Goldman Sachs Launches Leveraged S&P 500 Futures Notes with 8x Upside and Monthly Call Option

Index-Linked Note Structure and Performance Details

The notes’ value is tied to the S&P 500 Futures Excess Return Index, which tracks E-mini S&P 500 futures contracts rather than the underlying S&P 500 Index. The filing notes that futures returns correlate with but differ from returns on the underlying securities, an important consideration for investors assessing expected performance due to differing volatility, costs, and price discovery mechanisms.

Returns are calculated by applying an 8x leverage factor to any positive index gains from the trade date to the determination date. If the final index level surpasses the initial level, investors receive $1,000 plus eight times the index return multiplied by $1,000 per note. If the index is flat or lower, investors receive the $1,000 principal amount only. This asymmetric payoff limits losses while magnifying gains, offering defined-risk exposure to leveraged equity market movements.

Pricing and Valuation Insights

At pricing, the notes are expected to be valued between $885 and $925 per $1,000 face value, reflecting a discount to par. This valuation incorporates Goldman Sachs’ proprietary pricing models and credit spreads. The discount accounts for the embedded call feature, leverage, index exposure, and credit risk of GS Finance Corp. and its guarantor, The Goldman Sachs Group, Inc.

Goldman Sachs & Co. LLC retains discretion over market-making and pricing spreads. The firm may initially trade notes at prices above estimated value, with this premium declining linearly over time until secondary market prices reflect only the current estimated value, excluding typical bid-ask spreads. This pricing approach can cause mark-to-market fluctuations that differ from intrinsic index-linked value, especially for investors exiting early.

Credit and Guarantee Structure

Issued by GS Finance Corp. and fully guaranteed by The Goldman Sachs Group, Inc., these notes’ credit risk is tied to Goldman Sachs’ financial strength. The filing clarifies that the notes are not bank deposits, are uninsured by the FDIC, and are not bank obligations, meaning investors bear both market and credit risk.

While the guarantor adds a layer of credit support, simultaneous financial distress at both GS Finance Corp. and Goldman Sachs remains a risk. The prospectus discusses credit risk in detail on page PS-10. Principal protection depends on issuer and guarantor solvency through maturity, while leveraged upside relies on both index performance and creditworthiness.

Monthly Call Option and Redemption Terms

Goldman Sachs may redeem the notes monthly from July 2027 through June 2033 at 100% of face value plus a call premium. Specific call dates and premium amounts are detailed on page PS-4 of the pricing supplement but are not disclosed in this preliminary filing. This call feature allows Goldman Sachs to limit exposure and return capital plus premium if market conditions affect hedging strategies.

The callable feature introduces reinvestment risk and potential early termination of leverage exposure. Strong positive index returns incentivize Goldman Sachs to exercise the call, capping investor gains at the call premium. If index returns are flat or negative, calls are unlikely, leaving investors fully exposed. Investors should monitor monthly call dates starting July 2027 to evaluate early redemption likelihood.

Futures-Based Index Versus Traditional Equity Index Exposure

Using the S&P 500 Futures Excess Return Index introduces tracking and structural differences compared to the standard S&P 500 Index. E-mini futures have distinct settlement, margin, roll, and funding cost characteristics. The excess return index excludes the risk-free rate, focusing solely on futures price changes, which can cause returns to diverge from direct equity exposure, especially during high interest rates, volatility, or futures market dislocations.

The filing allows for index replacement or adjustment per supplement terms, enabling Goldman Sachs to substitute the underlier if necessary. This flexibility introduces basis risk and potential changes to note economics without investor consent. Investors should review the supplement dated June 24, 2026, for details on underlier replacement conditions.

Issuance Timeline and Settlement Details

The preliminary pricing supplement dated July 20, 2026, is subject to final pricing. The expected trade date is July 24, 2026, with an original issue date of July 29, 2026, and maturity on July 28, 2033. These dates establish the initial and final index reference points. The seven-year term offers sustained leveraged exposure but may be adjusted based on pricing or regulatory factors.

Notes will be issued in book-entry form under master note no. 3 dated March 22, 2021, governed by the GSFC 2008 indenture with trustee oversight by The Bank of New York Mellon. Settlement and clearing follow indenture terms detailing investor rights and remedies. Prospective investors should review these documents thoroughly.

Denominations and Aggregate Offering Size

Notes are available in $1,000 denominations or multiples thereof. The preliminary supplement does not specify the total aggregate face amount to be issued, which will be finalized at pricing. GS Finance Corp. may issue additional notes after the trade date at different prices and underwriting discounts, potentially increasing total issuance and affecting liquidity.

Individual purchase prices and market liquidity depend partly on final issuance size. Larger offerings typically improve liquidity but may require pricing concessions, while smaller offerings may widen bid-ask spreads. Net proceeds and underwriting discounts will be disclosed upon pricing completion and are important for evaluating economic value.

Comprehensive Documentation and Prospectus Supplements

This offering falls under GS Finance Corp.’s Medium-Term Notes, Series F program, incorporating multiple supplements including General Terms Supplement No. 17,745 (January 20, 2026), the June 24, 2026 S&P 500 Futures Excess Return Index supplement, Underlier Supplement No. 49 (June 24, 2026), a Prospectus Supplement (February 14, 2025), and the base Prospectus (February 14, 2025). The pricing supplement supersedes conflicting information in these documents, and some terms may not apply to this note series.

Investors must cross-reference all relevant documents to fully understand terms, risks, and mechanics. Credit risk discussions appear on page PS-10 of the prospectus. Complete review of all supplements and prospectus materials from Goldman Sachs or financial advisors is essential before investing.

Underwriting and Distribution Details

Goldman Sachs & Co. LLC serves as the primary underwriter and distributor. The underwriting discount and net proceeds are pending pricing completion. Some investors may receive different original issue prices due to fee arrangements, detailed under "Supplemental Plan of Distribution; Conflicts of Interest" on page PS-22. This tiered pricing reflects institutional market practices where preferred clients may obtain pricing advantages.

The filing notes that Goldman Sachs and affiliates may engage in market-making after initial sale. Secondary transactions should be presumed market-making unless otherwise notified. This ongoing involvement creates potential conflicts of interest, as Goldman Sachs’ pricing and call decisions may not align with investor goals. Investors should be aware that market-making prices may differ from independent valuations and that the firm’s incentives could influence liquidity and early call exercises.