Goldman Sachs Files Index-Linked Notes Due 2028 Tied to Russell 2000 and S&P 500 Performance

Structure and Payoff Mechanism of the Dual-Index Notes

The Index-Linked Notes offer investors exposure to two major equity indices with a specific payoff formula based on which index performs worse over the note's two-year term. The filing discloses that if the final level of each index on the determination date (expected to be August 31, 2028) is greater than its initial level set on the trade date (expected to be August 31, 2026), investors will receive $1,000 plus the product of $1,000 times the lesser performing index return, subject to the maximum settlement amount of $1,317.5 per $1,000 face amount. This structure effectively caps upside potential while providing downside protection through the minimum settlement floor.

When either index experiences negative performance, the note's settlement amount follows a different calculation. If the final level of any index is equal to or less than its initial level, investors receive the greater of two amounts: a minimum settlement of $950 per $1,000 face amount, or $1,000 plus the product of $1,000 times the lesser performing index return. This dual-calculation approach means that even if both indices decline significantly, investors retain a minimum floor of $950 per $1,000 face amount. The filing emphasizes that the amount paid depends on the index with the lowest index return, making the weaker-performing index the determining factor for the note's settlement value.

Issuer Structure and Guarantee Arrangement

GS Finance Corp. serves as the primary issuer of these Index-Linked Notes, operating as a financial subsidiary within The Goldman Sachs Group's corporate structure. The notes carry a full and unconditional guarantee from The Goldman Sachs Group, Inc., which substantially enhances the credit quality of the offering. This guarantee arrangement is characteristic of Goldman Sachs' structured product issuances, providing investors with exposure to the parent company's creditworthiness in addition to the contractual obligations of the finance subsidiary.

The notes are issued under the senior debt indenture dated October 10, 2008, as supplemented by the First Supplemental Indenture dated February 20, 2015, with The Bank of New York Mellon serving as trustee. The notes will be issued in book-entry form and represented by master note number 3, dated March 22, 2021. This legal framework is part of GS Finance Corp.'s Medium-Term Notes, Series F program, which allows the company to issue multiple structured products with varying terms and underlying assets. The use of this established program structure suggests Goldman Sachs has streamlined its process for bringing structured products to market while maintaining consistent documentation standards.

Estimated Valuation and Secondary Market Considerations

The filing discloses that the estimated value of the notes at the time the terms are set on the trade date is expected to be between $925 and $965 per $1,000 face amount. This valuation is determined by reference to pricing models used by Goldman Sachs & Co. LLC and takes into account the company's credit spreads. The difference between the estimated value range and the original issue price of 100 percent of face amount reflects the embedded cost of the option features and credit components built into the structured notes.

Regarding secondary market activity, the filing states that Goldman Sachs & Co. LLC may use this prospectus in market-making transactions following the initial sale of the notes. However, the company emphasizes that it is not obligated to make a market in the notes. The filing indicates that the price at which Goldman Sachs & Co. LLC would initially buy or sell notes, if it makes a market, would equal approximately the estimated value of the notes at the time of pricing plus an additional amount. This additional amount is expected to decline on a straight-line basis from the time of pricing through a specified future date, after which the market-making price would equal the then-current estimated value based on Goldman Sachs' pricing models.

Index Selection and Performance Measurement Framework

The two underlying indices selected for these notes—the Russell 2000 Index and the S&P 500 Index—represent different segments of the U.S. equity market. The Russell 2000 Index tracks small-cap stocks, while the S&P 500 Index represents large-cap stocks, providing investors with broad exposure to the domestic equity market. The filing specifies that the initial underlier levels will be set on the trade date as either an intra-day level or the closing level of each index on that date, allowing for flexibility in pricing the notes relative to market conditions on August 31, 2026.

Performance measurement runs from the trade date through the determination date, with the final levels of both indices determining the settlement amount on the stated maturity date. The filing provides that each index return is calculated as the percentage increase or decrease in the final level from its initial level. The structure favors the lesser-performing index in calculating returns, which protects investors from exposure to the worst-case scenario across the two indices. The filing notes that each underlier may be modified, replaced, or adjusted from time to time as provided in the prospectus documents, allowing for adjustments to maintain the economic integrity of the indices.

Offering Terms and Distribution Details

The notes are offered at an original issue price of 100 percent of the face amount, with an expected original issue date of September 3, 2026. The authorized denominations are $1,000 or any integral multiple of $1,000 in excess thereof, allowing investors to purchase notes in standard increments. The filing indicates that the aggregate face amount of notes to be issued is to be determined, with the company retaining the sole option to increase the aggregate face amount if it decides to sell an additional amount on a date subsequent to the trade date.

The filing discloses the existence of an underwriting discount expressed as a percentage of face amount, with the specific percentage not yet finalized in this preliminary pricing supplement. The net proceeds to the issuer are similarly expressed as a percentage of face amount pending final pricing terms. The filing directs readers to the "Supplemental Plan of Distribution; Conflicts of Interest" section on page PS-21 for additional information regarding the fees comprising the underwriting discount. This structure allows Goldman Sachs & Co. LLC to finalize pricing terms between the preliminary and final prospectus supplements, with the underwriting discount and net proceeds potentially varying from amounts set forth in earlier preliminary documents.

Prospectus Documentation and Cross-References

This pricing supplement constitutes part of a comprehensive prospectus package that includes several foundational documents. The offering incorporates by reference the General Terms Supplement Number 17,745 dated January 20, 2026, which establishes the general terms applicable to notes issued under the Medium-Term Notes program. The Underlier Supplement Number 49 dated June 24, 2026, provides detailed information specific to the Russell 2000 Index and S&P 500 Index underliers. Additionally, the prospectus supplement dated February 14, 2025, and the prospectus dated February 14, 2025, form the foundational disclosure documents for the offering structure.

The filing explicitly states that the information in the pricing supplement supersedes any conflicting information in the referenced documents. It further notes that some terms or features described in the listed documents may not apply to these specific notes. This hierarchical documentation structure allows investors and their advisors to understand the note's specific terms by reading the pricing supplement in conjunction with the more general prospectus materials. The cross-referencing framework also enables Goldman Sachs to maintain consistency across its medium-term notes program while accommodating product-specific variations.

Risk Factors and Investment Considerations

The filing emphasizes that investors should read the complete disclosure materials to understand the terms and risks associated with the investment, including the credit risk of both GS Finance Corp. and The Goldman Sachs Group, Inc. The notes are not bank deposits and are not insured by the Federal Deposit Insurance Commission or any other governmental agency, nor are they obligations of or guaranteed by a bank, despite the guarantee provided by Goldman Sachs Group. This language clarifies that while the notes carry a guarantee from the parent holding company, they represent senior debt obligations rather than deposit products subject to FDIC protections.

The structure of these notes involves multiple layers of risk. Market risk derives from the performance of the two indices and the weaker-performing index determines the return. Credit risk is present because the notes are obligations of GS Finance Corp. backed by a guarantee from The Goldman Sachs Group, Inc., exposing investors to potential credit events affecting either entity. Liquidity risk exists because while Goldman Sachs & Co. LLC may make a market in the notes following their initial sale, it is under no obligation to do so, potentially limiting secondary market liquidity. Additionally, the notes do not bear interest, meaning investors receive their returns solely through the index-linked settlement amount at maturity.

Program Context and Goldman Sachs' Structured Products Strategy

These Index-Linked Notes represent one offering within GS Finance Corp.'s broader Medium-Term Notes program, which has been in operation since at least 2008 when the underlying senior debt indenture was established. The program demonstrates Goldman Sachs' systematic approach to distributing structured products that combine fixed-income characteristics with equity market exposure. By utilizing the Medium-Term Notes, Series F framework, Goldman Sachs can efficiently bring multiple structured products to market while maintaining consistent governance and documentation standards across the program.

The selection of dual indices for this particular offering reflects market strategy considerations. By tracking both the Russell 2000 and S&P 500 indices simultaneously, the product provides investors with exposure to both small-cap and large-cap U.S. equity markets within a single instrument. The weaker-performing index structure introduces a specific risk-return profile that differentiates this product from direct index investments or simpler structured notes. The filing suggests that Goldman Sachs continues to develop structured products designed to meet diverse investor objectives and risk tolerances within the framework of its established programs.

Preliminary Pricing Status and Final Documentation Expectations

The document filed on July 23, 2026, is explicitly labeled as a preliminary pricing supplement, indicating that certain pricing-related terms remain subject to completion. The filing notes that the information in the preliminary pricing supplement is not complete and may be changed. Specific items left to be completed in final pricing include the exact underwriting discount percentage, net proceeds percentage, and certain market-making parameters related to the additional amount per $1,000 face amount. This standard approach allows Goldman Sachs to distribute preliminary disclosure to the market while completing final pricing discussions with potential investors and finalizing the complete prospectus.

The expected trade date of August 31, 2026, and original issue date of September 3, 2026, represent the anticipated timing for completion of the offering. Once the preliminary pricing supplement is converted to a final pricing supplement, the specific face amount of notes to be issued and all pricing terms will be established. The filing indicates that Goldman Sachs may decide to sell additional notes after the initial offering at issue prices and underwriting discounts that could differ from the amounts set forth in the preliminary materials. This flexibility reflects standard practice for structured note offerings, where demand may drive decisions to increase the offering size.