Goldman Sachs Issues Leveraged Equity-Linked Notes Tied to Strategy Inc. Stock with 500% Upside Participation

Structural Design and Payment Mechanisms

The notes represent a complex structured product designed to provide leveraged equity exposure while incorporating a limited capital protection feature. According to the disclosure, the cash settlement amount at maturity depends on how Strategy Inc.'s stock price moves relative to the initial underlier level established on the trade date. The structure includes three distinct payment scenarios: if the final underlier level exceeds the initial level, investors receive the face amount plus returns amplified by the 500% upside participation rate, subject to a cap of $3,600 per $1,000 face amount. This participation multiplier means investors capture five times the positive return of the underlying stock.

When the final underlier level falls between the initial level and the trigger buffer level (defined as 50% of the initial level), investors receive the full $1,000 face amount with no additional return or loss. However, the disclosure states that if the final underlier level drops below the trigger buffer level, the structure provides no downside cushion. In this scenario, investors lose 1% of face amount for every 1% decline in the underlying stock below the initial level, with no maximum loss limitation. The filing explicitly states that investors "could lose your entire investment in the notes," underscoring the asymmetric risk profile of these securities.

Underlying Asset and Valuation Framework

The notes are linked to Strategy Inc. Class A common stock, identified in the disclosure by the Bloomberg ticker symbol "MSTR UW." The initial underlier level will be set on the trade date of July 31, 2026, using either an intra-day level or the closing level on that date. This valuation approach means the reference price for measuring performance is not known at the time investors make their purchase decision, introducing timing uncertainty into the investment structure. The final underlier level, established on the determination date of July 31, 2029, will be the closing stock price on that date, providing a three-year measurement period for assessing the notes' performance.

The disclosure indicates that the estimated value of the notes at the time terms are set on the trade date ranges from $925 to $955 per $1,000 face amount, which is materially less than the 100% original issue price. This immediate built-in loss reflects the value of the embedded options and the credit risk associated with the issuer and guarantor. Investors purchasing these notes at the original issue price of $1,000 would experience an immediate unrealized loss if they sought to liquidate in the secondary market shortly after issuance, assuming market conditions remain stable. Goldman Sachs & Co. LLC serves as the calculation agent responsible for determining all payment amounts and managing the technical mechanics of the notes.

Capital Structure and Guarantee Arrangements

GS Finance Corp. issues these notes with a full and unconditional guarantee provided by its parent company, The Goldman Sachs Group, Inc. This guarantee structure means that investors have two potential sources of repayment: the primary issuer and the guarantor entity. The notes are issued as senior debt under the GSFC 2008 indenture, dated October 10, 2008, as supplemented by subsequent amendments. The Bank of New York Mellon serves as the trustee for these instruments. The notes are issued in book-entry form and represented by master note no. 3, dated March 22, 2021, which simplifies settlement and custody arrangements for investors.

The original issue price is set at 100% of the face amount, with Goldman Sachs & Co. LLC receiving a 2.5% underwriting discount. Net proceeds to the issuer therefore amount to 97.5% of the face amount of notes sold. The disclosure notes that GS Finance Corp. may use this prospectus in the initial sale of the notes, and Goldman Sachs & Co. LLC or other affiliates of GS Finance Corp. may use the prospectus in secondary market-making transactions after initial issuance. Unless otherwise specified in a sale confirmation, investors should assume the prospectus is being used for a market-making transaction when these notes are traded in the secondary market.

Risk Profile and Downside Exposure

The notes expose investors to substantial downside risk that is not present in traditional fixed-income instruments. The disclosure explicitly warns that if Strategy Inc.'s stock price declines by more than 50%, investors will experience proportional losses of capital without any floor or minimum recovery amount. For instance, if the stock declines 60% below the initial level, investors would lose 60% of their principal investment. If the stock declines 100%, meaning Strategy Inc. becomes worthless, investors lose their entire investment. This unlimited downside contrasts sharply with the capped upside participation, creating an asymmetric risk-return profile that favors the issuer and guarantor.

Beyond equity market risk, investors face credit risk associated with both GS Finance Corp. and The Goldman Sachs Group, Inc. The notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other government agency, as the disclosure emphasizes. If either the issuer or guarantor experiences financial distress, the ability to receive scheduled payments could be impaired regardless of Strategy Inc.'s stock performance. The preliminary nature of this pricing supplement indicates that certain terms—including the aggregate face amount and the additional amount value—were not yet finalized at the July 22, 2026 filing date. These variables will be set on the trade date, meaning investors will not have complete information until very shortly before settlement.

Secondary Market Considerations and Return Variability

The disclosure explicitly addresses the difference between holding notes to maturity and liquidating them in the secondary market prior to the stated maturity date. If an investor sells notes before August 3, 2029, the return will depend on the market value at the time of sale rather than the predetermined maturity payoff amounts. Market value fluctuations may reflect changes in interest rates, volatility of Strategy Inc.'s stock, creditworthiness assessments of both GS Finance Corp. and The Goldman Sachs Group, Inc., and general market conditions. The estimated value range of $925 to $955 per $1,000 face amount suggests that secondary market values could decline significantly from the original issue price if market conditions shift adversely or if credit spreads widen.

The hypothetical examples provided in the disclosure illustrate potential outcomes at various Strategy Inc. stock price levels at maturity, assuming the notes are purchased on the original issue date at face amount and held to maturity. These examples are explicitly identified as illustrations only and should not be interpreted as predictions of actual results. The examples assume that neither a market disruption event nor a non-trading day occurs on the scheduled determination date, an assumption that may not hold in volatile market environments. Because actual returns depend heavily on purchase price, holding period, market conditions at exit, and Strategy Inc.'s actual performance, investors should recognize that results may differ materially from any illustrative scenarios.

Documentation and Regulatory Framework

This pricing supplement supplements four primary documentation components: General Terms Supplement No. 17,745 dated January 20, 2026, a Prospectus Supplement dated February 14, 2025, and a Prospectus dated February 14, 2025. The information in this July 22, 2026 pricing supplement supersedes any conflicting information in these underlying documents, though certain terms or features described in those documents may not apply to these specific notes. The notes are part of the Medium-Term Notes, Series F program of GS Finance Corp., which provides the broader framework for the issuance. The disclosure notes that GS Finance Corp. 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, and the company takes no responsibility for the reliability of any information provided from other sources.

The notes carry CUSIP number 40054XTM0 and ISIN US40054XTM01, enabling identification and trading in both domestic and international markets. The preliminary nature of this pricing supplement, indicated by the "Subject to Completion. Dated July 22, 2026" language, reflects SEC requirements for pre-pricing disclosures of structured products. This format allows the issuer to finalize specific terms such as the exact face amount and pricing details on the trade date while providing investors with complete structural and risk information in advance. The prospectus and its supplements comply with SEC Rule 424(b)(2) registration requirements for these securities.

Interest, Maturity Terms, and Settlement Mechanics

Unlike traditional bonds, these notes do not bear periodic interest payments. All returns to investors—whether positive, neutral, or negative—depend exclusively on Strategy Inc.'s stock performance and are paid as a single lump sum at maturity. The stated maturity date is August 3, 2029, with the determination date for final stock price assessment being July 31, 2029, allowing a brief settlement window. The original issue date is August 5, 2026, providing investors with the precise timing for when these securities are officially created. The trade date of July 31, 2026 is when the initial underlier level will be established, defining the baseline price against which all subsequent performance is measured.

Settlement is conducted on a cash basis only; investors receive no physical delivery of Strategy Inc. shares or alternative assets. On the stated maturity date, GS Finance Corp. will pay the calculated cash settlement amount directly to investors. The calculation mechanism depends entirely on comparing the final underlier level to the initial underlier level, with the resulting percentage change applied according to the participation rate, trigger buffer, and maximum settlement amount rules. The three-year investment horizon from trade date through maturity provides a fixed time frame for capturing the anticipated equity exposure, though secondary market transactions could truncate or extend the actual holding period for any given investor.

Comparative Valuation and Pricing Efficiency

The disclosure indicates that the estimated value of these notes on the trade date—$925 to $955 per $1,000 face amount—is substantially less than the 100% original issue price. This $45 to $75 per $1,000 valuation gap reflects the cost of the embedded options, the credit spreads applied to the issuer and guarantor, and the compensation retained by the underwriter. The 2.5% underwriting discount further reduces net proceeds to 97.5% of face amount, meaning investors effectively pay a 2.5% commission upfront while purchasing notes valued at approximately 92.5% to 95.5% of par on the secondary market. The disclosure describes an "additional amount" field and "additional amount end date" as unfilled placeholders, indicating these terms would be finalized on the trade date.

For investors considering secondary market purchases after initial issuance, the valuation metrics become critical. If market conditions remain stable, these notes would trade in a range reflecting their fair value based on updated interest rate environments, implied volatility of Strategy Inc. stock, and credit assessment changes. If interest rates rise or volatility expectations decline, secondary market values could appreciate above the initial estimated range. Conversely, if interest rates fall or volatility expectations increase, or if Goldman Sachs' creditworthiness assessment deteriorates, secondary market values could compress further below the already-discounted initial estimates.

Investor Suitability and Disclosure Adequacy

The disclosure emphasizes multiple times that investors face the possibility of losing their entire investment, positioning these notes as appropriate only for investors with substantial risk tolerance and capital they can afford to lose completely. The complex payment structures, the leveraged upside exposure combined with unlimited downside, the three-year holding period, and the credit risk of both the issuer and guarantor collectively create an investment profile suitable only for sophisticated investors. The preliminary pricing supplement format allows the SEC and investors time to review the complete terms and conditions before the notes are formally priced and sold, providing a structured review process for these complex securities.

The disclosure notes that neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved these securities or passed on the accuracy or adequacy of the prospectus documentation. The company further clarifies that the notes are not bank deposits, are not FDIC-insured, and are not obligations of or guaranteed by any bank. These clarifications distinguish the notes from traditional banking products and establish that investors are relying on the credit of The Goldman Sachs Group, Inc. for their guarantee protection. The filing structure and language demonstrate compliance with SEC disclosure requirements while clearly delineating the risks and mechanics that investors must understand before committing capital.