Goldman Sachs Issues $1.481 Billion Autocallable Index-Linked Notes Featuring Momentum Strategy

Design and Features of Goldman Sachs Momentum Builder Notes

GS Finance Corp.'s notes include an escalating automatic call mechanism distinguishing them from traditional fixed-income instruments. Starting July 16, 2027, annual call observation dates will assess whether the Goldman Sachs Momentum Builder Focus ER Index closing level meets or exceeds the specified call level. If so, the notes are automatically redeemed on the corresponding call payment date. For instance, the first call level on July 16, 2027, is 100.60% of the initial index level with a 10.80% premium, rising to 103.60% with a 64.80% premium by July 16, 2032.

If not called early, at maturity investors receive payments based on index performance. Should the final index level surpass the initial 113.74, investors get their $1,000 principal plus 100% participation in gains. If the final level is at or below the initial, only principal is returned, with no downside protection. The notes do not pay interest during the seven-year term.

Index Methodology and Volatility Controls

The Goldman Sachs Momentum Builder Focus ER Index employs a sophisticated daily rebalancing strategy targeting the highest-performing asset classes while managing volatility. It includes up to nine underlying indices spanning focused U.S. equities, developed market equities, developed market fixed income, emerging market equities, commodities, and a money market component accruing interest at the federal funds rate. The index rebalances daily based on historical returns, subject to constraints such as realized volatility limits and asset class weight boundaries.

Two key risk controls are embedded: a 5% realized volatility cap that shifts exposure to non-interest-bearing cash when exceeded, and a momentum risk control that reduces allocation to assets with weak price momentum. A significant portion of the index may be allocated to money market or cash positions, which, combined with a 0.65% annual deduction applied to the entire index, reduces overall performance on a pro rata basis.

Pricing and Valuation Insights

The notes were issued at par ($1,000 per note), totaling $1.481 billion. Goldman Sachs & Co. LLC applied a 4.625% underwriting discount, yielding net proceeds of 95.375% of face value. The pricing supplement dated July 16, 2026, sets the initial index level at 113.74. The estimated trade date value of the notes was $891 per $1,000 face amount, reflecting embedded features and market conditions. An additional amount of $62.75 with an end date of October 15, 2026, was also disclosed. This pricing indicates investors pay par for notes valued below par at inception, typical of structured products with embedded call options.

Guarantee and Credit Risk

GS Finance Corp.'s notes are fully guaranteed by The Goldman Sachs Group, Inc., providing investors recourse to the parent company if the issuer defaults. However, this guarantee shifts but does not eliminate credit risk, as investors remain exposed to the creditworthiness of both entities. The notes are not bank deposits, are not FDIC insured, and carry market and issuer credit risk without government backing.

Redemption Terms and Automatic Call Details

The notes’ automatic call feature enables early redemption on annual observation dates starting July 16, 2027. Goldman Sachs & Co. LLC, as calculation agent, monitors the index closing level against the call thresholds. If met or exceeded, all outstanding notes are redeemed at $1,000 plus the applicable call premium, which escalates from 10.80% in year one to 64.80% in year six. The final index determination date is July 19, 2033, with maturity on July 22, 2033. Payment at maturity depends on index appreciation beyond the initial 113.74 level. Call and payment dates may adjust for market holidays per the index supplement.

Distribution, Underwriting, and Secondary Market

Goldman Sachs & Co. LLC underwrote the initial offering, priced on July 16, 2026, with an issue date of July 21, 2026. GS Finance Corp. may use the prospectus for initial sales and affiliates may engage in market-making transactions post-offering. Secondary market trades may involve affiliated parties and prices may differ from the $1,000 par value, affecting returns. The underwriting discount of 4.625% represents a significant portion of initial costs, reducing net proceeds and increasing investor cost basis. Additional notes may be sold later with differing terms.

Index Composition and Asset Exposure

The underlying index provides diversified exposure through daily rebalancing across focused U.S. equities, developed international equities, developed fixed income, emerging markets, commodities, and a money market component linked to the federal funds rate. The momentum-driven allocation favors assets with strong recent performance, aiming for higher returns during favorable momentum periods. Volatility and momentum risk controls aim to limit losses during reversals or volatility spikes.

Fees, Deductions, and Impact on Returns

Investors should note the index return is reduced by the federal funds rate deduction plus a 0.65% annual fee applied daily. Exposure to money market or cash positions further reduces performance by 0.65% pro rata. Over seven years, these deductions materially reduce potential returns, especially in flat or low-return markets. Volatility-driven increases in cash allocations may amplify this impact. Investors should model various scenarios to assess these effects.

Regulatory Status and Risk Considerations

The filing clarifies that neither the SEC nor other regulators have approved or disapproved these notes or the prospectus accuracy. The securities are not government guaranteed, bank deposits, or FDIC insured, exposing investors to full market and credit risk. Structured notes involve multiple risks including credit, market, complexity, and liquidity risks. Investors are advised to review the index supplement and prospectus documents dated February 14, 2025, for complete disclosures on terms and risks.