CUBE DUAL TRIGGER FTSE BOOSTED KICK OUT NOVEMBER 2020 THE NEW SHAPE OF STRUCTURED INVESTMENTS A 6 year investment dependent on the performance of the Class 2014-76 FTSE 100 Index Linked Preference Share Kicks out each year from the second anniversary of the Investment Start Date if the Index is at or above 100% of the Initial Index Level Potential Return of 18% after year two, increasing by 6% per year thereafter (not compounded) Defensive Dual Trigger feature: pays a return of 42% if the Index is at or above 100% of the Initial Index Level or, failing that, 18% if after six years the Index is at or above 85% of its Initial Index Level If the note has not kicked out and the final index level is below 60% of its initial level then you will lose some or all your invested capital You are exposed to the risk that Goldman Sachs defaults This is a Structured Capital At Risk product. This means that you could lose some or all of your investment.
DUAL TRIGGER F TSE BOOSTED KICK OUT NOVEMBER 2020 CUBE PRODUCTS
WARNING - MUST READ You should take the time to read the whole of this brochure and check your understanding with your financial advisor before making any investment. You should read this brochure carefully and keep it safe for future reference. This brochure is an advertisement. It is not a prospectus or final terms, which are more detailed documents. You can get the final terms from the CUBE website, www.cubeinvesting.com, or your financial advisor. The issuer s prospectus is available from us upon request, by emailing info@cubeinvesting.com CUBE is a trading name of CET Capital Limited. CUBE is an independent structured product company. We are responsible for the design, testing and distribution of structured products. This investment puts your capital at risk and you could lose some or all of your investment. We strongly recommend that you seek independent financial advice before deciding to invest in this Note, to ensure it is right for your needs. To see the risks associated with investing in this Note, please refer to page 18. The investments are securities called Notes and the Issuer is not a UK bank. Therefore, if the Issuer fails to pay any amount due in respect of the Notes or becomes insolvent you will not be able to claim compensation under the Financial Services Compensation Scheme in respect of their failure to pay any amounts due in respect of the Notes. The Notes are dependent on to the performance of preference shares issued by Goldman Sachs (Cayman) Limited. The Notes are issued by Goldman, Sachs& Co. Wertpapier GmbH and guaranteed by The Goldman Sachs Group, Inc. The Notes are linked to the performance of the Class 2014-76 FTSE 100 Index linked Preference Shares which are issued by Goldman Sachs (Cayman) Limited. This means that receiving your initial investment plus any return is dependent on The Goldman Sachs Group, Inc. and/ or Goldman Sachs (Cayman) Limited paying back the amounts due under its obligations under the Notes and preference shares and should Goldman Sachs default, CET Capital Limited will have no obligation to pay. All returns, unless otherwise stated, are gross. CUBE will not sell the investment directly to you, and so there is no application form to buy our products. Your financial advisor, broker or fund manager will be able to buy these products for you. The information within this brochure does not constitute legal, tax or financial advice. Neither CET Capital Limited nor Goldman Sachs has given any such advice. CUBE PRODUCTS DUAL TRIGGER FTSE BOOSTED KICK OUT NOVEMBER 2020 3
INTRODUCTION This brochure describes the features of the CUBE Dual Trigger FTSE Boosted Kick Out November 2020 Note ( the Note ). You should read and understand this document in full, as it will tell you what type of investment you are buying, the potential Return you can achieve, and the risks you are exposed to. This document is not intended to replace advice, and we strongly recommend that you speak with a financial adviser before making a decision to invest. All of the Returns described in this brochure are expressed as a percentage of the Issue Price ( 1.00). If the price that you pay for the Note is greater or less than the Issue Price the Returns that you receive will be less or more than the percentage described. Your financial adviser can give you more information about how making a purchase at a price that is greater to or less than the Issue Price will affect your Return and capital repayment. You should note that if you purchase the Note outside of the Pre-strike Offer Period and pay more than the Issue Price and the Note matures at the Issue Price you would have lost some of your capital. This investment may not be offered or sold in the United States or to, or for the account or benefit of a U.S. resident or U.S. Person (as defined by the Securities Act 1993). Any marketing or distribution to U.S. residents or U.S. Persons is strictly forbidden under the terms and conditions of this investment and the underlying Securities of the investment. Neither this document nor any copy of it may be taken or transmitted into the United Sates or to a U.S. Person. This document does not represent any offer to, or solicitation of, any U.S. resident or U.S. Person. This brochure is issued and approved by CET Capital Limited, authorised and regulated by the Financial Conduct Authority of 25 North Colonnade, Canary Wharf, London E14 5HS (reference number 446267). The Financial Conduct Authority is the independent financial services regulator in the UK. It requires us to give you this important information to help you decide whether the CUBE Dual Trigger FTSE Boosted Kick Out November 2020 Note is right for you. You should read this document carefully so that you understand what you are buying and then keep it safe for future reference. 4 DUAL TRIGGER F TSE BOOSTED KICK OUT NOVEMBER 2020 CUBE PRODUCTS
CONTENTS KEY TERMS YOU WILL COME ACROSS IN THIS BROCHURE 6 ROLES AND RESPONSIBILITIES 7 IS IT THE RIGHT INVESTMENT FOR YOU? 8 WHAT IS THE UNDERLYING INDEX? 10 HOW DOES THE NOTE WORK? 11 SCENARIO ANALYSIS 12 POTENTIAL NOTE PERFORMANCE 13 HOW DOES THE INVESTMENT COMPARE? 15 THE COUNTERPARTY 17 WHAT ARE THE RISKS? 18 WHAT TO DO IF YOU HAVE A COMPLAINT 20 WHO CAN INVEST? 20 WHICH TAX WRAPPERS CAN I USE TO HOLD THE NOTE? 20 INVESTOR CHECKLIST 21 HOW TO BUY 22 CUBE PRODUCTS DUAL TRIGGER FTSE BOOSTED KICK OUT NOVEMBER 2020 5
KEY TERMS YOU WILL COME ACROSS IN THIS BROCHURE TERM Note Issuer/Counterparty DESCRIPTION CUBE Dual Trigger FTSE Boosted Kick Out November 2020 Note Goldman, Sachs & Co. Wertpapier GmbH (the Issuer) which is a wholly owned subsidiary of The Goldman Sachs Group, Inc. (the Guarantor) Underlying Assets This Notes are dependent on the performance of Class 2014-76 FTSE 100 Index linked Preference Shares issued by Goldman Sachs (Cayman) Limited ISIN XS1012975782 Issue Price per Note / Face Value 1.00 Offer Price Minimum Investment Issue Price. This excludes any fees you may pay to your investment platform or financial adviser; please see page 22 for more information 1,000 and in multiples of 1.00 thereafter Pre-strike Offer Period From 15th October 2014 to 24th November 2014 This period is subject to early closing at the discretion of Cube and the Issuer Underlying Index Initial Index Level Final Index Level Repayment at maturity FTSE 100 INDEX The closing level of the Underlying Index on the Investment Start Date The closing value of the Underlying Index on the Investment End Date A Return will be paid and the Note will mature early if, on any of the Kick Out Dates, the Underlying Index is at or above the Kick Out Level as defined for that date. If the Note has not matured early throughout the term, a potential Return will depend on whether the Underlying Index is at or above either of the final Kick Out Levels(being 100% and 85% of the Initial Index Level). If the note has not matured early throughout the term, and the Underlying Index is below 60% of the Initial Index Level on the final Kick Out Date, you may lose some or all of your investment. Kick Out Dates / Kick Out Levels / Return Kick Out Date Kick Out Level (as a % of Initial Index level) Return 24th November 2016 100% 18% 24th November 2017 100% 24% 26th November 2018 100% 30% 25th November 2019 100% 36% 24th November 2020 100% 42% 24th November 2020 85% 18% Protection Barrier 60% of the Initial Index Level Investment Start Date 24th November 2014 Investment End Date 24th November 2020 Maturity date 1st December 2020 Tax treatment Fees It is expected that any gains or losses will be subject to Capital Gains Tax for UK tax purposes. The tax treatment depends on your personal circumstances and may change in the future CUBE receives a fee of 1% per Note, which is built into the terms of the Note and will not affect the Return you receive 6 DUAL TRIGGER F TSE BOOSTED KICK OUT NOVEMBER 2020 CUBE PRODUCTS
ROLES AND RESPONSIBILITIES WHO IS GOLDMAN SACHS AND WHAT IS ITS ROLE IN THIS INVESTMENT? The Notes are issued by Goldman, Sachs & Co. Wertpapier GmbH (the Issuer ) and guaranteed by The Goldman Sachs Group, Inc. (the Guarantor ). The Guarantee relates to the payment obligations of the Issuer arising under the Notes only. Consequently, if the amount of those obligations is reduced, then so is the amount guaranteed. The return on the Notes are dependent on the performance of the Class 2014-76 FTSE 100 Index linked Preference Shares which are issued by Goldman Sachs (Cayman) Limited (the Preference Share Issuer ). WHO IS CUBE AND WHAT IS ITS ROLE IN THIS INVESTMENT? CUBE is a trading name of CET Capital Limited. CUBE is an independent structured product company. We are responsible for the design, testing and distribution of structured products. CUBE receives a fee from Goldman Sachs for the services it provides in connection of this investment. Cube takes responsibilities for marketing materials. While the return on the Notes is expected to track the returns on the Preference Shares and the FTSE 100 Index, the Issuer and the Guarantor of the Notes could fail or otherwise be unable to make the payments owing under the Notes. If that happens, you do not have the protection of any deposit insurance scheme and your investment will not be secured, and you may lose some or all of your money. Both the Preference Share Issuer and the counterparty under the transaction which will fund the payout on the Preference Shares are affiliates of the Issuer and the Guarantor. Investors in the Securities will therefore also be exposed to Goldman Sachs credit risk at the level of the Note and the Preference Share. This counterparty risk may result in a divergence from the returns you would have received had you invested in a Note solely linked to the FTSE 100 Index, or in the FTSE 100 Index directly. For further information on each of the Goldman Sachs entities please see the section entitled THE COUNTERPARTY below. CUBE PRODUCTS DUAL TRIGGER FTSE BOOSTED KICK OUT NOVEMBER 2020 7
IS IT THE RIGHT INVESTMENT FOR YOU? The information on these pages has not been based on a consideration of any individual client circumstances and as such should not be considered to be a personal recommendation. If you are in any doubt as to whether the Note is suitable for you, you should consult your financial adviser. This investment is a Note and is effectively a loan to the issuer. Your money will not be invested in an index or a preference share. The note is not linked directly to an index but rather to preference shares whose value is linked to an index and therefore you will not have any rights in the index or the preference share (including any dividends). The Note has been developed to meet the needs of investors who want a high chance of a positive return, and the return of their initial investment. Investors should be prepared to accept a high level of risk and the potential loss of up to all of their investment. If you invest in this note you should be aware that although the risk of losing part or all of your capital is less than an investment in a FTSE Tracker Fund, when there is a loss, the loss will be significant. Investors also need to consider the risk that the Issuer and/or the Preference Share Issuer defaults. This increases the overall risk profile of the Note. If you are looking to invest, you should check that the following page describes your attitude to risk, the sort of investment you are looking for and your investment outlook, otherwise you should not consider this investment. We also recommend that you speak to a financial adviser who can assess the suitability of this product to your own individual circumstances. This investment is specifically designed for investors who are either receiving advice, or who are experienced retail investors. This means that you should only invest on the basis that advice has been given, or that you can confirm that you have the necessary knowledge and experience required to invest in the Note. RISK SCORE : MEDIUM TYPICALLY LOWER REWARDS LOWER RISK TYPICALLY HIGHER REWARDS HIGHER RISK 1 2 3 4 5 6 7 0% 5% 10% 15% 20% 25% 30% Source: CUBE, 24th September 2014 VOLATILITY The Note is rated 5.1 on the Simulated Risk and Reward Indicator (SRRI) used by UCITS funds. The Risk Score provided above is based on the volatility of returns (being a statistical measure of the variety of returns for a given instrument) and is at the low end of the Medium range. This means it is most suited to you if you are willing to take on a medium degree of investment risk in order to achieve potentially greater Returns. The score is calculated using simulated data for the Underlying Index. This simulation may not be a reliable indicator of the future performance of the Note. The Risk Score of the Note may change over time. For example, if the level of the Underlying Index increases the risk score may fall, and if the level of the Underlying Index falls the risk score may rise. The actual Risk Score in the future will depend on market conditions at that time. The Risk Score is a way of showing broadly the risk of investing in the Note, but does not take account of all risks (for example, it does not take into consideration the risk of the Issuer or Counterparty defaulting). Please see page 18 for a list of key investment risks you need to be aware of. 8 DUAL TRIGGER F TSE BOOSTED KICK OUT NOVEMBER 2020 CUBE PRODUCTS
THE SRRI INDICATOR The SRRI used to calculate the Risk Score for the Notes is a scale based on the volatility of a fund; we are using the same scale to illustrate the volatility of the Note. A higher volatility means there is greater uncertainty about the size of the changes in a fund s value and therefore a higher risk to an investment. This means that the price of the fund can change dramatically over a short time period in either direction. A lower volatility means that a fund s value does not fluctuate dramatically, but changes in value at a steady pace over a period of time. The table above (page 8) shows the mapping between the volatility and the SRRI value. RETURN SCORE: MEDIUM The overall average simulated Return is 5.2% per annum; this is a Medium Return score. You should note that the actual return that you would receive if you invested in the Note depend on the performance of the Underlying Index through the term, and the price that you paid for the Note. This is an average of the range of returns that you may receive. VERY LOW LOW MEDIUM HIGH VERY HIGH 0% 2% 4% 6% 8% 10% SIMULATED AVERAGE RETURN INVESTMENT OBJECTIVE: RETURN The Note is designed to offer a predefined return rather than one linked to the performance of the Underlying Index. This return will also be paid when the Note matures, not as an income stream during the Note s term. GROWTH RETURN INCOME INVESTMENT OUTLOOK: SLIGHTLY NEGATIVE TO SLIGHTLY POSITIVE The Note offers a chance of a positive return over a wide range of possible market scenarios and so may suit you if you have no strong view one way or another on how the Underlying Index will perform. The Note may be suitable for you if you think that the Underlying Index is likely to offer relatively limited returns over the investment term (i.e., it will not appreciate by more than the defined return on offer), and that there is little chance of a significant fall in the level of the Index. The Note will offer a positive return even in the event that VERY NEGATIVE SLIGHTLY NEGATIVE NEUTRAL SLIGHTLY POSITIVE VERY POSITIVE the index falls by an amount of up to 15%, however if you think that there could be a large fall in the value of the Underlying Index you may want to consider an investment with no exposure to the Underlying Index at all. Similarly, if you think the Underlying Index will grow by more than the return on offer from this Note, you might want to consider an investment that offers direct exposure to the Underlying Index. COMPLEXITY: HIGH There are a number of features in the way that the Return is calculated which mean that the Note is more suitable for investors who have some financial knowledge, perhaps having invested in funds or structured products in the past, and/or are in receipt of professional financial advice. It will not be suitable for you if you do not understand how the Note works. VERY LOW LOW MEDIUM HIGH VERY HIGH CUBE PRODUCTS DUAL TRIGGER FTSE BOOSTED KICK OUT NOVEMBER 2020 9
WHAT IS THE UNDERLYING INDEX? The FTSE 100 Index is comprised of shares from the 100 largest companies traded on the London Stock Exchange. It is a widely used benchmark for UK equity performance. The index is a market-capitalisation weighted, meaning that the shares of larger companies contribute more to the overall performance of the index than those of the smaller companies. The index is a capital growth index, meaning that it only measures the performance of share prices and do not include any income from dividends. The level for the FTSE 100 Index is published throughout each day and can be found on www.bloomberg.com together with more information on the Index. Investment products such as the Notes linked to an Index are not sponsored, sold or promoted by any relevant index provider and no index provider makes any warranty or representation express or implied as to the results to be obtained from the use of the index in connection with such investment products. No index provider will be liable (whether in negligence or otherwise) to any person for any error in the relevant index and is under no obligation to advise any person or any such error The below chart shows the historical performance of the Underlying Index, from January 1993 to September 2014. PERFORMANCE OF THE FTSE 100 125 100 75 50 LEVEL 25 1993 1998 2003 2008 2013 DATE FTSE 100 Index Source: Investment Product Research Ltd, 12th September 2014. The graph above shows the past performance of the Underlying Index from January 1993 to 12th September 2014. The performance of all Index has been rebased to 100 as of the date of this document. Past performance is not a reliable indicator of future results and should not be relied upon to make investment decisions. 10 DUAL TRIGGER F TSE BOOSTED KICK OUT NOVEMBER 2020 CUBE PRODUCTS
HOW DOES THE NOTE WORK? The Note offers a number of opportunities for you to receive a growth return plus the repayment of 1.00 for each Note you hold. Whether or not you receive a fixed return will depend on the value of the Preference Shares (as determined by reference to the Underlying Index) on the following Kick Out Dates: 24th November 2016, 24th November 2017, 26th November 2018, 25th November 2019 and 24th November 2020. If the Notes do not Kick Out, the value of the Preference Shares on 24 November 2020 (AS DETERMINED BY REFERENCE TO THE UNDERLYING INDEX) will be used to determine whether or not you receive a Return OR NOT, or whether you will lose some or all of your investment. On each Kick Out Date, the closing level of the Underlying Index will be measured and compared against its Initial Index Level: F F On the first Kick Out Date (24th November 2016), if the Underlying Index closes at or above 100% of the Initial Index Level, the Note will mature and you will receive a Return of 18% (9% for each year the Note has been held) together with the repayment of the Face Value. (Equivalent to a compounded return of 8.6% per annum). Otherwise, if the Note continues to the second Kick Out Date (24th November 2017). On this date, if the Underlying Index closes at or above 100% of the Initial Index Level, the Note will mature at Face Value plus you will receive a return of 24% (equivalent to a compounded return of 7.4% per annum). On the Final Kick Out Date (24th November 2020), there are four possible scenarios: If the Underlying Index closes at or above 100% of its Initial Index Level, the Note will mature at Face Value plus you will receive a Return of 42% (equivalent to a compounded return of 6% per annum); or failing that If the Underlying Index closes at or above 85% of its Initial Index Level, the Note will mature at Face Value plus you will receive a lesser Return of 18% (equivalent to a compound return of 2.8% per annum); or failing that If the Underlying Index closes at or above 60% of the Initial Index Level the Note will mature and you will receive back the Face Value but you will not receive any Return; or failing that If the Underlying Index closes below 60% of its Initial Index Level you will receive no Return and less than Face Value. You will receive Face Value reduced by the percentage fall in the Underlying Index from its Initial Index Level. For example, if the Underlying Index had fallen to 50% of its Initial Index Level you would receive back only 50% of Face Value. You could lose some or all of your investment. The diagram on the next page shows the different scenarios on each Kick Out Date. If the Note continues to the third Kick Out Date (26th November 2018). On this date, if the Underlying Index closes at or above 100% of the Initial Index Level, the Note will mature at Face Value plus you will receive a return of 30% (equivalent to a compounded return of 6.8% per annum). If the Note continues to the fourth Kick Out Date (25th November 2019). On this date, if the Underlying Index closes at or above 100% of the Initial Index Level, the Note will mature at Face Value plus you will receive a return of 36% (equivalent to a compounded return of 6.3% per annum). CUBE PRODUCTS DUAL TRIGGER FTSE BOOSTED KICK OUT NOVEMBER 2020 11
SCENARIO ANALYSIS Assuming 1,000 invested at an Issue Price of 1.00 per Note: KICK OUT DATE SCENARIO OUTCOME (EXPECTED PROBABILITY ANNUALISED RETURN) 24th Nov 2016 The Index closes at or above 100% of the Initial Index Level YES Note matures at a value of 118% (8.6% p.a.) You will receive 1,180 62.3% NO 24th Nov 2017 The Index closes at or above 100% of the Initial Index Level YES Note matures at a value of 124% (7.4% p.a.) You will receive 1,240 10.5% NO 26th Nov 2018 The Index closes at or above 100% of the Initial Index Level YES Note matures at a value of 130% (6.8% p.a.) You will receive 1,300 5.7% NO 25th Nov 2019 The Index closes at or above 100% of the Initial Index Level YES Note matures at a value of 136% (6.3% p.a.) You will receive 1,360 3.8% NO 24th Nov 2020 The Index closes at or above 100% of the Initial Index Level YES Note matures at a value of 142% (6.0% p.a.) You will receive 1,420 2.7% NO The Index closes at or above 85% of the Initial Index Level YES Note matures at a value of 118% (2.8% p.a.) You will receive 1,180 3.4% NO The Index closes at or above 60% of the Initial Index Level YES Note matures at Face Value (0.0% p.a.) You will receive 1,000 7.8% NO Note matures at Face Value less the performance of the Underlying Index. For 1,000 invested you will receive back an amount of less than 600 and could lose up to the full amount of your investment 3.8% Source: Investment Product Research Ltd, 24th September 2014. Probabilities and expected annualised returns for each scenario are calculated based on stress-tested performance of the Underlying Index, and assume that there has been no default by the Counterparty. 12 DUAL TRIGGER F TSE BOOSTED KICK OUT NOVEMBER 2020 CUBE PRODUCTS
POTENTIAL NOTE PERFORMANCE HOW DO WE TEST PRODUCTS? To calculate what possible Return the Note may offer and the risks you face IPR simulate how the Underlying Index may perform in the future (based on how the Index has performed in the past). IPR use these simulations to see what the maturity value of the Notes would be. IPR calculate how often the Notes would have matured at more than 100%, how often the Notes mature at 100% and how often the Notes mature at less than 100%. For each simulated investment IPR record the maturity value of the Note. IPR use this analysis to calculate the average Return that you may receive, and the risk that you face. The risk and Return numbers that we calculate should be only used as a guide. The actual performance of the Notes will depend on how the Underlying Index actually performs and could be substantially higher or lower than IPR have calculated. You are strongly encouraged to take professional advice to help you determine if the possible Returns offered by the Note and the risks you face mean that the Note is suitable and appropriate for you. We simulate the performance of the Underlying Index because this is what is used to determine the value of the Preference Shares to which the Notes are linked. SIMULATED PERFORMANCE Our research is conducted for us by investmentproductresearch.com (IPR). IPR are independent of CUBE. We have commissioned IPR to test the performance of the Note. IPR performed the analysis that we have used in this brochure as at 24th September 2014. The past performance of the index is not a reliable indicator of future performance and should not be relied on to make investment decisions. IPR simulate how the Underlying Index may perform in the future based on the distribution of daily returns of the Underlying Index since the start of 1993. The simulated index performance created by IPR is sufficient to evaluate about eight million hypothetical investment scenarios. You should note that the distribution of daily returns since 1993 might not be a reliable basis to use to simulate the possible future performance of the Underlying Index. The IPR analysis does not take into account the possibility that the Issuer may default. If the Issuer defaults you will lose some or all of your money regardless of the performance of the Underlying Index. We publish more information about how IPR simulates the performance of the Underlying Index at www.cubeinvesting.com CUBE PRODUCTS DUAL TRIGGER FTSE BOOSTED KICK OUT NOVEMBER 2020 13
WHAT ARE THE RESULTS OF OUR TESTING? Our simulations suggest that: There is an 88.4% chance that the Note will kick out at some stage up to and including the Final Kick Out Date, and so the maturity value will be more than Face Value. The average return of the Note if it Kicks Out is 7.4% per annum. SIMULATED OUTCOME PROBABILITY REDEMPTION AT FACE VALUE : 7.8% PROBABILITY OF LOSS : 3.8% There is a 7.8% chance that the Note will mature at Face Value. There is a 3.8% chance that the Note will be worth less than Face Value at maturity. If the note matures at less than Face Value the average payoff is 50.1%. You should note that this is an average value, and the actual value of the Note could be much less than this and could be zero. PROBABILITY OF GAIN : 88.4% The above analysis assumes that the Note has been purchased at the Issue Price of 1.00. You should also note that this analysis describes the maturity value of the note. The return you receive will depend on when you bought the Note and the price that you paid for the Note. 14 DUAL TRIGGER F TSE BOOSTED KICK OUT NOVEMBER 2020 CUBE PRODUCTS
HOW DOES THE INVESTMENT COMPARE? HOW DOES THE SIMULATED PERFORMANCE OF THE NOTE COMPARE TO OTHER INVESTMENTS? Overall the average simulated return of the Note is 5.2% per annum. This is the average annualised Return across the full range of outcomes described on the previous page. The actual Return you achieve could be higher, or significantly lower than this, and you could lose up to all of your investment. You should compare the average simulated return, with the return available from other products such as fixed rate savings accounts and equity-linked funds. You should also be aware of the range of returns that you may receive from this Note. The scenarios shown are based on the Note being purchased at 1.00. If the price that you pay for the Note is higher than 1.00 the simulated annualised returns from the Note will be lower. ALTERNATIVE STRESS TESTING METHODS There are a number of different ways that it is possible to estimate what returns a product may offer in the future, and other methods will give different estimates to both the chance of gain and loss and the scale of any gain and loss. COMPARISON WITH FIXED RATE SAVINGS Please see some examples of fixed rate savings account rates in the table opposite. Whilst the simulated return from the Note is higher in all instances, you need to understand that this Return is not a guaranteed Return like that available form a fixed-rate savings account. There is also the risk that you could lose some or all of your investment in the Notes and, unlike a fixed rate savings account, the Notes are not covered by the Financial Services Compensation Scheme. FIXED RATE SAVINGS ACCOUNT BEST RATE ANNUALISED RETURN 1-YEAR 2.02% 2-YEAR 2.50% 3-YEAR 2.85% 5-YEAR 3.25% Source; Moneysupermarket.com. 24th September 2014. These rates will change over time you should check the best rates available when making the decision to invest Historical Analysis: An analysis of the performance of the Note using the actual performance of the Underlying Index since the start of 1993 would show that the average return was 6.6%, that there was no instance where the maturity value would have been less than the Face Value, and the note would have matured at more than the Face value on 97.4% of the possible start dates. You should note however that past performance is no guide to future performance. Source: Investment Product Research Ltd, 24th September 2014. Investors should note however that past performance is not indicative of future performance. CUBE PRODUCTS DUAL TRIGGER FTSE BOOSTED KICK OUT NOVEMBER 2020 15
COMPARISON WITH FUNDS Both an equity linked fund and the Note will offer a range of Returns in the future. In order to compare the risk and Return of the Note with a fund, IPR simulated the performance of a FTSE 100 Index Tracker Fund using the same simulated index performance that they use to test the performance of the Note. COMPARED TO A FTSE 100 TRACKER FUND The Note has a lower expected return. The results of our simulations show that the simulated average annualised return of the Note is lower than that of a FTSE 100 Tracker Fund, but there is a greater chance that the Note will offer a positive performance or return your initial investment than the Fund. Looking at the risk measures the Note is less risky than the FTSE 100 Tracker Fund in the following ways: The volatility of returns (being a statistical measure of the RANGE of returns for a given instrument) that you are exposed to from the Note is lower than the volatility of the Fund. The average of the worst 10% of simulated scenarios is lower than the corresponding average for the benchmark fund, so by this measure the Note is less risky than the benchmark fund. The chance of losing your initial investment in the Note is lower than the chance of losing it in the benchmark fund. NOTE FTSE TRACKER FUND SIMULATED ANNUALISED RETURN 4.7% 8.6% PROBABILITY OF A GAIN OR A RETURN OF THE INITIAL INVESTMENT 96.2% 80.5% PROBABILITY OF SUERING A LOSS 3.8% 19.5% VOLATILITY 10.6% 18.9% AVERAGE OF THE WORST 10% OF SIMULATED INVESTMENTS -4.2% -6.5% Source; Investmentproductresearch.com, 24th September 2014 The figures assume a purchase price of 1.00 for the Note. The analysis is based on possible changes in the level of the Underlying Index only, and is not intended as a guide. The actual Returns achieved by the Note and its underlying preference shares as well as the benchmark fund may be greater or less than these values. 16 DUAL TRIGGER F TSE BOOSTED KICK OUT NOVEMBER 2020 CUBE PRODUCTS
THE COUNTERPARTY GOLDMAN SACHS The Notes will be issued by Goldman, Sachs & Co. Wertpapier GmbH, and are guaranteed by The Goldman Sachs Group, Inc. The Notes are linked to the performance of the Class 2014-76 FTSE 100 Index linked Preference Shares issued by Goldman Sachs (Cayman) Limited. Therefore the return of your capital and the payment of any returns as described in this brochure are subject to the continued solvency of the Goldman Sachs Group, Inc. and Goldman Sachs Cayman (Limited). Goldman Sachs & Co. Wertpapier GmbH was established under the laws of the Federal Republic of Germany. It is a company of limited liability and was established for the purpose of issuing securities, in particular warrants and also certificates and structured notes. GSW primarily operates in Germany and to a lesser extent in other European countries including Austria and Luxembourg. The Goldman Sachs Group, Inc. is a leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments and high-net worth individuals. The Goldman Sachs Group, Inc. is listed on the New-York Stock Exchange under the symbol GS and has a market cap of around $88bn as of 10th October 2014. One way to try to evaluate the financial stability of a counterparty and the risk that they may default on any payments due to you is to look at their credit ratings. Credit ratings are assigned by independent ratings agencies, and are regularly reviewed. Ratings ranging from AAA (the highest) to BBB are considered investment grade 1. Both Moody s and Standard & Poor s are independent rating agencies. You should note that Moody s rate companies from Aaa (most secure / best) to C (Most risky / worst) and Standard and Poor s rate companies from AAA (most secure / best) to D (most risky /worst). According to the most recent Standard & Poor s rating definitions a company rated A has a strong capacity to meet its financial commitments but is somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than companies in higher rated categories. The Goldman Sachs Group, Inc. has been assigned long-term and short-term issuer ratings by certain credit rating agencies, such as Standard & Poors. The Goldman Sachs Group, Inc. has along-term credit rating of A-. Neither Goldman Sachs & Co. Wertpapier GmbH nor Goldman Sachs (Cayman) Limited is rated. According to the most recent Moody s rating definitions, issuers rated Baa are judged to be medium grade and therefore subject to moderate credit risk and securities from these issuers may possess certain speculative characteristics. In addition to reviewing credit ratings to evaluate the risk associated with a counterparty, you can also refer to information on the company, including recent financial results and news announcements. All references to the credit rating are correct as of the 24th September 2014. Credit ratings are subject to change during the offer period and during the term of the Note. Ongoing information about the ratings of Goldman Sachs International is available at www.bloomberg.com. Please refer to your financial adviser if you have any queries regarding credit ratings. CURRENT CREDIT RATINGS FOR GOLDMAN SACHS GROUP, INC. (THE GUARANTOR) S&P: A- MOODY S: Baa1 1. For a complete list of credit ratings and what they mean, please visit our website www.cubeinvesting.com, or ask your financial adviser. CUBE PRODUCTS DUAL TRIGGER FTSE BOOSTED KICK OUT NOVEMBER 2020 17
WHAT ARE THE RISKS? As with all investments, there are risks associated with investing in the Note, including (but not limited to): COUNTERPARTY RISK When you buy a Note, you are exposed to the risk that the Issuer, the Guarantor and Goldman Sachs (Cayman) Limited are unable to make the payments described in this document (counterparty risk). If either of the Issuer, the Guarantor and/or Goldman Sachs (Cayman) Limited becomes insolvent, the Note will lose most, if not all, of its value and you may lose all or part of the amount you have invested. INVESTMENT RISKS The Notes are dependent on the performance of the Class 2014-76 FTSE 100 Index linked Preference Shares issued by Goldman Sachs (Cayman) Limited. The performance of the Preference Shares on those fixed dates is calculated by reference to the performance of the FTSE 100 Index. While the return on the Notes is expected to track the returns on the Preference Shares and the FTSE 100 Index, any divergence from that expectation would impact the returns received by investors. The value of the Preference Shares depends on the performance of the Underlying Index. The past performance of the Underlying Index is not a reliable indicator of its future performance and should not be relied upon when making a decision to invest. The value of the Note does not include any Returns from dividends or participation in corporate actions (such as rights issues) that you would benefit from if you had invested in the shares that make up the Underlying Index. You will not be able to hold the Note beyond its stated maturity. The Note described in this document is a Structured Capital at Risk Product ( SCARP ). This means that it may be worth less than 1.00 at the Investment End Date and you may lose some or all of your investment. Whether or not you receive a Return depends on the performance of the Underlying Index, as well as the price at which you purchased the Note. The value of the Note at maturity depends on the closing level of the Underlying Index on the Investment Start Date and the Investment End Date only. Large changes in the values of the Underlying Index on these dates could affect the Returns you achieve from the Note, potentially adversely. If you invest in the Note before the Investment Start Date, you will not know the Initial Index Level of the Underlying Index that are used to calculate the performance of the Note. The level of the Underlying Index on the day you invest in the Note are not relevant to the calculation of your Returns and may be significantly different to the level on the Investment Start Date. INDEX DISRUPTION RISK There may be circumstances that affect the calculation of the Underlying Index, meaning the publication of the closing level may be delayed. For example, the calculation may be delayed if some of the shares making up the Underlying Index are suspended from trading on the relevant exchange. In such a scenario, the level of the restated Underlying Index may not be able to be determined for a period or may be calculated in a different way. This could delay payment of any Returns and may also affect the performance of the Notes and any Returns you receive. The Issuer or an affiliate of the Issuer, as applicable, intends in its discretion, under normal market conditions, to make a market for the Note but it is under no obligation to do so and therefore you may not be able to sell back the Notes and may have to hold the Notes until maturity. You should not rely on the ability to sell the Notes at a specific time or at a specific price. In case you do sell the Notes before maturity, your ability to obtain a positive Return from the investment is reduced and you may lose your investment. 18 DUAL TRIGGER F TSE BOOSTED KICK OUT NOVEMBER 2020 CUBE PRODUCTS
EARLY WITHDRAWAL RISK If you sell back the Note before the stated maturity, the value of the Note will differ from the maturity values described in this document. Your wrap or platform may also charge you a transaction fee, which will be detailed in you agreement with them. You should be prepared to hold the Notes until maturity. INFLATION RISK The value of the Note will not be adjusted for inflation over the investment term. If inflation is positive over the term of the Note, this will reduce the real value of the Note and the purchasing power of your investment. COMPENSATION If the Issuer fails to pay any amount due in respect of the Notes or becomes insolvent you will not be able to claim compensation under the Financial Services Compensation Scheme in respect of their failure to pay any amounts due in respect of the Notes. You may however be entitled to claim under the Financial Services Compensation Scheme in respect of losses suffered as a result of the acts of omissions of certain other parties involved in respect of your investment in the Notes. MARKET RISK External factors, such as geopolitical events and natural disasters, can have a major impact on the level of the Underlying Index (and in extreme cases, the ability of the Counterparty to meet their obligations). This is likely to have an adverse impact on the value of or Returns on the Note. LEVERAGE RISK The Preference Shares are subject to leverage. Where an investment is subject to leverage, the effective exposure to the underlying asset or payment reference is increased. Leverage may expose investors to increased losses where the value of underlying asset falls. Leverage can be embedded in derivative components of complex financial instruments. TAX RISK The basis and rate of taxation in respect of the Notes and the investors and any reliefs depend on the individual circumstances of each investor and could change at any time. This could have a negative impact on any return under the Notes. You should seek your own independent tax advice in the relevant jurisdictions about the tax implications of holding these Notes prior to investing. CUBE PRODUCTS DUAL TRIGGER FTSE BOOSTED KICK OUT NOVEMBER 2020 19
WHAT TO DO IF YOU HAVE A COMPLAINT Any complaint about the Note should be addressed to CUBE Investing in the first instance at CUBE Investing, 99 Bishopsgate, London EC2M 3XD, by telephone on +44(0)203 693 7435 or by email to info@cubeinvesting.com. Details describing CUBE s complaints handling procedure are available upon request. If you are not satisfied with how we address your complaint, you can refer your complaint to the Financial Ombudsman Service, South Quay Plaza, 183 Marsh Wall, London E14 9SR. WHO CAN INVEST? Any-non-US person who is able to purchase a bond or debenture can buy the Note. This includes, but is not limited to: UK residents, non-us international investors, companies, trusts, charities, collective investment schemes, pension schemes, insurance companies, sovereign wealth funds and investment trusts. NO US INVESTORS US persons are not permitted to invest into this Note. This brochure and any associated marketing materials or financial promotions may not be distributed to US persons. If you are a US investor, financial adviser, broker or investment manager please contact information@cubeinvesting.com for more information about the investment restrictions that apply. WHICH TAX WRAPPERS CAN I USE TO HOLD THE NOTE? The Note is eligible for both a Stocks & Shares ISA and pension investment via a Self Investment Pension Plan ( SIPP ). If you are investing via a Stocks & Shares ISA, it is important to Note that you can only invest up to the annual Stocks & Shares ISA limit (currently 15,000). If you hold the investment outside of an ISA or pension wrapper, any Return at maturity is expected to be treated as capital gains for UK tax purposes. The tax treatment of the Note depends on your individual circumstances and may be subject to change. You should seek independent tax advice if you require any advice on your tax position. 20 DUAL TRIGGER F TSE BOOSTED KICK OUT NOVEMBER 2020 CUBE PRODUCTS
INVESTOR CHECKLIST Before deciding to invest, please make sure that you agree with all of the following statements. I have taken advice from a regulated financial adviser, and they agree that this Note is suitable for me, or I have a brokerage account where I have certified that I am sufficiently knowledgeable and experienced to be able to invest in structured investments without advice. I understand how the Note works, how the Return is calculated and the risks involved in investing. I understand that the product is a Structured Capital At Risk Product and I may get back less than 1.00 per Note at maturity and risk losing some or all of my investment. I am looking for an investment that offers potential Returns that are better than the Return I am likely to get from a deposit account and am prepared to accept a medium degree of risk in order to benefit from a potentially higher Return. I appreciate that when compared to an equity fund investment I will not receive any dividend income, but will receive a return if at any Kick out Date the level of the Underlying Index is above any of the Kick Out Levels. I understand that the Return is linked to the to the Class 2014-76 FTSE 100 Index linked Preference Shares issued by Goldman Sachs (Cayman), which are in turn linked to performance of the FTSE 100 Index. Whilst I expect the Underlying Index to close at or above the Protection Barrier at the Final Valuation Date, I understand that I will receive back less than 1.00 per Note if it does close below this level. I believe that the level of the Underlying Index is likely to close above the Initial Index Level, but accept the risk that this might not be the case. I am looking for a growth Return, which is expected to be taxed as a capital gain for UK tax purposes (but I also accept that the tax treatment is not guaranteed and is subject to change). I do not require an income from this investment, nor a guaranteed, minimum Return. I understand the Returns described in this brochure are only available if I hold the Note until its stated maturity. If I sell the Note back before then, I may get back substantially less than I invested. I am prepared to hold the Note until its stated final maturity in 2020, and have other savings and investments I can use in case of emergencies. I understand that the Note is issued by Goldman, Sachs & Co. Wertpapier GmbH and guaranteed by The Goldman Sachs Group, Inc., and accept the risk that I will lose most, if not all, of my investment if Goldman, Sachs & Co. Wertpapier GmbH and/or The Goldman Sachs Group, Inc. were to become insolvent. Furthermore, I understand that the Preference Share Issuer and the swap counterparty under the swap which will fund the payout on the Preference Shares are affiliates of the Issuer and the Guarantor and that I am also exposed to Goldman Sachs credit risk at the level of the underlying asset. Any loss I suffer if the Issuer and/or Guarantor fail to make a payment due to me under the Note are not covered by the FSCS. CUBE PRODUCTS DUAL TRIGGER FTSE BOOSTED KICK OUT NOVEMBER 2020 21
HOW TO BUY Assuming that you have answered yes to all of the questions on the Investor Checklist on the previous page: CUBE products have been developed specifically for advised investors who have a wrap, brokerage account or SIPP that offer the ability to buy exchange traded products, and investors whose portfolio is managed by a discretionary fund manager. CUBE does not offer any dealing facility, and so there is no application form to buy our products. Your investment adviser, broker or portfolio manager will be able to buy this Note for you through the account that you have with the wrap, Self Invested Personal Pension ( SIPP ) or broker. If you don t have an account through which you can buy exchange-traded products you can open an account with one of the brokers and wraps that are listed on our site. This Note will be available from the 14th October. When you place an order to buy the Note your purchase will be confirmed straight away and you will be required to settle your transaction immediately (the standard settlement period is 3 days). You should note that there is no cooling-off period. The minimum investment is 1,000. There is no maximum investment. If demand for the Notes is greater than the number of Notes that has been issued, the offer may be closed, and you may be unable to buy the Notes. The Issuer may also withdraw the offer at any time at its discretion. Please quote the ISIN number when placing an order. FEES The wrap, broker or discretionary manager that you use to buy the Notes may charge you a fee to buy and hold the Note that they will agree with you directly. CUBE receives a fee of 1% per Note (which, on a 1,000 investment is equal to 10). This fee is payment for our role in designing, developing, marketing and distributing the product and the marketing materials, and for distributing the product. We receive this from the issuer and it is built into the terms of the Note. Our fee is not deducted from the Return you receive when the Note matures. We will not pay any fee to any other adviser or intermediary that you may engage to purchase the Notes. WHO ARE CUBE? CUBE is a trading name of CET Capital Limited. CUBE is an independent structured product company. We are responsible for the design, testing and distribution of structured products. 22 DUAL TRIGGER F TSE BOOSTED KICK OUT NOVEMBER 2020 CUBE PRODUCTS
CUBE PRODUCTS DUAL TRIGGER FTSE BOOSTED KICK OUT NOVEMBER 2020
This advertisement has been issued and approved by CET Capital Limited, authorised and regulated by the Financial Conduct Authority of 25 North Colonnade, Canary Wharf, London E14 5HS (reference number 446267). CUBE and CUBE Investing are trading names of CET Capital Ltd. CET Capital Ltd is registered in England No. 04986900 and is authorised and regulated by the Financial Conduct Authority No. 446267. CUBE Investing 99 Bishopsgate London EC2M 3XD www.cubeinvesting.com CI00029.201410