Goldman Sachs : First Quarter 2021 Pillar 3 Disclosures

The Goldman Sachs Group, Inc.

PILLAR 3 DISCLOSURES

For the period ended March 31, 2021

THE GOLDMAN SACHS GROUP, INC.

Pillar 3 Disclosures

TABLE OF CONTENTS

	Page No.
Index of Tables	1
Introduction	2
Regulatory Capital	5
Capital Structure	6
Risk-Weighted Assets	8
Credit Risk	8
Equity Exposures in the Banking Book	15
Securitizations in the Banking Book	18
Market Risk	22
Operational Risk	28
Model Risk Management	30
Interest Rate Sensitivity	31
Cautionary Note on Forward-Looking Statements	32
Glossary of Risk Terms	33
Index of References	36

INDEX OF TABLES

		Page No.
Table 1	Regulatory Risk-Based Capital and Leverage Ratios	5
Table 2	Risk-Based Capital and Leverage Requirements	6
Table 3	Capital Structure	6
Table 4	Risk-Weighted Assets by Exposure Category	8
Table 5	Credit Risk Wholesale Exposures by PD Band	11
Table 6	Credit Risk Retail Exposures by PD Band	12
Table 7	Equity Exposures in the Banking Book	17
Table 8	Securitization Exposures and Related RWAs by Exposure Type	21
Table 9	Securitization Exposures and Related RWAs by Regulatory Capital Approach	21
Table 10	Securitization Activity - Banking Book	22
Table 11	Regulatory VaR	24
Table 12	Stressed VaR	24
Table 13	Incremental Risk	24
Table 14	Comprehensive Risk	25
Table 15	Daily Regulatory VaR	26
Table 16	Specific Risk	26
Table 17	Trading Book Securitization Exposures	27

March 2021 | Pillar 3 Disclosures 2

THE GOLDMAN SACHS GROUP, INC.

Pillar 3 Disclosures

Introduction

Overview

The Goldman Sachs Group, Inc. (Group Inc. or parent company), 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 Bank Holding Company Act of 1956 and a financial holding company under amendments to this Act. We are subject to consolidated regulatory capital requirements which are calculated in accordance with the regulations of the FRB (Capital Framework).

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. Failure to comply with these capital requirements could result in restrictions being imposed by our regulators and could limit our ability to repurchase shares, pay dividends and make certain discretionary compensation payments. Our capital levels are also subject to qualitative judgments by the regulators about components of capital, risk weightings and other factors.

The Capital Framework, as described below, requires disclosures based on the third pillar of Basel III (Pillar 3). The purpose of Pillar 3 disclosures is to provide information on banking institutions' risk management practices and regulatory capital ratios. This document is designed to satisfy these requirements and should be read in conjunction with our most recent Quarterly Report on Form 10-Q, our most recent Annual Report on Form 10-K, as well as our most recent FFIEC 101 Report, "Regulatory Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework." References to our "Quarterly Report on Form 10-Q" are to our Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2021 and references to our "2020 Form 10-K" are to our Annual Report on Form 10-K for the year ended December 31, 2020. All references to March 2021 and December 2020 refer to the periods ended, or the dates, as the context requires, March 31, 2021 and December 31, 2020, respectively. References to our FFIEC 101 Report refer to our report filed for the period ended March 31, 2021, available on the National Information Center's website located at www.ffiec.gov.

Capital Framework

The regulations under the Capital Framework are largely based on the Basel Committee on Banking Supervision's (Basel Committee) capital framework for strengthening international capital standards (Basel III) and also implement certain provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act). Under the Capital Framework, we are an "Advanced approach" banking organization and have been designated as a global systemically important bank (G-SIB).

The Capital Framework includes the minimum risk-based capital and the capital conservation buffer requirements. The buffer must consist entirely of capital that qualifies as Common Equity Tier 1 (CET1) capital.

March 2021 | Pillar 3 Disclosures 3

THE GOLDMAN SACHS GROUP, INC.

Pillar 3 Disclosures

The firm calculates its CET1 capital, Tier 1 capital and Total capital ratios in accordance with both the Standardized and Advanced Capital Rules. Each of the ratios calculated under the Standardized and Advanced Capital Rules must meet its respective capital requirements.

Under the Capital Framework, the firm is also subject to leverage requirements which consist of a minimum Tier 1 leverage ratio and a minimum supplementary leverage ratio (SLR), as well as the SLR buffer.

The firm's Standardized CET1 capital, Tier 1 capital and Total capital ratios were 14.3%, 15.9% and 18.4% as of March 2021. For additional information about our Standardized capital ratios and ratio requirements, see "Note

20. Regulation and Capital Adequacy" in Part I, Item 1 "Financial Statements" in our Quarterly Report on Form 10- Q.

The Advanced Capital Rules require an Advanced approach BHC to meet a series of qualification requirements on an ongoing basis. They also require notification to supervisors of any change to a model that results in a material change in its RWAs, or of any significant change to its modeling assumptions. These qualification requirements address the following areas: the bank's governance processes and systems for maintaining adequate capital commensurate with its risk profile; its internal systems for segmenting exposures and applying risk weights; its quantification of risk parameters used, including its model-based estimates of exposures; its operational risk management processes, data management and quantification systems; the data management systems that are designed to support the timely and accurate reporting of risk-based capital requirements; and the control, oversight and validation mechanisms exercised by senior management and by the Board of Directors of Group Inc. (Board).

The information presented in this document is calculated in accordance with the Capital Framework, with RWAs calculated in accordance with the Advanced Capital Rules, unless otherwise specified.

Definition of Risk-WeightedAssets. As of March 2021, RWAs were calculated in accordance with both the Advanced and Standardized Capital Rules.

For additional information about the Capital Framework and the requirement to calculate RWAs in accordance with both the Advanced and Standardized Capital Rules, see "Note 20. Regulation and Capital Adequacy" in Part I, Item 1 "Financial Statements" in our Quarterly Report on Form 10- Q. Also see "Regulation" in Part I, Item 1 "Business" in our 2020 Form 10-K for additional information about our regulatory capital requirements.

Fair Value

Trading assets and liabilities, certain investments and loans, and certain other financial assets and liabilities, are included in our consolidated balance sheets at fair value (i.e., marked- to-market), with related gains or losses generally recognized in our consolidated statements of earnings and, therefore, in capital. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The use of fair value to measure financial instruments is fundamental to our risk management practices and is our most critical accounting policy. The daily discipline of marking substantially all of our inventory to current market levels is an effective tool for assessing and managing risk and provides transparent and realistic insight into our financial exposures. The use of fair value is an important aspect to consider when evaluating our capital base and our capital ratios, as changes in the fair value of our positions are reflected in the current period's shareholders' equity, and accordingly, regulatory capital; it is also a factor used to determine the classification of positions into the banking book and trading book, as discussed further below.

For additional information regarding the determination of fair value under accounting principles generally accepted in the United States (U.S. GAAP) and controls over valuation of financial instruments, see "Note 3. Significant Accounting Policies" in Part I, Item 1 "Financial Statements" and "Critical Accounting Policies - Fair Value" 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.

March 2021 | Pillar 3 Disclosures 4

THE GOLDMAN SACHS GROUP, INC.

Pillar 3 Disclosures

Banking Book/Trading Book Classification

In order to determine the appropriate regulatory capital treatment for our exposures, positions must be first classified into either "banking book" or "trading book." Positions are classified as banking book unless they qualify to be classified as trading book.

Banking book positions are not generally held "for the purpose of short-term resale or with the intent of benefiting from actual or expected short-term price movements or to lock in arbitrage profits1." They may be accounted for at amortized cost, fair value or in accordance with the equity method. Banking book positions are subject to credit risk regulatory capital requirements. Credit risk represents the potential for loss due to the default or deterioration in credit quality of a counterparty (e.g., an OTC derivatives counterparty or a borrower) or an issuer of securities or other instruments we hold. See "Credit Risk" for additional details.

Trading book positions generally meet the following criteria: they are assets or liabilities that are accounted for at fair value; they are risk managed using a Value-at-Risk (VaR) internal model; and they are positions that we hold, generally as part of our market-making and underwriting businesses, "for the purpose of short-term resale or with the intent of benefiting from actual or expected short-term price movements or to lock in arbitrage profits1." In accordance with the Capital Framework, trading book positions are generally considered covered positions. Foreign exchange and commodity positions are typically considered covered positions, whether or not they meet the other criteria for classification as trading book positions. Covered positions are subject to market risk regulatory capital requirements which are designed to cover the risk of loss in value of these positions due to changes in market conditions. See "Market Risk" for further details. Some trading book positions, such as derivatives, are also subject to counterparty credit risk regulatory capital requirements.

Basis of Consolidation

The Pillar 3 disclosures and the firm's regulatory capital ratio calculations are prepared at the consolidated Group Inc. level. Our consolidated financial statements are prepared in accordance with U.S. GAAP and include the accounts of Group Inc. and all other entities in which we have a controlling financial interest. Intercompany transactions and balances have been eliminated. The scope of consolidation for regulatory capital purposes is substantially consistent with the firm's U.S. GAAP consolidation.

1 See definition of "Trading position" in 12 CFR 217.202.

For further information about the basis of presentation of our financial statements and accounting consolidation policies, see "Note 2. Basis of Presentation" and "Note 3. Significant Accounting Policies" in Part I, Item 1 "Financial Statements" in our Quarterly Report on Form 10-Q.

Restrictions on the Transfer of Funds or Regulatory Capital within the Firm

Group Inc. is a holding company and, therefore, utilizes dividends, distributions and other payments from its subsidiaries to fund dividend payments and other payments on its obligations, including debt obligations. Regulatory capital requirements as well as other provisions of applicable law and regulations restrict Group Inc.'s ability to withdraw capital from its regulated subsidiaries.

For information about restrictions on the transfer of funds within Group Inc. and its subsidiaries, see "Note 20. Regulation and Capital Adequacy" in Part I, Item 1 "Financial Statements" and "Risk Management - Liquidity Risk Management" and "Equity Capital Management and Regulatory Capital" 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 Capital Requirements

As of March 2021, none of Group Inc.'s consolidated subsidiaries that are subject to minimum regulatory capital requirements in a local jurisdiction had capital levels less than such requirements.

GS Bank USA, the firm's primary U.S. bank subsidiary, is a Federal Deposit Insurance Corporation (FDIC)-insured, New York State-chartered bank and a member of the Federal Reserve System, is supervised and regulated by the FRB, the FDIC, the New York State Department of Financial Services and the Consumer Financial Protection Bureau, and is subject to regulatory capital requirements that are calculated under the Capital Framework. GS Bank USA is an Advanced approach banking organization under the Capital Framework.

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