SEC Form FWP filed by Goldman Sachs Group Inc.

Market-Linked Notes Based on the Value of a Basket of Equity Indices due October 4, 2029

The amount that you will be paid on your notes on the stated maturity date is based on the performance of an equally weighted basket composed of the S&P 500® Index, TOPIX and the Russell 2000® Index as measured from the pricing date to and including the valuation date.

The initial basket value is 100, and the final basket value will equal the sum of the products, as calculated separately for each index, of: (i) the index closing value of such index on the valuation date multiplied by (ii) its multiplier. The multiplier will equal, for each index, the quotient of (i) the weighting of such index multiplied by 100 divided by (ii) its initial basket component value.

If the final basket value is greater than the initial basket value of 100, the return on your notes will be positive and equal to the product of the leverage factor multiplied by the basket percent change, subject to the maximum payment at maturity. If the final basket value is equal to or less than the initial basket value, you will receive the stated principal amount of your investment, without any positive return on your notes. Declines in one or more underlying indices may offset increases in the other underlying indices.

The notes are for investors who are willing to forgo interest payments for the potential to earn 100% of any positive return of the basket, subject to the maximum payment at maturity, without participating in the negative return of the basket.

GS Finance Corp. and The Goldman Sachs Group, Inc. have filed a registration statement (including a prospectus, as supplemented by the prospectus supplement, underlier supplement no. 45, general terms supplement no. 17,741 and preliminary pricing supplement listed below) with the Securities and Exchange Commission (SEC) for the offering to which this communication relates. Before you invest, you should read the prospectus, prospectus supplement, underlier supplement no. 45, general terms supplement no. 17,741 and preliminary pricing supplement and any other documents relating to this offering that GS Finance Corp. and The Goldman Sachs Group, Inc. have filed with the SEC for more complete information about us and this offering. You may get these documents without cost by visiting EDGAR on the SEC web site at sec.gov. Alternatively, we will arrange to send you the prospectus, prospectus supplement, underlier supplement no. 45, general terms supplement no. 17,741 and preliminary pricing supplement if you so request by calling (212) 357-4612.

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

An investment in the notes is subject to risks. Many of the risks are described in the accompanying preliminary pricing supplement, accompanying general terms supplement no. 17,741, accompanying underlier supplement no. 45, accompanying prospectus supplement and accompanying prospectus. Below we have provided a list of certain risk factors discussed in such documents. In addition to the below, you should read in full “Risk Factors” in the accompanying preliminary pricing supplement, “Additional Risk Factors Specific to the Notes” in the accompanying general terms supplement no. 17,741, “Additional Risk Factors Specific to the Securities” in the accompanying underlier supplement no. 45, as well as the risks and considerations described in the accompanying prospectus supplement and accompanying prospectus. Your notes are a riskier investment than ordinary debt securities. Also, your notes are not equivalent to investing directly in the underlying index stocks, i.e., with respect to an underlying index to which your notes are linked, the stocks comprising such underlying index. You should carefully consider whether the offered notes are appropriate given your particular circumstances.

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

Risks Related to Structure, Valuation and Secondary Market Sales

Risks Related to Conflicts of Interest

Additional Risks Related to TOPIX

Additional Risks Related to the Russell 2000® Index

Risks Related to Tax

The following risk factors are discussed in greater detail in the accompanying general terms supplement no. 17,741:

Risks Related to Structure, Valuation and Secondary Market Sales

Risks Related to Conflicts of Interest

Risks Related to Tax

The following risk factors are discussed in greater detail in the accompanying underlier supplement no. 45:

Additional Risks Relating to Securities Linked to Underliers that are Equity Indices

Additional Risks Relating to Securities Linked to Underliers Denominated in Foreign Currencies or that Contain Foreign Stocks

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

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

For details about the license agreement between the underlying index publishers for the S&P 500® Index and the Russell 2000® Index and the issuer, see “The Underliers — S&P 500® Index” and “The Underliers — Russell 2000® Index” on pages S-127 and S-88 of the accompanying underlier supplement no. 45, respectively.

TOPIX Value and TOPIX Marks are subject to the proprietary rights owned by JPXI and JPXI owns all rights and know-how relating to TOPIX such as calculation, publication and use of TOPIX Value and relating to TOPIX Marks. JPXI shall reserve the rights to change the methods of calculation or publication, to cease the calculation or publication of TOPIX Value or to change TOPIX Marks or cease the use thereof. JPXI makes no warranty or representation whatsoever, either as to the results stemmed from the use of TOPIX Value and TOPIX Marks or as to the figure at which TOPIX Value stands on any particular day. JPXI gives no assurance regarding accuracy or completeness of TOPIX Value and data contained therein. Further, JPXI shall not be liable for the miscalculation, incorrect publication, delayed or interrupted publication of TOPIX Value. No notes are in any way sponsored, endorsed or promoted by JPXI. JPXI shall not bear any obligation to give an explanation of the notes or an advice on investments to any purchaser of the notes or to the public. JPXI neither selects specific stocks or groups thereof nor takes into account any needs of the issuing company or any purchaser of the notes, for calculation of TOPIX Value. Including but not limited to the foregoing, JPXI shall not be responsible for any damage resulting from the issue and sale of the notes.

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