Goldman Sachs Issues $2.14 Million NVIDIA-Linked Autocallable Notes Due 2028

Structure and Underlying Asset Composition

The notes represent a structured product issued under GS Finance Corp.'s Medium-Term Notes Series F program, with full and unconditional guarantee from The Goldman Sachs Group, Inc. These instruments are equity-linked to NVIDIA Corporation common stock, using the closing price of NVDA as the determining factor for coupon payments, automatic call features, and final maturity payoff calculations. The disclosure establishes that the initial underlier level was fixed at $207.29, which the company identified as either an intra-day level or the closing level on the trade date of July 21, 2026. This baseline figure serves as the critical reference point for all subsequent performance assessments throughout the note's two-year lifespan.

The notes carry an aggregate face amount of $2.141 million and were priced at 100 percent of face value, though the company estimated their value at $975 per $1,000 face amount on the trade date—a discount that reflects the structured nature of the product and incorporated costs. The underwriting discount totaled 1.85 percent of face amount, with net proceeds to the issuer representing 98.15 percent of the original issue price. This pricing structure includes a selling concession of up to 1.75 percent and a structuring fee of up to 0.1 percent, representing typical costs embedded in complex structured securities.

Contingent Coupon Mechanics and Payment Conditions

The notes provide quarterly coupon payments subject to strict performance conditions tied to NVIDIA's stock price movement. According to the disclosure, on each coupon payment date, holders receive $35 per $1,000 of outstanding face amount for each coupon observation date that has occurred up to and including the current period, less any previously paid coupons, but only if NVIDIA's closing price on the related coupon observation date is greater than or equal to the coupon trigger level of 61 percent of the initial underlier level. This means that if NVIDIA trades below approximately $126.44 per share (61 percent of the $207.29 initial level) on any coupon observation date, no coupon payment is made for that period.

The coupon observation and payment dates follow a predetermined quarterly schedule beginning October 21, 2026, with corresponding payment dates five business days later. The final coupon observation date falls on July 21, 2028, coinciding with the determination date for calculating the final underlier level used in maturity payoff calculations. The structure cumulates coupon payments if the trigger condition is met, meaning each quarterly coupon is calculated by multiplying $35 by the total number of coupon observation dates that have occurred through the current payment date, with adjustments for previously paid amounts. This cumulative approach ensures that missed coupons are not recovered, as payments depend exclusively on NVIDIA's price relative to the 61 percent trigger level at each specific observation date.

Automatic Call Feature and Early Redemption Risk

The notes incorporate an automatic call feature that significantly affects the investment horizon and potential returns for note holders. The disclosure specifies that if NVIDIA's closing price reaches or exceeds the initial underlier level of $207.29 on any call observation date, the notes will be automatically called and redeemed early. Call observation dates commence on January 21, 2027, and continue at quarterly intervals through April 21, 2028. On the call payment date immediately following activation of this feature, GS Finance Corp. will pay $1,000 per $1,000 face amount plus any applicable coupon then due.

This early redemption mechanism creates asymmetric risk for investors, as it caps upside potential at approximately 0 percent return if NVIDIA simply recovers to its initial price level. Investors who purchased at the original issue price would receive their principal back but would realize minimal or negative returns depending on the timing of the automatic call relative to coupon payments already received. The feature activates at a relatively modest price threshold, making it probable that investors may experience curtailed holding periods if NVIDIA maintains its valuation or demonstrates positive price momentum during the note term.

Maturity Payoff and Capital Loss Risk

At stated maturity on July 26, 2028, the cash settlement amount depends critically on whether NVIDIA's final closing price exceeds the trigger buffer level, which is identical to the coupon trigger level at 61 percent of the initial underlier level, or approximately $126.44 per share. The disclosure reveals that if the final underlier level is greater than or equal to the trigger buffer level, note holders receive $1,000 per $1,000 face amount. However, if the final underlier level falls below this threshold, holders receive a scaled payment calculated as $1,000 plus ($1,000 multiplied by the underlier return), where the underlier return equals the percentage change from the initial level to the final level.

This structure creates significant downside exposure for investors. If NVIDIA declines substantially from the $207.29 initial level, note holders experience dollar-for-dollar losses. For example, if NVIDIA closes at $100 per share at maturity, the underlier return would be negative 51.76 percent, resulting in a cash settlement of approximately $482 per $1,000 face amount—a loss of 51.8 percent of principal. The company's disclosure explicitly warns that "you could lose your entire investment in the notes," indicating the potential for total capital loss should NVIDIA decline beyond the trigger buffer level by a sufficient margin. This tail risk distinguishes these equity-linked notes from traditional fixed-income securities.

Credit Risk and Guarantor Obligations

The notes are issued by GS Finance Corp., a financing subsidiary, with full and unconditional guarantee from The Goldman Sachs Group, Inc., the parent company. The disclosure directs investors to evaluate the credit risk of both entities before investing. GS Finance Corp.'s ability to meet its obligations at maturity and on coupon payment dates depends on its own financial condition and access to liquidity, while the guarantee from Goldman Sachs Group provides an additional layer of credit protection. However, the disclosure emphasizes that the notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation, nor are they obligations or guarantees of any bank, clarifying the risk profile for potential investors.

The notes are issued under the senior debt indenture dated October 10, 2008, as supplemented by the First Supplemental Indenture dated February 20, 2015. This legal framework governs the issuer's obligations and remedies available to noteholders in the event of default or other material breaches. The Bank of New York Mellon serves as trustee under these indentures. Investors should recognize that while the Goldman Sachs guarantee enhances creditworthiness relative to GS Finance Corp. alone, it does not eliminate counterparty risk entirely, and economic deterioration or financial stress at the parent company could theoretically affect its ability to honor guarantee obligations.

Pricing and Estimated Value Considerations

The company established an original issue price of 100 percent of face amount, generating net proceeds to the issuer of 98.15 percent after deducting the 1.85 percent underwriting discount. However, the disclosure notes that the estimated value of the notes on the trade date was $975 per $1,000 face amount, which is less than the original issue price. This valuation discount of approximately 2.5 percent reflects the structured product's complexity, embedded costs, and the value transfer from investors to the issuer and underwriters upon issuance. The disclosure identifies an additional amount of $20 with an additional amount end date of January 25, 2027, though specific details regarding the purpose or application of this additional amount were not elaborated in the filing.

Investors purchasing these notes at original issue would immediately experience a mark-to-market loss if they attempted to sell in the secondary market, assuming market prices align with the estimated value disclosed. This embedded cost represents a hurdle that note holders must overcome through coupon income or appreciation in NVIDIA's stock price to achieve positive returns. The disclosure warns 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," indicating that secondary market purchasers may face different economics depending on prevailing market prices at the time of purchase.

Market-Making and Secondary Market Considerations

The disclosure clarifies that GS Finance Corp. may use the prospectus to market additional notes after the initial offering at potentially different issue prices and underwriting discounts, indicating this represents the first tranche in what may become a broader series. Goldman Sachs & Co. LLC or other affiliates may utilize the prospectus in market-making transactions in these notes after their initial sale, providing liquidity through secondary market trading. The disclosure states that "unless GS Finance Corp. or its agent informs the purchaser otherwise in the confirmation of sale, this prospectus is being used in a market-making transaction," which has implications for understanding the pricing and offering of notes in the secondary market.

This language suggests that the prospectus document serves multiple functions beyond the initial offering, supporting both primary issuance and secondary market support. Investors seeking to trade these notes before maturity or an automatic call event should recognize that secondary market liquidity and pricing depend on Goldman Sachs' willingness to make markets and prevailing demand for NVIDIA-linked structured products. The structured nature of these securities generally results in wider bid-ask spreads compared to more standardized equity or bond instruments, and secondary market prices may diverge significantly from estimated values depending on changes in NVIDIA's stock price, implied volatility, and market conditions.

Documentation and Prospectus References

The pricing supplement that forms the core of this disclosure is supplemented by multiple foundational documents, including General Terms Supplement No. 17,745 dated January 20, 2026, a prospectus supplement dated February 14, 2025, and a base prospectus dated February 14, 2025. The company explicitly states that the pricing supplement constitutes a supplement to these listed documents and does not set forth all terms of the notes, requiring readers to review the referenced documents in conjunction with the pricing supplement for complete information. Additionally, information in the pricing supplement supersedes any conflicting information in the documents listed above, prioritizing the specific terms disclosed in this most recent filing.

The notes will be issued in book-entry form and represented by master note number 3, dated March 22, 2021, held in custody through the Depository Trust Company or similar clearance systems. Goldman Sachs & Co. LLC serves as the calculation agent responsible for determining coupon amounts, underlier returns, and settlement amounts according to the specified formulas. The company states that it has not authorized anyone to provide information or make representations other than those contained in or incorporated by reference in the pricing supplement and accompanying documents, disclaiming responsibility for reliability of any external information and clarifying that the offering is subject to lawfulness in applicable jurisdictions.

Hypothetical Performance Scenarios and Investor Examples

The disclosure provides hypothetical examples for illustration purposes to demonstrate how various NVIDIA closing prices on coupon observation dates would affect coupon payments, and how different final underlier levels at maturity would determine the cash settlement amount. The company emphasizes that these examples should not be interpreted as predictions of future investment results, noting 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." The examples assume notes are purchased at original issue date at face amount and held to either a call payment date or stated maturity date, explicitly disclaiming that actual results may differ if notes are sold in secondary markets at different prices.

For investors modeling returns, the structure reveals that scenarios where NVIDIA trades between 61 percent and 100 percent of the initial level ($126.44 to $207.29) would generate cumulative coupon income but no maturity payoff above principal recovery, resulting in positive returns only if coupons accumulate sufficiently. Scenarios where NVIDIA appreciates above the initial level would trigger automatic call at the next observation date, capping total returns at accumulated coupons plus principal recovery. Conversely, scenarios where NVIDIA declines below the 61 percent trigger buffer level expose investors to proportional principal loss, creating potential negative returns if depreciation exceeds accumulated coupon income.