Goldman Sachs Finance Launches Autocallable Index-Linked Notes With Annual Call Feature Through 2033

Index Structure and Underlying Strategy

The notes are linked to the Goldman Sachs Momentum Builder Focus ER Index, which operates through a daily rebalancing mechanism designed to track the strongest-performing assets across multiple categories. The index's base composition includes up to nine underlying indices providing exposure to focused U.S. equities, other developed market equities, developed market fixed income assets, emerging market equities, and commodities. The index also maintains a money market position that accrues interest at the federal funds rate, permitting dynamic allocation based on historical returns and risk parameters.

The index applies strict risk management through a realized volatility control feature set at 5% and incorporates a momentum risk control mechanism that reduces exposure to assets exhibiting the weakest price momentum. The base index rebalances daily based on historical returns of underlying assets, subject to predefined rules including a volatility limit and minimum and maximum asset and asset class weights. The index deducts the federal funds rate return from the daily base index return, with an additional annual deduction of 0.65% applied across the full index. These deductions mean that significant allocations to money market or non-interest bearing cash positions will proportionally reduce overall index performance.

Automatic Call Mechanism and Escalating Premiums

The notes incorporate an annual automatic call feature that distinguishes this structured product from traditional fixed-income securities. Beginning August 2, 2027, and on each subsequent anniversary date, the notes will be automatically called if the closing level of the index equals or exceeds the applicable call level on the observation date. If called, investors receive $1,000 plus an amount equal to $1,000 multiplied by the applicable call premium for each $1,000 of face amount held.

The call premium structure increases annually to incentivize early redemption and reward index performance. In the first call year (August 2027), the call level is 100.50% of the initial index level with a premium of 14.00%. This escalates progressively through subsequent years: 101.00% call level with 28.00% premium in 2028; 101.50% with 42.00% in 2029; 102.00% with 56.00% in 2030; 102.50% with 70.00% in 2031; and 103.00% with 84.00% in 2032. The escalating premium structure reflects the issuer's intention to redeem notes as the index appreciates, limiting exposure to further index gains beyond the call date.

Payment at Maturity and Downside Protection

If the notes are not automatically called prior to maturity, investors receive cash settlement on August 4, 2033, calculated based on final index performance. For each $1,000 face amount, if the final index level exceeds the initial index level, payment equals $1,000 plus $1,000 multiplied by the upside participation rate (100%) multiplied by the index return. The 100% upside participation rate means investors capture the full positive return of the index above its initial level, proportionally. If the final index level equals or falls below the initial index level at maturity, investors receive only the $1,000 principal, providing full downside protection against index declines.

This structure creates an asymmetric payoff profile: capital is preserved if the index declines or remains flat, while full index gains accrue to investors if the index appreciates and the notes are not called. The notes do not accrue or pay interest, distinguishing them from conventional debt securities. The pricing supplement indicates the estimated value of the notes on trade date is between $850 and $880 per $1,000 face amount, reflecting a discount to the original issue price and representing the time value and structural costs embedded in the product.

Index Deductions and Fee Structure Impact

Investors should understand the ongoing costs deducted from index returns that directly affect note performance. The index applies a daily deduction equal to the federal funds rate return from the base index, plus an additional 0.65% annual deduction applied to the entire index accruing daily. The combined effect of these deductions means that any allocation to the money market position or non-interest bearing cash positions reduces overall index performance on a pro rata basis by 0.65% annually. Over the seven-year note term, this persistent drag affects cumulative returns available to investors.

The disclosure states that "a very significant portion of the index has been, and may be in the future, allocated to the return-based money market position and the non-interest bearing cash positions." This language indicates that substantial index exposure may remain in cash-equivalent positions earning only the federal funds rate minus the 0.65% deduction, potentially limiting index appreciation in certain market environments. The magnitude of cash allocation depends on the index's risk control mechanisms and market conditions, introducing variability in the index's ability to deliver returns across different interest rate environments and market cycles.

Credit Risk and Issuer Guarantees

The notes are issued by GS Finance Corp. and fully and unconditionally guaranteed by The Goldman Sachs Group, Inc., linking investor returns to the creditworthiness of both entities. The preliminary prospectus emphasizes that investors should read disclosures regarding credit risk, as the notes' value depends ultimately on the ability of The Goldman Sachs Group to honor its guarantee. The notes are not bank deposits and receive no Federal Deposit Insurance Corporation protection or backing from any governmental agency or bank.

As structured products, these notes carry counterparty risk distinct from traditional equity or bond investments. Investors rely on Goldman Sachs' credit standing to receive payments at maturity or upon automatic call. Market conditions, regulatory changes, or adverse developments affecting Goldman Sachs could theoretically impact the issuer's ability to meet obligations, though the corporate guarantee provides an additional layer of protection beyond the GS Finance Corp. subsidiary structure.

Trading Terms and Calculation Agent Role

The preliminary pricing supplement sets the trade date for July 31, 2026, with an original issue date of August 5, 2026, and a determination date (final index level measurement) of August 1, 2033. Goldman Sachs & Co. LLC serves as the note calculation agent, responsible for calculating index levels, determining whether automatic call conditions are met, and establishing the initial index level on trade date. The initial index level is set as either an intra-day level or the closing level on the trade date, with provisions for adjustment if the trade date is not a trading day.

The calculation agent holds discretionary authority in certain situations. If a non-trading day occurs on the second scheduled trading day after the trade date, the calculation agent determines the initial index level based on its sole discretion assessment of the index level on that date. This provision introduces a minor administrative contingency but ensures the notes can be initiated regardless of holiday schedules or market disruptions. The notes carry CUSIP 40054XSB5 and ISIN US40054XSB54 for trading and settlement purposes.

Prospectus Documentation and Terms Integration

The preliminary pricing supplement constitutes a supplement to multiple foundational documents that together form the complete terms and conditions governing the notes. Investors should review the June 2026 MOBU Focus ER index supplement addendum and MOBU Focus ER index supplement no. 12, both dated June 25, 2026, for detailed index methodology. The prospectus supplement dated February 14, 2025, and the base prospectus also dated February 14, 2025, provide additional context regarding GS Finance Corp.'s Medium-Term Notes, Series F program and general terms applicable to structured notes issued under this framework.

The disclosure explicitly states that information in the pricing supplement supersedes conflicting information in accompanying documents, and certain terms described in the referenced documents may not apply to these specific notes. This hierarchical approach means investors should prioritize the July 2026 pricing supplement when discrepancies arise regarding final terms. The notes are part of an existing medium-term note program, allowing Goldman Sachs flexibility to issue additional tranches at different times and potentially different prices without requiring complete prospectus updates for each issuance.

Market-Making and Secondary Trading Considerations

The disclosure confirms that Goldman Sachs & Co. LLC or other affiliates of GS Finance Corp. may use this prospectus in market-making transactions following the initial sale. Unless otherwise indicated in the confirmation of sale, purchasers should assume the prospectus is being used in connection with a market-making transaction, meaning Goldman Sachs may facilitate secondary market trading in the notes. This reflects standard practice for structured products, where the issuer or its affiliates typically provide liquidity by standing ready to buy and sell notes at quoted prices.

Secondary market pricing for these notes will depend on multiple factors including changes in index levels, implied volatility in the underlying assets, credit spreads, interest rates, and the time remaining to maturity or next call date. Early purchasers may face wider bid-ask spreads or less favorable pricing compared to the issue price, particularly if the underlying index has moved substantially or market conditions have shifted. Investors should understand that the estimated value range of $850 to $880 per $1,000 face amount reflects a discount to the par value at issuance, and actual secondary market prices may vary significantly.

Regulatory Status and Investment Risks

The preliminary pricing supplement explicitly states that neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved the notes or passed upon the accuracy or adequacy of the prospectus. Any representation to the contrary would constitute a criminal offense. This standard disclaimer reflects the regulatory framework governing structured products, which are registered but not pre-approved for specific terms by the SEC. The notes represent complex instruments combining equity index exposure with embedded derivatives and credit risk, requiring investors to thoroughly understand all components before committing capital.

The investment carries multiple distinct risks warranting careful consideration. Index performance may be significantly affected by the 0.65% annual deduction and federal funds rate drag, potentially reducing returns below what passive index investing would deliver. The automatic call feature, while potentially attractive if the index appreciates rapidly, limits upside participation for holders who would benefit from stronger index performance. Downside protection applies only if the index does not exceed its initial level by maturity, leaving investors exposed to negative returns if index performance deteriorates substantially. Credit risk tied to The Goldman Sachs Group means that extraordinary financial stress could theoretically impair payments, though such scenarios remain remote given the company's size and capital position.