Goldman Sachs Launches Autocallable S&P 500 Futures-Linked Notes Due 2031

Structured Note Terms and Coupon Structure

GS Finance Corp. priced the autocallable notes on July 24, 2026, with an original issue date of July 29, 2026, and a stated maturity of July 29, 2031. The notes are fully and unconditionally guaranteed by The Goldman Saxhs Group, Inc., and form part of the Medium-Term Notes, Series F program. The disclosure indicates that coupon observation dates occur on the 24th day of each month, commencing in August 2026 and concluding in July 2031. If the closing level of the underlying index is greater than or equal to 60% of the initial underlier level on any coupon observation date, investors will receive a monthly coupon payment of $12.50 per $1,000 face amount, representing a 1.25% monthly coupon or a potential 15% per annum return.

Conversely, if the index closing level falls below 60% of the initial underlier level on any coupon observation date, investors will not receive a coupon payment on the corresponding payment date. The coupon payment date is the third business day following each coupon observation date. This contingent coupon structure means that the potential annual return depends entirely on the index remaining above the 60% threshold throughout the note's life.

Automatic Call Feature and Early Redemption Mechanics

The notes incorporate an automatic call feature that allows for early redemption at par value plus a coupon. According to the filing, the notes will be automatically called if the closing level of the index on any quarterly call observation date is greater than or equal to the initial underlier level of 485.15 (the closing level on the trade date). The call observation dates occur quarterly in January, April, July, and October of each year, commencing in July 2027 and continuing through April 2031. Upon automatic call, investors will receive payment on the next payment date equal to the face amount of the notes plus an applicable coupon.

This automatic call feature means that if the index recovers to or exceeds its initial level during any of the quarterly observation periods, the issuer will redeem the notes at par. Investors will not participate in further upside beyond the coupon if the notes are called. This feature effectively caps the potential gain for investors while the note issuer captures excess gains in the underlying index above the call level.

Index Mechanics and Leverage Strategy

The underlying benchmark is the S&P 500 Futures 40% VT Adaptive Response 6% Decrement Index (USD) ER, which tracks the performance of E-mini S&P 500 futures contracts rather than the S&P 500 Index itself. The filing discloses that the index attempts to provide exposure to the S&P 500 Futures Excess Return Index through a rules-based overlay that adjusts exposure on a daily basis. The objective of this overlay is to create an index with volatility-adjusted exposure to the S&P 500 Futures Excess Return Index, coupled with further adjustments based on calendar-based signals and price patterns.

The disclosure states that the index is subject to a maximum exposure of 500% and a maximum daily change in leverage of 100%. These constraints mean that on any given day, the index's leverage cannot increase or decrease by more than 100%, which may result in slower leveraging during market rallies and slower deleveraging during market sell-offs compared to an uncapped leverage mechanism. The filing notes that this capping feature may limit gains in strong market environments while also potentially limiting losses in downturns.

Daily Decrement and Its Impact on Returns

A critical feature disclosed in the prospectus supplement is the 6.0% per annum daily decrement applied to the index. The filing explains that this fixed deduction is applied daily to the index level, regardless of whether the index is fully invested in the underlying S&P 500 Futures Excess Return Index. The effect of this decrement is to offset positive returns and worsen negative returns on the performance of the index. The disclosure states explicitly that the index will trail the performance of an identical index without the decrement feature.

The decrement operates continuously, meaning that even on days when the index generates positive returns, a portion of those gains are offset by the daily 6.0% annual decrement. This structural headwind means that the index must generate positive returns simply to offset the decrement cost before delivering any actual performance to investors. The filing suggests that investors should be aware that this decrement reduces the likelihood that the index will reach the levels needed to trigger coupon payments or to avoid losses at maturity.

Principal Protection and Downside Risk Parameters

The notes provide partial downside protection, with the maturity payment structure varying based on the final underlier return. The filing discloses that if the underlier return is greater than or equal to negative 40% (meaning the final index level is at least 60% of the initial level), investors will receive $1,000 per $1,000 face amount plus any applicable final coupon. If the underlier return falls between negative 40% and negative 60% (index level between 40% and 60% of initial), investors will receive $1,000 face amount with no coupon. However, if the underlier return is less than negative 60% (index level below 40% of initial), investors will receive only the face amount plus a payment equal to the underlier return percentage multiplied by $1,000.

In the most adverse scenario, if the index declines more than 60% from the initial level, investors will receive less than 40% of their face amount plus no coupon. The disclosure indicates that this creates a scenario where a 65% decline in the index would result in a loss of approximately $650 per $1,000 invested. The filing notes that investors should carefully consider the credit risk of both GS Finance Corp. and The Goldman Sachs Group, Inc., as the notes are only as good as the guarantor's creditworthiness in scenarios of extreme market stress.

Estimated Value and Secondary Market Pricing

The filing discloses that the estimated value of the notes at the time the terms were set on the trade date (July 24, 2026) is approximately $940 per $1,000 face amount. This valuation, determined by reference to pricing models used by Goldman Sachs & Co. LLC and accounting for credit spreads, is significantly lower than the original issue price of 100%, or $1,000 per $1,000 face amount. The difference represents the cost of the embedded derivatives and guarantees within the structured note.

According to the disclosure, prior to November 24, 2026, the price at which Goldman Sachs & Co. LLC would buy or sell the notes (if it makes a market, which is not obligatory) will equal approximately the then-current estimated value of the notes plus a remaining additional amount that declines on a straight-line basis from pricing through November 23, 2026. The filing indicates that the additional amount will initially be approximately $60 per $1,000 face amount. Beginning November 24, 2026, the bid-ask spread (before Goldman Sachs' customary bid and ask spreads) will equal only the then-current estimated value of the notes.

Futures Basis Risk and Index Underperformance

The disclosure emphasizes a critical distinction between investing in the underlying S&P 500 Futures Index and investing directly in the S&P 500 Index itself. The filing states that the index tracks futures contracts on the S&P 500 Index and is likely to underperform the total return performance of the S&P 500 Index because of an implicit financing cost inherent in futures contracts. This basis risk means that even if the S&P 500 Index rises over the note's life, the futures-based index may deliver lower returns due to the cost of rolling futures positions and the financing charges built into futures contracts.

Additionally, the disclosure notes that the return on an investment in a futures contract is generally correlated with, but not identical to, the return on buying and holding the securities underlying such a contract. This distinction is crucial because it means the index may behave differently than investors familiar with the S&P 500 Index might expect. The filing suggests that investors unfamiliar with futures-based indices should seek to understand these mechanics before investing.

Leverage Risk and Magnification Effects

The filing provides extensive disclosure regarding the risks associated with the leverage embedded in the index. The prospectus supplement explicitly states that investors should be aware that the use of leverage will magnify and accelerate any negative performance of the index. With a maximum exposure of 500%, the index can amplify losses beyond the underlying index's performance by up to five times on any given day. This magnification effect, combined with the daily decrement of 6.0%, creates a scenario where the index can suffer significant losses even in modest market declines.

The disclosure further explains that the cap on maximum daily leverage change of 100% may result in the index leveraging up more slowly during market rallies and deleveraging more slowly during market sell-offs compared to an identical uncapped index. This asymmetry means that the index may underperform in recovery scenarios after sharp declines, while still experiencing significant losses on the downside. The filing suggests that investors unfamiliar with leveraged indices should carefully review these mechanics and their implications for portfolio risk.

Issuance Terms and Underwriting Discount

The notes were issued at an original issue price of 100% of the face amount, with a 1.5% underwriting discount applied to the net proceeds. The disclosure indicates that net proceeds to the issuer equal 98.5% of the face amount. The filing notes that Goldman Sachs & Co. LLC and any other affiliate of GS Finance Corp. may use the prospectus in market-making transactions after the initial sale, and that unless otherwise stated in the confirmation of sale, any prospectus use constitutes a market-making transaction.

The filing also discloses that GS Finance Corp. may decide to sell additional notes after the date of the pricing supplement at issue prices and underwriting discounts that differ from the initial offering. This means that subsequent purchasers of these notes may face different economics than the initial investors, depending on market conditions and the prevailing terms at the time of secondary purchases. The disclosure states that the return on investment will depend in part on the issue price paid, making it important for investors to understand their specific purchase price and resulting yield mechanics.

Credit Risk and Guarantee Structure

The notes are fully and unconditionally guaranteed by The Goldman Sachs Group, Inc., which means that in the event of GS Finance Corp.'s insolvency, investors would look to the parent company for payment. The filing does not provide a credit rating for either entity but notes that investors should read the disclosure to better understand the credit risk of both the issuer and guarantor. The prospectus supplement directs investors to page PS-14 for additional risk disclosures related to credit risk.

The filing also 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, or guaranteed by, a bank in the deposit insurance sense. This clarification is important because it confirms that despite the guarantee from a major financial institution, investors have no protection from government deposit insurance schemes. In a scenario where The Goldman Sachs Group faces severe financial stress, the guarantee value could be significantly impaired.