Goldman Sachs Launches Capped Buffer GEARS Linked to Multi-Index Basket With 2.00x Upside Gearing

Multi-Index Basket Structure and Weighting Impact

The securities derive their performance from an unequally weighted basket of five major international equity indices, with the EURO STOXX 50 Index receiving the largest weighting at 40%, followed by the Nikkei 225 at 25%, the FTSE 100 Index at 17.50%, the Swiss Market Index at 10%, and the S&P/ASX 200 Index at 7.50%. The filing emphasizes that due to this unequal weighting structure, the performances of indices with greater weights will have significantly larger impact on the return of the securities than indices with lesser weights. This concentration means that European and Japanese equity market performance will dominate the investment outcome, while the Australian index will have minimal influence.

The initial basket level is set at 100, and the final basket level is calculated as the sum of individual products for each index, with each product derived by dividing the closing level on the determination date by the initial level on the trade date, then multiplying by the initial weighted value. The filing states that declines in one basket index may offset increases in other basket indices, creating a diversification effect across geographies. However, the unequal weighting means that deterioration in European or Japanese equities cannot be fully offset by strength in the other three markets.

Upside Return Structure and Maximum Settlement Cap

The disclosure reveals that if the final basket level exceeds the initial basket level, investors receive positive returns calculated by multiplying the basket return percentage by the upside gearing factor of 2.00x, subject to a maximum settlement amount of $17.95 per $10 face amount. This gearing multiplier doubles positive basket returns, providing enhanced exposure to upside movements. The maximum return of 79.50% is achieved when the basket appreciates to approximately 139.75% of its initial level, after which additional gains are capped and not passed to security holders.

The filing notes that the estimated value of the securities at pricing time is expected to be between $8.85 and $9.25 per $10 face amount, which is less than the original issue price of 100% of face amount. This discount reflects the value of the options embedded within the structured note, which provide the upside gearing and maximum return features to investors. The underwriting discount of 3.50% of face amount means net proceeds to the issuer total 96.50% of face amount. Investors should note that the return on their investment will depend in part on the issue price they pay, meaning secondary market purchases at different prices will alter the effective return profile.

Contingent Principal Protection and Downside Buffer

The filing discloses a contingent repayment feature that provides partial downside protection at maturity, subject to specific conditions. If the final basket level is equal to or less than the initial basket level but remains greater than or equal to the downside threshold of 80% of the initial level, investors receive the full face amount of their securities. This means investors can experience up to a 20% decline in the underlying basket without sustaining losses on principal, creating an effective buffer against moderate market downturns.

However, if the final basket level falls below the 80% downside threshold, investors lose principal on a one-to-one basis with the excess decline. The filing states explicitly that if the final basket level drops below the downside threshold, investors will receive less than face amount and will lose 1.00% of face amount for every 1.00% decline in the basket beyond the buffer. In a severe scenario where the final basket level reaches zero, investors would lose 80% of their initial investment, retaining only 20% of face amount. The contingent repayment of principal applies only if securities are held to maturity.

Credit Risk and Guarantee Structure

The disclosure emphasizes that any payment on the securities, including repayment of principal, is subject to the creditworthiness of both GS Finance Corp. and The Goldman Sachs Group, Inc., which provides a full and unconditional guarantee of the obligations. The filing states that the securities are unsecured notes, meaning they are not backed by specific collateral and rank as general unsecured obligations of the issuer. Investors bear both the market risk associated with the basket performance and the credit risk of the guarantor, creating dual layers of risk.

The notice to investors prominently declares that the securities are riskier than ordinary debt securities and that GS Finance Corp. is not necessarily obligated to repay the face amount at maturity. This language reflects the embedded option risk and contingent principal structure. The filing notes that the market risk of the basket exists in addition to credit risk, not as a replacement for it. Should The Goldman Sachs Group experience financial distress, all payments could be affected regardless of basket performance.

Estimated Valuation and Secondary Market Pricing

Goldman Sachs & Co. LLC provided an estimated valuation for the securities at the time terms are set on the trade date, ranging between $8.85 and $9.25 per $10 face amount. This valuation was determined using pricing models developed by Goldman Sachs and incorporates the company's credit spreads. The filing clarifies that this estimated value is less than the original issue price due to the cost of the embedded options that provide the upside gearing and maximum return features.

The disclosure details the expected secondary market pricing mechanism that Goldman Sachs & Co. LLC would employ if it chooses to make a market in the securities. Initially, the firm's bid and ask prices would approximate the estimated value plus an additional amount that declines to zero on a straight-line basis over 183 days from pricing. After that period, pricing would reflect the then-current estimated value as determined by the firm's pricing models. The filing emphasizes that Goldman Sachs is not obligated to make a market in the securities, and that customary bid-ask spreads would be added to these theoretical prices in actual secondary market transactions.

Program Structure and Key Dates

The securities are part of GS Finance Corp.'s Medium-Term Notes, Series F program and are issued pursuant to a registration statement filed with the Securities and Exchange Commission. The filing indicates that the pricing supplement is preliminary and subject to completion, with the stated trade date of July 21, 2026 and original issue date of July 24, 2026. The determination date, on which the final basket levels are measured, is scheduled for July 22, 2031, with the stated maturity date of July 25, 2031 noted as subject to potential postponement.

The disclosure incorporates by reference multiple supplemental documents, including a General Terms Supplement No. 17,745 dated January 20, 2026, an Underlier Supplement No. 49 dated June 24, 2026, and prior prospectus supplements and base prospectuses. The filing states that information in the pricing supplement supersedes any conflicting information in these referenced documents and that some terms described in those documents may not apply to these specific securities. Prospective investors are advised to read the complete documentation to understand all terms and conditions.

Market-Making and Disclosed Risks

The filing discloses that Goldman Sachs & Co. LLC or other affiliates may use the prospectus for market-making transactions after the initial sale, and that unless GS Finance Corp. or its agent informs purchasers otherwise in the confirmation of sale, the prospectus is being used for market-making purposes. This language indicates that secondary market purchases may occur through Goldman Sachs entities, though no market-making obligation is created.

The announcement warns prominently that investors should not purchase the securities unless they understand and are comfortable with the significant risks involved. The filing emphasizes that market risk may be substantial if the basket declines significantly, that credit risk exists in addition to market risk, and that the contingent principal repayment provides protection only at maturity, not before. The securities are not bank deposits, are not insured by the Federal Deposit Insurance Corporation, and carry no government guarantee of any kind.

Distribution and Selling Arrangements

The filing names Goldman Sachs & Co. LLC as the primary underwriter and UBS Financial Services Inc. as a selling agent for the offering. The original issue price is set at 100% of face amount with a 3.50% underwriting discount, resulting in net proceeds of 96.50% of face amount to the issuer. The disclosure notes that Goldman Sachs may decide to sell additional securities after the date of the pricing supplement at issue prices and underwriting discounts that differ from those initially disclosed.

The filing states that the return on any investment will depend in part on the price paid for the securities, meaning investors who purchase at different prices in the secondary market will experience different effective returns even if the basket performance is identical. This underscores the importance of secondary market pricing in determining investor outcomes for those who do not hold securities through maturity.