Goldman Sachs : Bank Europe SE - 2023 Annual Financial Statements and Management Report (English)

Annual Financial Statements

and Management Report

December 31, 2023

Goldman Sachs Bank Europe SE

GOLDMAN SACHS BANK EUROPE SE

ANNUAL FINANCIAL STATEMENTS AND MANAGEMENT REPORT FOR THE FINANCIAL YEAR ENDED DECEMBER 31, 2023

INDEX

	Page No.
Part I
Management Report	2
Introduction	2
Business Environment	2
Results of Operations	3
Balance Sheet and Funding Sources	7
Regulatory Capital	8
Key Performance Indicators	10
Forecast and Opportunities Report	11
Principal Risks and Uncertainties	12
Risk Report	14
Changes in Risk Management	14
Overview and Structure of Risk Management	15
Liquidity Risk Management	18
Market Risk Management	21
Credit Risk Management	23
Operational Risk Management	26
Compliance Risk Management	27
Model Risk Management	28
Strategic and Business Environment Risk	28
Capital Adequacy	29
Relationship with Affiliated Companies	30
Non-Financial Disclosure	30

	Page No.
Part II
Audited Financial Statements	31
Balance Sheet	31
Income Statement	32
Statement of Cash Flows	33
Notes to the Financial Statements	34
Note 1.	General Information	34
Note 2.	Accounting and Valuation Methods	34
Notes to the Balance Sheet	38
Note 3.	Residual Maturity of Receivables and Liabilities	38
Note 4.	Receivables and Liabilities with Affiliates	38
Note 5.	Repurchase Agreements	38
Note 6.	Trading Assets and Liabilities	38
Note 7.	Assets and Liabilities Held In Trust	39
Note 8.	Non-Current Assets	39
Note 9.	Other Assets and Liabilities	39
Note 10.	Deferred Tax Assets	39
Note 11.	Foreign Currency Volumes	39
Note 12.	Valuation Units	40
Note 13.	Securitised Liabilities	40
Note 14.	Other Provisions	40
Note 15.	Subordinated Debt	40
Note 16.	Shareholder's Equity	40
Note 17.	Off-Balance Sheet Transactions	41
Notes to the Income Statement	41
Note 18.	Breakdown of Income by Geographical Markets	41
Note 19.	Other Operating Income and Expense	41
Note 20.	Income Tax Expense	41
Note 21.	Profit Distribution	41
Note 22.	Statement of Cash Flows	41
Note 23.	Report on Subsequent Events	41
Note 24.	Other Information	42
Independent Auditor's Report	44

1

GOLDMAN SACHS BANK EUROPE SE

Management Report

Introduction

Goldman Sachs Bank Europe SE (GSBE or the bank) is engaged in a wide range of activities primarily in the E.U., including underwriting and market-making in debt and equity securities and derivatives, asset and wealth management services, deposit-taking, lending (including securities lending), advisory services and transaction banking services. The bank is a primary dealer for government bonds issued by E.U. sovereigns. The bank serves a diversified client base that includes corporations, financial institutions, governments and individuals, from its registered office in Frankfurt am Main and branches in Amsterdam, Athens, Copenhagen, Dublin, London, Luxembourg, Madrid, Milan, Paris, Stockholm and Warsaw. The bank is registered with the commercial register number HRB 114190 at the local district court in Frankfurt am Main, Germany.

The bank is directly supervised by the European Central Bank (ECB) and additionally by the Federal Financial Supervisory Authority (BaFin) and the Deutsche Bundesbank in the context of the E.U. Single Supervisory Mechanism.

The bank is a wholly-owned subsidiary of Goldman Sachs Bank USA (GS Bank USA), a New York State-chartered bank and a member of the Federal Reserve System (FRB). The bank's ultimate parent undertaking and controlling entity is The Goldman Sachs Group, Inc. (Group Inc.). Group Inc. is a bank holding company and a financial holding company regulated by the Board of Governors of the FRB. In relation to the bank, "GS Group affiliate" means Group Inc. or any of its subsidiaries. Group Inc., together with its consolidated subsidiaries, form "GS Group". GS Group is a leading global financial institution that delivers a broad range of financial services to a large and diversified client base that includes corporations, financial institutions, governments and individuals.

The bank seeks to be the advisor of choice for its clients and a leading participant in financial markets. As part of GS Group, the bank also enters into transactions with affiliates in the normal course of business as part of its market-making activities and general operations.

The bank generates revenues from the following business activities: Investment Banking; Fixed Income, Currency and Commodities (FICC); Equities; and Investment Management, which includes Asset management and Wealth management.

The bank strives to maintain a work environment that fosters professionalism, excellence, high standards of business ethics, diversity, teamwork and cooperation among employees. The bank recognises that it needs the most talented people to deliver outstanding results for clients. A diverse workforce in terms of gender, ethnicity, sexual orientation, background, culture and education ensures the development of better ideas, products and services. For further information about Goldman Sachs' people, culture and commitment to diversity, see www.goldmansachs.com/ our-commitments/diversity-and-inclusion/.

References to "the financial statements" are to the audited financial statements as presented in Part II of this report.

All references to December 2023 refer to the year ended, or the date, as the context requires, December 31, 2023. All references to December 2022 refer to the year ended, or the date, as the context requires, December 31, 2022. Any reference to a future year refers to a year ending on December 31 of that year. Any statements relating to future periods are subject to a high degree of uncertainty.

Business Environment

In 2023, the global economy grew, but was impacted throughout the year by broad macroeconomic and geopolitical concerns. Concerns about persistent inflation and the economic outlook were somewhat eased by improvement in inflationary measures over the course of the year and increased expectations for a soft landing for the U.S. economy amid a slowdown in the pace of monetary policy tightening, both contributing to improved market sentiment. During the early part of the year, momentum was temporarily disrupted by stress in the banking sector, which led to the failure of certain regional banks in the U.S. and the combination of Switzerland's two largest financial institutions, resulting in a period of high interest rate volatility before concerns subsided after regional banks showed stability. Geopolitical stresses that carried over into 2023, including the conflict in Ukraine and ongoing tensions with China, remained elevated. Additionally, the renewed onset of conflict in the Middle East added to the uncertainty of global stability.

The above factors contributed to higher global equity prices compared with the end of 2022 and pressure in the commercial real estate market.

There remains uncertainty and concerns about geopolitical risks, global central bank policy, inflation, the commercial real estate sector and potential increases in regulatory capital requirements.

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GOLDMAN SACHS BANK EUROPE SE

Management Report

Results of Operations

The bank's results presented below have been prepared under the German Commercial Code (HGB).

Net Revenues by Business Activity

Net revenues are defined as the sum of interest income, interest expense, commission income, commission expense and net trading result. Net revenues arise from transactions with both third parties and GS Group affiliates. The bank has revenue sharing agreements with GS Group affiliates related to certain activities under which it receives revenues from, and transfer revenues to, such affiliates.

The table below presents net revenues by business activity.

	Year Ended December
€ in millions		2023		2022
Investment Banking	€	492	€	540
FICC		461		491
Equities		495		304
Investment Management		217		151
Total	€	1,665	€	1,486

Income and expenses associated with the bank's sources and uses of funding, including returns on the bank's Global Core Liquid Assets (GCLA), are allocated to the bank's business activities and were significantly higher for the year ended December 2023 compared to the year ended December 2022.

Net revenues for the year ended December 2023 were €1.67 billion, 12% higher than the year ended December 2022, reflecting significantly higher net revenues in Equities and Investment Management, partially offset by lower net revenues in Investment Banking and FICC.

Investment Banking

Investment Banking primarily generates revenues from the following:

Advisory. Includes strategic advisory engagements with respect to mergers and acquisitions, divestitures, corporate defence activities, restructurings and spin-offs.

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

Other. Includes lending to corporate clients, including through relationship lending and acquisition financing, and transaction banking services.

December 2023 versus December 2022. Net revenues in Investment Banking were €492 million for the year ended December 2023, 9% lower than the year ended December 2022, primarily due to significantly lower net revenues in Advisory, partially offset by significantly higher net revenues in Underwriting. The decrease in Advisory net revenues reflected a decrease in industry-wide completed mergers and acquisitions transactions. The increase in Underwriting reflected significantly higher net revenues in Debt underwriting and higher net revenues in Equity underwriting.

FICC and Equities

FICC and Equities serve the bank's clients who buy and sell financial products, raise funding and manage risk. The bank does this by acting as a market maker and offering expertise primarily to European clients. FICC and Equities make markets and facilitate client transactions in fixed income, currency, commodity and equity products. In addition, the bank makes markets in, and clears client transactions on, major stock, options and futures exchanges in Europe.

The bank executes a high volume of transactions for its clients in large, highly liquid markets. The bank also executes transactions for its clients in less liquid markets for spreads and fees that are generally somewhat larger than those charged in more liquid markets. Additionally, the bank structures and executes transactions involving customised or tailor-made products that address its clients' risk exposures, investment objectives or other complex needs, as well as derivative transactions related to client advisory and underwriting activities.

The bank's net revenues are influenced by a combination of interconnected drivers, including (i) client activity levels and transactional bid/offer spreads (collectively, client activity) and (ii) changes in the fair value of its inventory, and interest income and interest expense related to the holding, hedging and funding of its inventory.

FICC. FICC generates revenues from intermediation and financing 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, other government-backed securities, and interest rate swaps, options and other derivatives.

Credit Products. Investment-grade and high-yield corporate securities, credit derivatives, exchange-traded funds (ETFs), bank and bridge loans and municipal securities.

Currencies. Currency options, spot/forwards and other derivatives on G-10 currencies and emerging-market products.

Commodities. Commodity derivatives involving crude oil and petroleum products, natural gas, agricultural, base, precious and other metals, electricity, including renewable power, environmental products and other commodity products.

• FICC financing. Includes (i) secured lending to the bank's clients through structured credit, asset-backed lending and (ii) financing through securities purchased under agreements to resell (resale agreements).

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GOLDMAN SACHS BANK EUROPE SE

Management Report

December 2023 versus December 2022. Net revenues in FICC were €461 million for the year ended December 2023, 6% lower than the year ended December 2022, due to lower net revenues in FICC intermediation, partially offset by higher net revenues in FICC financing. The decrease in FICC intermediation reflected lower net revenues in interest rate products and commodities, partially offset by higher net revenues in credit products. The increase in FICC financing was primarily driven by resale agreements. The decrease in FICC intermediation net revenues reflected significantly lower client activity (as activity in the prior year benefitted from volatility in the macroeconomic environment), partially offset by significantly higher returns on the bank's GCLA in a higher interest rate environment.

Equities. Equities generates revenues from intermediation and financing activities.

• Equities intermediation. The bank makes markets in equity securities and equity-related products, including ETFs, convertible securities, options, futures and OTC derivative instruments. As a principal, the bank facilitates client transactions by providing liquidity to its clients, including by transacting in large blocks of stocks or derivatives, requiring the commitment of its capital. The bank also structures and makes markets in derivatives on indices, industry sectors, financial measures and individual company stocks. The bank's exchange-based market- making activities include making markets in stocks and ETFs, futures and options on major exchanges in Europe. In addition, the bank generates commissions and fees from executing and clearing institutional client transactions on major stock, options and futures exchanges in Europe, as well as over-the-counter (OTC) transactions.
• Equities financing. Includes prime financing, which provides financing to the bank's clients for their securities trading activities through margin loans that are collateralised by securities, cash or other collateral. Prime financing also includes services which involve lending securities to cover institutional client' short sales and borrowing securities to cover the bank's short sales and to make deliveries into the market. The bank is also an active participant in broker-to-broker securities lending and third- party agency lending activities. In addition, the bank executes swap transactions to provide its clients with exposure to securities and indices. Financing activities also include portfolio financing, which clients can utilise to manage their investment portfolios, and other equity financing activities, including securities-based loans to individuals.

December 2023 versus December 2022. Net revenues in Equities were €495 million for the year ended December 2023, 63% higher than the year ended December 2022, due to significantly higher net revenues in Equities intermediation and Equities financing. The increase in Equities intermediation primarily reflected significantly higher net revenues in derivatives. The increase in Equities financing primarily reflected significantly higher net revenues in prime financing and portfolio financing (primarily due to higher activity), partially offset by lower net revenues in securities services. The increase in Equities intermediation net revenues primarily reflected significantly higher returns on the bank's GCLA in a higher interest rate environment.

Investment Management

Investment Management includes Asset management and Wealth management.

Asset management includes a share of asset-based fees on client assets that are being managed on a fiduciary basis by GS Group's portfolio managers, for the bank's sales and distribution efforts. The bank's asset management business significantly depends on its ability to delegate portfolio management to other GS Group affiliates. During the year, the bank agreed to transfer the majority of its asset management activities to Goldman Sachs Asset Management BV (GSAM BV), GS Group's primary E.U. asset management entity, consistent with GS Group's resolution planning and commercial objectives of its asset management business. See Note 19 to the financial statements for further information.

Wealth management includes wealth advisory services, including portfolio management and financial counselling, brokerage and other transaction services to high-net-worth individuals and families.

December 2023 versus December 2022. Net revenues in Investment Management were €217 million for the year ended December 2023, 44% higher than the year ended December 2022, primarily due to higher net revenues in Wealth management.

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GOLDMAN SACHS BANK EUROPE SE

Management Report

Net Revenues by Income Statement Line Items

The table below presents net revenues by income statement line items.

	Year Ended December
€ in millions	2023		2022
Interest income	€ 1,951	€	290
Interest expense	(2,082)		(333)
Net interest expense	(131)		(43)
Commission income	891		1,084
Commission expense	(167)		(207)
Net commission income	724		877
Net trading result	1,072		652
Total	€1,665	€	1,486

In the table above:

• Net interest expense relates to interest income and interest expense on banking book products.
• Net commission income relates to net revenues from certain financial advisory and underwriting engagements, executing and clearing transactions and certain investment management activities.
• Net trading result relates to interest income, interest expense and gains and losses on trading book products, transaction-based expenses and risk valuation adjustment according to section 340e (3) and (4) HGB.

Net interest expense was €131 million for the year ended December 2023, €88 million higher than the year ended December 2022, reflecting a significant increase in net interest expense on banking book products partially offset by a significant increase in interest income on the bank's GCLA, both due to the higher interest rate environment. The net interest expense was more than offset by a significant increase in net interest income on trading book products, reported within net trading result.

Net commission income was €724 million for the year ended December 2023, 17% lower than the year ended December 2022, reflecting a decrease in investment banking net revenues partially offset by an increase in wealth management revenues.

Net trading result was €1.07 billion for the year ended December 2023, 64% higher than the year ended December 2022, primarily reflecting a significant increase in net interest income on trading book products driven by increased activity and the higher interest rate environment. Net trading result includes net interest income of €364 million for the year ended December 2023 (December 2022: net interest expense of €12 million) primarily relating to reverse repurchase agreements, repurchase agreements as well as bonds and other fixed-income securities classified within the trading book.

Expenses

Expenses are primarily influenced by compensation (including the impact of the Group Inc. share price on share- based compensation), headcount and levels of business activity. Salaries and wages include salaries, allowances, year-end discretionary compensation, amortisation of share- based compensation, changes in the fair value of share-based payment awards between grant date and delivery date and other items such as benefits. Discretionary compensation is significantly impacted by, among other factors, the level of net revenues, overall financial performance, prevailing labour markets, business mix, the structure of share-based compensation programmes and the external environment.

The table below presents the bank's total expenses and headcount.

	Year Ended December
€ in millions	2023	2022
Salaries and wages	€558	€479
Social security contributions	107	101
Other administrative expenses	133	243
Depreciation and amortisation	26	43
Other operating expenses	8	15
Provision for loan losses	2	32
Total expenses	€834	€913
Headcount at year-end	1,038	1,097

In the table above:

• Salaries and wages included a charge of €30 million for the year ended December 2023 (December 2022: €12 million) representing changes in the fair value of share- based payment awards recharged from Group Inc. during the period.
• Other administrative expenses included a credit of €65 million for the year ended December 2023, predominantly related to reversal of accruals for the E.U. Single Resolution Fund (SRF) made in prior years (December 2022: charge of €69 million).
• Other administrative expenses include charges relating to operational and administrative support and management services received from GS Group affiliates.

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GOLDMAN SACHS BANK EUROPE SE

Management Report

December 2023 versus December 2022. Total expenses were €834 million for the year ended December 2023, 9% lower than the year ended December 2022.

Salaries and wages were €558 million for the year ended December 2023, 16% higher than the year ended December 2022. Excluding the impact of changes in the fair value of share-based payment awards for both years, salaries and wages were €528 million for the year ended December 2023, 13% higher than the year ended December 2022, mainly reflecting an increase in discretionary compensation as well as higher severance-related costs driven by a headcount reduction initiative during the year ended December 2023.

Other administrative expenses were €133 million for the year ended December 2023, 45% lower than the year ended December 2022, primarily due to reduced accruals for the E.U. SRF which achieved its funding target earlier than the bank anticipated.

Provision for loan losses were €2 million for the year ended December 2023, compared with €32 million for the year ended December 2022. Provisions for the year ended December 2022 reflected the impact of macroeconomic and geopolitical concerns.

As of December 2023, headcount was 5% lower compared with December 2022, mainly driven by the transfer of certain asset management employees to GSAM BV and a headcount reduction initiative during the year ended December 2023.

Income Tax Expense

The effective tax rate was 32.0% for the year ended December 2023, which is higher compared to the combined income tax rate for the jurisdictions in which the bank operates primarily due to the impact of certain permanent differences and non-deductible expenses. The effective tax rate was 41.1% for the year ended December 2022. The effective tax rate was higher in the prior year due to higher non-deductible expenses and adjustments in respect of prior periods. The effective tax rate represents the bank's income tax expense divided by its result from ordinary activities.

The table below shows a reconciliation between income tax expense and the amount calculated by applying the German statutory (domestic) income tax rate.

	Year Ended December
€ in millions	2023	2022
Result from ordinary activities	€881	€588
Expected tax expense at domestic income tax	281	188
rate of 31.93% (2022: 31.93%)
Effect of additions to the trading-related special	35
reserve in accordance with Section 340e (4)	27
HGB (permanent difference)
Effect of E.U. SRF expense (non-deductible)	(21)	22
Foreign tax rate differential	(17)	(31)
Adjustments in respect of prior periods	(11)	29
Other	15	7
Total income tax expense	€282	€242

In the table above, foreign tax rate differential represents the impact of the difference in the domestic income tax rate and the applicable income tax rates in the foreign branches on the income tax expense.

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GOLDMAN SACHS BANK EUROPE SE

Management Report

Balance Sheet and Funding Sources

Balance Sheet Analysis and Metrics

The table below presents the bank's balance sheet on an aggregated level.

		As of December
€ in millions		2023		2022
Cash reserve	€	347	€	137
Receivables from credit institutions/customers		34,469		31,104
Trading assets		44,181		28,518
Remaining assets		6,373		6,926
Total assets	€	85,370	€	66,685
Liabilities to credit institutions/customers	€	44,506	€	29,767
Trading liabilities		20,867		20,391
Provisions		673		837
Subordinated debt		20		20
Remaining liabilities		6,618		6,843
Shareholder's equity		12,686		8,827
Total liabilities and shareholder's equity	€	85,370	€	66,685

In the table above:

• Remaining assets include assets held in trust, intangible assets, fixed assets, other assets and deferred tax assets.
• Remaining liabilities include securitised liabilities, liabilities held in trust, other liabilities, deferred income, and the fund for general banking risks.
• Total cash deposits (on demand or overnight) with central banks were €15.06 billion as of December 2023 (December 2022: €12.44 billion) and is reported within cash reserve and receivables from credit institutions.
• Receivables from credit institutions/customers increased by €3.37 billion primarily due to central bank cash deposits (overnight) as well as an increase in intercompany reverse repurchase agreements.
• Trading assets increased by €15.66 billion and trading liabilities increased by €476 million primarily due to increased activity in bonds and other fixed-income securities as well as equity shares and other variable-yield securities.
• Liabilities to credit institutions/customers increased by €14.74 billion primarily due to an increase in repurchase agreements, intercompany borrowings, deposits and securities lending agreements.
• Shareholder's equity increased by €3.86 billion primarily reflecting an increase in the capital reserve of €3.26 billion and the bank's profit for the year ended December 2023 of €599 million.

As of December 2023, irrevocable lending commitments were €7.12 billion, an increase of €1.41 billion from December 2022, primarily reflecting an increase in the bank's lending business.

The liquidity management framework of the bank is designed to ensure sufficient liquidity is available at all times. The bank holds sufficient excess liquidity in the form of GCLA. Refer "Risk Report - Liquidity Risk Management" for more information about the bank's GCLA.

The bank had sufficient liquidity to meet its payment obligations at all times during the financial year. The bank is a wholly-owned subsidiary of GS Bank USA and an indirect, wholly-owned subsidiary of Group Inc. The shareholders' equity of Group Inc. was $117 billion as of both December 2023 and December 2022. GS Bank USA and Group Inc. make a comprehensive range of liquidity and financing alternatives available for the bank, which is designed to allow flexibility in refinancing.

Funding Sources

The bank's primary sources of funding are collateralised financings (included within liabilities to credit institutions/ customers and trading liabilities), unsecured borrowings (included within liabilities to credit institutions/customers and trading liabilities), deposits (included within liabilities to customers and securitised liabilities) and shareholder's equity.

The table below presents information about funding sources.

		As of December
€ in millions	2023		2022
Collateralised financings	€27,476	44%	€ 19,266	47%
Unsecured borrowings	10,323	17%	6,803	16%
Deposits	10,830	18%	6,767	16%
Shareholder's equity	12,686	21%	8,827	21%
Total	€61,315	100%	€41,663	100%

Collateralised Financings. The bank funds a significant amount of inventory on a secured basis, with GS Group affiliates as well as external counterparties.

The bank seeks to raise secured funding with a term appropriate for the liquidity of the assets that are being financed, and seeks longer maturities for secured funding collateralised by asset classes that may be harder to fund on a secured basis, especially during times of market stress.

Unsecured Borrowings. The bank has both intercompany and external unsecured borrowings.

Intercompany Unsecured Borrowings

Intercompany unsecured borrowings include borrowings and subordinated loans. The bank's unsecured intercompany borrowings are primarily from its immediate parent undertaking, GS Bank USA.

External Unsecured Borrowings

External unsecured borrowings include registered bonds and promissory notes, debt securities issued and overdrafts.

Deposits. The deposits provide the bank with a diversified source of funding and reduce its reliance on wholesale funding. The bank accepts deposits, including demand and time deposits and issues certificates of deposit. The depositors primarily include private wealth clients, institutional clients and transaction banking clients.

Shareholder's Equity. Shareholder's equity is a stable and perpetual source of funding. See Note 16 to the financial statements for further information.

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GOLDMAN SACHS BANK EUROPE SE

Management Report

Regulatory Capital

The bank is subject to the capital requirements prescribed in the amended E.U. Capital Requirements Directive (CRD) and E.U. Capital Requirements Regulation (CRR), which are largely based on the Basel Committee on Banking Supervision's (Basel Committee) capital framework for strengthening international capital standards. The Basel Committee is the primary global standard setter for prudential bank regulation and its member jurisdictions implement regulations based on its standards and guidelines.

The bank uses International Financial Reporting Standards (IFRS) as the basis of accounting, in accordance with Art. 24

1. of Regulation (EU) No 575/2013, as amended, while calculating its prudential capital requirements.

The risk-based capital requirements are expressed as capital ratios that compare measures of regulatory capital to risk- weighted assets (RWAs). The Common Equity Tier 1 (CET1) capital ratio is defined as CET1 capital divided by RWAs. The Tier 1 capital ratio is defined as Tier 1 capital divided by RWAs. The total capital ratio is defined as total capital divided by RWAs.

The CET1 capital, Tier 1 capital and Total capital ratio requirements (collectively, the Pillar 1 capital requirements) are supplemented by:

• A capital conservation buffer of 2.5% of RWAs, consisting entirely of capital that qualifies as CET1 capital.
• A countercyclical capital buffer of up to 2.5% of RWAs (and also consisting entirely of CET1 capital) in order to counteract excessive credit growth as assessed by the jurisdictions in which the bank operates. The buffer only applies to the bank's exposures to certain types of counterparties based in jurisdictions which have announced a countercyclical buffer. The buffer was 84 basis points (bps) as of December 2023. In 2023, countercyclical capital buffer increased by 55bps mainly driven by new or increased rates that came into force across a number of jurisdictions where the bank has exposures such as Germany, the Netherlands, France and the United Kingdom.
• The individual Pillar 2 capital requirement (P2R) (an additional amount to cover risks not adequately captured in Pillar 1). The ECB performs an annual Supervisory Review and Evaluation Process (SREP), which leads to a final determination by the ECB of the SREP capital add-on which consists of P2R and a Pillar 2 capital guidance (P2G). The bank's P2R capital add-on for 2023 was set at 3.0% of which 1.69% has to be held in CET1 capital. The bank's P2R capital add-on reduced by 25bps to 2.75% as of January 1, 2024.
• An additional capital requirement according to the degree of systemic importance of the bank (O-SII buffer). The CRD and CRR provide that institutions that are systemically important at the E.U. or member state level, known as other systemically important institutions (O- SIIs), may be subject to O-SII buffers. The bank's O-SII buffer increased from 25bps to 50bps on January 1, 2023

and from 50bps to 75bps on January 1, 2024.

8

Regulatory Risk-Based Capital Ratios

The table below presents information about the bank's risk- based capital requirements.

	As of December
	2023	2022
Risk-based capital requirements
CET1 capital	10.0%	9.2%
Tier 1 capital	12.1%	11.3%
Total capital ratio	14.8%	14.0%

In the table above:

• The bank's minimum risk-based capital requirements as of December 2023 increased compared with December 2022 due to an increase in the countercyclical capital buffer by 55bps and an increase in the O-SII buffer by 25bps.
• The minimum risk-based capital requirements incorporate the P2R set by the ECB and could change in the future.
• The minimum risk-based capital requirements do not include the P2G which represents the ECB's view of the capital that the bank would require to absorb losses in stressed market conditions.

The table below presents information about the bank's risk- based capital ratios.

		As of December
€ in millions		2023		2022
Risk-based capital and RWAs
CET1 capital	€	12,872	€	8,911
Tier 1 capital	€	12,872	€	8,911
Tier 2 capital	€	20	€	20
Total capital	€	12,892	€	8,931
RWAs	€	36,045	€	28,179
Risk-based capital ratios
CET1 capital		35.7%		31.6%
Tier 1 capital		35.7%		31.6%
Total capital ratio		35.8%		31.7%

In the table above:

• CET1 capital comprises the bank's shareholder's equity less certain regulatory adjustments and deductions.
• The risk-based capital ratios as of December 2023 included the bank's profits after foreseeable charges for the year ended December 2023, reflecting approval to be included as regulatory capital by the bank's shareholder on May 31, 2024. These profits contributed 113bps to the CET1 capital ratio.

On March 31, 2023, the ECB published the results of its asset quality review of the bank, following which, on March 8, 2024, the ECB issued a decision requiring the bank to temporarily deduct €131 million from its CET1 capital until certain findings were addressed. The deduction was implemented from the date of the decision, and would have reduced the CET1 capital ratio by 36bps as of December 2023.

GOLDMAN SACHS BANK EUROPE SE

Management Report

Leverage Ratio

The bank is subject to a minimum leverage ratio requirement of 3.0%. The leverage ratio compares Tier 1 capital to a measure of leverage exposure, defined as the sum of certain assets plus certain off-balance sheet exposures (which include a measure of derivatives, securities financing transactions, commitments and guarantees), less Tier 1 capital deductions.

The table below presents information about the bank's leverage ratio.

		As of December
€ in millions		2023		2022
Tier 1 capital	€	12,872	€	8,911
Leverage exposure	€	112,901	€	84,006
Leverage ratio		11.4%		10.6%

In the table above, the leverage ratio as of December 2023 included the bank's profits after foreseeable charges for the year ended December 2023, reflecting approval to be included as regulatory capital by the bank's shareholder on May 31, 2024. These profits contributed 63bps to the leverage ratio.

Minimum Requirement for Own Funds and Eligible Liabilities (MREL)

The CRR and the E.U. Bank Recovery and Resolution Directive (BRRD) are designed to, among other things, implement the Financial Stability Board's (FSB) minimum Total Loss Absorbing Capacity (TLAC) requirement for global systemically important banks (G-SIB). The CRR requires material subsidiaries of non-E.U.G-SIBs to meet internal TLAC (iTLAC) requirements equivalent to 90% of the external TLAC requirement applicable to E.U. G-SIBs. The bank satisfies this requirement through its total regulatory capital and MREL eligible debt from intercompany borrowings.

The table below presents information about the bank's iTLAC requirements.

	As of December
	2023	2022
iTLAC to RWAs	20.0%	19.2%
iTLAC to leverage exposure	6.1%	6.1%

The table below presents information about the bank's iTLAC ratios.

		As of December
€ in millions		2023		2022
iTLAC	€	13,692	€	9,731
RWAs	€	36,045	€	28,179
Leverage exposure	€	112,901	€	84,006
iTLAC to RWAs		38.0%		34.5%
iTLAC to leverage exposure		12.1%		11.6%

In the tables above:

• iTLAC comprises the bank's total regulatory capital and MREL eligible debt from intercompany borrowings.
• iTLAC to RWAs requirements are expressed including the combined buffer requirement (capital conservation buffer, countercyclical capital buffer and O-SII buffer).
• iTLAC ratios as of December 2023 included the bank's profits after foreseeable charges for the year ended December 2023, reflecting approval to be included as regulatory capital by the bank's shareholder on May 31, 2024. These profits contributed 107bps to the iTLAC to RWAs ratio and 63bps to the iTLAC to leverage exposure ratio.

The BRRD, as amended by BRRD II subjects institutions to a minimum requirement for own funds and eligible liabilities. The Single Resolution Board's (SRB) internal MREL (iMREL) requirements are applicable to the bank from January 1, 2024. The SRB has set this at 22% (excluding the combined buffer requirement), which is at a higher level than the iTLAC to RWAs requirement.

The SRB has also set an iMREL to leverage exposure requirement of 6% effective January 1, 2024. This is at a lower level than the iTLAC to leverage exposure requirement.

As of December 2023, the bank was in compliance with its forthcoming iMREL requirements. The minimum iMREL requirements are subject to change by the SRB annually.

Deposit Protection

The deposits of the bank are covered by the German statutory deposit compensation scheme to the extent provided by law. In addition, the bank has elected to participate in the German voluntary deposit protection scheme which provides further insurance for certain eligible deposits beyond the coverage of the German statutory deposit compensation scheme.

Minimum Reserves

The bank is subject to minimum reserve requirements at central banks in certain of the E.U. jurisdictions in which it operates under the harmonised minimum reserve requirements of the ECB. The combined minimum reserve requirement was €196 million for the reserve period including December 31, 2023 and €221 million for the reserve period including December 2022. The bank was in compliance with these requirements.

Swaps, Derivatives and Commodities Regulation The bank is a swap dealer registered with the Commodity Futures Trading Commission, and a security-based swap dealer registered with the U.S. Securities and Exchange Commissions. As of both December 2023 and December 2022, the bank was subject to and in compliance with applicable capital requirements for swap dealers and security-based swap dealers.

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