Third Quarter 2021 Pillar 3 Disclosures

The Goldman Sachs Group, Inc.

PILLAR 3 DISCLOSURES

For the period ended September 30, 2021

THE GOLDMAN SACHS GROUP, INC.

Pillar 3 Disclosures

TABLE OF CONTENTS

	Page No.
Introduction	2
Regulatory Capital	5
Capital Structure	6
Risk-Weighted Assets	7
Credit Risk	8
Equity Exposures in the Banking Book	14
Securitizations in the Banking Book	17
Market Risk	20
Operational Risk	25
Model Risk	26
Interest Rate Sensitivity	27
Forward-Looking Statements	28
Glossary of Risk Terms	29
Index of References	32

INDEX OF TABLES

		Page No.
Table 1	Risk-Based Capital and Leverage Requirements	5
Table 2	Risk-Based Capital and Leverage Ratios	5
Table 3	Capital Structure	6
Table 4	RWAs by Exposure Category	7
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	16
Table 8	Securitization Exposures and Related RWAs by Exposure Type	19
Table 9	Securitization Exposures and Related RWAs by Regulatory Capital Approach	19
Table 10	Securitization Activity - Banking Book	20
Table 11	Regulatory VaR	21
Table 12	Stressed VaR	22
Table 13	Incremental Risk	22
Table 14	Comprehensive Risk	22
Table 15	Daily Regulatory VaR	23
Table 16	Specific Risk	23
Table 17	Trading Book Securitization Exposures	24

September 2021 | Pillar 3 Disclosures 1

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.

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. The firm is 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 the firm's regulators and could limit the firm's ability to repurchase shares, pay dividends and make certain discretionary compensation payments. The firm's 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 about banking institutions' risk management practices and regulatory capital ratios. This document is designed to satisfy these requirements and should be read in conjunction with the firm's most recent Quarterly Report on Form 10-Q, Annual Report on Form 10-K and FFIEC 101 Report, "Regulatory Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework." References to the "Quarterly Report on Form 10-Q" are to the firm's Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2021 and references to the "2020 Form 10-K" are to the firm's Annual Report on Form 10-K for the year ended December 31, 2020. All references to September 2021 and December 2020 refer to the periods ended, or the dates, as the context requires, September 30, 2021 and December 31, 2020, respectively. References to the FFIEC 101 Report refer to the firm's report filed for the period ended September 30, 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 U.S. Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act). Under the Capital Framework, the firm is an Advanced approach banking organization and has 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.

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.

As of September 2021, the firm's Standardized ratios were 14.1% for CET1 capital, 15.5% for Tier 1 capital and 17.7% for Total capital. See "Note 20. Regulation and Capital Adequacy" in Part I, Item 1 "Financial Statements (Unaudited)" in the Quarterly Report on Form 10-Q for further information about the firm's Standardized capital ratios and ratio requirements.

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).

September 2021 | Pillar 3 Disclosures 2

THE GOLDMAN SACHS GROUP, INC.

Pillar 3 Disclosures

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 RWAs. As of September 2021, RWAs were calculated in accordance with both the Standardized and Advanced Capital Rules.

See "Note 20. Regulation and Capital Adequacy" in Part I, Item 1 "Financial Statements (Unaudited)" in the Quarterly Report on Form 10-Q for further information about the Capital Framework and the requirement to calculate RWAs in accordance with both the Standardized and Advanced Capital Rules. Also, see "Regulation" in Part I, Item 1 "Business" in the 2020 Form 10-K for further information about 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. The firm's consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States (U.S. GAAP) and include the accounts of Group Inc. and all other entities in which the firm has 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.

See "Note 2. Basis of Presentation" and "Note 3. Significant Accounting Policies" in Part I, Item 1 "Financial Statements (Unaudited)" in the Quarterly Report on Form 10-Q for further information about the basis of presentation of the firm's financial statements and policies on consolidation accounting.

Fair Value

Trading assets and liabilities, certain investments and loans, and certain other financial assets and liabilities, are included in the firm's consolidated balance sheets at fair value (i.e., marked-to-market), with related gains or losses generally recognized in the 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 the firm's risk management practices and is the most critical accounting policy. The daily discipline of marking substantially all of the firm's inventory to current market levels is an effective tool for assessing and managing risk and provides transparent and realistic insight into the firm's inventory exposures. The use of fair value is an important aspect to consider when evaluating the firm's capital base and capital ratios, as changes in the fair value of the firm's 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.

See "Note 3. Significant Accounting Policies" in Part I, Item 1 "Financial Statements (Unaudited)" and "Critical Accounting Policies - Fair Value" in Part I, Item 2 "Management's Discussion and Analysis of Financial Condition and Results of Operations" in the Quarterly Report on Form 10-Q for further information about the determination of fair value under U.S. GAAP and controls over valuation of financial instruments.

Banking Book/Trading Book Classification

In order to determine the appropriate regulatory capital treatment for the firm's exposures, positions must be first classified as 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 profits. 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 over-the-counter (OTC) derivatives counterparty or a borrower) or an issuer of securities or other instruments the firm holds. See "Credit Risk" for further information.

September 2021 | Pillar 3 Disclosures 3

THE GOLDMAN SACHS GROUP, INC.

Pillar 3 Disclosures

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 the firm holds, generally as part of the 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 profits. In accordance with the Capital Framework, trading book positions are generally considered covered positions. Foreign exchange and commodity positions are also 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 information. Certain trading book positions, such as derivatives, are also subject to counterparty credit risk regulatory capital requirements.

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.

See "Note 20. Regulation and Capital Adequacy" in Part I, Item 1 "Financial Statements (Unaudited)" and "Risk Management - Liquidity Risk Management" and "Capital Management and Regulatory Capital" in Part I, Item 2 "Management's Discussion and Analysis of Financial Condition and Results of Operations" in the Quarterly Report on Form 10-Q for information about restrictions on the transfer of funds between Group Inc. and its subsidiaries.

Compliance with Capital Requirements

As of September 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.

Goldman Sachs Bank USA (GS Bank USA), the firm's primary U.S. bank subsidiary, is an 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.

See "Note 20. Regulation and Capital Adequacy" in Part I, Item 1 "Financial Statements (Unaudited)" and "Capital Management and Regulatory Capital - Subsidiary Capital Requirements" in Part I, Item 2 "Management's Discussion and Analysis of Financial Condition and Results of Operations" in the Quarterly Report on Form 10-Q for information about GS Bank USA's regulatory capital and leverage ratios as well as other regulated subsidiaries. Reflecting the full impact of Current Expected Credit Losses (CECL) as of September 2021, GS Bank USA's Advanced ratios would have been 18.1% for both CET1 capital and Tier 1 capital, and 20.4% for Total capital, and the Standardized ratios would have been 11.7% for both CET1 capital and Tier 1 capital, and 13.8% for Total capital.

Other Items

See "Capital Management and Regulatory Capital" in Part I, Item 2 "Management's Discussion and Analysis of Financial Condition and Results of Operations" in the Quarterly Report on Form 10-Q for a detailed description of the firm's equity capital, and further information about the firm's capital planning and stress testing process, including the Comprehensive Capital Analysis and Review, the Dodd- Frank Act Stress Tests, the internally designed stress tests, the internal capital adequacy assessment, and the attribution of capital and contingency capital plan.

See "Risk Management - Overview and Structure of Risk Management" in Part I, Item 2 "Management's Discussion and Analysis of Financial Condition and Results of Operations" in the Quarterly Report on Form 10-Q for further information about the firm's risk management framework, including Board governance, processes and committee structure.

Measures of exposures and other metrics disclosed in this report and the FFIEC 101 Report may not be based on U.S. GAAP, may not be directly comparable to measures reported in the Quarterly Report on Form 10-Q or 2020 Form 10-K and may not all be comparable to similar measures used by other companies. These disclosures are not required to be, and have not been, audited by the firm's independent auditors. The firm's historical filings with the SEC and previous Pillar 3 and Regulatory Capital Disclosure documents are located at: www.goldmansachs.com/investor- relations.

September 2021 | Pillar 3 Disclosures 4