Goldman Sachs Finance Issues Three-Year Autocallable Notes Linked to Major Stock Indices

Structured Product Design and Underlying Index Exposure

The notes issued by GS Finance Corp. represent a structured product providing investors with exposure to three major U.S. stock market indices: the Dow Jones Industrial Average, the Nasdaq-100 Index, and the S&P 500 Index. The pricing mechanism relies on the performance of the weakest-performing underlier at maturity to determine final payoff, creating a worst-case scenario design where investors bear downside risk from the index with the poorest relative performance. Goldman Sachs & Co. LLC serves as the calculation agent responsible for determining all relevant index levels and payment amounts throughout the note lifecycle.

The initial underlier level for each index will be established on the trade date of July 17, 2026, serving as the baseline reference point for all subsequent performance calculations. This structure means that investors' returns depend entirely on how these three major equity benchmarks perform relative to their starting levels over the approximately three-year investment period. The notes are designed as a zero-coupon to contingent-coupon instrument, where monthly income is not guaranteed but rather depends on market conditions at each observation date.

Contingent Monthly Coupon Payment Structure and Trigger Levels

The notes provide for monthly coupon payments of at least $10.875 per $1,000 of face amount, representing at least 1.0875% monthly or potential annualized coupon of up to at least 13.05% annually, subject to the satisfaction of coupon trigger conditions. Coupon payments are contingent on the closing level of each of the three underlying indices remaining at or above 80% of their respective initial underlier levels on the related coupon observation date. The filing states that if the closing level of any single underlier falls below its 80% coupon trigger level on any observation date, the coupon payment for that month is suspended to zero, and no payment is made regardless of the performance of the other two indices.

Coupon observation dates are scheduled monthly, beginning August 17, 2026, and continuing through the final observation date on July 17, 2029. Corresponding coupon payment dates follow the observation dates by approximately three to five business days. This all-or-nothing coupon structure means investors receive full monthly income only if all three major indices maintain their levels within relatively modest parameters. The mechanism creates significant reinvestment risk, as investors unable to predict multi-index performance must plan around uncertain income streams over the three-year holding period.

Automatic Call Feature and Early Redemption Mechanics

The notes incorporate an automatic call feature that allows early redemption at par value if market conditions are favorable to the issuer. Specifically, the notes will be automatically called on any quarterly call observation date if the closing level of each of the three underliers is greater than or equal to its initial underlier level established on the trade date. Call observation dates occur quarterly, beginning January 19, 2027, and continuing through April 17, 2029, with ten scheduled call observation dates in total throughout the note lifecycle. If called, investors receive $1,000 per note on the following call payment date, which coincides with the coupon payment date immediately following the applicable call observation date.

The automatic call feature presents a reinvestment risk for investors, as the notes may be redeemed when markets are performing strongly and interest rates may have declined. This design benefits the issuer by allowing redemption when the underliers have appreciated, while limiting investor upside participation beyond par value. The filing indicates that the first opportunity for automatic call occurs January 19, 2027, providing an early exit window if the market indices recover to or exceed their initial levels within the first six months of the offering.

Buffer Protection and Downside Loss Mechanics at Maturity

The notes provide a buffer mechanism that offers limited downside protection in exchange for capped upside returns. The buffer level is set at 80% of each underlier's initial level, the same threshold as the coupon trigger level, with a buffer amount of 20%. According to the key terms table, if the final underlier level of each underlier is greater than or equal to the buffer level (80% of initial level), investors receive their full principal of $1,000 per note. However, if the final underlier level of any underlier falls below the 80% buffer level, investors face losses calculated using a formula that compounds the decline.

The cash settlement amount at maturity is calculated as $1,000 plus ($1,000 × buffer rate × (lesser performing underlier return + buffer amount)). The buffer rate is defined as 125% (the initial underlier level divided by its 80% buffer level). This formula means that for every percentage point below the 80% buffer level, investors experience losses at a rate of 125% of the decline. For example, if the weakest-performing index declines 30% from its initial level (to 70%), the loss would be amplified by the 125% factor. The disclosure emphasizes that investors could lose their entire investment in the notes if the worst-performing underlier declines more than approximately 80% from its initial level.

Pricing, Valuation, and Discount to Face Amount

The notes were priced at 100% of face amount as the original issue price, meaning the par value equaled the initial selling price. However, the preliminary pricing supplement discloses that the estimated value of the notes on the trade date (July 17, 2026) ranges from $925 to $955 per $1,000 face amount. This represents a valuation discount of between 4.5% and 7.5% relative to the original issue price, indicating that the fair value assigned by Goldman Sachs is below par value at inception. The company did not disclose the specific additional amount or additional amount end date in the preliminary pricing supplement provided, as these values are subject to completion at trade date.

The underwriting discount and net proceeds to the issuer remain incomplete in this preliminary filing, as these figures will be finalized on the trade date. The disclosure notes that GS Finance Corp. may sell additional notes after the pricing supplement date at different issue prices and underwriting discounts. This pricing structure reflects the value of the contingent coupon feature, automatic call provision, and buffer protection embedded in the notes, with the discount suggesting the market value of these structured features is less than par at inception.

Guarantor Credit Risk and Security Structure

The Goldman Sachs Group, Inc. provides a full and unconditional guarantee of all payments on the notes, making the credit quality of the parent corporation central to investor risk assessment. The notes are issued by GS Finance Corp., a financing subsidiary established within The Goldman Sachs Group's corporate structure, with the guarantee ensuring that investors have recourse to The Goldman Sachs Group, Inc. if GS Finance Corp. fails to make scheduled payments. The filing emphasizes 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 sense.

The disclosure instructs investors to review detailed information on credit risk of both GS Finance Corp. and The Goldman Sachs Group, Inc., referenced on page PS-8 of the accompanying materials. This two-tier issuer-and-guarantor structure is typical for structured product offerings from major investment banks, providing an additional layer of credit protection through the parent guarantee while preserving the specialized financing vehicle structure used by the issuer.

Program Structure and Governing Documentation

The notes are issued under the Medium-Term Notes, Series F program established by GS Finance Corp., which provides a framework for the issuance of various structured products. The complete terms of the notes are set forth across multiple governing documents, including the general terms supplement no. 17,745 dated January 20, 2026, the underlier supplement no. 49 dated June 24, 2026, the prospectus supplement dated February 14, 2025, and the base prospectus dated February 14, 2025. The preliminary pricing supplement issued on July 16, 2026, constitutes a supplement to these documents and provides the specific terms applicable to this particular offering.

The disclosure specifies that information in the pricing supplement supersedes any conflicting information contained in the accompanying documents, though investors are required to read the pricing supplement in conjunction with the other prospectus materials to understand the complete terms and conditions. The CUSIP number for the notes is 40054XQU5, with corresponding ISIN US40054XQU53. Goldman Sachs & Co. LLC is identified as the calculation agent responsible for determining index levels and calculating all payment amounts throughout the life of the notes.

Risk Factors and Total Loss Potential

The offering document contains an explicit warning that investors could lose their entire investment in the notes, reflecting the significant downside risk inherent in the structure. The complete loss scenario occurs when the weakest-performing underlier declines more than approximately 80% from its initial level, beyond the buffer protection threshold. Given that all three underliers are major U.S. equity indices with historical volatility, a catastrophic market event would be required to trigger total loss, but the possibility remains material enough to warrant prominent disclosure.

Beyond total loss scenarios, investors face significant partial loss risk if any single underlier declines substantially below its initial level. The contingent coupon structure compounds this risk by eliminating monthly income if any index falls below 80% of its starting level, meaning investors experience both principal deterioration and income suspension during market downturns. The automatic call feature also creates an asymmetric risk profile, where investors' upside is capped at par value if the indices rise strongly, while downside is amplified through the 125% buffer rate multiplier. The structure is designed to benefit from range-bound or moderately appreciating market conditions while imposing losses in declining or volatile scenarios.

Distribution and Market-Making Arrangements

GS Finance Corp. may use the prospectus in the initial sale of the notes, while Goldman Sachs & Co. LLC or other affiliates of GS Finance Corp. may use the prospectus in market-making transactions following the initial distribution. The disclosure states that unless GS Finance Corp. or its agent informs purchasers otherwise in the confirmation of sale, the prospectus is being used in a market-making transaction. This arrangement allows Goldman Sachs entities to facilitate secondary market trading in the notes after the initial offering concludes, providing liquidity for investors who wish to exit their positions before maturity.

The underwriting discount and plan of distribution are referenced in supplemental materials not fully disclosed in this preliminary pricing supplement, with additional details expected to appear in the final pricing supplement. The disclosure confirms that additional notes may be sold after the date of the pricing supplement at different issue prices and underwriting discounts, meaning the terms disclosed in this preliminary version are expected but subject to modification on the trade date.

Timeline and Maturity Schedule

The notes follow a specific calendar of events beginning with the trade date of July 17, 2026, followed by the original issue date of July 22, 2026. Monthly coupon observation and payment dates are scheduled throughout the approximately three-year holding period, with the first coupon observation on August 17, 2026, and the final coupon observation on July 17, 2029. The stated maturity date is July 20, 2029, providing a three-year investment horizon from initial purchase through final redemption or maturity payoff. The determination date, used to calculate final underlier levels for maturity settlement, is the last coupon observation date on July 17, 2029, subject to adjustment as described in the accompanying general terms supplement.

Quarterly call observation dates are interspersed throughout this timeline, beginning January 19, 2027, to allow for potential early automatic redemption if market conditions trigger the call feature. This detailed scheduling provides investors with advance notice of all relevant observation and payment dates, allowing for planning and reinvestment decisions. The company did not disclose the specific aggregate face amount of notes to be issued in this preliminary pricing supplement, as this figure remains subject to market conditions and investor demand at pricing.