Goldman Sachs Launches Complex Auto-Callable Securities Linked to Three Market Benchmarks With Contingent Coupon Structure

Three-Part Underlier Structure and Performance Mechanism

The securities track the performance of three distinct market measures: the S&P 500 Index, the Russell 2000 Index, and the State Street Technology Select Sector SPDR ETF. Unlike conventional linked-note structures that may reference a single index or allow investors to benefit from the best-performing component, this offering requires investors to track the lowest-performing underlier across all three benchmarks. The disclosure states that on each calculation day, the underlier demonstrating the lowest closing value as a percentage of its starting value determines the return characteristics for that period, creating a structure where investors bear downside exposure to whichever market measure underperforms its peers.

The three-underlier design exposes investors to performance risk across large-cap equities (S&P 500), small-cap equities (Russell 2000), and technology sector exposure (the State Street ETF). Investors receive no benefit from the appreciation of the two better-performing underliers; instead, they experience adverse effects if any single underlier deteriorates significantly. The fund underlying the State Street Technology Select Sector SPDR ETF tracks the technology sector index represented by that exchange-traded fund. This structure creates meaningful concentration risk, as weakness in any of the three components—regardless of strength in the other two—directly affects payment calculations throughout the security's term.

Contingent Coupon Payment Terms and Quarterly Calculations

The securities provide for contingent coupon payments on a quarterly basis, contingent on the performance of the lowest-performing underlier on each quarterly calculation day. According to the disclosure, the contingent coupon will be paid in the amount of at least $29.50 per $1,000 face amount (equivalent to an annual rate of at least 11.80%) if and only if the lowest-performing underlier's closing value is greater than or equal to 70% of its starting value on the relevant calculation day. The specific coupon amount is to be determined on the pricing date, which the disclosure identifies as July 31, 2026.

The coupon threshold of 70% of starting value means that investors receive no contingent coupon payment in any quarter where the lowest-performing underlier declines below that threshold. The disclosure emphasizes that if the lowest-performing underlier closes below the coupon threshold on every single calculation day throughout the security's life, investors will receive zero contingent coupon payments for the entire term. Coupon payment dates occur quarterly, with payments made to the registered holder as of the close of business on the regular record date for each contingent coupon payment date.

Automatic Call Provisions and Early Redemption Mechanics

The securities feature an automatic call mechanism that allows GS Finance Corp. to redeem the notes prior to the stated maturity date of August 2, 2029. The disclosure specifies that automatic call may occur if, on any quarterly calculation day from January 2027 through April 2029 inclusive, the closing value of the lowest-performing underlier is greater than or equal to its starting value. Upon automatic call, investors receive the face amount plus a final contingent coupon payment. This structure incentivizes the issuer to redeem early if the lowest-performing underlier recovers to its initial level within the specified call window.

The automatic call feature creates a scenario where investors' upside potential is capped at par value plus the final coupon, while downside exposure remains unhedged. Once any quarterly call observation date occurs where the lowest-performing underlier reaches or exceeds its starting value, the security terminates, locking investors into a return equal to the accrued contingent coupons plus principal recovery. This asymmetric payoff structure—unlimited downside but capped upside—is a defining characteristic of the offering and represents a material risk factor for potential investors.

Principal Loss Risk and Downside Threshold at Maturity

If the securities are not automatically called prior to stated maturity, investors face significant principal loss exposure. The disclosure states that at maturity on August 2, 2029, investors receive the full face amount only if the closing value of the lowest-performing underlier is greater than or equal to its downside threshold value, which is 70% of the starting value. If the lowest-performing underlier closes below that 70% threshold on the final calculation day, investors will lose more than 30% of their face amount, with the potential loss extending to a complete loss of principal.

The structure creates full downside exposure to the lowest-performing underlier if its closing value on the maturity calculation day falls below the 70% downside threshold. Unlike the contingent coupon structure, which provides for a zero payment if the threshold is not met, the principal loss mechanism means that investors will receive less than the full $1,000 face amount on a dollar-for-dollar basis corresponding to how far below the 70% threshold the lowest-performing underlier has fallen. Investors will not participate in any appreciation of any underlier beyond the par recovery level, nor will they receive any dividends paid by securities included in any underlier during the holding period.

No Dividend Participation and Lowest-Performer Risk

The disclosure explicitly states that investors will not receive any dividends on securities included in any underlier, despite holding securities economically linked to market measures that may generate dividend income. For investors familiar with traditional equity index investing, this represents a meaningful difference: dividends paid by S&P 500 constituents, Russell 2000 companies, or technology sector companies held within the State Street ETF will not be passed through to security holders. This dividend exclusion reduces the effective return potential compared to holding the underlying indices or funds directly.

The "lowest-performer" design creates a structural bias toward adverse outcomes because investors are exposed to whichever underlier underperforms at any given moment. If the S&P 500 rises 10%, the Russell 2000 rises 5%, and the technology ETF declines 2%, investors' returns are determined entirely by the 2% decline, not the average or the best performer. The disclosure emphasizes that investors "will be adversely affected if any underlier performs poorly, even if the other underliers perform favorably." This design creates concentration risk that may be difficult for investors to assess and hedge without employing complex derivative strategies outside the scope of the security itself.

Valuation Estimate and Underwriting Economics

The disclosure indicates that the estimated value of the securities at the time the terms are set on the pricing date is expected to be between $925 and $955 per $1,000 face amount. This valuation range reflects the risk-adjusted theoretical fair value of the embedded contingent coupon and automatic call features, accounting for the credit quality of the issuer and guarantor. The original offering price is set at $1,000 per security, with an underwriting discount of up to $23.25 per security, resulting in proceeds to the issuer of $976.75 per security sold.

The gap between the estimated fair value range ($925–$955) and the $1,000 offering price highlights the embedded costs and risks in the security structure. This differential represents compensation to the issuer and underwriter for market-making activities and distribution services. The disclosure further notes that in addition to the 2.325% underwriting discount, Goldman Sachs & Co. LLC may pay selected securities dealers a fee of up to 0.30% of the face amount for marketing and other services. These layered fees reduce investor proceeds and represent real economic drag on prospective returns.

Credit Risk and Guarantor Obligation Structure

All payments on the securities are guaranteed by The Goldman Sachs Group, Inc., as stated in the disclosure. However, the disclosure emphasizes that all payments are subject to credit risk, and investors will have no ability to pursue GS Finance Corp., the fund, or any securities included in any underlier for payment. If GS Finance Corp. as issuer and The Goldman Sachs Group, Inc. as guarantor default on their obligations, investors could lose some or all of their investment. This credit risk exists independent of the performance of the underlying market measures; even if all three underliers perform well and trigger coupon payments or automatic call, an issuer default would prevent payment delivery.

The guarantor structure means that investors are exposed to the consolidated credit risk of The Goldman Sachs Group, Inc., a systemically important financial institution. While the guarantee provides a layer of protection versus a non-guaranteed note, it does not eliminate credit risk and does not provide recourse to any government agency or deposit insurance fund. The disclosure explicitly states that the securities 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 traditional sense.

Registration Statement and Prospectus Framework

This preliminary pricing supplement was filed pursuant to Rule 424(b)(2) under the Securities Act of 1933, and relates to Registration Statement No. 333-284538. The document forms part of a layered disclosure structure that includes Product Supplement No. 9 (dated January 20, 2026), Underlier Supplement No. 49 (dated June 24, 2026), a Prospectus Supplement (dated February 14, 2025), and a base Prospectus (also dated February 14, 2025). Investors reviewing this offering should consult all component documents to obtain a complete understanding of the terms, conditions, risks, and legal structure governing the securities.

The preliminary nature of the pricing supplement, marked "Subject To Completion, dated July 21, 2026," indicates that the final pricing supplement would be issued following the pricing date of July 31, 2026, with original issue scheduled for August 5, 2026. The stacked disclosure framework reflects SEC-mandated transparency requirements for complex securities but requires investors to synthesize information across multiple documents. The disclosure states that the information in the preliminary supplement is not complete and may be changed, and this supplement is not an offer to sell or a solicitation to buy in any jurisdiction where such offer or sale is not permitted.

Market Conditions and Intended Holding Strategy

The disclosure explicitly states that the securities have "no exchange listing" and are "designed to be held to maturity." This language signals that investors should not expect secondary market trading liquidity and that the issuer's primary expectation is that holders will retain the securities until either automatic call or the August 2, 2029 maturity date. While Goldman Sachs & Co. LLC may make a market in the securities, the disclosure provides no commitment to do so, and any secondary trading would likely occur at prices reflecting the estimated fair value range or wider spreads depending on market conditions and bid-ask dynamics.

The intended-to-maturity positioning indicates that these securities are designed for buy-and-hold investors with multi-year holding horizons and specific risk tolerance for the embedded structures. Unlike more liquid securities that can be quickly monetized, holders of these notes facing unexpected capital needs or changed market views would need to negotiate sales with the underwriter or attempt to find counterparties in the secondary market at potentially significant discounts. The disclosure's emphasis on the complex features and the risks not associated with conventional debt securities reinforces that these instruments are intended for sophisticated investors with detailed understanding of structured note mechanics.