Goldman Sachs Issues Autocallable Index-Linked Notes With Triple-Index Performance Structure

Autocallable Structure With Quarterly Call Observation Dates

The preliminary pricing supplement discloses that the notes incorporate an automatic call feature commencing in August 2027 and concluding in February 2028, with the final call observation date occurring approximately 42 months before the determination date. The filing indicates that investors' notes will be automatically called on any call observation date if the closing level of each of the three underlying indexes—the S&P 500 Futures Excess Return Index, Russell 2000 Futures Excess Return Index, and Dow Jones Industrial Average Futures Excess Return Index—reaches or exceeds 105% of its initial level on the trade date. Upon automatic call, investors would receive $1,000 face amount plus a call premium amount applied to each $1,000 of notes held.

The call premium amounts and specific call observation dates are detailed on page PS-4 of the pricing supplement, though the disclosure does not specify the exact dollar amount of the call premium in the filed document. The automatic call mechanism creates a situation where investors benefit from early redemption at a premium should all three indexes simultaneously appreciate by 5% or more from their initial levels set on the trade date. However, the requirement that all three indexes must simultaneously meet the call threshold creates a more restrictive scenario than if the call applied to a single index or the best-performing index.

Triple-Index Worst-of Structure at Maturity

The maturity payout structure disclosed in the filing employs a "worst-of" methodology, meaning the final payment depends on the performance of the index that delivers the lowest return. The filing specifies that if all three indexes finish above their initial levels at the determination date (expected August 5, 2031), investors receive $1,000 face amount plus a product calculated by multiplying $1,000 by a participation rate of 3.35 times the return of the least-performing index. This 3.35 times leverage factor amplifies positive returns but also creates proportional downside exposure.

The disclosure outlines additional payout scenarios. If any index finishes at or below its initial level but all three indexes remain at or above 70% of their initial levels, investors receive the full $1,000 face amount with no participation in index gains. If any index falls below 70% of its initial level, the return becomes negative, and investors receive significantly less than face value. The filing specifically states that if any index return falls below -30%, investors will receive less than 70% of the face amount, calculated based on the worst-performing index's return applied directly to the $1,000 principal. This structure creates a scenario where an investor could receive approximately $700 or less per $1,000 invested if the weakest index declines by 30% or more.

Risk Disclosures on Futures-Based Indexes

The filing emphasizes that the underlying indexes track futures contracts rather than the traditional cash indexes many investors may be familiar with. Specifically, the S&P 500 Futures Excess Return Index tracks E-mini S&P 500 futures contracts rather than the S&P 500 Index itself, the Russell 2000 Futures Excess Return Index tracks E-mini Russell 2000 futures contracts rather than the Russell 2000 Index, and the Dow Jones Industrial Average Futures Excess Return Index tracks E-mini Dow ($5) futures contracts rather than the traditional Dow Jones Industrial Average. The disclosure notes that returns on futures contract investments are correlated with but not identical to returns on buying and holding the underlying securities.

A significant risk flagged in the disclosure concerns the Russell 2000 Futures Excess Return Index specifically. The filing states that limited historical information regarding this index's performance is available, which "may make it difficult for you to make an informed decision with respect to an investment in the notes." This disclosure suggests that investors have less historical precedent to evaluate how this particular index behaves under various market conditions compared to more established indexes. The inclusion of a lesser-tracked index adds an element of uncertainty regarding the performance baseline for one-third of the maturity payout calculation.

Valuation Below Issue Price and Secondary Market Considerations

The filing discloses that the estimated value of the notes at pricing is expected to be between $885 and $915 per $1,000 face amount, which falls below the 100% original issue price. This valuation, determined by reference to pricing models used by Goldman Sachs & Co. LLC and accounting for credit spreads, represents the theoretical fair value at the time terms are set on the trade date. The disclosure explains that this valuation gap reflects the cost of the embedded options and other structural features, with the difference between issue price and estimated value effectively representing the cost to investors of holding the leveraged upside exposure.

Regarding secondary market pricing, the filing indicates that Goldman Sachs & Co. LLC's bid and ask spreads for the notes will initially correspond to approximately the estimated value plus an additional amount per $1,000 face amount, though the specific additional amount is not populated in this preliminary filing. The disclosure states that this additional amount will decline on a straight-line basis from pricing through an unspecified future date, after which the bid and ask prices will reflect only the then-current estimated value. The disclosure also notes that Goldman Sachs & Co. LLC is not obligated to make a market in the notes and that any market-making activity is discretionary.

No Interest Payments Throughout Note Lifetime

The filing specifies that the notes do not bear interest during their holding period. Rather than receiving periodic coupon payments, investors' returns are entirely dependent on the index performance mechanism and the automatic call feature. This zero-coupon structure means that investors have no interim cash flow and receive only a single cash payment at either the call date or maturity date. For investors accustomed to traditional bonds with regular interest payments, this structure represents a significant departure from conventional fixed-income securities.

The absence of interest payments combined with the maturity payout structure means that investors could receive less than their initial principal investment at maturity if the worst-performing index declines significantly. There is no compensating interest rate to offset poor index performance. This characteristic makes the notes a pure equity-linked derivative product rather than a hybrid security that combines fixed income with equity exposure.

Guarantee by The Goldman Sachs Group and Credit Risk

The preliminary pricing supplement discloses that 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 the parent company should GS Finance Corp. be unable to meet its payment obligations. However, the filing acknowledges that the value of this guarantee depends on the credit quality of The Goldman Sachs Group, Inc. itself. The disclosure directs investors to page PS-12 for discussion of the credit risk associated with both GS Finance Corp. and its parent guarantor.

The filing also includes a standardized disclaimer stating that the notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of or guaranteed by a bank, despite GS Finance Corp.'s relationship to a major financial institution. This language clarifies that investors bear full credit risk and that no deposit insurance protections apply. The preliminary nature of the filing means final pricing and terms remain subject to completion, and interested investors would need to review the final pricing supplement once filed.

Program Structure Within Medium-Term Notes Series F

The disclosure confirms that these notes are part of the Medium-Term Notes, Series F program of GS Finance Corp., a registration statement established under SEC Registration No. 333-284538. The filing indicates that this pricing supplement constitutes a supplement to several underlying prospectus documents, including the general terms supplement no. 17,745 dated January 20, 2026, index-specific supplements dated June 24, 2026, and the base prospectus dated February 14, 2025. This layered documentation structure means that the complete disclosure picture requires review of multiple documents beyond the pricing supplement itself.

The filing explicitly states that information in this pricing supplement supersedes any conflicting information in the accompanying documents and that some terms described in those documents may not apply to these specific notes. Investors reviewing this offering must therefore prioritize the terms disclosed in the pricing supplement over any conflicting language in the foundational prospectus materials. The disclosure structure reflects standard practice for structured debt offerings where each product variation requires its own pricing supplement layered on top of a standardized program prospectus.

Original Issue Price and Underwriting Economics

The filing discloses that the original issue price is set at 100% of face amount, meaning investors pay $1,000 per $1,000 of notes at issuance. However, the estimated fair value at pricing of $885 to $915 per $1,000 creates an immediate embedded loss for purchasers at issue. The disclosure indicates that an underwriting discount applies but does not specify the exact percentage in this preliminary filing, stating only that additional information regarding fees comprising the underwriting discount is available on page PS-26.

The filing notes that net proceeds to the issuer are expressed as a percentage of face amount but that specific figure is also not populated in this preliminary version. The disclosure acknowledges that if additional notes are sold after the initial offering date, issue prices, underwriting discounts, and net proceeds may differ from the amounts for the initial tranche. The return on investment disclosed in the filing depends in part on the issue price paid by individual investors, meaning different purchasers in a secondary offering could experience different economic outcomes depending on their entry prices.

Expected Trade Date and Five-Year Maturity Timeline

The preliminary pricing supplement discloses that the trade date is expected to be August 5, 2026, with original issue date expected August 10, 2026. The determination date for calculating final index levels at maturity is expected to be August 5, 2031, creating a five-year note maturity timeline. The call observation window runs from approximately August 2027 through February 2028, roughly one-to-two years after issuance. This timeline means that the earliest investors could experience automatic call would be approximately one year after purchase.

The five-year maturity period represents a medium-term commitment for investors without interim cash flows or opportunities to reset the investment. During this holding period, investors bear full exposure to all three underlying indexes' performance, with no ability to adjust the leverage ratio or participate in only certain indexes. The filing discloses that initial levels for each index are to be set on the trade date as either an intra-day level or the closing level on that date, though the specific levels are not stated in this preliminary version.

Lack of Regulatory Approval and Product Characteristics

The preliminary pricing supplement includes standard SEC language stating that neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved the securities or passed upon the accuracy or adequacy of the prospectus. The filing clarifies that any representation to the contrary would constitute a criminal offense. This language emphasizes that SEC review constitutes a disclosure review process rather than an endorsement or approval of the investment merits or suitability of the product for any particular investor.

The filing reinforces that these are structured products with complex embedded derivatives and leverage, not traditional debt securities. The combination of zero coupon payments, index linkage with futures-based components, automatic call features, worst-of performance calculation, and downside risk below 70% of principal creates a security suitable only for investors with significant sophistication regarding equity derivatives and leveraged products. The disclosure language throughout the filing emphasizes risk and complexity rather than offering endorsement of the product.