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GOLDMAN SACHS GROUP INC

Date Filed : Jun 24, 2022

FWP1gs-fwp.htmFWPgs-fwp.htm

 

Free Writing Prospectus pursuant to Rule 433 dated June 23, 2022

Registration Statement No. 333-253421

Goldman Sachs Momentum Builder® Focus ER Index-Linked Notes due

OVERVIEW

The notes do not bear interest. The amount that you will be paid on your notes on the stated maturity date is based on the performance of the Goldman Sachs Momentum Builder® Focus ER Index as measured from the trade date to and including the determination date.

The index measures the performance of a “base index” and non-interest bearing cash positions subject to certain deductions, as described in further detail below. On each index business day, exposure to the base index will be reduced and exposure to the non-interest bearing cash positions increased if (i) the realized volatility of the base index exceeds a volatility control limit of 5% (we refer to the base index, after applying this volatility control limit, as the “volatility controlled index”) or (ii) the volatility controlled index has exhibited negative price momentum.

The base index is composed of underlying assets, which consist of (i) nine underlying indices, potentially providing exposure to the following asset classes: focused U.S. equities; other developed market equities; developed market fixed income; emerging market equities; and commodities; and (ii) a money market position that accrues interest at a rate equal to the federal funds rate (the “return-based money market position”). The base index rebalances on each index business day based on historical returns of the underlying assets, subject to a limitation on realized volatility (which is separate from the volatility control mechanism described in the paragraph above) and minimum and maximum weights for the underlying assets and asset classes. As a result of the rebalancing, the base index may include as few as 2 underlying assets (including the return-based money market position) and may never include some of the underlying indices or asset classes.

The daily base index return is subject to a deduction equal to the return on the federal funds rate and, in addition, the entire index is subject to a deduction of 0.65% per annum (accruing daily).

The net effect of the deduction for the federal funds rate on the base index and the 0.65% deduction on the full index means that any aggregate exposure to the return-based money market position or the non-interest bearing cash positions will reduce the index performance on a pro rata basis by 0.65%. A very significant portion of the index has been, and may be in the future, allocated to the return-based money market position and the non-interest bearing cash positions.

The description above is only a summary. For a more detailed description of the index, including information about the fees and deductions that are applied to the index, see “Index Summary” in the accompanying preliminary pricing supplement.

You should read the accompanying preliminary pricing supplement dated June 2, 2022, which we refer to herein as the accompanying preliminary pricing supplement, to better understand the terms and risks of your investment, including the credit risk of GS Finance Corp. and The Goldman Sachs Group, Inc.

 

Key Terms

CUSIP / ISIN:

40057M7G8 / US40057M7G86

Company (Issuer):

GS Finance Corp.

Guarantor:

The Goldman Sachs Group, Inc.

Index:

Goldman Sachs Momentum Builder® Focus ER Index (current Bloomberg symbol: “GSMBFC5 Index”)

Payment amount at maturity (for each $1,000 face amount of your notes)

●    if the final index level on the determination date is greater than the initial index level, the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) at least 3 (set on the trade date) times (c) the index return; or

●    if the final index level is equal to or less than the initial index level, $1,000.

Initial index level:

to be determined on the trade date

Final index level:

the closing level of the index on the determination date

Index return:

the quotient of (i) the final index level minus the initial index level divided by (ii) the initial index level, expressed as a positive or negative percentage

Participation rate:

at least 300%

Trade date:

expected to be June 27, 2022

Settlement date:

expected to be June 30, 2022

Determination date:

expected to be March 27, 2025

Stated maturity date:

expected to be April 1, 2025

Estimated value range:

$925 to $955 (which is less than the original issue price; see accompanying preliminary pricing supplement)

 

 

This document does not provide all of the information that an investor should consider prior to making an investment decision. You should not invest in the notes without reading the accompanying preliminary pricing supplement and related documents for a more detailed description of the index, the terms of the notes and certain risks.

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HYPOTHETICAL PAYMENT AMOUNT AT MATURITY*

 

Hypothetical Final Index Level
(as a % of the Initial Index Level)

Hypothetical Payment Amount at Maturity
(as a % of Face Amount)

150.000%

250.000%

130.000%

190.000%

120.000%

160.000%

110.000%

130.000%

100.000%

100.000%

75.000%

100.000%

50.000%

100.000%

25.000%

100.000%

0.000%

100.000%

*assumes a participation rate of 300%

About Your Notes

GS Finance Corp. and The Goldman Sachs Group, Inc. have filed a registration statement (including a prospectus, as supplemented by the prospectus supplement, MOBU Focus ER index supplement no. 15, May 2022 MOBU Focus ER index supplement addendum and preliminary pricing supplement listed below) with the Securities and Exchange Commission (SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus, prospectus supplement, MOBU Focus ER index supplement no. 15, May 2022 MOBU Focus ER index supplement addendum and preliminary pricing supplement, and any other documents relating to this offering that GS Finance Corp. and The Goldman Sachs Group, Inc. have filed with the SEC for more complete information about us and this offering. You may get these documents without cost by visiting EDGAR on the SEC web site at sec.gov. Alternatively, we will arrange to send you the prospectus, prospectus supplement, MOBU Focus ER index supplement no. 15, May 2022 MOBU Focus ER index supplement addendum and preliminary pricing supplement if you so request by calling (212) 357-4612.

The notes are part of the Medium-Term Notes, Series F program of GS Finance Corp. and are fully and unconditionally guaranteed by The Goldman Sachs Group, Inc. This document should be read in conjunction with the following:


This document does not provide all of the information that an investor should consider prior to making an investment decision. You should not invest in the notes without reading the accompanying preliminary pricing supplement and related documents for a more detailed description of the index, the terms of the notes and certain risks.

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RISK FACTORS

An investment in the notes is subject to risks. Many of the risks are described in the accompanying preliminary pricing supplement, accompanying MOBU Focus ER index supplement no. 15, accompanying prospectus supplement and accompanying prospectus. Below we have provided a list of certain risk factors discussed in such documents. Although the risk factors included in the accompanying preliminary pricing supplement have been classified into two categories (risk overview and risks related to the index), and the accompanying MOBU Focus ER index supplement no. 15 includes a third category of risks (risks related to the eligible underlying indices), the order and document in which any category of risks appears is not intended to signify any decreasing (or increasing) materiality of these risks. In addition to the below, you should read in full “Additional Risk Factors Specific to Your Notes” in the accompanying preliminary pricing supplement and “Additional Risk Factors Specific to the Eligible Underlying Indices” in the accompanying MOBU Focus ER index supplement no. 15, as well as the risks and considerations described in the accompanying prospectus supplement and accompanying prospectus.

The following risk factors are discussed in greater detail in the accompanying preliminary pricing supplement:

Risks Overview

Risks Related to Structure, Valuation and Secondary Market Sales

The Estimated Value of Your Notes At the Time the Terms of Your Notes Are Set On the Trade Date (as Determined By Reference to Pricing Models Used By GS&Co.) Is Less Than the Original Issue Price Of Your Notes

The Notes Are Subject to the Credit Risk of the Issuer and the Guarantor

You May Receive Only the Face Amount of Your Notes at Maturity

The Amount Payable on Your Notes Is Not Linked to the Level of the Index at Any Time Other than the Determination Date

Your Notes Do Not Bear Interest

The Market Value of Your Notes May Be Influenced by Many Unpredictable Factors

If You Purchase Your Notes at a Premium to Face Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at Face Amount and the Impact of Certain Key Terms of the Notes Will Be Negatively Affected

You Have No Shareholder Rights or Rights to Receive Any Shares or Units of Any Eligible Underlying Index, or Any Assets Held by Any Eligible Underlying Index or the Money Market Position

The Note Calculation Agent Will Have the Authority to Make Determinations That Could Affect the Market Value of Your Notes, When Your Notes Mature and the Amount You Receive at Maturity

Your Notes May Not Have an Active Trading Market

The Note Calculation Agent Can Postpone the Determination Date if a Non-Trading Day Occurs

We May Sell an Additional Aggregate Face Amount of the Notes at a Different Issue Price

Risks Related to Conflicts of Interest

Hedging Activities by Goldman Sachs or Our Distributors May Negatively Impact Investors in the Notes and Cause Our Interests and Those of Our Clients and Counterparties to be Contrary to Those of Investors in the Notes

Goldman Sachs’ Trading and Investment Activities for its Own Account or for its Clients, Could Negatively Impact Investors in the Notes

Goldman Sachs’ Market-Making Activities Could Negatively Impact Investors in the Notes

You Should Expect That Goldman Sachs Personnel Will Take Research Positions, or Otherwise Make Recommendations, Provide Investment Advice or Market Color or Encourage Trading Strategies That Might Negatively Impact Investors in the Notes

Goldman Sachs Regularly Provides Services to, or Otherwise Has Business Relationships with, a Broad Client Base, Which May Include the Sponsors of the Index or the Eligible Underlying Indices or Other Entities That Are Involved in the Transaction

The Offering of the Notes May Reduce an Existing Exposure of Goldman Sachs or Facilitate a Transaction or Position That Serves the Objectives of Goldman Sachs or Other Parties

Other Investors in the Notes May Not Have the Same Interests as You

Risks Related to Tax

Certain Considerations for Insurance Companies and Employee Benefit Plans

Your Notes Will Be Treated as Debt Instruments Subject to Special Rules Governing Contingent Payment Debt Instruments for U.S. Federal Income Tax Purposes

Foreign Account Tax Compliance Act (FATCA) Withholding May Apply to Payments on Your Notes, Including as a Result of the Failure of the Bank or Broker Through Which You Hold the Notes to Provide Information to Tax Authorities

Risks Related to the Index

The Index Measures the Performance of the Underlying Assets on an Excess Return Basis Less the Deduction Rate

Your Investment in the Notes May Be Subject to Concentration Risks

This document does not provide all of the information that an investor should consider prior to making an investment decision. You should not invest in the notes without reading the accompanying preliminary pricing supplement and related documents for a more detailed description of the index, the terms of the notes and certain risks.

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You May Not Have Exposure to One or More of the Eligible Underlying Assets During the Term of the Notes

The Weight of Each Index Underlying Asset Reflects the Average of the Average of the Weights of Such Index Underlying Asset Over Three Potential Portfolios For Each Day in the Applicable Weight Averaging Period

The Index May Not Successfully Capture Price Momentum and May Not Achieve its Target Volatility

The Index May Not Successfully Limit Volatility

Base Index Asset Class Maximum Weights May in Many Cases Prevent All of the Eligible Base Index Underlying Assets in a Base Index Asset Class From Being Included in the Base Index at Their Base Index Underlying Asset Maximum Weights

The Index’s Exposure to the Performance of Underlying Indices May Be Limited by Deleveraging and the Weight and Volatility Constraints

If the Level of the Index Changes, the Market Value of Your Notes May Not Change in the Same Manner

Past Index Performance is No Guide to Future Performance

The Lower Performance of One Index Underlying Asset May Offset an Increase in the Other Index Underlying Assets

Because Historical Returns and Realized Volatility Are Measured on an Aggregate Basis, Index Underlying Assets Could Include Eligible Underlying Assets With a High Realized Volatility and Could Exclude Eligible Underlying Assets With a High Historical Return

Correlation of Performances Among the Index Underlying Assets May Reduce the Performance of the Index

The Index May Have a Very Substantial Allocation to Hypothetical Cash Positions and Other Potentially Low-Yielding Assets on Any or All Days During the Term of the Notes

The Index’s Momentum Risk Control Adjustment Mechanism May Not Work as Intended and May Limit Returns

Base Index Allocations May Be Affected by the Methodology Algorithm

The Eligible Underlying Indices are Linked to Futures Strategies

Certain Eligible Underlying Assets are Subject to an Internal Currency Hedge, Which May Not be Effective

The Index May Perform Poorly During Periods Characterized by Increased Short-Term Volatility

Index Market Disruption Events Could Affect the Level of the Index on Any Date

The Index Has a Limited Operating History

The Historical Levels of the Notional Interest Rate Are Not an Indication of the Future Levels of the Notional Interest Rate

The Policies of the Index Sponsor, Index Committee and Index Calculation Agent, and Changes That Affect the Index or the Underlying Indices, Could Affect the Cash Settlement Amount on Your Notes and Their Market Value

The Historical Levels of the Notional Interest Rate Are Not an Indication of the Future Levels of the Notional Interest Rate

The Index Calculation Agent Will Have Authority to Make Determinations that Could Affect the Value of Your Notes and the Amount You Receive at Maturity. The Goldman Sachs Group, Inc. Owns a Non-Controlling Interest in the Index Calculation Agent

As Index Sponsor, GS&Co. Can Replace the Index Calculation Agent at Any Time

The Index Calculation Agent Can Resign Upon Notification to the Index Sponsor

 

 

The following risk factors are discussed in greater detail in the accompanying MOBU Focus ER index supplement no. 15:

Risks Related to the Eligible Underlying Indices
Risks related to eligible underlying indices comprised of futures contracts (including the US Equity Futures Rolling Strategy Index, the US Technology Equity Futures Rolling Strategy Series Q Total Return Index, the European Equity Futures Rolling Strategy Index, the Japanese Equity Futures Rolling Strategy Index, the US Government Bond Futures Rolling Strategy Index, the European Government Bond Futures Rolling Strategy Index, the Japanese Government Bond Futures Rolling Strategy Index, the Emerging Markets Equity Futures Rolling Strategy Index and the Bloomberg Gold Subindex Total Return)

Suspension or Disruptions of Market Trading in Futures Contracts Included in an Eligible Underlying Index May Adversely Affect the Level of the Index

A Negative Roll Yield Could Reduce the Level of an Eligible Underlying Index and Therefore the Level of the Index

Futures Contracts Are Not Assets with Intrinsic Value

Risks related to eligible underlying indices sponsored by Goldman Sachs International (including the US Equity Futures Rolling Strategy Index, the US Technology Equity Futures Rolling Strategy Series Q Total Return Index, the European Equity Futures Rolling Strategy Index, the Japanese Equity Futures Rolling Strategy Index, the US Government Bond Futures Rolling Strategy Index, the European Government Bond Futures Rolling Strategy Index, the Japanese Government Bond Futures Rolling Strategy Index and the Emerging Markets Equity Futures Rolling Strategy Index)

The Calculation Agent of an Eligible Underlying Index Will Have Authority to Make Determinations that Could Affect the Level of the Index

The Policies of Goldman Sachs International, the Sponsor of Certain Eligible Underlying Indices, and Policy Changes That Affect Such Eligible Underlying Indices Could Affect the Level of the Index

This document does not provide all of the information that an investor should consider prior to making an investment decision. You should not invest in the notes without reading the accompanying preliminary pricing supplement and related documents for a more detailed description of the index, the terms of the notes and certain risks.

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Risks related to eligible underlying indices comprised of futures contracts on reference equity indices (including the US Equity Futures Rolling Strategy Index, the US Technology Equity Futures Rolling Strategy Series Q Total Return Index, the European Equity Futures Rolling Strategy Index, the Japanese Equity Futures Rolling Strategy Index and the Emerging Markets Equity Futures Rolling Strategy Index)

Except to the Extent the Goldman Sachs Group, Inc. Is One of the Companies Whose Common Stock Comprises the S&P 500® Index, and Except to the Extent That We or Our Affiliates May Currently or in the Future Own Assets of, or Engage in Business With, the Issuers of Assets Comprising a Reference Equity Index That Is the Subject of a Futures Contract that Comprises One of the Equity Futures Rolling Strategy Indices, There is No Affiliation Between Us and Any Issuer of Assets Comprising Any Reference Equity Index That Is the Subject of a Futures Contract that Comprises One of the Equity Futures Rolling Strategy Indices

Risks related to eligible underlying indices comprised of foreign assets (including the US Technology Equity Futures Rolling Strategy Series Q Total Return Index, the European Equity Futures Rolling Strategy Index, the Japanese Equity Futures Rolling Strategy Index and the Emerging Markets Equity Futures Rolling Strategy Index)

Your Notes Will Be Subject to Foreign Currency Exchange Rate Risk

Regulators Are Investigating Potential Manipulation of Published Currency Exchange Rates

Even Though Currencies Trade Around-The-Clock, Your Notes Will Not

Intervention in the Foreign Currency Exchange Markets by the Countries Issuing Any Currency In Which an Asset Comprising an Eligible Underlying Index Trades or Is Denominated Could Adversely Affect the Level of the Index

Suspensions or Disruptions of Market Trading in One or More Foreign Currencies May Adversely Affect the Value of Your Notes

Your Investment in the Notes Will Be Subject to Risks Associated with Foreign Securities Markets

Government Regulatory Action, Including Legislative Acts and Executive Orders, Could Result in Material Changes to the Composition of a Reference Equity Index with Assets from One or More Foreign Securities Markets and Could Negatively Affect the Level of the Index

Risks related to underlying indices comprised of debt securities (including the US Government Bond Futures Rolling Strategy Index, the European Government Bond Futures Rolling Strategy Index and the Japanese Government Bond Futures Rolling Strategy Index)

Your Investment is Subject to Interest Rate Risk

Your Investment is Subject to Investment-Grade Credit Risk

Your Investment is Subject to Concentration Risks. The US Government Bond Futures Rolling Strategy Index is comprised of futures on U.S. Treasury bonds that are obligations of the United States, the European Government Bond Futures Rolling Strategy Index is comprised of futures on Euro bonds issued by the Federal Republic of Germany and the Japanese Government Bond Futures Rolling Strategy Index is comprised of futures on Japanese government bonds that are obligations of Japan (each such debt security, a “reference bond”).  As a result, each such eligible underlying index is concentrated in the performance of bonds issued by a single issuer and having the same general tenor and terms.

Risks related to the US Technology Equity Futures Rolling Strategy Series Q Total Return Index

As Compared to Other Index Sponsors, Nasdaq, Inc. Retains Significant Control and Discretionary Decision-Making Over the Nasdaq-100 Index®, Which May Have an Adverse Effect on the Level of the Nasdaq-100 Index® and on Your Notes

Risks related to the Japanese Equity Futures Rolling Strategy Index

TOPIX Recently Implemented Methodology Changes That Are Being Carried Out In Stages Through January 2025; Limited Historical Japanese Equity Futures Rolling Strategy Index Performance Information Is Available Incorporating the Changes to TOPIX That Have Been Carried Out To Date

Risks related to the Bloomberg Gold Subindex Total Return

The Policies of the Sponsor of the Bloomberg Gold Subindex Total Return and Changes that Affect the Bloomberg Gold Subindex Total Return Could Affect the Level of the Index

Your Investment is Subject to Concentration Risks. The Bloomberg Gold Subindex Total Return is concentrated in a single commodity. As a result, the performance of the Bloomberg Gold Subindex Total Return will be concentrated in the performance of that specific commodity.

Legal and Regulatory Changes Could Adversely Affect the Level of the Index

Ongoing Commodities-Related Regulatory Investigations And Private Litigation Could Affect Prices for Commodities, Which Could Adversely Affect Your Notes

Various Unpredictable Factors May Affect the Performance of the Bloomberg Gold Subindex Total Return

The Sponsor of the Bloomberg Gold Subindex Total Return May Be Required to Replace a Designated Contract If the Existing Commodities Contract Is Terminated or Replaced

Linking to a Commodity Futures Contract is Different From Linking to the Spot Price of the Applicable Physical Commodity

This document does not provide all of the information that an investor should consider prior to making an investment decision. You should not invest in the notes without reading the accompanying preliminary pricing supplement and related documents for a more detailed description of the index, the terms of the notes and certain risks.

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There Are Risks Associated with an Investment Linked to the Prices of Commodities Generally

Economic or Political Events or Crises Could Result in Large-Scale Purchases or Sales of the Bloomberg Gold Subindex Total Return, Which Could Affect the Price of the Bloomberg Gold Subindex Total Return and May Adversely Affect the Level of the Index

Substantial Sales of the Bloomberg Gold Subindex Total Return by Governments or Public Sector Entities Could Result in Price Decreases, Which Would Adversely Affect the Level of the Index

 

The following risk factors are discussed in greater detail in the accompanying prospectus supplement:

 

The Return on Indexed Notes May Be Below the Return on Similar Securities

The Issuer of a Security or Currency That Serves as an Index Could Take Actions That May Adversely Affect an Indexed Note

An Indexed Note May Be Linked to a Volatile Index, Which May Adversely Affect Your Investment

An Index to Which a Note Is Linked Could Be Changed or Become Unavailable

We May Engage in Hedging Activities that Could Adversely Affect an Indexed Note

Information About an Index or Indices May Not Be Indicative of Future Performance

We May Have Conflicts of Interest Regarding an Indexed Note

 

The following risk factors are discussed in greater detail in the accompanying prospectus:

 

Risks Relating to Regulatory Resolution Strategies and Long-Term Debt Requirements

The application of regulatory resolution strategies could increase the risk of loss for holders of our securities in the event of the resolution of Group Inc.

The application of Group Inc.’s proposed resolution strategy could result in greater losses for Group Inc.’s security holders.

 

 

This document does not provide all of the information that an investor should consider prior to making an investment decision. You should not invest in the notes without reading the accompanying preliminary pricing supplement and related documents for a more detailed description of the index, the terms of the notes and certain risks.

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