Goldman Sachs Issues $3 Million Autocallable Emerging Markets Notes With Two-Year Maturity

Pricing Structure and Underwriting Terms

GS Finance Corp. priced the Autocallable Leveraged Index Return Notes at $10.00 per unit on July 20, 2026, generating $3 million in total public offering proceeds across 300,000 units. The underwriting discount totaled $0.15 per unit, composed of a sales commission of $0.10 per note and a structuring fee of $0.05 per note, resulting in total underwriting compensation of $45,000. Net proceeds to GSFC before expenses were $9.85 per unit, or $2.955 million in aggregate, according to the disclosure.

The estimated value of the notes at the time terms were set on the pricing date was approximately $9.74 per $10 principal amount, representing a discount to the $10.00 public offering price. Goldman Sachs & Co. LLC indicated that the price at which it would initially buy or sell the notes, if it chose to make a market, would equal approximately the estimated value plus an additional amount initially valued at $0.26 per $10 principal amount. The company did not disclose whether Goldman Sachs & Co. LLC committed to maintaining a secondary market for the notes beyond initial distribution.

Automatic Call Feature and Early Redemption Mechanics

The notes incorporate an automatic call feature that allows for early redemption if specified market conditions are met. The call observation date occurs approximately one year after the pricing date, meaning the observation is scheduled for approximately July 20, 2027. If on this date the MSCI Emerging Markets Index value equals or exceeds 100.00% of the starting value, the notes will be automatically called, and investors will receive a call payment of $11.90 per unit with no further amounts due. This feature effectively caps upside potential at approximately 19% annualized return if the index remains flat or appreciates during the first observation period.

The automatic call provision reflects the issuer's ability to terminate the notes early if favorable market conditions exist, transferring reinvestment risk to note holders. If the notes are not called on the scheduled observation date because the index has declined from its starting level, the notes remain outstanding until their maturity date of July 27, 2028. The terms specify that the call observation occurs only on the designated date approximately one year after pricing, with no rolling or multiple call observations during the first year. This structure prioritizes return distribution early in the note lifecycle if index performance remains positive or flat.

Maturity Payoff Structure and Leverage Mechanics

If the notes remain uncalled through their maturity date, investors receive payoffs determined by the ending value of the MSCI Emerging Markets Index relative to its starting value. The notes provide 150% leveraged upside exposure to index increases, meaning that for every 1% the index rises beyond the starting value, noteholders receive a 1.5% return on their principal investment. This leverage amplifies positive returns but applies only if the index appreciates from the starting value established at the time of issuance.

The notes include principal protection for declines within a specified threshold. If the MSCI Emerging Markets Index ending value is equal to or less than the starting value but declines no more than 40%, investors receive their full $10 principal amount back. However, if the index falls more than 40% below the starting value, noteholders face 1-to-1 downside exposure, meaning they lose $1 of principal for every 1% the index declines beyond the 40% threshold. Under this scenario, up to 100% of the principal amount remains at risk, indicating the potential for substantial losses if emerging markets experience a severe downturn exceeding 40% from the starting point.

Credit Risk Considerations and Guarantee Structure

The notes are senior unsecured debt obligations of GS Finance Corp., with a full and unconditional guarantee from The Goldman Sachs Group, Inc. All payments on the notes, including principal repayment and the automatic call payment, depend ultimately on the creditworthiness of both entities. The notes rank equally with all other unsecured and unsubordinated obligations of GS Finance Corp., except for obligations with legal priority, and senior to any subordinated debt obligations. The guarantee is similarly unsecured and ranks equally with all other unsecured and unsubordinated obligations of The Goldman Sachs Group, Inc.

Investors bear full credit risk exposure to both the issuer and guarantor. The disclosure explicitly states that the notes are not insured by the Federal Deposit Insurance Corporation, not bank guaranteed, and not secured by collateral. If either GS Finance Corp. or The Goldman Sachs Group, Inc. experiences financial distress or defaults on obligations, noteholders could face losses regardless of the underlying MSCI Emerging Markets Index performance. This credit risk operates independently from and alongside the market-linked performance mechanics of the notes.

Market-Linked Performance and Index Measurement

The notes' economic performance derives entirely from changes in the MSCI Emerging Markets Index, identified by Bloomberg symbol "MXEF Index." The starting value of the index is established at the time terms of the notes are set on the pricing date, July 20, 2026. All subsequent payoff calculations compare the index's value on the call observation date (approximately July 20, 2027) and the maturity date (July 27, 2028) against this established baseline. The disclosure does not specify the exact starting value assigned to the index, though this figure would be determinable from the final pricing documentation.

The structured product transfers emerging markets equity risk to noteholders while the issuer retains the economic benefit or burden of index movement through dynamic hedging activities. Investors receive no periodic interest payments; compensation derives solely from index appreciation (through leverage if uncalled) or capital recovery/loss based on the index's decline relative to the starting value. The 40% downside threshold balances some capital protection against severe market declines while leaving noteholders fully exposed to losses beyond that point.

Secondary Market Liquidity and Trading Constraints

The disclosure emphasizes that secondary market liquidity for the notes is limited, and the notes have no exchange listing. This means investors cannot easily sell the notes in organized markets at transparent prices like exchange-traded securities. Goldman Sachs & Co. LLC may elect to make a market in the notes, providing bid and ask prices for secondary transactions, but the company is not obligated to do so. Prior to October 20, 2026, if Goldman Sachs & Co. LLC makes a market, its bid-ask spread will include an additional markup that declines on a straight-line basis from $0.26 per $10 principal amount at pricing to zero by October 19, 2026. On and after that date, market-making prices would reflect only the then-current estimated value determined through Goldman Sachs' internal pricing models.

The illiquidity profile introduces hold-to-maturity dynamics for most investors. While the company did not disclose typical bid-ask spreads beyond the initial markup, the structure suggests that secondary trading prices may diverge substantially from investors' purchase prices, depending on changing market conditions, interest rates, volatility, and index performance. Investors considering early liquidation should anticipate potential difficulty locating counterparties and accepting market-maker pricing that may reflect unfavorable spreads. The minimum purchase amount requirement of $100,000 in principal value per investor further constrains the secondary market universe to institutional and higher-net-worth participants.

Estimated Value Discounting and Pricing Model Assumptions

The disclosure indicates that the estimated value of the notes on the pricing date was approximately $9.74 per $10 principal amount, creating a $0.26 per unit discount to the public offering price. This valuation discount reflects the cumulative impact of several factors, including Goldman Sachs' credit spreads, prevailing interest rates, volatility assumptions, price-sensitivity analysis, time-to-maturity dynamics, and the costs associated with creating, documenting, and marketing the notes. The estimated value calculation used pricing models employed by Goldman Sachs & Co. LLC and incorporated the issuer's credit spreads at the time of pricing.

The $0.26 gap between estimated value and offering price represents the combined effect of underwriting economics and embedded option costs. The underwriting discount of $0.15 per unit accounts for $0.10 in sales compensation and $0.05 in structuring fees. The remaining approximately $0.11 per unit difference likely reflects the value of the options embedded in the notes—specifically the issuer's ability to call the notes early and the leverage and downside protection features. Investors should understand that the estimated value represents an internal valuation reference point and is not a guarantee of secondary market prices or future economic performance. The company did not disclose the specific volatility assumptions, interest rate forecasts, or credit spread percentages underlying the pricing models.

Market-Making and Secondary Pricing Framework

Goldman Sachs & Co. LLC disclosed its framework for establishing secondary market prices for the notes should it choose to make a market. Prior to October 20, 2026, the company would initially buy or sell notes at a price equal to the then-current estimated value plus any remaining additional markup amount. The additional markup, initially $0.26 per unit, declines to zero on a straight-line basis over approximately three months from the pricing date through October 19, 2026. This schedule means that by mid-October 2026, the markup will have completely eroded, and secondary market prices would reflect only the model-based estimated value with standard bid-ask spreads.

The disclosure notes that the price at which Goldman Sachs & Co. LLC would buy notes differs from the price at which it would sell notes due to customary bid and ask spreads, which the company did not quantify in the filing. After October 20, 2026, secondary market prices will depend entirely on the recalculated estimated value based on prevailing market conditions—changes in interest rates, volatility, credit spreads, and remaining time to maturity will all influence this valuation. The structured note issuer retains discretion regarding whether to maintain a market-making function and at what spreads, introducing uncertainty regarding the ease and cost of exiting the position before maturity.

Regulatory Status and Risk Disclosures

The prospectus supplement and term sheet disclose that neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved the securities or assessed the accuracy or adequacy of the prospectus materials. The notes are explicitly stated as not being bank deposits, not being insured by the Federal Deposit Insurance Corporation or any governmental agency, and not being guaranteed by any bank. These provisions distinguish structured notes from traditional bank products and clarify that regulatory protections applicable to depositor funds do not extend to noteholders.

The disclosure directs investors to extensive risk factor disclosures beginning on page TS-5 of the term sheet and page PS-7 of the product supplement, as well as considerations relating to indexed securities in the main prospectus. The company did not reproduce the full risk factor text in this excerpt, but these materials would elaborate on risks specific to emerging market exposure, leverage mechanics, credit risk, liquidity constraints, and valuation risk. Investors should review all risk disclosures carefully before committing capital, as structured notes present complexities not present in conventional debt securities or index-tracking funds.

Registration and Offering Scope

The notes are being issued pursuant to Registration Statement No. 333-284538, filed with the Securities and Exchange Commission. The offering relies on a base prospectus dated February 14, 2025, a prospectus supplement dated February 14, 2025, and Product Supplement No. EQUITY MLI-4 dated January 20, 2026. This multi-document structure is standard for structured note offerings, with each layer providing progressively more specific information about the product terms, risks, and issuer creditworthiness. GS Finance Corp. and Goldman Sachs & Co. LLC may use the prospectus materials both in initial sales and in subsequent market-making transactions.

The aggregate principal amount of $3 million reflects the initial offering size as of the pricing date, July 20, 2026. The disclosure explicitly reserves the company's option to increase the aggregate principal amount by selling additional notes on dates subsequent to the pricing date at potentially different issue prices and underwriting discounts. This means the total note issuance could expand beyond the $3 million initial amount if market demand exists and the company elects to conduct add-on offerings. Investors should monitor for announcements regarding any subsequent tranches or additions to the offering.