Preliminary Prospectus Supplement dated June 2, 2010

The information in this preliminary prospectus supplement is not complete and may be changed. This preliminary prospectus supplement is not an offer to sell nor does it seek an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.

The return on your notes is based on the performance of the Dow Jones-UBS Energy Total Return Sub-Index^SM, which we call the “index”. The index is a sub-index of the Dow Jones-UBS Commodity Index Total Return^SM, which is an index of futures contracts on four energy-related commodity contracts (crude oil, heating oil, natural gas and unleaded gasoline). At maturity, we will pay you an amount, if any, in cash that will reflect leveraged participation in the performance of the index reduced by (a) an investor fee and (b) an amount that reflects a return attributable to a hypothetical investment of the face amount of your notes in specified U.S. Treasury Bills (“TBills”), each calculated in a manner described elsewhere in this prospectus supplement. You could lose all or a substantial portion of your investment in the notes.

The stated maturity date of your notes is expected to be 13 months after the original issue date, unless postponed as described elsewhere in this prospectus supplement. Unless your notes are redeemed earlier, on the stated maturity date we will pay you an amount in cash, if any, equal to:

Your notes will be automatically redeemed in whole if the closing level of the index is equal to or below 88% of the initial index level on any trading day prior to the earlier of the designation of an early redemption by the holder and the originally scheduled determination date, which we refer to as an “index event”. In addition, holders of 100% of the aggregate outstanding face amount issued on the original issue date of June 10, 2010 may elect at any time prior to the earlier of the occurrence of an index event and the originally scheduled determination date to have us redeem the notes in whole. You must follow the redemption procedures described in this prospectus supplement to validly exercise your option for early redemption.

If an index event has occurred or you have validly elected an early redemption, on the early maturity date, which will be the fifth business day after the early determination date described below (and in lieu of any amounts payable on the stated maturity date), we will pay you an amount in cash, if any, equal to:

In addition we will pay interest on your notes quarterly on September 10, 2010, December 10, 2010, March 10, 2011, June 10, 2011 and the stated maturity date, unless your notes are redeemed earlier, in which case we will make the final interest payment (which will be discounted by the fixed income discount factor described on page S-24) on the early maturity date. The interest rate for each interest period will be the rate per annum for three-month (or a shorter or longer length, interpolated in certain circumstances) USD LIBOR minus the spread (determined on the trade date), reset quarterly, as described in this prospectus supplement.

You could lose all or a substantial portion of your investment in your notes. In particular, because your notes contain a leverage component, any decline in the level of the index on the determination date (or early determination date, if applicable) relative to the initial index level would result in a significantly greater decrease in the amount payable under the notes. Consequently, the amount payable under the notes at maturity or upon redemption could be substantially less than the face amount and could be zero. In addition, as implied above, the final (or early) fee amount and the final (or early) TBill amount will also reduce the amount of your return at maturity or upon redemption; the index must therefore rise sufficiently in order for you to receive an amount equal to or greater than the face amount at maturity or upon redemption.

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 offered notes found in “Summary Information” on page S-2 and “Specific Terms of Your Notes” on page S-20.

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) will, 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. We encourage you to read “Additional Risk Factors Specific To Your Notes” on page S-9 so that you may better understand those risks.

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 trade date but prior to the settlement date, at an issue price, underwriting discount and net proceeds that differ from the amounts set forth above.

Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of this prospectus 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 government agency, nor are they obligations of, or guaranteed by, a bank.

Goldman Sachs may use this prospectus supplement in the initial sale of the offered notes. In addition, Goldman, Sachs & Co. or any other affiliate of Goldman Sachs may use this prospectus 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 prospectus supplement is being used in a market-making transaction.

The Dow Jones-UBS Commodity Indexes^SM are a joint product of Dow Jones Indexes, a licensed trademark of CME Group Index Services LLC (“CME Indexes”), and UBS Securities LLC (“UBS”), and have been licensed for use. “Dow Jones^®”, “DJ”, “Dow Jones Indexes”, “UBS”, and “Dow Jones-UBS Energy Total Return Sub-Index^SM” are service marks of Dow Jones Trademark Holdings, LLC (“Dow Jones”) and UBS AG, as the case may be and have been licensed for use for certain purposes by The Goldman Sachs Group, Inc. The notes based on the Dow Jones-UBS Energy Total Return Sub-Index^SM, are not sponsored, endorsed, sold or promoted by Dow Jones, UBS, CME Indexes or any of their respective subsidiaries or affiliates, and none of Dow Jones, UBS, CME Indexes or any of their respective affiliates, makes any representation regarding the advisability of investing in such notes.

SUMMARY INFORMATION

We refer to the notes we are offering by this prospectus supplement as the “offered notes” or the “notes”. Each of the offered notes, including your notes, has the terms described below and under “Specific Terms of Your Notes” on page S-20. Please note that in this prospectus 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, in each case relating to the Medium-Term Notes, Series D of The Goldman Sachs Group, Inc. References to the “indenture” in this prospectus supplement mean the senior debt indenture, dated July 16, 2008, between The Goldman Sachs Group, Inc. and The Bank of New York Mellon, as trustee.

Key Terms

Issuer: The Goldman Sachs Group, Inc.

Index: Dow Jones-UBS Energy Total Return Sub-Index^SM (Bloomberg: “DJUBENTR”) or the index. See “The Index” on page S-32

Index sponsor: the corporation or other entity that, in the determination of the calculation agent, (i) is responsible for setting and reviewing the rules and procedures and the methods of calculation and adjustments, if any, related to the index and (ii) announces (directly or through an agent) the level of the index on any business day; as of the date of this prospectus supplement, the index sponsors are Dow Jones & Company, Inc. and UBS Securities LLC

Specified currency: U.S. dollars (“$”)

Face amount: each note will have a face amount equal to $1,000; $ in the aggregate for all the offered notes; the aggregate face amount of the offered notes may be increased if the issuer, at its sole option, decides to sell an additional amount of the offered notes on a date subsequent to the date of this prospectus supplement but prior to the settlement date

Interest: On each interest payment date we will pay you interest in an amount in cash equal to the product of (1) the face amount times (2) the accrued interest factor for the applicable interest period; if an index event has occurred or an early redemption has been validly designated, we will pay you on the early maturity date (which will also be the final interest payment date) interest in an amount in cash equal to the product of (1) the face amount times (2) the fixed income discount factor times (3) the accrued interest factor

Interest reset dates: September 10, 2010, December 10, 2010, March 10, 2011, June 10, 2011, provided that if any such day is not a business day, then the interest reset date will be the next succeeding business day, unless that succeeding business day would fall in the next calendar month, in which case such interest reset date will be the immediately preceding business day

Interest payment dates: Unless an index event has occurred or an early redemption has been validly designated (in which case the early maturity date will be the final interest payment date), the interest payment dates will be September 10, 2010, December 10, 2010, March 10, 2011, June 10, 2011 and the stated maturity date; if any such interest payment date is not a business day, then the interest payment date will be the next succeeding business day, unless that succeeding business day would fall in the next calendar month, in which case such interest payment date would be the immediately preceding business day

Original issue date (settlement date): June 10, 2010

Interest period: each period from and including the settlement date, or the last date to which interest has been paid or made available for payment, to but excluding the immediately following interest payment date

Amount payable on the stated maturity date: in addition to interest, if any, we will pay you an amount in cash, if any, on the stated maturity date, equal to the greater of (1) zero or (2) the result of (a) the face amount of your notes plus (b) the final index amount (which may be negative) minus (c) the final TBill amount minus

(d) the final fee amount; unless an index event has occurred or an early redemption has been validly designated, no amount of principal will be paid on any other date

Amount payable on the early maturity date: if an index event has occurred or an early redemption has been validly designated, in addition to interest, if any, we will pay you an amount in cash, if any, on the early maturity date, equal to the greater of (1) zero or (2) the result of (a) the face amount of your notes plus (b) the early index amount (which may be negative) minus (c) the early TBill amount minus (d) the early fee amount; no amount will be paid on the stated maturity date or any other date after such event

Final index amount: the product of (1) the face amount of your notes times (2) 3.0 times (3) the index return

Final TBill amount: the product of (1) the face amount of your notes times (2) 3.0 times (3) the realized TBill amount

Realized TBill amount: as described under “Specific Terms of Your Notes — Payment on the Stated Maturity Date — Final TBill Amount” on page S-22

Early TBill amount: the product of (1) the face amount of your notes times (2) 3.0 times (3) the historic TBill amount

Historic TBill amount: the realized TBill amount, with a calculation period from but excluding the trade date to and including the early determination date

Final fee amount: the product of (1) the face amount of your notes times (2) 3.0 times (3) 0.25% times (4) the quotient of (a) the final fee days divided by (b) 365

Early index amount: the product of (1) the face amount of your notes times (2) 3.0 times (3) the early index return

Annual fee: 0.25% (paid on an actual/365 day basis)

Early fee amount: the product of (1) the face amount of your notes times (2) 3.0 times (3) 0.25% times (4) the quotient of (a) the early fee days divided by (b) 365

Initial index level (to be set on the trade date):

Final index level: the closing level of the index on the determination date as calculated and published by the index sponsor, except in the limited circumstances described under “Specific Terms of Your Notes — Consequences of a Market Disruption Event or a Non-Trading Day” on page S-26 and subject to adjustment as provided under “— Discontinuance or Modification of the Index” on page S-27

Early index level: the closing level of the index on the early determination date, except in the limited circumstances described under “Specific Terms of Your Notes — Consequences of a Market Disruption Event or a Non-Trading Day” on page S-26 and subject to adjustment as provided under “— Discontinuance or Modification of the Index” on page S-27

Index return: the result of (1) the final index level divided by the initial index level minus (2) one

Early index return: the result of (1) the early index level divided by the initial index level minus (2) one

Final fee days: the number of calendar days from but excluding the trade date to and including the determination date

Early fee days: the number of calendar days from but excluding the trade date to and including the early determination date

Interest factor: the greater of (1) zero and (2) the quotient of (a) the base rate minus the spread divided by (b) 360

Accrued interest factor: the sum of the interest factors calculated for each calendar day during the applicable interest period

Spread (to be set on the trade date):

Initial base rate: equal to the three-month USD LIBOR, as it appears on Reuters Screen “LIBOR01” (or any successor or replacement service or page thereof), as of 11:00 a.m., London time, as determined on the second London business day prior to the settlement date

Base rate: the base rate defined under “Specific Terms of Your Notes — Interest Payment — Base Rate” on page S-23

Fixed income days remaining: the number of calendar days from but excluding the early maturity date to and including the earlier of (1) the interest reset date immediately following the early maturity date and (2) the stated maturity date

Fixed income discount factor: the quotient of (1) one divided by (2) the sum of (a) one and (b) the product of (i) the FIDF LIBOR level times (ii) the quotient of (x) the fixed income days remaining divided by (y) 360

FIDF LIBOR level: the LIBOR rate for deposits in U.S. dollars for the FIDF LIBOR designated maturity (interpolated by the calculation agent, if necessary), which appears on Reuters Screen “LIBOR01” (or any successor or replacement service or page) as of 11:00 a.m., London time, on the early determination date; or if such rate does not appear on Reuters Screen “LIBOR01” (or any successor or replacement service or page), the rate determined by the calculation agent

FIDF LIBOR designated maturity: a period equal to the fixed income days remaining, subject to a minimum of one month

Trade date: June 3, 2010

Stated maturity date (to be set on the trade date): a specified date that is expected to be 13 months after the original issue date, subject to postponement in the case of non-business days or postponement of the determination date as described under “Specific Terms of Your Notes — Payment on Stated the Maturity Date — Stated Maturity Date” on page S-22

Determination date: July 11, 2011, subject to postponement in the case of market disruption or non-trading days as described under “Specific Terms of Your Notes — Payment on the Stated Maturity Date — Determination Date” on page S-22

Early maturity date: the fifth business day following the early determination date, subject to postponement as described elsewhere in this prospectus supplement, in which case the early maturity date shall be the fifth business day following the day on which all settlement prices have been obtained or all prices have otherwise been determined as set forth under “Specific Terms of Your Notes — Consequences of a Market Disruption Event or a Non-Trading Day” on page S-26

Early determination date:

•

if all requirements described under “Specific Terms of Your Notes — Holder’s Option to Redeem — Early Redemption Requirements” on page S-25 are satisfied no later than 9:00 a.m., New York City time, on a day that is a trading day, that day will be the early determination date. If the requirements are satisfied after that time, the next day that is a trading day will be the early determination date,

•

if an index event has occurred, the trading day immediately following the day on which the index event occurs will be the early determination date,

and, subject in each case, to postponement as described elsewhere in this prospectus supplement

Interest determination date: the second London business day prior to each interest reset date

Early redemption; notice of early redemption: holders of 100% of the aggregate outstanding face amount of notes issued on the original issue date may elect to redeem the notes, in whole only, but not in part, prior to the earlier of (1) the occurrence of an index event and (2) the originally scheduled determination date. To be valid, a notice of early redemption must be given on a business day, in writing, to the trustee, the calculation agent and the issuer in accordance with procedures described under “Specific Terms of Your Notes — Holder’s Option to Redeem” on page S-25. An early redemption is designated by a valid exercise of the holder’s option. Once given, the notice of early redemption is irrevocable

Index event: if, on any trading day prior to the earlier of (1) the designation of an early redemption by the holder and (2) the originally scheduled determination date, the closing level of the index is equal to or below 88% of the initial index level, an index event occurs. If an index event occurs, your notes shall automatically be redeemed in accordance with procedures described under “Specific Terms of

Your Notes — Automatic Redemption Due to an Index Event” on page S-26

No Listing: the offered notes will not be listed or displayed on any securities exchange or interdealer market quotation system

Calculation agent: Goldman Sachs International

Business day: as described on page S-28

Trading day: as described on page S-28

London business day: as described on page S-28

Business day convention: Modified Following (unadjusted)

CUSIP No.:

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 NASD Rule 2720. Consequently, the offering is being conducted in compliance with the provisions of Rule 2720. 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

The following tables 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 various hypothetical final index levels or early index levels on the determination date or the early determination date, respectively, could have on the payment amount at maturity assuming all other variables remain constant. The examples below are based on a range of final index levels that are entirely hypothetical; no one can predict what the final index level will be on the determination date.

The first table assumes that neither an index event has occurred nor an early redemption has been validly designated. The levels in the leftmost column of the first table represent hypothetical final index levels, expressed as percentages of the initial index level. The amounts in the second column from the left represent the hypothetical final index amounts, expressed as percentages of the face amount. The amounts in the third column from the left represent the hypothetical final fee amounts, expressed as percentages of the face amount. The amounts in the fourth column from the left represent the hypothetical final TBill amounts, expressed as percentages of the face amount. The amounts in the rightmost column represent the hypothetical amounts payable on the stated maturity date, which will equal the greater of (1) zero and (2) the face amount plus the final index amount minus the final TBill amount minus the final fee amount, expressed as percentages of the face amount. No amounts shown in the first table take into account the amount of interest that may have been paid before the stated maturity date or that may be paid on the stated maturity date.

The second table assumes that an index event has occurred or an early redemption has been validly designated. The levels in the leftmost column of the first table represent hypothetical early index levels, expressed as percentages of the initial index level. The amounts in the second column from the left represent the hypothetical early index amounts, expressed as percentages of the face amount. The amounts in the third column from the left represent the hypothetical early fee amounts on the early maturity date, and are expressed as percentages of the face amount. The amounts in the fourth column from the left represent the hypothetical early TBill amounts, expressed as percentages of the face amount. The amounts in the rightmost column represent the hypothetical amounts payable on the early maturity date, which will equal the greater of (1) zero and (2) the face amount plus the early index amount minus the early TBill amount minus the early fee amount, expressed as percentages of the face amount. No amounts shown in the second table take into account the amount of interest that may have been paid before the early maturity date or that may be paid on the early maturity date.

The information in the tables reflects hypothetical rates of return on the offered notes assuming that they are purchased on the original issue date and held to the stated maturity date or the early maturity date, as the case may be. If you sell your notes prior to the stated maturity date or the early maturity date, as the case may be, 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 index. In addition, 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 and taking into account our credit spreads) will, and the price you may receive for your notes may, be significantly less than the original issue price. For more information on the value of your notes in the secondary market, see “Additional Risk Factors Specific to Your Notes — Assuming No Changes in Market Conditions and Any Other Relevant Factors, the Market Value of Your Notes on the Date of This Prospectus Supplement (as Determined by Reference to Pricing Models Used by Goldman, Sachs & Co.) Is Significantly Less Than the Issue Price” on page S-9 and “— The Market Value of Your Notes May Be Influenced by Many Factors That Are Unpredictable and Interrelated in Complex Ways” on page S-12. The information in the tables also reflects the key terms and assumptions in the box below.

The index has been highly volatile — meaning that the index level has changed substantially in relatively short periods — in the past and its performance cannot be predicted for any future period.

The actual performance of the index over the life of the notes, as well as the amount payable, if any, on the stated maturity date or the early maturity date, as the case may be, may bear little relation to the hypothetical examples shown below or to the historical closing levels of the index shown elsewhere in this prospectus supplement. For information about the closing level of the index during recent periods, see “The Index — Historical Closing Levels of the Index” below.

Before investing in the notes, you should consult publicly available information to determine the closing levels of the index between the trade date and the date of your purchase of the notes.

Any rate of return you may earn on an investment in the notes may be lower than that which you could earn on a comparable investment in the index underliers.

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 index commodities.

Example 1: The following table illustrates the hypothetical returns to an investor on the stated maturity date when neither an index event has occurred nor an early redemption has been validly designated.

Example 2: The following table illustrates the hypothetical returns to an investor on the early maturity date when an index event occurs or an early redemption is validly designated.

As these tables indicate, you may lose all or a substantial portion of your investment.

The payment amounts shown above are entirely hypothetical; they are based on market prices for the index commodities 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 notes.

Please read “Additional Risk Factors Specific to Your Notes — The Market Value of Your Notes May Be Influenced by Many Factors That Are Unpredictable and Interrelated in Complex Ways” on page S-12.

We cannot predict the actual final index level on the determination date or the actual early index level on the early determination date, as the case may be, or the market value of your notes, nor can we predict the relationship between the index level and the market value of your notes at any time prior to the determination date or the early determination date, as the case may be. The actual amount that a holder of the offered notes will receive on the stated maturity date or the early maturity date, as the case may be, and the rate of return on the offered notes will depend on the actual final index level or the actual early index 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, if any, to be paid in respect of your notes on the stated maturity date or the early maturity date, as the case may be, may be very different from the information reflected in the tables above.

Assuming No Changes in Market Conditions and Any Other Relevant Factors, the Market Value of Your Notes on the Date of This Prospectus Supplement (as Determined by Reference to Pricing Models Used by

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 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 offered notes, the price quoted by us or our affiliates for the offered notes 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 expected to be significantly less than the original 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 “— The Market Value of Your Notes May Be Influenced by Many Factors That Are Unpredictable and Interrelated in Complex Ways” below.

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 “— Your Notes May Not Have an Active Trading Market” below.

You can lose all or substantially all of your investment in the notes. If neither an index event has occurred nor an early redemption has been validly designated, in addition to interest, if any, you will be paid on the stated maturity date an amount in cash, if any, equal to the face amount of your notes plus the final index amount (which may be negative) minus the final TBill amount minus the final fee amount. The amount payable, if any, on the stated maturity date excluding interest, if any, will never be less than zero. If the final index level declines below the initial index level, or the final index level increases but such increase does not offset the final Tbill amount and final fee amount, the amount payable on your notes excluding interest, if any, may even be zero. Thus, you may lose your entire investment in the notes. For example, assuming the final fee days equal 403 and a final TBill amount of 0.55%, if the final index level falls to 90% of the initial index level, resulting in an index return of -10%, and the fee amount equals

0.83%, then the amount payable on the stated maturity date will be only 68.62% of the face amount of your notes, and you will lose 31.38% of the face amount of your notes. For more examples of hypothetical returns to an investor on the stated maturity date when neither an index event has occurred nor an early redemption has been validly designated, see Example 1 under “Hypothetical Returns on Your Notes” above.

If an index event has occurred or an early redemption has been validly designated, in addition to interest, if any, you will be paid on the early maturity date an amount in cash, if any, equal to the outstanding face amount of your notes plus the early index amount (which may be negative) minus the early TBill amount minus the early fee amount. The amount payable, if any, on the early maturity date excluding interest, if any, will never be less than zero. However, if the early index level is less than the initial index level, the amount payable on your notes excluding interest, if any, is not protected and may even be zero. For example, assuming the early fee days equal 137 and an early TBill amount of 0.19%, if the early index level falls to 90% of the initial index level, resulting in an early index return of -10%, and the early fee amount equals 0.28%, then the amount payable on the early maturity date will be only 69.53% of the outstanding face amount of your notes, and you will lose 30.47% of the face amount of your notes. For more examples of hypothetical returns to an investor on the early maturity date when an index event occurs or an early redemption is validly designated, see Example 2 under “Hypothetical Returns on Your Notes” above.

Our cash payment on your notes, if any, on the stated maturity date or the early maturity date, as the case may be, excluding interest, if any, will be based on, among other factors, the final index level or the early index level, respectively. Thus, if neither an index event has occurred nor an early redemption has been validly designated, you may lose your entire investment in your notes, depending on the final index level, as calculated by the calculation agent, and you may receive only interest, if any, on the stated maturity date. On the other hand, if an index event has occurred or an early redemption has been validly designated, you may still lose your entire investment in your notes, depending on the early index level, as calculated by the calculation agent, and you may receive only interest, if any, on the early maturity date. Moreover, in each case, the percentage decrease in the level of the index is multiplied by, among other things, a factor of 3.0. Therefore, to the extent that the index level declines below the initial index level, your loss is leveraged, and the rate of decline in the final index amount or the early index amount, as applicable, will exceed the rate of decline in the index level.

Also, the market price of your notes prior to the stated maturity date or the early maturity date, as the case may be, may be significantly lower than the purchase price you pay for your notes. Consequently, if you sell your notes before the stated maturity date or the early maturity date, as the case may be, you may receive far less than the amount of your investment in the notes.

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 prospectus 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 prospectus supplement.

Leverage Increases the Sensitivity of Your Notes to Changes in the Value of the Index

Because your investment in the notes is leveraged, changes in the value of the index will have a greater impact on the payout on your notes than on a payout on securities that are not so leveraged. Since the leverage factor provides 300% exposure to increases and decreases in the value of the index, every 1% change in the value of the index will translate into approximately a 3% change in the amount payable you will receive on the early maturity date or the stated maturity date, as the case may be. In particular, any decrease in the value of the index would result in a significantly greater decrease in the amount payable and you would suffer losses on your investment in the notes substantially greater than you would if your notes did not contain a leverage component.

Your Notes will be Automatically Redeemed If on Any Trading Day Prior to the Determination Date, the Closing Level of the Index Is Equal to or Less Than 88% of the Initial Index Level

If on any trading day prior to the determination date, the closing level of the index is equal to or less than 88% of the initial index level, an index event occurs and your notes will

be automatically redeemed. The amount payable upon redemption of your notes will be based on the performance of the index through the early determination date, as reduced by interest charges and fees for providing the commodity-linked return on the notes. In that case, you will receive an early redemption payment that will likely be significantly less than the principal amount of your notes and could be zero if the index level drops precipitously. You will receive no further payments of interest or principal after an early redemption date.

The actual performance of the index over the life of the offered notes, as well as the amount payable at maturity, may bear little relation to the historical closing levels of the index or to the hypothetical return examples set forth elsewhere in this prospectus supplement. We cannot predict the future performance of the index.

The Index Level Must Rise Sufficiently in Order for You to Receive the Face Amount of Your Notes at Maturity or Early Redemption

The amount payable on your notes at maturity or at an early maturity, as the case may be, will be calculated based on any increase or decrease in the level of the index from the trade date to the determination date or early determination date, as applicable, and reduced by a final investor fee (or early investor fee in the event of an early redemption or index event) and a final TBill amount (or early TBill amount in the event of an early redemption or index event). Thus, in order to receive the face amount of your notes at maturity or early redemption, the value of the index will have to appreciate sufficiently to offset the sum of the applicable investor fee and TBill amount. If the index declines or does not increase sufficiently, you could lose all or a substantial portion of your investment in your notes. This will be true even if the level of the index is sufficiently above the initial index level to offset the sum of the applicable investor fee and TBill amount at times during the life of your notes but not at the determination date or early determination date, as the case may be.

The Amount Payable on Your Notes Is Not Linked to the Index Level at Any Time Other Than the Determination Date or the Early Determination Date, as Applicable

The final index level or the early index level, as applicable, will be based on the closing level of the index on the determination date or the early determination date, respectively (subject to adjustment in case of market disruption or non-trading days). Therefore, if the closing level of the index dropped precipitously on the determination date or the early determination date, the payment amount for your notes may be significantly less than it would have been had the payment amount been linked to the closing level of the index prior to such drop in the index level. Although the actual index level on the stated maturity date, on the early maturity date or at other times during the life of your notes may be higher than the final index level or the early index level, as applicable, you will not benefit from the closing level of the index at any time other than on the determination date or the early determination date, respectively.

You will receive interest, if any, on your notes at the rate per annum for three-month (or a shorter length, interpolated in a manner as described in “Specific Terms of Your Notes – Interest Payment” below) USD LIBOR minus the spread (determined on the trade date) (subject to a minimum of 0.00%), reset quarterly, on each interest payment date.

The interest payable on your notes may be less than the prevailing market rate for our debt securities that are not indexed. Moreover, even if the final index amount or the early index amount, as applicable, as described elsewhere in this prospectus supplement, is positive, the overall return you earn on your notes may be less than the amount you would have earned by investing the face amount of your notes in a non-indexed debt security that bears interest at a prevailing market rate.

The Market Value of Your Notes May Be Influenced by Many Factors That Are Unpredictable and Interrelated in Complex Ways

When we refer to the market value of your notes, we mean the value that you could receive for your notes if you chose to sell them in the open market before the stated maturity date. A number of factors, many of which are beyond our control, will influence the market value of your notes, including:

These factors will influence the price you will receive if you sell your notes before maturity, including the price you may receive for your notes in any market-making transaction. If you sell your notes before maturity, you may receive less than the face amount of your notes. Neither we nor you can predict the future performance of the index based on its historical fluctuations. The actual performance of the index over the life of the notes, as well as the amount payable on the stated maturity date, may bear little or no relation to the historical levels of the index or to the hypothetical examples shown elsewhere in this prospectus supplement.

Possible Legal and Regulatory Changes Could Adversely Affect the Return on and Value of Your Notes

The United States Congress and U.S. administrative agencies are currently considering legislation and rules that would, if enacted, substantially affect the regulation of the commodity and futures markets. Although it is unclear what form any new legislation or rules may take, it is possible that any new legislation or rules may affect the ability of market participants to participate in the commodity and futures markets to the extent and at the levels that they have in the past and may have the effect of reducing liquidity in these markets and affecting the structure of the markets in other ways. In addition, these legislative and regulatory changes could increase the costs of participating in the commodity and futures markets. Any such changes could impact the level of the strategy which could in turn affect the return on and the value of your notes.

If the Level of the Index Changes, the Market Value of Your Notes May Not Change in the Same Manner

Your notes may trade quite differently from the performance of the index. Changes in the level of the index may not result in a comparable change in the market value of your notes. In part, this is because your notes may be redeemed early at your option, or automatically upon the occurrence of certain events. Moreover, the amount that may be paid on the stated maturity date or the early maturity date, as the case may be, is subject to a number of factors other than the index return or the early index return, respectively. Even if the level of the index increases above the initial index level during the life of the notes, the market value of your notes may not increase by the same amount. We discuss some of the reasons for this disparity under “— The Market Value of Your Notes May Be Influenced by Many Factors That Are Unpredictable and Interrelated in Complex Ways” above.

Changes In the Volatility of The Index Are Likely to Affect the Market Value of Your Notes

The volatility of the index refers to the magnitude and frequency of the changes in the index level. Changes in the volatility of the index are likely to affect the market value of your notes.

Changes in Interest Rates Are Likely to Affect the Market Value of Your Notes

We expect that the market value of your notes, like that of a traditional debt security, will be affected by changes in interest rates, although these changes may affect your notes and a traditional debt security to different degrees.

Trading and Other Transactions by Goldman, Sachs & Co. or Its Affiliates Relating to the Index, Commodities Contracts and Their Underlying Commodities May Adversely Affect the Value of Your Notes

As we describe under “Use of Proceeds and Hedging” below, we, through Goldman, Sachs & Co. or one or more of our other affiliates, have hedged our obligations under the notes by trading derivative instruments linked to the index underliers. We also expect to adjust the hedge by, among other things, purchasing or selling derivatives based on the index underliers, other financial instruments and perhaps also the index underliers, at any time and from time to time, and to unwind the hedge by selling any of the foregoing, on or before the determination date for your notes. We may also enter into, adjust and unwind hedging transactions relating to other index-linked notes whose returns are linked to changes in the level of the index or one or more of the index underliers. Any of these hedging activities may adversely affect the index level — directly or indirectly by affecting the price of the index underliers — and therefore the market value of your notes and the amount we will pay on your notes on the stated maturity date or the early maturity date, as the case may be. It is possible that we, through our affiliates, could receive substantial returns with respect to our hedging activities while the value of your notes may decline. See “Use of Proceeds and Hedging” below for a further discussion of transactions in which we or one or more of our affiliates may engage.

Goldman, Sachs & Co. and its affiliates actively trade commodities contracts and options on commodities contracts on the commodities that underlie the index, over-the-counter contracts on these commodities, the underlying commodity contracts, the commodities underlying such contracts and other instruments and derivative products based on numerous other commodities. Goldman, Sachs & Co. and its affiliates also trade instruments and derivative products based on the index and its sub-indices. Trading in any of the foregoing by Goldman, Sachs & Co. and its affiliates and unaffiliated third parties could adversely affect the value of the index which could in turn affect the return on and the value of your notes.

Goldman, Sachs & Co. and our other affiliates may also engage in trading in one or more of the index underliers or instruments whose returns are linked to the index or the index underliers for their proprietary accounts, for other accounts under their management or to facilitate transactions, including block transactions, on behalf of customers. Any of these activities of Goldman, Sachs & Co. or our other affiliates could adversely affect the index level — directly or indirectly by affecting the price of the index underliers — and/or any other factor that may affect the amount that may be paid on the stated maturity date or the early maturity date, as the case may be, and, therefore, the market value of your notes and the amount we will pay on your notes on the stated maturity date or the early maturity date, as applicable.

Goldman, Sachs & Co., its affiliates and other parties may issue or underwrite additional securities or trade other products the return on which is linked to the value of the index, any of its sub-indices, or other similar indices. An increased level of investment in these products may negatively affect the performance of the index, and could affect the index level, and therefore the amount payable on your notes, if any, on the stated maturity date and the value of your notes before that date. In addition, the index sponsor has licensed and may continue to

license the index or any of its sub-indices or strategies similar to the index for use by other market participants, for publication in newspapers and periodicals, for distribution by information and data dissemination services and for various other purposes, any of which may contribute to an increased level of investment in the index, any of its sub-indices, or other similar indices. Goldman, Sachs & Co. and our other affiliates may further develop other indices or strategies and trade other products the return on which is linked to the value of these indices or strategies that might compete with the index and might adversely affect the value of your notes.

You Have No Rights with Respect to Commodity Contracts or Commodities or Rights to Receive Any Commodity Contracts or Commodities

Investing in your notes will not make you a holder of any commodity contracts underlying the index or any commodities underlying such contracts. Neither you nor any other holder or owner of your notes will have any rights with respect to any commodity contracts or commodities. Any amounts payable on your notes will be made in cash, and you will have no right to receive any commodity contracts underlying the index or any commodity underlying such contracts.

Suspensions or Disruptions of Market Trading in Commodities and Related Futures May Adversely Affect the Value of Your Notes

The commodity markets are subject to temporary distortions or other disruptions due to various factors. In addition, U.S. trading facilities and some foreign trading facilities have regulations that limit the amount of fluctuation in commodity contract prices which may occur during a single business day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a “limit price”. Once the limit price has been reached in a particular contract, trading in the contract will follow the regulations set forth by the trading facility on which the contract is listed. Limit prices may have the effect of precluding trading in a particular contract, which could adversely affect the value of the index and, therefore, the value of your notes.

In making its calculations of the final index amount on the stated maturity date or the early index amount on the early maturity date, if any, Goldman Sachs International, as calculation agent, may in certain circumstances when a market disruption event or non-trading day occurs determine the level of the index on the determination date or early determination date, as applicable, using a methodology described under “Specific Terms of Your Notes — Consequences of a Market Disruption Event or a Non-Trading Day” below. This methodology may differ from that used to calculate the level of the index by the index sponsor. As a result, if a market disruption event occurs with respect to any index underlier, the value of that index underlier at the determination date or the early determination date, as applicable, will not be calculated until a settlement price can be determined. If a market disruption event with respect to such index underlier has not ceased by the last possible day the determination date or the early determination date may be postponed, the calculation agent will calculate the final index level or the early index level, as applicable, and the amount payable on your notes on the determination date or on the early determination date, respectively, in its discretion. Accordingly, the calculation of your payment may be delayed beyond what would otherwise be the determination date or the early determination date, respectively, and may be subject to the judgment of the calculation agent. Additionally, regardless of the market disruption event, the index sponsor may continue to calculate the value of the index and publish such value on Bloomberg according to the process described above. Therefore, if a market disruption event with respect to any index underlier occurs, the amount payable on your notes may not reflect the actual value of the index as published by the index sponsor on the determination date or on the early determination date, as the case may be.

You may not receive the amount payable on your notes if a market disruption event occurs or is continuing on the determination date or on the early determination date, as applicable, or such day is not a trading day, until a number of business days after the final index level or the early index level, respectively, can be determined.

Our Business Activities May Create Conflicts of Interest Between Your Interest in Your Notes and Us

As we have noted above, Goldman, Sachs & Co. and our other affiliates have engaged and expect to engage in trading activities related to the index, and derivative instruments based on the index or index underliers that are not for your account or on your behalf. These trading activities may present a conflict between your interest in your notes and the interests Goldman, Sachs & Co. and our other affiliates will have in their proprietary accounts, in facilitating transactions, including block trades, for their customers and in accounts under their management. These trading activities, if they influence the level of the index or any other factor that may affect the amount that may be paid on the stated maturity date or the early maturity date, as the case may be, could be adverse to your interests as a beneficial owner of your notes.

Goldman, Sachs & Co. and our other affiliates may, at present or in the future, engage in business with the index sponsor, including making loans to or equity investments in the index sponsor or providing advisory services to the index sponsor. These services could include merger and acquisition advisory services. These activities may present a conflict between the obligations of Goldman, Sachs & Co. or another affiliate of Goldman Sachs and your interests as a beneficial owner of a note. Moreover, one or more of our affiliates may have published and in the future expect to publish research reports with respect to the index sponsor. Any of these activities by any of our affiliates may affect the level of the index and hence the index, therefore, the value of your notes and the value of the consideration we will deliver on your notes at maturity or upon early redemption.

As Calculation Agent, Goldman Sachs International Will Have the Authority to Make Determinations That Could Affect the Value of Your Notes, Including Whether Early Redemption Was Validly Designated or an Index Event Occurred, and the Amount You May Receive on the Stated Maturity Date or the Early Maturity Date

As calculation agent for your notes, Goldman Sachs International will have discretion in making various determinations that affect your notes, including determining the final index level on the determination date, which we will use to determine the amount we may pay on the stated maturity date, and the early index level on the early determination date, which we will use to determine the amount we may pay on the early maturity date, making all determinations and calculations of the interest rate applicable to your notes (including the determination of any interpolated interest rate), determining the effectiveness of a notice of early redemption or the occurrence of an index event, and determining whether to postpone the determination date or the early determination date and the stated maturity date or the early maturity date, as applicable. The exercise of this discretion by Goldman Sachs International could adversely affect the value of your notes and may present Goldman, Sachs & Co. with a conflict of interest of the kind described under “— Our Business Activities May Create Conflicts of Interest Between Your Interest in Your Notes and Us” above. We may change the calculation agent at any time without notice, and Goldman Sachs International may resign as calculation agent at any time upon 60 days’ written notice to Goldman Sachs.

The Policies of the Index Sponsor and Changes That Affect the Index and the Index Underliers Could Affect the Amount Payable on Your Notes and Its Market Value

The policies of the index sponsor concerning the calculation of the index, additions, deletions or substitutions of the index underliers comprising the index, and the manner in which changes affecting those index underliers (such as rebalancing of the index underliers) are reflected in and by extension could affect the index level and, therefore, the amount payable on your notes on the stated maturity date or the early maturity date, as the case may be, and the market value of your notes before that date. The amount payable on your notes and its market value could also be affected if the index sponsor changes these policies, for example, by changing the manner in which it calculates the index, or if the index sponsor discontinues or suspends calculation or publication of the index, in which case it may become difficult to determine the market value of your notes. If events such as these occur, or if the index is not available on the determination date or on the early determination date, as the case may be, because of a market disruption

event or for any other reason, the calculation agent — which initially will be Goldman Sachs International, our affiliate — may determine the index level on the determination date or the early determination date, as applicable — and thus the amount payable on the stated maturity date or the early maturity date — in a manner as described below under “Specific Terms of Your Notes — Consequences of a Market Disruption Event or a Non-Trading Day”, “— Discontinuance or Modification of the Index” and/or as it considers appropriate, in its sole discretion. We describe the discretion that the calculation agent will have in determining the index level on the determination date or the early determination date, as the case may be, and the amount payable on your notes more fully under “Specific Terms of Your Notes — Discontinuance or Modification of the Index” and “— Role of Calculation Agent” below.

The index sponsor may make changes over time to the methodologies of compilation of the index. Additional underliers will satisfy the eligibility criteria and underliers currently included in the index will fail to satisfy such criteria. In addition, the index sponsor may modify the methodology for determining the composition and weighting of the index for calculating its value in order to assure that the index represents an adequate measure of market performance or for other reasons. Such changes could adversely affect the value of your notes.

In the event that the index sponsor discontinues publication of the index, Goldman Sachs International, as calculation agent, will continue to calculate the index during the remaining term of the notes, based on the methodologies described in this prospectus supplement.

Commodity Prices as Well as the Commodity Contracts Underlying the Index May Change Unpredictably, Affecting the Value of Your Notes in Unforeseeable Ways

Commodity prices as well as the commodity contracts underlying the index are affected by a variety of factors, including weather, governmental programs and policies, national and international political, military, terrorist and economic events, changes in interest and exchange rates and trading activities in commodities and related contracts. These factors may affect the levels of the index and the value of your notes in varying ways, and different factors may cause the value of different index commodities and the volatilities of their prices, to move in inconsistent directions and at inconsistent rates.

The Notes Are Linked to the Index But Your Participation in the Total Return Feature of the Index is Limited

The return on the notes is linked to the performance of the index, which, as discussed under “The Index”, reflects the returns that are potentially available through an unleveraged investment in the futures contracts comprising the index that includes interest that could be earned on funds committed to the trading of the underlying futures contracts. However, the return on the notes will differ from the index return because we will be subtracting out the early TBill amount or the final TBill amount, as the case may be, on the face amount as well as fees, and leveraging the result three times. As a result, even if the index return is positive, you may receive less than the face amount of your notes at stated maturity or early maturity, as applicable, if the value of the index does not appreciate sufficiently to offset the sum of the applicable investor fee and the TBill amount.

It Is Difficult to Predict What Effect Higher and Lower Future Prices of Commodities Included in the Index Relative to Their Current Prices May Have on Its Value

As the contracts that underlie the index come to expiration, they are replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in May may specify a July expiration. As time passes, the contract expiring in July is replaced by a contract for delivery in September. This is accomplished by selling the July contract and purchasing the September contract. This process is referred to as “rolling”. If the market for these contracts is (putting aside other considerations) in “backwardation”, where the prices are lower in the distant delivery months than in the nearer delivery months, the sale of the July contract would take place at a price that is higher than the price of the September contract, thereby creating a “roll yield”.

The commodities in the index may from time to time trade in contango. Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery months. The absence of backwardation in the market for a commodity contract could result in negative “roll yields”, which could adversely affect the value of an index tied to that contract. See “The Index” below for more information.

The Index Sponsor May Be Required to Replace a Designated Contract If the Existing

A commodity contract known as a “designated contract” has been selected as the reference contract for each of the physical commodities underlying the index. Data concerning this designated contract will be used to calculate the index. If a designated contract were to be terminated or replaced in accordance with the rules described under “The Index” in this prospectus supplement, a comparable commodity contract would be selected by the index sponsor, if available, to replace that designated contract. The termination or replacement of any designated contract may have an adverse impact on the value of the index.

The Index May Be More Volatile and Susceptible to Price Fluctuations in the Underlying Commodities Than a Broader Commodities Index, Such as the Dow Jones-UBS Commodity Index Total Return^SM

In contrast to the Dow Jones-UBS Commodity Index Total Return^SM, the index is comprised of contracts on only a relatively small portion of the physical commodities that are actively traded. As a result, price volatility in the contracts included in the index will likely have a greater impact on the index than it would on the Dow Jones-UBS Commodity Index Total Return^SM, and the index will be more susceptible to fluctuations and declines in value of the commodities included in the index. In addition, because the index omits several principal market sectors comprising the Dow Jones-UBS Commodity Index Total Return^SM, it may be less representative of the economy and commodity markets as a whole and might therefore not serve as a reliable benchmark for commodity market performance generally. Moreover, any addition or removal of energy commodities from the energy commodity group will have a much greater impact on the index than on the Dow Jones-UBS Commodity Index Total Return^SM and may adversely affect the value of your notes. For more information on the addition and removal of energy commodities underlying the index and commodity groups, see “The Index — Addition, Removal or Replacement of Commodities Underlying the Index” and “— Composition of the Dow Jones-UBS Commodity Index Total Return^SM — Commodity Groups”, respectively, below.

Data Sourcing, Calculation and Concentration Risks Associated With the Index May Adversely Affect the Market Price of the Notes

Because the notes are linked to the index, which is composed of exchange-traded futures contracts only on energy commodities, it will be less diversified than other funds or investment portfolios investing in a broader range of products and, therefore, could experience greater volatility. Additionally, the annual composition of the index will be recalculated in reliance upon historic price, liquidity and production data that are subject to potential errors in data sources or other errors that may affect the weighting of the index underliers. Any discrepancies that require revision are not applied retroactively but will be reflected in the weighting calculations of the index for the following period. Additionally, the index sponsor may not discover every discrepancy. Furthermore, the weightings for the index are determined by UBS Securities under the supervision of the Dow Jones-UBS Commodity Index Supervisory Committee. The index sponsor also has discretion in making decisions with respect to the index and has no obligation to take the needs of any parties to transactions involving the index into consideration when reweighting or making any other changes to the index. Since the underlying index consists solely of energy commodities, an investment in the notes may carry risks similar to a concentrated securities investment in a specific industry or sector.

Changes in the Composition and Valuation of the Index May Adversely Affect the Value of Your Notes

The composition of the index may change over time, as additional commodity contracts satisfy the eligibility criteria of the index or commodity contracts currently included in the index fail to satisfy such criteria and those changes could impact the composition of the index. Such changes could adversely affect the value of your notes. In the event that the index sponsor discontinues publication of the index, the calculation agent may calculate the index during the remaining term of your notes as described under “— Discontinuance or Modification of the Index” on page S-27. Because such calculation will, in that event, no longer be based on the index sponsor’s calculation of the index, it is possible that the value of your notes will be adversely affected when compared to the situation in which the index was still being calculated.

There Is No Affiliation Between the Index Sponsor and Us, and We Are Not Responsible for Any Disclosure by the Index Sponsor

Neither The Goldman Sachs Group, Inc. nor any of its affiliates is affiliated with the index

sponsor. Neither we nor any of our affiliates assume any responsibility for the accuracy or the completeness of any information about the index. You, as an investor in your notes, should make your own investigation into the index. See “The Index” below for additional information about the index.

The index sponsor is not involved in this offering of your notes in any way and does not have any obligation of any sort with respect to your notes. The index sponsor does not have any obligation to take your interests into consideration for any reason, including when taking any actions that might affect the value of your notes.

Your notes will not be listed or displayed on any securities exchange or included in any interdealer market quotation system, and there may be little or no secondary market for your notes. Even if a secondary market for your notes develops, it may not provide significant liquidity and we expect that transaction costs in any secondary market would be high. As a result, the difference between bid and asked prices for your notes in any secondary market could be substantial.

The Calculation Agent Can Postpone the Determination Date or the Early Determination Date, as the Case May Be, If a Market Disruption Event or a Non-Trading Day Occurs

If the calculation agent determines that, on the determination date or the early determination date, as the case may be, a market disruption event relating to one or more index underliers has occurred or is continuing or such day is not a trading day, the determination date or the early determination date, as applicable, will be postponed until the first trading day on which no market disruption event occurs or is continuing and, in any event, not more than five business days. As a result, if the determination date or the early determination date, as the case may be, is so postponed, the stated maturity date or the early maturity date, respectively, for your notes will also be postponed, although not by more than five business days. Thus, if the determination date is so postponed, you may not receive the cash payment, if any, that we are obligated to deliver on the stated maturity date until several days after the originally scheduled stated maturity date. Similarly, when the early determination date is so postponed, you may not receive the cash payment, if any, that we are obligated to deliver on the early maturity date until several days after the date that would have been the early maturity date had the market disruption event not occurred or continued on the early determination date or had such day been a trading day. Moreover, if the determination date or the early determination date, as the case may be, is postponed to the last possible day, but a market disruption event occurs or is continuing on that day or such day is not a trading day, that day will nevertheless be the determination date or the early determination date, respectively. If the determination date or the early determination date, as the case may be, is postponed due to a market disruption event or a non-trading day, the calculation agent will determine the final index level or the early index level based on the procedures described under “Specific Terms of Your Notes — Consequences of a Market Disruption Event or a Non-Trading Day” below. In addition, if the calculation agent determines that the index level or any settlement price that must be used to determine the final index level or the early index level, as the case may be, is not available on the determination date or the early determination date, respectively, for any other reason, then the calculation agent will determine the final index level or the early index level based on its assessment, made in its sole discretion, of the level of the index or relevant settlement price on that day.

Any insurance company or fiduciary of a pension plan or other employee benefit plan that is subject to the prohibited transaction rules of the Employee Retirement Income Security Act of 1974, as amended, which we call “ERISA”, or the Internal Revenue Code of 1986, as amended, including an IRA or a Keogh plan (or a governmental plan to which similar prohibitions apply), and that is considering purchasing the notes with the assets of the insurance company or the assets of such a plan, should consult with its counsel regarding whether the purchase or holding of the offered notes could become a “prohibited transaction” under ERISA, the Internal Revenue Code or any substantially

similar prohibition in light of the representations a purchaser or holder in any of the above categories is deemed to make by purchasing and holding the offered notes. This is discussed in more detail under “Employee Retirement Income Security Act” below.

The tax consequences of an investment in your notes are uncertain, both as to the timing and character of any inclusion in income in respect of your notes.

The Internal Revenue Service announced on December 7, 2007 that it is considering the tax treatment of structured notes, such as the offered notes, which could adversely affect the tax treatment and the value of your notes.

We discuss these matters under “Supplemental Discussion of Federal Income Tax Consequences” below. Please also consult your own tax advisor concerning the U.S. federal income tax and any other applicable tax consequences to you of owning your notes in your particular circumstances.

We refer to the notes we are offering by this prospectus supplement as the “offered notes” or the “notes”. Please note that in this prospectus 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, in each case relating to the Medium-Term Notes, Series D, of The Goldman Sachs Group, Inc. Please note that in this section entitled “Specific Terms of Your Notes”, references to “holders” mean those who own notes registered in their own names, on the books that we or the trustee maintain for this purpose, and not those who own beneficial interests in notes registered in street name or in notes issued in book-entry form through The Depository Trust Company. Please review the special considerations that apply to owners of beneficial interests in the accompanying prospectus, under “Legal Ownership and Book-Entry Issuance”.

The offered notes are part of a series of debt securities, entitled “Medium-Term Notes, Series D”, that we may issue under the indenture from time to time as described in the accompanying prospectus. The offered notes are also “indexed debt securities”, as defined in the accompanying prospectus.

This prospectus supplement summarizes specific financial and other terms that apply to the offered notes, including your notes; terms that apply generally to all Series D medium-term notes are described in “Description of Notes We May Offer” in the accompanying prospectus supplement. The terms described here supplement those described in the accompanying prospectus supplement and the accompanying prospectus and, if the terms described here are inconsistent with those described there, the terms described here are controlling.

In addition to those terms described on the front cover page and under “Summary Information” of this prospectus supplement, the following terms will apply to your notes:

Denominations: each note registered in the name of a holder must have a face amount of $1,000, or integral multiples of $1,000 in excess thereof

Please note that the information about the settlement or trade date, issue price, underwriting discounts or commissions and net proceeds to The Goldman Sachs Group, Inc. on the front cover page or elsewhere in this prospectus supplement relates only to the initial issuance and sale of the notes. We may decide to sell additional notes on one or more dates after the date of this prospectus supplement, at issue prices, underwriting discounts and net proceeds that differ from the amounts set forth

on the front cover page or elsewhere in this prospectus supplement. If you have purchased your notes in a market-making transaction after the initial issuance and sale of the notes, any such relevant information about the sale to you will be provided in a separate confirmation of sale.

In this prospectus supplement, when we refer to the index, we mean the index specified on the front cover page, or any successor index, as it may be modified, replaced or adjusted from time to time as described under “— Discontinuance or Modification of the Index” below. When we refer to the index sponsor as of any time, we mean the corporation or other entity, or group of corporations or other entities, including any successor sponsor, that (i) is responsible for setting and reviewing the rules and procedures and the methods of calculation and adjustments, if any, related to the index and (ii) announces (directly or through an agent) the level of the index on any business day. When we refer to the index commodities as of any time, we mean the commodity contracts that comprise the index as then in effect, after giving effect to any additions, deletions or substitutions.

If neither an index event has occurred nor an early redemption has been validly designated, in addition to interest , if any, the amount payable, if any, on the stated maturity date will be an amount in cash equal to the greater of (1) zero and (2) the result of (a) the face amount of your notes plus (b) the final index amount (which may be negative) minus (c) the final TBill amount minus (d) the final fee amount. If an index event has occurred or an early redemption has been validly designated, no payment of principal will be made on the stated maturity date.

The final index amount will be equal to the product of (1) the face amount of your notes times (2) 3.0 times (3) the index return. The index return will be calculated by dividing the final index level by the initial index level and subtracting one from the result.

The final index amount, and therefore the amount payable on your notes on the stated maturity date, if any, will be based on, among other factors, the final index level. If the final index level is greater than the initial index level — i.e., the index return is positive due to an increase in the index — you will participate in any such increase, provided such increase sufficiently offsets the sum of the final TBill amount and final fee amount. On the other hand, if the index return is negative due to a decrease in the index, you will lose some or all of the principal in your notes, and may receive no payment at all on the stated maturity date. Moreover, the index return is multiplied by, among other things, a factor of 3.0. Therefore, to the extent that the index level declines below the initial index level, your loss is leveraged, and the rate of decline in the final index amount will exceed the rate of decline in the index level.

The calculation agent will determine the final index level, which will be the closing level of the index on the determination date as calculated and published by the index sponsor, subject to adjustment in certain circumstances described under “— Consequences of a Market Disruption Event or a Non-Trading Day” and “— Discontinuance or Modification of the Index” below. Moreover, the calculation agent will have discretion to adjust the closing level on any particular day or to determine it in a different manner as described under “— Discontinuance or Modification of the Index” below.

The final TBill amount will be equal to the product of (1) the face amount of your notes times (2) 3.0 times (3) the realized TBill amount.

The realized TBill amount will equal the interest amount based on the prevailing 3-month TBill auction high rate (which, for any given day, is the USD-TBill auction high rate published at the most recent auction date prior to that day). Since the auction high rate is based on a 3-month maturity, it must be converted into a daily amount (the “daily TBill return”). The realized TBill amount is the accumulation of the daily amounts over all calendar days in the TBill calculation period, which will be equal to (1 + daily TBill return) for each calendar day in the TBill calculation period, minus one,

(1+ daily TBill return) equals (1-91/360×r_d-1) raised to the power of (-1/91) and d means each calendar day in the TBill calculation period and r_d is the TBill auction high rate for day d as defined above.

The TBill calculation period for your notes will be the period from but excluding the trade date to and including the determination date.

In formulaic terms the realized TBill amount equals the product of (1 + daily TBill return) for each of the d calendar days in the period, mathematically shown as:

If on the calculation date in the TBill calculation period, TBills with a maturity of three months have been auctioned on a TBill interest rate reset date (which is defined as each day in the TBill calculation period on which TBills with a maturity of three months are auctioned) during the TBill calculation period but such rate for such TBill interest rate reset date does not appear on Reuters Screen “US AUCTION 10/11” (or any official successor page thereto), the rate for that TBill interest rate reset date will be the bond equivalent yield of the rate set forth in H.15 Daily Update (or any official successor page thereto), or such other recognized electronic source used for the purpose of displaying such rate, for that day in respect of the designated maturity under the caption “U.S. Government Securities/Treasury bills/Auction high” converted by the calculation agent in its discretion to bank discount basis such that it is expressed in the same manner as the auction high rate.

If on the calculation date in the TBill calculation period, TBills with a maturity of three months have been auctioned on a TBill interest rate reset date during the TBill calculation period but such rate for such TBill interest rate reset date does not appear on Reuters Screen “US AUCTION 10/11” (or any official successor page thereto) and such rate is not set forth in the H.15 Daily Update in respect of TBills with a three month maturity under the caption “U.S. Government securities/Treasury bills/Auction high” or another recognized electronic source, the rate for that TBill interest rate reset date will be the bond equivalent yield of the auction rate for those TBills as announced by the U.S. Department of Treasury, converted by the calculation agent in its discretion to bank discount basis such that it is expressed in the same manner as the auction high rate.

If the TBills with a maturity of three months are not auctioned during any period of seven consecutive calendar days ending on a Friday and a TBill interest rate reset date would have occurred if such TBills had been auctioned during that seven-day period, a TBill interest rate reset date will be deemed to have occurred on the day during that seven-day period on which such TBills would have been auctioned in accordance with the usual practices of the U.S. Department of Treasury, and the rate for that TBill Interest Rate Reset Date will be determined as if the parties had specified “USD-TBILL-Secondary Market” as the applicable rate that appears on Reuters Screen “US AUCTION 10/11” (or any official successor thereto) under the heading “HIGH RATE”.

The final fee amount will be equal to the product of (1) the face amount of your notes times (2) 3.0 times (3) 0.25% times (4) the quotient of (a) the final fee days divided by (b) 365. The calculation agent will determine the final fee days, which will be the number of calendar days from but excluding the trade date to and including the determination date.

The stated maturity date is expected to be approximately 13 months after the original issue date. If the stated maturity date is not a business day, then the stated maturity date will be the immediately following business day. If the fifth scheduled trading day before this applicable day is not the determination date referred to below, however, then the stated maturity date will be the fifth business day following the determination date.

The determination date is July 11, 2011. If the calculation agent determines that a market disruption event with respect to any index underlier occurs or is continuing on the date that

would otherwise be the determination date or that day is not a trading day, then the determination date will be the first following trading day on which the calculation agent determines that the market disruption event with respect to each such index underlier has ceased. In no event, however, will the determination date be postponed by more than five business days. The determination date for your notes will not occur on a day that is not a trading day, except as described in the immediately preceding sentence. If the determination date is postponed until the last possible date, the calculation agent shall make all required calculations on such date in the manner described in this prospectus supplement.

Your notes bear interest at a rate per annum equal to the base rate minus the spread (determined on the trade date), subject to a minimum of 0.00%. The base rate will be determined by the calculation agent as described in “— Base Rate” below. Interest will accrue and be calculated and paid as described in the accompanying prospectus and the accompanying prospectus supplement with regard to floating rate notes, except that, if an index event has occurred or an early redemption has been validly designated, the interest payment dates and the interest amount on the early maturity date will be changed as described in “— Redemption Adjustments” below. See the accompanying prospectus and the accompanying prospectus supplement for additional information about calculation mechanics.

The calculation agent’s determination of the applicable base rate, any interest payment date and its calculation of the accrued interest and/or the fixed income discount factor for any interest period, will be final and binding in the absence of manifest error.

The base rate will be determined by the calculation agent, and will be equal to:

Interest reset dates will be September 10, 2010, December 10, 2010, March 10, 2011, June 10, 2011, provided that if any such day is not a business day, then the interest reset date will be the next succeeding business day, unless that succeeding business day would fall in the next calendar month, in which case such interest reset dates will be the immediately preceding business day. The second London business day prior to each interest reset date will be an interest determination date.

The relevant interest period for the notes will be the period from and including the settlement date, or the last date to which interest has been paid or made available for payment, to but excluding the immediately following interest payment date.

The interest on your notes will be paid on the interest payment dates provided in “Summary Information” of this prospectus supplement. If an index event has occurred or an early redemption has been validly designated, however, any originally scheduled interest payment date that is subsequent to the

early maturity date will not be an interest payment date, and the early maturity date will instead be the last interest payment date.

In addition, the accrued interest payable on the early maturity date will be reduced by the fixed income discount factor. Therefore, on the early maturity date, in addition to the amount payable as described in “— Payment on the Early Maturity Date” below, if any, you will receive an interest payment, if any, that will equal the result of (1) the fixed income discount factor times (2) the accrued interest that would have been payable but for the adjustment described in this paragraph.

The fixed income discount factor is equal to the quotient of (1) one divided by (2) the sum of (a) one plus (b) the product of (i) the FIDF LIBOR level times (ii) the quotient of (x) the fixed income days remaining divided by (y) 360. FIDF LIBOR level is the LIBOR rate for deposits in U.S. dollars for the FIDF LIBOR designated maturity (interpolated by the calculation agent, if necessary, between (1) the USD LIBOR of longest maturity that is less than or equal to the FIDF LIBOR designated maturity, and (2) the USD LIBOR of shortest maturity that is greater than or equal to the FIDF LIBOR designated maturity), which appears on Reuters Screen “LIBOR01” (or any successor or replacement service or page) as of 11:00 a.m., London time, on the early determination date, or if such rate does not appear on Reuters Screen “LIBOR01” (or any successor or replacement service or page), the rate determined by the calculation agent.

The FIDF LIBOR designated maturity will be equal to the longer of (1) the fixed income days remaining and (2) one month, and will be determined on the early determination date. The fixed income days remaining will be determined by the calculation agent, and will be equal to the number of calendar days from but excluding the early maturity date to and including the earlier of (1) the interest reset date immediately following the early maturity date and (2) the stated maturity date.

If an early redemption has been validly designated or an index event has occurred, in addition to interest, if any, the amount payable, if any, for each offered note outstanding on the early maturity date will be an amount in cash equal to the greater of (1) zero or (2) the result of (a) the face amount of your notes plus (b) the early index amount (which may be negative) minus (c) the early TBill amount minus (d) the early fee amount.

If all requirements described under “Holder’s Option to Redeem — Early Redemption Requirements” below are satisfied no later than 9:00 a.m., New York City time, on a day that is a trading day, that day will be the early determination date. If the requirements are satisfied after that time, the next day that is a trading day will be the early determination date. On the other hand, if an index event has occurred, the early determination date will be the trading day immediately following the day on which the index event occurs.

The early determination date is subject to postponement by up to five business days as described in “— Consequences of a Market Disruption Event or a Non-Trading Day” below. The early maturity date is the fifth business day following the early determination date.

If the notes are redeemed upon the occurrence of the index event or designation of the early redemption, you will lose the right to receive any amount on your notes on the stated maturity date, as described under

“— Payment on the Stated Maturity Date” and “— Interest Payment” above.

The early index amount is equal to the product of (1) the face amount of your notes times (2) 3.0 times (3) the early index return.

The early index return will be calculated by dividing (1) the early index level by the initial index level minus (2) one.

The calculation agent will determine the early index level, which will be the closing level of the index on the early determination date as calculated and published by the index sponsor, subject to adjustment in certain circumstances described under “— Consequences of a Market Disruption Event or a Non-Trading Day” and “— Discontinuance or Modification of the Index” below.

The early index amount, and therefore the amount payable on your notes on the early maturity date, if any, will be based on, among other factors, the early index level. If the early index level is greater than the initial index level — i.e., the early index return is positive due to an increase in the index — you may participate in any such increase provided such increase sufficiently offsets the sum of the early TBill amount and early fee amount. On the other hand, if the early index return is negative due to a decrease in the index, you may lose some or all of the early index amount on your notes, and may receive no payment at all on the early maturity date.

The early TBill amount will be the product of (1) the face amount of your notes times (2) 3.0 times (3) the historic TBill amount.

The historic TBill amount will equal the realized TBill amount, with a calculation period from but excluding the trade date to and including the early determination date.

The early fee amount will be the product of (1) the face amount of your notes times (2) 3.0 times (3) 0.25% times (4) the quotient of (a) the early fee days divided by (b) 365. The calculation agent will determine the early fee days, which will be the number of calendar days from but excluding the trade date to and including the early determination date.

If the conditions described under “— Early Redemption Requirements” below are satisfied, holders of 100% of the aggregate outstanding face amount issued on the original issue date may elect to redeem the notes, in whole and not in part. If the notes are so redeemed, we will pay an amount in cash, if any, calculated in a manner as described under “— Payment on the Early Maturity Date” above.

To exercise the option to redeem, the following requirements must be satisfied on any day that is a business day and before the option to redeem expires:

The calculation agent will, in its sole discretion, resolve any questions that may arise as to the validity of a notice of early redemption or as to whether and when the required deliveries have been made. Once given, a notice of early redemption may not be revoked. If you exercise the option to redeem, you will be paid on the early maturity date, which is the fifth business day following the early determination date.

Expiration of Option to Redeem. In all cases, the requirements described under “— Early Redemption Requirements” above must be satisfied no later than 9:00 A.M., New York City time, no later than the business day immediately before the earlier of (1) the occurrence of an index event and (2) the originally scheduled determination date. Immediately after that time, the option to redeem will expire and may not be exercised, although the holder of the notes will be entitled to receive the amount payable, if any, on the stated maturity date or the early maturity date, as applicable, calculated in a manner as described under “— Payment on the Stated Maturity Date” or “— Payment on the Early Maturity Date” above.

Only the Holder May Exercise the Option to Redeem. Since your notes are issued only in global form, the depositary or its nominee is the holder of your notes and therefore is the only entity that can exercise the option to redeem with respect to your notes. If you would like to exercise the option to redeem, you should give proper and timely instructions to the bank or broker through which you hold the interest in your notes, requesting that it notify the depositary to exercise the option to redeem on behalf of the holder. Different firms have different deadlines for accepting instructions from their customers, and you should take care to act promptly enough to ensure that your request is given effect by the depositary before the deadline for exercise. Similar concerns apply if the holder holds the notes in street name.

If an index event occurs, we will notify the holder of your notes and the trustee in the manner described in the accompanying prospectus. If the notes are so redeemed, we will pay an amount in cash, if any, calculated in a manner as described under “— Payment on the Early Maturity Date” above.

If a market disruption event relating to one or more index underliers occurs or is continuing on the originally scheduled determination date (if that day is not a trading day, then the following trading day) or early determination date, as applicable, the calculation agent will calculate the final index level or the early index level, as applicable, by using:

In calculating the final index level or the early index level in the circumstances described above, the calculation agent will use the method for calculating the index last in effect prior to such market disruption event.

In addition, if the calculation agent determines that the level of the index or any settlement price that must be used to determine the final index level or early index level, as applicable, is not available on the determination date or the early determination date, as the case may be, for any other reason, except as described under “— Discontinuance or Modification of the Index” below, then the calculation agent will determine the final index level or early index level, as applicable, based on its assessment, made in its sole discretion, of the level of the index or any relevant settlement price on such applicable day.

If the index is (i) not calculated and announced by the index sponsor but is calculated and announced by a successor sponsor acceptable to the calculation agent or (ii) replaced by a successor index using, in the determination of the calculation agent, the same or a substantially similar formula for and method of calculation as used in the calculation of the index, then such successor index will be deemed to be the index so calculated and announced by that successor sponsor or that successor index, as the case may be. We refer to the index sponsor or any such successor sponsor as the index sponsor.

If prior to the determination date, the index sponsor makes a material change in the formula for or the method of calculating the index or in any other way materially modifies the index (other than a modification prescribed in that formula or method relating to the composition of the index, the weighting of the components of the index and other routine events and modifications), then the calculation agent shall calculate the level of the index, in lieu of a published level for the index, in accordance with the formula for and method of calculating the index last in effect prior to that change or modification, but using only those contracts that were included in the index immediately prior to that change or modification (or, if such contracts are no longer traded, contracts that are the most comparable, in the judgment of the calculation agent), in good faith and in its discretion.

If the final index level published on the determination date is subsequently corrected and the correction is published by the calculation agent not later than four business days prior to the stated maturity date, then the corrected final index level for the determination date shall be deemed the official final index level for the determination date and the calculation agent shall use the corrected final index level in accordance with the above provisions.

If the calculation agent determines that the publication of the index is discontinued and there is no successor index, the calculation agent will determine the final index level by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate the index or the relevant settlement prices based on the then-current index methodology.

If an event of default occurs and the maturity of your notes is accelerated, we will pay the default amount in respect of the principal of your notes at the maturity, instead of the amount payable on the stated maturity date as described earlier. We describe the default amount under “— Special Calculation Provisions” below.

For the purpose of determining whether the holders of our Series D medium-term notes, which include your notes, are entitled to take any action under the indenture, we will treat the outstanding face amount of your notes as the outstanding principal amount of that note. Although the terms of the offered notes differ from those of the other Series D medium-term notes, holders of specified percentages in principal amount of all Series D medium-term notes, together in some cases with other series of our debt securities, will be able to take action affecting all the Series D medium-term notes, including your notes, except with respect to

certain Series D medium-term notes if the terms of such notes specify that the holders of specified percentages in the principal amount of all such notes must also consent to such action. This action may involve changing some of the terms that apply to the Series D medium-term notes, accelerating the maturity of the Series D medium-term notes after a default or waiving some of our obligations under the indenture. In addition, certain changes to the indenture and the notes that only affect certain debt securities may be made with the approval of holders of a majority of the principal amount of such affected debt securities. We discuss these matters in the accompanying prospectus under “Description of Debt Securities We May Offer — Default, Remedies and Waiver of Default” and “— Modification of the Debt Indentures and Waiver of Covenants”.

Any payment on your notes at maturity will be made to an account designated by the holder of your notes and approved by us, or at the office of the trustee in New York City, but only when your notes are surrendered to the trustee at that office. We also may make any payment in accordance with the applicable procedures of the depositary.

The calculation agent in its sole discretion will make all determinations in connection with the notes regarding the index, market disruption events, discontinuance or modification of the index, business days, trading days, postponement of the determination date, the stated maturity date, the early determination date, the early maturity date, the final index level, the early index level, the default amount, the interest payable on each interest payment date (including the determination of any interpolated interest rate), index event and the final index amount, the final fee amount or the early index amount and the early fee amount, as the case may be. Absent manifest error, all determinations of the calculation agent will be final and binding on you and us, without any liability on the part of the calculation agent.

Please note that Goldman Sachs International, our affiliate, is currently serving as the calculation agent as of the original issue date of your notes. We may change the calculation agent for your notes at any time after the original issue date without notice and Goldman Sachs International may resign as calculation agent at any time upon 60 days’ written notice to Goldman, Sachs & Co.

When we refer to a business day with respect to your notes, we mean a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City or London are generally authorized or obligated by law, regulation or executive order to close.

When we refer to a trading day with respect to your notes, we mean a day on which (1) the index sponsor is open for business and the index is calculated and published by the index sponsor, (2) the calculation agent in London is open for business and (3) all trading facilities on which contracts are traded for the commodities included in the index are open for trading.

When we refer to a London business day with respect to your notes, we mean a day that is a London business day as described under “Description of Debt Securities We May Offer — Payment Mechanics for Debt Securities — Business Days” on page 22 of the accompanying prospectus.

The default amount for your notes on any day will be an amount, in the specified currency for the face amount of your notes, equal to the cost of having a qualified financial institution, of the kind and selected as described below, expressly assume all of our payment and other obligations with respect to your notes as of that day and as if no default or acceleration had occurred, or to undertake other obligations providing substantially equivalent economic value to you with respect to your notes. That cost will equal:

During the default quotation period for your notes, which we describe below, the holder and/or we may request a qualified financial institution to provide a quotation of the amount it would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest — or, if there is only one, the only — quotation obtained, and as to which notice is so given, during the default quotation period. With respect to any quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by the qualified financial institution providing the quotation and notify the other party in writing of those grounds within two business days after the last day of the default quotation period, in which case that quotation will be disregarded in determining the default amount.

The default quotation period is the period beginning on the day the default amount first becomes due and ending on the third business day after that day, unless:

If either of these two events occurs, the default quotation period will continue until the third business day after the first business day on which prompt notice of a quotation is given as described above. If that quotation is objected to as described above within five business days after that first business day, however, the default quotation period will continue as described in the prior sentence and this sentence.

In any event, if the default quotation period and the subsequent two business day objection period have not ended before the determination date, then the default amount will equal the principal amount of your notes.

For the purpose of determining the default amount at any time, a qualified financial institution must be a financial institution organized under the laws of any jurisdiction in the United States of America, Europe or Japan, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date of issue and is rated either:

A market disruption event with respect to an index underlier means the occurrence on any given trading day of any one or more of the following circumstances:

For this purpose, “settlement price” means the official settlement price of an index underlier as published by the exchange on which it is traded.

As is the case throughout this prospectus supplement, references to the index in this description of market disruption events includes the index and any successor index as it may be replaced or adjusted from time to time.

We will use the net proceeds we receive from the sale of the offered notes for the purposes we describe in the accompanying prospectus under “Use of Proceeds”. We or our affiliates may also use those proceeds in transactions intended to hedge our obligations under the offered notes as described below.

In anticipation of the sale of the offered notes, we and/or our affiliates have entered into hedging transactions involving purchases of the index underliers, listed or over-the-counter options, futures, and other instruments linked to the index or the index commodities and indices designed to track the performance of the relevant commodities markets or components of such markets on or before the trade date. In addition, from time to time after we issue the offered notes, we and/or our affiliates expect to enter into additional hedging transactions and to unwind those we have entered into, in connection with the offered notes and perhaps in connection with other index or index-linked notes we issue, some of which may have returns linked to the index or the index underliers. Consequently, with regard to your notes, from time to time, we and/or our affiliates:

We and/or our affiliates may acquire a long or short position in securities similar to your notes from time to time and may, in our or their sole discretion, hold or resell those securities.

In the future, we and/or our affiliates expect to close out hedge positions relating to the offered notes and perhaps relating to other notes with returns linked to the index or the index underliers. We expect these steps to involve sales of instruments linked to the index on or shortly before the determination date or the early determination date, as the case may be. These steps may also involve sales and/or purchases of some or all of the index underliers, or listed or over-the-counter options, futures or other instruments linked to the index, some or all of the index underliers or indices designed to track the performance of the relevant markets for the index underliers or other components of such markets. Notwithstanding the above, we are permitted to and may choose to hedge in any manner not stated above, including not acquiring any positions. Investors will not have knowledge about our hedging positions.

The Dow Jones-UBS Energy Total Return Sub-Index^SM (the “index”) is a sub-index of the Dow Jones-UBS Commodity Index Total Return^SM (“DJ-UBS CITR^SM”), which is a total return based calculation of the Dow Jones-UBS Commodity Index^SM (“DJ-UBS CI^SM”). The DJ-UBS CI^SM, and its related calculations and sub-indices, were created by AIG International, Inc. (“AIGI”) in 1998 and Dow Jones & Company, Inc. (“Dow Jones”) and AIGI jointly marketed the DJ-UBS CI^SM and its related calculations and sub-indices, including the index. In May 2009, UBS Securities LLC (“UBS” or “UBS Securities”) acquired the DJ-UBS CI^SM and its sub-indices, including the index, at which time UBS and Dow Jones entered into an agreement to jointly market the DJ-UBS CI^SM and its sub-indices, including the index. Pursuant to such agreement, Dow Jones, in conjunction with UBS, calculates the DJ-UBS CI^SM, and its related calculations and sub-indices, including the index, and the DJ-UBS CITR^SM. The methodology for determining the composition and weighting of the index and for calculating its value is subject to modification by Dow Jones and UBS Securities at any time.

The index currently is composed of the four commodity contracts on energy commodities currently included in the DJ-UBS CITR^SM. An exchange-traded commodity contract is a bilateral agreement providing for the purchase and sale of a specified type and quantity of a commodity or financial instrument during a stated delivery month for a fixed price. The commodities included in the index for 2010 are crude oil, heating oil, natural gas and unleaded gasoline. Futures contracts on the index are currently listed for trading on the New York Mercantile Exchange (“NYMEX”). The calculation of the index, as described below, is based on the calculation of the DJ-UBS CI^SM, which is also described below.

The Dow Jones-UBS Commodity Index Supervisory Committee. The Dow Jones-UBS Commodity Index Supervisory Committee (which we refer to as the “supervisory committee”) exists to assist Dow Jones and UBS Securities in connection with the operation of the index and other related indices and sub-indices. The supervisory committee, which is comprised of three members, two of whom are appointed by UBS and one of whom is appointed by Dow Jones, will make all final decisions relating to the index. The supervisory committee meets annually to consider any changes to be made to the index for the coming year, but may also meet at such other times as may be necessary.

As described in more detail below, the index is reweighted and rebalanced each year in January on a price-percentage basis. The annual target weightings for the index are determined each year in June by supervisory committee. Following the supervisory committee’s annual meeting in June or July, the annual target weightings are publicly announced in July or August. The results of the reweighting and rebalancing of the index have a direct impact on the value of the index.

Set forth below is a summary of the composition of, and the methodology used to calculate, the DJ-UBS CITR ^SM and the index as of the date of this prospectus supplement. The methodology for determining the composition of the DJ-UBS CI^SM and its related calculations and sub-indices, including the index, the target weightings of the constituents and for calculating their values is subject to modification in a manner consistent with the purposes of the DJ-UBS CITR^SM and its related calculations and sub-indices, including the index. The supervisory committee makes the official determination of the composition and target weighting of the DJ-UBS CITR^SM and the index and the calculation of their respective values.

Goldman, Sachs & Co., and/or certain of its affiliates will trade the contracts comprising the DJ-UBS CITR ^SM and index, as well as the underlying commodities and other derivative instruments thereon, for their proprietary accounts and other accounts under their management. Goldman, Sachs & Co., and/or certain of its affiliates may underwrite or issue other securities or financial instruments linked to the DJ-UBS CITR^SM or the index and other related indices and sub-indices. These activities could present certain conflicts of interest and

could adversely affect the value of the index. There may be conflicts of interest between you and Goldman, Sachs & Co.

Commodities Available For Inclusion in the DJ-UBS CITR^SM. With the exception of several metals contracts (aluminum, lead, tin, nickel and zinc) that trade on the London Metal Exchange (“LME”), each of the commodities with the potential for inclusion in the DJ-UBS CITR^SM is the subject of a commodity contract that trades on a U.S. exchange.

The 23 potential commodities currently are aluminum, cocoa, coffee, copper, corn, cotton, crude oil, gold, heating oil, lead, lean hogs, live cattle, natural gas, nickel, platinum, silver, soybeans, soybean oil, sugar, tin, unleaded gasoline, wheat and zinc.

The 19 commodities underlying the DJ-UBS CITR^SM selected for 2010 are aluminum, coffee, copper, corn, cotton, crude oil, gold, heating oil, lean hogs, live cattle, natural gas, nickel, silver, soybeans, soybean oil, sugar, unleaded gasoline, wheat and zinc.

Designated Contracts for Each Commodity. A commodity contract known as a “designated contract” is selected for each commodity. With the exception of several LME contracts, where the supervisory committee believes that there exists more than one commodity contract with sufficient liquidity to be chosen as a designated contract for a commodity, the supervisory committee selects the commodity contract that is traded in North America and denominated in dollars. If more than one such contract exists, the supervisory committee selects the most actively traded contract. Data concerning this designated contract will be used to calculate the DJ-UBS CITR^SM. The termination or replacement of a commodity contract on an established exchange occurs infrequently; if a designated contract were to be terminated or replaced, a comparable commodity contract would be selected, if available, to replace the designated contract.

The designated contracts for the commodities included in the DJ-UBS CITR^SM as of January 2010 are as follows:

In addition to the commodities set forth in the above table, cocoa, lead, platinum and tin also are considered for inclusion in the DJ-UBS CITR^SM.

The composition of the DJ-UBS CITR^SM is recalculated by UBS Securities in June of each year, under the supervision of the supervisory committee, taking into account the relative liquidity and production percentages for each commodity designated for potential inclusion in the DJ-UBS CITR^SM.

Commodity Groups. For purposes of applying the diversification rules discussed above and below, the commodities available for inclusion in the DJ-UBS CITR^SM are assigned to “commodity groups”. The commodity groups, and the commodities currently included in each commodity group, are as follows:

Commodities Available For Inclusion in the index. The index is a sub-index of the DJ-UBS CITR^SM, composed of the commodities included in the Energy Commodity Group. Each of the commodities with the potential for inclusion in the index is the subject of a commodity contract that trades on a U.S. exchange.

The four potential commodities in the Energy Commodity Group currently are crude oil, heating oil, natural gas and unleaded gasoline. At its last annual meeting, the supervisory committee selected the commodities to be included in the index in 2010, which are crude oil, heating oil, natural gas and unleaded gasoline. For further information with respect to changes in the composition of the index, refer to subsection “— Composition of the Dow Jones-UBS Commodity Index Total Return^SM ” above.

Designated Contracts for Each Commodity. The same “designated contract” underlying the DJ-UBS CITR^SM Energy Commodity Group is selected for each commodity included in the index. For 2010, the following four commodities contracts traded on

NYMEX are the underliers of the index: the Light, Sweet Crude Oil contract with respect to 1,000 barrels of crude oil, the Heating Oil contract with respect to 42,000 gallons of heating oil, the Henry Hub Natural Gas contract with respect to 10,000 mmbtu of natural gas and the Reformulated Blendstock for Oxygen Blending contract with respect to 42,000 gal of unleaded gasoline.

As of April 30, 2010, the four commodity contracts in the index include (with the percentage currently included in the index indicated in parentheses): crude oil (48.94%), heating oil (12.27%), natural gas (26.16%) and unleaded gasoline (12.67%).

Annual Reweighting and Rebalancing of the Dow Jones-UBS Commodity Index Total Return^SM

The DJ-UBS CITR^SM is reweighted and rebalanced each year in January on a price-percentage basis. The annual target weightings for the DJ-UBS CITR^SM are determined each year in June by UBS Securities under the supervision of the supervisory committee, announced in July or August and implemented the following January. The index is composed of commodity contracts underlying the Energy Commodity Group. The weightings of the commodity contracts underlying the index are in proportion to their relative weightings in the DJ-UBS CITR^SM.

Determination of Relative Target Weightings. The relative target weightings of the component commodities included in the DJ-UBS CITR^SM are determined annually according to both liquidity and dollar-adjusted production data in 2/3 and 1/3 shares, respectively. Each June, for each commodity designated for potential inclusion in the DJ-UBS CITR^SM, liquidity is measured by the commodity liquidity percentage (which we refer to as the “CLP”) and production by the commodity production percentage (which we refer to as the “CPP”). The CLP for each commodity is determined by taking a five-year average of the product of trading volume and the historic dollar value of the designated contract for that commodity and dividing the result by the sum of such products for all commodities which were designated for potential inclusion in the DJ-UBS CITR^SM. The CPP is determined for each commodity by taking a five-year average of annual world production figures, adjusted by the historic dollar value of the designated contract and dividing the result by the sum of such production figures for all the commodities which were designated for potential inclusion in the DJ-UBS CITR^SM. The CLP and the CPP are then combined (using a ratio of 2:1) to establish the commodity index percentage (which we refer to as the “CIP”) for each commodity. This CIP is then adjusted in accordance with certain diversification rules in order to determine the commodities included in the DJ-UBS CITR^SM and their respective percentage weights.

The DJ-UBS CITR^SM is designed to provide diversified exposure to commodities as an asset class. To ensure that no single commodity or commodity sector dominates the DJ-UBS CITR^SM, the following diversification rules are applied to the annual reweighting and rebalancing of the index as of January of the applicable year:

Following the annual reweighting and rebalancing of the index in January, the percentage of any single commodity or group of commodities at any time prior to the next reweighting or rebalancing will fluctuate and may exceed or be less than the percentages set forth above.

Commodity Index Multipliers. Following application of the diversification rules discussed above, CIPs are incorporated into the DJ-UBS CITR^SM by calculating the new unit weights for each commodity included in the index. On the fourth DJ-UBS CITR^SM business day of the year (which we refer to as the “CIM determination date”), the CIPs, along with the settlement values on that date for designated contracts included in the DJ-UBS CITR^SM, are used to determine a commodity index multiplier (which we refer to as the “CIM”) for each commodity included in the DJ-UBS CITR^SM. This CIM is

used to achieve the percentage weightings of the commodities included in the DJ-UBS CITR^SM, in dollar terms, indicated by their respective CIPs. After the CIMs are calculated, they remain fixed throughout the year. As a result, the observed price percentage of each commodity included in the DJ-UBS CITR^SM will float throughout the year, until the CIMs are reset the following year based on new CIPs.

The commodities underlying the index are selected by the supervisory committee. The supervisory committee meets every June to consider any additions, removals or replacements of the commodities underlying the index, taking into account the relative liquidity and production percentages for each commodity designated for potential inclusion in the DJ-UBS CITR^SM, as described above in “— Composition of the Dow Jones-UBS Commodity Index Total Return^SM”. The supervisory committee may determine that addition, removal or replacement of any commodity underlying the index may be necessary during the life of your note. Such additions, removals or replacements of the commodities underlying the index could adversely affect the value of your note.

The DJ-UBS CITR^SM is composed of commodity contracts on physical commodities. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, commodity contracts normally specify a certain date for the delivery of the underlying physical commodity. In order to avoid delivering the underlying physical commodities and to maintain exposure to the underlying physical commodities, contracts on physical commodities specifying delivery on a nearby date must periodically be sold and contracts on physical commodities that have not yet reached the delivery period must periodically be purchased. The rollover for each contract occurs over a period of five DJ-UBS CITR^SM business days each month according to a pre-determined schedule. This process is known as “rolling” a futures position. The DJ-UBS CITR^SM is, therefore, a “rolling index”. For the same reasons, the index is a “rolling index”.

Dow Jones, in conjunction with UBS Securities, calculates the daily excess return (“DER”) by applying the impact of the changes to the prices of commodity contracts included in the DJ-UBS CITR^SM (based on their relative target weightings). Once the CIMs are determined, as described above, the calculation of the DER is a mathematical process whereby the CIMs for the commodities included in the DJ-UBS CITR^SM are multiplied by respective prices in U.S. dollars for the applicable designated contracts. These products are then summed to calculate the excess return (“excess return”). DER is the percentage change in the excess return, calculated as the excess return on any given day divided by the excess return on the immediately preceding day, minus one.

The DJ-UBS CITR^SM is a total return index. In addition to the excess returns, as described above, the DJ-UBS CITR^SMreflects the returns on cash collateral invested in U.S. Treasury Bills. The returns on the U.S. Treasury Bills (“TBill return”), are calculated by using the most recent weekly auction high rate for 3 Month U.S. Treasury Bills (“TBill rate”), as reported on the website www.publicdebt.treas.gov/AI/OFBills under the column headed “Discount Rate %” published by the Bureau of the Public Debt of the U.S. Treasury Department, or any successor source, which is generally published once per week on Monday. This rate is used every day until the next rate is released; provided, however, that if a new rate is scheduled to be released on a given day, the prior rate is used for purposes of calculations in respect of that release date. The new rate is generally obtained on Monday and, accordingly, is first used in respect of Tuesday’s settlement calculations. In the event of a holiday or other disruption in the treasury auction schedule, the last available rate is used until the next rate becomes available. When calculating the value of the Treasury Bill Daily Return (“TBDR”), the prior day’s rate is used to reflect the realization of an investment at that rate on the then current day. The TBDR is calculated for a set number of calendar days (“d”) from and including the prior calculation date to but excluding the current calculation date. On any given day, TBDR is equal to:

The calculation of the then-current DJ-UBS CITR^SM value, on any given day, is a

mathematical process whereby (x) the sum of (i) one, (ii) DER and (iii) TBDR is multiplied by (y) the immediately preceding DJ-UBS CITR^SM value. The final value is rounded to eight decimal places.

From time to time, disruptions can occur in trading futures contracts on various commodity exchanges. The daily calculation of the DJ-UBS CITR^SM will be adjusted, as described below, in the event that UBS Securities determines that any of the following index calculation disruption events exists:

If a DJ-UBS CITR^SM market disruption event occurs on any day during a hedge roll period, the portion of the roll that would have taken place on that day is deferred until the next day on which such conditions do not exist. If any of these conditions exist throughout the hedge roll period, the roll with respect to the affected contract will be effected in its entirety on the next day on which such conditions no longer exist. The market disruption event will not postpone the roll for any other commodity contract for which a market disruption event has not occurred.

In addition, in the event that a DJ-UBS CITR^SM market disruption event occurs during the hedge roll period scheduled for January of each year affecting a commodity contract included in the DJ-UBS CITR^SM, the rolling or rebalancing of the relevant designated contract will occur in all cases over five DJ-UBS CITR^SM business days on which no market disruption event exists. The hedge roll period in January, and the resulting rebalancing that is occurring, will be extended if necessary until the affected designated contract finishes rolling. The amounts of a particular commodity contract rolled or rebalanced in January will always be distributed over five DJ-UBS CITR^SM business days, and rolling weight will not be more than 20% on any day following a market disruption event during such hedge roll period. This change affects only the rolling or rebalancing process in January, with no change to the rules for rolling commodity contracts in other monthly hedge roll periods.

The Dow Jones-UBS DJ-UBS Energy Total Return Sub-Index^SM is calculated by Dow Jones, in conjunction with UBS Securities following the same rules, including rounding conventions, used to calculate the DJ-UBS CITR^SM, with the following differences:

The closing level of the index 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 index during any period shown below is not an indication that the index is more or less likely to increase or decrease at any time during the term of your notes. You should not take the historical levels of the index as an indication of the future performance. We cannot give you any assurance that the future performance of the index or the index commodities will result in you receiving an amount greater than the face amount of your note on the stated maturity date or the early maturity date, as the case may be. Neither we nor any of our affiliates make any representation to you as to the performance of the index.

The table below shows the high, low and final closing levels of the index for each of the four calendar quarters in 2007, 2008 and 2009 and the first two calendar quarters in 2010 (through June 1, 2010). We obtained the closing levels listed in the table below from Bloomberg Financial Services, without independent verification.

Indexes, a licensed trademark of CME Group Index Services LLC (“CME Indexes”), and UBS Securities LLC (“UBS Securities”), and have been licensed for use. “Dow Jones^®,” “DJ,”, “Dow Jones Indexes”, “UBS,” “DJ-UBS Commodity Index Total Return ^SM,” DJ-UBS Energy Total Return Sub-Index^SM,” and “DJ-UBS CITR^SM” are service marks of Dow Jones Trademark Holdings, LLC (“Dow Jones”) and UBS AG (“UBS AG”), as the case may be, and have been licensed for use for certain purposes by The Goldman Sachs Group, Inc.

The notes are not sponsored, endorsed, sold or promoted by Dow Jones, UBS AG, UBS Securities, CME Indexes or any of their subsidiaries or affiliates. None of Dow Jones, UBS AG, UBS Securities, CME Indexes or any of their subsidiaries or affiliates makes any representation or warranty, express or implied, to the owners of or counterparts to the notes or any member of the public regarding the advisability of investing in securities or commodities generally or in the notes particularly. The only relationship of Dow Jones, UBS AG, UBS Securities, CME Indexes or any of their respective subsidiaries or affiliates to The Goldman Sachs Group, Inc. is the licensing of certain trademarks, trade names and service marks and of the DJ-UBS CI^SM , which is determined, composed and calculated by CME Indexes in conjunction with UBS Securities and CME Indexes without regard to The Goldman Sachs Group, Inc. or the notes. Dow Jones, UBS Securities and CME Indexes have no obligation to take the needs of The Goldman Sachs Group, Inc. or the owners of the notes into consideration in determining, composing or calculating DJ-UBS CI^SM. None of Dow Jones, UBS AG, UBS Securities, CME Indexes or any of their subsidiaries or affiliates is responsible for or has participated in the determination of the timing of, prices at, or quantities of the notes to be issued or in the determination or calculation of the equation by which the notes are to be converted into cash. None of Dow Jones, UBS AG, UBS Securities, CME Indexes or any of their respective subsidiaries or affiliates shall have any obligation or liability, including, without limitation, to notes’ customers, in connection with the administration, marketing or trading of the notes. Notwithstanding the foregoing, UBS AG, UBS Securities, CME Group Inc. and their respective subsidiaries and affiliates may independently issue and/or sponsor financial products unrelated to the notes currently being issued by The Goldman Sachs Group, Inc, but which may be similar to and competitive with the notes. In addition, UBS AG, UBS Securities, CME Group Inc. and their subsidiaries and affiliates actively trade commodities, commodity indexes and commodity futures (including the Dow Jones-UBS Commodity Index^SM and Dow Jones-UBS Commodity Index Total Return^SM), as well as swaps, options and derivatives which are linked to the performance of such commodities, commodity indexes and commodity futures. It is possible that this trading activity will affect the value of the Dow Jones-UBS Commodity Index^SM and notes.

This prospectus supplement relates only to notes and does not relate to the exchange-traded physical commodities underlying any of the Dow Jones-UBS Commodity Index^SM components. Purchasers of the notes should not conclude that the inclusion of a futures contract in the Dow Jones-UBS Commodity Index^SM is any form of investment recommendation of the futures contract or the underlying exchange-traded physical commodity by Dow Jones, UBS AG, UBS Securities, CME Indexes or any of their subsidiaries or affiliates. The information in this prospectus supplement regarding the Dow Jones-UBS Commodity Index^SM components has been derived solely from publicly available documents. None of Dow Jones, UBS AG, UBS Securities, CME Indexes or any of their subsidiaries or affiliates has made any due diligence inquiries with respect to the Dow Jones-UBS Commodity Index^SM components in connection with the notes. None of Dow Jones, UBS AG, UBS Securities, CME Indexes or any of their subsidiaries or affiliates makes any representation that these publicly available documents or any other publicly available information regarding the Dow Jones-UBS Commodity Index^SM components, including without limitation a description of factors that affect the prices of such components, are accurate or complete.

NONE OF DOW JONES, UBS AG, UBS SECURITIES, CME INDEXES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE DOW JONES-UBS COMMODITY INDEX^SM OR ANY DATA RELATED THERETO AND NONE OF DOW JONES, UBS AG, UBS SECURITIES, CME INDEXES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. NONE OF DOW JONES, UBS AG,

UBS SECURITIES, CME INDEXES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE GOLDMAN SACHS GROUP, INC., OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE DOW JONES-UBS COMMODITY INDEX^SM OR ANY DATA RELATED THERETO. NONE OF DOW JONES, UBS AG, UBS SECURITIES, CME INDEXES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE DOW JONES-UBS COMMODITY INDEX^SM OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL DOW JONES, UBS AG, UBS SECURITIES, CME INDEXES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS AMONG UBS SECURITIES, CME INDEXES AND THE GOLDMAN SACHS GROUP, INC., OTHER THAN UBS AG.

The following section supplements the discussion of U.S. federal income taxation in the accompanying prospectus.

The following section is the opinion of Sullivan & Cromwell LLP, counsel to The Goldman Sachs Group, Inc. In addition, it is the opinion of Sullivan & Cromwell LLP that the characterization of the notes for U.S. federal income tax purposes that will be required under the terms of the notes, as discussed below, is a reasonable interpretation of current law.

This section applies to you only if you are a United States holder that holds your notes as a capital asset for tax purposes. You are a United States holder if you are a beneficial owner of notes and you are:

This section does not apply to you if you are a member of a class of holders subject to special rules, such as:

Although this section is based on the U.S. Internal Revenue Code of 1986, as amended (the “Code”), its legislative history, existing and proposed regulations under the Internal Revenue Code, published rulings and court decisions, all as currently in effect, no statutory, judicial or administrative authority directly discusses how your notes should be treated for U.S. federal income tax purposes and as a result, the U.S. federal income tax consequences of your investment in your notes are uncertain. Moreover, these laws are subject to change, possibly on a retroactive basis.

You will be obligated pursuant to the terms of the notes — in the absence of a chance in law, an administrative determination or a judicial ruling to the contrary — to characterize each note for all tax purposes as a single prepaid income-bearing derivative contract with respect to the index that matures on the maturity date for the notes. In the opinion of Sullivan & Cromwell LLP, this is a reasonable method of treating the notes for United States federal income tax purposes, although it is not the only reasonable method. Except as otherwise noted below, the discussion herein assumes that the note will be so treated.

It is likely that any coupon payment will be taxed as ordinary income in accordance with

your regular method of accounting for United States federal income tax purposes.

Upon the sale, redemption or maturity of your notes, you should recognize gain or loss in an amount equal to the difference, if any, between the amount you receive at such time and your tax basis in the notes. Except to the extent attributable to accrued but unpaid interest, such gain or loss should be capital gain or loss. Your tax basis in the notes should generally be equal to the amount that you paid for the notes. Any such capital gain or loss should be long-term capital gain or loss if you hold your notes for more than one year. The holding period for purposes of such capital gain and loss will begin on the day following the first day you held the notes.

There is no judicial or administrative authority discussing how your notes should be treated for U.S. federal income tax purposes. Therefore, the Internal Revenue Service might assert that treatment other than that described above is more appropriate. For example, the Internal Revenue Service could treat your note as a single debt instrument subject to special rules governing contingent payment obligations. Under those rules, the amount of interest you are required to take into account for each accrual period would be determined by constructing a projected payment schedule for the notes and applying rules similar to those for accruing original issue discount on a hypothetical noncontingent debt instrument with that projected payment schedule. This method is applied by first determining the comparable yield — i.e., the yield at which we would issue a noncontingent fixed rate debt instrument with terms and conditions similar to your notes — and then determining a payment schedule as of the issue date that would produce the comparable yield. These rules may have the effect of requiring you to include interest in income in respect of your notes prior to your receipt of cash attributable to that income.

If the rules governing contingent payment obligations apply, you would recognize gain or loss upon the sale or maturity of your notes in an amount equal to the difference, if any, between the amount you receive at that time and your adjusted basis in your notes. In general, if you purchase your notes on the applicable original issue date, your adjusted basis in your notes will equal the amount you paid for your notes, increased by the amount of interest you previously accrued with respect to your notes, in accordance with the comparable yield and the projected payment schedule for your notes.

If the rules governing contingent payment obligations apply, any gain you recognize upon the sale or maturity of your notes would be ordinary interest income. Any loss you recognize at that time would be treated as ordinary loss to the extent of interest you included as income in the current or previous taxable years in respect of your notes, and, thereafter, as capital loss.

If the rules governing contingent payment obligations apply, special rules would apply to persons who purchase a note at other than the adjusted issue price as determined for tax purposes.

It is also possible that the Internal Revenue Service could assert that Section 1256 of the Internal Revenue Code should apply to your notes or a portion of your notes. If Section 1256 were to apply to your notes, gain or loss recognized with respect to your notes (or the relevant portion of your notes) would be treated as 60% long-term capital gain or loss and 40% short-term capital gain or loss, without regard to your holding period in the notes. You would also be required to mark your notes (or a portion of your notes) to market at the end of each year (i.e., recognize income as if the notes or relevant portion of the notes had been sold for fair market value). Alternatively, it is also possible that you could be required to recognize gain or loss each time a contract tracked by the index rolls and/or when the composition or weighting of the index changes. Such gain or loss may also be subject to Section 1256 as discussed above, under which 60% of the gain or loss will be treated as long-term capital gain or loss and 40% will be treated as short-term capital gain or loss.

It is possible that you may be required to treat an amount equal to all or a portion of the Annual Fee as expenses. The deduction of any such deemed expenses would generally be subject to the 2% floor on miscellaneous itemized deductions. Such amounts would correspondingly increase the amount of gain or decrease the amount of loss that you would recognize with respect to your notes.

It is possible that the Internal Revenue Service could seek to characterize your notes as a unit consisting of a derivative contract (the

“derivative contract”) and an interest-bearing cash deposit used to secure your obligation to purchase the underlying index under the derivative contract (the “cash deposit”). Under this characterization, it is possible that you could be required to accrue interest in respect of the cash deposit at a rate that is in excess of the stated interest rate on the notes. If, however, you are a secondary purchaser of the notes, you would likely be required to allocate your purchase price for the securities between the derivative contract and the cash deposit based on the respective fair market value of each on the date of purchase. If the portion of your purchase price allocated to the cash deposit is at a discount from, or is in excess of, the principal amount of your security, you may be subject to the market discount or amortizable bond premium rules described in the accompanying prospectus under “United States Taxation — United States Holders — Market Discount” and “United States Taxation — United States Holders — Debt Securities Purchased at a Premium” with respect to the cash deposit. Accordingly, if you purchase your notes in the secondary market, you should consult your tax advisor as to the possible application of such rules to you.

It is also possible that your notes could be treated as a notional principal contract for tax purposes. It is also possible that the quarterly coupon payments on your notes would not be treated as interest for United States federal income tax purposes, but instead would be treated in some other manner. For example, the quarterly coupon payments could be treated all or in part as contract fees in respect of a derivative contract. The United States federal income tax treatment of such contract fees is uncertain. You should consult your tax advisor as to the tax consequences of such characterization and any possible alternative characterizations of your notes for United States federal income tax purposes.

Please see the discussion under “United States Taxation — Backup Withholding and Information Reporting — United States Holders” in the accompanying prospectus for a description of the applicability of the backup withholding and information reporting rules to payments made on your notes.

On December 7, 2007, the Internal Revenue Service released a notice stating that the Internal Revenue Service and the Treasury Department are actively considering the proper Federal income tax treatment of an instrument such as the offered notes including whether gain or loss should be ordinary or capital. It is not possible to determine what guidance they will ultimately issue, if any. The Internal Revenue Service and the Treasury Department are also considering other relevant issues, including whether the special “constructive ownership rules” of Section 1260 of the Internal Revenue Code might be applied to such instruments. Except to the extent otherwise provided by law, the Goldman Sachs Group, Inc. intends to treat the notes for U.S. federal income tax purposes in accordance with the treatment described above unless and until such time as Congress, the Treasury Department or the Internal Revenue Service determine that some other treatment is more appropriate.

It is impossible to predict what any such legislation or administrative or regulatory guidance might provide, and whether the effective date of any legislation or guidance will affect notes that were issued before the date that such legislation or guidance is issued. You are urged to consult your tax advisor as to the possibility that any legislative or administrative action may adversely affect the tax treatment of your notes.

Because the United States federal income tax treatment (including the applicability of withholding) of the coupon payments on the notes is uncertain, in the absence of further guidance, we intend to withhold on the coupon payments made to you (including such coupon payments made at maturity) at a 30% rate or at a lower rate specified by an applicable income tax treaty under an “other income” or similar provision. We will not make payments of any additional amounts. To claim a reduced treaty rate for withholding, you generally must provide a valid Internal Revenue Service Form W-8BEN or an acceptable substitute form upon which you certify, under penalties of perjury, your status as a United States alien holder and your entitlement to the lower treaty rate. Payments will be made to you at a reduced treaty rate of

withholding only if such reduced treaty rate would apply to any possible characterization of the payments (including, for example, if the payments were characterized as contract fees). Withholding also may not apply to coupon payments made to you if: (i) the coupon payments are “effectively connected” with your conduct of a trade or business in the United States and are includable in your gross income for United States federal income tax purposes, (ii) the coupon payments are attributable to a permanent establishment that you maintain in the United States, if required by an applicable tax treaty, and (iii) you comply with the requisite certification requirements (generally, by providing an Internal Revenue Service Form W-8ECI). If you are eligible for a reduced rate of United States withholding tax, you may obtain a refund of any amounts withheld in excess of that rate by filing a refund claim with the United States Internal Revenue Service.

“Effectively connected” payments includable in your United States gross income are generally taxed at rates applicable to United States citizens, resident aliens, and domestic corporations; if you are a corporate United States alien holder, “effectively connected” payments may be subject to an additional “branch profits tax” under certain circumstances.

You will also be subject to generally applicable information reporting and backup withholding requirements with respect to payments on your notes at maturity and, notwithstanding that we do not intend to treat the notes as debt for tax purposes, we intend to backup withhold on such payments with respect to your notes unless you comply with the requirements necessary to avoid backup withholding on debt instruments (in which case you will not be subject to such backup withholding) as set forth under “United States Taxation — United States Alien Holders” in the accompanying prospectus.

Furthermore, on December 7, 2007, the Internal Revenue Service released Notice 2008-2 soliciting comments from the public on various issues, including whether instruments such as your notes should be subject to withholding. It is therefore possible that rules will be issued in the future, possibly with retroactive effects, that would cause payments on your notes at maturity to be subject to withholding, even if you comply with certification requirements as to your foreign status.

As discussed above, alternative characterizations of the notes for U.S. federal income tax purposes are possible. Should an alternative characterization of the notes, by reason of a change or clarification of the law, by regulation or otherwise, cause payments at maturity with respect to the notes to become subject to withholding tax, we will withhold tax at the applicable statutory rate and we will not make payments of any additional amounts. Prospective United States alien holders of the notes should consult their own tax advisors in this regard.

This section is only relevant to you if you are an insurance company or the fiduciary of a pension plan or an employee benefit plan (including a governmental plan, an IRA or a Keogh Plan) proposing to invest in the notes.

The U.S. Employee Retirement Income Security Act of 1974, as amended (“ERISA”), and the U.S. Internal Revenue Code of 1986, as amended (the “Code”), prohibit certain transactions (“prohibited transactions”) involving the assets of an employee benefit plan that is subject to the fiduciary responsibility provisions of ERISA or Section 4975 of the Code (including individual retirement accounts, Keogh plans and other plans described in Section 4975(e)(1) of the Code) (a “Plan”) and certain persons who are “parties in interest” (within the meaning of ERISA) or “disqualified persons” (within the meaning of the Code) with respect to the Plan; governmental plans may be subject to similar prohibitions unless an exemption applies to the transaction. The assets of a Plan may include assets held in the general account of an insurance company that are deemed “plan assets” under ERISA or assets of certain investment vehicles in which the Plan invests. Each of The Goldman Sachs Group, Inc. and certain of its affiliates may be considered a “party in interest” or a “disqualified person” with respect to many Plans, and, accordingly, prohibited transactions may arise if the notes are acquired by or on behalf of a Plan unless those notes are acquired and held pursuant to an available exemption. In general, available exemptions are: transactions effected on behalf of that Plan by a “qualified professional asset manager” (prohibited transaction exemption 84-14) or an “in-house asset manager” (prohibited transaction exemption 96-23), transactions involving insurance company general accounts (prohibited transaction exemption 95-60), transactions involving insurance company pooled separate accounts (prohibited transaction exemption 90-1), transactions involving bank collective investment funds (prohibited transaction exemption 91-38) and transactions with service providers under Section 408(b)(17) of ERISA and Section 4975(d)(20) of the Code where the Plan receives no less and pays no more than “adequate consideration” (within the meaning of Section 408(b)(17) of ERISA and Section 4975(f)(10) of the Code). The person making the decision on behalf of a Plan or a governmental plan shall be deemed, on behalf of itself and the plan, by purchasing and holding the notes, or exercising any rights related thereto, to represent that (a) the plan will receive no less and pay no more than “adequate consideration” (within the meaning of Section 408(b)(17) of ERISA and Section 4975(f)(10) of the Code) in connection with the purchase and holding of the notes, (b) none of the purchase, holding or disposition of the notes or the exercise of any rights related to the notes will result in a non-exempt prohibited transaction under ERISA or the Code (or, with respect to a governmental plan, under any similar applicable law or regulation), and (c) neither The Goldman Sachs Group, Inc. nor any of its affiliates is a “fiduciary” (within the meaning of Section 3(21) of ERISA or, with respect to a governmental plan, under any similar applicable law or regulation) with respect to the purchaser or holder in connection with such person’s acquisition, disposition or holding of the notes, or as a result of any exercise by The Goldman Sachs Group, Inc. or any of its affiliates of any rights in connection with the notes, and no advice provided by The Goldman Sachs Group, Inc. or any of its affiliates has formed a primary basis for any investment decision by or on behalf of such purchaser or holder in connection with the notes and the transactions contemplated with respect to the notes.

The Goldman Sachs Group, Inc. has agreed to sell to Goldman, Sachs & Co., and Goldman, Sachs & Co. has agreed to purchase from The Goldman Sachs Group, Inc., the aggregate face amount of the offered notes specified on the front cover of this prospectus supplement. Goldman, Sachs & Co. intends to resell the offered notes at the original issue price.

In the future, Goldman, Sachs & Co. or other affiliates of The Goldman Sachs Group, Inc. may repurchase and resell the offered notes in market-making transactions, with resales being made at prices related to prevailing market prices at the time of resale or at negotiated prices. The Goldman Sachs Group, Inc. estimates that its share of the total offering expenses, excluding underwriting discounts and commissions, will be approximately $ . For more information about the plan of distribution and possible market-making activities, see “Plan of Distribution” in the accompanying prospectus.

We expect to deliver the notes against payment therefor in New York, New York on June 10, 2010, which is the fifth scheduled business day following the date of this prospectus 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 day prior to three business days before delivery will be required, by virtue of the fact that the notes initially will settle in five business days (T+5), to specify alternative settlement arrangements to prevent a failed settlement.

The undersigned is, or is acting on behalf of, the beneficial owner of all of the notes specified above. The undersigned hereby irrevocably elects to exercise the option to redeem as described in prospectus supplement no. , dated , 2010, with respect to the entire outstanding face amount of the notes. The exercise is to be effective on the day that qualifies as a trading day and on which all requirements described under “Specific Terms of Your Notes — Holder’s Option to Redeem — Early Redemption Requirements” on page S-25 of prospectus supplement no. , dated , 2010, are satisfied no later than 9:00 a.m., New York City time, on such trading day. If such requirements have not been satisfied by 9:00 a.m., New York City time, on such trading day, the exercise will be effective as of the next day that qualifies as a trading day. We understand, however, that the effective date in all cases must be no later than the last day before the determination date that qualifies as a trading day. The effective date will be the early determination date, subject to postponement in case of a market disruption event or a non-trading day.

If the notes to be redeemed are in global form, the undersigned is delivering this notice of early redemption to the trustee, to the calculation agent and to the issuer, in each case by physical delivery to the relevant address stated above, or such other address as the trustee, the calculation agent or the issuer may have designated for this purpose to the holder, or by facsimile transmission to the relevant number stated above, or such other number as the trustee or calculation agent may have designated for this purpose to the undersigned, coupled with a prompt physical delivery of a written confirmation thereof.

In addition, the beneficial interest in the entire outstanding face amount is being transferred on the books of the depositary to an account of the trustee at the depositary.

If the notes to be redeemed are not in global form, the undersigned or the beneficial owner is the holder of the notes and is delivering this notice of early redemption to the trustee, to the calculation agent and to the issuer by physical delivery or by facsimile transmission coupled with physical delivery of written confirmation as described above. In addition, the certificate representing the notes and any payment required in respect of accrued interest are being delivered to the trustee.

If the undersigned is not the beneficial owner of the notes to be redeemed, the undersigned hereby represents that it has been duly authorized by the beneficial owner to act on behalf of the beneficial owner.

Terms used and not defined in this notice have the meanings given to them in prospectus supplement no. , dated , 2010. The redemption of the notes will be governed by the terms of the notes.

The calculation agent should internally acknowledge receipt of the copy of this notice of early redemption, in the place provided below, on the business day of receipt, noting the date and time of receipt. The consideration in the requested redemption should be paid on the fifth business day after the early determination date, subject to postponement in case of non-business days, in accordance with the terms of the notes.

No dealer, salesperson or other person is authorized to give any information or to represent anything not contained in this prospectus supplement. You must not rely on any unauthorized information or representations. This prospectus 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 prospectus supplement is current only as of its date.


Hypothetical Final Index Return	Hypothetical Final Index Amounts as Percentage of Face Amount	Hypothetical Final Fee Amounts as Percentage of Face Amount	Hypothetical Final TBill Amounts as Percentage of Face Amount	Hypothetical Amounts Payable as Percentage of Face Amount
100%	300.00%	0.83%	0.55%	398.62%
80%	240.00%	0.83%	0.55%	338.62%
50%	150.00%	0.83%	0.55%	248.62%
30%	90.00%	0.83%	0.55%	188.62%
20%	60.00%	0.83%	0.55%	158.62%
10%	30.00%	0.83%	0.55%	128.62%
0%	0.00%	0.83%	0.55%	98.62%
-10%	-30.00%	0.83%	0.55%	68.62%
-20%	-60.00%	0.83%	0.55%	38.62%
-30%	-90.00%	0.83%	0.55%	8.62%
-50%	-150.00%	0.83%	0.55%	0.00%
-70%	-210.00%	0.83%	0.55%	0.00%
-80%	-240.00%	0.83%	0.55%	0.00%
-100%	-300.00%	0.83%	0.55%	0.00%


Hypothetical Early Index Return	Hypothetical Early Index Amounts as Percentage of Face Amount	Hypothetical Early Fee Amounts as Percentage of Face Amount	Hypothetical Early TBill Amounts as Percentage of Face Amount	Hypothetical Amounts Payable as Percentage of Face Amount
100%	300.00%	0.28%	0.19%	399.53%
80%	240.00%	0.28%	0.19%	339.53%
50%	150.00%	0.28%	0.19%	249.53%
30%	90.00%	0.28%	0.19%	189.53%
20%	60.00%	0.28%	0.19%	159.53%
10%	30.00%	0.28%	0.19%	129.53%
0%	0.00%	0.28%	0.19%	99.53%
-10%	-30.00%	0.28%	0.19%	69.53%
-20%	-60.00%	0.28%	0.19%	39.53%
-30%	-90.00%	0.28%	0.19%	9.53%
-50%	-150.00%	0.28%	0.19%	0.00%
-70%	-210.00%	0.28%	0.19%	0.00%
-80%	-240.00%	0.28%	0.19%	0.00%
-100%	-300.00%	0.28%	0.19%	0.00%


Commodity	Designated Contract	Trading Facility	Targeted Weighting (%)
Aluminum	High Grade Primary Aluminum	LME	5.7493
Coffee	Coffee “C”	ICE	2.5646
Copper*	Copper	COMEX	7.6414
Corn	Corn	CBOT	7.0924
Cotton	Cotton	ICE	2.0000
Crude Oil	Light, Sweet Crude Oil	NYMEX	14.3380
Gold	Gold	COMEX	9.1166
Heating Oil	Heating Oil	NYMEX	3.5824
Lean Hogs	Lean Hogs	CME	2.1027
Live Cattle	Live Cattle	CME	3.5537
Natural Gas	Henry Hub Natural Gas	NYMEX	11.5522
Nickel	Primary Nickel	LME	2.3668
Silver	Silver	COMEX	3.2870
Soybean Oil	Soybean Oil	CBOT	2.9956


Commodity	Designated Contract	Trading Facility	Targeted Weighting (%)
Soybeans	Soybeans	CBOT	7.9125
Sugar	World Sugar No. 11	ICE	2.8929
Unleaded Gasoline	Reformulated Blendstock for Oxygen Blending	NYMEX	3.5274
Wheat	Wheat	CBOT	4.7046
Zinc	Special High Grade Zinc	LME	3.0200


Commodity Group		Commodity
Energy:		Crude Oil
		Heating Oil
		Natural Gas
		Unleaded Gasoline

Precious Metals:		Gold
		Platinum
		Silver

Industrial Metals:		Aluminum
		Copper
		Lead
		Nickel
		Tin
		Zinc

Livestock:		Live Cattle
		Lean Hogs

Grains:		Corn
		Soybeans
		Soybean Oil
		Wheat

Softs:		Cocoa
		Coffee
		Cotton
		Sugar


Key Terms and Assumptions

Face amount		$1,000

No market disruption event occurs

No change in or affecting any of the index underliers or the method by which the index sponsor calculates the index

Example 1:

no index event occurs and no early redemption is validly designated

Final fee days		403 days

Example 2:

an index event occurs or an early redemption is validly designated

Early fee days		137 days


	High	Low	Close
2007
Quarter ended March 31	483.1050	385.8980	483.1050
Quarter ended June 30	490.4420	458.3720	465.4820
Quarter ended September 30	481.5730	426.3470	475.2680
Quarter ended December 31	547.4910	466.0650	526.2680
2008
Quarter ended March 31	632.6610	494.7050	606.2260
Quarter ended June 30	818.6380	595.2870	818.6380
Quarter ended September 30	842.5580	499.3810	525.4960
Quarter ended December 31	585.4960	253.2140	277.1680
2009
Quarter ended March 31	300.0770	201.9631	225.8639
Quarter ended June 30	281.0233	209.2705	265.2459
Quarter ended September 30	273.7008	226.6195	253.9577
Quarter ended December 31	282.4757	241.0964	262.4653
2010
Quarter ended March 31	276.0368	233.8104	240.7170
Quarter ending June 30 (through June 1, 2010)	253.1616	208.6104	217.9142


Attn:	Natalie Pesce	(212-815-4991)
	Teisha Wright	(212-815-5058)
		Fax: (212-815-5802/5803)


		Page
Summary Information		S-2
Hypothetical Returns on Your Notes		S-6
Additional Risk Factors Specific To Your Notes		S-9
Specific Terms of Your Notes		S-20
Use of Proceeds and Hedging		S-31
The Index		S-32
Supplemental Discussion of Federal Income Tax Consequences		S-41
Employee Retirement Income Security Act		S-45
Supplemental Plan of Distribution		S-46
Form of Notice of Early Redemption		S-47

Prospectus Supplement dated April 6, 2009

Use of Proceeds		S-2
Description of Notes We May Offer		S-3
United States Taxation		S-23
Employee Retirement Income Security Act		S-24
Supplemental Plan of Distribution		S-25
Validity of the Notes		S-26

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		139
Employee Retirement Income Security Act		142
Validity of the Securities		142
Experts		143
Cautionary Statement Pursuant to the Private Securities Litigation Reform Act of 1995		143