Goldman Sachs Issues $21.6 Million Autocallable Notes Linked to NVIDIA Stock Performance

Structured Note Design and NVIDIA Equity Linkage

GS Finance Corp. structured these notes to provide investors with contingent coupon income tied to NVIDIA's stock performance while offering potential capital appreciation if the semiconductor manufacturer's shares appreciate. The notes are fully and unconditionally guaranteed by The Goldman Sachs Group, Inc., adding a layer of credit protection to investors, though this guarantee extends only to GS Finance Corp.'s payment obligations, not to the equity-linked returns themselves. The underlier for these notes is NVIDIA Corporation common stock, referenced by Bloomberg ticker "NVDA UW," with the initial underlier level established at $207.29, which represents either an intra-day level or the closing level on the trade date of July 21, 2026. The one-year maturity window extends from the original issue date of July 24, 2026 to the stated maturity date of August 26, 2027, positioning these as short-duration structured products in the context of typical equity-linked securities markets.

The notes function as a hybrid instrument combining fixed income characteristics with equity-linked derivatives features. Investors purchase the notes at face value (100% of the $21.566 million aggregate offering), with an underwriting discount of 2.15% of face amount, resulting in net proceeds to the issuer of 97.85% of the initial capital raised. The disclosure indicates that the estimated value of the notes on the trade date was $969 per $1,000 face amount, representing a discount to the original issue price and suggesting that the embedded options and contingent structures create negative net present value relative to face value at inception. The prospectus indicates an additional amount of $31 per $1,000 face amount with an end date of October 20, 2026, which addresses the difference between estimated value and face value.

Contingent Coupon Mechanism and Monthly Payment Structure

The coupon structure of these notes introduces significant conditional payment risk, as investors receive monthly coupon payments only if NVIDIA's stock price meets or exceeds a predefined trigger level on each observation date. Specifically, on each coupon observation date, if the closing level of NVIDIA stock is greater than or equal to the coupon trigger level—set at 61% of the initial underlier level of $207.29, or approximately $126.45—GS Finance Corp. will pay $10.25 per $1,000 of outstanding face amount. This payment structure translates to a potential annual coupon rate of 12.30% if all monthly coupons are paid in full, provided NVIDIA maintains a closing price at or above the 61% threshold throughout the entire note period. The monthly coupon observation dates commence on August 21, 2026, and continue through August 23, 2027, with corresponding payment dates following within three to five business days of each observation date.

Conversely, if NVIDIA's stock closes below the coupon trigger level on any coupon observation date, investors receive zero coupon payment for that month, despite holding the security through maturity. This all-or-nothing feature means investors cannot receive partial coupons; the full $10.25 payment depends entirely on the underlying stock closing at the trigger level or above. The calculation agent for these notes is Goldman Sachs & Co. LLC, which bears responsibility for determining whether coupon trigger conditions have been met on each observation date and calculating the resulting payment amounts. The disclosure document states that coupon observation dates extend from August 21, 2026 through August 23, 2027, providing thirteen scheduled observation points over the note's life, with corresponding payment dates typically three business days later to allow for settlement processing.

Automatic Call Feature and Early Redemption Conditions

The notes incorporate an automatic call feature that terminates the investment early if NVIDIA's stock performance exceeds a specified threshold during the observation period. The automatic call feature is triggered if the closing level of NVIDIA stock is greater than or equal to the initial underlier level ($207.29) on any call observation date. Call observation dates begin on January 21, 2027 and occur on each subsequent coupon observation date through July 21, 2027, creating six potential call observation windows. If the automatic call condition is met, GS Finance Corp. will redeem the notes on the following call payment date for $1,000 per $1,000 face amount, plus any coupon then due, effectively terminating the investor's equity exposure and ending the investment period prematurely. This feature benefits investors if NVIDIA appreciates but creates reinvestment risk in a potentially lower-yield environment, as investors must redeploy capital at then-prevailing market rates.

The automatic call mechanism presents a structural asymmetry common to many autocallable products: investors participate in gains through coupon payments and early redemption, but also bear full downside risk if the underlying stock declines. From an investor perspective, the automatic call feature means that strong upward performance in NVIDIA stock could result in early termination of the notes, capping the investor's return at the fixed redemption amount plus any coupons received to that point. The disclosure indicates that call observation dates occur on each coupon observation date from January 21, 2027 through July 21, 2027, meaning that starting in the sixth month of the note's life, investors face the possibility of early redemption on a monthly basis, potentially limiting their ability to benefit from extended NVIDIA price appreciation if the stock rises above the initial level and remains elevated.

Principal Protection and Trigger Buffer Loss Mechanics

The notes offer no guaranteed return of principal at maturity and instead feature a trigger buffer mechanism that exposes investors to potential losses if NVIDIA's stock declines beyond a specified threshold. At maturity on August 26, 2027, if the notes have not been automatically called, GS Finance Corp. will pay investors based on the final underlier level—defined as the closing level of NVIDIA stock on the determination date of August 23, 2027. If the final underlier level is greater than or equal to the trigger buffer level (61% of the initial underlier level, or approximately $126.45), investors receive the full $1,000 face amount per $1,000 of notes purchased, plus any final coupon payment due. However, if the final underlier level falls below the trigger buffer level, investors suffer a loss equal to the percentage decline in NVIDIA stock below the initial level.

The disclosure explicitly warns that investors could lose their entire investment in the notes, which would occur if NVIDIA's stock price declines to zero or near-zero levels by the determination date. The cash settlement formula for payments below the trigger buffer is calculated as $1,000 + ($1,000 × the underlier return), where underlier return is defined as (final underlier level - initial underlier level) ÷ initial underlier level. For example, if NVIDIA stock declines from $207.29 to $103.65 (a 50% decline), the underlier return would be negative 50%, resulting in a cash settlement of $500 per $1,000 face amount. This mechanism means investors experience 100% of the downside risk in NVIDIA stock with no floor protection, distinguishing these notes from more conservative principal-protected structures. The trigger buffer level of 61% provides some cushion relative to zero, but only 39% downside protection from the initial price level.

Credit Support and Guarantor Exposure

These notes carry explicit credit risk tied to both the direct issuer, GS Finance Corp., and its parent company guarantor, The Goldman Sachs Group, Inc. The prospectus states that the notes are "fully and unconditionally guaranteed by The Goldman Sachs Group, Inc.," meaning that holders have recourse to the parent company if GS Finance Corp. fails to meet its payment obligations. However, this guarantee extends only to GS Finance Corp.'s ability to pay the coupon amounts and principal redemption—it does not protect investors against the equity-linked loss mechanism if NVIDIA stock declines below the trigger buffer level. The notes are explicitly 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, limiting investor protection to the Goldman Sachs guarantee itself.

Investors evaluating these notes must assess the creditworthiness of both GS Finance Corp. and The Goldman Sachs Group, Inc., as credit deterioration at either entity could impair payment reliability. The disclosure document notes that investors should "read the disclosure herein to better understand the terms and risks of your investment, including the credit risk of GS Finance Corp. and The Goldman Sachs Group, Inc.," indicating that credit evaluation is essential to the investment decision. The notes are issued under the senior debt indenture dated October 10, 2008, as supplemented by the First Supplemental Indenture dated February 20, 2015, and further supplemented thereafter, providing a contractual framework for issue and administration. The trustee for these arrangements is The Bank of New York Mellon, which holds fiduciary responsibilities for note holders.

Pricing, Valuation, and Secondary Market Considerations

The notes were priced on July 21, 2026, with an original issue date of July 24, 2026, at face value representing 100% of the aggregate $21.566 million offering. The underwriting discount of 2.15% of face amount implies a distribution cost of approximately $464,671, reducing net proceeds to GS Finance Corp. to approximately $21.1 million. The disclosure indicates that the estimated value of the notes on the trade date was $969 per $1,000 face amount, a significant discount to the original issue price, suggesting that the structured features and embedded equity options reduce intrinsic value relative to par at inception. This valuation gap reflects the embedded short volatility position inherent in contingent coupon products and the cost of the downside equity exposure without offsetting principal protection.

The prospectus notes that GS Finance Corp. or Goldman Sachs affiliates may use the prospectus in secondary market-making transactions after initial sale, meaning additional notes may be offered at different prices and discount rates. The disclosure states 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 could acquire notes at discounts or premiums relative to face value, materially affecting their actual returns. The pricing supplement constitutes Pricing Supplement No. 25,851, part of the Medium-Term Notes, Series F program of GS Finance Corp., indicating these notes are part of an ongoing securities issuance program rather than a one-time offering. Investors considering secondary market purchases should evaluate prevailing NVIDIA stock prices relative to the initial $207.29 level, as this directly affects remaining coupon payment probability and maturity payoff expectations.

NVIDIA Correlation and Equity Market Risk Factors

The investment performance of these notes is entirely dependent on NVIDIA Corporation's stock price movements relative to the initial underlier level of $207.29. NVIDIA is a major semiconductor and artificial intelligence computing company, making the notes sensitive to technology sector trends, artificial intelligence adoption rates, competitive dynamics in chip design and manufacturing, and broader macroeconomic conditions affecting semiconductor demand. The notes provide no diversification benefits relative to direct NVIDIA stock ownership—investors who purchase these notes accept full correlation to NVIDIA price movements, without the option ownership or dividend capture benefits of holding NVIDIA shares directly. The subordination of coupon payments to a 61% price threshold means investors sacrifice income if NVIDIA stock declines moderately but remains above that level, creating a dead zone where downside risk is realized but coupon income is forfeited.

The determination date of August 23, 2027 establishes a specific point in time for maturity valuation, meaning that NVIDIA's stock price on that single trading day determines final payoff. This creates timing risk: investors could see NVIDIA stock decline below the trigger buffer level in late August 2027 despite performing adequately throughout the note period, resulting in capital loss at precisely the moment of maturity valuation. Conversely, if NVIDIA stock appreciates significantly, the automatic call feature may terminate the investment early, preventing investors from capturing extended upside participation. The notes thus function as a bet on NVIDIA stock trading within a specific range during a specific time window, without providing the flexibility of traditional equity ownership.

Program Structure and Prospectus Documentation Framework

These notes are issued under the Medium-Term Notes, Series F program of GS Finance Corp., a structured finance vehicle that has issued multiple tranches of equity-linked and credit-linked securities. The prospectus framework includes the pricing supplement dated July 21, 2026, the 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 pricing supplement explicitly states that "the information in this pricing supplement supersedes any conflicting information in the documents listed above," meaning that investors must read the pricing supplement as the controlling terms document. The notes will be issued in book-entry form and represented by master note no. 3 dated March 22, 2021, allowing for electronic settlement and custody through the Depository Trust Company or similar clearance systems.

The calculation agent role performed by Goldman Sachs & Co. LLC includes determination of all payment dates, coupon trigger calculations, underlier level observations, and final settlement amounts, creating operational dependency on Goldman Sachs' calculations and administration. The CUSIP and ISIN identifiers (40054XLE6 / US40054XLE66) enable secondary market trading and identification. The prospectus documentation is current only as of the respective dates of the documents, with the pricing supplement dated July 21, 2026 representing the most recent update incorporating final terms. The disclosure notes that GS Finance Corp. has not authorized anyone other than its agents to provide information about the notes, and takes no responsibility for any information from other sources, limiting information sources to official prospectus materials.

Hypothetical Payoff Scenarios and Investor Outcome Variability

The disclosure document provides a framework for hypothetical examples illustrating how various NVIDIA stock price levels could affect coupon payments and maturity payoffs, though the filing indicates that actual examples require specific pricing assumptions. Investors should recognize that the notes present multiple distinct outcome scenarios depending on NVIDIA's price path over the note period. If NVIDIA closes at or above $207.29 on any call observation date from January through July 2027, the notes automatically redeem at $1,000 plus accrued coupon, capping returns but providing certain redemption. If NVIDIA declines moderately but remains above $126.45, investors lose coupons but recover full principal at maturity. If NVIDIA falls below $126.45, investors experience proportional principal loss in addition to foregone coupons.

The coupon observation dates create thirteen distinct checkpoints where NVIDIA's closing price determines whether a monthly $10.25 coupon payment occurs, and six additional call observation dates where automatic redemption becomes possible. Investors evaluating these notes should model outcomes across a range of NVIDIA price scenarios to understand their exposure. For instance, if NVIDIA trades sideways between $180 and $200, investors would likely miss many coupons (given the $126.45 trigger level) while also avoiding early redemption, resulting in weak performance. Conversely, if NVIDIA appreciates to $215 or higher early in the note period, automatic redemption occurs, limiting upside capture despite the favorable price movement. The fixed nature of the payoff structure means that NVIDIA price volatility, not just directional movement, substantially affects returns.

Risk Disclosure and Investor Considerations

The prospectus explicitly warns that investors "could lose your entire investment in the notes," a critical risk disclosure that distinguishes these securities from principal-protected products. The notes are contingent coupon instruments, meaning coupon income is neither guaranteed nor cumulative—missed monthly coupons do not accrue or compound, and no interest is paid on deferred or foregone coupon amounts. The notes are subordinated to senior claims in any insolvency proceeding, though they are issued as senior debt of GS Finance Corp. rather than subordinated debt. The structure embeds multiple layers of risk: credit risk of the issuer and guarantor, equity risk of NVIDIA stock movements, interest rate risk affecting secondary market prices, and liquidity risk if secondary markets become illiquid.

The prospectus indicates that the notes are not suitable for all investors and should be considered only by investors with sophisticated understanding of structured products, equity-linked derivatives, and their interaction with underlying asset price dynamics. Investors considering these notes should evaluate whether the contingent coupon potential and automatic call feature provide adequate compensation for the principal loss risk and coupon forfeiture risk inherent in the structure. The disclosure notes that the notes may be used in secondary market-making transactions, meaning investors purchasing notes in the secondary market face price discovery risk and potential illiquidity if the secondary market becomes inactive.