Goldman Sachs Launches Autocallable Notes Tied to S&P 500 Futures Index Featuring 6% Annual Decrement

Autocall Feature and Redemption Terms

The notes will be automatically called on any call observation date starting January 2027 if the underlying index closes at or above 90% of its initial level. Upon automatic call, investors receive the face amount plus a call premium multiplied by $1,000. Specific call observation dates, payment dates, and premium amounts are detailed on page PS-7 of the pricing supplement, though these details are not fully disclosed in the current filing.

If the notes are not called before maturity, the payout depends on the final index performance relative to the initial level. The return calculation differentiates between stable index scenarios and significant declines, with worsening outcomes as the index drops further below its initial level.

Index Methodology and Daily Leverage Adjustments

The S&P 500 Futures 40% VT Adaptive Response 6% Decrement Index employs a rules-based overlay adjusting leverage daily to offer volatility-adjusted exposure to the S&P 500 Futures Excess Return Index. Leverage adjustments are based on calendar signals and price patterns, capped at 500% maximum exposure and a 100% maximum daily leverage change. This design amplifies upside potential during favorable markets but also increases downside risk during declines.

The daily leverage change cap of 100% may slow leverage increases during rallies and deleveraging during sell-offs compared to an unconstrained index, potentially limiting gains and losses on single trading days, though longer-term effects remain uncertain.

Impact of the 6.0% Annual Decrement on Returns

A key feature is the continuous daily deduction of a 6.0% annual decrement from the index level, regardless of full investment in the underlying futures. This decrement compounds negatively, offsetting positive returns and exacerbating losses, causing the index to underperform a comparable index without this feature.

The filing warns that even when the index gains from futures exposure, the decrement proportionally reduces those gains. On days when the index is not fully invested—which can occur regularly—investors receive only partial gains while the full decrement still applies to the uninvested portion, structurally disadvantaging the notes versus direct equity index investments.

Maturity Payoff Scenarios and Principal Protection

If not called, three payoff scenarios exist at maturity: if the final index level is at least 90% of the initial, investors receive the maximum $2,029 per $1,000 face amount; if between 60% and 90%, investors receive the full $1,000 principal, providing downside protection up to a 40% index decline.

If the final level falls below 60%—a decline exceeding 40%—investors incur full losses proportional to the index drop. For example, a 50% decline results in approximately $500 per $1,000 face amount. This cliff-like loss profile exposes investors to substantial downside risk beyond the 40% threshold.

Leverage Risks and Volatility Amplification

The filing highlights risks from significant embedded leverage, which magnifies and accelerates negative index performance. With up to 500% exposure, losses can be five times those of the underlying futures, increasing volatility compared to unlevered equity indices.

Volatility amplification affects gains and losses alike. The daily leverage cap complicates return patterns by potentially restricting leverage adjustments during rapid market moves, resulting in unpredictable performance that is difficult to model.

Futures Tracking Differences and Financing Costs

The underlying index tracks E-mini S&P 500 futures contracts, not the spot S&P 500 Index. Futures returns correlate with but differ from returns on the underlying securities, causing performance gaps even before considering the 6.0% decrement.

Implicit financing costs from rolling futures contracts can drag returns, especially amid rising interest rates. Combined with the decrement and leverage adjustments, these factors create a significant structural headwind for investors.

Estimated Pricing Value and Market-Making

The estimated value at pricing is between $885 and $925 per $1,000 face amount, below the 100% issue price, reflecting embedded costs including the decrement, leverage, and dealer margin. Goldman Sachs & Co. LLC uses proprietary models and credit spreads to determine this value, though specific inputs are undisclosed.

Goldman Sachs & Co. LLC may make a market post-sale but is not obligated. Secondary market pricing will include spreads and adjustments declining linearly before a specified date in the final supplement, meaning secondary buyers may pay prices differing from estimated values.

Issuer Credit Guaranty and Structure

GS Finance Corp., the issuer, is guaranteed by The Goldman Sachs Group, Inc., a systemically important financial institution. This guaranty ensures payment obligations are backed if GS Finance Corp. defaults. The filing advises investors to consider credit risk of both entities.

The notes are not bank deposits, are uninsured by the FDIC or other agencies, and are not traditional bank obligations. The guaranty does not convert these notes into insured products, leaving investors exposed to counterparty and structural risks.

Distribution Details and Pricing Finalization

This preliminary pricing supplement, dated July 21, 2026 and marked "Subject to Completion," anticipates an original issue date of July 29, 2026, with a 100% face amount issue price. Underwriting discounts and net proceeds will be disclosed in the final supplement. Some investors may receive different issue prices, detailed in the "Supplemental Plan of Distribution; Conflicts of Interest" section on page PS-36.

Goldman Sachs & Co. LLC is the underwriter but additional notes may be sold later at different prices and discounts. Returns depend partly on purchase price, so secondary market buyers may experience different outcomes than initial investors, especially if paying outside the $885 to $925 estimated value range.