Goldman Sachs Launches Autocallable Notes Linked to S&P 500 Futures Index Offering Up to 18.65% Annualized Coupon

Autocallable Notes Structure and Maturity Details

The structured product issued by GS Finance Corp. and guaranteed by The Goldman Sachs Group, Inc. offers exposure to a rules-based index linked to S&P 500 Futures contracts. The notes have an original issue date of July 29, 2026, and mature on July 29, 2032, representing a six-year investment horizon for holders without early redemption. Automatic call features apply on quarterly observation dates, allowing for early redemption if the index performs sufficiently, with principal plus accrued coupons paid upon call. These calls can occur on any January, April, July, or October observation date between January 2027 and April 2032.

Investors will pay $1,000 per $1,000 face amount at issuance, but the preliminary pricing supplement estimates the notes’ value at pricing (expected July 24, 2026) to range between $885 and $925 per $1,000 face amount. This discount reflects embedded fees, leverage effects, the daily decrement, and issuer credit spreads. The notes are not bank deposits and lack FDIC or government insurance protection.

Contingent Coupon Structure and Monthly Observation Dates

The notes feature a contingent coupon mechanism that pays only if the underlying index meets a performance threshold on monthly observation dates. Coupons are observed on the 24th of each month (except July 2032, when it is July 26), starting August 2026 through July 2032. If the index’s closing level is at or above 70% of its initial level on any observation date, investors receive a coupon of $15.542 per $1,000 face amount, equating to a monthly rate of 1.5542% or roughly 18.65% annually if all coupons are paid.

If the index closes below 70% on any observation date, no coupon is paid that month. This binary coupon structure means returns are not guaranteed and depend on monthly index performance. Due to the index’s leverage and daily decrement, volatility and performance deterioration may cause coupon payments to be missed even during stable market periods.

Automatic Call Features and Early Redemption Risks

Automatic call provisions allow the issuer to redeem the notes early if the index closes at or above its initial level on quarterly call observation dates (January, April, July, October) from January 2027 through April 2032. If called, investors receive principal plus a coupon payment on the subsequent payment date, typically the third business day after the call date.

This call feature caps upside potential for investors, as early redemption limits participation in further index gains. The initial underlier level is set by the index closing on the trade date (expected July 24, 2026), making the call threshold dependent on market conditions at issuance. Investors should be aware that a strong index rally early in the notes’ life may trigger early calls, reducing total returns.

Index Characteristics: Leverage, Decrement, and Volatility Adjustments

The underlying S&P 500 Futures 40% VT Adaptive Response 4% Decrement Index (USD) ER is a complex, actively managed rule-based index, not a passive benchmark. It provides exposure to the S&P 500 Futures Excess Return Index with daily volatility adjustments, calendar-based signals, and price pattern overlays. The index can leverage exposure up to 500% with a maximum daily leverage change of 100%.

A key feature is the 4.0% annual decrement deducted daily, even when the index is not fully invested. This decrement reduces positive returns and amplifies negative returns, causing the index to underperform a comparable index without such a decrement. The index may also be partially uninvested on any day, earning no return on that portion.

Risks from Leverage and Daily Rebalancing Limits

The filing highlights risks from significant leverage use, warning that leverage magnifies and accelerates negative performance. The index’s daily rebalancing with a 100% cap on daily leverage changes can slow leverage adjustments during market rallies or sell-offs, potentially causing underperformance relative to a fully leveraged index without such limits.

Combined with the daily decrement and potential uninvested cash, these factors create a complex performance profile that may diverge significantly from simple S&P 500 futures returns.

Maturity Payoff Scenarios and Principal Risk

If the notes are not called early, maturity payments depend on the index’s return from issuance to maturity (expected July 26, 2032). There are three scenarios per $1,000 face amount: if the index return is greater than or equal to -30% (index at or above 70% of initial level), investors receive $1,000 plus the final coupon; if the return is between -30% and -50% (index between 50% and 70%), investors receive $1,000 with no coupon; if the return is below -50% (index below 50%), investors receive $1,000 multiplied by the index return, resulting in significant principal loss.

The third scenario exposes investors to substantial principal risk, potentially receiving less than $500 per $1,000 invested if the index declines over 50%. For example, a 60% index drop would yield only $400 per $1,000 invested, excluding any coupons.

Comparison with S&P 500 Index and Impact of Financing Costs

The underlying index differs from the standard S&P 500 Index, as it tracks futures contracts and incurs implicit financing costs, causing it to underperform the total return of the S&P 500 Index. The index’s leverage, volatility adjustments, and 4% annual decrement add further layers of potential underperformance compared to a simple equity investment.

Investors should weigh the potential 18.65% annualized coupon against the product’s complexity, leverage risks, decrement drag, principal risk, and contingent coupon features relative to alternative investments.

Pricing Discount and Market Implications

The preliminary pricing supplement reveals a notable discount between the $1,000 issue price and the estimated note value of $885 to $925 at pricing. This gap reflects embedded costs, credit spreads, leverage and decrement effects, call features, and contingent coupons.

Goldman Sachs & Co. LLC, acting as underwriter and market maker, may trade notes at prices near estimated value plus a spread, though specific bid-ask spreads are not disclosed. Investors should be aware that selling notes shortly after purchase could result in significant losses, and secondary market liquidity and pricing may vary with market and credit conditions.

Credit Risk and Guarantee Information

The notes are issued by GS Finance Corp. and guaranteed by The Goldman Sachs Group, Inc. Investors should review credit risk disclosures related to both entities and the index. While the guarantee provides credit support, returns depend on the issuer’s creditworthiness and index performance. The notes are not bank deposits and lack federal deposit insurance.

Market conditions, credit spreads, and interest rates may impact secondary market values and investor returns if notes are sold before maturity or early call.

Distribution, Pricing Flexibility, and Secondary Market Notes

Additional notes may be offered after the initial sale at prices and underwriting discounts that differ from initial terms. Returns depend partly on the issue price paid, so secondary market purchases at discounts or premiums will affect outcomes.

Goldman Sachs & Co. LLC or affiliates may engage in market-making transactions post-offering, which should be distinguished from new issuances. Specific bid-ask spreads for secondary trades are not disclosed in the preliminary supplement.