GS Goldman Sachs Group Inc

ADDITIONAL RISK FACTORS SPECIFIC TO YOUR NOTES

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

The original issue price for your notes exceeds the estimated value of your notes as of the time the terms of your notes are set on the trade date, as determined by reference to GS&Co.’s pricing models and taking into account our credit spreads. Such estimated value on the trade date is set forth above under “Estimated Value of Your Notes”; after the trade date, the estimated value as determined by reference to these models will be affected by changes in market 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 notes (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 notes 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 Notes”) will decline to zero on a straight line basis over the period from the date hereof through the applicable date set forth above under “Estimated Value of Your Notes”.  Thereafter, if GS&Co. buys or sells your notes 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 notes at any time also will reflect its then current bid and ask spread for similar sized trades of structured notes.

In estimating the value of your notes as of the time the terms of your notes are set on the trade date, as disclosed above under “Estimated Value of Your Notes”, 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 notes. 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 notes in the secondary market, if any, to others may differ, perhaps materially, from the estimated value of your notes determined by reference to our models due to, among other things, any differences in pricing models or assumptions used by others. See “Additional Risk Factors Specific to the Notes — The Market Value of Your Notes May Be Influenced by Many Unpredictable Factors” on page S-2 of the accompanying general terms supplement no. 24 .

The difference between the estimated value of your notes as of the time the terms of your notes are set on the trade 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 notes, 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 notes. 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 notes.

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.  If GS&Co. makes a market in the notes, 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

 

notes, including the price you may receive for your notes in any market making transaction. To the extent that GS&Co. makes a market in the notes, 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 notes (and subject to the declining excess amount described above).

Furthermore, if you sell your notes, 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 notes in a secondary market sale.

There is no assurance that GS&Co. or any other party will be willing to purchase your notes at any price and, in this regard, GS&Co. is not obligated to make a market in the notes. See “— Your Notes May Not Have an Active Trading Market” below.

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

Although the coupons (if any) and return on the notes will be based on the performance of each underlier, the payment of any amount due on the notes is subject to the credit risk of GS Finance Corp., as issuer of the notes, and the credit risk of The Goldman Sachs Group, Inc., as guarantor of the notes. The notes are our unsecured obligations.  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 market’s view of our creditworthiness. Similarly, investors are dependent on the ability of The Goldman Sachs Group, Inc., as guarantor of the notes, to pay all amounts due on the notes, 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 E Program — How the Notes Rank Against Other Debt” on page S-4 of the accompanying prospectus supplement and “Description of Debt Securities We May Offer – Guarantee by The Goldman Sachs Group, Inc.” on page 33 of the accompanying prospectus.

You May Lose Your Entire Investment in the Notes

You can lose your entire investment in the notes. Assuming your notes are not automatically called, the cash settlement amount on your notes, if any, on the stated maturity date will be based on the performance of the lesser performing of the iShares ^® MSCI Emerging Markets ETF , the SPDR ^® S&P MidCap 400 ^® ETF Trust and the NASDAQ-100 Index ^® as measured from their initial underlier levels to their closing levels on the determination date.  If the underlier return of any underlier is less than -25.00% , you will have a loss for each $1,000 of the face amount of your notes equal to the product of the lesser performing underlier return times $1,000. Thus, you may lose your entire investment in the notes, which would include any premium to face amount you paid when you purchased the notes.

Also, the market price of your notes prior to a call payment date or the stated maturity date, as the case may be, may be significantly lower than the purchase price you pay for your notes.  Consequently, if you sell your notes before the stated maturity date, you may receive far less than the amount of your investment in the notes.

You May Not Receive a Coupon on Any Coupon Payment Date

If the closing level of any underlier on the related coupon observation date is less than its coupon barrier level, you will not receive a coupon payment on the applicable coupon payment date. If this occurs on every coupon observation date, the overall return you earn on your notes will be less than zero and such return will be less than you would have earned by investing in a note that bears interest at the prevailing market rate.

Although you will receive a coupon if the closing level of each underlier on the related coupon observation date is greater than or equal to its coupon barrier level, the coupon paid on the corresponding coupon payment date will be equal to $22.75.  You should be aware that, with respect to prior coupon observation dates that did not result in the payment of a coupon, you will not be compensated for any opportunity cost implied by inflation and other factors relating to the time value of money.  Further, there is no guarantee that you will receive any coupon payment with respect to the notes at any time and you may lose your entire investment in the notes.

 

Your Notes Are Subject to Automatic Redemption

We will automatically call and redeem all, but not part, of your notes on a call payment date if, as measured on any call observation date, the closing level of each underlier is greater than or equal to its initial underlier level. Therefore, the term for your notes may be reduced to approximately three months after the original issue date. You will not receive any additional coupon payments after the notes are automatically called and you may not be able to reinvest the proceeds from an investment in the notes at a comparable return for a similar level of risk in the event the notes are automatically called prior to maturity.

The Coupon Does Not Reflect the Actual Performance of the Underliers from the Trade Date to Any Coupon Observation Date or from Coupon Observation Date to Coupon Observation Date

The coupon for each quarterly coupon payment date is different from, and may be less than, a coupon determined based on the percentage difference of the closing levels of the underliers between the trade date and any coupon observation date or between two coupon observation dates. Accordingly, the coupons, if any, on the notes may be less than the return you could earn on another instrument linked to the underliers that pay coupons based on the performance of the underliers from the trade date to any coupon observation date or from coupon observation date to coupon observation date.

The Cash Settlement Amount Will Be Based Solely on the Lesser Performing Underlier

If the notes are not automatically called, the cash settlement amount will be based on the lesser performing underlier without regard to the performance of the other underliers. As a result, you could lose all or some of your initial investment if the lesser performing underlier return is negative, even if there is an increase in the level of  either (or both) of the other underliers.  This could be the case even if the other underlier increased by an amount greater than the decrease in the lesser performing underlier.

The Return on Your Notes May Change Significantly Despite Only a Small Change in the Final Underlier Level of the Lesser Performing Underlier

If the final underlier level of the lesser performing underlier is less than 75.00% of its initial underlier level, you will receive less than the face amount of your notes and you could lose all or a substantial portion of your investment in the notes. This means that while a 25.00% drop between the initial underlier level of the lesser performing underlier and its final underlier level will not result in a loss of principal on the notes, a decrease in the final underlier level of the lesser performing underlier to less than 75.00% of its initial underlier level will result in a loss of a significant portion of your investment in the notes despite only a small change in the final underlier level of the lesser performing underlier.

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

The cash settlement amount you will be paid for your notes on the stated maturity date, if any, or the amount you will be paid on a call payment date will not be adjusted based on the issue price you pay for the notes. If you purchase notes at a price that differs from the face amount of the notes, then the return on your investment in such notes held to a call payment date or the stated maturity date will differ from, and may be substantially less than, the return on notes purchased at face amount. If you purchase your notes at a premium to face amount and hold them to a call payment date or the stated maturity date, the return on your investment in the notes will be lower than it would have been had you purchased the notes at face amount or a discount to face amount.

If the Levels of the Underliers Change, the Market Value of Your Notes May Not Change in the Same Manner

The price of your notes may move differently than the performance of the underliers. Changes in the levels of the underliers may not result in a comparable change in the market value of your notes. Even if the closing level of each underlier is greater than or equal to its initial underlier level during some portion of the life of the notes, the market value of your notes may not reflect this. We discuss some of the reasons for this disparity under “Additional Risk Factors Specific to Your Notes — The Market Value of Your Notes May Be Influenced by Many Unpredictable Factors” on page S-2 of the accompanying general terms supplement no. 24.

 

You Have No Shareholder Rights or Rights to Receive Any Shares of Any Underlier or Any   Underlier Stock

Investing in your notes will not make you a holder of any shares of any underlier or any underlier stocks. Neither you nor any other holder or owner of your notes will have any rights with respect to an underlier or its underlier stocks, including any voting rights, any right to receive dividends or other distributions, any right to make a claim against the underlier or its underlier stocks or any other rights of a holder of any shares of an underlier or its underlier stocks. Your notes will be paid in cash and you will have no right to receive delivery of any shares of any underlier or any underlier stocks.

Your Notes May Not Have an Active Trading Market

Your notes 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 notes. Even if a secondary market for your notes 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 notes in any secondary market could be substantial.

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

At our sole option, we may decide to sell an additional aggregate face amount of the notes subsequent to the date of this pricing supplement. The issue price of the notes in the subsequent sale may differ substantially (higher or lower) from the issue price you paid as provided on the cover of this pricing supplement.

The Policies of the Investment Advisor of the iShares ^® MSCI Emerging Markets ETF, BlackRock Fund Advisors, the Trustee of the SPDR ^® S&P MidCap 400 ^® ETF Trust, The Bank of New York Mellon , MSCI, the Sponsor of the MSCI Emerging Markets Index and S&P, the Sponsor of the S&P MidCap 400 ^® Index, Could Affect the Amount Payable on Your Notes and Their Market Value

The investment advisor of the iShares ^® MSCI Emerging Markets ETF, BlackRock Fund Advisors (“BFA”), or the trustee of the SPDR ^® S&P MidCap 400 ^® ETF Trust, The Bank of New York Mellon (“BNY”), may from time to time be called upon to make certain policy decisions or judgments with respect to the implementation of policies of the investment advisor or trustee concerning the calculation of the net asset value of the iShares ^® MSCI Emerging Markets ETF or the SPDR ^® S&P MidCap 400 ^® ETF Trust, additions, deletions or substitutions of securities in the iShares ^® MSCI Emerging Markets ETF or the SPDR ^® S&P MidCap 400 ^® ETF Trust and the manner in which changes affecting the underlying index for the iShares ^® MSCI Emerging Markets ETF or the SPDR ^® S&P MidCap 400 ^® ETF Trust are reflected in that underlier that could affect the market price of the shares of that underlier, and therefore, the cash settlement amount payable on your notes on the maturity date. The cash settlement amount payable on your notes and their market value could also be affected if the investment advisor or trustee, as applicable, changes these policies, for example, by changing the manner in which it calculates the net asset value of such underlier, or if the investment advisor or trustee, as applicable, discontinues or suspends calculation or publication of the net asset value of such underlier, in which case it may become difficult or inappropriate to determine the market value of your notes.

If events such as these occur, the calculation agent — which initially will be GS&Co. — may determine the closing level of the affected underlier on a coupon observation date or the determination date — and thus the amount payable on a coupon payment date or the stated maturity date, if any — in a manner, in its sole discretion, it considers appropriate. We describe the discretion that the calculation agent will have in determining the closing levels of the underliers on a coupon observation date or the determination date and the amount payable on your notes more fully under “Supplemental Terms of the Notes — Discontinuance or Modification of an Underlier” on page S-26 of the accompanying general terms supplement no. 24.

In addition, MSCI owns the MSCI Emerging Markets Index   and S&P owns the S&P MidCap 400 ^® Index , and are responsible for the design and maintenance of the underlying indices. The policies of an underlying index sponsor concerning the calculation of a particular underlying index, including decisions regarding the addition, deletion or substitution of the equity securities included in that underlying index, could affect the level of that underlying index and, consequently, could affect the market prices of shares of the related underlier and, therefore, the cash settlement amount payable on your notes and their market value.

 

There Are Risks Associated with the iShares ^® MSCI Emerging Markets ETF

Although the iShares ^® MSCI Emerging Markets 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 iShares ^® MSCI Emerging Markets ETF or that there will be liquidity in the trading market.

In addition, the iShares ^® MSCI Emerging Markets ETF is subject to management risk, which is the risk that the investment advisor of the iShares ^® MSCI Emerging Markets ETF’s investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. For example, the investment advisor of the iShares ^® MSCI Emerging Markets ETF may select up to 10% of the iShares ^® MSCI Emerging Markets ETF’s assets to be invested in shares of equity securities that are not included in its underlying index.  The iShares ^® MSCI Emerging Markets ETF is also not actively managed and may be affected by a general decline in market segments relating to its underlying index.  The investment advisor of the iShares ^® MSCI Emerging Markets ETF invests in securities included in, or representative of, its underlying index regardless of their investment merits.  The investment advisor of the iShares ^® MSCI Emerging Markets ETF does not attempt to take defensive positions in declining markets.

In addition, the iShares ^® MSCI Emerging Markets 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.  Low trading volumes and volatile prices in less developed markets make trades harder to complete and settle, and governments or trade groups may compel local agents to hold securities in designated depositories that are not subject to independent evaluation. The less developed a country’s securities market is, the greater the likelihood of custody problems.

The iShares ^® MSCI Emerging Markets ETF and its Underlying Index are Different and the Performance of the iShares ^® MSCI Emerging Markets ETF May Not Correlate with the Performance of its Underlying Index

The iShares ^® MSCI Emerging Markets ETF uses a representative sampling strategy (more fully described under “The Underliers”) to attempt to track the performance of its underlying index. The iShares ^® MSCI Emerging Markets ETF may not hold all or substantially all of the equity securities included in its underlying index and may hold securities or assets not included in its underlying index. Therefore, while the performance of the iShares ^® MSCI Emerging Markets ETF is generally linked to the performance of its underlying index, the performance of the iShares ^® MSCI Emerging Markets ETF is also linked in part to shares of equity securities not included in its underlying index and to the performance of other assets, such as futures contracts, options and swaps, as well as cash and cash equivalents, including shares of money market funds affiliated with the investment advisor of the iShares ^® MSCI Emerging Markets ETF .

Imperfect correlation between the iShares ^® MSCI Emerging Markets ETF’s portfolio securities and those in its underlying index, rounding of prices, changes to its underlying index and regulatory requirements may cause tracking error, the divergence of the iShares ^® MSCI Emerging Markets ETF’s performance from that of its underlying index.

In addition, the performance of the iShares ^® MSCI Emerging Markets ETF will reflect additional transaction costs and fees that are not included in the calculation of its underlying index and this may increase the tracking error of the iShares ^® MSCI Emerging Markets 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 iShares ^® MSCI Emerging Markets ETF and its underlying index. Finally, because the shares of the iShares ^® MSCI Emerging Markets ETF are traded on the NYSE Arca and are subject to market supply and investor demand, the market value of one share of the iShares ^® MSCI Emerging Markets ETF may differ from the net asset value per share of the iShares ^® MSCI Emerging Markets ETF .

For all of the foregoing reasons, the performance of the iShares ^® MSCI Emerging Markets ETF may not correlate with the performance of its underlying index. Consequently, the return on the notes will not be the same as investing directly in the iShares ^® MSCI Emerging Markets ETF or in its underlying index or in the underlier stocks or in the underlying index stocks, and will not be the same as investing in a debt security with a payment at maturity linked to the performance of the iShares ^® MSCI Emerging Markets ETF .

 

Investment in the Offered Notes Is Subject to Risks Associated with Foreign Securities Markets

The value of your notes is linked, in part, to the iShares ^® MSCI Emerging Markets ETF that holds stocks traded in the equity markets of emerging market countries. Investments linked to the value of foreign equity securities involve particular risks. Any foreign securities market may be less liquid, more volatile and affected by global or domestic market developments in a different way than are the U.S. securities market or other foreign securities markets. Both government intervention in a foreign securities market, either directly or indirectly, and cross-shareholdings in foreign companies, may affect trading prices and volumes in that market. Also, there is generally less publicly available information about foreign companies than about those U.S. companies that are subject to the reporting requirements of the U.S. Securities and Exchange Commission. Further, foreign companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies.

The prices of securities in a foreign country are subject to political, economic, financial and social factors that are unique to such foreign country's geographical region. These factors include: recent changes, or the possibility of future changes, in the applicable foreign government's economic and fiscal policies; the possible implementation of, or changes in, currency exchange laws or other laws or restrictions applicable to foreign companies or investments in foreign equity securities; fluctuations, or the possibility of fluctuations, in currency exchange rates; and the possibility of outbreaks of hostility, political instability, natural disaster or adverse public health developments. The United Kingdom has voted to leave the European Union (popularly known as “Brexit”). The effect of Brexit is uncertain, and Brexit has and may continue to contribute to volatility in the prices of securities of companies located in Europe and currency exchange rates, including the valuation of the euro and British pound in particular. Any one of these factors, or the combination of more than one of these factors, could negatively affect such foreign securities market and the price of securities therein. Further, geographical regions may react to global factors in different ways, which may cause the prices of securities in a foreign securities market to fluctuate in a way that differs from those of securities in the U.S. securities market or other foreign securities markets. Foreign economies may also differ from the U.S. economy in important respects, including growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency, which may have a positive or negative effect on foreign securities prices.

Because foreign exchanges may be open on days when the iShares ^® MSCI Emerging Markets ETF is not traded, the value of the securities underlying the iShares ^® MSCI Emerging Markets ETF may change on days when shareholders will not be able to purchase or sell shares of the iShares ^® MSCI Emerging Markets ETF .

The countries whose markets are represented by the iShares ^® MSCI Emerging Markets ETF include Brazil, Chile, China, Colombia, the Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, South Africa, South Korea, Taiwan, Thailand, Turkey and United Arab Emirates.

Countries with emerging markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. It will also likely be more costly and difficult for the underlier sponsor to enforce the laws or regulations of a foreign country or trading facility, and it is possible that the foreign country or trading facility may not have laws or regulations which adequately protect the rights and interests of investors in the stocks included in the iShares ^® MSCI Emerging Markets ETF .

Your Investment in the Notes Will Be Subject to Foreign Currency Exchange Rate Risk

The iShares ^® MSCI Emerging Markets ETF holds assets that are denominated in non-U.S. dollar currencies. The value of the assets held by the iShares ^® MSCI Emerging Markets ETF that are denominated in non-U.S. dollar currencies will be adjusted to reflect their U.S. dollar value by converting the price of such assets from the non-U.S. dollar currency to U.S. dollars. Consequently, if the value of the U.S. dollar strengthens against the non-U.S. dollar currency in which an asset is denominated, the level of the

 

iShares ^® MSCI Emerging Markets ETF may not increase even if the non-dollar value of the asset held by the iShares ^® MSCI Emerging Markets ETF increases.

Foreign currency exchange rates vary over time, and may vary considerably during the term of your notes. Changes in a particular exchange rate result from the interaction of many factors directly or indirectly affecting economic and political conditions. Of particular importance are:

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existing and expected rates of inflation;

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existing and expected interest rate levels;

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the balance of payments among countries;

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the extent of government surpluses or deficits in the relevant foreign country and the United States; and

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other financial, economic, military and political factors.

All of these factors are, in turn, sensitive to the monetary, fiscal and trade policies pursued by the governments of the relevant foreign countries and the United States and other countries important to international trade and finance.

The market price of the notes and level of the iShares ^® MSCI Emerging Markets ETF could also be adversely affected by delays in, or refusals to grant, any required governmental approval for conversions of a local currency and remittances abroad or other de facto restrictions on the repatriation of U.S. dollars.

It has been reported that the U.K. Financial Conduct Authority and regulators from other countries are in the process of investigating the potential manipulation of published currency exchange rates.  If such manipulation has occurred or is continuing, certain published exchange rates may have been, or may be in the future, artificially lower (or higher) than they would otherwise have been.  Any such manipulation could have an adverse impact on any payments on, and the value of, your notes and the trading market for your notes.  In addition, we cannot predict whether any changes or reforms affecting the determination or publication of exchange rates or the supervision of currency trading will be implemented in connection with these investigations.  Any such changes or reforms could also adversely impact your notes.

There Are Risks Associated with the SPDR ^® S&P MidCap 400 ^® ETF Trust

Although the SPDR ^® S&P MidCap 400 ^® ETF Trust’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 SPDR ^® S&P MidCap 400 ^® ETF Trust or that there will be liquidity in the trading market.

The SPDR ^® S&P MidCap 400 ^® ETF Trust is subject to management risk, which is the risk that the investment strategy used by the trustee of the SPDR ^® S&P MidCap 400 ^® ETF Trust may not produce the intended results. The SPDR ^® S&P MidCap 400 ^® ETF Trust is not managed according to traditional methods of “active” investment management, which involve the buying and selling of securities based on economic, financial and market analysis and investment judgment. Instead, the SPDR ^® S&P MidCap 400 ^® ETF Trust, utilizing a “passive” or indexing investment approach, attempts to approximate the investment performance of its underlying index by investing in a portfolio of securities that generally replicates its underlying index. Therefore, unless a specific security is removed from its underlying index, the SPDR ^® S&P MidCap 400 ^® ETF Trust generally would not sell a security because the security’s issuer was in financial trouble, or might otherwise be viewed as an undesirable investment. Furthermore, the SPDR ^® S&P MidCap 400 ^® ETF Trust may invest in cash and cash equivalents or money market instruments, such as repurchase agreements and money market funds (including money market funds advised by BNY) and, in certain situations or market conditions, make larger than normal investments in derivatives or other securities to maintain exposure to its underlying index, which may expose the SPDR ^® S&P MidCap 400 ^® ETF Trust to additional risks, such as counterparty credit risk or liquidity risk .

 

The SPDR ^® S&P MidCap 400 ^® ETF Trust and its Underlying Index are Different and the Performance of the SPDR ^® S&P MidCap 400 ^® ETF Trust May Not Correlate with the Performance of its Underlying Index

The SPDR ^® S&P MidCap 400 ^® ETF Trust will generally invest in substantially all of the securities included in its underlying index. There may, however, be instances where the SPDR ^® S&P MidCap 400 ^® ETF Trust may choose to overweight one or more securities in its underlying index, purchase securities not included in its underlying index or utilize various combinations of other available investment techniques in seeking to track its underlying index.  Although the SPDR ^® S&P MidCap 400 ^® ETF Trust seeks to track the performance of its underlying index as closely as possible, the return of the SPDR ^® S&P MidCap 400 ^® ETF Trust may not match or achieve a high degree of correlation with the return of its underlying index due to, among other things, operating expenses, transaction costs, cash flows, regulatory requirements and operational inefficiencies.  In addition, corporate actions with respect to the securities included in the SPDR ^® S&P MidCap 400 ^® ETF Trust, such as mergers and spin-offs, may impact the variance between the SPDR ^® S&P MidCap 400 ^® ETF Trust and its underlying index.  For example, BNY anticipates that it may take several business days for additions and deletions to the underlying index of the SPDR ^® S&P MidCap 400 ^® ETF Trust to be reflected in the portfolio composition of the SPDR ^® S&P MidCap 400 ^® ETF Trust. Finally, as the shares of the SPDR ^® S&P MidCap 400 ^® ETF Trust are traded on the NYSE Arca and are affected by market forces such as supply and demand, economic conditions and other factors, the trading prices of one share of the SPDR ^® S&P MidCap 400 ^® ETF Trust may generally differ from (and may deviate significantly during periods of market volatility from) the daily net asset value per share of the SPDR ^® S&P MidCap 400 ^® ETF Trust.  For these reasons, the performance of the SPDR ^® S&P MidCap 400 ^® ETF Trust may not correlate with the performance of its underlying index. Consequently, the return on the notes will not be the same as investing directly in the SPDR ^® S&P MidCap 400 ^® ETF Trust or in its underlying index or in the underlying index stocks, and will not be the same as investing in a debt security with a payment at maturity linked to the performance of the underlying index of the SPDR ^® S&P MidCap 400 ^® ETF Trust .

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

Pursuant to the underlier methodology, the underlier sponsor of the NASDAQ-100 Index ^® retains the right, from time to time, to exercise reasonable discretion as it deems appropriate in order to ensure NASDAQ-100 Index ^® integrity, including, but not limited to, changes to quantitative inclusion criteria. The underlier sponsor of the NASDAQ-100 Index ^® may also, due to special circumstances, apply discretionary adjustments to ensure and maintain quality of the NASDAQ-100 Index ^® .  Although it is unclear how and to what extent this discretion could or would be exercised, it is possible that it could be exercised by the underlier sponsor of the NASDAQ-100 Index ^® in a manner that materially and adversely affects the level of the NASDAQ-100 Index ^® and therefore your notes. The underlier sponsor of the NASDAQ-100 Index ^® is not obligated to, and will not, take account of your interests in exercising the discretion described above.

The Tax Consequences of an Investment in Your Notes Are Uncertain

The tax consequences of an investment in your notes are uncertain, both as to the timing and character of any inclusion in income in respect of your notes.

The Internal Revenue Service announced on December 7, 2007 that it is considering issuing guidance regarding the tax treatment of an instrument such as your notes, and any such guidance could adversely affect the value and the tax treatment of your notes. 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 notes after the bill was enacted to accrue interest income over the term of such instruments even though there may 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 notes.  We describe these developments in more detail under “Supplemental Discussion of 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 the notes for U.S. federal income tax purposes in accordance with the treatment described under “Supplemental Discussion of Federal Income Tax Consequences” on page PS-43 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 notes in your particular circumstances.

Your Notes 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 notes (or a portion of your notes). If your notes (or a portion of your notes) were subject to the constructive ownership rules, then any long-term capital gain (or a portion thereof) that you realize upon the sale, exchange or maturity of your notes 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 notes.

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

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 notes .

 

THE UNDERLIERS

The iShares ^® MSCI Emerging Markets ETF

The shares of the iShares ^® MSCI Emerging Markets ETF are issued by iShares, Inc., a registered investment company. The iShares ^® MSCI Emerging Markets ETF seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index.  The iShares ^® MSCI Emerging Markets ETF trades on the NYSE Arca under the ticker symbol “EEM”.  BlackRock Fund Advisors (“BFA”) serves as the investment advisor to the iShares ^® MSCI Emerging Markets ETF.

The following tables display the top holdings and weighting by sector and country of the iShares ^® MSCI Emerging Markets ETF.  A list of constituent stocks can be found at us.iShares.com/product_info/fund/overview/EEM.htm. We are not incorporating by reference the website or any material it includes in this pricing supplement. This information has been obtained from the iShares ^® website without independent verification.

iShares ^® MSCI Emerging Markets ETF Top Ten Holdings as of June 12, 2017

 

* Percentages may not sum to 100% due to rounding.

iShares ^® MSCI Emerging Markets ETF Weighting by Sector as of June 12, 2017*

*Percentages may not sum to 100% due to rounding.

As of May 31, 2017, iShares reported the following average annual returns on the market price of the iShares ^® MSCI Emerging Markets ETF’s shares and the MSCI Emerging Markets Index. The market price of the iShares ^® MSCI Emerging Markets ETF’s shares takes into account distributions on the shares and  the returns shown account for changes in the mid-point of the bid and ask prices at 4:00 p.m., Eastern time on the relevant date. iShares ^® MSCI Emerging Markets ETF shares: 1 year, 26.72%; 3 years, 1.03%; 5 years, 3.92%; 10 years, 1.69%; since inception, 11.43%; index: 1 year, 27.41%; 3 years, 1.62%; 5 years, 4.54%; 10 years, 2.28%; since ETF inception, 11.90%.

Notwithstanding the iShares ^® MSCI Emerging Markets ETF’s investment objective, the return on your notes will not reflect any dividends paid on the underlier shares, on the securities purchased by the iShares ^® MSCI Emerging Markets ETF or on the securities that comprise the MSCI Emerging Markets Index .

 

The above information supplements the description of the iShares ^® MSCI Emerging Markets ETF found in the accompanying general terms supplement no. 24. This information was derived from information prepared by the underlier sponsor, however, the percentages we have listed above are approximate and may not match the information available on the underlier sponsor's website due to subsequent corporation actions or other activity relating to a particular stock.   For more details about the iShares ^® MSCI Emerging Markets ETF, the underlier sponsor and license agreement between the underlier sponsor and the issuer, see “The Underliers — The iShares ^® MSCI Emerging Markets ETF” on page S-90   of the accompanying general terms supplement no. 24.

iShares ^® is a registered trademark of BlackRock Institutional Trust Company, N.A. (“BITC”).  The securities are not sponsored, endorsed, sold, or promoted by BITC.  BITC makes no representations or warranties to the owners of the securities or any member of the public regarding the advisability of investing in the securities. BITC has no obligation or liability in connection with the operation, marketing, trading or sale of the securities.

The MSCI Indexes are the exclusive property of MSCI Inc. (“MSCI”).  The securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such securities.

The SPDR ^® S&P MidCap 400 ^® ETF Trust

The units of the SPDR ^® S&P MidCap 400 ^® ETF Trust (the “units”) are issued by SPDR ^® S&P MidCap 400 ^® ETF Trust (the “trust”), a unit investment trust that is a registered investment company.

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The trust is like a tracking ETF in that it seeks investment results which correspond generally to the price and yield performance, before fees and expenses, of the index.

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The index it tracks is the S&P MidCap 400 ® Index (the “index”).

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The trust does not have an investment advisor. Its investments are adjusted by the trustee.

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Trustee: The Bank of New York Mellon.

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Trust sponsor:  PDR Services, LLC.

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The units trade on the NYSE Arca under the ticker symbol “MDY”.

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The trust’s SEC CIK Number is 0000936958.

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The inception date for purposes of the units was May 4, 1995.

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The trust’s units are issued or redeemed only in creation units of 25,000 units.

We obtained the following fee information from the trust’s publicly available information without independent verification. The trustee is entitled to receive a fee for services performed for the trust corresponding to the net asset value of the trust, at an annual rate of 0.14% per annum for the first $500,000,000 of assets, 0.12% per annum for assets over $500,000,000 and up to $1,000,000,000 and 0.10% per annum for assets in excess of $1,000,000,000. In addition to the trustee’s fee, the trust also incurs an S&P license fee in an amount that is approximately equal to 0.03% of the net asset value of the trust and marketing expenses in an amount approximately equal to 0.12% of the net asset value of the trust. As of June 13, 2017, the trust’s gross expense ratio is 0.25% per annum.

For additional information regarding SPDR ^® S&P MidCap 400 ^® ETF Trust, please consult the reports (including the Annual Report to Shareholders on Form N-30D for the fiscal year ended September 30, 2016) and other information the trust   files with the SEC. Additional information regarding the trust, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the SPDR ^® S&P MidCap 400 ^®   ETF Trust website at spdrs.com/product/fund.seam?ticker=MDY. We are not incorporating by reference the website, the sources listed above or any material they include in this pricing supplement.

Investment Objective and Strategy

The trust seeks investment results that, before expenses, correspond generally to the price and yield performance of the index. The trust seeks to achieve its investment objective by holding a portfolio of the

 

common stocks that are included in the index, with the weight of each stock in the trust’s portfolio substantially corresponding to the weight of such stock in the index. Although the trust may fail to own certain securities included in the index at any particular time, the trust generally will be substantially invested in index securities.

To maintain the correspondence between the composition and weightings of the common stocks that are actually held by the trust and the common stocks that are included in the index, the trustee adjusts the trust portfolio from time to time to conform to periodic changes made by the index sponsor to the identity and/or relative weightings of the common stocks that are included in the index. The trustee aggregates certain of these adjustments and makes changes to the trust’s portfolio at least monthly, or more frequently in the case of significant changes to the index. The trust does not hold or trade futures or swaps and is not a commodity pool.

The following table displays the top ten holdings and weightings by industry sector of the trust and index. (Sector designations are determined by the trust sponsor using criteria it has selected or developed. Index and trust sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices or trusts with different sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices or trusts.) We obtained the information in the tables below from the trust website without independent verification.

Top Ten Holdings of Trust and Index as of June 12, 2017

Weighting by Sector of Trust and Index as of June 12, 2017*