Goldman Sachs Issues Leveraged S&P 500 Futures Notes With 8x Upside Participation and Monthly Call Feature

Index-Linked Structure and Performance Mechanics

The notes derive their value from the S&P 500 Futures Excess Return Index, which tracks the performance of E-mini S&P 500 futures contracts rather than the underlying S&P 500 Index itself. The disclosure states that returns on futures contracts are correlated with, but not identical to, returns on the securities underlying such contracts. This distinction is material for investors evaluating expected performance, as futures-based indices may exhibit different volatility, cost structures, and price discovery mechanisms compared to traditional equity indices.

The return calculation applies a fixed leverage factor of 8x to any positive index returns measured from the trade date to the determination date. If the final index level exceeds the initial level established on the trade date, investors receive $1,000 plus the product of $1,000 multiplied by eight times the index return for each note. Conversely, if the final index level equals or falls below the initial level, investors receive only the $1,000 face amount regardless of how far the index declines. This asymmetric payoff structure caps losses while amplifying gains, creating a defined-risk exposure to leveraged equity market movements.

Pricing and Initial Valuation Parameters

The disclosure indicates that the estimated value of the notes at the time terms are set on the trade date is expected to fall between $885 and $925 per $1,000 face amount, reflecting a discount to par. This valuation incorporates Goldman Sachs' proprietary pricing models and the firm's credit spreads. The gap between the $1,000 original issue price and the lower estimated value reflects the cost of the embedded call feature, leverage, index exposure, and the credit risk of both GS Finance Corp. and its guarantor, The Goldman Sachs Group, Inc.

Goldman Sachs & Co. LLC reserves discretion regarding market-making activities and pricing spreads. The filing discloses that if the firm makes a market in the notes, it would initially buy or sell them at prices incorporating the estimated value plus an additional amount that declines on a straight-line basis over a specified period. After that amortization period, secondary market prices would reflect only the then-current estimated value determined by Goldman Sachs' pricing models, absent customary bid-ask spreads. This tiered pricing approach creates potential for mark-to-market fluctuations that may diverge from intrinsic index-linked value, particularly for investors seeking to exit positions early.

Guaranteed Structure and Credit Considerations

The notes are issued by GS Finance Corp. and carry a full and unconditional guarantee from The Goldman Sachs Group, Inc., placing investors' recovery in the event of issuer default on the strength of Goldman Sachs' creditworthiness. The disclosure explicitly states that the notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation, and are not obligations of any bank. This clarification is material because it establishes that investors bear both market risk from index performance and credit risk from the Goldman Sachs enterprise.

The guarantor structure provides a second layer of obligor strength but does not eliminate the risk that both GS Finance Corp. and The Goldman Sachs Group could face financial distress simultaneously. The filing references that the prospectus contains additional discussion of credit risk on page PS-10, indicating that risk factors beyond index performance warrant careful review. Investors should recognize that the full return of principal protection depends on the issuer and guarantor remaining solvent through the maturity date, while the leveraged upside depends on both index performance and issuer solvency.

Redemption Rights and Callable Feature

GS Finance Corp. retains the unconditional right to redeem the notes on any monthly call payment date beginning in July 2027 and ending in June 2033 at 100% of face amount plus a call premium. The filing states that specific call payment dates and applicable call premium amounts are detailed on page PS-4 of the pricing supplement, though those specific figures are not disclosed in this preliminary document. This feature allows Goldman Sachs to terminate the investors' exposure and return capital plus a premium if market conditions prove disadvantageous to the firm's hedging position.

The callable feature introduces reinvestment risk and early termination of leverage exposure. If market conditions drive strong positive index returns, Goldman Sachs has economic incentive to exercise the call, capping investors' gains at the call premium amount. Conversely, if index performance is flat or negative, the call is unlikely to be exercised, leaving investors exposed to the index structure. This dynamic asymmetry favors the issuer and creates a contingent liability for note holders that must be weighed against the initial pricing discount. Investors should monitor each monthly call date beginning in July 2027 to assess the likelihood of early redemption based on market conditions.

Futures-Based Underlier Versus Traditional Index Exposure

The exclusive reliance on the S&P 500 Futures Excess Return Index introduces tracking differences and structural differences relative to traditional S&P 500 Index exposure. E-mini S&P 500 futures contracts exhibit different settlement mechanics, margin requirements, roll procedures, and funding costs compared to the securities underlying the standard S&P 500 Index. The excess return calculation means the index strips out the risk-free rate or cash return component, focusing purely on the appreciation or depreciation of futures contract values. This structure may yield returns that diverge meaningfully from direct equity index exposure, particularly during periods of elevated interest rates, volatility spikes, or liquidity dislocations in futures markets.

The filing discloses that the index may be replaced or adjusted from time to time as provided in the underlying supplement documents. This flexibility grants Goldman Sachs the ability to substitute the underlier if the original index becomes unavailable or impractical to use, introducing basis risk and potential structural changes to note economics without investor consent. Investors should review the full supplement dated June 24, 2026, to understand the conditions and constraints surrounding potential underlier replacements and adjustments.

Issue Timeline and Settlement Mechanics

The preliminary pricing supplement is dated July 20, 2026, subject to completion of pricing terms. The expected trade date is July 24, 2026, with an original issue date expected July 29, 2026, and a stated maturity date expected July 28, 2033. These dates establish the initial index level reference point and the final measurement date for determining whether the index return is positive, zero, or negative. The seven-year maturity window provides a sustained exposure period to the leveraged futures index, but investors should note that all dates are subject to change pending completion of pricing and may shift based on market conditions or regulatory requirements.

The notes will be issued in book-entry form and represented by master note no. 3 dated March 22, 2021, under the GSFC 2008 indenture, as supplemented. This legal structure places the notes in a defined debt hierarchy and establishes trustee oversight through The Bank of New York Mellon. Settlement and clearing procedures are governed by the referenced indenture documents, which specify investor rights, remedies in default scenarios, and modification procedures. Investors acquiring these notes should review the complete indenture documentation to understand their contractual rights and limitations.

Authorized Denominations and Aggregate Face Amount

The notes are authorized for issuance in denominations of $1,000 or any integral multiple thereof in excess of $1,000. The preliminary pricing supplement does not disclose the specific aggregate face amount to be issued on the original issue date, as this figure is subject to completion at pricing. The disclosure notes that GS Finance Corp. retains the sole option to sell additional notes on dates subsequent to the trade date at potentially different issue prices and underwriting discounts, creating flexibility in the total size of the offering. This optionality means that final aggregate issuance may exceed initial tranches, affecting liquidity and secondary market depth for investors seeking to trade the notes before maturity.

Investors should understand that their individual note purchase price and the overall market depth for trading depend partly on the final aggregate amount issued. Larger offerings typically enhance liquidity but may require lower pricing incentives, while smaller offerings may result in wider bid-ask spreads in secondary markets. The preliminary pricing supplement indicates that net proceeds to the issuer will be disclosed once pricing terms are finalized, and the underwriting discount percentage is also pending completion. These financial terms materially affect the economic value chain and should be reviewed in the final pricing supplement before purchase decisions are made.

Supplemental Documentation and Prospectus Components

The offering is structured under the Medium-Term Notes, Series F program of GS Finance Corp. and incorporates multiple supplemental documents and prospectus supplements that together form the complete disclosure package. The filing references General Terms Supplement No. 17,745 dated January 20, 2026; the June 2026 S&P 500 Futures Excess Return Index supplement dated June 24, 2026; Underlier Supplement No. 49 dated June 24, 2026; a Prospectus Supplement dated February 14, 2025; and the base Prospectus dated February 14, 2025. The filing explicitly states that information in the pricing supplement supersedes conflicting information in the referenced documents and that some terms described in the listed documents may not apply to these specific notes.

This layered documentation structure requires investors to cross-reference multiple documents to obtain a complete understanding of note terms, risks, and operational mechanics. The distinction between the base prospectus, prospectus supplement, underlier-specific supplement, and pricing supplement creates a comprehensive but complex disclosure framework. Risk discussions including credit risk are referenced as appearing elsewhere in the prospectus documentation, specifically on page PS-10, indicating that a thorough review of all referenced documents is necessary before making an investment decision. Investors should request all applicable supplements and prospectus documents from Goldman Sachs or their financial advisor to ensure complete access to material information.

Underwriting Arrangements and Distribution Terms

Goldman Sachs & Co. LLC acts as the primary distributor and underwriter for the notes. The preliminary pricing supplement indicates that the underwriting discount and net proceeds percentages are pending completion of pricing, with the company noting that certain investors may receive different original issue prices due to fee arrangements. The filing references "Supplemental Plan of Distribution; Conflicts of Interest" on page PS-22 for detailed information regarding fee composition and investor-specific pricing arrangements. This tiered pricing structure reflects market practice for institutional distributions where anchor investors or preferred clients may receive pricing advantages relative to retail purchasers.

The filing clarifies that Goldman Sachs & Co. LLC or other Goldman Sachs affiliates may use the prospectus in market-making transactions after initial sale, and that unless the purchaser receives notice otherwise in the confirmation, secondary transactions should be presumed to be market-making activities. This disclosure establishes that Goldman Sachs maintains significant ongoing economic interest in the notes beyond the initial underwriting spread, potentially creating conflicts of interest in its capacity as market maker and pricing agent. Investors should be aware that Goldman Sachs' market-making pricing may diverge from independent third-party valuations and that the firm has incentives regarding early call exercise and secondary market liquidity management that may not align with investor objectives.