Goldman Sachs Finance Launches Autocallable Index-Linked Notes Tied to Nasdaq-100, Russell 2000, and S&P 500

Structure and Maturity Timeline of Goldman Sachs Structured Notes

The filing discloses that GS Finance Corp. has issued Autocallable Contingent Coupon Index-Linked Notes with a stated maturity date of August 3, 2028. The notes are fully and unconditionally guaranteed by The Goldman Sachs Group, Inc., providing an additional layer of credit security for investors. The trade date for these notes is July 31, 2026, with an original issue date of August 5, 2026, establishing the baseline from which index levels will be measured and against which performance triggers are evaluated.

The two-year maturity period is bracketed by regular coupon observation dates occurring on the first or last business day of each month, with corresponding coupon payment dates typically following three to five business days later. The final coupon observation date coincides with the determination date on July 31, 2028, at which point the closing levels of all three indices will be established to calculate whether investors receive their full principal amount at maturity or a reduced amount reflecting adverse index performance. This structured timeline creates multiple opportunities for investors to receive coupon payments during the holding period if all three indices maintain performance above their coupon trigger threshold.

Conditional Coupon Payments and All-or-Nothing Structure

The notes feature a contingent monthly coupon structure that rewards investors only if all three underlying indices—the Nasdaq-100, Russell 2000, and S&P 500—maintain closing levels at or above 70% of their respective initial levels on each coupon observation date. If this condition is met, investors receive $8.792 per $1,000 face amount, translating to a monthly coupon of 0.8792% or an annualized rate of approximately 10.55%. This coupon structure is characterized as "all-or-nothing," meaning that if even one index falls below its coupon trigger level on any observation date, no coupon payment is made for that month.

The coupon observation dates begin with August 31, 2026, approximately one month after the trade date, and continue monthly through July 31, 2028. With approximately 24 coupon observation dates scheduled over the two-year period, investors face recurring periods of uncertainty regarding whether index performance will support coupon payments. The filing discloses that the calculation agent, Goldman Sachs & Co. LLC, will determine on each observation date whether the closing levels of all three indices satisfy the coupon trigger requirement. This dependency on the simultaneous performance of three distinct equity indices introduces idiosyncratic and systematic market risks that individual investors must evaluate relative to fixed-income alternatives.

Automatic Call Feature and Early Redemption Mechanics

The notes incorporate an automatic call feature that allows GS Finance Corp. to redeem the notes early if all three underliers close at or above their initial underlier levels on any of six scheduled call observation dates. These call observation dates occur on February 1, May 3, August 2, and November 1 in 2027, with two additional dates on January 31 and May 1 in 2028. If the call condition is met on any observation date, the issuer will pay investors $1,000 per $1,000 face amount on the corresponding call payment date, which falls immediately after the applicable call observation date, along with any coupon then due.

The automatic call feature means that investors' holding period and total return are uncertain at purchase. If all three indices appreciate to or exceed their starting levels early in the note's life, investors face redemption and loss of the opportunity to receive remaining coupon payments or potential capital appreciation from continued index gains. Conversely, if indices remain below starting levels throughout the observation period, the notes will mature on August 3, 2028, subjecting investors to the full maturity payout mechanism based on the worst-performing index. This feature transfers market timing and duration risk to investors while limiting the issuer's downside exposure.

Principal Protection and Capital Loss Scenarios

At maturity, if the notes have not been called, the payment to investors is contingent on the performance of the lowest-performing index relative to a trigger buffer level set at 60% of each underlier's initial level. If the final underlier level of each index is greater than or equal to its trigger buffer level, investors receive $1,000 per $1,000 face amount of principal. However, if any index's final level falls below its trigger buffer level, investors receive $1,000 plus an additional amount equal to $1,000 multiplied by the "lesser performing underlier return," which represents the return of the worst-performing index.

This structure creates significant downside risk. For example, if one index declines by 40% from its initial level while the other two remain above the trigger buffer, investors would receive $1,000 plus ($1,000 × −0.40), or $600 per $1,000 face amount, a 40% loss of principal. The filing explicitly discloses that investors "could lose your entire investment in the notes" if all underliers decline sufficiently. The trigger buffer of 60% establishes a floor below which any further index decline translates directly into principal loss dollar-for-dollar. The estimated value of the notes on the trade date of $925 to $955 per $1,000 face amount suggests that the market price embedded in the initial offering incorporates the cost of these embedded options and credit risk.

Underlier Selection and Index-Based Return Calculation

The notes are linked to the performance of three broad U.S. equity indices: the Nasdaq-100 Index (Bloomberg symbol: NDX Index), the Russell 2000 Index (Bloomberg symbol: RTY Index), and the S&P 500 Index (Bloomberg symbol: SPX Index). These indices represent different market segments—the Nasdaq-100 focuses on large-cap technology and growth stocks, the Russell 2000 tracks small-cap equities, and the S&P 500 represents large-cap stocks across all sectors. The use of three indices with different composition and risk characteristics introduces diversification but also creates complexity in understanding how changes in individual sectors or market segments will affect note performance.

The initial underlier level for each index is established on the trade date, July 31, 2026, and serves as the baseline for calculating return percentages. The underlier return for each index is computed as (final underlier level minus initial underlier level) divided by initial underlier level, expressed as a percentage. The "lesser performing underlier return" represents the return of whichever index has declined the most or appreciated the least. This mathematical construction means that investors are exposed to the performance of the worst-performing index at maturity, creating asymmetric risk where strong performance in two indices does not offset weakness in the third.

Estimated Value Discount and Market-Making Framework

The filing discloses that the estimated value of the notes on the trade date is $925 to $955 per $1,000 face amount, which is less than the original issue price of 100% of face amount. This valuation discount indicates that the embedded options, credit risk, and illiquidity costs have reduced the notes' fair market value below par. The filing notes that an additional amount is applicable, though the specific dollar amount and end date for this additional amount were not completed in the preliminary pricing supplement, suggesting those terms were to be finalized in the definitive pricing supplement after trade execution.

The disclosure also indicates that GS Finance Corp. may use the prospectus for initial sales of the notes, and Goldman Sachs & Co. LLC or other Goldman Sachs affiliates may use the prospectus in market-making transactions after initial sale. Unless the purchaser is informed otherwise in the confirmation of sale, the prospectus is deemed to be used in a market-making transaction. This framework allows Goldman Sachs to facilitate secondary market trading while disclosing to investors that the pricing and economic terms may differ from the initial offering terms set on the trade date.

Credit Support and Issuance Program Context

The notes are issued under the Medium-Term Notes, Series F program of GS Finance Corp. and are fully and unconditionally guaranteed by The Goldman Sachs Group, Inc. This guarantee structure means that investors have a direct claim against The Goldman Sachs Group, Inc., not merely against GS Finance Corp., a special-purpose financing vehicle. The guarantee provides an important credit backstop, as Goldman Sachs' credit rating and financial condition become material to the notes' ultimate repayment. The filing identifies the issuer as GS Finance Corp., with all references to "we," "us," and "our" in the prospectus applying only to GS Finance Corp., while references to "The Goldman Sachs Group, Inc." apply only to the parent guarantor and do not include its subsidiaries or affiliates.

The notes are issued under a senior debt indenture dated October 10, 2008, as supplemented by the First Supplemental Indenture dated February 20, 2015, with The Bank of New York Mellon serving as trustee. This indenture framework establishes the legal rights and obligations of noteholders, the issuer, the guarantor, and the trustee. Investors should review the complete indenture and supplemental agreements to understand their full contractual rights, remedies in default, and the procedures for exercising those rights.

Calculation Agent Role and Index Observation Mechanics

Goldman Sachs & Co. LLC is identified as the calculation agent responsible for determining whether index levels on observation dates satisfy coupon trigger, call trigger, and maturity payout conditions. The calculation agent must observe the closing level of each underlier on each relevant observation date and perform the mathematical calculations to determine whether coupon payments are due, whether the automatic call feature is triggered, and what amount is due at maturity. This role creates a potential conflict of interest, as Goldman Sachs is simultaneously the calculation agent, the underwriter, the guarantor (through its parent company), and potentially a market maker in the notes after issuance.

The filing states that terms are subject to adjustment as described in the accompanying general terms supplement no. 17,745 dated January 20, 2026. This reference indicates that the calculation agent has authority under specified circumstances to adjust observation dates, initial underlier levels, or other terms to account for market disruptions, holidays, or other extraordinary events. The filing does not enumerate all such adjustment provisions, directing investors to review the complete general terms supplement to understand the full scope of the calculation agent's discretion.

Risk Disclosure and Investor Suitability Considerations

The filing contains an explicit and prominent disclosure that investors "could lose your entire investment in the notes." This language appears near the beginning of the pricing supplement and in the key terms summary, emphasizing the seriousness of principal loss risk. 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 a bank. These distinctions are material because they establish that investors have no deposit insurance protection and rely entirely on the credit of GS Finance Corp. and the guarantee of The Goldman Sachs Group, Inc.

The structured nature of these notes, with their dependence on three indices, conditional coupons, and automatic call provisions, suggests suitability primarily for sophisticated investors with access to professional investment advice. The pricing discount from par, the relatively high monthly coupon rate of 0.8792%, and the potential for total loss reflect the elevated risk profile and complexity. The filing does not provide suitability guidance or recommend specific investor categories but directs all investors to read the complete disclosure and understand the terms and risks before investing.

Documentation and Prospectus Integration

The pricing supplement is part of a comprehensive prospectus that includes the general terms supplement no. 17,745 dated January 20, 2026, the underlier supplement no. 49 dated June 24, 2026, a prospectus supplement dated February 14, 2025, and a base prospectus dated February 14, 2025. The filing discloses that information in the pricing supplement supersedes any conflicting information in the accompanying documents and that some terms or features described in the listed documents may not apply to these notes. Investors must review all integrated documents to obtain a complete understanding of the notes' terms, conditions, and risks.

The CUSIP number for the notes is 40054XTG3, and the ISIN is US40054XTG33. These identifiers enable investors to track the notes' trading activity, request information from their brokers, and verify regulatory filings related to the notes. The filing also notes that GS Finance Corp. and its agents have not authorized anyone to provide information or make representations other than those contained in the pricing supplement and accompanying documents, and the company takes no responsibility for the reliability of any other information.