Goldman Sachs Issues Autocallable Notes Linked to S&P 500 Futures Index with 6% Annual Decrement

Autocall Mechanism and Redemption Structure

The notes will automatically be called on any call observation date beginning in January 2027 if the closing level of the underlying index reaches 90% or greater of its initial level. Upon automatic call, investors receive the face amount of the notes plus a call premium amount multiplied by $1,000. The filing states that specific call observation dates, call payment dates, and corresponding call premium amounts are detailed on page PS-7 of the pricing supplement, though these specific premium amounts and dates are not fully disclosed in the current filing.

If the notes are not called prior to maturity, the payout structure becomes more complex and depends heavily on the index performance. The filing explains that at maturity, investors will receive payment based on how the final underlier level compares to the initial level set on the trade date. The return calculation methodology distinguishes between scenarios where the index remains relatively stable versus scenarios involving significant declines, with progressively worse outcomes as the index falls further below the initial level.

Index Methodology and Daily Leverage Adjustments

The underlying S&P 500 Futures 40% VT Adaptive Response 6% Decrement Index implements a rules-based overlay that adjusts leverage on a daily basis, aiming to provide volatility-adjusted exposure to the S&P 500 Futures Excess Return Index. The filing discloses that the index uses calendar-based signals and price patterns to determine leverage adjustments, subject to a maximum exposure of 500% and a maximum daily change in leverage of 100%. This structure means investors receive magnified upside exposure during favorable market conditions but also face magnified downside exposure during market declines.

The index methodology caps the daily change in leverage at 100%, which the filing notes may result in the index leveraging up more slowly during market rallies and deleveraging more slowly during market sell-offs compared to an index without such constraints. This capping mechanism could impact returns in either direction depending on market conditions, potentially limiting gains during sharp upward moves while also limiting losses during sharp downward moves over single trading days, though cumulative effects over longer periods remain unpredictable.

The 6.0% Annual Decrement and Its Impact on Returns

A critical feature disclosed in the filing is the daily deduction of 6.0% per annum from the index level, regardless of whether the index is fully invested in the underlying futures. This decrement is deducted continuously throughout the life of the notes and has a compounding negative effect on investor returns. The filing explicitly states that the decrement has the effect of offsetting positive returns and worsening negative returns, meaning the index will significantly underperform an identical index without such a feature.

The disclosure warns that even when the index generates positive returns from its underlying futures exposure, the decrement will reduce those gains proportionally. Additionally, on days when the index is not fully invested in the S&P 500 Futures Excess Return Index—which the filing indicates can occur regularly—investors realize only a portion of any gains in the underlying futures while the full 6.0% annual decrement still applies to the uninvested portion. This structural characteristic fundamentally disadvantages the notes relative to direct investment in comparable equity indices without such embedded costs.

Maturity Payoff Scenarios and Loss Protection

The filing outlines three distinct scenarios for maturity payoffs if the notes are not automatically called. If the final underlier level is greater than or equal to 90% of the initial level, investors receive the maximum settlement amount of $2,029 per $1,000 face amount. If the final level falls between 60% and 90% of the initial level, investors receive only the face amount of $1,000. These two scenarios provide a form of downside protection within specific ranges, allowing investors to recover full principal even if the index declines by up to 40%.

However, if the final underlier level drops below 60% of the initial level—representing a decline greater than 40%—the investor bears the full loss. In such scenarios, the payout becomes $1,000 plus the product of the underlier return times $1,000. The filing explicitly warns that investors could lose their entire investment in the notes under this circumstance. For example, if the index declines 50% from its initial level, an investor would receive approximately $500 per $1,000 face amount. This structure creates a cliff-like loss profile that exposes investors to substantial downside risk beyond the 40% decline threshold.

Leverage Risk and Volatility Amplification

The filing prominently highlights risks associated with the significant leverage embedded in the index methodology. The disclosure states that the use of leverage will magnify and accelerate any negative performance of the index, meaning downturns in the underlying S&P 500 Futures Excess Return Index will produce correspondingly larger losses in the note value. With maximum exposure of 500%, the index can provide five times leverage to the underlying futures, creating outsized volatility compared to unlevered equity indices.

Investors should understand that volatility amplification affects both directions of market movement. While leverage enhances gains during market rallies, it creates proportionally larger losses during market declines. The filing indicates that the maximum daily change leverage cap of 100% further complicates return patterns by potentially preventing the index from fully adjusting leverage in rapidly changing market conditions, either for protection during sell-offs or for participation during rallies. This interaction between the leverage cap and actual market movements creates unpredictable return patterns that are difficult for investors to model or predict.

Futures Tracking Differences and Implicit Financing Costs

The filing discloses that the underlying S&P 500 Futures Excess Return Index tracks E-mini S&P 500 futures contracts rather than the spot S&P 500 Index itself. The document explicitly states that the return on an investment in futures contracts is correlated with, but not the same as, the return on buying and holding the underlying securities. This structural difference means investors face a performance gap between the futures-based index and a traditional equity index investment, even before considering the 6.0% annual decrement.

The filing notes that the S&P 500 Futures Excess Return Index is likely to underperform the total return performance of the S&P 500 Index because of implicit financing costs inherent in futures contracts. These financing costs arise from the mechanics of rolling futures positions forward as contracts approach expiration, a process that can create drag on returns, particularly in rising interest rate environments. When combined with the 6.0% annual decrement and leverage adjustments, the cumulative drag on returns from all three factors—financing costs, the decrement, and leverage adjustments—creates a significant structural headwind for investors.

Estimated Value at Pricing and Market-Making

The filing discloses that the estimated value of the notes at the time terms are set on the trade date is expected to be between $885 and $925 per $1,000 face amount, which is substantially less than the original issue price of 100% of face amount. This valuation gap reflects the embedded costs of the structure, including the 6.0% decrement, leverage adjustments, and dealer margin. The filing indicates that Goldman Sachs & Co. LLC determines this estimated value using its proprietary pricing models and credit spreads, though specific model inputs and assumptions are not disclosed in the current filing.

The filing states that Goldman Sachs & Co. LLC may make a market in the notes after initial sale, though it is not obligated to do so. The disclosure explains that the initial bid-ask spread and secondary market pricing will reflect the estimated value plus an additional amount that will decline to zero on a straight-line basis prior to a date specified in the complete pricing supplement (not disclosed in the preliminary filing). This structure means investors purchasing notes in the secondary market after initial issuance will encounter pricing that includes dealer spreads and adjustments to the estimated value based on market conditions and credit considerations.

Credit Guaranty and Issuer Structure

GS Finance Corp., the issuer of the notes, is guaranteed by The Goldman Sachs Group, Inc., a systemically important financial institution. This guaranty means that if GS Finance Corp. becomes unable to meet its payment obligations at maturity or upon early call, The Goldman Sachs Group, Inc. stands behind those obligations. The filing does not provide specific financial information about either entity but advises investors to carefully consider the credit risk of both the issuer and guarantor as part of their investment evaluation.

The filing explicitly states 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 traditional sense. While The Goldman Sachs Group, Inc. is a bank holding company, the guaranty does not transform these structured notes into bank deposits or insured products. Investors remain exposed to counterparty risk in addition to all the structural risks embedded in the index methodology and note design.

Distribution Terms and Pricing Completion

The filing notes that this is a preliminary pricing supplement, with the document marked "Subject to Completion" and dated July 21, 2026. The original issue date is expected to be July 29, 2026, with the original issue price set at 100% of face amount. The filing states that the underwriting discount, expressed as a percentage of face amount, will be disclosed in the final pricing supplement, along with the corresponding net proceeds to the issuer. For certain investors, the filing indicates that the original issue price may differ from 100%, with details to be provided in the "Supplemental Plan of Distribution; Conflicts of Interest" section on page PS-36 of the final pricing supplement.

Goldman Sachs & Co. LLC has signed the preliminary pricing supplement as the underwriter, though the filing notes that additional notes may be sold after the initial offering at different issue prices and underwriting discounts. The filing cautions that the return on investment will depend in part on the issue price paid, meaning investors who purchase in secondary market transactions may face different economic outcomes than initial purchasers, particularly if they pay prices significantly different from the estimated value range of $885 to $925 per $1,000 face amount.