Goldman Sachs Issues Autocallable S&P 500 Index-Linked Notes Due 2028 With Leveraged Upside

Structural Features of the Indexed Notes Product

The Autocallable S&P 500 Index-Linked Notes represent a structured investment product designed to provide leveraged exposure to equity market performance while incorporating downside protection within specified limits. The notes do not bear interest; instead, investors receive their return through potential appreciation at maturity or through early redemption via the automatic call feature. This structure appeals to investors seeking participation in positive market movements while managing overall portfolio risk through embedded protection mechanisms.

The notes are issued under GS Finance Corp.'s Medium-Term Notes Series F program and form part of the broader structured products ecosystem offered by Goldman Sachs. The underlying reference asset is the S&P 500 Index, one of the most widely recognized equity benchmarks in global financial markets. By using this index as the underlier, the notes provide investors with transparent performance tracking tied to large-capitalization U.S. equities. The initial underlier level will be set on the trade date based on the closing level of the S&P 500 on that date, establishing the baseline against which all performance calculations will be measured.

Automatic Call Mechanism and Early Redemption

The notes incorporate an automatic call feature that allows GS Finance Corp. to redeem the securities early if specific market conditions are met. The call observation date is scheduled for August 6, 2027, and if the S&P 500 closes at or above its initial level on that date, the notes will be automatically called on the call payment date of August 11, 2027. Upon automatic call, each $1,000 of face amount will be redeemed for $1,100 in cash, providing investors with a predetermined return if the index meets the call threshold. This mechanism benefits the issuer by limiting upside exposure in a rising market while providing investors with certainty of return if market conditions remain favorable.

The automatic call feature introduces timing uncertainty for investors, as early redemption could occur before the stated maturity date of July 27, 2028. Investors purchasing these notes should consider that if equity markets perform well and trigger the automatic call, their investment will terminate on August 11, 2027, with a fixed return of $1,100 per $1,000 face amount. This early redemption provision effectively caps the investor's opportunity to participate in further gains if the market continues to appreciate beyond the call observation date. The disclosure does not indicate any changes to the automatic call feature or alternative redemption scenarios.

Upside Participation and Performance-Linked Payoff at Maturity

If the notes are not automatically called, investors receive a cash payment at maturity calculated based on the final S&P 500 Index level on July 24, 2028. The payoff structure includes three distinct scenarios depending on the index's performance relative to the initial underlier level. In the most favorable scenario, if the final underlier level exceeds the initial level, investors receive $1,000 plus a participation amount equal to $1,000 multiplied by the upside participation rate (at least 200%) multiplied by the underlier return. This 200% participation rate means that investors gain twice the percentage appreciation of the S&P 500 above the initial level, providing leveraged upside exposure to index movements.

The second payoff scenario applies if the S&P 500 declines but remains at or above 90% of its initial level—the buffer level. In this range, investors receive the full $1,000 face amount with no additional loss, effectively providing a 10% cushion against downside performance. The third scenario applies if the index falls below the buffer level, triggering a leveraged downside calculation using the buffer rate of approximately 111.11%. Under this calculation, the final payment would be reduced based on the magnitude of the index decline below the 90% buffer threshold. The disclosure states that investors could lose their entire investment, reflecting the structured note's exposure to significant equity market declines exceeding the 10% buffer protection.

Credit Guarantees and Issuer Structure

The notes are fully and unconditionally guaranteed by The Goldman Sachs Group, Inc., the parent company of GS Finance Corp. This guarantee means that if GS Finance Corp. fails to make payments on the notes, investors have a direct claim against Goldman Sachs for the full amount owed. However, the disclosure explicitly states 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 a bank. This language emphasizes that investors bear credit risk exposure to both the issuer and the guarantor, and these securities lack the statutory protections afforded to traditional bank deposits.

The notes are issued under a senior debt indenture dated October 10, 2008, as supplemented by the First Supplemental Indenture dated February 20, 2015. The Bank of New York Mellon serves as trustee under this indenture. This contractual framework establishes the legal rights and obligations of all parties and provides the procedural mechanisms for note administration, calculation of payouts, and adjustment of terms if necessary. The disclosure references supplemental documents including General Terms Supplement No. 17,745 dated January 20, 2026, and Underlier Supplement No. 49 dated June 24, 2026, which together with the pricing supplement constitute the complete offering documentation.

Pricing and Net Proceeds to the Issuer

The notes carry an original issue price of 100% of face amount, meaning investors pay par value for each $1,000 of face amount purchased. However, the offering includes an underwriting discount of 1.5% of the face amount, resulting in net proceeds to GS Finance Corp. of 98.5% of the face amount. This underwriting discount compensates Goldman Sachs & Co. LLC and JPMorgan, the placement agent, for marketing and distributing the notes to investors. The preliminary pricing supplement notes that the estimated value of the notes on the trade date is projected to be between $900 and $930 per $1,000 face amount, which is less than the original issue price, reflecting the embedded costs and risk factors inherent in the structured product.

The disclosure indicates that additional notes may be sold after the pricing supplement date at different issue prices and underwriting discounts. Accounts of certain national banks purchasing notes through designated purchase agents will not receive underwriting discount, adjusting the pricing structure for institutional buyers. The actual aggregate face amount of the offering was not disclosed in the preliminary pricing supplement, as this figure would be established once pricing is finalized on the trade date. The disclosure emphasizes that investors' returns depend partly on the issue price they pay, and secondary market sales prior to maturity or call date could yield returns materially different from the hypothetical examples provided in the prospectus.

Risk Factors and Loss Potential

The disclosure contains a prominent warning that investors could lose their entire investment in the notes. This warning reflects the structured note's exposure to significant declines in the S&P 500 Index beyond the 10% buffer threshold. If the index declines more than 10% from the initial level by the determination date, the leveraged downside calculation using the buffer rate of 111.11% could result in substantial losses. For example, a 20% decline in the index would result in losses exceeding the initial 10% cushion, and progressively larger declines could reduce the payment amount to zero or theoretically below, though the calculation structure and any principal protection mechanisms are subject to the full indenture and supplemental terms.

Additional risk factors identified in the disclosure include credit risk associated with both GS Finance Corp. and The Goldman Sochs Group, Inc. While the guarantee provides a secondary claim, investors are ultimately exposed to the creditworthiness of Goldman Sachs. The notes are subject to interest rate risk, volatility risk of the underlying S&P 500 Index, and liquidity risk in secondary markets. Market conditions at the time of issuance may result in a secondary market value less than the issue price, and investors selling notes prior to maturity may realize losses. The disclosure emphasizes that hypothetical examples do not predict future investment results and that actual returns will depend on market conditions and various economic factors at future observation and determination dates.

Calculation Methodology and Index Tracking

Goldman Sachs & Co. LLC serves as the calculation agent responsible for determining the underlier levels, calculation of returns, and settlement amounts. The underlier return is calculated as the percentage change from the initial underlier level to the final underlier level, expressed as (final level minus initial level) divided by initial level. The final underlier level is defined as the closing level of the S&P 500 Index on the determination date of July 24, 2028, subject to any adjustments described in the accompanying general terms supplement. This methodology ensures that the notes track the index performance directly and transparently, with all calculations based on publicly observable index closing prices.

The disclosure references multiple supplemental documents that contain additional terms and adjustment provisions. The General Terms Supplement No. 17,745 and Underlier Supplement No. 49 provide detailed specifications regarding calculation procedures, potential adjustments to dates and levels due to market disruptions or index modifications, and other administrative provisions. The disclosure states that information in the pricing supplement supersedes any conflicting information in related documents, emphasizing that investors should review the complete prospectus package to understand all applicable terms. The use of a major financial institution as calculation agent provides investor protections through independent verification of index levels and payment calculations.

Market Distribution and Secondary Trading

The preliminary pricing supplement indicates that Goldman Sachs & Co. LLC and JPMorgan are the primary distribution agents for the initial sale of the notes. Following the initial offering, GS Finance Corp. or its affiliates may engage in secondary market-making transactions in the notes, providing liquidity for investors who wish to exit their positions prior to the call date or maturity date. The disclosure notes that unless GS Finance Corp. or its agent informs the purchaser otherwise in the confirmation of sale, the prospectus is being used in a market-making transaction, clarifying the context in which the offering materials are presented in subsequent transactions.

The notes will be issued in book-entry form and represented by master note no. 3 dated March 22, 2021, held by a designated custodian. This book-entry structure eliminates physical certificates and facilitates efficient settlement and transfer of the notes through the secondary market. The CUSIP and ISIN numbers (40054XT24 and US40054XT241, respectively) provide standardized identifiers for trading and settlement purposes. Secondary market prices will fluctuate based on changes in the S&P 500 Index level, interest rate environments, implied volatility of the underlying index, and the credit spreads associated with Goldman Sachs as guarantor. Investors selling in secondary markets may realize returns significantly different from the hypothetical maturity scenarios described in the prospectus.

Key Dates and Timeline for the Offering

The offering follows a specific timeline with the preliminary pricing supplement dated July 21, 2026. The trade date for finalizing terms is July 24, 2026, on which the initial underlier level will be set based on the S&P 500 closing price. The original issue date is July 29, 2026, when the notes will be delivered and investors' capital will be deployed. The call observation date of August 6, 2027, is the first critical date for determining whether the automatic call feature will be triggered, with a call payment date of August 11, 2027, if the call condition is met. All dates are subject to adjustment as described in the accompanying general terms supplement, particularly in cases of market disruptions or index modifications.

The determination date of July 24, 2028, marks the date on which the final S&P 500 level is established for calculating the maturity payment. The stated maturity date of July 27, 2028, is three business days after the determination date, allowing time for payment calculations and settlement processing. This two-year investment period from original issue date to maturity provides investors with a defined time horizon for the investment thesis. The disclosure does not indicate any early maturity dates other than through the automatic call mechanism, and all dates are subject to adjustment according to the detailed provisions of the supplemental indenture and terms documentation.