Goldman Sachs Finance Issues $8.3 Million S&P 500-Linked Structured Notes Featuring 20% Downside Buffer and 53% Return Cap

Index-Linked Notes Structure and Payoff Details

These unsecured notes issued by GS Finance Corp. and unconditionally guaranteed by The Goldman Sachs Group, Inc. offer a structured return linked directly to the S&P 500Index performance. The payoff depends on the final index level relative to the initial 7,509.20 level set on July 21, 2031. Investors earn returns by multiplying the index's percentage change by a 1.50x gearing factor, capped at $15.30 per $10 face amount, representing the 53% maximum return.

Downside protection is structured in three scenarios: if the final index level exceeds the initial, investors receive the capped upside; if it declines but stays above 80% of the initial level, investors recover full principal, providing a 20% buffer; if the index closes below 80%, investors incur losses dollar-for-dollar beyond the buffer, e.g., a 30% index drop results in a 10% principal loss.

Pricing and Valuation at Issuance

Priced on July 21, 2026, with an issue date of July 24, 2026, the notes were offered at 100% of face value. Goldman Sachs pricing models estimated their value at approximately $9.60 per $10 face amount, reflecting a $0.40 discount due to embedded option costs from gearing and downside buffer features.

Goldman Sachs & Co. LLC established an initial additional amount of $0.35 per $10 face amount above estimated value, declining linearly to zero by January 21, 2027. Thus, investors paid about $0.75 per $10 face amount above estimated market value initially, with this premium reducing over six months post-issuance. After January 21, 2027, secondary market pricing is expected to align solely with updated estimated values.

Investor Risks and Credit Considerations

The securities carry significantly higher risk than typical debt, as GS Finance Corp. may not repay principal if the index performs poorly. Investors face combined equity market risk subject to the 20% buffer and credit risk of both GS Finance Corp. and The Goldman Sachs Group, Inc. Losses could reach up to 80% if the index falls to zero, with principal reductions occurring beyond the buffer.

The contingent principal repayment differentiates these notes from standard fixed-income instruments. The Goldman Sachs Group's guarantee covers principal and coupon payments but depends on its creditworthiness. These unsecured obligations lack FDIC protection and rely solely on issuer credit quality. Investors must evaluate index performance and counterparty credit risk over the five-year term.

Underwriting and Net Proceeds Distribution

Issued at par with a 3.50% underwriting discount, the offering netted 96.50% of face value. For the $8,299,890 issuance, underwriting fees totaled approximately $2,904,962, split between Goldman Sachs & Co. LLC as lead underwriter and UBS Financial Services Inc. as selling agent. Goldman Sachs & Co. LLC led distribution, with UBS as a secondary distributor.

GS Finance Corp. may issue additional securities later at different prices and discounts, potentially affecting returns for initial investors. The 96.50% net proceeds apply only to this tranche, allowing flexibility to adjust terms for future issuances with the same index linkage and maturity.

Index Benchmarking and Initial Conditions

The notes are linked exclusively to the S&P 500Index, referenced by Bloomberg ticker SPX. The initial index level of 7,509.20 was set on July 21, 2026, serving as the baseline for all return calculations. This closing value on the pricing date determines whether investors receive positive returns, full principal, or losses at the July 21, 2031 maturity.

Returns are measured solely against this initial level, with no benefit from interim index appreciation. The five-year term uses a single final comparison point, focusing investment outcomes on the closing index level at maturity. The S&P 500 is a widely tracked benchmark providing transparent pricing throughout the holding period.

Program and Legal Documentation Overview

These securities are part of GS Finance Corp.'s Medium-Term Notes, Series F program, which governs structured debt issuance with various index linkages and payoffs. Supporting documents include general terms supplement #17,745 (January 20, 2026), underlier supplement #49 (June 24, 2026), and prospectus supplements dated February 14, 2025. These establish investor rights and procedural rules for the five-year term.

Issued under the senior debt indenture dated October 10, 2008, and the First Supplemental Indenture (February 20, 2015), the notes benefit from The Goldman Sachs Group's unconditional guarantee. The pricing supplement overrides conflicting terms in other documents. Investors should review all materials to understand applicable terms and potential deviations.

Secondary Market Liquidity and Pricing

Goldman Sachs & Co. LLC may make a secondary market for these notes but is not obligated to do so. Initial secondary prices exclude customary bid-ask spreads and approximate estimated value plus the $0.35 per $10 face amount premium until January 20, 2027. After this date, prices are expected to reflect only current estimated values.

Liquidity and pricing availability are not guaranteed. Market conditions, credit spreads, and index volatility will affect bid-ask spreads. Investors should not assume consistent two-way pricing or that secondary prices will match initial terms, especially during market stress or if The Goldman Sachs Group's credit deteriorates.

Return Cap and Upside Limitations

The notes cap total returns at $15.30 per $10 face amount, equating to a 53% maximum return. This cap limits gains regardless of how much the S&P 500 appreciates above the initial level. For example, a 40% index gain multiplied by 1.50x gearing yields 60%, but the cap restricts payment to 53%.

This structure transfers some equity upside to Goldman Sachs and product sponsors, reducing participation in strong market rallies. The cap applies once the index rises 35.33%, producing the maximum 53% return. This trade-off provides a 20% downside buffer and principal protection in exchange for capped upside, shifting tail-end gains away from investors.

Guarantee and Credit Risk Assessment

The Goldman Sachs Group, Inc. unconditionally guarantees principal and interest payments on these notes. If GS Finance Corp. defaults, investors may claim directly against the parent company. However, this guarantee replaces the subsidiary's credit risk with that of The Goldman Sachs Group. Payments remain subject to the creditworthiness of both entities over the five-year term.

As a major financial institution, Goldman Sachs holds significant capital and market access but faces economic, market, and regulatory risks. The five-year maturity spans multiple cycles, requiring investors to consider potential credit deterioration impacting guarantee fulfillment. Combined index and issuer credit risks create a complex risk profile demanding holistic evaluation.

Investor Suitability and Risk Disclosures

The offering warns that these securities are "significantly riskier" than typical debt and may result in substantial losses if the S&P 500 falls more than 20%. Principal repayment is contingent on holding to maturity; early secondary sales may incur discounts reflecting market and credit conditions.

The estimated $9.60 valuation per $10 face amount differs materially from the 100% issue price, reflecting embedded structured feature costs. The product targets sophisticated investors with specific risk tolerance and a five-year horizon, not retail investors seeking traditional principal protection. Prospective buyers should fully understand the combined index and credit risks and seek professional advice before investing.