Goldman Sachs : First Quarter 2021 Liquidity Coverage Ratio Disclosure

The Goldman Sachs Group, Inc.

LIQUIDITY COVERAGE RATIO DISCLOSURE

For the quarter ended March 31, 2021

THE GOLDMAN SACHS GROUP, INC.

Liquidity Coverage Ratio Disclosure

TABLE OF CONTENTS

	Page No.
Introduction	1
Liquidity Coverage Ratio	2
High-Quality Liquid Assets	2
Net Cash Outflows	3
Unsecured and Secured Financing	4
Derivatives	5
Unfunded Commitments	6
Cautionary Note on Forward-Looking Statements	8

INDEX OF TABLES

		Page No.
Table 1	Liquidity Coverage Ratio	2
Table 2	High-Quality Liquid Assets	3
Table 3	Net Cash Outflows	3
Table 4	Unsecured Net Cash Outflows	4
Table 5	Secured Net Cash Outflows	5
Table 6	Derivative Net Cash Outflows	6
Table 7	Unfunded Commitments Net Cash Outflows	6
Table 8	Liquidity Coverage Ratio Summary	7

March 2021 | LCR Disclosure

THE GOLDMAN SACHS GROUP, INC.

Liquidity Coverage Ratio Disclosure

Introduction

Overview

The Goldman Sachs Group, Inc. (Group Inc.), a Delaware corporation, together with its consolidated subsidiaries (collectively, the firm), is a leading global financial institution that delivers a broad range of financial services across investment banking, securities, investment management and consumer banking to a large and diversified client base that includes corporations, financial institutions, governments and individuals. When we use the terms "the firm," "we," "us" and "our," we mean Group Inc. and its consolidated subsidiaries.

The Board of Governors of the Federal Reserve System (FRB) is the primary regulator of Group Inc., a bank holding company (BHC) under the U.S. Bank Holding Company Act of 1956 and a financial holding company under amendments to this Act. As a BHC, we are subject to a minimum Liquidity Coverage Ratio (LCR) under the LCR Rule approved by the U.S. federal bank regulatory agencies. The LCR Rule sets forth minimum liquidity standards designed to ensure that banking organizations maintain adequate liquidity under a period of market stress. The FRB requires BHCs subject to the LCR Rule to make public LCR disclosures (LCR Public Disclosure Rule).

This document is designed to satisfy the LCR Public Disclosure Rule and should be read in conjunction with our most recent Quarterly Report on Form 10-Q. References to our Quarterly Report on Form 10-Q are for the quarter ended March 31, 2021 (March 2021).

Liquidity Risk Management

Liquidity risk is the risk that we will be unable to fund ourselves or meet our liquidity needs in the event of firm- specific, broader industry or market liquidity stress events. We have in place a comprehensive and conservative set of liquidity and funding policies. Our principal objective is to be able to fund ourselves and to enable our core businesses to continue to serve clients and generate revenues, even under adverse circumstances.

Treasury, which reports to our chief financial officer, has primary responsibility for developing, managing and executing our liquidity and funding strategy within our risk appetite.

Liquidity Risk, which is independent of our revenue- producing units and Treasury, and reports to our chief risk officer, has primary responsibility for assessing, monitoring and managing our liquidity risk through firmwide oversight across our global businesses and the establishment of stress testing and limits frameworks.

For information about our internal Liquidity Risk Management framework, see "Risk Management - Liquidity Risk Management" in Part I, Item 2 "Management's Discussion and Analysis of Financial Condition and Results of Operations" in our Quarterly Report on Form 10-Q.

Compliance with Liquidity Requirements

At the consolidated level, the firm is subject to both the LCR Rule and the LCR Public Disclosure Rule.

The LCR Rule requires that a firm subject to the LCR Rule maintain an amount of high-quality liquid assets (HQLA) that is no less than 100% of the firm's total net cash outflows (NCOs) over a prospective 30 calendar-day period. The LCR Rule preamble states that a firm's HQLA is expected to be available for use to address liquidity needs in a time of stress, which could result in a firm's LCR dropping below the requirement of 100%. The LCR Rule sets forth a supervisory framework for addressing LCR shortfalls that is intended to enable supervisors to monitor and respond appropriately to the unique circumstances that give rise to a firm's LCR shortfall.

The LCR Public Disclosure Rule requires BHCs to disclose, on a quarterly basis, the average daily LCR over the quarter, as well as quantitative and qualitative information about certain components of a firm's LCR.

The information presented in this document is calculated in accordance with the LCR Rule and presented in accordance with the LCR Public Disclosure Rule, unless otherwise specified. The information is based on our current interpretation and understanding of the LCR Rule and the LCR Public Disclosure Rule and may evolve as we discuss the interpretation and application of these rules with our regulators. Table 8 (lines 1 through 33) presents the firm's LCR in the format provided in the LCR Public Disclosure Rule. Tables 1 through 7 present a supplemental breakdown of the firm's LCR components.

March 2021 | LCR Disclosure 1

THE GOLDMAN SACHS GROUP, INC.

Liquidity Coverage Ratio Disclosure

In addition to the liquidity requirements applicable at the consolidated level, certain of our subsidiaries are subject to liquidity requirements. For information about our subsidiaries' liquidity requirements, see "Risk Management

• Liquidity Risk Management" in Part I, Item 2 "Management's Discussion and Analysis of Financial Condition and Results of Operations" in our Quarterly Report on Form 10-Q.

Liquidity Coverage Ratio

The LCR Rule requires a firm to maintain an amount of HQLA sufficient to meet stressed cash outflows over a prospective 30 calendar-day period.

The table below presents information about our average daily LCR.

Table 1: Liquidity Coverage Ratio

	Three Months Ended March 2021
$ in millions	Average Weighted
Total high-quality liquid assets	$288,142
Eligible high-quality liquid assets	$210,133
Net cash outflows	$151,993
Liquidity coverage ratio	138%

In the table above, the weighted Total HQLA and Eligible HQLA balances reflect the application of haircuts prescribed in the LCR Rule as described below. The LCR is calculated as the ratio of weighted Eligible HQLA to weighted NCOs. The firm's NCOs largely consist of prospective outflows related to the firm's unsecured funding, derivative positions and unfunded commitments.

The firm's average LCR for the three months ended March 2021 was 138%, as compared with the firm's average LCR for the three months ended December 2020 of 128%. The firm's average weighted Eligible HQLA and NCOs decreased compared to the prior reporting period. We expect that fluctuations in client activity, business mix and the market environment will impact our LCR.

See "High-Quality Liquid Assets" and "Net Cash Outflows" for further information about the firm's LCR.

High-Quality Liquid Assets

Total HQLA represents unencumbered, high-quality liquid assets held by the firm across entities. The LCR Rule defines HQLA in three asset categories: Level 1, Level 2A and Level 2B, and applies haircuts and limits to certain asset categories.

Level 1 assets are considered the most liquid under the LCR Rule and are eligible for inclusion in a firm's HQLA amount without a haircut or limit. Level 2A and 2B assets are considered less liquid than Level 1 assets and are subject to additional adjustments in the LCR Rule. Specifically, Level 2A assets are subject to a haircut of 15% of their fair value, while Level 2B assets are subject to a haircut of 50% of their fair value. In addition, the sum of Level 2A and 2B assets cannot comprise more than 40% of a firm's HQLA amount, and Level 2B assets cannot comprise more than 15% of a firm's HQLA amount.

Eligible HQLA is the amount of Total HQLA that meets operational requirements and generally applicable criteria, including considerations for the transferability of excess liquidity held at subsidiaries, as set forth in the LCR Rule. The operational requirements for Eligible HQLA include, but are not limited to, the following:

• Eligible HQLA must be under the control of the liquidity management function.
• A firm must have the operational capability to monetize the assets that qualify as Eligible HQLA.

The generally applicable criteria for Eligible HQLA include, but are not limited to, the requirement that the assets be unencumbered and that a firm take into account the following restrictions related to the transferability of HQLA across entities:

• If a subsidiary is subject to a minimum liquidity standard under the LCR Rule, then its HQLA can be included in a firm's Eligible HQLA up to the amount of the subsidiary's NCOs included in the subsidiary's LCR calculation.
• If a subsidiary is not subject to a minimum liquidity standard under the LCR Rule, then its HQLA can be included in a firm's Eligible HQLA up to the amount of the subsidiary's NCOs included in a firm's consolidated LCR calculation.
• A firm can also include in its Eligible HQLA any additional amount of HQLA held by a subsidiary that would be available for transfer without statutory, regulatory, contractual or supervisory restrictions to a firm's top-tier parent entity during times of stress.

March 2021 | LCR Disclosure 2

THE GOLDMAN SACHS GROUP, INC.

Liquidity Coverage Ratio Disclosure

The table below presents a summary of the components of HQLA held by the firm, calculated in accordance with the LCR Rule.

Table 2: High-Quality Liquid Assets

Three Months

		Ended March 2021
		Average	Average
	$ in millions	Unweighted	Weighted
	Total high-quality liquid assets	$290,501	$288,142
Eligible high-quality liquid assets	$210,314	$210,133
	Level 1	209,159	209,159
	Level 2A	1,133	963
	Level 2B	22	11

In the table above, weighted balances reflect the application of haircuts to HQLA, as prescribed by the LCR Rule.

Both the firm's Total HQLA and Eligible HQLA substantially consist of Level 1 assets and are diversified across the firm's major operating currencies. The firm's Total HQLA is also substantially similar in composition to our global core liquid assets (GCLA).

For information about our GCLA, see "Risk Management - Liquidity Risk Management" in Part I, Item 2 "Management's Discussion and Analysis of Financial Condition and Results of Operations" in our Quarterly Report on Form 10-Q.

Net Cash Outflows

Overview

The LCR Rule defines NCOs as the net of cash outflows and inflows during a prospective stress period of 30 calendar days. NCOs are calculated by applying prescribed outflow and inflow rates to certain assets, liabilities and off-balance- sheet arrangements. These outflow and inflow rates reflect a specific standardized stress scenario to a firm's funding sources, contractual obligations and assets over the prospective stress period, as prescribed by the LCR Rule. Due to the inherently uncertain and variable nature of stress events, the firm's actual cash outflows and inflows in a realized liquidity stress event may differ, possibly materially, from those reflected in the firm's NCOs.

To capture outflows and inflows that would occur within a 30 calendar-day period, the LCR Rule requires that a firm's NCOs calculation reflects outflows and inflows based on the contractual maturity of certain assets, liabilities and off- balance-sheet arrangements. To determine the maturity date of outflows, the LCR Rule accounts for any option that could accelerate the maturity date of an instrument or the date of a transaction and does not recognize notice periods. Where contractual maturity is not applicable, the LCR Rule also sets forth stressed outflow assumptions. In addition, the LCR Rule requires a firm to recognize contractual outflows within a 30 calendar-day period that are not otherwise described in the LCR Rule and does not recognize inflows not specified in the LCR Rule. The inflows included in the NCOs calculation are subject to a cap of 75% of a firm's calculated outflows.

The LCR Rule also considers mismatches in maturities that could impact a firm's liquidity position during a 30 calendar- day period. Specifically, a firm is required to calculate and compare the net cumulative outflow amount on the final day of the period to the largest single-day difference between certain cumulative outflows and inflows during the period. The difference between the net outflows on the last day and largest, or "peak," day is the maturity mismatch add-on, which is included in the firm's NCOs calculation.

The table below presents a summary of the firm's NCOs, calculated in accordance with the LCR Rule.

Table 3: Net Cash Outflows

	Three Months Ended March 2021
$ in millions	Average Weighted
Total net cash outflows excluding maturity mismatch add-on	$149,398
Maturity mismatch add-on		2,595
Total net cash outflows		$151,993

Further details about each of the material components of the firm's NCOs, including a description of the applicable sections of the LCR Rule, are described below.

In the tables referenced in the remainder of this section, unweighted balances reflect certain of the firm's assets, liabilities and off-balance-sheet arrangements captured in the LCR Rule. Weighted balances reflect the application of prescribed outflow and inflow rates to these unweighted balances.

March 2021 | LCR Disclosure 3