PWM Structured Solutions May 2011
Payout at (%) Euro Put Option Iterations Key Features Hypothetical Payoff at (assuming 5.64% premium) Trade: Client Buys European Style OTC Put Option Underlyer: EURUSD Spot Exchange Rate Payout at (as a percent of USD Notional): If the Final EURUSD Level is at or below the Strike: ( Strike Final EURUSD Level) / Strike If the Final EURUSD Level is above the Strike: option expires worthless Maximum Loss: Paid 20% 15% 10% 5% 0% -5% Structure Payoff Underlyer Payoff. Strike: 1.41 EUR/USD EUR/USD Spot EUR/USD Forward 100% ATM Forward Call 90% ATM Forward Strike 90% ATM Forward Call [ 6 ] months 1.4300 1.4200 3.96% 1.2780 1.31% *[ 12 ] months 1.4300 1.4100 5.64% 1.2690 2.59%* [ 18 ] months Put Pricing Matrix 1.4300 1.4000 6.78% 1.2600 3.54% [ 24 ] months 1.4300 1.3925 7.68% 1.2533 4.34% -10% 1.00 1.05 1.10 1.15 1.20 1.25 1.30 1.35 1.40 1.45 1.50 Underlyer at Underlyer at (EUR/USD) Gross Payout at Net Payout at $1.7600 0.00% 5.64% -5.64% $1.7100 0.00% 5.64% -5.64% $1.6600 0.00% 5.64% -5.64% $1.6100 0.00% 5.64% -5.64% $1.5600 0.00% 5.64% -5.64% $1.5100 0.00% 5.64% -5.64% $1.4600 0.00% 5.64% -5.64% $1.4100 0.00% 5.64% -5.64% $1.3600 3.55% 5.64% -2.09% $1.3100 7.09% 5.64% 1.45% $1.2600 10.64% 5.64% 5.00% $1.2100 14.18% 5.64% 8.54% $1.1600 17.73% 5.64% 12.09% $1.1100 21.28% 5.64% 15.64% $1.0600 24.82% 5.64% 19.18% This information is current information being supplied at your request and is subject to change. It is not an offer to buy or sell any security in any jurisdiction in which such offer or solicitation is not authorized or to any person to whom it would be unlawful to make such offer. The hypothetical attributes and hypothetical payout shown here are for illustration only, and are likely to bear no resemblance to the terms of an actual structure. 2
Payout at (%) Euro Put Spread Option Key Features Trade: Client Buys European Style Put Spread Underlyer: EURUSD Exchange Rate : [ 12 ] months : 3.36% Maximum Loss: Paid Hypothetical Payoff at (assuming 3.36% premium) 20% Structure Payoff 15% Underlyer Payoff 10% 5%. 0% -5% -10% 1.17 1.22 1.27 1.32 1.37 1.42 1.47 Underlyer at (EUR/USD) Hypothetical Attributes [ 12 ] months Client Buys Put(s) 1x, with a 100% strike ATMF (1.4100) Client Sells Put(s) 1x, with a 90.0% strike ATMF (1.2690) 3.36% Underlyer at Gross Payout at Net Payout at $1.5100 0.00% 3.36% -3.36% $1.4850 0.00% 3.36% -3.36% $1.4600 0.00% 3.36% -3.36% $1.4350 0.00% 3.36% -3.36% $1.4100 0.00% 3.36% -3.36% $1.3850 1.77% 3.36% -1.59% $1.3600 3.55% 3.36% 0.19% $1.3350 5.32% 3.36% 1.96% $1.3100 7.09% 3.36% 3.73% $1.2850 8.87% 3.36% 5.51% $1.2690 10.00% 3.36% 6.64% $1.2400 10.00% 3.36% 6.64% $1.2150 10.00% 3.36% 6.64% $1.1900 10.00% 3.36% 6.64% $1.1650 10.00% 3.36% 6.64% This information is current information being supplied at your request and is subject to change. It is not an offer to buy or sell any security in any jurisdiction in which such offer or solicitation is not authorized or to any person to whom it would be unlawful to make such offer. The hypothetical attributes and hypothetical payout shown here are for illustration only, and are likely to bear no resemblance to the terms of an actual structure. 3
This information is current information being supplied at your request and is subject to change. It is not an offer to buy or sell any security in any jurisdiction in which such offer or solicitation is not authorized or to any person to whom it would be unlawful to make such offer. The hypothetical attributes and hypothetical payout shown here are for illustration only, and are likely to bear no resemblance to the terms of an actual structure. Payout (% of Initial Investment) Levered Euro Bear Note Underlyer: Short EUR vs. Long USD Maturity: [18-21] months Strike: ATM Spot Upside Exposure: [1.45-1.55]x leverage to a cap of 110% (max return of [14.5-15.5]%) Downside Exposure: 1-for-1 Maximum Loss: 100% Issuer: TBD Underlyer Key Features Hypothetical Attributes Short EUR vs. Long USD (EURUSD Curncy) Hypothetical Payoff at Maturity (assuming 1.50x leverage) 125% Note Payoff 120% Underlyer Payoff 115% 110% Leverage: 1.50x Max Return: 15.0% 105% 100% Downside: 1-for-1 95% 90% 85% 80% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% Underlyer Return at Maturity Maturity Upside Exposure Downside Exposure Underlyer Return Redemption Payout (As a % of notional invested) [18-21] months from settlement date [1.45-1.55]x leverage to a cap of 110% (max return of [14.5-15.5]%) 1-for-1 (Initial Underlyer Level Final Underlyer Level) (Initial Underlyer Level) If underlyer return 0%: 100% + ( [1.45-1.55] x underlyer return), subject to a max return of [14.5-15.5]%. If underlyer return < 0%: 100% + underlyer return. Underlyer Return at Maturity (%) Structure Payout at Maturity (%) 24.81% 115.00% 17.29% 115.00% 13.53% 115.00% 10.00% 115.00% 6.02% 109.02% 2.26% 103.38% 0.00% 100.00% -5.26% 94.74% -12.78% 87.22% -20.30% 79.70% -27.82% 72.18% -35.34% 64.66% -50.38% 49.62%
Trade Protocol Indicative Termsheet: The indicative terms set forth on the preceding page are for discussion purposes only. If you would like to pursue a transaction, we will send an Indicative Termsheet with updated pricing and setting forth in detail the material terms of the transaction. We will additionally discuss with you the risk involved in the transaction which may include but are not limited to the following: Market Risk: risk that underlying reference asset increases or decreases substantially over the life of the transaction. Credit Risk: risk that the issuer of the note or counterparty to the transaction defaults on their obligation to you. Mark to Market Risk: risk that if you sell your notes in a secondary market prior to the stated maturity date, your return will depend upon the market value of your notes at the time of sale, which may be affected by a number of factors such as increase or decrease in interest rates, volatility, FX movements, credit risk or correlation. Liquidity Risk: risk there is no public market for these structures. Goldman Sachs will keep a daily price but is not obligated to provide a secondary market. Client Demand: if, after receiving the indicative termsheet and discussing the risk and suitability of the transaction,you would like to proceed with the transaction, we will arrange for a red herring to be produced and delivered to you either physically or electronically if so authorized by you. Trade Date: upon receipt of and review of the red herring by you, you will be able to give us a firm order. If such an order is accepted, we will relay to you the final terms of the transaction if not already known. Final confirmation will be delivered to you promptly after trade date. 5
Disclosures This material is provided as an illustration of structured products and is intended only to facilitate your discussions with Goldman Sachs as to the opportunities available to our private clients. This is not an offer or solicitation with respect to the purchase or sale of any security. Any historical price(s) or value(s) is as of the date indicated. We, or persons involved in the preparation or issuance of these materials, may from time to time, have long or short positions in, buy or sell (on a principal basis or otherwise), and act as market makers in, the securities or options, or serve as a director of any companies mentioned herein. In addition, we may have served as manager or co-manager of a public offering of securities by any such company within the past three years. Further information on any securities mentioned in this material may be obtained upon request. If you are interested in investing in a structured product please speak to your PWM Investment Professional. Past performance is no guarantee of future returns. Goldman Sachs does not provide accounting, tax or legal advice and prospective investors should obtain their own independent accounting, tax and legal advice prior to making their investment decision. This material contains indicative terms only and all proposed terms and conditions are for discussion purposes. Final terms and conditions are provided on a confirmation and in the event of any discrepancy between a term sheet and a confirmation, the confirmation shall govern. If you purchase the structured products within your investment advisory account, you will pay an asset-based investment advisory fee in addition to the spread included in the notes. Assuming no changes in market conditions or other relevant factors, the value of your structured products on the date of your purchase (as determined by reference to pricing models used by Goldman, Sachs ) is significantly less than the purchase price you paid for the notes. Unless we have expressly agreed in writing to act as your adviser with respect to the structured products described herein, we are acting in the capacity of an arms-length contractual counterparty in connection with each such structured product and not as your financial adviser or fiduciary. Certain structured products may be available only to accredited investors and, when investing in such products, you must represent and warrant that you are an accredited investor. Certain structured products are not underlyer downside protected and you may lose all or a portion of your principal. For Underlyer Downside Protected structures, it is important to note that the principal guarantee generally relates to nominal principal and does not offer inflation protection. Please note that there is no public secondary market the structured products described herein. Although Goldman Sachs may from time to time make a market in certain of these structured products, neither Goldman Sachs nor any affiliate is under any obligation to do so and market making may be discontinued at any time. Accordingly, you must be prepared to hold such products until maturity. If you enter into an OTC derivative contract with Goldman Sachs, you must be prepared to bear the economic risk of each contract you enter into with Goldman Sachs. Since Goldman Sachs may be obligated to make substantial payments to you under the terms of each OTC derivative contract, you must evaluate the credit risk of transacting business with Goldman Sachs. Goldman Sachs engages in transactions through a number of its affiliated companies. Depending on the type of transaction, your counterparty may be Goldman, Sachs & Co. a registered U.S. broker-dealer, or other affiliate of The Goldman Sachs Group, Inc. You should be aware that unlike Goldman, Sachs & Co., other subsidiaries of the Goldman Sachs Group, Inc. may not regulated entities and therefore they are not subject to the net capital, financial responsibility rules, and other regulatory requirements applicable to broker-dealers. OTC derivatives entered into with Goldman Sachs cannot be assigned or transferred without the prior written consent of Goldman Sachs. It may be impossible for you to transfer any OTC derivatives to a third party. Copyright 2010 The Goldman Sachs Group, Inc. All rights reserved. Services offered through Goldman, Sachs & Co. Member SIPC/FINRA. 6
Disclosures Risk Disclosure Regarding OTC Derivatives OTC derivatives may trade at a value other than that which may be inferred from the current levels of interest rates, dividends and the underlyer due to other factors including, but not limited to, expectations of future levels of interest rates, future levels of dividends and the volatility of the underlyer at any time prior to maturity. Prior to entering into an OTC derivative transaction you should be aware of the general risks associated with OTC derivative transactions: Liquidity Risk: There is no public market for OTC derivative transactions and, therefore, it may be difficult or impossible to liquidate an existing position on favorable terms; Transfer Restrictions: OTC derivative transactions entered into with Goldman Sachs cannot be assigned or otherwise transferred without its prior written consent and, therefore, it may be impossible for you to transfer any OTC derivative transaction to a third party; Counterparty Credit Risk: Because Goldman Sachs, or one of its affiliates, may be obligated to make substantial payments to you as a condition of an OTC derivative transaction, you must evaluate the credit risk of doing business with Goldman Sachs or its affiliates; Pricing and Valuation: The price of each OTC derivative transaction is individually negotiated between Goldman Sachs and each counterparty and Goldman Sachs does not represent or warrant that the prices for which it offers OTC derivative transactions are the best prices available, possibly making it difficult for you to establish what is a fair price for a particular OTC derivative transaction. The market price of the OTC derivative transaction may be influenced by many unpredictable factors, including economic conditions, the creditworthiness of Goldman Sachs, the value of any underlyers, and certain actions taken by Goldman Sachs; Proprietary Trading: Goldman Sachs engages in proprietary trading for its own account and the accounts of its affiliates in the same or similar instruments underlying OTC derivative transactions (including such trading as Goldman Sachs deems appropriate in its sole discretion to hedge its market risk in any OTC derivative transaction whether between Goldman Sachs and you or with third parties) and such trading may affect the value of an OTC derivative transaction. To understand clearly the terms and conditions of any OTC derivative transactions you may enter into, you should carefully review the OTC Master Agreement, including any related schedules, credit support documents, addenda and exhibits. You should not enter into OTC derivative transactions unless you understand the terms of the OTC derivative transaction you are entering into as well as the nature and extent of your risk exposure. You should also be satisfied that the OTC derivative transaction is appropriate for you in light of your circumstances and financial condition. You may be requested to post margin or collateral to support written OTC derivatives at levels consistent with the internal policies of Goldman Sachs. Note: Options involve risk and are not suitable for all investors. Please ensure that you have read and understood the current options disclosure document before entering into any standardized options transactions. United States listed options disclosure documents are available from our sales representatives or at http://theocc.com/publications/risks/riskstoc.pdf. A secondary market may not be available for all options. Transaction costs may be a significant in option strategies calling for multiple purchases and sales of options, such as spreads. When purchasing long options an investor may loose their entire investment and when selling uncovered options the risk is potentially unlimited. Supporting documentation for any comparisons, recommendations, statistics, technical data, or other similar information will be supplied upon request. 7