Goldman Sachs : 2021 Annual Dodd-Frank Act Stress Test Disclosure

The Goldman Sachs Group, Inc.

2021 Annual Dodd-Frank Act

Company-Run Stress Test

Disclosure

June 2021

2021 Annual Dodd-Frank Act Company-Run Stress Test Disclosure Cautionary Note on Forward-LookingStatements

• The 2021 Dodd-Frank Act Annual Stress Test Disclosure (the Stress Test Results) presented herein contains forward-looking projections that represent estimates based on the hypothetical, severely adverse economic and market scenarios and assumptions under the Supervisory Severely Adverse scenario prescribed by the Federal Reserve Board (FRB). The Stress Test Results do not represent the firm's forecasts of actual expected gains, losses, pre-provision net revenue, net income before taxes, capital, capital actions, risk- weighted assets, or capital ratios
• The estimated results contained herein may not align with those produced by the FRB, even where the same hypothetical stress scenario is used, due to differences in methodologies and assumptions used to produce those estimates. In addition, the results contained herein may not be comparable to results of prior stress tests conducted by the firm or the FRB due to, among other factors, changes in applicable hypothetical stress scenarios, methodological changes, changes in applicable assumptions and changes in the firm's business and exposures
• For a discussion of some of the risks and important factors that could affect the firm's future business, results and financial condition, see "Risk Factors" in our Annual Report on Form 10-K for the year ended December 31, 2020. You should also read the cautionary notes on forward-looking statements in our Quarterly Report on Form 10-Q for the quarter ended March 31, 2021 and Earnings Results Presentation for the quarter ended March 31, 2021
• The statements in the presentation are current only as of the date the presentation was posted to the firm's website and the firm does not undertake to update forward-looking statements to reflect the impact of subsequent events or circumstances

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2021 Annual Dodd-Frank Act Company-Run Stress Test Disclosure
Table of Contents
Overview & Requirements ...............................................................................................................................	3
Pandemic Response ........................................................................................................................................	5
Material Risks Captured ..................................................................................................................................	6
Projection Methodologies ...............................................................................................................................	7
Supervisory Scenario Overview ....................................................................................................................	10
Summary of Results .......................................................................................................................................	11
Key Ratio Drivers ...........................................................................................................................................	14

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2021 Annual Dodd-Frank Act Company-Run Stress Test Disclosure Overview & Requirements

DFAST Requirements

• The company-run U.S. Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) Stress Tests (DFAST) are conducted annually and completed in April of each year. The Goldman Sachs Group, Inc. (we, us, or our) is currently required to conduct stress tests using a set of macroeconomic scenarios (Supervisory Baseline and Supervisory Severely Adverse) developed by the FRB
• In addition, as part of our capital plan submitted to the FRB in connection with its annual Comprehensive Capital Analysis and Review (CCAR), we are also required to assess our capital adequacy under internally developed Baseline and Severely Adverse scenarios
• We are required to calculate our 2021 DFAST in accordance with the regulations of the FRB (Capital Framework). These regulations are largely based on the Basel Committee on Banking Supervision's framework for strengthening international capital standards (Basel III) and also implement certain provisions of the Dodd-Frank Act. The capital requirements are expressed as risk-based capital and leverage ratios that compare measures of regulatory capital to risk-weighted assets (RWAs), average assets and off-balance sheet exposures
• We are required to calculate, for all quarters of the planning horizon:
• • Common Equity Tier 1 (CET1) capital, Tier 1 capital and Total capital ratios in accordance with the Standardized approach and market risk rules set out in the Capital Framework (together, the Standardized Capital Rules)
  • Tier 1 leverage ratio, using the Capital Framework definition of Tier 1 capital in the numerator and adjusted total assets (which includes adjustments for certain capital deductions) in the denominator
  • Supplementary leverage ratio (SLR), which includes the Capital Framework definition of Tier 1 capital in the numerator and a measure of leverage exposure consisting of total assets and certain off-balance sheet exposures in the denominator (which include a measure of derivatives, securities financing transactions, commitments and guarantees) less certain balance sheet deductions
• The planning horizon for the 2021 DFAST is the first quarter of 2021 through the first quarter of 2023

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2021 Annual Dodd-Frank Act Company-Run Stress Test Disclosure Overview & Requirements

Global Market Shock & Large Counterparty Default

• Firms with significant trading activity, such as us, must include in their DFAST Supervisory Severely Adverse scenario a component that assesses potential losses associated with trading positions, private equity positions and counterparty exposures (Global Market Shock (GMS)). Additionally, firms subject to the GMS must apply the shock as of a specified point in time, which results in an instantaneous loss and a reduction in capital at the start of the planning horizon
• In addition, firms with substantial trading or processing and custodian operations, such as us, are required to incorporate a counterparty default scenario component into their Supervisory Severely Adverse stress scenario. Firms subject to the counterparty default scenario component are required to estimate and report the potential losses and related effects on capital associated with the instantaneous and unexpected default of the counterparty that would generate the largest losses across its derivatives and securities financing transactions, including securities lending and repurchase agreement activities

Capital Actions

• Results incorporate capital action assumptions as prescribed by the FRB's DFAST rules, which assume no dividends on instruments that qualify as CET1 capital, no redemptions or repurchases of any capital instrument that is eligible for inclusion in the numerator of a regulatory capital ratio, and no issuances of common stock or preferred stock
• The FRB's DFAST rules also assume payments are made on instruments that qualify as additional Tier 1 capital or Tier 2 capital equal to the stated dividend, interest, or principal due on such instrument

Stress Capital Buffer (SCB)

• SCB is measured as the difference between the starting and lowest projected CET1 capital ratio in the Supervisory Severely Adverse scenario, as calculated by the FRB, plus four quarters of planned common stock dividends, subject to a 2.5% floor. This disclosure does not include detail on the SCB, which will be released by the FRB in August

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