Execution Version Pricing Supplement dated April 22, 2016 GOLDMAN, SACHS & CO. WERTPAPIER GMBH Series M Programme for the issuance of Warrants, Notes and Certificates Issue of GBP 50,000,000 5-Year 1-Delta Autocallable Notes issued by Goldman, Sachs & Co. Wertpapier GmbH linked to the Class 2016-199 S&P 500 Index, EURO STOXX 50 Index (Price EUR) and FTSE 100 Index linked Preference Shares issued by Goldman Sachs (Cayman) Limited, due April 15, 2021 (the "Securities" or the "Notes") Guaranteed by The Goldman Sachs Group, Inc. ("GSG") The Securities are not bank deposits and are not insured or guaranteed by the U.S. Federal Deposit Insurance Corporation, the UK Financial Services Compensation Scheme or any other government or private agency or governmental agency, or deposit protection scheme in any jurisdiction. The payment obligations and (subject to the next sentence) delivery obligations of the Issuer in respect of the Securities are guaranteed by GSG. The Guarantor is only obliged to pay the Physical Settlement Disruption Amount instead of delivering the Deliverable Assets if the Issuer fails to deliver the Physical Settlement Amount. The Guaranty will rank pari passu with all other unsecured and unsubordinated indebtedness of GSG. DESCRIPTION OF CERTAIN MAIN FEATURES OF THE NOTES The description below contains selective information about the Notes and the Underlying Asset and is an introduction to this pricing supplement. Any decision to invest in the Notes should be based on a consideration of this pricing supplement and the private placement memorandum (defined below) as a whole, including the documents incorporated by reference. ISIN XS1317229406 Issue Date April 22, 2016 Common Code 131722940 Maturity Date April 15, 2021 Valoren 31498894 Initial Preference Share Valuation Date WKN GL6ZWA Final Preference Share Valuation Date April 8, 2016 April 8, 2021 Issue Price 100.00 per cent. of the Aggregate Nominal Amount Valuation Date Final Preference Share Valuation Date, or if a Preference Share Automatic Early Redemption Event has occurred, the relevant Preference Share Valuation Date Aggregate Nominal Amount GBP 50,000,000 Preference Share Valuation Date Each date specified as such in the "Preference Share Automatic Early Redemption Table" below, and the Final Preference Share Valuation Date Specified Denomination GBP 1,000 Preference Share Automatic Early Redemption Date Each date specified as such in the "Preference Share Automatic Early Redemption Table" below Minimum Trading Number Calculation Amount Specified Currency GBP 1,000 Preference Share Value The fair market value of the Underlying Asset on the relevant date GBP 1,000 Preference Share Value Initial The Preference Share Issue Price GBP Preference Share Value Final In respect of the Underlying Asset, the Preference Share Value on the Valuation Date Preference Share In respect of each Preference Share Underlying, the official closing level of Index Sponsors In respect of: 1
Underlying Level such Preference Share Underlying on any relevant day as calculated and published by the Index Sponsor (i) (ii) SPX, S&P Dow Jones Indices LLC SX5E, STOXX Limited (iii) UKX, FTSE International Limited Preference Share Underlying Performance In respect of a Preference Share Valuation Date and each Preference Share Underlying, an amount equal to the quotient of (i) the Preference Share Underlying Level for such Preference Share Underlying on that Preference Share Valuation Date, divided by (ii) the Preference Share Underlying Level (Initial) for such Preference Share Underlying (expressed as a percentage) Preference Share Underlying Level (Initial) In respect of: (i) SPX, USD 2,047.60 (ii) SX5E, EUR 2,911.98 (iii) UKX, GBP 6,204.41 being in each case the Preference Share Underlying Level in respect of the Initial Preference Share Valuation Date Preference Share Underlying Level (Final) In respect of each Preference Share Underlying, the Preference Share Underlying Level for such Preference Share Underlying on the Final Preference Share Valuation Date Preference Share Underlying Level (Last Trigger) In respect of: (i) SPX, USD 1,228.56 (ii) SX5E, EUR 1,747.188 (iii) UKX, GBP 3,722.646 being in each case equal to 60 per cent. (60%) of the Preference Share Underlying Level (Initial) Preference Share Automatic Early Redemption Event In respect of any Preference Share Valuation Date (other than the Final Preference Share Valuation Date), the Worst Preference Share Underlying Performance for such Preference Share Valuation Date is greater than or equal to the Preference Share Underlying Performance (Trigger) for such Preference Share Valuation Date Preference Share Underlying Level (Barrier) In respect of: (i) SPX, USD 1,126.18 (ii) SX5E, EUR 1,601.589 (iii) UKX, GBP 3,412.4255 being in each case equal to 55 per cent. (55%) of the Preference Share Underlying Level (Initial) Preference Share Automatic Early Redemption Percentage In respect of each Preference Share Valuation Date (other than the Final Preference Share Valuation Date), the percentage specified as such in the "Preference Share Automatic Early Redemption Table" below Automatic Early Redemption Date Each Preference Share Automatic Early Redemption Date, as specified in the "Preference Share Automatic Early Redemption Table" below Worst Preference Share Underlying Performance In respect of any Preference Share Valuation Date, the Preference Share Underlying Performance of the Worst Performing Preference Share Underlying on that Preference Share Valuation Date Worst Performing Preference Share Underlying In respect of any Preference Share Valuation Date, the Preference Share Underlying with the lowest Preference Share Underlying Performance; provided that, if two or more Preference Share Underlyings have the same lowest Preference Share Underlying Performance, then the Worst Performing Preference Share Underlying shall be such Preference Share Underlying as selected by the Preference Share Calculation Agent in its discretion Preference Share Underlying Performance (Trigger) In respect of each Preference Share Underlying and each Preference Share Valuation Date other than the Final Preference Share Valuation Date, the percentage specified as such in the "Preference Share Automatic Early Redemption Table" below. 2
Underlying Asset Bloomberg Page Reference Currency Preference Share Issuer Preference Share Issue Price Preference Share Underlyings Class 2016-199 S&P 500 Index, EURO STOXX 50 Index (Price EUR) and FTSE 100 Index linked Preference Shares (the "Preference Shares") ID GS00PSH01999 Corp GBP Goldman Sachs (Cayman) Limited GBP 1 S&P 500 Index (Bloomberg Code: SPX <Index>; Reuters Code:.SPX) ("SPX"); EURO STOXX 50 Index (Price EUR) (Bloomberg Code: SX5E <Index>; Reuters Code:.STOXX50E) ("SX5E"); and FTSE 100 Index (Bloomberg Code: UKX <Index>; Reuters Code:.FTSE) ("UKX"). Preference Share Automatic Early Redemption Table Preference Share Valuation Date Preference Share Automatic Early Redemption Date Preference Share Underlying Performance (Trigger) Preference Share Automatic Early Redemption Percentage April 10, 2017 April 19, 2017 100% 109.30% April 9, 2018 April 16, 2018 90% 118.60% April 8, 2019 April 15, 2019 80% 127.90% April 8, 2020 April 17, 2020 70% 137.20% 3
AUTOMATIC EARLY REDEMPTION OF THE NOTES If a Preference Share Automatic Early Redemption Event occurs on any Preference Share Valuation Date (other than the Final Preference Share Valuation Date), the Notes will be redeemed on the Automatic Early Redemption Date following such Preference Share Valuation Date and the redemption amount payable for each nominal amount of a Note equal to the Calculation Amount will be equal to the product of (i) the Calculation Amount multiplied by (ii) the quotient of (a) the Automatic Early Redemption Preference Share Value, divided by (b) the Preference Share Value Initial. For this purpose, the "Automatic Early Redemption Preference Share Value" means the Preference Share Value on the Valuation Date falling on the Preference Share Valuation Date in respect of which a Preference Share Automatic Early Redemption Event has occurred. The Automatic Early Redemption Preference Share Value is expected to be equal to the Preference Share Automatic Early Redemption Amount for such Preference Share Valuation Date. AUTOMATIC EARLY REDEMPTION OF THE PREFERENCE SHARES If a Preference Share Automatic Early Redemption Event has occurred on a Preference Share Valuation Date (other than the Final Preference Share Valuation Date), each Preference Share will be redeemed on the Preference Share Automatic Early Redemption Date immediately following such Preference Share Valuation Date, and the amount payable in respect of each Preference Share on such date will be an amount equal to the product of (i) GBP 1, multiplied by (ii) the Preference Share Automatic Early Redemption Percentage corresponding to such Preference Share Automatic Early Redemption Date (such amount, the "Preference Share Automatic Early Redemption Amount"). FINAL REDEMPTION AMOUNT OF THE NOTES ON MATURITY Unless the Notes redeem early or are adjusted, in each case in accordance with the Conditions, the Notes will be redeemed on the Maturity Date and the Final Redemption Amount payable for each nominal amount of a Note equal to the Calculation Amount will be equal to the product of (i) the Calculation Amount multiplied by (ii) the quotient of (a) the Preference Share Value Final, divided by (b) the Preference Share Value Initial. The Preference Share Value Final is expected to be equal to the Preference Share Redemption Amount (subject to any other factors which might affect the Preference Share Value). PREFERENCE SHARE REDEMPTION AMOUNT Unless the Preference Shares redeem early or are adjusted, in each case in accordance with the Specific Terms and Conditions of the Preference Shares, the Preference Share Redemption Amount will be the amount payable by the Preference Share Issuer on the redemption date for the Preference Shares, determined in accordance with paragraph (i), (ii) or (iii) below (as applicable): (i) (ii) (iii) if the Preference Share Underlying Level (Final) of each of the Preference Share Underlyings is greater than or equal to its respective Preference Share Underlying Level (Last Trigger), then the Preference Share Redemption Amount shall be an amount in GBP equal to the product of (a) GBP 1, multiplied by (b) 1.465, i.e. GBP 1.465; if the Preference Share Underlying Level (Final) of at least one of the Preference Share Underlyings is less than its respective Preference Share Underlying Level (Last Trigger), but the Preference Share Underlying Level (Final) of each of the Preference Share Underlyings is greater than or equal to its respective Preference Share Underlying Level (Barrier), then the Preference Share Redemption Amount shall be GBP 1; or if the Preference Share Underlying Level (Final) of at least one of the Preference Share Underlyings is less than its respective Preference Share Underlying Level (Barrier), then the Preference Share Redemption Amount shall be the product of (a) GBP 1, multiplied by (b) the Worst Preference Share Underlying Performance on the Final Preference Share Valuation Date. In such case, if you purchased the Notes at the Issue Price, the final redemption amount will be less than your initial investment and you will lose some or all of your investment. PLEASE ALSO REFER TO THE SECTION ENTITLED "RISK FACTORS" IN THE PRIVATE PLACEMENT MEMORANDUM (INCLUDING (I) THE SECTION ENTITLED "ADDITIONAL RISK FACTORS" IN THE EIS NOTES LINKED PRODUCT SUPPLEMENT IN THE PRIVATE PLACEMENT MEMORANDUM AND (II) THE ADDITIONAL RISK FACTORS RELATING TO THE PARTICULAR TYPE OF PREFERENCE SHARE UNDERLYING IN THE APPLICABLE PRODUCT SUPPLEMENT IN THE PRIVATE PLACEMENT MEMORANDUM). 4
SCENARIO ANALYSIS The scenarios and figures presented below are hypothetical scenarios and figures and are for illustrative purposes only. The Final Redemption Amount for each Note of the Calculation Amount will be calculated in accordance with the terms of the Notes as set out in the General Note Conditions, the EIS Note Payout Conditions and in this Pricing Supplement. The Calculation Amount in respect of the Notes is GBP 1,000. The Preference Share Specified Denomination is GBP 1. Scenario 1 On the Preference Share Valuation Date scheduled to fall on April 10, 2017: the Worst Preference Share Underlying Performance is equal to or greater than the Preference Share Underlying Performance (Trigger) for that Preference Share Valuation Date; and the Preference Share Value Final (being the fair market value of the Preference Share on the Valuation Date falling on such Preference Share Valuation Date) is equal to the Preference Share Automatic Early Redemption Amount. The Preference Share Automatic Early Redemption Amount payable in respect of each Preference Share will be GBP 1.093. The Notes will be redeemed on the Preference Share Automatic Early Redemption Date scheduled to fall on April 19, 2017 and the redemption amount payable in respect of each Note (of the Calculation Amount) will be GBP 1,093. Scenario 2 On the Preference Share Valuation Date scheduled to fall on April 8, 2019: the Worst Preference Share Underlying Performance on each of the prior Preference Share Valuation Dates has been below the Preference Share Underlying Performance (Trigger) for each such Preference Share Valuation Date (and therefore the Notes and the Preference Shares have not early redeemed); the Worst Preference Share Underlying Performance is equal to or greater than the Preference Share Underlying Performance (Trigger) for such Preference Share Valuation Date; and the Preference Share Value Final (being the fair market value of the Preference Share on the Valuation Date falling on such Preference Share Valuation Date) is equal to the Preference Share Automatic Early Redemption Amount. The Preference Share Automatic Early Redemption Amount payable in respect of each Preference Share will be GBP 1.279. The Notes will be redeemed on the Preference Share Automatic Early Redemption Date scheduled to fall on April 15, 2019 and the redemption amount payable in respect of each Note (of the Calculation Amount) will be GBP 1,279. Scenario 3 On the Final Preference Share Valuation Date (scheduled for April 8, 2021): 5
the Worst Preference Share Underlying Performance on each of the prior Preference Share Valuation Dates has been below the Preference Share Underlying Performance (Trigger) for each such Preference Share Valuation Date(and therefore the Notes and the Preference Shares have not early redeemed); the Preference Share Underlying Level (Final) of each Preference Share Underlying is greater than or equal to its respective Preference Share Underlying Level (Last Trigger); and the Preference Share Value Final (being the fair market value of the Preference Share on the Valuation Date falling on the Final Preference Share Valuation Date) is equal to the Preference Share Redemption Amount. The Preference Share Redemption Amount payable in respect of each Preference Share will be GBP 1.465. The Notes will be redeemed on the Maturity Date, scheduled to fall on April 15, 2021, and the Final Redemption Amount payable in respect of each Note (of the Calculation Amount) will be GBP 1,465. Scenario 4 On the Final Preference Share Valuation Date (scheduled for April 8, 2021): the Worst Preference Share Underlying Performance on each of the prior Preference Share Valuation Dates has been below the Preference Share Underlying Performance (Trigger) for each such Preference Share Valuation Date (and therefore the Notes and the Preference Shares have not early redeemed); the Preference Share Underlying Level (Final) of at least one Preference Share Underlying is less than its respective Preference Share Underlying Level (Last Trigger) but the Preference Share Underlying Level (Final) of each Preference Share Underlying is greater than or equal to its respective Preference Share Underlying Level (Barrier); and the Preference Share Value Final (being the fair market value of the Preference Share on the Valuation Date falling on the Final Preference Share Valuation Date) is equal to the Preference Share Redemption Amount. The Preference Share Redemption Amount payable in respect of each Preference Share will be GBP 1. The Notes will be redeemed on the Maturity Date, scheduled to fall on April 15, 2021, and the Final Redemption Amount payable in respect of each Note (of the Calculation Amount) will be GBP 1,000. Scenario 5 On the Final Preference Share Valuation Date (scheduled for April 8, 2021): the Worst Preference Share Underlying Performance on each of the prior Preference Share Valuation Dates has been below the Preference Share Underlying Performance (Trigger) for each such Preference Share Valuation Date (and therefore the Notes and the Preference Shares have not early redeemed); the Preference Share Underlying Level (Final) of at least one Preference Share Underlying is less than its respective Preference Share Underlying Level (Barrier); the Worst Preference Share Underlying Performance is equal to 54 per cent. (54%); and the Preference Share Value Final (being the fair market value of the Preference Share on the Valuation 6
Date falling on the Final Preference Share Valuation Date) is equal to the Preference Share Redemption Amount. The Preference Share Redemption Amount payable in respect of each Preference Share will be GBP 0.54. The Notes will be redeemed on the Maturity Date, scheduled to fall on April 15, 2021, and the Final Redemption Amount payable in respect of each Note (of the Calculation Amount) will be GBP 540. If this occurs, an investor in the Notes who purchased the Notes at the Issue Price will sustain a loss of 46 per cent. (46%) of the amount invested. Scenario 6 On the Final Preference Share Valuation Date (scheduled for April 8, 2021): the Worst Preference Share Underlying Performance on each of the prior Preference Share Valuation Dates has been below the Preference Share Underlying Performance (Trigger) for each such Preference Share Valuation Date (and therefore the Notes and the Preference Shares have not early redeemed); the Preference Share Underlying Level (Final) of at least one Preference Share Underlying is less than its respective Preference Share Underlying Level (Barrier); the Worst Preference Share Underlying Performance is equal to 0 per cent. (0%); and the Preference Share Value Final (being the fair market value of the Preference Share on the Valuation Date falling on the Final Preference Share Valuation Date) is equal to the Preference Share Redemption Amount. The Preference Share Redemption Amount payable in respect of each Preference Share will be zero. The Notes will be redeemed on the Maturity Date, scheduled to fall on April 15, 2021, and the Final Redemption Amount payable in respect of each Note (of the Calculation Amount) will be zero. If this occurs, an investor in the Notes will sustain a total loss of the amount invested. 7
The Private Placement Memorandum referred to below (as completed by this Pricing Supplement) has been prepared on the basis that any offer of Notes in any Member State of the European Economic Area which has implemented the Prospectus Directive (Directive 2003/71/EC as amended, including by Directive 2010/73/EU, the "Prospectus Directive") (each, a "Relevant Member State") will be made pursuant to an exemption under the Prospectus Directive, as implemented in that Relevant Member State, from the requirement to publish a prospectus for offers of the Notes. Accordingly any person making or intending to make an offer of the Notes in that Relevant Member State may only do so in circumstances in which no obligation arises for the Issuer or any Dealer to publish a prospectus pursuant to Article 3 of the Prospectus Directive in relation to such offer. Neither the Issuer nor any Dealer has authorised, nor do they authorise, the making of any offer of Notes in any other circumstances. CONTRACTUAL TERMS Terms used herein shall be deemed to be defined as such for the purposes of the General Note Conditions set forth in the Private Placement Memorandum dated June 1, 2015 (the "Private Placement Memorandum") and the supplements to the Private Placement Memorandum listed in the section entitled "Supplements to the Private Placement Memorandum" below (and any further supplements up to, and including April 22, 2016). This document must be read in conjunction with such Private Placement Memorandum as so supplemented. Full information on the Issuer, the Guarantor and the offer of the Notes is only available on the basis of the combination of this Pricing Supplement and the Private Placement Memorandum as so supplemented. The Private Placement Memorandum and the supplements to the Private Placement Memorandum are available for viewing at www.bourse.lu and during normal business hours at the registered office of the Issuer, and copies may be obtained from the specified office of the Luxembourg Paying Agent. This Pricing Supplement is available for viewing at www.bourse.lu. 1. (i) Issuer: Goldman, Sachs & Co. Wertpapier GmbH. (ii) Guarantor: The Goldman Sachs Group, Inc. 2. (i) ISIN: XS1317229406. (ii) Common Code: 131722940. (iii) Valoren: 31498894. (iv) Tranche Number: One. (v) PIPG Tranche Number: 64998. (vi) WKN: GL6ZWA. 3. Specified Currency or Currencies: Pound Sterling ("GBP"). 4. Aggregate Nominal Amount: (i) Series: GBP 50,000,000. (ii) Tranche: GBP 50,000,000. 5. Issue Price: 100 per cent. of the Aggregate Nominal Amount. 6. Inducements, commissions and/or other fees: 0.25 per cent. (0.25%). 8
7. (i) Specified Denomination: GBP 1,000. (ii) Calculation Amount: GBP 1,000. 8. Issue Date: April 22, 2016. 9. Maturity Date: April 15, 2021, or, if later, the fifth Business Day following the Valuation Date (the "Scheduled Maturity Date"). The "Strike Date" is April 8, 2016. The postponement referred to in the definition of "Maturity Date" in General Note Condition 2(a) shall not apply. 10. Underlying Asset(s): The Preference Shares (as defined below). VALUATION PROVISIONS 11. Valuation Date: April 8, 2021. 12. Initial Valuation Date: April 8, 2016. 13. Averaging Dates: 14. Initial Averaging Date(s): INTEREST PROVISIONS 15. Interest Basis: 16. Interest Commencement Date: 17. Fixed Rate Note Conditions: 18. Floating Rate Note Conditions: 19. Zero Coupon Note Conditions: 20. Interest linked to one or more Underlying Assets Conditions: REDEMPTION PROVISIONS 21. Redemption/Payment Basis: EIS Notes. The Final Redemption Amount shall be as set out in the EIS Note Payout Condition 1, being in respect of each Note (of the Calculation Amount): Preference Share Value Calculatio n Amount Preference Share Value Final Initial 22. Redemption at the option of the Issuer: 23. Redemption at the option of Noteholders: 9
24. Automatic Early Redemption: 25. Final Redemption Amount of each Note: 26. Physical Settlement: 27. Non-scheduled Early Repayment Amount: As specified in the EIS Note Payout Conditions. SHARE LINKED NOTE / INDEX LINKED NOTE / COMMODITY LINKED NOTE / FX LINKED NOTE / INFLATION LINKED NOTE / TOTAL/EXCESS RETURN CREDIT INDEX LINKED NOTE / OTHER VARIABLE LINKED NOTE PROVISIONS 28. Type of Notes: The Notes are EIS Notes the EIS Note Payout Conditions and the Share Linked Conditions are applicable. 29. Share Linked Notes: Applicable, subject to and in accordance with the EIS Note Payout Conditions. (i) Single Share or Share Basket: Single Share. (ii) Name of Share(s): The Preference Shares see paragraph 36(ii). (iii) Exchange(s): (iv) Related Exchange(s): (v) Options Exchange: (vi) Valuation Time: (vii) Market Disruption Events: (viii) Single Share and Reference Dates Consequences of Disrupted Days: (ix) Single Share and Averaging Reference Dates Consequences of Disrupted Days: (x) Share Basket and Reference Dates Basket Valuation (Individual Scheduled Trading Day and Individual Disrupted Day): (xi) Share Basket and Averaging Reference Dates Basket Valuation (Individual Scheduled Trading Day and Individual Disrupted Day): 10
(xii) Share Basket and Reference Dates Basket Valuation (Common Scheduled Trading Day but Individual Disrupted Day): (xiii) Share Basket and Reference Dates Basket Valuation (Common Scheduled Trading Day and Common Disrupted Day): (xiv) Fallback Valuation Date: (xv) Observation Period: (xvi) Change in Law: Applicable. (xvii) Extraordinary Event Share Substitution: (xviii) Additional Disruption Events: Applicable. (xix) Correction of Share Price: (xx) Correction Cut-off Date: (xxi) Depositary Receipts Conditions: (xxii) Dividend Amount Conditions: 30. Index Linked Notes: 31. Commodity Linked Notes (Single Commodity or Commodity Basket): 32. Commodity Linked Notes (Commodity Index or Commodity Strategy): 33. FX Linked Notes: 34. Inflation Linked Notes: 35. Total/Excess Return Credit Index Linked Notes: 36. EIS Notes: Applicable. (i) Preference Share Automatic Early Redemption: Applicable. (ii) Preference Shares: Class 2016-199 S&P 500 Index, EURO STOXX 50 Index (Price EUR) and FTSE 100 Index linked Preference Shares issued by the Share Issuer (Bloomberg Code: ID 11
37. Other Variable Linked Notes: GENERAL PROVISIONS APPLICABLE TO THE NOTES GS00PSH01999 Corp). See the Annex hereto. 38. FX Disruption Event/CNY FX Disruption Event: 39. Additional Business Centre(s): TARGET. 40. Form of Notes: Registered Notes. Global Registered Note exchangeable for Individual Note Certificates in the limited circumstances described in the Global Registered Note. 41. Additional Financial Centre(s) or other special provisions relating to Payment Business Days: "Payment Business Day" means any day which is: (i) a day on which banks in the relevant place of presentation or surrender are open for presentation and payment of debt securities and for dealings in foreign currencies; and (ii) in the case of payment by transfer to an account, a day on which dealings in foreign currencies may be carried on in the Principal Financial Centre of the currency of payment and which is a TARGET Settlement Day. 42. Principal Financial Centre: As specified in General Note Condition 2(a). 43. Details relating to Instalment Notes: amount of each instalment date on which each payment is to be made: 44. Minimum Trading Number: GBP 1,000. 45. Permitted Trading Multiple: GBP 1,000. 46. Date approval for issuance of Notes obtained: 47. Other terms or special conditions: (i) The defined term "Preference Share Value Final " in section 2 of the EIS Note Payout Conditions of the Private Placement Memorandum shall be deleted in its entirety and replaced with the following: ""Preference Share Value Final " means, in relation to the applicable Preference Share, the Preference Share Value on the Valuation Date;"; and (ii) the defined term "Preference Share Valuation Date" shall be re-named "Valuation Date". 12
DISTRIBUTION 48. Method of distribution: Non-syndicated. (i) If syndicated, names and addresses of Managers and underwriting commitments: (ii) Date of Subscription Agreement: (iii) Stabilising Manager(s) (if any): (iv) If non-syndicated, name and address of Dealer: Goldman Sachs International of Peterborough Court, 133 Fleet Street, London EC4A 2BB, England. 49. U.S. Selling Restrictions: Reg. S Compliance Category 2; TEFRA not applicable. 50. Additional selling restrictions: PURPOSE OF PRICING SUPPLEMENT This Pricing Supplement comprises the pricing supplement required for issue, and admission to trading on the Luxembourg Stock Exchange's Euro MTF Market, of the Notes described herein pursuant to the Series M Programme for the issuance of Warrants, Notes and Certificates of Goldman Sachs International and Goldman, Sachs & Co. Wertpapier GmbH. RESPONSIBILITY The Issuer and the Guarantor accept responsibility for the information contained in this Pricing Supplement. To the best of the knowledge and belief of the Issuer and the Guarantor (which have taken all reasonable care to ensure that such is the case) the information contained in the Private Placement Memorandum, as completed and/or amended by this Pricing Supplement in relation to the Series of Notes referred to above, is true and accurate in all material respects and, in the context of the issue of this Series, there are no other material facts the omission of which would make any statement in such information misleading. 13
REPRESENTATION Each Holder will be deemed to have agreed that it will not offer, sell or deliver the Notes in any jurisdiction except under circumstances that will result in compliance with the applicable laws thereof, and that such Holder will take at its own expense whatever action is required to permit its purchase and resale of the Notes. Signed on behalf of Goldman, Sachs & Co. Wertpapier GmbH: By:... Duly authorised 48093760(Ver2)/Ashurst(RCG/SGUDER)/AS 14
OTHER INFORMATION LISTING AND ADMISSION TO TRADING Application will be made by the Issuer (or on its behalf) for the Notes to be listed on the Official List and admitted to trading on the Luxembourg Stock Exchange's Euro MTF market with effect from, at the earliest, the Issue Date. No assurances can be given that such application for listing and admission to trading will be granted (or, if granted, will be granted by the Issue Date). REASONS FOR THE ISSUE AND ESTIMATED NET PROCEEDS (i) Reasons for the issue: (ii) Estimated net proceeds: OPERATIONAL INFORMATION The Issuer has no duty to maintain the listing (if any) of the Notes on the relevant stock exchange(s) over their entire lifetime. Notes may be suspended from trading and/or delisted at any time in accordance with applicable rules and regulations of the relevant stock exchange(s). Any clearing system(s) other than Euroclear Bank S.A./N.V. and Clearstream Banking, société anonyme and the relevant identification number(s): Delivery: Names and addresses of additional Paying Agent(s) (if any): Operational contact(s) for Fiscal Agent: Intended to be held in a manner which would allow Eurosystem eligibility: Delivery against payment. eq-sd-operations@gs.com. No. 15
ANNEX The following is a description of the key terms of the Preference Shares. See also "EIS Notes Linked Product Supplement 3. Description of the Preference Shares" in the Private Placement Memorandum. KEY TERMS OF THE PREFERENCE SHARES Terms Title: Meanings Class 2016-199 S&P 500 Index, EURO STOXX 50 Index (Price EUR) and FTSE 100 Index linked Preference Shares. Preference Share Issue Date: April 22, 2016. Preference Share Issue Price: GBP 1. Currency: Preference Share Specified Denomination: Preference Share Underlyings: Pound Sterling ("GBP"). GBP 1 nominal amount. S&P 500 Index (Bloomberg Code: SPX<Index>; Reuters Code:.SPX) ("SPX"); EURO STOXX 50 Index (Price EUR) (Bloomberg Code: SX5E<Index>; Reuters Code:.STOXX50E) ("SX5E"); and FTSE 100 Index (Bloomberg Code: UKX<Index>; Reuters Code:.FTSE) ("UKX") each an "Index" or "Preference Share Underlying" and together, the "Indices" or "Preference Share Underlyings". Preference Share Underlying Index Sponsors: In respect of: (i) SPX, S&P Dow Jones Indices LLC; (ii) (iii) SX5E, STOXX Limited; and UKX, FTSE International Limited. Initial Preference Share Valuation Date: Preference Share Valuation Date(s)/Valuation Date(s): April 8, 2016. Each of April 10, 2017, April 9, 2018, April 8, 2019, April 8, 2020 and April 8, 2021, subject to the Preference Share Index Linked Conditions. The Preference Share Valuation Date scheduled to fall on: (i) (ii) (iii) April 10, 2017 shall be the "First Preference Share Valuation Date"; April 9, 2018 shall be the "Second Preference Share Valuation Date"; April 8, 2019 shall be the "Third Preference Share Valuation Date"; 16
(iv) (v) April 8, 2020 shall be the "Fourth Preference Share Valuation Date"; and April 8, 2021 shall be the "Final Preference Share Valuation Date". Preference Share Underlying Level: Preference Share Underlying Level (Initial): In respect of any day and any Preference Share Underlying, the official closing level of the Preference Share Underlying on such day, as calculated and published by the Preference Share Underlying Index Sponsor, and as determined by the Preference Share Calculation Agent (subject to adjustment in accordance with the Preference Share Index Linked Conditions). In respect of: (i) SPX, USD 2,047.60; (ii) SX5E, EUR 2,911.98; and (iii) UKX, GBP 6,204.41, being the Preference Share Underlying Level of the relevant Preference Share Underlying on the Initial Preference Share Valuation Date. Preference Share Underlying Level (Final): Preference Share Underlying Level (Barrier): In respect of each Preference Share Underlying, the Preference Share Underlying Level of such Preference Share Underlying on the Final Preference Share Valuation Date. In respect of: (i) SPX, USD 1,126.18; (ii) SX5E, EUR 1,601.589; and (iii) UKX, GBP 3,412.4255, being, in respect of each Preference Share Underlying, an amount equal to 55 per cent. (55%) of the Preference Share Underlying Level (Initial) of such Preference Share Underlying. Preference Share Underlying Level (Last Trigger): In respect of: (i) the SPX, USD 1,228.56; (ii) the SX5E, EUR 1,747.188; and (iii) the UKX, GBP 3,722.646, being, in respect of each Preference Share Underlying, an amount equal to 60 per cent. (60%) of the Preference Share Underlying Level (Initial) of such Preference Share Underlying. Preference Share Underlying Performance: In respect of a Preference Share Underlying (for the purposes of this definition, "Preference Share Underlying(i)") and a Preference Share Valuation Date (for the purposes of this definition, "Preference Share 17
Valuation Date(t)"), the performance of such Preference Share Underlying(i) on Preference Share Valuation Date(t), as determined by the Preference Share Calculation Agent in accordance with the following formula (expressed as a percentage): Preference Share Underlying Level(i,t) Preference Share Underlying Level (Initial)(i) Where: "Preference Share Underlying Level(i,t)" means the Preference Share Underlying Level of Preference Share Underlying(i) on Preference Share Valuation Date(t); and "Preference Share Underlying Level (Initial)(i)" means the Preference Share Underlying Level (Initial) of Preference Share Underlying(i). Worst Performing Preference Share Underlying: Worst Preference Share Underlying Performance: Preference Share Redemption Amount: In respect of a Preference Share Valuation Date, the Preference Share Underlying amongst the Preference Share Underlyings with the lowest Preference Share Underlying Performance for that Preference Share Valuation Date, as determined by the Preference Share Calculation Agent, provided that, if two or more Preference Share Underlyings have the same lowest Preference Share Underlying Performance, then the Worst Performing Preference Share Underlying shall be such Preference Share Underlying as selected by the Preference Share Calculation Agent in its discretion. In respect of a Preference Share Valuation Date, the Preference Share Underlying Performance of the Worst Performing Preference Share Underlying on that Preference Share Valuation Date. If the Preference Shares are redeemed on (a) a Preference Share Automatic Early Redemption Date, the Preference Share Automatic Early Redemption Amount, or (b) the Scheduled Preference Share Redemption Date, an amount in GBP determined by the Preference Share Calculation Agent in accordance with paragraph (i), (ii) or (iii) below (as applicable): (i) (ii) if the Preference Share Underlying Level (Final) of each of the Preference Share Underlyings is equal to or greater than its respective Preference Share Underlying Level (Last Trigger), the Preference Share Redemption Amount in respect of each Preference Share redeemed shall be GBP 1.465; if the Preference Share Underlying Level (Final) of at least one of the Preference Share Underlyings is less than its respective Preference Share Underlying Level (Last Trigger), but the Preference Share Underlying Level (Final) of each Preference Share Underlying is equal to or greater than its respective Preference Share Underlying Level (Barrier), the Preference 18
Share Redemption Amount in respect of each Preference Share redeemed shall be GBP 1.00; or (iii) if the Preference Share Underlying Level (Final) of at least one of the Preference Share Underlyings is less than its respective Preference Share Underlying Level (Barrier), the Preference Share Redemption Amount in respect of each Preference Share redeemed shall be an amount in GBP equal to the product of (a) GBP 1, multiplied by (b) the Worst Preference Share Underlying Performance for the Final Preference Share Valuation Date, where such product is rounded to the nearest fifth decimal place with GBP 0.000005 being rounded upwards). Preference Share Redemption Date/Redemption Date: Preference Share Automatic Early Redemption: Preference Share Automatic Early Redemption Event: Preference Share Underlying Performance (Trigger): April 15, 2021, or, if later, the fifth Business Day following the Final Preference Share Valuation Date (the "Scheduled Preference Share Redemption Date"), provided that, if (i) Preference Share Automatic Early Redemption is applicable and (ii) a Preference Share Automatic Early Redemption Event occurs on a Preference Share Valuation Date (other than the Final Preference Share Valuation Date), the "Preference Share Redemption Date" shall be the Preference Share Automatic Early Redemption Date falling most recently after the first Preference Share Valuation Date on which the Preference Share Automatic Early Redemption Event has occurred. Applicable. In respect of any Preference Share Valuation Date (other than the Final Preference Share Valuation Date), the Worst Preference Share Underlying Performance in respect of such Preference Share Valuation Date is greater than or equal to the Preference Share Underlying Performance (Trigger) for such Preference Share Valuation Date. In respect of: (i) the First Preference Share Valuation Date, 100 per cent. (expressed as "1.00"); (ii) (iii) (iv) the Second Preference Share Valuation Date, 90 per cent. (expressed as "0.90"); the Third Preference Share Valuation Date, 80 per cent. (expressed as "0.80"); and the Fourth Preference Share Valuation Date, 70 per cent. (expressed as "0.70"). Preference Share Automatic Early Redemption Amount: Means, in respect of: (i) the First Preference Share Automatic Early Redemption Date, GBP 1.093; 19
(ii) (iii) (iv) the Second Preference Share Automatic Early Redemption Date, GBP 1.186; the Third Preference Share Automatic Early Redemption Date, GBP 1.279; and the Fourth Preference Share Automatic Early Redemption Date, GBP 1.372. Preference Share Automatic Early Redemption Date(s): In respect of: (i) the First Preference Share Valuation Date, April 19, 2017 or, if later, the fifth Business Day following the First Preference Share Valuation Date (the "First Preference Share Automatic Early Redemption Date"); (ii) the Second Preference Share Valuation Date, April 16, 2018 or, if later, the fifth Business Day following the Second Preference Share Valuation Date (the "Second Preference Share Automatic Early Redemption Date"); (iii) (iv) the Third Preference Share Valuation Date, April 15, 2019 or, if later, the fifth Business Day following the Third Preference Share Valuation Date (the "Third Preference Share Automatic Early Redemption Date"); and the Fourth Preference Share Valuation Date, April 17, 2020 or, if later, the fifth Business Day following the Fourth Preference Share Valuation Date (the "Fourth Preference Share Automatic Early Redemption Date"). Business Day: Any day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealing in foreign exchange and foreign currency deposits) in London and which is a day on which the Trans-European Automated Real-Time Gross Settlement Express Transfer (TARGET 2) System (or any successor) is open. 20
SCHEDULE TO THE SPECIFIC TERMS AND CONDITIONS CLASS 2016-199 S&P 500 INDEX, EURO STOXX 50 INDEX (PRICE EUR) AND FTSE 100 INDEX LINKED PREFERENCE SHARES Conditions Relating to the Preference Share Underlyings (the "Preference Share Index Linked Conditions") The following provisions shall apply in respect of the Class 2016-199 S&P 500 Index, EURO STOXX 50 Index (Price EUR) and FTSE 100 Index linked Preference Shares and each Index. Capitalised terms used but not defined herein shall have the meanings given to them in the Specific Terms and Conditions. For the purpose of this Schedule, "Common Basket Index" shall mean each of the Preference Share Underlyings and "Common Basket Indices" means the Preference Share Underlyings. 1. Consequences of Non-Scheduled Trading Days and/or Disrupted Days If the Preference Share Calculation Agent determines that any Scheduled Preference Share Valuation Date or the Scheduled Initial Preference Share Valuation Date, as the case may be, is not a Scheduled Trading Day for any Common Basket Index or is a Disrupted Day for any Common Basket Index, then the relevant Preference Share Valuation Date or Initial Preference Share Valuation Date, as the case may be, for each Common Basket Index shall be the earliest day (such day, the "Postponed Valuation Date") of (i) the first succeeding Common Scheduled Trading Day that the Preference Share Calculation Agent determines is not a Disrupted Day for any Common Basket Index, and (ii) the day falling on the last consecutive Common Scheduled Trading Day equal in number to the Maximum Days of Disruption immediately following the Scheduled Preference Share Valuation Date or the Scheduled Initial Preference Share Valuation Date, as the case may be. In that case: (a) (b) (c) the Postponed Valuation Date shall be deemed to be the relevant Preference Share Valuation Date or Initial Preference Share Valuation Date, as the case may be, notwithstanding that such day (in the case of adjustment pursuant to paragraph (ii) above) may be a Disrupted Day for one or more Common Basket Indices (each such Common Basket Index for which the Postponed Valuation Date is a Disrupted Day being an "Affected Common Basket Index" for such Preference Share Valuation Date or Initial Preference Share Valuation Date, as the case may be); for each Common Basket Index other than an Affected Common Basket Index, the relevant Preference Share Underlying Level shall be determined by reference to the relevant screen pages by the Preference Share Calculation Agent at the applicable Valuation Time on the Postponed Valuation Date; and for each Affected Common Basket Index, the Preference Share Calculation Agent shall determine the Preference Share Underlying Level of such Affected Common Basket Index as of the relevant Valuation Time on the Postponed Valuation Date in accordance with the formula for and method of, calculating such Affected Common Basket Index last in effect prior to the occurrence of the first Disrupted Day (or non-scheduled Trading Day, as applicable) for such Affected Common Basket Index, using the Exchange traded or quoted price as of the relevant Valuation Time on the Postponed Valuation Date of each Component comprised in such Index (or, if an event giving rise to a Share Disrupted Day has occurred in respect of any relevant Component on the Postponed Valuation Date, its good faith estimate of the value for the relevant Component as of the relevant Valuation Time on the Postponed Valuation Date) (and such determination by the Preference Share Calculation Agent pursuant to this paragraph (c) shall be deemed to be the Preference Share Underlying Level for the relevant Affected Common Basket Index in respect of the relevant Preference Share Valuation Date or Initial Preference Share Valuation Date, as the case may be). 2. Adjustments to an Index 21
(i) Adjustments to Index (a) (b) If an Index is (I) not calculated and announced by the Index Sponsor but is calculated and announced by a successor sponsor acceptable to the Preference Share Calculation Agent (the "Successor Index Sponsor"), or (II) replaced by a successor index using, in the determination of the Preference Share Calculation Agent, the same or a substantially similar formula for and method of calculation as used in the calculation of that Index, then that Index (the "Successor Index") will be deemed to be the relevant Index. The Preference Share Calculation Agent shall make such adjustment(s) that it determines, in its sole and absolute discretion, to be appropriate, if any, to any variable, calculation methodology, valuation, settlement, payment terms or any other terms in respect of the Preference Shares to account for such replacement. If (I) on or prior to any Preference Share Valuation Date or other relevant date, as the case may be, the Index Sponsor or (if applicable) Successor Index Sponsor announces that it will make a material change in the formula for or the method of calculating an Index or in any other way materially modifies an Index (other than a modification prescribed in the formula or method to maintain such Index in the event of changes in constituent stock and capitalisation and other routine events) (an "Index Modification") or permanently cancels an Index and no Successor Index exists (an "Index Cancellation") or (II) on any Preference Share Valuation Date or other relevant date, as the case may be, the Index Sponsor or (if applicable) Successor Index Sponsor does not calculate and announce the Index (provided that, in respect of the SX5E, the Preference Share Calculation Agent may, in its sole discretion, determine that such event instead results in the occurrence of a Disrupted Day) (an "Index Disruption", and together with an Index Modification and an Index Cancellation, each an "Index Adjustment Event"), then the Preference Share Calculation Agent shall determine if such Index Adjustment Event has a material effect on the value of the Preference Shares and, if so, shall calculate the relevant Preference Share Redemption Amount using, in lieu of a published level for such Index, the level for such Index as at the relevant date as determined by the Preference Share Calculation Agent in its sole and absolute discretion in accordance with the formula for and method of calculating the Index last in effect prior to that change, failure or cancellation, but using only those Components that comprised such Index immediately prior to that Index Adjustment Event. (ii) Correction of Index Levels In the event that any price or level published by the Index Sponsor on any date and which is utilised for any calculation or determination is subsequently corrected and the correction is published by the Index Sponsor within one Settlement Cycle after the original publication and in any event, on or before the next following Correction Cut-off Date, the Preference Share Calculation Agent will determine the amount that is payable or deliverable as a result of that correction, and, to the extent necessary, will adjust any relevant terms of the Preference Shares to account for such correction and will notify the Holders thereof (such event, an "Index Correction Event"). 3. Definitions relevant to Market Disruption Events (i) Common Scheduled Trading Day A day which is a Scheduled Trading Day for all Common Basket Indices. (ii) Disrupted Day In respect of: (a) (b) the SPX and the UKX, any Scheduled Trading Day on which (I) a relevant Exchange or any Related Exchange fails to open for trading during its regular trading session or (II) a Market Disruption Event has occurred; and the SX5E, any Scheduled Trading Day on which (I) the Index Sponsor fails to publish the level of the Index (provided that the Preference Share Calculation Agent 22
(iii) Early Closure In respect of: may, in its discretion, determine that such event instead results in the occurrence of an Index Disruption), (II) the Related Exchange fails to open for trading during its regular trading session or (III) a Market Disruption Event has occurred. (a) (b) the SPX and the UKX, the closure on any Exchange Business Day of any relevant Exchange relating to Components that comprise 20 per cent. or more of the level of the relevant Index or any Related Exchange prior to its Scheduled Closing Time, unless such earlier closing time is announced by such Exchange or Related Exchange at least one-hour prior to the earlier of (I) the actual closing time for the regular trading session on such Exchange or Related Exchange on such Exchange Business Day and (II) the submission deadline for orders to be entered into the Exchange or Related Exchange system for execution at the Valuation Time on such Exchange Business Day; and the SX5E, the closure on any Exchange Business Day with respect to such Index of the Exchange in respect of any Component, or the Related Exchange, prior to its Scheduled Closing Time unless such earlier closing time is announced by such Exchange or Related Exchange at least one-hour prior to the earlier of (I) the actual closing time for the regular trading session on such Exchange or Related Exchange (as the case may be) on such Exchange Business Day and (II) the submission deadline for orders to be entered into such Exchange or Related Exchange system for execution as at the relevant Valuation Time on such Exchange Business Day. (iv) Exchange In respect of: (a) (b) (c) the SPX, each of the New York Stock Exchange and the NASDAQ Stock Market LLC; the SX5E, each exchange on which any Component of such Index is, in the determination of the Preference Share Calculation Agent, principally traded; and the UKX, the London Stock Exchange, (v) Exchange Business Day In respect of: or any successor to such Exchange or quotation system or any substitute exchange or quotation system to which trading in the Components underlying such Index has temporarily relocated (provided that the Preference Share Calculation Agent has determined that there is comparable liquidity relative to the Components underlying such Index on such temporary substitute exchange or quotation system as on the original Exchange). (a) the SPX and the UKX, any Scheduled Trading Day on which each Exchange and each Related Exchange for such Index are open for trading during their respective 23