June 2023
Preliminary Pricing Supplement filed pursuant to Rule 424(b)(2) dated June 6, 2023 / Registration Statement No. 333-269296
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to Completion. Dated June 6, 2023.
GS Finance Corp. | |
Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 |
Principal at Risk Securities
The Lookback Trigger Performance Leveraged Upside SecuritiesSM (Trigger PLUS) do not bear interest and are unsecured notes issued by GS Finance Corp. and guaranteed by The Goldman Sachs Group, Inc. The amount that you will be paid on your Trigger PLUS on the stated maturity date (expected to be January 6, 2025) is based on the performance of the Invesco S&P 500® Equal Weight ETF (ETF) as measured from the initial ETF price, which will be the lowest closing price of the ETF during the initial observation period (each scheduled ETF business day from and including the pricing date (expected to be June 16, 2023) to and including July 17, 2023, subject to adjustment), to the final ETF price (the closing price of the ETF on the valuation date, expected to be December 31, 2024).
The return on your Trigger PLUS is linked to the performance of the ETF, and not to that of the S&P 500® Equal Weight Index (index) on which the ETF is based. The ETF employs a “full replication” methodology in seeking to track its index, meaning that it generally will invest in all of the securities comprising its index in proportion to their weightings in the index. However, under various circumstances, the ETF follows a strategy of “representative sampling”, which means the ETF’s holdings are not the same as those of its index. The performance of the ETF may significantly diverge from that of its index.
If the final ETF price is greater than the initial ETF price, the return on your Trigger PLUS will be positive and equal to the product of the leverage factor of 200.00% multiplied by the ETF percent increase (the percentage increase in the final ETF price from the initial ETF price), subject to the maximum payment at maturity of at least $1,150 (set on the pricing date) per Trigger PLUS. If the final ETF price is equal to or less than the initial ETF price but greater than or equal to the trigger price of 80.00% of the initial ETF price, you will receive the principal amount of your Trigger PLUS. However, if the final ETF price is less than the trigger price, you will lose a significant portion or all of your investment.
On the stated maturity date, for each $1,000 principal amount of your Trigger PLUS, you will receive an amount in cash equal to:
• | if the final ETF price is greater than the initial ETF price, the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) 2.00 times (c) the ETF percent increase, subject to the maximum payment at maturity of at least $1,150; |
• | if the final ETF price is equal to or less than the initial ETF price, but greater than or equal to the trigger price, $1,000; or |
• | if the final ETF price is less than the trigger price, the product of (i) $1,000 times (ii) the quotient of (a) the final ETF price divided by (b) the initial ETF price. |
The Trigger PLUS are for investors willing to forgo interest payments and risk losing their entire investment if the final ETF price is less than the trigger price in exchange for the use of an initial observation period in determining the initial ETF price and the potential to earn 200.00% of any positive return of the underlying ETF, subject to the maximum payment at maturity.
The initial ETF price will be the lowest closing price of the ETF during the initial observation period. If the calculation agent determines that a market disruption event occurs on any scheduled ETF business day during the initial observation period or such day is not an ETF business day, the closing price of the ETF on such day will not be included in the calculation of the initial ETF price.
SUMMARY TERMS (continued on page PS-2) | |
Issuer / Guarantor: | GS Finance Corp. / The Goldman Sachs Group, Inc. |
Underlying ETF: | Invesco S&P 500® Equal Weight ETF (Bloomberg symbol, “RSP UP Equity”) |
Index: | with respect to the underlying ETF, the S&P 500® Equal Weight Index |
Pricing date: | June , 2023 (expected to price on or about June 16, 2023) |
Original issue date: | June , 2023 (expected to be June 22, 2023) |
Valuation date: | expected to be December 31, 2024, subject to postponement for non-ETF business days and market disruption events |
Stated maturity date: | expected to be January 6, 2025, subject to postponement |
Stated principal amount/Original issue price: | $1,000 per Trigger PLUS / 100% of the principal amount |
Estimated value range: | $900 to $960 per Trigger PLUS. See page PS-3 for more information. |
Your investment in the Trigger PLUS involves certain risks, including the credit risk of GS Finance Corp. and The Goldman Sachs Group, Inc. See page PS-12. You should read the disclosure herein to better understand the terms and risks of your investment.
Original issue date: | June , 2023 | Original issue price: | 100.00% of the principal amount |
Underwriting discount: | 2.50% ($ in total)* | Net proceeds to the issuer: | 97.50% ($ in total) |
*Morgan Stanley Wealth Management, acting as dealer for the offering, will receive a selling concession of $25.00 for each Trigger PLUS it sells. It has informed us that it intends to internally allocate $5.00 of the selling concession for each Trigger PLUS as a structuring fee.
Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of this prospectus. Any representation to the contrary is a criminal offense.
The Trigger PLUS are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
Goldman Sachs & Co. LLC
The issue price, underwriting discount and net proceeds listed on the cover page relate to the Trigger PLUS we sell initially. We may decide to sell additional Trigger PLUS after the date of this pricing supplement, at issue prices and with underwriting discounts and net proceeds that differ from the amounts set forth above. The return (whether positive or negative) on your investment in Trigger PLUS will depend in part on the issue price you pay for such Trigger PLUS.
GS Finance Corp. may use this prospectus in the initial sale of the Trigger PLUS. In addition, Goldman Sachs & Co. LLC or any other affiliate of GS Finance Corp. may use this prospectus in a market-making transaction in a Trigger PLUS after its initial sale. Unless GS Finance Corp. or its agent informs the purchaser otherwise in the confirmation of sale, this prospectus is being used in a market-making transaction.
ADDITIONAL SUMMARY TERMS | |
Payment at maturity: | If the final ETF price is greater than the initial ETF price, $1,000 + leveraged upside payment, subject to the maximum payment at maturity In no event will the payment at maturity exceed the maximum payment at maturity If the final ETF price is equal to or less than the initial ETF price, but greater than or equal to the trigger price, $1,000 If the final ETF price is less than the trigger price, $1,000 × ETF performance factor This amount will be less than the stated principal amount of $1,000, will represent a loss of more than 20.00% and could be zero. |
Leveraged upside payment: | $1,000 × leverage factor × ETF percent increase |
Leverage factor: | 200.00% |
Maximum payment at maturity (set on the pricing date): | At least $1,150 per Trigger PLUS (at least 115.00% of the stated principal amount) |
ETF percent increase: | (final ETF price - initial ETF price) / initial ETF price |
Initial ETF price: | The lowest closing price of the underlying ETF during the initial observation period, subject to adjustment as provided under “Supplemental Terms of the Notes — Discontinuance or Modification of an Underlier That is an Index or an Exchange-Traded Fund” on page S-27 of the accompanying general terms supplement no. 8,999. In no event will the initial ETF price be greater than $ , which is the closing price of the underlying ETF on the pricing date. After the end of the initial observation period, the initial ETF price will be published on our webpage at goldmansachs.com/what-we-do/FICC-and-equities/business-groups/sts-folder/gs-us-initial-index.html (or any successor or replacement web page) (this website URL is an inactive textual reference only). |
Initial observation period: | Expected to be each scheduled ETF business day during the approximately one-month period from and including the pricing date to and including July 17, 2023. If the calculation agent determines that a market disruption event (as described under “Supplemental Terms of the Notes — Special Calculation Provisions — Market Disruption Event” on page S-39 of the accompanying general terms supplement no. 8,999, provided that, for purposes of the initial observation period only, the reference to “unwind” in the first paragraph of that section shall be deemed to be “unwind or establish”) occurs on any scheduled ETF business day during the initial observation period or such day is not an ETF business day, the closing price of the underlying ETF on such day will not be included in the calculation of the initial ETF price |
Final ETF price: | the closing price of the underlying ETF on the valuation date |
Trigger price: | 80.00% of the initial ETF price |
ETF performance factor: | final ETF price / initial ETF price |
CUSIP / ISIN: | 40057TAH7 / US40057TAH77 |
Listing: | The Trigger PLUS will not be listed on any securities exchange |
Underwriter: | Goldman Sachs & Co. LLC |
PS-2
June 2023
Estimated Value of Your Trigger PLUS The estimated value of your Trigger PLUS at the time the terms of your Trigger PLUS are set on the pricing date (as determined by reference to pricing models used by Goldman Sachs & Co. LLC (GS&Co.) and taking into account our credit spreads) is expected to be in the range (the estimated value range) specified on the cover of this pricing supplement (per $1,000 principal amount), which is less than the original issue price. The value of your Trigger PLUS at any time will reflect many factors and cannot be predicted; however, the price (not including GS&Co.’s customary bid and ask spreads) at which GS&Co. would initially buy or sell Trigger PLUS (if it makes a market, which it is not obligated to do) and the value that GS&Co. will initially use for account statements and otherwise is equal to approximately the estimated value of your Trigger PLUS at the time of pricing, plus an additional amount (initially equal to $ per $1,000 principal amount). The price (not including GS&Co.’s customary bid and ask spreads) at which GS&Co. would buy or sell your Trigger PLUS (if it makes a market, which it is not obligated to do) will equal approximately the sum of (a) the then-current estimated value of your Trigger PLUS (as determined by reference to GS&Co.’s pricing models) plus (b) any remaining additional amount (the additional amount will decline to zero from the time of pricing through , as described below). On and after , the price (not including GS&Co.’s customary bid and ask spreads) at which GS&Co. would buy or sell your Trigger PLUS (if it makes a market) will equal approximately the then-current estimated value of your Trigger PLUS determined by reference to such pricing models. With respect to the $ initial additional amount: •$ will decline to zero on a straight-line basis from the time of pricing through ; and •$ will decline to zero on a straight-line basis from through . |
The Trigger PLUS 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 prospectus includes this pricing supplement and the accompanying documents listed below. This pricing supplement constitutes a supplement to the documents listed below and should be read in conjunction with such documents: •General terms supplement no. 8,999 dated February 13, 2023 •Prospectus supplement dated February 13, 2023 •Prospectus dated February 13, 2023 The information in this pricing supplement supersedes any conflicting information in the documents listed above. In addition, some of the terms or features described in the listed documents may not apply to your Trigger PLUS. Please note that, for purposes of this pricing supplement, references in the general terms supplement no. 8,999 to “underlier(s)”, “indices”, “exchange-traded fund(s)”, “lesser performing”, “trade date”, “underlier sponsor”, “determination date”, “face amount”, “level” and “cash settlement amount” shall be deemed to refer to “underlying(s)”, “underlying index(es)”, “underlying ETF(s)”, “worst performing”, “pricing date”, “underlying index publisher”, “valuation date”, “principal amount”, “value” and “payment at maturity”, respectively. In addition, for purposes of this pricing supplement, references in the general terms supplement no. 8,999 to “trading day” shall be deemed to refer to “underlying business day”, “index business day” or “ETF business day”, as applicable, and references to “closing level” shall be deemed to refer to “closing price”, “closing value”, “index closing value” or “ETF closing price”, as applicable. |
PS-3
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
We refer to the Trigger PLUS we are offering by this pricing supplement as the “offered Trigger PLUS” or the “Trigger PLUS”. Each of the Trigger PLUS has the terms described under “Summary Terms” and “Additional Provisions” in this pricing supplement. Please note that in this pricing supplement, references to “GS Finance Corp.”, “we”, “our” and “us” mean only GS Finance Corp. and do not include its subsidiaries or affiliates, references to “The Goldman Sachs Group, Inc.”, our parent company, mean only The Goldman Sachs Group, Inc. and do not include its subsidiaries or affiliates and references to “Goldman Sachs” mean The Goldman Sachs Group, Inc. together with its consolidated subsidiaries and affiliates, including us. Also, references to the “accompanying prospectus” mean the accompanying prospectus, dated February 13, 2023, references to the “accompanying prospectus supplement” mean the accompanying prospectus supplement, dated February 13, 2023, for Medium-Term Notes, Series F, and references to the “accompanying general terms supplement no. 8,999” mean the accompanying general terms supplement no. 8,999, dated February 13, 2023, in each case of GS Finance Corp. and The Goldman Sachs Group, Inc. The Trigger PLUS will be issued under the senior debt indenture, dated as of October 10, 2008, as supplemented by the First Supplemental Indenture, dated as of February 20, 2015, each among us, as issuer, The Goldman Sachs Group, Inc., as guarantor, and The Bank of New York Mellon, as trustee. This indenture, as so supplemented and as further supplemented thereafter, is referred to as the “GSFC 2008 indenture” in the accompanying prospectus supplement.
Investment Summary
Lookback Trigger Performance Leveraged Upside Securities
The Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 (the “Trigger PLUS”) can be used:
• | As an alternative to direct exposure to the underlying ETF that enhances returns for a limited range of positive performance of the underlying ETF, subject to the maximum payment at maturity. |
• | To potentially outperform the underlying ETF with respect to moderate increases in the underlying ETF from the initial ETF price, which is the lowest closing price of the underlying ETF during the initial observation period, to the final ETF price. |
• | To provide limited protection against a loss of principal in the event of a decline of the underlying ETF from the initial ETF price, which is the lowest closing price of the underlying ETF during the initial observation period, to the final ETF price but only if the final ETF price is greater than or equal to the trigger price. |
However, you will not receive dividends on the stocks comprising the underlying ETF (the “underlying ETF stocks”) or any interest payments on your Trigger PLUS.
If the final ETF price is less than the trigger price, the Trigger PLUS are exposed on a 1:1 basis to the negative performance of the underlying ETF from the initial ETF price, which is the lowest closing price during the initial observation period, to the final ETF price.
Maturity: | Approximately 18 months |
Payment at maturity: | •If the final ETF price is greater than the initial ETF price, $1,000 + leveraged upside payment, subject to the maximum payment at maturity. In no event will the payment at maturity exceed the maximum payment at maturity. •If the final ETF price is equal to or less than the initial ETF price, but greater than or equal to the trigger price, $1,000. •If the final ETF price is less than the trigger price, $1,000 × ETF performance factor. This amount will be less than the stated principal amount of $1,000, will represent a loss of more than 20.00% and could be zero. |
Leverage factor: | 200.00% (applicable only if the final ETF price is greater than the initial ETF price) |
ETF percent increase: | (final ETF price - initial ETF price) / initial ETF price |
Leveraged upside payment: | $1,000 × leverage factor × ETF percent increase |
PS-4
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Trigger price: | 80.00% of the initial ETF price |
Maximum payment at maturity (set on the pricing date): | At least $1,150 per Trigger PLUS (at least 115.00% of the stated principal amount) |
Minimum payment at maturity: | None. Investors may lose their entire initial investment in the Trigger PLUS. |
Limited lookback feature: | The initial ETF price will be the lowest closing price of the underlying ETF during the approximately one-month initial observation period. |
Interest: | None |
Redemption: | None. The Trigger PLUS will not be subject to redemption right or price dependent redemption right.
|
PS-5
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Key Investment Rationale
The Trigger PLUS offer leveraged exposure to a limited range of positive performance of the Invesco S&P 500® Equal Weight ETF. In exchange for enhanced performance of 200.00% of the appreciation of the underlying ETF, investors forgo performance above the maximum payment at maturity of at least $1,150 per Trigger PLUS. The payment at maturity on the Trigger PLUS is based on whether the final ETF price is greater than, equal to or less than the initial ETF price, which will be the lowest closing price of the underlying ETF during the initial observation period. At maturity, if the underlying ETF has appreciated in price, investors will receive the stated principal amount of their investment plus the leveraged upside payment, subject to the maximum payment at maturity of at least $1,150 per Trigger PLUS. If the underlying ETF has not appreciated in price or has depreciated in price, but the final ETF price is greater than or equal to the trigger price of 80.00% of the initial ETF price, investors will receive the stated principal amount of their investment. However, if the underlying ETF has depreciated in price and the final ETF price is less than the trigger price, investors will lose 1.00% for every 1.00% decline in the ETF price from the pricing date to the valuation date of the Trigger PLUS. Under these circumstances, the payment at maturity will be at least 20.00% less than the stated principal amount, will represent a loss of more than 20.00% and could be zero. Investors will not receive dividends on the underlying ETF stocks or any interest payments on the Trigger PLUS and investors may lose their entire initial investment in the Trigger PLUS. All payments on the Trigger PLUS are subject to the credit risk of GS Finance Corp., as issuer, and The Goldman Sachs Group, Inc., as guarantor.
Leveraged Performance Up to a Cap | The Trigger PLUS offers investors an opportunity to capture enhanced returns relative to a direct investment in the underlying ETF, within a limited range of positive performance. However, investors will not receive dividends on the underlying ETF or the underlying ETF stocks or any interest payments on the Trigger PLUS. |
Trigger Feature | At maturity, even if the underlying ETF has declined over the term of the Trigger PLUS, you will receive your stated principal amount but only if the final ETF price is greater than or equal to the trigger price of 80.00% of the initial ETF price. |
Initial Observation Period | The payment at maturity on the Trigger PLUS is based on whether the final ETF price is greater than, equal to or less than the initial ETF price, which will be the lowest closing price of the underlying ETF during the initial observation period. If, during the initial observation period (each scheduled ETF business day during the approximately one-month period from and including the pricing date to and including July 17, 2023), the closing price of the underlying ETF declines from the closing price of the underlying ETF on the pricing date the payment at maturity will be determined by reference to an initial ETF price equal to such lowest closing price of the underlying ETF during the initial observation period. |
Upside Scenario | The underlying ETF increases in price from the initial ETF price set at the end of the initial observation period. In this case, you receive a full return of principal as well as 200.00% of the increase in the price of the underlying ETF, subject to the maximum payment at maturity of at least $1,150 per Trigger PLUS (at least 115.00% of the stated principal amount). For example, if the final ETF price is 5.00% greater than the initial ETF price, the Trigger PLUS will provide a total return of at least 10.00% at maturity. |
Par Scenario | The final ETF price is less than or equal to the initial ETF price set at the end of the initial observation period, but is greater than or equal to the trigger price. In this case, you receive the stated principal amount of $1,000 at maturity even if the underlying ETF has depreciated. |
Downside Scenario | The underlying ETF declines in price and the final ETF price is less than the trigger price. In this case, you receive significantly less than the stated principal amount by an amount proportionate to the decline in the price of the underlying ETF to the valuation date of the Trigger PLUS. For example, if the final ETF price is 40.00% less than the initial ETF price, the Trigger PLUS will provide at maturity a loss of 40.00% of principal. In this case, you receive $600.00 per Trigger PLUS, or 60.00% of the stated principal amount. There is no minimum payment at maturity on the Trigger PLUS, and you could lose your entire investment. |
PS-6
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
How the Trigger PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity on the Trigger PLUS based on the following terms:
Stated principal amount: | $1,000 per Trigger PLUS |
Leverage factor: | 200.00% |
Trigger price: | 80.00% of the initial ETF price |
Maximum payment at maturity: | $1,150 per Trigger PLUS (115.00% of the stated principal amount) |
Minimum payment at maturity: | None |
Trigger PLUS Payoff Diagram |
PS-7
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
How it works
▪ | Upside Scenario. If the final ETF price is greater than the initial ETF price, the investor would receive the $1,000 stated principal amount plus 200.00% of the appreciation of the underlying ETF from the pricing date to the valuation date of the Trigger PLUS, subject to the maximum payment at maturity. Under the terms of the Trigger PLUS, the investor will realize the maximum payment at maturity at a final ETF price of 107.50% of the initial ETF price. |
| ▪ | If the underlying ETF appreciates 5.00%, the investor would receive a 10.00% return, or $1,100.00 per Trigger PLUS. |
| ▪ | If the underlying ETF appreciates 50.00%, the investor would receive only the maximum payment at maturity of $1,150 per Trigger PLUS, or 115.00% of the stated principal amount |
▪ | Par Scenario. If the final ETF price is less than or equal to the initial ETF price but is greater than or equal to the trigger price, the investor would receive the $1,000 stated principal amount per Trigger PLUS. |
| ▪ | If the underlying ETF depreciates 10.00%, investors will receive the $1,000 stated principal amount per Trigger PLUS. |
▪ | Downside Scenario. If the final ETF price is less than the trigger price, the investor would receive an amount that is significantly less than the $1,000 stated principal amount, based on a 1.00% loss of principal for each 1.00% decline in the underlying ETF. Under these circumstances, the payment at maturity will be at least 20.00% less than the stated principal amount per Trigger PLUS. There is no minimum payment at maturity on the Trigger PLUS. |
| ▪ | If the underlying ETF depreciates 40.00%, the investor would lose 40.00% of the investor’s principal and receive only $600.00 per Trigger PLUS at maturity, or 60.00% of the stated principal amount. |
How the initial ETF price is determined
▪ | Appreciation in price during the initial observation period. If, for example, the underlying ETF appreciates in price during the initial observation period so that the closing price of the underlying ETF on each scheduled ETF business day during the initial observation period is greater than the closing price of the underlying ETF on the pricing date, the initial ETF price set at the end of the initial observation period will be the closing price of the underlying ETF on the pricing date, regardless of any appreciation in the price of the underlying ETF during the initial observation period. |
▪ | Depreciation in price during the initial observation period. If, for example, the underlying ETF depreciates in price during the initial observation period and its lowest closing price of the underlying ETF during such period is 90.00% of the closing price of the underlying ETF on the pricing date, the initial ETF price set at the end of the initial observation period will be equal to 90.00% of the closing price of the underlying ETF on the pricing date. |
PS-8
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Additional Hypothetical Examples
The following examples are provided for purposes of illustration only. They should not be taken as an indication or prediction of future investment results and merely are intended to illustrate the impact that the various hypothetical closing prices of the underlying ETF on the valuation date could have on the payment at maturity assuming all other variables remain constant.
The examples below are based on a range of final ETF prices that are entirely hypothetical; the closing price of the underlying ETF on any day throughout the life of the Trigger PLUS, including the closing prices of the undelrying ETF during the initial observation period and the final ETF price on the valuation date, cannot be predicted. The underlying ETF has been highly volatile in the past — meaning that the closing price of the underlying ETF has changed considerably in relatively short periods — and its performance cannot be predicted for any future period.
The information in the following examples reflects hypothetical rates of return on the offered Trigger PLUS assuming that they are purchased on the original issue date at the stated principal amount and held to the stated maturity date. If you sell your Trigger PLUS in a secondary market prior to the stated maturity date, your return will depend upon the market value of your Trigger PLUS at the time of sale, which may be affected by a number of factors that are not reflected in the examples below such as interest rates, the volatility of the underlying ETF and the creditworthiness of GS Finance Corp., as issuer, and the creditworthiness of The Goldman Sachs Group, Inc., as guarantor. The information in the examples also reflects the key terms and assumptions in the box below.
Key Terms and Assumptions |
|
Stated principal amount | $1,000 |
Leverage factor | 200.00% |
Trigger price | 80.00% of the initial ETF price |
Maximum payment at maturity | $1,150 per Trigger PLUS |
Neither a market disruption event nor a non-ETF business day occurs on the originally scheduled valuation date or during the initial observation period | |
No change in or affecting the underlying ETF, any of the underlying ETF stocks or the policies of the underlying ETF investment advisor or the method by which the index publisher calculates the index Trigger PLUS purchased on original issue date at the stated principal amount and held to the stated maturity date |
Moreover, we have not yet set the initial ETF price that will serve as the baseline for determining the amount that we will pay on your Trigger PLUS, if any, at maturity. We will not do so until the end of the initial observation period. As a result, the actual initial ETF price may differ substantially from the closing prices of the underlying ETF prior to the pricing date and the actual closing price of the undelrying ETF on the pricing date.
For these reasons, the actual performance of the underlying ETF over the life of your Trigger PLUS, as well as the amount payable at maturity, if any, may bear little relation to the hypothetical examples shown below or to the historical closing prices of the underlying ETF shown elsewhere in this pricing supplement. For information about the historical prices of the underlying ETF during recent periods, see “The Underlying ETF — Historical Closing Prices of the Underlying ETF” below. Before investing in the offered Trigger PLUS, you should consult publicly available information to determine the prices of the underlying ETF between the date of this pricing supplement and the date of your purchase of the offered Trigger PLUS.
Also, the hypothetical examples shown below do not take into account the effects of applicable taxes. Because of the U.S. tax treatment applicable to your Trigger PLUS, tax liabilities could affect the after-tax
PS-9
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
rate of return on your Trigger PLUS to a comparatively greater extent than the after-tax return on the underlying ETF stocks.
The values in the left column of the table below represent hypothetical final ETF prices and are expressed as percentages of the initial ETF price. The amounts in the right column represent the hypothetical payments at maturity, based on the corresponding hypothetical final ETF price, and are expressed as percentages of the stated principal amount of a Trigger PLUS (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical payment at maturity of 100.000% means that the value of the cash payment that we would deliver for each $1,000 of the outstanding stated principal amount of the offered Trigger PLUS on the stated maturity date would equal 100.000% of the stated principal amount of a Trigger PLUS, based on the corresponding hypothetical final ETF price and the assumptions noted above.
Hypothetical Final ETF Price (as Percentage of Initial ETF Price) | Hypothetical Payment at Maturity (as Percentage of Stated Principal Amount) |
150.000% | 115.000% |
140.000% | 115.000% |
130.000% | 115.000% |
120.000% | 115.000% |
107.500% | 115.000% |
106.000% | 112.000% |
105.000% | 110.000% |
100.000% | 100.000% |
95.000% | 100.000% |
90.000% | 100.000% |
85.000% | 100.000% |
80.000% | 100.000% |
79.999% | 79.999% |
50.000% | 50.000% |
25.000% | 25.000% |
0.000% | 0.000% |
If, for example, the final ETF price were determined to be 25.000% of the initial ETF price, the payment at maturity that we would deliver on your Trigger PLUS at maturity would be 25.000% of the stated principal amount of your Trigger PLUS, as shown in the table above. As a result, if you purchased your Trigger PLUS on the original issue date at the stated principal amount and held them to the stated maturity date, you would lose 75.000% of your investment (if you purchased your Trigger PLUS at a premium to stated principal amount you would lose a correspondingly higher percentage of your investment). If the final ETF price were determined to be zero, you would lose your entire investment in the Trigger PLUS. In addition, if the final ETF price were determined to be 150.000% of the initial ETF price, the payment at maturity that we would deliver on your Trigger PLUS at maturity would be limited to the maximum payment at maturity, or 115.000% of each $1,000 principal amount of your Trigger PLUS, as shown in the table above. As a result, if you held your Trigger PLUS to the stated maturity date, you would not benefit from any increase in the final ETF price over 107.500% of the initial ETF price.
The payments at maturity shown above are entirely hypothetical; they are based on market prices for the underlying ETF stocks that may not be achieved on the valuation date and on assumptions that may prove to be erroneous. The actual market value of your Trigger PLUS on the stated maturity date or at any other time, including any time you may wish to sell your Trigger PLUS, may bear little relation to the hypothetical payments at maturity shown above, and these amounts should not be viewed as an indication of the financial return on an investment in the offered Trigger PLUS. The hypothetical payments at maturity on Trigger PLUS held to the stated maturity date in the examples above assume you purchased your Trigger PLUS at their stated principal amount and have not been adjusted to reflect the actual issue price you pay for your Trigger PLUS. The return on your investment (whether positive or negative) in your Trigger PLUS will be affected by the amount you pay for your Trigger PLUS. If you purchase your Trigger PLUS for a price other than the stated principal amount, the return on your investment will differ from, and may be significantly lower than,
PS-10
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
the hypothetical returns suggested by the above examples. Please read “Risk Factors — The Market Value of Your Trigger PLUS May Be Influenced by Many Unpredictable Factors” below.
Payments on the Trigger PLUS are economically equivalent to the amounts that would be paid on a combination of other instruments. For example, payments on the Trigger PLUS are economically equivalent to a combination of an interest-bearing bond bought by the holder (although the Trigger PLUS do not pay interest) and one or more options entered into between the holder and us (with one or more implicit option premiums paid over time). The discussion in this paragraph does not modify or affect the terms of the Trigger PLUS or the U.S. federal income tax treatment of the Trigger PLUS, as described elsewhere in this pricing supplement.
We cannot predict the actual final ETF price or what the market value of your Trigger PLUS will be on any particular ETF business day, nor can we predict the relationship between the closing price of the underlying ETF and the market value of your Trigger PLUS at any time prior to the stated maturity date. The actual amount that you will receive, if any, at maturity and the rate of return on the offered Trigger PLUS will depend on the actual initial ETF price, which we will set at the end of the initial observation period and maximum payment at maturity, which we will set on the pricing date, and the actual final ETF price determined by the calculation agent as described above. Moreover, the assumptions on which the hypothetical returns are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in respect of your Trigger PLUS, if any, on the stated maturity date may be very different from the information reflected in the examples above. |
PS-11
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
An investment in your Trigger PLUS is subject to the risks described below, as well as the risks and considerations described in the accompanying prospectus, in the accompanying prospectus supplement and under “Additional Risk Factors Specific to the Notes” in the accompanying general terms supplement no. 8,999. You should carefully review these risks and considerations as well as the terms of the Trigger PLUS described herein and in the accompanying prospectus, the accompanying prospectus supplement and the accompanying general terms supplement no. 8,999. Your Trigger PLUS are a riskier investment than ordinary debt securities. Also, your Trigger PLUS are not equivalent to investing directly in the underlying ETF stocks, i.e., the stocks comprising the underlying ETF to which your Trigger PLUS are linked. You should carefully consider whether the offered Trigger PLUS are appropriate given your particular circumstances. |
Risks Related to Structure, Valuation and Secondary Market Sales
Your Trigger PLUS Do Not Bear Interest
You will not receive any interest payments on your Trigger PLUS. As a result, even if the payment at maturity payable for your Trigger PLUS on the stated maturity date exceeds the stated principal amount of your Trigger PLUS, the overall return you earn on your Trigger PLUS may be less than you would have earned by investing in a non-indexed debt security of comparable maturity that bears interest at a prevailing market rate.
You May Lose Your Entire Investment in the Trigger PLUS
You can lose your entire investment in the Trigger PLUS. The cash payment on your Trigger PLUS, if any, on the stated maturity date will be based on the performance of the Invesco S&P 500® Equal Weight ETF as measured from the initial ETF price set at the end of the initial observation period to the closing price of the underlying ETF on the valuation date. If the final ETF price is less than the trigger price, you will lose a significant portion of your investment, equivalent to 1.00% of the stated principal amount of your Trigger PLUS for every 1.00% decline in the ETF price over the term of the Trigger PLUS. Thus, you may lose your entire investment in the Trigger PLUS.
Also, the market price of your Trigger PLUS prior to the stated maturity date may be significantly lower than the purchase price you pay for your Trigger PLUS. Consequently, if you sell your Trigger PLUS before the stated maturity date, you may receive far less than the amount of your investment in the Trigger PLUS.
The Trigger PLUS Are Subject to the Credit Risk of the Issuer and the Guarantor
Although the return on the Trigger PLUS will be based on the performance of the underlying ETF, the payment of any amount due on the Trigger PLUS is subject to the credit risk of GS Finance Corp., as issuer of the Trigger PLUS, and the credit risk of The Goldman Sachs Group, Inc., as guarantor of the Trigger PLUS. The Trigger PLUS are our unsecured obligations. Investors are dependent on our ability to pay all amounts due on the Trigger PLUS, and therefore investors are subject to our credit risk and to changes in the market’s view of our creditworthiness. Similarly, investors are dependent on the ability of The Goldman Sachs Group, Inc., as guarantor of the Trigger PLUS, to pay all amounts due on the Trigger PLUS, and therefore are also subject to its credit risk and to changes in the market’s view of its creditworthiness. See “Description of the Notes We May Offer — Information About Our Medium-Term Notes, Series F Program — How the Notes Rank Against Other Debt” on page S-5 of the accompanying prospectus supplement and “Description of Debt Securities We May Offer— Guarantee by The Goldman Sachs Group, Inc.” on page 67 of the accompanying prospectus.
PS-12
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
The Return on Your Trigger PLUS Will Be Limited
Your ability to participate in any change in the price of the underlying ETF over the life of your Trigger PLUS will be limited because of the maximum payment at maturity of at least $1,150 per Trigger PLUS (at least 115.00% of the stated principal amount). The maximum payment at maturity will limit the payment at maturity you may receive for each of your Trigger PLUS, no matter how much the price of the underlying ETF may rise over the life of your Trigger PLUS. Although the leverage factor provides 200.00% exposure to any increase in the final ETF price over the initial ETF price, because the payment at maturity will be limited to at least 115.00% of the stated principal amount per Trigger PLUS, any increase in the final ETF price over the initial ETF price by more than at least 7.50% of the initial ETF price will not further increase the return on the Trigger PLUS. Accordingly, the amount payable for each of your Trigger PLUS may be significantly less than it would have been had you invested directly in the underlying ETF.
The Initial ETF Price Will Not Be Determined Until the End of the Initial Observation Period
Because the initial ETF price will be the lowest closing price of the underlying ETF during the initial observation period, the initial ETF price will not be determined until the end of the initial observation period. The initial observation period is expected to be each scheduled ETF business day during the approximately one-month period from and including the pricing date to and including July 17, 2023. Accordingly, you will not know the initial ETF price for a significant period of time after the pricing date.
There can be no assurance that, during the initial observation period, the closing price of the underlying ETF will decline below the closing price of the underlying ETF on the pricing date. Furthermore, even if during the initial observation period the closing price of the underlying ETF declines below the closing price of the underlying ETF on the pricing date, there can be no assurance that the final ETF price will be greater than the initial ETF price so that you earn a positive return on the Trigger PLUS at maturity, or that you will not lose a significant portion or all of your investment. In addition, if the calculation agent determines that a market disruption event occurs on any scheduled ETF business day during the initial observation period or such day is not an ETF business day, the closing price of the underlying ETF on such day will not be included in the calculation of the initial ETF price.
The Return on Your Trigger PLUS May Change Significantly Despite Only a Small Incremental Change in the Price of the Underlying ETF
If the final ETF price is less than the trigger price, you could lose all or a substantial portion of your investment in the Trigger PLUS. This means that while a 20.00% drop between the initial ETF price and the final ETF price will not result in a loss of principal on the Trigger PLUS, a decrease in the final ETF price to less than 80.00% of the initial ETF price will result in a loss of a significant portion of the stated principal amount of the Trigger PLUS despite only a small incremental change in the price of the underlying ETF.
The Return on Your Trigger PLUS Will Not Reflect Any Dividends Paid on the Underlying ETF or the Underlying ETF Stocks
The return on your Trigger PLUS will not reflect the return you would realize if you actually owned the underlying ETF and received the distributions paid on the shares of such underlying ETF. You will not receive any dividends that may be paid on any of the underlying ETF stocks by the ETF stock issuers or the shares of the underlying ETF. See “—Investing in the Trigger PLUS is Not Equivalent to Investing in the Underlying ETF; You Have No Shareholder Rights or Rights to Receive Any Shares of the Underlying ETF or Any Underlying ETF Stock” below for additional information.
The Estimated Value of Your Trigger PLUS At the Time the Terms of Your Trigger PLUS 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 Trigger PLUS
The original issue price for your Trigger PLUS exceeds the estimated value of your Trigger PLUS as of the time the terms of your Trigger PLUS are set on the pricing date, as determined by reference to GS&Co.’s pricing models and taking into account our credit spreads. Such estimated value on the pricing date is set forth above under “Estimated Value of Your Trigger PLUS”; after the pricing date, the estimated value as determined by reference to these models will be affected by changes in market
PS-13
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
conditions, the creditworthiness of GS Finance Corp., as issuer, the creditworthiness of The Goldman Sachs Group, Inc., as guarantor, and other relevant factors. The price at which GS&Co. would initially buy or sell your Trigger PLUS (if GS&Co. makes a market, which it is not obligated to do), and the value that GS&Co. will initially use for account statements and otherwise, also exceeds the estimated value of your Trigger PLUS as determined by reference to these models. As agreed by GS&Co. and the distribution participants, this excess (i.e., the additional amount described under “Estimated Value of Your Trigger PLUS”) will decline to zero over the period from the date hereof through the applicable date set forth above under “Estimated Value of Your Trigger PLUS”. Thereafter, if GS&Co. buys or sells your Trigger PLUS it will do so at prices that reflect the estimated value determined by reference to such pricing models at that time. The price at which GS&Co. will buy or sell your Trigger PLUS at any time also will reflect its then current bid and ask spread for similar sized trades of structured Trigger PLUS.
In estimating the value of your Trigger PLUS as of the time the terms of your Trigger PLUS are set on the pricing date, as disclosed above under “Estimated Value of Your Trigger PLUS”, GS&Co.’s pricing models consider certain variables, including principally our credit spreads, interest rates (forecasted, current and historical rates), volatility, price-sensitivity analysis and the time to maturity of the Trigger PLUS. The particular features of the Trigger PLUS, including but not limited to the mechanism of setting the initial ETF price, which will be the lowest closing price of the underlying ETF during the initial observation period (expected to be each scheduled ETF business day from and including the pricing date to and including July 17, 2023), will reduce the estimated value of the Trigger PLUS as compared to other investments without such features. These pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. As a result, the actual value you would receive if you sold your Trigger PLUS in the secondary market, if any, to others may differ, perhaps materially, from the estimated value of your Trigger PLUS determined by reference to our models due to, among other things, any differences in pricing models or assumptions used by others. See “— The Market Value of Your Trigger PLUS May Be Influenced by Many Unpredictable Factors” below.
The difference between the estimated value of your Trigger PLUS as of the time the terms of your Trigger PLUS are set on the pricing date and the original issue price is a result of certain factors, including principally the underwriting discount and commissions, the expenses incurred in creating, documenting and marketing the Trigger PLUS, and an estimate of the difference between the amounts we pay to GS&Co. and the amounts GS&Co. pays to us in connection with your Trigger PLUS. We pay to GS&Co. amounts based on what we would pay to holders of a non-structured note with a similar maturity. In return for such payment, GS&Co. pays to us the amounts we owe under your Trigger PLUS.
In addition to the factors discussed above, the value and quoted price of your Trigger PLUS at any time will reflect many factors and cannot be predicted. If GS&Co. makes a market in the Trigger PLUS, the price quoted by GS&Co. would reflect any changes in market conditions and other relevant factors, including any deterioration in our creditworthiness or perceived creditworthiness or the creditworthiness or perceived creditworthiness of The Goldman Sachs Group, Inc. These changes may adversely affect the value of your Trigger PLUS, including the price you may receive for your Trigger PLUS in any market making transaction. To the extent that GS&Co. makes a market in the Trigger PLUS, the quoted price will reflect the estimated value determined by reference to GS&Co.’s pricing models at that time, plus or minus its then current bid and ask spread for similar sized trades of structured Trigger PLUS (and subject to the declining excess amount described above).
Furthermore, if you sell your Trigger PLUS, you will likely be charged a commission for secondary market transactions, or the price will likely reflect a dealer discount. This commission or discount will further reduce the proceeds you would receive for your Trigger PLUS in a secondary market sale.
There is no assurance that GS&Co. or any other party will be willing to purchase your Trigger PLUS at any price and, in this regard, GS&Co. is not obligated to make a market in the Trigger PLUS. See “— Your Trigger PLUS May Not Have an Active Trading Market” below.
PS-14
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
The Final ETF Price Is Not Linked to the Price of the Underlying ETF at Any Time Other than the Valuation Date
The final ETF price will be based on the closing price of the underlying ETF on the valuation date (subject to adjustment as described elsewhere in this pricing supplement). Therefore, if the closing price of the underlying ETF dropped precipitously on the valuation date, the payment at maturity for your Trigger PLUS may be significantly less than it would have been had the payment at maturity been linked to the closing price of the underlying ETF prior to such drop in the price of the underlying ETF. Although the actual price of the underlying ETF on the stated maturity date or at other times during the life of your Trigger PLUS may be higher than the final ETF price, the payment at maturity will be based solely on the closing price of the underlying ETF on the valuation date.
The Market Value of Your Trigger PLUS May Be Influenced by Many Unpredictable Factors
When we refer to the market value of your Trigger PLUS, we mean the value that you could receive for your Trigger PLUS if you chose to sell them in the open market before the stated maturity date. A number of factors, many of which are beyond our control, will influence the market value of your Trigger PLUS, including:
• | the price of the underlying ETF; |
• | the volatility – i.e., the frequency and magnitude of changes – in the closing price of the underlying ETF; |
• | the dividend rates of the underlying ETF stocks; |
• | economic, financial, regulatory, political, military, public health and other events that affect stock markets generally and the underlying ETF stocks, and which may affect the closing price of the underlying ETF; |
• | interest rates and yield rates in the market; |
• | the time remaining until your Trigger PLUS mature; and |
• | our creditworthiness and the creditworthiness of The Goldman Sachs Group, Inc., whether actual or perceived, including actual or anticipated upgrades or downgrades in our credit ratings or the credit ratings of The Goldman Sachs Group, Inc. or changes in other credit measures. |
Without limiting the foregoing, the market value of your Trigger PLUS may be negatively impacted by increasing interest rates. Such adverse impact of increasing interest rates could be significantly enhanced in Trigger PLUS with longer-dated maturities, the market values of which are generally more sensitive to increasing interest rates.
These factors, and many other factors, will influence the price you will receive if you sell your Trigger PLUS before maturity, including the price you may receive for your Trigger PLUS in any market making transaction. If you sell your Trigger PLUS before maturity, you may receive less than the principal amount of your Trigger PLUS or the amount you may receive at maturity.
You cannot predict the future performance of the underlying ETF based on its historical performance. The actual performance of the underlying ETF over the life of the offered Trigger PLUS or the payment at maturity may bear little or no relation to the historical closing prices of the underlying ETF or to the hypothetical examples shown elsewhere in this pricing supplement.
Your Trigger PLUS May Not Have an Active Trading Market
Your Trigger PLUS will not be listed or displayed on any securities exchange or included in any interdealer market quotation system, and there may be little or no secondary market for your Trigger PLUS. Even if a secondary market for your Trigger PLUS develops, it may not provide significant liquidity and we expect that transaction costs in any secondary market would be high. As a result, the difference between bid and asked prices for your Trigger PLUS in any secondary market could be substantial.
PS-15
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
If the Price of the Underlying ETF Changes, the Market Value of Your Trigger PLUS May Not Change in the Same Manner
The price of your Trigger PLUS may move quite differently than the performance of the underlying ETF. Changes in the price of the underlying ETF may not result in a comparable change in the market value of your Trigger PLUS. Even if the price of the underlying ETF increases above the initial ETF price during some portion of the life of the Trigger PLUS, the market value of your Trigger PLUS may not reflect this amount. We discuss some of the reasons for this disparity under “— The Market Value of Your Trigger PLUS May Be Influenced by Many Unpredictable Factors” above.
Investing in the Trigger PLUS is Not Equivalent to Investing in the Underlying ETF; You Have No Shareholder Rights or Rights to Receive Any Shares of the Underlying ETF or Any Underlying ETF Stock
Investing in your Trigger PLUS is not equivalent to investing in the underlying ETF and will not make you a holder of any shares of the underlying ETF or the underlying ETF stocks. Neither you nor any other holder or owner of your Trigger PLUS will have any rights with respect to the underlying ETF stocks, including any voting rights, any right to receive dividends or other distributions, any rights to make a claim against the underlying ETF or the underlying ETF stocks or any other rights of a holder of the underlying ETF or the underlying ETF stocks. Your Trigger PLUS will be paid in cash, and you will have no right to receive delivery of any shares of the underlying ETF or the underlying ETF stocks.
We May Sell an Additional Aggregate Stated Principal Amount of the Trigger PLUS at a Different Issue Price
At our sole option, we may decide to sell an additional aggregate stated principal amount of the Trigger PLUS subsequent to the date of this pricing supplement. The issue price of the Trigger PLUS in the subsequent sale may differ substantially (higher or lower) from the original issue price you paid as provided on the cover of this pricing supplement.
If You Purchase Your Trigger PLUS at a Premium to Stated Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Trigger PLUS Purchased at Stated Principal Amount and the Impact of Certain Key Terms of the Trigger PLUS Will be Negatively Affected
The payment at maturity will not be adjusted based on the issue price you pay for the Trigger PLUS. If you purchase Trigger PLUS at a price that differs from the stated principal amount of the Trigger PLUS, then the return on your investment in such Trigger PLUS held to the stated maturity date will differ from, and may be substantially less than, the return on Trigger PLUS purchased at stated principal amount. If you purchase your Trigger PLUS at a premium to stated principal amount and hold them to the stated maturity date the return on your investment in the Trigger PLUS will be lower than it would have been had you purchased the Trigger PLUS at stated principal amount or a discount to stated principal amount.
As Calculation Agent, GS&Co. Will Have the Authority to Make Determinations that Could Affect the Value of Your Trigger PLUS
As calculation agent for your Trigger PLUS, GS&Co. will have discretion in making certain determinations that affect your Trigger PLUS, including determining: the initial ETF price at the end of the initial observation period and the final ETF price on the valuation date, which we will use to determine the amount we must pay on the stated maturity date; anti-dilution adjustments; market disruption events; non-ETF business days; the valuation date; the stated maturity date; the default amount and any amount payable on your Trigger PLUS. The calculation agent also has discretion in making certain adjustments relating to a discontinuation or modification of the underlying ETF. See “Supplemental Terms of the Notes — Discontinuance or Modification of an Underlier That is an Index or an Exchange-Traded Fund” on page S-27 of the accompanying general terms supplement no. 8,999. The exercise of this discretion by GS&Co. could adversely affect the value of your Trigger PLUS and may present GS&Co. with a conflict of interest. We may change the calculation agent at any time without notice and GS&Co. may resign as calculation agent at any time upon 60 days’ written notice to us.
PS-16
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Risks Related to Conflicts of Interest
Other Investors May Not Have the Same Interests as You
Other investors in the Trigger PLUS are not required to take into account the interests of any other investor in exercising remedies or voting or other rights in their capacity as holders of the Trigger PLUS. The interests of other investors may, in some circumstances, be adverse to your interests. Further, other investors in the market may take short positions (directly or indirectly through derivative transactions) on assets that are the same or similar to your Trigger PLUS, the underlying stocks or other similar securities, which may adversely impact the market for or value of your Trigger PLUS.
Hedging Activities by Goldman Sachs or Our Distributors May Negatively Impact Investors in the Trigger PLUS and Cause Our Interests and Those of Our Clients and Counterparties to be Contrary to Those of Investors in the Trigger PLUS
Goldman Sachs has hedged or expects to hedge our obligations under the Trigger PLUS by purchasing listed or over-the-counter options, futures and/or other instruments linked to the underlying ETF or the underlying ETF stocks. Goldman Sachs also expects to adjust the hedge by, among other things, purchasing or selling any of the foregoing, and perhaps other instruments linked to the underlying ETF or the underlying ETF stocks, at any time and from time to time, and to unwind the hedge by selling any of the foregoing on or before the valuation date for your Trigger PLUS. Alternatively, Goldman Sachs may hedge all or part of our obligations under the Trigger PLUS with unaffiliated distributors of the Trigger PLUS which we expect will undertake similar market activity. Goldman Sachs may also enter into, adjust and unwind hedging transactions relating to other ETF-linked securities whose returns are linked to changes in the price of the underlying ETF or the underlying ETF stocks, as applicable.
In addition to entering into such transactions itself, or distributors entering into such transactions, Goldman Sachs may structure such transactions for its clients or counterparties, or otherwise advise or assist clients or counterparties in entering into such transactions. These activities may be undertaken to achieve a variety of objectives, including: permitting other purchasers of the Trigger PLUS or other securities to hedge their investment in whole or in part; facilitating transactions for other clients or counterparties that may have business objectives or investment strategies that are inconsistent with or contrary to those of investors in the Trigger PLUS; hedging the exposure of Goldman Sachs to the Trigger PLUS including any interest in the Trigger PLUS that it reacquires or retains as part of the offering process, through its market-making activities or otherwise; enabling Goldman Sachs to comply with its internal risk limits or otherwise manage firmwide, business unit or product risk; and/or enabling Goldman Sachs to take directional views as to relevant markets on behalf of itself or its clients or counterparties that are inconsistent with or contrary to the views and objectives of the investors in the Trigger PLUS.
Any of these hedging or other activities may adversely affect the price of the underlying ETF — directly or indirectly by affecting the price of the underlying ETF stocks — and therefore the market value of your Trigger PLUS and the amount we will pay on your Trigger PLUS, if any, at maturity. In addition, you should expect that these transactions will cause Goldman Sachs or its clients, counterparties or distributors to have economic interests and incentives that do not align with, and that may be directly contrary to, those of an investor in the Trigger PLUS. Neither Goldman Sachs nor any distributor will have any obligation to take, refrain from taking or cease taking any action with respect to these transactions based on the potential effect on an investor in the Trigger PLUS, and may receive substantial returns on hedging or other activities while the value of your Trigger PLUS declines. In addition, if the distributor from which you purchase Trigger PLUS is to conduct hedging activities in connection with the Trigger PLUS, that distributor may otherwise profit in connection with such hedging activities and such profit, if any, will be in addition to the compensation that the distributor receives for the sale of the Trigger PLUS to you. You should be aware that the potential to earn fees in connection with hedging activities may create a further incentive for the distributor to sell the Trigger PLUS to you in addition to the compensation they would receive for the sale of the Trigger PLUS.
PS-17
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Goldman Sachs’ Trading and Investment Activities for its Own Account or for its Clients, Could Negatively Impact Investors in the Trigger PLUS
Goldman Sachs is a 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 individuals. As such, it acts as an investor, investment banker, research provider, investment manager, investment advisor, market maker, trader, prime broker and lender. In those and other capacities, Goldman Sachs purchases, sells or holds a broad array of investments, actively trades securities, derivatives, loans, commodities, currencies, credit default swaps, indices, baskets and other financial instruments and products for its own account or for the accounts of its customers, and will have other direct or indirect interests, in the global fixed income, currency, commodity, equity, bank loan and other markets. Any of Goldman Sachs’ financial market activities may, individually or in the aggregate, have an adverse effect on the market for your Trigger PLUS, and you should expect that the interests of Goldman Sachs or its clients or counterparties will at times be adverse to those of investors in the Trigger PLUS.
Goldman Sachs regularly offers a wide array of securities, financial instruments and other products into the marketplace, including existing or new products that are similar to your Trigger PLUS, or similar or linked to the underlying ETF or underlying ETF stocks. Investors in the Trigger PLUS should expect that Goldman Sachs will offer securities, financial instruments, and other products that will compete with the Trigger PLUS for liquidity, research coverage or otherwise.
Additional Risks Related to the Underlying ETF
The Policies of the Underlying ETF’s Investment Advisor, Invesco Capital Management LLC, and the Publisher of Its Index, S&P Dow Jones Indices LLC, Could Affect the Payment at Maturity and the Market Value of the Trigger PLUS
The underlying ETF’s investment advisor, Invesco Capital Management LLC (the “underlying ETF investment advisor”), may from time to time be called upon to make certain policy decisions or judgments with respect to the implementation of policies of the underlying ETF investment advisor concerning the calculation of the net asset value of the underlying ETF, additions, deletions or substitutions of securities in the underlying ETF and the manner in which changes affecting its index are reflected in the underlying ETF that could affect the market price of the shares of the underlying ETF and, therefore, the payment at maturity, if any, on your Trigger PLUS on the stated maturity date. The payment at maturity and the market value of your Trigger PLUS could also be affected if the underlying ETF investment advisor changes these policies, for example, by changing the manner in which it calculates the net asset value of the underlying ETF, or if the underlying ETF investment advisor discontinues or suspends calculation or publication of the net asset value of the underlying ETF, in which case it may become difficult or inappropriate to determine the market value of your Trigger PLUS.
If events such as these occur, the calculation agent — which initially will be GS&Co., our affiliate — may determine the closing price of the underlying ETF on any such date — and thus the payment at maturity — in a manner it considers appropriate, in its sole discretion. We describe the discretion that the calculation agent will have in determining the closing price of the underlying ETF on any ETF business day or the valuation date and the payment at maturity more fully under “Supplemental Terms of the Notes — Discontinuance or Modification of an Underlier That is an Index or an Exchange-Traded Fund” and “— Role of Calculation Agent” on page S-28 of the accompanying general terms supplement no. 8,999.
In addition, S&P Dow Jones Indices LLC (the “index publisher”) owns the index and is responsible for the design and maintenance of the index. The policies of the index publisher concerning the calculation of the index, including decisions regarding the addition, deletion or substitution of the equity securities included in the index, could affect the level of the index and, consequently, could affect the market prices of shares of the underlying ETF and, therefore, the amount payable on your Trigger PLUS and their market value.
PS-18
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Except to the Extent that the Common Stock of The Goldman Sachs Group, Inc. Is One of the Common Stocks Currently Held by the Underlying ETF and One of the Common Stocks that Comprise its Index, and Except to the Extent that GS&Co. and One or More of Our Other Affiliates Act as Authorized Participants in the Distribution of, and, at Any Time, May Hold, Shares of the Underlying ETF, There Is No Affiliation Between the Underlying ETF Investment Advisor or Its Index Publisher and Us
The common stock of The Goldman Sachs Group, Inc. is one of the underlying ETF stocks comprising the S&P 500® Equal Weight Index, and is one of the common stocks currently held by the underlying ETF. In addition, GS&Co. and one or more of our other affiliates may act, from time to time, as authorized participants in the distribution of shares of the underlying ETF, and, at any time, may hold shares of the underlying ETF. Goldman Sachs is not otherwise affiliated with the underlying ETF investment advisor, index publisher or the issuers of the underlying ETF stocks. We or our affiliates may currently or from time to time in the future engage in business with the underlying ETF investment advisor, index publisher or the issuers of the underlying ETF stocks. Neither we nor any of our affiliates have participated in the preparation of any publicly available information or made any “due diligence” investigation or inquiry with respect to the underlying ETF, the index or the issuers of the underlying ETF stocks. You, as an investor in your Trigger PLUS, should make your own investigation into the underlying ETF, the index and the issuers of the underlying ETF stocks.
Other than as set forth herein with respect to The Goldman Sachs Group, Inc., neither the underlying ETF investment advisor nor any of the other issuers of the underlying ETF stocks are involved in the offering of your Trigger PLUS in any way and none of them have any obligation of any sort with respect to your notes. Thus, neither the underlying ETF investment advisor nor any issuer of the underlying ETF stocks has any obligation to take your interests into consideration for any reason, including in taking any corporate actions that might affect the market value of your Trigger PLUS.
There is No Assurance That an Active Trading Market Will Continue for the Underlying ETF or That There Will Be Liquidity in Any Such Trading Market; Further, the Underlying ETF is Subject to Management Risks, Securities Lending Risks and Custody Risks
Although the underlying ETF’s shares are listed for trading on NYSE Arca, Inc. (the “NYSE Arca”) and a number of similar products have been traded on the NYSE Arca or other securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the shares of the underlying ETF or that there will be liquidity in the trading market.
In addition, the underlying ETF is subject to management risk, which is the risk that the underlying ETF investment advisor’s investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. For example, the underlying ETF investment advisor may select up to 10% of the underlying ETF’s assets to be invested in securities (including other funds) not included in its index and in money market instruments. The underlying ETF is also not actively managed and may be affected by a general decline in market segments relating to its index. The underlying ETF investment advisor invests in securities included in, or representative of, its index regardless of their investment merits. The underlying ETF investment advisor does not attempt to take defensive positions in declining markets.
In addition, the underlying ETF is subject to custody risk, which refers to the risks in the process of clearing and settling trades and to the holding of securities by local banks, agent and depositories.
Further, the underlying ETF is subject to listing standards adopted by NYSE Arca. There can be no assurance that the underlying ETF will continue to meet the applicable listing requirements, or that the underlying ETF will not be delisted.
The Underlying ETF and Its Index are Different and the Performance of the Underlying ETF May Not Correlate with the Performance of Its Index
Although the underlying ETF generally will invest at least 90% of its total assets in the securities that comprise its index, the underlying ETF may not hold all or substantially all of the equity securities included in its index and may hold securities or assets not included in its index. For example, it is possible that the underlying ETF may not always fully replicate the performance of its index due to unavailability of certain
PS-19
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
index securities in the secondary market or due to other extraordinary circumstances (e.g., if trading in a security has been halted). Further, although the underlying ETF seeks to track the performance of its index, the underlying ETF’s return may not match or achieve a high degree of correlation with the return of its index due to, among other things, transaction costs.
In addition, the performance of the underlying ETF will reflect additional transaction costs and fees that are not included in the calculation of its index and this may increase the tracking error of the underlying ETF. Also, corporate actions with respect to the sample of equity securities (such as mergers and spin-offs) may impact the performance differential between the underlying ETF and its index. Finally, because the shares of the underlying ETF are traded on NYSE Arca and are subject to market supply and investor demand, the market value of one share of the underlying ETF may differ from the net asset value per share of the underlying ETF.
For all of the foregoing reasons, the performance of the underlying ETF may not correlate with the performance of its index. Consequently, the return on the Trigger PLUS will not be the same as investing directly in the underlying ETF or in its index or in the underlying ETF stocks or in its index stocks, and will not be the same as investing in a debt security with a payment at maturity linked to the performance of its index.
Risks Related to Tax
The Tax Consequences of an Investment in Your Trigger PLUS Are Uncertain
The tax consequences of an investment in your Trigger PLUS are uncertain, both as to the timing and character of any inclusion in income in respect of your Trigger PLUS.
The Internal Revenue Service announced on December 7, 2007 that it is considering issuing guidance regarding the proper U.S. federal income tax treatment of an instrument such as your Trigger PLUS and any such guidance could adversely affect the tax treatment and the value of your Trigger PLUS. Among other things, the Internal Revenue Service may decide to require the holders to accrue ordinary income on a current basis and recognize ordinary income on payment at maturity, and could subject non-U.S. investors to withholding tax. Furthermore, in 2007, legislation was introduced in Congress that, if enacted, would have required holders that acquired instruments such as your Trigger PLUS after the bill was enacted to accrue interest income over the term of such instruments even though there will be no interest payments over the term of such instruments. It is not possible to predict whether a similar or identical bill will be enacted in the future, or whether any such bill would affect the tax treatment of your Trigger PLUS. We describe these developments in more detail under “Supplemental Discussion of U.S. Federal Income Tax Consequences– United States Holders – Possible Change in Law” below. You should consult your tax advisor about this matter. Except to the extent otherwise provided by law, GS Finance Corp. intends to continue treating your Trigger PLUS for U.S. federal income tax purposes in accordance with the treatment described under “Supplemental Discussion of U.S. Federal Income Tax Consequences” below unless and until such time as Congress, the Treasury Department or the Internal Revenue Service determine that some other treatment is more appropriate. Please also consult your tax advisor concerning the U.S. federal income tax and any other applicable tax consequences to you of owning your Trigger PLUS in your particular circumstances.
Your Trigger PLUS May Be Subject to the Constructive Ownership Rules
There exists a risk that the constructive ownership rules of Section 1260 of the Internal Revenue Code could apply to your Trigger PLUS. If your notes were subject to the constructive ownership rules, then any long-term capital gain that you realize upon the sale, exchange or maturity of your Trigger PLUS would be re-characterized as ordinary income (and you would be subject to an interest charge on deferred tax liability with respect to such re-characterized capital gain) to the extent that such capital gain exceeds the amount of “net underlying long-term capital gain” (as defined in Section 1260 of the Internal Revenue Code). Because the application of the constructive ownership rules is unclear you are strongly urged to consult your tax advisor with respect to the possible application of the constructive ownership rules to your investment in the Trigger PLUS.
PS-20
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Foreign Account Tax Compliance Act (FATCA) Withholding May Apply to Payments on Your Trigger PLUS, Including as a Result of the Failure of the Bank or Broker Through Which You Hold the Trigger PLUS to Provide Information to Tax Authorities
Please see the discussion under “United States Taxation — Taxation of Debt Securities — Foreign Account Tax Compliance Act (FATCA) Withholding” in the accompanying prospectus for a description of the applicability of FATCA to payments made on your Trigger PLUS.
PS-21
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
The shares of the Invesco S&P 500® Equal Weight ETF (the “ETF”) are issued by the Invesco Exchange-Traded Fund Trust (the “trust”), a registered investment company.
• | The ETF seeks to track the investment results, before fees and expenses, of the total return version of the S&P 500® Equal Weight Index (the “index”); |
• | Invesco Capital Management LLC currently serves as the investment advisor to the ETF; |
• | The ETF’s shares trade on the NYSE Arca under the ticker symbol “RSP”; |
• | The trust’s SEC CIK Number is 0001209466; |
• | The ETF’s inception date was April 24, 2003; and |
• | The ETF’s shares are issued or redeemed only in creation units of 10,000 shares or multiples thereof. |
We obtained the following fee information from the investment advisor website without independent verification. The investment advisor is entitled to receive a unitary management fee from the ETF based on a percentage of the ETF’s average daily net assets at an annual rate of 0.20%. The ETF may invest in money market funds that are managed by affiliates of the investment advisor. The indirect portion of the management fee that the ETF will incur through such investments is in addition to the unitary management fee. The investment advisor has agreed to waive the fees that it receives under the unitary management fee in an amount equal to the indirect management fees that the ETF incurs through its investments in affiliated money market funds through at least August 31, 2024.
Out of the unitary management fee, the investment advisor pays substantially all expenses of the ETF, including the cost of transfer agency, custody, fund administration, legal, audit and other services, except for advisory fees, distribution fees, if any, brokerage expenses, taxes, interest, litigation expenses, acquired fund fees and expenses, if any, and other extraordinary expenses. As of March 31, 2023, the expense ratio of the ETF was 0.20% per annum.
For additional information regarding the trust or the investment advisor, please consult the reports (including the Semi-Annual Report to Shareholders on Form N−CSRS for the period ended October 31, 2022) and other information the trust files with the SEC. In addition, information regarding the ETF (including the top ten constituent stocks and weights and sector weights) may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the investment advisor website at invesco.com/us/financial-products/etfs/product-detail?ticker=RSP. We are not incorporating by reference the website, the sources listed above or any material they include in this pricing supplement.
Investment Objective
The ETF uses an “indexing” investment approach to seek to track investment results, before fees and expenses, of the index. S&P Dow Jones Indices LLC (“S&P”) compiles, maintains and calculates the index. For more information on the index, see “The S&P 500® Equal Weight Index” below.
The ETF generally will invest at least 90% of its total assets in securities that comprise the index (the “index securities”). The ETF employs a “full replication” methodology in seeking to track the index, meaning that it generally will invest in all of the securities comprising the index in proportion to their weightings in the index. However, under various circumstances, it may not be possible or practicable to purchase all of the index securities in the same weightings at which they are reflected in the index. In those circumstances, the ETF may purchase a sample of index securities. A “sampling” methodology means that the investment advisor uses quantitative analysis to select securities from the index universe to obtain a representative sample of securities that have, in the aggregate, investment characteristics similar to the index in terms of key risk factors, performance attributes and other characteristics. These include industry weightings, market capitalization, return variability, earnings valuation, yield and other financial characteristics of securities. When employing a sampling methodology, the investment advisor bases the quantity of holdings in the ETF on a number of factors, including asset size of the ETF, and
PS-22
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
generally expects the ETF to hold less than the total number of securities in the index. However, the investment advisor reserves the right to invest the ETF in as many securities as it believes necessary to achieve the ETF’s investment objective.
There also may be instances in which the investment advisor may choose to (i) overweight or underweight a security in the ETF compared to its weight in the index, (ii) purchase securities not contained in the index that the investment advisor believes are appropriate to substitute for certain securities in the index or (iii) utilize various combinations of other available investment techniques in seeking to track the index. The ETF may sell securities included in the index in anticipation of their removal from the index, or purchase securities not included in the index in anticipation of their addition to the index.
The ETF, after investing at least 90% of its total assets in index securities, may invest its remaining assets in securities (including other funds) not included in the index and in money market instruments, including repurchase agreements and other funds, including affiliated funds, that invest exclusively in money market instruments (subject to applicable limitations under the Investment Company Act of 1940, or exemptions therefrom), convertible securities, structured notes (notes on which the amount of principal repayment and interest payments is based on the movement of one or more specified factors, such as the movement of a particular security or securities index) and in futures contracts, options and options on futures contracts. The ETF may use options, futures contracts, convertible securities and structured notes to seek performance that corresponds to the index, and to manage cash flows.
The ETF’s investment objective constitutes a non-fundamental policy that the Board of Trustees of the trust may change without shareholder approval, upon 60 days’ prior written notice to shareholders.
Notwithstanding the ETF’s investment objective, the return on your notes will not reflect any dividends paid on the ETF shares, on the securities purchased by the ETF or on the securities that comprise the index.
Correlation
The investment advisor seeks correlation over time of 0.95 or better between the ETF’s performance and the performance of the index (a figure of 1.00 would represent perfect correlation). Another means of evaluating the relationship between the returns of the ETF and the index is to assess the “tracking error” between the two. Tracking error refers to the variation between the ETF’s annual return and the return of the index, expressed in terms of standard deviation. The ETF seeks to have a tracking error of less than 5%, measured on a monthly basis over a one-year period by taking the standard deviation of the difference in the ETF’s return versus the index’s returns. Since the ETF uses an indexing approach to try to achieve its investment objective, the ETF will not take temporary defensive positions during periods of adverse market, economic or other conditions.
Although the investment advisor seeks to track the performance of the index as closely as possible (i.e., achieve a high degree of correlation with the return of the index), the ETF’s return may not match or achieve a high degree of correlation with the return of the index for a number of reasons. For example, the ETF incurs operating expenses not applicable to the index and incurs costs in buying and selling securities, especially when rebalancing the ETF’s securities holdings to reflect changes in the composition of the index. Furthermore, if the ETF used a sampling approach, it may result in returns that are not as well-correlated with the return of the index as would be the case if the ETF purchased all of the securities in the index in the proportions represented in the index. In addition, the performance of the ETF and the index may vary due to asset valuation differences and differences between the ETF’s portfolio and the index resulting from legal restrictions, costs or liquidity constraints.
The ETF is the successor to the Guggenheim S&P 500® Equal Weight ETF (the “predecessor fund”) as a result of the reorganization of the predecessor fund into the ETF, which was consummated after the close of business on April 6, 2018. Accordingly, the performance information shown below for periods ending on or prior to April 6, 2018 is that of the predecessor fund.
PS-23
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Industry Concentration Policy
In following its methodology, the index from time to time may be concentrated to a significant degree in securities of issuers located in a single industry or sector. To the extent that the index concentrates in the securities of issuers in a particular industry or sector, the ETF will also concentrate its investments to approximately the same extent.
Share Prices and the Secondary Market
The ETF issues and redeems shares at net asset value only with authorized participants and only in large blocks of 10,000 shares (each, a “creation unit”) or multiples thereof, generally in exchange for the deposit or delivery of a basket of securities. Except when aggregated in creation units, the shares are not redeemable securities of the ETF.
S&P 500® Equal Weight Index
The S&P 500® Equal Weight Index, which we also refer to in this description as the “index”:
• | is an equity index, and therefore cannot be invested in directly; |
• | does not file reports with the SEC because it is not an issuer; |
• | was first launched on January 8, 2003 based on an initial value of 353; and |
• | is sponsored by S&P Dow Jones Indices LLC (“S&P”). |
The S&P 500® Equal Weight Index is designed to be the size-neutral version of the S&P 500® Index. The S&P 500® Equal Weight Index employs the same eligibility criteria and constituent changes as the S&P 500® Index and the S&P 500® Equal Weight Index has the same constituents as the S&P 500® Index. At each quarterly rebalancing, each constituent of the S&P 500® Equal Weight Index is allocated the same weight as every other constituent in the index. The Index is calculated, maintained and published by S&P and is part of the S&P Dow Jones Indices family of indices. Additional information (including the sector weights) is available on the following websites: spglobal.com/spdji/en/indices/equity/sp-500-equal-weight-index/#overview. We are not incorporating by reference the websites or any material they include in this pricing supplement.
Index Construction
The S&P 500® Equal Weight Index is an equal-weighted version of the S&P 500® Index. Index composition is the same as the S&P 500® Index .Constituent changes are incorporated in the S&P 500® Equal Weight Index, as and when they are made in the S&P 500® Index. For information about the S&P 500® Index, please see “S&P 500® Index” below.
When a company is added to the S&P 500® Equal Weight Index in the middle of the quarter, it takes the weight of the company that it replaced. The one exception is when a company is removed from the S&P 500® Equal Weight Index at a price of $0.00. In such a case, the company’s replacement is added to the index at the weight using the previous day’s closing value, or the most immediate prior business day that the deleted company was not valued at $0.00.
Weighting
The S&P 500® Equal Weight Index is an equal-weighted index, meaning an index where every stock, or company, has the same weight in the index. As stock prices move, the weights will shift and exact equality will be lost. Therefore, an equal weighted index must be rebalanced from time to time to re-establish the proper weighting.
The S&P 500® Equal Weight Index is reset to equal weight quarterly after the close of business on the third Friday of March, June, September, and December. The reference date for weighting is the second Friday of the reweighting month and changes are effective after the close of the following Friday using prices as of the reweighting reference date, and membership, shares outstanding, and investable weight factors (“IWF”) as of the reweighting effective date. For those companies having multiple share class lines in the index, each share class line is assigned a weight that is proportional to its float-adjusted market capitalization as of the second Friday pricing reference date. Since index shares are assigned based on
PS-24
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
prices one week prior to the rebalancing, the actual weight of each company at the rebalancing differs from the target equal weights due to market movements.
Index Calculation
The ETF tracks the performance of the total return version of the S&P 500® Equal Weight Index. The overall approach to calculate the level of the S&P 500® Equal Weight Index is the same as the S&P 500® Index; except that each constituent’s market value in the S&P 500® Index is multiplied by its additional weight factor (AWF). The AWF is a number used to convert a constituent’s market value in the S&P 500® Index into an equal weight in the S&P 500® Equal Weight Index at the most recent quarterly rebalancing, while maintaining the total market value of the S&P 500® Index. Between quarterly rebalancings, the AWFs are fixed and therefore the weights of the constituents in the S&P 500® Equal Weight Index will shift as constituent prices increase or decrease. In order to re-establish equal weighting, new AWFs are calculated on a quarterly basis.
Index Maintenance
Several types of corporate actions, and their related treatment, are listed in the table below.
Corporate Action | Treatment |
Company addition/deletion | Fixed Component Count Index Treatment (Stock Replacements) The company entering the index goes in at the weight of the company coming out. If a company is being removed at a price of $0.00, the replacement goes in at the weight of the deleted company at the close on the day before the effective date. If more than one company is being replaced in the index on a single date, the replacements are added in the order specified in the client announcement. There will be change in index market capitalization and no divisor change for stock replacements except where a company is removed at a price of zero as noted above. Deletion The weights of all stocks in the index will proportionately change, due to the absolute change in the number of index constituents. Relative weights will stay the same. The index divisor will change due to the net change in the index market capitalization |
Change in shares outstanding | Shares outstanding changes are offset by an AWF. There is no change to the index market capitalization and no divisor adjustment. |
Split/reverse split | Shares outstanding are adjusted by split ratio. Stock price is adjusted by split ratio. There is no change to the index market capitalization and no divisor adjustment. |
Change in IWF | IWF changes are offset by an AWF. There is no change to the index market capitalization and no divisor adjustment. |
Special dividend | The stock price is adjusted by the amount of the dividend. The net change to the index market capitalization causes a divisor adjustment |
Rights offering | All rights offerings that are in the money on the ex-date are applied under the assumption the rights are fully subscribed. The stock price is adjusted by the value of the rights and the shares outstanding are increased by the rights ratio. The change in price and shares is offset by an AWF to keep the index market capitalization (stock weight) unchanged. There is no change to the index market capitalization and no divisor adjustment. |
PS-25
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
The S&P 500® Index, which we also refer to in this description as the “index”:
• | is an equity index, and therefore cannot be invested in directly; |
• | does not file reports with the SEC because it is not an issuer; |
• | was first launched on March 4, 1957 based on an initial value of 10 from 1941-1943; and |
• | is sponsored by S&P Dow Jones Indices LLC (“S&P”). |
The S&P 500® Index includes a representative sample of 500 companies in leading industries of the U.S. economy. The 500 companies are not the 500 largest companies listed on the NYSE and not all 500 companies are listed on the NYSE. S&P chooses companies for inclusion in the S&P 500® Index with an aim of achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population of the U.S. domiciled equity market. Although the S&P 500® Index contains 500 constituent companies, at any one time it may contain greater than 500 constituent trading lines since some companies included in the S&P 500® Index prior to July 31, 2017 may be represented by multiple share class lines in the S&P 500® Index. The S&P 500® Index is calculated, maintained and published by S&P and is part of the S&P Dow Jones Indices family of indices. Additional information about the S&P 500® Index (including the sector weights) is available on the following websites: spglobal.com/spdji/en/indices/equity/sp-500 and spglobal.com. We are not incorporating by reference the websites or any material they include in this pricing supplement.
S&P intends for the S&P 500® Index to provide a performance benchmark for the large-cap U.S. domiciled equity markets. Constituent changes are made on an as-needed basis and there is no schedule for constituent reviews. Index additions and deletions are announced with at least three business days advance notice. Less than three business days’ notice may be given at the discretion of the S&P Index Committee. Relevant criteria for additions to the S&P 500® Index that are employed by S&P include: the company proposed for addition should have an unadjusted company market capitalization of $12.7 billion or more and a security level float-adjusted market capitalization of at least 50% of such threshold (for spin-offs, eligibility is determined using when-issued prices, if available); the float-adjusted liquidity ratio of the stock (defined as the annual dollar value traded divided by the float-adjusted market capitalization) should be greater than or equal to 0.75 at the time of the addition to the S&P 500® Index and the stock should trade a minimum of 250,000 shares in each of the six months leading up to the evaluation date (current constituents have no minimum requirement), where the annual dollar value traded is calculated as the average closing price multiplied by the historical volume over the 365 calendar days prior to the evaluation date (reduced to the available trading period for IPOs , spin-offs or public companies considered to be U.S. domiciled for index purposes that do not have 365 calendar days of trading history on a U.S. exchange); the company must be a U.S. company (characterized as a Form 10-K filer with its U.S. portion of fixed assets and revenues constituting a plurality of the total and with a primary listing of the common stock on the NYSE, NYSE Arca, NYSE American (formerly NYSE MKT), Nasdaq Global Select Market, Nasdaq Select Market, Nasdaq Capital Market, Cboe BZX (formerly Bats BZX), Cboe BYX (formerly Bats BYX), Cboe EDGA (formerly Bats EDGA) or Cboe EDGX (formerly Bats EDGX) (each, an “eligible exchange”)); the proposed constituent has an investable weight factor (“IWF”) of 10% or more; the inclusion of the company will contribute to sector balance in the S&P 500® Index relative to sector balance in the market in the relevant market capitalization range; financial viability (the sum of the most recent four consecutive quarters’ Generally Accepted Accounting Principles (GAAP) earnings (net income excluding discontinued operations) should be positive as should the most recent quarter); and, for IPOs, the company must be traded on an eligible exchange for at least twelve months (for former SPACs, S&P considers the de-SPAC transaction to be an event equivalent to an IPO, and 12 months of trading post the de-SPAC event are required before a former SPAC can be considered for inclusion in the S&P 500® Index; spin-offs or in-specie distributions from existing constituents do not need to be traded on an eligible exchange for twelve months prior to their inclusion in the S&P 500® Index). In addition, constituents of the S&P MidCap 400® Index and the S&P SmallCap 600® Index can be added to the S&P 500® Index provided they meet the unadjusted company level market capitalization eligibility criteria for the S&P 500® Index. Migrations from the S&P MidCap 400® Index or the S&P SmallCap 600® Index do not need to meet
PS-26
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
the financial viability, liquidity, or 50% of the S&P 500® Index’s unadjusted company level minimum market capitalization threshold criteria. Further, constituents of the S&P Total Market Index Ex S&P Composite 1500 (which includes all eligible U.S. common equities except for those included in the S&P 500® Index, the S&P MidCap 400® Index and the S&P SmallCap 600® Index) that acquire a constituent of the S&P 500® Index, the S&P MidCap 400® Index or the S&P SmallCap 600® Index that do not fully meet all of the eligibility criteria may still be added to the S&P 500® Index at the discretion of the Index Committee if the merger consideration includes the acquiring company issuing stock to target company shareholders, and the Index Committee determines that the addition could minimize turnover and enhance the representativeness of the S&P 500® Index as a market benchmark. Certain types of organizational structures and securities are always excluded, including, but not limited to, business development companies (BDCs), limited partnerships, master limited partnerships, limited liability companies (LLCs), OTC bulletin board issues, closed-end funds, ETFs, ETNs, royalty trusts, tracking stocks, special purpose acquisition companies (SPACs), preferred stock and convertible preferred stock, unit trusts, equity warrants, convertible bonds, investment trusts, rights and American depositary receipts (ADRs). Stocks are deleted from the S&P 500® Index when they are involved in mergers, acquisitions or significant restructurings such that they no longer meet the inclusion criteria, and when they substantially violate one or more of the addition criteria. Stocks that are delisted or moved to the pink sheets or the bulletin board are removed, and those that experience a trading halt may be retained or removed in S&P’s discretion. S&P evaluates additions and deletions with a view to maintaining S&P 500® Index continuity.
For constituents included in the S&P 500® Index prior to July 31, 2017, all publicly listed multiple share class lines are included separately in the S&P 500® Index, subject to, in the case of any such share class line, that share class line satisfying the liquidity and float criteria discussed above and subject to certain exceptions. It is possible that one listed share class line of a company may be included in the S&P 500® Index while a second listed share class line of the same company is excluded. For companies that issue a second publicly traded share class to index share class holders, the newly issued share class line is considered for inclusion if the event is mandatory and the market capitalization of the distributed class is not considered to be de minimis.
As of July 31, 2017, companies with multiple share class lines are no longer eligible for inclusion in the S&P 500® Index. Only common shares are considered when determining whether a company has a multiple share class structure. Constituents of the S&P 500® Index prior to July 31, 2017 with multiple share class lines will be grandfathered in and continue to be included in the S&P 500® Index. If an S&P 500® Index constituent reorganizes into a multiple share class line structure, that company will be reviewed for continued inclusion in the S&P 500® Index at the discretion of the S&P Index Committee.
Calculation of the Total Return of the S&P 500® Index
The S&P 500® Index is calculated using a base-weighted aggregative methodology. The total return calculations begins with the price return of the S&P 500® Index. The value of the price return S&P 500® Index on any day for which an index value is published is determined by a fraction, the numerator of which is the aggregate of the market price of each stock in the S&P 500® Index times the number of shares of such stock included in the S&P 500® Index, and the denominator of which is the divisor, which is described more fully below. The “market value” of any index stock is the product of the market price per share of that stock times the number of the then-outstanding shares of such index stock that are then included in the S&P 500® Index.
The S&P 500® Index is also sometimes called a “base-weighted aggregative index” because of its use of a divisor. The “divisor” is a value calculated by S&P that is intended to maintain conformity in index values over time and is adjusted for all changes in the index stocks’ share capital after the “base date” as described below. The level of the S&P 500® Index reflects the total market value of all index stocks relative to the index’s base date of 1941-43.
In addition, the S&P 500® Index is float-adjusted, meaning that the share counts used in calculating the S&P 500® Index reflect only those shares available to investors rather than all of a company’s outstanding shares. S&P seeks to exclude shares held by long-term, strategic shareholders concerned with the control of a company, a group that generally includes the following: officers and directors and related
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GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
individuals whose holdings are publicly disclosed, private equity, venture capital, special equity firms, asset managers and insurance companies with board of director representation, publicly traded companies that hold shares in another company, holders of restricted shares (except for shares held as part of a lock-up agreement), company-sponsored employee share plans/trusts, defined contribution plans/savings, investment plans, foundations or family trusts associated with the company, government entities at all levels (except government retirement or pension funds), sovereign wealth funds and any individual person listed as a 5% or greater stakeholder in a company as reported in regulatory filings (collectively, “strategic holders”). To this end, S&P excludes all share-holdings (other than depositary banks, pension funds (including government pension and retirement funds), mutual funds, exchange traded fund providers, investment funds, asset managers that do not have direct board of director representation (including stakeholders who may have the right to appoint a board of director member but choose not to do so, stakeholders who have exercised a right to appoint a board of director “observer” even if that observer is employed by the stakeholder and stakeholders who have exercised a right to appoint an independent director who is not employed by the stakeholder), investment funds of insurance companies and independent foundations not associated with the company) with a position greater than 5% of the outstanding shares of a company from the float-adjusted share count to be used in S&P 500® Index calculations.
The exclusion is accomplished by calculating an IWF for each stock that is part of the numerator of the float-adjusted index fraction described above:
IWF = (available float shares)/(total shares outstanding)
where available float shares is defined as total shares outstanding less shares held by strategic holders. In most cases, an IWF is reported to the nearest one percentage point. For companies with multiple share class lines, a separate IWF is calculated for each share class line.
Once the price return S&P 500® Index has been calculated, the total return S&P 500® Index is calculated. First, the total daily dividend for each stock in the S&P 500® Index is calculated by multiplying the per share dividend by the number of shares included in the S&P 500® Index. Then the S&P 500® Index dividend is calculated by aggregating the total daily dividends for each of the S&P 500® Index stocks (which may be zero for some stocks) and dividing by the divisor for that day. Next the daily total return of the S&P 500® Index is calculated as a fraction minus 1, the numerator of which is the sum of the S&P 500® Index level plus the S&P 500® Index dividend and the denominator of which is the S&P 500® Index level on the previous day. Finally, the total return S&P 500® Index for that day is calculated as the product of the value of the total return S&P 500® Index on the previous day times the sum of 1 plus the S&P 500® Index daily total return for that day.
Maintenance of the S&P 500® Index
In order to keep the S&P 500® Index comparable over time S&P engages in an index maintenance process. The S&P 500® Index maintenance process involves changing the constituents as discussed above, and also involves maintaining quality assurance processes and procedures, adjusting the number of shares used to calculate the S&P 500® Index, monitoring and completing the adjustments for company additions and deletions, adjusting for stock splits and stock dividends and adjusting for other corporate actions. In addition to its daily governance of indices and maintenance of the S&P 500® Index methodology, at least once within any 12 month period, the S&P Index Committee reviews the S&P 500® Index methodology to ensure the S&P 500® Index continues to achieve the stated objective, and that the data and methodology remain effective. The S&P Index Committee may at times consult with investors, market participants, security issuers included in or potentially included in the S&P 500® Index, or investment and financial experts.
Divisor Adjustments
The two types of adjustments primarily used by S&P are divisor adjustments and adjustments to the number of shares (including float adjustments) used to calculate the S&P 500® Index. Set forth below under “Adjustments for Corporate Actions” is a table of certain corporate events and their resulting effect on the divisor and the share count. If a corporate event requires an adjustment to the divisor, that event has the effect of altering the market value of the affected index stock and consequently of altering the
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June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
aggregate market value of the index stocks following the event. In order that the level of the S&P 500® Index not be affected by the altered market value (which could be an increase or decrease) of the affected index stock, S&P generally derives a new divisor by dividing the post-event market value of the index stocks by the pre-event index value, which has the effect of reducing the S&P 500® Index’s post-event value to the pre-event level.
Changes to the Number of Shares of a Constituent
The index maintenance process also involves tracking the changes in the number of shares included for each of the index companies. Changes as a result of mandatory events, such as mergers or acquisition driven share/IWF changes, stock splits and mandatory distributions are not subject to a minimum threshold for implementation and are implemented when the transaction occurs. At S&P’s discretion, however, de minimis merger and acquisition changes may be accumulated and implemented with the updates made with the quarterly share updates as described below. Material share/IWF changes resulting from certain non-mandatory corporate actions follow the accelerated implementation rule. Non-material share/IWF changes are implemented quarterly.
Accelerated Implementation Rule
1. Public offerings. Public offerings of new company-issued shares and/or existing shares offered by selling shareholders, including block sales and spot secondaries, will be eligible for accelerated implementation treatment if the size of the event meets the materiality threshold criteria:
(a) | at least US $150 million, and |
(b) | at least 5% of the pre-event total shares. |
In addition to the materiality threshold, public offerings must satisfy the following conditions:
• | be underwritten. |
• | have a publicly available prospectus, offering document, or prospectus summary filed with the relevant authorities. |
• | have a publicly available confirmation from an official source that the offering has been completed. |
For public offerings that involve a concurrent combination of new company shares and existing shares offered by selling shareholders, both events are implemented if either of the public offerings represent at least 5% of total shares and $150 million. Any concurrent share repurchase by the affected company will also be included in the implementation.
2. Dutch Auctions, self-tender offer buybacks, and split-off exchange offers. These nonmandatory corporate action types will be eligible for accelerated implementation treatment regardless of size once the final results are publicly announced and verified by S&P.
For companies with multiple share class lines, the criteria specified above apply to each individual multiple share class line rather than total company shares.
Exception to the Accelerated Implementation Rule
For non-mandatory corporate actions subject to the accelerated implementation rule with a size of at least US $1 billion, S&P will apply the share change, and any resulting IWF change, using the latest share and ownership information publicly available at the time of the announcement, even if the offering size is below the 5% threshold. This exception ensures that very large events are recognized in a timely manner using the latest available information.
Any non-fully paid or non-fully settled offering such as forward sales agreements are not eligible for accelerated implementation. Share updates resulting from completion of subscription receipts terms or the settlement of forward sale agreements are updated at a future quarterly share rebalancing.
All non-mandatory events not covered by the accelerated implementation rule (including but not limited to private placements, acquisition of private companies, and conversion of non-index share lines) will be implemented quarterly coinciding with the third Friday of the third month in each calendar quarter. In addition, events that were not implemented under the accelerated implementation rule but were found to
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June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
have been eligible, (e.g. due to lack of publicly available information at the time of the event) are implemented as part of a quarterly rebalancing.
Announcement Policy
For accelerated implementation, S&P will generally provide two (2) business days’ notice for all non-U.S. listed stocks and U.S. listed depositary receipts, and one (1) business days’ notice for all non-depositary receipt U.S. listed stocks.
IWF Updates
Accelerated implementation for events less than $1 billion will include an adjustment to the company’s IWF only to the extent that such an IWF change helps the new float share total mimic the shares available in the offering. To minimize unnecessary turnover, these IWF changes do not need to meet any minimum threshold requirement for implementation. Any IWF change resulting in an IWF of 0.96 or greater is rounded up to 1.00 at the next annual IWF review.
IWF changes will only be made at the quarterly review if the change represents at least 5% of total current shares outstanding and is related to a single corporate action that did not qualify for the accelerated implementation rule, regardless of whether there is an associated share change.
Quarterly share change events resulting from the conversion of derivative securities, acquisitions of private companies, or acquisitions of non-index companies that do not trade on a major exchange are considered to be available to investors unless there is explicit information stating that the new owner is a strategic holder.
Other than the situations described above, please note that IWF changes are only made at the annual IWF review.
Rebalancing Guidelines – Share/IWF Reference Date & Freeze Period
A reference date, after the market close five weeks prior to the third Friday in March, June, September, and December, is the cutoff for publicly available information used for quarterly shares outstanding and IWF changes. All shares outstanding and ownership information contained in public filings and/or official sources dated on or before the reference date are included in that quarter’s update. In addition, there is a freeze period on a quarterly basis for any changes that result from the accelerated implementation rules.
Pro-forma files for float-adjusted market capitalization indices are generally released after the market close on the first Friday, two weeks prior to the rebalancing effective date. Pro-forma files for capped and alternatively weighted indices are generally released after the market close on the second Friday, one week prior to the rebalancing effective date. For illustration purposes, if rebalancing pro-forma files are scheduled to be released on Friday, March 5, the share/IWF freeze period will begin after the close of trading on Tuesday, March 9 and will end after the close of trading the following Friday, March 19 (i.e. the third Friday of the rebalancing month).
During the share/IWF freeze period, shares and IWFs are not changed and the accelerated implementation rule is suspended, except for mandatory corporate action events (such as merger activity, stock splits, and rights offerings). The suspension includes all changes that qualify for accelerated implementation and would typically be announced or effective during the share/IWF freeze period. At the end of the freeze period all suspended changes will be announced on the third Friday of the rebalancing month and implemented five business days after the quarterly rebalancing effective date.
Adjustments for Corporate Actions
There is a large range of corporate actions that may affect companies included in the S&P 500® Index. Certain corporate actions require S&P to recalculate the share count or the float adjustment or to make an adjustment to the divisor to prevent the value of the S&P 500® Index from changing as a result of the corporate action. This helps ensure that the movement of the S&P 500® Index does not reflect the corporate actions of individual companies in the S&P 500® Index.
Spin-Offs
As a general policy, a spin-off security is added to the S&P 500® Index on the ex-date at a price of zero (with no divisor adjustment) and will remain in the S&P 500® Index for at least one trading day. The spin-
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GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
off security will remain in the S&P 500® Index if it meets all eligibility criteria. If the spin-off security is determined ineligible to remain in the S&P 500® Index, it will generally be removed after at least one day of regular way trading (with a divisor adjustment). The weight of the spin-off being deleted is reinvested across all the index components proportionately such that the relative weights of all index components are unchanged. The net change in index market capitalization will cause a divisor change.
Companies that are spun off from a constituent of the S&P 500® Index do not need to meet the eligibility criteria for new constituents, but they should be considered U.S. domiciled for index purposes. At the discretion of the Index Committee, a spin-off company may be retained in the S&P 500® Index if the Index Committee determines it has a total market capitalization representative of the S&P 500® Index. If the spin-off company’s estimated market capitalization is below the minimum unadjusted company market capitalization for the S&P 500® Index but there are other constituent companies in the S&P 500® Index that have a significantly lower total market capitalization than the spin-off company, the Index Committee may decide to retain the spin-off company in the S&P 500® Index.
Several additional types of corporate actions, and their related treatment, are listed in the table below.
Corporate Action | Treatment |
Company addition/deletion | Addition Companies are added at the float market capitalization weight. The net change to the index market capitalization causes a divisor adjustment. Deletion The weights of all stocks in the index will proportionally change. Relative weights will stay the same. The index divisor will change due to the net change in the index market capitalization |
Change in shares outstanding | Increasing (decreasing) the shares outstanding increases (decreases) the market capitalization of the index. The change to the index market capitalization causes a divisor adjustment. |
Split/reverse split | Shares outstanding are adjusted by split ratio. Stock price is adjusted by split ratio. There is no change to the index market capitalization and no divisor adjustment. |
Change in IWF | Increasing (decreasing) the IWF increases (decreases) the market capitalization of the index. A net change to the index market capitalization causes a divisor adjustment. |
Ordinary dividend | When a company pays an ordinary cash dividend, the index does not make any adjustments to the price or shares of the stock. As a result there are no divisor adjustments to the index. |
Special dividend | The stock price is adjusted by the amount of the dividend. The net change to the index market capitalization causes a divisor adjustment |
Rights offering | All rights offerings that are in the money on the ex-date are applied under the assumption the rights are fully subscribed. The stock price is adjusted by the value of the rights and the shares outstanding are increased by the rights ratio. The net change in market capitalization causes a divisor adjustment. |
Any company that is removed from the S&P 500® Index, the S&P MidCap 400® Index or the S&P SmallCap 600® Index must wait a minimum of one year from its removal date before being reconsidered as a replacement candidate for the S&P 500® Index.
Recalculation Policy
S&P reserves the right to recalculate and republish the S&P 500® Index at its discretion in the event one of the following issues has occurred: (1) incorrect or revised closing price of one or more constituent
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June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
securities; (2) missed or misapplied corporate action; (3) incorrect application of an index methodology; (4) late announcement of a corporate action; or (5) incorrect calculation or data entry error. The decision to recalculate the S&P 500® Index is made at the discretion of the index manager and/or index committee, as further discussed below. The potential market impact or disruption resulting from a recalculation is considered when making any such decision. In the event of an incorrect closing price, a missed or misapplied corporate action, a late announcement of a corporate action, or an incorrect calculation or data entry error that is discovered within two trading days of its occurrence, generally the S&P 500® Index is recalculated. In the event any such event is discovered beyond the two trading day period, the index committee shall decide whether the S&P 500® Index should be recalculated. In the event of an incorrect application of the methodology that results in the incorrect composition and/or weighting of index constituents, the index committee shall determine whether or not to recalculate the S&P 500® Index following specified guidelines. In the event that the S&P 500® Index is recalculated, it shall be done within a reasonable timeframe following the detection and review of the issue.
Calculations and Pricing Disruptions
Closing levels for the S&P 500® Index are calculated by S&P based on the closing price of the individual constituents of the S&P 500® Index as set by their primary exchange. Closing prices are received by S&P from one of its third party vendors and verified by comparing them with prices from an alternative vendor. The vendors receive the closing price from the primary exchanges. Real-time intraday prices are calculated similarly without a second verification. Official end-of-day calculations are based on each stock’s primary market closing price. Prices used for the calculation of real time index values are based on the “Consolidated Tape”. The Consolidated Tape is an aggregation of trades for each constituent over all regional exchanges and trading venues and includes the primary exchange. If there is a failure or interruption on one or more exchanges, real-time calculations will continue as long as the “Consolidated Tape” is operational.
If an interruption is not resolved prior to the market close, official closing prices will be determined by following the hierarchy set out in NYSE Rule 123C. A notice is published on the S&P website at spglobal.com indicating any changes to the prices used in S&P 500® Index calculations. In extreme circumstances, S&P may decide to delay index adjustments or not publish the S&P 500® Index. Real-time indices are not restated.
Unexpected Exchange Closures
An unexpected market/exchange closure occurs when a market/exchange fully or partially fails to open or trading is temporarily halted. This can apply to a single exchange or to a market as a whole, when all of the primary exchanges are closed and/or not trading. Unexpected market/exchange closures are usually due to unforeseen circumstances, such as natural disasters, inclement weather, outages, or other events.
To a large degree, S&P is dependent on the exchanges to provide guidance in the event of an unexpected exchange closure. S&P’s decision making is dependent on exchange guidance regarding pricing and mandatory corporate actions.
NYSE Rule 123C provides closing contingency procedures for determining an official closing price for listed securities if the exchange is unable to conduct a closing transaction in one or more securities due to a system or technical issue.
3:00 PM ET is the deadline for an exchange to determine its plan of action regarding an outage scenario. As such, S&P also uses 3:00 PM ET as the cutoff.
If all major exchanges fail to open or unexpectedly halt trading intraday due to unforeseen circumstances, S&P will take the following actions:
Market Disruption Prior to Open of Trading:
(i) | If all exchanges indicate that trading will not open for a given day, S&P will treat the day as an unscheduled market holiday. The decision will be communicated to clients as soon as possible through the normal channels. Indices containing multiple markets will be calculated as normal, provided that at least one market is open that day. Indices which only contain closed markets will not be calculated. |
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GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
(ii) | If exchanges indicate that trading, although delayed, will open for a given day, S&P will begin index calculation when the exchanges open. |
Market Disruption Intraday:
(i) | If exchanges indicate that trading will not resume for a given day, the S&P 500® Index level will be calculated using prices determined by the exchanges based on NYSE Rule 123C. Intraday S&P 500® Index values will continue to use the last traded composite price until the primary exchange publishes official closing prices. |
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June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Historical Closing Prices of the Underlying ETF
The closing price of the underlying ETF has fluctuated in the past and may, in the future, experience significant fluctuations. In particular, the underlying ETF has recently experienced extreme and unusual volatility. Any historical upward or downward trend in the closing price of the underlying ETF during any period shown below is not an indication that the underlying ETF is more or less likely to increase or decrease at any time during the life of your Trigger PLUS.
You should not take the historical closing prices of the underlying ETF as an indication of the future performance of the underlying ETF, including because of the recent volatility described above. We cannot give you any assurance that the future performance of the underlying ETF or the underlying ETF stocks will result in your receiving an amount greater than the outstanding principal amount of your Trigger PLUS on the stated maturity date, or that you will not lose a significant portion or all of your investment.
Neither we nor any of our affiliates make any representation to you as to the performance of the underlying ETF. Before investing in the Trigger PLUS, you should consult publicly available information to determine the prices of the underlying ETF between the date of this pricing supplement and the date of your purchase of the Trigger PLUS and, given the recent volatility described above, you should pay particular attention to recent prices of the underlying ETF. The actual performance of the underlying ETF over the life of the offered Trigger PLUS, as well as the payment at maturity, if any, may bear little relation to the historical closing prices of the underlying ETF shown below.
The table below shows the high, low and period end closing prices of the Invesco S&P 500® Equal Weight ETF for each of the four calendar quarters in 2018, 2019, 2020, 2021 and 2022 and the first two calendar quarters of 2023 (through June 2, 2023). We obtained the closing prices of the underlying ETF listed in the tables below from Bloomberg Financial Services, without independent verification.
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GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Historical Quarterly High, Low and Period End Closing Prices of the Invesco S&P 500® Equal Weight ETF
|
High |
Low |
Period End |
2018 |
|
|
|
Quarter ended March 31 | $107.43 | $96.79 | $99.48 |
Quarter ended June 30 | $104.54 | $97.30 | $101.89 |
Quarter ended September 30 | $108.58 | $101.80 | $106.81 |
Quarter ended December 31 | $106.81 | $86.19 | $91.40 |
2019 |
|
|
|
Quarter ended March 31 | $104.84 | $89.68 | $104.44 |
Quarter ended June 30 | $108.19 | $100.69 | $107.80 |
Quarter ended September 30 | $110.18 | $102.40 | $108.08 |
Quarter ended December 31 | $115.93 | $103.92 | $115.72 |
2020 |
|
|
|
Quarter ended March 31 | $118.71 | $71.66 | $84.02 |
Quarter ended June 30 | $113.09 | $79.83 | $101.76 |
Quarter ended September 30 | $113.96 | $100.38 | $108.11 |
Quarter ended December 31 | $127.54 | $106.78 | $127.54 |
2021 |
|
|
|
Quarter ended March 31 | $142.80 | $125.70 | $141.66 |
Quarter ended June 30 | $152.26 | $143.08 | $150.73 |
Quarter ended September 30 | $157.39 | $146.61 | $149.82 |
Quarter ended December 31 | $163.01 | $150.88 | $162.75 |
2022 |
|
|
|
Quarter ended March 31 | $164.20 | $148.26 | $157.71 |
Quarter ended June 30 | $158.96 | $130.84 | $134.23 |
Quarter ended September 30 | $152.39 | $127.28 | $127.28 |
Quarter ended December 31 | $149.03 | $128.02 | $141.25 |
2023 |
|
|
|
Quarter ended March 31 | $154.96 | $137.35 | $144.62 |
Quarter ending June 30 (through June 2, 2023) | $145.68 | $139.61 | $143.73 |
PS-35
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
The graph below shows the daily historical closing prices of the underlying ETF from January 1, 2018 through June 2, 2023. As a result, the following graph does not reflect the global financial crisis which began in 2008, which had a materially negative impact on the price of most equity securities and, as a result, the level of most equity ETFs. We obtained the closing prices of the underlying ETF in the graph below from Bloomberg Financial Services, without independent verification. The underlying ETF is the successor to the Guggenheim S&P 500® Equal Weight ETF (the “predecessor fund”) as a result of the reorganization of the predecessor fund into the underlying ETF, which was consummated after the close of business on April 6, 2018. In the graph, historical closing prices after the reorganization of the predecessor fund into the underlying ETF on April 6, 2018 can be found to the right of the vertical solid line marker. Closing prices to the left of the vertical solid line marker reflect the closing prices of the underlying ETF before the reorganization of the predecessor fund into the underlying ETF as of the close of business on April 6, 2018.
Historical Performance of the Invesco S&P 500® Equal Weight ETF
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June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Supplemental Discussion of U.S. Federal Income Tax Consequences
The following section supplements the discussion of U.S. federal income taxation in the accompanying prospectus.
The following section is the opinion of Sidley Austin llp, counsel to GS Finance Corp. and The Goldman Sachs Group, Inc. In addition, it is the opinion of Sidley Austin llp that the characterization of each Trigger PLUS for U.S. federal income tax purposes that will be required under the terms of each Trigger PLUS, as discussed below, is a reasonable interpretation of current law.
This section does not apply to you if you are a member of a class of holders subject to special rules, such as:
• | a dealer in securities or currencies; |
• | a trader in securities that elects to use a mark-to-market method of accounting for your securities holdings; |
• | a bank; |
• | a life insurance company; |
• | a regulated investment company; |
• | an accrual method taxpayer subject to special tax accounting rules as a result of its use of financial statements; |
• | a tax exempt organization; |
• | a partnership; |
• | a person that owns a Trigger PLUS as a hedge or that is hedged against interest rate risks; |
• | a person that owns a Trigger PLUS as part of a straddle or conversion transaction for tax purposes; or |
• | a United States holder (as defined below) whose functional currency for tax purposes is not the U.S. dollar. |
Although this section is based on the U.S. Internal Revenue Code of 1986, as amended, its legislative history, existing and proposed regulations under the Internal Revenue Code, published rulings and court decisions, all as currently in effect, no statutory, judicial or administrative authority directly discusses how your Trigger PLUS should be treated for U.S. federal income tax purposes, and as a result, the U.S. federal income tax consequences of your investment in your Trigger PLUS are uncertain. Moreover, these laws are subject to change, possibly on a retroactive basis.
You should consult your tax advisor concerning the U.S. federal income tax and other tax consequences of your investment in the Trigger PLUS, including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws. |
United States Holders
This section applies to you only if you are a United States holder that holds your Trigger PLUS as a capital asset for tax purposes. You are a United States holder if you are a beneficial owner of a Trigger PLUS and you are:
• | a citizen or resident of the United States; |
• | a domestic corporation; |
• | an estate whose income is subject to U.S. federal income tax regardless of its source; or |
• | a trust if a United States court can exercise primary supervision over the trust’s administration and one or more United States persons are authorized to control all substantial decisions of the trust. |
Tax Treatment. You will be obligated pursuant to the terms of your Trigger PLUS — in the absence of a change in law, an administrative determination or a judicial ruling to the contrary — to characterize your
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June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Trigger PLUS for all tax purposes as pre-paid derivative contracts in respect of the underlying ETF. Except as otherwise stated below, the discussion herein assumes that your Trigger PLUS will be so treated.
Upon the sale, exchange or maturity of your Trigger PLUS, you should recognize capital gain or loss equal to the difference, if any, between the amount of cash you receive at such time and your tax basis in your Trigger PLUS. Your tax basis in the Trigger PLUS will generally be equal to the amount that you paid for the Trigger PLUS. If you hold your Trigger PLUS for more than one year, the gain or loss generally will be long-term capital gain or loss. If you hold your Trigger PLUS for one year or less, the gain or loss generally will be short-term capital gain or loss. Short-term capital gains are generally subject to tax at the marginal tax rates applicable to ordinary income.
In addition, the constructive ownership rules of Section 1260 of the Internal Revenue Code could possibly apply to your Trigger PLUS. If your Trigger PLUS were subject to the constructive ownership rules, then any long-term capital gain that you realize upon the sale, exchange, or maturity of your Trigger PLUS would be re-characterized as ordinary income (and you would be subject to an interest charge on deferred tax liability with respect to such re-characterized capital gain) to the extent that such capital gain exceeds the amount of “net underlying long-term capital gain” (as defined in Section 1260 of the Internal Revenue Code). Because the application of the constructive ownership rules is unclear you are strongly urged to consult your tax advisor with respect to the possible application of the constructive ownership rules to your investment in the Trigger PLUS.
No statutory, judicial or administrative authority directly discusses how your Trigger PLUS should be treated for U.S. federal income tax purposes. As a result, the U.S. federal income tax consequences of your investment in the Trigger PLUS are uncertain and alternative characterizations are possible. Accordingly, we urge you to consult your tax advisor in determining the tax consequences of an investment in your Trigger PLUS in your particular circumstances, including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws.
Alternative Treatments. There is no judicial or administrative authority discussing how your Trigger PLUS should be treated for U.S. federal income tax purposes. Therefore, the Internal Revenue Service might assert that a treatment other than that described above is more appropriate. For example, the Internal Revenue Service could treat your Trigger PLUS as a single debt instrument subject to special rules governing contingent payment debt instruments. Under those rules, the amount of interest you are required to take into account for each accrual period would be determined by constructing a projected payment schedule for the Trigger PLUS and applying rules similar to those for accruing original issue discount on a hypothetical noncontingent debt instrument with that projected payment schedule. This method is applied by first determining the comparable yield – i.e., the yield at which we would issue a noncontingent fixed rate debt instrument with terms and conditions similar to your Trigger PLUS – and then determining a payment schedule as of the issue date that would produce the comparable yield. These rules may have the effect of requiring you to include interest in income in respect of your Trigger PLUS prior to your receipt of cash attributable to that income.
If the rules governing contingent payment debt instruments apply, any gain you recognize upon the sale, exchange or maturity of your Trigger PLUS would be treated as ordinary interest income. Any loss you recognize at that time would be ordinary loss to the extent of interest you included as income in the current or previous taxable years in respect of your Trigger PLUS, and, thereafter, capital loss.
If the rules governing contingent payment debt instruments apply, special rules would apply to a person who purchases a Trigger PLUS at a price other than the adjusted issue price as determined for tax purposes.
It is also possible that your Trigger PLUS could be treated in the manner described above, except that any gain or loss that you recognize at maturity would be treated as ordinary gain or loss. You should consult your tax advisor as to the tax consequences of such characterization and any possible alternative characterizations of your Trigger PLUS for U.S. federal income tax purposes.
PS-38
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
It is possible that the Internal Revenue Service could seek to characterize your Trigger PLUS in a manner that results in tax consequences to you that are different from those described above. You should consult your tax advisor as to the tax consequences of any possible alternative characterizations of your Trigger PLUS for U.S. federal income tax purposes.
Possible Change in Law
On December 7, 2007, the Internal Revenue Service released a notice stating that the Internal Revenue Service and the Treasury Department are actively considering issuing guidance regarding the proper U.S. federal income tax treatment of an instrument such as the offered Trigger PLUS, including whether holders should be required to accrue ordinary income on a current basis and whether gain or loss should be ordinary or capital. It is not possible to determine what guidance they will ultimately issue, if any. It is possible, however, that under such guidance, holders of the Trigger PLUS will ultimately be required to accrue income currently and this could be applied on a retroactive basis. The Internal Revenue Service and the Treasury Department are also considering other relevant issues, including whether foreign holders of such instruments should be subject to withholding tax on any deemed income accruals, and whether the special “constructive ownership rules” of Section 1260 of the Internal Revenue Code might be applied to such instruments. Except to the extent otherwise provided by law, GS Finance Corp. intends to continue treating each Trigger PLUS for U.S. federal income tax purposes in accordance with the treatment described above under “Tax Treatment” unless and until such time as Congress, the Treasury Department or the Internal Revenue Service determine that some other treatment is more appropriate.
Furthermore, in 2007, legislation was introduced in Congress that, if enacted, would have required holders that acquired instruments such as your Trigger PLUS after the bill was enacted to accrue interest income over the term of such instruments even though there will be no interest payments over the term of such instruments. It is not possible to predict whether a similar or identical bill will be enacted in the future, or whether any such bill would affect the tax treatment of your Trigger PLUS.
It is impossible to predict what any such legislation or administrative or regulatory guidance might provide, and whether the effective date of any legislation or guidance will affect a Trigger PLUS issued before the date that such legislation or guidance is issued. You are urged to consult your tax advisor as to the possibility that any legislative or administrative action may adversely affect the tax treatment of your Trigger PLUS.
Backup Withholding and Information Reporting
You will be subject to generally applicable information reporting and backup withholding requirements as discussed in the accompanying prospectus under “United States Taxation — Taxation of Debt Securities — Backup Withholding and Information Reporting — United States Holders” with respect to payments on your Trigger PLUS and, notwithstanding that we do not intend to treat the Trigger PLUS as debt for tax purposes, we intend to backup withhold on such payments with respect to your Trigger PLUS unless you comply with the requirements necessary to avoid backup withholding on debt instruments (in which case you will not be subject to such backup withholding) as set forth under “United States Taxation — Taxation of Debt Securities — United States Holders” in the accompanying prospectus. Please see the discussion under “United States Taxation — Taxation of Debt Securities — Backup Withholding and Information Reporting—United States Holders” in the accompanying prospectus for a description of the applicability of the backup withholding and information reporting rules to payments made on your Trigger PLUS.
Non-United States Holders
This section applies to you only if you are a non-United States holder. You are a non-United States holder if you are the beneficial owner of a Trigger PLUS and are, for U.S. federal income tax purposes:
• | a nonresident alien individual; |
• | a foreign corporation; or |
PS-39
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
• | an estate or trust that in either case is not subject to U.S. federal income tax on a net income basis on income or gain from a Trigger PLUS. |
You will be subject to generally applicable information reporting and backup withholding requirements as discussed in the accompanying prospectus under “United States Taxation — Taxation of Debt Securities — Backup Withholding and Information Reporting — Non-United States Holders” with respect to payments on your Trigger PLUS at maturity and, notwithstanding that we do not intend to treat each Trigger PLUS as debt for tax purposes, we intend to backup withhold on such payments with respect to your Trigger PLUS unless you comply with the requirements necessary to avoid backup withholding on debt instruments (in which case you will not be subject to such backup withholding) as set forth under “United States Taxation — Taxation of Debt Securities — Non-United States Holders” in the accompanying prospectus.
Furthermore, on December 7, 2007, the Internal Revenue Service released Notice 2008-2 soliciting comments from the public on various issues, including whether instruments such as your Trigger PLUS should be subject to withholding. It is therefore possible that rules will be issued in the future, possibly with retroactive effect, that would cause payments on your Trigger PLUS at maturity to be subject to withholding, even if you comply with certification requirements as to your foreign status.
As discussed above, alternative characterizations of each Trigger PLUS for U.S. federal income tax purposes are possible. Should an alternative characterization of each Trigger PLUS by reason of a change or clarification of the law, by regulation or otherwise, cause payments at maturity with respect to the Trigger PLUS to become subject to withholding tax, we will withhold tax at the applicable statutory rate and we will not make payments of any additional amounts. Prospective non-United States holders of a Trigger PLUS should consult their tax advisors in this regard.
In addition, the Treasury Department has issued regulations under which amounts paid or deemed paid on certain financial instruments (“871(m) financial instruments”) that are treated as attributable to U.S.-source dividends could be treated, in whole or in part depending on the circumstances, as a “dividend equivalent” payment that is subject to tax at a rate of 30% (or a lower rate under an applicable treaty), which in the case of any amounts you receive upon the sale, exchange or maturity of your Trigger PLUS, could be collected via withholding. If these regulations were to apply to your Trigger PLUS, we may be required to withhold such taxes if any U.S.-source dividends are paid on the underlying ETF during the term of the Trigger PLUS. We could also require you to make certifications (e.g., an applicable Internal Revenue Service Form W-8) prior to the maturity of the Trigger PLUS in order to avoid or minimize withholding obligations, and we could withhold accordingly (subject to your potential right to claim a refund from the Internal Revenue Service) if such certifications were not received or were not satisfactory. If withholding was required, we would not be required to pay any additional amounts with respect to amounts so withheld. These regulations generally will apply to 871(m) financial instruments (or a combination of financial instruments treated as having been entered into in connection with each other) issued (or significantly modified and treated as retired and reissued) on or after January 1, 2025, but will also apply to certain 871(m) financial instruments (or a combination of financial instruments treated as having been entered into in connection with each other) that have a delta (as defined in the applicable Treasury regulations) of one and are issued (or significantly modified and treated as retired and reissued) on or after January 1, 2017. In addition, these regulations will not apply to financial instruments that reference a “qualified index” (as defined in the regulations). We have determined that, as of the issue date of your Trigger PLUS, your Trigger PLUS will not be subject to withholding under these rules. In certain limited circumstances, however, you should be aware that it is possible for non-United States holders to be liable for tax under these rules with respect to a combination of transactions treated as having been entered into in connection with each other even when no withholding is required. You should consult your tax advisor concerning these regulations, subsequent official guidance and regarding any other possible alternative characterizations of your Trigger PLUS for U.S. federal income tax purposes.
PS-40
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Foreign Account Tax Compliance Act (FATCA) Withholding
Pursuant to Treasury regulations, Foreign Account Tax Compliance Act (FATCA) withholding (as described in “United States Taxation—Taxation of Debt Securities—Foreign Account Tax Compliance Act (FATCA) Withholding” in the accompanying prospectus) will generally apply to obligations that are issued on or after July 1, 2014; therefore, the Trigger PLUS will generally be subject to the FATCA withholding rules.
PS-41
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Additional Information About the Trigger PLUS
This section is meant as a summary and should be read in conjunction with the section entitled “Supplemental Terms of the Notes” on page S-13 of the accompanying general terms supplement no. 8,999. This pricing supplement supersedes any conflicting provisions of the accompanying general terms supplement no. 8,999.
Please read this information in conjunction with the summary terms on the front cover of this pricing supplement.
Additional Provisions: |
|
Underlying ETF investment advisor: | Invesco Capital Management LLC |
Denominations: | $1,000 and integral multiples of $1,000 in excess thereof |
Interest: | None |
Postponement of valuation date: | As described under “Supplemental Terms of the Notes — Determination Date” on page S-17 of the accompanying general terms supplement no. 8,999 |
Postponement of stated maturity date: | As described under "Supplemental Terms of the Notes — Stated Maturity Date” on page S-17 of the accompanying general terms supplement no. 8,999 |
Specified currency: | U.S. dollars (“$”) |
Closing price of the underlying ETF: | As described under “Supplemental Terms of the Notes — Special Calculation Provisions — Closing Level” on page S-37 of the accompanying general terms supplement no. 8,999, subject to anti-dilution adjustments as described under “Supplemental Terms of the Notes — Anti-dilution Adjustments for Exchange-Traded Funds” on page S-34 of the accompanying general terms supplement no. 8,999 |
Business day: | As described under “Supplemental Terms of the Notes — Special Calculation Provisions — Business Day” on page S-37 of the accompanying general terms supplement no. 8,999 |
ETF business day: | As described under “Supplemental Terms of the Notes — Special Calculation Provisions — Trading Day” on page S-37 of the accompanying general terms supplement no. 8,999 |
Scheduled ETF business day: | As described under “Supplemental Terms of the Notes — Special Calculation Provisions — Trading Day” on page S-37 of the accompanying general terms supplement no. 8,999 |
FDIC: | The Trigger PLUS are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank |
Trustee: | The Bank of New York Mellon |
Calculation agent: | GS&Co. |
Use of proceeds and hedging: | As described under “Use of Proceeds” and “Hedging” on page S-43 of the accompanying general terms supplement no. 8,999 |
ERISA: | As described under “Employee Retirement Income Security Act” on page S‑50 of the accompanying general terms supplement no. 8,999 |
Trustee: | The Bank of New York Mellon |
PS-42
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
Supplemental plan of distribution; conflicts of interest: | As described under “Supplemental Plan of Distribution” on page S-51 of the accompanying general terms supplement no. 8,999 and “Plan of Distribution — Conflicts of Interest” on page 127 of the accompanying prospectus; GS Finance Corp. estimates that its share of the total offering expenses, excluding underwriting discounts and commissions, will be approximately $ . GS Finance Corp. will sell to GS&Co., and GS&Co. will purchase from GS Finance Corp., the aggregate stated principal amount of the offered Trigger PLUS specified on the front cover of this pricing supplement. GS&Co. proposes initially to offer the Trigger PLUS to the public at the original issue price set forth on the cover page of this pricing supplement. Morgan Stanley Smith Barney LLC (Morgan Stanley Wealth Management), acting as dealer for the offering, will receive a selling concession of $25.00, or 2.50% of the principal amount, for each Trigger PLUS it sells. Morgan Stanley Wealth Management has informed us that it intends to internally allocate at Morgan Stanley Wealth Management $5.00 of the selling concession, or 0.50% of the principal amount, for each Trigger PLUS as a structuring fee. The costs included in the original issue price of the Trigger PLUS will include a fee paid by GS&Co. to LFT Securities, LLC, an entity in which an affiliate of Morgan Stanley Wealth Management has an ownership interest, for providing certain electronic platform services with respect to this offering. GS&Co. is an affiliate of GS Finance Corp. and The Goldman Sachs Group, Inc. and, as such, will have a “conflict of interest” in this offering of Trigger PLUS within the meaning of Financial Industry Regulatory Authority, Inc. (FINRA) Rule 5121. Consequently, this offering of Trigger PLUS will be conducted in compliance with the provisions of FINRA Rule 5121. GS&Co. will not be permitted to sell Trigger PLUS in this offering to an account over which it exercises discretionary authority without the prior specific written approval of the account holder. We expect to deliver the Trigger PLUS against payment therefor in New York, New York on June , 2023. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Trigger PLUS on any date prior to two business days before delivery will be required to specify alternative settlement arrangements to prevent a failed settlement. We have been advised by GS&Co. that it intends to make a market in the Trigger PLUS. However, neither GS&Co. nor any of our other affiliates that makes a market is obligated to do so and any of them may stop doing so at any time. |
PS-43
June 2023
GS Finance Corp. Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025 Trigger Performance Leveraged Upside SecuritiesSM Principal at Risk Securities |
The Trigger PLUS 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 prospectus includes this pricing supplement and the accompanying documents listed below. This pricing supplement constitutes a supplement to the documents listed below and should be read in conjunction with such documents: •General terms supplement no. 8,999 dated February 13, 2023 •Prospectus supplement dated February 13, 2023 •Prospectus dated February 13, 2023 The information in this pricing supplement supersedes any conflicting information in the documents listed above. In addition, some of the terms or features described in the listed documents may not apply to your Trigger PLUS. Please note that, for purposes of this pricing supplement, references in the general terms supplement no. 8,999 to “underlier(s)”, “indices”, “exchange-traded fund(s)”, “lesser performing”, “trade date”, “underlier sponsor”, “determination date”, “face amount”, “level” and “cash settlement amount” shall be deemed to refer to “underlying(s)”, “underlying index(es)”, “underlying ETF(s)”, “worst performing”, “pricing date”, “underlying publisher”, “valuation date”, “principal amount”, “value” and “payment at maturity”, respectively. In addition, for purposes of this pricing supplement, references in the general terms supplement no. 8,999 to “trading day” shall be deemed to refer to “underlying business day”, “index business day” or “ETF business day”, as applicable, and references to “closing level” shall be deemed to refer to “closing price”, “closing value”, “index closing value” or “ETF closing price”, as applicable. |
PS-44
June 2023
We have not authorized anyone to provide any information or to make any representations other than those contained or incorporated by reference in this pricing supplement, the accompanying general terms supplement no. 8,999, the accompanying prospectus supplement or the accompanying prospectus. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may give you. This pricing supplement, the accompanying general terms supplement no. 8,999, the accompanying prospectus supplement and the accompanying prospectus is an offer to sell only the Trigger PLUS offered hereby, but only under circumstances and in jurisdictions where it is lawful to do so. The information contained in this pricing supplement, the accompanying general terms supplement no. 8,999, the accompanying prospectus supplement and the accompanying prospectus is current only as of the respective dates of such documents.
$
GS Finance Corp.
Lookback Trigger PLUS Based on the Price of the Invesco S&P 500® Equal Weight ETF due January 6, 2025
Principal at Risk Securities
Goldman Sachs & Co. LLC