Goldman Sachs Issues S&P 500 Linked Notes With Capped Upside and Leveraged Downside Protection

Payoff Structure and Return Parameters

The securities deliver three distinct payoff scenarios based on S&P 500 Index performance from the starting level of 7,457.69 to the ending level measured on July 17, 2028. If the index rises, investors receive the face amount of $1,000 plus 100% of the percentage increase, subject to a maximum return cap of 16% of face amount, resulting in a maximum maturity payment of $1,160.00 per security. This upside participation structure allows investors to benefit from equity market gains while limiting exposure through the defined cap.

In the scenario where the index declines but the decrease does not exceed 20%, the security provides contingent absolute return protection. Investors will receive the face amount plus a positive return equal to the absolute value of the percentage decline, effectively converting a downside loss into a gain. For example, a 5% index decline would generate a positive 5% return on the security. This buffer protection is capped at a positive return of 20%, limiting the maximum recovery payment in this scenario.

Downside Risk and Leveraged Loss Exposure

The securities expose investors to leveraged losses when index declines exceed the 20% buffer amount. Once the index falls beyond this threshold level of 80% of the starting level, the multiplier of 1.25x amplifies losses. For each 1% decline beyond the 20% buffer, investors lose 1.25% of face amount. This structure means that investors face potential loss of up to 100% of their principal investment if the index experiences severe declines beyond approximately 80% of its starting level.

The threshold level is calculated as 80% of the starting level of 7,457.69, which equals 5,966.15. The multiplier of 1.25 is derived from dividing the starting level by the threshold level. This mathematical relationship creates a leveraged payoff that magnifies losses in down markets, making principal preservation uncertain for investors during adverse market conditions. The filing emphasizes that all payments remain subject to credit risk of both GS Finance Corp. and The Goldman Sachs Group, Inc., as guarantor.

Issuance Details and Market Conditions

GS Finance Corp. issued these Medium-Term Notes Series F under pricing supplement no. 25,949, which references supporting documentation including WFS Product Supplement No. 9 dated January 20, 2026, and Underlier Supplement No. 49 dated June 24, 2026. The original offering price was $1,000 per security with a face amount denominated in $1,000 increments. Goldman Sachs & Co. LLC served as calculation agent responsible for determining index levels and calculating the maturity payment amount.

The securities carry no periodic interest payments or dividend distributions, distinguishing them from conventional fixed-income instruments. The filing states that the estimated value of securities at the time the terms were set on the pricing date approximated $963 per $1,000 face amount, reflecting the cost of embedded optionality and credit risk. GS&Co. was identified as the primary underwriter, with Wells Fargo Securities also listed as an underwriting participant. The disclosure notes that GS&Co. may compensate selected securities dealers with additional fees up to 0.20% of face amount for marketing and distribution services.

Credit Risk and Issuer Guarantees

The securities depend entirely on the creditworthiness of GS Finance Corp. as issuer and The Goldman Sachs Group, Inc. as guarantor. The disclosure explicitly states that investors have no ability to pursue any securities included in the S&P 500 Index for payment and emphasize that if either the issuer or guarantor defaults on obligations, investors could lose some or all of their investment. This credit subordination creates a dual layer of counterparty risk that investors must evaluate before committing capital.

The filling clarifies that these securities are not bank deposits and do not receive protection from the Federal Deposit Insurance Corporation or any other governmental agency. They are not guaranteed by any bank. Investors bear the full credit risk of The Goldman Sachs Group, Inc., one of the world's largest investment banking institutions, and this risk persists throughout the two-year holding period until July 20, 2028.

Tax Implications and Holding Period Requirements

The disclosure includes reference to material U.S. federal income and certain estate tax consequences of ownership and disposition of the securities, with detailed discussion referenced in the accompanying prospectus supplement dated February 14, 2025, and prospectus dated February 14, 2025. The securities are designed to be held to maturity and are not eligible for exchange listing, limiting secondary market liquidity and exit options for investors prior to the stated maturity date.

The stated maturity date of July 20, 2028, is subject to postponement due to non-trading days and market disruption events. The calculation day of July 17, 2028, is similarly subject to postponement. These postponement provisions mean that the actual maturity payment date and index fixing date could extend beyond the initially stated dates, which investors should consider when evaluating their time horizon and capital needs. No redemption by the issuer or early repayment options are available to security holders.

Product Structure and Security Characteristics

These securities represent a market-linked structured product designed to provide specific combinations of equity upside exposure with contingent return features and defined downside risks. The filing describes them as principal-at-risk securities, meaning that the investor's initial capital investment is not protected and may decline depending on index performance. The structure combines three separate payoff regimes triggered by different performance thresholds of the S&P 500 Index.

The complexity of these securities exceeds that of conventional debt instruments, with multiple embedded options and contingencies that determine the final payment amount. The disclosure states that the securities involve risks not associated with conventional debt securities and recommends that investors carefully review all disclosure materials to understand the terms and risks before investing. The presence of leverage in the downside scenario, combined with the cap on upside and the contingent absolute return feature in the moderate decline scenario, creates a non-standard risk-return profile that differs substantially from traditional fixed-income or equity investments.

Registration and Regulatory Documentation

The pricing supplement was filed pursuant to Rule 424(b)(2) and corresponds to Registration Statement No. 333-284538. The securities are issued under GS Finance Corp.'s Medium-Term Notes, Series F program, guaranteed by The Goldman Sachs Group, Inc. The prospectus framework comprises multiple documents: the base prospectus dated February 14, 2025, the prospectus supplement also dated February 14, 2025, the WFS product supplement no. 9 dated January 20, 2026, the underlier supplement no. 49 dated June 24, 2026, and the pricing supplement no. 25,949 dated July 17, 2026.

Information in the pricing supplement supersedes information in the other documents when differences exist, according to the filing disclosure. The CUSIP number for these securities is 40054XPB8. The calculation day for determining the ending index level is scheduled for July 17, 2028, subject to postponement for market disruption events or non-trading days. Market disruption events are defined in the accompanying product supplement and may affect both the calculation day timing and the stated maturity date.

Distribution and Pricing Economics

The filing discloses the offering price structure and distribution economics associated with the securities issuance. The original offering price was established at $1,000 per security with a per-security underwriting discount. The proceeds to the issuer reflected the difference between the offering price and the underwriting discount and any selling compensation. While the disclosure notes that estimated value at pricing equaled approximately $963 per $1,000 face amount, this reflects the market value of the embedded derivative features and credit risk separate from the offered price paid by investors.

The distribution arrangement included Goldman Sachs & Co. LLC as primary underwriter and Wells Fargo Securities as a co-underwriter. The disclosure specifically addresses potential conflicts of interest in the supplemental plan of distribution and notes that GS&Co. may make a market in the securities subsequent to issuance, buying and selling at prices potentially different from the original offering price. The structure of the offering, including tiered participation rates and distribution fees, reflects standard practices for structured product distribution through Goldman Sachs' distribution network.

Maturity Payment Mechanics and Index Methodology

The maturity payment amount is calculated using a specific formula based on underlier return, defined as the percentage change from starting level to ending level. The underlier return calculation uses the closing level on the calculation day minus the starting level, divided by the starting level. If the ending level exceeds the starting level, the payoff includes the lesser of actual participation (100% of the return) or the maximum return cap of 16%, resulting in a maximum payment of $1,160.

For moderate declines between the starting level and the threshold level, the absolute value of the underlier return drives a positive payoff that partially or fully offsets the index decline. However, when the ending level falls below the threshold level of 5,966.15 (representing 80% of the 7,457.69 starting level), the underlier return is multiplied by the 1.25x multiplier, creating accelerated losses. This mathematical structure means that a 10% index decline from the starting level would trigger the buffer protection and produce a positive return, but a 25% decline would exceed the 20% buffer and subject the investor to the 1.25x multiplier, resulting in a net loss. The calculation agent, GS&Co., holds responsibility for determining all closing levels and performing all necessary calculations.