Obbligazione Goldman Sachs 7% ( US38147QCZ72 ) in USD

Goldman Sachs

99.52 USD ⇌

Stati Uniti

US38147QCZ72 ( in USD )

7% per anno ( pagato 2 volte l'anno)

31/07/2029

Prospetto opuscolo dell'obbligazione Goldman Sachs US38147QCZ72 en USD 7%, scadenza 31/07/2029

1 000 USD

38147QCZ7

N/A

31/07/2025 ( In 158 giorni )

Goldman Sachs è una banca d'investimento multinazionale americana che offre servizi di investimento bancario, gestione patrimoniale e trading a clienti istituzionali e privati.

The Obbligazione issued by Goldman Sachs ( United States ) , in USD, with the ISIN code US38147QCZ72, pays a coupon of 7% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 31/07/2029

424B2 1 a14-16359_17424b2.htm PRICING SUPPLEMENT NO. 3012 DATED JULY 28, 2014
Table of Contents

File d pursua nt t o Rule 4 2 4 (b)2
Re gist ra t ion St a t e m e nt N o. 3 3 3 -1 7 6 9 1 4

T he Goldm a n Sa c hs Group, I nc .
$3,467,000
Callable Monthly USD LIBOR and Russell 2000® Index-Linked Range Accrual Notes due 2029

Subject to our redemption right described below, interest, if any, on your notes will be paid monthly on the last calendar day of
each month, commencing on the first interest payment date (August 31, 2014) and ending on the stated maturity date (July 31,
2029). The amount of interest that you will be paid each month will be based on the number of days that are both scheduled
trading days and scheduled rate business days, each a "reference date", on which both of the following conditions are met: (i) the
closing level of the Russell 2000® Index is greater than or equal to 60.00% of the initial index level of 1,139.502, which is 683.7012;
and (ii) the level of 6-month USD LIBOR is within the rate trigger range (greater than or equal to 0.00% and less than or equal to
6.00%). To determine your annualized interest rate with respect to each interest payment date, we will divide the number of
reference dates in the immediately preceding interest period on which the above conditions are met by the total number of
reference dates in that interest period. We will then multiply the resulting fraction by the interest factor of 7.00%. Your monthly
interest payment for each $1,000 face amount of your notes will equal the product of the applicable annualized interest rate times
$1,000 times an accrued interest factor determined in accordance with the 30/360 (ISDA) day count convention. U nle ss t he
a bove c ondit ions a re m e t on e a c h re fe re nc e da t e in a m ont hly int e re st pe riod, t he int e re st ra t e w it h
re spe c t t o t he ne x t int e re st pa ym e nt da t e w ill be le ss t ha n 7 .0 0 % pe r a nnum , a nd if suc h c ondit ions a re
ne ve r m e t , t he int e re st ra t e w it h re spe c t t o suc h int e re st pa ym e nt da t e w ill be 0 % .

We may redeem your notes at 100% of their face amount plus any accrued and unpaid interest on any monthly interest payment
date on or after October 31, 2014.

If we do not redeem your notes, the amount that you will be paid on your notes on the stated maturity date, in addition to any
accrued and unpaid interest, is based solely on the performance of the index as measured from the trade date (July 28, 2014) to
and including the determination date (July 17, 2029). If the final index level on the determination date is greater than or equal to
50.00% of the initial index level, you will receive the face amount of your notes. I f t he fina l inde x le ve l is le ss t ha n 5 0 .0 0 %
of t he init ia l inde x le ve l, t he a m ount you re c e ive w ill de pe nd on t he inde x re t urn but w ill be le ss t ha n t he
fa c e a m ount of your not e s, a s de sc ribe d be low . Y ou w ill not be ne fit from a ny inc re a se in t he fina l inde x
le ve l a bove t he init ia l inde x le ve l, a nd you c ould lose your e nt ire inve st m e nt in t he not e s if t he fina l inde x
le ve l is ze ro .

To determine your payment at maturity, excluding any interest payment, we will calculate the index return, which is the percentage
increase or decrease in the final index level from the initial index level. On the stated maturity date, for each $1,000 face amount of
your notes, you will receive an amount in cash equal to:

·
if the index return is greater than or equal to -50.00% (the final index level is greater than or equal to 50.00% of the initial

index level), $1,000; or
·
if the index return is less than -50.00% (the final index level is less than 50.00% of the initial index level), the sum of

(i) $1,000 plus (ii) the product of (a) the index return times (b) $1,000.

Y our inve st m e nt in t he not e s involve s c e rt a in risk s, inc luding, a m ong ot he r t hings, our c re dit risk . Se e
pa ge PS-1 1 .

You should read the additional disclosure herein so that you may better understand the terms and risks of your investment.

The estimated value of your notes at the time the terms of your notes were set on the trade date (as determined by
reference to pricing models used by Goldman, Sachs & Co. (GS&Co.) and taking into account our credit spreads) was
equal to approximately $887 per $1,000 face amount, which is less than the original issue price. The value of your notes
at any time will reflect many factors and cannot be predicted; however, the price (not including GS&Co.'s customary bid
and ask spreads) at which GS&Co. would initially buy or sell notes (if it makes a market, which it is not obligated to do)
and the value that GS&Co. will initially use for account statements and otherwise equals approximately $952 per $1,000
face amount, which exceeds the estimated value of your notes as determined by reference to these models. The amount
of the excess will decline on a straight line basis over the period from the trade date through October 31, 2014.
Origina l issue da t e :
July 31, 2014
Origina l issue pric e :
100.00% of the face amount

U nde rw rit ing disc ount :
4.85% of the face amount
N e t proc e e ds t o t he
95.15% of the face amount
issue r:

http://www.sec.gov/Archives/edgar/data/886982/000110465914054985/a14-16359_17424b2.htm[7/31/2014 9:23:13 AM]

N e it he r t he Se c urit ie s a nd Ex c ha nge Com m ission nor a ny ot he r re gula t ory body ha s a pprove d or
disa pprove d of t he se se c urit ie s or pa sse d upon t he a c c ura c y or a de qua c y of t his prospe c t us. Any
re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse . T he not e s a re not ba nk de posit s a nd a re not insure d by
t he Fe de ra l De posit I nsura nc e Corpora t ion or a ny ot he r gove rnm e nt a l a ge nc y, nor a re t he y obliga t ions of,
or gua ra nt e e d by, a ba nk .

Goldm a n, Sa c hs & Co.
Pricing Supplement No. 3012 dated July 28, 2014.

Table of Contents

The issue price, underwriting discount and net proceeds listed above relate to the notes we sell initially. We may decide to sell
additional notes after the date of this pricing supplement, at issue prices and with underwriting discounts and net proceeds that
differ from the amounts set forth above. The return (whether positive or negative) on your investment in notes will depend in part
on the issue price you pay for such notes.

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

About Y our Prospe c t us

The notes are part of the Medium-Term Notes, Series D program of The Goldman Sachs Group, Inc. The prospectus includes
this pricing supplement and the accompanying documents listed below. This pricing supplement constitutes a supplement to the
documents listed below and should be read in conjunction with such documents:

· Product supplement no. 2489 dated October 21, 2013

· General terms supplement dated September 23, 2013

· Prospectus supplement dated September 19, 2011

· Prospectus dated September 19, 2011

The information in this pricing supplement supersedes any conflicting information in the documents listed above. In addition,
some of the terms or features described in the listed documents may not apply to your notes.

Table of Contents

http://www.sec.gov/Archives/edgar/data/886982/000110465914054985/a14-16359_17424b2.htm[7/31/2014 9:23:13 AM]

Table of Contents

http://www.sec.gov/Archives/edgar/data/886982/000110465914054985/a14-16359_17424b2.htm[7/31/2014 9:23:13 AM]

http://www.sec.gov/Archives/edgar/data/886982/000110465914054985/a14-16359_17424b2.htm[7/31/2014 9:23:13 AM]

Table of Contents

SU M M ARY I N FORM AT I ON

We refer to the notes we are offering by this pricing supplement as the "offered notes" or the "notes". Each of the offered
notes, including your notes, has the terms described below. Please note that in this pricing supplement, references to "The
Goldman Sachs Group, Inc.", "we", "our" and "us" mean only The Goldman Sachs Group, Inc. and do not include its
consolidated subsidiaries. Also, references to the "accompanying prospectus" mean the accompanying prospectus, dated
September 19, 2011, as supplemented by the accompanying prospectus supplement, dated September 19, 2011, of The
Goldman Sachs Group, Inc. relating to the Medium-Term Notes, Series D program of The Goldman Sachs Group, Inc.,
references to the "accompanying general terms supplement" mean the accompanying general terms supplement, dated
September 23, 2013, of The Goldman Sachs Group, Inc. and references to the "accompanying product supplement no. 2489"
mean the accompanying product supplement no. 2489, dated October 21, 2013, of The Goldman Sachs Group, Inc.

This section is meant as a summary and should be read in conjunction with the section entitled "General Terms of the
Callable Range Accrual-Linked Notes" on page S-24 of the accompanying product supplement no. 2489 and "Supplemental
Terms of the Notes" on page S-13 of the accompanying general terms supplement. Please note that certain features, as noted
below, described in the accompanying product supplement no. 2489 and general terms supplement are not applicable to the
notes. This pricing supplement supersedes any conflicting provisions of the accompanying product supplement no. 2489 or the
accompanying general terms supplement.

K e y T e rm s

I ssue r: The Goldman Sachs Group, Inc.

U nde rlie r: the Russell 2000® Index (Bloomberg symbol, "RTY Index"), as published by the Russell Investment Group ("Russell")

Re fe re nc e ra t e : for any reference date that is a rate business day, the 6-month London Interbank Offered Rate (LIBOR) for
deposits in U.S. dollars ("6-month USD LIBOR") as it appears on the Reuters screen LIBOR01 page (or any successor or
replacement service or page thereof) at 11:00 a.m., London time on such day, subject to adjustment as described on page PS-18
of this pricing supplement and under "General Terms of the Callable Range Accrual Notes Interest Payments" on page S-23 of
the accompanying product supplement no. 2489

Spe c ifie d c urre nc y: U.S. dollars ("$")

T e rm s t o be spe c ifie d in a c c orda nc e w it h t he a c c om pa nying produc t supple m e nt no. 2 4 8 9 :

·
type of notes: notes linked to an underlier and a reference rate

·
redemption right or price dependent redemption right: yes, as described below

·
reference rate: yes, as described below

·
rate trigger range: yes, as described below

·
trigger buffer level: yes, as described below

·
buffer level: not applicable

Fa c e a m ount : each note will have a face amount of $1,000; $3,467,000 in the aggregate for all the offered notes; the
aggregate face amount of the offered notes may be increased if the issuer, at its sole option, decides to sell an additional amount
of the offered notes on a date subsequent to the date of this pricing supplement

Purc ha se a t a m ount ot he r t ha n fa c e a m ount : the amount we will pay you at the stated maturity date for your notes or
upon any early redemption of your notes, will not be adjusted based on the issue price you pay for your notes, so if you acquire
notes at a premium (or discount) to face amount and hold them to the stated maturity date or date of early redemption, it could
affect your investment in a number of ways. The return on your investment in such notes will be lower (or higher) than it would
have been had you purchased the notes at face amount. Also, the stated trigger buffer level would not offer the same measure of
protection to your investment as would be the case if you had purchased the notes at face amount. See
http://www.sec.gov/Archives/edgar/data/886982/000110465914054985/a14-16359_17424b2.htm[7/31/2014 9:23:13 AM]

PS-4
Table of Contents

"Additional Risk Factors Specific to Your Notes -- If You Purchase Your Notes at a Premium to Face Amount, the Return on Your
Investment Will Be Lower Than the Return on Notes Purchased at Face Amount and the Impact of Certain Key Terms of the Notes
Will be Negatively Affected" on page PS-13 of this pricing supplement.

Supple m e nt a l disc ussion of U .S. fe de ra l inc om e t a x c onse que nc e s: you will be obligated pursuant to the terms of
the notes -- in the absence of a change in law, an administrative determination or a judicial ruling to the contrary -- to characterize
each note for all tax purposes as an income-bearing pre-paid derivative contract in respect of the underlier, as described under
"Supplemental Discussion of Federal Income Tax Consequences" on page S-30 of the accompanying product supplement no.
2489. Pursuant to this approach, it is the opinion of Sidley Austin LLP that it is likely that any interest payment will be taxed as
ordinary income in accordance with your regular method of accounting for U.S. federal income tax purposes. If you are a United
States alien holder of the notes, we intend to withhold on interest payments made to you at a 30% rate or at a lower rate specified
by an applicable income tax treaty. In addition, upon the sale, exchange, redemption or maturity of your notes, it would be
reasonable for you to recognize capital gain or loss equal to the difference, if any, between the amount of cash you receive at such
time (excluding amounts attributable to any interest payment) and your tax basis in your notes.

Ca sh se t t le m e nt a m ount (on t he st a t e d m a t urit y da t e ): for each $1,000 face amount of your notes, in addition to any
accrued and unpaid interest, we will pay you on the stated maturity date, subject to our early redemption right, an amount in cash
equal to:

·
if the final underlier level is greater than or equal to the trigger buffer level, $1,000; or

·
if the final underlier level is less than the trigger buffer level, the sum of (1) $1,000 plus (2) the product of (i) $1,000 times

(ii) the underlier return

Ea rly re de m pt ion right : we have the right to redeem your notes, in whole but not in part, on each redemption date at a price
equal to 100% of the face amount plus any accrued and unpaid interest to but excluding such redemption date, subject to ten
business days prior notice, as further described under "General Terms of the Callable Range Accrual Notes Redemption of Your
Notes" on page S-24 of the accompanying product supplement no. 2489

Re de m pt ion da t e s: the interest payment date that will fall on October 31, 2014 and each interest payment date occurring
thereafter

I nt e re st ra t e : the interest rate with respect to any interest payment date will be determined on the immediately preceding
interest determination date, based on the closing level of the underlier and the level of the reference rate on each reference date
during the interest period immediately preceding such interest payment date. The interest rate will be equal to the product of
(1) the interest factor times (2) the quotient of (i) the number of reference dates during the applicable interest period when the
closing level of the underlier is greater than or equal to the underlier barrier level and the level of the reference rate is within the
rate trigger range divided by (ii) the number of reference dates in such interest period, subject to adjustment as described under
"General Terms of the Callable Range Accrual Notes Interest Payments" on page S-24 of the accompanying product supplement
no. 2489.

I nt e re st fa c t or: 7.00%

I nt e re st pe riod: each period from and including each interest determination date (or the original issue date in the case of the
initial interest period) to but excluding the next succeeding interest determination date

I nt e re st de t e rm ina t ion da t e s: the tenth scheduled trading day prior to each interest payment date

I nt e re st pa ym e nt da t e s: the last calendar day of each month, beginning on August 31, 2014, up to and including the stated
maturity date, subject to adjustment as described under "General Terms of the Callable Range Accrual Notes -- Interest Payments"
on page S-24 of the accompanying product supplement no. 2489

Da y c ount c onve nt ion: 30/360 (ISDA)

Ac c rue d int e re st fa c t or: calculated in accordance with the day count convention with respect to each period from and
http://www.sec.gov/Archives/edgar/data/886982/000110465914054985/a14-16359_17424b2.htm[7/31/2014 9:23:13 AM]

including each interest payment date (or the original issue date, in the case of the first interest payment date) to but excluding the
next succeeding interest payment date

I nit ia l unde rlie r le ve l: 1,139.502

U nde rlie r ba rrie r le ve l: 683.7012, which is 60.00% of the initial underlier level

Ra t e t rigge r ra nge : greater than or equal to 0.00% and less than or equal to 6.00%

PS-5
Table of Contents

Fina l unde rlie r le ve l: the closing level of the underlier on the determination date, except in the limited circumstances described
under "Supplemental Terms of the Notes -- Consequences of a Market Disruption Event or a Non-Trading Day" on page S-19 of
the accompanying general terms supplement and subject to adjustment as provided under "Supplemental Terms of the Notes --
Discontinuance or Modification of an Underlier" on page S-23 of the accompanying general terms supplement

Closing le ve l: notwithstanding anything to the contrary in the accompanying general terms supplement, for any trading day, the
closing level of the underlier or any successor underlier reported by Bloomberg Financial Services, or any successor reporting
service we may select, on such trading day for the underlier. Currently, whereas the underlier sponsor publishes the official closing
level of the underlier to six decimal places, Bloomberg Financial Services reports the closing level to fewer decimal places. As a
result, the closing level of the Russell 2000® Index reported by Bloomberg Financial Services may be lower or higher than the
official closing level of the Russell 2000® Index published by the underlier sponsor

U nde rlie r re t urn: the quotient of (1) the final underlier level minus the initial underlier level divided by (2) the initial underlier
level, expressed as a percentage

T rigge r buffe r le ve l: 50.00% of the initial underlier level

N o list ing: the offered notes will not be listed on any securities exchange or interdealer quotation system

Busine ss da y: as described under "Supplemental Terms of the Notes -- Special Calculation Provisions -- Business Day" on
page S-27 of the accompanying general terms supplement

Ra t e busine ss da y: with respect to the determination of the reference rate only, any day on which commercial banks are open
for general business (including dealings in U.S. dollars) in London

T ra ding da y: as described under "Supplemental Terms of the Notes -- Special Calculation Provisions -- Trading Day" on
page S-27 of the accompanying general terms supplement

T ra de da t e : July 28, 2014

Origina l issue da t e (se t t le m e nt da t e ): July 31, 2014

De t e rm ina t ion da t e : July 17, 2029, subject to adjustment as described under "Supplemental Terms of the Notes --
Determination Date" on page S-14 of the accompanying general terms supplement

St a t e d m a t urit y da t e : July 31, 2029, subject to adjustment as described under "Supplemental Terms of the Notes -- Stated
Maturity Date" on page S-13 of the accompanying general terms supplement

Re fe re nc e da t e : for each interest period, each day that is both a scheduled trading day and a scheduled rate business day

Busine ss da y c onve nt ion: following unadjusted

Re gula r re c ord da t e s: the scheduled business day immediately preceding each interest payment date

U se of proc e e ds a nd he dging: as described under "Use of Proceeds" and "Hedging" on page S-29 of the accompanying
product supplement no. 2489
http://www.sec.gov/Archives/edgar/data/886982/000110465914054985/a14-16359_17424b2.htm[7/31/2014 9:23:13 AM]

ERI SA: as described under "Employee Retirement Income Security Act" on page S-37 of the accompanying product supplement
no. 2489

Supple m e nt a l pla n of dist ribut ion: as described under "Supplemental Plan of Distribution" on page S-38 of the
accompanying product supplement no. 2489; The Goldman Sachs Group, Inc. estimates that its share of the total offering
expenses, excluding underwriting discounts and commissions, will be approximately $15,000.

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 pricing
supplement. Goldman, Sachs & Co. proposes initially to offer the notes to the public at the original issue price set forth on the
cover page of this pricing supplement, and to certain securities dealers at such price less a concession not in excess of 4.30% of
the face amount.

We will deliver the notes against payment therefor in New York, New York on July 31, 2014, which is the third scheduled business
day following the date of this pricing supplement and of the pricing of the notes.

We have been advised by Goldman, Sachs & Co. that it intends to make a market in the notes. However, neither Goldman,
Sachs & Co. nor any of our other affiliates that makes a market is obligated to do so and any of them may stop doing so at any
time without notice. No assurance can be given as to the liquidity or trading market for the notes.

Ca lc ula t ion a ge nt : Goldman, Sachs & Co.

PS-6
Table of Contents

CU SI P no.: 38147QCZ7

I SI N no.: US38147QCZ72

FDI C: the notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other
governmental agency, nor are they obligations of, or guaranteed by, a bank

PS-7
Table of Contents

H Y POT H ET I CAL EX AM PLES

The following tables and examples 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 (i) the method we will use to determine the interest rate
on any given interest payment date based on the closing level of the underlier and the level of the reference rate on the applicable
reference dates in the immediately preceding interest period, (ii) the method we will use to calculate the amount of interest accrued
between interest payment dates and (iii) the impact that the various hypothetical closing levels of the underlier on the determination
date could have on the cash settlement amount at maturity assuming all other variables remain constant.

The examples below are based on a range of underlier levels and reference rates that are entirely hypothetical; no one can predict
what the underlier level or reference rate will be on any day throughout the life of your notes, what the final underlier level will be
on the determination date and what the interest rate will be on any interest payment date. The underlier and reference rate have
been highly volatile in the past -- meaning that the underlier level and reference rate have changed substantially in relatively short
periods -- and their performance cannot be predicted for any future period.

The information in the following examples reflects the method we will use to calculate the interest rate applicable to any interest
payment date and the hypothetical rates of return on the offered notes assuming that they are purchased on the original issue date
at the face amount and held to the stated maturity date. If you sell your notes in a secondary market prior to the stated maturity
date, your return will depend upon the market value of your notes at the time of sale, which may be affected by a number of
factors that are not reflected in the tables below such as interest rates, the volatility of the underlier and our creditworthiness. In
http://www.sec.gov/Archives/edgar/data/886982/000110465914054985/a14-16359_17424b2.htm[7/31/2014 9:23:13 AM]

addition, the estimated value of your notes at the time the terms of your notes were set on the trade date (as determined by
reference to pricing models used by Goldman, Sachs & Co.) was less than the original issue price of your notes. For more
information on the estimated value of your notes, see "Additional Risk Factors Specific to Your Notes -- The Estimated Value of
Your Notes At the Time the Terms of Your Notes Were Set On the Trade Date (as Determined By Reference to Pricing Models
Used By Goldman, Sachs & Co.) Was Less Than the Original Issue Price Of Your Notes" on page PS-11 of this pricing
supplement. The information in the table also reflects the key terms and assumptions in the box below.

K e y T e rm s a nd Assum pt ions
Face amount
$1,000
Trigger buffer level
50.00% of the initial underlier level
Underlier barrier level
60.00% of the initial underlier level
Rate trigger range
greater than or equal to 0.00% and less than or equal to 6.00%
Interest factor
7.00%
The day count convention calculation results in an accrued interest factor of approximately 0.08333

The notes are not called

Neither a market disruption event nor a non-trading day occurs on the originally scheduled determination date

No market disruption event, non-trading day or day that is not a rate business day occurs on any reference date

No change in or affecting any of the underlier stocks or the method by which the underlier sponsor calculates the underlier

Notes purchased on original issue date at the face amount and held to the stated maturity date

For these reasons, the actual performance of the underlier over the life of your notes, the actual underlier level and reference rate
on any reference date in any interest period, as well as the interest payable at each interest payment date, may bear little relation
to the hypothetical examples shown below or to the historical levels of the underlier and the reference rate shown elsewhere in this
pricing supplement. For information about the levels of the underlier and the reference rate during recent periods, see "The
Underlier -- Historical Closing Levels of the Underlier" on page PS-16 and "The Reference Rate Historical Reference Rates" on
page PS-18, respectively. Before investing in the notes, you should consult publicly available information to determine the underlier
level and reference rates between the date of this pricing supplement and the date of your purchase of the notes.

The following tables and examples illustrate the method we will use to calculate the interest rate with respect to an interest
payment date, subject to the key terms and assumptions above. The numbers in the

PS-8
Table of Contents

first column represent the number of reference dates ("N") during any given interest period for which the closing level of the
underlier is greater than or equal to the underlier barrier level and the level of the reference rate is within the rate trigger range.
The levels in the fourth column represent the hypothetical interest amount, as a percentage of the face amount of each note, that
would be payable with respect to a given interest period in which the closing level of the underlier is greater than or equal to the
underlier barrier level and the level of the reference rate is within the rate trigger range for a given number of reference dates (as
specified in the first column).

Also, the hypothetical examples shown below do not take into account the effects of applicable taxes. Because of the U.S. tax
treatment applicable to your notes, tax liabilities could affect the after-tax rate of return on your notes to a comparatively greater
extent than the after-tax return on the underlier stocks.

Assum e d num be r of
Am ount of int e re st t o
e ligible t ra ding da ys
be pa id on t he re la t e d
Fra c t ion (A/B) x
N * (A)
t ha t a re ra t e busine ss
int e re st pa ym e nt da t e
I nt e re st Fa c t or
da ys in a n int e re st
(using 3 0 /3 6 0 (I SDA)
pe riod (B)
c onve nt ion)
0
20
0.000000
0.00%
http://www.sec.gov/Archives/edgar/data/886982/000110465914054985/a14-16359_17424b2.htm[7/31/2014 9:23:13 AM]

5
20
0.017500
0.15%
10
20
0.035000
0.29%
15
20
0.052500
0.44%
20
20
0.070000
0.58%

* The number of days for which the closing level of the underlier is greater than or equal to the underlier barrier level and the level
of the reference rate is within rate trigger range in a given interest period is subject to numerous adjustments, as described under
"General Terms of the Callable Range Accrual Notes Interest Payments" on page S-24 of the accompanying product supplement
no. 2489.

The levels in the left column of the table below represent hypothetical final underlier levels and are expressed as percentages of
the initial underlier level. The amounts in the right column represent the hypothetical cash settlement amounts, based on the
corresponding hypothetical final underlier level (expressed as a percentage of the initial underlier level), and are expressed as
percentages of the face amount of a note (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical cash
settlement amount of 100.000% means that the value of the cash payment that we would deliver for each $1,000 of the
outstanding face amount of the offered notes on the stated maturity date would equal 100.000% of the face amount of a note,
based on the corresponding hypothetical final underlier level (expressed as a percentage of the initial underlier level) and the
assumptions noted above.

H ypot he t ic a l Ca sh Se t t le m e nt
H ypot he t ic a l Fina l U nde rlie r Le ve l
Am ount

(a s Pe rc e nt a ge of I nit ia l U nde rlie r Le ve l)
(a s Pe rc e nt a ge of Fa c e Am ount )

200.000%
100.000%

175.000%
100.000%

150.000%
100.000%

125.000%
100.000%

1 0 0 .0 0 0 %
1 0 0 .0 0 0 %

99.000%
100.000%

80.000%
100.000%

65.000%
100.000%

5 0 .0 0 0 %
1 0 0 .0 0 0 %

49.999%
49.999%

35.000%
35.000%

25.000%
25.000%

0 .0 0 0 %
0 .0 0 0 %

If, for example, the final underlier level were determined to be 25.000% of the initial underlier level, the cash settlement amount that
we would deliver on your notes at maturity would be 25.000% of the face amount of your notes, as shown in the table above. As a
result, if you purchased your notes on the original issue date at the face amount and held them to the stated maturity date, you
would lose 75.000% of your investment (if you purchased your notes at a premium to face amount you would lose a
correspondingly higher percentage of your investment). In addition, if the final underlier level were determined to be 125.000% of
the initial underlier level, the cash settlement amount that we would deliver on your notes at maturity would be limited to 100.000%
of each $1,000 face amount of your notes, as shown in the table above. As a result,

PS-9
Table of Contents

if you held your notes to the stated maturity date, you would not benefit from any increase in the final underlier level over the initial
underlier level.

The cash settlement amounts shown above are entirely hypothetical; they are based on market prices for the underlier stocks that
may not be achieved on the determination date and on assumptions that may prove to be erroneous. The actual market value of
your notes on the stated maturity date or at any other time, including any time you may wish to sell your notes, may bear little
relation to the hypothetical cash settlement amounts shown above, and these amounts should not be viewed as an indication of the
financial return on an investment in the offered notes. The hypothetical cash settlement amounts on notes held to the stated
maturity date in the examples above assume you purchased your notes at their face amount and have not been adjusted to reflect
the actual issue price you pay for your notes. The return on your investment (whether positive or negative) in your notes will be
affected by the amount you pay for your notes. If you purchase your notes for a price other than the face amount, the return on
your investment will differ from, and may be significantly lower than, the hypothetical returns suggested by the above examples.
http://www.sec.gov/Archives/edgar/data/886982/000110465914054985/a14-16359_17424b2.htm[7/31/2014 9:23:13 AM]

Document Outline

#1">
- #1">