Goldman Sachs Finance Launches Autocallable Index-Linked Notes Tied to Nasdaq-100 and S&P 500

Structure and Automatic Call Mechanism

The notes incorporate an automatic call feature that functions on a monthly basis throughout the three-year term. The disclosure states that if the closing level of each underlier is greater than or equal to its initial underlier level on any call observation date, the notes will be automatically called on the following call payment date. When a call occurs, investors receive $1,000 plus an additional call premium amount for each $1,000 of face value held. The call premium escalates monthly, beginning at 10.8504% in July 2027 and increasing incrementally each month until reaching 31.647% by June 2029, offering investors progressively higher returns the longer the notes remain uncalled.

The structure aligns the interests of note holders with the performance of both equity indices simultaneously. Because automatic call requires that both the Nasdaq-100 Index and S&P 500 Index remain at or above their initial levels, the dual-underlier requirement creates a higher threshold for early redemption than would exist for a single-index note. This design means investors capture premium payments only if both major indices perform adequately, introducing additional complexity compared to single-index structured products.

Maturity Payoff and Buffer Protection

If the notes are not automatically called prior to maturity, the cash settlement amount at the stated maturity date of July 26, 2029, depends on how the lesser-performing underlier has performed. The filing discloses that if the final underlier level of each underlier is greater than or equal to its initial underlier level, investors receive $1,000 plus a maturity date premium of 32.5512% for each $1,000 face amount. This represents the full participation benefit if both indices appreciate or remain flat. However, if the final underlier level of any underlier falls below its initial level but remains at or above the buffer level (85% of initial level), investors receive only $1,000 with no additional premium.

The buffer protection mechanism provides limited downside cushioning. The disclosure indicates that if the final underlier level of any underlier falls below its buffer level of 85%, investors face a loss. In such cases, the payment equals $1,000 plus $1,000 multiplied by the buffer rate of 100%, multiplied by the lesser performing underlier return plus the buffer amount of 15%. This formula means losses accelerate beyond the 15% buffer threshold, and investors could lose a significant portion of their investment if either index declines substantially. The document explicitly warns that investors "could lose a significant portion of your investment in the notes."

Underlier Selection and Initial Levels

The notes track two of the most widely followed equity benchmarks in the United States market. The Nasdaq-100 Index, tracked under Bloomberg symbol "NDX Index," represents large-cap technology and growth-oriented companies, while the S&P 500 Index, tracked under Bloomberg symbol "SPX Index," represents broad U.S. large-cap equity exposure. The disclosure establishes the initial underlier levels as 29,155.18 for the Nasdaq-100 Index and 7,509.20 for the S&P 500 Index, with these levels determined as the closing levels on July 21, 2026.

The filing notes that these initial underlier levels "may be higher or lower than the closing level of such underlier on the trade date" of July 22, 2026, indicating a timing gap between the trade date and the determination of official initial levels. This gap creates potential basis risk for early investors, as market movements between the trade date and the official initial level-setting date could affect eventual returns. The use of two separate indices means that investors must monitor performance across both benchmarks, and the "lesser performing underlier return" becomes the determinative metric for payment calculations.

Valuation and Pricing Considerations

The disclosure states that the estimated value of the notes on the trade date is between $925 and $965 per $1,000 face amount, which the filing explicitly notes "is less than the original issue price." This pricing indicates that the notes were issued with embedded costs and that the theoretical fair value upon issuance falls below par. The filing notes that the additional amount and additional amount end date were not disclosed in the pricing supplement provided. Investors purchasing at the original issue price of 100% of face amount would face an immediate mark-to-market loss if valued at the estimated range.

The underwriting discount percentage and net proceeds percentage were not specified in the disclosure document reviewed. Potential investors should understand that the difference between the estimated value and the original issue price represents compensation for the structuring costs, underwriting, and embedded options within the notes. The document cautions that "the return (whether positive or negative) on your investment in notes will depend in part on the issue price you pay for such notes," acknowledging that secondary market prices may differ substantially from initial pricing.

Credit Guarantees and Issuer Information

The notes carry a full and unconditional guarantee from The Goldman Sachs Group, Inc., one of the world's largest financial institutions. The disclosure clarifies that GS Finance Corp. serves as the issuer while The Goldman Sachs Group, Inc. acts as guarantor, meaning investors have recourse to the parent company if the finance subsidiary faces difficulties. This dual-entity structure provides credit enhancement, though investors remain exposed to the credit risk of both GS Finance Corp. and The Goldman Sachs Group, Inc. The filing directs investors to page PS-7 for additional discussion of credit risk, though that specific page was not included in the provided excerpt.

The notes are part of the Medium-Term Notes, Series F program of GS Finance Corp. and will be issued under the senior debt indenture dated October 10, 2008, as supplemented by the First Supplemental Indenture dated February 20, 2015. The notes will be issued in book-entry form and represented by master note no. 3, dated March 22, 2021. These details indicate a well-established issuance framework with standard market documentation and infrastructure. The Bank of New York Mellon serves as trustee under the indenture, and Goldman Sachs & Co. LLC acts as the calculation agent responsible for determining underlier levels and calculating payments.

Key Dates and Timeline

The notes follow a clearly defined timeline with multiple important dates for investors to track. The trade date is July 22, 2026, with the original issue date set for July 27, 2026, representing a five-day settlement period. The determination date, when final underlier levels are observed for maturity payoff calculation, is scheduled for July 23, 2029, with the stated maturity date occurring three days later on July 26, 2029. Between these dates, monthly call observation dates occur on the 21st or 22nd of each month, starting July 21, 2027, with corresponding call payment dates typically occurring three to five business days later.

The filing provides a complete schedule showing all 24 monthly call observation dates and corresponding call payment dates extending through June 2029. Call premium amounts increase monthly in incremental steps, rising from 10.8504% at the first call opportunity in July 2027 to 31.647% by the final call opportunity in June 2029. Investors holding the notes through maturity without an early call would receive either the full maturity premium of 32.5512% (if both indices performed adequately) or face losses (if either index fell below the buffer level). The three-year maturity aligns the notes with typical medium-term structured product offerings.

No Interest Payments and Risks

The disclosure clearly states that the notes do not bear interest, meaning investors receive no periodic coupon payments during the three-year holding period. Instead, all returns come from appreciation relative to the initial underlier levels or from the various premium amounts offered at call or maturity. This zero-coupon structure concentrates investor returns on the index-linked components and the embedded call options, eliminating the cushion that interest payments might provide if indices remain flat or decline modestly. Investors should understand that they are not compensated for the time value of money through traditional interest accrual.

The offering document emphasizes the downside risks associated with the notes. The language warns that investors "could lose a significant portion of your investment in the notes," and the document explicitly cautions that notes are not bank deposits, are not FDIC-insured, and are not obligations of or guaranteed by a bank. The complete loss potential arises if both indices decline sharply below the 85% buffer level, triggering accelerated losses beyond the buffer amount. Additionally, investors face credit risk if The Goldman Sachs Group, Inc. or GS Finance Corp. experiences financial distress, though such risk is remote given the issuer's established market position.

Prospectus Documentation and Regulatory Framework

This preliminary pricing supplement is filed pursuant to Rule 424(b)(2) under the Securities Act of 1933, relating to Registration Statement No. 333-284538. The disclosure notes that the information in the preliminary pricing supplement is not complete and may be changed, and the document is marked "Subject to Completion" as of July 22, 2026. The prospectus references multiple supporting documents, including General Terms Supplement No. 17,745 dated January 20, 2026, Underlier Supplement No. 48 dated March 24, 2026, Prospectus Supplement dated February 14, 2025, and the base Prospectus dated February 14, 2025.

The filing emphasizes that the information in the pricing supplement supersedes any conflicting information in the accompanying documents, and certain terms or features described in listed documents may not apply to these specific notes. The disclosure states that neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these securities, with any such representation being a criminal offense. Goldman Sachs & Co. LLC acts as the underwriter of the offering, and the document notes that this prospectus may be used both in initial sales of the notes and in subsequent market-making transactions by Goldman Sachs affiliates.

Determination of Final Underlier Levels

The final underlier level for each index is defined in the filing as the closing level on the determination date, which the filing notes is "subject to adjustment as described in the accompanying general terms supplement." While the specific adjustment provisions were not detailed in the excerpt provided, this language indicates that extraordinary market events, such as index suspension, cash settlement of index futures, or other disruptions, could trigger modifications to how final underlier levels are determined. Investors would need to review General Terms Supplement No. 17,745 to understand the full range of potential adjustments.

The underlier return calculation is straightforward: the underlier return equals the final underlier level minus the initial underlier level, divided by the initial underlier level. This formula produces a percentage return that determines whether notes are called, receive the full maturity premium, receive par only, or trigger the buffer loss calculation. The "lesser performing underlier return" is the return of whichever index performs worse, making it the critical metric for investors to track. This approach means that the two-index structure creates a worst-of payoff, where returns are determined by the weaker-performing benchmark rather than an average or best-of calculation.