Goldman Sachs Launches $1.481 Billion Autocallable Index-Linked Notes With Momentum Strategy Focus

Structural Design of the Goldman Sachs Momentum Builder Notes

The notes issued by GS Finance Corp. incorporate an automatic call mechanism with escalating thresholds that differentiate them from conventional fixed-income securities. Beginning on July 16, 2027, the notes will be subject to call observation on an annual basis, with the call level increasing each year. If the closing level of the Goldman Sachs Momentum Builder Focus ER Index meets or exceeds the applicable call level on any observation date, the issuer will automatically redeem the notes on the corresponding call payment date. For example, the initial call level on July 16, 2027, is set at 100.60% of the initial index level, with a call premium of 10.80%, while the final call level on July 16, 2032, reaches 103.60% of the initial index level, with a corresponding premium of 64.80%.

At maturity, if the notes have not been called earlier, investors will receive payment based on index performance. The filing states that if the final index level exceeds the initial index level of 113.74, investors receive their full principal of $1,000 per note plus 100% participation in the index gains. However, if the final index level equals or falls below the initial level, investors receive only their principal back, with no downside protection below that point. The notes are not interest-bearing, which means investors receive no coupon payments throughout the seven-year term.

Index Methodology and Volatility Management Framework

The Goldman Sachs Momentum Builder Focus ER Index, which underlies these notes, employs a sophisticated daily rebalancing methodology designed to provide exposure to the strongest-performing asset classes while maintaining controlled volatility. The index's base composition includes up to nine underlying indices covering focused U.S. equities, other developed market equities, developed market fixed income assets, emerging market equities, and commodities, alongside a money market position that accrues interest at the federal funds rate. The disclosure indicates that the base index rebalances each business day according to historical returns of these underlying assets, subject to predefined rules and constraints, including a realized volatility limit and minimum and maximum asset and asset class weights.

The index incorporates two primary risk management features. First, a realized volatility control mechanism set at 5% reduces exposure to the base index and allocates capital to non-interest-bearing cash positions when volatility thresholds are exceeded. Second, a momentum risk control feature limits the index's overall volatility level by reducing exposure to assets exhibiting the weakest price momentum. The filing notes that a very significant portion of the index has been, and may be in the future, allocated to the return-based money market position and non-interest-bearing cash positions. Additionally, the index is subject to a daily deduction equal to the federal funds rate on the base index return, plus a 0.65% annual deduction applied to the entire index. These combined deductions mean that any aggregate exposure to the money market or cash positions will reduce index performance on a pro rata basis by 0.65%.

Pricing and Valuation Details for Investors

The notes were priced at par, with an original issue price of 100% of the face amount, representing $1.481 billion in aggregate. The underwriting discount applied by Goldman Sachs & Co. LLC totaled 4.625% of the face amount, resulting in net proceeds to the issuer of 95.375% of face amount. The pricing supplement, dated July 16, 2026, reflects the trade date at which the terms were established and the initial index level was determined at 113.74, calculated as either an intra-day level or the closing level of the index on the trade date, subject to adjustments if that date was not a trading day.

The filing discloses that the estimated value of the notes on the trade date was $891 per $1,000 face amount, which is less than the original issue price of $1,000, reflecting the value of embedded features and market conditions at pricing. An additional amount of $62.75 with an additional amount end date of October 15, 2026, was noted in the disclosure. This pricing structure means investors paying the full $1,000 face amount are acquiring notes with an estimated market value below par at inception, a common feature in structured products where embedded call options and other features are reflected in the trade pricing.

Guarantee Structure and Credit Risk Considerations

The notes issued by GS Finance Corp. are fully and unconditionally guaranteed by The Goldman Sachs Group, Inc., its parent company. This guarantee means that investors have recourse to The Goldman Sachs Group in the event GS Finance Corp. cannot meet its payment obligations. However, the guarantee does not eliminate credit risk; it transfers that risk to the parent entity. Investors in these notes are exposed to the creditworthiness of both GS Finance Corp., the direct issuer, and The Goldman Sachs Group, Inc., the guarantor. The filing emphasizes that investors should carefully review the terms and risks of the investment, particularly the credit risk associated with both entities.

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, according to the disclosure. This notation clarifies that despite the involvement of a major financial institution, these securities carry market risk and issuer credit risk without the protection afforded to traditional bank deposits. Investors relying on the guarantee should understand that the value of that guarantee depends entirely on the financial condition and willingness of The Goldman Sachs Group, Inc., to honor its guarantee obligations.

Terms and Conditions Governing Note Redemption

The automatic call feature embedded in these notes creates a structured path for early redemption that investors must understand. On each annual call observation date beginning July 16, 2027, the calculation agent, which is Goldman Sachs & Co. LLC, will monitor the closing level of the index. If that closing level meets or exceeds the applicable call level for that year, the issuer will redeem all outstanding notes on the corresponding call payment date, paying $1,000 of principal plus the applicable call premium for each $1,000 of face amount held. The call premiums increase annually from 10.80% in year one to 64.80% in year six, creating an incentive structure where longer-dated calls offer higher returns if exercised.

The determination date for establishing the final index level, should the notes not be called early, is set for July 19, 2033, with a stated maturity date of July 22, 2033. If the notes remain outstanding through this date, the final payment amount will depend entirely on whether the index has appreciated beyond the initial level of 113.74. The filing makes clear that all call observation and payment dates are subject to adjustment as described in the accompanying index supplement, meaning the actual dates could potentially shift based on market holidays or other contingencies outlined in the full prospectus documentation.

Distribution, Underwriting, and Secondary Market Considerations

Goldman Sachs & Co. LLC served as underwriter for the initial distribution of these notes, with pricing conducted on July 16, 2026, and the original issue date set for July 21, 2026. The filing indicates that GS Finance Corp. may use the prospectus in the initial sale of the notes, and Goldman Sachs & Co. LLC or any other affiliate of GS Finance Corp. may use the prospectus in market-making transactions in the notes after their initial sale. The disclosure notes that unless GS Finance Corp. or its agent informs the purchaser otherwise in the confirmation of sale, the prospectus is being used in a market-making transaction, which means secondary market transactions may involve affiliated parties.

The 4.625% underwriting discount, which comprises the fees paid to Goldman Sachs & Co. LLC, represents a significant portion of the initial cost structure. This discount reduces net proceeds to the issuer and effectively increases the cost basis for initial investors. The filing states that the company may decide to sell additional notes after the initial offering date at issue prices and with underwriting discounts and net proceeds that differ from the amounts disclosed. Investors should be aware that notes purchased in secondary market transactions may be at prices significantly different from the $1,000 par price, affecting the overall return profile of the investment.

Index Components and Asset Class Exposure

The Goldman Sachs Momentum Builder Focus ER Index provides exposure across a diversified range of asset classes through its daily rebalancing methodology. The index encompasses focused U.S. equities, developed market equities outside the United States, developed market fixed income securities, emerging market equities, and commodities. Additionally, the index maintains a position in money market assets that accrue interest at the federal funds rate, creating a cash component that fluctuates based on Federal Reserve policy. The daily rebalancing mechanism adjusts exposure across these asset classes based on their historical returns, subject to the predefined constraints outlined in the index methodology.

The index's focus on momentum—defined as exposure to assets with the strongest recent price performance—creates a dynamic allocation that shifts as relative performance changes. The filing describes the index as measuring "a portfolio generating the highest historical returns" subject to volatility and momentum constraints. This approach means the index allocation will concentrate more heavily in asset classes or indices that have recently outperformed, potentially creating higher upside capture during periods when momentum strategies work well. However, the volatility controls and momentum risk management features are designed to limit losses when that momentum reverses or when volatility spikes.

Deductions, Fees, and Performance Impact

Investors in these notes should carefully account for the various deductions that reduce index performance and thus the ultimate payoff at maturity. The filing specifies that the base index daily return is subject to a deduction equal to the federal funds rate, and additionally, the entire index is subject to a 0.65% per annum deduction accruing daily. The net effect of these deductions means that any aggregate exposure to the money market position or non-interest-bearing cash positions will reduce overall index performance on a pro rata basis by 0.65%. For a note holder, this represents a continuous drag on returns regardless of market performance, as the 0.65% annual deduction applies to the full index value throughout the seven-year term.

The cumulative impact of the 0.65% annual fee over seven years represents a material reduction in potential returns, particularly in low-return or stable market environments. If the index were to deliver flat or modest positive returns over the holding period, the deductions would consume a significant portion of gains. The filing notes that a very significant portion of the index may be allocated to the money market position and non-interest-bearing cash positions, which means the actual fee impact could be even higher when volatility-driven reallocations increase cash holdings. Investors should model various index return scenarios to understand how these deductions might affect their realized returns across different market environments.

Regulatory Approval Status and Investment Risk Framework

The filing includes explicit language stating that neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of the prospectus. The disclosure further notes that any representation to the contrary is a criminal offense, underscoring the regulatory environment in which these structured products operate. The notes are not guaranteed by any governmental agency, nor are they bank deposits or FDIC-insured, which means investors face full market and credit risk on their capital.

Structured notes such as these involve multiple layers of embedded risk that investors must evaluate carefully. Beyond the credit risk of the issuer and guarantor, investors face market risk related to the underlying index, complexity risk arising from the automatic call feature and volatility management mechanisms, and liquidity risk, as the secondary market for these specific notes may be limited. The pricing supplement directs investors to review comprehensive disclosure documents including the index supplement, prospectus supplement dated February 14, 2025, and the base prospectus dated February 14, 2025, to fully understand all terms, conditions, and risks associated with the investment.