Default amount: If an event of default occurs and the maturity of this note is accelerated, the company will pay the default amount in respect of the principal of this note at the maturity, instead of the amount payable on the stated maturity date as described earlier. These consequences could adversely affect the level of the eligible underlying indices, which could in turn adversely affect the level of the index. At this level, the deduction rate of 0.65% applies only to the momentum risk control cash position, rather than the index as a whole, because the deduction rate has already been factored into the calculation of the volatility controlled index. Because Historical Returns and Realized Volatility Are Measured on an Aggregate Basis, the Index Could Include Eligible Underlying Assets With a High Realized Volatility and Could Exclude Eligible Underlying Assets With a High Historical Return. plus the performance of any return-based money market position (which performance will equal the federal funds rate). Some error occurred. We cannot predict which eligible base index underlying assets will be chosen as underlying assets on any day, the weights of the underlying assets or what the final levels will be for any underlying assets or the notional interest rate. Because each example illustrates the return from one index business day to the next, plausible day-to-day examples cannot reflect the potential cumulative impact that may result over a longer period of time (for example, if the volatility controlled index showed negative momentum over each momentum measurement day in a momentum measurement period) or that would result on a delayed basis (for example, the inability of the index to shift out of a position subject to a minimum weight requirement during a look-back period ending on the third index business day preceding a rebalancing day). Market making is an activity where Goldman Sachs buys and sells on behalf of customers, or for its own account, to satisfy the expected demand of customers. The Historical Levels of the Notional Interest Rate Are Not an Indication of the Future Levels of the Notional Interest Rate. The following chart sets forth hypothetical and historical monthly index performance data during the period from January 1, 2016 to March 31, 2021 based on the historical index information and hypothetical index data previously supplied above. What is the internal currency hedge for certain underlying assets? Default quotation period: The default quotation period is the period beginning on the day the default amount first becomes due and ending on the third business day after that day, unless: no quotation of the kind referred to above is obtained, or. in respect of a currency financing amount rate and a relevant day: such currency financing amount rate is not published on a date on which it is scheduled for publication; or. Face amount: $ in the aggregate on the original issue date; the aggregate face amount may be increased if the company, at its sole option, decides to sell an additional amount on a date subsequent to the trade date. The comparable yield and projected payment schedule are not provided to you for any purpose other than the determination of your interest accruals in respect of your notes, and we make no representation regarding the amount of contingent payments with respect to your notes. A trading disruption means any suspension of or limitation imposed on trading by the relevant exchange, and whether by reason of movements in price exceeding limits permitted by the relevant reference exchange or otherwise, relating to any component of an eligible underlying asset. The following graph shows the daily closing levels of the index from January 1, 2016 to April 30, 2021. Because of the U.S. tax treatment applicable to your notes, tax liabilities could affect the after-tax rate of return on your notes to a comparatively greater extent than the after-tax return on the underlying indices. that it intends to make a market in the notes. This pricing supplement, the accompanying index supplement, the accompanying prospectus supplement and the accompanying prospectus is an offer to sell only the notes offered hereby, but only under circumstances and in jurisdictions where it is lawful to do so. ADDITIONAL RISK FACTORS SPECIFIC TO YOUR NOTES. An index committee is responsible for overseeing the index and its methodology. The indexs volatility control feature and momentum risk control adjustment mechanism, as well as the inclusion of the return-based money market position as an eligible base index underlying asset, may result in a significant portion of the indexs exposure being allocated to hypothetical cash positions, which earn a zero net return on an excess return basis before deducting 0.65% per annum (accruing daily). The description above is only a summary. The value of the base index was set to 100 on the base index base date, January 6, 2020. The hypothetical index data from January 1, 2016 to January 11, 2021 is based on the historical levels of the eligible underlying assets, using the same methodology that is used to calculate the index. If the note calculation agent determines on the determination date that the publication of the index is discontinued and there is no successor index, the note calculation agent will determine the amount payable on the stated maturity date by a computation methodology that the note calculation agent determines will as closely as reasonably possible replicate the index. In no event, however, will the determination date be postponed to a date later than the originally scheduled stated maturity date or, if the originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. No assurance can be given that the methodology used to construct the index will outperform any alternative index that might be constructed from the eligible underlying assets. In addition, these legislative and regulatory changes have increased, and will continue to increase, the level. Calculated on a per annum percentage basis. As a result, you should not expect the index to provide balanced exposure to all of the eligible underlying assets. In addition, it is expected that the base index would likely make allocations to the return-based money market position in a generally negative return environment, where the least volatile base index underlying asset might be expected to suffer least. Your notes are linked to the index which rebalances daily among 10 eligible underlying assets. In addition to the factors discussed above, the value and quoted price of your notes at any time will reflect many factors and cannot be predicted. Conversely, if the level of the volatility controlled index on each of the momentum measurement days was less than its level 100 index business days prior to such momentum measurement day, the index would be allocated 25% to the volatility controlled index and 75% to the momentum risk control cash position on such rebalancing day. The effective date for the change is expected to be January 3, 2022. In addition, these regulations will not apply to financial instruments that reference a qualified index (as defined in the regulations). However, there is no guarantee that trends existing in the preceding nine months, six months or three months over which returns and volatilities are evaluated will continue in the future. If the Level of the Index Changes, the Market Value of Your Notes May Not Change in the Same Manner. If the calculation agent employed a different solver, the final set of base index underlying asset weights selected might be different and possibly materially so. Your Notes May Not Have an Active Trading Market. Solely for purposes of calculating the volatility (variance) and volatility controlled index level which includes an index business day which corresponds to the first day of a given index market disruption event with respect to any eligible base index underlying asset, the base index value or the base index underlying asset value will include any base index underlying asset that has been affected by an index market disruption event and will be calculated by assuming the reference level of the affected base index underlying asset is equal to the reference level on the first day on which there is no index market disruption event occurring or continuing. As a result of reduced exposure to poorly performing base index underlying assets, the volatility controlled index return is comparatively better than the base index return shown in Part 1 of the example. is less than the original issue price of your notes. For example, in October 2011 the European Commission published a proposal to replace the Markets in Financial Instruments Directive (2004/39/EC) with a new Markets in Financial Instruments Regulation and an amended Markets in Financial Instruments Directive (together, MiFID II), which was adopted in April 2014. underlying asset return* Fed Funds Rate 0.65% / annum. In addition, the exposure to the volatility controlled index (and, in turn, the performance of the index) may be different than it would have been had the price momentum been calculated in a different manner or by comparing volatility controlled index levels across different dates. As a result, the weight of each base index underlying asset will be different than it would have been had the base index underlying assets been determined based on a single look-back period. In addition, certain changes to the indenture and the notes that only affect certain debt securities may be made with the approval of holders of a majority in principal amount of such affected debt securities. Investors are dependent on our ability to pay all amounts due on the notes, and therefore investors are subject to our credit risk and to changes in the markets view of our creditworthiness. The base index is composed of underlying assets, which consist of (i) nine underlying indices, potentially providing exposure to the following asset classes: focused U.S. equities; other developed market equities; developed market fixed income; emerging market equities; and commodities; and (ii) a money market position that accrues interest at a rate equal to the federal funds rate (the return-based money market position). If the index committee exercises any discretion related to the index, it must be approved by 100% of the control side employees present at the relevant index committee meeting. The look-back periods are measured from (and excluding) the day which falls respectively nine (9), six (6) or three (3) calendar months before the third index business day prior to the given index business day (or, if any such date is not an index business day, the index business day immediately preceding such day) to (and including) the third index business day prior to the given index business day. The hypothetical cash settlement amounts on notes held to the stated maturity date in the examples above assume you purchased your notes at their face amount and have not been adjusted to reflect the actual issue price you pay for your notes. The table below shows the realized volatility of the base index excess returns at the end of each such period using the index methodology and the following decay factors. However, in non-trending markets, momentum investment strategies are subject to whipsaws. A whipsaw occurs when the market reverses and does the opposite of what is indicated by the trend indicator, resulting in a trading loss during the particular period. You are a non-United States holder if you are the beneficial owner of the notes and are, for U.S. federal income tax purposes: 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 the notes. Each of the offered notes has the terms described below. As a result, the deduction rate applies to the entire index. Please refresh the page and try again. This is achieved by decreasing the exposure of the index to the volatility controlled index (and, in turn, the underlying indices) if the volatility controlled index has exhibited negative price momentum (which is deemed to occur when the volatility controlled index level falls below its level on the 100th index business day preceding such momentum measurement day) on one or more index business day during the 21 index business day period from (but excluding) the 23rd index business day, to (and including) the 2nd index business day, prior to a rebalancing day. However, if the index committee determines that any of the following events has occurred: an underlying index sponsor announces that it will make a material change in the formula for or the method of calculating such underlying index (or the selection of the components thereof) or otherwise materially modifies such underlying index (or the selection of the components thereof) for the purpose of maintaining such underlying index; an underlying index is no longer published by its underlying index sponsor; an underlying index, its constituents or derivative instruments linked thereto, are no longer tradable on commercially reasonable terms (as determined by the calculation agent in consultation with the index committee) in light of changes to financial market conditions (including market liquidity), regulatory or similar factors; any third-party underlying index sponsor of an underlying index terminates its license with the index sponsor and its affiliates such that the index sponsor may not use the underlying index or any related index in connection with any financial product or index; the index sponsor and its affiliates cease to have the relevant data license in respect of an underlying index; the applicable currency exchange rate, related currency or currency financing amount rate ceases to exist; or. While the Bloomberg Gold Subindex Total Return is generally calculated in the same manner as. Dodd-Frank requires regulators, including the Commodity Futures Trading Commission (the CFTC), to adopt regulations to implement many of the requirements of the legislation. The Amount Payable on Your Notes Is Not Linked to the Level of the Index at Any Time Other than the Determination Date. If the adjusted issue price of your notes is greater than the price you paid for your notes, you must make positive adjustments increasing (i) the amount of interest that you would otherwise accrue and include in income each year, and (ii) the amount of ordinary income (or decreasing the amount of ordinary loss) recognized upon maturity by the amounts allocated under the previous paragraph to each of interest and the projected payment schedule; if the adjusted issue price of your notes is less than the price you paid for your notes, you must make negative adjustments, decreasing (i) the amount of interest that you must include in income each year, and (ii) the amount of ordinary income (or increasing the amount of ordinary loss) recognized upon maturity by the amounts allocated under the previous paragraph to each of interest and the projected payment schedule. Consequently, the amount of cash to be paid in respect of your notes on the stated maturity date may be very different from the information reflected in the examples above. The volatility cap is never breached, and the exposure to the base index is not reduced by the momentum risk control adjustment mechanism. In the event the index committee determines on such sixth New York business day, in its sole discretion, that no such instructions should be given to the index calculation agent, the index committee may revisit such determination on any business day thereafter on which the index market disruption event is continuing. We May Sell an Additional Aggregate Face Amount of the Notes at a Different Issue Price. In the event the index sponsor appoints a replacement index calculation agent, a public announcement will be made via press release. In applying the volatility control, exposure to the base index may be reduced by ratably allocating a portion of the base index exposure to the deleverage cash position to the extent that the realized volatility of the base index exceeds the volatility control level of 5%. The information contained in this pricing supplement, the accompanying index supplement, the accompanying prospectus supplement and the accompanying prospectus is current only as of the respective dates of such documents. As a result, any return on the index may be reduced or eliminated, which will have the effect of reducing the amount payable in respect of your notes. The US-foreign currency financing amount is equal to the performance of a notional cash deposit in U.S. dollars accruing interest at the federal funds rate minus the product of (i) the performance of such notional cash deposit accruing interest at the interest rate for such non-U.S. currency (EUR-EONIA with respect to euro-denominated eligible underlying indices and JPY-BOJ-TONAT with respect to the yen-denominated eligible underlying indices, in each case, as provided by Reuters or another recognized source, as determined by the calculation agent, used for the purpose of displaying such rate) times (ii) the performance of the applicable currency exchange rate. If the relevant eligible underlying asset sponsor subsequently corrects the price it has made available, the index value may be calculated using such corrected price, but the quantities of eligible underlying assets implied by the base index underlying asset weights, volatility control exposure and the momentum risk control exposure (prior to the error being corrected) may or may not be adjusted by the index committee. Hedging Activities by Goldman Sachs or Our Distributors May Negatively Impact Investors in the Notes and Cause Our Interests and Those of Our Clients and Counterparties to be Contrary to Those of Investors in the Notes. Based on this comparable yield, if you are an initial holder that holds a note until maturity and you pay your taxes on a calendar year basis, we have determined that you would be required to report the following amounts as ordinary income, not taking into account any positive or negative adjustments you may be required to take into account based on the actual payments on the notes, from the note each year: Interest Deemed to Accrue During Accrual Period (per $1,000 note), Total Interest Deemed to Have Accrued from Original Issue Date (per $1,000 note) as of End of Accrual Period, January 1, 2022 through December 31, 2022, January 1, 2023 through December 31, 2023, January 1, 2024 through December 31, 2024, January 1, 2025 through December 31, 2025, January 1, 2026 through December 31, 2026, January 1, 2027 through December 31, 2027.
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