Fixed Income Investor Presentation Stephen Scherr, Chief Financial Officer Beth Hammack, Global Treasurer May 13, 2020
Strong Financial Position 4Q07 1Q20 26.2x 11.8x Gross Leverage -55% $64bn $243bn Average GCLA 1 ~4x (% of Average Total Assets) (6%) (23%) $15bn $220bn Deposits ~14x (% of Funding Sources) (3%) (31%) 1
Clear Strategic Direction Grow and Strengthen Diversify Our Products Operate More Existing Businesses and Services Efficiently Driving Credit Positives Improved capital More stable, durable Increased Enhanced franchise efficiency and enhanced revenues and earnings diversification strength funding profile 2
Strong Risk Management Oversight Culture of Risk Management Disciplined risk-reward approach Deep bench of risk managers Culture of Risk Process and Consensus-driven decision making Management Structural Oversight Process and Structural Oversight Independent controls and governance Comprehensive stress testing Mark-to-market discipline Continuous Continuous Improvement Improvement Cycle preparedness Reputational risk and compliance Cyber risk 3
Key Risks in Current Environment Key Areas in Focus Mitigation Robust credit underwriting framework Credit Appropriate reserve processes Vigorous ongoing portfolio management Asset Price Prudent approach to portfolio marking Active monitoring and managing of risks Interest Rate Conservative and holistic approach to asset-liability management 4
Credit Risk: Overview of Loan Portfolio Loans Breakdown 1 Portfolio Overview Loan Type Size ($bn) % of Total % Secured By Geography By Segment Corporate $69 53% 69% Asia Wealth Management $29 23% 99% 6% Consumer Real Estate $21 17% 100% EMEA & Wealth Investment Commercial $17 13% 100% 19% Management Banking 27% 37% Residential $4 4% 100% Americas Consumer $7 5% 75% Global Asset Installment $5 4% Markets Management 23% 13% Credit Cards $2 1% Other $6 4% 88% Allowance for loan losses ($2.9) (2%) Key Credit Metrics 2 Total Loans $128 100% 78% Lending Commitments $152 Allowance for Credit Losses $3.2 2.5% 1.8% 13.4% 0.5% ALLL to Total ALLL to Gross ALLL to Gross Net Annualized Wholesale Loans Consumer Loans Gross Loans Charge-off 78% of Total Loans Secured Rate 5
Credit Risk: Corporate Lending Commitments 1 Funded Sector Exposure ($bn) % of Total % Secured Exposure ($bn) % of Total Consumer, Retail and Healthcare $12 17% 71% $28 25% Diversified Industrials $15 22% 66% $21 18% Financial Institutions $6 9% 75% $7 6% Funds $4 6% 91% $3 3% Natural Resources & Utilities $8 11% 66% $22 19% Real Estate $6 8% 46% $4 4% Technology, Media & Telecommunications $12 18% 73% $24 21% Other (including SPVs) $6 9% 74% $4 4% 2 Total $69 100% 69% $113 100% Selected Industries Included Above Oil and Gas $4 6% 61% $8 7% Gaming & Lodging (incl. hotel owners & operators) $1 1% 69% $2 2% Airlines $2 3% 84% $1 1% ~$19bn of corporate drawdowns in 1Q20, split ~50/50 between IG/Non-IG 6
Credit Risk: CRE Loan Exposure CRE Exposure CRE Exposure by Region Distressed at Healthcare Housing Purchase 1% Developers 1% 1% Retail 4% Asia Office 12% 6% Warehouse Lodging Facilities 7% 31% EMEA Residential Property 21% 7% Industrial 8% Americas 67% 1 Multi-Family Other 14% 9% Mixed 11% $20bn of CRE exposure, Largely concentrated in the Americas of which $17bn is funded 7
Asset Price: Asset Management Equity Balance Sheet Equity Portfolio Portfolio Breakdown By Geography By Vintage 2017- Corporate 67% EMEA Present 2013 or 19% 27% Americas Earlier Private Equity Public Equity 46% Public 36% $21bn Equity $19bn $2bn 10% Total Asia 2014- Real 35% 2016 Estate 37% 23% CIE Portfolio Private Equity by Sector TMT Consumer Healthcare Financials $11bn $19bn 23% 5% 2% 2% 6% 6% 28% 26% 2% Other of Liability Funding, Total CIEs 1 Substantially All Nonrecourse Industrials Retail Natural Real Estate Resources & Utilities 8
Asset Price: Asset Management Debt Balance Sheet Debt Portfolio: $29bn Loan Breakdown Secured vs. Unsecured By Geography Real Estate: ~$6bn Unsecured Corp/Other: ~$6bn Asia 14% Americas 19% 43% Loans at Real Estate: ~$2bn Amortized Corp/Other: ~$2bn Cost 42% Loans at 1 FV EMEA Secured 14% 38% 86% Debt Securities by Sector Debt TMT Consumer Healthcare Financials Other Investments at FV 44% 22% 12% 8% 4% 9% 4% 13% 20% 8% Real Estate: ~$3bn Industrials Retail Natural Real Estate Corp/Other: ~$10bn Resources & Utilities Debt portfolio diversified across sectors and geographies 9
Interest Rate Risk Net Interest Income Rate Sensitivity $4.4 $3.8 Interest Rate Risk Management $2.9 We centrally monitor and manage interest $1.3 rate risk across the organization Interest Rate Sensitivity 2017 2018 2019 1Q20 As % of Our balance sheet is modestly asset 9% 10% 12% 15% Total Net Revenues sensitive – largely comprised of high turnover, floating rate assets that are NII Contribution vs. Peers (FY19) primarily funded by liabilities that have been 64% hedged to floating rate 54% 50% Should interest rates remain at current levels over the next year, we expect NII to 12% 11% gradually expand over time as our retail deposits reprice MS GS JPM BAC C 10
Balance Sheet Balance Sheet Mix ($bn) Sources of Funding $1,090 3% $993 6% Shareholders' Other Assets 4% Secured Equity 6% Investments 12% Funding 13% 20% 2 11% Loans ~90% Of balance ~$720bn 35% sheet Unsecured Trading Assets 36% As of 1Q20 Long-Term comprised of Debt liquid assets 1 31% 11% Customer & Other Deposits 8% Receivables 31% Unsecured Short-Term Collateralized 22% 23% Agreements Debt 5% Cash and Cash 13% Equivalents 10% Highly diverse funding sources 4Q19 1Q20 Increased contribution from deposit funding $97bn of balance sheet growth, primarily Term: Secured funding WAM of >120 days, Time Deposits WAM of ~1.5yrs, and LTD WAM of ~8yrs driven by increased client demand and activity 11
Funding Strategy Increasing high-quality deposits to improve funding diversification and drive lower interest expense Key Tenets of our Strategy Target State 250 Legend Current State 200 Further diversify funding mix via deposits 1 Future State 1 Funding Costs 150 Enhance Asset-Liability Management 2 100 2 50 Lowering 3 Optimize liquidity pool 3 net interest expense 0 3M 6M 9M 1Y 2Y 3Y 5Y 7Y 10Y Tenor 12
Deposit Growth Strong Deposit Inflows Ongoing Unsecured Funding Mix Shift 1Q20 $220bn $190bn Deposits Consumer $72bn 46% Deposits +$12bn $60bn Wholesale Unsecured Private Bank Medium-Term 1 $59bn Deposits 54% +$3bn $56bn Transaction $9bn +$6bn Banking $3bn Deposits 50% Brokered CDs, +$9bn $80bn Deposit Sweeps, $71bn and Other Wholesale Unsecured 4Q19 1Q20 50% ~$30bn of deposit inflows benefitting from strength We continue to target at least 50% in Transaction Banking and Consumer deposits in the medium-term 13
GS Group Unsecured Vanilla Funding Diversified across Tenor, Currency, Channel and Structure 1Q20 GS Group Vanilla Issuance by Currency In 1Q20, we raised $16.1bn of GS Group vanilla debt 1 and preferred stock EUR 34% Opportunistic issuance throughout the quarter, even during heightened market volatility JPY Diversified across tenors, markets and currencies 1% ~6 year WAM of debt issuance USD 65% $0.4bn of perpetual preferred stock ~8 year WAM for the entire unsecured LT debt portfolio GS Group Vanilla 2 and Preferred Stock Issuance vs. Maturities 3 ($bn) $42.8 Scheduled Maturities $29.2 $22.0 $23.2 $21.3 $21.0 $19.9 $16.1 $17.9 $5.2 1Q20 2017 2018 2019 2020 2021 2022 Vanilla Debt Issuance Preferred Equity Issuance Maturity 14
Structured Notes and Other Unsecured Funding Structured Notes Outstanding as of 1Q20 As part of our broader unsecured funding strategy, we >20yr strive for a diversified funding mix across various products, 11% <2yr channels, issuing entities, currencies, tenors and investor types 10yr-20yr Tenor 1 31% 16% Our sizeable structured notes footprint allows the firm to diversify across institutional and retail investors at attractive rates 2yr-5yr 20% 5yr-10yr 22% Notes are issued out of various entities, mostly outside of GS Group Other During 2019, we raised $32bn, with 36% in non-USD 3% currencies GSG GSFC + In 1Q20, we raised $19bn, with similar proportions of non-USD 30% Entity 2 GSFCI 36% Another notable funding channel is GS Bank 3a2 notes Deposits will remain the primary source of funding for the bank GSI 31% 15
Liquidity Risk Management Liquidity Ratio Components ($bn) Average Liquidity Coverage Ratio Trend 1Q20 Average Maturity $179 Mismatch & Other $136 134% 134% 133% 131% 127% $4 116% 117% 116% 116% 117% Unfunded $41 Commitments $23 Derivatives $74 Unsecured ($6) Secured Eligible High-Quality Liquid Net Cash Outflows Assets Well in excess of LCR requirements 1Q19 2Q19 3Q19 4Q19 1Q20 Eligible HQLA composed almost entirely of Level 1 assets 1 GS U.S. Universal Peer Average 100% Requirement 1Q20 corporate draws of ~$19bn within our expectations for a stress scenario We remain well positioned from a liquidity standpoint and comfortably above minimums 16
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