After a volatility controlled index rebalancing, if on such rebalancing day the resulting volatility controlled index has exhibited negative price momentum on one or more momentum measurement days during the momentum measurement period, the index will be rebalanced again in order to reduce the exposure of the index from the volatility controlled index to the non-interest bearing momentum risk control cash position. Risks Related to Structure, Valuation and Secondary Market Sales, The Estimated Value of Your Notes At the Time the Terms of Your Notes Are Set On the Trade Date (as Determined By Reference to Pricing Models Used By GS&Co.) See Terms and Conditions Discontinuance or modification of the index above. every quotation of that kind obtained is objected to within five business days after the day the default amount first becomes due. We describe the default amount under Terms and Conditions above. The following examples are provided for purposes of illustration only. The Index Measures the Performance of the Underlying Assets on an Excess Return Basis Less the Deduction Rate. The maximum weight of each eligible base index underlying asset and each base index asset class limits the exposure of the base index, and consequently the index, to each eligible base index underlying asset and each base index asset class. On any rebalancing day, the exposure of the index to the volatility controlled index will be based on a weighted percentage of the number of momentum measurement days during which the volatility controlled index level equals or exceeds its level on the 100th index business day preceding such momentum measurement day, with a value of 1 assigned to each momentum measurement day for which such condition. Furthermore, if the volatility controlled index experiences negative momentum as a result, the momentum risk control adjustment mechanism will only gradually shift the indexs exposure from the volatility controlled index to the momentum risk control cash position, and the momentum risk control cash position will never account for more than 75% of index exposure, even if the negative momentum in the volatility controlled index persists over each day of the momentum measurement period. Any replacement of the index calculation agent may result in reporting delays and other disruptions. Your notes may trade quite differently from the performance of the index. The Amount Payable on Your Notes Is Not Linked to the Level of the Index at Any Time Other than the Determination Date. Investing in the notes will not make you a holder of any shares or units of any eligible underlying index or any asset held by any eligible underlying index or the money market position.
The return of the base index underlying assets will be calculated as the sum of the products, as calculated for each base index underlying asset, of the return for each base index underlying asset multiplied by its weighting, expressed as a percentage. Please read Additional Risk Factors Specific to Your Notes The Market Value of Your Notes May Be Influenced by Many Unpredictable Factors on page PS-15. The base index is calculated on an excess return basis, reflecting a deduction of the return that could be earned on a notional cash deposit at the notional interest rate, which is a rate equal to the federal funds rate. References herein to this note shall be deemed to refer to this security in such master note no. GSISNQET has been categorized in the Focused U.S. Equities base index asset class. For example, certain investors may take short positions (directly or indirectly through derivative transactions) on assets that are the same or similar to your notes, the index or the eligible underlying assets or other similar securities, which may adversely impact the market for or value of your notes. The weight of each eligible base index underlying asset for a given day in a weight averaging period (the target weight) will equal the average of the weights of such eligible base index underlying asset in the three hypothetical portfolios, while the weight of each eligible base index underlying asset for the base index rebalancing will equal the average of such target weights over the ten-index business day weight averaging period. could adversely affect the value of your notes and may present GS&Co. The indexs methodology is based on momentum investing. The closing level of the index has fluctuated in the past and may, in the future, experience significant fluctuations. The index calculation agent calculates and publishes the daily value of the index on the following index business day and publishes it on the Bloomberg page GSMBFC5 Index and Reuters page .GSMBFC5. The index calculation agent calculates the value of the index and implements the methodology determined by the index committee. In addition, in connection with a base index rebalancing, the index may rebalance to include only eligible underlying assets that represent a limited number of markets or commodity sectors, geographic regions, other sectors or asset classes. the square of 5-day return with an annualization factor), while the decay factor is a relative weight given to a term representing the prior calculated exponentially weighted realized variance measure (which itself is calculated using the same decay factor for its prior volatility measure, and so on). For information about the historical index performance levels and hypothetical performance data of the index during recent periods, see The Index Daily Closing Levels of the Index on page PS-47. Internal Currency Hedge: With respect to the eligible underlying assets denominated in a currency other than U.S. dollars (i.e., European Equity Futures Rolling Strategy Index (FRSIEUE), the Japanese Equity Futures Rolling Strategy Index (FRSIJPE), the European Government Bond Futures Rolling Strategy Index (FRSIEUB) and the Japanese Government Bond Futures Rolling Strategy Index (FRSIJPB)), the index reflects an internal simulated currency hedge, which, through a series of hypothetical currency hedging transactions, seeks to partially mitigate such eligible underlying assets exposure to exchange rate fluctuations in such currencies. This section does not apply to you if you are a member of a class of holders subject to special rules, such as: a trader in securities that elects to use a mark-to-market method of accounting for your securities holdings; an accrual method taxpayer subject to special tax accounting rules as a result of its use of financial statements; a person that owns the notes as a hedge or that is hedged against interest rate risks; a person that owns the notes as part of a straddle or conversion transaction for tax purposes; or. As further described under the The Index in this pricing supplement, the index calculation agent (in certain cases in consultation with the index committee) has discretion with respect to the index. We discuss these matters in the accompanying prospectus under Description of Debt Securities We MayOffer Default, Remedies and Waiver of Default and Description of Debt Securities We MayOffer Modification of the Debt Indentures and Waiver of Covenants. Thereafter, if GS&Co. The table below shows the realized volatility of the base index excess returns at the end of each such period using the index methodology and the following decay factors. In addition, some of the terms or features described in the listed documents may not apply to your notes. Each portfolio is calculated to reflect the highest historical return during each such look-back period (nine months, six months and three months), subject to a constraint on realized volatility and a minimum and maximum weight for each base index underlying asset and each base index asset class. If withholding was required, we would not be required to pay any additional amounts with respect to amounts so withheld. The returns of the index are based on the weighted sum of (i) the returns of the volatility controlled index and (ii) a zero return attributable to the non-interest bearing momentum risk control cash position, as further reduced by a deduction rate of 0.65% per annum (accruing daily) applied to the weight of themomentum risk control cash position, where the relative weights attributable to the volatility controlled index and the momentum risk control cash position (if any) are determined based on the application of the momentum risk control adjustment mechanism. However, in contrast to example 4, in Parts 2 and 3 of this example, we assume that (i) the higher of the short-term and long-term volatility measure of base index exceeds the 5% volatility control level by 1.25% (not directly observable in the example), thereby reducing the exposure to the base index (and, consequently, each base index underlying asset) by 20% and (ii) the volatility risk controlled index exhibited negative momentum on 7 momentum measurement days during the applicable 21 index business momentum measurement period. The non-interest bearing hypothetical cash positions arise either from the application of a 5% volatility control to the base index (the deleverage cash position) or a momentum risk control adjustment mechanism (the momentum risk control cash position). Founded in 1869, the firm is headquartered in New York and maintains offices in all major financial centers around the world. Investors are dependent on our ability to pay all amounts due on the notes, and therefore investors are subject to our credit risk and to changes in the markets view of our creditworthiness. As a result of reduced exposure to poorly performing base index underlying assets, the volatility controlled index return is comparatively better than the base index return shown in Part 1 of the example. Although the return-based money market position considered in isolation will have a positive notional return if the notional interest rate is positive, the return-based money market positions return contribution to the index will be more than entirely offset on an excess return basis. The Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank), which effected substantial changes to the regulation of the futures and over-the-counter (OTC) derivative markets, was enacted in July 2010. makes a market, which it is not obligated to do), and the value that GS&Co. You should carefully consider whether the offered notes are appropriate given your particular circumstances. You May Receive Only the Face Amount of Your Notes at Maturity. The examples assume the specified base index underlying assets specified below. What is the historical performance of the index? 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.