Goldman Sachs Finance Unveils Autocallable Index-Linked Notes Backed by Nasdaq-100 and S&P 500 Indices

Note Structure and Automatic Call Features

The notes include an automatic call mechanism evaluated monthly over the three-year term. If on any call observation date both indices close at or above their initial levels, the notes will be automatically redeemed on the next call payment date. Upon a call, investors receive $1,000 plus a call premium per $1,000 principal. Call premiums increase monthly, starting at 10.8504% in July 2027 and rising incrementally to 31.647% by June 2029, incentivizing investors with higher returns the longer the notes remain outstanding.

This dual-index requirement for automatic calls means both the Nasdaq-100 and S&P 500 must meet or exceed initial levels, creating a higher hurdle for early redemption compared to single-index notes. This design aligns investor returns with the simultaneous performance of both major equity benchmarks, adding complexity relative to single-index structured products.

Maturity Payout and Buffer Protection Details

If the notes are not called before maturity on July 26, 2029, the final cash settlement depends on the performance of the weaker-performing index. If both indices close at or above their initial levels, investors receive $1,000 plus a 32.5512% maturity premium per $1,000 principal, reflecting full participation in index appreciation or stability. If any index finishes below its initial level but stays at or above the 85% buffer threshold, investors receive only the principal amount of $1,000 without additional premium.

The buffer offers limited downside protection. Should any index fall below 85% of its initial level, investors incur losses calculated as $1,000 plus $1,000 multiplied by the buffer rate of 100%, times the lesser-performing index’s return plus 15%. This structure accelerates losses beyond the buffer, exposing investors to potentially significant principal reductions if either index declines sharply. The offering explicitly warns that investors "could lose a significant portion of your investment in the notes."

Indices Selected and Initial Levels

The notes reference two leading U.S. equity benchmarks: the Nasdaq-100 Index (Bloomberg symbol "NDX Index"), representing large-cap technology and growth stocks, and the S&P 500 Index (Bloomberg symbol "SPX Index"), representing broad large-cap U.S. equities. Initial index levels were set at 29,155.18 for Nasdaq-100 and 7,509.20 for S&P 500, based on closing prices on July 21, 2026.

The filing notes these initial levels "may be higher or lower than the closing level on the trade date" of July 22, 2026, indicating a timing gap that introduces basis risk for early investors. Market fluctuations between trade and initial level determination dates could affect returns. The two-index structure means that the lesser-performing index’s return determines payouts, requiring investors to monitor both benchmarks closely.

Pricing and Valuation Insights

On the trade date, the estimated note value ranged between $925 and $965 per $1,000 principal, explicitly noted as below the original issue price. This discount reflects embedded costs, underwriting fees, and option premiums within the notes. The pricing supplement did not disclose the additional amount or end date. Investors buying at par face an immediate mark-to-market loss relative to estimated value.

Underwriting discount and net proceeds percentages were not specified. The document cautions that returns depend partly on the purchase price paid, acknowledging that secondary market prices may differ significantly from initial pricing. The embedded costs compensate for structuring, underwriting, and embedded options.

Issuer Guarantee and Credit Risk

The notes are fully and unconditionally guaranteed by The Goldman Sachs Group, Inc., a leading global financial institution. GS Finance Corp. is the issuer, while Goldman Sachs Group, Inc. serves as guarantor, providing credit enhancement. Investors have recourse to the parent company should the finance subsidiary face difficulties, though credit risk remains tied to both entities. The filing references page PS-7 for detailed credit risk discussion, not included in the excerpt.

These notes are issued under GS Finance Corp.'s Medium-Term Notes, Series F program, governed by the senior debt indenture dated October 10, 2008, and supplemented February 20, 2015. Issuance is book-entry, represented by master note no. 3 dated March 22, 2021. The Bank of New York Mellon acts as trustee, and Goldman Sachs & Co. LLC is the calculation agent responsible for index level determinations and payment calculations.

Important Dates and Timeline

Key dates include the trade date on July 22, 2026, original issue date on July 27, 2026, determination date on July 23, 2029, and maturity date on July 26, 2029. Monthly call observation dates occur on the 21st or 22nd of each month starting July 21, 2027, with call payment dates typically three to five business days later.

The filing provides a full schedule of 24 monthly call observation and payment dates through June 2029. Call premiums increase monthly from 10.8504% at the first call opportunity in July 2027 to 31.647% at the final call in June 2029. Investors holding through maturity receive either the full 32.5512% maturity premium if both indices perform adequately or face losses if either index breaches the buffer level. The three-year term aligns with standard medium-term structured products.

No Interest and Risk Considerations

The notes pay no interest during the three-year term; all returns derive from index-linked appreciation or call and maturity premiums. This zero-coupon design concentrates returns on index performance and embedded call options, offering no periodic income. Investors receive no compensation for time value if indices remain flat or decline slightly.

The offering warns of significant downside risk, including the possibility of substantial principal loss if both indices fall below the 85% buffer threshold. Notes are not bank deposits, not FDIC-insured, and not bank obligations or guarantees. Credit risk exists if Goldman Sachs entities face financial distress, though such risk is considered remote given their market stature.

Regulatory Filings and Documentation

This preliminary pricing supplement was filed under Rule 424(b)(2) of the Securities Act of 1933, linked to Registration Statement No. 333-284538. Marked "Subject to Completion" as of July 22, 2026, the supplement references supporting documents including General Terms Supplement No. 17,745 (January 20, 2026), Underlier Supplement No. 48 (March 24, 2026), and a Prospectus Supplement dated February 14, 2025, alongside the base Prospectus dated February 14, 2025.

The supplement supersedes conflicting information in referenced documents, and some terms in those documents may not apply to these notes. The filing clarifies that neither the SEC nor any other regulator has approved or disapproved these securities, with any such claim constituting a criminal offense. Goldman Sachs & Co. LLC acts as underwriter and may engage in initial sales and secondary market making.

Final Index Level Determination

Final index levels are based on closing prices on the determination date, subject to adjustments outlined in the General Terms Supplement. While specific adjustment provisions were not included, extraordinary market events like index suspension or cash settlement could modify final level calculations. Investors should consult General Terms Supplement No. 17,745 for full details.

Underlier returns are calculated as (final level - initial level) divided by initial level, producing a percentage return that determines call triggers, maturity premiums, or losses. The lesser-performing index’s return governs payouts, creating a worst-of payoff structure rather than averaging or best-of calculations.