Goldman Sachs Finance Issues $5.75 Billion Autocallable Notes Linked to European and Nasdaq Indices

Dual Index Structure and Performance Linkage

The notes are structured to track the performance of two distinct indices: the EURO STOXX 50 Index (Bloomberg Symbol: SX5E Index) and the Nasdaq-100 Index (Bloomberg Symbol: NDX Index). The least performing of these two indices determines the investor's ultimate return. The filing states that the EURO STOXX 50 Index had an initial index level of 6,280.19 set on the strike date, while the Nasdaq-100 Index had an initial index level of 29,586.29, both established on July 14, 2026. This dual-index approach exposes investors to both European equities and technology-focused U.S. equities simultaneously, creating a diversified but complex risk profile.

The notes' performance mechanism centers on comparing actual index levels to predetermined barriers and thresholds. If the closing level of each index on any observation date equals or exceeds its initial index level, the notes will be automatically called commencing in January 2027, resulting in redemption at face value plus any contingent coupon otherwise due. Conversely, if either index declines below its coupon barrier (set at 70 percent of its initial index level), no contingent coupon payment will be made for that period. This structure creates scenarios where investors receive periodic income only if both indices maintain specified performance levels throughout the note's term.

Contingent Coupon Payment Framework

The filing discloses that the EURO STOXX 50 Index carries a contingent coupon of $0.25 per $10 face amount on a quarterly basis, with a maximum annualized rate of 10 percent. Coupon payments are conditional—they are paid on any coupon payment date only if the closing level of each index on the applicable quarterly observation date equals or exceeds its coupon barrier. The coupon barrier has been established at 70 percent of each index's initial index level, meaning if either index falls below this threshold on any observation date, no coupon payment is made for that quarter. This contingent structure distinguishes the notes from conventional debt securities, where coupon payments are typically unconditional obligations of the issuer.

The determination of the "lesser performing index" is critical to the note's return profile. The filing defines this as the index with the lowest index return, calculated as the percentage change from the strike date to the determination date. If both indices remain at or above the downside threshold (also 70 percent of initial level) on the determination date, investors receive the face amount plus the final contingent coupon. However, if either index closes below this threshold at maturity, investors experience a loss equal to the percentage decline in the lesser performing index from the strike date through July 14, 2031, the determination date.

Automatic Call Mechanism and Early Termination

Beginning in January 2027, the notes feature an automatic call provision that allows GS Finance Corp. to redeem the securities if both indices close at or above their initial levels on any quarterly observation date. The filing states that upon such an event, investors receive payment equal to the face amount of their notes plus the contingent coupon otherwise due on the related coupon payment date. This mechanism provides the issuer with optionality to terminate the notes early if market conditions favor redemption, but it also limits investors' upside exposure in strongly performing markets.

The automatic call feature operates on a quarterly basis throughout the life of the notes, from January 2027 through the determination date in July 2031. Once the notes are automatically called, no further payments are owed to investors under any circumstance. The filing emphasizes that this early redemption feature is at the discretion of the issuer, not the investor, meaning investors cannot control whether the notes continue to maturity or are called early. This asymmetry represents a structural risk to note holders, as their income stream and investment horizon become uncertain once the notes are issued.

Principal Risk and Downside Market Exposure

The filing explicitly warns that at maturity, if the notes have not been automatically called and the final index level of either index falls below the downside threshold of 70 percent of initial level, investors will receive less than the face amount and will not receive a final contingent coupon. In this scenario, the loss equals the percentage decline of the lesser performing index from the strike date through the determination date. The filing states that investors "could lose all of [their] investment" if both indices decline sufficiently, making this a security with full downside market risk exposure in addition to credit risk.

The principal repayment at maturity is explicitly contingent, applying only at the end of the five-year term if investors hold the notes through their stated maturity date. The filing notes that "the contingent repayment of principal applies only if you hold the notes to maturity." This means there is no guaranteed floor for principal recovery except through sale in the secondary market, which may involve significant bid-ask spreads and may not be available at favorable prices. Any payment on the notes, including repayment of principal, remains subject to the creditworthiness of both GS Finance Corp. and its guarantor, The Goldman Sachs Group, Inc.

Pricing and Estimated Value at Issuance

The notes were issued at an original issue price of 100 percent of face amount, with an underwriting discount of 2.25 percent of face amount and net proceeds to the issuer of 97.75 percent of face amount. However, the filing discloses that the estimated value of the notes at the time terms were set on the trade date was approximately $9.79 per $10 face amount—a significant discount to the original issue price. This disparity reflects the value attributed to embedded options and the structured nature of the security, indicating that investors purchased the notes at a premium to their estimated market value.

The filing explains that Goldman Sachs & Co. LLC uses proprietary pricing models incorporating credit spreads to determine estimated value. The price at which Goldman Sachs would initially buy or sell the notes in a market-making capacity, if it chose to do so, would be approximately the estimated value of $9.79 per $10 face amount plus an additional amount initially equal to $0.16 per $10 face amount. This additional amount declines on a straight-line basis over the period from pricing through January 19, 2027, after which the secondary market price would equal the then-current estimated value without the additional component.

Credit Risk and Guarantor Obligations

While GS Finance Corp. serves as the issuer of the notes, The Goldman Sachs Group, Inc. provides a guarantee covering all payments on the securities. The filing emphasizes that any payment on the notes, including repayment of principal and all contingent coupons, remains subject to the creditworthiness of both the issuer and the guarantor. This dual credit relationship means investors are exposed not only to structured product risk from index performance but also to the credit risk of The Goldman Sachs Group, Inc., one of the world's largest investment banks.

The notes are explicitly identified in the filing as unsecured debt obligations. The filing states that the notes are not bank deposits, not insured by the Federal Deposit Insurance Commission or any other governmental agency, and are not obligations of or guaranteed by a bank in its banking capacity. This unsecured status means that in the event of insolvency of either GS Finance Corp. or its guarantor, noteholders would be unsecured creditors competing with other unsecured claimants for recovery. The filing includes a notice to investors stating that "the notes are a riskier investment than ordinary debt securities" and warns that investors should not purchase the notes if they are uncomfortable with the significant risks involved.

Market Risk and Index Performance Dynamics

The filing identifies that investors are exposed to market risk of each index on each observation date, including the determination date, and that any decline in one index is not offset by lesser decline or potential increase in the other. This "worst of" structure means that if the NASDAQ-100 Index rises significantly while the EURO STOXX 50 Index declines below thresholds, investors suffer losses based on the EURO STOXX 50's performance. The filing emphasizes that "any decline in the level of one index may negatively affect your return and will not be offset or mitigated by a lesser decline or any potential increase in the level of any other index."

The filing notes that generally, a higher contingent coupon on a note is associated with a greater risk of loss and a greater risk that investors will not receive contingent coupons over the term of the notes. In the case of these notes, the $0.25 quarterly coupon per $10 face amount (up to 10 percent annualized) reflects an attempt to compensate for the downside principal risk, but this relationship between income and risk remains asymmetrical. Investors receive contingent income only when both indices perform at specified levels, while they bear full downside exposure if either index declines.

Market-Making Arrangements and Secondary Market Considerations

The filing discloses that Goldman Sachs & Co. LLC may, but is not obligated to, make a market in the notes. Prior to January 20, 2027, the firm's bid and ask prices (excluding customary spreads) would reflect the then-current estimated value plus the declining additional amount. The filing states that "on and after January 20, 2027, the price (not including GS&Co.'s customary bid and ask spreads) at which GS&Co. would buy or sell your notes (if it makes a market) will equal approximately the then-current estimated value of your notes." This structure creates a period where the additional $0.16 per $10 face amount component gradually declines, potentially affecting secondary market liquidity and pricing.

The filing clarifies that unless GS Finance Corp. or its agent informs purchasers otherwise in the confirmation of sale, any prospectus use following initial sale should be understood as relating to potential market-making transactions. The company and its affiliates reserve the right to use the prospectus in such secondary market activities. The filing also notes that GS Finance Corp. may decide to sell additional notes after the pricing supplement date at issue prices and underwriting discounts that differ from the initial offering, meaning the notes are part of a potentially larger series with varying terms.

Observation Schedule and Maturity Timeline

The notes establish specific key dates throughout their five-year term. The strike date was set at July 14, 2026, establishing the initial index levels for both the EURO STOXX 50 Index (6,280.19) and the Nasdaq-100 Index (29,586.29). The trade date occurred on July 15, 2026, with the original issue date set for July 20, 2026, providing a five-day settlement period. Quarterly observation dates begin in January 2027 and continue through the determination date of July 14, 2031, with the stated maturity date set for July 17, 2031.

All key dates are subject to postponement as noted in the filing, though specific postponement circumstances are not detailed in the disclosure provided. This five-year timeline means investors commit capital for an extended period with quarterly observation points determining coupon eligibility and potential automatic call events. The filing establishes CUSIP 38151R115 and ISIN US38151R1150 as the security identifiers for tracking and settlement purposes. The gap between the determination date and stated maturity date provides a processing period for final coupon and principal payments.