Goldman Sachs Finance Unveils 7-Year Autocallable Notes Linked to Momentum Builder Focus ER Index with Annual Call Options Through 2033

Index Composition and Strategy Overview

The notes are tied to the Goldman Sachs Momentum Builder Focus ER Index, which employs daily rebalancing to track top-performing assets across diverse sectors. The index includes up to nine underlying indices covering focused U.S. equities, developed market equities, developed market fixed income, emerging market equities, and commodities. Additionally, it holds a money market component accruing interest at the federal funds rate, allowing dynamic allocation based on historical returns and risk metrics.

Risk management is enforced through a realized volatility control capped at 5%, alongside a momentum risk control that reduces exposure to assets with weak price momentum. The index rebalances daily using historical return data and adheres to rules on volatility limits and asset weight constraints. Importantly, the index deducts the federal funds rate return from daily base returns and applies an annual 0.65% deduction across the entire index, meaning significant allocations to money market or non-interest bearing cash positions will proportionally lower overall index performance.

Annual Automatic Call Feature with Increasing Premiums

Distinct from traditional fixed-income securities, these notes include an annual automatic call option starting August 2, 2027. On each anniversary, if the index’s closing level meets or exceeds the designated call level, the notes are automatically redeemed. Investors then receive $1,000 plus a call premium calculated as $1,000 multiplied by the applicable premium rate per $1,000 face value.

The call premium escalates yearly to encourage early redemption and reward index appreciation. The schedule begins with a 100.50% call level and 14.00% premium in 2027, increasing annually to 103.00% call level and 84.00% premium by 2032. This structure reflects Goldman Sachs’ intent to redeem notes as the index rises, capping exposure to gains beyond the call date.

Maturity Payment Terms and Downside Safeguards

If not called early, investors receive cash settlement on August 4, 2033, based on final index performance. For each $1,000 face amount, if the index closes above its initial level, payment equals $1,000 plus 100% participation in the index’s positive return. This full upside participation allows investors to benefit proportionally from index gains. Conversely, if the index closes at or below its initial level, investors receive only the $1,000 principal, ensuring full protection against downside losses.

This design creates an asymmetric payoff: capital preservation if the index declines or remains flat, and full capture of index gains if it appreciates and notes are not called. The notes do not accrue interest, differentiating them from conventional debt instruments. The pricing supplement estimates the notes’ value at trade date between $850 and $880 per $1,000 face amount, reflecting a discount that accounts for time value and embedded structural costs.

Impact of Index Deductions and Fee Structure

Investors should note the ongoing deductions from index returns affecting performance. The index subtracts daily federal funds rate returns and applies an additional 0.65% annual deduction across the entire index. These combined fees mean allocations to money market or non-interest bearing cash positions reduce returns on a pro rata basis by 0.65% annually. Over the seven-year term, this persistent drag diminishes cumulative returns.

The prospectus highlights that a significant portion of the index has been, and may continue to be, allocated to money market and non-interest bearing cash positions. This allocation can limit index appreciation in certain market conditions, with variability depending on risk control mechanisms and prevailing market environments.

Credit Risk and Guarantee Information

Issued by GS Finance Corp. and fully guaranteed by The Goldman Sachs Group, Inc., these notes’ returns depend on the creditworthiness of both entities. Investors are advised to review credit risk disclosures, as payments rely on Goldman Sachs’ ability to honor its guarantee. The notes are not bank deposits and lack FDIC insurance or government backing.

As structured products, these notes carry counterparty risk distinct from traditional equity or bond investments. While the corporate guarantee adds protection beyond the GS Finance Corp. subsidiary, adverse developments impacting Goldman Sachs could affect payment obligations.

Trading Details and Calculation Agent Role

The trade date is set for July 31, 2026, with an original issue date of August 5, 2026, and a final index determination on August 1, 2033. Goldman Sachs & Co. LLC acts as the calculation agent, responsible for computing index levels, verifying automatic call conditions, and establishing the initial index level on the trade date. The initial index level may be based on intra-day or closing prices, with adjustments if the trade date falls on a non-trading day.

The calculation agent holds discretion in certain scenarios, such as determining the initial index level if the second scheduled trading day after the trade date is a non-trading day. The notes carry CUSIP 40054XSB5 and ISIN US40054XSB54 for trading and settlement.

Documentation and Terms Integration

The preliminary pricing supplement supplements several foundational documents forming the notes’ complete terms. Investors should consult the June 2026 MOBU Focus ER index supplement addendum and supplement no. 12, both dated June 25, 2026, for index methodology details. The February 14, 2025 prospectus supplement and base prospectus provide context on GS Finance Corp.’s Medium-Term Notes, Series F program and general structured note terms.

The supplement states that its information supersedes conflicting details in other documents, emphasizing that certain terms may not apply to these notes. This hierarchical structure ensures the July 2026 supplement governs final terms. The notes are issued under an existing medium-term note program, allowing Goldman Sachs to issue additional tranches without full prospectus updates.

Market-Making and Secondary Market Insights

Goldman Sachs & Co. LLC or affiliates may use this prospectus for market-making following the initial sale. Unless specified otherwise, purchasers should assume the prospectus supports market-making activities, with Goldman Sachs providing liquidity by buying and selling notes at quoted prices.

Secondary market prices depend on index movements, implied volatility, credit spreads, interest rates, and time to maturity or next call date. Early buyers may face wider bid-ask spreads or less favorable pricing relative to issue price, especially if market conditions shift. The estimated value range of $850 to $880 per $1,000 face amount reflects a discount to par, and actual secondary prices may vary significantly.

Regulatory Status and Investment Risks

The supplement clarifies that neither the SEC nor any regulatory authority has approved or disapproved the notes or verified the prospectus’s accuracy. Any contrary claim is a criminal offense. This reflects the regulatory framework for structured products, which are registered but not pre-approved for specific terms.

Investors should carefully consider multiple risks: the 0.65% annual deduction and federal funds rate drag may reduce returns below passive index investing; the automatic call feature caps upside if the index rises rapidly; downside protection only applies if the index does not exceed its initial level at maturity; and credit risk tied to Goldman Sachs’ financial health remains. While unlikely, severe financial stress could impact payments despite the corporate guarantee.