Goldman Sachs Launches Five-Year Autocallable Notes Linked to Technology and Small-Cap Equity Performance

Structure and Underlying Performance Mechanics

The notes are structured as an autocallable instrument with contingent monthly coupons tied to three separate underliers. The disclosure specifies that the Nasdaq-100 Technology Sector Index, the Russell 2000 Index, and the VanEck Semiconductor ETF serve as the performance benchmarks for determining both coupon payments and whether the notes will be automatically called before maturity. The company has chosen to link the notes to the VanEck Semiconductor ETF itself rather than to the underlying semiconductor industry index that the ETF tracks, creating a direct dependency on that specific fund's performance.

The mechanism rewards investors whose chosen underliers remain strong through the five-year term. If all three underliers close at or above their initial levels on any call observation date starting January 25, 2027, the notes will be automatically called and investors will receive $1,000 face value plus any coupon then due. However, the structure places substantial risk on investors, as the final payment at maturity is determined by the weakest-performing underlier, not the strongest. This "worst of" construction means that even if two underliers perform well, poor performance by a single underlier can result in substantial losses.

Coupon Payment Conditions and Monthly Distribution Schedule

The disclosure indicates that coupon payments of $17.084 per $1,000 face amount—equivalent to 1.7084% monthly or approximately 20.50% annually—will be paid on each coupon payment date, but only if all three underliers close at or above their respective coupon trigger levels on the related observation date. The coupon trigger level for each underlier has been set at 60% of its initial level. This contingency creates a binary outcome: investors either receive the full coupon payment or receive nothing for that month, with no partial coupon adjustments.

The notes commence their coupon payment schedule on August 27, 2026, following the first coupon observation date of August 24, 2026. Thereafter, monthly coupon observation dates and payment dates are scheduled through the maturity date, with the final coupon observation occurring on June 24, 2031, and the final payment scheduled for July 29, 2031. The disclosure provides a complete schedule of all 60 coupon observation and payment dates over the five-year term, allowing investors to plan around these regular cash flow events. However, if the automatic call feature is triggered at any point during the holding period, the coupon payment stream will terminate and investors will receive their principal plus the final coupon.

Principal Repayment and Maturity Value Calculations

At maturity, assuming the notes have not been automatically called, the principal repayment structure depends critically on the performance of the weakest-performing underlier. If the final closing level of each underlier is greater than or equal to its trigger buffer level of 60% of the initial level, investors will receive full face value of $1,000 per note. However, if any underlier closes below its 60% trigger buffer level, the maturity payment will be reduced by the percentage decline of the worst-performing underlier, potentially resulting in substantial losses.

The maturity value formula applies the lesser performing underlier return—calculated as the change in final level versus initial level divided by the initial level—to determine the cash settlement amount. This structure means that if the weakest underlier declines by 50%, investors would receive only $500 per $1,000 face amount of notes. The disclosure explicitly warns that investors could lose their entire investment in the notes, reflecting the possibility that an underlier could fall to zero or near-zero levels during the five-year term. This tail risk is a material consideration for potential investors evaluating the notes' risk-reward profile.

Valuation and Pricing Economics at Issuance

The pricing supplement discloses that Goldman Sachs estimated the value of the notes on the trade date to be between $885 and $925 per $1,000 face amount, representing a meaningful discount to the 100% original issue price. This valuation gap reflects the embedded costs of the derivative features, the contingent coupon structure, and the credit risk associated with both GS Finance Corp. and its guarantor, The Goldman Sachs Group, Inc. The disclosure notes that this estimated value is less than the original issue price, requiring that an additional amount and additional amount end date be disclosed, though the specific figures for these items were not completed in the preliminary pricing supplement.

The underwriting discount as a percentage of face amount and the net proceeds to the issuer as a percentage of face amount were similarly left blank in the preliminary document, pending completion at pricing. The disclosure advises that these economics may differ if additional notes are sold after the initial issuance date, and that market-making transactions in the notes after initial sale may occur at prices different from the original issue price. Investors are cautioned that the return on their investment will depend in part on the issue price they pay, with purchases at secondary market prices potentially offering different economic outcomes than the initial public offering price.

Guarantor Credit Standing and Note Security Features

The notes are fully and unconditionally guaranteed by The Goldman Sachs Group, Inc., meaning that investors have recourse to Goldman Sachs' balance sheet and creditworthiness in the event that GS Finance Corp. fails to perform its obligations. However, the disclosure explicitly states that the notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation, and are not guaranteed by any bank. This clarification emphasizes that investors are extending unsecured credit to both entities and bear their full credit risk in addition to the market risk tied to the three underliers.

The notes are part of the Medium-Term Notes, Series F program of GS Finance Corp., indicating this issuance is part of an established debt financing framework. The disclosure references multiple supporting documents including general terms supplement no. 17,745 dated January 20, 2026, industry-specific supplements for the Nasdaq-100 Technology Sector Index and the VanEck Semiconductor ETF underliers, and the base prospectus dated February 14, 2025. Investors are advised to read the complete prospectus documents in conjunction with this pricing supplement to fully understand the terms, conditions, and risks applicable to the notes.

Calculation Methodology and Role of Goldman Sachs as Calculation Agent

Goldman Sachs & Co. LLC has been appointed as the calculation agent responsible for determining underlier levels, calculating returns, and confirming whether coupon, call, and maturity conditions have been satisfied. The calculation agent's determinations are binding on all parties unless demonstrated to contain a manifest error. The disclosure provides detailed definitions for each key metric: initial underlier level is established on the trade date, final underlier level is the closing level on the determination date of July 24, 2031, and underlier return is calculated as the percentage change from initial to final level.

The lesser performing underlier return, which serves as the basis for any maturity payment reduction, is explicitly defined as the return of the underlier with the lowest return among the three. This construction concentrates downside risk on the single weakest performer, creating a mathematical bias toward capital loss if market conditions weaken broadly across equities and semiconductor stocks during the note's five-year term. The calculation methodology is standard for structured products but requires investors to understand that their fate is tied to the worst-case scenario, not an average or best-case outcome.

Automatic Call Feature and Early Redemption Dynamics

The automatic call feature represents a critical structural element that can terminate the notes and return capital to investors prior to the stated maturity date if market conditions remain favorable. The notes will be automatically called on any call payment date if all three underliers close at or above their respective initial underlier levels on the related call observation date. Call observation dates begin on January 25, 2027—approximately six months after issuance—and continue monthly through June 24, 2031. This feature benefits investors if the underlying equity indices and semiconductor ETF experience sustained strength, allowing them to recapture capital and redeploy it before the full five-year term elapses.

However, the automatic call feature also presents a timing risk for investors. If the notes are called during a period of positive market performance, investors will have received monthly coupons up to that point but will forego any further appreciation if the underliers continue to rally. Conversely, if markets turn negative after an early call, investors who had planned for the full five-year coupon stream will find themselves out of the market. The disclosure does not provide any guidance on the probability of call occurring, as this would depend on future market performance. Investors should recognize that the automatic call structure may limit upside capture while preserving downside exposure if markets reverse course after the notes are called.

Technology Sector and Small-Cap Equity Exposure

The selection of the three underliers provides investors with direct exposure to technology stocks and small-capitalization equity performance. The Nasdaq-100 Technology Sector Index captures the largest technology companies listed on the Nasdaq exchange, while the VanEck Semiconductor ETF provides focused exposure to semiconductor manufacturers and related companies. The Russell 2000 Index offers exposure to small and mid-capitalization U.S. stocks, a segment of the market that often exhibits different volatility and performance characteristics than large-cap indices.

The disclosure emphasizes that returns on the notes are linked to the VanEck Semiconductor ETF itself rather than to the underlying semiconductor industry index that the ETF tracks. This distinction means that note investors bear the tracking error, fees, and fund-specific risks associated with the ETF wrapper, not just exposure to the underlying semiconductor sector. The combined exposure to technology mega-caps, semiconductors, and small-cap equities creates a portfolio dependency that may be advantageous during periods of broad equity strength but creates concentrated downside risk if these specific market segments experience sustained underperformance relative to the broader market or bond markets.

Risk Disclosure and Total Loss Potential

The disclosure places explicit warnings about loss potential at the forefront of the offering document. The cover page states in prominent language that "you could lose your entire investment in the notes," a risk that arises if any of the three underliers declines sufficiently during the five-year term. Unlike traditional notes or bonds, where investors recover a portion of principal even in default scenarios, these structured notes offer no floor beneath losses if market performance is adverse. An investor who purchases the notes at par ($1,000 per note) could theoretically receive $0 at maturity if an underlier declines to zero or near-zero levels.

Additional risks embedded in the structure include contingent coupon non-payment, automatic call risk, credit risk of the guarantor, and market risk tied to three different equity indices and an ETF. The notes also face liquidity risk; while Goldman Sachs has indicated it may engage in market-making transactions after initial sale, there is no guarantee of secondary market liquidity at attractive prices. Investors should also consider interest rate risk, as the fixed coupon payments become less attractive if prevailing interest rates rise, potentially depressing secondary market values. The disclosure references supplemental documents and the base prospectus for additional risk disclosures, implying that material risks may be articulated in documents beyond this pricing supplement.

Registration and Regulatory Status

The notes are being offered pursuant to a registration statement numbered 333-284538, filed with the Securities and Exchange Commission. The pricing supplement itself is a preliminary document marked "subject to completion," indicating that certain terms and conditions were not finalized at the time of the July 17, 2026 filing. Final terms were expected to be set on the trade date of July 24, 2026, with the original issue date following on July 29, 2026. The preliminary status explains why specific fields such as the aggregate face amount, additional amount, additional amount end date, underwriting discount percentage, and net proceeds percentage were left blank in the filed document.

The disclosure includes a standard SEC disclaimer stating that neither the SEC nor any other regulatory body has approved or disapproved of the securities or passed upon the accuracy or adequacy of the prospectus. The document confirms that the notes are not bank deposits and do not carry FDIC or other governmental agency insurance. This regulatory framing is standard for structured products but serves to remind investors that they are purchasing derivatives subject to market and credit risk, not traditional debt securities or deposit products. The prospectus framework and registration statement provide investors with access to the legal documents governing the notes, though the complexity of the linked documentation means that thorough due diligence may require engagement of investment professionals.