Goldman Sachs Launches S&P 500-Linked Medium-Term Notes Featuring Capped Gains and Leveraged Downside Protection

Return Structure and Payoff Scenarios

The notes provide three distinct payoff outcomes based on the S&P 500 Index’s movement from 7,457.69 at pricing to the final level on July 17, 2028. If the index appreciates, investors receive the $1,000 face amount plus 100% of the index gain, capped at a 16% maximum return, equating to $1,160 per note. This design enables participation in equity gains while limiting upside exposure.

If the index declines but remains within 20% of the starting level, the notes offer contingent absolute return protection. Investors receive the face amount plus a positive return equal to the absolute percentage decline, effectively turning moderate index losses into gains. For example, a 5% index drop yields a 5% positive return. This buffer protection is capped at a 20% positive return.

Downside Risk and Leveraged Loss Exposure

When the index falls beyond the 20% buffer threshold, losses are amplified by a 1.25x multiplier. For every 1% decline beyond 20%, investors lose 1.25% of the face amount, exposing them to potential total principal loss if the index declines below approximately 80% of its initial level. The threshold level is 5,966.15 (80% of 7,457.69), with the multiplier derived from the ratio of starting to threshold levels. This leverage magnifies losses during severe market downturns, increasing principal risk. Payments depend on the creditworthiness of GS Finance Corp. and The Goldman Sachs Group, Inc., the guarantor.

Issuance Details and Market Context

Issued under pricing supplement no. 25,949, these Medium-Term Notes Series F reference supporting documents including WFS Product Supplement No. 9 (January 20, 2026) and Underlier Supplement No. 49 (June 24, 2026). The original offering price was $1,000 per note with face amounts in $1,000 increments. Goldman Sachs & Co. LLC acts as calculation agent responsible for index level determinations and maturity payment calculations.

The notes do not pay periodic interest or dividends, distinguishing them from traditional fixed-income products. The estimated value at pricing was approximately $963 per $1,000 face amount, reflecting embedded optionality and credit risk. Goldman Sachs & Co. LLC served as primary underwriter with Wells Fargo Securities as co-underwriter. GS&Co. may pay selected dealers up to 0.20% of face amount as fees for marketing and distribution.

Credit Risk and Guarantee Information

These securities rely solely on the credit strength of GS Finance Corp. and The Goldman Sachs Group, Inc. Investors have no claim on the underlying S&P 500 Index components for payments. In the event of issuer or guarantor default, investors risk losing some or all of their investment. The notes are not bank deposits, lack FDIC or governmental insurance, and are not bank guaranteed. Credit risk persists throughout the holding period until maturity on July 20, 2028.

Tax Considerations and Holding Period

The disclosure references significant U.S. federal income and estate tax implications detailed in the prospectus supplement and base prospectus dated February 14, 2025. These notes are intended to be held to maturity and are not listed on exchanges, limiting liquidity and exit options before maturity.

The maturity date and index calculation date (July 17, 2028) are subject to postponement due to non-trading days or market disruption events, potentially extending payment and fixing dates. No issuer redemption or early repayment options are available.

Product Features and Security Profile

These notes are market-linked structured products offering a combination of capped equity upside, contingent positive returns during moderate declines, and leveraged downside risk. Classified as principal-at-risk securities, investors’ capital is not protected and may decrease based on index performance. The payoff structure involves multiple embedded options and contingencies, creating a risk-return profile distinct from traditional debt or equity investments.

The complexity and leverage involved necessitate careful review of all disclosures to understand risks. The capped upside, absolute return feature during moderate declines, and leveraged losses in severe downturns present a unique investment profile.

Registration and Regulatory Filings

The pricing supplement, filed under Rule 424(b)(2), corresponds to Registration Statement No. 333-284538. The notes are issued under GS Finance Corp.’s Medium-Term Notes, Series F program, guaranteed by The Goldman Sachs Group, Inc. The prospectus framework includes the base prospectus and supplement dated February 14, 2025, WFS product supplement no. 9 (January 20, 2026), underlier supplement no. 49 (June 24, 2026), and pricing supplement no. 25,949 (July 17, 2026).

The pricing supplement supersedes prior documents where discrepancies exist. The CUSIP for these securities is 40054XPB8. The index calculation day is July 17, 2028, subject to postponements due to market disruptions or non-trading days as defined in the product supplement.

Distribution and Pricing Structure

The offering price was set at $1,000 per note, with underwriting discounts and selling compensation deducted from proceeds to the issuer. The estimated value at pricing was about $963 per $1,000 face amount, reflecting embedded derivatives and credit risk distinct from the offering price.

Goldman Sachs & Co. LLC acted as primary underwriter with Wells Fargo Securities as co-underwriter. The supplemental plan of distribution notes potential conflicts of interest and states GS&Co. may make a market in these notes post-issuance, trading at prices different from the original offering. The offering’s tiered participation rates and distribution fees align with standard structured product distribution practices within Goldman Sachs’ network.

Maturity Payment Calculation and Index Methodology

The maturity payment is calculated based on the underlier return, defined as the percentage change in the S&P 500 Index from the starting level to the ending level on the calculation day. If the ending level exceeds the starting level, payment equals the lesser of 100% participation or the 16% cap, resulting in a maximum payment of $1,160.

For index declines up to the 20% buffer threshold (5,966.15), the absolute value of the return generates a positive payoff, offsetting moderate losses. If the index falls below the threshold, losses are multiplied by 1.25, accelerating investor losses. For instance, a 10% decline triggers buffer protection and a positive return, while a 25% decline surpasses the buffer and applies the 1.25x multiplier, causing net losses. GS&Co. as calculation agent is responsible for all index level determinations and payment calculations.