Goldman Sachs Issues Bear Market-Linked Notes With Dual Directional Buffer Tied to Nasdaq-100 Index

Structural Design and Return Profile at Maturity

The notes are engineered to deliver differentiated returns based on the performance of the Nasdaq-100 Index at maturity, measured as the "Ending Value" relative to the "Starting Value." The filing discloses that if the Nasdaq-100 Index decreases or remains flat over the term such that the Ending Value is less than or equal to the Starting Value, investors receive a positive return. This feature is designed to provide a downside cushion for investors concerned about market weakness. The notes incorporate what Goldman Sachs describes as a "Digital Payment," which applies when the market measure does not appreciate.

If the Nasdaq-100 Index increases but does so moderately—specifically by no more than a defined threshold percentage—investors receive a return equal to the percentage increase in the Market Measure from the Starting Value to the Ending Value. This structure allows investors to participate in upside movement within a specified range. The filing notes that this middle performance tier creates a balanced risk-reward profile for investors who anticipate either stable or modestly rising markets. The design reflects Goldman Sachs' structured product approach of tailoring payoff mechanics to specific market outlooks.

Downside Risk and Capital Loss Considerations

The notes expose investors to significant downside risk if the Nasdaq-100 Index appreciates substantially. According to the filing, if the Ending Value exceeds the Threshold Value, investors will lose a portion—which could be significant—of the principal amount of their notes. The disclosure specifically emphasizes that investors "will lose a portion, which could be significant, of your principal amount" under adverse market conditions, indicating the severity of potential capital impairment.

The structure includes a Minimum Redemption Amount designed to limit the absolute worst-case loss, but the filing makes clear that substantial losses are possible if the underlying index experiences strong positive performance. This asymmetric risk profile positions the notes as instruments suited for investors holding a bearish or neutral view on the Nasdaq-100 Index. The filing states that by purchasing these notes, investors are taking "primarily bearish view that the value of the Market Measure will decline over the term of the notes, or that it will increase by no more than" a specified threshold. The risk factors section of the accompanying product supplement and prospectus supplement, referenced in the filing, provides additional detail on these downside scenarios.

Issuance Structure and Credit Support

The notes are issued by GS Finance Corp., a subsidiary of The Goldman Sachs Group, Inc., and are fully and unconditionally guaranteed by The Goldman Sachs Group, Inc. This dual-entity structure is standard for Goldman Sachs' structured debt offerings. The notes rank equally with GSFC's other unsecured and unsubordinated obligations, meaning they do not benefit from preferential payment treatment compared to other senior debt but rank ahead of any subordinated obligations. All payments on the notes are subject to the credit risk of both the issuer and the guarantor.

The filing emphasizes that the notes are not FDIC insured, not bank guaranteed, and not secured by collateral. Investors are dependent on the creditworthiness of both entities for repayment. The announcement notes that all payments, including repayment of principal at maturity and any redemption amounts, occur based on the calculated performance of the Nasdaq-100 Index and are subject to credit risk. This structure is typical for Goldman Sachs' medium-term notes program and reflects the company's approach to issuing structured securities through its specialized finance subsidiaries.

Pricing, Valuation, and Underwriting Economics

The public offering price of the notes is $10 per unit principal amount. The filing discloses an underwriting discount structure that breaks down into a sales commission component and a structuring fee component. The estimated value of the notes at the time the terms are set on the pricing date is expected to be between $9.25 and $9.55 per $10 principal amount. The company notes that this estimated value is less than the public offering price, reflecting the costs embedded in the structured product, including the underwriting discount and the costs of creating, documenting, and marketing the notes.

Goldman Sachs & Co. LLC is identified as the primary underwriter and market maker. The filing indicates that the price at which GS&Co. would initially buy or sell the notes—if it makes a market, which is not obligated—will be approximately equal to the estimated value plus an additional amount. During an initial period following pricing, this additional amount will be included in GS&Co.'s pricing; subsequently, this adjustment will decline to zero on a straight-line basis through a specified date. After that date, pricing will reflect the then-current estimated value as determined by GS&Co.'s pricing models. This structure is designed to provide transparency regarding valuation and secondary market pricing mechanics.

Use of Proceeds and Subsequent Offerings

The filing notes that GS Finance Corp. may use the proceeds from this offering for its general corporate purposes, though the term sheet does not specify particular uses. The disclosure states that the proceeds to GSFC, before expenses, are calculated as the public offering price less the underwriting discount. The company retains the right to issue additional notes at the same or different pricing and with potentially different underwriting economics than those disclosed in this preliminary term sheet.

The announcement explicitly states that GS Finance Corp. "may decide to sell additional notes after the date of this term sheet, at issue prices and with underwriting discounts and net proceeds that differ from the amounts set forth above." This language indicates that this preliminary term sheet establishes the economic framework for the initial offering, but does not preclude subsequent tranches or modified terms. Investors' returns will depend partly on the issue price paid for notes purchased, whether in the initial offering or in secondary market transactions.

Secondary Market Liquidity and Listing Status

The filing describes the notes as having limited secondary market liquidity, with no exchange listing. Investors should understand that these notes are not traded on an exchange and rely on Goldman Sachs & Co. LLC or affiliated market makers to provide liquidity in the secondary market. The filing notes that GS&Co. is not obligated to make a market in the notes, meaning that if the company decides not to provide ongoing trading facilitation, investors may face difficulty selling their holdings prior to maturity.

This limited liquidity distinguishes these notes from listed securities and represents a material consideration for investors evaluating the investment. The term sheet discloses that secondary market pricing, when available, will be based on GS&Co.'s internal valuation models, which incorporate variables such as credit spreads, interest rates, volatility, and time to maturity. Investors considering early redemption or sale should factor in the lack of transparent market pricing and the possibility that pricing conditions may be unfavorable or that trading may not be available at all.

Registration and Regulatory Framework

The preliminary term sheet relates to an effective Registration Statement (No. 333-284538) filed under the Securities Act of 1933. The filing is made pursuant to Rule 424(b)(2), which governs pricing information for registered securities offerings. The notes are issued under a registration framework that includes a base prospectus dated February 14, 2025, a prospectus supplement dated February 14, 2025, and Product Supplement No. EQUITY MLI-4 dated January 20, 2026. This multi-document structure is standard for structured note offerings and ensures that investors have access to comprehensive risk disclosures.

The filing carries a standard SEC disclaimer noting that neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these securities or passed upon their accuracy or adequacy. The term sheet is marked "Subject to Completion," indicating that certain pricing and settlement details remain to be finalized. Investors are advised to review the full prospectus materials, including the risk factors section on pages TS-9 of the term sheet and PS-7 of the product supplement, along with the comprehensive considerations relating to indexed securities on page 101 of the accompanying prospectus.

Valuation Model Considerations and Mark-Up Structure

The economic terms of the notes, as disclosed in the filing, are based on multiple variables including Goldman Sachs' credit spreads, current and forecasted interest rates, volatility assumptions, price-sensitivity analysis, and time to maturity. These inputs directly influence the initial estimated value of the notes on the pricing date. The company acknowledges that the estimated value of between $9.25 and $9.55 per $10 principal amount reflects the application of GS&Co.'s pricing models and explicitly incorporates the company's credit spreads.

The gap between the estimated value and the $10 public offering price represents the embedded spread and underwriting economics. The filing discloses that in connection with market-making activities, GS&Co. will initially use pricing equal to approximately the estimated value plus an additional amount. The additional amount will be specified in final terms and will decline to zero on a straight-line basis from pricing through a date to be determined. This structure provides investors with visibility into how secondary market pricing will be constructed during the early holding period, distinguishing between intrinsic valuation and market-maker markup.

Minimum Purchase Requirements and Product Suitability

The filing notes that in connection with the initial offering of the notes, the minimum principal amount that may be purchased by any investor is specified, though the complete amount is not shown in the preliminary term sheet. This minimum purchase requirement limits the accessibility of the offering to smaller investors and suggests that the product is targeted at institutional or high-net-worth investors with sufficient capital to meet the stated threshold. The minimum purchase structure is typical for structured note offerings and reflects the dealer's view regarding appropriate investor segmentation.

The term sheet explicitly describes the notes as investment instruments suited for investors holding a bearish or neutral outlook on the Nasdaq-100 Index. The filing states that investors are purchasing notes to express a view that the Nasdaq-100 Index will either decline or increase only modestly over the fifteen-month maturity. This positioning indicates that Goldman Sachs has designed the product for a specific investor profile and risk appetite. Prospective purchasers should carefully evaluate whether their market outlook and risk tolerance align with the structured payoff profile, particularly given the exposure to significant capital loss if the Nasdaq-100 Index appreciates substantially.