Goldman Sachs Finance Launches Leveraged Basket-Linked Notes Featuring U.S. and Emerging Market Equities

Leveraged Notes Structure and Basket Breakdown

GS Finance Corp. issued these leveraged basket-linked notes under its Medium-Term Notes, Series F program, fully guaranteed by The Goldman Sachs Group, Inc. The basket is weighted heavily toward U.S. equities with 65% exposure through the S&P 500 Futures Excess Return Index, while international developed and emerging markets compose 35% via the MSCI EAFE and MSCI Emerging Markets indices at 25% and 10%, respectively. This allocation emphasizes domestic equity performance with supplementary international market exposure.

Notably, the notes track the S&P 500 Futures Excess Return Index instead of the traditional S&P 500 Index. This futures-based index reflects the performance of E-mini S&P 500 futures contracts, introducing basis risk and potential divergence from direct equity ownership returns. The initial basket level is set at 100, with the final level calculated by summing the weighted price returns of each index on the determination date.

Return Structure and Participation Details

Investors receive a leveraged return of 1.95 times the basket’s positive performance above the initial level of 100, alongside the $1,000 principal. For instance, a 10% basket gain results in a 19.5% return on the notes, excluding principal. While this provides amplified upside, the notes only offer capital protection for declines up to 20%. If the basket falls within this range, investors receive their full principal without loss or gain.

However, losses beyond 20% are fully borne by investors on a dollar-for-dollar basis. For example, a 30% basket decline reduces the note’s value to $700 per $1,000 face amount. The disclosure warns that investors could lose their entire investment if the basket’s performance drops significantly below the initial level, highlighting the asymmetric payoff with limited upside protection but unlimited downside risk.

Pricing Estimates and Market Value Insights

The preliminary pricing supplement estimates the notes’ value between $885 and $925 per $1,000 face amount at issuance, reflecting 88.5% to 92.5% of par. This discount accounts for embedded option costs tied to the leveraged participation and downside protection features. Goldman Sachs & Co. LLC’s pricing models incorporate credit spreads relevant to GS Finance Corp., but the filing does not specify the midpoint of this range.

Secondary market pricing will initially include an undisclosed additional amount above the estimated value, which will decline linearly to zero over an unspecified period. After this adjustment phase, market prices are expected to align with Goldman Sachs’ valuation models without the markup. Details on bid-ask spreads and market-making commitments remain undisclosed.

Investor Risks and Potential Losses

The notes carry significant risks, chiefly the possibility of total capital loss if the weighted basket declines more than 20%. Given the 65% weighting to the S&P 500 Futures Excess Return Index, the notes’ performance is largely driven by U.S. equity market trends. Sharp downturns in the S&P 500 futures market could severely impact returns.

The unequal basket weighting limits diversification benefits, as strong performance in smaller international components may be overshadowed by the dominant U.S. exposure. Additionally, investors bear the full credit risk of GS Finance Corp. and its guarantor, The Goldman Sachs Group, Inc. While the guarantee supports creditworthiness, it does not mitigate market-related losses.

Trade Date, Maturity, and Index Calculation

The notes have an anticipated five-year term, with a trade date of July 24, 2026, original issue date of July 29, 2026, and a determination date of July 24, 2031. The maturity date is expected to be July 29, 2031. These dates are provisional and subject to change.

The basket return is calculated from the trade date through the determination date, using intra-day or closing index levels as determined by the calculation agent. Relevant index supplements and documentation from June 2026 are incorporated by reference, requiring investors to review these materials to understand the calculation methodology fully.

Issuer Guarantee and Note Structure

The Goldman Sachs Group, Inc. fully and unconditionally guarantees the notes issued by GS Finance Corp., providing recourse in the event of default. However, this guarantee does not shield investors from losses due to unfavorable index performance. The notes are senior debt obligations under a senior debt indenture with The Bank of New York Mellon as trustee and are issued in book-entry form under master note no. 3, with CUSIP 40054XT65 and ISIN US40054XT654.

These notes are not bank deposits, lack FDIC insurance, and are not bank obligations, meaning they do not carry protections typical of traditional bank products. No detailed financial metrics or credit rating information for the issuer or guarantor were disclosed in the preliminary supplement.

Futures-Based Index vs. Spot Index Performance

The use of the S&P 500 Futures Excess Return Index introduces a key distinction from the standard S&P 500 Index. Returns on futures contracts can differ materially from direct equity ownership due to factors such as basis risk, roll costs, and market liquidity conditions. This may cause performance divergence, especially during periods of market stress or unusual futures premiums or discounts.

Investors should not assume identical returns to the traditional S&P 500 equity index and are advised to consult additional resources to understand the historical and potential performance differences between these indices.

Supplementary Documentation and Prospectus Integration

The preliminary pricing supplement references multiple documents, including General Terms Supplement No. 17,745, the June 2026 S&P 500 Futures Excess Return Index supplement, Underlier Supplement No. 49, and prospectus supplements dated February 14, 2025. It supersedes conflicting information in these materials, and investors must review all relevant documents available via the SEC EDGAR system or Goldman Sachs disclosures to grasp the full terms and risks.

Additional details on basket return calculations, pricing models, and risk disclosures appear in the full prospectus materials, which were not included in the preliminary release. Investors should consider this announcement preliminary and await the definitive pricing supplement for final terms.

Secondary Market Liquidity and Market-Making Details

Goldman Sachs & Co. LLC may provide secondary market liquidity but is not obligated to do so. The pricing framework includes an initial markup over estimated value that declines to zero over an unspecified timeframe, after which prices will reflect model valuations without markup. The company did not disclose expected bid-ask spreads or conditions for market-making withdrawal, implying potential liquidity risk and price volatility in secondary trading.

Investors should be prepared for possible difficulties in selling notes before maturity or accepting significant discounts if market-making support is limited or withdrawn.

Investor Suitability and Pricing Considerations

The notes’ estimated value of $885 to $925 per $1,000 face amount indicates a 7% to 11.5% embedded option cost associated with the 1.95x leveraged participation and 20% downside buffer. Investors pay full par but effectively receive notes priced below par at issuance.

This leveraged structure offers substantial upside potential but concentrates risk, lacking periodic interest payments and functioning more like a hybrid equity-derivative product than a traditional bond. It is suitable for investors confident in positive equity market performance who can tolerate significant loss risk and have appropriate liquidity horizons. The preliminary supplement does not provide specific investor suitability guidance.