Goldman Sachs Finance Issues $8.954 Million Autocallable Index-Linked Notes Due 2031

Structure and Automatic Call Feature of the Index-Linked Securities

The notes incorporate an automatic call mechanism that allows early redemption if market conditions favor the issuer. Specifically, if the closing level of each underlier—the Russell 2000 Index and the S&P 500 Index—reaches or exceeds its initial level on any call observation date beginning January 19, 2027 through April 17, 2031, the notes will be automatically called on the following call payment date. When called, investors receive $1,000 per $1,000 face amount along with any coupon then due. This feature means investors' participation in potential index gains is capped, as the notes are redeemed if both indices perform strongly.

The automatic call dates align with quarterly coupon observation dates, creating a structured schedule of potential early redemption opportunities. The first call observation date occurs January 19, 2027, with subsequent observations every quarter. From an investor perspective, the automatic call feature limits upside participation while providing certainty of return if both indices appreciate together. However, the feature also means investors do not benefit from further gains beyond the initial levels if markets continue to rise after an automatic call is triggered.

Contingent Coupon Payment Terms and Trigger Levels

The notes provide quarterly contingent coupon payments, with the amount dependent on the closing levels of both underlying indices. On each coupon observation date, investors receive $25.375 per $1,000 face amount (representing 2.5375% quarterly) only if the closing level of each underlier is greater than or equal to its coupon trigger level of 70% of its initial level. If either index closes below this 70% threshold on any coupon observation date, the coupon payment for that quarter is zero. This "all-or-nothing" coupon structure means investors receive the full quarterly payment only when both indices remain above the trigger threshold simultaneously.

The coupon observation schedule spans from October 19, 2026 through July 17, 2031, with payments occurring three business days after each observation date. The potential annualized coupon rate of 10.15% (four quarterly payments of 2.5375% each) applies only when both indices remain above the trigger levels. The disclosure indicates that the estimated value of the notes on the trade date was $998 per $1,000 face amount, which is below the original issue price of 100% of face amount. This valuation reflects the market's assessment of the notes' risk profile relative to the embedded optionality and credit exposure to GS Finance Corp. and its guarantor, The Goldman Sachs Group, Inc.

Maturity Payment and Loss of Principal Risk

At maturity on July 22, 2031, the notes provide a cash settlement amount based on the performance of the Russell 2000 Index and S&P 500 Index measured on the determination date (July 17, 2031). If the final closing level of each underlier is greater than or equal to its trigger buffer level (70% of initial level), investors receive $1,000 per $1,000 face amount. However, if the final closing level of either underlier falls below 70% of its initial level, investors receive only $1,000 plus the product of $1,000 multiplied by the lesser performing underlier return, which can be substantially negative.

The underlier return calculation for each index is (final level minus initial level) divided by the initial level. This means investors can suffer significant losses if either index declines substantially from its initial level. For example, if one index falls 50% from its initial level, investors would receive $1,000 minus $500, or $500 per $1,000 invested. The disclosure explicitly warns that investors "could lose your entire investment in the notes," indicating that if the worst-performing index declines more than 100% (a theoretical scenario in equity indices), principal would be fully lost. This downside exposure represents the key risk for investors holding these notes to maturity without an automatic call.

Underlying Index Components and Performance Metrics

The notes track two major equity indices: the Russell 2000 Index, representing U.S. small-capitalization stocks, and the S&P 500 Index, representing large-capitalization U.S. stocks. The initial underlier levels on the July 17, 2026 trade date were 2,962.217 for the Russell 2000 and 7,457.69 for the S&P 500. These intra-day or closing levels serve as the baseline against which all subsequent performance calculations are measured, including determination of coupon payments, automatic call triggers, and final maturity payoffs. The use of the "lesser performing underlier" or "lowest underlier return" means that the notes' value depends on the worst-performing index rather than an average or best-performing index.

The dual-index structure exposes investors to two distinct market segments simultaneously. Unlike single-index notes, the contingent coupon feature requires both indices to remain above trigger levels; weakness in either index eliminates the coupon. Similarly, the lesser performing underlier determines maturity payoff, so even if one index appreciates significantly, a substantial decline in the other index reduces final settlement. This creates an implicit correlation bet—investors implicitly assume both indices will move in similar directions to maximize returns. In a scenario where the Russell 2000 significantly outperforms or underperforms the S&P 500, the notes' performance would be constrained by the weaker index.

Credit Risk and Guarantor Background

The notes are issued by GS Finance Corp. and are fully and unconditionally guaranteed by The Goldman Sachs Group, Inc. This guarantee structure means that investors bear the credit risk of both GS Finance Corp., the direct issuer, and The Goldman Sachs Group, Inc., as guarantor. The disclosure indicates that investors should read the accompanying documents to understand the credit risks associated with both entities. The guarantee does not eliminate credit risk; it merely ensures that The Goldman Sachs Group, Inc. is equally liable for repayment obligations, similar to the issuer itself.

The notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency. The disclosure explicitly states they are not obligations of, or guaranteed by, a bank, despite being issued through a Goldman Sachs subsidiary. This clarification underscores that these are unsecured corporate obligations whose repayment depends entirely on the creditworthiness of the issuer and guarantor. Changes in the credit ratings or financial condition of The Goldman Sachs Group, Inc. could affect the market value of the notes, independent of the performance of the underlying indices. Investors holding these notes are exposed to issuer credit risk in addition to market risk linked to the Russell 2000 and S&P 500 Index performance.

Pricing and Valuation Context

The notes were priced on July 17, 2026, with an original issue price of 100% of face amount and an underwriting discount of 0% of face amount. However, the disclosure reveals that the estimated value of the notes on the trade date was $998 per $1,000 face amount, $2 below the original issue price. This $2 per $1,000 discount reflects the market's assessment that the notes' embedded options and credit exposure reduce their value relative to par. The underwriting discount paid by the issuer includes a structuring fee of up to 0.45% of face amount, representing compensation for the complexity of structuring the index-linked features.

The valuation discount signals that the terms of the notes—including the contingent coupon structure, automatic call feature, and principal-at-risk maturity provision—result in a net cost to investors relative to receiving 100% of par value as straightforward compensation. The disclosed net proceeds to the issuer were 100% of face amount, with no deduction shown on the face of the prospectus despite the embedded structuring fee. This structure is typical for structured notes where the costs are embedded in the pricing mechanism rather than explicitly deducted from proceeds. Investors purchasing these notes at issuance would realize an immediate unrealized loss if the notes were marked to market at the estimated value of $998.

Calculation Agent Role and Documentation Framework

Goldman Sachs & Co. LLC serves as the calculation agent responsible for determining coupon payments, automatic call triggers, and maturity payoffs based on the published closing levels of the Russell 2000 Index and S&P 500 Index. The calculation agent's determinations are based on the specific definitions and procedures outlined in the pricing supplement and accompanying general terms supplement. The CUSIP number is 40054XNH7 and the ISIN is US40054XNH79, providing standardized identifiers for trading and settlement. The notes are issued under the senior debt indenture dated October 10, 2008, as supplemented, with The Bank of New York Mellon serving as trustee.

The notes are issued in book-entry form and represented by master note number 3, dated March 22, 2021, meaning physical certificates are not issued. Instead, ownership is recorded electronically, and transfers occur through the book-entry system maintained by The Depository Trust Company or similar clearance systems. The prospectus supplement documents indicate that the terms described in the July 17, 2026 pricing supplement supersede conflicting information in general terms supplement no. 17,745 (dated January 20, 2026), the underlier supplement no. 49 (dated June 24, 2026), and prior prospectus materials. Investors are advised to read the complete set of documents, including the general prospectus dated February 14, 2025, to fully understand all terms and conditions.

Market-Making and Secondary Trading Considerations

The disclosure indicates that GS Finance Corp. may use this prospectus in the initial sale of the notes, and Goldman Sachs & Co. LLC or other affiliates may use it in market-making transactions after initial sale. Unless otherwise stated in the confirmation of sale, the prospectus is being used in a market-making transaction. This means that after the initial issuance, Goldman Sachs affiliates may buy and sell these notes in the secondary market, potentially in their role as market maker. The market-making function provides liquidity for investors seeking to buy or sell notes between coupon payment dates or before maturity, but market-making firms are not obligated to maintain continuous two-sided markets.

Secondary market prices for the notes will fluctuate based on interest rate changes, implied volatility in equity indices, the credit spreads of GS Finance Corp. and The Goldman Sachs Group, Inc., and supply and demand dynamics. The return on an investment in these notes depends in part on the issue price paid by each investor, as noted in the prospectus. Investors purchasing notes after issuance at prices above par will suffer immediate losses if they hold to maturity and receive only $1,000 per $1,000 invested (absent growth from index appreciation). Conversely, investors purchasing at discounts to par may benefit if they hold to maturity and both indices remain above trigger levels, though downside risk remains if indices decline substantially.

Key Risks and Investor Considerations

The notes present multiple risk layers for investors. First, principal risk is substantial: if either index declines more than 30% from its initial level by maturity, the maturity payment falls below par, and if either index declines more than 100% (theoretically), total principal loss occurs. Second, coupon risk exists because quarterly coupon payments depend on both indices remaining simultaneously above 70% of their initial levels; any quarter when either index closes below this threshold results in zero coupon payment, even if the index recovers later. Third, opportunity cost risk arises from the automatic call feature, which caps upside if both indices appreciate together; investors do not benefit from further gains beyond the initial index levels once automatic call is triggered.

Credit risk is the fourth material risk: repayment depends entirely on the financial condition of The Goldman Sachs Group, Inc. and GS Finance Corp. Fourth, liquidity risk applies to secondary market trading; while Goldman Sachs affiliates may provide market-making services, they are not obligated to do so, and secondary market prices may reflect wide bid-ask spreads, especially during market stress. Correlation risk emerges because the notes' returns depend on the "lesser performing" index; if the two indices move in opposite directions, investors capture only the performance of the weaker performer. Finally, interest rate risk affects secondary market values; rising interest rates generally reduce the value of fixed-income and structured note investments as the opportunity cost of holding the notes increases relative to newly issued alternatives.