UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

Form 10-Q
È QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2021
or

‘ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period fromtoCommission File Number: 001-14965

The Goldman Sachs Group, Inc.
(Exact name of registrant as specified in its charter)

Delaware13-4019460(State or other jurisdiction ofincorporation or organization)(I.R.S. Employer
Identification No.)

200 West Street, New York, N.Y.

10282

(Address of principal executive offices)(Zip Code)(212) 902-1000(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:
Exchange
Trading on which
Symbol registered

Title of each class
Common stock, par value $.01 per share

GS

NYSE

Depositary Shares, Each Representing 1/1,000th Interest in a Share of Floating Rate Non-Cumulative Preferred Stock, Series A

GS PrA

NYSE

Depositary Shares, Each Representing 1/1,000th Interest in a Share of Floating Rate Non-Cumulative Preferred Stock, Series C

GS PrC

NYSE

Depositary Shares, Each Representing 1/1,000th Interest in a Share of Floating Rate Non-Cumulative Preferred Stock, Series D

GS PrD

NYSE

Depositary Shares, Each Representing 1/1,000th Interest in a Share of 5.50% Fixed-to-Floating Rate Non-Cumulative Preferred Stock, Series J

GS PrJ

NYSE

Depositary Shares, Each Representing 1/1,000th Interest in a Share of 6.375% Fixed-to-Floating Rate Non-Cumulative Preferred Stock, Series K GS PrK

NYSE

5.793% Fixed-to-Floating Rate Normal Automatic Preferred Enhanced Capital Securities of Goldman Sachs Capital II

GS/43PE

NYSE

Floating Rate Normal Automatic Preferred Enhanced Capital Securities of Goldman Sachs Capital III

GS/43PFNYSE

Medium-Term Notes, Series F, Callable Fixed and Floating Rate Notes due 2031 of GS Finance Corp.

GS/31B

NYSE

Medium-Term Notes, Series E, Index-Linked Notes due 2028 of GS Finance Corp.

FRLG NYSE Arca

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934
during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days. È Yes ‘ No
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 ofRegulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such
files). È Yes ‘ No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an
emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growthcompany” in Rule 12b-2 of the Exchange Act.
Large accelerated filer È

Accelerated filer ‘

Non-accelerated filer ‘

Smaller reporting company ‘Emerging growth company ‘

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new
or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ‘
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). ‘ Yes È No
As of October 15, 2021, there were 334,792,980 shares of the registrant’s common stock outstanding.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESQUARTERLY REPORT ON FORM 10-Q FOR THE QUARTER ENDED SEPTEMBER 30, 2021

INDEX
Form 10-Q Item Number

Page No.

PART IFINANCIAL INFORMATION

1Item 1Page No.
Report of Independent Registered Public Accounting Firm

95

Statistical Disclosures

96

Item 2Financial Statements (Unaudited)1

Consolidated Statements of Earnings

1

Management’s Discussion and Analysis of Financial Condition
and Results of Operations
98

Consolidated Statements of Comprehensive Income

1

Introduction

98

Consolidated Balance Sheets

2

Executive Overview

98

Consolidated Statements of Changes in Shareholders’ Equity

3

Business Environment

99

Consolidated Statements of Cash Flows4

Critical Accounting Policies

100

Notes to Consolidated Financial Statements

5

Use of Estimates

102

Note 1. Description of Business
Note 2. Basis of Presentation

5
5

Recent Accounting Developments

102

Results of Operations

102

Note 3. Significant Accounting Policies

6

Balance Sheet and Funding Sources

120

Note 4. Fair Value Measurements

11

Capital Management and Regulatory Capital

123

Note 5. Trading Assets and Liabilities

16

Regulatory and Other Matters

127

Note 6. Trading Cash Instruments

17

Off-Balance Sheet Arrangements and Contractual Obligations 130

Note 7. Derivatives and Hedging Activities

20

Risk Management

Note 8. Investments

30

Overview and Structure of Risk Management

131

Note 9. Loans

36

Liquidity Risk Management

137

Note 10. Fair Value Option

46

Market Risk Management

143

Note 11. Collateralized Agreements and Financings

51

Credit Risk Management

147

Note 12. Other Assets

55

Operational Risk Management

156

Note 13. Deposits

57

Model Risk Management

157

Note 14. Unsecured Borrowings

58

Available Information

158

Note 15. Other Liabilities

61

Forward-Looking Statements

159

Note 16. Securitization Activities

61

Item 3Note 17. Variable Interest Entities

63

Quantitative and Qualitative Disclosures About Market Risk 162

Note 18. Commitments, Contingencies and Guarantees

66

Item 4Note 19. Shareholders’ Equity

70

Controls and Procedures

Note 20. Regulation and Capital Adequacy

73

PART II

Note 21. Earnings Per Common Share81

OTHER INFORMATION

Note 22. Transactions with Affiliated Funds

81

Note 23. Interest Income and Interest Expense

82

Note 24. Income Taxes

82

Note 25. Business Segments

83

Note 26. Credit Concentrations

86

Note 27. Legal Proceedings

86

131

162
162

Item 1
Legal Proceedings

162

Item 2
Unregistered Sales of Equity Securities and Use of Proceeds

162

Item 5
Other Information

162

Item 6
Exhibits

163

SIGNATURES

163

Goldman Sachs September 2021 Form 10-Q

PART I. FINANCIAL INFORMATION
Item 1. Financial Statements (Unaudited)
THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Consolidated Statements of Earnings(Unaudited)in millions, except per share amounts

Three Months
Ended September

Nine Months
Ended September

2021

2020

2021

2020

Revenues
Investment banking
Investment management
Commissions and fees
Market making
Other principal transactions
Total non-interest revenues$ 3,548
2,139
860
3,929
1,568
12,044$ 1,934
1,689
804
3,327
1,943
9,697

$10,564
5,840
2,766
13,096
9,759
42,025$ 6,409
5,092
2,699
12,7962,482
29,478Interest income
Interest expense
Net interest income
Total net revenues

3,117
1,553
1,564
13,608

2,932
1,848
1,084
10,781

9,110
4,435
4,675
46,70010,716
7,375
3,341
32,819

175

278

13

2,805

3,167
1,139
165
397
509
239
433
542
6,591

3,117
1,011
70
340
468
235
298
665
6,204

14,473
3,520
360
1,143
1,527
727
1,137
1,781
24,668

10,830
3,055
312
1,006
1,404
706
956
4,807
23,076Pre-tax earnings
Provision for taxes
Net earnings
Preferred stock dividends
Net earnings applicable to common shareholders

6,842
1,464
5,378
94
$ 5,284

4,299
932
3,367
134
$ 3,233

22,0194,319
17,700358$17,342

6,938
1,985
4,953
400
$ 4,553

Earnings per common share
Basic
Diluted$ 15.14$ 14.93

$
$

9.07
8.98

$ 49.23$ 48.59$ 12.71$ 12.65

355.9
359.9

351.8
356.9

356.5
360.0

Provision for credit losses
Operating expenses
Compensation and benefits
Transaction based
Market development
Communications and technology
Depreciation and amortization
Occupancy
Professional fees
Other expenses
Total operating expenses

Average common shares
Basic
Diluted

348.3
353.9

Consolidated Statements of Comprehensive Income(Unaudited)$ in millions

Net earnings
Other comprehensive income/(loss) adjustments, net of tax:
Currency translation
Debt valuation adjustment
Pension and postretirement liabilities
Available-for-sale securities
Other comprehensive income/(loss)
Comprehensive income

The accompanying notes are an integral part of these consolidated financial statements.

1

Goldman Sachs September 2021 Form 10-Q

Three Months
Ended September

Nine Months
Ended September

2021

2020

2021

2020

$ 5,378$ 3,367$17,700$ 4,953

(20)
67
–
(114)
(67)
$ 5,311

(13)
(268)
(2)
(11)
(294)
$ 3,073

(36)
165
7
(658)
(522)
$17,178

(74)
428
1
494
849
$ 5,802

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Consolidated Balance Sheets(Unaudited)
As of
September
2021

December2020$ 211,830$ 155,842

213,062
186,671
171,780
392,998
86,708143,624
36,557$1,443,230

108,060
142,160
121,331393,630
88,445
116,115
37,445$1,163,028$ 333,038$ 259,962

167,339
41,534
19,685
252,120
204,269
48,990242,780
27,178
1,336,933

126,571
21,62125,755
190,658
153,727
52,870213,481
22,451
1,067,096

Shareholders’ equity
Preferred stock; aggregate liquidation preference of $9,953 and $11,203
9,953
Common stock; 906,430,049 and 901,692,039 shares issued, and 334,792,980 and 344,088,725 shares outstanding
9
Share-based awards
3,896
Nonvoting common stock; no shares issued and outstanding–
Additional paid-in capital
56,398Retained earnings
128,631
Accumulated other comprehensive loss
(1,956)
Stock held in treasury, at cost; 571,637,071 and 557,603,316 shares(90,634)
Total shareholders’ equity
106,297
Total liabilities and shareholders’ equity$1,443,230

11,2039
3,468–
55,679112,947(1,434)(85,940)
95,932$1,163,028$ in millions

AssetsCash and cash equivalents
Collateralized agreements:
Securities purchased under agreements to resell (at fair value)
Securities borrowed (includes $34,437 and $28,898 at fair value)
Customer and other receivables (includes $46 and $82 at fair value)
Trading assets (at fair value and includes $66,754 and $69,031 pledged as collateral)
Investments (includes $80,969 and $82,778 at fair value, and $14,515 and $13,375 pledged as collateral)
Loans (net of allowance of $3,332 and $3,874, and includes $12,104 and $13,625 at fair value)
Other assets
Total assets
Liabilities and shareholders’ equity
Deposits (includes $34,078 and $16,176 at fair value)
Collateralized financings:
Securities sold under agreements to repurchase (at fair value)
Securities loaned (includes $7,298 and $1,053 at fair value)
Other secured financings (includes $18,208 and $24,126 at fair value)
Customer and other payables
Trading liabilities (at fair value)
Unsecured short-term borrowings (includes $30,447 and $26,750 at fair value)
Unsecured long-term borrowings (includes $47,880 and $40,911 at fair value)
Other liabilities (includes $166 and $263 at fair value)
Total liabilities
Commitments, contingencies and guarantees

The accompanying notes are an integral part of these consolidated financial statements.

Goldman Sachs September 2021 Form 10-Q

2

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Consolidated Statements of Changes in Shareholders’ Equity(Unaudited)Three Months
Ended September$ in millions

2021

2020

Nine Months
Ended September
2021

2020

Preferred stock
Beginning balance$ 9,203 $ 11,203 $ 11,203 $ 11,203
Issued
750
–
1,425
350
Redeemed––(2,675)(350)
Ending balance
9,953 11,203
9,953 11,203
Common stock
Beginning balance
9999Issued––––Ending balance
9999Share-based awards
Beginning balance
3,759
3,203
3,468
3,195
Issuance and amortization of share-based awards
202
176
2,180
1,770
Delivery of common stock underlying share-based awards
(21)
(33)
(1,625) (1,597)
Forfeiture of share-based awards
(44)
(38)
(127)
(60)
Ending balance
3,896
3,308
3,896
3,308
Additional paid-in capital
Beginning balance
56,390 55,637
55,679 54,883
Delivery of common stock underlying share-based awards
23
34
1,676
1,607
Cancellation of share-based awards in satisfaction of withholding tax requirements
(14)
(9)
(983)
(828)
Issuance costs of redeemed preferred stock
(1)
–
25
–
Other
–
–
1
–
Ending balance
56,398 55,662
56,398 55,662
Retained earnings
Beginning balance, as previously reported
124,051 106,248
112,947 106,465
Cumulative effect of change in accounting principle for current expected credit losses, net of tax
–
–
–
(638)
Beginning balance, adjusted
124,051 106,248
112,947 105,827
Net earnings
5,378
3,367
17,700
4,953
Accretion of redeemable noncontrolling interests
(4)
–
(69)
–
Dividends and dividend equivalents declared on common stock and share-based awards
(700)
(448)
(1,589) (1,347)
Dividends declared on preferred stock
(94)
(134)
(317)
(399)
Preferred stock redemption premium
–
–
(41)
(1)
Ending balance
128,631 109,033
128,631 109,033
Accumulated other comprehensive income/(loss)
Beginning balance(1,889)(341)(1,434) (1,484)
Other comprehensive income/(loss)
(67)
(294)
(522)
849
Ending balance(1,956)(635)(1,956)(635)
Stock held in treasury, at cost
Beginning balance(89,633) (85,930)(85,940) (84,006)
Repurchased(1,000)–(4,700) (1,928)
Reissued
1
1
11
11
Other
(2)
(1)
(5)
(7)
Ending balance(90,634) (85,930)(90,634) (85,930)
Total shareholders’ equity$106,297 $ 92,650 $106,297 $ 92,650

The accompanying notes are an integral part of these consolidated financial statements.

3

Goldman Sachs September 2021 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Consolidated Statements of Cash Flows(Unaudited)
Nine Months
Ended September$ in millions

2021

Cash flows from operating activities
Net earnings
Adjustments to reconcile net earnings to net cash used for operating activities:
Depreciation and amortization
Share-based compensation
Gain related to extinguishment of unsecured borrowings
Provision for credit losses
Changes in operating assets and liabilities:
Customer and other receivables and payables, net
Collateralized transactions (excluding other secured financings), net
Trading assets
Trading liabilities
Loans held for sale, net
Other, net
Net cash used for operating activities
Cash flows from investing activities
Purchase of property, leasehold improvements and equipment
Proceeds from sales of property, leasehold improvements and equipment
Net cash used for business acquisitions
Purchase of investments
Proceeds from sales and paydowns of investments
Loans (excluding loans held for sale), net
Net cash used for investing activities
Cash flows from financing activities
Unsecured short-term borrowings, net
Other secured financings (short-term), net
Proceeds from issuance of other secured financings (long-term)
Repayment of other secured financings (long-term), including the current portion
Purchase of Trust Preferred securities
Proceeds from issuance of unsecured long-term borrowings
Repayment of unsecured long-term borrowings, including the current portion
Derivative contracts with a financing element, net
Deposits, net
Preferred stock redemption
Common stock repurchased
Settlement of share-based awards in satisfaction of withholding tax requirements
Dividends and dividend equivalents paid on common stock, preferred stock and share-based awards
Proceeds from issuance of preferred stock, net of issuance costs
Other financing, net
Net cash provided by financing activities
Net increase in cash and cash equivalents
Cash and cash equivalents, beginning balance
Cash and cash equivalents, ending balance
Supplemental disclosures:
Cash payments for interest, net of capitalized interest
Cash payments for income taxes, net$ 17,700

2020

$

4,953

1,527
2,141
–
13

1,404
1,737
(1)
2,805

11,010(88,832)(1,815)50,065(1,780)(14,005)(23,976)(24,045)(21,080)(50,937)
53,306
2,264(148)(29,742)(3,548)3,111–(31,998)
40,127(24,219)(16,527)(4,906)
1,272(226)(37,516)
23,200(7,257)(25,433)

1,342
(635)
3,661
(4,922)–
68,798(38,370)477
74,612(2,675)(4,700)(984)(1,903)1,423
367
96,491
55,988155,842$211,830

6,567
1,629
6,016
(2,019)(11)
36,120(41,042)
1,022
70,654(350)(1,928)(829)(1,744)349
396
74,83019,655133,546$153,201

$
$

$
$

4,394
4,769

7,648
1,904

See Notes 12 and 16 for information about non-cash activities.

The accompanying notes are an integral part of these consolidated financial statements.

Goldman Sachs September 2021 Form 10-Q

4

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Note 1.

Description of Business
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 offinancial 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.
Founded in 1869, the firm is headquartered in New Yorkand maintains offices in all major financial centers aroundthe world.
The firm reports its activities in four business segments:
Investment Banking
The firm provides a broad range of investment banking
services to a diverse group of corporations, financial
institutions, investment funds and governments. Services
include strategic advisory assignments with respect tomergers and acquisitions, divestitures, corporate defense
activities, restructurings and spin-offs, and equity and debt
underwriting of public offerings and private placements.
The firm also provides lending to corporate clients,
including relationship lending, middle-market lending andacquisition financing. The firm also provides transaction
banking services to certain corporate clients.
Global Markets
The firm facilitates client transactions and makes markets
in fixed income, equity, currency and commodity productswith institutional clients, such as corporations, financial
institutions, investment funds and governments. The firm
also makes markets in and clears institutional clienttransactions on major stock, options and futures exchanges
worldwide and provides prime brokerage and other equities
financing activities, including securities lending, margin
lending and swaps. The firm also provides financing toclients through securities purchased under agreements toresell (resale agreements), and through structured credit,
warehouse and asset-backed lending.
Asset Management
The firm manages assets and offers investment products(primarily through separately managed accounts andcommingled vehicles, such as mutual funds and private
investment funds) across all major asset classes to a diverse
set of institutional clients and a network of third-party
distributors around the world. The firm makes equity
investments, which include alternative investing activities
related to public and private equity investments incorporate, real estate and infrastructure assets, as well as
investments through consolidated investment entities,
substantially all of which are engaged in real estate
investment activities. The firm also invests in corporate
debt and provides financing for real estate and other assets.
5Goldman Sachs September 2021 Form 10-Q

Consumer & Wealth Management
The firm provides investing and wealth advisory solutions,
including financial planning and counseling, executing
brokerage transactions and managing assets for individuals
in its wealth management business. The firm also provides
loans, accepts deposits and provides investing services
through its consumer banking digital platform, Marcus byGoldman Sachs, and through its private bank, as well as
issues credit cards to consumers.
Note 2.

Basis of Presentation
These consolidated financial statements are prepared inaccordance with accounting principles generally accepted in
the United States (U.S. GAAP) and include the accounts ofGroup Inc. and all other entities in which the firm has acontrolling financial interest. Intercompany transactions
and balances have been eliminated.
These consolidated financial statements are unaudited andshould be read in conjunction with the audited consolidated
financial statements included in the firm’s Annual Reporton Form 10-K for the year ended December 31, 2020.
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. Certain disclosures included in theannual financial statements have been condensed oromitted from these financial statements as they are notrequired for interim financial statements under U.S. GAAPand the rules of the Securities and Exchange Commission.
These unaudited consolidated financial statements reflect
all adjustments that are, in the opinion of management,
necessary for a fair statement of the results for the interim
periods presented. These adjustments are of a normal,
recurring nature. Interim period operating results may not
be indicative of the operating results for a full year.
All references to September 2021, June 2021 and
September 2020 refer to the firm’s periods ended, or thedates, as the context requires, September 30, 2021,
June 30, 2021 and September 30, 2020, respectively. All
references to December 2020 refer to the date
December 31, 2020. Any reference to a future year refers toa year ending on December 31 of that year. Certain
reclassifications have been made to previously reported
amounts to conform to the current presentation.
In the fourth quarter of 2020, brokerage, clearing,exchange and distribution fees was renamed transaction
based and additionally includes expenses resulting fromcompleted transactions, which are directly related to client
revenues. Such expenses were previously reported in otherexpenses. Previously reported amounts have been
conformed to the current presentation.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Note 3.

Significant Accounting Policies
The firm’s significant accounting policies include when andhow to measure the fair value of assets and liabilities,
measuring the allowance for credit losses on loans andlending commitments accounted for at amortized cost, andwhen to consolidate an entity. See Note 4 for policies onfair value measurements, Note 9 for policies on theallowance for credit losses, and below and Note 17 forpolicies on consolidation accounting. All other significant
accounting policies are either described below or includedin the following footnotes:
Fair Value Measurements

Note 4

Trading Assets and Liabilities

Note 5

Trading Cash Instruments

Note 6

Derivatives and Hedging Activities

Note 7

Investments

Note 8Loans

Note 9Fair Value Option

Note 10

Collateralized Agreements and Financings

Note 11

Other Assets

Note 12

Deposits

Note 13

Unsecured Borrowings

Note 14

Other Liabilities

Note 15

Securitization Activities

Note 16

Variable Interest Entities

Note 17

Commitments, Contingencies and Guarantees

Note 18

Shareholders’ Equity

Note 19

Regulation and Capital Adequacy

Note 20

Earnings Per Common Share

Note 21Transactions with Affiliated Funds

Note 22

Interest Income and Interest Expense

Note 23

Income Taxes

Note 24

Business Segments

Note 25

Credit Concentrations

Note 26

Legal Proceedings

Note 27

Consolidation
The firm consolidates entities in which the firm has acontrolling financial interest. The firm determines whether
it has a controlling financial interest in an entity by firstevaluating whether the entity is a voting interest entity or avariable interest entity (VIE).
Voting Interest Entities. Voting interest entities areentities in which (i) the total equity investment at risk is
sufficient to enable the entity to finance its activities
independently and (ii) the equity holders have the power todirect the activities of the entity that most significantly
impact its economic performance, the obligation to absorb
the losses of the entity and the right to receive the residual
returns of the entity. The usual condition for a controlling
financial interest in a voting interest entity is ownership of amajority voting interest. If the firm has a controllingmajority voting interest in a voting interest entity, the entity
is consolidated.
Variable Interest Entities. A VIE is an entity that lacks
one or more of the characteristics of a voting interest entity.
The firm has a controlling financial interest in a VIE when
the firm has a variable interest or interests that provide itwith (i) the power to direct the activities of the VIE thatmost significantly impact the VIE’s economic performanceand (ii) the obligation to absorb losses of the VIE or theright to receive benefits from the VIE that could potentiallybe significant to the VIE. See Note 17 for further
information about VIEs.
Equity-Method Investments. When the firm does nothave a controlling financial interest in an entity but canexert significant influence over the entity’s operating andfinancial policies, the investment is generally accounted forat fair value by electing the fair value option available under
U.S. GAAP. Significant influence generally exists when thefirm owns 20% to 50% of the entity’s common stock or
in-substance common stock.
In certain cases, the firm applies the equity method of
accounting to new investments that are strategic in natureor closely related to the firm’s principal business activities,
when the firm has a significant degree of involvement in the
cash flows or operations of the investee or when costbenefit considerations are less significant. See Note 8 forfurther information about equity-method investments.

Goldman Sachs September 2021 Form 10-Q

6

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Investment Funds. The firm has formed investment fundswith third-party investors. These funds are typicallyorganized as limited partnerships or limited liability
companies for which the firm acts as general partner ormanager. Generally, the firm does not hold a majority ofthe economic interests in these funds. These funds areusually voting interest entities and generally are notconsolidated because third-party investors typically haverights to terminate the funds or to remove the firm as
general partner or manager. Investments in these funds are
generally measured at net asset value (NAV) and areincluded in investments. See Notes 8, 18 and 22 for further
information about investments in funds.
Use of Estimates
Preparation of these consolidated financial statements
requires management to make certain estimates andassumptions, the most important of which relate to fairvalue measurements, the allowance for credit losses onloans and lending commitments accounted for at amortized
cost, discretionary compensation accruals, accounting for
goodwill and identifiable intangible assets, provisions forlosses that may arise from litigation and regulatory
proceedings (including governmental investigations), andprovisions for losses that may arise from tax audits. Theseestimates and assumptions are based on the best available
information but actual results could be materially different.
Revenue Recognition
Financial Assets and Liabilities at Fair Value. Trading
assets and liabilities and certain investments are carried atfair value either under the fair value option or in accordancewith other U.S. GAAP. In addition, the firm has elected toaccount for certain of its loans and other financial assets
and liabilities at fair value by electing the fair value option.
The fair value of a financial instrument is the amount thatwould be received to sell an asset or paid to transfer aliability in an orderly transaction between market
participants at the measurement date. Financial assets aremarked to bid prices and financial liabilities are marked tooffer prices. Fair value measurements do not include
transaction costs. Fair value gains or losses are generally
included in market making or other principal transactions.
See Note 4 for further information about fair value
measurements.

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Goldman Sachs September 2021 Form 10-Q

Revenue from Contracts with Clients. The firm
recognizes revenue earned from contracts with clients forservices, such as investment banking, investment
management, and execution and clearing (contracts withclients), when the performance obligations related to theunderlying transaction are completed.
Revenues from contracts with clients represent
approximately 50% of total non-interest revenues for thethree months ended September 2021 and approximately
40% for the nine months ended September 2021 (in eachcase, reflecting approximately 90% of investment banking
revenues, approximately 95% of investment management
revenues and all commissions and fees), and approximately
45% of total non-interest revenues for both the three andnine months ended September 2020 (in each case, reflecting
approximately 90% of investment banking revenues,
approximately 95% of investment management revenues
and all commissions and fees). See Note 25 for information
about net revenues by business segment.
Investment Banking
Advisory. Fees from financial advisory assignments arerecognized in revenues when the services related to theunderlying transaction are completed under the terms of theassignment. Non-refundable deposits and milestone
payments in connection with financial advisory
assignments are recognized in revenues upon completion of
the underlying transaction or when the assignment isotherwise concluded.
Expenses associated with financial advisory assignments
are recognized when incurred and are included intransaction based expenses. Client reimbursements for such
expenses are included in investment banking revenues.
Underwriting. Fees from underwriting assignments arerecognized in revenues upon completion of the underlying
transaction based on the terms of the assignment.
Expenses associated with underwriting assignments are
generally deferred until the related revenue is recognized or
the assignment is otherwise concluded. Such expenses areincluded in transaction based expenses for completed
assignments.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Investment Management
The firm earns management fees and incentive fees forinvestment management services, which are included ininvestment management revenues. The firm makes
payments to brokers and advisors related to the placementof the firm’s investment funds (distribution fees), which areincluded in transaction based expenses.
Management Fees. Management fees for mutual funds
are calculated as a percentage of daily net asset value andare received monthly. Management fees for hedge funds
and separately managed accounts are calculated as apercentage of month-end net asset value and are generally
received quarterly. Management fees for private equity
funds are calculated as a percentage of monthly invested
capital or committed capital and are received quarterly,
semi-annually or annually, depending on the fund.
Management fees are recognized over time in the period theservices are provided.
Distribution fees paid by the firm are calculated based oneither a percentage of the management fee, the investment
fund’s net asset value or the committed capital. Such fees
are included in transaction based expenses.
Incentive Fees. Incentive fees are calculated as apercentage of a fund’s or separately managed account’s
return, or excess return above a specified benchmark orother performance target. Incentive fees are generally basedon investment performance over a twelve-month period orover the life of a fund. Fees that are based on performanceover a twelve-month period are subject to adjustment prior
to the end of the measurement period. For fees that are
based on investment performance over the life of the fund,future investment underperformance may require fees
previously distributed to the firm to be returned to the fund.
Incentive fees earned from a fund or separately managed
account are recognized when it is probable that a significant
reversal of such fees will not occur, which is generally whensuch fees are no longer subject to fluctuations in the market
value of investments held by the fund or separately
managed account. Therefore, incentive fees recognized
during the period may relate to performance obligations
satisfied in previous periods.

Commissions and Fees
The firm earns commissions and fees from executing andclearing client transactions on stock, options and futures
markets, as well as over-the-counter (OTC) transactions.
Commissions and fees are recognized on the day the trade is
executed. The firm also provides third-party researchservices to clients in connection with certain soft-dollar
arrangements. Third-party research costs incurred by thefirm in connection with such arrangements are presented
net within commissions and fees.
Remaining Performance Obligations
Remaining performance obligations are services that thefirm has committed to perform in the future in connection
with its contracts with clients. The firm’s remaining
performance obligations are generally related to its
financial advisory assignments and certain investment
management activities. Revenues associated with remaining
performance obligations relating to financial advisory
assignments cannot be determined until the outcome of thetransaction. For the firm’s investment management
activities, where fees are calculated based on the net asset
value of the fund or separately managed account, future
revenues associated with such remaining performanceobligations cannot be determined as such fees are subject tofluctuations in the market value of investments held by thefund or separately managed account.
The firm is able to determine the future revenues associatedwith management fees calculated based on committed
capital. As of September 2021, substantially all future net
revenues associated with such remaining performanceobligations will be recognized through 2028. Annual
revenues associated with such performance obligations
average less than $250 million through 2028.
Transfers of Financial Assets
Transfers of financial assets are accounted for as sales when
the firm has relinquished control over the assets transferred.
For transfers of financial assets accounted for as sales, any
gains or losses are recognized in net revenues. Assets or
liabilities that arise from the firm’s continuing involvementwith transferred financial assets are initially recognized atfair value. For transfers of financial assets that are notaccounted for as sales, the assets are generally included in
trading assets and the transfer is accounted for as acollateralized financing, with the related interest expense
recognized over the life of the transaction. See Note 11 forfurther information about transfers of financial assets
accounted for as collateralized financings and Note 16 forfurther information about transfers of financial assets
accounted for as sales.

Goldman Sachs September 2021 Form 10-Q

8

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Cash and Cash Equivalents
The firm defines cash equivalents as highly liquid overnight
deposits held in the ordinary course of business. Cash andcash equivalents included cash and due from banks of$10.23 billion as of September 2021 and $11.95 billion asof December 2020. Cash and cash equivalents also included
interest-bearing deposits with banks of $201.60 billion as
of September 2021 and $143.89 billion as ofDecember 2020.
The firm segregates cash for regulatory and other purposes
related to client activity. Cash and cash equivalents
segregated for regulatory and other purposes were
$24.71 billion as of September 2021 and $24.52 billion asof December 2020. In addition, the firm segregatessecurities for regulatory and other purposes related to client
activity. See Note 11 for further information about
segregated securities.
Customer and Other Receivables
Customer and other receivables included receivables from
customers and counterparties of $109.60 billion as of
September 2021 and $82.39 billion as of December 2020,
and receivables from brokers, dealers and clearingorganizations of $62.18 billion as of September 2021 and$38.94 billion as of December 2020. Such receivables
primarily consist of customer margin loans, receivables
resulting from unsettled transactions and collateral posted
in connection with certain derivative transactions.
Substantially all of these receivables are accounted for atamortized cost net of any allowance for credit losses, which
generally approximates fair value. As these receivables are
not accounted for at fair value, they are not included in thefirm’s fair value hierarchy in Notes 4 through 10. Had thesereceivables been included in the firm’s fair value hierarchy,
substantially all would have been classified in level 2 as ofboth September 2021 and December 2020. See Note 10 for
further information about customer and other receivables
accounted for at fair value under the fair value option.
Interest on customer and other receivables is recognizedover the life of the transaction and included in interest
income.
Customer and other receivables includes receivables fromcontracts with clients and contract assets. Contract assets
represent the firm’s right to receive consideration forservices provided in connection with its contracts withclients for which collection is conditional and not merely
subject to the passage of time. The firm’s receivables fromcontracts with clients were $3.23 billion as of
September 2021 and $2.60 billion as of December 2020. Asof both September 2021 and December 2020 contract
assets were not material.

9

Goldman Sachs September 2021 Form 10-Q

Customer and Other Payables
Customer and other payables included payables tocustomers and counterparties of $230.71 billion as of
September 2021 and $183.57 billion as of December 2020,and payables to brokers, dealers and clearing organizationsof $21.41 billion as of September 2021 and $7.09 billion asof December 2020. Such payables primarily consist ofcustomer credit balances related to the firm’s prime
brokerage activities. Customer and other payables areaccounted for at cost plus accrued interest, which generally
approximates fair value. As these payables are notaccounted for at fair value, they are not included in thefirm’s fair value hierarchy in Notes 4 through 10. Had thesepayables been included in the firm’s fair value hierarchy,
substantially all would have been classified in level 2 as ofboth September 2021 and December 2020. Interest on
customer and other payables is recognized over the life of
the transaction and included in interest expense.
Offsetting Assets and Liabilities
To reduce credit exposures on derivatives and securities
financing transactions, the firm may enter into masternetting agreements or similar arrangements (collectively,
netting agreements) with counterparties that permit it tooffset receivables and payables with such counterparties. A
netting agreement is a contract with a counterparty that
permits net settlement of multiple transactions with thatcounterparty, including upon the exercise of terminationrights by a non-defaulting party. Upon exercise of suchtermination rights, all transactions governed by the netting
agreement are terminated and a net settlement amount iscalculated. In addition, the firm receives and posts cash andsecurities collateral with respect to its derivatives andsecurities financing transactions, subject to the terms of therelated credit support agreements or similar arrangements(collectively, credit support agreements). An enforceablecredit support agreement grants the non-defaulting party
exercising termination rights the right to liquidate thecollateral and apply the proceeds to any amounts owed. Inorder to assess enforceability of the firm’s right of setoff
under netting and credit support agreements, the firm
evaluates various factors, including applicable bankruptcy
laws, local statutes and regulatory provisions in thejurisdiction of the parties to the agreement.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Derivatives are reported on a net-by-counterparty basis(i.e., the net payable or receivable for derivative assets andliabilities for a given counterparty) in the consolidatedbalance sheets when a legal right of setoff exists under anenforceable netting agreement. Resale agreements andsecurities sold under agreements to repurchase (repurchaseagreements) and securities borrowed and loaned
transactions with the same term and currency are presented
on a net-by-counterparty basis in the consolidated balance
sheets when such transactions meet certain settlement
criteria and are subject to netting agreements.
In the consolidated balance sheets, derivatives are reported
net of cash collateral received and posted under enforceablecredit support agreements, when transacted under anenforceable netting agreement. In the consolidated balance
sheets, resale and repurchase agreements, and securities
borrowed and loaned, are not reported net of the related
cash and securities received or posted as collateral. See
Note 11 for further information about collateral received
and pledged, including rights to deliver or repledge
collateral. See Notes 7 and 11 for further information about
offsetting assets and liabilities.
Share-Based Compensation
The cost of employee services received in exchange for ashare-based award is generally measured based on the
grant-date fair value of the award. Share-based awards that
do not require future service (i.e., vested awards, includingawards granted to retirement-eligible employees) are
expensed immediately. Share-based awards that require
future service are amortized over the relevant service
period. Forfeitures are recorded when they occur.
Cash dividend equivalents paid on restricted stock units(RSUs) are generally charged to retained earnings. If RSUs
that require future service are forfeited, the related dividend
equivalents originally charged to retained earnings arereclassified to compensation expense in the period in which
forfeiture occurs.
The firm generally issues new shares of common stock upondelivery of share-based awards. In certain cases, primarily
related to conflicted employment (as outlined in theapplicable award agreements), the firm may cash settle
share-based compensation awards accounted for as equity
instruments. For these awards, whose terms allow for cash
settlement, additional paid-in capital is adjusted to theextent of the difference between the value of the award at
the time of cash settlement and the grant-date value of theaward. The tax effect related to the settlement of sharebased awards is recorded in income tax benefit or expense.

Foreign Currency Translation
Assets and liabilities denominated in non-U.S. currencies
are translated at rates of exchange prevailing on the date of
the consolidated balance sheets and revenues and expenses
are translated at average rates of exchange for the period.
Foreign currency remeasurement gains or losses ontransactions in nonfunctional currencies are recognized inearnings. Gains or losses on translation of the financial
statements of a non-U.S. operation, when the functional
currency is other than the U.S. dollar, are included, net ofhedges and taxes, in the consolidated statements ofcomprehensive income.
Recent Accounting Developments
Measurement of Credit Losses on Financial
Instruments (ASC 326). In June 2016, the FASB issued
ASU No. 2016-13, “Financial Instruments — Credit Losses(Topic 326) — Measurement of Credit Losses on Financial
Instruments.” This ASU amends several aspects of themeasurement of credit losses on certain financial
instruments, including replacing the existing incurred credit
loss model and other models with the Current Expected
Credit Losses (CECL) model and amending certain aspectsof accounting for purchased financial assets withdeterioration in credit quality since origination.
The firm adopted this ASU in January 2020 under amodified retrospective approach. As a result of adopting
this ASU, the firm’s allowance for credit losses on financial
assets and commitments that are measured at amortizedcost reflects management’s estimate of credit losses over theremaining expected life of such assets. Expected credit
losses for newly recognized financial assets andcommitments, as well as changes to expected credit losses
during the period, are recognized in earnings. These
expected credit losses are measured based on historicalexperience, current conditions and forecasts that affect thecollectability of the reported amount.
The cumulative effect of measuring the allowance under
CECL as a result of adopting this ASU as ofJanuary 1, 2020 was an increase in the allowance for credit
losses of $848 million. The increase in the allowance isdriven by the fact that the allowance under CECL covers
expected credit losses over the full expected life of the loan
portfolios and also takes into account forecasts of expected
future economic conditions. In addition, in accordance with
the ASU, the firm elected the fair value option for loans thatwere previously accounted for as Purchased Credit
Impaired (PCI), which resulted in a decrease to theallowance for PCI loans of $169 million. The cumulative
effect of adopting this ASU was a decrease to retained
earnings of $638 million (net of tax).

Goldman Sachs September 2021 Form 10-Q

10

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Facilitation of the Effects of Reference Rate Reform on
Financial Reporting (ASC 848). In March 2020, the FASB
issued ASU No. 2020-04, “Reference Rate Reform —Facilitation of the Effects of Reference Rate Reform on
Financial Reporting.” This ASU provides optional relief
from applying generally accepted accounting principles tocontracts, hedging relationships and other transactions
affected by reference rate reform. In addition, in
January 2021 the FASB issued ASU No. 2021-01,“Reference Rate Reform — Scope,” which clarified thescope of ASC 848 relating to contract modifications. The
firm adopted these ASUs upon issuance and elected to apply
the relief available to certain modified derivatives. The
adoption of these ASUs did not have a material impact on
the firm’s consolidated financial statements.

U.S. GAAP has a three-level hierarchy for disclosure of fairvalue measurements. This hierarchy prioritizes inputs to thevaluation techniques used to measure fair value, giving thehighest priority to level 1 inputs and the lowest priority tolevel 3 inputs. A financial instrument’s level in thishierarchy is based on the lowest level of input that issignificant to its fair value measurement. In evaluating thesignificance of a valuation input, the firm considers, among
other factors, a portfolio’s net risk exposure to that input.
The fair value hierarchy is as follows:

Note 4.

Level 3. One or more inputs to valuation techniques are
significant and unobservable.

Fair Value Measurements
The fair value of a financial instrument is the amount thatwould be received to sell an asset or paid to transfer aliability in an orderly transaction between market
participants at the measurement date. Financial assets aremarked to bid prices and financial liabilities are marked tooffer prices. Fair value measurements do not include
transaction costs. The firm measures certain financial assets
and liabilities as a portfolio (i.e., based on its net exposure
to market and/or credit risks).
The best evidence of fair value is a quoted price in an active
market. If quoted prices in active markets are not available,
fair value is determined by reference to prices for similar
instruments, quoted prices or recent transactions in lessactive markets, or internally developed models thatprimarily use market-based or independently sourced
inputs, including, but not limited to, interest rates,
volatilities, equity or debt prices, foreign exchange rates,
commodity prices, credit spreads and funding spreads (i.e.,the spread or difference between the interest rate at which aborrower could finance a given financial instrument relative
to a benchmark interest rate).

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Goldman Sachs September 2021 Form 10-Q

Level 1. Inputs are unadjusted quoted prices in active
markets to which the firm had access at the measurement
date for identical, unrestricted assets or liabilities.
Level 2. Inputs to valuation techniques are observable,
either directly or indirectly.

The fair values for substantially all of the firm’s financial
assets and liabilities are based on observable prices andinputs and are classified in levels 1 and 2 of the fair value
hierarchy. Certain level 2 and level 3 financial assets andliabilities may require valuation adjustments that a market
participant would require to arrive at fair value for factors,
such as counterparty and the firm’s credit quality, funding
risk, transfer restrictions, liquidity and bid/offer spreads.
Valuation adjustments are generally based on market
evidence.
The valuation techniques and nature of significant inputs
used to determine the fair value of the firm’s financial
instruments are described below. See Notes 5 through 10
for further information about significant unobservable
inputs used to value level 3 financial instruments.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Valuation Techniques and Significant Inputs for
Trading Cash Instruments, Investments and Loans
Level 1. Level 1 instruments include U.S. government
obligations, most non-U.S. government obligations, certain
agency obligations, certain corporate debt instruments,
certain money market instruments and actively traded listed
equities. These instruments are valued using quoted prices
for identical unrestricted instruments in active markets. The
firm defines active markets for equity instruments based on
the average daily trading volume both in absolute terms andrelative to the market capitalization for the instrument. The
firm defines active markets for debt instruments based on
both the average daily trading volume and the number ofdays with trading activity.
Level 2. Level 2 instruments include certain non-U.S.
government obligations, most agency obligations, most
mortgage-backed loans and securities, most corporate debt
instruments, most state and municipal obligations, mostmoney market instruments, most other debt obligations,
restricted or less liquid listed equities, certain private
equities, commodities and certain lending commitments.
Valuations of level 2 instruments can be verified to quoted
prices, recent trading activity for identical or similar
instruments, broker or dealer quotations or alternative
pricing sources with reasonable levels of price transparency.
Consideration is given to the nature of the quotations (e.g.,indicative or executable) and the relationship of recent
market activity to the prices provided from alternative
pricing sources.
Valuation adjustments are typically made to level 2
instruments (i) if the instrument is subject to transfer
restrictions and/or (ii) for other premiums and liquidity
discounts that a market participant would require to arriveat fair value. Valuation adjustments are generally based onmarket evidence.
Level 3. Level 3 instruments have one or more significant
valuation inputs that are not observable. Absent evidence tothe contrary, level 3 instruments are initially valued attransaction price, which is considered to be the best initial
estimate of fair value. Subsequently, the firm uses othermethodologies to determine fair value, which vary based on
the type of instrument. Valuation inputs and assumptions
are changed when corroborated by substantive observableevidence, including values realized on sales.
Valuation techniques of level 3 instruments vary by
instrument, but are generally based on discounted cash flow
techniques. The valuation techniques and the nature ofsignificant inputs used to determine the fair values of eachtype of level 3 instrument are described below:

Loans and Securities Backed by Commercial Real
EstateLoans and securities backed by commercial real estate are
directly or indirectly collateralized by a single property or aportfolio of properties, and may include tranches of varying
levels of subordination. Significant inputs are generally
determined based on relative value analyses and include:‰ Market yields implied by transactions of similar or related
assets and/or current levels and changes in market indices,such as the CMBX (an index that tracks the performanceof commercial mortgage bonds);‰ Transaction prices in both the underlying collateral andinstruments with the same or similar underlying
collateral;‰ A measure of expected future cash flows in a default
scenario (recovery rates) implied by the value of theunderlying collateral, which is mainly driven by current
performance of the underlying collateral andcapitalization rates. Recovery rates are expressed as apercentage of notional or face value of the instrument andreflect the benefit of credit enhancements on certain
instruments; and‰ Timing of expected future cash flows (duration) which, incertain cases, may incorporate the impact of any loan
forbearances and other unobservable inputs (e.g.,
prepayment speeds).
Loans and Securities Backed by Residential Real
EstateLoans and securities backed by residential real estate are
directly or indirectly collateralized by portfolios ofresidential real estate and may include tranches of varying
levels of subordination. Significant inputs are generally
determined based on relative value analyses, which
incorporate comparisons to instruments with similar
collateral and risk profiles. Significant inputs include:‰ Market yields implied by transactions of similar or related
assets;‰ Transaction prices in both the underlying collateral andinstruments with the same or similar underlying
collateral;‰ Cumulative loss expectations, driven by default rates,
home price projections, residential property liquidation
timelines, related costs and subsequent recoveries; and‰ Duration, driven by underlying loan prepayment speeds
and residential property liquidation timelines.

Goldman Sachs September 2021 Form 10-Q

12

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Corporate Debt Instruments
Corporate debt instruments includes corporate loans, debt
securities and convertible debentures. Significant inputs forcorporate debt instruments are generally determined basedon relative value analyses, which incorporate comparisonsboth to prices of credit default swaps that reference thesame or similar underlying instrument or entity and toother debt instruments for the same or similar issuer forwhich observable prices or broker quotations are available.
Significant inputs include:‰ Market yields implied by transactions of similar or related
assets and/or current levels and trends of market indices,such as the CDX (an index that tracks the performance ofcorporate credit);‰ Current performance and recovery assumptions and,
where the firm uses credit default swaps to value therelated instrument, the cost of borrowing the underlying
reference obligation;‰ Duration; and‰ Market and transaction multiples for corporate debt
instruments with convertibility or participation options.
Equity Securities
Equity securities consists of private equities. Recent thirdparty completed or pending transactions (e.g., merger
proposals, debt restructurings, tender offers) are considered
the best evidence for any change in fair value. When these
are not available, the following valuation methodologies
are used, as appropriate:‰ Industry multiples (primarily EBITDA and revenue
multiples) and public comparables;‰ Transactions in similar instruments;‰ Discounted cash flow techniques; and‰ Third-party appraisals.
The firm also considers changes in the outlook for the
relevant industry and financial performance of the issuer ascompared to projected performance. Significant inputs
include:‰ Market and transaction multiples;‰ Discount rates and capitalization rates; and‰ For equity securities with debt-like features, market yields
implied by transactions of similar or related assets,
current performance and recovery assumptions, andduration.

13

Goldman Sachs September 2021 Form 10-Q

Other Trading Cash Instruments, Investments andLoans
The significant inputs to the valuation of other instruments,
such as non-U.S. government obligations and U.S. andnon-U.S. agency obligations, state and municipal
obligations, and other loans and debt obligations are
generally determined based on relative value analyses,
which incorporate comparisons both to prices of credit
default swaps that reference the same or similar underlying
instrument or entity and to other debt instruments for thesame issuer for which observable prices or broker
quotations are available. Significant inputs include:‰ Market yields implied by transactions of similar or related
assets and/or current levels and trends of market indices;‰ Current performance and recovery assumptions and,
where the firm uses credit default swaps to value therelated instrument, the cost of borrowing the underlying
reference obligation; and‰ Duration.
Valuation Techniques and Significant Inputs for
Derivatives
The firm’s level 2 and level 3 derivatives are valued using
derivative pricing models (e.g., discounted cash flow
models, correlation models and models that incorporate
option pricing methodologies, such as Monte Carlosimulations). Price transparency of derivatives can generally
be characterized by product type, as described below.
‰ Interest Rate. In general, the key inputs used to valueinterest rate derivatives are transparent, even for mostlong-dated contracts. Interest rate swaps and options
denominated in the currencies of leading industrialized
nations are characterized by high trading volumes and tightbid/offer spreads. Interest rate derivatives that referenceindices, such as an inflation index, or the shape of the yield
curve (e.g., 10-year swap rate vs. 2-year swap rate) are
more complex, but the key inputs are generally observable.
‰ Credit. Price transparency for credit default swaps,
including both single names and baskets of credits, varies
by market and underlying reference entity or obligation.
Credit default swaps that reference indices, large
corporates and major sovereigns generally exhibit themost price transparency. For credit default swaps withother underliers, price transparency varies based on credit
rating, the cost of borrowing the underlying reference
obligations, and the availability of the underlying
reference obligations for delivery upon the default of theissuer. Credit default swaps that reference loans, assetbacked securities and emerging market debt instruments
tend to have less price transparency than those thatreference corporate bonds. In addition, more complex
credit derivatives, such as those sensitive to thecorrelation between two or more underlying reference
obligations, generally have less price transparency.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)‰ Currency. Prices for currency derivatives based on theexchange rates of leading industrialized nations,
including those with longer tenors, are generallytransparent. The primary difference between the pricetransparency of developed and emerging market currency
derivatives is that emerging markets tend to be only
observable for contracts with shorter tenors.
‰ Commodity.
Commodity
derivatives
includetransactions referenced to energy (e.g., oil, natural gas
and electricity), metals (e.g., precious and base) and soft
commodities (e.g., agricultural). Price transparency varies
based on the underlying commodity, delivery location,
tenor and product quality (e.g., diesel fuel compared tounleaded gasoline). In general, price transparency forcommodity derivatives is greater for contracts withshorter tenors and contracts that are more closely alignedwith major and/or benchmark commodity indices.
‰ Equity. Price transparency for equity derivatives varies bymarket and underlier. Options on indices and thecommon stock of corporates included in major equity
indices exhibit the most price transparency. Equity
derivatives generally have observable market prices,
except for contracts with long tenors or reference pricesthat differ significantly from current market prices. Morecomplex equity derivatives, such as those sensitive to thecorrelation between two or more individual stocks,
generally have less price transparency.
Liquidity is essential to observability of all product types. If
transaction volumes decline, previously transparent prices
and other inputs may become unobservable. Conversely,
even highly structured products may at times have trading
volumes large enough to provide observability of prices andother inputs.
Level 1. Level 1 derivatives include short-term contracts for
future delivery of securities when the underlying security isa level 1 instrument, and exchange-traded derivatives ifthey are actively traded and are valued at their quoted
market price.
Level 2. Level 2 derivatives include OTC derivatives forwhich all significant valuation inputs are corroborated bymarket evidence and exchange-traded derivatives that are
not actively traded and/or that are valued using models thatcalibrate to market-clearing levels of OTC derivatives.
The selection of a particular model to value a derivative
depends on the contractual terms of and specific risks
inherent in the instrument, as well as the availability ofpricing information in the market. For derivatives that
trade in liquid markets, model selection does not involve
significant management judgment because outputs ofmodels can be calibrated to market-clearing levels.

Valuation models require a variety of inputs, such as
contractual terms, market prices, yield curves, discountrates (including those derived from interest rates oncollateral received and posted as specified in credit support
agreements for collateralized derivatives), credit curves,
measures of volatility, prepayment rates, loss severity rates
and correlations of such inputs. Significant inputs to thevaluations of level 2 derivatives can be verified to market
transactions, broker or dealer quotations or otheralternative pricing sources with reasonable levels of pricetransparency. Consideration is given to the nature of thequotations (e.g., indicative or executable) and therelationship of recent market activity to the prices provided
from alternative pricing sources.
Level 3. Level 3 derivatives are valued using models which
utilize observable level 1 and/or level 2 inputs, as well as
unobservable level 3 inputs. The significant unobservable
inputs used to value the firm’s level 3 derivatives aredescribed below.
‰ For level 3 interest rate and currency derivatives,
significant unobservable inputs include correlations ofcertain currencies and interest rates (e.g., the correlation
between Euro inflation and Euro interest rates) andspecific interest rate and currency volatilities.
‰ For level 3 credit derivatives, significant unobservable
inputs include illiquid credit spreads and upfront credit
points, which are unique to specific reference obligations
and reference entities, and recovery rates.
‰ For level 3 commodity derivatives, significant
unobservable inputs include volatilities for options withstrike prices that differ significantly from current market
prices and prices or spreads for certain products for which
the product quality or physical location of the commodity
is not aligned with benchmark indices.
‰ For level 3 equity derivatives, significant unobservable
inputs generally include equity volatility inputs for
options that are long-dated and/or have strike prices thatdiffer significantly from current market prices. In
addition, the valuation of certain structured trades
requires the use of level 3 correlation inputs, such as thecorrelation of the price performance of two or moreindividual stocks or the correlation of the priceperformance for a basket of stocks to another asset class,such as commodities.

Goldman Sachs September 2021 Form 10-Q

14

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Subsequent to the initial valuation of a level 3 derivative,
the firm updates the level 1 and level 2 inputs to reflect
observable market changes and any resulting gains andlosses are classified in level 3. Level 3 inputs are changed
when corroborated by evidence, such as similar market
transactions, third-party pricing services and/or broker ordealer quotations or other empirical market data. In
circumstances where the firm cannot verify the model value
by reference to market transactions, it is possible that adifferent valuation model could produce a materiallydifferent estimate of fair value. See Note 7 for further
information about significant unobservable inputs used in
the valuation of level 3 derivatives.
Valuation Adjustments. Valuation adjustments areintegral to determining the fair value of derivative
portfolios and are used to adjust the mid-market valuations
produced by derivative pricing models to the exit pricevaluation. These adjustments incorporate bid/offer spreads,
the cost of liquidity, and credit and funding valuation
adjustments, which account for the credit and funding risk
inherent in the uncollateralized portion of derivative
portfolios. The firm also makes funding valuation
adjustments to collateralized derivatives where the terms of
the agreement do not permit the firm to deliver or repledge
collateral received. Market-based inputs are generally used
when calibrating valuation adjustments to market-clearing
levels.
In addition, for derivatives that include significant
unobservable inputs, the firm makes model or exit priceadjustments to account for the valuation uncertainty
present in the transaction.
Valuation Techniques and Significant Inputs for
Other Financial Instruments at Fair Value
In addition to trading cash instruments, derivatives, andcertain investments and loans, the firm accounts for certainof its other financial assets and liabilities at fair value under
the fair value option. Such instruments include resale andrepurchase agreements; certain securities borrowed andloaned transactions; certain customer and other receivables,
including certain margin loans; certain time deposits,
including structured certificates of deposit, which are
hybrid financial instruments; substantially all other secured
financings, including transfers of assets accounted for as
financings; certain unsecured short- and long-termborrowings, substantially all of which are hybrid financial
instruments; and certain other liabilities. These instruments
are generally valued based on discounted cash flow
techniques, which incorporate inputs with reasonable levelsof price transparency, and are generally classified in level 2
because the inputs are observable. Valuation adjustments
may be made for liquidity and for counterparty and thefirm’s credit quality. The significant inputs used to value thefirm’s other financial instruments are described below.
15

Goldman Sachs September 2021 Form 10-Q

Resale and Repurchase Agreements and Securities
Borrowed and Loaned. The significant inputs to thevaluation of resale and repurchase agreements andsecurities borrowed and loaned are funding spreads, theamount and timing of expected future cash flows andinterest rates.
Customer and Other Receivables. The significant inputs
to the valuation of receivables are interest rates, the amountand timing of expected future cash flows and funding
spreads.
Deposits. The significant inputs to the valuation of time
deposits are interest rates and the amount and timing of
future cash flows. The inputs used to value the embedded
derivative component of hybrid financial instruments are
consistent with the inputs used to value the firm’s otherderivative instruments described above. See Note 7 forfurther information about derivatives and Note 13 forfurther information about deposits.
Other Secured Financings. The significant inputs to thevaluation of other secured financings are the amount andtiming of expected future cash flows, interest rates, funding
spreads and the fair value of the collateral delivered by thefirm (determined using the amount and timing of expected
future cash flows, market prices, market yields andrecovery assumptions). See Note 11 for further information
about other secured financings.
Unsecured Short- and Long-Term Borrowings. The
significant inputs to the valuation of unsecured short- andlong-term borrowings are the amount and timing of
expected future cash flows, interest rates, the credit spreadsof the firm and commodity prices for prepaid commodity
transactions. The inputs used to value the embedded
derivative component of hybrid financial instruments are
consistent with the inputs used to value the firm’s otherderivative instruments described above. See Note 7 forfurther information about derivatives and Note 14 forfurther information about borrowings.
Other Liabilities. The significant inputs to the valuation ofother liabilities are the amount and timing of expected
future cash flows and equity volatility and correlation
inputs. The inputs used to value the embedded derivative
component of hybrid financial instruments are consistent
with the inputs used to value the firm’s other derivative
instruments described above. See Note 7 for further
information about derivatives.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Financial Assets and Liabilities at Fair Value
The table below presents financial assets and liabilities
carried at fair value.
As of$ in millions

September
2021

June
2021

December
2020$1,443,230 $1,387,922 $1,163,028

Total level 3 financial assets divided by:
Total assets
1.6%
1.8%
2.3%
Total financial assets at fair value
3.2%
3.8%
4.2%
Total level 1 financial liabilities$ 130,725 $ 133,781 $ 85,120
Total level 2 financial liabilities
404,273
378,188
331,824
Total level 3 financial liabilities
29,86933,40532,930Counterparty and cash collateral netting(55,182)(52,129)(60,297)
Total financial liabilities at fair value $ 509,685 $ 493,245 $ 389,577
Total liabilities$1,336,933 $1,286,032 $1,067,096

Total level 3 financial liabilities divided by:
Total liabilities
2.2%
Total financial liabilities at fair value
5.9%

2.6%
6.8%

Trading
AssetsTrading
Liabilities

As of September 2021
Trading cash instruments
Derivatives
Total$321,415
71,583$392,998$150,763
53,506$204,269

As of December 2020
Trading cash instruments
Derivatives
Total$324,049
69,581$393,630$ 95,136
58,591$153,727$ in millions

Total level 1 financial assets$ 264,245 $ 256,699 $ 263,999
Total level 2 financial assets
508,809446,055
410,275
Total level 3 financial assets
23,43725,623
26,305Investments in funds at NAV
3,917
3,988
3,664
Counterparty and cash collateral netting(66,792)(63,655)(77,170)
Total financial assets at fair value$ 733,616 $ 668,710 $ 627,073
Total assets

The table below presents a summary of trading assets andliabilities.

3.1%
8.5%

See Note 6 for further information about trading cash
instruments and Note 7 for further information about
derivatives.
Gains and Losses from Market Making
The table below presents market making revenues by major
product type.

In the table above:‰ Counterparty netting among positions classified in thesame level is included in that level.
‰ Counterparty and cash collateral netting represents theimpact on derivatives of netting across levels.
The table below presents a summary of level 3 financial assets.
As of$ in millions

Trading assets:
Trading cash instruments
Derivatives
Investments
Loans
Total

September
2021

$

$

1,516 $
6,043
13,6792,199
23,437 $

June
2021

1,304 $
5,758
16,332
2,229
25,623 $December
2020

1,237
5,967
16,423
2,678
26,305

Level 3 financial assets as of September 2021 decreased
compared with June 2021, primarily reflecting a decrease inlevel 3 investments. Level 3 financial assets as of
September 2021 decreased compared with December 2020,
primarily reflecting a decrease in level 3 investments andloans. See Notes 5 through 10 for further information
about level 3 financial assets (including information about
unrealized gains and losses related to level 3 financial assets
and transfers in and out of level 3).
Note 5.

Trading Assets and Liabilities
Trading assets and liabilities include trading cash
instruments and derivatives held in connection with thefirm’s market-making or risk management activities. Theseassets and liabilities are carried at fair value either under thefair value option or in accordance with other U.S. GAAP,and the related fair value gains and losses are generally
recognized in the consolidated statements of earnings.

Three Months
Ended September$ in millions

Interest rates
CreditCurrencies
Equities
Commodities
Total

Nine Months
Ended September

2021

2020

2021

2020

$(1,249)
162
1,779
2,521
716
$ 3,929$1,732
578
(981)
1,391
607
$3,327$ (1,572)
1,324
4,521
6,839
1,984
$13,096$ 3,784
3,571(1,674)
5,022
2,093$12,796

In the table above:‰ Gains/(losses) include both realized and unrealized gains
and losses. Gains/(losses) exclude related interest income
and interest expense. See Note 23 for further information
about interest income and interest expense.
‰ Gains and losses included in market making are primarily
related to the firm’s trading assets and liabilities,
including both derivative and non-derivative financial
instruments.
‰ Gains/(losses) are not representative of the manner inwhich the firm manages its business activities because
many of the firm’s market-making and client facilitation
strategies utilize financial instruments across various
product types. Accordingly, gains or losses in one producttype frequently offset gains or losses in other producttypes. For example, most of the firm’s longer-term
derivatives across product types are sensitive to changes
in interest rates and may be economically hedged withinterest rate swaps. Similarly, a significant portion of thefirm’s trading cash instruments and derivatives acrossproduct types has exposure to foreign currencies and may
be economically hedged with foreign currency contracts.

Goldman Sachs September 2021 Form 10-Q

16

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Note 6.

Trading Cash Instruments
Trading cash instruments consists of instruments held inconnection with the firm’s market-making or risk
management activities. These instruments are carried at fairvalue and the related fair value gains and losses arerecognized in the consolidated statements of earnings.
Fair Value of Trading Cash Instruments by Level
The table below presents trading cash instruments by levelwithin the fair value hierarchy.
$ in millions

Level 1

Level 2 Level 3

Total

As of September 2021
AssetsGovernment and agency obligations:U.S.
$ 76,579 $ 23,883 $ 17 $ 100,479
Non-U.S.
40,51015,60016
56,126Loans and securities backed by:Commercial real estate
–
1,049
136
1,185
Residential real estate–
10,160122
10,282
Corporate debt instruments
588
38,493 1,096
40,177
State and municipal obligations
–
752
1
753
Other debt obligations
72
2,145
53
2,270
Equity securities
99,9302,755
75
102,760
Commodities
–
7,383
–
7,383
Total
$ 217,679 $102,220 $1,516 $ 321,415
Liabilities
Government and agency obligations:U.S.
$ (28,554) $(30) $– $ (28,584)
Non-U.S.
(39,190)(2,886)–(42,076)
Loans and securities backed by:Commercial real estate
–
(42)
(1)
(43)
Residential real estate
–
–
(11)
(11)
Corporate debt instruments(72) (16,380)(99) (16,551)
Equity securities(62,824)(639)(27) (63,490)
Commodities
–
(8)
–
(8)
Total
$(130,640) $ (19,985) $ (138) $(150,763)
As of December 2020
AssetsGovernment and agency obligations:U.S.
$ 93,670 $ 44,863 $– $ 138,533
Non-U.S.
46,147
11,261
15
57,423Loans and securities backed by:Commercial real estate
–
597
203
800
Residential real estate
–
6,948
131
7,079
Corporate debt instruments
915
29,639797
31,351
State and municipal obligations
–
200
–
200
Other debt obligations
338
1,055
19
1,412
Equity securities
75,3002,505
72
77,877
Commodities
–
9,374
–
9,374
Total
$ 216,370 $106,442 $1,237 $ 324,049
Liabilities
Government and agency obligations:U.S.
$ (16,880) $(13) $
Non-U.S.
(22,092)(1,792)Loans and securities backed by:Commercial real estate–(17)
Residential real estate–(1)
Corporate debt instruments(2)(7,970)State and municipal obligations–(5)
Other debt obligations––
Equity securities(45,734)
(550)
Total
$ (84,708) $ (10,348) $17

Goldman Sachs September 2021 Form 10-Q

– $ (16,893)–(23,884)
(1)
(18)
–
(1)
(50)
(8,022)
–
(5)
(2)
(2)
(27)
(46,311)(80) $ (95,136)

In the table above:‰ Trading cash instrument assets are shown as positive
amounts and trading cash instrument liabilities are shownas negative amounts.
‰ Corporate debt instruments includes corporate loans,debt securities, convertible debentures, prepaid
commodity transactions and transfers of assets accounted
for as secured loans rather than purchases.
‰ Other debt obligations includes other asset-backed
securities and money market instruments.
‰ Equity securities includes public equities and exchangetraded funds.
See Note 4 for an overview of the firm’s fair value
measurement policies and the valuation techniques andsignificant inputs used to determine the fair value of trading
cash instruments. See Note 7 for information about hedging
activities for precious metals included in commodities andaccounted for at the lower of cost or net realizable value.
These precious metals are designated in a fair value hedging
relationship, and therefore their carrying value equals fairvalue.
Significant Unobservable Inputs
The table below presents the amount of level 3 assets, andranges and weighted averages of significant unobservable
inputs used to value level 3 trading cash instruments.
As of September 2021
$ in millions

Amount or Weighted
Range Average

As of December 2020
Amount or Weighted
Range Average

Loans and securities backed by commercial real estate
Level 3 assets
$136
$203
Yield
3.5% to 27.1%
13.1% 1.7% to 22.0%
Recovery rate
7.9% to 97.0%
61.7% 5.1% to 94.9%
Duration (years)
0.4 to 4.6
1.9
1.1 to 9.1
Loans and securities backed by residential real estate
Level 3 assets
$122
$131
Yield
1.0% to 27.2%
8.9% 0.6% to 15.7%
Cumulative loss rate 1.1% to 37.5%
16.2% 3.4% to 45.6%
Duration (years)
0.2 to 16.6
6.6
0.9 to 16.1
Corporate debt instruments
Level 3 assets$1,096$797
Yield
0.2% to 15.5%
5.8% 0.6% to 30.6%
Recovery rate
9.0% to 80.0%
64.4% 0.0% to 73.6%
Duration (years)
1.5 to 28.8
4.7
0.3 to 25.5

9.0%
57.7%
5.0

6.3%
20.8%
6.5

9.5%
58.7%
4.0

Level 3 government and agency obligations, state andmunicipal obligations, other debt obligations and equity
securities were not material as of both September 2021 andDecember 2020, and therefore are not included in the table
above.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
In the table above:

In the table above:‰ Ranges represent the significant unobservable inputs thatwere used in the valuation of each type of trading cash
instrument.

‰ Changes in fair value are presented for all trading cash
instruments that are classified in level 3 as of the end of
the period.

‰ Weighted averages are calculated by weighting each input
by the relative fair value of the trading cash instruments.

‰ Net unrealized gains/(losses) relates to trading cash
instruments that were still held at period-end.

‰ The ranges and weighted averages of these inputs are notrepresentative of the appropriate inputs to use whencalculating the fair value of any one trading cash
instrument. For example, the highest recovery rate forcorporate debt instruments is appropriate for valuing a
specific corporate debt instrument, but may not beappropriate for valuing any other corporate debt
instrument. Accordingly, the ranges of inputs do not
represent uncertainty in, or possible ranges of, fair value
measurements of level 3 trading cash instruments.

‰ Transfers between levels of the fair value hierarchy arereported at the beginning of the reporting period in which
they occur. If a trading cash instrument was transferred tolevel 3 during a reporting period, its entire gain or loss forthe period is classified in level 3.

‰ Increases in yield, duration or cumulative loss rate used in
the valuation of level 3 trading cash instruments would
have resulted in a lower fair value measurement, while
increases in recovery rate would have resulted in a higher
fair value measurement as of both September 2021 andDecember 2020. Due to the distinctive nature of eachlevel 3 trading cash instrument, the interrelationship of
inputs is not necessarily uniform within each producttype.
‰ Trading cash instruments are valued using discounted
cash flows.

‰ For level 3 trading cash instrument assets, increases areshown as positive amounts, while decreases are shown as
negative amounts. For level 3 trading cash instrument
liabilities, increases are shown as negative amounts, while
decreases are shown as positive amounts.
‰ Level 3 trading cash instruments are frequently
economically hedged with level 1 and level 2 trading cash
instruments and/or level 1, level 2 or level 3 derivatives.
Accordingly, gains or losses that are classified in level 3
can be partially offset by gains or losses attributable tolevel 1 or level 2 trading cash instruments and/or level 1,
level 2 or level 3 derivatives. As a result, gains or losses
included in the level 3 rollforward below do notnecessarily represent the overall impact on the firm’s
results of operations, liquidity or capital resources.

Level 3 Rollforward
The table below presents a summary of the changes in fairvalue for level 3 trading cash instruments.
Three Months
Ended September

Nine Months
Ended September

2021

2021

2020

$1,804 $1,237
15
63
34
64
244
793
(701)
(455)
(124)
(287)
157
306
(164)
(205)
$1,265 $1,516$1,242
59
(146)
685
(438)
(264)
313
(186)
$1,265

Total trading cash instrument liabilities
Beginning balance$ (78)$ (156) $ (80)
Net realized gains/(losses)
2–
5
Net unrealized gains/(losses)
(2)
(79)
(1)
Purchases
22
13
35
Sales
(55)
(20)
(86)
Settlements–(3)8Transfers into level 3
(32)
(34)
(22)
Transfers out of level 3
5
113
Ending balance$ (138)$ (268) $ (138)$ (273)
–
18
50
(35)
(2)
(28)
2
$ (268)$ in millions

Total trading cash instrument assets
Beginning balance$1,304
Net realized gains/(losses)
27
Net unrealized gains/(losses)
11
Purchases
223
Sales
(133)
Settlements(113)
Transfers into level 3
358
Transfers out of level 3(161)
Ending balance$1,5162020

Goldman Sachs September 2021 Form 10-Q

18

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents information, by product type, forassets included in the summary table above.
Three Months
Ended September$ in millions

2021

2020

Nine Months
Ended September
2021

2020

Loans and securities backed by commercial real estate
Beginning balance$ 96$ 430 $ 203
Net realized gains/(losses)
22
6
Net unrealized gains/(losses)
(4)
(2)
(7)
Purchases
28
7
54
Sales
(2)
(228)
(39)
Settlements
(7)
(3)
(13)
Transfers into level 331
715Transfers out of level 3
(8)
(17)
(83)
Ending balance$ 136$ 196 $ 136

$ 191
15
(36)
77
(19)
(55)
30
(7)
$ 196

Loans and securities backed by residential real estate
Beginning balance$ 130$ 307 $ 131
Net realized gains/(losses)
2
4
6
Net unrealized gains/(losses)
5516
Purchases
11
78
29
Sales
(4)
(177)
(48)
Settlements
(25)
(11)
(36)
Transfers into level 3
14
4
39Transfers out of level 3
(11)
(30)
(15)
Ending balance$ 122$ 180 $ 122

$ 231
7
17
97
(79)
(33)
22
(82)
$ 180

Corporate debt instruments
Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
Purchases
Sales
Settlements
Transfers into level 3
Transfers out of level 3
Ending balance

$ 891
24
12
152
(88)
(67)
292
(120)
$1,096$ 764 $ 797
10
48
25
57
139
634
(89)
(327)
(103)
(195)
129
187
(93)
(105)
$ 782 $1,096

$ 692
28
(102)
455
(256)
(157)
214
(92)
$ 782

Other
Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
Purchases
Sales
Settlements
Transfers into level 3
Transfers out of level 3
Ending balance

$ 187
(1)
(2)
32
(39)
(14)
21
(22)
$ 162

$ 303 $ 106
(1)
3
6
(2)
20
76
(207)
(41)
(7)
(43)
17
65
(24)
(2)
$ 107 $ 162

$ 128
9
(25)
56
(84)
(19)
47
(5)
$ 107

In the table above, other includes U.S. and non-U.S.
government and agency obligations, other debt obligations
and equity securities.
Level 3 Rollforward Commentary
Three Months Ended September 2021. The net realized
and unrealized gains on level 3 trading cash instrument
assets of $38 million (reflecting $27 million of net realized
gains and $11 million of net unrealized gains) for the threemonths ended September 2021 included gains of$17 million reported in market making and $21 million
reported in interest income.
The drivers of the net unrealized gains on level 3 trading
cash instrument assets for the three months ended
September 2021 were not material.
19

Goldman Sachs September 2021 Form 10-Q

Transfers into level 3 trading cash instrument assets during
the three months ended September 2021 primarily reflectedtransfers of certain corporate debt instruments from level 2(principally due to reduced price transparency as a result ofa lack of market evidence, including fewer market
transactions in these instruments).
Transfers out of level 3 trading cash instrument assets
during the three months ended September 2021 primarilyreflected transfers of certain corporate debt instruments tolevel 2 (principally due to increased price transparency as aresult of market evidence, including market transactions inthese instruments).
Nine Months Ended September 2021. The net realized
and unrealized gains on level 3 trading cash instrument
assets of $127 million (reflecting $63 million of net realized
gains and $64 million of net unrealized gains) for the ninemonths ended September 2021 included gains of$63 million reported in market making and $64 million
reported in interest income.
The drivers of the net unrealized gains on level 3 trading
cash instrument assets for the nine months ended
September 2021 were not material.
Transfers into level 3 trading cash instrument assets during
the nine months ended September 2021 primarily reflectedtransfers of certain corporate debt instruments from level 2(principally due to reduced price transparency as a result ofa lack of market evidence, including fewer market
transactions in these instruments).
Transfers out of level 3 trading cash instrument assets
during the nine months ended September 2021 primarilyreflected transfers of certain corporate debt instruments tolevel 2 (principally due to increased price transparency as aresult of market evidence, including market transactions inthese instruments).
Three Months Ended September 2020. The net realized
and unrealized gains on level 3 trading cash instrument
assets of $49 million (reflecting $15 million of net realized
gains and $34 million of net unrealized gains) for the threemonths ended September 2020 included gains of$25 million reported in market making and $24 million
reported in interest income.
The drivers of the net unrealized gains on level 3 trading
cash instrument assets for the three months ended
September 2020 were not material.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Transfers into level 3 trading cash instrument assets during
the three months ended September 2020 primarily reflectedtransfers of certain corporate debt instruments from level 2(principally due to reduced price transparency as a result ofa lack of market evidence, including fewer market
transactions in these instruments).

Market Making. As a market maker, the firm enters into
derivative transactions to provide liquidity to clients and to
facilitate the transfer and hedging of their risks. In this role,
the firm typically acts as principal and is required to commit
capital to provide execution, and maintains market-making
positions in response to, or in anticipation of, client demand.

Transfers out of level 3 trading cash instrument assets
during the three months ended September 2020 primarilyreflected transfers of certain corporate debt instruments tolevel 2 (principally due to increased price transparency as aresult of market evidence, including market transactions inthese instruments).

Risk Management. The firm also enters into derivatives toactively manage risk exposures that arise from its marketmaking and investing and financing activities. The firm’s
holdings and exposures are hedged, in many cases, on either
a portfolio or risk-specific basis, as opposed to an
instrument-by-instrument basis. The offsetting impact of
this economic hedging is reflected in the same businesssegment as the related revenues. In addition, the firm mayenter into derivatives designated as hedges under U.S.
GAAP. These derivatives are used to manage interest rate
exposure of certain fixed-rate unsecured borrowings anddeposits, foreign exchange risk of certain available-for-salesecurities and the net investment in certain non-U.S.
operations, and the price risk of certain commodities.

Nine Months Ended September 2020. The net realized
and unrealized losses on level 3 trading cash instrument
assets of $87 million (reflecting $59 million of net realized
gains and $146 million of net unrealized losses) for the ninemonths ended September 2020 included gains/(losses) of$(171) million reported in market making and $84 million
reported in interest income.
The net unrealized losses on level 3 trading cash instrument
assets for the nine months ended September 2020 primarilyreflected losses on certain corporate debt instruments(principally driven by corporate performance).
Transfers into level 3 trading cash instrument assets during
the nine months ended September 2020 primarily reflectedtransfers of certain corporate debt instruments from level 2(principally due to reduced price transparency as a result ofa lack of market evidence, including fewer market
transactions in these instruments).
Transfers out of level 3 trading cash instrument assets
during the nine months ended September 2020 primarilyreflected transfers of certain corporate debt instruments,and loans and securities backed by residential real estate tolevel 2 (in each case, principally due to increased pricetransparency as a result of market evidence, including
market transactions in these instruments).
Note 7.

Derivatives and Hedging Activities
Derivative Activities
Derivatives are instruments that derive their value fromunderlying asset prices, indices, reference rates and other
inputs, or a combination of these factors. Derivatives may
be traded on an exchange (exchange-traded) or they may beprivately negotiated contracts, which are usually referred toas OTC derivatives. Certain of the firm’s OTC derivatives
are cleared and settled through central clearing
counterparties (OTC-cleared), while others are bilateralcontracts between two counterparties (bilateral OTC).

The firm enters into various types of derivatives, including:‰ Futures and Forwards. Contracts that commit
counterparties to purchase or sell financial instruments,
commodities or currencies in the future.
‰ Swaps. Contracts that require counterparties toexchange cash flows, such as currency or interest
payment streams. The amounts exchanged are based on
the specific terms of the contract with reference tospecified rates, financial instruments, commodities,
currencies or indices.
‰ Options. Contracts in which the option purchaser has theright, but not the obligation, to purchase from or sell to theoption writer financial instruments, commodities orcurrencies within a defined time period for a specified price.
Derivatives are reported on a net-by-counterparty basis(i.e., the net payable or receivable for derivative assets andliabilities for a given counterparty) when a legal right ofsetoff exists under an enforceable netting agreement(counterparty netting). Derivatives are accounted for at fairvalue, net of cash collateral received or posted underenforceable credit support agreements (cash collateral
netting). Derivative assets are included in trading assets andderivative liabilities are included in trading liabilities.
Realized and unrealized gains and losses on derivatives notdesignated as hedges are included in market making (forderivatives included in the Global Markets segment), andother principal transactions (for derivatives included in theremaining business segments) in the consolidated
statements of earnings. For each of the three and ninemonths ended September 2021 and September 2020,
substantially all of the firm’s derivatives were included in
the Global Markets segment.
Goldman Sachs September 2021 Form 10-Q

20

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The tables below present the gross fair value and thenotional amounts of derivative contracts by major producttype, the amounts of counterparty and cash collateral
netting in the consolidated balance sheets, as well as cash
and securities collateral posted and received underenforceable credit support agreements that do not meet thecriteria for netting under U.S. GAAP.

$ in millions

As of September 2021

As of December 2020

Derivative
AssetsDerivative
AssetsDerivative
Liabilities

Derivative
Liabilities

Not accounted for as hedges
Exchange-traded
$
295 $
460 $
665 $
660
OTC-cleared
14,96013,847
18,832
16,809Bilateral OTC
239,708
213,612
337,998
304,370
Total interest rates
254,963
227,919
357,495
321,839
OTC-cleared
4,789
5,200
4,137
4,517
Bilateral OTC
12,287
11,18012,418
11,551
Total credit
17,076
16,38016,555
16,068Exchange-traded
208
18
133
22
OTC-cleared
446
325
401
631
Bilateral OTC
77,69074,705
101,830
102,676
Total currencies
78,34475,048102,364
103,329
Exchange-traded
10,803
11,5384,476
4,177
OTC-cleared
489
456
195
187
Bilateral OTC
36,70730,745
9,320
13,691
Total commodities
47,99942,73913,991
18,055
Exchange-traded
42,055
41,62629,006
31,944OTC-cleared87––Bilateral OTC
41,624
49,79047,86749,072
Total equities
83,68791,42376,87381,016
Subtotal
482,069
453,509567,278
540,307
Accounted for as hedges
OTC-cleared5–1–Bilateral OTC
1,000
–
1,346
–
Total interest rates
1,005
–
1,347
–
OTC-cleared
66
17
–
87
Bilateral OTC
195
122
4
372
Total currencies
261
139
4
459
Subtotal
1,266
139
1,351
459
Total gross fair value $ 483,335 $ 453,648 $ 568,629 $ 540,766
Offset in the consolidated balance sheets
Exchange-traded$ (46,978) $ (46,978) $ (29,549) $ (29,549)
OTC-cleared(19,180)(19,180)(21,315)(21,315)
Bilateral OTC(281,429) (281,429) (372,142) (372,142)
Counterparty netting (347,587) (347,587) (423,006) (423,006)
OTC-cleared(1,151)(430)(1,926)(720)
Bilateral OTC(63,014)(52,125)(74,116)(58,449)
Cash collateral netting (64,165)(52,555)(76,042)(59,169)
Total amounts offset $(411,752) $(400,142) $(499,048) $(482,175)
Included in the consolidated balance sheets
Exchange-traded$ 6,383 $ 6,664 $ 4,731 $ 7,254
OTC-cleared
432
242
325
196
Bilateral OTC
64,76846,60064,525
51,141
Total$ 71,583 $ 53,506 $ 69,581 $ 58,591
Not offset in the consolidated balance sheets
Cash collateral$ (1,092) $ (1,857) $(979) $ (2,427)
Securities collateral(15,932)(7,606)(17,297)(9,943)
Total$ 54,559 $ 44,043 $ 51,305 $ 46,221

21

Goldman Sachs September 2021 Form 10-Q

Notional Amounts as of$ in millions

Not accounted for as hedges
Exchange-traded
OTC-cleared
Bilateral OTC
Total interest rates
Exchange-traded
OTC-cleared
Bilateral OTC
Total credit
Exchange-traded
OTC-cleared
Bilateral OTC
Total currencies
Exchange-traded
OTC-cleared
Bilateral OTC
Total commodities
Exchange-traded
OTC-cleared
Bilateral OTC
Total equities
Subtotal
Accounted for as hedges
OTC-cleared
Bilateral OTC
Total interest rates
OTC-cleared
Bilateral OTC
Total currencies
Exchange-traded
Total commodities
Subtotal
Total notional amounts

September
2021

December2020$ 2,802,116
16,154,313
11,610,308
30,566,737
44
580,846595,708
1,176,598
17,031
195,425
6,667,786
6,880,242
354,299
2,596
242,751599,646
1,291,539
258
1,318,136
2,609,933
41,833,156$ 3,722,558
13,789,571
11,076,460
28,588,589–
515,197558,813
1,074,010
7,413
157,687
6,041,663
6,206,763
242,193
2,315
206,253
450,761
948,937–
1,126,572
2,075,509
38,395,632

208,439
5,021
213,460
3,178
19,514
22,692
986
986
237,138$42,070,294

182,311
6,641
188,952
1,767
14,055
15,822––
204,774$38,600,406

In the tables above:‰ Gross fair values exclude the effects of both counterparty
netting and collateral, and therefore are notrepresentative of the firm’s exposure.
‰ Where the firm has received or posted collateral undercredit support agreements, but has not yet determinedsuch agreements are enforceable, the related collateral has
not been netted.
‰ Notional amounts, which represent the sum of gross longand short derivative contracts, provide an indication of
the volume of the firm’s derivative activity and do not
represent anticipated losses.
‰ Total gross fair value of derivatives included derivative
assets of $18.23 billion as of September 2021 and$20.60 billion as of December 2020, and derivative
liabilities of $18.45 billion as of September 2021 and$22.98 billion as of December 2020, which are notsubject to an enforceable netting agreement or are subject
to a netting agreement that the firm has not yet
determined to be enforceable.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Fair Value of Derivatives by Level
The table below presents derivatives on a gross basis bylevel and product type, as well as the impact of netting.
$ in millions

Level 1

Level 2

Level 3Total

As of September 2021
AssetsInterest rates
CreditCurrencies
Commodities
Equities
Gross fair valueCounterparty netting in levels
Subtotal
Cross-level counterparty netting
Cash collateral netting
Net fair value
Liabilities
Interest rates
CreditCurrencies
Commodities
Equities
Gross fair valueCounterparty netting in levels
Subtotal
Cross-level counterparty netting
Cash collateral netting
Net fair value$ 96 $ 254,940 $ 932 $ 255,968–
13,8683,208
17,076–78,350255
78,605–46,7081,291
47,9999082,363
1,234
83,687
186
476,2296,920
483,335– (344,083)(877) (344,960)$ 186 $ 132,146 $ 6,043 $ 138,375(2,627)(64,165)$ 71,583$(3) $(227,231) $ (685) $(227,919)–(14,891) (1,489)(16,380)–(74,813)(374)(75,187)–(41,961)(778)(42,739)(82)(88,396) (2,945)(91,423)(85) (447,292) (6,271) (453,648)–
344,083877
344,960$ (85) $(103,209) $(5,394) $(108,688)
2,627
52,555$ (53,506)

As of December 2020
AssetsInterest rates
CreditCurrencies
Commodities
Equities
Gross fair valueCounterparty netting in levels
Subtotal
Cross-level counterparty netting
Cash collateral netting
Net fair value$ 297 $ 357,568 $ 977 $ 358,842–
13,104
3,451
16,555–102,221147
102,368–
13,285706
13,99175
75,054
1,744
76,873372
561,232
7,025
568,629(135) (420,685) (1,058) (421,878)$ 237 $ 140,547 $ 5,967 $ 146,751(1,128)(76,042)$ 69,581

Liabilities
Interest rates
CreditCurrencies
Commodities
Equities
Gross fair valueCounterparty netting in levels
Subtotal
Cross-level counterparty netting
Cash collateral netting
Net fair value$(229) $(320,900) $ (710) $(321,839)–(14,395) (1,673)(16,068)–(103,303)(485) (103,788)–(17,649)(406)(18,055)(318)(78,122) (2,576)(81,016)(547) (534,369) (5,850) (540,766)
135
420,685
1,058
421,878$(412) $(113,684) $(4,792) $(118,888)
1,128
59,169$ (58,591)

In the table above:‰ Gross fair values exclude the effects of both counterparty
netting and collateral netting, and therefore are notrepresentative of the firm’s exposure.

‰ Derivative assets are shown as positive amounts andderivative liabilities are shown as negative amounts.
See Note 4 for an overview of the firm’s fair value
measurement policies and the valuation techniques andsignificant inputs used to determine the fair value ofderivatives.
Significant Unobservable Inputs
The table below presents the amount of level 3 derivative
assets (liabilities), and ranges, averages and medians ofsignificant unobservable inputs used to value level 3
derivatives.
As of September 2021
$ in millions, except inputs

Amount or Average/
Range
MedianInterest rates, net
Correlation
Volatility (bps)
Credit, net
Credit spreads (bps)
Upfront credit points
Recovery rates
Currencies, net
Correlation
Volatility
Commodities, net
Volatility$247
25% to 81% 63%/62%
31 to 150
65/54
$1,7191 to 576
113/872 to 10040/30
20% to 90% 47%/40%$(119)
20% to 70% 39%/41%
20% to 20% 20%/20%$513
15% to 152% 37%/33%

As of December 2020
Amount or
Range

Average/
Median$267(8)% to 81% 56%/60%
31 to 150
65/53
$1,7782 to 699
109/747 to 90
40/30
25% to 90% 46%/40%$(338)
20% to 70% 39%/41%
18% to 18% 18%/18%$300
15% to 87% 32%/30%

Natural gas spread$(1.39) to$4.36$(0.07)/$(0.03)$(1.00) to$2.13$(0.13)/$(0.09)

Oil spread$(0.93) to$(0.74)$(0.84)/$(0.84)$8.30 to$11.20$9.73/$9.55

Electricity price$9.95 to $34.19/
N/A
N/A$55.76$35.69$(1,711)$(832)(70)% to 99% 62%/71% (70)% to 100% 52%/55%
4% to 153% 18%/19%
3% to 129% 14%/7%

Equities, net
Correlation
Volatility

In the table above:‰ Derivative assets are shown as positive amounts andderivative liabilities are shown as negative amounts.
‰ Ranges represent the significant unobservable inputs thatwere used in the valuation of each type of derivative.
‰ Averages represent the arithmetic average of the inputs
and are not weighted by the relative fair value or notionalamount of the respective financial instruments. An
average greater than the median indicates that the
majority of inputs are below the average. For example,
the difference between the average and the median for
credit spreads indicates that the majority of the inputs fallin the lower end of the range.

‰ Counterparty netting is reflected in each level to the extent
that receivable and payable balances are netted within thesame level and is included in counterparty netting in levels.
Where the counterparty netting is across levels, the netting
is included in cross-level counterparty netting.
Goldman Sachs September 2021 Form 10-Q

22

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)‰ The ranges, averages and medians of these inputs are notrepresentative of the appropriate inputs to use whencalculating the fair value of any one derivative. For
example, the highest correlation for interest rate
derivatives is appropriate for valuing a specific interest
rate derivative but may not be appropriate for valuing anyother interest rate derivative. Accordingly, the ranges of
inputs do not represent uncertainty in, or possible rangesof, fair value measurements of level 3 derivatives.
‰ Interest rates, currencies and equities derivatives arevalued using option pricing models, credit derivatives arevalued using option pricing, correlation and discounted
cash flow models, and commodities derivatives are valued
using option pricing and discounted cash flow models.
‰ The fair value of any one instrument may be determinedusing multiple valuation techniques. For example, option
pricing models and discounted cash flow models are
typically used together to determine fair value. Therefore,
the level 3 balance encompasses both of these techniques.
‰ Correlation within currencies and equities includes crossproduct type correlation.
‰ Natural gas spread represents the spread per million
British thermal units of natural gas.
‰ Oil spread represents the spread per barrel of oil andrefined products.
‰ Electricity price represents the price per megawatt hour ofelectricity.
Range of Significant Unobservable Inputs
The following provides information about the ranges ofsignificant unobservable inputs used to value the firm’slevel 3 derivative instruments:‰ Correlation. Ranges for correlation cover a variety ofunderliers both within one product type (e.g., equity
index and equity single stock names) and across producttypes (e.g., correlation of an interest rate and a currency),
as well as across regions. Generally, cross-product typecorrelation inputs are used to value more complex
instruments and are lower than correlation inputs on
assets within the same derivative product type.
‰ Volatility. Ranges for volatility cover numerous
underliers across a variety of markets, maturities andstrike prices. For example, volatility of equity indices isgenerally lower than volatility of single stocks.

23

Goldman Sachs September 2021 Form 10-Q

‰ Credit spreads, upfront credit points and recovery
rates. The ranges for credit spreads, upfront credit points
and recovery rates cover a variety of underliers (index andsingle names), regions, sectors, maturities and credit
qualities (high-yield and investment-grade). The broad
range of this population gives rise to the width of theranges of significant unobservable inputs.
‰ Commodity prices and spreads. The ranges forcommodity prices and spreads cover variability inproducts, maturities and delivery locations.
Sensitivity of Fair Value Measurement to Changes
in Significant Unobservable Inputs
The following is a description of the directional sensitivityof the firm’s level 3 fair value measurements to changes insignificant unobservable inputs, in isolation, as of eachperiod-end:‰ Correlation. In general, for contracts where the holder
benefits from the convergence of the underlying asset orindex prices (e.g., interest rates, credit spreads, foreignexchange rates, inflation rates and equity prices), an
increase in correlation results in a higher fair value
measurement.
‰ Volatility. In general, for purchased options, an increasein volatility results in a higher fair value measurement.
‰ Credit spreads, upfront credit points and recovery
rates. In general, the fair value of purchased credit
protection increases as credit spreads or upfront credit
points increase or recovery rates decrease. Credit spreads,
upfront credit points and recovery rates are strongly
related to distinctive risk factors of the underlying
reference obligations, which include reference entityspecific factors, such as leverage, volatility and industry,market-based risk factors, such as borrowing costs or
liquidity of the underlying reference obligation, andmacroeconomic conditions.
‰ Commodity prices and spreads. In general, forcontracts where the holder is receiving a commodity, an
increase in the spread (price difference from a benchmark
index due to differences in quality or delivery location) or
price results in a higher fair value measurement.
Due to the distinctive nature of each of the firm’s level 3
derivatives, the interrelationship of inputs is not necessarily
uniform within each product type.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Level 3 Rollforward
The table below presents a summary of the changes in fairvalue for level 3 derivatives.

The table below presents information, by product type, forderivatives included in the summary table above.
Three Months
Ended September

Three Months
Ended September$ in millions

2021

Total level 3 derivatives, net
Beginning balance$ 567
Net realized gains/(losses)(33)
Net unrealized gains/(losses)
453
Purchases
92
Sales
(366)
Settlements(264)
Transfers into level 3(112)
Transfers out of level 3
312
Ending balance
$ 649

2020

$3,060
(8)
(315)
93
(288)
(189)
–
(199)
$2,154

Nine Months
Ended September
2021$ 1,17573
34
439(1,058)
99
(79)
(34)
$ 649

2020

$

25
142
1,465
345
181
182
(74)
(112)
$2,154In the table above:‰ Changes in fair value are presented for all derivative
assets and liabilities that are classified in level 3 as of theend of the period.
‰ Net unrealized gains/(losses) relates to instruments thatwere still held at period-end.
‰ Transfers between levels of the fair value hierarchy arereported at the beginning of the reporting period in which
they occur. If a derivative was transferred into level 3
during a reporting period, its entire gain or loss for theperiod is classified in level 3.
‰ Positive amounts for transfers into level 3 and negative
amounts for transfers out of level 3 represent net transfersof derivative assets. Negative amounts for transfers intolevel 3 and positive amounts for transfers out of level 3
represent net transfers of derivative liabilities.
‰ A derivative with level 1 and/or level 2 inputs is classified
in level 3 in its entirety if it has at least one significant
level 3 input.
‰ If there is one significant level 3 input, the entire gain orloss from adjusting only observable inputs (i.e., level 1
and level 2 inputs) is classified in level 3.
‰ Gains or losses that have been classified in level 3
resulting from changes in level 1 or level 2 inputs are
frequently offset by gains or losses attributable to level 1
or level 2 derivatives and/or level 1, level 2 and level 3
trading cash instruments. As a result, gains/(losses)
included in the level 3 rollforward below do notnecessarily represent the overall impact on the firm’s
results of operations, liquidity or capital resources.

$ in millions

2021

Nine Months
Ended September

2020

2021

2020

267 $
(11)
38
67
(72)
23
(1)
(64)
247 $

89
12
201
18
(15)
(40)
(14)
4
255

Interest rates, net
Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
Purchases
Sales
Settlements
Transfers into level 3
Transfers out of level 3
Ending balance$

Credit, net
Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
Purchases
Sales
Settlements
Transfers into level 3
Transfers out of level 3
Ending balance$ 1,750 $2,327
(22)
(1)
11
(124)
18
16
(35)
(8)
(22)
(189)
15
26
4
(61)
$ 1,719 $1,986$ 1,778 $ 1,877
(33)
6
129
175
62
35
(62)
(23)
(9)
(38)
(60)
4
(86)
(50)
$ 1,719 $ 1,986

Currencies, net
Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
Purchases
Sales
Settlements
Transfers into level 3
Transfers out of level 3
Ending balance$ (234) $ (94)
9
18
43
(143)
1
5
(5)
(12)
36
(34)
(4)
(1)
35
6
$ (119) $ (255)$ (338) $ (211)
(29)
8
(7)
(118)
41
5
(12)
(7)
235
77
(20)
(2)
11
(7)
$ (119) $ (255)$$

Commodities, net
Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
Purchases
Sales
Settlements
Transfers into level 3
Transfers out of level 3
Ending balance
Equities, net
Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
Purchases
Sales
Settlements
Transfers into level 3
Transfers out of level 3
Ending balance$$

308 $ 311
(60)
3
(56)
54
–
11
(24)
1
101
(59)
(20)
(53)
(2)
(13)
247 $ 255

266 $ 331
(23)
16
196
(84)
16
1
(4)
(7)
6
(20)
25
(12)
31
(30)
513 $ 195$(1,523) $ 185
63
(44)
259
(18)
57
60
(298)
(262)
(385)
113
(128)
40
244
(101)
$(1,711) $ (27)

$

$

$

300 $
(76)
348
38
(34)
(56)
16
(23)
513 $

247
65
38
2
(20)
(64)
(24)
(49)
195

$ (832) $(1,977)
222
51
(474)
1,169
231
285
(878)
246
(94)
247
(14)
(38)
128
(10)
$(1,711) $ (27)Level 3 Rollforward Commentary
Three Months Ended September 2021. The net realized
and unrealized gains on level 3 derivatives of $420 million(reflecting $33 million of net realized losses and$453 million of net unrealized gains) for the three months
ended September 2021 included gains of $405 million
reported in market making and $15 million reported inother principal transactions.
Goldman Sachs September 2021 Form 10-Q

24

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The net unrealized gains on level 3 derivatives for the threemonths ended September 2021 were primarily attributableto gains on certain equity derivatives (primarily reflecting
the impact of changes in equity prices) and gains on certain
commodity derivatives (primarily reflecting the impact of
an increase in commodity prices).
Transfers into level 3 derivatives during the three months
ended September 2021 primarily reflected transfers ofcertain equity derivative liabilities from level 2 (principally
due to certain unobservable inputs becoming significant tothe valuation of these derivatives).
Transfers out of level 3 derivatives during the three months
ended September 2021 primarily reflected transfers ofcertain equity derivative liabilities to level 2 (principally due
to increased transparency of certain volatility inputs used tovalue these derivatives).
Nine Months Ended September 2021. The net realized
and unrealized gains on level 3 derivatives of $107 million(reflecting $73 million of net realized gains and $34 millionof net unrealized gains) for the nine months ended
September 2021 included gains of $62 million reported inmarket making and $45 million reported in other principaltransactions.
The net unrealized gains on level 3 derivatives for the ninemonths ended September 2021 were primarily attributableto gains on certain commodity derivatives (primarilyreflecting the impact of an increase in commodity prices)and gains on certain credit derivatives (primarily reflecting
the impact of changes in foreign exchange rates), partially
offset by losses on certain equity derivatives (primarilyreflecting the impact of an increase in equity prices).
The drivers of transfers into level 3 derivatives during thenine months ended September 2021 were not material.
Transfers out of level 3 derivatives during the nine months
ended September 2021 primarily reflected transfers ofcertain equity derivative liabilities to level 2 (principally due
to increased transparency of certain volatility inputs used tovalue these derivatives), partially offset by transfers ofcertain credit derivative assets to level 2 (principally due tocertain unobservable credit spread inputs no longer being
significant to the valuation of these derivatives).

25

Goldman Sachs September 2021 Form 10-Q

Three Months Ended September 2020. The net realized
and unrealized losses on level 3 derivatives of $323 million(reflecting $8 million of net realized losses and $315 millionof net unrealized losses) for the three months ended
September 2020 included losses of $289 million reported inmarket making and losses of $34 million reported in otherprincipal transactions.
The net unrealized losses on level 3 derivatives for the threemonths ended September 2020 were primarily attributable
to losses on certain currency derivatives (primarilyreflecting the impact of changes in foreign exchange rates)
and losses on certain credit derivatives (primarily reflecting
the impact of tighter credit spreads).
The drivers of transfers into level 3 derivatives during thethree months ended September 2020 were not material.
Transfers out of level 3 derivatives during the three months
ended September 2020 primarily reflected transfers ofcertain equity derivative assets to level 2 (principally due toincreased transparency of certain volatility inputs used tovalue these derivatives).
Nine Months Ended September 2020. The net realized
and unrealized gains on level 3 derivatives of $1.61 billion(reflecting $142 million of net realized gains and$1.47 billion of net unrealized gains) for the nine months
ended September 2020 included gains of $1.67 billion
reported in market making and losses of $61 million
reported in other principal transactions.
The net unrealized gains on level 3 derivatives for the ninemonths ended September 2020 were primarily attributableto gains on certain equity derivatives (primarily reflecting
the impact of changes in underlying equity prices) and gains
on certain interest rate derivatives (primarily reflecting theimpact of a decrease in interest rates).
The drivers of both transfers into level 3 derivatives and outof level 3 derivatives during the nine months ended
September 2020 were not material.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)OTC Derivatives
The table below presents OTC derivative assets andliabilities by tenor and major product type.

$ in millions

Less than
1 Year

1 - 5 Greater thanYears
5 Years

Total

As of September 2021
AssetsInterest rates$ 6,226 $12,817
Credit1,779
2,253
Currencies
13,252
6,038
Commodities
12,4289,757
Equities
10,156
6,449
Counterparty netting in tenors(2,824) (2,854)
Subtotal$41,017 $34,460
Cross-tenor counterparty netting
Cash collateral netting
Total OTC derivative assets$60,548 $ 79,591
3,298
7,330
6,822
26,112
1,107
23,292
2,790
19,395(2,789)(8,467)$71,776 $147,253(17,888)(64,165)$ 65,200

Liabilities
Interest rates$ 4,705 $10,129
Credit1,758
2,573
Currencies
11,988
5,898
Commodities
7,996
6,465
Equities
10,555 13,658
Counterparty netting in tenors(2,824) (2,854)
Subtotal$34,178 $35,869
Cross-tenor counterparty netting
Cash collateral netting
Total OTC derivative liabilities$36,542 $ 51,376
2,303
6,634
4,999
22,885
2,835
17,296
3,348
27,561(2,789)(8,467)$47,238 $117,285(17,888)(52,555)$ 46,842

In the table above:‰ Tenor is based on remaining contractual maturity.
‰ Counterparty netting within the same product type andtenor category is included within such product type andtenor category.
‰ Counterparty netting across product types within thesame tenor category is included in counterparty netting intenors. Where the counterparty netting is across tenor
categories, the netting is included in cross-tenor
counterparty netting.
Credit Derivatives
The firm enters into a broad array of credit derivatives tofacilitate client transactions and to manage the credit risk
associated with market-making and investing and financing
activities. Credit derivatives are actively managed based on
the firm’s net risk position. Credit derivatives are generally
individually negotiated contracts and can have various
settlement and payment conventions. Credit events include
failure to pay, bankruptcy, acceleration of indebtedness,
restructuring, repudiation and dissolution of the reference
entity.
The firm enters into the following types of credit
derivatives:

As of December 2020
AssetsInterest rates$ 8,913 $20,145
Credit822
3,270
Currencies
13,887
7,400
Commodities
2,998
1,466
Equities
12,182 12,590
Counterparty netting in tenors(3,963) (4,458)
Subtotal$34,839 $40,413
Cross-tenor counterparty netting
Cash collateral netting
Total OTC derivative assets$74,893 $103,951
3,302
7,394
9,303
30,590
488
4,952
1,807
26,579(3,182) (11,603)$86,611 $161,863(20,971)(76,042)$ 64,850

Liabilities
Interest rates$ 5,687 $11,967
Credit1,268
3,462
Currencies
18,7707,575
Commodities
3,455
1,545
Equities
9,702 14,095
Counterparty netting in tenors(3,963) (4,458)
Subtotal$34,919 $34,186
Cross-tenor counterparty netting
Cash collateral netting
Total OTC derivative liabilities$49,301 $ 66,955
2,177
6,907
5,775
32,120
4,315
9,315
3,986
27,783(3,182) (11,603)$62,372 $131,477(20,971)(59,169)$ 51,337‰ Credit Default Swaps. Single-name credit default swaps
protect the buyer against the loss of principal on one ormore bonds, loans or mortgages (reference obligations) inthe event the issuer of the reference obligations suffers acredit event. The buyer of protection pays an initial or
periodic premium to the seller and receives protection forthe period of the contract. If there is no credit event, as
defined in the contract, the seller of protection makes nopayments to the buyer. If a credit event occurs, the sellerof protection is required to make a payment to the buyer,
calculated according to the terms of the contract.
‰ Credit Options. In a credit option, the option writerassumes the obligation to purchase or sell a reference
obligation at a specified price or credit spread. The option
purchaser buys the right, but does not assume theobligation, to sell the reference obligation to, or purchaseit from, the option writer. The payments on credit options
depend either on a particular credit spread or the price ofthe reference obligation.

Goldman Sachs September 2021 Form 10-Q

26

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)‰ Credit Indices, Baskets and Tranches. Credit
derivatives may reference a basket of single-name credit
default swaps or a broad-based index. If a credit event
occurs in one of the underlying reference obligations, theprotection seller pays the protection buyer. The payment
is typically a pro-rata portion of the transaction’s total
notional amount based on the underlying defaulted
reference obligation. In certain transactions, the credit
risk of a basket or index is separated into various portions(tranches), each having different levels of subordination.
The most junior tranches cover initial defaults and once
losses exceed the notional amount of these juniortranches, any excess loss is covered by the next mostsenior tranche.
‰ Total Return Swaps. A total return swap transfers therisks relating to economic performance of a reference
obligation from the protection buyer to the protection
seller. Typically, the protection buyer receives a floating
rate of interest and protection against any reduction infair value of the reference obligation, and the protection
seller receives the cash flows associated with the reference
obligation, plus any increase in the fair value of thereference obligation.
The firm economically hedges its exposure to written credit
derivatives primarily by entering into offsetting purchased
credit derivatives with identical underliers. Substantially allof the firm’s purchased credit derivative transactions arewith financial institutions and are subject to stringent
collateral thresholds. In addition, upon the occurrence of a
specified trigger event, the firm may take possession of thereference obligations underlying a particular written credit
derivative, and consequently may, upon liquidation of thereference obligations, recover amounts on the underlying
reference obligations in the event of default.
As of September 2021, written credit derivatives had a total
gross notional amount of $564.94 billion and purchased
credit derivatives had a total gross notional amount of$612.88 billion, for total net notional purchased protectionof $47.94 billion. As of December 2020, written credit
derivatives had a total gross notional amount of$515.85 billion and purchased credit derivatives had a total
gross notional amount of $558.18 billion, for total net
notional purchased protection of $42.33 billion. The firm’s
written and purchased credit derivatives primarily consistof credit default swaps.

The table below presents information about credit
derivatives.
Credit Spread on Underlier (basis points)$ in millions

0 - 250251 500

501 1,000

Greater
than
1,000

Total

As of September 2021
Maximum Payout/Notional Amount of Written Credit Derivatives by TenorLess than 1 year
$105,584 $10,289 $ 807 $ 4,042 $120,722
1 – 5 years
332,858
24,8194,838
3,563
366,078
Greater than 5 years
68,202
6,816
2,504
613
78,135
Total$506,644 $41,924 $8,149 $ 8,218 $564,935
Maximum Payout/Notional Amount of Purchased Credit Derivatives
Offsetting$440,512 $28,582 $6,350 $ 6,376 $481,820
Other$108,898 $19,072 $2,218 $ 870 $131,058
Fair Value of Written Credit Derivatives
Asset$ 10,165 $ 1,430 $ 295 $ 228 $ 12,118
Liability
894
991
597
1,608
4,090
Net asset/(liability) $ 9,271 $ 439 $ (302) $(1,380) $ 8,028
As of December 2020
Maximum Payout/Notional Amount of Written Credit Derivatives by TenorLess than 1 year
$ 96,049 $ 5,826 $ 450 $ 2,403 $104,728
1 – 5 years
331,145
17,9138,801
4,932
362,791
Greater than 5 years
44,132
3,839
272
88
48,331
Total$471,326 $27,578 $9,523 $ 7,423 $515,850
Maximum Payout/Notional Amount of Purchased Credit Derivatives
Offsetting$407,315 $19,822 $8,679 $ 7,091 $442,907
Other$103,604 $ 7,272 $3,619 $ 776 $115,271
Fair Value of Written Credit Derivatives
Asset$ 10,302 $ 638 $ 256 $ 118 $ 11,314
Liability
1,112
1,119
387
2,001
4,619
Net asset/(liability)$ 9,190 $ (481) $ (131) $(1,883) $ 6,695

In the table above:‰ Fair values exclude the effects of both netting ofreceivable balances with payable balances underenforceable netting agreements, and netting of cash
received or posted under enforceable credit support
agreements, and therefore are not representative of thefirm’s credit exposure.
‰ Tenor is based on remaining contractual maturity.
‰ The credit spread on the underlier, together with the tenorof the contract, are indicators of payment/performancerisk. The firm is less likely to pay or otherwise be required
to perform where the credit spread and the tenor are
lower.
‰ Offsetting purchased credit derivatives represent thenotional amount of purchased credit derivatives that
economically hedge written credit derivatives withidentical underliers.
‰ Other purchased credit derivatives represent the notionalamount of all other purchased credit derivatives notincluded in offsetting.

27

Goldman Sachs September 2021 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Impact of Credit and Funding Spreads on Derivatives
The firm realizes gains or losses on its derivative contracts.
These gains or losses include credit valuation adjustments(CVA) relating to uncollateralized derivative assets andliabilities, which represent the gains or losses (including
hedges) attributable to the impact of changes in credit
exposure, counterparty credit spreads, liability funding
spreads (which include the firm’s own credit), probabilityof default and assumed recovery. These gains or losses also
include funding valuation adjustments (FVA) relating touncollateralized derivative assets, which represent the gains
or losses (including hedges) attributable to the impact ofchanges in expected funding exposures and funding
spreads.
The table below presents information about CVA and FVA.
Three Months
Ended September

Nine Months
Ended September$ in millions

2021

2020

2021

2020

CVA, net of hedges
FVA, net of hedges
Total

$49
17
$66

$103 $(14)101
54$204 $ 40

$ 52
(78)
$(26)

Bifurcated Embedded Derivatives
The table below presents the fair value and the notionalamount of derivatives that have been bifurcated from theirrelated borrowings.
As of$ in millions

September
2021

December
2020

Fair value of assets
Fair value of liabilities
Net asset/(liability)$881(1,389)$ (508)$ 1,450(1,220)$ 230

Notional amount$11,765$12,548In the table above, derivatives that have been bifurcatedfrom their related borrowings are recorded at fair value andprimarily consist of interest rate, equity and commodity
products. These derivatives are included in unsecured shortand long-term borrowings, as well as other secured
financings, with the related borrowings.
Derivatives with Credit-Related Contingent Features
Certain of the firm’s derivatives have been transacted underbilateral agreements with counterparties who may require
the firm to post collateral or terminate the transactions
based on changes in the firm’s credit ratings. The firm
assesses the impact of these bilateral agreements bydetermining the collateral or termination payments thatwould occur assuming a downgrade by all rating agencies.
A downgrade by any one rating agency, depending on theagency’s relative ratings of the firm at the time of thedowngrade, may have an impact which is comparable tothe impact of a downgrade by all rating agencies.

The table below presents information about net derivative
liabilities under bilateral agreements (excluding collateralposted), the fair value of collateral posted and additional
collateral or termination payments that could have beencalled by counterparties in the event of a one- or two-notch
downgrade in the firm’s credit ratings.
As of$ in millions

Net derivative liabilities under bilateral agreements
Collateral posted
Additional collateral or termination payments:
One-notch downgrade
Two-notch downgrade

September
2021

December
2020$36,431$30,647$43,368$35,296$ 331$ 1,353$ 481$ 1,388

Hedge Accounting
The firm applies hedge accounting for (i) interest rate swaps
used to manage the interest rate exposure of certain fixedrate unsecured long- and short-term borrowings and certain
fixed-rate certificates of deposit, (ii) foreign exchange
forward contracts used to manage the foreign exchange riskof certain available-for-sale securities, (iii) foreign currency
forward contracts and foreign currency-denominated debt
used to manage foreign currency exposures on the firm’s
net investment in certain non-U.S. operations and(iv) commodity futures contracts used to manage the pricerisk of certain commodities.
To qualify for hedge accounting, the hedging instrument
must be highly effective at reducing the risk from theexposure being hedged. Additionally, the firm mustformally document the hedging relationship at inception
and assess the hedging relationship at least on a quarterly
basis to ensure the hedging instrument continues to behighly effective over the life of the hedging relationship.
Fair Value Hedges
The firm designates interest rate swaps as fair value hedgesof certain fixed-rate unsecured long- and short-term debt
and fixed-rate certificates of deposit. These interest rate
swaps hedge changes in fair value attributable to thedesignated benchmark interest rate (e.g., London Interbank
Offered Rate (LIBOR), Secured Overnight Financing Rate
(SOFR) or Overnight Index Swap Rate), effectively
converting a substantial portion of fixed-rate obligations
into floating-rate obligations.
The firm applies a statistical method that utilizes regression
analysis when assessing the effectiveness of these hedging
relationships in achieving offsetting changes in the fairvalues of the hedging instrument and the risk being hedged(i.e., interest rate risk). An interest rate swap is consideredhighly effective in offsetting changes in fair value
attributable to changes in the hedged risk when the
regression analysis results in a coefficient of determinationof 80% or greater and a slope between 80% and 125%.
Goldman Sachs September 2021 Form 10-Q

28

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
For qualifying interest rate fair value hedges, gains or losses
on derivatives are included in interest expense. The change
in fair value of the hedged item attributable to the risk being
hedged is reported as an adjustment to its carrying value(hedging adjustment) and is also included in interest
expense. When a derivative is no longer designated as ahedge, any remaining difference between the carrying value
and par value of the hedged item is amortized to interest
expense over the remaining life of the hedged item using theeffective interest method. See Note 23 for further
information about interest income and interest expense.

The firm designates foreign exchange forward contracts asfair value hedges of the foreign exchange risk of non-U.S.
government securities classified as available-for-sale. See
Note 8 for information about the amortized cost and fairvalue of such securities. The effectiveness of such hedges isassessed based on changes in spot rates. The losses on thehedges (relating to both spot and forward points) and theforeign exchange gains on the related available-for-salesecurities were included in market making and were notmaterial for both the three and nine months ended
September 2021 and September 2020.

The table below presents the gains/(losses) from interest
rate derivatives accounted for as hedges and the related
hedged borrowings and deposits, and total interest expense.

During the second quarter of 2021, the firm designatedcommodity futures contracts as fair value hedges of theprice risk of certain precious metals included incommodities within trading assets. As of September 2021,
the carrying value of such commodities was $1.00 billion
and the amortized cost was $1.04 billion. Changes in spot
rates of such commodities are reflected as an adjustment totheir carrying value, and the related gains/(losses) on boththe commodities and the designated futures contracts areincluded in market making. The contractual forward points
on the designated futures contracts are amortized into
earnings ratably over the life of the contract and othergains/(losses) as a result of changes in the forward points
are included in other comprehensive income/(loss). The
cumulative hedging adjustment was not material as of
September 2021 and the related gains/(losses) were notmaterial for both the three and nine months ended
September 2021.

Three Months
Ended September$ in millions

2021

Nine Months
Ended September

2020

2021

2020

Interest rate hedges$(1,528) $(1,111) $(5,459) $ 5,829
Hedged borrowings and deposits $ 1,365 $ 916 $ 4,991 $(6,327)
Interest expense$ 1,553 $ 1,848 $ 4,435 $ 7,375

The table below presents the carrying value of deposits andunsecured borrowings that are designated in a hedging
relationship and the related cumulative hedging adjustment(increase/(decrease)) from current and prior hedging
relationships included in such carrying values.

Carrying
Value

Cumulative
Hedging
Adjustment

As of September 2021
Deposits
Unsecured short-term borrowings
Unsecured long-term borrowings$ 15,266$ 3,221$136,905

$ 387
$
10
$ 7,062

As of December 2020
Deposits
Unsecured short-term borrowings
Unsecured long-term borrowings$ 17,303$ 5,976$115,242

$ 649
$
53
$11,624$ in millions

In the table above, cumulative hedging adjustment included$6.27 billion as of September 2021 and $6.34 billion as ofDecember 2020 of hedging adjustments from prior hedging
relationships that were de-designated and substantially all
were related to unsecured long-term borrowings.
In addition, cumulative hedging adjustments for items nolonger designated in a hedging relationship were$147 million as of September 2021 and $489 million as ofDecember 2020 and substantially all were related to
unsecured long-term borrowings.

Net Investment Hedges
The firm seeks to reduce the impact of fluctuations inforeign exchange rates on its net investments in certain
non-U.S. operations through the use of foreign currency
forward contracts and foreign currency-denominated debt.
For foreign currency forward contracts designated ashedges, the effectiveness of the hedge is assessed based on
the overall changes in the fair value of the forward contracts(i.e., based on changes in forward rates). For foreign
currency-denominated debt designated as a hedge, theeffectiveness of the hedge is assessed based on changes inspot rates. For qualifying net investment hedges, all gains orlosses on the hedging instruments are included in currencytranslation.
The table below presents the gains/(losses) from net
investment hedging.

$ in millions

Three Months
Ended September

Nine Months
Ended September

2021

2021

2020

$(255) $600$(102) $290

$ 387$(132)

Hedges:Foreign currency forward contract $373
Foreign currency-denominated debt $ 31

29

Goldman Sachs September 2021 Form 10-Q

2020

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Gains or losses on individual net investments in non-U.S.
operations are reclassified to earnings from accumulated
other comprehensive income/(loss) when such net
investments are sold or substantially liquidated. The grossand net gains and losses on hedges and the related net
investments in non-U.S. operations reclassified to earnings
from accumulated other comprehensive income/(loss) were
not material for both the three and nine months ended
September 2021. The gross and net gains and losses onhedges and the related net investments in non-U.S.
operations reclassified to earnings from accumulated othercomprehensive income/(loss) were not material for the threemonths ended September 2020, and were $61 million(reflecting a gain of $215 million related to hedges and aloss of $154 million on the related net investments in
non-U.S. operations) for the nine months ended
September 2020.

Equity Securities, at Fair Value. Equity securities, at fairvalue consists of the firm’s public and private equity
investments in corporate and real estate entities.

The firm had designated $3.68 billion as of September 2021
and $4.97 billion as of December 2020 of foreign currencydenominated debt, included in unsecured long- and shortterm borrowings, as hedges of net investments in non-U.S.
subsidiaries.

In the table above:

Note 8.

Investments
Investments includes debt instruments and equity securities
that are accounted for at fair value and are generally held by
the firm in connection with its long-term investing
activities. In addition, investments includes debt securities
classified as available-for-sale and held-to-maturity that are
generally held in connection with the firm’s asset-liability
management activities. Investments also consists of equity
securities that are accounted for under the equity method.
The table below presents information about investments.
As of$ in millions

Equity securities, at fair value
Debt instruments, at fair value
Available-for-sale securities, at fair value
Investments, at fair value
Held-to-maturity securities
Equity method investments
Total investments

September
2021

December
2020$19,339
17,04544,58580,9695,205
534$86,708$19,781
16,98146,01682,7785,301
366$88,445

Equity Securities and Debt Instruments, at Fair Value
Equity securities and debt instruments, at fair value areaccounted for at fair value either under the fair value option
or in accordance with other U.S. GAAP, and the related fairvalue gains and losses are recognized in the consolidated
statements of earnings.

The table below presents information about equity
securities, at fair value.
As ofSeptember
2021

December
2020$19,339$19,781

Equity Type
Public equity
Private equity
Total

21%
79%
100%

15%
85%
100%

Asset Class
Corporate
Real estate
Total

80%
20%
100%

83%
17%
100%

$ in millions

Equity securities, at fair value‰ Equity securities, at fair value included investments
accounted for at fair value under the fair value option
where the firm would otherwise apply the equity methodof accounting of $5.42 billion as of September 2021 and$7.14 billion as of December 2020. Gains recognized as aresult of changes in the fair value of equity securities forwhich the fair value option was elected were $177 million
for the three months ended September 2021, $101 million
for the three months ended September 2020, $1.81 billion
for the nine months ended September 2021 and$277 million for the nine months ended September 2020.
These gains are included in other principal transactions.
‰ Equity securities, at fair value included $2.37 billion as of
September 2021 and $2.35 billion as of December 2020of investments in funds that are measured at NAV.
Debt Instruments, at Fair Value. Debt instruments, atfair value primarily includes mezzanine, senior anddistressed debt.
The table below presents information about debt
instruments, at fair value.
As of$ in millions

Corporate debt securities
Securities backed by real estate
Money market instruments
Other
Total

September
2021

December
2020$10,725
2,182
2,109
2,029
$17,045$10,991
1,940
2,185
1,865
$16,981

In the table above:‰ Money market instruments primarily includes time
deposits and investments in money market funds.
‰ Other included $1.55 billion as of September 2021 and$1.31 billion as of December 2020 of investments incredit funds that are measured at NAV.
Goldman Sachs September 2021 Form 10-Q

30

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Investments in Funds at Net Asset Value Per Share.
Equity securities and debt instruments, at fair value include
investments in funds that are measured at NAV of theinvestment fund. The firm uses NAV to measure the fairvalue of fund investments when (i) the fund investment does
not have a readily determinable fair value and (ii) the NAVof the investment fund is calculated in a manner consistent
with the measurement principles of investment company
accounting, including measurement of the investments atfair value.
Substantially all of the firm’s investments in funds at NAV
consist of investments in firm-sponsored private equity,
credit, real estate and hedge funds where the firm co-invests
with third-party investors.
Private equity funds primarily invest in a broad range ofindustries worldwide, including leveraged buyouts,
recapitalizations, growth investments and distressed
investments. Credit funds generally invest in loans andother fixed income instruments and are focused onproviding private high-yield capital for leveraged andmanagement buyout transactions, recapitalizations,financings, refinancings, acquisitions and restructurings forprivate equity firms, private family companies andcorporate issuers. Real estate funds invest globally,
primarily in real estate companies, loan portfolios, debt
recapitalizations and property. Private equity, credit andreal estate funds are closed-end funds in which the firm’s
investments are generally not eligible for redemption.
Distributions will be received from these funds as theunderlying assets are liquidated or distributed, the timing of
which is uncertain.
The firm also invests in hedge funds, primarily multidisciplinary hedge funds that employ a fundamental
bottom-up investment approach across various asset classes
and strategies. The firm’s investments in hedge funds
primarily include interests where the underlying assets are
illiquid in nature, and proceeds from redemptions will not
be received until the underlying assets are liquidated or
distributed, the timing of which is uncertain.

31

Goldman Sachs September 2021 Form 10-Q

Private equity and hedge funds described above are
primarily “covered funds” as defined in the Volcker Rule of
the U.S. Dodd-Frank Wall Street Reform and Consumer
Protection Act (Dodd-Frank Act). Substantially all of thecredit and real estate funds described above are not covered
funds. The Board of Governors of the Federal Reserve
System (FRB) extended the conformance period toJuly 2022 for the firm’s investments in, and relationships
with, certain legacy “illiquid funds” (as defined in the
Volcker Rule) that were in place prior to December 2013.
This extension is applicable to substantially all of the firm’s
remaining investments in, and relationships with, suchcovered funds. As of September 2021, the firm’s total
investments in funds at NAV of $3.92 billion included$1.63 billion of investments that were in covered funds.
The firm expects to achieve compliance for these covered
funds through ongoing harvesting of underlying fundinvestments in the ordinary course or through structuralmodifications to these funds. To the extent that the firm is
not able to achieve compliance through these measures, thefirm will be required to sell its interests in such funds by
July 2022. If that occurs, the firm may receive a value for its
interests that is less than the then carrying value as there
could be a limited secondary market for these investments
and the firm may be unable to sell them in orderlytransactions.
The table below presents the fair value of investments infunds at NAV and the related unfunded commitments.
Fair Value ofInvestments

UnfundedCommitments

As of September 2021
Private equity funds
Credit funds
Hedge funds
Real estate funds
Total$2,001
1,547
84
285$3,917

$ 626
743
–
204
$1,573As of December 2020
Private equity funds
Credit funds
Hedge funds
Real estate funds
Total$2,042
1,312
102
208
$3,664

$ 557
680
–
213
$1,450$ in millions

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Available-for-Sale Securities
Available-for-sale securities are accounted for at fair value,
and the related unrealized fair value gains and losses areincluded in accumulated other comprehensive income/(loss)
unless designated in a fair value hedging relationship. See
Note 7 for information about available-for-sale securities
that are designated in a hedging relationship.
The
table
below
presents
information
available-for-sale securities by tenor.

about

Fair
Value

Weighted
Average
Yield

25 $
25
37,056 36,946
5,339
5,270
42,420 42,241

0.03%
0.47%
0.92%
0.53%

5 years to 10 years
2,431
2,344
Total non-U.S. government obligations
2,431
2,344
Total available-for-sale securities$44,851 $44,585

0.25%
0.25%
0.51%

As of December 2020
Less than 1 year
1 year to 5 years
5 years to 10 years
Total U.S. government obligations

25 $2535,831 36,158
7,454
7,732
43,310 43,915

0.08%
0.70%
1.19%
0.78%

1,739
1,744
353
357
2,092
2,101
$45,402 $46,016

0.10%
0.74%
0.21%
0.76%

$ in millions

As of September 2021
Less than 1 year
1 year to 5 years
5 years to 10 years
Total U.S. government obligations

5 years to 10 years
Greater than 10 years
Total non-U.S. government obligations
Total available-for-sale securities

Amortized
Cost

$

$

In the table above:‰ Available-for-sale securities were classified in level 1 of
the fair value hierarchy as of both September 2021 andDecember 2020.
‰ The firm sold available-for-sale securities of$11.47 billion (realized gains of $54 million) during thethree months ended September 2021 and $24.89 billion(realized gains of $187 million) during the nine months
ended September 2021. There were no sales of availablefor-sale securities during the three months ended
September 2020 and the firm sold $3.49 billion (realized
gains of $319 million) during the nine months ended
September 2020. Such gains were included in the
consolidated statements of earnings.

‰ The gross unrealized gains included in accumulated othercomprehensive income/(loss) were $166 million and thegross unrealized losses included in accumulated othercomprehensive income/(loss) were $432 million as of
September 2021 and primarily related to U.S. government
obligations in a continuous unrealized loss position forless than a year. The gross unrealized gains included inaccumulated other comprehensive income/(loss) were$631 million and the gross unrealized losses included inaccumulated other comprehensive income/(loss) were notmaterial as of December 2020.
‰ Available-for-sale securities are reviewed to determine if
an allowance for credit losses should be recorded in the
consolidated statements of earnings. The firm considers
various factors in such determination, including market
conditions, changes in issuer credit ratings, severity of theunrealized losses, and the intent and ability to hold the
security until recovery. The firm did not record any
provision for credit losses on such securities during either
the three or nine months ended September 2021 or
September 2020.
Fair Value of Investments by Level
The table below presents investments accounted for at fairvalue by level within the fair value hierarchy.
$ in millions

Level 1

Level 2

Level 3Total

As of September 2021
Government and agency obligations:U.S.
$42,241 $– $– $42,241
Non-U.S.
2,346
48
–
2,394
Corporate debt securities
65
6,383
4,277 10,725
Securities backed by real estate
–
1,094
1,088
2,182
Money market instruments
787
1,322
–
2,109
Other debt obligations
–
45
387
432
Equity securities
941
8,101
7,927 16,969
Subtotal$46,380 $16,993 $13,679 $77,052
Investments in funds at NAV
3,917
Total investments$80,969
As of December 2020
Government and agency obligations:U.S.
$43,915 $– $– $43,915
Non-U.S.
2,109
48
–
2,157
Corporate debt securities
70
5,635
5,286 10,991
Securities backed by real estate
–
942
998
1,940
Money market instruments
781
1,404
–
2,185
Other debt obligations
–
–
497
497
Equity securities
517
7,270
9,642 17,429
Subtotal$47,392 $15,299 $16,423 $79,114
Investments in funds at NAV
3,664
Total investments$82,778

See Note 4 for an overview of the firm’s fair value
measurement policies and the valuation techniques andsignificant inputs used to determine the fair value ofinvestments.

Goldman Sachs September 2021 Form 10-Q

32

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Significant Unobservable Inputs
The table below presents the amount of level 3 investments,
and ranges and weighted averages of significant
unobservable inputs used to value such investments.
As of September 2021
$ in millions

As of December 2020

Amount or Weighted
Range Average

Corporate debt securities
Level 3 assets$4,277Yield
6.9% to 14.6%
Recovery rate
9.1% to 76.0%
Duration (years)
3.0 to 9.4
Multiples
0.5x to 36.1x
Securities backed by real estate
Level 3 assets$1,088Yield
8.3% to 20.3%
Recovery rate
56.8% to 69.0%
Duration (years)
0.4 to 2.8
Other debt obligations
Level 3 assets
$387
Yield
2.2% to 10.1%
Duration (years)
1.2 to 6.3
Equity securities
Level 3 assets$7,927
Multiples
0.4x to 23.2x
Discount rate/yield 4.8% to 54.2%
Capitalization rate 4.2% to 14.0%

Amount or Weighted
Range Average$5,286
9.8% 4.5% to 19.5%
56.8% 10.0% to 70.0%
4.6
3.0 to 7.7
8.2x
0.6x to 29.3x

10.2%
50.7%
4.2
6.9x

$998
13.5% 8.2% to 52.4%
59.9% 21.6% to 57.8%
1.4
0.4 to 3.6

17.5%
33.7%
2.7

‰ The fair value of any one instrument may be determinedusing multiple valuation techniques. For example, market
comparables and discounted cash flows may be used
together to determine fair value. Therefore, the level 3
balance encompasses both of these techniques.
Level 3 Rollforward
The table below presents a summary of the changes in fairvalue for level 3 investments.
Three Months
Ended September$ in millions

2.9%
4.3

$497
1.7% to 6.2%
0.2 to 10.3

3.5%
6.4

10.8x
15.9%
6.3%

$9,6420.6x to 27.9x
4.0% to 38.5%
3.7% to 14.1%

9.0x
13.5%
6.3%

In the table above:‰ Ranges represent the significant unobservable inputs thatwere used in the valuation of each type of investment.
‰ Weighted averages are calculated by weighting each input
by the relative fair value of the investment.
‰ The ranges and weighted averages of these inputs are notrepresentative of the appropriate inputs to use whencalculating the fair value of any one investment. For
example, the highest multiple for private equity securities
is appropriate for valuing a specific private equity security
but may not be appropriate for valuing any other private
equity security. Accordingly, the ranges of inputs do not
represent uncertainty in, or possible ranges of, fair value
measurements of level 3 investments.
‰ Increases in yield, discount rate, capitalization rate or
duration used in the valuation of level 3 investments
would have resulted in a lower fair value measurement,
while increases in recovery rate or multiples would haveresulted in a higher fair value measurement as of both
September 2021 and December 2020. Due to the
distinctive nature of each level 3 investment, theinterrelationship of inputs is not necessarily uniform
within each product type.

33‰ Corporate debt securities, securities backed by real estateand other debt obligations are valued using discounted
cash flows, and equity securities are valued using market
comparables and discounted cash flows.

Goldman Sachs September 2021 Form 10-Q

2021

2020

Nine Months
Ended September
2021

2020

Beginning balance$16,332 $17,916 $16,423 $15,282
Net realized gains/(losses)
78
128
184
238
Net unrealized gains/(losses)
155
534
1,244
(808)
Purchases
496
405
1,467
1,250
Sales
(478)
(269)
(1,070)(1,379)Settlements
(831)
(686)
(2,421)(1,180)Transfers into level 3
806
230
1,843
5,373
Transfers out of level 3(2,879)(984)(3,991)(1,502)Ending balance$13,679 $17,274 $13,679 $17,274

In the table above:‰ Changes in fair value are presented for all investmentsthat are classified in level 3 as of the end of the period.
‰ Net unrealized gains/(losses) relates to investments thatwere still held at period-end.
‰ Transfers between levels of the fair value hierarchy arereported at the beginning of the reporting period in which
they occur. If an investment was transferred to level 3
during a reporting period, its entire gain or loss for theperiod is classified in level 3.
‰ For level 3 investments, increases are shown as positive
amounts, while decreases are shown as negative amounts.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents information, by product type, forinvestments included in the summary table above.
Three Months
Ended September$ in millions

2021

2020

Nine Months
Ended September
2021

2020

Corporate debt securities
Beginning balance$ 4,958 $ 6,572 $ 5,286 $ 3,465
Net realized gains/(losses)
33
48
150
115
Net unrealized gains/(losses)
47
142
302
(263)
Purchases
101
137
374
401
Sales
(204)
(22)
(383)
(215)
Settlements(601)(386) (1,254)(553)
Transfers into level 3
529
121
1,120
3,234
Transfers out of level 3(586)(761) (1,318)(333)
Ending balance$ 4,277 $ 5,851 $ 4,277 $ 5,851
Securities backed by real estate
Beginning balance$ 1,117 $Net realized gains/(losses)
12
Net unrealized gains/(losses)(11)
Purchases
14
Sales
(19)
Settlements(51)
Transfers into level 3
26
Transfers out of level 3–
Ending balance$ 1,088 $880 $ 998 $
12
29
16
25
35
212
–
(43)
(11)
(247)
–
114
(2)
–
930 $ 1,088 $

595
32
(97)
124
–
(43)
323
(4)
930

Other debt obligations
Beginning balance$
Net realized gains/(losses)
Net unrealized gains/(losses)
Purchases
Sales
Settlements
Transfers into level 3
Transfers out of level 3
Ending balance
$

429 $
4
3
27
(2)
(6)
–
–
455 $

319
10
–
45
(4)
(9)
94
–
455

502 $
4
1
10
(1)
(33)
–
(96)
387 $

497 $
9
1
32
(3)
(54)
–
(95)
387 $

Equity securities
Beginning balance$ 9,755 $10,035 $ 9,642 $10,903
Net realized gains/(losses)
29
64
(4)
81
Net unrealized gains/(losses)
118
373
916
(448)
Purchases
371
206
849
680
Sales
(254)
(245)
(641)
(1,160)
Settlements
(146)
(283)
(866)
(575)
Transfers into level 3
251
109
609
1,722
Transfers out of level 3(2,197)(221) (2,578)(1,165)Ending balance$ 7,927 $10,038 $ 7,927 $10,038

Level 3 Rollforward Commentary
Three Months Ended September 2021. The net realized
and unrealized gains on level 3 investments of $233 million(reflecting $78 million of net realized gains and$155 million of net unrealized gains) for the three months
ended September 2021 included gains of $183 million
reported in other principal transactions and $50 million
reported in interest income.
The net unrealized gains on level 3 investments for the threemonths ended September 2021 primarily reflected gains oncertain private equity securities (principally driven bycorporate performance and company-specific events).

Transfers into level 3 investments during the three months
ended September 2021 primarily reflected transfers ofcertain corporate debt securities and private equity
securities from level 2 (in each case, principally due toreduced price transparency as a result of a lack of market
evidence, including fewer market transactions in these
instruments).
Transfers out of level 3 investments during the threemonths ended September 2021 primarily reflected transfersof certain private equity securities to level 2 (principally due
to increased price transparency as a result of market
evidence, including market transactions in these
instruments) and transfers of certain corporate debt
securities to level 2 (principally due to certain unobservable
yield and duration inputs no longer being significant to thevaluation of these instruments, and increased pricetransparency as a result of market evidence, including
market transactions in these instruments).
Nine Months Ended September 2021. The net realized
and unrealized gains on level 3 investments of $1.43 billion(reflecting $184 million of net realized gains and$1.24 billion of net unrealized gains) for the nine months
ended September 2021 included gains of $1.29 billion
reported in other principal transactions and $135 million
reported in interest income.
The net unrealized gains on level 3 investments for the ninemonths ended September 2021 primarily reflected gains oncertain private equity securities and corporate debt
securities (in each case, principally driven by corporate
performance and company-specific events).
Transfers into level 3 investments during the nine months
ended September 2021 primarily reflected transfers ofcertain corporate debt securities from level 2 (principally
due to reduced price transparency as a result of a lack ofmarket evidence, including fewer market transactions inthese instruments, and certain unobservable yield andduration inputs becoming significant to the valuation ofthese instruments) and transfers of certain private equity
securities from level 2 (principally due to reduced pricetransparency as a result of a lack of market evidence,
including fewer market transactions in these instruments).
Transfers out of level 3 investments during the nine months
ended September 2021 primarily reflected transfers ofcertain private equity securities to level 2 (principally due toincreased price transparency as a result of market evidence,
including market transactions in these instruments) andtransfers of certain corporate debt securities to level 2(principally due to certain unobservable yield and duration
inputs no longer being significant to the valuation of these
instruments, and increased price transparency as a result ofmarket evidence, including market transactions of these
instruments).
Goldman Sachs September 2021 Form 10-Q

34

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)Three Months Ended September 2020. The net realized
and unrealized gains on level 3 investments of $662 million(reflecting $128 million of net realized gains and$534 million of net unrealized gains) for the three months
ended September 2020 included gains of $584 million
reported in other principal transactions and $78 million
reported in interest income.
The net unrealized gains on level 3 investments for the threemonths ended September 2020 primarily reflected gains oncertain private equity securities and corporate debt securities(in each case, principally driven by corporate performance).
Transfers into level 3 investments during the three months
ended September 2020 primarily reflected transfers of certain
corporate debt securities and private equity securities fromlevel 2 (in each case, principally due to reduced pricetransparency as a result of a lack of market evidence,
including fewer transactions in these instruments).
Transfers out of level 3 investments during the three months
ended September 2020 primarily reflected transfers of certain
corporate debt securities to level 2 (principally due to certain
unobservable yield and duration inputs no longer being
significant to the valuation of these instruments) and certain
private equity securities to level 2 (principally due toincreased price transparency as a result of market evidence,
including market transactions in these instruments).
Nine Months Ended September 2020. The net realized
and unrealized losses on level 3 investments of $570 million(reflecting $238 million of net realized gains and$808 million of net unrealized losses) for the nine months
ended September 2020 included gains/(losses) of$(737) million reported in other principal transactions and$167 million reported in interest income.
The net unrealized losses on level 3 investments for the ninemonths ended September 2020 primarily reflected losses oncertain private equity securities and corporate debt securities(in each case, principally driven by corporate performance).
Transfers into level 3 investments during the nine months
ended September 2020 primarily reflected transfers ofcertain corporate debt securities and private equity
securities from level 2 (in each case, principally due toreduced price transparency as a result of a lack of market
evidence, including fewer transactions in these
instruments).
Transfers out of level 3 investments during the nine months
ended September 2020 primarily reflected transfers ofcertain private equity securities to level 2 (principally due toincreased price transparency as a result of market evidence,
including market transactions in these instruments) andcertain corporate debt securities to level 2 (principally due
to certain unobservable yield and duration inputs no longer
being significant to the valuation of these instruments).
35

Goldman Sachs September 2021 Form 10-Q

Held-to-Maturity Securities
Held-to-maturity securities are accounted for at amortized
cost.
The
table
below
presents
information
held-to-maturity securities by type and tenor.

about

Amortized
Cost

Fair
Value

Weighted
Average
Yield

Less than 1 year
1 year to 5 years
Total U.S. government obligations

$ 504
4,038
4,542

$ 507
4,242
4,749

2.55%
2.30%
2.33%

5 years to 10 years
Greater than 10 years
Total securities backed by real estate
Total held-to-maturity securities

3
660
663
$5,2053686
689$5,438

2.64%
1.00%
1.02%
2.16%

Less than 1 year
1 year to 5 years
5 years to 10 years
Total U.S. government obligations

$ 501
2,529
1,531
4,561

$ 513
2,695
1,675
4,883

2.53%
2.34%
2.25%
2.33%

5 years to 10 years
Greater than 10 years
Total securities backed by real estate
Total held-to-maturity securities

4
736
740
$5,301

3751
754$5,637

2.56%
1.08%
1.08%
2.15%

$ in millions

As of September 2021

As of December 2020

In the table above:‰ Substantially all of the securities backed by real estate
consist of securities backed by residential real estate.
‰ As these securities are not accounted for at fair value, they
are not included in the firm’s fair value hierarchy inNotes 4 through 10. Had these securities been included in
the firm’s fair value hierarchy, U.S. government
obligations would have been classified in level 1 andsecurities backed by real estate would have been primarily
classified in level 2 of the fair value hierarchy as of both
September 2021 and December 2020.
‰ The gross unrealized gains were $233 million as of
September 2021 and $340 million as of December 2020.
The gross unrealized losses were not material as of both
September 2021 and December 2020.
‰ Held-to-maturity securities are reviewed to determine if
an allowance for credit losses should be recorded in the
consolidated statements of earnings. The firm considers
various factors in such determination, including market
conditions, changes in issuer credit ratings, historicalcredit losses and sovereign guarantees. Provision for
credit losses on such securities was not material during
either the three or nine months ended September 2021 or
September 2020.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Note 9.

Loans
Loans include (i) loans held for investment that are
accounted for at amortized cost net of allowance for loan
losses or at fair value under the fair value option and(ii) loans held for sale that are accounted for at the lower ofcost or fair value. Interest on loans is recognized over thelife of the loan and is recorded on an accrual basis.
The table below presents information about loans.

$ in millions

Amortized
Cost

Fair
Value

Held For
Sale

Total

As of September 2021
Loan Type
Corporate$ 48,943
Wealth management
35,159Commercial real estate
17,892
Residential real estate
12,356
Consumer:
Installment
3,449
Credit cards
6,251
Other
5,308
Total loans, gross
129,358
Allowance for loan losses(3,332)
Total loans$126,026$ 3,020
6,616
1,655
351

$2,144–2,160
652$ 54,107
41,77521,707
13,359––462
12,104–$12,104

–
–
538
5,494
–
$5,494

3,449
6,251
6,308
146,956(3,332)$143,624$ 2,751
7,872
1,961
494

$1,130–1,233
20$ 48,659
33,023
20,290
5,750

–
–
547
13,625–$13,625

–
–
416
2,799
–
$2,799

3,823
4,270
4,174
119,989(3,874)$116,115

As of December 2020
Loan Type
Corporate$ 44,778
Wealth management
25,151
Commercial real estate
17,096
Residential real estate
5,236
Consumer:
Installment
3,823
Credit cards
4,270
Other
3,211
Total loans, gross
103,565
Allowance for loan losses(3,874)
Total loans$ 99,691

The following is a description of the loan types in the table
above:‰ Corporate. Corporate loans includes term loans,revolving lines of credit, letter of credit facilities andbridge loans, and are principally used for operating andgeneral corporate purposes, or in connection withacquisitions. Corporate loans may be secured or
unsecured, depending on the loan purpose, the risk profileof the borrower and other factors.
‰ Wealth Management. Wealth management loans
includes loans extended to private bank clients, including
wealth management and other clients. These loans areused to finance investments in both financial andnonfinancial assets, bridge cash flow timing gaps orprovide liquidity for other needs. Substantially all of suchloans are secured by securities, residential real estate,commercial real estate or other assets.

‰ Commercial Real Estate. Commercial real estate loans
includes originated loans (other than those extended to
private bank clients) that are directly or indirectly securedby hotels, retail stores, multifamily housing complexes
and commercial and industrial properties. Commercial
real estate loans also includes loans extended to clients
who warehouse assets that are directly or indirectly
backed by commercial real estate. In addition,commercial real estate includes loans purchased by thefirm.
‰ Residential Real Estate. Residential real estate loans
primarily includes loans extended by the firm to clients(other than those extended to private bank clients) who
warehouse assets that are directly or indirectly secured byresidential real estate and loans purchased by the firm.
‰ Installment. Installment loans are unsecured and are
originated by the firm.
‰ Credit Cards. Credit card loans are loans made pursuant
to revolving lines of credit issued to consumers by thefirm.
‰ Other. Other loans primarily includes loans extended toclients who warehouse assets that are directly or
indirectly secured by consumer loans, including autoloans and private student loans, and other assets. Otherloans also includes unsecured consumer and credit cardloans purchased by the firm.
Credit Quality
Risk Assessment. The firm’s risk assessment processincludes evaluating the credit quality of its loans. For
corporate loans and a majority of wealth management, realestate and other loans, the firm performs credit reviews
which include initial and ongoing analyses of its borrowers,
resulting in an internal credit rating. A credit review is anindependent analysis of the capacity and willingness of aborrower to meet its financial obligations and is performedon an annual basis or more frequently if circumstanceschange that indicate that a review may be necessary. The
determination of internal credit ratings also incorporates
assumptions with respect to the nature of and outlook forthe borrower’s industry and the economic environment.

Goldman Sachs September 2021 Form 10-Q

36

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents gross loans by an internallydetermined public rating agency equivalent or other credit
metrics and the concentration of secured and unsecuredloans.

$ in millions

Investment- Non-Investment- Other Metrics/
Grade
Grade
Unrated

Total

As of September 2021
Accounting Method
Amortized cost
Fair value
Held for sale
Total
Loan Type
Corporate
Wealth management
Real estate:
Commercial
Residential
Consumer:
Installment
Credit cards
Other
Total
SecuredUnsecured
Total$47,4292,502
1,151$51,082$67,434
5,279
4,163$76,876$14,495 $129,358
4,323 12,104
180
5,494
$18,998 $146,956$14,048
29,631$39,809
5,595

$

3,463
1,247

17,903
11,051––
2,693$51,082––
2,518$76,876

87%
13%
100%

92%
8%
100%

$33,5322,084
224$35,840$58,250
5,925
2,152$66,327$11,783 $103,565
5,616 13,625
423
2,799
$17,822 $119,989$ 9,478
22,098$38,704
5,331

$

1,792
636

17,480
3,852

–
–
1,836
$35,840––960$66,327

83%
17%
100%

90%
10%
100%

250 $ 54,107
6,549 41,775
341
1,061

21,707
13,359

3,449
3,449
6,251
6,251
1,097
6,308
$18,998 $146,956
42%
58%
100%

84%
16%
100%

As of December 2020
Accounting Method
Amortized cost
Fair value
Held for sale
Total
Loan Type
Corporate
Wealth management
Real estate:
Commercial
Residential
Consumer:
Installment
Credit cards
Other
Total
SecuredUnsecured
Total

37

Goldman Sachs September 2021 Form 10-Q

477 $ 48,659
5,594 33,023
1,018
1,262

20,290
5,750

3,823
3,823
4,270
4,270
1,378
4,174
$17,822 $119,989
46%
54%
100%

82%
18%
100%

In the table above:‰ Wealth management loans included in the other metrics/
unrated category primarily consists of loans backed byresidential real estate and securities, and real estate loans
included in the other metrics/unrated category primarily
consists of purchased loans. The firm’s risk assessment
process for these loans includes reviewing certain key
metrics, such as loan-to-value ratio, delinquency status,
collateral values, expected cash flows, the Fair Isaac
Corporation (FICO) credit score (which measures aborrower’s creditworthiness by considering factors suchas payment and credit history) and other risk factors.
‰ For installment and credit card loans included in the othermetrics/unrated category, the evaluation of credit quality
incorporates the borrower’s FICO credit score. FICO
credit scores are periodically refreshed by the firm toassess the updated creditworthiness of the borrower. See“Vintage” below for information about installment andcredit card loans by FICO credit scores.
The firm also assigns a regulatory risk rating to its loans
based on the definitions provided by the U.S. federal bankregulatory agencies. Total loans included 89% of loans as
of September 2021 and 85% of loans as of December 2020
that were rated pass/non-criticized.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Vintage. The tables below present gross loans accounted
for at amortized cost (excluding installment and credit cardloans) by an internally determined public rating agency
equivalent or other credit metrics and origination year forterm loans.
As of September 2021
$ in millions

Investment- Non-Investment- Other Metrics/
Grade
Grade
Unrated2021$ 2,910
2020
2,241
2019
458
2018
1,853
2017
755
2016 or earlier
258
Revolving
4,127
Corporate
12,602
2021
967
2020
537
2019
636
2018
320
2017
369
2016 or earlier
578
Revolving
24,796
Wealth management
28,203
2021
329
2020
322
2019
72
2018
212
2017
453
2016 or earlier
419
Revolving
1,096
Commercial real estate
2,903
2021
381
2020
287
2019
–
2018
–
2017
8
2016 or earlier–
Revolving
435
Residential real estate
1,111
2021
104
2020
–
2019
–
2018
–
2017
–
Revolving
2,506
Other
2,610
Total
$47,429$ 8,217
5,263
4,377
2,965
2,029
2,157
11,24936,257
618
248
400
106
31
247
2,273
3,923
2,715
2,194
1,460
1,055
740
741
6,034
14,939
43
274
3
93
53
1
9,910
10,377
428
75
31
33
6
1,365
1,938
$67,434

40%

56%

Percentage of total

Total

$

– $ 11,127
19
7,523
–
4,835
–
4,818
–
2,784
–
2,415
65 15,441
84 48,943
875
2,460
–
785
–
1,036
–
426
–
400
–
825
2,158 29,227
3,033 35,159
33
3,077
–
2,516
–
1,532
–
1,267
–
1,193
17
1,177
–
7,130
50 17,892
191
615
110
671
205
208
177
270
127
188
58
59
– 10,345
868 12,356
246
778
400
475
21
52
–
33
9
15
84
3,955
760
5,308
$4,795 $119,658

4%

As of December 2020
Investment- Non-Investment- Other Metrics/
Grade
Grade
Unrated$ in millions

2020
2019
2018
2017
2016
2015 or earlier
Revolving
Corporate
2020
2019
2018
2017
2016
2015 or earlier
Revolving
Wealth management
2020
2019
2018
2017
2016
2015 or earlier
Revolving
Commercial real estate
2020
2019
2018
2017
2016
2015 or earlier
Revolving
Residential real estate
2020
2019
2018
2017
Revolving
Other
Total
Percentage of total$ 1,978
889
2,076
851
268
351
2,662
9,075
497
723
298
377
22
531
18,077
20,525
848
76
137
26
–
–
461
1,548
402
–
–
9
–
–
225
636
242
–
–
–
1,506
1,748
$33,532$ 7,545
6,106
3,555
3,083
1,262
2,073
11,89135,515
313
403
87
30
20
264
2,085
3,202
3,071
1,965
2,164
1,734
165
775
5,047
14,921
976
90
123
83
1
–
2,470
3,743
84
67
46
8
664
869
$58,250

35%

61%

Total

$ 140 $ 9,663
–
6,995
–
5,631
–
3,934
–
1,530
–
2,424
48 14,601
188 44,778
–
810
–
1,126
–
385
–
407
–
42
–
795
1,424 21,586
1,424 25,151
55
3,974
–
2,041
25
2,326
12
1,772
9
174
526
1,301
–
5,508
627 17,096
115
1,493
271
361
249
372
152
244
–
1
70
70
–
2,695
857
5,236
466
792
29
96
–
46
–
8
99
2,269
594
3,211
$3,690 $95,472
4%

100%

In the tables above, revolving loans which converted toterm loans were not material as of both September 2021
and December 2020.

100%

Goldman Sachs September 2021 Form 10-Q

38

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents gross installment loans byrefreshed FICO credit scores and origination year and grosscredit card loans by refreshed FICO credit scores.

$ in millions

Greater than orequal to 660

As of September 2021
2021
2020
2019
2018
2017
2016
Installment
Credit cards
Total$1,380
816
658
347
47
2
3,250
4,665
$7,915Percentage of total:
Installment
Credit cards
Total

94%
75%
82%

As of December 2020
2020
2019
2018
2017
2016
Installment
Credit cards
Total$1,321
1,225
792
128
6
3,472
3,398
$6,870Percentage of total:
Installment
Credit cards
Total

91%
80%
85%

Less than 660

Total

$

199
1,586
$1,785$1,399
856
732
403
57
2
3,449
6,251
$9,700

6%
25%
18%

100%
100%
100%

38
132
150
30
1
351
872
$1,223$1,359
1,357
942
158
7
3,823
4,270
$8,093

9%
20%
15%

100%
100%
100%

19
40
74
56
10
–

$

In the table above, credit card loans consist of revolving
lines of credit.
Credit Concentrations. The table below presents theconcentration of gross loans by region.

$ in millions

As of September 2021
Corporate
Wealth management
Commercial real estate
Residential real estateConsumer:
Installment
Credit cards
Other
Total
As of December 2020
Corporate
Wealth management
Commercial real estate
Residential real estateConsumer:
Installment
Credit cards
Other
Total

39

Carrying
Value

Americas EMEA

Asia

Total

$ 54,107
41,77521,707
13,359

56%
86%
75%
92%

36%
11%
19%
5%

8%
3%
6%
3%

100%
100%
100%
100%

3,449
6,251
6,308
$146,956

100%
100%
88%
75%

–
–
10%
20%

–
–
2%
5%

100%
100%
100%
100%

$ 48,659
33,023
20,290
5,750

60%
88%
71%
88%

31% 9% 100%10% 2% 100%19% 10% 100%9% 3% 100%

3,823
4,270
4,174
$119,989

100%
100%
81%
75%

–
–
17%
19%

Goldman Sachs September 2021 Form 10-Q

–
–
2%
6%

100%
100%
100%
100%

In the table above:‰ EMEA represents Europe, Middle East and Africa.
‰ The top five industry concentrations for corporate loans
as of September 2021 were 20% for technology, media &telecommunications (17% as of December 2020), 19%
for funds (13% as of December 2020), 15% fordiversified industrials (17% as of December 2020), 8%
for natural resources & utilities (12% as ofDecember 2020), and 8% for financial institutions (10%as of December 2020).
Nonaccrual and Past Due Loans. Loans accounted for atamortized cost (other than credit card loans) are placed on
nonaccrual status when it is probable that the firm will notcollect all principal and interest due under the contractual
terms, regardless of the delinquency status or if a loan ispast due for 90 days or more, unless the loan is both wellcollateralized and in the process of collection. At that time,
all accrued but uncollected interest is reversed againstinterest income and interest subsequently collected isrecognized on a cash basis to the extent the loan balance isdeemed collectible. Otherwise, all cash received is used toreduce the outstanding loan balance. A loan is consideredpast due when a principal or interest payment has not been
made according to its contractual terms. Credit card loans
are not placed on nonaccrual status and accrue interest
until the loan is paid in full or is charged off.
In certain circumstances, the firm may modify the originalterms of a loan agreement by granting a concession to aborrower experiencing financial difficulty, typically in theform of a modification of loan covenants, but may also
include forbearance of interest or principal, payment
extensions or interest rate reductions. These modifications,to the extent significant, are considered troubled debt
restructurings (TDRs). Loan modifications that extend
payment terms for a period of less than 90 days are
generally considered insignificant and therefore notreported as TDRs.
The firm adopted the relief issued under the Coronavirus
Aid, Relief, and Economic Security Act, as amended, andcertain interpretive guidance issued by the U.S. banking
agencies that provides for certain modified loans thatwould otherwise meet the definition of a TDR to not beclassified as such. Loans accounted for at amortized costthat were not classified as TDRs as a result of this relief andinterpretive guidance were $219 million as of
September 2021 and were $184 million as ofDecember 2020.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents information about past due loans.

$ in millions

As of September 2021
Corporate
Wealth management
Commercial real estate
Residential real estateConsumer:
Installment
Credit cards
Other
Total

90 daysor more

Total

–
4
33
1

$121
46
101
5

$121
50
134
6

20
66
17
$141

8
52
9
$342

28
118
26
$483

30-89 days$

Total divided by gross loans at amortized cost
As of December 2020
Corporate
Wealth management
Commercial real estate
Residential real estateConsumer:
Installment
Credit cards
Other
Total

$

0.4%

–
58
49
4

$294
34
183
23

$294
92
232
27

42
46
20
$219

16
31
4
$585

58
77
24
$804

Total divided by gross loans at amortized cost

0.8%

The table below presents information about nonaccrualloans.
As of$ in millions

Corporate
Wealth management
Commercial real estate
Residential real estate
Installment
Other
Total
Total divided by gross loans at amortized cost

September December
2021
2020

$1,73939874
1245$2,709$2,651
61
649
25
44
122
$3,552

2.1%

3.4%

–

In the table above:‰ Nonaccrual loans included $237 million as of
September 2021 and $533 million as of December 2020of loans that were 30 days or more past due.

Allowance for Credit Losses
The firm’s allowance for credit losses consists of theallowance for losses on loans and lending commitments
accounted for at amortized cost. Loans and lending
commitments accounted for at fair value or accounted forat the lower of cost or fair value are not subject to anallowance for credit losses.
To determine the allowance for credit losses, the firmclassifies its loans and lending commitments accounted forat amortized cost into wholesale and consumer portfolios.
These portfolios represent the level at which the firm hasdeveloped and documented its methodology to determine
the allowance for credit losses. The allowance for credit
losses is measured on a collective basis for loans that exhibit
similar risk characteristics using a modeled approach andasset-specific basis for loans that do not share similar risk
characteristics.
The allowance for credit losses takes into account theweighted average of a range of forecasts of future economic
conditions over the expected life of the loan and lending
commitments. The expected life of each loan or lending
commitment is determined based on the contractual term
adjusted for extension options or demand features. The
forecasts include baseline, favorable and adverse economic
scenarios over a three-year period. For loans with expected
lives beyond three years, the model reverts to historical loss
information based on a non-linear modeled approach. The
forecasted economic scenarios consider a number of risk
factors relevant to the wholesale and consumer portfolios
described below. The firm applies judgment in weighing
individual scenarios each quarter based on a variety offactors, including the firm’s internally derived economic
outlook, market consensus, recent macroeconomic
conditions and industry trends.
The allowance for credit losses also includes qualitative
components which allow management to reflect theuncertain nature of economic forecasting, capture
uncertainty regarding model inputs, and account for model
imprecision and concentration risk.

‰ Loans that were 90 days or more past due and still
accruing were not material as of both September 2021
and December 2020.
‰ Nonaccrual loans included $307 million as of
September 2021 and $315 million as of December 2020of corporate and commercial real estate loans that weremodified in a TDR. The firm’s lending commitments
related to these loans were not material as of both
September 2021 and December 2020. Installment loansthat were modified in a TDR were not material as of both
September 2021 and December 2020.

Goldman Sachs September 2021 Form 10-Q

40

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)Management’s estimate of credit losses entails judgment
about loan collectability at the reporting dates, and there areuncertainties inherent in those judgments. The allowance for
credit losses is subject to a governance process that involves
review and approval by senior management within the firm’s
independent risk oversight and control functions. Personnel
within the firm’s independent risk oversight and control
functions are responsible for forecasting the economic
variables that underlie the economic scenarios that are usedin the modeling of expected credit losses. While management
uses the best information available to determine thisestimate, future adjustments to the allowance may benecessary based on, among other things, changes in theeconomic environment or variances between actual results
and the original assumptions used.
The table below presents gross loans and lending
commitments accounted for at amortized cost by portfolio.
As of$ in millions

September 2021

December 2020

Lending
Loans Commitments

Lending
Loans Commitments

Wholesale
Corporate$ 48,943
Wealth management
35,159Commercial real estate 17,892
Residential real estate
12,356
Other
5,308
Consumer
Installment
3,449
Credit cards
6,251
Total
$129,358$150,464 $ 44,778
4,014 25,151
4,183 17,096
2,785
5,236
5,183
3,211

$127,756
2,314
4,154
1,804
4,841

11
3,823
31,718
4,270$198,358 $103,565

4
21,640$162,513

In the table above:‰ Wholesale loans included $2.66 billion as of
September 2021 and $3.51 billion as of December 2020 of
nonaccrual loans for which the allowance for credit losses
was measured on an asset-specific basis. The allowance for
credit losses on these loans was $575 million as of
September 2021 and $649 million as of December 2020.
These loans included $161 million as of September 2021
and $584 million as of December 2020 of loans which did
not require a reserve as the loan was deemed to be
recoverable.
‰ Credit card lending commitments included $29.79 billion
as of September 2021 and $21.64 billion as ofDecember 2020 related to credit card lines issued by thefirm to consumers. These credit card lines are cancellable
by the firm. Credit card lending commitments also
included approximately $2.0 billion as of September 2021
related to a commitment to acquire the General Motors
co-branded credit card portfolio.
See Note 18 for further information about lending
commitments.

41

Goldman Sachs September 2021 Form 10-Q

The following is a description of the methodology used to
calculate the allowance for credit losses:
Wholesale. The allowance for credit losses for wholesaleloans and lending commitments that exhibit similar risk
characteristics is measured using a modeled approach.
These models determine the probability of default and loss
given default based on various risk factors, includinginternal credit ratings, industry default and loss data,
expected life, macroeconomic indicators, the borrower’s
capacity to meet its financial obligations, the borrower’s
country of risk and industry, loan seniority and collateral
type. For lending commitments, the methodology also
considers probability of drawdowns or funding. In
addition, for loans backed by real estate, risk factors
include the loan-to-value ratio, debt service ratio and homeprice index. The most significant inputs to the forecast
model for wholesale loans and lending commitments
include unemployment rates, GDP, credit spreads,
commercial and industrial delinquency rates, short- andlong-term interest rates, and oil prices.
The allowance for loan losses for wholesale loans that do
not share similar risk characteristics, such as nonaccrualloans or loans in a TDR, is calculated using the present
value of expected future cash flows discounted at the loan’s
original effective rate, the observable market price of theloan or the fair value of the collateral.
Wholesale loans are charged off against the allowance forloan losses when deemed to be uncollectible.
Consumer. The allowance for credit losses for consumer
loans that exhibit similar risk characteristics is calculatedusing a modeled approach which classifies consumer loans
into pools based on borrower-related and exposure-relatedcharacteristics that differentiate a pool’s risk characteristics
from other pools. The factors considered in determining apool are generally consistent with the risk characteristics
used for internal credit risk measurement and management
and include key metrics, such as FICO credit scores,
delinquency status, loan vintage and macroeconomic
indicators. The most significant inputs to the forecast
model for consumer loans include unemployment rates anddelinquency rates. The expected life of revolving credit cardloans is determined by modeling expected future draws andthe timing and amount of repayments allocated to thefunded balance. The firm also recognizes an allowance for
credit losses on commitments to acquire loans. However,no allowance for credit losses is recognized on credit card
lending commitments as they are cancellable by the firm.
The allowance for credit losses for consumer loans that do
not share similar risk characteristics, such as loans in a TDR,
is calculated using the present value of expected future cash
flows discounted at the loan’s original effective rate.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Installment loans are charged off when they are 120 days
past due. Credit card loans are charged off when they are
180 days past due.
Allowance for Credit Losses Rollforward
The table below presents information about the allowancefor credit losses.
$ in millions

Wholesale

Three Months Ended September 2021
Allowance for loan losses
Beginning balance$2,173
Net (charge-offs)/recoveries(40)
Provision
25
Other
(27)
Ending balance$2,131

Consumer

Total$1,098(36)
139–$1,201$3,271
(76)
164
(27)
$3,332

Allowance ratio
1.8%
Net charge-off ratio
0.1%
Allowance for losses on lending commitments
Beginning balance$ 636
Provision
13
Ending balance
$ 649

12.4%
1.6%

2.6%
0.2%

$ 186
(2)
$ 184

$ 822
11
$ 833

Three Months Ended September 2020
Allowance for loan losses
Beginning balance$2,757
Net (charge-offs)/recoveries(277)
Provision
102
Ending balance$2,582$1,144(63)
51$1,132$3,901(340)
153$3,714

16.1%
3.7%

3.7%
1.3%

$

$ 490
125
$ 615

Allowance ratio
2.8%
Net charge-off ratio
1.2%
Allowance for losses on lending commitments
Beginning balance$ 490
Provision
125
Ending balance$ 615
Nine Months Ended September 2021
Allowance for loan losses
Beginning balance$2,584
Net (charge-offs)/recoveries(49)
Provision
(345)
Other
(59)
Ending balance$2,131
Allowance ratio
1.8%
Net charge-off ratio
0.1%
Allowance for losses on lending commitments
Beginning balance$ 557
Provision
110
Other
(18)
Ending balance$ 649
Nine Months Ended September 2020
Allowance for loan losses
Beginning balance$1,331
Net (charge-offs)/recoveries(501)
Provision
1,977
Other
(225)
Ending balance$2,582
Allowance ratio
2.8%
Net charge-off ratio
0.7%
Allowance for losses on lending commitments
Beginning balance$ 313
Provision
302
Ending balance
$ 615

$

–
–
–

$1,290(153)
64–$1,201$3,874
(202)
(281)
(59)
$3,332

12.4%
2.4%

2.6%
0.2%

$

–
184
–
$ 184

$ 557
294
(18)
$ 833

$ 837
(230)
525
–
$1,132$2,168
(731)
2,502
(225)
$3,714

16.1%
4.5%

3.7%
1.0%

$

$ 313
302
$ 615

$

–
–
–

In the table above:‰ Other represents the reduction to the allowance related toloans and lending commitments transferred to held forsale.
‰ The allowance ratio is calculated by dividing theallowance for loan losses by gross loans accounted for atamortized cost.
‰ The net charge-off ratio is calculated by dividing
annualized net (charge-offs)/recoveries by average grossloans accounted for at amortized cost.
‰ The beginning balance for the allowance for loan losses
and allowance for losses on lending commitments for thenine months ended September 2020 reflects the
cumulative effect of measuring the allowance under the
CECL standard as of January 1, 2020. The cumulative
effect was an increase in the allowance for credit losses of$679 million, which consisted of (i) an increase in theallowance for loan losses of $727 million (an increase in
the allowance for wholesale loans of $452 million, an
increase in the allowance for consumer loans of$444 million and a decrease in the allowance for PCI
loans of $169 million) and (ii) a decrease in the allowance
for lending commitments of $48 million.
As of December 2020, the allowance ratio was 2.7% forwholesale, 15.9% for consumer and 3.7% for total loans.
The net charge-off ratio for the year ended December 2020
was 0.6% for wholesale, 4.2% for consumer and 0.9% fortotal loans.
Allowancefor
CreditLossesRollforward
Commentary
Three Months Ended September 2021. The allowancefor credit losses increased by $72 million during the threemonths ended September 2021.
The provision for credit losses reflected growth in the firm’s
lending portfolios, primarily in consumer loans related tocredit cards, partially offset by reserve reduction driven by
improved broader economic conditions.
Net (charge-offs)/recoveries for the three months ended
September 2021 for wholesale loans were primarily related
to corporate loans and net (charge-offs)/recoveries for
consumer loans were primarily related to credit cards.
Nine Months Ended September 2021. The allowancefor credit losses decreased by $266 million during the ninemonths ended September 2021.

Goldman Sachs September 2021 Form 10-Q

42

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The provision for credit losses reflected growth in the firm’s
wholesale and consumer lending portfolios, including aprovision for credit losses of approximately $185 million
relating to the pending acquisition of the General Motors cobranded credit card portfolio, partially offset by reserve
reduction driven by improved broader economic conditions.
Net (charge-offs)/recoveries for the nine months ended
September 2021 for wholesale loans were primarily related
to corporate loans and net (charge-offs)/recoveries for
consumer loans were primarily related to credit cards.
Forecast model inputs as of September 2021. Whenmodeling expected credit losses, the firm employs aweighted, multivariate forecast, which includes baseline,
adverse and favorable economic scenarios. As of
September 2021, the forecasted economic scenarios weremost heavily weighted towards the baseline and adverse
scenarios. The forecast model incorporated adjustments toreflect the impact of the coronavirus (COVID-19)
pandemic-related economic support programs provided bynational governments.
The table below presents the forecasted range (across thebaseline, adverse and favorable scenarios) of the U.S.
unemployment and U.S. GDP growth rates used in theforecast model as of September 2021.
U.S. Unemployment Growth/(Decline)
Rate
in U.S. GDP

Forecast for the quarter ended:
December 2021
June 2022
December 2022

4.1% to 6.2%
3.6% to 9.5%
3.4% to 9.7%

3.8% to 1.5%
5.8% to (1.0)%
7.4% to (0.9)%

In the table above:‰ U.S. unemployment rate represents the rate forecasted asof the respective quarter-end.
‰ Growth/(decline) in U.S. GDP represents the change inquarterly U.S. GDP relative to the U.S. GDP for the
fourth quarter of 2019 (pre-pandemic levels).
‰ While the U.S. unemployment and U.S. GDP growth rates
are significant inputs to the forecast model, the model
contemplates a variety of other inputs across a range of
scenarios to provide a forecast of future economic
conditions. Given the complex nature of the forecastingprocess, no single economic variable can be viewed inisolation and independently of other inputs.

43

Goldman Sachs September 2021 Form 10-Q

Three Months Ended September 2020. The allowancefor credit losses decreased by $62 million during the threemonths ended September 2020.
The provision for credit losses reflected ratings downgrades
and asset-specific provisions related to wholesale loans(relating to borrowers in the technology, media &telecommunications, diversified industrials and natural
resources industries), and growth in consumer loans,partially offset by reserve reductions from paydowns on
corporate lines of credit.
Net (charge-offs)/recoveries for the three months ended
September 2020 for wholesale loans were substantially all
related to corporate loans and net (charge-offs)/recoveries
for consumer loans were primarily related to installment
loans.
Nine Months Ended September 2020. The allowancefor credit losses increased by $2.53 billion during the ninemonths ended September 2020 reflecting $679 million
relating to the impact of CECL adoption and $1.85 billion
from activity during the period.
The provision for credit losses for wholesale and consumer
loans reflected the impact of the COVID-19 pandemic on
economic conditions, which resulted in higher modeled
expected losses and lower recoveries. In addition, theprovision for credit losses for wholesale loans was impacted
by asset-specific provisions and ratings downgrades
primarily related to borrowers in the technology, media &telecommunications, diversified industrials, and natural
resources industries. Besides the weaker economic outlook
related to the COVID-19 pandemic, the provision for credit
losses for consumer loans for the nine months ended
September 2020 was also impacted by the continued
seasoning of the credit card portfolio.
Net (charge-offs)/recoveries for the nine months ended
September 2020 for wholesale loans were substantially all
related to corporate loans and net (charge-offs)/recoveries
for consumer loans were primarily related to installment
loans.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Fair Value of Loans by Level
The table below presents loans held for investment
accounted for at fair value under the fair value option bylevel within the fair value hierarchy.
$ in millions

Level 1

Level 2

Level 3Total

As of September 2021
Loan Type
Corporate
Wealth management
Commercial real estate
Residential real estate
Other
Total

$ –
–
–
–
–
$ –

$ 2,245
6,553
719
185
203
$ 9,905

$ 775
63
936
166
259
$2,199$ 3,020
6,616
1,655
351
462
$12,104

As of December 2020
Loan Type
Corporate
Wealth management
Commercial real estate
Residential real estate
Other
Total

$ –
–
–
–
–
$ –

$ 1,822
7,809
857
234
225
$10,947

$ 929
63
1,104
260
322
$2,678$ 2,751
7,872
1,961
494
547
$13,625

The gains as a result of changes in the fair value of loans
held for investment for which the fair value option waselected were $30 million for the three months ended
September 2021, $64 million for the three months ended
September 2020, $223 million for the nine months ended
September 2021 and $49 million for the nine months ended
September 2020. These gains were included in otherprincipal transactions.

In the table above:‰ Ranges represent the significant unobservable inputs thatwere used in the valuation of each type of loan.
‰ Weighted averages are calculated by weighting each input
by the relative fair value of the loan.
‰ The ranges and weighted averages of these inputs are notrepresentative of the appropriate inputs to use whencalculating the fair value of any one loan. For example,
the highest yield for residential real estate loans isappropriate for valuing a specific residential real estateloan but may not be appropriate for valuing any otherresidential real estate loan. Accordingly, the ranges of
inputs do not represent uncertainty in, or possible rangesof, fair value measurements of level 3 loans.
‰ Increases in yield or duration used in the valuation oflevel 3 loans would have resulted in a lower fair value
measurement, while increases in recovery rate would haveresulted in a higher fair value measurement as of both
September 2021 and December 2020. Due to the
distinctive nature of each level 3 loan, theinterrelationship of inputs is not necessarily uniform
within each product type.
‰ Loans are valued using discounted cash flows.
Level 3 Rollforward
The table below presents a summary of the changes in fairvalue for level 3 loans.

See Note 4 for an overview of the firm’s fair value
measurement policies and the valuation techniques andsignificant inputs used to determine the fair value of loans.
Significant Unobservable Inputs
The table below presents the amount of level 3 loans, andranges and weighted averages of significant unobservable
inputs used to value such loans.
As of September 2021
$ in millions

Amount or Weighted
Range
Average

Corporate
Level 3 assets
$775
Yield
2.3% to 40.3%
Recovery rate
20.0% to 94.4%
Duration (years)
1.7 to 4.5
Commercial real estate
Level 3 assets
$936
Yield
7.0% to 25.4%
Recovery rate
2.5% to 99.5%
Duration (years)
0.2 to 4.1
Residential real estate
Level 3 assets
$166
Yield
2.0% to 13.5%
Duration (years)
0.4 to 2.4
Wealth management and other
Level 3 assets
$322
Yield
3.5% to 18.7%
Duration (years)
3.1 to 5.7

As of December 2020
Amount or Weighted
Range
AverageThree Months
Ended September$ in millions

2021

Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
Purchases
Sales
Settlements
Transfers into level 3
Transfers out of level 3
Ending balance$2,229
23
(16)
74
(13)
(181)
93
(10)
$2,1992020

Nine Months
Ended September
2021

2020

$2,659 $2,678
23
72
76
(31)
181
140
(17)
(17)
(221)
(555)
166
181
(40)
(269)
$2,827 $2,199$1,890
60
34
557
(31)
(567)
928
(44)
$2,827In the table above:$929
8.9% 1.1% to 45.2%
56.0% 15.0% to 58.0%
3.2
1.5 to 5.3

12.4%
31.0%
3.4

14.4%
39.6%
1.4

$1,104
4.5% to 19.3%
3.0% to 99.8%
0.3 to 4.8

11.0%
66.5%
2.6

11.0%
0.9

$260
2.0% to 14.0%
0.6 to 2.6

12.1%
1.7

7.9%
4.0

$385
2.8% to 18.7%
0.9 to 5.5

8.0%
4.1

‰ Changes in fair value are presented for loans that areclassified in level 3 as of the end of the period.
‰ Net unrealized gains/(losses) relates to loans that werestill held at period-end.
‰ Purchases includes originations and secondary purchases.
‰ Transfers between levels of the fair value hierarchy arereported at the beginning of the reporting period in which
they occur. If a loan was transferred to level 3 during areporting period, its entire gain or loss for the period isclassified in level 3.

Goldman Sachs September 2021 Form 10-Q

44

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents information, by loan type, forloans included in the summary table above.
Three Months
Ended September
2020

Nine Months
Ended September$ in millions

2021

2021

2020

Corporate
Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
Purchases
Sales
Settlements
Transfers into level 3
Transfers out of level 3
Ending balance

$852
11
(16)
17
(13)
(81)
15
(10)
$775

$ 939 $ 929 $ 752
7
21
14
1
(24)
(5)
132
63
184
(9)
(13)
(18)
(58)
(208)
(110)
23
103
230
(32)
(96)
(44)
$1,003 $ 775 $1,003

Commercial real estate
Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
Purchases
Sales
Settlements
Transfers into level 3
Transfers out of level 3
Ending balance

$920
9
11
–
–
(82)
78
–
$936

$1,084 $1,104 $ 591
11
33
38
43
(15)
4
40
19
323
(5)
(3)
(10)
(120)
(227)
(278)
121
78
498
(8)
(53)
–
$1,166 $ 936 $1,166

Residential real estate
Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
Purchases
Sales
Settlements
Transfers into level 3
Transfers out of level 3
Ending balance

$118
3
1
57
–
(13)
–
–
$166

$ 268 $ 260 $ 221
3
6
7
11
(36)
8
1
58
43
(2)
(1)
(2)
(22)
(45)
(57)
10
–
49
–
(76)
–
$ 269 $ 166 $ 269

Wealth management and other
Beginning balance$339
Net realized gains/(losses)–
Net unrealized gains/(losses)(12)
Purchases–
Sales–
Settlements(5)Transfers into level 3–
Transfers out of level 3–
Ending balance$322$ 368 $ 385 $ 326
2
12
1
21
44
27
8
–
7
(1)
–
(1)
(21)
(75)
(122)
12
–
151
–
(44)
–
$ 389 $ 322 $ 389

Level 3 Rollforward Commentary
Three Months Ended September 2021. The net realized
and unrealized gains on level 3 loans of $7 million(reflecting $23 million of net realized gains and $16 millionof net unrealized losses) for the three months ended
September 2021 included losses of $7 million reported inother principal transactions and gains of $14 million
reported in interest income.
The drivers of the net unrealized losses on level 3 loans forthe three months ended September 2021 were not material.
The drivers of both the transfers into level 3 loans andtransfers out of level 3 loans during the three months ended
September 2021 were not material.

45

Goldman Sachs September 2021 Form 10-Q

Nine Months Ended September 2021. The net realized
and unrealized gains on level 3 loans of $41 million(reflecting $72 million of net realized gains and $31 millionof net unrealized losses) for the nine months ended
September 2021 included gains of $15 million reported inother principal transactions and $26 million reported ininterest income.
The drivers of the net unrealized losses on level 3 loans forthe nine months ended September 2021 were not material.
Transfers into level 3 loans during the nine months ended
September 2021 primarily reflected transfers of certain
corporate loans from level 2 (principally due to reduced
price transparency as a result of a lack of market evidence,
including fewer market transactions in these instruments).
Transfers out of level 3 loans during the nine months ended
September 2021 primarily reflected transfers of certain
corporate loans and loans backed by residential real estate
to level 2 (in each case, principally due to increased pricetransparency as a result of market evidence, including
market transactions in these instruments).
Three Months Ended September 2020. The net realized
and unrealized gains on level 3 loans of $99 million(reflecting $23 million of net realized gains and $76 millionof net unrealized gains) for the three months ended
September 2020 included gains of $86 million reported inother principal transactions and $13 million reported ininterest income.
The drivers of the net unrealized gains on level 3 loans forthe three months ended September 2020 were not material.
Transfers into level 3 loans during the three months ended
September 2020 primarily reflected transfers of certain
loans backed by commercial real estate from level 2(principally due to certain unobservable inputs becoming
significant to the valuation of these instruments) andtransfers of certain other loans backed by commercial realestate from level 2 (principally due to reduced pricetransparency as a result of a lack of market evidence,
including fewer market transactions in these instruments).
The drivers of transfers out of level 3 loans during the threemonths ended September 2020 were not material.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Nine Months Ended September 2020. The net realized
and unrealized gains on level 3 loans of $94 million(reflecting $60 million of net realized gains and $34 millionof net unrealized gains) for the nine months ended
September 2020 included gains of $70 million reported inother principal transactions and $24 million reported ininterest income.
The drivers of the net unrealized gains on level 3 loans forthe nine months ended September 2020 were not material.
Transfers into level 3 loans during the nine months ended
September 2020 primarily reflected transfers of certain
loans backed by commercial real estate, corporate loans
and wealth management and other loans from level 2 (ineach case, principally due to reduced price transparency asa result of a lack of market evidence, including fewer
market transactions in these instruments).
The drivers of transfers out of level 3 loans during the ninemonths ended September 2020 were not material.
Estimated Fair Value
The table below presents the estimated fair value of loansthat are not accounted for at fair value and in what level ofthe fair value hierarchy they would have been classified ifthey had been included in the firm’s fair value hierarchy.
Estimated Fair Value

Carrying
Value

Level 2

Level 3Total

As of September 2021
Amortized cost$126,026
Held for sale
$ 5,494$71,984$ 2,898$55,179$ 2,618$127,163$ 5,516

As of December 2020
Amortized cost
Held for sale$52,793$ 1,541$48,512$ 1,271$101,305$ 2,812$ in millions$ 99,691$ 2,799

Note 10.

Fair Value Option
Other Financial Assets and Liabilities at Fair Value
In addition to trading assets and liabilities, and certain
investments and loans, the firm accounts for certain of its
other financial assets and liabilities at fair value,
substantially all under the fair value option. The primaryreasons for electing the fair value option are to:‰ Reflect economic events in earnings on a timely basis;‰ Mitigate volatility in earnings from using different
measurement attributes (e.g., transfers of financial assets
accounted for as financings are recorded at fair value,
whereas the related secured financing would be recordedon an accrual basis absent electing the fair value option);and‰ Address simplification and cost-benefit considerations(e.g., accounting for hybrid financial instruments at fairvalue in their entirety versus bifurcation of embedded
derivatives and hedge accounting for debt hosts).
Hybrid financial instruments are instruments that containbifurcatable embedded derivatives and do not require
settlement by physical delivery of nonfinancial assets (e.g.,physical commodities). If the firm elects to bifurcate theembedded derivative from the associated debt, thederivative is accounted for at fair value and the hostcontract is accounted for at amortized cost, adjusted for theeffective portion of any fair value hedges. If the firm does
not elect to bifurcate, the entire hybrid financial instrument
is accounted for at fair value under the fair value option.
Other financial assets and liabilities accounted for at fairvalue under the fair value option include:‰ Resale and repurchase agreements;‰ Certain securities borrowed and loaned transactions;‰ Certain customer and other receivables and certain otherliabilities;‰ Certain time deposits (deposits with no stated maturity
are not eligible for a fair value option election), including
structured certificates of deposit, which are hybrid
financial instruments;‰ Substantially all other secured financings, includingtransfers of assets accounted for as financings; and‰ Certain unsecured short- and long-term borrowings,
substantially all of which are hybrid financial
instruments.

Goldman Sachs September 2021 Form 10-Q

46

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Fair Value of Other Financial Assets and Liabilities
by Level
The table below presents, by level within the fair value
hierarchy, other financial assets and liabilities at fair value,
substantially all of which are accounted for at fair value
under the fair value option.
$ in millions

As of September 2021
AssetsResale agreements
Securities borrowed
Customer and other receivables
Total
Liabilities
Deposits
Repurchase agreements
Securities loaned
Other secured financings
Unsecured borrowings:
Short-termLong-term
Other liabilities
Total

Level 1

Level 2

$ – $ 213,062 $–
34,437–46$ – $ 247,545 $Level 3Total

– $ 213,062–
34,437–46– $ 247,545$ – $ (30,441) $ (3,637) $ (34,078)– (167,339)– (167,339)–(7,298)–(7,298)–(15,568)(2,640)(18,208)–(21,778)(8,669)(30,447)–(38,654)(9,226)(47,880)
–
(1)
(165)
(166)
$ – $(281,079) $(24,337) $(305,416)

As of December 2020
AssetsResale agreements
Securities borrowed
Customer and other receivables
Total$ – $ 108,060 $–
28,898–82$ – $ 137,040 $Liabilities
Deposits
Repurchase agreements
Securities loaned
Other secured financings
Unsecured borrowings:
Short-termLong-term
Other liabilities
Total$ – $ (11,955) $ (4,221) $ (16,176)–(126,569)(2) (126,571)–(1,053)–(1,053)–(20,652)(3,474)(24,126)––(19,227)(7,523)(26,750)–(28,335) (12,576)(40,911)
–
(1)
(262)
(263)
$ – $(207,792) $(28,058) $(235,850)– $ 108,060–
28,898–82– $ 137,040

In the table above, other financial assets are shown as
positive amounts and other financial liabilities are shown as
negative amounts.
See Note 4 for an overview of the firm’s fair value
measurement policies and the valuation techniques andsignificant inputs used to determine the fair value of otherfinancial assets and liabilities.

47

Goldman Sachs September 2021 Form 10-Q

Significant Unobservable Inputs
See below for information about the significant
unobservable inputs used to value level 3 other financial
assets and liabilities at fair value as of both September 2021
and December 2020.
Other Secured Financings. The ranges and weighted
averages of significant unobservable inputs used to valuelevel 3 other secured financings are presented below. These
ranges and weighted averages exclude unobservable inputs
that are only relevant to a single instrument, and therefore
are not meaningful.
As of September 2021:‰ Yield: 1.4% to 6.4% (weighted average: 2.5%)‰ Duration: 0.9 to 7.4 years (weighted average: 3.9 years)
As of December 2020:‰ Yield: 1.4% to 7.1% (weighted average: 2.7%)‰ Duration: 1.4 to 8.0 years (weighted average: 4.0 years)
Generally, increases in yield or duration, in isolation, would
have resulted in a lower fair value measurement as ofperiod-end. Due to the distinctive nature of each of level 3other secured financings, the interrelationship of inputs is
not necessarily uniform across such financings. See Note 11
for further information about other secured financings.
Deposits, Unsecured Borrowings and Other
Liabilities. Substantially all of the firm’s deposits,
unsecured short- and long-term borrowings, and otherliabilities that are classified in level 3 are hybrid financial
instruments. As the significant unobservable inputs used tovalue hybrid financial instruments primarily relate to theembedded derivative component of these deposits,
unsecured borrowings and other liabilities, theseunobservable inputs are incorporated in the firm’s
derivative disclosures in Note 7. See Note 13 for further
information about deposits, Note 14 for further
information about unsecured borrowings and Note 15 forfurther information about other liabilities.
Repurchase Agreements. As of September 2021, the firm
had no level 3 repurchase agreements. As of
December 2020, the firm’s level 3 repurchase agreements
were not material.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Level 3 Rollforward
The table below presents a summary of the changes in fairvalue for level 3 other financial liabilities accounted for atfair value.
Three Months
Ended September$ in millions

2021

2020

Nine Months
Ended September
2021

2020

Beginning balance$(28,136) $(25,963) $(28,058) $(21,036)
Net realized gains/(losses)
(181)
(112)
(388)
(244)
Net unrealized gains/(losses)
819
(354)
822
347
Issuances(4,856) (6,974) (11,797) (18,633)
Settlements
6,742
6,911
13,325 14,348
Transfers into level 3(570) (1,756)(745) (2,857)
Transfers out of level 3
1,845
344
2,504
171
Ending balance$(24,337) $(27,904) $(24,337) $(27,904)

In the table above:‰ Changes in fair value are presented for all other financial
liabilities that are classified in level 3 as of the end of theperiod.
‰ Net unrealized gains/(losses) relates to other financial
liabilities that were still held at period-end.
‰ Transfers between levels of the fair value hierarchy arereported at the beginning of the reporting period in which
they occur. If a financial liability was transferred to level 3
during a reporting period, its entire gain or loss for theperiod is classified in level 3.
‰ For level 3 other financial liabilities, increases are shownas negative amounts, while decreases are shown as
positive amounts.
‰ Level 3 other financial liabilities are frequently
economically hedged with trading assets and liabilities.
Accordingly, gains or losses that are classified in level 3
can be partially offset by gains or losses attributable tolevel 1, 2 or 3 trading assets and liabilities. As a result,gains or losses included in the level 3 rollforward below
do not necessarily represent the overall impact on thefirm’s results of operations, liquidity or capital resources.

The table below presents information, by the consolidatedbalance sheet line items, for liabilities included in thesummary table above.
Three Months
Ended September$ in millions

2021

Deposits
Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
IssuancesSettlements
Transfers into level 3
Transfers out of level 3
Ending balance
Repurchase agreements
Beginning balance
Net unrealized gains/(losses)
Settlements
Ending balance
Other secured financings
Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
IssuancesSettlements
Transfers into level 3
Transfers out of level 3
Ending balance

2020

Nine Months
Ended September
2021

2020

$ (3,908) $ (4,217) $ (4,221) $ (4,023)
(8)
(4)
(23)
–
74
(68)
(28)
(142)
(144)
(124)
(341)
(4,054)
307
235
904
4,083
–
(38)
(23)
(69)
42
66
95
55
$ (3,637) $ (4,150) $ (3,637) $ (4,150)
$

$

–
–
–
–

$

$

(10) $
–
8
(2) $

(2) $
–
2
– $

(30)
(2)
30
(2)

$ (2,891) $ (1,773) $ (3,474) $ (386)
3
7
(1)
13
30
(67)
71
(12)
(43)
(10)
(101)
(847)
414
79
657
332
(233)
(1,299)(243)(2,163)80–451–$ (2,640) $ (3,063) $ (2,640) $ (3,063)

Unsecured short-term borrowings
Beginning balance$(11,461) $ (6,806) $ (7,523) $ (5,707)
Net realized gains/(losses)
(112)
(58)
(168)
(109)
Net unrealized gains/(losses)
429
(42)
334
458
Issuances(3,453)(4,879)(8,042)(7,605)
Settlements
4,846
4,295
6,399
5,571
Transfers into level 3
(200)
(280)
(183)
(234)
Transfers out of level 3
1,282
196
514
52
Ending balance$ (8,669) $ (7,574) $ (8,669) $ (7,574)
Unsecured long-term borrowings
Beginning balance$ (9,714) $(12,837) $(12,576) $(10,741)
Net realized gains/(losses)
(64)
(64)
(196)
(171)
Net unrealized gains/(losses)
289
(167)
348
225
Issuances(1,216)(1,949)(3,313)(6,099)Settlements
1,175
2,294
5,363
4,332
Transfers into level 3
(137)
(139)
(296)
(390)
Transfers out of level 3
441
82
1,444
64
Ending balance$ (9,226) $(12,780) $ (9,226) $(12,780)
Other liabilities
Beginning balance
Net realized gains/(losses)
Net unrealized gains/(losses)
Issuances
Transfers into level 3
Ending balance$$(162) $–
(3)––(165) $

(320) $
7
(10)
(12)
–
(335) $

(262) $–
97––(165) $

(149)
23
(180)
(28)
(1)
(335)

Level 3 Rollforward Commentary
Three Months Ended September 2021. The net realized
and unrealized gains on level 3 other financial liabilities of$638 million (reflecting $181 million of net realized losses and$819 million of net unrealized gains) for the three months
ended September 2021 included gains/(losses) of $599 million
reported in market making, $19 million reported in otherprincipal transactions and $(5) million reported in interest
expense in the consolidated statements of earnings and$25 million reported in debt valuation adjustment in the
consolidated statements of comprehensive income.
Goldman Sachs September 2021 Form 10-Q

48

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The net unrealized gains on level 3 other financial liabilities
for the three months ended September 2021 primarilyreflected gains on certain hybrid financial instruments
included in unsecured short- and long-term borrowings(principally due to higher levels of volatility and decreases
in the market value of certain underlying equities).
Transfers into level 3 other financial liabilities during thethree months ended September 2021 primarily reflectedtransfers of certain other secured financings from level 2(principally due to reduced price transparency of certain
yield and duration inputs used to value these instruments)
and certain hybrid financial instruments included in
unsecured short- and long-term borrowings from level 2(principally due to reduced price transparency of certain
volatility and correlation inputs used to value these
instruments).
Transfers out of level 3 other financial liabilities during thethree months ended September 2021 primarily reflectedtransfers of certain hybrid financial instruments included in
unsecured short- and long-term borrowings to level 2(principally due to increased price transparency of certain
volatility and correlation inputs used to value these
instruments).
Nine Months Ended September 2021. The net realized
and unrealized gains on level 3 other financial liabilities of$434 million (reflecting $388 million of net realized losses
and $822 million of net unrealized gains) for the ninemonths ended September 2021 included gains/(losses) of$366 million reported in market making, $49 million
reported in other principal transactions and $(14) million
reported in interest expense in the consolidated statementsof earnings and $33 million reported in debt valuation
adjustment in the consolidated statements ofcomprehensive income.
The net unrealized gains on level 3 other financial liabilities
for the nine months ended September 2021 primarilyreflected gains on certain hybrid financial instruments
included in unsecured long- and short-term borrowings(principally due to higher levels of volatility in certain
underlying equities and an increase in interest rates,
partially offset by an increase in global equity prices).
Transfers into level 3 other financial liabilities during thenine months ended September 2021 primarily reflectedtransfers of certain hybrid financial instruments included in
unsecured long- and short-term borrowings from level 2(principally due to reduced price transparency of certain
volatility and correlation inputs used to value these
instruments) and certain other secured financings fromlevel 2 (principally due to reduced price transparency of
certain yield and duration inputs used to value these
instruments).

49

Goldman Sachs September 2021 Form 10-Q

Transfers out of level 3 other financial liabilities during thenine months ended September 2021 primarily reflectedtransfers of certain hybrid financial instruments included in
unsecured long- and short-term borrowings to level 2(principally due to increased price transparency of certain
volatility and correlation inputs used to value these
instruments, and certain unobservable volatility inputs nolonger being significant to the valuation of these
instruments) and certain other secured financings to level 2(principally due to increased price transparency of certain
yield and duration inputs used to value these instruments).
Three Months Ended September 2020. The net realized
and unrealized losses on level 3 other financial liabilities of$466 million (reflecting $112 million of net realized losses
and $354 million of net unrealized losses) for the threemonths ended September 2020 included losses of$289 million reported in market making, $32 million
reported in other principal transactions and $7 million
reported in interest expense in the consolidated statementsof earnings, and $138 million reported in debt valuation
adjustment in the consolidated statements ofcomprehensive income.
The net unrealized losses on level 3 other financial liabilities
for the three months ended September 2020 primarilyreflected losses on certain hybrid financial instruments
included in unsecured long-term borrowings (principally
due to an increase in global equity prices) and losses oncertain hybrid financial instruments included in deposits
and other secured financings (in each case, principally due
to an increase in the market value of the underlying assets).
Transfers into level 3 other financial liabilities during thethree months ended September 2020 primarily reflectedtransfers of certain other secured financings from level 2(principally due to reduced price transparency of certain
yield and duration inputs used to value these instruments)
and certain hybrid financial instruments included in
unsecured short- and long-term borrowings from level 2(principally due to reduced price transparency of certain
volatility and correlation inputs used to value these
instruments).
Transfers out of level 3 other financial liabilities during thethree months ended September 2020 primarily reflectedtransfers of certain hybrid financial instruments included in
unsecured short-term borrowings to level 2 (principally due
to increased price transparency of certain volatility andcorrelation inputs used to value these instruments).

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Nine Months Ended September 2020. The net realized
and unrealized gains on level 3 other financial liabilities of$103 million (reflecting $244 million of net realized losses
and $347 million of net unrealized gains) for the ninemonths ended September 2020 included gains/(losses) of$(38) million reported in market making, $27 million
reported in other principal transactions and $(12) million
reported in interest expense in the consolidated statementsof earnings, and $126 million reported in debt valuation
adjustment in the consolidated statements ofcomprehensive income.
The net unrealized gains on level 3 other financial liabilities
for the nine months ended September 2020 primarilyreflected gains on certain hybrid financial instruments
included in unsecured short- and long-term borrowings(principally due to a decrease in global equity prices),partially offset by losses on certain other liabilities andhybrid financial instruments included in deposits (in eachcase, principally due to an increase in the market value ofthe underlying assets).
Transfers into level 3 other financial liabilities during the ninemonths ended September 2020 primarily reflected transfersof certain other secured financings from level 2 (principally
due to reduced price transparency of certain yield andduration inputs used to value these instruments) and certain
hybrid financial instruments included in unsecured long- andshort-term borrowings from level 2 (principally due toreduced price transparency of certain volatility andcorrelation inputs used to value these instruments).
The drivers of transfers out of level 3 other financial
liabilities during the nine months ended September 2020 tolevel 2 were not material.
Gains and Losses on Other Financial Assets andLiabilities Accounted for at Fair Value Under the
Fair Value Option
The table below presents the gains and losses recognized inearnings as a result of the election to apply the fair value
option to certain financial assets and liabilities.

‰ Gains/(losses) included in unsecured short- and long-termborrowings were substantially all related to the embedded
derivative component of hybrid financial instruments forboth the three and nine months ended September 2021
and September 2020. These gains and losses would havebeen recognized under other U.S. GAAP even if the firm
had not elected to account for the entire hybrid financial
instrument at fair value.
‰ Other primarily consists of gains/(losses) on customer andother receivables, deposits, other secured financings andother liabilities.
‰ Other financial assets and liabilities at fair value are
frequently economically hedged with trading assets andliabilities. Accordingly, gains or losses on such otherfinancial assets and liabilities can be partially offset bygains or losses on trading assets and liabilities. As a result,gains or losses on other financial assets and liabilities do
not necessarily represent the overall impact on the firm’s
results of operations, liquidity or capital resources.
See Note 8 for information about gains/(losses) on equity
securities and Note 9 for information about gains/(losses)
on loans which are accounted for at fair value under the fairvalue option. Gains/(losses) on trading assets and liabilities
accounted for at fair value under the fair value option are
included in market making. See Note 5 for further
information about gains/(losses) from market making.
Long-Term Debt Instruments
The difference between the aggregate contractual principal
amount and the related fair value of long-term othersecured financings, for which the fair value option waselected, was not material as of both September 2021 andDecember 2020.
The fair value of unsecured long-term borrowings, for which
the fair value option was elected, exceeded the related
aggregate contractual principal amount by $290 million as of
September 2021 and $445 million as of December 2020. The
amounts above include both principal-protected andnon-principal-protected long-term borrowings.

Three Months
Ended September

Nine Months
Ended September

2021

2021

2020

$(406) $ (935)(143) (1,830)
(152)
(17)
$(701) $(2,782)$ 1,723(1,166)
(246)
$ 311

Debt Valuation Adjustment
The firm calculates the fair value of financial liabilities forwhich the fair value option is elected by discounting future
cash flows at a rate which incorporates the firm’s credit
spreads.

‰ Gains/(losses) were primarily included in market making.

The table below presents information about the net debt
valuation adjustment (DVA) gains/(losses) on financial
liabilities for which the fair value option was elected.

$ in millions

Unsecured short-term borrowings $ 875
Unsecured long-term borrowings (128)
Other
54
Total
$ 801

2020

In the table above:‰ Gains/(losses) exclude contractual interest, which isincluded in interest income and interest expense, for all
instruments other than hybrid financial instruments. See
Note 23 for further information about interest income
and interest expense.

Three Months
Ended September

Nine Months
Ended September$ in millions

2021

2020

2021

2020

DVA (pre-tax)
DVA (net of tax)

$92
$67

$(357)$(268)

$222
$165

$576
$428

Goldman Sachs September 2021 Form 10-Q

50

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
In the table above:

Note 11.

‰ DVA (net of tax) is included in debt valuation adjustmentin the consolidated statements of comprehensive income.

Collateralized Agreements and Financings‰ The gains/(losses) reclassified to earnings fromaccumulated other comprehensive income/(loss) upon
extinguishment of such financial liabilities were notmaterial for both the three and nine months ended
September 2021 and September 2020.
Loans and Lending Commitments
The table below presents the difference between theaggregate fair value and the aggregate contractual principal
amount for loans (included in trading assets and loans in
the consolidated balance sheets) for which the fair value
option was elected.
As of$ in millions

September December
2021
2020

Performing loans
Aggregate contractual principal in excess of fair value$ 1,430$

958

Loans on nonaccrual status and/or more than 90 days past due
Aggregate contractual principal in excess of fair value$10,279$10,526
Aggregate fair value$ 3,315$ 3,519

In the table above, the aggregate contractual principal
amount of loans on nonaccrual status and/or more than
90 days past due (which excludes loans carried at zero fairvalue and considered uncollectible) exceeds the related fairvalue primarily because the firm regularly purchases loans,such as distressed loans, at values significantly below thecontractual principal amounts.
The fair value of unfunded lending commitments for which
the fair value option was elected was a liability of $39 million
as of September 2021 and $25 million as of December 2020,
and the related total contractual amount of these lending
commitments was $1.78 billion as of September 2021 and$1.64 billion as of December 2020. See Note 18 for further
information about lending commitments.
Impact of Credit Spreads on Loans and Lending
Commitments
The estimated net gain/(loss) attributable to changes in
instrument-specific credit spreads on loans and lending
commitments for which the fair value option was elected
was $87 million for the three months ended
September 2021, $73 million for the three months ended
September 2020, $290 million for the nine months ended
September 2021 and $(151) million for the nine months
ended September 2020. The firm generally calculates thefair value of loans and lending commitments for which thefair value option is elected by discounting future cash flows
at a rate which incorporates the instrument-specific credit
spreads. For floating-rate loans and lending commitments,
substantially all changes in fair value are attributable tochanges in instrument-specific credit spreads, whereas for
fixed-rate loans and lending commitments, changes in fairvalue are also attributable to changes in interest rates.
51

Goldman Sachs September 2021 Form 10-Q

Collateralized agreements are resale agreements andsecurities borrowed. Collateralized financings are
repurchase agreements, securities loaned and other secured
financings. The firm enters into these transactions in order
to, among other things, facilitate client activities, invest
excess cash, acquire securities to cover short positions andfinance certain firm activities.
Collateralized agreements and financings are presented on a
net-by-counterparty basis when a legal right of setoff exists.
Interest on collateralized agreements, which is included ininterest income, and collateralized financings, which isincluded in interest expense, is recognized over the life of
the transaction. See Note 23 for further information about
interest income and interest expense.
Resale and Repurchase Agreements
A resale agreement is a transaction in which the firmpurchases financial instruments from a seller, typically in
exchange for cash, and simultaneously enters into anagreement to resell the same or substantially the samefinancial instruments to the seller at a stated price plus
accrued interest at a future date.
A repurchase agreement is a transaction in which the firm
sells financial instruments to a buyer, typically in exchange
for cash, and simultaneously enters into an agreement torepurchase the same or substantially the same financial
instruments from the buyer at a stated price plus accrued
interest at a future date.
Even though repurchase and resale agreements (including“repos- and reverses-to-maturity”) involve the legaltransfer of ownership of financial instruments, they areaccounted for as financing arrangements because theyrequire the financial instruments to be repurchased or
resold before or at the maturity of the agreement. The
financial instruments purchased or sold in resale andrepurchase agreements typically include U.S. government
and agency, and investment-grade sovereign obligations.
The firm receives financial instruments purchased underresale agreements and makes delivery of financial
instruments sold under repurchase agreements. To mitigate
credit exposure, the firm monitors the market value of thesefinancial instruments on a daily basis, and delivers or
obtains additional collateral due to changes in the market
value of the financial instruments, as appropriate. For
resale agreements, the firm typically requires collateral witha fair value approximately equal to the carrying value of therelevant assets in the consolidated balance sheets.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Securities Borrowed and Loaned Transactions
In a securities borrowed transaction, the firm borrows
securities from a counterparty in exchange for cash or
securities. When the firm returns the securities, thecounterparty returns the cash or securities. Interest is
generally paid periodically over the life of the transaction.

Offsetting Arrangements
The table below presents resale and repurchase agreements
and securities borrowed and loaned transactions includedin the consolidated balance sheets, as well as the amounts
not offset in the consolidated balance sheets.

In a securities loaned transaction, the firm lends securities
to a counterparty in exchange for cash or securities. Whenthe counterparty returns the securities, the firm returns the
cash or securities posted as collateral. Interest is generally
paid periodically over the life of the transaction.

Assets

The firm receives securities borrowed and makes delivery of
securities loaned. To mitigate credit exposure, the firm
monitors the market value of these securities on a daily
basis, and delivers or obtains additional collateral due tochanges in the market value of the securities, as
appropriate. For securities borrowed transactions, the firm
typically requires collateral with a fair value approximately
equal to the carrying value of the securities borrowed
transaction.
Securities borrowed and loaned within Fixed Income,Currency and Commodities (FICC) financing are recorded
at fair value under the fair value option. See Note 10 for
further information about securities borrowed and loaned
accounted for at fair value.
Substantially all of securities borrowed and loaned within
Equities financing are recorded based on the amount ofcash collateral advanced or received plus accrued interest.
The firm also reviews such securities borrowed todetermine if an allowance for credit losses should berecorded by taking into consideration the fair value ofcollateral received. As these agreements generally can beterminated on demand, they exhibit little, if any, sensitivity
to changes in interest rates. Therefore, the carrying value ofsuch agreements approximates fair value. As these
agreements are not accounted for at fair value, they are notincluded in the firm’s fair value hierarchy in Notes 4
through 10. Had these agreements been included in thefirm’s fair value hierarchy, they would have been classified
in level 2 as of both September 2021 and December 2020.

Resaleagreements$ in millions

Securities
borrowed

Liabilities
Repurchase Securities
agreements
loanedAs of September 2021
Included in the consolidated balance sheets
Gross carrying value$ 323,886 $ 191,023 $ 278,163 $ 45,886
Counterparty netting(110,824)(4,352) (110,824) (4,352)
Total
213,062
186,671
167,339
41,534
Amounts not offset
Counterparty netting(32,117) (12,313)(32,117) (12,313)
Collateral(178,668) (164,478) (131,121) (28,295)
Total$ 2,277 $ 9,880 $ 4,101 $926
As of December 2020
Included in the consolidated balance sheets
Gross carrying value$ 205,817 $ 147,593 $ 224,328 $ 27,054
Counterparty netting(97,757)(5,433)(97,757)(5,433)
Total
108,060
142,160
126,571
21,621
Amounts not offset
Counterparty netting(8,920)(3,525)(8,920)(3,525)Collateral(96,140) (132,893) (116,819) (17,693)
Total$ 3,000 $ 5,742 $
832 $
403

In the table above:‰ Substantially all of the gross carrying values of thesearrangements are subject to enforceable netting
agreements.
‰ Where the firm has received or posted collateral undercredit support agreements, but has not yet determinedsuch agreements are enforceable, the related collateral has
not been netted.
‰ Amounts not offset includes counterparty netting that
does not meet the criteria for netting under U.S. GAAPand the fair value of collateral received or posted subject
to enforceable credit support agreements.
‰ Resale agreements and repurchase agreements are carriedat fair value under the fair value option. See Note 4 forfurther information about the valuation techniques andsignificant inputs used to determine fair value.
‰ Securities borrowed included in the consolidated balance
sheets of $34.44 billion as of September 2021 and$28.90 billion as of December 2020, and securities loanedof $7.30 billion as of September 2021 and $1.05 billion asof December 2020 were at fair value under the fair value
option. See Note 10 for further information about
securities borrowed and securities loaned accounted forat fair value.

Goldman Sachs September 2021 Form 10-Q

52

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Gross Carrying Value of Repurchase Agreements
and Securities Loaned
The table below presents the gross carrying value of
repurchase agreements and securities loaned by class ofcollateral pledged.

$ in millions

Repurchaseagreements

As of September 2021
Money market instruments$ 1,104
U.S. government and agency obligations
120,020
Non-U.S. government and agency obligations 117,732
Securities backed by commercial real estate
237
Securities backed by residential real estate729
Corporate debt securities
13,859State and municipal obligations
135
Other debt obligations
365
Equity securities
23,982
Total$278,163
As of December 2020
Money market instruments$
88
U.S. government and agency obligations
121,751
Non-U.S. government and agency obligations
79,159Securities backed by commercial real estate
65
Securities backed by residential real estate
121
Corporate debt securities
6,364State and municipal obligations
92
Other debt obligations
20
Equity securities
16,668
Total$224,328

Securities
loaned

$

3
–
1,471
–
–
902
–
–
43,510$45,886

$

–
–
1,634
–
–
46
–
–
25,374$27,054

The table below presents the gross carrying value of
repurchase agreements and securities loaned by maturity.
As of September 2021
$ in millions

No stated maturity and overnight2 - 30 days
31 - 90 days
91 days - 1 year
Greater than 1 year
Total

Repurchaseagreements

Securities
loaned$ 94,879
74,50244,51449,88914,379$278,163$29,258
219
116
13,362
2,931$45,886

In the table above:‰ Repurchase agreements and securities loaned that are
repayable prior to maturity at the option of the firm arereflected at their contractual maturity dates.
‰ Repurchase agreements and securities loaned that areredeemable prior to maturity at the option of the holder
are reflected at the earliest dates such options become
exercisable.

53

Goldman Sachs September 2021 Form 10-Q

Other Secured Financings
In addition to repurchase agreements and securities loaned
transactions, the firm funds certain assets through the use ofother secured financings and pledges financial instruments
and other assets as collateral in these transactions. Theseother secured financings include:‰ Liabilities of consolidated VIEs;‰ Transfers of assets accounted for as financings rather thansales (e.g., pledged commodities, bank loans andmortgage whole loans); and‰ Other structured financing arrangements.
Other
securedfinancings
includednonrecourse
arrangements. Nonrecourse other secured financings were
$8.31 billion as of September 2021 and $12.31 billion as ofDecember 2020.
The firm has elected to apply the fair value option to
substantially all other secured financings because the use offair value eliminates non-economic volatility in earnings
that would arise from using different measurement
attributes. See Note 10 for further information about othersecured financings that are accounted for at fair value.
Other secured financings that are not recorded at fair value
are recorded based on the amount of cash received plus
accrued interest, which generally approximates fair value.
As these financings are not accounted for at fair value, they
are not included in the firm’s fair value hierarchy in Notes 4
through 10. Had these financings been included in thefirm’s fair value hierarchy, substantially all would havebeen classified in level 3 as of both September 2021 andDecember 2020.
The table below presents information about other secured
financings.
U.S.
DollarNon-U.S.
DollarTotal$ 4,768–$ 5,332–$10,100
–

3,812
813
$ 9,393

4,296
664$10,292

8,108
1,477
$19,685

Other secured financings collateralized by:
Financial instruments$ 5,154
Other assets$ 4,239$ 8,943$ 1,349$14,097$ 5,588$ 6,371$ 6,847$13,218

–

–

–

6,632
914
$13,917

4,276
715$11,838

10,908
1,629$25,755

Other secured financings collateralized by:
Financial instruments$ 6,841
Other assets$ 7,076$10,068$ 1,770$16,909$ 8,846$ in millions

As of September 2021
Other secured financings (short-term):
At fair value
At amortized cost
Other secured financings (long-term):
At fair value
At amortized cost
Total other secured financings

As of December 2020
Other secured financings (short-term):
At fair value
At amortized cost
Other secured financings (long-term):
At fair value
At amortized cost
Total other secured financingsTHE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
In the table above:‰ Short-term other secured financings includes financings
maturing within one year of the financial statement date
and financings that are redeemable within one year of thefinancial statement date at the option of the holder.
‰ U.S. dollar-denominated long-term other secured
financings at amortized cost had a weighted averageinterest rate of 0.95% as of September 2021 and 1.27%
as of December 2020. These rates include the effect ofhedging activities.
‰ Non-U.S. dollar-denominated long-term other secured
financings at amortized cost had a weighted averageinterest rate of 0.39% as of September 2021 and 0.40%
as of December 2020. These rates include the effect ofhedging activities.
‰ Total other secured financings included $1.57 billion as
of September 2021 and $2.05 billion as ofDecember 2020 related to transfers of financial assets
accounted for as financings rather than sales. Suchfinancings were collateralized by financial assets,
primarily included in trading assets, of $1.53 billion as of
September 2021 and $2.26 billion as of December 2020.
‰ Other secured financings collateralized by financial
instruments included $11.17 billion as of September 2021
and $11.28 billion as of December 2020 of other secured
financings collateralized by trading assets, investments
and loans, and included $2.93 billion as of
September 2021 and $5.63 billion as of December 2020of other secured financings collateralized by financial
instruments received as collateral and repledged.

The table below presents other secured financings bymaturity.
As of
September 2021

$ in millions

Other secured financings (short-term)
Other secured financings (long-term):
2022
2023
2024
2025
2026
2027 - thereafter
Total other secured financings (long-term)
Total other secured financings$10,100
1,314
3,002
1,389
795
1,076
2,009
9,585
$19,685

In the table above:‰ Long-term other secured financings that are repayableprior to maturity at the option of the firm are reflected attheir contractual maturity dates.
‰ Long-term other secured financings that are redeemableprior to maturity at the option of the holder are reflected
at the earliest dates such options become exercisable.
Collateral Received and Pledged
The firm receives cash and securities (e.g., U.S. government
and agency obligations, other sovereign and corporate
obligations, as well as equity securities) as collateral,
primarily in connection with resale agreements, securities
borrowed, derivative transactions and customer marginloans. The firm obtains cash and securities as collateral on
an upfront or contingent basis for derivative instruments
and collateralized agreements to reduce its credit exposure
to individual counterparties.
In many cases, the firm is permitted to deliver or repledge
financial instruments received as collateral when entering
into repurchase agreements and securities loaned
transactions, primarily in connection with secured client
financing activities. The firm is also permitted to deliver orrepledge these financial instruments in connection withother secured financings, collateralized derivativetransactions and firm or customer settlement requirements.
The firm also pledges certain trading assets in connection
with repurchase agreements, securities loaned transactions
and other secured financings, and other assets (substantially
all real estate and cash) in connection with other secured
financings to counterparties who may or may not have theright to deliver or repledge them.

Goldman Sachs September 2021 Form 10-Q

54

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents financial instruments at fair value
received as collateral that were available to be delivered or
repledged and were delivered or repledged.
As of$ in millions

September December
2021
2020

Collateral available to be delivered or repledged
Collateral that was delivered or repledged$1,045,005 $864,494$ 875,554 $723,409

The table below presents information about assets pledged.
As of$ in millions

September December
2021
2020

Pledged to counterparties that had the right to deliver or repledge
Trading assets$ 66,754 $ 69,031
Investments$ 14,515 $ 13,375
Pledged to counterparties that did not have the right to deliver or repledge
Trading assets$ 99,991 $ 99,142
Investments$
9,840 $ 2,331
Loans$
8,152 $ 8,320
Other assets$
8,741 $ 14,144

The firm also segregates securities for regulatory and otherpurposes related to client activity. Such securities aresegregated from trading assets and investments, as well asfrom securities received as collateral under resaleagreements and securities borrowed transactions. Securities
segregated by the firm were $33.11 billion as of
September 2021 and $32.97 billion as of December 2020.
Note 12.

Other Assets
The table below presents other assets by type.
As of$ in millions

September December
2021
2020

Property, leasehold improvements and equipment $Goodwill
Identifiable intangible assets
Operating lease right-of-use assets
Income tax-related assets
Miscellaneous receivables and otherTotal$

18,171 $ 23,147
4,326
4,332
497
630
2,288
2,280
3,813
2,960
7,462
4,096
36,557 $ 37,445

Property, Leasehold Improvements and Equipment
Property, leasehold improvements and equipment is net ofaccumulated
depreciation
andamortizationof$10.73 billion as of September 2021 and $10.12 billion asof December 2020. Property, leasehold improvements andequipment included $6.55 billion as of September 2021 and$6.54 billion as of December 2020 that the firm uses inconnection with its operations, and $218 million as of
September 2021 and $318 million as of December 2020 of
foreclosed real estate primarily related to distressed loansthat were purchased by the firm. The remainder is held by
investment entities, including VIEs, consolidated by thefirm. Substantially all property and equipment isdepreciated on a straight-line basis over the useful life of theasset. Leasehold improvements are amortized on a straightline basis over the shorter of the useful life of the
improvement or the term of the lease. Capitalized costs ofsoftware developed or obtained for internal use areamortized on a straight-line basis over three years.
The firm tests property, leasehold improvements andequipment for impairment when events or changes incircumstances suggest that an asset’s or asset group’s carrying
value may not be fully recoverable. To the extent the carrying
value of an asset or asset group exceeds the projectedundiscounted cash flows expected to result from the use andeventual disposal of the asset or asset group, the firm
determines the asset or asset group is impaired and records an
impairment equal to the difference between the estimated fairvalue and the carrying value of the asset or asset group. In
addition, the firm will recognize an impairment prior to thesale of an asset or asset group if the carrying value of the asset
or asset group exceeds its estimated fair value.
There were no material impairments during both the threemonths ended September 2021 and September 2020. There
were $134 million of impairments during the nine months
ended September 2021 and $132 million of impairments
during the nine months ended September 2020.
Goodwill
Goodwill is the cost of acquired companies in excess of thefair value of net assets, including identifiable intangible
assets, at the acquisition date.
The table below presents the carrying value of goodwill byreporting unit.
As of$ in millions

Investment Banking
Global Markets:
FICC
Equities
Asset Management
Consumer & Wealth Management:
Consumer banking
Wealth management
Total
55

Goldman Sachs September 2021 Form 10-Q

September
2021

December
2020

$ 281

$ 281

269
2,638
390

269
2,644
390

48
700
$4,32648
700$4,332

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Goodwill is assessed for impairment annually in the fourth
quarter or more frequently if events occur or circumstanceschange that indicate an impairment may exist. Whenassessing goodwill for impairment, first, a qualitative
assessment can be made to determine whether it is more
likely than not that the estimated fair value of a reporting
unit is less than its estimated carrying value. If the results of
the qualitative assessment are not conclusive, a quantitative
goodwill test is performed. Alternatively, a quantitative
goodwill test can be performed without performing aqualitative assessment.

There were no events or changes in circumstances during
the nine months ended September 2021 that would indicatethat it was more likely than not that the estimated fair valueof each of the reporting units did not exceed its respective
estimated carrying value as of September 2021.
Identifiable Intangible Assets
The table below presents identifiable intangible assets byreporting unit and type.
As of
September
2021$ in millions

The quantitative goodwill test compares the estimated fairvalue of each reporting unit with its estimated net bookvalue (including goodwill and identifiable intangible
assets). If the reporting unit’s estimated fair value exceeds
its estimated net book value, goodwill is not impaired. An
impairment is recognized if the estimated fair value of areporting unit is less than its estimated net book value.
To estimate the fair value of each reporting unit, other thanConsumer banking, a relative value technique is usedbecause the firm believes market participants would use thistechnique to value these reporting units. The relative value
technique applies observable price-to-earnings multiples or
price-to-book multiples of comparable competitors toreporting units’ net earnings or net book value. To estimate
the fair value of Consumer banking, a discounted cash flow
valuation approach is used because the firm believes market
participants would use this technique to value thatreporting unit given its early stage of development. The
estimated net carrying value of each reporting unit reflects
an allocation of total shareholders’ equity and represents
the estimated amount of total shareholders’ equity required
to support the activities of the reporting unit undercurrently applicable regulatory capital requirements.
In the fourth quarter of 2020, the firm performed its annual
assessment of goodwill for impairment, for each of its
reporting units, by performing a qualitative assessment.
Multiple factors, including performance indicators,
macroeconomic indicators, firm and industry events, andfair value indicators, were assessed with respect to each of
the firm’s reporting units to determine whether it was more
likely than not that the estimated fair value of any of thesereporting units was less than its estimated carrying value.
The qualitative assessment also considered changes since
the quantitative test performed in the fourth quarter of
2019.
As a result of the qualitative assessment, the firm
determined that it was more likely than not that theestimated fair value of each of the reporting units exceeded
its respective estimated carrying value. Therefore, the firm
determined that goodwill for each reporting unit was not
impaired and that a quantitative goodwill test was not
required.

December
2020

By Reporting Unit
Global Markets:
FICC
Equities
Asset Management
Consumer & Wealth Management:
Consumer banking
Wealth management
Total

$

By TypeCustomer lists
Gross carrying value
Accumulated amortization
Net carrying value$ 1,472(1,123)349$ 1,478(1,089)389

Acquired leases and other
Gross carrying value
Accumulated amortization
Net carrying value

576
(428)
148

710
(469)
241

2,048
(1,551)
$ 497

2,188
(1,558)$ 630$

Total gross carrying value
Total accumulated amortization
Total net carrying value

1
43
180
–
273
497

$

$

2
45
274
6
303
630

During the nine months ended September 2021, the amountof intangible assets acquired by the firm was not material.
The firm acquired $155 million of intangible assets during
2020, primarily related to acquired leases and customer lists,
with a weighted average amortization period of 10 years.
Substantially all of the firm’s identifiable intangible assets
have finite useful lives and are amortized over their estimateduseful lives generally using the straight-line method.
The tables below present informationamortization of identifiable intangible assets.

about

the

Three Months
Ended September

Nine Months
Ended September$ in millions

2021

2020

2021

2020

Amortization

$22

$40

$89

$117

As of
September 2021

$ in millions

Estimated future amortization
Remainder of 2021
2022
2023
2024
2025
2026
Goldman Sachs September 2021 Form 10-Q

$ 23
$ 82
$ 76
$ 61
$ 43
$ 32
56

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The firm tests intangible assets for impairment when eventsor changes in circumstances suggest that an asset’s or asset
group’s carrying value may not be fully recoverable. To theextent the carrying value of an asset or asset group exceeds
the projected undiscounted cash flows expected to result
from the use and eventual disposal of the asset or asset
group, the firm determines the asset or asset group is
impaired and records an impairment equal to the difference
between the estimated fair value and the carrying value ofthe asset or asset group. In addition, the firm will recognize
an impairment prior to the sale of an asset or asset group if
the carrying value of the asset or asset group exceeds its
estimated fair value. There were no material impairments
during each of the three and nine months ended
September 2021 and September 2020.

Miscellaneous Receivables and Other
Miscellaneous receivables and other included:

Operating Lease Right-of-Use Assets
The firm enters into operating leases for real estate, officeequipment and other assets, substantially all of which areused in connection with its operations. For leases longer
than one year, the firm recognizes a right-of-use asset
representing the right to use the underlying asset for thelease term, and a lease liability representing the liability tomake payments. The lease term is generally determinedbased on the contractual maturity of the lease. For leases
where the firm has the option to terminate or extend thelease, an assessment of the likelihood of exercising theoption is incorporated into the determination of the lease
term. Such assessment is initially performed at the inceptionof the lease and is updated if events occur that impact theoriginal assessment.

The table below presents the types and sources of deposits.

An operating lease right-of-use asset is initially determinedbased on the operating lease liability, adjusted for initial
direct costs, lease incentives and amounts paid at or prior tolease commencement. This amount is then amortized overthe lease term. The firm recognized $230 million for thenine months ended September 2021 and $152 million for
the nine months ended September 2020 of right-of-use
assets and operating lease liabilities in non-cash
transactions for leases entered into or assumed. See Note 15
for information about operating lease liabilities.
For leases where the firm will derive no economic benefit
from leased space that it has vacated or where the firm has
shortened the term of a lease when space is no longer
needed, the firm will record an impairment or accelerated
amortization of right-of-use assets. There were no material
impairments or accelerated amortizations during both thenine months ended September 2021 and September 2020.

‰ Investments in qualified affordable housing projects of$681 million as of September 2021 and $678 million as ofDecember 2020.
‰ Assets classified as held for sale of $3.66 billion as of
September 2021 and $437 million as of December 2020
related to certain of the firm’s consolidated investments
within the Asset Management segment, substantially allof which consisted of property and equipment.
Note 13.

Deposits$ in millions

Savings and
Demand

Time

Total

As of September 2021
ConsumerPrivate bankBrokered certificates of deposit
Deposit sweep programs
Transaction banking
Other
Total

$ 83,584
75,012–
31,26045,764–$235,620$21,889
3,363
31,508–5,628
35,030$97,418$105,473
78,37531,50831,26051,39235,030$333,038

As of December 2020
ConsumerPrivate bankBrokered certificates of deposit
Deposit sweep programs
Transaction banking
Other
Total

$ 67,395
67,185–22,98728,852–$186,419$29,530
1,183
30,060––12,770$73,543$ 96,925
68,36830,06022,98728,852
12,770$259,962

In the table above:‰ Substantially all deposits are interest-bearing.
‰ Savings and demand accounts consist of money market
deposit accounts, negotiable order of withdrawal
accounts and demand deposit accounts that have nostated maturity or expiration date.
‰ Time deposits included $34.08 billion as of
September 2021 and $16.18 billion as of December 2020of deposits accounted for at fair value under the fair value
option. See Note 10 for further information about
deposits accounted for at fair value.
‰ Time deposits had a weighted average maturity of
approximately 1.0 years as of September 2021 and
1.3 years as of December 2020.
‰ Deposit sweep programs include long-term contractual
agreements with U.S. broker-dealers who sweep client
cash to FDIC-insured deposits. As of September 2021, thefirm had 14 such deposit sweep program agreements.

57

Goldman Sachs September 2021 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)‰ Transaction banking deposits consists of deposits that thefirm raised through its cash management services businessfor corporate and other institutional clients.
‰ Other deposits represent deposits from institutional
clients.
‰ Deposits insured by the FDIC were $148.48 billion as of
September 2021 and $123.03 billion as ofDecember 2020.
‰ Deposits insured by non-U.S. insurance programs were
$29.90 billion as of September 2021 and $27.52 billion asof December 2020.
The table below presents the location of deposits.
As of$ in millions

September
2021

December
2020

U.S. offices
Non-U.S. offices
Total$254,890
78,148$333,038$206,356
53,606$259,962

In the table above, U.S. deposits were held at Goldman
Sachs Bank USA (GS Bank USA) and substantially all
non-U.S. deposits were held at Goldman Sachs
International Bank (GSIB).
The table below presents maturities of time deposits held in
U.S. and non-U.S. offices.
As of September 2021
$ in millions

Remainder of 2021
2022
2023
2024
2025
2026
2027 - thereafter
Total

U.S.

Non-U.S.

Total$14,539
31,278
8,909
4,591
2,302
2,262
1,131
$65,012$ 9,100
21,796
131
130
261
278
710
$32,406$23,639
53,074
9,040
4,721
2,563
2,540
1,841
$97,418

As of September 2021, deposits in U.S. offices included$19.51 billion and deposits in non-U.S. offices included$31.66 billion of time deposits in denominations that met
or exceeded the applicable insurance limits, or wereotherwise not covered by insurance.
The firm’s savings and demand deposits are recorded basedon the amount of cash received plus accrued interest, whichapproximates fair value. In addition, the firm designates
certain derivatives as fair value hedges to convert a portionof its time deposits not accounted for at fair value fromfixed-rate obligations into floating-rate obligations. The
carrying value of time deposits not accounted for at fairvalue approximated fair value as of both September 2021
and December 2020. As these savings and demand deposits
and time deposits are not accounted for at fair value, they
are not included in the firm’s fair value hierarchy in Notes 4
through 10. Had these deposits been included in the firm’s
fair value hierarchy, they would have been classified inlevel 2 as of both September 2021 and December 2020.

Note 14.

Unsecured Borrowings
The table below presents information about unsecured
borrowings.
As of$ in millions

September
2021

December2020$ 48,990
242,780$291,770$ 52,870
213,481$266,351

Unsecured short-term borrowings
Unsecured long-term borrowings
Total

Unsecured Short-Term Borrowings
Unsecured short-term borrowings includes the portion of
unsecured long-term borrowings maturing within one yearof the financial statement date and unsecured long-termborrowings that are redeemable within one year of thefinancial statement date at the option of the holder.
The firm accounts for certain hybrid financial instruments
at fair value under the fair value option. See Note 10 for
further information about unsecured short-termborrowings that are accounted for at fair value. In addition,
the firm designates certain derivatives as fair value hedges
to convert a portion of its unsecured short-term borrowings
not accounted for at fair value from fixed-rate obligations
into floating-rate obligations. The carrying value of
unsecured short-term borrowings that are not recorded atfair value generally approximates fair value due to theshort-term nature of the obligations. As these unsecured
short-term borrowings are not accounted for at fair value,
they are not included in the firm’s fair value hierarchy inNotes 4 through 10. Had these borrowings been included in
the firm’s fair value hierarchy, substantially all would havebeen classified in level 2 as of both September 2021 andDecember 2020.
The table below presents information about unsecured
short-term borrowings.
As of$ in millions

Current portion of unsecured long-term borrowings
Hybrid financial instruments
Commercial paper
Other unsecured short-term borrowings
Total unsecured short-term borrowings
Weighted average interest rate

September
2021

December
2020$20,631
21,624
4,752
1,983$48,990$25,914
18,8236,085
2,048$52,870

2.35%

1.84%

In the table above, the weighted average interest rates forthese borrowings include the effect of hedging activities andexclude unsecured short-term borrowings accounted for atfair value under the fair value option. See Note 7 for further
information about hedging activities.

Goldman Sachs September 2021 Form 10-Q

58

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Unsecured Long-Term Borrowings
The table below presents information about unsecured
long-term borrowings.
U.S.
DollarNon-U.S.
DollarTotal

As of September 2021
Fixed-rate obligations
Floating-rate obligations
Total$117,469
49,286$166,755$45,381
30,644$76,025$162,850
79,930$242,780

As of December 2020
Fixed-rate obligations
Floating-rate obligations
Total$100,558
42,019$142,577$38,759
32,145$70,904$139,317
74,164$213,481$ in millions

In the table above:‰ Unsecured long-term borrowings consists principally of
senior borrowings, which have maturities extending
through 2065.
‰ Floating-rate obligations includes equity-linked, creditlinked and indexed instruments. Floating interest rates are
generally based on LIBOR, Euro Interbank Offered Rateor SOFR.
‰ U.S. dollar-denominated debt had interest rates ranging
from 0.48% to 7.68% (with a weighted average rate of
3.48%) as of September 2021 and 0.63% to 9.30% (witha weighted average rate of 4.07%) as of December 2020.
These rates exclude unsecured long-term borrowings
accounted for at fair value under the fair value option.
‰ Non-U.S. dollar-denominated debt had interest rates
ranging from 0.13% to 13.00% (with a weighted averagerate of 1.87%) as of September 2021 and 0.13% to13.00% (with a weighted average rate of 2.20%) as ofDecember 2020. These rates exclude unsecured long-termborrowings accounted for at fair value under the fairvalue option.
The table below presents unsecured long-term borrowings
by maturity.

$ in millions

2022
2023
2024
2025
2026
2027 - thereafter
Total

59

Goldman Sachs September 2021 Form 10-Q

As of
September 2021

$

7,767
38,31830,24028,006
22,605
115,844$242,780

In the table above:‰ Unsecured long-term borrowings maturing within one
year of the financial statement date and unsecured longterm borrowings that are redeemable within one year of
the financial statement date at the option of the holder are
excluded as they are included in unsecured short-termborrowings.
‰ Unsecured long-term borrowings that are repayable prior
to maturity at the option of the firm are reflected at theircontractual maturity dates.
‰ Unsecured long-term borrowings that are redeemableprior to maturity at the option of the holder are reflected
at the earliest dates such options become exercisable.
‰ Unsecured long-term borrowings included $7.21 billionof adjustments to the carrying value of certain unsecured
long-term borrowings resulting from the application ofhedge accounting by year of maturity as follows:$1 million in 2022, $132 million in 2023, $456 million in
2024, $499 million in 2025, $353 million in 2026 and$5.77 billion in 2027 and thereafter.
The firm designates certain derivatives as fair value hedges
to convert a portion of fixed-rate unsecured long-termborrowings not accounted for at fair value into floatingrate obligations. See Note 7 for further information about
hedging activities.
The table below presents unsecured long-term borrowings,
after giving effect to such hedging activities.
As of$ in millions

Fixed-rate obligations:
At fair value
At amortized cost
Floating-rate obligations:
At fair value
At amortized cost
Total

September
2021

December
2020

$

$

3,188
30,18044,692
164,720$242,780

1,521
30,82739,390141,743$213,481

In the table above, the aggregate amounts of unsecured
long-term borrowings had weighted average interest rates
of 1.61% (2.31% related to fixed-rate obligations and1.47% related to floating-rate obligations) as of
September 2021 and 2.01% (3.34% related to fixed-rate
obligations and 1.70% related to floating-rate obligations)as of December 2020. These rates exclude unsecured longterm borrowings accounted for at fair value under the fairvalue option.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The carrying value of unsecured long-term borrowings forwhich the firm did not elect the fair value option was$194.90 billion as of September 2021 and $172.57 billion
as of December 2020. The estimated fair value of such
unsecured long-term borrowings was $203.30 billion as of
September 2021 and $183.29 billion as of December 2020.
As these borrowings are not accounted for at fair value,
they are not included in the firm’s fair value hierarchy inNotes 4 through 10. Had these borrowings been included in
the firm’s fair value hierarchy, substantially all would havebeen classified in level 2 as of both September 2021 andDecember 2020.
Subordinated Borrowings
Unsecured long-term borrowings includes subordinateddebt and junior subordinated debt. Subordinated debt thatmatures within one year is included in unsecured short-termborrowings. Junior subordinated debt is junior in right of
payment to other subordinated borrowings, which arejunior to senior borrowings. Long-term subordinated debt
had maturities ranging from 2025 to 2045 as of both
September 2021 and December 2020.
The table below presents information about subordinatedborrowings.

$ in millions

Par
AmountCarrying
Value

Rate

As of September 2021
Subordinated debt
Junior subordinated debt
Total

$14,004
968$14,972$17,140
1,327$18,467

1.63%
1.28%
1.60%

As of December 2020
Subordinated debt
Junior subordinated debt
Total

$14,136968$15,104$18,5291,430$19,959

1.83%
1.32%
1.80%

In the table above, the rate is the weighted average interest
rate for these borrowings (excluding borrowings accounted
for at fair value under the fair value option), including theeffect of fair value hedges used to convert fixed-rate
obligations into floating-rate obligations. See Note 7 forfurther information about hedging activities.

Junior Subordinated Debt
In 2004, Group Inc. issued $2.84 billion of juniorsubordinated debt to Goldman Sachs Capital I (Trust), a
Delaware statutory trust. The Trust issued $2.75 billion ofguaranteed preferred beneficial interests (Trust Preferred
securities) to third parties and $85 million of common
beneficial interests to Group Inc. As of both
September 2021 and December 2020, the outstanding par
amount of junior subordinated debt held by the Trust was$968 million and the outstanding par amount of Trust
Preferred securities and common beneficial interests issued
by the Trust was $939 million and $29 million,
respectively. The Trust is a wholly-owned financesubsidiary of the firm for regulatory and legal purposes but
is not consolidated for accounting purposes.
The firm pays interest semi-annually on the juniorsubordinated debt at an annual rate of 6.345% and the debt
matures on February 15, 2034. The coupon rate and thepayment dates applicable to the beneficial interests are thesame as the interest rate and payment dates for the juniorsubordinated debt. The firm has the right, from time to time,
to defer payment of interest on the junior subordinated debt,
and therefore cause payment on the Trust’s preferredbeneficial interests to be deferred, in each case up to ten
consecutive semi-annual periods. During any such deferral
period, the firm will not be permitted to, among otherthings, pay dividends on or make certain repurchases of its
common stock. The Trust is not permitted to pay any
distributions on the common beneficial interests held byGroup Inc. unless all dividends payable on the preferredbeneficial interests have been paid in full.
The firm has covenanted in favor of the holders of Group
Inc.’s
6.345%
juniorsubordinateddebt
dueFebruary 15, 2034, that, subject to certain exceptions, thefirm will not redeem or purchase the capital securities
issued by Goldman Sachs Capital II and Goldman Sachs
Capital III (APEX Trusts) or shares of Group Inc.’s
Perpetual Non-Cumulative Preferred Stock, Series E(Series E Preferred Stock), Perpetual Non-Cumulative
Preferred Stock, Series F (Series F Preferred Stock) or
Perpetual Non-Cumulative Preferred Stock, Series O, if theredemption or purchase results in less than $253 million
aggregate liquidation preference of that series outstanding,prior to specified dates in 2022 for a price that exceeds amaximum amount determined by reference to the net cash
proceeds that the firm has received from the sale ofqualifying securities.
The APEX Trusts hold Group Inc.’s Series E Preferred
Stock and Series F Preferred Stock. These trusts are
Delaware statutory trusts sponsored by the firm andwholly-owned finance subsidiaries of the firm forregulatory and legal purposes but are not consolidated foraccounting purposes.
Goldman Sachs September 2021 Form 10-Q

60

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
In the table above, the weighted average discount rate
represents the firm’s incremental borrowing rate as ofJanuary 2019 for operating leases existing on the date ofadoption of ASU No. 2016-02, “Leases (Topic 842),” andat the lease inception date for leases entered into subsequent
to the adoption of this ASU.

Note 15.

Other Liabilities
The table below presents other liabilities by type.
As of$ in millions

Compensation and benefits
Income tax-related liabilities
Operating lease liabilities
Noncontrolling interests
Employee interests in consolidated funds
Accrued expenses and other
Total

September
2021

December
2020$10,215
3,058
2,283
1,598
30
9,994
$27,178$ 7,896
3,155
2,283
1,640
34
7,443
$22,451

Operating Lease Liabilities
For leases longer than one year, the firm recognizes aright-of-use asset representing the right to use theunderlying asset for the lease term, and a lease liability
representing the liability to make payments. See Note 12 for
information about operating lease right-of-use assets.
The table below presents information about operating leaseliabilities.

$ in millions

As of September 2021
Remainder of 2021
2022
2023
2024
2025
2026 - thereafter
Total undiscounted lease payments
Imputed interest
Total operating lease liabilities
Weighted average remaining lease term
Weighted average discount rate
As of December 2020
2021
2022
2023
2024
2025
2026 - thereafter
Total undiscounted lease payments
Imputed interest
Total operating lease liabilities
Weighted average remaining lease term
Weighted average discount rate

61

Goldman Sachs September 2021 Form 10-Q

Operatinglease liabilities

$

71
324
288
268
241
1,839
3,031
(748)
$2,28314 years
3.66%

$ 342
301
264
247
215
1,899
3,268
(985)
$2,28316 years
4.02%

Operating lease costs were $118 million for the threemonths ended September 2021, $116 million for the threemonths ended September 2020, $348 million for the ninemonths ended September 2021 and $339 million for thenine months ended September 2020. Variable lease costs,
which are included in operating lease costs, were notmaterial for each of the three and nine months ended
September 2021 and September 2020. Total occupancy
expenses for space held in excess of the firm’s current
requirements were not material for both the nine months
ended September 2021 and September 2020.
Lease payments relating to operating lease arrangementsthat were signed, but had not yet commenced were$344 million as of September 2021.
Accrued Expenses and Other
Accrued expenses and other included:‰ Liabilities classified as held for sale of $2.06 billion as of
September 2021 related to certain of the firm’s
consolidated investments within the Asset Management
segment, substantially all of which consisted of othersecured financings and were related to assets classified asheld for sale. See Note 12 for further information about
assets held for sale. As of December 2020, liabilities
classified as held for sale were not material.
‰ Contract liabilities, which represent consideration
received by the firm in connection with its contracts withclients prior to providing the service. As of both
September 2021 and December 2020, the firm’s contract
liabilities were not material.
Note 16.

Securitization Activities
The firm securitizes residential and commercial mortgages,
corporate bonds, loans and other types of financial assets
by selling these assets to securitization vehicles (e.g., trusts,
corporate entities and limited liability companies) or
through a resecuritization. The firm acts as underwriter ofthe beneficial interests that are sold to investors. The firm’s
residential mortgage securitizations are primarily inconnection with government agency securitizations.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The firm accounts for a securitization as a sale when it has
relinquished control over the transferred financial assets.
Prior to securitization, the firm generally accounts for assets
pending transfer at fair value and therefore does not
typically recognize significant gains or losses upon thetransfer of assets. Net revenues from underwriting activities
are recognized in connection with the sales of theunderlying beneficial interests to investors.
The firm generally receives cash in exchange for thetransferred assets but may also have continuing
involvement with the transferred financial assets, including
ownership of beneficial interests in securitized financial
assets, primarily in the form of debt instruments. The firm
may also purchase senior or subordinated securities issued
by securitization vehicles (which are typically VIEs) inconnection with secondary market-making activities.
The primary risks included in beneficial interests and otherinterests from the firm’s continuing involvement withsecuritization vehicles are the performance of theunderlying collateral, the position of the firm’s investmentin the capital structure of the securitization vehicle and themarket yield for the security. Interests accounted for at fairvalue are primarily classified in level 2 of the fair value
hierarchy. Interests not accounted for at fair value arecarried at amounts that approximate fair value. See Notes 4
through 10 for further information about fair value
measurements.
The table below presents the amount of financial assets
securitized and the cash flows received on retained interests
in securitization entities in which the firm had continuing
involvement as of the end of the period.
Three Months
Ended September$ in millions

2021

Nine Months
Ended September
2021

2020

Residential mortgages$ 9,888
Commercial mortgages
3,066
Other financial assets
2,353
Total financial assets securitized $15,307$ 7,717 $19,894
6,279 13,832
66
4,017$14,062 $37,743$15,725
14,062
1,189$30,976

Retained interests cash flows

$

$

$

204

2020

130 $

452

274

The firm securitized assets of $266 million during the threemonths ended September 2021, $132 million during thethree months ended September 2020, $679 million during
the nine months ended September 2021 and $435 million
during the nine months ended September 2020, in a
non-cash exchange for loans and investments.

The
table
below
presents
information
about
nonconsolidated securitization entities to which the firmsold assets and had continuing involvement as of the end of
the period.
Outstanding
Principal Retained Purchased
Amount Interests Interests$ in millions

As of September 2021
U.S. government agency-issued CMOs $ 30,081
Other residential mortgage-backed
23,252Other commercial mortgage-backed
47,283
Corporate debt and other asset-backed
7,650
Total
$108,266$1,149
1,039
1,083
352
$3,623

1
36
88
42
$167

As of December 2020
U.S. government agency-issued CMOs $ 20,841
Other residential mortgage-backed
24,262Other commercial mortgage-backed
38,340
Corporate debt and other asset-backed
4,299
Total
$ 87,742

$ 906
1,170
914
192
$3,182

$

$

4
23
39
–
$ 66

In the table above:‰ CMOs represents collateralized mortgage obligations.
‰ The outstanding principal amount is presented for the
purpose of providing information about the size of the
securitization entities and is not representative of thefirm’s risk of loss.
‰ The firm’s risk of loss from retained or purchasedinterests is limited to the carrying value of these interests.
‰ Purchased interests represent senior and subordinatedinterests, purchased in connection with secondary
market-making activities, in securitization entities inwhich the firm also holds retained interests.
‰ Substantially all of the total outstanding principal amountand total retained interests relate to securitizations during
2015 and thereafter.
‰ The fair value of retained interests was $3.64 billion as of
September 2021 and $3.19 billion as of December 2020.
In addition to the interests in the table above, the firm hadother continuing involvement in the form of derivativetransactionsandcommitments
withcertainnonconsolidated VIEs. The carrying value of thesederivatives and commitments was a net asset of $55 million
as of September 2021 and $52 million as ofDecember 2020, and the notional amount of thesederivatives and commitments was $2.16 billion as of
September 2021 and $1.43 billion as of December 2020.
The notional amounts of these derivatives andcommitments are included in maximum exposure to loss inthe nonconsolidated VIE table in Note 17.

Goldman Sachs September 2021 Form 10-Q

62

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents information about the weighted
average key economic assumptions used in measuring thefair value of mortgage-backed retained interests.
As of$ in millions

Fair value of retained interests
Weighted average life (years)
Constant prepayment rate
Impact of 10% adverse change
Impact of 20% adverse change
Discount rate
Impact of 10% adverse change
Impact of 20% adverse change

September
2021

December
2020$3,286
5.8
11.9%
$
(7)
$ (34)
5.6%$ (32)$ (84)$2,9934.7
15.0%$ (25)$ (50)
6.1%$ (42)$ (82)In the table above:‰ Amounts do not reflect the benefit of other financial
instruments that are held to mitigate risks inherent inthese retained interests.
‰ Changes in fair value based on an adverse variation inassumptions generally cannot be extrapolated because therelationship of the change in assumptions to the change infair value is not usually linear.
‰ The impact of a change in a particular assumption is
calculated independently of changes in any otherassumption. In practice, simultaneous changes inassumptions might magnify or counteract the sensitivities
disclosed above.
‰ The constant prepayment rate is included only for
positions for which it is a key assumption in thedetermination of fair value.
‰ The discount rate for retained interests that relate to U.S.
government agency-issued CMOs does not include any
credit loss. Expected credit loss assumptions are reflectedin the discount rate for the remainder of retainedinterests.
The firm has other retained interests not reflected in thetable above with a fair value of $352 million and aweighted average life of 3.4 years as of September 2021,
and a fair value of $192 million and a weighted average lifeof 3.9 years as of December 2020. Due to the nature andfair value of certain of these retained interests, the weighted
average assumptions for constant prepayment and discountrates and the related sensitivity to adverse changes are notmeaningful as of both September 2021 andDecember 2020. The firm’s maximum exposure to adversechanges in the value of these interests is the carrying valueof $352 million as of September 2021 and $192 million asof December 2020.

63Goldman Sachs September 2021 Form 10-Q

Note 17.

Variable Interest Entities
A variable interest in a VIE is an investment (e.g., debt orequity) or other interest (e.g., derivatives or loans andlending commitments) that will absorb portions of the
VIE’s expected losses and/or receive portions of the VIE’s
expected residual returns.
The firm’s variable interests in VIEs include senior andsubordinated debt; loans and lending commitments; limited
and general partnership interests; preferred and common
equity; derivatives that may include foreign currency,
equity and/or credit risk; guarantees; and certain of the fees
the firm receives from investment funds. Certain interest
rate, foreign currency and credit derivatives the firm enters
into with VIEs are not variable interests because theycreate, rather than absorb, risk.
VIEs generally finance the purchase of assets by issuing debt
and equity securities that are either collateralized by orindexed to the assets held by the VIE. The debt and equity
securities issued by a VIE may include tranches of varying
levels of subordination. The firm’s involvement with VIEs
includes securitization of financial assets, as described in
Note 16, and investments in and loans to other types of
VIEs, as described below. See Note 3 for the firm’s
consolidation policies, including the definition of a VIE.
VIE Consolidation Analysis
The enterprise with a controlling financial interest in a VIE
is known as the primary beneficiary and consolidates the
VIE. The firm determines whether it is the primary
beneficiary of a VIE by performing an analysis thatprincipally considers:‰ Which variable interest holder has the power to direct theactivities of the VIE that most significantly impact the
VIE’s economic performance;‰ Which variable interest holder has the obligation toabsorb losses or the right to receive benefits from the VIEthat could potentially be significant to the VIE;
‰ The VIE’s purpose and design, including the risks the VIE
was designed to create and pass through to its variableinterest holders;‰ The VIE’s capital structure;‰ The terms between the VIE and its variable interest
holders and other parties involved with the VIE; and‰ Related-party relationships.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The firm reassesses its evaluation of whether an entity is a
VIE when certain reconsideration events occur. The firm
reassesses its determination of whether it is the primary
beneficiary of a VIE on an ongoing basis based on current
facts and circumstances.
VIE Activities
The firm is principally involved with VIEs through thefollowing business activities:
Mortgage-Backed VIEs. The firm sells residential andcommercial mortgage loans and securities to mortgagebacked VIEs and may retain beneficial interests in the assets
sold to these VIEs. The firm purchases and sells beneficial
interests issued by mortgage-backed VIEs in connection
with market-making activities. In addition, the firm mayenter into derivatives with certain of these VIEs, primarily
interest rate swaps, which are typically not variableinterests. The firm generally enters into derivatives withother counterparties to mitigate its risk.
Real Estate, Credit- and Power-Related and Other
Investing VIEs. The firm purchases equity and debt
securities issued by and makes loans to VIEs that hold realestate, performing and nonperforming debt, distressedloans, power-related assets and equity securities. The firm
generally does not sell assets to, or enter into derivatives
with, these VIEs.
Corporate Debt and Other Asset-Backed VIEs. The
firm structures VIEs that issue notes to clients, purchases
and sells beneficial interests issued by corporate debt andother asset-backed VIEs in connection with market-making
activities, and makes loans to VIEs that warehousecorporate debt. Certain of these VIEs synthetically create
the exposure for the beneficial interests they issue byentering into credit derivatives with the firm, rather thanpurchasing the underlying assets. In addition, the firm mayenter into derivatives, such as total return swaps, withcertain corporate debt and other asset-backed VIEs, underwhich the firm pays the VIE a return due to the beneficial
interest holders and receives the return on the collateral
owned by the VIE. The collateral owned by these VIEs isprimarily other asset-backed loans and securities. The firm
may be removed as the total return swap counterparty andmay enter into derivatives with other counterparties tomitigate its risk related to these swaps. The firm may sell
assets to the corporate debt and other asset-backed VIEs it
structures.

Principal-Protected Note VIEs. The firm structures VIEs
that issue principal-protected notes to clients. These VIEs
own portfolios of assets, principally with exposure to hedge
funds. Substantially all of the principal protection on thenotes issued by these VIEs is provided by the asset portfolio
rebalancing that is required under the terms of the notes.
The firm enters into total return swaps with these VIEs
under which the firm pays the VIE the return due to theprincipal-protected note holders and receives the return on
the assets owned by the VIE. The firm may enter into
derivatives with other counterparties to mitigate its risk.
The firm also obtains funding through these VIEs.
Investments in Funds. The firm makes equity investments
in certain investment fund VIEs it manages and is entitled toreceive fees from these VIEs. The firm has generally not soldassets to, or entered into derivatives with, these VIEs.
Nonconsolidated VIEs
The table below presents a summary of thenonconsolidated VIEs in which the firm holds variableinterests.
As of
September
2021$ in millions

Total nonconsolidated VIEs
Assets in VIEs
$169,664
Carrying value of variable interests — assets$ 10,126
Carrying value of variable interests — liabilities $826
Maximum exposure to loss:
Retained interests$ 3,623
Purchased interests
1,055
Commitments and guarantees
3,304
Derivatives
8,958
Debt and equity
5,142
Total
$ 22,082

December
2020$148,665$ 8,624
$
888
$

3,182
1,041
2,455
8,343
4,020
$ 19,041

In the table above:‰ The nature of the firm’s variable interests is described in
the rows under maximum exposure to loss.
‰ The firm’s exposure to the obligations of VIEs is generally
limited to its interests in these entities. In certain
instances, the firm provides guarantees, including
derivative guarantees, to VIEs or holders of variableinterests in VIEs.
‰ The maximum exposure to loss excludes the benefit ofoffsetting financial instruments that are held to mitigate
the risks associated with these variable interests.
‰ The maximum exposure to loss from retained interests,
purchased interests, and debt and equity is the carrying
value of these interests.
‰ The maximum exposure to loss from commitments andguarantees, and derivatives is the notional amount, which
does not represent anticipated losses and has not been
reduced by unrealized losses. As a result, the maximum
exposure to loss exceeds liabilities recorded forcommitments and guarantees, and derivatives.
Goldman Sachs September 2021 Form 10-Q

64

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents information, by principal businessactivity, for nonconsolidated VIEs included in the summary
table above.

Consolidated VIEs
The table below presents a summary of the carrying value
and balance sheet classification of assets and liabilities in
consolidated VIEs.

As of$ in millions

Mortgage-backed
Assets in VIEs
Carrying value of variable interests — assets
Maximum exposure to loss:
Retained interests
Purchased interests
Commitments and guarantees
Derivatives
Total

September
2021

Investments in funds
Assets in VIEs
Carrying value of variable interests — assets
Maximum exposure to loss:
Commitments and guarantees
Derivatives
Debt and equity
Total$113,407$ 4,254$99,353$ 4,014$$ 2,990
1,024
47
394
$ 4,455

$

3,271
983
38
380
4,672

December
2020

Total consolidated VIEs
AssetsCash and cash equivalents
Trading assets
Investments
Loans
Other assets
Total

$ 394
128
872
2,133
355
$3,882

$ 312
96
880
2,099
989
$4,376

Liabilities
Other secured financings
Customer and other payables
Trading liabilities
Unsecured short-term borrowings
Unsecured long-term borrowings
Other liabilities
Total$1,180
4
49
156
84
931
$2,404$1,891
28
296
43
226
948
$3,432In the table above:$ 19,704$ 2,052$818$14,077
$ 913
$ 874

$

352
72
1,597
8,511
1,322
$ 11,854$$ 12,819$420$14,301
$ 409

$

$

$

38
3
420
461

192
17
989
7,862
323
$ 9,383

$

45
3
409
457

As of both September 2021 and December 2020, thecarrying values of the firm’s variable interests innonconsolidated VIEs are included in the consolidatedbalance sheets as follows:‰ Mortgage-backed: Assets primarily included in trading
assets and loans.
‰ Real estate, credit- and power-related and other investing:Assets primarily included in investments and loans, andliabilities included in trading liabilities and otherliabilities.
‰ Corporate debt and other asset-backed: Assets included
in loans and trading assets, and liabilities included in
trading liabilities.
‰ Investments in funds: Assets included in investments.
65

September
2021$ in millions

Real estate, credit- and power-related and other investing
Assets in VIEs
$ 23,734$20,934
Carrying value of variable interests — assets$ 3,400$ 3,288
Carrying value of variable interests — liabilities $8$
14
Maximum exposure to loss:
Commitments and guarantees$ 1,631$ 1,374
Derivatives
64
84
Debt and equity
3,400
3,288
Total
$ 5,095$ 4,746
Corporate debt and other asset-backed
Assets in VIEs
Carrying value of variable interests — assets
Carrying value of variable interests — liabilities
Maximum exposure to loss:
Retained interests
Purchased interests
Commitments and guarantees
Derivatives
Debt and equity
Total

As of

December
2020

Goldman Sachs September 2021 Form 10-Q

‰ Assets and liabilities are presented net of intercompany
eliminations and exclude the benefit of offsetting financial
instruments that are held to mitigate the risks associatedwith the firm’s variable interests.
‰ VIEs in which the firm holds a majority voting interest are
excluded if (i) the VIE meets the definition of a businessand (ii) the VIE’s assets can be used for purposes otherthan the settlement of its obligations.
‰ Substantially all assets can only be used to settle
obligations of the VIE.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents information, by principal businessactivity, for consolidated VIEs included in the summary
table above.

September
2021

Commitments, Contingencies and Guarantees
Commitments
The table below presents commitments by type.

As of$ in millions

Note 18.

December
2020

Real estate, credit-related and other investing
AssetsCash and cash equivalents$ 268
Trading assets
28
Investments
872
Loans
2,133
Other assets
355
Total
$3,656

$ 229
8
880
2,099
989
$4,205

Liabilities
Other secured financings
Customer and other payables
Trading liabilities
Other liabilities
Total

$ 158
4
49
931
$1,142

$ 649
28
46
948
$1,671

Corporate debt and other asset-backed
AssetsCash and cash equivalents
Trading assets
Total

$ 126
20
$ 146

$
$

83
–
83

As of
$ in millions

September
2021

December
2020

Commitment Type
Commercial lending:Investment-grade
Non-investment-grade
Warehouse financing
Credit cards
Total lending
Risk participations
Collateralized agreement
Collateralized financing
Letters of credit
Investment
Other
Total commitments$ 97,902
74,111
10,801
31,718214,532
9,992
110,163
34,366375
12,6259,909$391,962$ 83,801
56,757
9,377
21,640171,575
8,054
55,27835,402
367
6,456
7,836
$284,968

The table below presents commitments by expiration.
As of September 2021

Liabilities
Other secured financings
Total

$ 620
$ 620

$ 679
$ 679

Principal-protected notes
AssetsTrading assets
Total

$
$

$
$

Liabilities
Other secured financings
Trading liabilities
Unsecured short-term borrowings
Unsecured long-term borrowings
Total

$ 402
–
156
84
$ 642

80
80

88
88

$ 563
250
43
226
$1,082In the table above:‰ The majority of the assets in principal-protected notes
VIEs are intercompany and are eliminated inconsolidation.
‰ Creditors and beneficial interest holders of real estate,credit-related and other investing VIEs do not haverecourse to the general credit of the firm.

Remainderof 20212022 2023

2024 2025

2026 Thereafter

Commitment Type
Commercial lending:Investment-grade$ 2,981Non-investment-grade
3,300
Warehouse financing
1
Credit cards
31,718
Total lending
38,000
Risk participations
380
Collateralized agreement
99,421
Collateralized financing
34,114
Letters of credit
160
Investment
5,394
Other
8,722
Total commitments$186,191$35,540
18,7195,065–
59,324
4,976
10,571
251
169
4,106
1,144
$80,541$34,512
22,195
4,655–
61,362
3,224
168
–
–
1,566
33
$66,353$24,869
29,8971,080–
55,846
1,412
3
1
46
1,559
10
$58,877$ in millions

Lending Commitments
The firm’s commercial and warehouse financing lending
commitments are agreements to lend with fixed termination
dates and depend on the satisfaction of all contractual
conditions to borrowing. These commitments are presented
net of amounts syndicated to third parties. The totalcommitment amount does not necessarily reflect actual
future cash flows because the firm may syndicate portionsof these commitments. In addition, commitments can
expire unused or be reduced or cancelled at thecounterparty’s request. The firm also provides credit toconsumers by issuing credit card lines.

Goldman Sachs September 2021 Form 10-Q

66

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents information about lending
commitments.
As of$ in millions

September
2021

December2020

Held for investment
Held for saleAt fair value
Total$198,358
13,8472,327$214,532$162,513
6,594
2,468
$171,575

In the table above:‰ Held for investment lending commitments are accounted
for at amortized cost. The carrying value of lending
commitments was a liability of $1.07 billion (including
allowance for credit losses of $833 million) as of
September 2021 and $775 million (including allowancefor credit losses of $557 million) as of December 2020.
The estimated fair value of such lending commitments
was a liability of $4.02 billion as of September 2021 and$4.05 billion as of December 2020. Had these lending
commitments been carried at fair value and included in
the fair value hierarchy, $2.13 billion as of
September 2021 and $2.43 billion as of December 2020
would have been classified in level 2, and $1.89 billion as
of September 2021 and $1.62 billion as ofDecember 2020 would have been classified in level 3.
‰ Held for sale lending commitments are accounted for at
the lower of cost or fair value. The carrying value oflending commitments held for sale was a liability of$112 million as of September 2021 and $68 million as ofDecember 2020. The estimated fair value of such lending
commitments approximates the carrying value. Had theselending commitments been included in the fair value
hierarchy, they would have been primarily classified inlevel 3 as of both September 2021 and December 2020.
‰ Gains or losses related to lending commitments at fairvalue, if any, are generally recorded net of any fees inother principal transactions.
Commercial Lending. The firm’s commercial lending
commitments were primarily extended to investment-grade
corporate borrowers. Such commitments primarily included$119.80 billion as of September 2021 and $110.31 billion asof December 2020, related to relationship lending activities(principally used for operating and general corporate
purposes) and $32.43 billion as of September 2021 and$15.81 billion as of December 2020, related to otherinvestment banking activities (generally extended forcontingent acquisition financing and are often intended to be
short-term in nature, as borrowers often seek to replace themwith other funding sources). The firm also extends lending
commitments in connection with other types of corporate
lending, as well as commercial real estate financing. See
Note 9 for further information about funded loans.
67

Goldman Sachs September 2021 Form 10-Q

To mitigate the credit risk associated with the firm’scommercial lending activities, the firm obtains credit
protection on certain loans and lending commitments
through credit default swaps, both single-name and indexbased contracts, and through the issuance of credit-linked
notes. In addition, Sumitomo Mitsui Financial Group, Inc.
provides the firm with credit loss protection on certain
approved loan commitments.
Warehouse Financing. The firm provides financing toclients who warehouse financial assets. These arrangements
are secured by the warehoused assets, primarily consistingof residential real estate, consumer and corporate loans.
Credit Cards. The firm’s credit card lending commitments
included $29.79 billion as of September 2021 and$21.64 billion as of December 2020 related to credit cardlines issued by the firm to consumers. These credit card lines
are cancellable by the firm. Credit card commitments also
includes approximately $2.0 billion relating to the firm’s
commitment to acquire a credit card portfolio in
connection with its agreement, in January 2021, to form aco-branded credit card relationship with General Motors.
This amount represents the portfolio’s outstanding credit
card loan balance as of September 2021. However, the final
amount will depend on the outstanding balance of credit
card loans at the closing of the acquisition, which is
expected to occur by the first quarter of 2022.
Risk Participations
The firm also risk participates certain of its commercial
lending commitments to other financial institutions. In theevent of a risk participant’s default, the firm will be
responsible to fund the borrower.
Collateralized
Agreement
Commitments/
Collateralized Financing Commitments
Collateralized agreement commitments includes forward
starting resale and securities borrowing agreements, andcollateralized financing commitments includes forward
starting repurchase and secured lending agreements that
settle at a future date, generally within three business days.
Collateralized agreement commitments also includes
transactions where the firm has entered into commitments
to provide contingent financing to its clients andcounterparties through resale agreements. The firm’s
funding of these commitments depends on the satisfactionof all contractual conditions to the resale agreement andthese commitments can expire unused.
Letters of Credit
The firm has commitments under letters of credit issued byvarious banks which the firm provides to counterparties inlieu of securities or cash to satisfy various collateral andmargin deposit requirements.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Investment Commitments
Investment commitments includes commitments to invest in
private equity, real estate and other assets directly andthrough funds that the firm raises and manages. Investmentcommitments included $1.79 billion as of September 2021
and $1.69 billion as of December 2020, related tocommitments to invest in funds managed by the firm. If
these commitments are called, they would be funded atmarket value on the date of investment.
Investment commitments also included approximately$1.90 billion as of September 2021 related to the firm’s
commitment to acquire NN Investment Partners, a leading
European asset manager with approximately $320 billion
in assets under supervision, in an all-cash transaction. In
addition, investment commitments included approximately$2.0 billion as of September 2021 related to the firm’s
commitment to acquire GreenSky, Inc. (GreenSky), a
leading technology company Powering Commerce at Pointof Sale® for a growing ecosystem of merchants, consumers
and banks. Both acquisitions are expected to close by theend of the first quarter of 2022. The GreenSky acquisition
will be an all-stock transaction in which stockholders ofGreenSky and unit holders of GreenSky Holdings, LLC(GreenSky Holdings) will receive 0.03 shares of the firm’s
common stock for each share of GreenSky Class A common
stock and each GreenSky Holdings common unit. The
investment commitment in the table above represents thepurchase price of the acquisition based on the closing stock
price of Group Inc. as of September 2021. However, thefinal purchase price of the acquisition will depend upon thestock price of Group Inc. at the time of the closing of thetransaction. In connection with this transaction, the firm
has provided a commitment to acquire up to $800 million
of loans originated by GreenSky’s bank partners. This
commitment is included in other commitments in the table
above. In the event that the acquisition is not completed, thefirm has agreed to provide a commitment to purchase up toan additional $1.00 billion of loans originated by
GreenSky’s bank partners. This commitment is notincluded in the table above.
Contingencies
Legal Proceedings. See Note 27 for information about
legal proceedings.

Guarantees
The table below presents derivatives that meet thedefinition of a guarantee, securities lending and clearing
guarantees and certain other financial guarantees.
$ in millions

Derivatives

Securities
lending andclearing

Other
financialguarantees

As of September 2021
Carrying Value of Net Liability $ 3,222
$
–
$ 229
Maximum Payout/Notional Amount by Period of Expiration
Remainder of 2021
$ 43,636$12,484$ 830
2022 - 2023
74,282–2,579
2024 - 2025
28,667–2,1082026 - thereafter
35,591–
681
Total$182,176$12,484$6,198
As of December 2020
Carrying Value of Net Liability$ 4,357$–$ 253
Maximum Payout/Notional Amount by Period of Expiration
2021$ 89,202$21,352$1,2632022 - 2023
56,204–3,304
2024 - 2025
23,389–2,787
2026 - thereafter
32,244–268
Total$201,039$21,352$7,622In the table above:‰ The maximum payout is based on the notional amount of
the contract and does not represent anticipated losses.
‰ Amounts exclude certain commitments to issue standby
letters of credit that are included in lending commitments.
See the tables in “Commitments” above for a summary of
the firm’s commitments.
‰ The carrying value for derivatives included derivative
assets of $1.47 billion as of September 2021 and$1.66 billion as of December 2020, and derivative
liabilities of $4.69 billion as of September 2021 and$6.02 billion as of December 2020.
Derivative Guarantees. The firm enters into various
derivatives that meet the definition of a guarantee under
U.S. GAAP, including written equity and commodity put
options, written currency contracts and interest rate caps,
floors and swaptions. These derivatives are risk managed
together with derivatives that do not meet the definition ofa guarantee, and therefore the amounts in the table above
do not reflect the firm’s overall risk related to derivative
activities. Disclosures about derivatives are not required ifthey may be cash settled and the firm has no basis toconclude it is probable that the counterparties held theunderlying instruments at inception of the contract. The
firm has concluded that these conditions have been met for
certain large, internationally active commercial andinvestment bank counterparties, central clearing
counterparties, hedge funds and certain othercounterparties. Accordingly, the firm has not included suchcontracts in the table above. See Note 7 for information
about credit derivatives that meet the definition of aguarantee, which are not included in the table above.
Goldman Sachs September 2021 Form 10-Q

68

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Derivatives are accounted for at fair value and therefore thecarrying value is considered the best indication of payment/
performance risk for individual contracts. However, thecarrying values in the table above exclude the effect ofcounterparty and cash collateral netting.
Securities Lending and Clearing Guarantees. Securities
lending
andclearing
guarantees
includetheindemnifications and guarantees that the firm provides in
its capacity as an agency lender and in its capacity as asponsoring member of the Fixed Income Clearing
Corporation.
As an agency lender, the firm indemnifies most of its
securities lending customers against losses incurred in theevent that borrowers do not return securities and thecollateral held is insufficient to cover the market value ofthe securities borrowed. The maximum payout of suchindemnifications was $12.48 billion as of September 2021
and $19.86 billion as of December 2020. Collateral held by
the lenders in connection with securities lendingindemnifications was $12.87 billion as of September 2021
and $20.39 billion as of December 2020. Because thecontractual nature of these arrangements requires the firm
to obtain collateral with a market value that exceeds thevalue of the securities lent to the borrower, there is minimal
performance risk associated with these indemnifications.
As a sponsoring member of the Government Securities
Division of the Fixed Income Clearing Corporation, thefirm guarantees the performance of its sponsored member
clients to the Fixed Income Clearing Corporation inconnection with certain resale and repurchase agreements.
To minimize potential losses on such guarantees, the firm
obtains a security interest in the collateral that thesponsored client placed with the Fixed Income Clearing
Corporation. Therefore, the risk of loss on such guarantees
is minimal. There were no amounts outstanding under theguarantee as of September 2021. As of December 2020, themaximum payout on this guarantee was $1.49 billion andthe related collateral held was $1.50 billion.

Other Financial Guarantees. In the ordinary course ofbusiness, the firm provides other financial guarantees of theobligations of third parties (e.g., standby letters of credit andother guarantees to enable clients to complete transactions andfund-related guarantees). These guarantees represent
obligations to make payments to beneficiaries if the guaranteed
party fails to fulfill its obligation under a contractual
arrangement with that beneficiary. Other financial guarantees
also include a guarantee that the firm has provided to theGovernment of Malaysia that it will receive at least $1.4 billion
in assets and proceeds from assets seized by governmental
authorities around the world related to 1Malaysia Development
Berhad, a sovereign wealth fund in Malaysia (1MDB). The firm
evaluates progress toward satisfying this obligation based on thereport that it receives on a semi-annual basis, expected in
February and August. Based on the latest report as ofAugust 2021, approximately $450 million in assets or proceedsfrom assets has been returned to the Government of Malaysia in
connection with this guarantee, which must be satisfied byAugust 18, 2025. Any amounts paid by the firm under thisguarantee would be subject to reimbursement in the event theassets or proceeds received by the Government of Malaysia
through August 18, 2028 exceeds $1.4 billion. See Note 27 forfurther information about matters related to 1MDB.
Guarantees of Securities Issued by Trusts. The firm hasestablished trusts, including Goldman Sachs Capital I, the
APEX Trusts and other entities, for the limited purpose of
issuing securities to third parties, lending the proceeds to thefirm and entering into contractual arrangements with thefirm and third parties related to this purpose. The firm does
not consolidate these entities. See Note 14 for further
information about the transactions involving Goldman Sachs
Capital I and the APEX Trusts. The firm effectively provides
for the full and unconditional guarantee of the securities
issued by these entities. Timely payment by the firm ofamounts due to these entities under the guarantee,
borrowing, preferred stock and related contractual
arrangements will be sufficient to cover payments due on the
securities issued by these entities. No subsidiary of Group
Inc. guarantees the securities of Goldman Sachs Capital I or
the APEX Trusts. Management believes that it is unlikelythat any circumstances will occur, such as nonperformanceon the part of paying agents or other service providers, thatwould make it necessary for the firm to make payments
related to these entities other than those required under theterms of the guarantee, borrowing, preferred stock andrelated contractual arrangements and in connection withcertain expenses incurred by these entities.
Indemnities and Guarantees of Service Providers. In theordinary course of business, the firm indemnifies andguarantees certain service providers, such as clearing andcustody agents, trustees and administrators, against specified
potential losses in connection with their acting as an agent of,or providing services to, the firm or its affiliates.

69

Goldman Sachs September 2021 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The firm may also be liable to some clients or other parties
for losses arising from its custodial role or caused by acts oromissions of third-party service providers, including
sub-custodians and third-party brokers. In certain cases, thefirm has the right to seek indemnification from these thirdparty service providers for certain relevant losses incurredby the firm. In addition, the firm is a member of payment,
clearing and settlement networks, as well as securities
exchanges around the world that may require the firm tomeet the obligations of such networks and exchanges in theevent of member defaults and other loss scenarios.
In connection with the firm’s prime brokerage and clearing
businesses, the firm agrees to clear and settle on behalf of its
clients the transactions entered into by them with otherbrokerage firms. The firm’s obligations in respect of suchtransactions are secured by the assets in the client’s account,
as well as any proceeds received from the transactions
cleared and settled by the firm on behalf of the client. In
connection with joint venture investments, the firm may
issue loan guarantees under which it may be liable in theevent of fraud, misappropriation, environmental liabilities
and certain other matters involving the borrower.
The firm is unable to develop an estimate of the maximum
payout under these guarantees and indemnifications. However,management believes that it is unlikely the firm will have to
make any material payments under these arrangements, and nomaterial liabilities related to these guarantees andindemnifications have been recognized in the consolidatedbalance sheets as of both September 2021 and December 2020.
Other Representations, Warranties and Indemnifications.
The firm provides representations and warranties tocounterparties in connection with a variety of commercial
transactions and occasionally indemnifies them against
potential losses caused by the breach of those representations
and warranties. The firm may also provide indemnifications
protecting against changes in or adverse application of certain
U.S. tax laws in connection with ordinary-course transactions,such as securities issuances, borrowings or derivatives. In
addition, the firm may provide indemnifications to somecounterparties to protect them in the event additional taxes are
owed or payments are withheld, due either to a change in or anadverse application of certain non-U.S. tax laws. These
indemnifications generally are standard contractual terms andare entered into in the ordinary course of business. Generally,
there are no stated or notional amounts included in theseindemnifications, and the contingencies triggering the obligation
to indemnify are not expected to occur. The firm is unable todevelop an estimate of the maximum payout under theseguarantees and indemnifications. However, management
believes that it is unlikely the firm will have to make any material
payments under these arrangements, and no material liabilities
related to these arrangements have been recognized in the
consolidated balance sheets as of both September 2021 andDecember 2020.

Guarantees of Subsidiaries. Group Inc. is the entity thatfully and unconditionally guarantees the securities issued by
GS Finance Corp., a wholly-owned finance subsidiary of
the firm. Group Inc. has guaranteed the payment
obligations of Goldman Sachs & Co. LLC (GS&Co.), GS
Bank USA and Goldman Sachs Paris Inc. et Cie, subject tocertain exceptions. In addition, Group Inc. has provided
guarantees to Goldman Sachs International (GSI) andGoldman Sachs Bank Europe SE (GSBE) related toagreements that each entity has entered into with certain of
its counterparties. Furthermore, Group Inc. provided aguarantee to GS Bank USA in 2020 related to securities that
GS Bank USA acquired from certain affiliated funds ofGroup Inc. and loans and lending commitments that GS
Bank USA acquired from certain subsidiaries of Group Inc.
As of September 2021, none of the securities acquired fromthe affiliated funds were outstanding.
Group Inc. guarantees many of the obligations of its otherconsolidated subsidiaries on a transaction-by-transaction
basis, as negotiated with counterparties. Group Inc. isunable to develop an estimate of the maximum payout
under its subsidiary guarantees. However, because theseobligations are also obligations of consolidated
subsidiaries, Group Inc.’s liabilities as guarantor are notseparately disclosed.
Note 19.

Shareholders’ Equity
Common Equity
As of both September 2021 and December 2020, the firm
had 4.00 billion authorized shares of common stock and
200 million authorized shares of nonvoting common stock,each with a par value of $0.01 per share.
The firm’s share repurchase program is intended to help
maintain the appropriate level of common equity. The
share repurchase program is effected primarily throughregular open-market purchases (which may include
repurchase plans designed to comply with Rule 10b5-1 andaccelerated share repurchases), the amounts and timing of
which are determined primarily by the firm’s current andprojected capital position, and capital deployment
opportunities, but which may also be influenced by generalmarket conditions and the prevailing price and trading
volumes of the firm’s common stock. The firm suspended
stock repurchases during the first quarter of 2020 and,consistent with the FRB’s requirement for all large bankholding companies (BHCs), extended the suspension ofstock repurchases through the fourth quarter of 2020. The
firm resumed stock repurchases in the first quarter of 2021.

Goldman Sachs September 2021 Form 10-Q

70

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents information about common stock
repurchases.
Three Months
Nine Months
Ended September Ended Septemberin millions, except per share amounts

2021

2020

Common share repurchases
2.5
Average cost per share$395.28
Total cost of common share repurchases $ 1,000

2021

2020

–
14.1
8.2
$ – $333.61 $236.35$ – $ 4,700 $ 1,928

Pursuant to the terms of certain share-based compensationplans, employees may remit shares to the firm or the firm
may cancel share-based awards to satisfy statutory
employee tax withholding requirements. Under these plans,
during the nine months ended September 2021,
1,830 shares were remitted with a total value of$0.5 million and the firm cancelled 3.4 million share-based
awards with a total value of $983 million.
The table below presents common stock dividends
declared.

Series

Earliest Redemption Date

Liquidation
Preference

A
C
D
E
F
J
K
O
P
Q
R
S
T
U
Total

Currently redeemable
Currently redeemable
Currently redeemable
Currently redeemable
Currently redeemable
May 10, 2023
May 10, 2024
November 10, 2026
November 10, 2022
August 10, 2024
February 10, 2025
February 10, 2025
May 10, 2026
August 10, 2026

$ 25,000$ 25,000$ 25,000$100,000$100,000$ 25,000$ 25,000$ 25,000$ 25,000$ 25,000$ 25,000$ 25,000$ 25,000$ 25,000

Redemption
Value($ in millions)

$ 750
200
1,350
767
161
1,000
700
650
1,500
500
600
350
675
750
$9,953In the tables above:‰ All shares have a par value of $0.01 per share and, whereapplicable, each share is represented by the specified
number of depositary shares.
‰ The earliest redemption date represents the date on which
each share of non-cumulative preferred stock isredeemable at the firm’s option.

Three Months
Ended September

Nine Months
Ended September

2021

2021

2020

$1.25 $4.50$3.75‰ Prior to redeeming preferred stock, the firm must receive
approval from the FRB.

On October 13, 2021, the Board of Directors of Group Inc.
(Board) declared a dividend of $2.00 per common share tobe paid on December 30, 2021 to common shareholders ofrecord on December 2, 2021.

‰ In July 2021, the firm issued 30,000 shares of Series U
3.65% Fixed-Rate Reset Non-Cumulative Preferred
Stock (Series U Preferred Stock).

Dividends declared per common share $2.00

2020

Preferred Equity
The tables below present information about the perpetual
preferred stock issued and outstanding as of
September 2021.

SeriesSharesAuthorized

SharesIssuedSharesOutstanding

Depositary Shares
Per Share

A
C
D
E
F
J
K
O
P
Q
R
S
T
U
Total

50,00025,00060,00017,5005,000
46,00032,20026,00066,00020,00024,00014,00027,00030,000442,700

30,0008,000
54,0007,667
1,615
40,00028,00026,00060,00020,00024,00014,00027,00030,000370,282

29,9998,000
53,9997,667
1,615
40,00028,00026,00060,00020,00024,00014,00027,00030,000370,280

1,000
1,000
1,000
N/A
N/A
1,000
1,000
25
25
25
25
25
25
25

‰ In April 2021, the firm issued 27,000 shares of Series T
3.80% Fixed-Rate Reset Non-Cumulative Preferred
Stock (Series T Preferred Stock).
‰ The redemption price per share for Series A through F and
Series Q through U Preferred Stock is the liquidationpreference plus declared and unpaid dividends. The
redemption price per share for Series J through P
Preferred Stock is the liquidation preference plus accrued
and unpaid dividends. Each share of Series E and Series F
Preferred Stock is redeemable at the firm’s option, subject
to certain covenant restrictions governing the firm’s
ability to redeem the preferred stock without issuingcommon stock or other instruments with equity-likecharacteristics. See Note 14 for information about the
replacement capital covenants applicable to the Series E
and Series F Preferred Stock.
‰ All series of preferred stock are pari passu and have apreference over the firm’s common stock on liquidation.
‰ The firm’s ability to declare or pay dividends on, orpurchase, redeem or otherwise acquire, its common stock
is subject to certain restrictions in the event that the firm
fails to pay or set aside full dividends on the preferredstock for the latest completed dividend period.

71

Goldman Sachs September 2021 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
In October 2021, the firm issued 30,000 shares of Series V
4.125% Fixed-Rate Reset Non-Cumulative Preferred Stock(Series V Preferred Stock). Each share of Series V Preferred Stockissued and outstanding has a liquidation preference of $25,000,
is represented by 25 depositary shares and is redeemable at thefirm’s option beginning November 10, 2026 at a redemption
price equal to $25,000 plus declared and unpaid dividends.
Dividends on Series V Preferred Stock, if declared, are payablesemi-annually at (i) 4.125% per annum from the issuance dateto, but excluding, November 10, 2026 and, thereafter,(ii)2.949% per annum plus the five-year treasury rate.
In the second quarter of 2021, the firm redeemed all outstanding
shares of its Series N 6.30% Non-Cumulative Preferred Stockwith a redemption value of $675 million ($25,000 per share),plus accrued and unpaid dividends on May 19, 2021. The
difference between the redemption value and net carrying value
was $20 million, which was recorded as an addition to preferredstock dividends in the second quarter of 2021.
In the first quarter of 2021, the firm redeemed all
outstanding shares of its Series M 5.375%
Fixed-to-Floating Rate Non-Cumulative Preferred Stockwith a redemption value of $2 billion ($25,000 per share),plus accrued and unpaid dividends. The difference between
the redemption value and net carrying value was$21 million, which was recorded as an addition to preferredstock dividends in the first quarter of 2021.
In 2020, the firm redeemed the remaining 14,000
outstanding shares of its Series L 5.70% Non-Cumulative
Preferred Stock with a redemption value of $350 million($25,000 per share), plus accrued and unpaid dividends.
The difference between the redemption value and net
carrying value was $1 million, which was recorded as anaddition to preferred stock dividends in 2020.
The table below presents the dividend rates of perpetual
preferred stock as of September 2021.
Series

A
C
D
E
F
J
K
O
P
Q
R
S
T
U

Per Annum Dividend Rate

3 month LIBOR + 0.75%, with floor of 3.75%, payable quarterly
3 month LIBOR + 0.75%, with floor of 4.00%, payable quarterly
3 month LIBOR + 0.67%, with floor of 4.00%, payable quarterly
3 month LIBOR + 0.7675%, with floor of 4.00%, payable quarterly
3 month LIBOR + 0.77%, with floor of 4.00%, payable quarterly
5.50% to, but excluding, May 10, 2023;
3 month LIBOR + 3.64% thereafter, payable quarterly
6.375% to, but excluding, May 10, 2024;
3 month LIBOR + 3.55% thereafter, payable quarterly
5.30%, payable semi-annually, from issuance date to, but excluding,November 10, 2026; 3 month LIBOR + 3.834%, payable quarterly, thereafter
5.00%, payable semi-annually, from issuance date to, but excluding,November 10, 2022; 3 month LIBOR + 2.874%, payable quarterly, thereafter
5.50%, payable semi-annually, from issuance date to, but excluding,August 10, 2024; 5 year treasury rate + 3.623%, payable semi-annually, thereafter
4.95%, payable semi-annually, from issuance date to, but excluding,
February 10, 2025; 5 year treasury rate + 3.224%, payable semi-annually, thereafter
4.40%, payable semi-annually, from issuance date to, but excluding,
February 10, 2025; 5 year treasury rate + 2.85%, payable semi-annually thereafter
3.80%, payable semi-annually, from issuance date to, but excluding,
May 10, 2026; 5 year treasury rate + 2.969%, payable semi-annually, thereafter
3.65%, payable semi-annually, from issuance date to, but excluding,August 10, 2026; 5 year treasury rate + 2.915%, payable semi-annually, thereafter

In the table above, dividends on each series of preferredstock are payable in arrears for the periods specified.
The table below presents preferred stock dividends
declared.
2021
Seriesper share2020$ in millions

per share$ in millions

Three Months Ended SeptemberA$ 239.58$ 7
C$ 255.56
2
D$ 255.56
14
E$1,022.22
8
F$1,022.22
2J$ 343.75
14
K$ 398.44
11
M
$
–
–
N
$
–
–
Q
$ 687.50
14
R$ 618.75
15S$ 550.00
7
Total
$ 94

$ 236.98$ 252.78$ 252.78$1,022.22$1,022.22$ 343.75$ 398.44$ 279.17$ 393.75$ 687.50$ 910.94$ 586.67$

Nine Months Ended SeptemberA$ 710.93
C$ 758.34
D$ 758.34
E$3,044.44
F$3,044.44
J$1,031.25
K$1,195.32
L
$
–
M
$
–
N
$ 787.50
O$ 662.50
P$ 625.00
Q$1,375.00
R$1,237.50
S$1,100.00
Total$ 708.34$ 755.56$ 755.56$3,044.44$3,044.44$1,031.25$1,195.32$ 361.54$ 951.05$1,181.25$ 662.50$ 625.00$1,577.43$ 910.94$ 586.67

$ 21
6
41
23
5
41
33
4
76
32
17
38
32
22
8
$399

$ 21
6
41
23
5
41
33
–
–
19
17
38
28
30
15
$317

7
2
14
8
2
13
11
22
11
14
22
8
$134

On October 7, 2021, Group Inc. declared dividends of$239.58 per share of Series A Preferred Stock, $255.56 pershare of Series C Preferred Stock, $255.56 per share ofSeries D Preferred Stock, $343.75 per share of Series J
Preferred Stock, $398.44 per share of Series K Preferred
Stock, $662.50 per share of Series O Preferred Stock,$625.00 per share of Series P Preferred Stock, and$511.94 per share of Series T Preferred Stock to be paid on
November 10, 2021 to preferred shareholders of record on
October 26, 2021. In addition, the firm declared dividends
of $1,011.11 per share of Series E Preferred Stock and$1,011.11 per share of Series F Preferred Stock to be paidon December 1, 2021 to preferred shareholders of recordon November 16, 2021.

Goldman Sachs September 2021 Form 10-Q

72

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Accumulated Other Comprehensive Income/(Loss)
The table below presents changes in accumulated othercomprehensive income/(loss), net of tax, by type.

$ in millions

Other
comprehensive
income/(loss)
Beginning adjustments, Endingbalance
net of tax balance

Three Months Ended September 2021
Currency translation
Debt valuation adjustment
Pension and postretirement liabilities
Available-for-sale securities
Total$ (712)
(735)
(361)
(81)
$(1,889)$ (20) $ (732)
67
(668)
–
(361)
(114)
(195)
$ (67) $(1,956)

Three Months Ended September 2020
Currency translation
Debt valuation adjustment
Pension and postretirement liabilities
Available-for-sale securities
Total$ (677)
124
(339)
551
$ (341)$ (13) $
(268)
(2)
(11)
$(294) $Nine Months Ended September 2021
Currency translation
Debt valuation adjustment
Pension and postretirement liabilities
Available-for-sale securities
Total$ (696)
(833)
(368)
463
$(1,434)$ (36) $ (732)
165
(668)
7
(361)
(658)
(195)
$(522) $(1,956)

Nine Months Ended September 2020
Currency translation
Debt valuation adjustment
Pension and postretirement liabilities
Available-for-sale securities
Total$ (616)
(572)
(342)
46
$(1,484)$ (74) $428
1494$ 849 $

(690)
(144)
(341)
540
(635)

(690)
(144)
(341)
540
(635)

Note 20.

Regulation and Capital Adequacy
The FRB is the primary regulator of Group Inc., a BHC
under the U.S. Bank Holding Company Act of 1956 and afinancial holding company under amendments to this Act.
The firm is subject to consolidated regulatory capitalrequirements which are calculated in accordance with theregulations of the FRB (Capital Framework).
The capital requirements are expressed as risk-based capitaland leverage ratios that compare measures of regulatory
capital to risk-weighted assets (RWAs), average assets andoff-balance sheet exposures. Failure to comply with thesecapital 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 makecertain discretionary compensation payments. The firm’s
capital levels are also subject to qualitative judgments by
the regulators about components of capital, risk weightingsand other factors. Furthermore, certain of the firm’s
subsidiaries are subject to separate regulations and capitalrequirements.

73

Goldman Sachs September 2021 Form 10-Q

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 Act.
Under the Capital Framework, the firm is an “Advanced
approach” banking organization and has been designatedas 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 andTotal capital ratios in accordance with both theStandardized and Advanced Capital Rules. Each of theratios calculated under the Standardized and Advanced
Capital Rules must meet its respective capital requirements.
Under the Capital Framework, the firm is also subject toleverage requirements which consist of a minimum Tier 1
leverage ratio and a minimum supplementary leverage ratio(SLR), as well as the SLR buffer.
Consolidated Regulatory Capital Requirements
Risk-Based Capital Ratios. The table below presents therisk-based capital requirements as of both September 2021
and December 2020.

CET1 capital ratio
Tier 1 capital ratio
Total capital ratio

Standardized

Advanced

13.6%
15.1%
17.1%

9.5%
11.0%
13.0%

In the table above:‰ Under both the Standardized and Advanced Capital
Rules, the CET1 capital ratio requirement includes aminimum of 4.5%, the Tier 1 capital ratio requirement
includes a minimum of 6.0% and the Total capital ratio
requirement includes a minimum of 8.0%. These
requirements also include the capital conservation buffer
requirements, consisting of the G-SIB surcharge of 2.5%
(Method 2) and the countercyclical capital buffer, which
the FRB has set to zero percent. In addition, the capitalconservation buffer requirements include the stresscapital buffer (SCB) of 6.6% under the Standardized
Capital Rules and a buffer of 2.5% under the Advanced
Capital Rules.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)‰ The G-SIB surcharge is updated annually based on
financial data from the prior year and is generally
applicable for the following year. The G-SIB surcharge iscalculated using two methodologies, the higher of whichis reflected in the firm’s risk-based capital requirements.
The first calculation (Method 1) is based on the BaselCommittee’s methodology which, among other factors,
relies upon measures of the size, activity and complexityof each G-SIB. The second calculation (Method 2) uses
similar inputs but includes a measure of reliance on shortterm wholesale funding.

In the third quarter of 2021, based on regulatory feedback,the firm revised certain interpretations of the Capital Rules
underlying the calculation of Standardized RWAs. These
revisions were reflected in the firm’s capital ratios as of
September 2021 and increased the firm’s Standardized
RWAs by approximately $23 billion and reduced both thefirm’s Standardized CET1 and Standardized Tier 1 capitalratios by 0.5 percentage points, and Standardized Total
capital ratio by 0.7 percentage points as of September 2021.
The following provides information about the impact of theRWA changes on prior periods:

Based on the firm’s 2021 Comprehensive Capital Analysis
and Review submission, the FRB has set the SCB for thefirm at 6.4% for the period from October 1, 2021 throughSeptember 30, 2022. As a result, beginning on
October 1, 2021, the firm’s Standardized requirements are
13.4% for the CET1 capital ratio, 14.9% for the Tier 1
capital ratio and 16.9% for the Total capital ratio.

‰ As of June 2021, this change would have increased thefirm’s Standardized RWAs of $621 billion byapproximately $23 billion, which would have reduced thefirm’s Standardized CET1 capital ratio of 14.4% by
0.5 percentage points, Standardized Tier 1 capital ratio of
15.9% by 0.6 percentage points and Standardized Total
capital ratio of 18.3% by 0.7 percentage points.

The table below presents information about risk-based
capital ratios.

‰ As of March 2021, this change would have increased thefirm’s Standardized RWAs of $595 billion byapproximately $22 billion, which would have reduced thefirm’s Standardized CET1 capital ratio of 14.3% by
0.5 percentage points, Standardized Tier 1 capital ratio of
15.9% by 0.6 percentage points and Standardized Total
capital ratio of 18.4% by 0.7 percentage points.

$ in millions

As of September 2021
CET1 capital
Tier 1 capital
Tier 2 capital
Total capital
RWAs
CET1 capital ratio
Tier 1 capital ratio
Total capital ratio
As of December 2020
CET1 capital
Tier 1 capital
Tier 2 capital
Total capital
RWAs
CET1 capital ratio
Tier 1 capital ratio
Total capital ratio

Standardized

Advanced$ 93,292$102,580$ 14,982$117,562$663,936$ 93,292$102,580$ 12,625$115,205$672,061

14.1%
15.5%
17.7%

13.9%
15.3%
17.1%

$ 81,641$ 92,730$ 15,424$108,154$554,162$ 81,641$ 92,730$ 13,279$106,009$609,750

14.7%
16.7%
19.5%

13.4%
15.2%
17.4%

In the table above, as permitted by the FRB, the firm elected
to temporarily delay the estimated effects of adopting
CECL on regulatory capital until January 2022 and to
subsequently phase-in the effects through January 2025. In
addition, the firm elected to increase regulatory capital by
25% of the increase in the allowance for credit losses since
January 1, 2020, as permitted by the rules issued by the
FRB. The impact of this increase will also be phased in over
the three-year transition period. Reflecting the full impactof CECL as of both September 2021 and December 2020
would not have had a material impact on the firm’s capitalratios.

‰ As of December 2020, this change would have increased
the firm’s Standardized RWAs of $554 billion byapproximately $23 billion, which would have reduced thefirm’s Standardized CET1 ratio of 14.7% by
0.6 percentage points, Standardized Tier 1 capital ratio of
16.7% by 0.6 percentage points and Standardized Total
capital ratio of 19.5% by 0.8 percentage points.
‰ As of September 2020, this change would have increased
the firm’s Standardized RWAs of $535 billion byapproximately $20 billion, which would have reduced thefirm’s Standardized CET1 capital ratio of 14.5% by
0.5 percentage points, Standardized Tier 1 capital ratio of
16.6% by 0.6 percentage points and Standardized Total
capital ratio of 19.6% by 0.7 percentage points.
Leverage Ratios. The table below presents the leverage
requirements.
Requirements

Tier 1 leverage ratio
SLR

4.0%
5.0%

In the table above, the SLR requirement of 5% includes aminimum of 3% and a 2% buffer applicable to G-SIBs.

Goldman Sachs September 2021 Form 10-Q

74

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents information about leverage ratios.
For the Three Months
Ended or as of$ in millions

September
2021

Tier 1 capital$ 102,580$

Average total assets
Deductions from Tier 1 capital
Average adjusted total assets
Impact of SLR temporary amendment
Average off-balance sheet exposures
Total leverage exposure$1,410,173(5,272)
1,404,901–
439,373$1,844,274$1,152,785(4,948)1,147,837(202,748)
387,848$1,332,937

7.3%
5.6%

8.1%
7.0%

Tier 1 leverage ratio
SLR

December
2020

92,730In the table above:‰ Average total assets represents the average daily assets forthe quarter adjusted for the impact of CECL transition.
‰ Impact of SLR temporary amendment represented theexclusion of average holdings of U.S. Treasury securities
and average deposits at the Federal Reserve as permitted
by the FRB. The impact of this temporary amendment
was an increase in the firm’s SLR by approximately
1.0 percentage points for the three months ended
December 2020. The amendment permitting thisexclusion expired on April 1, 2021.
‰ Average off-balance sheet exposures represents themonthly average and consists of derivatives, securities
financing transactions, commitments and guarantees.
‰ Tier 1 leverage ratio is calculated as Tier 1 capital divided
by average adjusted total assets.
‰ SLR is calculated as Tier 1 capital divided by total
leverage exposure.
Risk-Based Capital. The table below presents information
about risk-based capital.
As of
September
2021

December
2020

Common shareholders’ equity
Impact of CECL transition
Deduction for goodwill
Deduction for identifiable intangible assets
Other adjustments
CET1 capitalPreferred stock
Deduction for investments in covered funds
Other adjustments
Tier 1 capital$ 96,344
1,059(3,652)(478)
1993,292
9,953
(662)
(3)
$102,580$ 84,729
1,126(3,652)(601)
39
81,641
11,203(106)(8)$ 92,730

Standardized Tier 2 and Total capital
Tier 1 capital
Qualifying subordinated debt
Junior subordinated debt
Allowance for credit losses
Other adjustments
Standardized Tier 2 capitalStandardized Total capital$102,580
12,044
94
2,896
(52)
14,982$117,562$ 92,730
12,196
188
3,095
(55)
15,424$108,154

Advanced Tier 2 and Total capital
Tier 1 capitalStandardized Tier 2 capital
Allowance for credit losses
Other adjustments
Advanced Tier 2 capital
Advanced Total capital$102,580
14,982(2,896)539
12,625$115,205$ 92,730
15,424(3,095)
950
13,279$106,009$ in millions

75

Goldman Sachs September 2021 Form 10-Q

In the table above:‰ Impact of CECL transition represents the impact of
adoption as of January 1, 2020 and the impact ofincreasing regulatory capital by 25% of the increase in theallowance for credit losses since January 1, 2020. The
allowance for credit losses within Standardized andAdvanced Tier 2 capital also reflects the impact of theseadjustments.
‰ Deduction for goodwill was net of deferred tax liabilities
of $674 million as of September 2021 and $680 million asof December 2020.
‰ Deduction for identifiable intangible assets was net ofdeferred tax liabilities of $19 million as of
September 2021 and $29 million as of December 2020.
‰ Deduction for investments in covered funds represents thefirm’s aggregate investments in applicable covered funds,
excluding investments that are subject to an extended
conformance period. See Note 8 for further information
about the Volcker Rule.
‰ Other adjustments within CET1 capital and Tier 1 capital
primarily include credit valuation adjustments onderivative liabilities, the overfunded portion of the firm’s
defined benefit pension plan obligation net of associateddeferred tax liabilities, disallowed deferred tax assets,
debt valuation adjustments and other required credit riskbased deductions. Other adjustments within Advanced
Tier 2 capital include eligible credit reserves.
‰ Qualifying subordinated debt is subordinated debt issued
by Group Inc. with an original maturity of five years or
greater. The outstanding amount of subordinated debt
qualifying for Tier 2 capital is reduced upon reaching aremaining maturity of five years. See Note 14 for further
information about the firm’s subordinated debt.
‰ Junior subordinated debt is debt issued to a Trust. As of
September 2021, 10% of this debt was included in Tier 2
capital and 90% was phased out of regulatory capital. As
of December 2020, 20% of this debt was included inTier 2 capital and 80% was phased out of regulatory
capital. Junior subordinated debt is reduced by theamount of Trust Preferred securities purchased by thefirm and will be fully phased out of Tier 2 capital by2022. See Note 14 for further information about thefirm’s junior subordinated debt and Trust Preferred
securities.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents changes in CET1 capital, Tier 1
capital and Tier 2 capital.
$ in millions

Nine Months Ended September 2021
CET1 capital
Beginning balance
Change in:Common shareholders’ equity
Impact of CECL transition
Deduction for identifiable intangible assets
Other adjustments
Ending balance
Tier 1 capital
Beginning balance
Change in:
CET1 capital
Deduction for investments in covered funds
Preferred stock
Other adjustments
Ending balance
Tier 2 capital
Beginning balance
Change in:
Qualifying subordinated debt
Junior subordinated debt
Allowance for credit losses
Other adjustments
Ending balance
Total capitalYear Ended December 2020
CET1 capital
Beginning balance
Change in:Common shareholders’ equity
Impact of CECL transition
Deduction for goodwill
Deduction for identifiable intangible assets
Other adjustments
Ending balance
Tier 1 capital
Beginning balance
Change in:
CET1 capital
Deduction for investments in covered funds
Other adjustments
Ending balance
Tier 2 capital
Beginning balance
Change in:
Qualifying subordinated debt
Junior subordinated debt
Allowance for credit losses
Other adjustments
Ending balance
Total capitalStandardized

Advanced$ 81,641$ 81,641

11,615
11,615
(67)
(67)
123
123
(20)
(20)
$ 93,292 $ 93,292$ 92,730$ 92,730

11,651(556)(1,250)5
102,580

11,651(556)(1,250)5
102,580

15,424

13,279

(152)
(152)
(94)
(94)
(199)
–
3
(408)
14,982
12,625$117,562 $115,205$ 74,850$ 74,850

5,667
5,667
1,126
1,126
(123)
(123)
3
3
118
118
$ 81,641 $ 81,641$ 85,440$ 85,440

6,791
504
(5)
92,730

6,791
504
(5)
92,73014,925

13,473

RWAs. RWAs are calculated in accordance with both theStandardized and Advanced Capital Rules.
Credit Risk
Credit RWAs are calculated based on measures of
exposure, which are then risk weighted under theStandardized and Advanced Capital Rules:‰ The Standardized Capital Rules apply prescribed riskweights, which depend largely on the type ofcounterparty. The exposure measure for derivatives andsecurities financing transactions are based on specificformulas which take certain factors into consideration.
‰ Under the Advanced Capital Rules, the firm computes
risk-weights for wholesale and retail credit exposures inaccordance with the Advanced Internal Ratings-Basedapproach. The exposure measures for derivatives andsecurities financing transactions are computed utilizing
internal models.
‰ For both Standardized and Advanced credit RWAs, therisk-weights for securitizations and equities are based on
specific required formulaic approaches.
Market Risk
RWAs for market risk in accordance with the Standardized
and Advanced Capital Rules are generally consistent.
Market RWAs are calculated based on measures of
exposure which include the following:‰ Value-at-Risk (VaR) is the potential loss in value of
trading assets and liabilities, as well as certain
investments, loans, and other financial assets andliabilities accounted for at fair value, due to adverse
market movements over a defined time horizon with a
specified confidence level.

(651)
(651)
(96)
(96)
1,293
–
(47)
553
15,424
13,279$108,154 $106,009

Goldman Sachs September 2021 Form 10-Q

76

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
For both risk management purposes and regulatory capital
calculations, the firm uses a single VaR model which
captures risks, including those related to interest rates,
equity prices, currency rates and commodity prices.
However, VaR used for risk management purposes differsfrom VaR used for regulatory capital requirements(regulatory VaR) due to differences in time horizons,confidence levels and the scope of positions on which VaR
is calculated. For risk management purposes, a 95%
one-day VaR is used, whereas for regulatory capitalrequirements, a 99% 10-day VaR is used to determineMarket RWAs and a 99% one-day VaR is used todetermine regulatory VaR exceptions. In addition, the daily
net revenues used to determine risk management VaR
exceptions (i.e., comparing the daily net revenues to the
VaR measure calculated as of the end of the prior businessday) include intraday activity, whereas the Capital
Framework requires that intraday activity be excluded fromdaily net revenues when calculating regulatory VaR
exceptions. Intraday activity includes bid/offer net
revenues, which are more likely than not to be positive by
their nature. As a result, there may be differences in thenumber of VaR exceptions and the amount of daily net
revenues calculated for regulatory VaR compared to theamounts calculated for risk management VaR.
The firm’s positional losses observed on a single day did notexceed its 99% one-day regulatory VaR during the ninemonths ended September 2021 and exceeded its 99%
one-day regulatory VaR on six occasions during 2020 (allof which occurred during March 2020 and, as permitted by
the FRB, did not have any impact on the firm’s VaR
multiplier used to calculate Market RWAs);‰ Stressed VaR is the potential loss in value of trading assets
and liabilities, as well as certain investments, loans, andother financial assets and liabilities accounted for at fairvalue, during a period of significant market stress;‰ Incremental risk is the potential loss in value of
non-securitized positions due to the default or credit
migration of issuers of financial instruments over a
one-year time horizon;‰ Comprehensive risk is the potential loss in value, due toprice risk and defaults, within the firm’s credit correlation
positions; and‰ Specific risk is the risk of loss on a position that could
result from factors other than broad market movements,
including event risk, default risk and idiosyncratic risk.
The standardized measurement method is used todetermine specific risk RWAs, by applying supervisorydefined risk-weighting factors after applicable netting is
performed.

77

Goldman Sachs September 2021 Form 10-Q

Operational Risk
Operational RWAs are only required to be included underthe Advanced Capital Rules. The firm utilizes an internalrisk-based model to quantify Operational RWAs.
The table below presents information about RWAs.
$ in millions

As of September 2021
Credit RWAs
Derivatives
Commitments, guarantees and loans
Securities financing transactions
Equity investments
Other
Total Credit RWAs
Market RWAs
Regulatory VaRStressed VaR
Incremental risk
Comprehensive risk
Specific risk
Total Market RWAs
Total Operational RWAs
Total RWAs
As of December 2020
Credit RWAs
Derivatives
Commitments, guarantees and loans
Securities financing transactions
Equity investments
Other
Total Credit RWAs
Market RWAs
Regulatory VaRStressed VaR
Incremental risk
Comprehensive risk
Specific risk
Total Market RWAs
Total Operational RWAs
Total RWAs

Standardized

Advanced$147,590
222,978
88,391
49,34674,325
582,630$116,971
178,086
18,00455,45091,181
459,692

12,73340,922
8,325
3,292
16,03481,306–$663,936

12,73340,922
8,325
3,292
16,03481,306
131,063$672,061$120,292
176,501
71,427
46,94470,274
485,438$111,691
151,587
16,56849,26883,599412,713

14,913
31,978
7,882
1,758
12,19368,724–$554,162

14,913
31,978
7,882
1,758
12,19368,724
128,313$609,750

In the table above:‰ Securities financing transactions represents resale andrepurchase agreements and securities borrowed andloaned transactions.
‰ Other includes receivables, certain debt securities, cash
and cash equivalents, and other assets.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The table below presents changes in RWAs.
$ in millions
Nine Months Ended September 2021
RWAs
Beginning balance
Credit RWAs
Change in:
Derivatives
Commitments, guarantees and loans
Securities financing transactions
Equity investments
Other
Change in Credit RWAs
Market RWAs
Change in:Regulatory VaRStressed VaR
Incremental risk
Comprehensive risk
Specific risk
Change in Market RWAs
Change in Operational RWAs
Ending balanceYear Ended December 2020
RWAs
Beginning balance
Credit RWAs
Change in:
Derivatives
Commitments, guarantees and loans
Securities financing transactions
Equity investments
Other
Change in Credit RWAs
Market RWAs
Change in:Regulatory VaRStressed VaR
Incremental risk
Comprehensive risk
Specific risk
Change in Market RWAs
Change in Operational RWAs
Ending balanceStandardized

Advanced$554,162$609,750

27,29846,477
16,9642,402
4,051
97,192

5,280
26,499
1,436
6,182
7,582
46,979(2,180)
8,944
443
1,534
3,841
12,582–$663,936(2,180)
8,944
443
1,534
3,841
12,5822,750$672,061$563,575$544,653(614)(3,239)5,560(9,870)(5,386)(13,549)

39,06017,131
2,734(12,624)
5,333
51,634

5,980
1,067
3,574
365
(6,850)4,136–$554,162

5,980
1,067
3,574
567
(6,850)4,338
9,125$609,750

RWAs Rollforward Commentary
Nine Months Ended September 2021. Standardized
Credit RWAs as of September 2021 increased by$97.19 billion compared with December 2020, primarilyreflecting an increase in commitments, guarantees andloans (principally due to increased lending activity andrevisions to certain interpretations of the Capital Rules
underlying the RWA calculations based on regulatory
feedback), an increase in derivatives (principally due toincreased exposures) and an increase in securities financing
transactions (principally due to increased exposures andrevisions to certain interpretations of the Capital Rules
noted above). Standardized Market RWAs as of
September 2021 increased by $12.58 billion compared with
December 2020, primarily reflecting an increase in stressed
VaR (principally due to increased exposures to interest
rates) and an increase in specific risk (principally due toincreased exposures to securitized products).

Advanced Credit RWAs as of September 2021 increased by$46.98 billion compared with December 2020, primarilyreflecting an increase in commitments, guarantees andloans (principally due to increased lending activity), an
increase in other credit RWAs (principally due to increased
receivables exposures) and an increase in equity
investments (principally due to increased exposures as aresult of gains, partially offset by sales). Advanced Market
RWAs as of September 2021 increased by $12.58 billion
compared with December 2020, primarily reflecting an
increase in stressed VaR (principally due to increased
exposures to interest rates) and an increase in specific risk(principally due to increased exposures to securitized
products).
Year Ended December 2020. Standardized Credit RWAs
as of December 2020 decreased by $13.55 billion comparedwith December 2019, primarily reflecting a decrease inequity investments (principally due to the sale of certain
equity positions) and a decrease in other (principally due todecreased receivables as a result of changes in risk
measurements). These decreases were partially offset by anincrease in securities financing transactions (principally due
to increased funding exposures). Standardized Market
RWAs as of December 2020 increased by $4.14 billion
compared with December 2019, primarily reflecting an
increase in regulatory VaR (principally due to increased
market volatility) and an increase in incremental risk(principally due to increased exposures in equities held formarket-making purposes). These increases were partially
offset by a decrease in specific risk (principally due tochanges in risk measurements on certain exposures).
Advanced Credit RWAs as of December 2020 increased by$51.63 billion compared with December 2019, primarilyreflecting an increase in derivatives (principally due to theimpact of higher levels of volatility and counterparty creditrisk) and an increase in commitments, guarantees and loans(principally due to increased lending activity). These
increases were partially offset by a decrease in equity
investments (principally due to the sale of certain equity
positions). Advanced Market RWAs as of December 2020
increased by $4.34 billion compared with December 2019,
primarily reflecting an increase in regulatory VaR(principally due to increased market volatility) and anincrease in incremental risk (principally due to increased
exposures in equities held for market-making purposes).
These increases were partially offset by a decrease in
specific risk (principally due to changes in risk
measurements on certain exposures). Advanced
Operational RWAs as of December 2020 increased by$9.13 billion compared with December 2019. The vast
majority of this increase was associated with litigation andregulatory proceedings.

Goldman Sachs September 2021 Form 10-Q

78

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)Bank Subsidiaries
Regulatory Capital Ratios. GS Bank USA, the firm’s
primary U.S. bank subsidiary, is an FDIC-insured, NewYork State-chartered bank and a member of the Federal
Reserve System, is supervised and regulated by the FRB, theFDIC, the New York State Department of Financial
Services (NYDFS) and the Consumer Financial Protection
Bureau, and is subject to regulatory capital requirementsthat are calculated under the Capital Framework. On
July 1, 2021, GS Bank USA acquired GSBE, a non-U.S.
banking subsidiary of the firm, which is also subject tostandalone regulatory capital requirements noted below.
GS Bank USA is an Advanced approach banking
organization under the Capital Framework. The Capital
Framework includes the minimum risk-based capital andthe capital conservation buffer requirements (consisting of
a 2.5% buffer and the countercyclical capital buffer). The
buffer must consist entirely of capital that qualifies as CET1
capital. In addition, the Capital Framework includes theleverage ratio requirement.
GS Bank USA is required to calculate the CET1 capital,
Tier 1 capital and Total capital ratios in accordance withboth the Standardized and Advanced Capital Rules. The
lower of each risk-based capital ratio under theStandardized and Advanced Capital Rules is the ratio
against which GS Bank USA’s compliance with its riskbased capital requirements is assessed. In addition, under
the regulatory framework for prompt corrective action
applicable to GS Bank USA, in order to meet thequantitative requirements for a “well-capitalized”
depository institution, GS Bank USA must also meet the“well-capitalized” requirements in the table below. GS
Bank USA’s capital levels and prompt corrective action
classification are also subject to qualitative judgments by
the regulators about components of capital, risk weightingsand other factors. Failure to comply with the capitalrequirements, including a breach of the buffers described
below, could result in restrictions being imposed by theregulators.
The table below presents GS Bank USA’s risk-based capital,
leverage and “well-capitalized” requirements.

Requirements“Well-capitalized”
Requirements

Risk-based capital requirements
CET1 capital ratio
Tier 1 capital ratio
Total capital ratio

7.0%
8.5%
10.5%

6.5%
8.0%
10.0%

Leverage requirements
Tier 1 leverage ratio
SLR

4.0%
3.0%

5.0%
6.0%

79

Goldman Sachs September 2021 Form 10-Q

In the table above:‰ The CET1 capital ratio requirement includes a minimumof 4.5%, the Tier 1 capital ratio requirement includes aminimum of 6.0% and the Total capital ratio requirement
includes a minimum of 8.0%. These requirements also
include the capital conservation buffer requirements
consisting of a 2.5% buffer and the countercyclical capital
buffer, which the FRB has set to zero percent.
‰ The “well-capitalized” requirements are the binding
requirements for leverage ratios.
The table below presents information about GS Bank USA’s
risk-based capital ratios.
$ in millions

As of September 2021
CET1 capital
Tier 1 capital
Tier 2 capital
Total capital
RWAs
CET1 capital ratio
Tier 1 capital ratio
Total capital ratio
As of December 2020
CET1 capital
Tier 1 capital
Tier 2 capital
Total capital
RWAs
CET1 capital ratio
Tier 1 capital ratio
Total capital ratio

Standardized

Advanced$ 40,811$ 40,811$ 6,259$ 47,070$343,033$ 40,811$ 40,811$ 4,598$ 45,409$221,831

11.9%
11.9%
13.7%

18.4%
18.4%
20.5%

$ 34,687$ 34,687$ 6,312$ 40,999$280,877$ 34,687$ 34,687$ 4,963$ 39,650$173,442

12.3%
12.3%
14.6%

20.0%
20.0%
22.9%

In the table above:‰ In accordance with the reporting requirements for businesscombinations of entities under common control, priorperiod amounts are presented as if the acquisition of GSBE
by GS Bank USA had occurred at the beginning of 2020.
‰ The lower of the Standardized or Advanced ratio is the ratio
against which GS Bank USA’s compliance with the capitalrequirements is assessed under the risk-based Capital Rules,
and therefore, the Standardized ratios applied to GS Bank
USA as of both September 2021 and December 2020.
‰ As permitted by the FRB, GS Bank USA elected totemporarily delay the estimated effects of adopting CECL on
regulatory capital until January 2022 and to subsequently
phase-in the effects through January 2025. In addition, GS
Bank USA elected to increase regulatory capital by 25% of
the increase in the allowance for credit losses since
January 1, 2020, as permitted by the rules issued by the FRB.
The impact of this increase will also be phased in over thethree-year transition period. Reflecting the full impact of
CECL as of both September 2021 and December 2020
would not have had a material impact on GS Bank USA’s
Standardized risk-based capital ratios.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)‰ The Standardized and Advanced risk-based capital ratios
decreased from December 2020 to September 2021,
reflecting an increase in both Credit and Market RWAs,
partially offset by an increase in capital, principally due to
net capital contributions and net earnings.
‰ In connection with the regulatory feedback the firm
received in the third quarter of 2021, GS Bank USA revised
certain interpretations of the Capital Rules underlying the
calculation of Standardized RWAs, which increased GS
Bank USA’s Standardized RWAs by approximately$10 billion and reduced GS Bank USA’s Standardized
CET1, Standardized Tier 1 and Standardized Total capitalratios by 0.4 percentage points as of September 2021. As of
December 2020, this change would have increased GS
Bank USA’s Standardized RWAs of $281 billion byapproximately $11 billion, which would have reduced GS
Bank USA’s Standardized CET1 capital ratio of 12.3% by
0.4 percentage points, Standardized Tier 1 capital ratio of
12.3% by 0.4 percentage points and Standardized Total
capital ratio of 14.6% by 0.6 percentage points.
The table below presents information about GS Bank USA’s
leverage ratios.
For the Three Months
Ended or as of$ in millions

September
2021

December
2020

Tier 1 capital
Average adjusted total assets
Total leverage exposure$ 40,811$374,396$608,770$ 34,687$310,690$381,637

10.9%
6.7%

11.2%
9.1%

Tier 1 leverage ratio
SLR

In the table above:‰ In accordance with the reporting requirements forbusiness combinations of entities under common control,
prior period amounts are presented as if the acquisition of
GSBE by GS Bank USA had occurred at the beginning of2020.
‰ Average adjusted total assets represents the average daily
assets for the quarter adjusted for deductions from Tier 1
capital and the impact of CECL transition.
‰ Total leverage exposure, for the three months ended
December 2020, excluded average holdings of U.S.
Treasury securities and average deposits at the Federal
Reserve as permitted by the FRB under a temporary
amendment. The impact of this temporary amendment
was an increase in GS Bank USA’s SLR by approximately
2.4 percentage points for the three months ended
December 2020. The amendment permitting thisexclusion expired on April 1, 2021.
‰ Tier 1 leverage ratio is calculated as Tier 1 capital divided
by average adjusted total assets.
‰ SLR is calculated as Tier 1 capital divided by total
leverage exposure.

The firm’s principal non-U.S. bank subsidiaries, GSIB and
GSBE, are also subject to regulatory capital requirements.
GSIB is regulated by the Prudential Regulation Authority(PRA) and the Financial Conduct Authority (FCA), andGSBE is directly supervised by the European Central Bankand by BaFin and Deutsche Bundesbank in the context of
the E.U. Single Supervisory Mechanism. As of both
September 2021 and December 2020, GSIB and GSBE werein compliance with their regulatory capital requirements.
Other. The deposits of GS Bank USA are insured by the
FDIC to the extent provided by law. The FRB requires that
GS Bank USA maintain cash reserves with the Federal
Reserve. As of both September 2021 and December 2020,
the reserve requirement ratio was zero percent. The amountdeposited by GS Bank USA at the Federal Reserve was$100.93 billion as of September 2021 and $52.71 billion asof December 2020.
Restrictions on Payments
Group Inc. may be limited in its ability to access capital heldat certain subsidiaries as a result of regulatory, tax or otherconstraints. These limitations include provisions ofapplicable law and regulations and other regulatory
restrictions that limit the ability of those subsidiaries todeclare and pay dividends without prior regulatory
approval. For example, the amount of dividends that may
be paid by GS Bank USA are limited to the lesser of theamounts calculated under a recent earnings test and an
undivided profits test. As a result of dividends paid inconnection with the acquisition of GSBE in July 2021, GS
Bank USA cannot currently declare any additional
dividends without prior regulatory approval.
In addition, subsidiaries not subject to separate regulatory
capital requirements may hold capital to satisfy local tax
and legal guidelines, rating agency requirements (forentities with assigned credit ratings) or internal policies,
including policies concerning the minimum amount of
capital a subsidiary should hold based on its underlying
level of risk.
Group Inc.’s equity investment in subsidiaries was$114.93 billion as of September 2021 and $103.80 billion
as of December 2020, of which Group Inc. was required tomaintain $83.57 billion as of September 2021 and$63.68 billion as of December 2020, of minimum equity
capital in its regulated subsidiaries in order to satisfy theregulatory requirements of such subsidiaries.
Group Inc.’s capital invested in certain non-U.S.
subsidiaries is exposed to foreign exchange risk,
substantially all of which is managed through a
combination of derivatives and non-U.S. denominated debt.
See Note 7 for information about the firm’s net investment
hedges used to hedge this risk.

Goldman Sachs September 2021 Form 10-Q

80

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Note 21.

Note 22.

Earnings Per Common Share

Transactions with Affiliated Funds

Basic earnings per common share (EPS) is calculated by
dividing net earnings to common by the weighted average
number of common shares outstanding and RSUs for which
the delivery of the underlying common stock is not subject
to satisfaction of future service or performance conditions(collectively, basic shares). Diluted EPS includes thedeterminants of basic EPS and, in addition, reflects thedilutive effect of the common stock deliverable for RSUs forwhich the delivery of the underlying common stock issubject to satisfaction of future service or performance
conditions.

The firm has formed nonconsolidated investment fundswith third-party investors. As the firm generally acts as theinvestment manager for these funds, it is entitled to receive
management fees and, in certain cases, advisory fees or
incentive fees from these funds. Additionally, the firm
invests alongside the third-party investors in certain funds.

The table below presents information about basic anddiluted EPS.

$ in millions

Three Months
Ended Septemberin millions, except per share amounts

2020

2021

2020

Net earnings to common$5,284Weighted average basic shares
348.3
Effect of dilutive RSUs
5.6
Weighted average diluted shares 353.9$3,233
355.9
4.0
359.9

$17,342
351.8
5.1
356.9

$4,553
356.5
3.5
360.0

Basic EPS
Diluted EPS$ 9.07$ 8.98$ 49.23$ 48.59$12.71$12.65In the table above:‰ Net earnings to common represents net earnings
applicable to common shareholders, which is calculated
as net earnings less preferred stock dividends.
‰ Unvested share-based awards that have non-forfeitablerights to dividends or dividend equivalents are treated as aseparate class of securities under the two-class method.
Distributed earnings allocated to these securities reduce
net earnings to common to calculate EPS under thismethod. The impact of applying this methodology was a
reduction in basic EPS of $0.03 for the three months
ended September 2021, $0.01 for the three months ended
September 2020, $0.07 for the nine months ended
September 2021 and $0.06 for the nine months ended
September 2020.
‰ Diluted EPS does not include antidilutive RSUs ofapproximately 0.1 million for each of the three months
ended September 2021, three months ended
September 2020 and nine months ended September 2020,
and approximately 0.2 million for the nine months ended
September 2021.

81

Goldman Sachs September 2021 Form 10-Q

Three Months
Ended September

Fees earned from funds

2021$1,0462020

Nine Months
Ended September
2021

2020

$816 $2,647$2,541

Nine Months
Ended September

2021$15.14$14.93

The tables below present information about affiliatedfunds.

As of$ in millions

Fees receivable from funds
Aggregate carrying value of interests in funds

September
2021

December
2020$1,021$5,372$ 803$5,068The firm may periodically determine to waive certain
management fees on selected money market funds toenhance the yield for investors in these funds. Management
fees waived were $156 million for the three months ended
September 2021, $26 million for the three months ended
September 2020, $422 million for the nine months ended
September 2021 and $57 million for the nine months ended
September 2020.
The Volcker Rule restricts the firm from providing financial
support to covered funds (as defined in the rule) after the
expiration of the conformance period. As a general matter,in the ordinary course of business, the firm does not expect
to provide additional voluntary financial support to any
covered funds, but may choose to do so with respect tofunds that are not subject to the Volcker Rule. However,any such support is not expected to be material to theresults of operations of the firm.
In March 2020, GS Bank USA and unaffiliated entities
purchased certificates of deposit and commercial paper
from two money market funds managed by the firm. These
funds are not covered funds under the Volcker Rule. GS
Bank USA’s purchase price of these securities was$1.84 billion, of which none were outstanding as of
September 2021 and $321 million were outstanding as ofDecember 2020. These purchases were made to promoteliquidity in the short-term credit markets and to increase thefunds’ weekly liquid assets. Group Inc. provided aguarantee to GS Bank USA in connection with thesesecurities. See Note 18 for information about guarantees
provided by Group Inc. to subsidiaries.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
The firm had an outstanding guarantee, as permitted under
the Volcker Rule, on behalf of its funds of $87 million as ofboth September 2021 and December 2020. The firm has
voluntarily provided this guarantee in connection with afinancing agreement with a third-party lender executed by
one of the firm’s real estate funds that is not covered by the
Volcker Rule. Except as noted above, the firm has notprovided any additional financial support to its affiliatedfunds during either the nine months ended September 2021
or the year ended December 2020.

‰ Collateralized financings consists
agreements and securities loaned.

In addition, in the ordinary course of business, the firm may
also engage in other activities with its affiliated funds,
including, among others, securities lending, trade
execution, market-making, custody, and acquisition andbridge financing. See Note 18 for information about thefirm’s investment commitments related to these funds.

Income Taxes

Note 23.

Interest Income and Interest Expense
Interest is recorded over the life of the instrument on an
accrual basis based on contractual interest rates.
The table below presents sources of interest income andinterest expense.
Three Months
Ended September$ in millions

Deposits with banks
Collateralized agreements
Trading assets
Investments
Loans
Other interest
Total interest income
Deposits
Collateralized financings
Trading liabilities
Short-term borrowings
Long-term borrowings
Other interest
Total interest expense
Net interest income

2021

$

(13)
(220)
1,230
358
1,363
399
3,117
319
33
495
115
843
(252)
1,553
$1,564

Nine Months
Ended September

2020

$

11
(67)
1,176
404
1,153
255
2,932
505
50
345
124
981
(157)
1,848
$1,084

2021

$

(9)
(651)
3,553
1,243
3,878
1,096
9,110
978
41
1,240
433
2,477
(734)
4,435
$4,675

2020

$

234
451
4,006
1,196
3,691
1,138
10,716
1,982
570
931
423
3,217
252
7,375
$ 3,341

In the table above:‰ Collateralized agreements includes rebates paid andinterest income on securities borrowed.

ofrepurchase‰ Short- and long-term borrowings include both secured
and unsecured borrowings.
‰ Other interest expense includes rebates received on otherinterest-bearing liabilities and interest expense on
customer credit balances.
Note 24.

Provision for Income Taxes
Income taxes are provided for using the asset and liability
method under which deferred tax assets and liabilities arerecognized for temporary differences between the financial
reporting and tax bases of assets and liabilities. The firm
reports interest expense related to income tax matters inprovision for taxes and income tax penalties in otherexpenses.
Deferred Income Taxes
Deferred income taxes reflect the net tax effects of
temporary differences between the financial reporting andtax bases of assets and liabilities. These temporary
differences result in taxable or deductible amounts in futureyears and are measured using the tax rates and laws thatwill be in effect when such differences are expected toreverse. Valuation allowances are established to reducedeferred tax assets to the amount that more likely than notwill be realized and primarily relate to the ability to utilize
losses in various tax jurisdictions. Tax assets are included inother assets and tax liabilities are included in otherliabilities.
Unrecognized Tax Benefits
The firm recognizes tax positions in the consolidated
financial statements only when it is more likely than notthat the position will be sustained on examination by therelevant taxing authority based on the technical merits ofthe position. A position that meets this standard ismeasured at the largest amount of benefit that will more
likely than not be realized on settlement. A liability isestablished for differences between positions taken in a tax
return and amounts recognized in the consolidated
financial statements.

‰ Loans excludes interest on loans held for sale that are
accounted for at the lower of cost or fair value. Suchinterest is included within other interest.
‰ Other interest income includes interest income on
customer debit balances, other interest-earning assets andloans held for sale that are accounted for at the lower ofcost or fair value.

Goldman Sachs September 2021 Form 10-Q

82

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Regulatory Tax Examinations
The firm is subject to examination by the U.S. Internal
Revenue Service (IRS) and other taxing authorities injurisdictions where the firm has significant business
operations, such as the United Kingdom, Japan, Hong
Kong and various states, such as New York. The tax years
under examination vary by jurisdiction. The firm does notexpect completion of these audits to have a material impact
on the firm’s financial condition, but it may be material tooperating results for a particular period, depending, in part,on the operating results for that period.
The table below presents the earliest tax years that remainsubject to examination by major jurisdiction.

Jurisdiction

U.S. Federal
New York State and City
United Kingdom
Japan
Hong Kong

As of
September 2021

2011
2015
2017
2016
2015

The firm has been accepted into the Compliance Assurance
Process program by the IRS for each of the tax years from2013 through 2021. This program allows the firm to workwith the IRS to identify and resolve potential U.S. Federal
tax issues before the filing of tax returns. The fieldwork for
tax years 2011 through 2017 has been completed and thefinal resolution is not expected to have a material impact on
the effective tax rate. The 2018 through 2020 tax years
remain subject to post-filing review. New York State andCity examinations of 2015 through 2018 commenced
during 2021.
All years, including and subsequent to the years in the table
above, remain open to examination by the taxing
authorities. The firm believes that the liability forunrecognized tax benefits it has established is adequate inrelation to the potential for additional assessments.

83

Goldman Sachs September 2021 Form 10-Q

Note 25.

Business Segments
The firm reports its activities in four business segments:
Investment Banking, Global Markets, Asset Management
and Consumer & Wealth Management. See Note 1 for
information about the firm’s business segments.
Compensation and benefits expenses in the firm’s segments
reflect, among other factors, the overall performance of thefirm, as well as the performance of individual businesses.
Consequently, pre-tax margins in one segment of the firm’s
business may be significantly affected by the performanceof the firm’s other business segments.
The firm allocates assets (including allocations of global
core liquid assets and cash, secured client financing andother assets), revenues and expenses among the fourbusiness segments. Due to the integrated nature of thesesegments, estimates and judgments are made in allocating
certain assets, revenues and expenses. The allocation
process is based on the manner in which management
currently views the performance of the segments.
The allocation of common shareholders’ equity andpreferred stock dividends to each segment is based on theestimated amount of equity required to support theactivities of the segment under relevant regulatory capitalrequirements.
Net earnings for each segment is calculated by applying thefirmwide tax rate to each segment’s pre-tax earnings.
Management believes that this allocation provides areasonable representation of each segment’s contribution to
consolidated net earnings to common, return on averagecommon equity and total assets. Transactions between
segments are based on specific criteria or approximate
third-party rates.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Segment Results
The table below presents a summary of the firm’s segment
results.
Three Months
Ended September$ in millions

Nine Months
Ended September

2021

2020

2021

2020

Investment Banking
Non-interest revenues$ 3,599
Net interest income
101
Total net revenues
3,700
Provision for credit losses
41
Operating expenses
1,343
Pre-tax earnings$ 2,316
Net earnings$ 1,831
Net earnings to common$ 1,818
Average common equity$10,346
Return on average common equity 70.3%$ 1,904
65
1,969
171
1,067
$ 731
$ 469
$ 452
$11,271
16.0%$10,755
325
11,080(229)
5,161$ 6,148$ 4,942$ 4,890$10,201
63.9%$ 6,614
196
6,810
1,612
4,940
$ 258
$ 184
$ 133
$11,251
1.6%

Global Markets
Non-interest revenues$ 4,943
Net interest income
668
Total net revenues
5,611
Provision for credit losses(24)
Operating expenses
2,794
Pre-tax earnings$ 2,841
Net earnings$ 2,244
Net earnings to common$ 2,190
Average common equity$46,959Return on average common equity 18.7%$ 4,093
460
4,553
(15)
2,542
$ 2,026$ 1,904$ 1,816$39,960
18.2%$16,121
1,971
18,092(30)
10,352$ 7,770$ 6,246$ 6,041$44,067
18.3%$15,292
1,600
16,892236
10,568$ 6,088$ 4,346$ 4,085$40,542
13.4%

Asset Management
Non-interest revenues$ 2,174
Net interest income
105
Total net revenues
2,279
Provision for credit losses
10
Operating expenses
823
Pre-tax earnings$ 1,446
Net earnings$ 1,115
Net earnings to common$ 1,096
Average common equity$25,788
Return on average common equity 17.0%$ 2,717
51
2,768
70
1,358
$ 1,340$ 858$ 839$19,98916.8%$11,619406
12,025(2)
4,656$ 7,371$ 5,925$ 5,853$25,294
30.9%$ 4,626
147
4,773
420
3,888
$ 465
$ 332
$ 273
$20,332
1.8%

$

983
508
1,491
52
1,237
$ 202
$ 136
$ 126
$ 8,519
5.9%$ 3,530
1,973
5,503
274
4,499
$ 730
$ 587
$ 558
$10,475
7.1%$ 2,946
1,398
4,344
537
3,680
$ 127
$
91
$
62
$ 7,715
1.1%$ 9,697
1,084
10,781
278
6,204$ 4,299$ 3,367$ 3,233$79,73916.2%$42,025
4,675
46,70013
24,668$22,019$17,700$17,342$90,037
25.7%$29,478
3,341
32,8192,805
23,076$ 6,938$ 4,953$ 4,553$79,840
7.6%

Consumer & Wealth Management
Non-interest revenues$ 1,328
Net interest income
690
Total net revenues
2,018
Provision for credit losses
148
Operating expenses
1,631
Pre-tax earnings$ 239
Net earnings$ 188
Net earnings to common$ 180
Average common equity$10,740Return on average common equity
6.7%
Total
Non-interest revenues$12,044
Net interest income
1,564
Total net revenues
13,608Provision for credit losses
175
Operating expenses
6,591
Pre-tax earnings$ 6,842
Net earnings$ 5,378
Net earnings to common$ 5,284
Average common equity$93,833
Return on average common equity 22.5%

In the table above:‰ Revenues and expenses directly associated with eachsegment are included in determining pre-tax earnings.
‰ Net revenues in the firm’s segments include allocations ofinterest income and expense to specific positions inrelation to the cash generated by, or funding requirementsof, such positions. Net interest is included in segment net
revenues as it is consistent with how management assesses
segment performance.
‰ Total operating expenses included net provisions forlitigation and regulatory proceedings of $3.40 billion for
the nine months ended September 2020, primarilyreflected in Investment Banking and Global Markets.
‰ Overhead expenses not directly allocable to specificsegments are allocated ratably based on direct segment
expenses.
‰ The allocation of common equity among the firm’s
segments for both the three and nine months ended
September 2021 reflected updates to the firm’s attributed
equity framework (effective January 1, 2021) toincorporate the impact of the SCB rule and the firm’s SCB
of 6.6%, which became effective on October 1, 2020
under the Standardized Approach. The average common
equity balances above incorporate such impact, as well as
the changes in the size and composition of assets held ineach of the firm’s segments that occurred during both thethree and nine months ended September 2021. See
Note 20 for information about the firm’s updated SCB,
which became effective on October 1, 2021.
The table below presents depreciation and amortization
expense by segment.
Three Months
Ended September$ in millions

Nine Months
Ended September

2021

2020

2021

2020

Investment Banking$ 50
Global Markets
209
Asset Management
153
Consumer & Wealth Management
97
Total
$509

$ 46
160
170
92
$468

$ 144
571
539
273
$1,527

$ 128
440
553
283
$1,404

Goldman Sachs September 2021 Form 10-Q

84

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Segment Assets
The table below presents assets by segment.
As of$ in millions

September
2021

December2020

Investment Banking
Global Markets
Asset Management
Consumer & Wealth Management
Total$ 141,580
1,077,437
94,063130,150$1,443,230$ 116,242
844,606
95,751
106,429$1,163,028

The table below presents gross loans by segment and loantype, and allowance for loan losses by segment.
As of$ in millions

Investment Banking
Corporate
Loans, grossAllowance for loan losses
Loans

September
2021$

27,34627,346(918)
26,428December2020$‰ Global Markets: FICC and Equities intermediation:
location of the market-making desk; FICC and Equities
financing (excluding prime brokerage financing): locationof the desk; prime brokerage financing: location of the
primary market for the underlying security.
‰ Asset Management (excluding Equity investments andLending and debt investments): location of the sales team;
Equity investments: location of the investment; Lending
and debt investments: location of the client.
‰ Consumer & Wealth Management: Wealth management:
location of the sales team; Consumer banking: location of
the client.

19,34926,641
5,601
51,591(424)
51,167

13,24816,915
3,499
33,662(448)
33,214

Asset Management
Corporate
Real estate
Other
Loans, grossAllowance for loan losses
Loans

7,412
8,425
707
16,544(752)
15,792

7,545
9,125
675
17,345(787)
16,558Consumer & Wealth Management
Wealth management
Installment
Credit cards
Loans, grossAllowance for loan losses
Loans41,7753,449
6,251
51,475(1,238)50,23733,023
3,823
4,270
41,116(1,317)39,799146,956(3,332)$ 143,624

119,989(3,874)$ 116,115

See Note 9 for further information about loans.

‰ Investment Banking: location of the client and investmentbanking team.

27,86627,866(1,322)
26,544Global Markets
Corporate
Real estate
Other
Loans, grossAllowance for loan losses
Loans

Total
Loans, grossAllowance for loan losses
Loans

Geographic Information
Due to the highly integrated nature of international financial
markets, the firm manages its businesses based on the
profitability of the enterprise as a whole. The methodology forallocating profitability to geographic regions is dependent on
estimates and management judgment because a significant
portion of the firm’s activities require cross-bordercoordination in order to facilitate the needs of the firm’sclients. Geographic results are generally allocated as follows:

The table below presents total net revenues and pre-tax
earnings by geographic region.
$ in millions

2021

2020

Three Months Ended September
Americas$ 8,169
60% $ 6,873
64%
EMEA
3,394
25%
2,470
23%
Asia
2,045
15%
1,438
13%
Total net revenues$13,608 100% $10,781 100%
Americas$ 4,00459% $ 2,926
68%
EMEA
1,922
28%
935
22%
Asia
916
13%
438
10%
Total pre-tax earnings$ 6,842 100% $ 4,299 100%Nine Months Ended September
Americas$28,951
62% $20,333
62%
EMEA
11,585
25%
8,031
24%
Asia
6,164
13%
4,455
14%
Total net revenues$46,700 100% $32,819 100%
Americas$13,484
61% $ 5,330
77%
EMEA
6,012
27%
1,937
28%
Asia
2,523
12%
(329) (5)%Total pre-tax earnings$22,019 100% $ 6,938 100%In the table above:‰ Asia pre-tax earnings for the nine months ended
September 2020 were impacted by net provisions forlitigation and regulatory proceedings.
‰ Substantially all of the amounts in Americas were
attributable to the U.S.
‰ Asia includes Australia and New Zealand.
85

Goldman Sachs September 2021 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Note 26.

Credit Concentrations
The firm’s concentrations of credit risk arise from its
market making, client facilitation, investing, underwriting,lending and collateralized transactions, and cash
management activities, and may be impacted by changes in
economic, industry or political factors. These activities
expose the firm to many different industries andcounterparties, and may also subject the firm to aconcentration of credit risk to a particular central bank,counterparty, borrower or issuer, including sovereignissuers, or to a particular clearing house or exchange. The
firm seeks to mitigate credit risk by actively monitoring
exposures and obtaining collateral from counterparties as
deemed appropriate.
The firm measures and monitors its credit exposure basedon amounts owed to the firm after taking into account risk
mitigants that the firm considers when determining credit
risk. Such risk mitigants include netting and collateralarrangements and economic hedges, such as credit
derivatives, futures and forward contracts. Netting andcollateral agreements permit the firm to offset receivables
and payables with such counterparties and/or enable thefirm to obtain collateral on an upfront or contingent basis.
The table below presents the credit concentrations included
in trading cash instruments and investments.
As of

The table below presents U.S. government and agency
obligations and non-U.S. government and agency
obligations that collateralize resale agreements andsecurities borrowed transactions.
As ofSeptember
2021

December
2020

U.S. government and agency obligations$109,643
Non-U.S. government and agency obligations $120,984$60,158$68,001$ in millions

In the table above:‰ Non-U.S. government and agency obligations primarily
consists of securities issued by the governments of the
U.K. and Japan.
‰ Given that the firm’s primary credit exposure on suchtransactions is to the counterparty to the transaction, thefirm would be exposed to the collateral issuer only in theevent of counterparty default.
Note 27.

September
2021

December
2020

U.S. government and agency obligations$147,262
Percentage of total assets
10.2%
Non-U.S. government and agency obligations $ 58,520
Percentage of total assets
4.1%$187,009
16.1%$ 59,580
5.1%$ in millions

Collateral obtained by the firm related to derivative assets isprincipally cash and is held by the firm or a third-party
custodian. Collateral obtained by the firm related to resaleagreements and securities borrowed transactions is
primarily U.S. government and agency obligations andnon-U.S. government and agency obligations. See Note 11
for further information about collateralized agreements andfinancings.

In addition, the firm had $171.94 billion as of
September 2021 and $116.63 billion as of December 2020of cash deposits held at central banks (included in cash andcash equivalents), of which $100.93 billion as of
September 2021 and $52.71 billion as of December 2020
was held at the Federal Reserve.
As of both September 2021 and December 2020, the firm
did not have credit exposure to any other counterparty thatexceeded 2% of total assets.

Legal Proceedings
The firm is involved in a number of judicial, regulatory andarbitration proceedings (including those described below)
concerning matters arising in connection with the conductof the firm’s businesses. Many of these proceedings are in
early stages, and many of these cases seek an indeterminate
amount of damages.
Under ASC 450, an event is “reasonably possible” if “thechance of the future event or events occurring is more thanremote but less than likely” and an event is “remote” if “thechance of the future event or events occurring is slight.”
Thus, references to the upper end of the range of reasonably
possible loss for cases in which the firm is able to estimate a
range of reasonably possible loss mean the upper end of therange of loss for cases for which the firm believes the risk ofloss is more than slight.

Goldman Sachs September 2021 Form 10-Q

86

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)With respect to matters described below for which
management has been able to estimate a range ofreasonably possible loss where (i) actual or potential
plaintiffs have claimed an amount of money damages,(ii) the firm is being, or threatened to be, sued by purchasers
in a securities offering and is not being indemnified by aparty that the firm believes will pay the full amount of any
judgment, or (iii) the purchasers are demanding that thefirm repurchase securities, management has estimated theupper end of the range of reasonably possible loss based on(a) in the case of (i), the amount of money damages claimed,(b) in the case of (ii), the difference between the initial sales
price of the securities that the firm sold in such offering andthe estimated lowest subsequent price of such securities
prior to the action being commenced and (c) in the caseof (iii), the price that purchasers paid for the securities lessthe estimated value, if any, as of September 2021 of therelevant securities, in each of cases (i), (ii) and (iii), taking
into account any other factors believed to be relevant to theparticular matter or matters of that type. As of the datehereof, the firm has estimated the upper end of the range ofreasonably possible aggregate loss for such matters and forany other matters described below where management has
been able to estimate a range of reasonably possible
aggregate loss to be approximately $1.8 billion in excess of
the aggregate reserves for such matters.
Management is generally unable to estimate a range ofreasonably possible loss for matters other than thoseincluded in the estimate above, including where (i) actual or
potential plaintiffs have not claimed an amount of money
damages, except in those instances where management canotherwise determine an appropriate amount, (ii) matters
are in early stages, (iii) matters relate to regulatory
investigations or reviews, except in those instances wheremanagement can otherwise determine an appropriate
amount, (iv) there is uncertainty as to the likelihood of aclass being certified or the ultimate size of the class, (v) there
is uncertainty as to the outcome of pending appeals or
motions, (vi) there are significant factual issues to beresolved, and/or (vii) there are novel legal issues presented.
For example, the firm’s potential liabilities with respect tothe investigations and reviews described below in“Regulatory Investigations and Reviews and Related
Litigation” generally are not included in management’s
estimate of reasonably possible loss. However,management does not believe, based on currently available
information, that the outcomes of such other matters will
have a material adverse effect on the firm’s financial
condition, though the outcomes could be material to thefirm’s operating results for any particular period,
depending, in part, upon the operating results for such
period. See Note 18 for further information about
mortgage-related contingencies.

87

Goldman Sachs September 2021 Form 10-Q

1MDB-Related Matters
Between 2012 and 2013, subsidiaries of the firm acted asarrangers or purchasers of approximately $6.5 billion ofdebt securities of 1MDB.
On November 1, 2018, the U.S. Department of Justice(DOJ) unsealed a criminal information and guilty plea by
Tim Leissner, a former participating managing director of
the firm, and an indictment against Ng Chong Hwa, aformer managing director of the firm. On August 28, 2018,
Leissner was adjudicated guilty by the U.S. District Court
for the Eastern District of New York of conspiring tolaunder money and to violate the U.S. Foreign Corrupt
Practices Act’s (FCPA) anti-bribery and internal accounting
controls provisions. Ng was charged with conspiring tolaunder money and to violate the FCPA’s anti-bribery andinternal accounting controls provisions. On May 6, 2019,
Ng pleaded not guilty to the DOJ’s criminal charges.
On August 18, 2020, the firm announced that it entered into
a settlement agreement with the Government of Malaysia toresolve the criminal and regulatory proceedings in Malaysia
involving the firm, which includes a guarantee that theGovernment of Malaysia receives at least $1.4 billion in
assets and proceeds from assets seized by governmental
authorities around the world related to 1MDB.
On October 22, 2020, the firm announced that it reachedsettlements of governmental and regulatory investigations
relating to 1MDB with the DOJ, the SEC, the FRB, the
NYDFS, the FCA, the PRA, the Singapore Attorney
General’s Chambers, the Singapore Commercial Affairs
Department, the Monetary Authority of Singapore and theHong Kong Securities and Futures Commission. Group Inc.
entered into a three-year deferred prosecution agreementwith the DOJ, in which a charge against the firm, one countof conspiracy to violate the FCPA, was filed and will later
be dismissed if the firm abides by the terms of theagreement. In addition, GS Malaysia pleaded guilty to one
count of conspiracy to violate the FCPA, and was sentenced
on June 9, 2021. In May 2021, the U.S. Department ofLabor granted the firm a five-year exemption to maintainits status as a qualified professional asset manager(QPAM).
The firm has received multiple demands, beginning inNovember 2018, from alleged shareholders under
Section 220 of the Delaware General Corporation Law forbooks and records relating to, among other things, thefirm’s involvement with 1MDB and the firm’s compliance
procedures. On December 13, 2019, an alleged shareholder
filed a lawsuit in the Court of Chancery of the State of
Delaware seeking books and records relating to, among
other things, the firm’s involvement with 1MDB and thefirm’s compliance procedures. The lawsuit was dismissed
without prejudice on August 4, 2021.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
On February 19, 2019, a purported shareholder derivative
action relating to 1MDB was filed in the U.S. District Court
for the Southern District of New York against Group Inc.
and the directors at the time and a former chairman andchief executive officer of the firm. The second amended
complaint filed on November 13, 2020, alleges breaches offiduciary duties, including in connection with alleged
insider trading by certain current and former directors,
unjust enrichment and violations of the anti-fraud
provisions of the Exchange Act, including in connection
with Group Inc.’s common stock repurchases andsolicitation of proxies, and seeks unspecified damages,
disgorgement and injunctive relief. Defendants moved todismiss this action on January 15, 2021.

The consolidated amended complaint filed on
July 25, 2011, which named as defendants Group Inc. andcertain current and former officers and employees of Group
Inc. and its affiliates, generally alleges violations ofSections 10(b) and 20(a) of the Exchange Act and seeks
monetary damages. The defendants have moved forsummary judgment. On April 7, 2020, the Second Circuit
Court of Appeals affirmed the district court’sAugust 14, 2018 grant of class certification. On
June 21, 2021, the United States Supreme Court vacated thejudgment of the Second Circuit and remanded the case forfurther proceedings, and on August 26, 2021, the Second
Circuit vacated the district court’s grant of classcertification and remanded the case for further proceedings.

Beginning in March 2019, the firm has also received
demands from three shareholders to investigate and pursue
claims against certain current and former directors andexecutive officers based on their oversight and public
disclosures regarding 1MDB and related internal controls.
In June 2019, the Board appointed a Special Committee toconsider the demands and, in January 2021, the Board
voted to reject them. In June 2021, the firm reached asettlement with the three shareholders. Following theBoard’s decision to reject the initial three demands, the firm
received two additional demands from alleged shareholders(one of which is the alleged shareholder that filed theDecember 2019 books and records action in Delaware
Chancery Court) to investigate and pursue claims related to
1MDB (and, for one of the demands, other matters) against
other parties, including certain current and former directors
and executive officers of the firm.

Complaints were filed in the U.S. District Court for theSouthern District of New York on July 25, 2019 and
May 29, 2020 against Goldman Sachs Mortgage Company
and GS Mortgage Securities Corp. by U.S. Bank National
Association, as trustee for two residential mortgage-backed
securitization trusts that issued $1.7 billion of securities.
The complaints generally allege that mortgage loans in thetrusts failed to conform to applicable representations andwarranties and seek specific performance or, alternatively,
compensatory
damagesandotherrelief.
On
November 23, 2020, the court granted in part and denied inpart defendants’ motion to dismiss the complaint in the firstaction and denied defendants’ motion to dismiss thecomplaint in the second action. On January 14, 2021,
amended complaints were filed in both actions.

On December 20, 2018, a putative securities class action
lawsuit was filed in the U.S. District Court for the Southern
District of New York against Group Inc. and certain former
officers of the firm alleging violations of the anti-fraud
provisions of the Exchange Act with respect to Group Inc.’s
disclosures and public statements concerning 1MDB andseeking unspecified damages. The plaintiffs filed the second
amended complaint on October 28, 2019. On
June 28, 2021, the court dismissed the claims against one of
the individual defendants but denied the defendants’
motion to dismiss with respect to the firm and theremaining individual defendants.
Mortgage-Related Matters
Beginning in April 2010, a number of purported securities
law class actions were filed in the U.S. District Court for theSouthern District of New York challenging the adequacy ofGroup Inc.’s public disclosure of, among other things, thefirm’s activities in the collateralized debt obligation market,
and the firm’s conflict of interest management.

Currencies-Related Litigation
GS&Co. and Group Inc. are among the defendants namedin an action filed in the U.S. District Court for the Southern
District of New York on November 7, 2018, and GSI,
GSIB, Goldman Sachs Group UK Limited and GS Bank
USA are among the defendants in an action filed in the High
Court of England and Wales on November 11, 2020, ineach case by certain direct purchasers of foreign exchange
instruments that opted out of a class settlement reachedwith, among others, GS&Co. and Group Inc. The thirdamended complaint in the U.S. district court action, filed on
August 3, 2020, generally alleges that the defendants
violated federal antitrust law and state common law inconnection with an alleged conspiracy to manipulate theforeign currency exchange markets and seeks declaratory
and injunctive relief, as well as unspecified amounts ofcompensatory, punitive, treble and other damages. The
claim in the English action is for breaches of English andE.U. competition rules from 2003 to 2013 and alleges
manipulation of foreign exchange rates and bid/offer
spreads, the exchange of commercially sensitive
information among defendants and collusive trading.

Goldman Sachs September 2021 Form 10-Q

88

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
GS&Co. is among the defendants named in a putative classaction filed in the U.S. District Court for the Southern
District of New York on August 4, 2021. The complaint
generally asserts claims under federal antitrust law andstate common law in connection with an alleged conspiracy
among the defendants to manipulate auctions for foreignexchange transactions on an electronic trading platform, as
well as claims under the Racketeer Influenced and Corrupt
Organizations Act against certain defendants other than
GS&Co. The complaint seeks declaratory and injunctive
relief, as well as unspecified amounts of treble and otherdamages. On October 13, 2021, the defendants filed amotion to dismiss the complaint.
Banco Espirito Santo S.A. and Oak Finance
Beginning in February 2015, GSI commenced actions
against Novo Banco S.A. (Novo Banco) in the English
Commercial Court and the Bank of Portugal (BoP) in
Portuguese Administrative Court in response to BoP’s
decisions in December 2014, September 2015 andDecember 2015 to reverse an earlier transfer to Novo
Banco of an $835 million facility agreement (the Facility),
structured by GSI, between Oak Finance Luxembourg S.A.
(Oak Finance), a special purpose vehicle formed inconnection with the Facility, and Banco Espirito Santo S.A.
(BES) prior to the failure of BES. In July 2018, the English
Supreme Court found that the English courts did not yet
have jurisdiction over GSI’s action. In July 2018, theLiquidation Committee for BES issued a decision seeking toclaw back from GSI $54 million paid to GSI and$50 million paid to Oak Finance in connection with the
Facility, alleging that GSI acted in bad faith in extending the
Facility, including because GSI allegedly knew that BES wasat risk of imminent failure. In October 2018, GSI
commenced an action in Lisbon Commercial Court
challenging the Liquidation Committee’s decision and hassince also issued a claim against the Portuguese Stateseeking compensation for losses of approximately$222 million related to the failure of BES, together with acontingent claim for the $104 million sought by the
Liquidation Committee.
Financial Advisory Services
Group Inc. and certain of its affiliates are from time to time
parties to various civil litigation and arbitration
proceedings and other disputes with clients and third
parties relating to the firm’s financial advisory activities.
These claims generally seek, among other things,
compensatory damages and, in some cases, punitive
damages, and in certain cases allege that the firm did not
appropriately disclose or deal with conflicts of interest.

89

Goldman Sachs September 2021 Form 10-Q

Archegos-Related Matters
GS&Co. is among the underwriters named as defendants ina putative securities class action filed on August 13, 2021 in
New York Supreme Court, County of New York, relating
to ViacomCBS Inc.’s (ViacomCBS) March 2021 public
offerings of $1.7 billion of common stock and $1.0 billion
of preferred stock. In addition to the underwriters, thedefendants include ViacomCBS and certain of its officers
and directors. GS&Co. underwrote 646,154 shares ofcommon stock representing an aggregate offering price ofapproximately $55 million and 323,077 shares of preferredstock representing an aggregate offering price ofapproximately $32 million. The complaint asserts claims
under the federal securities laws and alleges that theoffering documents contained material misstatements andomissions, including, among other things, that the offering
documents failed to disclose that Archegos CapitalManagement (Archegos) had substantial exposure to
ViacomCBS, including through total return swaps to which
certain of the underwriters, including GS&Co., were
allegedly counterparties, and that such underwriters failed
to disclose their exposure to Archegos. The complaint seeks
rescission and compensatory damages in unspecified
amounts.
Group Inc. is also a defendant in three putative securities
class actions filed on October 12, 2021, October 20, 2021
and October 26, 2021, respectively, in the U.S. District
Court for the Southern District of New York. The
complaints allege that Group Inc., along with anotherfinancial institution, sold shares in Vipshop Holdings Ltd.
(Vipshop) (in the case of the first action), GSX Techedu Inc.
(Gaotu) (in the case of the second action), and Tencent
Music Entertainment Group (Tencent) (in the case of thethird action) based on material nonpublic information
regarding the liquidation of Archegos’ position in Vipshop,
Gaotu and Tencent, respectively. The complaints generally
assert violations of Sections 10(b), 20A and 20(a) of the
Exchange Act and seek unspecified damages.
Underwriting Litigation
Firm affiliates are among the defendants in a number ofproceedings in connection with securities offerings. In theseproceedings, including those described below, the plaintiffs
assert class action or individual claims under federal andstate securities laws and in some cases other applicablelaws, allege that the offering documents for the securities
that they purchased contained material misstatements andomissions, and generally seek compensatory and rescissory
damages in unspecified amounts, as well as rescission.
Certain of these proceedings involve additional allegations.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Altice USA, Inc. GS&Co. is among the underwriters
named as defendants in putative securities class actions
pending in New York Supreme Court, County of Queens,and the U.S. District Court for the Eastern District of New
York beginning in June 2018, relating to Altice USA, Inc.’s(Altice) $2.15 billion June 2017 initial public offering. In
addition to the underwriters, the defendants include Alticeand certain of its officers and directors. GS&Co.
underwrote 12,280,042 shares of common stock
representing an aggregate offering price of approximately$368 million. On June 26, 2020, the court dismissed theamended complaint in the state court action, and on
September 4, 2020, plaintiffs moved for leave to file a
consolidated amended complaint. Plaintiffs in the district
court action filed a second amended complaint on
October 7, 2020. On February 16, 2021, the parties
reached a settlement in principle. On July 26, 2021, theplaintiffs filed a motion in the state court for preliminary
approval of the settlement. Under the terms of thesettlement, the firm will not be required to contribute to thesettlement.
Uber Technologies, Inc. GS&Co. is among theunderwriters named as defendants in several putative
securities class actions filed beginning in September 2019 in
California Superior Court, County of San Francisco and the
U.S. District Court for the Northern District of California,
relating to Uber Technologies, Inc.’s (Uber) $8.1 billion
May 2019 initial public offering. In addition to theunderwriters, the defendants include Uber and certain of its
officers and directors. GS&Co. underwrote 35,864,408
shares of common stock representing an aggregate offering
priceofapproximately$1.6
billion.
On
November 16, 2020, the court in the state court action
granted defendants’ motion to dismiss the consolidated
amended complaint filed on February 11, 2020, and on
December
16,
2020,
plaintiffs
appealed.
On
August 7, 2020, defendants’ motion to dismiss the district
court action was denied. On September 25, 2020, theplaintiffs in the district court action moved for classcertification. On December 5, 2020, the plaintiffs in thestate court action filed a complaint in the district court,
which was consolidated with the existing district court
action on January 25, 2021. On May 14, 2021, theplaintiffs filed a second amended complaint in the district
court, purporting to add the plaintiffs from the state court
action as additional class representatives. On
October 1, 2021, defendants’ motion to dismiss the
additional class representatives from the second amended
complaint was denied.

Alnylam Pharmaceuticals, Inc. GS&Co. is among theunderwriters named as defendants in a putative securities
class action filed on September 12, 2019 in New YorkSupreme Court, County of New York, relating to Alnylam
Pharmaceuticals,Inc.’s(Alnylam)$805
millionNovember 2017 public offering of common stock. In
addition to the underwriters, the defendants include
Alnylam and certain of its officers and directors. GS&Co.
underwrote 2,576,000 shares of common stock
representing an aggregate offering price of approximately$322 million. On October 30, 2020, the court denied thedefendants’ motion to dismiss the amended complaint filed
on November 7, 2019. On February 22, 2021, the plaintiffs
moved for class certification. On April 29, 2021, theAppellate Division of the Supreme Court of the State of
New York for the First Department denied defendants’appeal of the New York Supreme Court’s denial of the
defendants’ motion to dismiss the amended complaint,
except with respect to one of the plaintiffs’ claims against
Alnylam’s officers and directors. On August 31, 2021, theparties reached a settlement in principle. Under the terms of
the settlement in principle, the firm will not be required tocontribute to the settlement.
Venator Materials PLC. GS&Co. is among theunderwriters named as defendants in putative securities
class actions in Texas District Court, Dallas County, NewYork Supreme Court, New York County, and the U.S.
District Court for the Southern District of Texas, filed
beginning in February 2019, relating to Venator Materials
PLC’s (Venator) $522 million August 2017 initial public
offering and $534 million December 2017 secondary equity
offering. In addition to the underwriters, the defendants
include Venator, certain of its officers and directors andcertain of its shareholders. GS&Co. underwrote 6,351,347
shares of common stock in the August 2017 initial public
offering representing an aggregate offering price ofapproximately $127 million and 5,625,768 shares ofcommon stock in the December 2017 secondary equity
offering representing an aggregate offering price ofapproximately $127 million. On January 21, 2020, theTexas Court of Appeals reversed the Texas District Courtand dismissed the claims against the underwriterdefendants, including GS&Co., in the Texas state court
action for lack of personal jurisdiction. On
March 22, 2021, the defendants’ motion to dismiss the
New York state court action was granted and the plaintiffs
have filed a notice of appeal. On July 7, 2021, the court in
the federal action granted in part and denied in part
defendants’ motion to dismiss the consolidated complaint.
On August 16, 2021, the plaintiffs in the federal action filed
an amended consolidated complaint.

Goldman Sachs September 2021 Form 10-Q

90

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
XP Inc. GS&Co. is among the underwriters named as
defendants in putative securities class actions pending in New
York Supreme Court, County of New York, and the U.S.
District Court for the Eastern District of York, filed beginning
March 19, 2020, relating to XP Inc.’s (XP) $2.3 billion
December 2019 initial public offering. In addition to theunderwriters, the defendants include XP, certain of its officers
and directors and certain of its shareholders. GS&Co.
underwrote 19,326,218 shares of common stock in the
December 2019 initial public offering representing an aggregateoffering price of approximately $522 million. On
August 5, 2020, defendants’ motion to stay the state court
action in favor of the federal court action was denied. On
February 8, 2021, the state court granted the defendants’
motion to dismiss the state court action, and on March 7, 2021,
the district court granted the defendants’ motion to dismiss thefederal court action. On April 7, 2021, plaintiffs in the district
court action appealed to the Second Circuit Court of Appeals.
GoHealth, Inc. GS&Co. is among the underwriters named
as defendants in putative securities class actions filed
beginning on September 21, 2020 and consolidated in the
U.S. District Court for the Northern District of Illinois
relating to GoHealth, Inc.’s (GoHealth) $914 million
July 2020 initial public offering. In addition to theunderwriters, the defendants include GoHealth, certain of
its officers and directors and certain of its shareholders.
GS&Co. underwrote 11,540,550 shares of common stock
representing an aggregate offering price of approximately$242 million. On February 25, 2021, the plaintiffs filed aconsolidated complaint. On April 26, 2021, the defendants
filed a motion to dismiss the consolidated complaint.
Array Technologies, Inc. GS&Co. is among theunderwriters named as defendants in a putative securities
class action filed on May 14, 2021 in the U.S. District Court
for the Southern District of New York, relating to Array
Technologies, Inc.’s (Array) $1.2 billion October 2020
initial public offering of common stock, $1.3 billion
December 2020 offering of common stock and$993 million March 2021 offering of common stock. In
addition to the underwriters, the defendants include Arrayand certain of its officers and directors. GS&Co.
underwrote an aggregate of 31,912,213 shares of common
stock in the three offerings representing an aggregateoffering price of approximately $877 million.
Skillz Inc. GS&Co. is among the underwriters named as
defendants in a putative securities class action filed on
October 8, 2021 in the U.S. District Court for the Northern
District of California relating to Skillz Inc.’s (Skillz)
approximately $883 million March 2021 public offering ofcommon stock. In addition to the underwriters, the defendants
include Skillz and certain of its officers and directors. GS&Co.
underwrote 8,832,000 shares of common stock representing
an aggregate offering price of approximately $212 million.
91

Goldman Sachs September 2021 Form 10-Q

ContextLogic, Inc. GS&Co. is among the underwriters
named as defendants in putative securities class actions filed
beginning on May 17, 2021 in the U.S. District Court for the
Northern District of California, relating to ContextLogic,
Inc.’s (ContextLogic) $1.1 billion December 2020 initialpublic offering of common stock. In addition to theunderwriters, the defendants include ContextLogic andcertain of its officers and directors. GS&Co. underwrote
16,169,000 shares of common stock representing an
aggregate offering price of approximately $388 million.
DiDi Global Inc. Goldman Sachs (Asia) L.L.C. (GS Asia) is
among the underwriters named as defendants in putative
securities class actions filed beginning on July 6, 2021 in the
U.S. District Courts for the Southern District of New Yorkand the Central District of California relating to DiDi
Global Inc.’s (DiDi) $4.4 billion June 2021 initial public
offering of American Depositary Shares (ADS). In addition
to the underwriters, the defendants include DiDi andcertain of its officers and directors. GS Asia underwrote
104,554,000 ADS representing an aggregate offering priceof approximately $1.5 billion. On September 22, 2021,
plaintiffs in the California action voluntarily dismissed theirclaims without prejudice.
Vroom Inc. GS&Co. is among the underwriters named as
defendants in a putative securities class action filed on
October 4, 2021 in the U.S. District Court for the Southern
District of New York relating to Vroom Inc.’s (Vroom)
approximately $589 million September 2020 public
offering of common stock. In addition to the underwriters,
the defendants include Vroom and certain of its officers anddirectors. GS&Co. underwrote 3,886,819 shares ofcommon stock representing an aggregate offering price ofapproximately $212 million.
Zymergen Inc. GS&Co. is among the underwriters named
as defendants in a putative securities class action filed on
August 4, 2021 in the U.S. District Court for the Northern
District of California relating to Zymergen Inc.’s(Zymergen) $575 million April 2021 initial public offeringof common stock. In addition to the underwriters, thedefendants include Zymergen and certain of its officers anddirectors. GS&Co. underwrote 5,750,345 shares ofcommon stock representing an aggregate offering price ofapproximately $178 million.
Waterdrop Inc. GS Asia is among the underwriters named
as defendants in a putative securities class action filed on
September 14, 2021 in the U.S. District Court for theSouthern District of New York relating to Waterdrop Inc.’s(Waterdrop) $360 million May 2021 initial public offeringof ADS. In addition to the underwriters, the defendants
include Waterdrop and certain of its officers and directors.
GS Asia underwrote 15,300,000 ADS representing an
aggregate offering price of approximately $184 million.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Investment Management Services
Group Inc. and certain of its affiliates are parties to various
civil litigation and arbitration proceedings and otherdisputes with clients relating to losses allegedly sustained asa result of the firm’s investment management services.
These claims generally seek, among other things, restitution
or other compensatory damages and, in some cases,
punitive damages.
Securities Lending Antitrust Litigation
Group Inc. and GS&Co. are among the defendants namedin a putative antitrust class action and three individual
actions relating to securities lending practices filed in the
U.S. District Court for the Southern District of New York
beginning in August 2017. The complaints generally assert
claims under federal and state antitrust law and statecommon law in connection with an alleged conspiracy
among the defendants to preclude the development ofelectronic platforms for securities lending transactions. The
individual complaints also assert claims for tortious
interference with business relations and under state tradepractices law and, in the second and third individual
actions, unjust enrichment under state common law. The
complaints seek declaratory and injunctive relief, as well as
unspecified amounts of compensatory, treble, punitive andother damages. Group Inc. was voluntarily dismissed fromthe putative class action on January 26, 2018. Defendants’
motion to dismiss the class action complaint was denied on
September 27, 2018. Defendants’ motion to dismiss thefirst individual action was granted on August 7, 2019. The
plaintiffs in the putative class action moved for classcertificationon
February
22,
2021.
On
September 30, 2021, the defendants’ motion to dismiss thesecond and third individual actions, which wereconsolidated in June 2019, was granted. On
October 25, 2021, the plaintiff in the second individual
action appealed to the Second Circuit Court of Appeals.
Variable Rate Demand Obligations Antitrust
Litigation
GS&Co. is among the defendants named in a putative classaction relating to variable rate demand obligations(VRDOs), filed beginning in February 2019 under separate
complaints and consolidated in the U.S. District Court for
the Southern District of New York. The consolidated
amended complaint, filed on May 31, 2019, generally
asserts claims under federal antitrust law and state common
law in connection with an alleged conspiracy among thedefendants to manipulate the market for VRDOs. The
complaint seeks declaratory and injunctive relief, as well as
unspecified amounts of compensatory, treble and otherdamages. On November 2, 2020, the court granted in partand denied in part the defendants’ motion to dismiss,dismissing the state common law claims against GS&Co.,
but denying dismissal of the federal antitrust law claims.

GS&Co. is also among the defendants named in a related
putative class action filed on June 2, 2021 in the U.S. District
Court for the Southern District of New York. The complaint
alleges the same conspiracy in the market for VRDOs as that
alleged in the consolidated amended complaint filed on
May 31, 2019, and asserts federal antitrust law, state law
and state common law claims against the defendants. The
complaint seeks declaratory and injunctive relief, as well as
unspecified amounts of compensatory, treble and otherdamages. On August 4, 2021, plaintiffs in the May 31, 2019
action filed an amended complaint consolidating theJune 2, 2021 action with the May 31, 2019 action. On
September 14, 2021, defendants filed a joint partial motion
to dismiss the August 4, 2021 amended consolidated
complaint.
Interest Rate Swap Antitrust Litigation
Group Inc., GS&Co., GSI, GS Bank USA and Goldman
Sachs Financial Markets, L.P. are among the defendants
named in a putative antitrust class action relating to the
trading of interest rate swaps, filed in November 2015 andconsolidated in the U.S. District Court for the Southern
District of New York. The same Goldman Sachs entities
also are among the defendants named in two antitrust
actions relating to the trading of interest rate swaps,
commenced in April 2016 and June 2018, respectively, in
the U.S. District Court for the Southern District of New
York by three operators of swap execution facilities andcertain of their affiliates. These actions have been
consolidated for pretrial proceedings. The complaints
generally assert claims under federal antitrust law and statecommon law in connection with an alleged conspiracy
among the defendants to preclude exchange trading ofinterest rate swaps. The complaints in the individual actions
also assert claims under state antitrust law. The complaints
seek declaratory and injunctive relief, as well as treble
damages in an unspecified amount. Defendants moved todismiss the class and the first individual action and the
district court dismissed the state common law claims
asserted by the plaintiffs in the first individual action andotherwise limited the state common law claim in theputative class action and the antitrust claims in both actions
to the period from 2013 to 2016. On November 20, 2018,
the court granted in part and denied in part the defendants’
motion to dismiss the second individual action, dismissing
the state common law claims for unjust enrichment andtortious interference, but denying dismissal of the federal
and state antitrust claims. On March 13, 2019, the court
denied the plaintiffs’ motion in the putative class action toamend their complaint to add allegations related to 20082012 conduct, but granted the motion to add limited
allegations from 2013-2016, which the plaintiffs added in a
fourth consolidated amended complaint filed on
March 22, 2019. The plaintiffs in the putative class action
moved for class certification on March 7, 2019.
Goldman Sachs September 2021 Form 10-Q

92

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Commodities-Related Litigation
GSI is among the defendants named in putative classactions relating to trading in platinum and palladium, filed
beginning on November 25, 2014 and most recently
amended on May 15, 2017, in the U.S. District Court for
the Southern District of New York. The amended
complaint generally alleges that the defendants violated
federal antitrust laws and the Commodity Exchange Act inconnection with an alleged conspiracy to manipulate abenchmark for physical platinum and palladium prices andseek declaratory and injunctive relief, as well as treble
damages in an unspecified amount. On March 29, 2020,
the court granted the defendants’ motions to dismiss andfor reconsideration, resulting in the dismissal of all claims.
On April 27, 2020, plaintiffs appealed to the Second Circuit
Court of Appeals.
GS&Co., GSI, J. Aron & Company and Metro
International Trade Services (Metro), a previously
consolidated subsidiary of Group Inc. that was sold in the
fourth quarter of 2014, are among the defendants in a
number of putative class and individual actions filed
beginning on August 1, 2013 and consolidated in the U.S.
District Court for the Southern District of New York. The
complaints generally allege violations of federal antitrust
laws and state laws in connection with the storage ofaluminum and aluminum trading. The complaints seek
declaratory, injunctive and other equitable relief, as well as
unspecified monetary damages, including treble damages.
In December 2016, the district court granted defendants’
motions to dismiss and on August 27, 2019, the Second
Circuit vacated the district court’s dismissals and remanded
the case to district court for further proceedings. On
July 23, 2020, the district court denied the class plaintiffs’
motion for class certification, and on December 16, 2020
the Second Circuit denied leave to appeal the denial. On
February 17, 2021, the district court granted defendants’
motion for summary judgment with respect to the claims of
most of the individual plaintiffs. On April 14, 2021, theplaintiffs appealed to the Second Circuit Court of Appeals.
In connection with the sale of Metro, the firm agreed toprovide indemnities to the buyer, including for any
potential liabilities for legal or regulatory proceedings
arising out of the conduct of Metro’s business while thefirm owned it.

93

Goldman Sachs September 2021 Form 10-Q

U.S. Treasury Securities Litigation
GS&Co. is among the primary dealers named as defendants
in several putative class actions relating to the market for
U.S. Treasury securities, filed beginning in July 2015 andconsolidated in the U.S. District Court for the Southern
District of New York. GS&Co. is also among the primary
dealers named as defendants in a similar individual action
filed in the U.S. District Court for the Southern District of
New York on August 25, 2017. The consolidated classaction complaint, filed on December 29, 2017, generally
alleges that the defendants violated antitrust laws inconnection with an alleged conspiracy to manipulate thewhen-issued market and auctions for U.S. Treasury
securities and that certain defendants, including GS&Co.,
colluded to preclude trading of U.S. Treasury securities onelectronic trading platforms in order to impede competitionin the bidding process. The individual action alleges asimilar conspiracy regarding manipulation of the whenissued market and auctions, as well as related futures andoptions in violation of the Commodity Exchange Act. The
complaints seek declaratory and injunctive relief, treble
damages in an unspecified amount and restitution.
Defendants’ motion to dismiss was granted on
March 31, 2021. On May 14, 2021, plaintiffs filed anamended complaint. On June 14, 2021, defendants filed amotion to dismiss the amended complaint.
Corporate Bonds Antitrust Litigation
Group Inc. and GS&Co. are among the dealers named as
defendants in a putative class action relating to thesecondary market for odd-lot corporate bonds, filed on
April 21, 2020 in the U.S. District Court for the Southern
District of New York. The amended consolidated
complaint, filed on October 29, 2020, asserts claims underfederal antitrust law in connection with alleged anticompetitive conduct by the defendants in the secondary
market for odd-lots of corporate bonds, and seeks
declaratory and injunctive relief, as well as unspecified
monetary damages, including treble and punitive damages
and restitution. On October 25, 2021, the court granted
defendants’ motion to dismiss with prejudice.
Credit Default Swap Antitrust Litigation
Group Inc., GS&Co. and GSI are among the defendants
named in a putative antitrust class action relating to thesettlement of credit default swaps, filed on June 30, 2021 in
the U.S. District Court for the District of New Mexico. The
complaint generally asserts claims under federal antitrust
law and the Commodity Exchange Act in connection withan alleged conspiracy among the defendants to manipulate
the benchmark price used to value credit default swaps forsettlement. The complaint also asserts a claim for unjust
enrichment under state common law. The complaint seeks
declaratory and injunctive relief, as well as unspecified
amounts of treble and other damages.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Consolidated Financial Statements(Unaudited)
Employment-Related Matters
On September 15, 2010, a putative class action was filed in
the U.S. District Court for the Southern District of New
York by three female former employees. The complaint, as
subsequently amended, alleges that Group Inc. and
GS&Co. have systematically discriminated against female
employees in respect of compensation, promotion andperformance evaluations. The complaint alleges a classconsisting of all female employees employed at specified
levels in specified areas by Group Inc. and GS&Co. since
July 2002, and asserts claims under federal and New York
City discrimination laws. The complaint seeks class action
status, injunctive relief and unspecified amounts ofcompensatory, punitive and other damages.
On March 30, 2018, the district court certified a damages
class as to the plaintiffs’ disparate impact and treatment
claims. On September 4, 2018, the Second Circuit Court ofAppeals denied defendants’ petition for interlocutory
review of the district court’s class certification decision andsubsequently denied defendants’ petition for rehearing. On
September 27, 2018, plaintiffs advised the district courtthat they would not seek to certify a class for injunctive anddeclaratory relief. On March 26, 2020, the Magistrate
Judge in the district court granted in part a motion tocompel arbitration as to class members who are parties tocertain agreements with Group Inc. and/or GS&Co. in
which they agreed to arbitrate employment-related
disputes. On April 16, 2020, plaintiffs submitted objections
to the Magistrate Judge’s order and defendants submitted
conditional objections in the event that the district judge
overturned any portion of the Magistrate Judge’s order. On
July 22, 2021, defendants filed a motion to decertify theclass. On August 9, 2021, plaintiffs filed a motion forpartial summary judgment as to a portion of a disparate
impact claim, and defendants filed a motion for summary
judgment as to plaintiff’s disparate impact and treatment
claims. On September 15, 2021, the district court affirmed
the decision of the Magistrate Judge to compel arbitration.
Regulatory Investigations and Reviews and Related
Litigation
Group Inc. and certain of its affiliates are subject to anumber of other investigations and reviews by, and in somecases have received subpoenas and requests for documents
and information from, various governmental andregulatory bodies and self-regulatory organizations andlitigation and shareholder requests relating to various
matters relating to the firm’s businesses and operations,
including:‰ Research practices, including research independence andinteractions between research analysts and other firm
personnel, including investment banking personnel, as
well as third parties;‰ Transactions involving government-related financingsand other matters, municipal securities, including wallcross procedures and conflict of interest disclosure withrespect to state and municipal clients, the trading andstructuring of municipal derivative instruments inconnection with municipal offerings, politicalcontribution rules, municipal advisory services and thepossible impact of credit default swap transactions onmunicipal issuers;‰ Consumer lending, as well as residential mortgage
lending, servicing and securitization, and compliancewith related consumer laws;‰ The offering, auction, sales, trading and clearance ofcorporate and government securities, currencies,
commodities and other financial products and related
sales and other communications and activities, as well as
the firm’s supervision and controls relating to suchactivities, including compliance with applicable short salerules, algorithmic, high-frequency and quantitative
trading, the firm’s U.S. alternative trading system (darkpool), futures trading, options trading, when-issued
trading, transaction reporting, technology systems andcontrols, securities lending practices, prime brokerage
activities, trading and clearance of credit derivative
instruments and interest rate swaps, commodities
activities and metals storage, private placement practices,
allocations of and trading in securities, and trading
activities and communications in connection with theestablishment of benchmark rates, such as currency rates;‰ Compliance with the FCPA;‰ The firm’s hiring and compensation practices;‰ The firm’s system of risk management and controls; and‰ Insider trading, the potential misuse and dissemination ofmaterial nonpublic information regarding corporate andgovernmental developments and the effectiveness of thefirm’s insider trading controls and information barriers.
The firm is cooperating with all such governmental andregulatory investigations and reviews.

‰ The securities offering process and underwriting practices;‰ The firm’s investment management and financial advisory
services;‰ Conflicts of interest;
Goldman Sachs September 2021 Form 10-Q

94

Report of Independent Registered Public
Accounting Firm
To the Board of Directors and the Shareholders of The
Goldman Sachs Group, Inc.:
Results of Review of Interim Financial Statements
We have reviewed the accompanying consolidated balance
sheet of The Goldman Sachs Group, Inc. and its
subsidiaries (the Company) as of September 30, 2021, therelated consolidated statements of earnings, comprehensive
income and changes in shareholders’ equity for the threeand nine month periods ended September 30, 2021 and2020, and the consolidated statements of cash flows for thenine month periods ended September 30, 2021 and 2020,
including the related notes (collectively referred to as the“interim financial statements”). Based on our reviews, weare not aware of any material modifications that should bemade to the accompanying interim financial statements forthem to be in conformity with accounting principles
generally accepted in the United States of America.
We have previously audited, in accordance with thestandards of the Public Company Accounting Oversight
Board (United States) (PCAOB), the consolidated balance
sheet of the Company as of December 31, 2020, and therelated consolidated statements of earnings, comprehensive
income, changes in shareholders’ equity and cash flows forthe year then ended (not presented herein), and in ourreport dated February 19, 2021, which included aparagraph describing a change in the manner of accounting
for credit losses on certain financial instruments in the 2020
consolidated financial statements, we expressed an
unqualified opinion on those consolidated financial
statements. In our opinion, the information set forth in theaccompanying consolidated balance sheet as ofDecember 31, 2020 is fairly stated in all material respects inrelation to the consolidated balance sheet from which it has
been derived.

95

Goldman Sachs September 2021 Form 10-Q

Basis for Review Results
These interim financial statements are the responsibility of
the Company’s management. We are a public accounting
firm registered with the PCAOB and are required to be
independent with respect to the Company in accordancewith the U.S. federal securities laws and the applicable rules
and regulations of the Securities and Exchange Commission
and the PCAOB. We conducted our review in accordancewith the standards of the PCAOB. A review of interim
financial information consists principally of applying
analytical procedures and making inquiries of persons
responsible for financial and accounting matters. It is
substantially less in scope than an audit conducted inaccordance with the standards of the PCAOB, the objectiveof which is the expression of an opinion regarding thefinancial statements taken as a whole. Accordingly, we do
not express such an opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
October 29, 2021

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Statistical Disclosures
Distribution of Assets, Liabilities and Shareholders’EquityThe tables below present information about averagebalances, interest and average interest rates.
$ in millions

Average Balance for theThree Months
Ended September$ in millions

2021

2020

Nine Months
Ended September
2021

2020

AssetsU.S.
$ 111,594 $ 55,851 $ 99,735 $ 55,314
Non-U.S.
113,906
72,055
93,17968,199Deposits with banks
225,500 127,906 192,914 123,513
U.S.
220,289 133,473 201,353 136,144
Non-U.S.
148,367 117,093 133,384 122,170
Collateralized agreements
368,656 250,566 334,737 258,314
U.S.
165,341 210,276 173,691 200,618
Non-U.S.
135,757 129,300 135,784 118,373
Trading assets
301,098 339,576 309,475 318,991
U.S.
70,56660,65069,84952,840
Non-U.S.
18,65817,554
18,66017,150Investments
89,22478,20488,50969,990U.S.
112,818
93,058 103,414
95,200
Non-U.S.
21,652
19,433
21,406
18,675Loans
134,470 112,491 124,820 113,875
U.S.
98,92956,252
93,67753,966
Non-U.S.
55,161
44,02654,45944,700
Other interest-earning assets
154,090 100,278 148,136
98,666
Interest-earning assets
1,273,038 1,009,021 1,198,591 983,349
Cash and due from banks
9,569
10,418
11,053
10,687
Other non-interest-earning assets
126,506 120,849 129,226 114,444
Assets$1,409,113 $1,140,288 $1,338,870 $1,108,480
Liabilities
U.S.
$ 239,996 $ 205,202 $ 220,106 $ 183,925
Non-U.S.
75,85354,81971,42051,863
Interest-bearing deposits
315,849 260,021 291,526 235,788
U.S.
111,01272,344 106,427
75,744
Non-U.S.
82,501
32,43568,522
34,972
Collateralized financings
193,513 104,779 174,949 110,716
U.S.
68,80347,664
71,691
41,063
Non-U.S.
76,562
58,18073,15453,264
Trading liabilities
145,365 105,844 144,845
94,327
U.S.
31,24832,92033,99334,811
Non-U.S.
34,09722,47535,492
20,528
Short-term borrowings
65,34555,39569,48555,339U.S.
224,645 199,900 213,048 200,563
Non-U.S.
30,57732,62429,35730,892Long-term borrowings
255,222 232,524 242,405 231,455
U.S.
143,807 123,990 134,356 131,000
Non-U.S.
88,10365,00582,52264,910
Other interest-bearing liabilities 231,910 188,995 216,878 195,910
Interest-bearing liabilities
1,207,204 947,558 1,140,088 923,535
Non-interest-bearing deposits
5,822
6,931
6,120
6,555
Other non-interest-bearing liabilities
92,48894,85792,99787,347
Liabilities
1,305,514 1,049,346 1,239,205 1,017,437
Shareholders’ equity
Preferred stock
9,766
11,203
9,628
11,203
Common stock
93,83379,73990,037
79,840Shareholders’ equity
103,599
90,942
99,66591,043Liabilities and shareholders’ equity $1,409,113 $1,140,288 $1,338,870 $1,108,480

Percentage attributable to non-U.S. operations
Interest-earning assets
38.77% 39.59%
Interest-bearing liabilities
32.11% 28.02%

38.12%
31.62%

Interest for theThree Months
Ended September
2021

AssetsU.S.
Non-U.S.
Deposits with banks
U.S.
Non-U.S.
Collateralized agreements
U.S.
Non-U.S.
Trading assets
U.S.
Non-U.S.
Investments
U.S.
Non-U.S.
Loans
U.S.
Non-U.S.
Other interest-earning assets
Interest-earning assets

2020

Nine Months
Ended September
2021

2020

$

46 $ 24 $ 101 $ 201(59)(13) (110)
33
(13)
11
(9)
234
(85)
3
(254)
456
(135)
(70) (397)
(5)
(220)
(67) (651)451
747
805 2,185
2,794
483
371 1,368
1,212
1,230
1,176 3,553
4,006
210
261
792
826
148
143
451
370
358
404 1,243
1,196
1,139
949 3,215
3,093
224
204
663
598
1,363
1,153 3,878
3,691
329
210
909
850
70
45
187
288
399
255 1,096
1,138$3,117 $2,932 $9,110 $10,716

Liabilities
U.S.
$ 265 $ 411 $ 822 $ 1,628
Non-U.S.
54
94
156
354
Interest-bearing deposits
319
505
978
1,982
U.S.
50
47
109
504
Non-U.S.
(17)
3
(68)
66
Collateralized financings
33
50
41
570
U.S.
214
119
479
346
Non-U.S.
281
226
761
585
Trading liabilities
495
345 1,240
931
U.S.
103
111
391
392
Non-U.S.
12
13
42
31
Short-term borrowings
115
124
433
423
U.S.
823
948 2,413
3,122
Non-U.S.
20
33
64
95
Long-term borrowings
843
981 2,477
3,217
U.S.
(188)
(159) (608)106
Non-U.S.
(64)
2
(126)
146
Other interest-bearing liabilities(252)(157) (734)252Interest-bearing liabilities$1,553 $1,848 $4,435 $ 7,375
Net interest income
U.S.
Non-U.S.
Net interest income$1,119 $ 775 $3,342 $ 2,122445
309 1,333
1,219$1,564 $1,084 $4,675 $ 3,341

39.59%
27.77%

Goldman Sachs September 2021 Form 10-Q

96

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Statistical Disclosures
Annualized Average Rate for theThree Months
Ended September

Nine Months
Ended September

2021

2020

2021

2020

AssetsU.S.
Non-U.S.
Deposits with banks
U.S.
Non-U.S.
Collateralized agreements
U.S.
Non-U.S.
Trading assets
U.S.
Non-U.S.
Investments
U.S.
Non-U.S.
Loans
U.S.
Non-U.S.
Other interest-earning assets
Interest-earning assets

0.16%(0.21)%(0.02)%(0.15)%(0.36)%(0.24)%
1.79%
1.41%
1.62%
1.18%
3.15%
1.59%
4.01%
4.10%
4.02%
1.32%
0.50%
1.03%
0.97%

0.17%
(0.07)%
0.03%
0.01%(0.24)%(0.11)%
1.52%
1.14%
1.38%
1.71%
3.24%
2.06%
4.06%
4.18%
4.08%
1.49%
0.41%
1.01%
1.16%

0.14%
(0.16)%(0.01)%(0.17)%(0.40)%(0.26)%
1.68%
1.35%
1.53%
1.52%
3.23%
1.88%
4.16%
4.14%
4.15%
1.30%
0.46%
0.99%
1.02%

0.49%
0.06%
0.25%
0.45%
(0.01)%
0.23%
1.86%
1.37%
1.68%
2.09%
2.88%
2.28%
4.34%
4.28%
4.33%
2.10%
0.86%
1.54%
1.46%

Liabilities
U.S.
Non-U.S.
Interest-bearing deposits
U.S.
Non-U.S.
Collateralized financings
U.S.
Non-U.S.
Trading liabilities
U.S.
Non-U.S.
Short-term borrowings
U.S.
Non-U.S.
Long-term borrowings
U.S.
Non-U.S.
Other interest-bearing liabilities
Interest-bearing liabilities

0.44%
0.28%
0.40%
0.18%
(0.08)%
0.07%
1.23%
1.46%
1.35%
1.31%
0.14%
0.70%
1.45%
0.26%
1.31%
(0.52)%(0.29)%(0.43)%
0.51%

0.80%
0.68%
0.77%
0.26%
0.04%
0.19%
0.99%
1.55%
1.30%
1.34%
0.23%
0.89%
1.89%
0.40%
1.68%
(0.51)%
0.01%(0.33)%
0.78%

0.50%
0.29%
0.45%
0.14%
(0.13)%
0.03%
0.89%
1.39%
1.14%
1.54%
0.16%
0.83%
1.51%
0.29%
1.37%
(0.61)%(0.20)%(0.45)%
0.52%

1.18%
0.91%
1.12%
0.89%
0.25%
0.69%
1.13%
1.47%
1.32%
1.50%
0.20%
1.02%
2.08%
0.41%
1.86%
0.11%
0.30%
0.17%
1.07%

Interest rate spread
U.S.
Non-U.S.
Net yield on interest-earning assets

0.46%
0.57%
0.36%
0.49%

0.38%
0.51%
0.31%
0.43%

0.50%
0.60%
0.39%
0.52%

0.39%
0.48%
0.42%
0.45%

97

Goldman Sachs September 2021 Form 10-Q

In the tables above:‰ Assets, liabilities and interest are classified as U.S. andnon-U.S. based on the location of the legal entity in which
the assets and liabilities are held.
‰ Derivative instruments and commodities are included inother non-interest-earning assets and other non-interestbearing liabilities.
‰ Other interest-earning assets primarily consists ofreceivables from customers and counterparties.
‰ Collateralized financings consists of securities sold underagreements to repurchase and securities loaned.
‰ Substantially all of the other interest-bearing liabilities
consists of payables to customers and counterparties.
‰ Interest rates for borrowings include the effects of interest
rate swaps accounted for as hedges.
‰ Loans exclude loans held for sale that are accounted for at
the lower of cost or fair value. Such loans are included
within other interest-earning assets.
‰ Short- and long-term borrowings include both secured
and unsecured borrowings.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis

Item 2. Management’s Discussion
and Analysis of Financial Condition
and Results of Operations
Introduction

Executive Overview

The Goldman Sachs Group, Inc. (Group Inc. or parent
company), a Delaware corporation, together with its
consolidated subsidiaries, 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 anddiversified client base that includes corporations, financial
institutions, governments and individuals. Founded in
1869, we are headquartered in New York and maintain
offices in all major financial centers around the world. We
report our activities in four business segments: Investment
Banking, Global Markets, Asset Management, andConsumer & Wealth Management. See “Results ofOperations” for further information about our businesssegments.

Three Months Ended September 2021 versus
September 2020. We generated net earnings of$5.38 billion for the third quarter of 2021, an increase of
60% compared with $3.37 billion for the third quarter of2020. Diluted earnings per common share (EPS) was$14.93 for the third quarter of 2021, an increase of 66%
compared with $8.98 for the third quarter of 2020.
Annualized return on average common shareholders’ equity(ROE) was 22.5% for the third quarter of 2021, comparedwith 16.2% for the third quarter of 2020. Book value percommon share was $277.25 as of September 2021, 4.7%
higher compared with June 2021 and 17.4% higher
compared with December 2020.

When we use the terms “we,” “us” and “our,” we mean
Group Inc. and its consolidated subsidiaries. When we use
the term “our subsidiaries,” we mean the consolidated
subsidiaries of Group Inc.
Group Inc. is a bank holding company (BHC) and afinancial holding company regulated by the Board ofGovernors of the Federal Reserve System (FRB).
This Management’s Discussion and Analysis of Financial
Condition and Results of Operations should be read in
conjunction with our Annual Report on Form 10-K for theyear ended December 31, 2020. References to “the 2020
Form 10-K” are to our Annual Report on Form 10-K forthe year ended December 31, 2020. References to “thisForm 10-Q” are to our Quarterly Report on Form 10-Q for
the quarterly period ended September 30, 2021. All
references to “the consolidated financial statements” or“Statistical Disclosures” are to Part I, Item 1 of thisForm 10-Q. The consolidated financial statements are
unaudited. All references to September 2021, June 2021
and September 2020 refer to our periods ended, or thedates, as the context requires, September 30, 2021,
June 30, 2021 and September 30, 2020, respectively. All
references to December 2020 refer to the date
December 31, 2020. Any reference to a future year refers toa year ending on December 31 of that year. Certain
reclassifications have been made to previously reported
amounts to conform to the current presentation.

Net revenues were $13.61 billion for the third quarter of2021, 26% higher than the third quarter of 2020, due tosignificantly higher net revenues in Investment Banking,primarily reflecting strong Financial advisory andUnderwriting net revenues, in Global Markets, reflecting
significantly higher net revenues in Equities, and inConsumer & Wealth Management, reflecting growth inboth Wealth management and Consumer banking net
revenues. These increases were partially offset by lower net
revenues in Asset Management, primarily driven bysignificantly lower net revenues in Equity investments.
Provision for credit losses was $175 million for the third
quarter of 2021, compared with $278 million for the third
quarter of 2020. The third quarter of 2021 primarilyreflected provisions related to portfolio growth (primarily
in credit cards), while the third quarter of 2020 reflected
reserve increases from individual impairments related towholesale loans and growth in credit card loans, partially
offset by reserve reductions from paydowns on corporatelines of credit and consumer installment loans.
Operating expenses were $6.59 billion for the third quarterof 2021, 6% higher than the third quarter of 2020, due tohigher technology expenses, professional fees, transaction
based expenses and market development expenses, partially
offset by significantly lower net provisions for litigation andregulatory proceedings. Our efficiency ratio (total
operating expenses divided by total net revenues) for thethird quarter of 2021 was 48.4%, compared with 57.5%
for the third quarter of 2020.

Goldman Sachs September 2021 Form 10-Q

98

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
During the third quarter of 2021, we returned $1.70 billionof capital to common shareholders, including $1.00 billionof common stock repurchases and $700 million of common
stock dividends. As of September 2021, our Common
Equity Tier 1 (CET1) capital ratio was 14.1% under theStandardized Capital Rules and 13.9% under the Advanced
Capital Rules. See Note 20 to the consolidated financial
statements for further information about our capital ratios.
We announced two strategic acquisitions during thequarter, the pending acquisition of NN Investment Partners
in our Asset Management business and the pending
acquisition of GreenSky, Inc. (GreenSky) in our Consumer
banking business. These acquisitions accelerate our strategy
to drive higher, more durable returns, and both acquisitions
are expected to close by the end of the first quarter of 2022.
Nine Months Ended September 2021 versus
September 2020. We generated net earnings of$17.70 billion for the first nine months of 2021,
significantly higher compared with $4.95 billion for the
first nine months of 2020. Diluted EPS was $48.59 for the
first nine months of 2021, significantly higher comparedwith $12.65 for the first nine months of 2020. Annualized
ROE was 25.7% for the first nine months of 2021,
compared with 7.6% for the first nine months of 2020.
In the first nine months of 2020, net provisions forlitigation and regulatory proceedings reduced diluted EPS
by $9.46 and annualized ROE by 5.5 percentage points.
Net revenues were $46.70 billion for the first nine monthsof 2021, 42% higher than the first nine months of 2020,reflecting higher net revenues across all segments. Net
revenues were significantly higher in Asset Management,
primarily reflecting strong Equity investments and Lending
and debt investments net revenues, in Investment Banking,primarily reflecting strong Financial advisory andUnderwriting net revenues, and in Consumer & WealthManagement, reflecting growth in both Wealthmanagement and Consumer banking net revenues. Net
revenues were higher in Global Markets, reflecting strong
net revenues in Equities, partially offset by lower net
revenues in Fixed Income, Currency and Commodities(FICC) compared with a strong prior year period.
Provision for credit losses was $13 million for the first ninemonths of 2021, compared with $2.81 billion for the firstnine months of 2020. The first nine months of 2021
included provisions related to portfolio growth (primarily
in credit cards, including provisions related to the pending
acquisition of the General Motors co-branded credit card
portfolio), largely offset by reserve reductions on wholesaleand consumer loans reflecting continued improvement in
the broader economic environment following challenging
conditions in the first nine months of 2020 as a result of thecoronavirus (COVID-19) pandemic.
99

Goldman Sachs September 2021 Form 10-Q

Operating expenses were $24.67 billion for the first ninemonths of 2021, 7% higher than the first nine months of
2020, reflecting significantly higher compensation andbenefits expenses (reflecting strong performance), partially
offset by lower non-compensation expenses. Within
non-compensation expenses, net provisions for litigation
and regulatory proceedings were significantly lower,
partially offset by higher transaction based expenses andhigher technology expenses. Our efficiency ratio for the
first nine months of 2021 was 52.8%, compared with
70.3% for the first nine months of 2020. In the first ninemonths of 2020, net provisions for litigation and regulatory
proceedings increased our efficiency ratio by
10.3 percentage points.
During the first nine months of 2021, we returned$6.29 billion of capital to common shareholders, including$4.70 billion of common stock repurchases and$1.59 billion of common stock dividends.

Business Environment
In the third quarter of 2021, the global economy continued
its recovery amid solid fundamentals in the current
operating environment, but there was emerging uncertainty
around a number of factors. On the positive side, fiscal andmonetary policy remained accommodative and COVID-19
vaccination rates continued to rise around the world.
However, inflationary pressures alongside supply chain
complications and the lack of progress on U.S. economic
policy, including discussions on infrastructure investment,
the federal debt ceiling and tax increases, were concerns
during the quarter. Within the context of this environment,
global equity markets remained stable and near all-timehighs, long-term government bond yields were higher andmarket volatility was generally range-bound.
Despite broad improvements in the overall economy since
the initial impact of the COVID-19 pandemic, uncertainty
remains on the pace of the recovery going forward,
reflecting concerns about virus resurgence from the Delta
variant and other virus mutations, vaccine distribution andvaccination rates, inflation, supply chain complications,and geopolitical risks. See “Results of Operations —Segment Assets and Operating Results — Segment
Operating Results” for further information about theoperating environment for each of our business segments.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Critical Accounting Policies
Fair Value
Fair Value Hierarchy. Trading assets and liabilities, certain
investments and loans, and certain other financial assets andliabilities, are included in our consolidated balance sheets atfair value (i.e., marked-to-market), with related gains orlosses generally recognized in our consolidated statements ofearnings. The use of fair value to measure financial
instruments is fundamental to our risk management practices
and is our most critical accounting policy.
The fair value of a financial instrument is the amount thatwould be received to sell an asset or paid to transfer aliability in an orderly transaction between market
participants at the measurement date. We measure certain
financial assets and liabilities as a portfolio (i.e., based on
its net exposure to market and/or credit risks). In
determining fair value, the hierarchy under U.S. generally
accepted accounting principles (U.S. GAAP) gives (i) the
highest priority to unadjusted quoted prices in active
markets for identical, unrestricted assets or liabilities(level 1 inputs), (ii) the next priority to inputs other thanlevel 1 inputs that are observable, either directly or
indirectly (level 2 inputs), and (iii) the lowest priority to
inputs that cannot be observed in market activity (level 3
inputs). In evaluating the significance of a valuation input,
we consider, among other factors, a portfolio’s net risk
exposure to that input. Assets and liabilities are classified intheir entirety based on the lowest level of input that issignificant to their fair value measurement.
The fair values for substantially all of our financial assets andliabilities are based on observable prices and inputs and areclassified in levels 1 and 2 of the fair value hierarchy. Certain
level 2 and level 3 financial assets and liabilities may requireappropriate valuation adjustments that a market participant
would require to arrive at fair value for factors, such ascounterparty and our credit quality, funding risk, transfer
restrictions, liquidity and bid/offer spreads.
Instruments classified in level 3 of the fair value hierarchy
are those which require one or more significant inputs thatare not observable. Level 3 financial assets represented
1.6% as of September 2021, 1.8% as of June 2021 and2.3% as of December 2020, of our total assets. See Notes 4
through 10 to the consolidated financial statements forfurther information about level 3 financial assets, includingchanges in level 3 financial assets and related fair value
measurements. Absent evidence to the contrary,
instruments classified in level 3 of the fair value hierarchy
are initially valued at transaction price, which is considered
to be the best initial estimate of fair value. Subsequent to thetransaction date, we use other methodologies to determine
fair value, which vary based on the type of instrument.
Estimating the fair value of level 3 financial instruments
requires judgments to be made. These judgments include:‰ Determining the appropriate valuation methodology and/or model for each type of level 3 financial instrument;‰ Determining model inputs based on an evaluation of all
relevant empirical market data, including prices
evidenced by market transactions, interest rates, credit
spreads, volatilities and correlations; and‰ Determining
appropriate
valuation
adjustments,
including those related to illiquidity or counterparty
credit quality.
Regardless of the methodology, valuation inputs andassumptions are only changed when corroborated bysubstantive evidence.
Controls Over Valuation of Financial Instruments.
Market makers and investment professionals in ourrevenue-producing units are responsible for pricing ourfinancial instruments. Our control infrastructure isindependent of the revenue-producing units and isfundamental to ensuring that all of our financial
instruments are appropriately valued at market-clearing
levels. In the event that there is a difference of opinion insituations where estimating the fair value of financial
instruments requires judgment (e.g., calibration to market
comparables or trade comparison, as described below), thefinal valuation decision is made by senior managers inindependent risk oversight and control functions. This
independent price verification is critical to ensuring that our
financial instruments are properly valued.
Price Verification. All financial instruments at fair value
classified in levels 1, 2 and 3 of the fair value hierarchy are
subject to our independent price verification process. The
objective of price verification is to have an informed andindependent opinion with regard to the valuation offinancial instruments under review. Instruments that haveone or more significant inputs which cannot be
corroborated by external market data are classified inlevel 3 of the fair value hierarchy. Price verification
strategies utilized by our independent risk oversight andcontrol functions include:‰ Trade Comparison. Analysis of trade data (both internaland external, where available) is used to determine themost relevant pricing inputs and valuations.
‰ External Price Comparison. Valuations and prices arecompared to pricing data obtained from third parties (e.g.,brokers or dealers, IHS Markit, Bloomberg, IDC,
TRACE). Data obtained from various sources is compared
to ensure consistency and validity. When broker or dealer
quotations or third-party pricing vendors are used forvaluation or price verification, greater priority is generally
given to executable quotations.
Goldman Sachs September 2021 Form 10-Q 100

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis‰ Calibration to Market Comparables. Market-basedtransactions are used to corroborate the valuation of
positions with similar characteristics, risks andcomponents.
‰ Relative Value Analyses. Market-based transactions
are analyzed to determine the similarity, measured interms of risk, liquidity and return, of one instrument
relative to another or, for a given instrument, of one
maturity relative to another.
‰ Collateral Analyses. Margin calls on derivatives areanalyzed to determine implied values, which are used tocorroborate our valuations.
‰ Execution of Trades. Where appropriate, marketmaking desks are instructed to execute trades in order toprovide evidence of market-clearing levels.
‰ Backtesting. Valuations are corroborated
comparison to values realized upon sales.

by

See Note 4 to the consolidated financial statements forfurther information about fair value measurements.
Review of Net Revenues. Independent risk oversight andcontrol functions ensure adherence to our pricing policy
through a combination of daily procedures, including the
explanation and attribution of net revenues based on theunderlying factors. Through this process, we independently
validate net revenues, identify and resolve potential fairvalue or trade booking issues on a timely basis and seek toensure that risks are being properly categorized andquantified.
Review of Valuation Models. Our independent model
risk management group (Model Risk), consisting ofquantitative professionals who are separate from model
developers, performs an independent model review andvalidation process of our valuation models. New orchanged models are reviewed and approved prior to
implementation. Models are reviewed annually to assess theimpact of any changes in the product or market and any
market developments in pricing theories. See “RiskManagement — Model Risk Management” for further
information about the review and validation of ourvaluation models.

Allowance for Credit Losses
We estimate and record an allowance for credit losses related
to our loans held for investment that are accounted for atamortized cost. To determine the allowance for credit losses,
we classify our loans accounted for at amortized cost into
wholesale and consumer portfolios. These portfolios
represent the level at which we have developed anddocumented our methodology to determine the allowancefor credit losses. The allowance for credit losses is measured
on a collective basis for loans that exhibit similar risk
characteristics using a modeled approach and asset-specificbasis for loans that do not share similar risk characteristics.
The allowance for credit losses also includes qualitative
components which allow management to reflect theuncertain nature of economic forecasting, capture
uncertainty regarding model inputs, and account for model
imprecision and concentration risk. The determination ofallowance for credit losses entails significant judgment onvarious risk factors. Risk factors for wholesale loans include
internal credit ratings, industry default and loss data,
expected
life,
macroeconomic
indicators(e.g.,
unemployment rates and GDP), the borrower’s capacity tomeet its financial obligations, the borrower’s country of risk
and industry, loan seniority and collateral type. In addition,
for loans backed by real estate, risk factors include
loan-to-value ratio, debt service ratio and home price index.
Risk factors for installment and credit card loans include Fair
Isaac Corporation (FICO) credit scores, delinquency status,
loan vintage and macroeconomic indicators.
Our estimate of credit losses entails judgment aboutcollectability at the reporting dates, and there areuncertainties inherent in those judgments. The allowance for
credit losses is subject to a governance process that involves
review and approval by senior management within our
independent risk oversight and control functions. Personnel
within our independent risk oversight and control functions
are responsible for forecasting the economic variables that
underlie the economic scenarios that are used in the modelingof expected credit losses. While we use the best information
available to determine this estimate, future adjustments tothe allowance may be necessary based on, among otherthings, changes in the economic environment or variances
between actual results and the original assumptions used.
Loans are charged off against the allowance for loan losses
when deemed to be uncollectible.
We also record an allowance for credit losses on lending
commitments which are held for investment that are
accounted for at amortized cost. Such allowance isdetermined using the same methodology as the allowance
for loan losses, while also taking into consideration theprobability of drawdowns or funding, and whether suchcommitments are cancellable by us. See Note 9 to theconsolidated financial statements for further information
about the allowance for credit losses.

101 Goldman Sachs September 2021 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Use of Estimates
U.S. GAAP requires us to make certain estimates andassumptions. In addition to the estimates we make inconnection with fair value measurements and the allowancefor credit losses on loans and lending commitments held forinvestment and accounted for at amortized cost, the use of
estimates and assumptions is also important in determining
discretionary compensation accruals, the accounting for
goodwill and identifiable intangible assets, provisions forlosses that may arise from litigation and regulatory
proceedings (including governmental investigations), andprovisions for losses that may arise from tax audits.
A substantial portion of our compensation and benefits
represents discretionary compensation, which is finalized at
year-end. We believe the most appropriate way to allocate
estimated year-end discretionary compensation amonginterim periods is in proportion to the net revenues earnedin such periods. In addition to the level of net revenues, ouroverall compensation expense in any given year is also
influenced by, among other factors, overall financial
performance, prevailing labor markets, business mix, thestructure of our share-based compensation programs andthe external environment.
Goodwill is assessed for impairment annually in the fourth
quarter or more frequently if events occur or circumstanceschange that indicate an impairment may exist. Whenassessing goodwill for impairment, first, a qualitative
assessment can be made to determine whether it is more
likely than not that the estimated fair value of a reporting
unit is less than its estimated carrying value. If the results of
the qualitative assessment are not conclusive, a quantitative
goodwill test is performed. Alternatively, a quantitative
goodwill test can be performed without performing aqualitative assessment.
Estimating the fair value of our reporting units requires
judgment. Critical inputs to the fair value estimates include
projected earnings and allocated equity. There is inherent
uncertainty in the projected earnings. The estimatedcarrying value of each reporting unit reflects an allocationof total shareholders’ equity and represents the estimatedamount of total shareholders’ equity required to support
the activities of the reporting unit under currently
applicable regulatory capital requirements. See Note 12 tothe consolidated financial statements for further
information about goodwill.
If we experience a prolonged or severe period of weakness
in the business environment, financial markets, ourperformance or our common stock price, or additional
increases in capital requirements, our goodwill could be
impaired in the future.

Identifiable intangible assets are tested for impairment
when events or changes in circumstances suggest that an
asset’s or asset group’s carrying value may not be fully
recoverable. Judgment is required to evaluate whether
indications of potential impairment have occurred, and totest intangible assets for impairment, if required. An
impairment is recognized if the estimated undiscounted
cash flows relating to the asset or asset group is less than thecorresponding carrying value. See Note 12 to theconsolidated financial statements for further information
about identifiable intangible assets.
We also estimate and provide for potential losses that may
arise out of litigation and regulatory proceedings to theextent that such losses are probable and can be reasonably
estimated. In addition, we estimate the upper end of therange of reasonably possible aggregate loss in excess of therelated reserves for litigation and regulatory proceedings
where we believe the risk of loss is more than slight. See
Notes 18 and 27 to the consolidated financial statements
for information about certain judicial, litigation andregulatory proceedings. Significant judgment is required in
making these estimates and our final liabilities may
ultimately be materially different. Our total estimatedliability in respect of litigation and regulatory proceedings isdetermined on a case-by-case basis and represents anestimate of probable losses after considering, among otherfactors, the progress of each case, proceeding orinvestigation, our experience and the experience of othersin similar cases, proceedings or investigations, and theopinions and views of legal counsel.
In accounting for income taxes, we recognize tax positionsin the financial statements only when it is more likely than
not that the position will be sustained on examination by
the relevant taxing authority based on the technical meritsof the position. See Note 24 to the consolidated financial
statements for further information about income taxes.

Recent Accounting Developments
See Note 3 to the consolidated financial statements for
information about Recent Accounting Developments.

Results of Operations
The composition of our net revenues has varied over time asfinancial markets and the scope of our operations havechanged. The composition of net revenues can also varyover the shorter term due to fluctuations in U.S. and global
economic and market conditions. See “Risk Factors” inPart I, Item 1A of the 2020 Form 10-K for further
information about the impact of economic and market
conditions on our results of operations.
Goldman Sachs September 2021 Form 10-Q 102

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Financial Overview
The table below presents an overview of our financial
results and selected financial ratios.

The table below presents our average equity and thereconciliation of average common shareholders’ equity toaverage tangible common shareholders’ equity.
Average for theThree Months
Nine Months
Ended September Ended September$ in millions, except per share amounts

Net revenues
Pre-tax earnings
Net earnings
Net earnings to common
Diluted EPS
ROE
ROTE
Net earnings to average assets
Return on average shareholders’ equity
Average equity to average assets
Dividend payout ratio

2021

2020

2021

2020

$13,608 $10,781 $46,700 $32,819$ 6,842 $ 4,299 $22,019 $ 6,938$ 5,378 $ 3,367 $17,700 $ 4,953$ 5,284 $ 3,233 $17,342 $ 4,553$ 14.93 $ 8.98 $ 48.59 $ 12.65
22.5% 16.2% 25.7%
7.6%
23.8% 17.3% 27.2%
8.1%
1.5%
1.2%
1.8%
0.6%
20.8% 14.8% 23.7%
7.3%
7.4%
8.0%
7.4%
8.2%
13.4% 13.9%
9.3% 29.6%

In the table above:‰ Net earnings to common represents net earnings
applicable to common shareholders, which is calculated
as net earnings less preferred stock dividends.
‰ ROE, return on average tangible common shareholders’equity (ROTE), net earnings to average assets and returnon average shareholders’ equity are annualized amounts.
‰ Average equity to average assets is calculated by dividing
average total shareholders’ equity by average total assets.
‰ Dividend payout ratio is calculated by dividing dividends
declared per common share by diluted EPS.
‰ Annualized ROE is calculated by dividing annualized net
earnings to common by average monthly commonshareholders’ equity. Tangible common shareholders’equity is calculated as total shareholders’ equity lesspreferred stock, goodwill and identifiable intangible
assets. Annualized ROTE is calculated by dividing
annualized net earnings to common by average monthly
tangible common shareholders’ equity. We believe thattangible common shareholders’ equity is meaningful
because it is a measure that we and investors use to assess
capital adequacy and that ROTE is meaningful because itmeasures the performance of businesses consistently,
whether they were acquired or developed internally.
Tangible common shareholders’ equity and ROTE are
non-GAAP measures and may not be comparable tosimilar non-GAAP measures used by other companies.
Annualized return on average shareholders’ equity is
calculated by dividing annualized net earnings by averagemonthly shareholders’ equity.

Three Months
Ended September$ in millions

2021

Total shareholders’ equity$103,599
Preferred stock(9,766)
Common shareholders’ equity
93,833
Goodwill(4,331)
Identifiable intangible assets(510)
Tangible common shareholders’ equity $ 88,992

2020

Nine Months
Ended September
2021

2020

$90,942 $99,665(11,203)(9,628)79,73990,037(4,230)(4,332)(605)(558)$74,904 $85,147$91,043(11,203)
79,840(4,210)(615)$75,015Net Revenues
The table below presents our net revenues by line item.
Three Months
Ended September$ in millions

2021

Investment banking$ 3,548
Investment management
2,139
Commissions and fees
860
Market making
3,929
Other principal transactions 1,568
Total non-interest revenues 12,044
Interest income
3,117Interest expense
1,553
Net interest income
1,564
Total net revenues$13,6082020

Nine Months
Ended September
2021

2020

$ 1,934 $10,564
1,689
5,840
804
2,766
3,327 13,096
1,943
9,759
9,697 42,025
2,932
9,110
1,848
4,435
1,084
4,675
$10,781 $46,700$ 6,409
5,092
2,699
12,7962,482
29,478
10,716
7,375
3,341$32,819

In the table above:‰ Investment banking consists of revenues (excluding net
interest) from financial advisory and underwriting
assignments. These activities are included in our
Investment Banking segment.
‰ Investment management consists of revenues (excluding
net interest) from providing asset management services
across all major asset classes to a diverse set of asset
management clients (included in our Asset Management
segment), as well as asset management services, wealthadvisory services and certain transaction services for
wealth management clients (included in our Consumer &Wealth Management segment).
‰ Commissions and fees consists of revenues fromexecuting and clearing client transactions on major stock,
options and futures exchanges worldwide, as well as
over-the-counter (OTC) transactions. These activities areincluded in our Global Markets and Consumer & WealthManagement segments.
‰ Market making consists of revenues (excluding net interest)
from client execution activities related to making markets ininterest rate products, credit products, mortgages,
currencies, commodities and equity products. These
activities are included in our Global Markets segment.
‰ Other principal transactions consists of revenues(excluding net interest) from our equity investing activities,
including revenues related to our consolidated investments(included in our Asset Management segment), and lending
activities (included across our four segments).

103 Goldman Sachs September 2021 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Operating Environment. During the third quarter of2021, continued economic recovery and continued
monetary and fiscal support from central banks andgovernments globally, along with solid fundamentals in thecurrent operating environment, provided a stable backdrop
for our business activities. These factors contributed tostable equity markets, strong investment banking activity
levels, and solid market-making activity levels.
If optimism about the economic outlook declines or theongoing efforts to mitigate the impact of the COVID-19
pandemic are ineffective (including due to new variants orcomplications with vaccine distribution), it may lead to a
decline in global equity markets, a decline in investmentbanking activity levels, and a decline in market-making
activity levels, and net revenues and the provision for credit
losses would likely be negatively impacted. See “Segment
Assets and Operating Results — Segment Operating
Results” for information about the operating environment
and material trends and uncertainties that may impact our
results of operations.
Three Months Ended September 2021 versus
September 2020. Net revenues in the consolidated
statements of earnings were $13.61 billion for the third
quarter of 2021, 26% higher than the third quarter of
2020, primarily reflecting significantly higher investmentbanking revenues, net interest income and investment
management revenues, and higher market making revenues,
partially offset by lower other principal transactions
revenues.
Non-Interest Revenues. Investment banking revenues in
the consolidated statements of earnings were $3.55 billion
for the third quarter of 2021, 83% higher than the third
quarter of 2020, due to significantly higher revenues infinancial advisory, reflecting an increase in completed
mergers and acquisitions volumes, in equity underwriting,primarily driven by private placements, convertible offerings
and initial public offerings, and in debt underwriting,reflecting an increase in leveraged finance activity.
Investment management revenues in the consolidated
statements of earnings were $2.14 billion for the third
quarter of 2021, 27% higher than the third quarter of
2020, primarily due to significantly higher incentive fees,
driven by harvesting, and higher management and otherfees, reflecting the impact of higher average assets under
supervision (AUS), partially offset by higher fee waivers onmoney market funds.
Commissions and fees in the consolidated statements ofearnings were $860 million for the third quarter of 2021,
7% higher than the third quarter of 2020, primarilyreflecting an increase in our listed cash equity volumes in
Asia, generally consistent with market volumes in theregion.

Market making revenues in the consolidated statements ofearnings were $3.93 billion for the third quarter of 2021,
18% higher than the third quarter of 2020, primarily due tosignificantly higher net revenues in equity products andcommodities, partially offset by significantly lower net
revenues in interest rate products and credit products.
Other principal transactions revenues in the consolidated
statements of earnings were $1.57 billion for the third
quarter of 2021, 19% lower than the third quarter of 2020,
primarily reflecting significant net losses from investments inpublic equities during the quarter compared with net gains in
the third quarter of 2020, partially offset by significantly
higher net gains from investments in private equities.
Net Interest Income. Net interest income in the
consolidated statements of earnings was $1.56 billion for
the third quarter of 2021, 44% higher than the third
quarter of 2020, reflecting a decrease in interest expense
and an increase in interest income. The decrease in interest
expense primarily related to deposits and long-termborrowings, both reflecting the impact of lower interest
rates. The increase in interest income primarily related toloans and other interest-earning assets, both reflecting theimpact of higher average balances partially offset by the
impact of lower interest rates on collateralized agreements.
See “Statistical Disclosures — Distribution of Assets,
Liabilities and Shareholders’ Equity” for further
information about our sources of net interest income.
Nine Months Ended September 2021 versus
September 2020. Net revenues in the consolidated
statements of earnings were $46.70 billion for the first ninemonths of 2021, 42% higher than the first nine months of
2020, primarily reflecting significantly higher otherprincipal transactions net revenues, investment banking net
revenues and net interest income, and higher investment
management net revenues.
Non-Interest Revenues. Investment banking revenues in
the consolidated statements of earnings were $10.56 billion
for the first nine months of 2021, 65% higher than the firstnine months of 2020, primarily due to significantly higher
revenues in financial advisory, reflecting a significant
increase in completed mergers and acquisitionstransactions, and in equity underwriting, primarily driven
by strong industry-wide initial public offering activity, as
well as higher revenues in debt underwriting, reflecting
elevated industry-wide leveraged finance volumes.
Investment management revenues in the consolidated
statements of earnings were $5.84 billion for the first ninemonths of 2021, 15% higher than the first nine months of
2020, primarily due to higher management and other fees,
reflecting the impact of higher average assets under
supervision, partially offset by higher fee waivers on money
market funds.
Goldman Sachs September 2021 Form 10-Q 104

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Commissions and fees in the consolidated statements ofearnings were $2.77 billion for the first nine months of2021, slightly higher than the first nine months of 2020.
Market making revenues in the consolidated statements ofearnings were $13.10 billion for the first nine months of2021, slightly higher than the first nine months of 2020, as
significantly higher net revenues in equity products(primarily in derivatives), mortgages and commodities werelargely offset by significantly lower net revenues in interest
rate products and credit products.
Other principal transactions revenues in the consolidated
statements of earnings were $9.76 billion for the first ninemonths of 2021, compared with $2.48 billion for the firstnine months of 2020, primarily reflecting significantly
higher net gains from investments in private equities and indebt instruments, partially offset by significantly lower net
gains from investments in public equities.
Net Interest Income. Net interest income in the
consolidated statements of earnings was $4.68 billion for
the first nine months of 2021, 40% higher than the firstnine months of 2020, reflecting a decrease in interest
expense related to deposits, other interest-bearing
liabilities, long-term borrowings and collateralized
financings, each reflecting the impact of lower interest
rates, partially offset by the impact of higher averagebalances in trading liabilities. The decrease in interest
expense was partially offset by a decrease in interest income
primarily related to collateralized agreements, trading
assets and deposits with banks, each reflecting the impact oflower interest rates, partially offset by the impact of higher
average balances for loans. See “Statistical Disclosures —Distribution of Assets, Liabilities and Shareholders’Equity” for further information about our sources of net
interest income.
Provision for Credit Losses
Provision for credit losses consists of provision for credit
losses on loans and lending commitments held forinvestment and accounted for at amortized cost. See Note 9
to the consolidated financial statements for further
information about the provision for credit losses.

Three Months Ended September 2021 versus
September 2020. Provision for credit losses in the
consolidated statements of earnings was $175 million for
the third quarter of 2021, compared with $278 million for
the third quarter of 2020. The third quarter of 2021
primarily reflected provisions related to portfolio growth(primarily in credit cards), while the third quarter of 2020reflected reserve increases from individual impairments
related to wholesale loans and growth in credit card loans,partially offset by reserve reductions from paydowns on
corporate lines of credit and consumer installment loans.
Nine Months Ended September 2021 versus
September 2020. Provision for credit losses in the
consolidated statements of earnings was $13 million for the
first nine months of 2021, compared with $2.81 billion for
the first nine months of 2020. The first nine months of 2021
included provisions related to portfolio growth (primarily incredit cards, including approximately $185 million ofprovisions related to the pending acquisition of the General
Motors co-branded credit card portfolio), largely offset byreserve reductions on wholesale and consumer loans
reflecting continued improvement in the broader economic
environment following challenging conditions in the firstnine months of 2020 as a result of the COVID-19 pandemic.
Operating Expenses
Our operating expenses are primarily influenced bycompensation, headcount and levels of business activity.
Compensation and benefits includes salaries, estimated year-end
discretionary compensation, amortization of equity awards andother items such as benefits. Discretionary compensation issignificantly impacted by, among other factors, the level of net
revenues, overall financial performance, prevailing labormarkets, business mix, the structure of our share-based
compensation programs and the external environment.
The table below presents our operating expenses by line
item and headcount.
Three Months
Ended September$ in millions

2021

2020

Nine Months
Ended September
2021

2020

Three Months
Ended September

Nine Months
Ended September

Compensation and benefits$ 3,167 $ 3,117 $14,473 $10,830
Transaction based
1,139
1,011
3,520
3,055
Market development
165
70
360
312
Communications and technology
397
340
1,143
1,006
Depreciation and amortization
509
468
1,527
1,404
Occupancy
239
235
727
706
Professional fees
433
298
1,137
956
Other expenses
542
665
1,781
4,807
Total operating expenses$ 6,591 $ 6,204 $24,668 $23,076$ in millions

2021

2020

2021

2020

Headcount at period-end

Provision for credit losses

$175

$278

$13

$2,805The table below presents our provision for credit losses.

105 Goldman Sachs September 2021 Form 10-Q

43,00040,900In the table above, brokerage, clearing, exchange anddistribution fees was renamed transaction based (beginningin the fourth quarter of 2020) and additionally includes
expenses resulting from completed transactions, which are
directly related to client revenues. Such expenses werepreviously reported in other expenses. Previously reported
amounts have been conformed to the current presentation.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Three Months Ended September 2021 versus
September 2020. Operating expenses in the consolidated
statements of earnings were $6.59 billion for the third
quarter of 2021, 6% higher than the third quarter of 2020.
Our efficiency ratio for the third quarter of 2021 was
48.4%, compared with 57.5% for the third quarter of
2020.
The increase in operating expenses compared with the third
quarter of 2020 was due to higher technology expenses(included in communications and technology anddepreciation and amortization), professional fees,transaction based expenses and market development
expenses. These increases were partially offset bysignificantly lower net provisions for litigation andregulatory proceedings. Compensation and benefits
expenses were slightly higher.
Net provisions for litigation and regulatory proceedings forthe third quarter of 2021 were $52 million compared with
$256 million for the third quarter of 2020.
As of September 2021, headcount increased 5% comparedwith June 2021, primarily reflecting the timing of campus
hires.
Nine Months Ended September 2021 versus
September 2020. Operating expenses in the consolidated
statements of earnings were $24.67 billion for the first ninemonths of 2021, 7% higher than the first nine months of2020. Our efficiency ratio for the first nine months of 2021
was 52.8%, compared with 70.3% for the first nine monthsof 2020. In the first nine months of 2020, net provisions forlitigation and regulatory proceedings increased our
efficiency ratio by 10.3 percentage points.
The increase in operating expenses compared with the firstnine months of 2020 reflected significantly higher
compensation and benefits expenses (reflecting strong
performance), partially offset by lower non-compensation
expenses. Within non-compensation expenses, net
provisions for litigation and regulatory proceedings weresignificantly lower, partially offset by higher transaction
based expenses and higher technology expenses (included incommunications and technology and depreciation andamortization).
Net provisions for litigation and regulatory proceedings forthe first nine months of 2021 were $352 million comparedwith $3.40 billion for the first nine months of 2020.
As of September 2021, headcount increased 6% comparedwith December 2020, reflecting investments in new
business initiatives and an increase in technology
professionals.

Provision for Taxes
The effective income tax rate for the first nine months of2021 was 19.6%, down from the full year income tax rateof 24.2% for 2020, primarily due to a decrease inprovisions for non-deductible litigation in the first ninemonths of 2021 compared with 2020. The increase
compared with 18.8% for the first half of 2021 wasprimarily due to a decrease in the impact of tax benefits on
the settlement of share-based awards and remeasurement of
U.K. deferred tax assets in the first nine months of 2021
compared with the first half of 2021.
In March 2021, the American Rescue Plan Act of 2021
(Rescue Plan) was signed into law. The Rescue Plan is a
$1.9 trillion stimulus package enacted to help address the
economic and health impacts of the COVID-19 pandemic.
The Rescue Plan includes a repeal of a provision under which
U.S. affiliated groups could elect a worldwide allocation ofinterest expense for foreign tax credit limitation purposes for
one year beginning in January 2021. Additionally, beginningin 2027, the limitation on corporate tax deductions forcompensation payable to the CEO, CFO and the top threehighest paid employees will be expanded to include the next
five highest paid employees. The legislation is not expected tohave a material impact on our 2021 annual effective tax rate.
In April 2021, the New York State (NYS) FY 2022 budget
was enacted. The legislation temporarily increased the NYS
corporate income tax rate from 6.5% to 7.25% forcalendar years 2021 through 2023. The legislation is notexpected to have a material impact on our 2021 annual
effective tax rate.
The U.K. Finance Act 2021 was enacted in June 2021 andincludes a six percent increase in the corporate income tax rate
effective from April 2023. During the first nine months of2021, U.K. deferred tax assets and liabilities were remeasured
and a deferred tax benefit of approximately $100 million wasrecognized. In October 2021, a five percent reduction in the
U.K. bank surcharge tax rate, effective from April 2023, wasannounced in the second U.K. budget of 2021. The reduction
to the bank surcharge is expected to be legislated as FinanceBill 2022. The bank surcharge is currently applicable to certainof our U.K. subsidiaries and branches, including Goldman
Sachs International (GSI) and Goldman Sachs International
Bank (GSIB). Following Royal Assent, the associated impactof any change to the bank surcharge on U.K. deferred tax
assets and liabilities could have a material impact on our
effective tax rate, depending on the operating results for thequarter during which this legislation is enacted.
We expect our tax rate for 2021 to be between 20% and21%, excluding the impact of any potential changes incurrent income tax rates.

Goldman Sachs September 2021 Form 10-Q 106

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Segment Assets and Operating Results
Segment Assets. The table below presents assets by segment.
As of$ in millions

September
2021

December2020

Investment Banking
Global Markets
Asset Management
Consumer & Wealth Management
Total$ 141,580
1,077,437
94,063130,150$1,443,230$ 116,242
844,606
95,751
106,429$1,163,028

The allocation process for segment assets is based on theactivities of these segments. The allocation of assets
includes allocation of global core liquid assets (GCLA)(which consists of unencumbered, highly liquid securities
and cash), which is generally included within cash and cash
equivalents, collateralized agreements and trading assets on
our balance sheet. Due to the integrated nature of thesesegments, estimates and judgments are made in allocatingthese assets. See “Risk Management — Liquidity Risk
Management” for further information about our GCLA.
Segment Operating Results. The table below presents
our segment operating results.
Three Months
Ended September$ in millions

2021

2020

Nine Months
Ended September
2021

2020

Net revenues in our segments include allocations of interest
income and expense to specific positions in relation to the cash
generated by, or funding requirements of, such positions. See
Note 25 to the consolidated financial statements for further
information about our business segments.
The allocation of common shareholders’ equity andpreferred stock dividends to each segment is based on theestimated amount of equity required to support theactivities of the segment under relevant regulatory capitalrequirements. Net earnings for each segment is calculated
by applying the firmwide tax rate to each segment’s pre-tax
earnings.
The allocation of common equity among our segments for thethree and nine months ended September 2021 reflects updates
to our attributed equity framework (effective January 1, 2021)
to incorporate the impact of the stress capital buffer (SCB) ruleand our SCB of 6.6%, which became effective on
October 1, 2020 under the Standardized Approach. See“Capital Management and Regulatory Capital — CapitalManagement” for information about the impact of these
updates on the allocation of attributed equity among oursegments as of the beginning of the first quarter of 2021. The
average common equity balances above incorporate suchimpact, as well as the changes in the size and composition ofassets held in each of our segments that occurred during thethree and nine months ended September 2021. See “CapitalManagement and Regulatory Capital — CapitalManagement” for information about our updated SCB, whichbecame effective on October 1, 2021.

Investment Banking
Net revenues
Provision for credit losses
Operating expenses
Pre-tax earnings
Net earnings to common
Average common equity
Return on average common equity$ 3,700 $ 1,969
41
171
1,343 1,067$ 2,316 $ 731$ 1,818 $ 452$10,346 $11,271
70.3% 16.0%

Global Markets
Net revenues
Provision for credit losses
Operating expenses
Pre-tax earnings
Net earnings to common
Average common equity
Return on average common equity$ 5,611 $ 4,553 $18,092 $16,892
(24)
(15)
(30)
236
2,794 2,542 10,352 10,568$ 2,841 $ 2,026 $ 7,770 $ 6,088$ 2,190 $ 1,816 $ 6,041 $ 4,085$46,959 $39,960 $44,067 $40,542
18.7% 18.2%
18.3% 13.4%

Asset Management
Net revenues
Provision for credit losses
Operating expenses
Pre-tax earnings
Net earnings to common
Average common equity
Return on average common equity$ 2,279 $ 2,768
10
70823 1,358$ 1,446 $ 1,340$ 1,096 $ 839$25,788 $19,989
17.0% 16.8%$12,025 $ 4,773(2)
420
4,656 3,888$ 7,371 $ 465$ 5,853 $ 273$25,294 $20,332
30.9%
1.8%

Consumer & Wealth Management
Net revenues
Provision for credit losses
Operating expenses
Pre-tax earnings
Net earnings to common
Average common equity
Return on average common equity$ 2,018 $ 1,491
148
52
1,631 1,237$ 239 $ 202$ 180 $ 126$10,740 $ 8,519
6.7%
5.9%

$ 5,503 $ 4,344
274
537
4,499 3,680$ 730 $ 127$ 558 $
62
$10,475 $ 7,715
7.1%
1.1%

‰ Underwriting. Includes public offerings and private
placements, including local and cross-border transactions
and acquisition financing, of a wide range of securities
and other financial instruments, including loans.

Total net revenues$13,608 $10,781
Total provision for credit losses
175
278
Total operating expenses
6,591 6,204
Total pre-tax earnings$ 6,842 $ 4,299
Net earnings to common$ 5,284 $ 3,233
Average common equity$93,833 $79,739
Return on average common equity 22.5% 16.2%$46,700 $32,819
13
2,805
24,668 23,076$22,019 $ 6,938$17,342 $ 4,553$90,037 $79,840
25.7%
7.6%

‰ Corporate lending. Includes lending to corporateclients, including through relationship lending, middlemarket lending and acquisition financing. We also
provide transaction banking services to certain of ourcorporate clients.

107 Goldman Sachs September 2021 Form 10-Q

$11,080 $ 6,810(229) 1,612
5,161 4,940$ 6,148 $ 258$ 4,890 $ 133$10,201 $11,251
63.9%
1.6%

Compensation and benefits expenses within our segments
reflect, among other factors, our overall performance, as
well as the performance of individual businesses.
Consequently, pre-tax margins in one segment of ourbusiness may be significantly affected by the performanceof our other business segments. A description of segment
operating results follows.
Investment Banking
Investment Banking generates revenues from the following:‰ Financial advisory. Includes strategic advisory
assignments with respect to mergers and acquisitions,divestitures, corporate defense activities, restructuringsand spin-offs.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
The table below presents our Investment Banking assets.
As of$ in millions

September
2021

December
2020

Cash and cash equivalents
Collateralized agreements
Customer and other receivables
Trading assets
Investments
Loans
Other assets
Total$ 54,044
25,343
8,879
23,453
1,446
26,4281,987$141,580$ 34,730
20,242
2,465
29,493
1,078
26,544
1,690$116,242

The table below presents our Investment Banking operating
results.
Three Months
Ended September$ in millions

Financial advisory
Equity underwriting
Debt underwriting
Underwriting
Corporate lending
Net revenues
Provision for credit losses
Operating expenses
Pre-tax earnings
Provision for taxes
Net earnings
Preferred stock dividends
Net earnings to common

2021

2020

Nine Months
Ended September
2021

2020

$ 1,648 $ 507 $ 4,022 $ 1,974
1,174
856
3,986
2,291
726
571
2,556
2,144
1,900
1,427
6,542
4,435
152
35
516
401
3,700
1,969 11,080
6,810
41
171
(229) 1,612
1,343
1,067
5,161
4,940
2,316
731
6,148
258
485
262
1,206
74
1,831
469
4,942
184
13
17
52
51
$ 1,818 $ 452 $ 4,890 $ 133

Average common equity$10,346 $11,271 $10,201 $11,251
Return on average common equity
70.3% 16.0%
63.9%
1.6%

The table below presents our financial advisory andunderwriting transaction volumes.
Three Months
Ended September

Nine Months
Ended September$ in billions

2021

2020

2021

2020

Announced mergers and acquisitions $Completed mergers and acquisitions $Equity and equity-related offerings $Debt offerings
$

454 $
402 $
25 $
78 $

332
203
29
83

$ 1,405 $$ 1,036 $$ 111 $
$ 265 $

578
814
81
292

In the table above:‰ Volumes are per Dealogic.
‰ Announced and completed mergers and acquisitions volumes
are based on full credit to each of the advisors in a transaction.
Equity and equity-related offerings and debt offerings are
based on full credit for single book managers and equal credit
for joint book managers. Transaction volumes may not be
indicative of net revenues in a given period. In addition,transaction volumes for prior periods may vary from amounts
previously reported due to the subsequent withdrawal or achange in the value of a transaction.
‰ Equity and equity-related offerings includes Rule 144A
and public common stock offerings, convertible offerings
and rights offerings.
‰ Debt offerings includes non-convertible preferred stock,mortgage-backed securities, asset-backed securities andtaxable municipal debt. Includes publicly registered andRule 144A issues and excludes leveraged loans.

Operating Environment. During the third quarter of2021, Investment Banking operated in an environment
characterized by strong industry-wide activity. In mergers
and acquisitions, industry-wide completed and announced
volumes remained at high levels, reflecting supportive
market conditions and CEO confidence. In underwriting,both industry-wide equity and debt volumes were solid, butwere lower following elevated levels in the second quarterof 2021.
In the future, if market and economic conditions
deteriorate, and industry-wide mergers and acquisitions
volumes decline, or if industry-wide equity and debt
underwriting volumes continue to decline, or credit spreads
related to hedges on our relationship lending portfolio
tighten, net revenues in Investment Banking would likely be
negatively impacted. In addition, a deterioration in thecreditworthiness of borrowers would negatively impact theprovision for credit losses.
Three Months Ended September 2021 versus
September 2020. Net revenues in Investment Banking
were $3.70 billion for the third quarter of 2021, 88%higher than the third quarter of 2020, reflecting
significantly higher net revenues in Financial advisory,
Underwriting and Corporate lending.
The increase in Financial advisory net revenues reflected anincrease in completed mergers and acquisitions volumes.
The increase in Underwriting net revenues was due tosignificantly higher net revenues in both Equity
underwriting, primarily driven by private placements,
convertible offerings and initial public offerings, and Debt
underwriting, reflecting an increase in leveraged financeactivity. The increase in Corporate lending net revenues
primarily reflected net gains related to middle-market
lending activities.
Provision for credit losses was $41 million for the third
quarter of 2021, 76% lower than the third quarter of 2020,
primarily reflecting lower individual impairments, while theprior year period was positively impacted by reserve
reductions from paydowns on corporate lines of credit.
Operating expenses were $1.34 billion for the third quarterof 2021, 26% higher than the third quarter of 2020, due tosignificantly higher compensation and benefits expenses(reflecting strong performance), partially offset by lower
net provisions for litigation and regulatory proceedings.
Pre-tax earnings were $2.32 billion for the third quarter of2021, compared with $731 million for the third quarter of2020.

Goldman Sachs September 2021 Form 10-Q 108

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
As of September 2021, our investment banking transaction
backlog remained elevated, but decreased compared with
June 2021, due to lower estimated net revenues frompotential financial advisory transactions and potential
equity underwriting transactions (particularly from private
placements and initial public offerings), partially offset byhigher estimated net revenues in debt underwritingtransactions(primarily
fromleveraged
financetransactions).
Our backlog represents an estimate of our net revenues
from future transactions where we believe that future
revenue realization is more likely than not. We believe
changes in our backlog may be a useful indicator of client
activity levels which, over the long term, impact our net
revenues. However, the time frame for completion andcorresponding revenue recognition of transactions in our
backlog varies based on the nature of the assignment, as
certain transactions may remain in our backlog for longer
periods of time. In addition, our backlog is subject tocertain limitations, such as assumptions about thelikelihood that individual client transactions will occur inthe future. Transactions may be cancelled or modified, andtransactions not included in the estimate may also occur,
including underwriting transactions for which the timeframe from discussion to completion has shortened in thecurrent environment.
Nine Months Ended September 2021 versus
September 2020. Net revenues in Investment Banking
were $11.08 billion for the first nine months of 2021, 63%
higher than the first nine months of 2020, primarilyreflecting significantly higher net revenues in Underwriting
and Financial advisory.
The increase in Underwriting net revenues was due tosignificantly higher net revenues in Equity underwriting,primarily driven by strong industry-wide initial public
offerings activity, and higher net revenues in Debt
underwriting, reflecting elevated industry-wide leveraged
finance volumes. The increase in Financial advisory net
revenues reflected a significant increase in completed
mergers and acquisitions transactions. The increase in
Corporate lending net revenues reflected significantly
higher net interest income, primarily from middle-market
lending activities.
Provision for credit losses was a net benefit of $229 million
for the first nine months of 2021, compared with net
provisions of $1.61 billion for the first nine months of
2020, primarily due to reserve reductions in the current
year period reflecting continued improvement in the
broader economic environment following challenging
conditions in the first nine months of 2020 resulting fromthe COVID-19 pandemic.

109 Goldman Sachs September 2021 Form 10-Q

Operating expenses were $5.16 billion for the first ninemonths of 2021, 4% higher than the first nine months of
2020, due to significantly higher compensation and benefits
expenses (reflecting strong performance), partially offset bysignificantly lower net provisions for litigation andregulatory proceedings. Pre-tax earnings were $6.15 billion
for the first nine months of 2021, compared with$258 million for the first nine months of 2020. Annualized
ROE was 63.9% for the first nine months of 2021,
compared with 1.6% for the first nine months of 2020
(which included the impact of net provisions for litigation
and regulatory proceedings that reduced annualized ROE
by 15.7 percentage points).
As of September 2021, our investment banking transaction
backlogincreasedsignificantly
comparedwith
December 2020, due to significantly higher estimated net
revenues from potential financial advisory transactions andpotential debt underwriting transactions (particularly fromleveraged finance and investment-grade transactions), andhigher estimated net revenues from equity underwritingtransactions (primarily from initial public offerings).
Global Markets
Our Global Markets segment consists of:
FICC. FICC generates revenues from intermediation andfinancing activities.
‰ FICC intermediation. Includes client execution activities
related to making markets in both cash and derivative
instruments, as detailed below.
Interest Rate Products. Government bonds (including
inflation-linked securities) across maturities, othergovernment-backed securities, and interest rate swaps,
options and other derivatives.
Credit Products. Investment-grade and high-yieldcorporate securities, credit derivatives, exchange-tradedfunds (ETFs), bank and bridge loans, municipal
securities, emerging market and distressed debt, andtrade claims.
Mortgages. Commercial mortgage-related securities,
loans and derivatives, residential mortgage-related
securities, loans and derivatives (including U.S.
government agency-issued collateralized mortgage
obligations and other securities and loans), and otherasset-backed securities, loans and derivatives.
Currencies. Currency options, spot/forwards andother derivatives on G-10 currencies and emergingmarket products.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Commodities. Commodity derivatives and, to a lesser
extent, physical commodities, involving crude oil andpetroleum products, natural gas, base, precious andother metals, electricity, coal, agricultural and othercommodity products.
For further information about market-making
activities, see “Market-Making Activities” below.
‰ FICC financing. Includes providing financing to ourclients through securities purchased under agreements toresell (resale agreements), and through structured credit,
warehouse lending (including residential and commercial
mortgage lending) and asset-backed lending, which are
typically longer term in nature.
Equities. Equities generates revenues from intermediationand financing activities.
‰ Equities intermediation. We make markets in equity
securities and equity-related products, including ETFs,
convertible securities, options, futures and OTC
derivative instruments. We also structure and makemarkets in derivatives on indices, industry sectors,
financial measures and individual company stocks. Our
exchange-based market-making activities include making
markets in stocks and ETFs, futures and options on major
exchanges worldwide. In addition, we generatecommissions and fees from executing and clearing
institutional client transactions on major stock, options
and futures exchanges worldwide, as well as OTC
transactions. For further information about marketmaking activities, see “Market-Making Activities” below.
‰ Equities financing. Includes prime brokerage and other
equities financing activities, including securities lending,margin lending and swaps. We earn fees by providing
clearing, settlement and custody services globally. We
provide services that principally involve borrowing andlending securities to cover institutional clients’ short sales
and borrowing securities to cover our short sales and to
make deliveries into the market. In addition, we are an
active participant in broker-to-broker securities lending
and third-party agency lending activities. We provide
financing to our clients for their securities trading
activities through margin loans that are collateralized by
securities, cash or other acceptable collateral. In addition,
we execute swap transactions to provide our clients with
exposure to securities and indices.

Market-Making Activities
As a market maker, we facilitate transactions in both liquidand less liquid markets, primarily for institutional clients,
such as corporations, financial institutions, investment
funds and governments, to assist clients in meeting theirinvestment objectives and in managing their risks. In thisrole, we seek to earn the difference between the price atwhich a market participant is willing to sell an instrument
to us and the price at which another market participant iswilling to buy it from us, and vice versa (i.e., bid/offer
spread). In addition, we maintain (i) market-making
positions, typically for a short period of time, in response
to, or in anticipation of, client demand, and (ii) positions toactively manage our risk exposures that arise from thesemarket-making activities (collectively, inventory). Ourinventory is recorded in trading assets (long positions) ortrading liabilities (short positions) in our consolidatedbalance sheets.
Our results are influenced by a combination ofinterconnected drivers, including (i) client activity levels andtransactional bid/offer spreads (collectively, client activity),and (ii) changes in the fair value of our inventory andinterest income and interest expense related to the holding,hedging and funding of our inventory (collectively, marketmaking inventory changes). Due to the integrated nature of
our market-making activities, disaggregation of net
revenues into client activity and market-making inventorychanges is judgmental and has inherent complexities andlimitations.
The amount and composition of our net revenues vary overtime as these drivers are impacted by multiple interrelated
factors affecting economic and market conditions,
including volatility and liquidity in the market, changes ininterest rates, currency exchange rates, credit spreads,
equity prices and commodity prices, investor confidence,and other macroeconomic concerns and uncertainties.
In general, assuming all other market-making conditions
remain constant, increases in client activity levels or bid/offer spreads tend to result in increases in net revenues, anddecreases tend to have the opposite effect. However,changes in market-making conditions can materially impact
client activity levels and bid/offer spreads, as well as the fairvalue of our inventory. For example, a decrease in liquidity
in the market could have the impact of (i) increasing our
bid/offer spread, (ii) decreasing investor confidence andthereby decreasing client activity levels, and (iii) wideningof credit spreads on our inventory positions.

Goldman Sachs September 2021 Form 10-Q 110

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
The table below presents our Global Markets assets.

In the table above:

As of$ in millions

September
2021

December
2020

Cash and cash equivalents
Collateralized agreements
Customer and other receivables
Trading assets
Investments
Loans
Other assets
Total$ 107,808
353,698
151,242
350,660
51,525
51,167
11,337$1,077,437$ 86,663
212,711
110,473
339,349
52,92933,214
9,267$844,606

The table below presents our Global Markets operating
results.
Three Months
Ended September$ in millions

FICC intermediation
FICC financing
FICC
Equities intermediation
Equities financing
Equities
Net revenues
Provision for credit losses
Operating expenses
Pre-tax earnings
Provision for taxes
Net earnings
Preferred stock dividends
Net earnings to common

2021

2020

Nine Months
Ended September
2021

2020

$ 1,995 $ 2,170
513
332
2,508
2,502
1,920
1,466
1,183
585
3,103
2,051
5,611
4,553
(24)
(15)
2,794
2,542
2,841
2,026
597
122
2,244
1,904
54
88
$ 2,190 $ 1,816$ 7,343 $ 8,493
1,378
1,213
8,721
9,706
6,271
5,193
3,100
1,993
9,371
7,186
18,092 16,892(30)
236
10,352 10,568
7,770
6,088
1,524
1,742
6,246
4,346
205
261
$ 6,041 $ 4,085

Average common equity$46,959 $39,960
Return on average common equity 18.7% 18.2%$44,067 $40,542
18.3% 13.4%

The table below presents our Global Markets net revenues
by line item in the consolidated statements of earnings.
$ in millions

FICC

Equities

GlobalMarkets

Three Months Ended September 2021
Market making$1,716
Commissions and fees–
Other principal transactions
122
Net interest income
670
Total
$2,508$2,213 $ 3,929
842
842
50
172
(2)
668
$3,103 $ 5,611

Three Months Ended September 2020
Market making
Commissions and fees
Other principal transactions
Net interest income
Total$1,903–39
560$2,502$1,424 $ 3,327
734
734
(7)
32
(100)
460
$2,051 $ 4,553

Nine Months Ended September 2021
Market making
Commissions and fees
Other principal transactions
Net interest income
Total$6,474–306
1,941$8,721$6,6222,670
49
30$9,371

Nine Months Ended September 2020
Market making
Commissions and fees
Other principal transactions
Net interest income
Total$7,803–(26)
1,929$9,706$4,993 $12,796
2,522
2,522
–
(26)
(329)
1,600
$7,186 $16,892

111 Goldman Sachs September 2021 Form 10-Q

$13,096
2,670
355
1,971
$18,092‰ The difference between commissions and fees and thosein the consolidated statements of earnings represents
commissions and fees included in our Consumer &Wealth Management segment.
‰ See “Net Revenues” for further information aboutmarket making revenues, commissions and fees, otherprincipal transactions revenues and net interest income.
See Note 25 to the consolidated financial statements fornet interest income by business segment.
‰ The primary driver of net revenues
intermediation was client activity.

for

FICC

Operating Environment. During the third quarter of2021, Global Markets operated in an environment
generally characterized by continued economic recovery
and continued monetary and fiscal support from central
banks and governments globally, which contributed tosolid client activity levels. Market volatility was generally
range-bound during the quarter, with the average daily VIX
index up 2%, the average daily MOVE index up 5% andthe average daily CVIX index down 5%, although volatility
in commodities was heightened in oil, natural gas andpower. Equity markets remained stable and at near-record
levels, as the S&P 500 Index was roughly flat and the MSCIWorld Index decreased by 1% during the quarter. In thesame time period, the yield on 10-year U.K. Gilts increased
by approximately 30 basis points and the yield on 10-year
U.S. Treasury securities increased by approximately 10
basis points. If macroeconomic conditions lead to a decline
in activity levels or volatility, net revenues in Global
Markets would likely be negatively impacted.
Three Months Ended September 2021 versus
September 2020. Net revenues in Global Markets were$5.61 billion for the third quarter of 2021, 23% higher
than the third quarter of 2020.
Net revenues in FICC were $2.51 billion, essentiallyunchanged compared with the third quarter of 2020. Net
revenues in FICC financing were significantly higher,
primarily from mortgage lending. Net revenues in FICC
intermediation were lower, reflecting significantly lower net
revenues in interest rate products, credit products andmortgages, partially offset by significantly higher net
revenues in commodities and higher net revenues incurrencies.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
The decrease in FICC intermediation net revenues reflected
the impact of less favorable market-making conditions on
our inventory. The following provides information about
our FICC intermediation net revenues by business,compared with results in the third quarter of 2020:‰ Net revenues in interest rates products and mortgages
reflected the impact of less favorable market-making
conditions on our inventory.
‰ Net revenues in credit products primarily reflected lower
client activity.
‰ Net revenues in commodities and currencies primarilyreflected the impact of improved market-making
conditions on our inventory.
Net revenues in Equities were $3.10 billion, 51% higher
than the third quarter of 2020, due to significantly higher
net revenues in both Equities financing, reflecting increased
client activity (including higher average client balances),
and Equities intermediation, reflecting significantly higher
net revenues in both derivatives and cash products.
Provision for credit losses was a net benefit of $24 million
for the third quarter of 2021, compared with a net benefitof $15 million for the third quarter of 2020.
Operating expenses were $2.79 billion for the third quarterof 2021, 10% higher than the third quarter of 2020,
primarily reflecting higher transaction based expenses.
Pre-tax earnings were $2.84 billion for the third quarter of2021, 40% higher than the third quarter of 2020.
Nine Months Ended September 2021 versus
September 2020. Net revenues in Global Markets were$18.09 billion for the first nine months of 2021, 7% higher
than the first nine months of 2020.
Net revenues in FICC were $8.72 billion for the first ninemonths of 2021, 10% lower than the first nine months of
2020, due to lower net revenues in FICC intermediation,reflecting significantly lower net revenues in interest rate
products, credit products and currencies, partially offset bysignificantly higher net revenues in mortgages and higher
net revenues in commodities. Net revenues in FICC
financing were higher, reflecting significantly higher net
revenues from mortgage lending, partially offset bysignificantly lower net revenues from resale agreements.

The decrease in FICC intermediation net revenues reflected
solid but significantly lower client activity compared withstrong activity levels in the prior year period due to highvolatility amid the COVID-19 pandemic. This was partially
offset by the impact of improved market-making conditions
on our inventory compared with challenging conditions in
the prior year period. The following provides information
about our FICC intermediation net revenues by business,compared with results in the first nine months of 2020:‰ Net revenues in interest rate products, credit products andcurrencies reflected lower client activity, partially offset
by the impact of improved market-making conditions on
our inventory.
‰ Net revenues in mortgages and commodities reflected theimpact of improved market-making conditions on ourinventory.
Net revenues in Equities were $9.37 billion, 30% higher
than the first nine months of 2020, due to significantly
higher net revenues in both Equities financing, primarilyreflecting increased activity (including higher average clientbalances), and Equities intermediation, reflecting
significantly higher net revenues in both derivatives andcash products.
Provision for credit losses was a net benefit of $30 million
for the first nine months of 2021, compared with net
provisions of $236 million for the first nine months of
2020, primarily reflecting reserve reductions in the current
year period reflecting continued improvement in the
broader economic environment following challenging
conditions in the first nine months of 2020 resulting fromthe COVID-19 pandemic.
Operating expenses were $10.35 billion for the first ninemonths of 2021, 2% lower than the first nine months of
2020, reflecting significantly lower net provisions forlitigation and regulatory proceedings, partially offset byhigher compensation and benefits expenses (reflecting
strong performance) and higher transaction based
expenses. Pre-tax earnings were $7.77 billion for the firstnine months of 2021, 28% higher than the first ninemonths of 2020. Annualized ROE was 18.3% for the firstnine months of 2021, compared with 13.4% for the firstnine months of 2020 (which included the impact of net
provisions for litigation and regulatory proceedings that
reduced annualized ROE by 6.1 percentage points).

Goldman Sachs September 2021 Form 10-Q 112

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Asset Management
We manage client assets across a broad range of investment
strategies and asset classes for a diverse set of institutional
clients and a network of third-party distributors around theworld, including equity, fixed income and alternative
investments. We provide investment solutions including
those managed on a fiduciary basis by our portfolio
managers, as well as those managed by a variety of thirdparty managers. We offer our investment solutions in avariety of structures, including separately managed
accounts, mutual funds, private partnerships and othercomingled vehicles. These solutions begin with identifying
clients’ objectives and continue through portfolio
construction, ongoing asset allocation and risk
management and investment realization.
In addition to managing client assets, we invest inalternative investments across a range of asset classes that
seek to deliver long-term accretive risk-adjusted returns.
Our investing activities, which are typically longer term,
include investments in corporate equity, credit, real estateand infrastructure assets.
Asset Management generates revenues from the following:‰ Management and other fees. The majority of revenues
in management and other fees consists of asset-based feeson client assets that we manage. For further information
about AUS, see “Assets Under Supervision” below. The
fees that we charge vary by asset class, distribution
channel and the types of services provided, and are
affected by investment performance, as well as asset
inflows and redemptions.
‰ Incentive fees. In certain circumstances, we also receive
incentive fees based on a percentage of a fund’s or aseparately managed account’s return, or when the return
exceeds a specified benchmark or other performancetargets. Such fees include overrides, which consist of theincreased share of the income and gains derived primarily
from our private equity and credit funds when the returnon a fund’s investments over the life of the fund exceeds
certain threshold returns.
‰ Equity investments. Our alternative investing activities
relate to public and private equity investments incorporate, real estate and infrastructure assets. We also
make investments through consolidated investment
entities (CIEs), substantially all of which are engaged inreal estate investment activities.
‰ Lending and debt investments. We invest in corporate
debt and provide financing for real estate and otherassets. These activities include investments in mezzanine
debt, senior debt and distressed debt securities.

113 Goldman Sachs September 2021 Form 10-Q

The table below presents our Asset Management assets.
As of$ in millions

Cash and cash equivalents
Collateralized agreements
Customer and other receivables
Trading assets
Investments
Loans
Other assets
Total

September
2021

December
2020$12,905
5,565
1,012
5,127
33,67815,792
19,984$94,063$ 8,635
4,749
1,261
6,819
34,386
16,55823,343$95,751

The table below presents our Asset Management operating
results.
Three Months
Ended September$ in millions

Management and other fees
Incentive fees
Equity investments
Lending and debt investments
Net revenues
Provision for credit losses
Operating expenses
Pre-tax earnings
Provision for taxes
Net earnings
Preferred stock dividends
Net earnings to common

2021

2020

Nine Months
Ended September
2021

2020

$

724 $ 728 $ 2,144 $ 2,052
100
28
220
216
935
1,423
7,772
2,325
520
589
1,889
180
2,279
2,768 12,025
4,773
10
70
(2)
420
823
1,358
4,656
3,888
1,446
1,340
7,371
465
331
482
1,446
133
1,115
858
5,925
332
19
19
72
59
$ 1,096 $ 839 $ 5,853 $ 273

Average common equity$25,788 $19,989 $25,294 $20,332
Return on average common equity 17.0% 16.8%
30.9%
1.8%

The table below presents our Equity investments net
revenues by equity type and asset class.
Three Months
Ended September$ in millions

Equity TypePrivate equity
Public equity
Total
Asset ClassReal estate
Corporate
Total

2021

2020

Nine Months
Ended September
2021

2020

$ 1,753 $ 642 $ 7,350 $ 1,392
(818)
781
422
933
$ 935 $ 1,423 $ 7,772 $ 2,325$$

677 $ 221 $ 1,649 $ 1,259
258
1,202
6,123
1,066
935 $ 1,423 $ 7,772 $ 2,325

The table below presents details about our Lending anddebt investments net revenues.
Three Months
Ended September$ in millions

Fair value net gains/(losses)
Net interest income
Total

$
$

Nine Months
Ended September

2021

2020

214 $
306
520 $

313 $ 951 $276
938
589 $ 1,889 $

2021

2020

(545)
725
180

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Operating Environment. During the third quarter of2021, the operating environment for Asset Management
reflected relatively stable equity prices and credit spreads
compared with the second quarter of 2021, amid continued
economic recovery and continued monetary and fiscal
support from central banks and governments globally. If
optimism about the economic outlook declines or theongoing efforts to mitigate the impact of the COVID-19
pandemic are ineffective, it may lead to a decline in asset
prices, widening of credit spreads, and investorstransitioning to asset classes that typically generate lower
fees or investors withdrawing their assets, and net revenues
in Asset Management would likely be negatively impacted.
Three Months Ended September 2021 versus
September 2020. Net revenues in Asset Management
were $2.28 billion for the third quarter of 2021, 18% lower
than the third quarter of 2020, primarily driven bysignificantly lower net revenues in Equity investments. In
addition, net revenues in Lending and debt investments
were lower, while Incentive fees were higher.
The decrease in Equity investments net revenues reflectedsignificant net losses from investments in public equities
during the quarter compared with net gains in the third
quarter of 2020, partially offset by significantly higher net
gains from investments in private equities, driven bycompany-specific events, primarily sales. The decrease inLending and debt investments net revenues reflected lower
net gains from investments in debt instruments.
Management and other fees were essentially unchanged,
primarily reflecting higher fee waivers on money market funds,
offset by the impact of higher average assets under supervision.
The increase in Incentive fees was due to harvesting.
Provision for credit losses was $10 million for the third
quarter of 2021, compared with $70 million for the third
quarter of 2020.
Operating expenses were $823 million for the third quarterof 2021, 39% lower than the third quarter of 2020,reflecting significantly lower compensation and benefits
expenses. Pre-tax earnings were $1.45 billion for the third
quarter of 2021, 8% higher than the third quarter of 2020.
Nine Months Ended September 2021 versus
September 2020. Net revenues in Asset Management
were $12.03 billion for the first nine months of 2021,
compared with $4.77 billion for the first nine months of
2020, primarily reflecting significantly higher net revenues
in Equity investments and Lending and debt investments.

The increase in Equity investments net revenues reflectedsignificantly higher net gains from investments in private
equities, driven by company-specific events, including sales
and capital raises, and improved corporate performanceversus a challenging first nine months of 2020. This
increase was partially offset by significantly lower net gains
from investments in public equities.
The increase in Lending and debt investments net revenues
reflected net gains from investments in debt instruments
compared with net losses in the prior year period, andsignificantly higher net interest income.
The increase in Management and other fees reflected theimpact of higher average assets under supervision andhigher other fees, partially offset by higher fee waivers onmoney market funds. Incentive fees were essentiallyunchanged.
Provision for credit losses was a net benefit of $2 million for
the first nine months of 2021, compared with net
provisions of $420 million for the first nine months of
2020, primarily due to reserve reductions in the current
year period reflecting continued improvement in the
broader economic environment following challenging
conditions in the first nine months of 2020 resulting fromthe COVID-19 pandemic.
Operating expenses were $4.66 billion for the first ninemonths of 2021, 20% higher than the first nine months of
2020,
primarilyreflecting
significantly
highercompensation and benefits expenses (reflecting strong
performance). Pre-tax earnings were $7.37 billion for the
first nine months of 2021, compared with $465 million for
the first nine months of 2020.
Consumer & Wealth Management
Consumer & Wealth Management helps clients achieve
their individual financial goals by providing a broad range
of wealth advisory and banking services, including financial
planning, investment management, deposit taking, andlending. Services are offered through our global network ofadvisors and via our digital platforms.
Wealth Management. Wealth management provides
tailored wealth advisory services to clients across the wealthspectrum. We operate globally serving individuals, families,
family offices, and foundations and endowments. Our
relationships are established directly or introduced throughcorporations that sponsor financial wellness programs fortheir employees.

Goldman Sachs September 2021 Form 10-Q 114

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
We offer personalized financial planning inclusive of
income and liability management, compensation andbenefits analysis, trust and estate structuring, tax
optimization, philanthropic giving, and asset protection.
We also provide customized investment advisory solutions,and offer structuring and execution capabilities in security
and derivative products across all major global markets.
We leverage a broad, open-architecture investment
platform and our global execution capabilities to help
clients achieve their investment goals. In addition, we offer
clients a full range of private banking services, including avariety of deposit alternatives and loans that our clients use
to finance investments in both financial and nonfinancial
assets, bridge cash flow timing gaps or provide liquidity andflexibility for other needs.
Wealth management
following:

generates

revenues

from

As of
$ in millions

September
2021

December
2020

Cash and cash equivalents
Collateralized agreements
Customer and other receivables
Trading assets
Investments
Loans
Other assets
Total$ 37,073
15,127
10,647
13,75859
50,2373,249$130,150$ 25,814
12,518
7,132
17,96952
39,7993,145$106,429

The table below presents our Consumer & WealthManagement operating results.

the‰ Management and other fees. Includes fees related to
managing assets, providing investing and wealth advisory
solutions, providing financial planning and counselingservices via Ayco Personal Finance Management, andexecuting brokerage transactions for wealth management
clients.
‰ Incentive fees. In certain circumstances, we also receive
incentive fees from wealth management clients based on apercentage of a fund’s return, or when the return exceeds
a specified benchmark or other performance targets. Suchfees include overrides, which consist of the increased
share of the income and gains derived primarily from ourprivate equity and credit funds when the return on afund’s investments over the life of the fund exceeds
certain threshold returns.
‰ Private banking and lending. Includes net interest
income allocated to deposit-taking and net interest
income earned on lending activities for wealthmanagement clients.
Consumer Banking. Our Consumer banking businessissues unsecured loans, through our digital platform,
Marcus by Goldman Sachs (Marcus), and credit cards, tofinance the purchases of goods or services. We also accept
deposits through Marcus, in Goldman Sachs Bank USA (GSBank USA) and GSIB. These deposits include savings andtime deposits which provide us with a diversified source offunding. Additionally, we provide investing services
through Marcus Invest, currently offered in the U.S.
Consumer banking revenues consist of net interest income
earned on unsecured loans issued to consumers throughMarcus and credit card lending activities, and net interest
income allocated to consumer deposits.

115 Goldman Sachs September 2021 Form 10-Q

The table below presents our Consumer & WealthManagement assets.

Three Months
Ended September$ in millions

Management and other fees
Incentive fees
Private banking and lending
Wealth management
Consumer banking
Net revenues
Provision for credit losses
Operating expenses
Pre-tax earnings
Provision for taxes
Net earnings
Preferred stock dividends
Net earnings to common

2021

2020

Nine Months
Ended September
2021

2020

$ 1,223 $ 957 $ 3,409 $2,854
121
7
162
86
292
201
816
538
1,636 1,165
4,387 3,478
382
326
1,116
866
2,018 1,491
5,503 4,344
148
52
274
537
1,631 1,237
4,499 3,680
239
202
730
127
51
66
143
36
188
136
587
91
8
10
29
29
$ 180 $ 126 $ 558 $ 62

Average common equity$10,740 $8,519 $10,475 $7,715
Return on average common equity 6.7% 5.9%
7.1% 1.1%

Operating Environment. During the third quarter of2021, market and economic conditions contributed to afavorable backdrop for consumer banking and wealthmanagement activities. Global equity prices remained
stable and, in the U.S., unemployment decreased andconsumer spending increased compared with the end of thesecond quarter of 2021, aided by continued economic
recovery and continued support from central banks andgovernments globally. If optimism about the economic
outlook declines or the ongoing efforts to mitigate theimpact of the COVID-19 pandemic are ineffective, it may
lead to a decline in asset prices, investors favoring asset
classes that typically generate lower fees, investors
withdrawing their assets and consumers withdrawing theirdeposits or deterioration in consumer credit, net revenues
and the provision for credit losses in Consumer & WealthManagement would likely be negatively impacted.
Three Months Ended September 2021 versus
September 2020. Net revenues in Consumer & WealthManagement were $2.02 billion for the third quarter of2021, 35% higher than the third quarter of 2020.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Net revenues in Wealth management were $1.64 billion,
40% higher than the third quarter of 2020. Management
and other fees were significantly higher, primarily reflecting
the impact of higher average assets under supervision.
Incentive fees were significantly higher, due to harvesting,and net revenues in Private banking and lending werehigher, primarily reflecting higher loan balances.

Operating expenses were $4.50 billion for the first ninemonths of 2021, 22% higher than the first nine months of
2020,
primarilyreflecting
significantly
highercompensation and benefits expenses (reflecting strong
performance). Pre-tax earnings were $730 million for the
first nine months of 2021, compared with $127 million for
the first nine months of 2020.

Net revenues in Consumer banking were $382 million,
17% higher than the third quarter of 2020, reflecting
higher credit card and deposit balances.

Assets Under Supervision
AUS includes our institutional clients’ assets and assets
sourced through third-party distributors (both included in
our Asset Management segment), as well as high-net-worthclients’ assets (included in our Consumer & WealthManagement segment), where we earn a fee for managing
assets on a discretionary basis. This includes net assets in
our mutual funds, hedge funds, credit funds, private equity
funds, real estate funds, and separately managed accounts
for institutional and individual investors. AUS also includes
client assets invested with third-party managers, privatebank deposits and advisory relationships where we earn afee for advisory and other services, but do not haveinvestment discretion. AUS does not include the selfdirected brokerage assets of our clients.

Provision for credit losses was $148 million for the third
quarter of 2021, compared with $52 million for the third
quarter of 2020, primarily reflecting increased portfolio
growth in credit cards, while the prior year period was
positively impacted by reserve reductions from paydowns
on consumer installment loans.
Operating expenses were $1.63 billion for the third quarterof 2021, 32% higher than the third quarter of 2020,
primarily reflecting significantly higher compensation andbenefits expenses (reflecting strong performance). Pre-tax
earnings were $239 million for the third quarter of 2021,
18% higher than the third quarter of 2020.
Nine Months Ended September 2021 versus
September 2020. Net revenues in Consumer & WealthManagement were $5.50 billion for the first nine months of2021, 27% higher than the first nine months of 2020.
Net revenues in Wealth management were $4.39 billion,
26% higher than the first nine months of 2020, due tohigher Management and other fees, primarily reflecting theimpact of higher average assets under supervision, andsignificantly higher net revenues in Private banking andlending, primarily reflecting higher loan balances. In
addition, Incentive fees were higher, due to harvesting.
Net revenues in Consumer banking were $1.12 billion,
29% higher than the first nine months of 2020, reflecting
higher deposit and credit card balances.
Provision for credit losses was $274 million for the firstnine months of 2021, 49% lower than the first nine monthsof 2020, primarily due to reserve reductions in the current
year period reflecting continued improvement in the
broader economic environment following challenging
conditions in the first nine months of 2020 resulting fromthe COVID-19 pandemic, partially offset by increased
portfolio growth in credit cards, including approximately$185 million of provisions related to the pending
acquisition of the General Motors co-branded portfolio.

The table below presents information about our firmwide
period-end AUS by segment, asset class, distribution
channel, region and vehicle.
As of September$ in billions

Segment
Asset Management
Consumer & Wealth Management
Total AUS
Asset Class
Alternative investments
EquityFixed income
Total long-term AUS
Liquidity products
Total AUS
Distribution Channel
Institutional
Wealth management
Third-party distributed
Total AUS
RegionAmericas
EMEA
Asia
Total AUS
VehicleSeparate accounts
Public funds
Private funds and otherTotal AUS

2021

2020

$1,678694$2,372$1,461575$2,036

$ 224
569
940
1,733
639
$2,372

$ 182
421
856
1,459
577
$2,036

$ 812
694
866
$2,372

$ 725
575
736
$2,036$1,853339
180$2,372$1,563305
168$2,036$1,300776
296$2,372$1,120673
243$2,036In the table above:‰ Liquidity products includes money market funds andprivate bank deposits.
‰ EMEA represents Europe, Middle East and Africa.
Goldman Sachs September 2021 Form 10-Q 116

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Asset classes, such as alternative investment and equity
assets, typically generate higher fees relative to fixed income
and liquidity product assets. The average effective
management fee (which excludes non-asset-based fees) weearned on our firmwide AUS was 29 basis points for each of
the three and nine months ended September 2021 and
September 2020.
We earn management fees on client assets that we manage
and also receive incentive fees based on a percentage of afund’s or a separately managed account’s return, or when
the return exceeds a specified benchmark or otherperformance targets. These incentive fees are recognizedwhen it is probable that a significant reversal of such fees
will not occur. Our estimated unrecognized incentive fees
were $2.93 billion as of September 2021 and $1.79 billion
as of December 2020. Such amounts are based on thecompletion of the funds’ financial statements, which is
generally one quarter in arrears. These fees will berecognized, assuming no decline in fair value, if and when it
is probable that a significant reversal of such fees will notoccur, which is generally when such fees are no longer
subject to fluctuations in the market value of the assets.

The table below presents changes in our AUS.
Three Months
Nine Months
Ended September Ended September$ in billions

2021

Asset Management
Beginning balance$1,633
Net inflows/(outflows):
Alternative investments
3
Equity3
Fixed income
27
Total long-term AUS net inflows/(outflows)
33
Liquidity products
11
Total AUS net inflows/(outflows)44
Net market appreciation/(depreciation)
1
Ending balance$1,678Consumer & Wealth Management
Beginning balance$ 672
Net inflows/(outflows):
Alternative investments
6
Equity9Fixed income
1
Total long-term AUS net inflows/(outflows)16
Liquidity products
6
Total AUS net inflows/(outflows)22
Net market appreciation/(depreciation)–
Ending balance$ 694
Firmwide
Beginning balance$2,305
Net inflows/(outflows):
Alternative investments
9Equity12
Fixed income
28
Total long-term AUS net inflows/(outflows)49
Liquidity products
17
Total AUS net inflows/(outflows)66
Net market appreciation/(depreciation)
1
Ending balance$2,372

2020

2021

2020

$1,499 $1,530$1,298

(3)
9
(5)
1
22
55
14
65
(86)
56
(72)
121
34
27
$1,461 $1,678

(6)
–
35
29
101
130
33
$1,461$ 558 $ 615

$ 561

2
13
–
28
2
2
4
43
(4)
–
–
43
17
36
$ 575 $ 694

2
–
(6)
(4)
14
10
4
$ 575

$2,057 $2,145$1,859

(1)
22
(5)
29
24
57
18
108
(90)
56
(72)
164
51
63
$2,036 $2,372

(4)
–
29
25
115
140
37
$2,036

The table below presents information about our averagemonthly firmwide AUS by segment and asset class.
Average for theThree Months
Ended September$ in billions

2021

2020

Nine Months
Ended September
2021

2020

Segment
Asset Management$1,663 $1,512 $1,602 $1,412
Consumer & Wealth Management
688
571
656
555
Total AUS
$2,351 $2,083 $2,258 $1,967
Asset Class
Alternative investments
EquityFixed income
Total long-term AUS
Liquidity products
Total AUS

$ 217 $ 181 $ 205 $ 182
569
418
532
398
932
844
911
815
1,718
1,443
1,648
1,395
633
640
610
572
$2,351 $2,083 $2,258 $1,967

In addition to our AUS, we have discretion over alternative
investments where we currently do not earn management
fees (non-fee-earning alternative assets).

117 Goldman Sachs September 2021 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
The table below presents information about our AUS for
alternative assets, non-fee-earning alternative assets andtotal alternative assets.

$ in billions

As of September 2021
Corporate equity
CreditReal estate
Hedge funds and multi-asset
Other
Total
As of September 2020
Corporate equity
CreditReal estate
Hedge funds and multi-asset
Other
Total

AUS

Non-fee-earning
alternative assets

$ 92
23
19
90
–
$224

$ 79
18
16
69
–
$182

Total
alternative
assets

$ 74
70
45
2
1
$192

$ 42
61
44
1
1
$149

$166
93
64
92
1
$416

$121
79
60
70
1
$331

In the table above:‰ Corporate equity primarily includes private equity.
‰ Total alternative assets included uncalled capital that isavailable for future investing of $47 billion as of
September 2021 and $37 billion as of September 2020.
‰ Non-fee-earning alternative assets primarily includes
investments that we hold on our balance sheet, ourunfunded commitments, unfunded commitments of ourclients (where we do not charge fees on commitments),
credit facilities collateralized by fund assets and employee
funds. Our calculation of non-fee-earning alternative
assets may not be comparable to similar calculations usedby other companies.
In the beginning of 2020, we announced a strategic
objective of growing our third-party alternatives business,and established targets of achieving net inflows of$100 billion and gross inflows of $150 billion foralternative assets over five years.
The table below presents information about third-party
commitments raised in our alternatives business during2020 and through the third quarter of 2021.

$ in billions

Included in AUS
Included in non-fee-earning alternative assets
Third-party commitments raised

The table below presents information about alternative
investments in our Asset Management segment that wehold on our balance sheet.

Equitysecurities

CIE
investments
and other

Total

Loans

Debt
securities

As of September 2021
Corporate equity
CreditReal estate
Other
Total

$ –
8
8
–
$16

$ –
11
2
–
$13

$16
–
4
–
$20

$ –
–
17
1
$18

$16
19
31
1
$67

As of September 2020
Corporate equity
CreditReal estate
Other
Total

$ –
8
9
–
$17

$ –
11
2
–
$13

$16
–
3
–
$19

$ –
–
20
1
$21

$16
19
34
1
$70

$ in billions

Loans and Debt Securities. The table below presents theconcentration of loans and debt securities within ouralternative investments by accounting classification, region
and industry.
As of September$ in billions

2021

2020

Loans
Debt securities
Total

$16
13
$29

$17
13
$30

Accounting Classification
Debt securities at fair value
Loans at amortized cost
Loans at fair value
Total

45%
43%
12%
100%

43%
44%
13%
100%

RegionAmericas
EMEA
Asia
Total

47%
34%
19%
100%

46%
33%
21%
100%

Industry
Consumers
Financial Institutions
Healthcare
Industrials
Natural Resources & Utilities
Real EstateTechnology, Media & Telecommunications
Other
Total

4%
8%
9%
15%
3%
36%
14%
11%
100%

4%
8%
8%
16%
4%
35%
13%
12%
100%

As of
September 2021

$50
40
$90

In the table above, commitments included in
non-fee-earning alternative assets included approximately$27 billion which will begin to earn fees (and become AUS),
if and when the commitments are drawn and assets areinvested.
Goldman Sachs September 2021 Form 10-Q 118

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Equity. The table below presents the concentration ofequity securities within our alternative investments byregion and industry.

The table below presents the rollforward of our equity
securities from the beginning of 2020 through the third
quarter of 2021.
$ in billions

As of September$ in billions

2021

2020

Equity securities

$20

$19

RegionAmericas
EMEA
Asia
Total

57%
23%
20%
100%

52%
16%
32%
100%

Industry
Financial Institutions
Healthcare
Industrials
Natural Resources & Utilities
Real EstateTechnology, Media & Telecommunications
Other
Total

14%
10%
7%
8%
21%
32%
8%
100%

23%
8%
5%
7%
18%
33%
6%
100%

In the table above:‰ Equity securities included $16 billion of private equity
positions as of both September 2021 and
September 2020, and $4 billion as of September 2021 and$3 billion as of September 2020 of public equity positions
that converted from private equity upon the initial public
offerings of the underlying companies.
‰ The concentrations for real estate equity securities as of
September 2021 were 4% for multifamily (2% as of
September 2020), 4% for office (3% as of
September 2020), 6% for mixed use (6% as of
September 2020) and 7% for other real estate equity
securities (7% as of September 2020).
The table below presents the concentration of equity
securities within our alternative investments by vintage.
Vintage

As of September 2021
2014 or earlier
2015 - 20172018 - thereafter
Total
As of September 20202013 or earlier
2014 - 20162017 - thereafter
Total

25%
34%
41%
100%
32%
35%
33%
100%

As we continue to grow our third-party alternatives
business, we remain focused on our strategic objective,
announced in January 2020, to reduce the capital intensityof the Asset Management segment by reducing our
on-balance sheet equity investments.

119 Goldman Sachs September 2021 Form 10-Q

Total Equity

Beginning balance
Additions
Dispositions
Mark-ups
Ending balance

$ 22
5
(16)
9
$ 20

CIE Investments and Other. CIE investments and otherincluded assets held by CIEs of $17 billion as of
September 2021 and $21 billion as of September 2020,
which were funded with liabilities of approximately$9 billion as of September 2021 and $12 billion as of
September 2020. Substantially all such liabilities werenonrecourse, thereby reducing our equity at risk.
The table below presents the concentration of CIE assets,
net of financings, within our alternative investments byregion and asset class.
As of September$ in billions

2021

2020

$8

$9

RegionAmericas
EMEA
Asia
Total

63%
25%
12%
100%

62%
21%
17%
100%

Asset Class
Hospitality
Industrials
Multifamily
OfficeRetailSenior Housing
Student Housing
Other
Total

4%
11%
24%
26%
5%
14%
6%
10%
100%

4%
8%
24%
30%
6%
12%
7%
9%
100%

CIE assets, net of financings

The table below presents the concentration of CIE assets,
net of financings, within our alternative investments by
vintage.
Vintage

As of September 2021
2014 or earlier
2015 - 20172018 - thereafter
Total

2%
27%
71%
100%

As of September 20202013 or earlier
2014 - 20162017 - thereafter
Total

1%
18%
81%
100%

Geographic Data
See Note 25 to the consolidated financial statements for asummary of our total net revenues and pre-tax earnings by
geographic region.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Balance Sheet and Funding Sources
Balance Sheet Management
One of our risk management disciplines is our ability to
manage the size and composition of our balance sheet.
While our asset base changes due to client activity, market
fluctuations and business opportunities, the size andcomposition of our balance sheet also reflects factors,
including (i) our overall risk tolerance, (ii) the amount of
capital we hold and (iii) our funding profile, among otherfactors. See “Capital Management and Regulatory
Capital — Capital Management” for information about
our capital management process.
Although our balance sheet fluctuates on a day-to-day
basis, our total assets at quarter-end and year-end dates are
generally not materially different from those occurring
within our reporting periods.
In order to ensure appropriate risk management, we seek tomaintain a sufficiently liquid balance sheet and haveprocesses in place to dynamically manage our assets andliabilities, which include (i) balance sheet planning,(ii) balance sheet limits, (iii) monitoring of key metrics and(iv) scenario analyses.
Balance Sheet Planning. We prepare a balance sheet planthat combines our projected total assets and composition ofassets with our expected funding sources over a three-yeartime horizon. This plan is reviewed quarterly and may be
adjusted in response to changing business needs or market
conditions. The objectives of this planning process are:
‰ To develop our balance sheet projections, taking into
account the general state of the financial markets andexpected business activity levels, as well as regulatory
requirements;‰ To allow Treasury and our independent risk oversightand control functions to objectively evaluate balance
sheet limit requests from our revenue-producing units inthe context of our overall balance sheet constraints,
including our liability profile and capital levels, and key
metrics; and‰ To inform the target amount, tenor and type of funding toraise, based on our projected assets and contractual
maturities.
Treasury and our independent risk oversight and control
functions, along with our revenue-producing units, review
current and prior period information and expectations forthe year to prepare our balance sheet plan. The specificinformation reviewed includes asset and liability size andcomposition, limit utilization, risk and performancemeasures, and capital usage.

Our consolidated balance sheet plan, including our balance
sheets by business, funding projections and projected key
metrics, is reviewed and approved by the Firmwide Asset
Liability Committee and the Risk Governance Committee.
See “Risk Management — Overview and Structure of Risk
Management” for an overview of our risk management
structure.
Balance Sheet Limits. The Firmwide Asset Liability
Committee and the Risk Governance Committee have theresponsibility to review and approve balance sheet limits.
These limits are set at levels which are close to actual
operating levels, rather than at levels which reflect our
maximum risk appetite, in order to ensure prompt
escalation and discussion among our revenue-producing
units, Treasury and our independent risk oversight andcontrol functions on a routine basis. Requests for changes
in limits are evaluated after giving consideration to theirimpact on our key metrics. Compliance with limits ismonitored by our revenue-producing units and Treasury, as
well as our independent risk oversight and control
functions.
Monitoring of Key Metrics. We monitor key balance
sheet metrics both by business and on a consolidated basis,including asset and liability size and composition, limit
utilization and risk measures. We allocate assets tobusinesses and review and analyze movements resulting
from new business activity, as well as market fluctuations.
Scenario Analyses. We conduct various scenario
analyses, including as part of the Comprehensive Capital
Analysis and Review (CCAR) and U.S. Dodd-Frank WallStreet Reform and Consumer Protection Act Stress Tests(DFAST), as well as our resolution and recovery planning.
See “Capital Management and Regulatory Capital —Capital Management” for further information about thesescenario analyses. These scenarios cover short- and longterm time horizons using various macroeconomic and firmspecific assumptions, based on a range of economic
scenarios. We use these analyses to assist us in developing
our longer-term balance sheet management strategy,
including the level and composition of assets, funding andcapital. Additionally, these analyses help us develop
approaches for maintaining appropriate funding, liquidity
and capital across a variety of situations, including aseverely stressed environment.

Goldman Sachs September 2021 Form 10-Q 120

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Balance Sheet Analysis and Metrics
As of September 2021, total assets in our consolidatedbalance sheets were $1.44 trillion, an increase of$280.20 billion from December 2020, primarily reflecting
increases in collateralized agreements of $149.51 billion(primarily reflecting the impact of our and our clients’
activities), cash and cash equivalents of $55.99 billion(primarily reflecting our activity), customer and otherreceivables of $50.45 billion (primarily reflecting client
activity), and loans of $27.51 billion (primarily reflecting
increases in wealth management, residential real estate andcorporate loans).
As of September 2021, total liabilities in our consolidatedbalance sheets were $1.34 trillion, an increase of$269.84 billion from December 2020, primarily reflecting
increases in deposits of $73.08 billion (primarily reflecting
increases in institutional, transaction banking, privatebank, consumer, and deposit sweep programs deposits),
customer and other payables of $61.46 billion (primarilyreflecting client activity), collateralized financings of$54.61 billion (primarily reflecting the impact of our andour clients’ activities), trading liabilities of $50.54 billion(primarily reflecting the impact of our and our clients’
activities in government obligations and equities, partially
offset by the impact of interest rates and currency
movements on derivative instruments), and unsecured
borrowings of $25.42 billion (primarily driven by new
issuances partially offset by maturities).
Our total securities sold under agreements to repurchase(repurchase agreements), accounted for as collateralized
financings, were $167.34 billion as of September 2021 and$126.57 billion as of December 2020, which were 7%
higher as of September 2021 and 24% higher as ofDecember 2020 than the average daily amount ofrepurchase agreements over the respective quarters. As of
September 2021, the increase in our repurchase agreements
relative to the average daily amount of repurchaseagreements during the quarter resulted from higher levels of
our and our clients’ activities at the end of the period.
The level of our repurchase agreements fluctuates between
and within periods, primarily due to providing clients withaccess to highly liquid collateral, such as certain
government and agency obligations, through collateralized
financing activities.
The table below presents information about our balance
sheet and leverage ratios.
As of$ in millions

September
2021

December
2020

Total assets
Unsecured long-term borrowings
Total shareholders’ equity
Leverage ratio
Debt-to-equity ratio$1,443,230$ 242,780$ 106,297
13.6x
2.3x

$1,163,028$ 213,481$ 95,932
12.1x
2.2x

121 Goldman Sachs September 2021 Form 10-Q

In the table above:‰ The leverage ratio equals total assets divided by total
shareholders’ equity and measures the proportion ofequity and debt we use to finance assets. This ratio isdifferent from the leverage ratios included in Note 20 tothe consolidated financial statements.
‰ The debt-to-equity ratio equals unsecured long-termborrowings divided by total shareholders’ equity.
The table below presents information about ourshareholders’ equity and book value per common share,including the reconciliation of common shareholders’equity to tangible common shareholders’ equity.
As of$ in millions, except per share amounts

September
2021

December
2020

Total shareholders’ equity
Preferred stock
Common shareholders’ equity
Goodwill
Identifiable intangible assets
Tangible common shareholders’ equity$106,297(9,953)
96,344(4,326)(497)$ 91,521$ 95,932(11,203)
84,729(4,332)(630)$ 79,767

Book value per common share
Tangible book value per common share$ 277.25$ 263.37$ 236.15$ 222.32

In the table above:‰ Tangible common shareholders’ equity is calculated as
total shareholders’ equity less preferred stock, goodwill
and identifiable intangible assets. We believe that tangible
common shareholders’ equity is meaningful because it is ameasure that we and investors use to assess capital
adequacy. Tangible common shareholders’ equity is a
non-GAAP measure and may not be comparable tosimilar non-GAAP measures used by other companies.
‰ Book value per common share and tangible book value
per common share are based on common shares
outstanding and restricted stock units granted to
employees with no future service requirements and not
subject to performance conditions (collectively, basic
shares) of 347.5 million as of September 2021 and358.8 million as of December 2020. We believe thattangible book value per common share (tangible commonshareholders’ equity divided by basic shares) ismeaningful because it is a measure that we and investors
use to assess capital adequacy. Tangible book value percommon share is a non-GAAP measure and may not becomparable to similar non-GAAP measures used by othercompanies.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Funding Sources
Our primary sources of funding are deposits, collateralized
financings, unsecured short- and long-term borrowings,
and shareholders’ equity. We seek to maintain broad anddiversified funding sources globally across products,
programs, markets, currencies and creditors to avoid
funding concentrations.
The table below presents information about our funding
sources.
As of$ in millions

September 2021

December 2020

We seek to raise secured funding with a term appropriate
for the liquidity of the assets that are being financed, and weseek longer maturities for secured funding collateralized byasset classes that may be harder to fund on a secured basis,
especially during times of market stress. Our secured
funding, excluding funding collateralized by liquid
government and agency obligations, is primarily executedfor tenors of one month or greater and is primarily executed
through term repurchase agreements and securities loaned
contracts.

Deposits$333,038 35% $259,962 33%
Collateralized financings
228,558 24% 173,947 22%
Unsecured short-term borrowings
48,9905%52,8706%
Unsecured long-term borrowings
242,780 25% 213,481 27%
Total shareholders’ equity
106,297 11%
95,932 12%
Total$959,663 100% $796,192 100%

The weighted average maturity of our secured funding
included in collateralized financings in the consolidatedbalance sheets, excluding funding that can only becollateralized by liquid government and agency obligations,exceeded 120 days as of September 2021.

Our funding is primarily raised in U.S. dollar, Euro, British
pound and Japanese yen. We generally distribute ourfunding products through our own sales force and thirdparty distributors to a large, diverse creditor base in avariety of markets in the Americas, Europe and Asia. We
believe that our relationships with our creditors are criticalto our liquidity. Our creditors include banks, governments,
securities lenders, corporations, pension funds, insurancecompanies, mutual funds and individuals. We have
imposed various internal guidelines to monitor creditor
concentration across our funding programs.

Assets that may be harder to fund on a secured basis during
times of market stress include certain financial instrumentsin the following categories: mortgage and other assetbacked loans and securities, non-investment-grade
corporate debt securities, equity securities and emerging
market securities. Assets that are classified in level 3 of thefair value hierarchy are generally funded on an unsecured
basis. See Notes 4 through 10 to the consolidated financial
statements for further information about the classificationof financial instruments in the fair value hierarchy and“Unsecured Long-Term Borrowings” below for further
information about the use of unsecured long-termborrowings as a source of funding.

Deposits. Our deposits provide us with a diversified sourceof funding and reduce our reliance on wholesale funding.
We raise deposits, including savings, demand and time
deposits, from private bank clients, consumers, transaction
banking clients, other institutional clients, and throughinternal and third-party broker-dealers. Substantially all ofour deposits are raised through GS Bank USA and GSIB.
See Note 13 to the consolidated financial statements forfurther information about our deposits.
Secured Funding. We fund a significant amount of inventory
and a portion of investments on a secured basis. Secured funding
includes collateralized financings in the consolidated balance
sheets. We may also pledge our inventory and investments as
collateral for securities borrowed under a securities lending
agreement. We also use our own inventory and investments tocover transactions in which we or our clients have sold securities
that have not yet been purchased. Secured funding is lesssensitive to changes in our credit quality than unsecured
funding, due to our posting of collateral to our lenders.
Nonetheless, we analyze the refinancing risk of our secured
funding activities, taking into account trade tenors, maturity
profiles, counterparty concentrations, collateral eligibility andcounterparty rollover probabilities. We seek to mitigate ourrefinancing risk by executing term trades with staggeredmaturities, diversifying counterparties, raising excess secured
funding and pre-funding residual risk through our GCLA.

We also raise financing through other types ofcollateralized financings, such as secured loans and notes.
GS Bank USA has access to funding from the Federal Home
Loan Bank. Our outstanding borrowings against theFederal Home Loan Bank were $100 million as of
September 2021 and we had no outstanding borrowings asof December 2020. Additionally, we have access to funding
through the Federal Reserve discount window. However,
we do not rely on this funding in our liquidity planning andstress testing.
Unsecured Short-Term Borrowings. A significant
portion of our unsecured short-term borrowings was
originally long-term debt that is scheduled to mature within
one year of the reporting date. We use unsecured short-termborrowings, including U.S. and non-U.S. hybrid financial
instruments and commercial paper, to finance liquid assets
and for other cash management purposes. In accordancewith regulatory requirements, Group Inc. does not issue
debt with an original maturity of less than one year, otherthan to its subsidiaries. See Note 14 to the consolidated
financial statements for further information about our
unsecured short-term borrowings.

Goldman Sachs September 2021 Form 10-Q 122

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Unsecured Long-Term Borrowings. Unsecured longterm borrowings, including structured notes, are raised
through syndicated U.S. registered offerings, U.S. registered
and Rule 144A medium-term note programs, offshore
medium-term note offerings and other debt offerings. We
issue in different tenors, currencies and products tomaximize the diversification of our investor base.
The table below presents our quarterly unsecured long-termborrowings maturity profile.

$ in millions

First Second
Third Fourth
Quarter Quarter Quarter Quarter

As of September 2021
2022
$
–
2023
$14,3962024$ 8,6292025$ 6,8682026$ 6,2312027 - thereafter
Total

$
–
$7,018$9,092$9,831$3,729$–$9,084$8,939$5,719$6,584

Total$7,767 $ 7,767$7,82038,318$3,58030,240$5,58828,006$6,061
22,605
115,844$242,780

The weighted average maturity of our unsecured long-termborrowings as of September 2021 was approximately sevenyears. To mitigate refinancing risk, we seek to limit the
principal amount of debt maturing over the course of any
monthly, quarterly or annual time horizon. We enter into
interest rate swaps to convert a portion of our unsecured
long-term borrowings into floating-rate obligations tomanage our exposure to interest rates. See Note 14 to theconsolidated financial statements for further information
about our unsecured long-term borrowings.
Shareholders’ Equity. Shareholders’ equity is a stable andperpetual source of funding. See Note 19 to theconsolidated financial statements for further information
about our shareholders’ equity.

Capital Management and Regulatory Capital
Capital adequacy is of critical importance to us. We have inplace a comprehensive capital management policy thatprovides a framework, defines objectives and establishes
guidelines to assist us in maintaining the appropriate level
and composition of capital in both business-as-usual andstressed conditions.
Capital Management
We determine the appropriate amount and composition of
our capital by considering multiple factors, including ourcurrent and future regulatory capital requirements, theresults of our capital planning and stress testing process, theresults of resolution capital models and other factors, suchas rating agency guidelines, subsidiary capital requirements,
the business environment and conditions in the financial
markets.

123 Goldman Sachs September 2021 Form 10-Q

We manage our capital requirements and the levels of ourcapital usage principally by setting limits on the balance
sheet and/or limits on risk, in each case at both the firmwide
and business levels.
We principally manage the level and composition of ourcapital through issuances and repurchases of our common
stock.
We may issue, redeem or repurchase our preferred stock,junior subordinated debt issued to trusts and othersubordinated debt or other forms of capital as businessconditions warrant. Prior to such redemptions orrepurchases, we must receive approval from the FRB. See
Notes 14 and 19 to the consolidated financial statements
for further information about our preferred stock, juniorsubordinated debt issued to trusts and other subordinateddebt.
Capital Planning and Stress Testing Process. As part ofcapital planning, we project sources and uses of capitalgiven a range of business environments, including stressed
conditions. Our stress testing process is designed to identify
and measure material risks associated with our businessactivities, including market risk, credit risk and operationalrisk, as well as our ability to generate revenues.
Our capital planning process incorporates an internal
capital adequacy assessment with the objective of ensuringthat we are appropriately capitalized relative to the risks inour businesses. We incorporate stress scenarios into ourcapital planning process with a goal of holding sufficient
capital to ensure we remain adequately capitalized after
experiencing a severe stress event. Our assessment of capital
adequacy is viewed in tandem with our assessment ofliquidity adequacy and is integrated into our overall risk
management structure, governance and policy framework.
Our stress tests incorporate our internally designed stressscenarios, including our internally developed severely
adverse scenario, and those required by the FRB, and aredesigned to capture our specific vulnerabilities and risks.
We provide further information about our stress test
processes and a summary of the results on our website as
described in “Available Information.”
As required by the FRB’s CCAR rules, we submit an annual
capital plan for review by the FRB. The purpose of the
FRB’s review is to ensure that we have a robust, forwardlooking capital planning process that accounts for our
unique risks and that permits continued operation during
times of economic and financial stress.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
The FRB evaluates us based, in part, on whether we havethe capital necessary to continue operating under thebaseline and severely adverse scenarios provided by the
FRB and those developed internally. This evaluation also
takes into account our process for identifying risk, ourcontrols and governance for capital planning, and ourguidelines for making capital planning decisions. In
addition, the FRB evaluates our plan to make capital
distributions (i.e., dividend payments and repurchases orredemptions of stock, subordinated debt or other capitalsecurities) and issue capital, across the range ofmacroeconomic scenarios and firm-specific assumptions.
The FRB determines the SCB applicable to us based on its
own annual stress test. The SCB under the Standardized
approach is calculated as (i) the difference between ourstarting and minimum projected CET1 capital ratios under
the supervisory severely adverse scenario and (ii) ourplanned common stock dividends for each of the fourth
through seventh quarters of the planning horizon,
expressed as a percentage of risk-weighted assets (RWAs).
We submitted our 2021 CCAR capital plan in April 2021
and published a summary of our annual DFAST results inJune 2021. See “Available Information.” Based on our 2021
CCAR submission, the FRB reduced our SCB from 6.6% to
6.4%, resulting in a Standardized CET1 capital ratio
requirement of 13.4%, which is effective for the period from
October 1, 2021 through September 30, 2022. See “Share
Repurchase Program” for further information aboutcommon stock repurchases and dividends.
GS Bank USA has its own capital planning process and,starting in 2022, will be required to submit its annual stresstest results to the FRB. GSI, GSIB and Goldman Sachs Bank
Europe SE (GSBE) also have their own capital planning andstress testing process, which incorporates internallydesigned stress tests developed in accordance with theguidelines of their respective regulators.
Contingency Capital Plan. As part of our comprehensive
capital management policy, we maintain a contingency
capital plan. Our contingency capital plan provides aframework for analyzing and responding to a perceived or
actual capital deficiency, including, but not limited to,
identification of drivers of a capital deficiency, as well as
mitigants and potential actions. It outlines the appropriate
communication procedures to follow during a crisis period,
including internal dissemination of information, as well as
timely communication with external stakeholders.

Capital Attribution. We assess each of our businesses’
capital usage based on our internal assessment of risks,
which incorporates an attribution of our relevant
regulatory capital requirements. These regulatory capitalrequirements are allocated using our attributed equity
framework, which takes into consideration our mostbinding capital constraints. Our most binding capitalconstraint is based on the results of the FRB’s annual stress
test, which includes the Standardized risk-based capital andleverage ratios. We review and make any necessary
adjustments to our attributed equity framework each year,
in January, to reflect our final CCAR results from the prioryear.
On January 1, 2021, we adjusted our attributed equity
framework to reflect the results of our 2020 CCAR
submission. The adjusted attributed equity framework
places greater emphasis on activities that generatesignificant stress losses and higher Standardized risk
weights. As a result of this adjustment, relative to theallocation as of December 2020, the allocation of attributed
equity among our segments at the start of this year changed
as follows: attributed equity increased by approximately$3.7 billion for Asset Management and approximately$0.7 billion for Consumer & Wealth Management, while
attributed equity decreased by approximately $2.3 billion
for Global Markets and approximately $2.1 billion for
Investment Banking. See “Segment Assets and Operating
Results — Segment Operating Results” for information
about our average quarterly attributed equity by segment.
Share Repurchase Program. We use our share
repurchase program to help maintain the appropriate levelof common equity. The repurchase program is effectedprimarily through regular open-market purchases (which
may include repurchase plans designed to comply with
Rule 10b5-1 and accelerated share repurchases), theamounts and timing of which are determined primarily by
our current and projected capital position and our capitalplan submitted to the FRB as part of CCAR. The amounts
and timing of the repurchases may also be influenced bygeneral market conditions and the prevailing price andtrading volumes of our common stock.
In the third quarter of 2021, the Board of Directors ofGroup Inc. (Board) approved an increase in our common
stock dividend from $1.25 to $2.00 per share. During thethird quarter of 2021, we returned a total of $1.70 billion
to shareholders, including common stock repurchases of$1.00 billion and $700 million in common stock dividends.
Consistent with our capital management philosophy, we
will continue prioritizing deployment of capital for ourclients where returns are attractive and return any excess
capital to shareholders through share repurchases anddividends.

Goldman Sachs September 2021 Form 10-Q 124

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
As of September 2021, the remaining share authorization
under our existing repurchase program was 35.6 million
shares. See “Unregistered Sales of Equity Securities and Useof Proceeds” in Part II, Item 2 of this Form 10-Q andNote 19 to the consolidated financial statements for further
information about our share repurchase program, and see
above for information about our capital planning and stresstesting process.
Resolution Capital Models. In connection with ourresolution planning efforts, we have established a
Resolution Capital Adequacy and Positioning framework,
which is designed to ensure that our major subsidiaries (GSBank USA, Goldman Sachs & Co. LLC (GS&Co.), GSI,
GSIB, GSBE, Goldman Sachs Japan Co., Ltd. (GSJCL),
Goldman Sachs Asset Management, L.P. and Goldman
Sachs Asset Management International) have access to
sufficient loss-absorbing capacity (in the form of equity,
subordinated debt and unsecured senior debt) so that they
are able to wind-down following a Group Inc. bankruptcy
filing in accordance with our preferred resolution strategy.
In addition, we have established a triggers and alerts
framework, which is designed to provide the Board withinformation needed to make an informed decision onwhether and when to commence bankruptcy proceedingsfor Group Inc.
Rating Agency Guidelines
The credit rating agencies assign credit ratings to the
obligations of Group Inc., which directly issues orguarantees substantially all of our senior unsecured debt
obligations. GS&Co. and GSI have been assigned long- andshort-term issuer ratings by certain credit rating agencies.
GS Bank USA, GSIB and GSBE have also been assigned
long- and short-term issuer ratings, as well as ratings ontheir long- and short-term bank deposits. In addition, credit
rating agencies have assigned ratings to debt obligations ofcertain other subsidiaries of Group Inc.
The level and composition of our capital are among themany factors considered in determining our credit ratings.
Each agency has its own definition of eligible capital andmethodology for evaluating capital adequacy, andassessments are generally based on a combination of factors
rather than a single calculation. See “Risk Management —Liquidity Risk Management — Credit Ratings” for further
information about credit ratings of Group Inc., GS Bank
USA, GSIB, GSBE, GS&Co. and GSI.
Consolidated Regulatory Capital
We are subject to consolidated regulatory capitalrequirements which are calculated in accordance with theregulations of the FRB (Capital Framework). Under the
Capital Framework, we are an “Advanced approach”
banking organization and have been designated as a global
systemically important bank (G-SIB).
125 Goldman Sachs September 2021 Form 10-Q

The capital requirements calculated under the Capital
Framework include the capital conservation buffer
requirements, which are comprised of a 2.5% buffer (underthe Advanced Capital Rules), the SCB (under theStandardized Capital Rules), a countercyclical capital buffer(under both Capital Rules) and the G-SIB surcharge (underboth Capital Rules). Our G-SIB surcharge is 2.5% for 2021
and 2022. We expect that our G-SIB surcharge will be 3.0%
beginning in 2023. Based on financial data for the ninemonths ended September 2021, our current estimate is that
we are above the threshold for the 3.5% G-SIB surcharge.
The earliest this surcharge could be effective is January 2024.
The G-SIB surcharge and countercyclical capital buffer in the
future may differ due to additional guidance from ourregulators and/or positional changes, and our SCB is likely tochange from year to year based on the results of the annual
supervisory stress tests. Our target Standardized CET1
capital ratio remains in a range between 13.0% and 13.5%(including management buffers) based upon the execution of
our previously announced strategic initiatives andachievement of capital efficiencies. However, in light of ourmost recent SCB based on our 2021 CCAR submission,achieving this target by year-end 2022 will be challenging.
See Note 20 to the consolidated financial statements forfurther information about our risk-based capital ratios andleverage ratios, and the Capital Framework.
Total Loss-Absorbing Capacity (TLAC)
We are also subject to the FRB’s TLAC and related
requirements. Failure to comply with the TLAC and related
requirements could result in restrictions being imposed by
the FRB and could limit our ability to repurchase shares,
pay dividends and make certain discretionary
compensation payments.
The table below presents TLAC and external long-term
debt requirements.
As of

TLAC to RWAs
TLAC to leverage exposure
External long-term debt to RWAs
External long-term debt to leverage exposure

September
2021

December
2020

21.5%
9.5%
8.5%
4.5%

22.0%
9.5%
8.5%
4.5%

In the table above:‰ As of both September 2021 and December 2020, the
TLAC to RWAs requirement included (i) the 18%
minimum, (ii) the 2.5% buffer, (iii) the countercyclicalcapital buffer, which the FRB has set to zero percent and(iv) the G-SIB surcharge (Method 1). The G-SIB surcharge(Method 1) was 1.0% as of September 2021 and 1.5% asof December 2020.
‰ The TLAC to leverage exposure requirement
includes (i) the 7.5% minimum and (ii) the 2.0% leverage
exposure buffer.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis‰ The external long-term debt to RWAs requirement
includes (i) the 6% minimum and (ii) the 2.5% G-SIB
surcharge (Method 2).
‰ The external long-term debt to total leverage exposure is
the 4.5% minimum.
The table below presents information about our TLAC andexternal long-term debt ratios.
For the Three Months
Ended or as of$ in millions

September
2021

December
2020

TLAC
External long-term debt
RWAs
Leverage exposure$ 283,881$ 166,200$ 672,061$1,844,274$ 242,730$ 139,200$ 609,750$1,332,937

42.2%
15.4%
24.7%
9.0%

39.8%
18.2%
22.8%
10.4%

TLAC to RWAs
TLAC to leverage exposure
External long-term debt to RWAs
External long-term debt to leverage exposure

In the table above:‰ TLAC includes common and preferred stock, and eligible
long-term debt issued by Group Inc. Eligible long-term
debt represents unsecured debt, which has a remaining
maturity of at least one year and satisfies additional
requirements.
‰ External long-term debt consists of eligible long-term
debt subject to a haircut if it is due to be paid between one
and two years.
‰ RWAs represent Advanced RWAs as of both
September 2021 and December 2020. In accordance with
the TLAC rules, the higher of Advanced or Standardized
RWAs are used in the calculation of TLAC and external
long-term debt ratios and applicable requirements.
‰ Leverage exposure consists of average adjusted total
assets and certain off-balance sheet exposures. Leverage
exposure for the three months ended December 2020
excluded average holdings of U.S. Treasury securities andaverage deposits at the Federal Reserve as permitted by
the FRB under a temporary amendment. This temporary
amendment had the effect of increasing the TLAC toleverage exposure ratio and the external long-term debt toleverage ratio. The impact of this temporary amendment
was an increase to the TLAC to leverage exposure ratio of
2.4 percentage points and the external long-term debt toleverage exposure ratio of 1.3 percentage points for thethree months ended December 2020. The amendment
permitting this exclusion expired on April 1, 2021.

Subsidiary Capital Requirements
Many of our subsidiaries, including our bank and brokerdealer subsidiaries, are subject to separate regulation andcapital requirements of the jurisdictions in which they
operate.
Bank Subsidiaries. GS Bank USA is our primary U.S.
banking subsidiary and GSIB and GSBE are our primary
non-U.S. banking subsidiaries. These entities are subject toregulatory capital requirements. See Note 20 to theconsolidated financial statements for further information
about the regulatory capital requirements of our banksubsidiaries.
U.S. Regulated Broker-Dealer Subsidiaries. GS&Co. is
our primary U.S. regulated broker-dealer subsidiary and issubject to regulatory capital requirements, including those
imposed by the SEC and the Financial Industry Regulatory
Authority, Inc. In addition, GS&Co. is a registered futurescommission merchant and is subject to regulatory capitalrequirements imposed by the CFTC, the Chicago
Mercantile Exchange and the National Futures Association.
Rule 15c3-1 of the SEC and Rule 1.17 of the CFTC specify
uniform minimum net capital requirements, as defined, fortheir registrants, and also effectively require that asignificant part of the registrants’ assets be kept in relatively
liquid form. GS&Co. has elected to calculate its minimum
capital requirements in accordance with the “Alternative
Net Capital Requirement” as permitted by Rule 15c3-1.
GS&Co. had regulatory net capital, as defined byRule 15c3-1, of $19.67 billion as of September 2021 and$22.38 billion as of December 2020, which exceeded theamount required by $15.52 billion as of September 2021 and$18.45 billion as of December 2020. In addition to its
alternative minimum net capital requirements, GS&Co. is also
required to hold tentative net capital in excess of $1 billion andnet capital in excess of $500 million in accordance with themarket and credit risk standards of Appendix E ofRule 15c3-1. GS&Co. is also required to notify the SEC in theevent that its tentative net capital is less than $5 billion. As ofboth September 2021 and December 2020, GS&Co. had
tentative net capital and net capital in excess of both theminimum and the notification requirements.
Non-U.S. Regulated Broker-Dealer Subsidiaries. Our
principal non-U.S. regulated broker-dealer subsidiaries
include GSI and GSJCL.

See “Business — Regulation” in Part I, Item 1 of the 2020
Form 10-K for further information about TLAC.

Goldman Sachs September 2021 Form 10-Q 126

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
GSI, our U.K. broker-dealer, is regulated by the Prudential
Regulation Authority (PRA) and the Financial Conduct
Authority (FCA). GSI is subject to the U.K. capitalframework, which is predominantly aligned with the E.U.
capital framework prescribed in the amended E.U. Capital
Requirements Directive (CRD) and the E.U. Capital
Requirements Regulation (CRR). These capital regulations
are largely based on the Basel Committee on Banking
Supervision’s (Basel Committee) capital framework forstrengthening international capital standards (Basel III).
The table below presents GSI’s risk-based capitalrequirements.
As of
September
2021

December
2020

8.1%
9.9%
12.3%

8.1%
10.0%
12.5%

Risk-based capital requirements
CET1 capital ratio
Tier 1 capital ratio
Total capital ratio

In the table above, the risk-based capital requirements
incorporate capital guidance received from the PRA andcould change in the future.
The table below presents information about GSI’s riskbased capital ratios.
As of$ in millions

September
2021

December
2020

Risk-based capital and risk-weighted assets
CET1 capital
Tier 1 capital
Tier 2 capital
Total capital
RWAs$ 28,345$ 36,645$ 5,377$ 42,022$278,483$ 26,962$ 35,262$ 5,377$ 40,639$252,355

10.2%
13.2%
15.1%

10.7%
14.0%
16.1%

Risk-based capital ratios
CET1 capital ratio
Tier 1 capital ratio
Total capital ratio

In the table above, CET1 capital, Tier 1 capital and Total
capital as of September 2021 include GSI’s profits after
foreseeable charges for the three months ended
September 2021 (which will be finalized upon verification by
GSI’s external auditors and approval by the PRA for inclusion
in risk-based capital). These profits contributed
approximately 25 basis points to the risk-based capital ratios.

GSI will become subject to a PRA-required leverage ratiothat is expected to become effective in January 2022 and issimilar to the E.U. capital framework’s minimum 3%
leverage ratio requirement. GSI had a leverage ratio of
4.0% as of September 2021 and 4.7% as ofDecember 2020. Tier 1 capital as of September 2021
included GSI’s profits after foreseeable charges for the threemonths ended September 2021 (which will be finalized
upon verification by GSI’s external auditors and approvalby the PRA for inclusion in risk-based capital). These
profits contributed approximately 7 basis points to theleverage ratio. This leverage ratio is based on our current
interpretation and understanding of this rule and may
evolve as we discuss the interpretation and application of
the U.K. leverage ratio framework with GSI’s regulators.
GSI is also subject to a minimum requirement for own
funds and eligible liabilities issued to affiliates. Thisrequirement is subject to a transitional period which beganto phase in from January 2019 and will become fully
effective beginning in January 2022. As of both
September 2021 and December 2020, GSI was incompliance with this requirement.
GSJCL, our Japanese broker-dealer, is regulated by Japan’s
Financial Services Agency. GSJCL and certain othernon-U.S. subsidiaries are also subject to capitalrequirements promulgated by authorities of the countries inwhich they operate. As of both September 2021 andDecember 2020, these subsidiaries were in compliance with
their local capital requirements.

Regulatory and Other Matters
Regulatory Matters
Our businesses are subject to extensive regulation andsupervision worldwide. Regulations have been adopted orare being considered by regulators and policy makers
worldwide. Given that many of the new and proposed rules
are highly complex, the full impact of regulatory reform
will not be known until the rules are implemented andmarket practices develop under the final regulations.
In October 2021, rules issued by the CFTC establishingcapital and financial reporting requirements for swap
dealers, as well as rules issued by the SEC establishingcapital, margin and segregation requirements for securitybased swap dealers became effective. Our subsidiaries
subject to these rules were compliant with the relevant
requirements as of the effective date.
See “Business — Regulation” in Part I, Item 1 of the 2020
Form 10-K for further information about the laws, rules
and regulations and proposed laws, rules and regulations
that apply to us and our operations.

127 Goldman Sachs September 2021 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Other Matters
Replacement of Interbank Offered Rates (IBORs),
including LIBOR. Central banks and regulators in a
number of major jurisdictions (for example, U.S., U.K.,
E.U., Switzerland and Japan) have convened working
groups to find and implement the transition to suitablereplacements for IBORs. In March 2021, the FCA and theIntercontinental
Exchange
BenchmarkAuthority
announced that the publication of all EUR and CHF
LIBOR settings along with certain JPY, GBP and USD
LIBOR settings will cease after December 31, 2021 and the
publication of the most commonly used USD LIBOR
settings will cease after June 30, 2023. The FCA continues
to consult the market on publishing synthetic rates forcertain GBP and JPY LIBOR settings for a limited time. In
April 2021, the State of New York approved legislation
which minimizes legal and economic uncertainty forcontracts that are governed by New York law and have nofallback provisions or have fallback provisions that are
based on LIBOR by providing a statutory framework to
replace LIBOR with a benchmark rate based on the Secured
Overnight Financing Rate (SOFR). The U.S. federalbanking agencies have also issued guidance strongly
encouraging banking organizations to cease using USD
LIBOR as a reference rate in new contracts as soon aspracticable and in any event by December 31, 2021.
The International Swaps and Derivatives Association(ISDA) 2020 IBOR Fallbacks Protocol (IBOR Protocol),which became effective in January 2021, provides
derivatives market participants with amended fallbacks forlegacy and new derivatives contracts to mitigate legal or
economic uncertainty. Both counterparties will have toadhere to the IBOR Protocol or engage in bilateralamendments for the terms to be effective for derivative
contracts. ISDA confirmed that the FCA’s formal
announcement in March 2021 fixed the spread adjustment
for all LIBOR rates and that fallbacks will automaticallyoccur for outstanding derivatives contracts that incorporate
the relevant terms.

We have a program in place that focuses on achieving anorderly transition from IBORs to alternative risk-freereference rates for us and our clients, and continue to makeprogress on our transition program. As part of thistransition, we continue to actively engage with ourregulators and clients, as well as participate in central bankand sector working groups. The majority of our LIBOR risk
exposure is to USD LIBOR, which is primarily inconnection with our derivative contracts and to a lesser
extent our unsecured debt, preferred stock and loan
portfolio. For non-USD LIBOR, substantially all of our risk
exposure is in connection with derivative contracts. Ourderivative contracts are primarily with counterparties underbilateral agreements which adhere to the IBOR Protocol orwith central clearing counterparties which haveincorporated fallbacks consistent with the IBOR Protocolin their rule books and have announced that they plan, andhave begun, to convert all LIBOR contracts to alternativerisk-free reference rates before LIBOR cessation. We
continue to monitor the potential legislative developments
as they relate to unsecured debt and preferred stock andwill take actions designed to facilitate an orderly transition.
We are also engaged with our clients in order to remediate
our loan agreements through bilateral amendments. We
have also issued debt and deposits linked to SOFR andSterling Overnight Index Average (SONIA) and executed
SOFR- and SONIA-based derivative contracts to makemarkets and facilitate client activities. When appropriate,
we continue to execute transactions in the market to reduce
our LIBOR exposures arising from hedges to our fixed-rate
debt issuances and replace them with alternative risk-freereference rate exposures. See “Regulatory and Other
Matters – Other Matters” in Part II, Item 7 of the 2020
Form 10-K for further information about our transition
program.
Impact of COVID-19 Pandemic. During the third quarterof 2021, the spike in infections from the spread of the Delta
variant put heightened focus on efforts to increasevaccination rates in order to make further progress against
the virus. Although the global recovery continued toprogress, the rising number of infections had the effect oftempering the pace of economic growth.

Goldman Sachs September 2021 Form 10-Q 128

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
We have continued to successfully execute on our BusinessContinuity Planning (BCP) strategy since initially activating
it in the first quarter of 2020 in response to the emergenceof the COVID-19 pandemic. Our priority has been tosafeguard our employees and to seek to ensure continuity ofbusiness operations on behalf of our clients. Our business
continuity response to the COVID-19 pandemic is managed
by a central team, which is led by our chief administrative
officer and chief medical officer, and includes senior
management within Risk and the chief operating officers
across all regions and businesses. We remain focused on
facilitating the safe return of our employees to our offices,
as circumstances permit, and employees in a number of our
locations around the world have returned to the office tovarying degrees, including a majority of employees in the
U.S. Given that the situation regarding COVID-19 varies
geographically, our approach to transitioning back to theoffice is tailored to each location, and it evolves as the
specific conditions and requirements of each location
change.
Our systems and infrastructure have been robust
throughout the COVID-19 pandemic, enabling us to
conduct our activities without disruption. Communication
throughout our organization has remained active during
the pandemic and our risk management processes havecontinued to operate in a rigorous and disciplined manner.
We maintained high liquidity levels during the third quarterof 2021, as our GCLA averaged $356 billion. We havecontinued to access our traditional funding sources in thenormal course and service our debt and other obligations
on a timely basis. See “Balance Sheet and Funding Sources”
and “Risk Management — Liquidity Risk Management”
for further information.
Accounting estimates, particularly those made inconnection with determining the allowance for credit losses
and the fair value of certain level 3 assets, are sensitive toassumptions regarding future economic conditions.
Predicting the trajectory of the economic recovery is highly
judgmental given the uncertainty as to how the pandemic
will evolve, as it will largely depend on the extent to which
the Delta variant continues to spread, the emergence ofother mutations of the virus and further progress withvaccine distribution. See Note 9 to the consolidated
financial statements for further information about ourallowance for credit losses and Note 4 to the consolidated
financial statements for further information about fairvalue measurements.

129 Goldman Sachs September 2021 Form 10-Q

The market backdrop was generally favorable during thethird quarter of 2021 and supported healthy levels of client
activity, although at the end of the quarter anxiety over the
trajectory of inflation, uncertainty regarding U.S. economic
policy and longer-term extension of the federal debt ceilingintensified and volatility increased. We continued to deploy
our balance sheet to intermediate risk and to support theneeds of clients. We have maintained our proactive
approach to managing market risk levels, which entails
ongoing review and monitoring of exposures and focusing
on ways to mitigate risk. As a result of the improved
broader economic backdrop, credit risk in general has
abated from the depths of the pandemic, including the risk
associated with industries that were most severely impacted
by lockdowns, such as hospitality and airlines. However,
the operating environment remains unpredictable and wecontinue to closely monitor our exposures to industries thatare most at risk to encountering financial stress due to thepersistence of the pandemic. See “Risk Management —Market Risk Management” and “— Credit Risk
Management” for further information.
Economies around the world continue to be susceptible topotential adverse developments related to the pandemic,
such as additional waves of infection, a worsening of supply
chain constraints and an intensification of inflationarypressures. If the future effects of the pandemic were to leadto a sustained period of economic weakness, our businesses
would be negatively impacted. This would have a negative
impact on factors that are important to our operating
performance, such as the level of client activity,
creditworthiness of counterparties and borrowers, and theamount of our AUS. We will continue to closely monitor
the rollout of vaccines across regions, as well as the impact
of new variants of the virus, and will take further actions, asnecessary, in order to best serve the interests of ouremployees, clients and counterparties. For further
information about the risks associated with the COVID-19
pandemic, see “Risk Factors” in Part I, Item 1A of the 2020
Form 10-K.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Off-Balance Sheet Arrangements
Contractual Obligations

andOff-Balance Sheet Arrangements
In the ordinary course of business, we enter into various
types of off-balance sheet arrangements. Our involvementin these arrangements can take many different forms,
including:

The table below presents where information about ourvarious off-balance sheet arrangements may be found in
this Form 10-Q. In addition, see Note 3 to the consolidated
financial statements for information about ourconsolidation policies.

‰ Purchasing or retaining residual and other interests inspecial purpose entities, such as mortgage-backed andother asset-backed securitization vehicles;

Off-Balance Sheet Arrangement

Disclosure in Form 10-Q

Variable interests and otherobligations, including contingent
obligations, arising from variableinterests in nonconsolidated
variable interest entities (VIEs)

See Note 17 to the consolidated
financial statements.

Guarantees, letters of credit, andlending and other commitments

See Note 18 to the consolidated
financial statements.

Derivatives

See “Risk Management — Credit
Risk Management — Credit
Exposures — OTC Derivatives”
and Notes 4, 5, 7 and 18 to theconsolidated financial statements.

‰ Holding senior and subordinated debt, interests in limited
and general partnerships, and preferred and common
stock in other nonconsolidated vehicles;‰ Entering into interest rate, foreign currency, equity,commodity and credit derivatives, including total returnswaps; and‰ Providing guarantees, indemnifications, commitments,
letters of credit and representations and warranties.
We enter into these arrangements for a variety of businesspurposes, including securitizations. The securitization
vehicles that purchase mortgages, corporate bonds, andother types of financial assets are critical to the functioningof several significant investor markets, including the
mortgage-backed and other asset-backed securities
markets, since they offer investors access to specific cash
flows and risks created through the securitization process.
We also enter into these arrangements to underwrite client
securitization transactions; provide secondary market
liquidity; make investments in performing andnonperforming debt, distressed loans, power-related assets,
equity securities, real estate and other assets; provide
investors with credit-linked and asset-repackaged notes;
and receive or provide letters of credit to satisfy margin
requirements and to facilitate the clearance and settlement
process.

Contractual Obligations
We have certain contractual obligations which require us tomake future cash payments. These contractual obligations
include our time deposits, secured long-term financings,
unsecured long-term borrowings, interest payments andoperating lease payments.
Our obligations to make future cash payments also include
our commitments and guarantees related to off-balance
sheet arrangements, which are excluded from the tablebelow. See Note 18 to the consolidated financial statements
for further information about such commitments andguarantees.
Due to the uncertainty of the timing and amounts that will
ultimately be paid, our liability for unrecognized tax
benefits has been excluded from the table below. See
Note 24 to the consolidated financial statements for further
information about our unrecognized tax benefits.
The table below presents our contractual obligations by
type.
As of
$ in millions

Time deposits
Financings and borrowings:
Secured long-term
Unsecured long-term
Interest payments
Operating lease payments

September
2021

December2020$ 24,057$ 26,433$ 9,585$242,780$ 46,333$ 3,031$ 12,537$213,481$ 44,073$ 3,268

Goldman Sachs September 2021 Form 10-Q 130

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
The table below presents our contractual obligations by
expiration.
As of September 2021
$ in millions

Remainderof 2021

Time deposits
Financings and borrowings:
Secured long-term
Unsecured long-term
Interest payments
Operating lease payments

2022 2023

2024 2025–$12,392$ 7,284$$–$–$1,368$ 71$ 4,316$46,085$10,474$ 612$ 2,184$58,246$ 8,140$ 509$ 3,085$138,449$ 26,351$ 1,839$2026 Thereafter

4,381

In the table above:‰ Obligations maturing within one year of our financial
statement date or redeemable within one year of our
financial statement date at the option of the holders are
excluded as they are treated as short-term obligations. See
Note 14 to the consolidated financial statements forfurther information about our short-term borrowings.
‰ Obligations that are repayable prior to maturity at our
option are reflected at their contractual maturity dates
and obligations that are redeemable prior to maturity at
the option of the holders are reflected at the earliest dates
such options become exercisable.
‰ As of September 2021, unsecured long-term borrowings
had maturities extending through 2065, consisted
principally of senior borrowings, and included$7.21 billion of adjustments to the carrying value ofcertain unsecured long-term borrowings resulting fromthe application of hedge accounting. See Note 14 to theconsolidated financial statements for further information
about our unsecured long-term borrowings.
‰ As of September 2021, the difference between aggregate
contractual principal amount and the related fair value of
long-term other secured financings for which the fairvalue option was elected was not material.
‰ As of September 2021, the fair value of unsecured longterm borrowings, for which the fair value option waselected, exceeded the related aggregate contractual
principal amount by $290 million.
‰ Interest payments represents estimated future contractualinterest payments related to unsecured long-termborrowings, secured long-term financings and time
deposits based on applicable interest rates as of
September 2021, and includes stated coupons, if any, on
structured notes.
‰ Operating lease payments includes lease commitments foroffice space that expire on various dates through 2069.
Certain agreements are subject to periodic escalation
provisions for increases in real estate taxes and othercharges. See Note 15 to the consolidated financial
statements for further information about our operatinglease liabilities.
131 Goldman Sachs September 2021 Form 10-Q

Risk Management
Risks are inherent in our businesses and include liquidity,
market, credit, operational, model, legal, compliance,
conduct, regulatory and reputational risks. Our risks
include the risks across our risk categories, regions or global
businesses, as well as those which have uncertain outcomes
and have the potential to materially impact our financial
results, our liquidity and our reputation. For further
information about our risk management processes, see“Overview and Structure of Risk Management,” and for
information about our areas of risk, see “Liquidity Risk
Management,” “Market Risk Management,” “Credit Risk
Management,” “Operational Risk Management” and“Model Risk Management” and “Risk Factors” in Part I,
Item 1A of the 2020 Form 10-K.

Overview and Structure of Risk Management
Overview
We believe that effective risk management is critical to our
success. Accordingly, we have established an enterprise risk
management framework that employs a comprehensive,
integrated approach to risk management, and is designed toenable comprehensive risk management processes throughwhich we identify, assess, monitor and manage the risks weassume in conducting our activities. Our risk management
structure is built around three core components:
governance, processes and people.
Governance. Risk management governance starts with theBoard, which both directly and through its committees,
including its Risk Committee, oversees our risk
management policies and practices implemented throughthe enterprise risk management framework. The Board isalso responsible for the annual review and approval of ourrisk appetite statement. The risk appetite statement
describes the levels and types of risk we are willing to accept
or to avoid, in order to achieve our objectives included inour strategic business plan, while remaining in compliancewith regulatory requirements. The Board reviews our
strategic business plan and is ultimately responsible foroverseeing and providing direction about our strategy andrisk appetite.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
The Board receives regular briefings on firmwide risks,
including liquidity risk, market risk, credit risk, operationalrisk and model risk, from our independent risk oversightand control functions, including the chief risk officer, andon compliance risk and conduct risk from Compliance, on
legal and regulatory enforcement matters from the chief
legal officer, and on other matters impacting our reputationfrom the chair of our Firmwide Client and BusinessStandards Committee and our Firmwide Reputational Risk
Committee. The chief risk officer reports to our chief
executive officer and to the Risk Committee of the Board.
As part of the review of the firmwide risk portfolio, thechief risk officer regularly advises the Risk Committee of
the Board of relevant risk metrics and material exposures,
including risk limits and thresholds established in our risk
appetite statement.
The implementation of our risk governance structure andcore risk management processes are overseen by EnterpriseRisk, which reports to our chief risk officer, and is
responsible for ensuring that our enterprise risk
management framework provides the Board, our risk
committees and senior management with a consistent andintegrated approach to managing our various risks in amanner consistent with our risk appetite.
Our revenue-producing units, as well as Treasury,
Engineering, Human Capital Management, Operations,and Corporate and Workplace Solutions, are considered
our first line of defense. They are accountable for theoutcomes of our risk-generating activities, as well as forassessing and managing those risks within our risk appetite.
Our independent risk oversight and control functions are
considered our second line of defense and provide
independent assessment, oversight and challenge of therisks taken by our first line of defense, as well as lead andparticipate in risk committees. Independent risk oversightand control functions include Compliance, Conflicts
Resolution, Controllers, Legal, Risk and Tax.
Internal Audit is considered our third line of defense andour director of Internal Audit reports to the Audit
Committee of the Board and administratively to our chief
executive officer. Internal Audit includes professionals witha broad range of audit and industry experience, including
risk management expertise. Internal Audit is responsible forindependently assessing and validating the effectiveness of
key controls, including those within the risk management
framework, and providing timely reporting to the Audit
Committee of the Board, senior management andregulators.

The three lines of defense structure promotes theaccountability of first line risk takers, provides aframework for effective challenge by the second line andempowers independent review from the third line.
Processes. We maintain various processes that are criticalcomponents of our risk management framework, including(i) risk identification and assessment, (ii) risk appetite, limit
and threshold setting, (iii) risk reporting and monitoring,and (iv) risk decision-making.
‰ Risk Identification and Assessment. We believe thatthe identification and assessment of our risks is a criticalstep in providing our Board and senior managementtransparency and insight into the range and materiality of
our risks. We have a comprehensive data collection
process, including firmwide policies and procedures that
require all employees to report and escalate risk events.
Our approach for risk identification and assessment iscomprehensive across all risk types, is dynamic andforward-looking to reflect and adapt to our changing risk
profile and business environment, leverages subject
matter expertise, and allows for prioritization of our mostcritical risks.
To effectively assess our risks, we maintain a daily
discipline of marking substantially all of our inventory tocurrent market levels. We carry our inventory at fairvalue, with changes in valuation reflected immediately in
our risk management systems and in net revenues. We doso because we believe this discipline is one of the mosteffective tools for assessing and managing risk and that itprovides transparent and realistic insight into ourinventory exposures.
An important part of our risk management process isfirmwide stress testing. It allows us to quantify our
exposure to tail risks, highlight potential loss
concentrations, undertake risk/reward analysis, andassess and mitigate our risk positions. Firmwide stresstests are performed on a regular basis and are designed toensure a comprehensive analysis of our vulnerabilities
and idiosyncratic risks combining financial andnonfinancial risks, including, but not limited to, credit,
market, liquidity and funding, operational andcompliance, strategic, systemic and emerging risks into asingle combined scenario. We also perform ad hoc stresstests in anticipation of market events or conditions. Stresstests are also used to assess capital adequacy as part ofour capital planning and stress testing process. See“Capital Management and Regulatory Capital —Capital Management” for further information.

Goldman Sachs September 2021 Form 10-Q 132

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis‰ Risk Appetite, Limit and Threshold Setting. We apply
a rigorous framework of limits and thresholds to control
and monitor risk across transactions, products,
businesses and markets. The Board, directly or indirectly
through its Risk Committee, approves limits andthresholds included in our risk appetite statement at
firmwide, business and product levels. In addition, theFirmwide Enterprise Risk Committee is responsible forapproving our risk limits framework, subject to theoverall limits approved by the Risk Committee of theBoard, and monitoring these limits.
The Risk Governance Committee is responsible forapproving limits at firmwide, business and productlevels. Certain limits may be set at levels that will require
periodic adjustment, rather than at levels that reflect our
maximum risk appetite. This fosters an ongoing dialogue
about risk among our first and second lines of defense,
committees and senior management, as well as rapid
escalation of risk-related matters. Additionally, throughdelegated authority from the Risk GovernanceCommittee, Market Risk sets limits at certain productand desk levels, and Credit Risk sets limits for individual
counterparties, counterparties and their subsidiaries,
industries and countries. Limits are reviewed regularly
and amended on a permanent or temporary basis toreflect changing market conditions, business conditions
or risk tolerance.
‰ Risk Reporting and Monitoring. Effective risk
reporting and risk decision-making depends on ourability to get the right information to the right people atthe right time. As such, we focus on the rigor andeffectiveness of our risk systems, with the objective ofensuring that our risk management technology systems
provide us with complete, accurate and timely
information. Our risk reporting and monitoring processes
are designed to take into account information about both
existing and emerging risks, thereby enabling our risk
committees and senior management to perform their
responsibilities with the appropriate level of insight intorisk exposures. Furthermore, our limit and thresholdbreach processes provide means for timely escalation. We
evaluate changes in our risk profile and our businesses,
including changes in business mix or jurisdictions inwhich we operate, by monitoring risk factors at a
firmwide level.

133 Goldman Sachs September 2021 Form 10-Q

‰ Risk Decision-Making. Our governance structure
provides the protocol and responsibility fordecision-making on risk management issues and ensures
implementation of those decisions. We make extensive
use of risk committees that meet regularly and serve as animportant means to facilitate and foster ongoing
discussions to manage and mitigate risks.
We maintain strong and proactive communication aboutrisk and we have a culture of collaboration in decisionmaking among our first and second lines of defense,
committees and senior management. While our first lineof defense is responsible for management of their risk, we
dedicate extensive resources to our second line of defense
in order to ensure a strong oversight structure and an
appropriate segregation of duties. We regularly reinforce
our strong culture of escalation and accountability acrossall functions.
People. Even the best technology serves only as a tool for
helping to make informed decisions in real time about therisks we are taking. Ultimately, effective risk management
requires our people to interpret our risk data on an ongoing
and timely basis and adjust risk positions accordingly. The
experience of our professionals, and their understanding of
the nuances and limitations of each risk measure, guides us
in assessing exposures and maintaining them within
prudent levels.
We reinforce a culture of effective risk management,
consistent with our risk appetite, in our training anddevelopment programs, as well as in the way we evaluate
performance, and recognize and reward our people. Our
training and development programs, including certain
sessions led by our most senior leaders, are focused on theimportance of risk management, client relationships andreputational excellence. As part of our performance review
process, we assess reputational excellence, including how
an employee exercises good risk management andreputational judgment, and adheres to our code of conductand compliance policies. Our review and reward processes
are designed to communicate and reinforce to our
professionals the link between behavior and how people arerecognized, the need to focus on our clients and our
reputation, and the need to always act in accordance with
our highest standards.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Structure
Ultimate oversight of risk is the responsibility of our Board.
The Board oversees risk both directly and through its
committees, including its Risk Committee. We have a seriesof committees with specific risk management mandates thathave oversight or decision-making responsibilities for risk
management activities. Committee membership generally
consists of senior managers from both our first and secondlines of defense. We have established procedures for thesecommittees to ensure that appropriate information barriers
are in place. Our primary risk committees, most of which
also have additional sub-committees, councils or working
groups, are described below. In addition to thesecommittees, we have other risk committees that provide
oversight for different businesses, activities, products,
regions and entities. All of our committees have
responsibility for considering the impact on our reputationof the transactions and activities that they oversee.
Membership of our risk committees is reviewed regularly
and updated to reflect changes in the responsibilities of thecommittee members. Accordingly, the length of time thatmembers serve on the respective committees varies as
determined by the committee chairs and based on the
responsibilities of the members.
The chart below presents an overview of our risk
management governance structure.
Corporate Oversight
Board of Directors
Board Commiees
Senior Management OversightChief Execuve Oﬃcer
President/Chief Operang Oﬃcer
Chief Financial Oﬃcer
Director ofInternal Audit
Firmwide Enterprise Risk
CommieeCommiee OversightManagement Commiee
Firmwide Client and BusinessStandards Commiee

Chief Risk Oﬃcer
Firmwide Asset Liability
Commiee

Management Committee. The Management Committee
oversees our global activities. It provides this oversightdirectly and through authority delegated to committees it
has established. This committee consists of our most seniorleaders, and is chaired by our chief executive officer. Most
members of the Management Committee are also membersof other committees. The following are the committees thatare principally involved in firmwide risk management.

Firmwide Enterprise Risk Committee. The Firmwide
Enterprise Risk Committee is responsible for overseeing allof our financial and nonfinancial risks. As part of suchoversight, the committee is responsible for the ongoing
review, approval and monitoring of our enterprise risk
management framework, as well as our risk limits
framework. This committee is co-chaired by our chief
financial officer and our chief risk officer, who areappointed as chairs by our chief executive officer, andreports to the Management Committee. The following are
the primary committees or councils that report to the
Firmwide Enterprise Risk Committee:‰ Firmwide Risk Council. The Firmwide Risk Council is
responsible for the ongoing monitoring of relevant
financial risks and related risk limits at the firmwide,business and product levels. This council is co-chaired by
the chairs of the Firmwide Enterprise Risk Committee.
‰ Firmwide New Activity Committee. The Firmwide
New Activity Committee is responsible for reviewing newactivities and for establishing a process to identify andreview previously approved activities that are significant
and that have changed in complexity and/or structure orpresent different reputational and suitability concerns
over time to consider whether these activities remain
appropriate. This committee is co-chaired by thecontroller and chief accounting officer, and the head ofOperations and Platform Engineering for the Global
Markets Division, who are appointed as chairs by thechairs of the Firmwide Enterprise Risk Committee.
‰ Firmwide Operational Risk and Resilience
Committee. The Firmwide Operational Risk andResilience Committee is responsible for overseeing
operational risk, and for ensuring our business andoperational resilience. To assist the Firmwide
Operational Risk and Resilience Committee in carryingout its mandate, other risk committees with dedicatedoversight for technology-related risks, including cybersecurity matters, report into the Firmwide Operational
Risk and Resilience Committee. This committee isco-chaired by our chief administrative officer and thehead of Operational Risk, who are appointed as chairs by
the chairs of the Firmwide Enterprise Risk Committee.

Goldman Sachs September 2021 Form 10-Q 134

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis‰ Firmwide Conduct Committee. The Firmwide
Conduct Committee is responsible for the ongoingapproval and monitoring of the frameworks and policies
which govern our conduct risks. Conduct risk is the riskthat our people fail to act in a manner consistent with ourBusiness Principles and related core values, policies orcodes, or applicable laws or regulations, thereby fallingshort in fulfilling their responsibilities to us, our clients,
colleagues, other market participants or the broader
community. This committee is chaired by our chief legal
officer, who is appointed as chair by the chairs of the
Firmwide Enterprise Risk Committee.
‰ Risk Governance Committee. The Risk GovernanceCommittee (through delegated authority from the
Firmwide Enterprise Risk Committee) is responsible forthe ongoing approval and monitoring of risk frameworks,
policies and parameters related to our core risk
management processes, as well as limits, at firmwide,business and product levels. In addition, this committee
reviews the results of stress tests and scenario analyses. To
assist the Risk Governance Committee in carrying out its
mandate, a number of other risk committees withdedicated oversight for stress testing, model risks andVolcker Rule compliance report into the Risk
Governance Committee. This committee is chaired by ourchief risk officer, who is appointed as chair by the chairsof the Firmwide Enterprise Risk Committee.
Firmwide Client and Business Standards Committee.
The Firmwide Client and Business Standards Committee is
responsible for overseeing relationships with our clients,
client service and experience, and related businessstandards, as well as client-related reputational matters.
This committee is chaired by our president and chief
operating officer, who is appointed as chair by the chief
executive officer, and reports to the Management
Committee. This committee periodically provides updates
to, and receives guidance from, the Public Responsibilities
Committee of the Board.

The following committees report jointly to the Firmwide
Enterprise Risk Committee and the Firmwide Client andBusiness Standards Committee:‰ Firmwide Reputational Risk Committee. The
Firmwide Reputational Risk Committee is responsible forassessing reputational risks arising from transactions thathave been identified as having potential heightened
reputational risk pursuant to the criteria established by
the Firmwide Reputational Risk Committee and as
determined by committee leadership. This committee ischaired by our president and chief operating officer, who
is appointed as chair by the chief executive officer, andthe vice-chairs are our chief legal officer and the chair ofConflicts Resolution, who are appointed as vice-chairs by
the chair of the Firmwide Reputational Risk Committee.
This committee periodically provides updates to, andreceives guidance from, the Public Responsibilities
Committee of the Board.
‰ Firmwide Suitability Committee. The Firmwide
Suitability Committee is responsible for setting standards
and policies for product, transaction and client suitability
and providing a forum for consistency across functions,regions and products on suitability assessments. This
committee also reviews suitability matters escalated fromother committees. This committee is co-chaired by ourchief compliance officer, and the co-head of EMEA FICC
sales, who are appointed as chairs by the chair of the
Firmwide Client and Business Standards Committee.
‰ Firmwide Investment Policy Committee. The
Firmwide Investment Policy Committee periodicallyreviews our investing and lending activities on a portfolio
basis, including review of risk management and controls,
and sets business standards and policies for these types ofinvestments. This committee is co-chaired by the head of
our Asset Management Division, a co-head of our Global
Markets Division and the chief risk officer, who areappointed as chairs by our president and chief operating
officer and our chief financial officer.
‰ Firmwide Capital Committee. The Firmwide CapitalCommittee provides approval and oversight of debtrelated transactions, including principal commitments ofour capital. This committee aims to ensure that business,
reputational and suitability standards for underwritingsand capital commitments are maintained on a global
basis. This committee is co-chaired by the head of Credit
Risk and the head of Americas Leveraged Finance, who
are appointed as chairs by the chairs of the Firmwide
Enterprise Risk Committee.

135 Goldman Sachs September 2021 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis‰ Firmwide Commitments Committee. The Firmwide
Commitments Committee reviews our underwriting anddistribution activities with respect to equity and equityrelated product offerings, and sets and maintains policies
and procedures designed to ensure that legal,
reputational, regulatory and business standards aremaintained on a global basis. In addition to reviewing
specific transactions, this committee periodicallyconducts general strategic reviews of sectors and products
and establishes policies in connection with transaction
practices. This committee is co-chaired by the co-head of
the Industrials Group in our Investment Banking
Division, the chief underwriting officer for EMEA, and amanaging director in our Investment Banking Division,
who are appointed as chairs by the chair of the Firmwide
Client and Business Standards Committee.
Firmwide Asset Liability Committee. The Firmwide
Asset Liability Committee reviews and approves thestrategic direction for our financial resources, including
capital, liquidity, funding and balance sheet. This
committee has oversight responsibility for asset liability
management, including interest rate and currency risk,
funds transfer pricing, capital allocation and incentives, andcredit ratings. This committee makes recommendations as
to any adjustments to asset liability management andfinancial resource allocation in light of current events, risks,
exposures, and regulatory requirements and approves
related policies. This committee is co-chaired by our chief
financial officer and our global treasurer, who areappointed as chairs by our chief executive officer, andreports to the Management Committee.
Conflicts Management
Conflicts of interest and our approach to dealing with them
are fundamental to our client relationships, our reputationand our long-term success. The term “conflict of interest”
does not have a universally accepted meaning, and conflicts
can arise in many forms within a business or between
businesses. The responsibility for identifying potential
conflicts, as well as complying with our policies andprocedures, is shared by all of our employees.

As a general matter, Conflicts Resolution reviews financing
and advisory assignments in Investment Banking andcertain of our investing, lending and other activities. In
addition, we have various transaction oversightcommittees, such as the Firmwide Capital, Commitments
and Suitability Committees and other committees that also
review new underwritings, loans, investments andstructured products. These groups and committees workwith internal and external counsel and Compliance toevaluate and address any actual or potential conflicts. The
head of Conflicts Resolution reports to our chief legal
officer, who reports to our chief executive officer.
We regularly assess our policies and procedures that
address conflicts of interest in an effort to conduct ourbusiness in accordance with the highest ethical standards
and in compliance with all applicable laws, rules andregulations.
Compliance Risk Management
Compliance risk is the risk of legal or regulatory sanctions,material financial loss or damage to our reputation arisingfrom our failure to comply with the requirements ofapplicable laws, rules and regulations, and our internal
policies and procedures. Compliance risk is inherent in all
activities through which we conduct our businesses. Our
Compliance Risk Management Program, administered byCompliance, assesses our compliance, regulatory andreputational risk; monitors for compliance with new oramended laws, rules and regulations; designs andimplements controls, policies, procedures and training;
conducts independent testing; investigates, surveils andmonitors for compliance risks and breaches; and leads our
responses to regulatory examinations, audits and inquiries.
We monitor and review business practices to assess whether
they meet or exceed minimum regulatory and legal
standards in all markets and jurisdictions in which we
conduct business.

We have a multilayered approach to resolving conflicts andaddressing reputational risk. Our senior management
oversees policies related to conflicts resolution, and, in
conjunction with Conflicts Resolution, Legal andCompliance, the Firmwide Client and Business Standards
Committee, and other internal committees, formulates
policies, standards and principles, and assists in making
judgments regarding the appropriate resolution ofparticular conflicts. Resolving potential conflicts
necessarily depends on the facts and circumstances of aparticular situation and the application of experienced andinformed judgment.

Goldman Sachs September 2021 Form 10-Q 136

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Liquidity Risk Management
Overview
Liquidity risk is the risk that we will be unable to fundourselves or meet our liquidity needs in the event of firmspecific, 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 tobe able to fund ourselves and to enable our core businesses
to continue to serve clients and generate revenues, evenunder adverse circumstances.
Treasury, which reports to our chief financial officer, has
primary responsibility for developing, managing andexecuting our liquidity and funding strategy within our risk
appetite.
Liquidity Risk, which is independent of our revenueproducing units and Treasury, and reports to our chief risk
officer, has primary responsibility for assessing, monitoringand managing our liquidity risk through firmwide oversightacross our global businesses and the establishment of stresstesting and limits frameworks.
Liquidity Risk Management Principles
We manage liquidity risk according to three principles:(i) hold sufficient excess liquidity in the form of GCLA tocover outflows during a stressed period, (ii) maintainappropriate Asset-Liability Management and (iii) maintaina viable Contingency Funding Plan.
GCLA. GCLA is liquidity that we maintain to meet a broad
range of potential cash outflows and collateral needs in a
stressed environment. A primary liquidity principle is topre-fund our estimated potential cash and collateral needs
during a liquidity crisis and hold this liquidity in the form of
unencumbered, highly liquid securities and cash. We believethat the securities held in our GCLA would be readily
convertible to cash in a matter of days, through liquidation,by entering into repurchase agreements or from maturities
of resale agreements, and that this cash would allow us tomeet immediate obligations without needing to sell otherassets or depend on additional funding from credit-sensitivemarkets.
Our GCLA reflects the following principles:‰ The first days or weeks of a liquidity crisis are the mostcritical to a company’s survival;‰ Focus must be maintained on all potential cash andcollateral outflows, not just disruptions to financing
flows. Our businesses are diverse, and our liquidity needs
are determined by many factors, including market
movements, collateral requirements and client
commitments, all of which can change dramatically in adifficult funding environment;

137 Goldman Sachs September 2021 Form 10-Q

‰ During a liquidity crisis, credit-sensitive funding,including unsecured debt, certain deposits and some typesof secured financing agreements, may be unavailable, andthe terms (e.g., interest rates, collateral provisions andtenor) or availability of other types of secured financing
may change and certain deposits may be withdrawn; and‰ As a result of our policy to pre-fund liquidity that we
estimate may be needed in a crisis, we hold more
unencumbered securities and have larger fundingbalances than our businesses would otherwise require.
We believe that our liquidity is stronger with greaterbalances of highly liquid unencumbered securities, eventhough it increases our total assets and our funding costs.
We maintain our GCLA across Group Inc., Goldman Sachs
Funding LLC (Funding IHC) and Group Inc.’s major
broker-dealer and bank subsidiaries, asset types andclearing agents to provide us with sufficient operating
liquidity to ensure timely settlement in all major markets,
even in a difficult funding environment. In addition to the
GCLA, we maintain cash balances and securities in severalof our other entities, primarily for use in specific currencies,
entities or jurisdictions where we do not have immediate
access to parent company liquidity.
Asset-Liability Management. Our liquidity risk
management policies are designed to ensure we have asufficient amount of financing, even when funding markets
experience persistent stress. We manage the maturities anddiversity of our funding across markets, products andcounterparties, and seek to maintain a diversified funding
profile with an appropriate tenor, taking into consideration
the characteristics and liquidity profile of our assets.
Our approach to asset-liability management includes:‰ Conservatively managing the overall characteristics of
our funding book, with a focus on maintaining long-term,
diversified sources of funding in excess of our current
requirements. See “Balance Sheet and Funding Sources —Funding Sources” for further information;‰ Actively managing and monitoring our asset base, withparticular focus on the liquidity, holding period andability to fund assets on a secured basis. We assess ourfunding requirements and our ability to liquidate assets ina stressed environment while appropriately managing
risk. This enables us to determine the most appropriate
funding products and tenors. See “Balance Sheet andFunding Sources — Balance Sheet Management” forfurther information about our balance sheet management
process and “— Funding Sources — Secured Funding”
for further information about asset classes that may beharder to fund on a secured basis; andTHE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis‰ Raising secured and unsecured financing that has a longtenor relative to the liquidity profile of our assets. This
reduces the risk that our liabilities will come due inadvance of our ability to generate liquidity from the saleof our assets. Because we maintain a highly liquid balance
sheet, the holding period of certain of our assets may bematerially shorter than their contractual maturity dates.
Our goal is to ensure that we maintain sufficient liquidity tofund our assets and meet our contractual and contingent
obligations in normal times, as well as during periods ofmarket stress. Through our dynamic balance sheet
management process, we use actual and projected asset
balances to determine secured and unsecured funding
requirements. Funding plans are reviewed and approved by
the Firmwide Asset Liability Committee. In addition, our
independent risk oversight and control functions analyze,
and the Firmwide Asset Liability Committee reviews, ourconsolidated total capital position (unsecured long-termborrowings plus total shareholders’ equity) so that we
maintain a level of long-term funding that is sufficient tomeet our long-term financing requirements. In a liquidity
crisis, we would first use our GCLA in order to avoid
reliance on asset sales (other than our GCLA). However, we
recognize that orderly asset sales may be prudent ornecessary in a severe or persistent liquidity crisis.
Subsidiary Funding Policies
The majority of our unsecured funding is raised by Group
Inc., which provides the necessary funds to Funding IHC
and other subsidiaries, some of which are regulated, to meettheir asset financing, liquidity and capital requirements. In
addition, Group Inc. provides its regulated subsidiaries
with the necessary capital to meet their regulatory
requirements. The benefits of this approach to subsidiaryfunding are enhanced control and greater flexibility to meetthe funding requirements of our subsidiaries. Funding is
also raised at the subsidiary level through a variety of
products, including deposits, secured funding andunsecured borrowings.
Our intercompany funding policies assume that a
subsidiary’s funds or securities are not freely available to its
parent, Funding IHC or other subsidiaries unless (i) legallyprovided for and (ii) there are no additional regulatory, tax
or other restrictions. In particular, many of our subsidiaries
are subject to laws that authorize regulatory bodies to blockor reduce the flow of funds from those subsidiaries toGroup Inc. or Funding IHC. Regulatory action of that kind
could impede access to funds that Group Inc. needs to makepayments on its obligations. Accordingly, we assume thatthe capital provided to our regulated subsidiaries is notavailable to Group Inc. or other subsidiaries and any otherfinancing provided to our regulated subsidiaries is notavailable to Group Inc. or Funding IHC until the maturityof such financing.

Group Inc. has provided substantial amounts of equity andsubordinated indebtedness, directly or indirectly, to its
regulated subsidiaries. For example, as of September 2021,
Group Inc. had $36.96 billion of equity and subordinatedindebtedness invested in GS&Co., its principal U.S.
registered broker-dealer; $44.52 billion invested in GSI, aregulated U.K. broker-dealer; $2.66 billion invested in
GSJCL, a regulated Japanese broker-dealer; $44.47 billion
invested in GS Bank USA, a regulated New York Statechartered bank; and $4.27 billion invested in GSIB, aregulated U.K. bank. Group Inc. also provides financing,
directly or indirectly, in the form of: $112.49 billion of
unsubordinated loans (including secured loans of$54.73 billion) and $20.04 billion of collateral and cash
deposits to these entities, substantially all of which was to
GS&Co., GSI, GSJCL and GS Bank USA, as of
September 2021. In addition, as of September 2021, Group
Inc. had significant amounts of capital invested in and loans
to its other regulated subsidiaries.
Contingency Funding Plan. We maintain a contingency
funding plan to provide a framework for analyzing andresponding to a liquidity crisis situation or periods ofmarket stress. Our contingency funding plan outlines a listof potential risk factors, key reports and metrics that are
reviewed on an ongoing basis to assist in assessing theseverity of, and managing through, a liquidity crisis and/or
market dislocation. The contingency funding plan also
describes in detail our potential responses if ourassessments indicate that we have entered a liquidity crisis,
which include pre-funding for what we estimate will be ourpotential cash and collateral needs, as well as utilizing
secondary sources of liquidity. Mitigants and action items
to address specific risks which may arise are also describedand assigned to individuals responsible for execution.
The contingency funding plan identifies key groups ofindividuals and their responsibilities, which include
fostering effective coordination, control and distribution of
information, implementing liquidity maintenance activities
and managing internal and external communication, all ofwhich are critical in the management of a crisis or period ofmarket stress.

Goldman Sachs September 2021 Form 10-Q 138

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Stress Tests
In order to determine the appropriate size of our GCLA, we
model liquidity outflows over a range of scenarios and time
horizons. One of our primary internal liquidity risk models,referred to as the Modeled Liquidity Outflow, quantifies our
liquidity risks over a 30-day stress scenario. We also consider
other factors, including, but not limited to, an assessment ofour potential intraday liquidity needs through an additional
internal liquidity risk model, referred to as the Intraday
Liquidity Model, the results of our long-term stress testingmodels, our resolution liquidity models and other applicableregulatory requirements and a qualitative assessment of ourcondition, as well as the financial markets. The results of theModeled Liquidity Outflow, the Intraday Liquidity Model,
the long-term stress testing models and the resolution
liquidity models are reported to senior management on aregular basis. We also perform firmwide stress tests. See“Overview and Structure of Risk Management” for
information about firmwide stress tests.
Modeled Liquidity Outflow. Our Modeled Liquidity
Outflow is based on conducting multiple scenarios that
include combinations of market-wide and firm-specificstress. These scenarios are characterized by the following
qualitative elements:‰ Severely challenged market environments, which includes
low consumer and corporate confidence, financial andpolitical instability, and adverse changes in market values,
including potential declines in equity markets andwidening of credit spreads; and‰ A firm-specific crisis potentially triggered by material
losses, reputational damage, litigation and/or a ratings
downgrade.
The following are key modeling elements of our Modeled
Liquidity Outflow:‰ Liquidity needs over a 30-day scenario;‰ A two-notch downgrade of our long-term seniorunsecured credit ratings;‰ Changing conditions in funding markets, which limit ouraccess to unsecured and secured funding;‰ No support from additional government funding facilities.
Although we have access to various central bank funding
programs, we do not assume reliance on additional sourcesof funding in a liquidity crisis; and‰ A combination of contractual outflows, such as upcoming
maturities of unsecured debt, and contingent outflows,
including, but not limited to, the withdrawal of customer
credit balances in our prime brokerage business, increase invariation margin requirements due to adverse changes inthe value of our exchange-traded and OTC-cleared
derivatives, and withdrawals of deposits that have nocontractual maturity.
139 Goldman Sachs September 2021 Form 10-Q

Intraday Liquidity Model. Our Intraday Liquidity Modelmeasures our intraday liquidity needs using a scenario
analysis characterized by the same qualitative elements as
our Modeled Liquidity Outflow. The model assesses therisk of increased intraday liquidity requirements during a
scenario where access to sources of intraday liquidity may
become constrained.
Long-Term Stress Testing. We utilize longer-term stresstests to take a forward view on our liquidity position
through prolonged stress periods in which we experience a
severe liquidity stress and recover in an environment that
continues to be challenging. We are focused on ensuringconservative asset-liability management to prepare for a
prolonged period of potential stress, seeking to maintain adiversified funding profile with an appropriate tenor,
taking into consideration the characteristics and liquidity
profile of our assets.
Resolution Liquidity Models. In connection with ourresolution planning efforts, we have established ourResolution Liquidity Adequacy and Positioning
framework, which estimates liquidity needs of our major
subsidiaries in a stressed environment. The liquidity needs
are measured using our Modeled Liquidity Outflow
assumptions and include certain additional inter-affiliate
exposures. We have also established our Resolution
Liquidity Execution Need framework, which measures theliquidity needs of our major subsidiaries to stabilize andwind-down following a Group Inc. bankruptcy filing inaccordance with our preferred resolution strategy.
In addition, we have established a triggers and alerts
framework, which is designed to provide the Board withinformation needed to make an informed decision onwhether and when to commence bankruptcy proceedingsfor Group Inc.
LimitsWe use liquidity risk limits at various levels and acrossliquidity risk types to manage the size of our liquidity
exposures. Limits are measured relative to acceptable levelsof risk given our liquidity risk tolerance. See “Overview andStructure of Risk Management” for information about thelimit approval process.
Limits are monitored by Treasury and Liquidity Risk.
Liquidity Risk is responsible for identifying and escalating
to senior management and/or the appropriate risk
committee, on a timely basis, instances where limits havebeen exceeded.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
GCLA and Unencumbered Metrics
GCLA. Based on the results of our internal liquidity risk
models, described above, as well as our consideration ofother factors, including, but not limited to, a qualitative
assessment of our condition, as well as the financial
markets, we believe our liquidity position as of both
September 2021 and December 2020 was appropriate. We
strictly limit our GCLA to a narrowly defined list of
securities and cash because they are highly liquid, even in adifficult funding environment. We do not include otherpotential sources of excess liquidity in our GCLA, such asless liquid unencumbered securities or committed credit
facilities.
The table below presents information about our GCLA.
Average for theThree Months Ended$ in millions

September
2021

June
2021

Denomination
U.S. dollar
Non-U.S. dollar
Total$233,010
123,067$356,077$217,977
111,427$329,404

Asset Class
Overnight cash deposits
U.S. government obligations
U.S. agency obligations
Non-U.S. government obligations
Total$199,545
110,081
10,01536,436$356,077$171,007
106,708
8,227
43,462$329,404

Entity TypeGroup Inc. and Funding IHC
Major broker-dealer subsidiaries
Major bank subsidiaries
Total$ 60,510
112,961
182,606$356,077$ 53,327
102,593
173,484$329,404

In the table above:‰ The U.S. dollar-denominated GCLA consists of(i) unencumbered U.S. government and agency
obligations (including highly liquid U.S. agency
mortgage-backed obligations), all of which are eligible as
collateral in Federal Reserve open market operations and(ii) certain overnight U.S. dollar cash deposits.
‰ The non-U.S. dollar-denominated GCLA consists of
non-U.S. government obligations (only unencumbered
German, French, Japanese and U.K. government
obligations) and certain overnight cash deposits in highly
liquid currencies.

We maintain our GCLA to enable us to meet current andpotential liquidity requirements of our parent company,
Group Inc., and its subsidiaries. Our Modeled Liquidity
Outflow and Intraday Liquidity Model incorporate arequirement for Group Inc., as well as a standalone
requirement for each of our major broker-dealer and banksubsidiaries. Funding IHC is required to provide thenecessary liquidity to Group Inc. during the ordinary courseof business, and is also obligated to provide capital andliquidity support to major subsidiaries in the event of ourmaterial financial distress or failure. Liquidity held directlyin each of our major broker-dealer and bank subsidiaries isintended for use only by that subsidiary to meet its liquidity
requirements and is assumed not to be available to Group
Inc. or Funding IHC unless (i) legally provided for and(ii) there are no additional regulatory, tax or otherrestrictions. In addition, the Modeled Liquidity Outflow
and Intraday Liquidity Model also incorporate a broader
assessment of standalone liquidity requirements for othersubsidiaries and we hold a portion of our GCLA directly atGroup Inc. or Funding IHC to support such requirements.
Other Unencumbered Assets. In addition to our GCLA,
we have a significant amount of other unencumbered cash
and financial instruments, including other government
obligations, high-grade money market securities, corporate
obligations, marginable equities, loans and cash deposits
not included in our GCLA. The fair value of our
unencumbered assets averaged $256.84 billion for the threemonths ended September 2021 and $249.61 billion for thethree months ended June 2021. We do not consider theseassets liquid enough to be eligible for our GCLA.
Liquidity Regulatory Framework
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 requiresorganizations to maintain an adequate ratio of eligible
high-quality liquid assets (HQLA) to expected net cash
outflows under an acute, short-term liquidity stressscenario. Eligible HQLA excludes HQLA held bysubsidiaries that is in excess of their minimum requirement
and is subject to transfer restrictions. We are required tomaintain a minimum LCR of 100%. We expect thatfluctuations in client activity, business mix and the market
environment will impact our LCR.

Goldman Sachs September 2021 Form 10-Q 140

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
The table below presents information about our average
daily LCR.
Average for theThree Months Ended$ in millions

September
2021

June
2021

Total HQLA
Eligible HQLANet cash outflows$344,351$249,915$196,664$318,525$238,397$172,895

127%

138%

LCR

Credit Ratings
We rely on the short- and long-term debt capital markets tofund a significant portion of our day-to-day operations andthe cost and availability of debt financing is influenced byour credit ratings. Credit ratings are also important when
we are competing in certain markets, such as OTC
derivatives, and when we seek to engage in longer-termtransactions. See “Risk Factors” in Part I, Item 1A of the2020 Form 10-K for information about the risks associatedwith a reduction in our credit ratings.

In October 2020, the U.S. federal bank regulatory agencies
issued a final rule that establishes a net stable funding ratio(NSFR) requirement for large U.S. banking organizations.
This rule became effective on July 1, 2021 and requires
banking organizations to ensure they have access to stable
funding over a one-year time horizon. The rule also requires
disclosure of the ratio on a semi-annual basis and a
description of the banking organization’s stable funding
sources beginning in 2023. Our NSFR as of
September 2021 exceeded the minimum requirement.

The table below presents the unsecured credit ratings andoutlook of Group Inc.

The following provides information about our subsidiaryliquidity regulatory requirements:

In the table above:‰ GS Bank USA. GS Bank USA is subject to a minimum
LCR of 100% under the LCR rule approved by the U.S.
federal bank regulatory agencies. As of September 2021,
GS Bank USA’s LCR exceeded the minimum requirement.
The NSFR requirement described above also applies to
GS Bank USA. As of September 2021, GS Bank USA’s
NSFR exceeded the minimum requirement.
‰ GSI. GSI is subject to a minimum LCR of 100% under
the LCR rule approved by the U.K. regulatory authorities.
GSI’s average monthly LCR for the trailing twelve-month
period ended September 2021 exceeded the minimum
requirement. GSI will become subject to the applicable
NSFR requirement in the U.K., which is expected to
become effective in January 2022.
‰ Other Subsidiaries. We monitor local regulatory
liquidity requirements of our subsidiaries to ensurecompliance. For many of our subsidiaries, theserequirements either have changed or are likely to change
in the future due to the implementation of the BaselCommittee’s framework for liquidity risk measurement,
standards and monitoring, as well as other regulatory
developments.
The implementation of these rules and any amendments
adopted by the regulatory authorities could impact our
liquidity and funding requirements and practices in the
future.

141 Goldman Sachs September 2021 Form 10-Q

As of September 2021
DBRS

Fitch

Short-term debt
R-1 (middle)
F1
Long-term debt
A (high)A
Subordinated debt
A BBB+
Trust preferred
A
BBBPreferred stock
BBB (high) BBBRatings outlook
Stable Stable

Moody’s

R&I

S&P

P-1
a-1
A-2
A2
A BBB+Baa2
ABBBBaa3
N/A
BB
Ba1
N/A
BB
Stable Stable Stable‰ The ratings and outlook are by DBRS, Inc. (DBRS), Fitch,
Inc. (Fitch), Moody’s Investors Service (Moody’s), Rating
and Investment Information, Inc. (R&I), and Standard &Poor’s Ratings Services (S&P).
‰ The ratings for trust preferred relate to the guaranteed
preferred beneficial interests issued by Goldman Sachs
Capital I.
‰ The DBRS, Fitch, Moody’s and S&P ratings for preferredstock include the APEX issued by Goldman Sachs
Capital II and Goldman Sachs Capital III.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
The table below presents the unsecured credit ratings andoutlook of GS Bank USA, GSIB, GSBE, GS&Co. and GSI.
As of September 2021

GS Bank USA
Short-term debt
Long-term debt
Short-term bank deposits
Long-term bank deposits
Ratings outlook
GSIB
Short-term debt
Long-term debt
Short-term bank deposits
Long-term bank deposits
Ratings outlook
GSBE
Short-term debt
Long-term debt
Short-term bank deposits
Long-term bank deposits
Ratings outlook
GS&Co.
Short-term debt
Long-term debt
Ratings outlook
GSI
Short-term debt
Long-term debt
Ratings outlook

Fitch

Moody’s

S&P

F1
A+
F1+
AAStable

P-1
A1
P-1
A1
Stable

A-1
A+
N/A
N/A
StableF1A+
F1A+
Stable

P-1
A1
P-1
A1
Stable

A-1
A+
N/A
N/A
Stable

F1
A
N/A
N/A
Stable

P-1
A1
P-1
A1
Stable

A-1
A+
N/A
N/A
StableF1
A+
Stable

N/A
N/A
N/A

A-1
A+
StableF1
A+
StableP-1
A1
StableA-1
A+
StableWe believe our credit ratings are primarily based on thecredit rating agencies’ assessment of:‰ Our liquidity, market, credit and operational risk
management practices;‰ Our level and variability of earnings;‰ Our capital base;‰ Our franchise, reputation and management;‰ Our corporate governance; and‰ The external operating and economic environment,
including, in some cases, the assumed level of government
support or other systemic considerations, such as
potential resolution.
Certain of our derivatives have been transacted underbilateral agreements with counterparties who may require
us to post collateral or terminate the transactions based onchanges in our credit ratings. We manage our GCLA toensure we would, among other potential requirements, beable to make the additional collateral or termination
payments that may be required in the event of a two-notch
reduction in our long-term credit ratings, as well as
collateral that has not been called by counterparties, but isavailable to them.

See Note 7 to the consolidated financial statements forfurther information about derivatives with credit-related
contingent features and the additional collateral or
termination payments related to our net derivative
liabilities under bilateral agreements that could have beencalled by counterparties in the event of a one- or two-notch
downgrade in our credit ratings.
Cash FlowsAs a global financial institution, our cash flows are complex
and bear little relation to our net earnings and net assets.
Consequently, we believe that traditional cash flow analysis
is less meaningful in evaluating our liquidity position thanthe liquidity and asset-liability management policies
described above. Cash flow analysis may, however, be
helpful in highlighting certain macro trends and strategic
initiatives in our businesses.
Nine Months Ended September 2021. Our cash andcash equivalents increased by $55.99 billion to$211.83 billion at the end of the third quarter of 2021, due
to net cash provided by financing activities, partially offset
by net cash used for operating activities and investing
activities. The net cash provided by financing activities
primarily reflected an increase in net deposits, principallyreflecting increases in institutional, transaction banking,private bank, consumer and deposit sweep programs
deposits, and net issuances of unsecured long-termborrowings. The net cash used for operating activities
primarily reflected an increase in collateralized transactions(an increase in collateralized agreements, partially offset by
an increase in collateralized financings), partially offset by
an increase in trading liabilities. The net cash used forinvesting activities primarily reflected purchases ofinvestments and an increase in net lending activities,
partially offset by sales and paydowns of investments.
Nine Months Ended September 2020. Our cash andcash equivalents increased by $19.66 billion to$153.20 billion at the end of the third quarter of 2020, due
to net cash provided by financing activities, partially offset
by net cash used for operating activities and investing
activities. The net cash provided by financing activities
primarily reflected an increase in net deposits, reflecting
increases in consumer, transaction banking and privatebank deposits. The net cash used for operating activities
primarily reflected an increase in trading assets, net
customer and other receivables and payables, andcollateralized transactions (an increase in collateralized
agreements and a decrease in collateralized financings),
partially offset by an increase in trading liabilities as a resultof our activities and our clients’ activities. The net cash used
for investing activities reflected an increase in net loans andnet purchases of investments, reflecting an increase in U.S.
government obligations accounted for as available-for-sale.

Goldman Sachs September 2021 Form 10-Q 142

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Market Risk Management
Overview
Market risk is the risk of loss in the value of our inventory,
investments, loans and other financial assets and liabilities
accounted for at fair value due to changes in market
conditions. We hold such positions primarily for market
making for our clients and for our investing and financing
activities, and therefore, these positions change based onclient demands and our investment opportunities. Since
these positions are accounted for at fair value, theyfluctuate on a daily basis, with the related gains and losses
included in the consolidated statements of earnings. We
employ a variety of risk measures, each described in therespective sections below, to monitor market risk.
Categories of market risk include the following:‰ Interest rate risk: results from exposures to changes in thelevel, slope and curvature of yield curves, the volatilities
of interest rates, prepayment speeds and credit spreads;‰ Equity price risk: results from exposures to changes inprices and volatilities of individual equities, baskets ofequities and equity indices;‰ Currency rate risk: results from exposures to changes inspot prices, forward prices and volatilities of currency
rates; and‰ Commodity price risk: results from exposures to changes
in spot prices, forward prices and volatilities ofcommodities, such as crude oil, petroleum products,
natural gas, electricity, and precious and base metals.
Market Risk, which is independent of our revenueproducing units and reports to our chief risk officer, has
primary responsibility for assessing, monitoring andmanaging our market risk through firmwide oversightacross our global businesses.
Managers in revenue-producing units and Market Risk
discuss market information, positions and estimated loss
scenarios on an ongoing basis. Managers in revenueproducing units are accountable for managing risk withinprescribed limits. These managers have in-depth knowledgeof their positions, markets and the instruments available tohedge their exposures.
Market Risk Management Process
Our process for managing market risk includes the criticalcomponents of our risk management framework describedin the “Overview and Structure of Risk Management,” aswell as the following:‰ Monitoring compliance with established market risk
limits and reporting our exposures;‰ Diversifying exposures;

143 Goldman Sachs September 2021 Form 10-Q

‰ Controlling position sizes; and‰ Evaluating mitigants, such as economic hedges in related
securities or derivatives.
Our market risk management systems enable us to perform
an independent calculation of Value-at-Risk (VaR) andstress measures, capture risk measures at individual
position levels, attribute risk measures to individual risk
factors of each position, report many different views of therisk measures (e.g., by desk, business, product type orentity) and produce ad hoc analyses in a timely manner.
Risk Measures
We produce risk measures and monitor them against
established market risk limits. These measures reflect anextensive range of scenarios and the results are aggregatedat product, business and firmwide levels.
We use a variety of risk measures to estimate the size of
potential losses for both moderate and more extreme
market moves over both short- and long-term time
horizons. Our primary risk measures are VaR, which isused for shorter-term periods, and stress tests. Our risk
reports detail key risks, drivers and changes for each deskand business, and are distributed daily to senior
management of both our revenue-producing units and our
independent risk oversight and control functions.
Value-at-Risk. VaR is the potential loss in value due toadverse market movements over a defined time horizon
with a specified confidence level. For assets and liabilities
included in VaR, see “Financial Statement Linkages toMarket Risk Measures.” We typically employ a one-day
time horizon with a 95% confidence level. We use a single
VaR model, which captures risks, including interest rates,
equity prices, currency rates and commodity prices. As
such, VaR facilitates comparison across portfolios ofdifferent risk characteristics. VaR also captures thediversification of aggregated risk at the firmwide level.
We are aware of the inherent limitations to VaR and
therefore use a variety of risk measures in our market risk
management process. Inherent limitations to VaR include:‰ VaR does not estimate potential losses over longer time
horizons where moves may be extreme;‰ VaR does not take account of the relative liquidity ofdifferent risk positions; and‰ Previous moves in market risk factors may not produce
accurate predictions of all future market moves.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
To comprehensively capture our exposures and relevantrisks in our VaR calculation, we use historical simulations
with full valuation of market factors at the position level bysimultaneously shocking the relevant market factors forthat position. These market factors include spot prices,credit spreads, funding spreads, yield curves, volatility andcorrelation, and are updated periodically based on changes
in the composition of positions, as well as variations inmarket conditions. We sample from five years of historical
data to generate the scenarios for our VaR calculation. The
historical data is weighted so that the relative importance ofthe data reduces over time. This gives greater importance tomore recent observations and reflects current asset
volatilities, which improves the accuracy of our estimates ofpotential loss. As a result, even if our positions included in
VaR were unchanged, our VaR would increase withincreasing market volatility and vice versa.
Given its reliance on historical data, VaR is most effective inestimating risk exposures in markets in which there are no
sudden fundamental changes or shifts in market conditions.
Our VaR measure does not include:‰ Positions that are best measured and monitored using
sensitivity measures; and‰ The impact of changes in counterparty and our own
credit spreads on derivatives, as well as changes in ourown credit spreads on financial liabilities for which thefair value option was elected.
We perform daily backtesting of our VaR model (i.e.,comparing daily net revenues for positions included in VaR
to the VaR measure calculated as of the prior business day)at the firmwide level and for each of our businesses andmajor regulated subsidiaries.
Stress Testing. Stress testing is a method of determining
the effect of various hypothetical stress scenarios. We use
stress testing to examine risks of specific portfolios, as wellas the potential impact of our significant risk exposures. We
use a variety of stress testing techniques to calculate thepotential loss from a wide range of market moves on our
portfolios, including firmwide stress tests, sensitivity
analysis and scenario analysis. The results of our various
stress tests are analyzed together for risk management
purposes. See “Overview and Structure of Risk
Management” for information about firmwide stress tests.
Sensitivity analysis is used to quantify the impact of amarket move in a single risk factor across all positions (e.g.,
equity prices or credit spreads) using a variety of definedmarket shocks, ranging from those that could be expected
over a one-day time horizon up to those that could takemany months to occur. We also use sensitivity analysis toquantify the impact of the default of any single entity,
which captures the risk of large or concentrated exposures.

Scenario analysis is used to quantify the impact of a specified
event, including how the event impacts multiple risk factors
simultaneously. For example, for sovereign stress testing we
calculate potential direct exposure associated with oursovereign positions, as well as the corresponding debt, equity
and currency exposures associated with our non-sovereign
positions that may be impacted by the sovereign distress.
When conducting scenario analysis, we often consider anumber of possible outcomes for each scenario, ranging frommoderate to severely adverse market impacts. In addition,these stress tests are constructed using both historical eventsand forward-looking hypothetical scenarios.
Unlike VaR measures, which have an implied probability
because they are calculated at a specified confidence level,
there may not be an implied probability that our stresstesting scenarios will occur. Instead, stress testing is used tomodel both moderate and more extreme moves inunderlying market factors. When estimating potential loss,
we generally assume that our positions cannot be reducedor hedged (although experience demonstrates that we are
generally able to do so).
LimitsWe use market risk limits at various levels to manage thesize of our market exposures. These limits are set based on
VaR and on a range of stress tests relevant to our exposures.
See “Overview and Structure of Risk Management” for
information about the limit approval process.
Market Risk is responsible for monitoring these limits, andidentifying and escalating to senior management and/or theappropriate risk committee, on a timely basis, instanceswhere limits have been exceeded (e.g., due to positionalchanges or changes in market conditions, such as increased
volatilities or changes in correlations). Such instances are
remediated by a reduction in the positions we hold and/or atemporary or permanent increase to the limit.
Metrics
We analyze VaR at the firmwide level and a variety of moredetailed levels, including by risk category, business andregion. Diversification effect in the tables below represents
the difference between total VaR and the sum of the VaRs
for the four risk categories. This effect arises because thefour market risk categories are not perfectly correlated.
The table below presents our average daily VaR.
Nine Months
Ended September

Three Months Ended$ in millions

Categories
Interest rates
Equity prices
Currency rates
Commodity prices
Diversification effect
Total

September
2021

June
2021

$ 58
40
12
22
(52)
$ 80

$ 64
48
13
22
(57)
$ 90

September
2020

2021

2020

$ 72 $ 60
55
46
22
12
26
22
(84) (53)$ 91 $ 87

$ 77
57
26
20
(82)
$ 98

Goldman Sachs September 2021 Form 10-Q 144

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Our average daily VaR decreased to $80 million for thethree months ended September 2021 from $90 million for
the three months ended June 2021, primarily due to lower
levels of volatility. The total decrease of $10 million was
primarily driven by decreases in the equity prices andinterest rates categories, partially offset by a decrease in thediversification effect.
Our average daily VaR decreased to $80 million for thethree months ended September 2021 from $91 million for
the three months ended September 2020, due to lower
levels of volatility, partially offset by increased exposures.
The total decrease of $11 million was primarily driven by
decreases in the equity prices, interest rates and currency
rates categories, partially offset by a decrease in thediversification effect.
Our average daily VaR decreased to $87 million for thenine months ended September 2021 from $98 million for
the nine months ended September 2020, due to lower levelsof volatility, partially offset by increased exposures. The
total decrease of $11 million was primarily driven by
decreases in the interest rates, currency rates and equity
prices categories, partially offset by a decrease in thediversification effect.
The table below presents our period-end VaR.

During the nine months ended September 2021, thefirmwide VaR risk limit was not exceeded, raised or
reduced, and there were no permanent or temporarychanges to the firmwide VaR risk limit. During 2020, thefirmwide VaR risk limit was exceeded on 16 occasions (allof which occurred during the first half of 2020), primarily
due to higher levels of volatility. There were no permanentchanges to the firmwide VaR risk limit during this period.
However, there were temporary increases to the firmwide
VaR risk limit as a result of the market environment in
2020.
The table below presents our high and low VaR.
Three Months Ended
September 2021

June 2021

September 2020

$ in millions

High

Low

High

High

Low

Categories
Interest rates
Equity prices
Currency rates
Commodity prices

$74
$48
$16
$33

$50 $ 74
$33 $ 57
$ 8 $ 17
$15 $ 32

$58 $ 99
$37 $ 75
$10 $ 32
$15 $ 37

$59
$42
$16
$17

FirmwideVaR$95$74 $101$81 $125$77

The chart below presents our daily VaR for the nine months
ended September 2021.
210

As of

Categories
Interest rates
Equity prices
Currency rates
Commodity prices
Diversification effect
Total

September
2021

June
2021

September
2020

180
150

$ 57
37
9
31
(47)
$ 87

$ 74
41
16
25
(61)
$ 95

$ 60
46
17
20
(62)
$ 81

Daily VaR(in millions)$ in millions

Low

120
90
60
30

Our period-end VaR decreased to $87 million as of
September 2021 from $95 million as of June 2021,
primarily due to lower levels of volatility. The total decreaseof $8 million was driven by decreases in the interest rates,
currency rates and equity prices categories, partially offset
by a decrease in the diversification effect and an increase in
the commodity prices category.
Our period-end VaR increased to $87 million as of
September 2021 from $81 million as of September 2020,
due to increased exposures, partially offset by lower levelsof volatility. The total increase of $6 million was primarily
driven by a decrease in the diversification effect and anincrease in the commodity prices category, partially offset
by decreases in the equity prices and currency rates
categories.

145 Goldman Sachs September 2021 Form 10-Q

0First Quarter
2021

Second Quarter
2021

Third Quarter
2021

The table below presents, by number of business days, thefrequency distribution of our daily net revenues for
positions included in VaR.
Three Months
Ended September

Nine Months
Ended September$ in millions

2021

2020

2021

2020

>$100
$75 - $100
$50 - $75
$25 - $50
$0 - $25$(25) - $0$(50) - $(25)$(75) - $(50)$(100) - $(75)<$(100)
Total

13
11
11
10
11
7
–
–
–
1
64

4
9
21
17
8
3
2
–
–
–
64

47
39
30
26
31
14
–
–
–
1
188

44
30
34
39
25
9
4
2
2
–
189

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Daily net revenues for positions included in VaR arecompared with VaR calculated as of the end of the priorbusiness day. Net losses incurred on a single day for such
positions exceeded our 95% one-day VaR (i.e., a VaR
exception) on one occasion during the three months ended
September 2021 and did not exceed our 95% one-day VaR
during the three months ended September 2020.
During periods in which we have significantly more positive
net revenue days than net revenue loss days, we expect tohave fewer VaR exceptions because, under normal
conditions, our business model generally produces positive
net revenues. In periods in which our franchise revenues areadversely affected, we generally have more loss days,
resulting in more VaR exceptions. The daily net revenues
for positions included in VaR used to determine VaR
exceptions reflect the impact of any intraday activity,
including bid/offer net revenues, which are more likely than
not to be positive by their nature.
Sensitivity Measures
Certain portfolios and individual positions are not includedin VaR because VaR is not the most appropriate risk
measure. Other sensitivity measures we use to analyze
market risk are described below.
10% Sensitivity Measures. The table below presents ourmarket risk by asset category for positions accounted for atfair value, that are not included in VaR.
As of
$ in millions

EquityDebt
Total

September
2021

June
2021

September
2020$2,0342,385$4,419$2,096
2,429$4,525$1,7602,391$4,151In the table above:‰ The market risk of these positions is determined byestimating the potential reduction in net revenues of a
10% decline in the value of these positions.
‰ Equity positions relate to private and restricted public equity
securities, including interests in funds that invest in corporate
equities and real estate and interests in hedge funds.
‰ Debt positions include interests in funds that invest in
corporate mezzanine and senior debt instruments, loans
backed by commercial and residential real estate,
corporate bank loans and other corporate debt, including
acquired portfolios of distressed loans.

Credit and Funding Spread Sensitivity on Derivatives
and Financial Liabilities. VaR excludes the impact ofchanges in counterparty credit spreads, our own credit
spreads and unsecured funding spreads on derivatives, aswell as changes in our own credit spreads (debt valuation
adjustment) on financial liabilities for which the fair value
option was elected. The estimated sensitivity to a one basis
point increase in credit spreads (counterparty and our own)
and unsecured funding spreads on derivatives (including
hedges) was a loss of $2 million as of both September 2021
and June 2021. In addition, the estimated sensitivity to a
one basis point increase in our own credit spreads on
financial liabilities for which the fair value option waselected was a gain of $32 million as of September 2021 and$31 million as of June 2021. However, the actual net
impact of a change in our own credit spreads is also affectedby the liquidity, duration and convexity (as the sensitivity is
not linear to changes in yields) of those financial liabilities
for which the fair value option was elected, as well as therelative performance of any hedges undertaken.
Interest Rate Sensitivity. Loans accounted for atamortized cost were $126.03 billion as of September 2021
and $116.04 billion as of June 2021, substantially all ofwhich had floating interest rates. The estimated sensitivity
to a 100 basis point increase in interest rates on such loans
was $880 million as of September 2021 and $826 million asof June 2021 of additional interest income over a twelvemonth period, which does not take into account thepotential impact of an increase in costs to fund such loans.
See Note 9 to the consolidated financial statements forfurther information about loans accounted for at amortized
cost.
Other Market Risk Considerations
We make investments in securities that are accounted for as
available-for-sale, held-to-maturity or under the equity
method which are included in investments in the
consolidated balance sheets. See Note 8 to the consolidated
financial statements for further information.
Direct investments in real estate are accounted for at costless accumulated depreciation. See Note 12 to theconsolidated financial statements for further information
about other assets.

‰ Funded equity and debt positions are included in ourconsolidated balance sheets in investments and loans. See
Note 8 to the consolidated financial statements for further
information about investments and Note 9 to the consolidated
financial statements for further information about loans.
‰ These measures do not reflect the diversification effect acrossasset categories or across other market risk measures.
Goldman Sachs September 2021 Form 10-Q 146

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Financial Statement Linkages to Market Risk
MeasuresWe employ a variety of risk measures, each described in therespective sections above, to monitor market risk across theconsolidated balance sheets and consolidated statements ofearnings. The related gains and losses on these positions areincluded in market making, other principal transactions,interest income and interest expense in the consolidated
statements of earnings, and debt valuation adjustment in
the consolidated statements of comprehensive income.
The table below presents certain assets and liabilities in ourconsolidated balance sheets and the market risk measuresused to assess those assets and liabilities.
Assets or Liabilities

Market Risk Measures

Collateralized agreements, at fair value

VaR

Customer and other receivables, at fair value 10% Sensitivity Measures
Trading assets

VaR
Credit Spread Sensitivity

Investments, at fair value

VaR
10% Sensitivity Measures

Loans

VaR
10% Sensitivity Measures
Interest Rate Sensitivity

Deposits, at fair value

VaR
Credit Spread Sensitivity

Collateralized financings, at fair value

VaR

Trading liabilities

VaR
Credit Spread Sensitivity

Unsecured borrowings, at fair value

VaR
Credit Spread Sensitivity

Credit Risk Management
Overview
Credit risk represents the potential for loss due to thedefault or deterioration in credit quality of a counterparty(e.g., an OTC derivatives counterparty or a borrower) or anissuer of securities or other instruments we hold. Our
exposure to credit risk comes mostly from clienttransactions in OTC derivatives and loans and lending
commitments. Credit risk also comes from cash placed withbanks, securities financing transactions (i.e., resale andrepurchase agreements and securities borrowing andlending activities) and customer and other receivables.

147 Goldman Sachs September 2021 Form 10-Q

Credit Risk, which is independent of our revenueproducing units and reports to our chief risk officer, has
primary responsibility for assessing, monitoring andmanaging our credit risk through firmwide oversight acrossour global businesses. In addition, we hold other positions
that give rise to credit risk (e.g., bonds and secondary bankloans). These credit risks are captured as a component ofmarket risk measures, which are monitored and managed
by Market Risk. We also enter into derivatives to manage
market risk exposures. Such derivatives also give rise tocredit risk, which is monitored and managed by Credit
Risk.
Credit Risk Management Process
Our process for managing credit risk includes the criticalcomponents of our risk management framework describedin the “Overview and Structure of Risk Management,” aswell as the following:‰ Monitoring compliance with established credit risk limits
and reporting our credit exposures and credit
concentrations;‰ Establishing or approving underwriting standards;‰ Assessing the likelihood that a counterparty will default
on its payment obligations;‰ Measuring our current and potential credit exposure andlosses resulting from a counterparty default;‰ Using credit risk mitigants, including collateral andhedging; and‰ Maximizing recovery through active workout andrestructuring of claims.
We also perform credit reviews, which include initial andongoing analyses of our counterparties. For substantially allof our credit exposures, the core of our process is an annual
counterparty credit review. A credit review is anindependent analysis of the capacity and willingness of acounterparty to meet its financial obligations, resulting in
an internal credit rating. The determination of internal
credit ratings also incorporates assumptions with respect tothe nature of and outlook for the counterparty’s industry,
and the economic environment. Senior personnel, withexpertise in specific industries, inspect and approve credit
reviews and internal credit ratings.
Our risk assessment process may also include, whereapplicable, reviewing certain key metrics, including, but notlimited to, delinquency status, collateral values, FICO
credit scores and other risk factors.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Our credit risk management systems capture credit
exposure to individual counterparties and on an aggregate
basis to counterparties and their subsidiaries. These systems
also provide management with comprehensive information
about our aggregate credit risk by product, internal credit
rating, industry, country and region.
Risk Measures
We measure our credit risk based on the potential loss in theevent of non-payment by a counterparty using current andpotential exposure. For derivatives and securities financing
transactions, current exposure represents the amountpresently owed to us after taking into account applicablenetting and collateral arrangements, while potential
exposure represents our estimate of the future exposurethat could arise over the life of a transaction based onmarket movements within a specified confidence level.
Potential exposure also takes into account netting andcollateral arrangements. For loans and lending
commitments, the primary measure is a function of thenotional amount of the position.
Stress Tests
We conduct regular stress tests to calculate the credit
exposures, including potential concentrations that would
result from applying shocks to counterparty credit ratingsor credit risk factors (e.g., currency rates, interest rates,
equity prices). These shocks cover a wide range of moderate
and more extreme market movements, including shocks tomultiple risk factors, consistent with the occurrence of asevere market or economic event. In the case of sovereigndefault, we estimate the direct impact of the default on oursovereign credit exposures, changes to our credit exposuresarising from potential market moves in response to thedefault, and the impact of credit market deterioration on
corporate borrowers and counterparties that may result
from the sovereign default. Unlike potential exposure,which is calculated within a specified confidence level,stress testing does not generally assume a probability ofthese events occurring. We also perform firmwide stresstests. See “Overview and Structure of Risk Management”
for information about firmwide stress tests.
To supplement these regular stress tests, as described above,
we also conduct tailored stress tests on an ad hoc basis in
response to specific market events that we deem significant.
We also utilize these stress tests to estimate the indirect
impact of certain hypothetical events on our country
exposures, such as the impact of credit market deteriorationon corporate borrowers and counterparties along with theshocks to the risk factors described above. The parametersof these shocks vary based on the scenario reflected in eachstress test. We review estimated losses produced by thestress tests in order to understand their magnitude,highlight potential loss concentrations, and assess andmitigate our exposures where necessary.

LimitsWe use credit risk limits at various levels, as well as
underwriting standards to manage the size and nature of
our credit exposures. Limits for industries and countries are
based on our risk appetite and are designed to allow for
regular monitoring, review, escalation and management ofcredit risk concentrations. See “Overview and Structure of
Risk Management” for information about the limit
approval process.
Credit Risk is responsible for monitoring these limits, andidentifying and escalating to senior management and/or theappropriate risk committee, on a timely basis, instanceswhere limits have been exceeded.
Risk Mitigants
To reduce our credit exposures on derivatives and securities
financing transactions, we may enter into netting
agreements with counterparties that permit us to offset
receivables and payables with such counterparties. We may
also reduce credit risk with counterparties by entering into
agreements that enable us to obtain collateral from them onan upfront or contingent basis and/or to terminatetransactions if the counterparty’s credit rating falls below a
specified level. We monitor the fair value of the collateral toensure that our credit exposures are appropriately
collateralized. We seek to minimize exposures where there
is a significant positive correlation between thecreditworthiness of our counterparties and the market
value of collateral we receive.
For loans and lending commitments, depending on thecredit quality of the borrower and other characteristics ofthe transaction, we employ a variety of potential risk
mitigants. Risk mitigants include collateral provisions,guarantees, covenants, structural seniority of the bank loan
claims and, for certain lending commitments, provisions in
the legal documentation that allow us to adjust loan
amounts, pricing, structure and other terms as market
conditions change. The type and structure of risk mitigants
employed can significantly influence the degree of credit
risk involved in a loan or lending commitment.
When we do not have sufficient visibility into a
counterparty’s financial strength or when we believe a
counterparty requires support from its parent, we may
obtain third-party guarantees of the counterparty’s
obligations. We may also mitigate our credit risk using
credit derivatives or participation agreements.

Goldman Sachs September 2021 Form 10-Q 148

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Credit Exposures
As of September 2021, our aggregate credit exposure
increased as compared with December 2020, primarilyreflecting increases in cash deposits with central banks andloans and lending commitments. The percentage of ourcredit exposures arising from non-investment-grade
counterparties (based on our internally determined public
rating agency equivalents) decreased as compared with
December 2020, primarily reflecting an increase ininvestment-grade credit exposure related to cash deposits
with central banks. Our credit exposure to counterparties
that defaulted during the nine months ended
September 2021 was lower as compared with our credit
exposure to counterparties that defaulted during the sameprior year period, and such exposure was primarily related
to loans and lending commitments. Our credit exposure tocounterparties that defaulted during the nine months ended
September 2021 remained low, representing less than 1%of our total credit exposure. Estimated losses associatedwith these defaults have been recognized in earnings. Our
credit exposures are described further below.
Cash and Cash Equivalents. Our credit exposure on cash
and cash equivalents arises from our unrestricted cash, andincludes both interest-bearing and non-interest-bearing
deposits. To mitigate the risk of credit loss, we placesubstantially all of our deposits with highly rated banks andcentral banks.
The table below presents our credit exposure fromunrestricted cash and cash equivalents, and theconcentration by industry, region and internally determinedpublic rating agency equivalents.
As of$ in millions

September
2021

December
2020

Cash and Cash Equivalents$187,120$131,324

Industry
Financial Institutions
Sovereign
Total

7%
93%
100%

11%
89%
100%

RegionAmericas
EMEA
Asia
Total

58%
33%
9%
100%

45%
41%
14%
100%

Credit Quality (Credit Rating Equivalent)
AAA
AA
A
BBB
Total

63%
25%
11%
1%
100%

44%
38%
17%
1%
100%

The table above excludes cash segregated for regulatory
and other purposes of $24.71 billion as of September 2021
and $24.52 billion as of December 2020.

149 Goldman Sachs September 2021 Form 10-Q

OTC Derivatives. Our credit exposure on OTC derivatives
arises primarily from our market-making activities. As amarket maker, we enter into derivative transactions toprovide liquidity to clients and to facilitate the transfer andhedging of their risks. We also enter into derivatives tomanage market risk exposures. We manage our credit
exposure on OTC derivatives using the credit risk process,measures, limits and risk mitigants described above.
We generally enter into OTC derivatives transactions underbilateral collateral arrangements that require the daily
exchange of collateral. As credit risk is an essential
component of fair value, we include a credit valuation
adjustment (CVA) in the fair value of derivatives to reflect
counterparty credit risk, as described in Note 7 to theconsolidated financial statements. CVA is a function of thepresent value of expected exposure, the probability ofcounterparty default and the assumed recovery upon default.
The table below presents our net credit exposure from OTC
derivatives and the concentration by industry and region.
As of
September
2021

December2020$ 65,200(17,530)$ 47,670$ 64,850(18,990)$ 45,860

Industry
Consumer & Retail
Diversified Industrials
Financial Institutions
Funds
Healthcare
Municipalities & Nonprofit
Natural Resources & Utilities
Sovereign
Technology, Media & Telecommunications
Other (including Special Purpose Vehicles)
Total

2%
8%
11%
15%
1%
5%
37%
8%
10%
3%
100%

4%
23%
12%
12%
2%
6%
11%
14%
12%
4%
100%

RegionAmericas
EMEA
Asia
Total

54%
37%
9%
100%

62%
30%
8%
100%

$ in millions

OTC derivative assets
Collateral (not netted under U.S. GAAP)Net credit exposure

In the table above:‰ OTC derivative assets, included in the consolidatedbalance sheets, are reported on a net-by-counterparty basis(i.e., the net receivable for a given counterparty) when alegal right of setoff exists under an enforceable netting
agreement (counterparty netting) and are accounted for atfair value, net of cash collateral received under enforceablecredit support agreements (cash collateral netting).
‰ Collateral represents cash collateral and the fair value of
securities collateral, primarily U.S. and non-U.S.
government and agency obligations, received under credit
support agreements, that we consider when determining
credit risk, but such collateral is not eligible for netting
under U.S. GAAP.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
The table below presents the distribution of our net credit
exposure from OTC derivatives by tenor.
$ in millions

InvestmentGrade

Non-InvestmentGrade / Unrated

Total

As of September 2021
Less than 1 year
1 - 5 years
Greater than 5 years
Total
Netting
Net credit exposure$ 27,658
22,137
65,130114,925(88,989)$ 25,936$ 13,359
12,323
6,646
32,328(10,594)$ 21,734$ 41,017
34,46071,776147,253(99,583)$ 47,670

As of December 2020
Less than 1 year
1 - 5 years
Greater than 5 years
Total
Netting
Net credit exposure

The table below presents our loans and lending
commitments.

$ in millions$ 22,332
23,92777,653
123,912(101,691)$ 22,221$ 12,507
16,486
8,958
37,951(14,312)$ 23,639$ 34,839
40,41386,611
161,863(116,003)$ 45,860

In the table above:‰ Tenor is based on remaining contractual maturity.
‰ Netting includes counterparty netting across tenor
categories and collateral that we consider when
determining credit risk (including collateral that is not
eligible for netting under U.S. GAAP). Counterparty
netting within the same tenor category is included withinsuch tenor category.
The tables below present the distribution of our net credit
exposure from OTC derivatives by tenor and internallydetermined public rating agency equivalents.
Investment-Grade$ in millions

Lending Activities. We manage our lending activities
using the credit risk process, measures, limits and risk
mitigants described above. Other lending positions,
including secondary trading positions, are risk-managed as
a component of market risk.

AAA

AA

A

BBB

Total

As of September 2021
Corporate
Wealth management
Commercial real estate
Residential real estateConsumer:
Installment
Credit cards
Other
Total, grossAllowance for loan losses
Total
As of December 2020
Corporate
Wealth management
Commercial real estate
Residential real estateConsumer:
Installment
Credit cards
Other
Total, grossAllowance for loan losses
Total

Loans

Lending
Commitments

Total$ 54,107
41,77521,707
13,359$164,422
4,051
6,005
3,018

$218,529
45,826
27,712
16,377

3,449
6,251
6,308
146,956(3,332)$143,624

11
31,7185,307
214,532(833)$213,699

3,460
37,96911,615
361,488(4,165)$357,323$ 48,659
33,023
20,2905,750$135,818
3,103
4,268
1,900

$184,477
36,12624,558
7,650

3,823
4,270
4,174
119,989(3,874)$116,115

4
21,640
4,842
171,575(557)$171,018

3,827
25,9109,016
291,564(4,431)$287,133

As of September 2021
Less than 1 year$
694 $ 5,280 $ 11,544 $ 10,140 $ 27,658
1 - 5 years
929
2,998
9,605
8,605
22,137
Greater than 5 years
13,326
5,759
24,39921,646
65,130Total
14,949 14,037
45,54840,391 114,925
Netting(12,677) (9,816) (37,666) (28,830) (88,989)
Net credit exposure $ 2,272 $ 4,221 $ 7,882 $ 11,561 $ 25,936
As of December 2020
Less than 1 year$
532 $ 4,146 $ 11,440 $ 6,214 $ 22,332
1 - 5 years
1,069
4,189
10,976
7,693
23,927
Greater than 5 years
16,5507,403
28,41025,29077,653
Total
18,151 15,738
50,82639,197 123,912
Netting(14,364) (11,230) (44,529) (31,568) (101,691)
Net credit exposure$ 3,787 $ 4,508 $ 6,297 $ 7,629 $ 22,221
Non-Investment-Grade / Unrated$ in millions

BB or lower

Unrated

Total

As of September 2021
Less than 1 year
1 - 5 years
Greater than 5 years
Total
Netting
Net credit exposure$ 12,465 $894 $ 13,359
12,26756
12,323
6,538
108
6,646
31,2701,058
32,328(10,546)(48) (10,594)$ 20,724 $ 1,010 $ 21,734

As of December 2020
Less than 1 year
1 - 5 years
Greater than 5 years
Total
Netting
Net credit exposure$ 11,541 $966 $ 12,507
16,274212
16,486
8,844
114
8,958
36,6591,292
37,951(14,114)(198) (14,312)$ 22,545 $ 1,094 $ 23,639

Goldman Sachs September 2021 Form 10-Q 150

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Corporate. Corporate loans and lending commitments
include term loans, revolving lines of credit, letter of credit
facilities and bridge loans, and are principally used for
operating and general corporate purposes, or in connection
with acquisitions. Corporate loans may be secured or
unsecured, depending on the loan purpose, the risk profileof the borrower and other factors.
The table below presents our credit exposure from
corporate loans and lending commitments, and theconcentration by industry, region, internally determinedpublic rating agency equivalents and other credit metrics.
Lending
Loans Commitments$ in millions

As of September 2021
Corporate$54,107

Total$164,422 $218,529

Industry
Consumer & Retail
Diversified Industrials
Financial Institutions
Funds
Healthcare
Natural Resources & Utilities
Real EstateTechnology, Media & Telecommunications
Other (including Special Purpose Vehicles)
Total

6%
15%
8%
19%
7%
8%
6%
20%
11%
100%

12%
21%
7%
3%
10%
17%
5%
20%
5%
100%

11%
20%
7%
7%
9%
15%
5%
20%
6%
100%

RegionAmericas
EMEA
Asia
Total

56%
36%
8%
100%

74%
24%
2%
100%

69%
27%
4%
100%

Credit Quality (Credit Rating Equivalent)
AAA
–
AA
1%
A
5%
BBB
20%
BB or lower
74%
Other metrics/unrated
–
Total
100%

1%
4%
15%
38%
41%
1%
100%

1%
3%
13%
33%
49%
1%
100%

As of December 2020
Corporate$48,659$135,818 $184,477

Industry
Consumer & Retail
7%
Diversified Industrials
17%
Financial Institutions
10%
Funds
13%
Healthcare
7%
Natural Resources & Utilities
12%
Real Estate
8%
Technology, Media & Telecommunications 17%
Other (including Special Purpose Vehicles)
9%
Total
100%

14%
17%
6%
3%
12%
18%
6%
19%
5%
100%

12%
17%
7%
6%
11%
16%
6%
19%
6%
100%

RegionAmericas
EMEA
Asia
Total

60%
31%
9%
100%

70%
28%
2%
100%

67%
29%
4%
100%

Credit Quality (Credit Rating Equivalent)
AAA
–
AA
–
A
6%
BBB
13%
BB or lower
80%
Other metrics/unrated
1%
Total
100%

1%
5%
19%
36%
38%
1%
100%

1%
4%
15%
30%
49%
1%
100%

151 Goldman Sachs September 2021 Form 10-Q

In the table above, credit exposure excludes $2.76 billion as
of September 2021 and $3.20 billion as of December 2020
relating to issued letters of credit which are classified as
guarantees in our consolidated financial statements. See
Note 18 to the consolidated financial statements for further
information about guarantees.
Wealth Management. Wealth management loans andlending commitments are extended to private bank clients,
including wealth management and other clients. Theseloans are used to finance investments in both financial andnonfinancial assets, bridge cash flow timing gaps or provide
liquidity for other needs. Substantially all of such loans are
secured by securities, residential real estate, commercial realestate or other assets.
The table below presents our credit exposure from wealthmanagement loans and lending commitments, and theconcentration by region, internally determined public
rating agency equivalents and other credit metrics.

Loans

Lending
Commitments

Total$41,775$4,051$45,826

86%
11%
3%
100%

96%
4%
–
100%

87%
10%
3%
100%

Credit Quality (Credit Rating Equivalent)
Investment-grade71%
Non-investment-grade
13%
Other metrics/unrated
16%
Total
100%

57%
14%
29%
100%

70%
13%
17%
100%

As of December 2020
Wealth Management$33,023$3,103$36,126

88%
10%
2%
100%

99%
1%
–
100%

89%
9%
2%
100%

58%
21%
21%
100%

66%
17%
17%
100%

$ in millions

As of September 2021
Wealth Management
RegionAmericas
EMEA
Asia
Total

RegionAmericas
EMEA
Asia
Total

Credit Quality (Credit Rating Equivalent)
Investment-grade67%
Non-investment-grade
16%
Other metrics/unrated
17%
Total
100%

In the table above, other metrics/unrated loans primarily
include loans backed by residential real estate. Our risk
assessment process for such loans include reviewing certain
key metrics, such as loan-to-value ratio and delinquency
status.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Commercial Real Estate. Commercial real estate loans
and lending commitments include originated loans andlending commitments (other than those extended to privatebank clients) that are directly or indirectly secured byhotels, retail stores, multifamily housing complexes andcommercial and industrial properties. Commercial realestate loans and lending commitments also includes loans
and lending commitments extended to clients who
warehouse assets that are directly or indirectly backed bycommercial real estate. In addition, commercial real estateincludes loans purchased by us.

Residential Real Estate. Residential real estate loans andlending commitments are extended to clients (other thanthose extended to private bank clients) who warehouseassets that are directly or indirectly secured by residential
real estate and also includes loans purchased by us.

The table below presents our credit exposure fromcommercial real estate loans and lending commitments, andthe concentration by region, internally determined public
rating agency equivalents and other credit metrics.

$ in millions

Loans

Lending
Commitments

Total$21,707$6,005$27,712

75%
19%
6%
100%

82%
8%
10%
100%

77%
16%
7%
100%

Credit Quality (Credit Rating Equivalent)
Investment-grade
16%
Non-investment-grade82%
Other metrics/unrated
2%
Total
100%

16%
77%
7%
100%

16%
81%
3%
100%

As of December 2020
Commercial Real Estate$20,290$4,268$24,558

71%
19%
10%
100%

65%
10%
25%
100%

70%
18%
12%
100%

13%
87%
–
100%

10%
86%
4%
100%

$ in millions

As of September 2021
Commercial Real Estate
RegionAmericas
EMEA
Asia
Total

RegionAmericas
EMEA
Asia
Total

Credit Quality (Credit Rating Equivalent)
Investment-grade
9%
Non-investment-grade
86%
Other metrics/unrated
5%
Total
100%

In the table above, credit exposure includes loans andlending commitments of $9.66 billion as of September 2021
and $7.88 billion as of December 2020 which are extended
to clients who warehouse assets that are directly or
indirectly backed by commercial real estate.
In addition, we also have credit exposure to certain
commercial real estate loans held for securitization of$361 million as of September 2021 and $503 million as ofDecember 2020. Such loans are included in trading assets in
our consolidated balance sheets.

The table below presents our credit exposure fromresidential real estate loans and lending commitments, andthe concentration by region, internally determined public
rating agency equivalents and other credit metrics.

Loans

Lending
Commitments

Total$13,359$3,018$16,377

92%
5%
3%
100%

67%
23%
10%
100%

87%
8%
5%
100%

Credit Quality (Credit Rating Equivalent)
Investment-grade
9%
Non-investment-grade
83%
Other metrics/unrated
8%
Total
100%

36%
64%
–
100%

14%
79%
7%
100%

As of December 2020
Residential Real Estate$ 5,750$1,900$ 7,650

88%
9%
3%
100%

98%
2%
–
100%

91%
7%
2%
100%

2%
93%
5%
100%

9%
73%
18%
100%

As of September 2021
Residential Real Estate
RegionAmericas
EMEA
Asia
Total

RegionAmericas
EMEA
Asia
Total

Credit Quality (Credit Rating Equivalent)
Investment-grade11%
Non-investment-grade
67%
Other metrics/unrated
22%
Total
100%

In the table above:‰ Credit exposure includes loans and lending commitments
of $12.80 billion as of September 2021 and $5.71 billion
as of December 2020 which are extended to clients who
warehouse assets that are directly or indirectly secured byresidential real estate.
‰ Other metrics/unrated primarily includes loans purchasedby us. Our risk assessment process for such loans includes
reviewing certain key metrics, such as loan-to-value ratio,delinquency status, collateral values, expected cash flows
and other risk factors.
In addition, we also have exposure to residential real estateloans held for securitization of $8.96 billion as of
September 2021 and $5.57 billion as of December 2020.
Such loans are included in trading assets in ourconsolidated balance sheets.

Goldman Sachs September 2021 Form 10-Q 152

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Installment and Credit Card Lending. We originate
unsecured installment loans and credit card loans (pursuant
to revolving lines of credit) to consumers in the Americas.
The credit card lines are cancellable by us and therefore do
not result in credit exposure.
The table below presents our credit exposure fromoriginated installment and credit card funded loans, and theconcentration by the five most concentrated U.S. states.
As of
September
2021

December
2020

Installment$3,449$3,823

California
Texas
New York
FloridaIllinois
Other
Total

11%
9%
7%
7%
4%
62%
100%

11%
9%
7%
7%
4%
62%
100%

Credit Cards$6,251$4,270

California
Texas
New York
FloridaIllinois
Other
Total

19%
9%
8%
8%
4%
52%
100%

19%
9%
8%
8%
4%
52%
100%

$ in millions

See Note 9 to the consolidated financial statements forfurther information about the credit quality indicators of
installment and credit card loans.
Other. Other loans and lending commitments are extended
to clients who warehouse assets that are directly or
indirectly secured by consumer loans, including auto loans
and private student loans, and other assets. Other loans
also includes unsecured consumer and credit card loans
purchased by us.

The table below presents our credit exposure from otherloans and lending commitments, and the concentration byregion, internally determined public rating agency
equivalents and other credit metrics.

Loans

Lending
Commitments

Total

As of September 2021
Other

$6,308$5,307$11,615

RegionAmericas
EMEA
Asia
Total

88%
10%
2%
100%

92%
6%
2%
100%

90%
8%
2%
100%

Credit Quality (Credit Rating Equivalent)
Investment-grade
43%
Non-investment-grade
40%
Other metrics/unrated
17%
Total
100%

87%
13%
–
100%

63%
28%
9%
100%

As of December 2020
Other

$4,174$4,842$ 9,016

RegionAmericas
EMEA
Asia
Total

81%
17%
2%
100%

98%
–
2%
100%

90%
8%
2%
100%

94%
6%
–
100%

71%
14%
15%
100%

$ in millions

Credit Quality (Credit Rating Equivalent)
Investment-grade
44%
Non-investment-grade
23%
Other metrics/unrated
33%
Total
100%

In the table above:‰ Credit exposure includes loans and lending commitments
extended to clients who warehouse assets of $9.64 billion
as of September 2021 and $7.28 billion as ofDecember 2020.
‰ Other metrics/unrated primarily includes consumer andcredit card loans purchased by us. Our risk assessment
process for such loans includes reviewing certain key
metrics, such as expected cash flows, delinquency status
and other risk factors.
In addition, we also have exposure to other loans held for
securitization of $307 million as of September 2021 and$420 million as of December 2020. Such loans are included
in trading assets in our consolidated balance sheets.
Credit Hedges
To mitigate the credit risk associated with our lending
activities, we obtain credit protection on certain loans andlending commitments through credit default swaps, both
single-name and index-based contracts, and through theissuance of credit-linked notes. In addition, Sumitomo
Mitsui Financial Group, Inc. provides us with credit loss
protection on certain approved loan commitments.

153 Goldman Sachs September 2021 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Securities Financing Transactions. We enter into
securities financing transactions in order to, among otherthings, facilitate client activities, invest excess cash, acquire
securities to cover short positions and finance certain
activities. We bear credit risk related to resale agreements
and securities borrowed only to the extent that cash
advanced or the value of securities pledged or delivered tothe counterparty exceeds the value of the collateral
received. We also have credit exposure on repurchaseagreements and securities loaned to the extent that thevalue of securities pledged or delivered to the counterparty
for these transactions exceeds the amount of cash orcollateral received. Securities collateral for thesetransactions primarily includes U.S. and non-U.S.
government and agency obligations.

Other Credit Exposures. We are exposed to credit risk
from our receivables from brokers, dealers and clearingorganizations and customers and counterparties.
Receivables from brokers, dealers and clearingorganizations primarily consist of initial margin placedwith clearing organizations and receivables related to salesof securities which have traded, but not yet settled. These
receivables generally have minimal credit risk due to thelow probability of clearing organization default and theshort-term nature of receivables related to securities
settlements. Receivables from customers and counterparties
generally consist of collateralized receivables related tocustomer securities transactions and generally haveminimal credit risk due to both the value of the collateral
received and the short-term nature of these receivables.

The table below presents our credit exposure fromsecurities financing transactions and the concentration byindustry, region and internally determined public rating
agency equivalents.

The table below presents our other credit exposures and theconcentration by industry, region and internally determinedpublic rating agency equivalents.
As of

As of
September
2021

December
2020$37,049$30,190

Industry
Financial Institutions
Funds
Municipalities & Nonprofit
Sovereign
Other (including Special Purpose Vehicles)
Total

37%
28%
6%
28%
1%
100%

39%
24%
5%
30%
2%
100%

RegionAmericas
EMEA
Asia
Total

37%
45%
18%
100%

33%
46%
21%
100%

Credit Quality (Credit Rating Equivalent)
AAA
AA
A
BBB
BB or lower
Unrated
Total

11%
31%
36%
9%
13%
–
100%

15%
28%
40%
10%
5%
2%
100%

$ in millions

Securities Financing Transactions

The table above reflects both netting agreements andcollateral that we consider when determining credit risk.

September
2021

December
2020$54,838$56,429

Industry
Financial Institutions
Funds
Other (including Special Purpose Vehicles)
Total

82%
11%
7%
100%

85%
9%
6%
100%

RegionAmericas
EMEA
Asia
Total

51%
41%
8%
100%

54%
35%
11%
100%

Credit Quality (Credit Rating Equivalent)
AAA
AA
A
BBB
BB or lower
Unrated
Total

4%
47%
26%
8%
14%
1%
100%

5%
48%
27%
8%
11%
1%
100%

$ in millions

Other Credit Exposures

The table above reflects collateral that we consider when
determining credit risk.
Selected Exposures
We have credit and market exposures, as described below,that have had heightened focus given recent events andbroad market concerns. Credit exposure represents thepotential for loss due to the default or deterioration incredit quality of a counterparty or borrower. Market
exposure represents the potential for loss in value of ourlong and short positions due to changes in market prices.

Goldman Sachs September 2021 Form 10-Q 154

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Country Exposures. High external funding needs andinconsistent monetary policy have led to significant
depreciation of the Turkish Lira, prompting concerns about
foreign exchange reserves and economic instability. As of
September 2021, our total credit exposure to Turkey was$2.27 billion, which was to non-sovereign counterparties orborrowers. Such exposure consisted of $1.38 billion related
to OTC derivatives, $180 million related to loans andlending commitments and $709 million related to secured
receivables. After taking into consideration the benefit ofhedges and Turkish corporate and sovereign collateral, andother risk mitigants provided by Turkish counterparties,
our net credit exposure was $338 million. In addition, ourtotal market exposure to Turkey as of September 2021 was$80 million, primarily to non-sovereign issuers or
underliers. Such exposure consisted of $199 million related
to debt, $(245) million related to credit derivatives and$126 million related to equities.
Liquidity pressures prompted the Argentine government todefault and restructure local and foreign obligations in
2020. Economic challenges persist and the country stillneeds to secure new financial terms with the IMF. As of
September 2021, our total credit exposure to Argentina was$124 million, which was to non-sovereign counterparties orborrowers, and was primarily related to loans and lending
commitments. In addition, our total market exposure toArgentina as of September 2021 was $91 million, primarily
to sovereign issuers or underliers. Such exposure consistedof $95 million related to debt, $(34) million related to credit
derivatives and $30 million related to equities.
The restructuring of Lebanon’s sovereign debt and sharp
currency depreciation have led to concerns about its
financial and political stability. As of September 2021, ourtotal credit and market exposure to Lebanon was notmaterial.
Zambia’s sovereign debt default and liquidity pressuresaggravated by the COVID-19 pandemic have led toconcerns about the country’s financial stability. As of
September 2021, our total credit and market exposure to
Zambia was not material.
Venezuela has delayed payments on its sovereign debt andis experiencing deep economic and social crises. As of
September 2021, our total credit and market exposure to
Venezuela was not material.

155 Goldman Sachs September 2021 Form 10-Q

We have a comprehensive framework to monitor, measure
and assess our country exposures and to determine our risk
appetite. We determine the country of risk by the locationof the counterparty, issuer or underlier’s assets, where theygenerate revenue, the country in which they areheadquartered, the jurisdiction where a claim against them
could be enforced, and/or the government whose policies
affect their ability to repay their obligations. We monitor
our credit exposure to a specific country both at theindividual counterparty level, as well as at the aggregate
country level. See “Stress Tests” for information about
stress tests that are designed to estimate the direct andindirect impact of events involving the above countries.
Industry Exposures. The sharp decline in economic
activity as a result of the COVID-19 pandemic resulted in asignificant impact to the gaming and lodging industry.
Though the rate of recovery in gaming and lodging has
accelerated during recent months, the timing of fullrecovery to the pre-pandemic levels remains uncertain. As
of September 2021, our credit exposure to gaming andlodging companies (including hotel owners and operators)
related to loans and lending commitments was $2.82 billion($526 million of loans and $2.29 billion of lending
commitments). Such exposure included $2.21 billion of
exposuretonon-investment-grade
counterparties($526 million related to loans and $1.68 billion related tolending commitments), of which 69% was secured. In
addition, we extend loans that are secured by hotel
properties. As of September 2021, our exposure related tosuch loans and lending commitments was $1.60 billion andwas to non-investment-grade counterparties. In addition,
we have exposure to our clients in the gaming and lodging
industry arising from derivatives. As of September 2021,
our credit exposure related to derivatives and receivables togaming and lodging companies was $95 million, which was
to non-investment-grade counterparties. After taking into
consideration the benefit of $62 million of hedges, our net
credit exposure was $2.85 billion. As of September 2021,
our market exposure related to gaming and lodging
companies was $(296) million, substantially all of which
was to non-investment-grade issuers or underliers. Such
exposure consisted of $(126) million related to debt,$(483) million related to credit derivatives and$313 million related to equities.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Although air travel has increased from its low point of the
COVID-19 pandemic, the airline industry still faces hurdles
in the path to a full recovery. As of September 2021, ourcredit exposure to airline companies related to loans andlending commitments was $1.71 billion ($572 million ofloans and $1.14 billion of lending commitments) to
non-investment-grade counterparties, of which 86% wassecured. In addition, we have exposure to our clients in theairline industry arising from derivatives. As of
September 2021, our credit exposure related to derivatives
and receivables to airline companies was $193 million($151 million to investment-grade counterparties and$42 million to non-investment-grade counterparties). Aftertaking into consideration the benefit of $238 million ofhedges, our net credit exposure was $1.67 billion. As of
September 2021, our market exposure related to airline
companies was $82 million, substantially all of which was
to non-investment-grade issuers or underliers. Such
exposure consisted of $147 million related to debt,$(203) million related to credit derivatives and $138 million
related to equities.

Operational Risk Management
Overview
Operational risk is the risk of an adverse outcome resulting
from inadequate or failed internal processes, people,
systems or from external events. Our exposure tooperational risk arises from routine processing errors, aswell as extraordinary incidents, such as major systems
failures or legal and regulatory matters.
Potential types of loss events related to internal and external
operational risk include:‰ Clients, products and business practices;‰ Execution, delivery and process management;‰ Business disruption and system failures;‰ Employment practices and workplace safety;‰ Damage to physical assets;‰ Internal fraud; and‰ External fraud.
Operational Risk, which is independent of our revenueproducing units and reports to our chief risk officer, has
primary responsibility for developing and implementing aformalized framework for assessing, monitoring andmanaging operational risk with the goal of maintaining our
exposure to operational risk at levels that are within ourrisk appetite.

Operational Risk Management Process
Our process for managing operational risk includes thecritical components of our risk management frameworkdescribed in the “Overview and Structure of Risk
Management,” including a comprehensive data collection
process, as well as firmwide policies and procedures, for
operational risk events.
We combine top-down and bottom-up approaches tomanage and measure operational risk. From a top-down
perspective, our senior management assesses firmwide andbusiness-level operational risk profiles. From a bottom-up
perspective, our first and second lines of defense areresponsible for risk identification and risk management on
a day-to-day basis, including escalating operational risks tosenior management.
We maintain a comprehensive control framework designed
to provide a well-controlled environment to minimize
operational risks. The Firmwide Operational Risk andResilience Committee is responsible for overseeing
operational risk, and for ensuring our business andoperational resilience.
Our operational risk management framework is in part
designed to comply with the operational risk measurement
rules under the Capital Framework and has evolved basedon the changing needs of our businesses and regulatory
guidance.
We have established policies that require all employees toreport and escalate operational risk events. When
operational risk events are identified, our policies requirethat the events be documented and analyzed to determine
whether changes are required in our systems and/or
processes to further mitigate the risk of future events.
We use operational risk management applications tocapture and organize operational risk event data and key
metrics. One of our key risk identification and assessment
tools is an operational risk and control self-assessment
process, which is performed by our managers. This process
consists of the identification and rating of operational risks,
on a forward-looking basis, and the related controls. The
results from this process are analyzed to evaluate
operational risk exposures and identify businesses,
activities or products with heightened levels of operationalrisk.

Goldman Sachs September 2021 Form 10-Q 156

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Risk Measurement
We measure our operational risk exposure using both
statistical modeling and scenario analyses, which involve
qualitative and quantitative assessments of internal andexternal operational risk event data and internal control
factors for each of our businesses. Operational risk
measurement also incorporates an assessment of businessenvironment factors, including:‰ Evaluations of the complexity of our business activities;‰ The degree of automation in our processes;‰ New activity information;‰ The legal and regulatory environment; and‰ Changes in the markets for our products and services,
including the diversity and sophistication of ourcustomers and counterparties.
The results from these scenario analyses are used tomonitor changes in operational risk and to determine
business lines that may have heightened exposure tooperational risk. These analyses are used in thedetermination of the appropriate level of operational risk
capital to hold. We also perform firmwide stress tests. See“Overview and Structure of Risk Management” for
information about firmwide stress tests.
Types of Operational Risks
Increased reliance on technology and third-party
relationships has resulted in increased operational risks,such as information and cyber security risk, third-party risk
and business resilience risk. We manage those risks asfollows:
Information and Cyber Security Risk. Information andcyber security risk is the risk of compromising theconfidentiality, integrity or availability of our data andsystems, leading to an adverse impact to us, our reputation,
our clients and/or the broader financial system. We seek tominimize the occurrence and impact of unauthorizedaccess, disruption or use of information and/or information
systems. We deploy and operate preventive and detective
controls and processes to mitigate emerging and evolving
information security and cyber security threats, including
monitoring our network for known vulnerabilities andsigns of unauthorized attempts to access our data andsystems. There is increased information risk throughdiversification of our data across external service providers,
including use of a variety of cloud-provided or -hosted
services and applications. See “Risk Factors” in Part I,
Item 1A of the 2020 Form 10-K for further information
about information and cyber security risk.

157 Goldman Sachs September 2021 Form 10-Q

Third-Party Risk. Third-party risk, including vendor risk, isthe risk of an adverse impact due to reliance on third parties
performing services or activities on our behalf. These risks
may include legal, regulatory, information security,
reputational, operational or any other risks inherent inengaging a third party. We identify, manage and report key
third-party risks and conduct due diligence across multiple
risk domains, including information security and cybersecurity, resilience and additional third-party dependencies.
The Third-Party Risk Program monitors, reviews andreassesses third-party risks on an ongoing basis. See “Risk
Factors” in Part I, Item 1A of the 2020 Form 10-K for further
information about third-party risk.
Business Resilience Risk. Business resilience risk is the riskof disruption to our critical processes. We monitor threats andassess risks and seek to ensure our state of readiness in theevent of a significant operational disruption to the normal
operations of our critical functions or their dependencies, suchas critical facilities, systems, third parties, data and/or
personnel. We approach BCP through the lens of business andoperational resilience. The resilience framework defines thefundamental principles for BCP and crisis management toensure that critical functions can continue to operate in theevent of a disruption. The business continuity program iscomprehensive, consistent firmwide and up-to-date,incorporating new information, techniques and technologies
as and when they become available, and our resilience
recovery plans incorporate and test specific and measurable
recovery time objectives in accordance with local market bestpractices and regulatory requirements, and under specificscenarios. See “Regulatory and Other Matters — Other
Matters” for information about the impact of the COVID-19
pandemic. See “Business — Business Continuity andInformation Security” in Part I, Item 1 of the 2020 Form 10-K
for further information about business continuity.

Model Risk Management
Overview
Model risk is the potential for adverse consequences fromdecisions made based on model outputs that may beincorrect or used inappropriately. We rely on quantitativemodels across our business activities primarily to value
certain financial assets and liabilities, to monitor and manage
our risk, and to measure and monitor our regulatory capital.
Model Risk, which is independent of our revenueproducing units, model developers, model owners andmodel users, and reports to our chief risk officer, has
primary responsibility for assessing, monitoring andmanaging our model risk through firmwide oversightacross our global businesses, and provides periodic updates
to senior management, risk committees and the Risk
Committee of the Board.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Our model risk management framework is managed
through a governance structure and risk management
controls, which encompass standards designed to ensure we
maintain a comprehensive model inventory, including risk
assessment and classification, sound model development
practices, independent review and model-specific usage
controls. The Firmwide Model Risk Control Committee
oversees our model risk management framework.
Model Review and Validation Process
Model Risk consists of quantitative professionals who
perform an independent review, validation and approval of
our models. This review includes an analysis of the model
documentation, independent testing, an assessment of theappropriateness of the methodology used, and verificationofcompliance
with
model
development
andimplementation standards.
We regularly refine and enhance our models to reflectchanges in market or economic conditions and our businessmix. All models are reviewed on an annual basis, and newmodels or significant changes to existing models and theirassumptions are approved prior to implementation.
The model validation process incorporates a review ofmodels and trade and risk parameters across a broad rangeof scenarios (including extreme conditions) in order tocritically evaluate and verify:‰ The model’s conceptual soundness, including thereasonableness of model assumptions, and suitability for
intended use;
‰ The testing strategy utilized by the model developers toensure that the models function as intended;‰ The suitability of the calculation techniques incorporated
in the model;

Available Information
Our internet address is www.goldmansachs.com and theinvestor relations section of our website is located atwww.goldmansachs.com/investor-relations, where we
make available, free of charge, our annual reports on
Form 10-K, quarterly reports on Form 10-Q and current
reports on Form 8-K and amendments to those reports filed
or furnished pursuant to Section 13(a) or 15(d) of the
Exchange Act, as well as proxy statements, as soon asreasonably practicable after we electronically file suchmaterial with, or furnish it to, the SEC. Also posted on our
website, and available in print upon request of any
shareholder to our Investor Relations Department (Investor
Relations), are our certificate of incorporation and by-laws,
charters for our Audit, Risk, Compensation, Corporate
Governance and Nominating, and Public Responsibilities
Committees, our Policy Regarding Director Independence
Determinations, our Policy on Reporting of Concerns
Regarding Accounting and Other Matters, our Corporate
Governance Guidelines, our Code of Business Conduct andEthics governing our directors, officers and employees, and
our Sustainability Report. Within the time period requiredby the SEC, we will post on our website any amendment to
the Code of Business Conduct and Ethics and any waiver
applicable to any executive officer, director or seniorfinancial officer.
Our website also includes information about (i) purchases
and sales of our equity securities by our executive officers
and directors; (ii) disclosure relating to certain non-GAAP
financial measures (as defined in the SEC’s Regulation G)
that we may make public orally, telephonically, by webcast,by broadcast or by other means; (iii) DFAST results; (iv) the
public portion of our resolution plan submission; (v) our
Pillar 3 disclosure; and (vi) our average daily LCR.

‰ The model’s accuracy in reflecting the characteristics ofthe related product and its significant risks;‰ The model’s consistency with models for similar
products; and‰ The model’s sensitivity to input parameters andassumptions.
See “Critical Accounting Policies — Fair Value — Review
of Valuation Models,” “Liquidity Risk Management,”“Market Risk Management,” “Credit Risk Management”
and “Operational Risk Management” for further
information about our use of models within these areas.

Goldman Sachs September 2021 Form 10-Q 158

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Investor Relations can be contacted at The Goldman Sachs
Group, Inc., 200 West Street, 29th Floor, New York, NewYork 10282, Attn: Investor Relations, telephone:212-902-0300, e-mail: gs-investor-relations@gs.com. We
use the following, as well as other social media channels, todisclose public information to investors, the media andothers:‰ Our website (www.goldmansachs.com);‰ Our Twitter account (twitter.com/GoldmanSachs); and‰ Our Instagram account (instagram.com/GoldmanSachs).
Our officers may use similar social media channels todisclose public information. It is possible that certain
information we or our officers post on our website and onsocial media could be deemed material, and we encourage
investors, the media and others interested in Goldman
Sachs to review the business and financial information weor our officers post on our website and on the social media
channels identified above. The information on our website
and those social media channels is not incorporated byreference into this Form 10-Q.

Forward-Looking Statements
We have included in this Form 10-Q, and our management
may make, statements that may constitute “forwardlooking statements” within the meaning of the safe harborprovisions of the U.S. Private Securities Litigation ReformAct of 1995. Forward-looking statements are not historicalfacts or statements of current conditions, but instead
represent only our beliefs regarding future events, many ofwhich, by their nature, are inherently uncertain and outside
our control.
By identifying these statements for you in this manner, we
are alerting you to the possibility that our actual results,financial condition, liquidity and capital actions may differ,possibly materially, from the anticipated results, financial
condition and liquidity in these forward-looking
statements. Important factors that could cause our results,financial condition, liquidity and capital actions to differ
from those in these statements include, among others, thosedescribed below and in “Risk Factors” in Part I, Item 1A ofthe 2020 Form 10-K.

159 Goldman Sachs September 2021 Form 10-Q

These statements may relate to, among other things, (i) our
future plans and results, including our target ROE, ROTE,
efficiency ratio and CET1 capital ratio, and how they canbe achieved, (ii) trends in or growth opportunities for ourbusinesses, including the timing, costs, profitability,
benefits and other aspects of business and strategic
initiatives and their impact on our efficiency ratio, (iii) ourlevel of future compensation expense, including as apercentage of both operating expenses and revenues net ofprovision for credit losses, (iv) our investment banking
transaction backlog, (v) our expected interest income andinterest expense, (vi) our expense savings and strategic
locations initiatives, (vii) expenses we may incur, including
future litigation expense and expenses from investing in ourconsumer and transaction banking businesses, (viii) the
projected growth of our deposits and other funding, asset
liability management and funding strategies and related
interest expense savings, (ix) our business initiatives,
including transaction banking and new consumer financial
products, (x) our planned 2021 benchmark debt issuances,(xi) the amount, composition and location of GCLA we
expect to hold, (xii) our credit exposures, (xiii) our expected
provisions for credit losses (including those related to ourplanned co-branded credit card relationship with General
Motors), (xiv) the adequacy of our allowance for credit
losses, (xv) the projected growth of our installment loan
and credit card businesses, (xvi) the objectives andeffectiveness of our BCP strategy, information security
program, risk management and liquidity policies, (xvii) ourresolution plan and strategy and their implications forstakeholders, (xviii) the design and effectiveness of ourresolution capital and liquidity models and triggers andalerts framework, (xix) the results of stress tests, (xx) the
effect of changes to regulations, and our future status,
activities or reporting under banking and financial
regulation, (xxi) our expected tax rate, (xxii) the futurestate of our liquidity and regulatory capital ratios, and ourprospective capital distributions (including dividends andrepurchases), (xxiii) our expected SCB and G-SIB
surcharge, (xxiv) legal proceedings, governmental
investigations or other contingencies, (xxv) the asset
recovery guarantee and our remediation activities related toour 1Malaysia Development Berhad (1MDB) settlements,(xxvi) the replacement of IBORs and our transition toalternative risk-free reference rates, (xxvii) the impact of the
COVID-19 pandemic on our business, results, financial
position and liquidity, (xxviii) the effectiveness of ourmanagement of our human capital, including our diversity
goals, (xxix) our plans for our people to return to ouroffices, (xxx) future inflation and (xxxi) our announced
acquisitions of the General Motors co-branded credit card
portfolio, NN Investment Partners and GreenSky.

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Statements about our target ROE, ROTE, efficiency ratio
and expense savings, and how they can be achieved, arebased on our current expectations regarding our businessprospects and are subject to the risk that we may be unable
to achieve our targets due to, among other things, changes
in our business mix, lower profitability of new businessinitiatives, increases in technology and other costs to launchand bring new business initiatives to scale, and increases inliquidity requirements.
Statements about our target ROE, ROTE and CET1 capitalratio, and how they can be achieved, are based on ourcurrent expectations regarding the capital requirements
applicable to us and are subject to the risk that our actual
capital requirements may be higher than currently
anticipated because of, among other factors, changes in theregulatory capital requirements applicable to us resulting
from changes in regulations or the interpretation orapplication of existing regulations or changes in the natureand composition of our activities.
Statements about the timing, costs, profitability, benefits
and other aspects of business and expense savings
initiatives, the level and composition of more durable
revenues and increases in market share are based on ourcurrent expectations regarding our ability to implement
these initiatives and actual results may differ, possibly
materially, from current expectations due to, among otherthings, a delay in the timing of these initiatives, increased
competition and an inability to reduce expenses and growbusinesses with durable revenues.
Statements about the level of future compensation expense,
including as a percentage of both operating expenses andrevenues net of provision for credit losses, and our
efficiency ratio as our platform business initiatives reachscale are subject to the risks that the compensation andother costs to operate our businesses, including platform
initiatives, may be greater than currently expected.

Statements about our investment banking transaction
backlog are subject to the risk that such transactions may be
modified or may not be completed at all and related net
revenues may not be realized or may be materially less than
expected. Important factors that could have such a result
include, for underwriting transactions, a decline or
weakness in general economic conditions, an outbreak ofhostilities, volatility in the securities markets or an adverse
development with respect to the issuer of the securities and,for financial advisory transactions, a decline in the
securities markets, an inability to obtain adequate
financing, an adverse development with respect to a party
to the transaction or a failure to obtain a required
regulatory approval. For information about otherimportant factors that could adversely affect ourinvestment banking transactions, see “Risk Factors” inPart I, Item 1A of the 2020 Form 10-K.
Statements about the projected growth of our deposits andother funding, asset liability management and funding
strategies and related interest expense savings, and ourinstallment loan and credit card businesses, are subject tothe risk that actual growth and savings may differ, possibly
materially, from that currently anticipated due to, among
other things, changes in interest rates and competition fromother similar products.
Statements about planned 2021 benchmark debt issuances
and the amount, composition and location of GCLA we
expect to hold are subject to the risk that actual issuancesand GCLA levels may differ, possibly materially, from thatcurrently expected due to changes in market conditions,business opportunities or our funding and projectedliquidity needs.
Statements about our expected provisions for credit losses(including those related to our planned co-branded credit
card relationship with General Motors) are subject to therisk that actual credit losses may differ and our expectations
may change, possibly materially, from that currently
anticipated due to, among other things, changes to thecomposition of our loan portfolio and changes in theeconomic environment in future periods and our forecastsof future economic conditions, as well as changes in ourmodels, policies and other management judgments.

Goldman Sachs September 2021 Form 10-Q 160

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIESManagement’s Discussion and Analysis
Statements about our future effective income tax rate aresubject to the risk that it may differ from the anticipatedrate indicated in such statements, possibly materially, due
to, among other things, changes in the tax rates applicable
to us, changes in our earnings mix, our profitability andentities in which we generate profits, the assumptions wehave made in forecasting our expected tax rate, as well as
any corporate tax legislation that may be enacted or any
guidance that may be issued by the U.S. Internal Revenue
Service.
Statements about the future state of our liquidity andregulatory capital ratios (including our SCB and G-SIB
surcharge), and our prospective capital distributions(including dividends and repurchases), are subject to therisk that our actual liquidity, regulatory capital ratios andcapital distributions may differ, possibly materially, fromwhat is currently expected due to, among other things, theneed to use capital to support clients, increased regulatory
requirements resulting from changes in regulations or theinterpretation or application of existing regulations, resultsof applicable supervisory stress tests and changes to thecomposition of our balance sheet.
Statements about the risk exposure related to the asset
recovery guarantee provided to the Government of
Malaysia are subject to the risk that the actual value of
assets and proceeds from assets seized and returned to theGovernment of Malaysia may be less than currently
anticipated. Statements about the progress or the status ofremediation activities relating to 1MDB are based on our
expectations regarding our current remediation plans.
Accordingly, our ability to complete the remediation
activities may change, possibly materially, from what iscurrently expected.

161 Goldman Sachs September 2021 Form 10-Q

Statements about our objectives in management of ourhuman capital, including our diversity goals, are based on
our current expectations and are subject to the risk that we
may not achieve these objectives and goals due to, among
other things, competition in recruiting and attracting
diverse candidates and unsuccessful efforts in retaining
diverse employees.
Statements about our plans for our people to return to ouroffices are based on our current expectations and that
return may be delayed due to, among other factors, future
events that are unpredictable, including the course of the
COVID-19 pandemic, responses of governmental
authorities and the availability, use and effectiveness of
vaccines.
Statements about future inflation are subject to the risk that
actual inflation may differ, possibly materially, due to,among other things, changes in economic growth,
unemployment or consumer demand.
Statements about our announced acquisitions of theGeneral Motors co-branded credit card portfolio, NN
Investment Partners and GreenSky are subject to the riskthat the transactions may not close on the timeline
contemplated or at all, including due to a failure to obtainrequisite regulatory approval and, in the case of GreenSky,
shareholder approval, as well as the risk that we may beunable to realize the expected benefits of the acquisitions
and the risk that integrating the General Motors
co-branded credit card portfolio, NN Investment Partners
and GreenSky, into our business may be more difficult,time-consuming or expensive than expected.

Item 3. Quantitative and Qualitative
Disclosures About Market Risk
Quantitative and qualitative disclosures about market risk
are set forth in “Management’s Discussion and Analysis ofFinancial Condition and Results of Operations — Risk
Management” in Part I, Item 2 of this Form 10-Q.

Item 4. Controls and Procedures
As of the end of the period covered by this report, anevaluation was carried out by our management, with theparticipation of our Chief Executive Officer and Chief
Financial Officer, of the effectiveness of our disclosure
controls and procedures (as defined in Rule 13a-15(e)under the Exchange Act). Based on that evaluation, ourChief Executive Officer and Chief Financial Officer
concluded that these disclosure controls and procedures
were effective as of the end of the period covered by thisreport. In addition, no change in our internal control overfinancial reporting (as defined in Rule 13a-15(f) under the
Exchange Act) occurred during the quarter ended
September 2021 that has materially affected, or isreasonably likely to materially affect, our internal control
over financial reporting.

PART II. OTHER INFORMATION
Item 1. Legal Proceedings
We are involved in a number of judicial, regulatory andarbitration proceedings concerning matters arising inconnection with the conduct of our businesses. Many ofthese proceedings are in early stages, and many of thesecases seek an indeterminate amount of damages. We haveestimated the upper end of the range of reasonably possible
aggregate loss for matters where we have been able toestimate a range and we believe, based on currently
available information, that the results of matters where wehave not been able to estimate a range of reasonably
possible loss, in the aggregate, will not have a material
adverse effect on our financial condition, but may bematerial to our operating results in a given period. Given
the range of litigation and investigations presently underway, our litigation expenses may remain high. See“Management’s Discussion and Analysis of Financial
Condition and Results of Operations — Use of Estimates”
in Part I, Item 2 of this Form 10-Q. See Notes 18 and 27 tothe consolidated financial statements in Part I, Item 1 of thisForm 10-Q for information about our reasonably possible
aggregate loss estimate and judicial, regulatory and legal
proceedings.

Item 2. Unregistered
Sales
Equity Securities and Use
Proceedsofof

The table below presents purchases made by or on behalf ofGroup Inc. or any “affiliated purchaser” (as defined inRule 10b-18(a)(3) under the Exchange Act) of our common
stock during the three months ended September 2021.
Total Shares Maximum Shares
Total Average
Purchased as That May Yet Be
Shares Price Paid
Part of a Publicly Purchased Under
Purchased Per Share Announced Program
the Program

July367,802
August2,162,058
September–
Total
2,529,860$370.75$399.45–367,8022,162,058–
2,529,860

37,767,629
35,605,571
35,605,571

Since the beginning of 2000, our Board has approved arepurchase program authorizing repurchases of up to
605 million shares of our common stock. The repurchaseprogram is effected primarily through regular open-market
purchases (which may include repurchase plans designed tocomply with Rule 10b5-1 and accelerated share
repurchases), the amounts and timing of which are
determined primarily by our current and projected capital
position, but which may also be influenced by generalmarket conditions and the prevailing price and trading
volumes of our common stock. The repurchase program
has no set expiration or termination date.

Item 5.

Other Information

Amendment and Restatement of By-Laws
Effective October 28, 2021, the Board adopted
amendments to our Amended and Restated By-Laws(By-Laws) to make certain technical clarifications andconforming revisions primarily to update the By-Laws inline with developments in Delaware General Corporation
Law. Such changes include clarifying certain procedures
relating to quorum and the fixing of record dates forstockholders meetings, clarifying that preferred stock series
may have terms that alter election procedures for directors
and eliminating gender-specific language throughout. The
foregoing summary does not purport to be complete and isqualified in its entirety by reference to our Amended andRestated By-Laws, which are attached hereto as Exhibit 3.1
and incorporated by reference herein.

Goldman Sachs September 2021 Form 10-Q 162

Item 6.

Exhibits

SIGNATURES

Exhibits
3.1

Amended and Restated By-Laws of The
Goldman Sachs Group, Inc., amended as of
October 28, 2021.

15.1

Letter re: Unaudited
Information.

31.1

Rule 13a-14(a) Certifications.

32.1

Section 1350 Certifications (This information
is furnished and not filed for purposes ofSections 11 and 12 of the Securities Act of1933 and Section 18 of the Securities
Exchange Act of 1934).

101

104

Interim

Financial

Pursuant to Rules 405 and 406 ofRegulation S-T, the following information isformatted in iXBRL (Inline eXtensible
Business Reporting Language): (i) the
Consolidated Statements of Earnings for the
three
and
nine
months
ended
September 30, 2021 and September 30, 2020,(ii)
theConsolidated
StatementsofComprehensive Income for the three and ninemonths ended September 30, 2021 and
September 30, 2020, (iii) the Consolidated
Balance Sheets as of September 30, 2021 andDecember 31, 2020, (iv) the Consolidated
Statements of Changes in Shareholders’ Equity
for the three and nine months ended
September 30, 2021 and September 30, 2020,(v) the Consolidated Statements of Cash Flowsfor the nine months ended September 30, 2021
and September 30, 2020, (vi) the notes to theConsolidated Financial Statements and(vii) the cover page.
Cover Page Interactive Data File (formatted in
iXBRL in Exhibit 101).

163 Goldman Sachs September 2021 Form 10-Q

Pursuant to the requirements of the Securities Exchange Actof 1934, the registrant has duly caused this report to besigned on its behalf by the undersigned thereunto duly
authorized.
THE GOLDMAN SACHS GROUP, INC.
By:
Name:
Title:/s/

Stephen M. Scherr
Stephen M. Scherr
Chief Financial Officer(Principal Financial Officer)
October 29, 2021/s/

Sheara Fredman
Sheara Fredman
Chief Accounting Officer(Principal Accounting Officer)
October 29, 2021

Date:
By:
Name:
Title:
Date:

Exhibit 3.1
As Amended and Restated as of October 28, 2021
AMENDED AND RESTATEDBY-LAWSOF
THE GOLDMAN SACHS GROUP, INC.
ARTICLE I
Stockholders
Section 1.1 Annual Meetings. An annual meeting of stockholders shall be held for the election of directors at such date, time and place (if any),either within or without the State of Delaware as may be designated by the Board of Directors from time to time. Any other business properly brought
before the meeting may be transacted at the annual meeting.
Section 1.2 Special Meetings. (a) Special meetings of stockholders may be called at any time by, and only by, (1) the Board of Directors or(2) solely to the extent required by Section 1.2(b), the Secretary of the Corporation. Each special meeting shall be held at such date, time and place (ifany) either within or without the State of Delaware as may be stated in the notice of the meeting.
(b) A special meeting of the stockholders shall be called by the Secretary upon the written request of the holders of record of not less thantwenty-five percent of the voting power of all outstanding shares of common stock of the Corporation (the “Requisite Percent”), subject to thefollowing:(1) In order for a special meeting upon stockholder request (a “Stockholder Requested Special Meeting”) to be called by the Secretary,
one or more written requests for a special meeting (each, a “Special Meeting Request,” and collectively, the “Special Meeting Requests”) stating
the purpose of the special meeting and the matters proposed to be acted upon thereat must be signed and dated by the Requisite Percent of record
holders of common stock of the Corporation (or their duly authorized agents), must be delivered to the Secretary at the principal executive officesof the Corporation and must set forth:(i) in the case of any director nominations proposed to be presented at such Stockholder Requested Special Meeting, theinformation required by the third paragraph of Section 1.11(b);(ii) in the case of any matter (other than a director nomination) proposed to be conducted at such Stockholder Requested Special
Meeting, the information required by the fourth paragraph of Section 1.11(b); and(iii) an agreement by the requesting stockholder(s) to notify the Corporation immediately in the case of any disposition prior to therecord date for the Stockholder Requested Special Meeting of shares of common stock of the Corporation owned of record and an
acknowledgement that any such disposition shall be deemed a revocation of such Special Meeting Request to the extent of suchdisposition, such that the number of shares disposed of shall not be included in determining whether the Requisite Percent has beenreached.

The Corporation will provide the requesting stockholder(s) with notice of the record date for the determination of stockholders entitled to vote at
the Stockholder Requested Special Meeting. Each requesting stockholder is required to update the notice delivered pursuant to this Section not later thanten business days after such record date to provide any material changes in the foregoing information as of such record date.
In determining whether a special meeting of stockholders has been requested by the record holders of shares representing in the aggregate at least
the Requisite Percent, multiple Special Meeting Requests delivered to the Secretary will be considered together only if each such Special Meeting
Request (i) identifies substantially the same purpose or purposes of the special meeting and substantially the same matters proposed to be acted on at the
special meeting (in each case as determined in good faith by the Board of Directors), and (ii) has been dated and delivered to the Secretary within sixty
days of the earliest dated of such Special Meeting Requests. If the record holder is not the signatory to the Special Meeting Request, such Special
Meeting Request will not be valid unless documentary evidence is supplied to the Secretary at the time of delivery of such Special Meeting Request (orwithin ten business days thereafter) of such signatory’s authority to execute the Special Meeting Request on behalf of the record holder. Any requesting
stockholder may revoke their or its Special Meeting Request at any time by written revocation delivered to the Secretary at the principal executive
offices of the Corporation; provided, however, that if following such revocation (or any deemed revocation pursuant to Section 1.2(b)(1)(iii)), theunrevoked valid Special Meeting Requests represent in the aggregate less than the Requisite Percent, there shall be no requirement to hold a special
meeting. The first date on which unrevoked valid Special Meeting Requests constituting not less than the Requisite Percent shall have been delivered to
the Corporation is referred to herein as the “Request Receipt Date”.
(2)

A Special Meeting Request shall not be valid if:(i)the Special Meeting Request relates to an item of business that is not a proper subject for stockholder action under applicablelaw;(ii) the Request Receipt Date is during the period commencing ninety days prior to the first anniversary of the date of theimmediately preceding annual meeting and ending on the date of the next annual meeting;(iii) the purpose specified in the Special Meeting Request is not the election of directors and an identical or substantially similar
item (as determined in good faith by the Board of Directors, a “Similar Item”) was presented at any meeting of stockholders held within
the twelve months prior to the Request Receipt Date; or(iv) a Similar Item is included in the Corporation’s notice as an item of business to be brought before a stockholder meeting thathas been called but not yet held or that is called for a date within ninety days of the Request Receipt Date.
(3) A Stockholder Requested Special Meeting shall be held at such date and time as may be fixed by the Board of Directors; provided,
however, that the Stockholder Requested Special Meeting shall be called for a date not more than ninety days after the Request Receipt Date.
(4) Business transacted at any Stockholder Requested Special Meeting shall be limited to (A) the purpose(s) stated in the valid Special
Meeting Request(s) received from the Requisite Percent of record holders and (B) any additional matters that the Board of Directors determines toinclude in the Corporation’s notice of the meeting. If none of the stockholders who submitted the Special Meeting Request appears or sends a
qualified representative to present the matters to be presented for consideration that were specified in the Stockholder Meeting Request, theCorporation need not present such matters for a vote at such meeting, notwithstanding that proxies in respect of such matter may have been
received by the Corporation.
2Section 1.3 Notice of Meetings. Whenever stockholders are required or permitted to take any action at a meeting, a notice of the meeting shallbe given which shall state the place (if any), date and hour of the meeting, and, in the case of a special meeting, the purpose or purposes for which themeeting is called. Unless otherwise required by law, the certificate of incorporation or these by-laws, the notice of any meeting shall be given not lessthan ten nor more than sixty days before the date of the meeting to each stockholder entitled to vote at such meeting. Such notice shall be deemed to begiven (i) if mailed, when deposited in the United States mail, postage prepaid, directed to the stockholder at such stockholder’s address as it appears on
the records of the Corporation; (ii) if sent by electronic mail, when delivered to an electronic mail address at which the stockholder has consented toreceive such notice; and (iii) if posted on an electronic network together with a separate notice to the stockholder of such specific posting, upon the laterto occur of (A) such posting and (B) the giving of such separate notice of such posting. If given by any other means, notice shall be deemed given as
provided by applicable law. Notice shall be deemed to have been given to all stockholders of record who share an address if notice is given inaccordance with the “householding” rules set forth in Rule 14a-3(e) under the Securities Exchange Act of 1934 (the “Exchange Act”) and Section 233 of
the Delaware General Corporation Law.
Section 1.4 Adjournments. Any meeting of stockholders, annual or special, may be adjourned from time to time, for any reason or no reason, toreconvene at the same or some other place (if any), and notice need not be given of any such adjourned meeting if the time and place thereof areannounced at the meeting at which the adjournment is taken. At the adjourned meeting the Corporation may transact any business which might havebeen transacted at the original meeting. If the adjournment is for more than thirty days, or if after the adjournment a new record date is fixed for the
adjourned meeting, a notice of the adjourned meeting shall be given to each stockholder of record entitled to vote at the meeting. To the fullest extent
provided by law, the Board of Directors may postpone, reschedule or cancel any previously scheduled annual or special meeting of stockholders.
Section 1.5 Quorum. At each meeting of stockholders, except where otherwise required by law, the certificate of incorporation or these by-laws,
the holders of a majority of the outstanding shares of stock entitled to vote on a matter at the meeting, present in person or represented by proxy, shallconstitute a quorum. For purposes of the foregoing, where a separate vote by class or classes is required for any matter, the holders of a majority of theoutstanding shares of such class or classes, present in person or represented by proxy, shall constitute a quorum to take action with respect to that voteon that matter. Two or more classes or series of stock shall be considered a single class if the holders thereof are entitled to vote together as a single classat the meeting. In the absence of a quorum of the holders of any class or classes of stock entitled to vote on a matter, the meeting of such class or classes
may be adjourned from time to time, by the chair of the meeting or by the affirmative vote of the holders of the shares of such class or classes which arepresent in person or by proxy and entitled to vote thereon, in each case in the manner provided by Sections 1.4 and 1.6 of these by-laws until a quorumof such class shall be so present or represented. Shares of capital stock shall neither be entitled to vote nor counted for quorum purposes if such sharesbelong to (i) the Corporation, (ii) another corporation, if a majority of the shares entitled to vote in the election of directors of such other corporation isheld, directly or indirectly, by the Corporation or (iii) any other entity, if a majority of the voting power of such other entity is otherwise controlled,
directly or indirectly, by the Corporation; provided, however, that the foregoing shall not limit the right of the Corporation to vote stock, including but
not limited to its own stock, held by it in a fiduciary capacity.
Section 1.6 Organization. Meetings of stockholders shall be presided over by a chair of the meeting, who shall be the Chairman of the Board, if
any, or in the absence of a Chairman of the Board, the Lead Director, if any, or, in the absence of the Lead Director, a chair of the meeting designated by
the Board3

of Directors, or in the absence of such designation, by a chair chosen at the meeting. A Secretary, or in the absence of a Secretary an Assistant Secretary,shall act as secretary of the meeting, but in the absence of a Secretary and any Assistant Secretary, the chair of the meeting may appoint any person toact as secretary of the meeting.
The order of business at each such meeting shall be as determined by the chair of the meeting. The chair of the meeting shall have the right andauthority to convene and (for any or no reason) to recess and/or adjourn the meeting of stockholders without a vote of stockholders and to prescribe suchrules, regulations and procedures and to do all such acts and things as are necessary or desirable for the proper conduct of the meeting and are notinconsistent with any rules or regulations adopted by the Board of Directors pursuant to the provisions of the certificate of incorporation, including theestablishment of procedures for the maintenance of order and safety, limitations on the time allotted to questions or comments on the affairs of the
Corporation, restrictions on entry to such meeting after the time prescribed for the commencement thereof and the opening and closing of the voting
polls for each item upon which a vote is to be taken. The date and time of the opening of the polls for each matter upon which the stockholders will voteat the meeting shall be announced at the meeting.
Section 1.7 Inspectors. Prior to any meeting of stockholders, the Board of Directors, a Chairman of the Board, the Lead Director, or any officer
designated by the Board shall appoint one or more inspectors to act at such meeting and make a written report thereof and may designate one or more
persons as alternate inspectors to replace any inspector who fails to act. If no inspector or alternate is able to act at the meeting of stockholders, the chairof the meeting shall appoint one or more inspectors to act at the meeting. Each inspector, before entering upon the discharge of their duties, shall takeand sign an oath faithfully to execute the duties of inspector with strict impartiality and according to the best of their ability. The inspectors shallascertain the number of shares outstanding and the voting power of each, determine the shares represented at the meeting and the validity of proxies andballots, count all votes and ballots, determine and retain for a reasonable period a record of the disposition of any challenges made to any determinationby the inspectors and certify their determination of the number of shares represented at the meeting and their count of all votes and ballots. The
inspectors may appoint or retain other persons to assist them in the performance of their duties. No ballot, proxy or vote, nor any revocation thereof orchange thereto, shall be accepted by the inspectors after the closing of the polls. In determining the validity and counting of proxies and ballots, theinspectors shall be limited to an examination of the proxies, any envelopes submitted therewith, any information provided by a stockholder who submits
a proxy by electronic transmission from which it can be determined that the proxy was authorized by the stockholder, ballots and the regular books andrecords of the Corporation, and they may also consider other reliable information for the limited purpose of reconciling proxies and ballots submitted byor on behalf of banks, brokers, their nominees or similar persons which represent more votes than the holder of a proxy is authorized by the record
owner to cast or more votes than the stockholder holds of record. If the inspectors consider other reliable information for such purpose, they shall, at thetime they make their certification, specify the precise information considered by them, including the person or persons from whom they obtained theinformation, when the information was obtained, the means by which the information was obtained and the basis for the inspectors’ belief that suchinformation is accurate and reliable.
Section 1.8 Voting; Proxies. Unless otherwise provided in the certificate of incorporation, each stockholder entitled to vote at any meeting ofstockholders shall be entitled to one vote for each share of stock held by such stockholder which has voting power upon the matter in question. If thecertificate of incorporation provides for more or less than one vote for any share on any matter, every reference in these by-laws to a majority or otherproportion of shares of stock shall refer to such majority or other proportion of the votes of such shares of stock. Each stockholder entitled to vote at a
meeting of stockholders may authorize another person or persons to act for such stockholder by proxy, but no such proxy shall be voted or acted uponafter three years from its date, unless the proxy provides for a longer period. A duly executed4

proxy shall be irrevocable if it states that it is irrevocable and if, and only as long as, it is coupled with an interest sufficient in law to support an
irrevocable power, regardless of whether the interest with which it is coupled is an interest in the stock itself or an interest in the Corporation generally.
A stockholder may revoke any proxy which is not irrevocable by attending the meeting and voting in person or by filing an instrument in writing
revoking the proxy or another duly executed proxy bearing a later date with a Secretary. Voting at meetings of stockholders need not be by written ballot
unless so directed by the chair of the meeting or the Board of Directors. In all matters, unless otherwise required by law, rule or regulation applicable to
the Corporation or the certificate of incorporation or these by-laws (including, without limitation, Section 2.2), the affirmative vote of not less than amajority of shares present in person or represented by proxy at the meeting and entitled to vote on such matter, with all shares of common stock of the
Corporation and other stock of the Corporation entitled to vote on such matter considered for this purpose as a single class, shall be the act of thestockholders. Where a separate vote by class or classes is required, the affirmative vote of the holders of not less than a majority (or, in the case of anelection of directors, a plurality) of shares present in person or represented by proxy at the meeting by stockholders in that class or classes entitled tovote on such matter shall be the act of such class or classes, except as otherwise required by law, rule or regulation or the certificate of incorporation orthese by-laws. For purposes of this Section 1.8, votes cast “for” or “against” and “abstentions” with respect to such matter shall be counted as shares ofstock of the Corporation entitled to vote on such matter, while “broker nonvotes” (or other shares of stock of the Corporation similarly not entitled tovote) shall not be counted as shares entitled to vote on such matter.
Section 1.9 Fixing Date for Determination of Stockholders of Record. In order that the Corporation may determine the stockholders entitled to
notice of any meeting of stockholders or any adjournment thereof, the Board of Directors may fix a record date, which record date will be the same datefor determining stockholders who are entitled to vote at the meeting unless otherwise specified, and which date shall not precede the date upon which
the resolution fixing the record date is adopted by the Board of Directors, and which record date shall not be more than sixty nor less than ten days
before the date of such meeting. If no record date is fixed by the Board of Directors, the record date for determining stockholders entitled to notice of or
to vote at a meeting of stockholders shall be at the close of business on the day next preceding the day on which notice is given, or, if notice is waived,at the close of business on the day next preceding the day on which the meeting is held. A determination of stockholders of record entitled to notice of or
to vote at a meeting of stockholders shall apply to any adjournment of the meeting; provided, however, that the Board of Directors may fix a new record
date (which shall, unless otherwise specified, be the same date for notice and voting) for the adjourned meeting.
In order that the Corporation may determine the stockholders entitled to receive payment of any dividend or other distribution or allotmentof any rights or the stockholders entitled to exercise any rights in respect of any change, conversion or exchange of stock, or for the purpose of any otherlawful action, the Board of Directors may fix a record date, which record date shall not precede the date upon which the resolution fixing the record dateis adopted, and which record date shall be not more than sixty days prior to the action for which a record date is being established. If no record date is
fixed, the record date for determining stockholders for any such purpose shall be at the close of business on the day on which the Board of Directors
adopts the resolution relating thereto.
Section 1.10 List of Stockholders Entitled to Vote. A Secretary shall prepare and make, at least ten days before every meeting of stockholders, acomplete list of the stockholders entitled to vote at the meeting, arranged in alphabetical order, and showing the address of each stockholder and thenumber of shares registered in the name of each stockholder. Such list shall be open to the examination of any stockholder, for any purpose germane tothe meeting, during ordinary business hours, for a period of at least ten days prior to the meeting, either at a place within the municipality where themeeting is to be held, which place shall be specified in the notice of the meeting, or, if not so specified, at the place where the meeting is to be held. The
list shall also be produced and kept at the meeting during the whole time thereof and may be inspected by any stockholder who is present.
5Section 1.11 Advance Notice of Stockholder Nominees for Director and Other Stockholder Proposals. (a) The matters to be considered andbrought before any annual or special meeting of stockholders of the Corporation (other than a Stockholder Requested Special Meeting) shall be limited
to only such matters, including the nomination and election of directors, as shall be brought properly before such meeting in compliance with theprocedures set forth in this Section 1.11 and in Section 1.12, as the case may be.
(b) For any matter to be properly brought before any annual meeting of stockholders, the matter must be (1) specified in the notice of annual
meeting given by or at the direction of the Board of Directors, (2) otherwise brought before the annual meeting by or at the direction of the Board of
Directors, (3) brought before the annual meeting in the manner specified in this Section 1.11(b) (i) by a stockholder that holds of record stock of the
Corporation entitled to vote at the annual meeting on such matter (including any election of a director) or (ii) by a person (a “Nominee Holder”) that
holds such stock through a nominee or “street name” holder of record of such stock and can demonstrate to the Corporation such indirect ownership of,and such Nominee Holder’s entitlement to direct the vote of, such stock on such matter or (4) brought before the annual meeting in accordance with
Section 1.12.
In addition to any other requirements under applicable law, the certificate of incorporation and these by-laws, and except as provided in
Section 1.12, persons nominated by stockholders for election as directors of the Corporation and any other proposals by stockholders shall be properly
brought before an annual meeting of stockholders only if notice of any such matter to be presented by a stockholder at such meeting (a “Stockholder
Notice”) shall be delivered to a Secretary at the principal executive office of the Corporation not less than ninety nor more than one hundred and twenty
days prior to the first anniversary date of the annual meeting for the preceding year; provided, however, that if and only if the annual meeting is notscheduled to be held within a period that commences thirty days before and ends thirty days after such anniversary date (an annual meeting date outsidesuch period being referred to herein as an “Other Meeting Date”), such Stockholder Notice shall be given in the manner provided herein by the later of(i) the close of business on the date ninety days prior to such Other Meeting Date or (ii) the close of business on the tenth day following the date on
which such Other Meeting Date is first publicly announced or disclosed.
Any stockholder desiring to nominate any person or persons (as the case may be) for election as a director or directors of the Corporation at anannual meeting of stockholders pursuant to this Section 1.11 shall deliver, as part of such Stockholder Notice, a statement in writing setting forth thename of the person or persons to be nominated, the number and class of all shares of each class of stock of the Corporation owned of record andbeneficially by each such person, as reported to such stockholder by such person, the factual information regarding each such person required byparagraphs (a), (e) and (f) of Item 401 of Regulation S-K adopted by the Securities and Exchange Commission, each such person’s signed consent toserve as a director of the Corporation if elected, such stockholder’s name and address, the number and class of all shares of each class of stock of the
Corporation owned of record and/or beneficially by such stockholder and, in the case of a Nominee Holder, evidence establishing such Nominee
Holder’s indirect ownership of stock and entitlement to direct the vote of such stock for the election of directors at the annual meeting. The Corporation
may require any proposed director nominee to furnish such other information as it may reasonably require to determine the eligibility of such proposed
nominee to serve as an independent director of the Corporation and to comply with applicable law. If a stockholder is entitled to vote only for a specificclass or category of directors at a meeting (annual or special), such stockholder’s right to nominate one or more individuals for election as a director at
the meeting shall be limited to such class or category of directors. The number of nominees a stockholder or Nominee Holder may nominate for election
at the annual meeting shall not exceed the number of directors to be elected at such annual meeting.
6Any stockholder who gives a Stockholder Notice of any matter (other than a nomination for director or as provided in Section 1.12) proposed to
be brought before an annual meeting of stockholders shall deliver, as part of such Stockholder Notice, the text of the proposal to be presented and a brief
written statement of the reasons why such stockholder favors the proposal and setting forth such stockholder’s name and address, the number and classof all shares of each class of stock of the Corporation owned of record and/or beneficially by such stockholder, any material interest of such stockholder
in the matter proposed (other than as a stockholder), if applicable, and, in the case of a Nominee Holder, evidence establishing such Nominee Holder’sindirect ownership of stock and entitlement to direct the vote of such stock on the matter proposed at the annual meeting.
As used in these by-laws (other than for purposes of Section 1.12), shares “beneficially owned” shall mean all shares which such person is deemed
to beneficially own pursuant to Rules 13d-3 and 13d-5 under the Exchange Act.
Notwithstanding any provision of this Section 1.11 to the contrary, in the event that the number of directors to be elected to the Board of Directorsof the Corporation at the next annual meeting of stockholders is increased by virtue of an increase in the size of the Board of Directors and either all of
the nominees for director at the next annual meeting of stockholders or the size of the increased Board of Directors is not publicly announced ordisclosed by the Corporation at least one hundred days prior to the first anniversary of the preceding year’s annual meeting, a Stockholder Notice shallalso be considered timely under this Section 1.11, but only with respect to nominees to stand for election at the next annual meeting as the result of any
new positions created by such increase, if it shall be delivered to a Secretary at the principal executive office of the Corporation not later than the closeof business on the tenth day following the first day on which all such nominees or the size of the increased Board of Directors shall have been publicly
announced or disclosed.
(c) For any matter to be properly brought before a special meeting of stockholders, the matter must be set forth in the Corporation’s notice ofsuch meeting given by or at the direction of the Board of Directors or by the Secretary of the Company pursuant to Section 1.2(a)(ii). In the event the
Corporation calls a special meeting of stockholders for the purpose of electing one or more directors to the Board of Directors, any stockholder entitledto vote for the election of such director(s) at such meeting may nominate a person or persons (as the case may be) for election to such position(s) as are
specified in the Corporation’s notice of such meeting, but only if a Stockholder Notice containing the information required by the third paragraph of
Section 1.11(b) hereof shall be delivered to a Secretary at the principal executive office of the Corporation not later than the close of business on thetenth day following the first day on which the date of the special meeting and either the names of all nominees proposed by the Board of Directors to beelected at such meeting or the number of directors to be elected shall have been publicly announced or disclosed.
(d) For purposes of this Section 1.11, a matter shall be deemed to have been “publicly announced or disclosed” if such matter is disclosed in apress release reported by a national news service or in a document publicly filed by the Corporation with the Securities and Exchange Commission.
(e) In no event shall the postponement or adjournment of an annual meeting already publicly noticed or a special meeting, or any announcement
thereof, commence a new period (or extend any period) for the giving of notice as provided in this Section 1.11. This Section 1.11 shall not apply to(1) any stockholder proposal made pursuant to, and in compliance with, Rule 14a-8 under the Exchange Act, (2) any nomination of a director in anelection in which only the holders of one or more series of Preferred Stock of the Corporation issued pursuant to Article FOURTH of the certificate ofincorporation are entitled to vote (unless otherwise provided in the terms of such stock), (3) any director nomination pursuant to Section 1.12 or (4) any
Stockholder Requested Special Meeting except as specifically provided in Section 1.2(b).
7

(f) The chair of any meeting of stockholders, in addition to making any other determinations that may be appropriate to the conduct of themeeting, shall have the power and duty to determine whether notice of nominees and other matters proposed to be brought before a meeting has been
duly given in the manner provided in this Section 1.11 or Section 1.2, as applicable and, if not so given, shall direct and declare at the meeting that suchnominees and other matters shall not be considered.
Section 1.12 Stockholder Nominations Included in the Corporation’s Proxy Materials.
(a) Inclusion of Proxy Access Nominee in Proxy Statement. Subject to the provisions of this Section 1.12, if expressly requested in the relevant
Nomination Notice (as defined below), the Corporation shall include in its proxy statement for any annual meeting of stockholders (but not at any
special meeting of stockholders):(1) the name of any person nominated for election (the “Proxy Access Nominee”), which shall also be included on the Corporation’s formof proxy and ballot, by any Nominating Stockholder (as defined below);(2) disclosure about the Proxy Access Nominee and the Nominating Stockholder required under the rules of the Securities and Exchange
Commission or other applicable law to be included in the proxy statement;(3) any statement included by the Nominating Stockholder in the Nomination Notice for inclusion in the proxy statement in support of theProxy Access Nominee’s election to the Board of Directors (subject, without limitation, to Section 1.12(e)(ii)), if such statement does not exceed
500 words; and(4) any other information that the Corporation or the Board of Directors determines, in their discretion, to include in the proxy statement
relating to the nomination of the Proxy Access Nominee, including, without limitation, (i) any statement in opposition to the nomination, (ii) anyof the information provided pursuant to this Section 1.12 and (iii) any solicitation materials or related information with respect to the Proxy
Access Nominee.
For purposes of this Section 1.12, any determination to be made by the Board of Directors may be made by the Board of Directors, a committee of
the Board or any officer of the Corporation designated by the Board of Directors or a committee of the Board and any such determination shall be final
and binding on the Corporation, any Eligible Holder, any Nominating Stockholder, any Proxy Access Nominee and any other person so long as made ingood faith (without any further requirements). The chair of any annual meeting of stockholders, in addition to making any other determinations that may
be appropriate to the conduct of the meeting, shall have the power and duty to determine whether a Proxy Access Nominee has been nominated inaccordance with the requirements of this Section 1.12 and, if not so nominated, shall direct and declare at the meeting that such Proxy Access Nominee
shall not be considered.
(b)Maximum Number of Proxy Access Nominees.

(1) The Corporation shall not be required to include in the proxy statement for an annual meeting of stockholders more Proxy Access
Nominees than that number of directors constituting the greater of (i) two or (ii) twenty percent of the total number of directors of the Corporationon the last day on which a Nomination Notice may be submitted pursuant to this8Section 1.12 (rounded down to the nearest whole number) (the “Maximum Number”). In the event that one or more vacancies for any reason
occurs on the Board of Directors after the deadline set forth in Section 1.12(d) below but before the date of the annual meeting, and the Board of
Directors resolves to reduce the size of the board in connection therewith, the Maximum Number shall be calculated based on the number of
directors in office as so reduced. The Maximum Number for a particular annual meeting shall be reduced by (i) Proxy Access Nominees who aresubsequently withdrawn, (ii) Proxy Access Nominees that the Board of Directors itself decides to nominate for election at such annual meetingand (iii) the number of incumbent directors of the Corporation who had been Proxy Access Nominees with respect to any of the preceding two
annual meetings of stockholders and whose reelection at the upcoming annual meeting is being recommended by the Board of Directors.
(2) If the number of Proxy Access Nominees pursuant to this Section 1.12 for any annual meeting of stockholders exceeds the Maximum
Number then, promptly upon notice from the Corporation, each Nominating Stockholder will select one Proxy Access Nominee for inclusion in
the proxy statement until the Maximum Number is reached, going in order of the amount (largest to smallest) of the ownership position as
disclosed in each Nominating Stockholder’s Nomination Notice, with the process repeated if the Maximum Number is not reached after each
Nominating Stockholder has selected one Proxy Access Nominee. If, after the deadline for submitting a Nomination Notice as set forth in
Section 1.12(d), a Nominating Stockholder becomes ineligible or withdraws its nomination or a Proxy Access Nominee becomes unwilling toserve on the Board of Directors, whether before or after the mailing of the definitive proxy statement, then the nomination shall be disregarded,
and the Corporation (i) shall not be required to include in its proxy statement or on any ballot or form of proxy the disregarded Proxy Access
Nominee or any successor or replacement nominee proposed by the Nominating Stockholder or by any other Nominating Stockholder and (ii) may
otherwise communicate to its stockholders, including without limitation by amending or supplementing its proxy statement or ballot or form ofproxy, that the Proxy Access Nominee will not be included as a Proxy Access Nominee in the proxy statement or on any ballot or form of proxy
and will not be voted on at the annual meeting.
(c)Eligibility of Nominating Stockholder.

(1) An “Eligible Holder” is a person who has either (i) been a record holder of the shares of common stock used to satisfy the eligibility
requirements in this Section 1.12(c) continuously for the three-year period specified in Section 1.12(c)(2) below or (ii) provides to a Secretary of
the Corporation, within the time period referred to in Section 1.12(d), evidence of continuous ownership of such shares for such three-year period
from one or more securities intermediaries in a form that the Board of Directors determines would be deemed acceptable for purposes of ashareholder proposal under Rule 14a-8(b)(2) under the Exchange Act (or any successor rule).
(2) An Eligible Holder or group of up to fifteen Eligible Holders may submit a nomination in accordance with this Section 1.12 only if theperson or group (in the aggregate) has continuously owned at least the Minimum Number (as defined below) of shares of the Corporation’scommon stock throughout the three-year period preceding and including the date of submission of the Nomination Notice, and continues to own atleast the Minimum Number through the date of the annual meeting. Each Eligible Holder or group of up to fifteen Eligible Holders that submits anomination in accordance with this Section 1.12 and has satisfied, as determined by the Board of Directors, all applicable conditions and compliedwith all applicable procedures set forth in this Section 1.12 is a “Nominating Stockholder”. A group of funds that are (i) under common
management and investment control, (ii) under common management and funded primarily by a9

single employer or (iii) a “group of investment companies,” as such term is defined in Section 12(d)(1)(G)(ii) of the Investment Company Act of1940, as amended, shall be treated as one Eligible Holder if such Eligible Holder shall provide together with the Nomination Notice
documentation reasonably satisfactory to the Corporation that demonstrates that the funds meet the criteria set forth in clauses (i), (ii) or (iii) of
this Section 1.2(c)(2). For the avoidance of doubt, in the event of a nomination by a Nominating Stockholder that includes more than one Eligible
Holder, any and all requirements and obligations for an individual Eligible Holder that are set forth in this Section 1.12, including the minimum
holding period, shall apply to each individual Eligible Holder comprising the Nominating Stockholder; provided, however, that the Minimum
Number shall apply to the ownership of the Nominating Stockholder in the aggregate. Should any Eligible Holder withdraw from a group of
Eligible Holders constituting a Nominating Stockholder at any time prior to the annual meeting of stockholders, the Nominating Stockholder shall
only be deemed to own the shares held by the remaining Eligible Holders. As used in this Section 1.12, any reference to a “group” or “group of
Eligible Holders” refers to any Nominating Stockholder that consists of more than one Eligible Holder and to all the Eligible Holders that make upsuch Nominating Stockholder.
(3) The “Minimum Number” of shares of the Corporation’s common stock means three percent of the number of outstanding shares ofcommon stock as of the most recent date for which such amount is given in any filing by the Corporation with the Securities and Exchange
Commission prior to the submission of the Nomination Notice.
(4) For purposes of this Section 1.12, an Eligible Holder “owns” only those outstanding shares of the Corporation as to which the Eligible
Holder possesses both (i) the full voting and investment rights pertaining to the shares and (ii) the full economic interest in (including theopportunity for profit and risk of loss on) such shares; provided that the number of shares calculated in accordance with clauses (i) and (ii) shallnot include any shares (A) sold by such Eligible Holder or any of its affiliates in any transaction that has not been settled or closed, (B) purchasedby such Eligible Holder or any of its affiliates but the purchase has not yet been settled or closed, (C) borrowed by such Eligible Holder or any of
its affiliates for any purpose or purchased by such Eligible Holder or any of its affiliates pursuant to an agreement to resell or subject to any otherobligation to resell to another person, or (D) subject to any option, warrant, forward contract, swap, contract of sale, other derivative or similar
agreement entered into by such Eligible Holder or any of its affiliates, whether any such instrument or agreement is to be settled with shares orwith cash based on the notional amount or value of outstanding shares of the Corporation, in any such case which instrument or agreement has, oris intended to have, the purpose or effect of (x) reducing in any manner, to any extent or at any time in the future, such Eligible Holder’s or any of
its affiliates’ full right to vote or direct the voting of any such shares, and/or (y) hedging, offsetting, or altering to any degree, gain or loss arisingfrom the full economic ownership of such shares by such Eligible Holder or any of its affiliates.
An Eligible Holder “owns” shares held in the name of a nominee or other intermediary so long as the Eligible Holder retains the right toinstruct how the shares are voted with respect to the election of directors and possesses the full economic interest in the shares. An Eligible
Holder’s ownership of shares shall be deemed to continue during any period in which the Eligible Holder has delegated any voting power bymeans of a proxy, power of attorney, or other similar instrument or arrangement that is revocable at any time by the Eligible Holder. An Eligible
Holder’s ownership of shares shall be deemed to continue during any period in which the Eligible Holder has loaned such shares provided that the
Eligible Holder has the power to recall such loaned shares within a reasonable period of time and will recall such loaned shares as of the date of
the annual meeting. The terms “owned,” “owning” and other variations of the word “own” shall have correlative meanings. Whether outstanding
shares of the Corporation are “owned” for these purposes shall be determined by the Board of Directors.
10(5) No Eligible Holder shall be permitted to be a part of more than one group of Eligible Holders constituting a Nominating Stockholder,
and if any Eligible Holder appears as a member of more than one group, such Eligible Holder shall be deemed to be a member of the group of
Eligible Holders that has the largest ownership position as reflected in the Nomination Notice.
(6) Any Eligible Holder (including each Eligible Holder whose stock ownership is counted as part of a group for the purposes ofqualifying as a Nominating Stockholder) whose Proxy Access Nominee is elected as a director at the annual meeting of stockholders will not be
eligible to nominate or participate in the nomination of a Proxy Access Nominee for the following two annual meetings of stockholders pursuant
to this Section 1.12 other than nominating (either individually or as a part of a group constituting a Nominating Stockholder) a Proxy Access
Nominee previously nominated and elected pursuant to this Section 1.12 by such Eligible Holder or a group of Eligible Holders of which such
Eligible Holder was a member.
(d) Nomination Notice. To nominate a Proxy Access Nominee, the Nominating Stockholder must, no earlier than one hundred and fifty days
and no later than one hundred and twenty days before the anniversary of the date that the Corporation mailed its proxy statement for the prior year’s
annual meeting of stockholders, submit to a Secretary of the Corporation at the principal executive office of the Corporation all of the following
information and documents (collectively, the “Nomination Notice”); provided, however, that if and only if the annual meeting is scheduled for an Other
Meeting Date, the Nomination Notice shall be given in the manner provided herein by the later of (x) one hundred and fifty days prior to such Other
Meeting Date and (y) the tenth day following the date such Other Meeting Date is first publicly announced or disclosed:(1) A Schedule 14N (or any successor form) relating to the Proxy Access Nominee, completed and filed with the Securities and Exchange
Commission by the Nominating Stockholder as applicable, in accordance with Securities and Exchange Commission rules;(2) A written notice of the nomination of such Proxy Access Nominee that includes the following additional information, agreements,
representations and warranties by the Nominating Stockholder (including each group member):(i)

the information required with respect to the nomination of directors pursuant to Section 1.11(b) of these by-laws;(ii) the details of any relationship that existed within the past three years and that would have been described pursuant to Item 6(e) of
Schedule 14N (or any successor item) if it existed on the date of submission of the Schedule 14N;(iii) a representation and warranty that the Nominating Stockholder did not acquire, and is not holding, securities of the Corporation forthe purpose or with the effect of influencing or changing control of the Corporation;(iv) a representation and warranty that the Proxy Access Nominee’s candidacy or, if elected, Board membership would not violate
applicable state or federal law or the rules of any stock exchange on which the Corporation’s securities are traded;(v)

a representation and warranty that the Proxy Access Nominee:
11(A) is not aware of any direct or indirect relationship the Proxy Access Nominee has with the Corporation other than thoserelationships that have been deemed categorically immaterial pursuant to the Corporation’s Policy Regarding Director Independence
Determinations as most recently published on its website and otherwise qualifies as independent under the bright-line rules of the
primary stock exchange on which the Corporation’s securities are traded;(B) is not aware of any information that would make the Proxy Access Nominee fail to meet the audit committee andcompensation committee independence requirements under the rules of the primary stock exchange on which the Corporation’s
securities are traded;(C) is not aware of any information that would make the Proxy Access Nominee fail to be a “non-employee director” for the
purposes of Rule 16b-3 under the Exchange Act (or any successor rule);(D) is not aware of any information that would make the Proxy Access Nominee fail to be an “outside director” for the
purposes of Section 162(m) of the Internal Revenue Code (or any successor provision); and(E) is not and has not been subject to any event specified in Rule 506(d)(1) of Regulation D (or any successor rule) under the
Securities Act of 1933 or Item 401(f) of Regulation S-K (or any successor rule) under the Exchange Act, without reference towhether the event is material to an evaluation of the ability or integrity of the Proxy Access Nominee;(vi) a representation and warranty that the Nominating Stockholder satisfies the eligibility requirements set forth in Section 1.12(c)and has provided evidence of ownership to the extent required by Section 1.12(c)(1);(vii) a representation and warranty that the Nominating Stockholder intends to continue to satisfy the eligibility requirements
described in Section 1.12(c) through the date of the annual meeting and currently intends in good faith to continue to hold the Minimum
Number of shares for at least one year following the annual meeting; provided, however, that any Nominating Stockholder that is a
registered open-end mutual fund under the Investment Company Act of 1940, and that seeks to replicate an index, will not violate thisrequirement as a result of changes to its common stock holdings in response to changes in the index or weightings of the securities in theindex;(viii) a statement detailing whether the Proxy Access Nominee is experienced in matters of risk management for purposes ofRegulation YY of the Federal Reserve Board;(ix) details of any position of the Proxy Access Nominee as an officer or director of any competitor (that is, any entity that
produces products or provides services that compete with or are alternatives to the principal products produced or services provided by the
Corporation or its affiliates) of the Corporation, within the three years preceding the submission of the Nomination Notice;(x) details of any relationship between the Proxy Access Nominee and any entity that would require disclosure on Schedule 13D as
if the Proxy Access Nominee was required to file a Schedule 13D with respect to the company;
12

(xi) details of any shares of the Corporation owned by the Proxy Access Nominee that are (A) pledged by the Proxy Access
Nominee or otherwise subject to a lien, charge or other encumbrance or (B) subject to any option, warrant, forward contract, swap,
contract of sale, other derivative or similar agreement entered into by such Proxy Access Nominee, whether any such instrument oragreement is to be settled with shares or with cash based on the notional amount or value of outstanding shares of the Corporation, in any
such case which instrument or agreement has, or is intended to have, the purpose or effect of (x) reducing in any manner, to any extent orat any time in the future, such Proxy Access Nominee’s full right to vote or direct the voting of any such shares, and/or (y) hedging,offsetting, or altering to any degree, gain or loss arising from the full economic ownership of such shares by such Proxy Access Nominee;(xii) details of any compensatory, payment or other financial agreement, arrangement or understanding with any person or entity inconnection with service or action as a director of the Corporation;(xiii) a representation and warranty that the Nominating Stockholder will not engage in a “solicitation” within the meaning ofRule 14a-1(l) (without reference to the exception in Section 14a-(l)(2)(iv)) (or any successor rules) with respect to the annual meeting,other than with respect to its Proxy Access Nominee or any nominee of the Board of Directors;(xiv) a representation and warranty that the Nominating Stockholder will not use any proxy card other than the Corporation’s
proxy card in soliciting stockholders in connection with the election of a Proxy Access Nominee at the annual meeting;(xv) if desired, a statement for inclusion in the proxy statement in support of the Proxy Access Nominee’s election to the Board of
Directors, provided that such statement shall not exceed 500 words and shall fully comply with Section 14 of the Exchange Act and therules and regulations thereunder, including Rule 14a-9; and(xvi) in the case of a nomination by a Nominating Stockholder comprised of a group, the designation by all such Eligible Holders
of one Eligible Holder that is authorized to act on behalf of the Nominating Stockholder with respect to matters relating to the nomination,
including withdrawal of the nomination;(3) An executed agreement, in a form deemed satisfactory by the Board of Directors, pursuant to which the Nominating Stockholder(including in the case of a group, each Eligible Holder in that group) agrees:(i)to comply with all applicable laws, rules and regulations in connection with the nomination, solicitation and election;(ii) to file any written solicitation or other communication with the Corporation’s stockholders relating to one or more of the
Corporation’s directors or director nominees or any Proxy Access Nominee with the Securities and Exchange Commission, regardless ofwhether any such filing is required under rule or regulation or whether any exemption from filing is available for such materials under any
rule or regulation;
13

(iii) to assume all liability stemming from an action, suit or proceeding concerning any actual or alleged legal or regulatory
violation arising out of any communication by the Nominating Stockholder with the Corporation, its stockholders or any other person inconnection with the nomination or election of directors, including, without limitation, the Nomination Notice;(iv) to indemnify and hold harmless (jointly with all other Eligible Holders, in the case of a group of Eligible Holders) the
Corporation and each of its directors, officers and employees individually against any liability, loss, damages, expenses or other costs(including attorneys’ fees) incurred in connection with any threatened or pending action, suit or proceeding, whether legal, administrative
or investigative, against the Corporation or any of its directors, officers or employees arising out of or relating to a failure or alleged failureof the Nominating Stockholder to comply with, or any breach or alleged breach of, its obligations, agreements or representations under thisSection 1.12;(v) in the event that any information included in the Nomination Notice, or any other communication by the Nominating
Stockholder (including with respect to any Eligible Holder included in a group), with the Corporation, its stockholders or any other person
in connection with the nomination or election ceases to be true and accurate in all material respects (or due to a subsequent development
omits a material fact necessary to make the statements made not misleading), or that the Nominating Stockholder (including any Eligible
Holder included in a group) has failed to continue to satisfy the eligibility requirements described in Section 1.12(c), to promptly (and inany event within 48 hours of discovering such misstatement or omission) notify the Corporation and any other recipient of such
communication of the misstatement or omission in such previously provided information and of the information that is required to correct
the misstatement or omission; and(4)

An executed agreement, in a form deemed satisfactory by the Board of Directors, by the Proxy Access Nominee:(i) to provide to the Corporation such other information, including completion of the Corporation’s director questionnaire, as it
may reasonably request;(ii) that the Proxy Access Nominee has read and agrees, if elected, to serve as a member of the Board of Directors, to adhere to the
Corporation’s Corporate Governance Guidelines and Code of Business Conduct and Ethics and any other Corporation policies andguidelines applicable to directors; and(iii) that the Proxy Access Nominee is not and will not become a party to any agreement, arrangement or understanding with any
person or entity as to how the Proxy Access Nominee would vote or act on any issue or question as a director.
The information and documents required by this Section 1.12(d) shall be (i) provided with respect to and executed by each Eligible Holder or, inthe case of a Nominating Stockholder comprised of a group of Eligible Holders, each Eligible Holder in that group; and (ii) provided with respect to thepersons specified in Instruction 1 to Items 6(c) and (d) of Schedule 14N (or any successor item) in the case of a Nominating Stockholder or Eligible
Holder that is an entity. The Nomination Notice shall be deemed submitted on the date on which all the information and documents referred to in thisSection 1.12(d) (other than such information and documents contemplated to be provided after the date the Nomination Notice is provided) have beendelivered to or, if sent by mail, received by a Secretary of the Corporation.
14

(e)

Exceptions.

(1) Notwithstanding anything to the contrary contained in this Section 1.12, the Corporation may omit from its proxy statement any Proxy
Access Nominee and any information concerning such Proxy Access Nominee (including a Nominating Stockholder’s statement in support) andno vote on such Proxy Access Nominee will occur (notwithstanding that proxies in respect of such vote may have been received by the
Corporation), and the Nominating Stockholder may not, after the last day on which a Nomination Notice would be timely, cure in any way any
defect preventing the nomination of the Proxy Access Nominee, if:(i) the Corporation receives a notice pursuant to Section 1.11(b) of these by-laws that any stockholder intends to nominate acandidate for director at the annual meeting;(ii) if another person is engaging in a “solicitation” within the meaning of Rule 14a-1(l) under the Exchange Act in support of theelection of any individual as a director at the applicable annual meeting of stockholders other than a nominee of the Board of Directors andother than as permitted by this Section 1.12;(iii) the Nominating Stockholder or the designated Eligible Holder that is authorized to act on behalf of the Nominating
Stockholder, as applicable, or any qualified representative thereof, does not appear at the annual meeting of stockholders to present thenomination submitted pursuant to this Section 1.12 or the Nominating Stockholder withdraws its nomination;(iv) the Board of Directors determines that such Proxy Access Nominee’s nomination or election to the Board of Directors would
result in the Corporation violating or failing to be in compliance with the Corporation’s by-laws or certificate of incorporation or any
applicable law, rule or regulation to which the Corporation is subject, including any rules or regulations of any stock exchange on which
the Corporation’s securities are traded;(v) the Proxy Access Nominee was nominated for election to the Board of Directors pursuant to this Section 1.12 at one of the
Corporation’s two preceding annual meetings of stockholders and either (A) withdrew or became ineligible or (B) received a vote of lessthan twenty percent of the shares of common stock entitled to vote for such Proxy Access Nominee;(vi) the Proxy Access Nominee (A) is an officer or director of a competitor, as defined for purposes of Section 8 of the Clayton
Antitrust Act of 1914, as amended or (B) is a director, trustee, officer or employee with management functions for any depository
institution, depository institution holding company or entity that has been designated as a Systemically Important Financial Institution,
each as defined in the Depository Institution Management Interlocks Act, provided, however, that this clause (B) shall apply only so longas the Corporation is subject to compliance with Section 164 of the Dodd-Frank Wall Street Reform and Consumer Protection Act; or(vii) the Corporation is notified, or the Board of Directors determines, that a Nominating Stockholder has failed to continue to satisfy
the eligibility requirements described in Section 1.12(c), any of the representations and warranties made in the Nomination Notice cease to
be true and accurate in all material respects (or omit a material fact necessary to make the statement not misleading), the Proxy Access
Nominee becomes unwilling or unable to serve on the Board of Directors or any material violation or breach occurs of the obligations,agreements, representations or warranties of the Nominating Stockholder or the Proxy Access Nominee under this Section 1.12.
15

(2) Notwithstanding anything to the contrary contained in this Section 1.12, the Corporation may omit from its proxy statement, or may
supplement or correct, any information, including all or any portion of the statement in support of the Proxy Access Nominee included in the
Nomination Notice, if the Board of Directors determines that:(i) such information is not true in all material respects or omits a material statement necessary to make the statements made notmisleading;(ii) such information directly or indirectly impugns character, integrity or personal reputation of, or directly or indirectly makes
charges concerning improper, illegal or immoral conduct or associations, without factual foundation, with respect to any person; or(iii) the inclusion of such information in the proxy statement would otherwise violate the Securities and Exchange Commission
proxy rules or any other applicable law, rule or regulation.

ARTICLE II
Board of Directors
Section 2.1 Powers; Number; Qualifications. The business and affairs of the Corporation shall be managed by or under the direction of theBoard of Directors, except as may be otherwise required by law or provided in the certificate of incorporation. The number of directors of the
Corporation shall be fixed only by resolution of the Board of Directors from time to time. Notwithstanding the foregoing, in the event the holders of any
class or series of stock are entitled by the certificate of incorporation to elect one or more directors, then the number of directors that may be elected bysuch holders voting separately as a class shall be in addition to the number fixed by resolution of the Board of Directors. Directors need not be
stockholders at the time of election or appointment.
Section 2.2 Election; Term of Office; Vacancies. Directors elected at each annual or special meeting of stockholders shall hold office until thenext annual meeting of stockholders, and until their successors are elected and qualified or until their earlier resignation or removal. Subject to the termsof any one or more series of Preferred Stock, each director shall be elected by a majority of the votes cast for or against the director at any meeting forthe election of directors, provided that if the number of director nominees exceeds the number of directors to be elected, the directors shall be elected bya plurality of the votes of the shares present in person or represented by proxy at any such meeting and entitled to vote on the election of directors. If an
incumbent director is nominated at an annual meeting of stockholders but is not elected, the director shall immediately tender their resignation to theBoard of Directors. Vacancies and newly created directorships resulting from any increase in the authorized number of directors (other than any
directors elected in the manner described in the next sentence) or from any other cause shall be filled by, and only by, a majority of the directors then in
office, although less than a quorum, or by the sole remaining director. Subject to the terms of any one or more series of Preferred Stock, whenever theholders of any class or classes of stock or series thereof are entitled by the certificate of incorporation to elect one or more directors, vacancies andnewly created directorships of such class or classes or series may be filled by, and only by, a majority of the directors elected by such class or classes orseries then in office, or by the sole remaining director so elected. Subject to the terms of any one or more series of Preferred Stock, any director elected
or appointed to fill a vacancy or a newly created directorship shall hold office until the next annual meeting of stockholders, and until their successor iselected and qualified or until their earlier resignation or removal.
16Section 2.3 Regular Meetings. Regular meetings of the Board of Directors may be held at such places (if any) within or without the State of
Delaware and at such times as the Board may from time to time determine, and if so determined notice thereof need not be given.
Section 2.4 Special Meetings. Special meetings of the Board of Directors may be held at any time or place (if any) within or without the State of
Delaware whenever called by the Board, by a Chairman of the Board, if any, by a Vice Chairman of the Board, if any, by a Chairperson of the Corporate
Governance and Nominating Committee, if any, by a Lead Director, if any, by a Chief Executive Officer, if any, by a President, if any, by a Chief
Operating Officer, if any, or by any two directors. Reasonable notice thereof shall be given by the person or persons calling the meeting.
Section 2.5 Participation in Meetings by Remote Communication Permitted. Unless otherwise restricted by the certificate of incorporation orthese by-laws, members of the Board of Directors, or any committee designated by the Board, may participate in a meeting of the Board or of suchcommittee, as the case may be, by means of conference telephone, video or other communications equipment by means of which all persons
participating in the meeting can hear each other, and participation in a meeting pursuant to this by-law shall constitute presence in person at suchmeeting.
Section 2.6 Quorum; Vote Required for Action. Unless the certificate of incorporation or these by-laws provide otherwise, at each meeting of
the Board of Directors, a majority of the number of directors equal to (i) the total number of directors fixed by resolution of the board of directors(including any vacancies) plus (ii) the number of directors elected by a holder or holders of Preferred Stock voting separately as a class, as described in
the fourth paragraph of Article EIGHTH of the certificate of incorporation (including any vacancies), shall constitute a quorum for the transaction ofbusiness. The vote of a majority of the directors present at a meeting at which a quorum is present shall be the act of the Board unless the certificate ofincorporation or these by-laws shall require a vote of a greater number. In case at any meeting of the Board a quorum shall not be present, the members
or a majority of the members of the Board present may adjourn the meeting from time to time until a quorum shall be present.
Section 2.7 Organization. Meetings of the Board of Directors shall be presided over by a Chairman of the Board, if any, or in the absence of a
Chairman of the Board, by a Lead Director, if any, or in the absence of a Lead Director, by a chair chosen at the meeting. A Secretary, or in the absenceof a Secretary an Assistant Secretary, shall act as secretary of the meeting, but in the absence of a Secretary and any Assistant Secretary the chair of themeeting may appoint any person to act as secretary of the meeting.
Section 2.8 Action by Directors Without a Meeting. Unless otherwise restricted by the certificate of incorporation or these by-laws, any action
required or permitted to be taken at any meeting of the Board of Directors, or of any committee thereof, may be taken without a meeting if all membersof the Board or of such committee, as the case may be, then in office consent thereto in writing, including by electronic transmission. After an action istaken, the consent or consents shall be filed with the minutes of proceedings of the Board or committee in accordance with applicable law.
Section 2.9 Compensation of Directors. Unless otherwise restricted by the certificate of incorporation or these by-laws, the Board of Directors
shall have the authority to fix the compensation of directors.
Section 2.10 Director Resignation and Removal. (a) Any director may resign at any time upon notice in writing, including by electronictransmission, to the Board of Directors or to a Chairman of the Board, a Lead Director, a Chairperson of the Corporate Governance and Nominating
Committee or a Secretary. Such resignation shall take effect at the time specified therein and, unless otherwise specified therein (and except for a
resignation described in Section 2.10(b) below), no acceptance of such resignation shall be necessary to make it effective. No director may be removed
except as provided in the certificate of incorporation.
17

(b) In the case of a resignation required to be tendered under Section 2.2 of these by-laws, the Board of Directors will determine, through aprocess managed by the Corporate Governance and Nominating Committee and excluding the incumbent director in question, whether to accept the
resignation at or before its next regularly scheduled Board meeting after the date of the meeting for the election of directors. Absent a significant reason
for the director to remain on the Board of Directors, the Board shall accept the resignation. The Board’s decision and an explanation of any
determination not to accept the director’s resignation shall be disclosed promptly in a Form 8-K filed with the United States Securities and Exchange
Commission.

ARTICLE III
Committees
Section 3.1 Committees. The Board of Directors may designate one or more committees, each committee to consist of one or more of thedirectors of the Corporation. The Board may designate one or more directors as alternate members of any committee, who may replace any absent or
disqualified member at any meeting of the committee. In the absence or disqualification of a member of a committee, the member or members thereofpresent at any meeting and not disqualified from voting, whether or not such member or members constitute a quorum, may unanimously appoint
another member of the Board to act at the meeting in the place of any such absent or disqualified member. Any such committee, to the extent provided in
the resolution of the Board of Directors or in these by-laws, shall have and may exercise all the powers and authority of the Board of Directors in the
management of the business and affairs of the Corporation, and may authorize the seal of the Corporation to be affixed to all papers which may requireit; but no such committee shall have the power or authority in reference to the following matters: (i) approving or adopting, or recommending to thestockholders, any action or matter expressly required by law to be submitted to stockholders for approval (other than the election or removal of
directors) or (ii) adopting, amending or repealing these by-laws.
Section 3.2 Committee Rules. Unless the Board of Directors otherwise provides, each committee designated by the Board may adopt, amend
and repeal rules for the conduct of its business. In the absence of a provision by the Board or a provision in the rules of such committee to the contrary, amajority of the entire authorized number of members of such committee shall constitute a quorum for the transaction of business, the vote of a majorityof the members present at a meeting at the time of such vote if a quorum is then present shall be the act of such committee, and in other respects eachcommittee shall conduct its business in the same manner as the Board conducts its business pursuant to Article II of these by-laws.

ARTICLE IV
Officers
Section 4.1 Officers; Election or Appointment. The Board of Directors shall take such action as may be necessary from time to time to ensurethat the Corporation has such officers as may be necessary under the Delaware General Corporation Law. In addition, the Board of Directors at any timeand from time to time may elect (i) one or more Chairmen of the Board and/or one or more Vice Chairmen of the Board from among its members,(ii) one or more Chief Executive Officers, one or more Presidents, one or more Chief Operating Officers, and/or one or more Chief Financial Officers(iii) one or more Vice Presidents, one or more Treasurers and/or one or more Secretaries and/or (iv) one or more other officers,18

including, without limitation, Assistants or Deputies to any position, in the case of each of (i), (ii), (iii) and (iv) if and to the extent the Board deems
desirable. The Board of Directors may give any officer such further designations or alternate titles as it considers desirable. In addition, the Board of
Directors at any time and from time to time may authorize any officer of the Corporation to appoint one or more officers of the kind described inclauses (iii) and (iv) above. Any number of offices may be held by the same person and directors may hold any office unless the certificate ofincorporation or these by-laws otherwise provide.
Section 4.2 Term of Office; Resignation; Removal; Vacancies. Unless otherwise provided in the resolution of the Board of Directors electing or
authorizing the appointment of any officer, each officer shall hold office until their successor is elected or appointed and qualified or until their earlier
resignation or removal. Any officer may resign at any time upon notice in writing, including by electronic transmission, to the Board or to such person
or persons as the Board may designate. Such resignation shall take effect at the time specified therein, and unless otherwise specified therein no
acceptance of such resignation shall be necessary to make it effective. The Board may remove any officer with or without cause at any time. Any officer
authorized by the Board to appoint a person to hold an office of the Corporation may also remove such person from such office with or without cause at
any time, unless otherwise provided in the resolution of the Board providing such authorization. Any such removal shall be without prejudice to thecontractual rights of such officer, if any, with the Corporation, but the election or appointment of an officer shall not of itself create contractual rights.
Any vacancy occurring in any office of the Corporation by death, resignation, removal or otherwise may be filled by the Board at any regular or special
meeting or by an officer authorized by the Board to appoint a person to hold such office.
Section 4.3 Powers and Duties. The officers of the Corporation shall have such powers and duties in the management of the Corporation as shallbe stated in these by-laws or in a resolution of the Board of Directors which is not inconsistent with these by-laws and, to the extent not so stated, as
generally pertain to their respective offices, subject to the control of the Board. A Secretary or such other officer appointed to do so by the Board shallhave the duty to record the proceedings of the meetings of the stockholders, the Board of Directors and any committees in a book to be kept for that
purpose. The Board may require any officer, agent or employee to give security for the faithful performance of their duties.

ARTICLE V
Stock
Section 5.1 Certificates; Uncertificated Shares. The shares of stock in the Corporation shall be represented by certificates, provided that theBoard of Directors of the Corporation may provide by resolution or resolutions that some or all of any or all classes or series of its stock shall be
uncertificated shares. Any such resolution shall not apply to any such shares represented by a certificate theretofore issued until such certificate issurrendered to the Corporation. Every holder of stock represented by certificates shall be entitled to have a certificate signed by or in the name of the
Corporation by any two authorized officers, which shall include, without limitation, a Chairman or Vice Chairman of the Board, a President or Vice
President, a Chief Executive Officer, a Chief Financial Officer, a Chief Legal Officer or General Counsel, a Treasurer or Global Treasurer, an Assistant
Treasurer, a Secretary or an Assistant Secretary, representing the number of shares of stock in the Corporation owned by such holder. In case any officer,
transfer agent or registrar who has signed a certificate shall have ceased to be such officer, transfer agent or registrar before such certificate is issued, it
may be issued by the Corporation with the same effect as if such person were such officer, transfer agent or registrar at the date of issue. Certificates
representing shares of stock of the Corporation may bear such legends regarding restrictions on transfer or other matters as any officer or officers of the
Corporation may determine to be appropriate and lawful.
19

If the Corporation is authorized to issue more than one class of stock or more than one series of any class, the powers, designations, preferences
and relative, participating, optional or other special rights of each class of stock or series thereof and the qualifications or restrictions of such preferences
and/or rights shall be set forth in full or summarized on the face or back of the certificate which the Corporation shall issue to represent such class orseries of stock, provided that, except as otherwise required by law, in lieu of the foregoing requirements, there may be set forth on the face or back of thecertificate which the Corporation shall issue to represent such class or series of stock a statement that the Corporation will furnish without charge to eachstockholder who so requests the powers, designations, preferences and relative, participating, optional or other special rights of such class or series ofstock and the qualifications, limitations or restrictions of such preferences and/or rights. Within a reasonable time after the issuance or transfer of
uncertificated shares of any class or series of stock, the Corporation shall send to the registered owner thereof a written notice containing the information
required by law to be set forth or stated on certificates representing shares of such class or series or a statement that the Corporation will furnish withoutcharge to each stockholder who so requests the powers, designations, preferences and relative, participating, optional or other special rights of such classor series and the qualifications, limitations or restrictions of such preferences and/or rights.
Except as otherwise provided by law or these by-laws, the rights and obligations of the holders of uncertificated shares and the rights andobligations of the holders of certificates representing stock of the same class and series shall be identical.
Section 5.2 Lost, Stolen or Destroyed Stock Certificates; Issuance of New Certificates. The Corporation may issue a new certificate of stock in
the place of any certificate theretofore issued by it, alleged to have been lost, stolen or destroyed, and the Corporation may require the owner of the lost,
stolen or destroyed certificate, or such owner’s legal representative, to give the Corporation a bond sufficient to indemnify it against any claim that may
be made against it on account of the alleged loss, theft or destruction of any such certificate or the issuance of such new certificate.

ARTICLE VI
Miscellaneous
Section 6.1

Fiscal Year. The fiscal year of the Corporation shall be determined by the Board of Directors.

Section 6.2 Seal. The Corporation may have a corporate seal which shall have the name of the Corporation inscribed thereon and shall be insuch form as may be approved from time to time by the Board of Directors. The corporate seal may be used by causing it or a facsimile thereof to be
impressed or affixed or in any other manner reproduced.
Section 6.3 Waiver of Notice of Meetings of Stockholders, Directors and Committees. Whenever notice is required to be given by law or under
any provision of the certificate of incorporation or these by-laws, a written waiver thereof (including by electronic transmission), signed or given by the
person entitled to notice, whether before or after the time stated therein, shall be deemed equivalent to notice. Attendance of a person at a meeting shallconstitute a waiver of notice of such meeting, except when the person attends a meeting for the express purpose of objecting, at the beginning of themeeting, to the transaction of any business because the meeting is not lawfully called or convened. Neither the business to be transacted at, nor the
purpose of, any regular or special meeting of the stockholders, directors or members of a committee of directors need be specified in any waiver ofnotice unless so required by the certificate of incorporation or these by-laws.
20Section 6.4 Indemnification. The Corporation shall indemnify to the full extent permitted by law any person made or threatened to be made aparty to any action, suit or proceeding, whether civil, criminal, administrative or investigative, by reason of the fact that such person or such person’s
testator or intestate is or was a member of the Board of Directors of the Corporation, an officer of the Corporation appointed by resolution of the Boardof Directors, or a member of the Shareholders’ Committee acting pursuant to the Amended and Restated Shareholders’ Agreement, dated as of May 7,
1999, among the Corporation and the Covered Persons listed on Appendix A thereto, as amended from time to time. Expenses, including attorneys’ fees,
incurred by any such person in defending any such action, suit or proceeding shall be paid or reimbursed by the Corporation promptly upon demand bysuch person and, if any such demand is made in advance of the final disposition of any such action, suit or proceeding, promptly upon receipt by the
Corporation of an undertaking of such person to repay such expenses if it shall ultimately be determined that such person is not entitled to beindemnified by the Corporation. The rights provided to any person by this by-law shall be enforceable against the Corporation by such person, who shallbe presumed to have relied upon it in serving or continuing to serve in such capacity. In addition, the rights provided to any person by this by-law shallsurvive the termination of such person as any such member or officer. No amendment of this by-law shall impair the rights of any person arising at any
time with respect to events occurring prior to such amendment.
Notwithstanding anything contained in this Section 6.4, except for proceedings to enforce rights provided in this Section 6.4, the Corporation shallnot be obligated under this Section 6.4 to provide any indemnification or any payment or reimbursement of expenses to any person in connection with aproceeding (or part thereof) initiated by such person (which shall not include counterclaims or crossclaims initiated by others) unless the Board of
Directors has authorized or consented to such proceeding (or part thereof) in a resolution adopted by the Board of Directors.
To the extent authorized from time to time in a resolution adopted by the Board of Directors (including a resolution authorizing officers of the
Corporation to grant such rights), the Corporation may provide to any one or more persons, including without limitation any employee or other agent of
the Corporation, or any director, officer, employee, agent, trustee, member, stockholder, partner, incorporator or liquidator of any subsidiary of the
Corporation or any other enterprise, rights of indemnification and/or to receive payment or reimbursement of expenses, including attorneys’ fees, withany such rights subject to the terms, conditions and limitations established pursuant to the Board resolution. Nothing in this Section 6.4 shall limit thepower of the Corporation or the Board of Directors to provide rights of indemnification and to make payment and reimbursement of expenses, including
attorneys’ fees, to any person otherwise than pursuant to this Section 6.4.
Section 6.5 Interested Directors; Quorum. No contract or transaction between the Corporation and one or more of its directors or officers, or
between the Corporation and any other corporation, partnership, limited liability company, joint venture, trust, association or other unincorporatedorganization or other entity in which one or more of its directors or officers serve as directors, officers, trustees or in a similar capacity or have afinancial interest, shall be void or voidable solely for this reason, or solely because the director or officer is present at or participates in the meeting of
the Board of Directors or committee thereof which authorizes the contract or transaction, or solely because their votes are counted for such purpose, if:(i) the material facts as to their relationship or interest and as to the contract or transaction are disclosed or are known to the Board or the committee, andthe Board or committee in good faith authorizes the contract or transaction by the affirmative votes of a majority of the disinterested directors, eventhough the disinterested directors be less than a quorum; (ii) the material facts as to their relationship or interest and as to the contract or transaction aredisclosed or are known to the stockholders entitled to vote thereon, and the contract or transaction is specifically approved in good faith by a vote of thestockholders; or (iii) the contract or transaction is fair as to the Corporation as of the time it is authorized, approved or ratified, by the Board, acommittee thereof or the stockholders. Common or interested directors may be counted in determining the presence of a quorum at a meeting of theBoard of Directors or of a committee which authorizes the contract or transaction.
21

Section 6.6 Form of Records. Any records maintained by the Corporation in the regular course of its business, including its stock ledger, booksof account and minute books, may be kept on, or by means of, or be in the form of, any information storage device, method or one or more electronic
networks or data bases (including one or more distributed networks) , provided that the records so kept can be converted into clearly legible form withina reasonable time and otherwise be compliant with the requirements of applicable law.
The Corporation shall so convert any records so kept upon the request of any person entitled to inspect the same.
Section 6.7 Laws and Regulations; Close of Business. (a) For purposes of these by-laws, any reference to a statute, rule or regulation of any
governmental body means such statute, rule or regulation (including any successor thereto) as the same may be amended from time to time.
(b) Any reference in these by-laws to the close of business on any day shall be deemed to mean 5:00 P.M. New York time on such day, whether or
not such day is a business day.
Section 6.8 Amendment of By-Laws. These by-laws may be amended, modified or repealed, and new by-laws may be adopted at any time, by
the Board of Directors. Stockholders of the Corporation may adopt additional by-laws and amend, modify or repeal any by-law whether or not adopted
by them, but only in accordance with Article SIXTH of the certificate of incorporation.
22

EXHIBIT 15.1
October 29, 2021
Securities and Exchange Commission
100 F Street, N.E.
Washington, D.C. 20549
Re:

The Goldman Sachs Group, Inc.
Registration Statements on Form S-8(No. 333-80839)(No. 333-42068)(No. 333-106430)(No. 333-120802)(No. 333-235973)
Registration Statements on Form S-4(No. 333-260413)
Registration Statements on Form S-3(No. 333-253421)

Commissioners:
We are aware that our report dated October 29, 2021 on our review of the consolidated balance sheet of The Goldman Sachs
Group, Inc. and its subsidiaries (the Company) as of September 30, 2021, and the related consolidated statements of earnings,
comprehensive income and changes in shareholders’ equity for the three and nine months ended September 30, 2021 and2020, and the consolidated statements of cash flows for the nine months ended September 30, 2021 and 2020 included in the
Company’s quarterly report on Form 10-Q for the quarter ended September 30, 2021 is incorporated by reference in theregistration statements referred to above. Pursuant to Rule 436(c) under the Securities Act of 1933 (the Act), such report
should not be considered a part of such registration statements, and is not a report within the meaning of Sections 7 and 11 of
the Act.
Very truly yours,/s/ PricewaterhouseCoopers LLP

EXHIBIT 31.1
CERTIFICATIONS
I, David M. Solomon, certify that:1.

I have reviewed this Quarterly Report on Form 10-Q for the quarter ended September 30, 2021 of The Goldman
Sachs Group, Inc.;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state amaterial fact necessary to make the statements made, in light of the circumstances under which such statements were
made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly
present in all material respects the financial condition, results of operations and cash flows of the registrant as of, andfor, the periods presented in this report;

4.

The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls
and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial
reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

5.

a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period inwhich this report is being prepared;b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to
be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting
and the preparation of financial statements for external purposes in accordance with generally accepted
accounting principles;c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report ourconclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period coveredby this report based on such evaluation; andd)Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred
during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual
report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control
over financial reporting; andThe registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control
over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (orpersons performing the equivalent functions):a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial
reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize andreport financial information; andb)

Any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrant’s internal control over financial reporting.

Date: October 29, 2021/s/David M. Solomon

Name:
Title:David M. Solomon
Chief Executive Officer

CERTIFICATIONS
I, Stephen M. Scherr, certify that:1.

I have reviewed this Quarterly Report on Form 10-Q for the quarter ended September 30, 2021 of The Goldman
Sachs Group, Inc.;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state amaterial fact necessary to make the statements made, in light of the circumstances under which such statements were
made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly
present in all material respects the financial condition, results of operations and cash flows of the registrant as of, andfor, the periods presented in this report;

4.

The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls
and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial
reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

5.

a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period inwhich this report is being prepared;b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to
be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting
and the preparation of financial statements for external purposes in accordance with generally accepted
accounting principles;c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report ourconclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period coveredby this report based on such evaluation; andd)Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred
during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual
report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control
over financial reporting; andThe registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control
over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (orpersons performing the equivalent functions):a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial
reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize andreport financial information; andb)

Any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrant’s internal control over financial reporting.

Date: October 29, 2021/s/

Stephen M. Scherr

Name: Stephen M. Scherr
Title:
Chief Financial Officer

EXHIBIT 32.1
Certification
Pursuant to 18 U.S.C. § 1350, the undersigned officer of The Goldman Sachs Group, Inc. (the Company) hereby certifies that
the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2021 (the Report) fully complies withthe requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934 and that the information
contained in the Report fairly presents, in all material respects, the financial condition and results of operations of theCompany.
Date: October 29, 2021/s/David M. Solomon

Name:
Title:David M. Solomon
Chief Executive Officer

The foregoing certification is being furnished solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Reportor as a separate disclosure document.

Certification
Pursuant to 18 U.S.C. § 1350, the undersigned officer of The Goldman Sachs Group, Inc. (the Company) hereby certifies that
the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2021 (the Report) fully complies withthe requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934 and that the information
contained in the Report fairly presents, in all material respects, the financial condition and results of operations of theCompany.
Date: October 29, 2021/s/

Stephen M. Scherr

Name: Stephen M. Scherr
Title:
Chief Financial Officer
The foregoing certification is being furnished solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Reportor as a separate disclosure document.