Goldman Sachs Issues Bearish Autocallable S&P 500 Index-Linked Notes With 5.75% Upside Cap

Automatic Call Mechanism and Downside Protection Trigger

The notes incorporate an automatic call feature designed to limit investor downside exposure beyond a specific threshold. The filing states that the notes will be automatically called if, on any call observation date—defined as each trading day from but excluding the original issue date through but excluding the determination date—the closing level of the S&P 500 Index decreases by more than 20% from the initial index level set on the trade date. When this condition is triggered, the return on the notes will be zero, and investors will receive a payment on the corresponding call payment date, which is the third business day after the call observation date, equal to the face amount of the notes.

This automatic call mechanism effectively establishes a floor for investor protection while simultaneously capping participation in severe market downturns. If the notes are called due to a greater than 20% index decline, investors recover their principal investment but forgo any potential gains from subsequent market recovery. The disclosure indicates that investors must be willing to accept this zero return outcome if the automatic call is triggered, making this feature a critical component of the risk-return profile that investors should understand before committing capital to this investment vehicle.

Positive Index Return Scenarios and the 5.75% Upside Limitation

For investors whose notes are not automatically called and the S&P 500 Index experiences positive performance, the return structure incorporates a specific cap on upside participation. The filing discloses that if the index return is greater than or equal to 0%, investors will receive $1,057.50 for each $1,000 face amount of notes held at maturity, representing a 5.75% return regardless of how much higher the index actually rises. This means that even if the S&P 500 Index appreciates substantially beyond 5.75%, investors in these notes will not benefit from gains exceeding this predetermined level.

The limitation of upside participation to 5.75% reflects the cost structure embedded in the note pricing and the issuer's hedging expenses. The filing indicates that the estimated value of the notes at the time terms are set on the trade date is expected to fall between $925 and $955 per $1,000 face amount, representing a discount to par. This valuation discount incorporates the cost of the embedded options and the structural features of the note, including both the automatic call feature and the upside cap. For investors seeking broad market exposure with full upside participation, this capped return structure represents a significant trade-off inherent in the bearish thesis design.

Negative Return Mechanics and Absolute Value Participation

The note structure provides differentiated treatment of index declines based on magnitude. The filing states that if the notes are not automatically called and the index return is less than 0% but greater than or equal to negative 20%, investors will receive positive returns equal to the absolute value of the index decline. For example, if the index return is negative 10%, the investor's return will be positive 10%, translating to a cash payment of $1,100 per $1,000 face amount at maturity. This absolute return feature creates a unique payoff profile where investors benefit from moderate downside index movements, which distinguishes these notes from traditional index-tracking instruments.

However, this absolute return advantage is subject to the 20% maximum return cap stated in the filing. The disclosure confirms that even if the index return is less than negative 20%, the return on the notes will not exceed 20%, and investors will only receive the face amount of $1,000 per $1,000 face amount. This dual limitation—both the automatic call trigger at greater than 20% decline and the 20% maximum return cap—creates a defined boundary for investor gains in declining market scenarios. The combination of these features means the notes are most advantageous for investors anticipating moderate index declines between 0% and 20%, where they capture the full downside move as a positive return.

Investment Thesis Targeting Moderate Bearish Outlook

The filing explicitly articulates the intended investment thesis for purchasers of these notes. The disclosure states that by purchasing these notes, investors are primarily taking the bearish view that the value of the S&P 500 Index will decline such that the final index level will be less than the initial index level but greater than or equal to 80% of the initial index level. This targeting of the 80% to 100% range suggests the note design anticipates moderate downside scenarios while protecting against catastrophic losses through the automatic call mechanism at greater than 20% decline.

The filing further specifies that investors are also taking the view that, even if the value of the index increases, the final index level will not be greater than 105.75% of the initial index level. This dual positioning reflects an outlook where investors expect either moderate index declines or, at most, modest positive index performance. The structured payoff profile aligns with this thesis by penalizing both large positive returns through the 5.75% upside cap and very large negative returns through the automatic call feature, while rewarding the anticipated moderate decline scenario with absolute return participation.

Pricing Dynamics and Secondary Market Value Considerations

The filing discloses that the estimated value of the notes at the time the terms are set on the trade date is expected to be between $925 and $955 per $1,000 face amount, which the disclosure explicitly states is less than the original issue price of 100% of face amount. This valuation discount reflects the embedded option costs, the issuer's credit spreads, and the structural complexity of the notes. The filing indicates that Goldman Sachs & Co. LLC uses pricing models to determine the estimated value and will apply an additional amount to the estimated value for secondary market trading purposes, which is initially equal to an amount the filing does not disclose but notes will decline to zero on a straight-line basis through an unspecified future date.

The filing states that prior to a date not specified in the preliminary supplement, Goldman Sachs & Co. LLC would buy or sell the notes at approximately the then-current estimated value plus any remaining additional amount. On and after the unspecified date, the secondary market price would equal approximately the then-current estimated value determined by reference to the pricing models. This two-tier pricing structure suggests a period of higher spreads following issuance that gradually narrows to model-based spreads over time. Investors should understand that the secondary market liquidity and pricing will depend on the issuer's willingness to make markets, which the filing notes is not obligated.

Credit Risk and Guarantee Structure

The notes are structured as senior debt obligations of GS Finance Corp. and are fully and unconditionally guaranteed by The Goldman Sachs Group, Inc., as stated in the filing. This guarantee means that investors' claims on the notes extend beyond the assets of GS Finance Corp. to include the full credit standing and assets of the parent company. However, the filing includes important risk disclosures indicating that the notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of or guaranteed by a bank in the traditional deposit sense.

The filing discloses that investors should read the risk disclosure sections to better understand the credit risk of both GS Finance Corp. and The Goldman Sachs Group, Inc. The notes are issued under the senior debt indenture dated October 10, 2008, as supplemented by the First Supplemental Indenture dated February 20, 2015, with The Bank of New York Mellon serving as trustee. Despite the parent company guarantee, investors' recovery in a default scenario would depend on the financial condition and claims hierarchy of The Goldman Sachs Group, Inc. at that time, making credit risk assessment of the parent company an essential consideration for prospective investors.

Issuance Terms and Underwriting Structure

The filing states that the original issue date is expected to be July 29, 2026, with an original issue price of 100% of the face amount. The offering is expected to price on the trade date of July 24, 2026, with a stated maturity date of October 28, 2027, representing a duration of approximately fifteen months from original issue. The notes will be issued in book-entry form and represented by master note no. 3, dated March 22, 2021. The filing indicates that an underwriting discount of an unspecified percentage of face amount is payable to Goldman Sachs & Co. LLC, with an additional structuring fee of up to an unspecified percentage also included in the discount.

The filing notes that the underwriting discount and net proceeds percentages listed in the preliminary supplement relate to notes sold initially and may differ if additional notes are sold after the pricing supplement date. The filing states that the return on investment will depend in part on the issue price paid for the notes, indicating that any subsequent offerings at different prices may result in different risk-adjusted returns for investors. GS Finance Corp. or its affiliates may use this prospectus in initial sales or in subsequent market-making transactions, with the understanding that unless otherwise noted in the confirmation of sale, the prospectus is being used in a market-making transaction.

Program Integration and Prospectus Documentation

The notes are issued as part of the Medium-Term Notes, Series F program of GS Finance Corp., as disclosed in the filing. The pricing supplement constitutes a supplement to multiple companion documents that investors must review in conjunction with this offering. The filing lists the accompanying documents as General Terms Supplement no. 17,745 dated January 20, 2026; Underlier Supplement no. 49 dated June 24, 2026; Prospectus Supplement dated February 14, 2025; and Prospectus dated February 14, 2025. The filing states that the information in the pricing supplement supersedes any conflicting information in these documents and notes that some terms or features described in the listed documents may not apply to these specific notes.

This multi-document prospectus structure requires investors to synthesize information across multiple filings to obtain a complete understanding of the notes' terms, conditions, and risks. The filing emphasizes that this preliminary pricing supplement does not set forth all terms of the notes and therefore should be read in conjunction with the accompanying documents. The preliminary nature of the supplement, indicated by the "Subject to Completion. Dated July 16, 2026" notation, suggests that certain terms and pricing details remain subject to finalization at the time of actual pricing on the trade date.

Regulatory Status and Preliminary Prospectus Limitations

The filing is a preliminary pricing supplement filed pursuant to Rule 424(b)(2) under the Securities Act of 1933 and references Registration Statement No. 333-284538. The supplement includes a standard Securities and Exchange Commission disclaimer stating that neither the SEC nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of the prospectus. The filing notes that any representation to the contrary would constitute a criminal offense, underscoring the regulatory framework governing this offering. The preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy the securities in any jurisdiction where the offer or sale is not permitted.

The preliminary status of the document means that certain specific terms, pricing metrics, and underwriting details remain incomplete and subject to change before final pricing. The filing indicates that specific numerical values for the underwriting discount, structuring fee, net proceeds percentage, additional amounts for market-making spreads, and the date of spread decline all remain to be determined and will be completed in the final pricing supplement. This incomplete disclosure is typical of preliminary pricing supplements filed in advance of actual pricing and emphasizes that investors should await the final pricing supplement for complete and definitive terms before making investment decisions.