Form FWP GOLDMAN SACHS GROUP INC Filed by: GOLDMAN SACHS GROUP INC

December 23, 2020 3:29 PM

 

Free Writing Prospectus pursuant to Rule 433 dated December 23, 2020 / Registration Statement No. 333-239610

STRUCTURED INVESTMENTS

Opportunities in U.S. Equities

GS Finance Corp.

 

Contingent Income Callable Securities Based on the Value of the S&P 500® Index due January 4, 2022

 

The Contingent Income Callable Securities are unsecured notes issued by GS Finance Corp. and guaranteed by The Goldman Sachs Group, Inc.

You should read the accompanying preliminary pricing supplement dated December 23, 2020, 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

Issuer / Guarantor:

GS Finance Corp. / The Goldman Sachs Group, Inc.

Underlying index:

S&P 500® Index (Bloomberg Symbol “SPX Index”)

Pricing date:

expected to price on or about December 30, 2020

Original issue date:

expected to be January 5, 2021

Coupon observation dates:

as set forth under “Coupon observation dates” below

Coupon payment dates:

as set forth under “Coupon payment dates” below

Valuation date:

the last coupon observation date, expected to be December 30, 2021

Stated maturity date:

expected to be January 4, 2022

Early redemption right:

we have the right to redeem your securities at our discretion, in whole but not in part, at a price equal to 100% of the principal amount plus any coupon then due, on each coupon payment date commencing with the coupon payment date expected to occur on April 5, 2021 and ending with the coupon payment date expected to occur on October 5, 2021, subject to at least three business days’ prior notice; no payments will be made after they have been redeemed.

Payment at maturity:

if the final index value is greater than or equal to the downside threshold level, $1,000 plus the final coupon; or

if the final index value is less than the downside threshold level, $1,000 × the index performance factor

This amount will be less than the stated principal amount of $1,000, will represent a loss of more than 25.00% and could be zero.

Initial index value:

the index closing value on the pricing date

Final index value:

the index closing value on the valuation date

Downside threshold level:

75.00% of the initial index value

Contingent quarterly coupon (set on the pricing date):

if the index closing value on the applicable coupon observation date is greater than or equal to the downside threshold level, at least $13.25 per security; or

if the index closing value on the applicable coupon observation date is less than the downside threshold level, $0.00

Index performance factor:

the final index value / the initial index value

CUSIP / ISIN:

40057EWF0 / US40057EWF05

Estimated value range:

$900 to $930 (which is less than the original issue price; see the accompanying preliminary pricing supplement)

 

 

Coupon observation dates*

Coupon payment dates**

March 30, 2021

April 5, 2021

June 30, 2021

July 6, 2021

September 30, 2021

October 5, 2021

December 30, 2021(valuation date)

January 4, 2022(stated maturity date)

 

Hypothetical Payment Amount At Maturity

The Securities Have Not Been Redeemed

Hypothetical Final Index Value

(as Percentage of Initial Index Value)

Hypothetical Final Index Value

(as Percentage of Initial Index Value)

150.000%

100.000%*

125.000%

100.000%*

110.000%

100.000%*

105.000%

100.000%*

100.000%

100.000%*

90.000%

100.000%*

85.000%

100.000%*

80.000%

100.000%*

75.000%

100.000%*

74.999%

74.999%

30.000%

30.000%

25.000%

25.000%

0.000%

0.000%

*Does not include the final coupon

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 securities without reading the accompanying preliminary pricing supplement and related documents for a more detailed description of the underlying index (including historical index closing values), the terms of the securities and certain risks.


 

 

About Your Securities

The amount that you will be paid on your securities is based on the performance of the S&P 500® Index.

We may redeem your securities at our discretion at 100% of their principal amount plus any coupon then due on any coupon payment date on or after April 5, 2021 up to the coupon payment date on October 5, 2021.

Unless previously redeemed, on each coupon observation date (i) if the index closing value is less than the downside threshold level, you will not receive a payment on the applicable coupon payment date and (ii) if the index closing value is greater than or equal to the downside threshold level, you will receive on the applicable coupon payment date a payment of at least $13.25 (set on the pricing date) for each $1,000 principal amount of your securities.  

At maturity, if not previously redeemed, (i) if the final index value on the valuation date is greater than or equal to the downside threshold level you will receive the principal amount of your securities plus the coupon then due and (ii) if the final index is less than the downside threshold level, you will not receive a coupon payment and the payment at maturity will be based on the index performance factor (the quotient of the final index value divided by the initial index value). Investors will not participate in any appreciation of the underlying index.

The securities are for investors who seek to earn a coupon at an above current market rate in exchange for the risk of receiving few or no quarterly coupons and losing a significant portion of the principal amount of their securities.

GS Finance Corp. and The Goldman Sachs Group, Inc. have filed a registration statement (including a prospectus, as supplemented by the prospectus supplement, underlier supplement no. 15, general terms supplement no. 8,671 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, underlier supplement no. 15, general terms supplement no. 8,671 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, underlier supplement no. 15, general terms supplement no. 8,671 and preliminary pricing supplement if you so request by calling (212) 357-4612.

The securities are notes that 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:

Preliminary pricing supplement dated December 23, 2020

General terms supplement no. 8,671 dated July 1, 2020

Underlier supplement no. 15 dated December 22, 2020

Prospectus supplement dated July 1, 2020

Prospectus dated July 1, 2020

 

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 securities without reading the accompanying preliminary pricing supplement and related documents for a more detailed description of the underlying index (including historical index closing values), the terms of the securities and certain risks.


 

 

RISK FACTORS

An investment in the securities is subject to risks. Many of the risks are described in the accompanying preliminary pricing supplement, accompanying general terms supplement no. 8,671, accompanying underlier supplement no. 15, accompanying prospectus supplement and accompanying prospectus. Below we have provided a list of certain risk factors discussed in such documents. In addition to the below, you should read in full “Risk Factors” in the accompanying preliminary pricing supplement, “Additional Risk Factors Specific to the Notes” in the accompanying general terms supplement no. 8,671, “Additional Risk Factors Specific to the Notes” in the accompanying underlier supplement no. 15, as well as the risks and considerations described in the accompanying prospectus supplement and accompanying prospectus. Your securities are a riskier investment than ordinary debt securities. Also, your securities are not equivalent to investing directly in the underlying index stocks, i.e., the stocks comprising the underlying index to which your securities are linked. You should carefully consider whether the offered securities are appropriate given your particular circumstances.

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

You May Lose Your Entire Investment in the Securities

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

You May Not Receive a Coupon on Any Coupon Payment Date

We Are Able to Redeem Your Securities at Our Option

The Coupon Does Not Reflect the Actual Performance of the Underlying Index from the Pricing Date to Any Coupon Observation Date or from Coupon Observation Date to Coupon Observation Date and Investors Will Not Participate in Any Appreciation of the Underlying Index

The Return on Your Securities May Change Significantly Despite Only a Small Incremental Change in the Value of the Underlying Index

The Return on Your Securities Will Not Reflect Any Dividends Paid on the Underlying Index Stocks

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

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

Your Securities May Not Have an Active Trading Market

If the Value of the Underlying Index Changes, the Market Value of Your Securities May Not Change in the Same Manner

Other Investors May Not Have the Same Interests as You

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

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

The Policies of the Underlying Index Publisher and Changes That Affect the Underlying Index or the Underlying Index Stocks Comprising the Underlying Index Could Affect the Payment at Maturity and the Market Value of the Securities

Investing in the Securities is Not Equivalent to Investing in the Underlying Index; You Have No Shareholder Rights or Rights to Receive Any Underlying Index Stock

We May Sell an Additional Aggregate Stated Principal Amount of the Securities at a Different Issue Price

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

The Tax Consequences of an Investment in Your Securities Are Uncertain

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

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 securities without reading the accompanying preliminary pricing supplement and related documents for a more detailed description of the underlying index (including historical index closing values), the terms of the securities and certain risks.


 

The following risk factors are discussed in greater detail in the accompanying general terms supplement no. 8,671:

The Return on Your Notes Will Not Reflect Any Dividends Paid on Any Underlier, or Any Underlying Stock, as Applicable

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

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

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

Past Performance is No Guide to Future Performance

The 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, If Any, Payable on Your Notes

The Calculation Agent Can Postpone the Valuation Date, Averaging Date, Call Observation Date or Coupon Observation Date If a Market Disruption Event or Non-Underlying Business Day Occurs or Is Continuing

Except to the Extent That We or Our Affiliates May Currently or in the Future Own Securities of, or Engage in Business With, the Applicable Underlying Publisher or the Underlying Stock Issuers, There Is No Affiliation Between the Underlying Stock Issuers or Any Underlying Publisher and Us

The following risk factor is discussed in greater detail in the accompanying underlier supplement no. 15:

Except to the Extent The Goldman Sachs Group, Inc. Is One of the Companies Whose Common Stock Comprises an Underlier, and Except to the Extent That We or Our Affiliates May Currently or in the Future Own Securities of, or Engage in Business With, the Applicable Underlier Sponsor or the Underlier Stock Issuers, There Is No Affiliation Between the Underlier Stock Issuers or Any Underlier Sponsor and Us

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 debt securities in the event of the resolution of Group Inc.

The application of Group Inc.’s preferred resolution strategy could increase the losses incurred by holders of our debt securities

 

TAX CONSIDERATIONS

You should review carefully the discussion in the accompanying preliminary pricing supplement under the caption “Supplemental Discussion of U.S. Federal Income Tax Consequences” concerning the U.S. federal income tax consequences of an investment in the securities, and you should consult your tax advisor.

 

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 securities without reading the accompanying preliminary pricing supplement and related documents for a more detailed description of the underlying index (including historical index closing values), the terms of the securities and certain risks.

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