,030.71 |
|
|
|
1,030.71 |
|
Quarter ended September 30 |
|
|
1,148.67 |
|
|
|
1,022.58 |
|
|
|
1,141.20 |
|
Quarter ended December 31 |
|
|
1,259.78 |
|
|
|
1,137.03 |
|
|
|
1,257.64 |
|
2011 |
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended March 31 |
|
|
1,343.01 |
|
|
|
1,256.88 |
|
|
|
1,325.83 |
|
Quarter ended June 30 |
|
|
1,363.61 |
|
|
|
1,265.42 |
|
|
|
1,320.64 |
|
Quarter ended September 30 |
|
|
1,353.22 |
|
|
|
1,119.46 |
|
|
|
1,131.42 |
|
Quarter ending December 31 (through December 5, 2011) |
|
|
1,285.09 |
|
|
|
1,099.23 |
|
|
|
1,257.08 |
|
VALIDITY OF THE NOTES
In the opinion of Sidley Austin llp, as counsel to The Goldman Sachs Group, Inc., when the
notes offered by this pricing supplement have been executed and issued by The Goldman Sachs Group,
Inc. and authenticated by the trustee pursuant to the indenture, and delivered against payment as
contemplated herein, such notes will be valid and binding obligations of The Goldman Sachs Group,
Inc., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and
similar laws affecting creditors rights generally, concepts of reasonableness and equitable
principles of general applicability (including, without limitation, concepts of good faith, fair
dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the
effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusions expressed above. This opinion is given as of the date hereof and is limited to the
Federal laws of the United States, the laws of the State of New York and the General Corporation
Law of the State of Delaware as in effect on the date hereof. In addition, this opinion is subject
to customary assumptions about the trustees authorization, execution and delivery of the indenture
and the genuineness of signatures and certain factual matters, all as stated in the letter of such
counsel dated September 19, 2011, which has been filed as Exhibit 5.5 to The Goldman Sachs Group,
Inc.s registration statement on Form S-3 filed with the Securities and Exchange Commission on
September 19, 2011.
PS-12
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
|
|
|
|
|
|
|
Page |
|
|
PS-2 |
|
|
PS-5 |
|
|
PS-9 |
|
|
PS-11 |
|
|
PS-12 |
|
|
|
|
|
Product Supplement No. 1127 dated October 25, 2011 |
Summary Information |
|
|
S-1 |
|
Hypothetical Returns on the Underlier-Linked Digital Notes |
|
|
S-11 |
|
Additional Risk Factors Specific to the Underlier-Linked Digital Notes |
|
|
S-31 |
|
General Terms of the Underlier-Linked Digital Notes |
|
|
S-35 |
|
Use of Proceeds and Hedging |
|
|
S-40 |
|
Supplemental Discussion of Federal Income Tax Consequences |
|
|
S-42 |
|
Employee Retirement Income Security Act |
|
|
S-48 |
|
Supplemental Plan of Distribution |
|
|
S-49 |
|
|
|
|
|
|
General Terms Supplement dated September 19, 2011 |
Additional Risk Factors Specific to the Notes |
|
|
S-1 |
|
Supplemental Terms of the Notes |
|
|
S-12 |
|
The Underliers |
|
|
S-30 |
|
Licenses |
|
|
S-31 |
|
S&P 500® Index |
|
|
S-31 |
|
MSCI Indices |
|
|
S-35 |
|
Hang Seng China Enterprises Index |
|
|
S-43 |
|
Russell 2000® Index |
|
|
S-47 |
|
FTSE® 100 Index |
|
|
S-52 |
|
Euro STOXX 50® Index |
|
|
S-56 |
|
TOPIX |
|
|
S-60 |
|
The iShares® MSCI Emerging Markets Index Fund |
|
|
S-65 |
|
|
|
|
|
|
Prospectus Supplement dated September 19, 2011 |
Use of Proceeds |
|
|
S-2 |
|
Description of Notes We May Offer |
|
|
S-3 |
|
United States Taxation |
|
|
S-25 |
|
Employee Retirement Income Security Act |
|
|
S-26 |
|
Supplemental Plan of Distribution |
|
|
S-27 |
|
Validity of the Notes |
|
|
S-28 |
|
|
|
|
|
|
Prospectus dated September 19, 2011 |
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 |
|
|
48 |
|
Description of Units We May Offer |
|
|
53 |
|
Description of Preferred Stock We May Offer |
|
|
58 |
|
The Issuer Trusts |
|
|
65 |
|
Description of Capital Securities and Related Instruments |
|
|
67 |
|
Description of Capital Stock of The Goldman Sachs Group, Inc. |
|
|
88 |
|
Legal Ownership and Book-Entry Issuance |
|
|
92 |
|
Considerations Relating to Floating Rate Debt Securities |
|
|
97 |
|
Considerations Relating to Securities Issued in Bearer Form |
|
|
98 |
|
Considerations Relating to Indexed Securities |
|
|
102 |
|
Considerations Relating to Securities Denominated or Payable in or Linked to a Non-U.S. Dollar Currency |
|
|
105 |
|
Considerations Relating to Capital Securities |
|
|
108 |
|
United States Taxation |
|
|
112 |
|
Plan of Distribution |
|
|
135 |
|
Conflicts of Interest |
|
|
137 |
|
Employee Retirement Income Security Act |
|
|
138 |
|
Validity of the Securities |
|
|
139 |
|
Experts |
|
|
139 |
|
Review of Unaudited Condensed Consolidated Financial Statements by Independent Registered Public Accounting Firm |
|
|
139 |
|
Cautionary Statement Pursuant to the Private Securities Litigation Reform Act of 1995 |
|
|
140 |
|
$5,807,000
The Goldman Sachs Group, Inc.
Digital Buffered Index-Linked Notes due 2016
(Linked to the S&P 500® Index)
Medium-Term Notes, Series D