Goldman Sachs Finance Issues S&P 500 Futures-Linked Notes With Early Call Feature and Leveraged Returns

Structured Investment Mechanics and Payoff Profile

The disclosure outlines a complex payoff structure with three distinct scenarios at maturity. If the S&P 500 Futures Excess Return Index closes above its initial level on the determination date (expected August 18, 2031), the investor receives $1,000 principal plus 2.15 times the index return multiplied by $1,000. For example, a 10% index gain would yield $1,000 plus $215, or $1,215 per $1,000 face amount invested. This leveraged upside reflects the structured note's design to provide enhanced equity market participation.

The second and third scenarios address index performance below the initial level. If the final index level is at or above 80% of the initial level but does not exceed it, investors receive exactly their $1,000 face amount—a full capital preservation feature. However, if the index declines more than 20% from its initial level, investors experience direct losses. In this scenario, they receive $1,000 plus the product of the index return plus 20% (the buffer) times $1,000. A 30% index decline, for instance, would result in a loss of $100 per $1,000 face amount, or 10% of principal.

Estimated Valuation and Secondary Market Pricing Framework

The filing states that the estimated value of the notes at the time terms are set on the trade date (expected August 26, 2026) is between $885 and $935 per $1,000 face amount. This valuation, significantly below the 100% original issue price, reflects the cost of the embedded options, the guarantor's credit spread, and the leverage component built into the structure. Goldman Sachs & Co. LLC, the underwriter, derives this estimated value using proprietary pricing models that account for volatility expectations, interest rates, and other market factors.

The filing discloses Goldman Sachs' framework for making a secondary market in the notes after initial issuance. Prior to a date to be specified in the final pricing supplement, Goldman Sachs would buy or sell notes at a price equal to the then-current estimated value plus a declining additional amount initially equal to a specified amount per $1,000 face value. This additional amount will decline on a straight-line basis to zero through the date specified. After that date, the firm's bid and offer prices will equal approximately the then-current estimated value only. The filing notes that Goldman Sachs is not obligated to make a market in the notes and that any market-making prices exclude the firm's customary bid-ask spreads.

Call Redemption Rights and Timeline

GS Finance Corp. retains the right to redeem the notes on any monthly call payment date beginning August 31, 2027 and ending July 31, 2031. Upon redemption, the company will pay investors 100% of the face amount plus an amount equal to $1,000 times the applicable call premium amount for that specific call payment date. The disclosure indicates that the exact call premium amounts for each monthly call date will be detailed on page PS-4 of the final pricing supplement, which has not yet been completed.

This call feature gives the issuer significant flexibility to manage its liability. If equity volatility declines, credit spreads tighten, or market conditions otherwise reduce the notes' economic cost to the guarantor, redemption becomes more likely. Investors should note that early redemption would cap their upside return to the call premium amount plus 100% of face value, whereas holding to maturity could yield substantially higher returns if markets rally sharply. The five-year window for call redemption (August 2027 through July 2031) creates ongoing refinancing risk.

Underlier Selection and Futures-Based Exposure

The notes are linked to the S&P 500 Futures Excess Return Index (Bloomberg symbol: SPXFP Index), not the traditional S&P 500 Index itself. The filing explicitly states that this index tracks the performance of E-mini S&P 500 futures contracts and clarifies an important distinction: the return on a futures contract investment is correlated with, but not identical to, the return from buying and holding the underlying securities. This distinction matters because futures contracts carry different liquidity dynamics, rolling costs, and contract specification mechanics than holding equities directly.

The disclosure explains that index returns are calculated as the percentage increase or decrease in the final index level from the initial index level, which will be set on the trade date (August 26, 2026) as either an intra-day level or the closing level on that date. The determination date is expected to be August 18, 2031, providing a five-year measurement period. Investors relying on index-linked notes should understand that index modifications, replacements, or adjustments as provided in the documentation could affect performance, though the disclosure does not detail specific circumstances under which such changes might occur.

Guarantee Structure and Credit Risk Considerations

The notes are fully and unconditionally guaranteed by The Goldman Sachs Group, Inc., the parent company of GS Finance Corp. This guarantee means that investors have recourse to Goldman Sachs' balance sheet and creditworthiness, rather than relying solely on GS Finance Corp. as the obligor. The two-tier credit structure—issuer plus guarantor—is standard in structured notes programs to provide investors with enhanced credit protection through exposure to a larger, systemically important financial institution.

The filing directs investors to page PS-11 for comprehensive disclosure regarding credit risk. The document notes that investors should understand the credit risk of both GS Finance Corp. and The Goldman Sachs Group, Inc. before investing. The notes are explicitly not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency. In the event of a credit event affecting The Goldman Sachs Group, Inc., investors would be unsecured creditors competing with other debt holders, which represents a material risk distinct from the market risk tied to index performance.

Issue Pricing and Underwriting Economics

The disclosure provides that the original issue price is 100% of the face amount for most investors, with net proceeds to the issuer stated as a percentage of face value (the specific percentage is not completed in this preliminary supplement). The underwriting discount, also expressed as a percentage of face amount, is similarly incomplete pending final pricing. The filing indicates that the original issue price may differ for certain investors, with details to appear under "Supplemental Plan of Distribution; Conflicts of Interest" on page PS-23 of the final document.

Goldman Sachs & Co. LLC serves as the underwriter and primary market maker. The filing warns that GS Finance Corp. may use this prospectus in the initial sale of the notes, and Goldman Sachs affiliates may use it in secondary market-making transactions. Unless GS Finance Corp. or its agent explicitly informs purchasers otherwise in the sale confirmation, transactions are presumed to be market-making transactions rather than primary offerings. The company also retains the option to sell additional notes after the initial pricing at potentially different issue prices and underwriting discounts, which could affect the return profile for different investor cohorts.

Registration and Legal Framework

The notes are being issued pursuant to Registration Statement No. 333-284538, filed with the Securities and Exchange Commission. This preliminary pricing supplement is filed under Rule 424(b)(2), a form used for final prospectus supplements in registered offerings. The disclosure is preliminary and subject to completion, meaning key terms—including specific issue prices, underwriting discounts, and call premium schedules—remain unfinalized pending market conditions and investor demand.

The notes are issued under the senior debt indenture dated October 10, 2008, as supplemented by the First Supplemental Indenture dated February 20, 2015, among GS Finance Corp., The Goldman Sachs Group, Inc., and The Bank of New York Mellon as trustee (the "GSFC 2008 indenture"). The accompanying prospectus supplement references additional documentation including General Terms Supplement No. 17,745 (January 20, 2026), the July 2026 S&P 500 Futures Excess Return Index supplement (July 27, 2026), and Underlier Supplement No. 49 (March 24, 2026), along with the base prospectus dated February 14, 2025. Notes will be issued in book-entry form represented by master note no. 3, dated March 22, 2021. The authorized denominations are $1,000 or any integral multiple of $1,000 in excess thereof.

Risk Profile and Loss Scenarios

The disclosure explicitly warns that investors "could lose a substantial portion" of their investment if the S&P 500 Futures Excess Return Index falls below 80% of its initial level. To illustrate, if the index declines 25% from the initial level, investors would receive approximately $950 per $1,000 face amount (1,000 + [−0.25 + 0.20] × 1,000 = 950), representing a 5% loss. A 30% decline yields a 10% loss; a 40% decline produces a 20% loss. The maximum loss is not capped at the 20% buffer but extends proportionally further for larger declines.

Additional risks include the issuer's call redemption option, which caps upside if markets rally sharply and rates fall. Interest rate risk also affects secondary market valuations independently of index performance—rising rates would typically depress structured note prices. Liquidity risk is material; while Goldman Sachs may make a market, it is under no obligation to do so, and bid-ask spreads could be substantial in stressed market environments. Finally, leverage acts as a double-edged sword: while 2.15x magnifies gains, it also amplifies losses in market downturns, making these notes unsuitable for conservative investors or those with low risk tolerance.

Completion Status and Timeline for Investors

This preliminary pricing supplement contains numerous blank spaces and incomplete sections, indicating that the document awaits final terms and pricing data. The trade date is expected August 26, 2026, with original issue expected August 31, 2026, and maturity expected September 2, 2031. Final pricing details—including the exact issue price, underwriting discount, net proceeds, call premium schedule, and all supplemental distribution and conflict-of-interest disclosures—will be completed before the notes commence trading.

The SEC notes at the top that neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these securities, nor has it passed upon the accuracy or adequacy of the prospectus. Any contrary representation is a criminal offense. Prospective investors should await the final, completed pricing supplement and review all accompanying prospectus documents, including the base prospectus and supplements referenced above, before committing capital. The five-year term, leveraged equity exposure, call redemption risk, and contingent loss profile make these complex instruments suitable primarily for sophisticated investors with specific investment objectives.