Goldman Sachs Finance Corp International Ltd – Financial Statements

GOLDMAN SACHS FINANCE CORP INTERNATIONAL LTD

ANNUAL REPORT FOR THE FINANCIAL YEAR ENDED DECEMBER 31, 2022

INDEX

GOLDMAN SACHS FINANCE CORP INTERNATIONAL LTD

Management Report

Introduction

Goldman Sachs Finance Corp International Ltd (the company) issues warrants, certificates and notes (debt securities) in a number of European and Asian markets. The company is exposed to interest rate, equity price, currency rate and credit- related risks on its debt securities issued and manages these risks by entering into over-the-counter (OTC) derivative transactions with affiliates. The company issues debt securities primarily to raise funding which is lent to affiliates.

The company'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 Federal Reserve System. In relation to the company, "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 debt securities issued by the company are fully and unconditionally guaranteed by Group Inc. The company's results prepared under United States Generally Accepted Accounting Principles (U.S. GAAP) are included in the consolidated financial statements of GS Group.

References to "the financial statements" are to the directors' report and audited financial statements as presented in Part II of this annual report. All references to December 2022 refer to the year ended, or the date, as the context requires, December 31, 2022. All references to December 2021 refer to the year ended, or the date, as the context requires, December 31, 2021.

Executive Overview

Income Statement

The income statement is set out on page 13 of this annual report. Net revenues, which include the net profit or loss from the company's issuance, hedging and lending activity, were a gain of $36 million for 2022, compared to a gain of $78 million for 2021. This represented a decrease of $42 million from 2021, primarily due to higher net losses on the company's issuance and hedging activity, partially offset by higher net gains on the company's lending activity.

Other Comprehensive Income

The statement of comprehensive income is set out on page 13 of this annual report. The company's other comprehensive income, which relates to the company's debt valuation adjustment (DVA), was a gain of $489 million for 2022, compared to a gain of $58 million for 2021.

Balance Sheet

The balance sheet is set out on page 14 of this annual report. As of December 2022, total assets were $34.72 billion, an increase of $18.12 billion from December 2021, mainly reflecting an increase in intercompany loans. As of December 2022, total liabilities were $34.01 billion, an increase of $17.59 billion from December 2021, mainly reflecting an increase in debt securities issued.

Future Outlook

The directors consider that the year-end financial position of the company was satisfactory and no significant change in the company's principal business activities is currently expected.

GOLDMAN SACHS FINANCE CORP INTERNATIONAL LTD

Management Report

Business Environment

In 2022, the global economy was impacted by persistent broad macroeconomic and geopolitical concerns, including Russia's invasion of Ukraine and the ongoing war, and inflationary and labour market pressures. Governments around the world responded to Russia's invasion of Ukraine by imposing economic sanctions, and global central banks sought to address inflation by increasing policy interest rates numerous times over the course of the year. These factors contributed to increased market volatility during the year, as well as a decrease in global equity prices and bond prices and wider corporate credit spreads compared with the end of 2021.

The economic outlook remains uncertain, reflecting concerns about the continuation or escalation of the war between Russia and Ukraine and other geopolitical risks, inflation, and supply chain complications.

Principal Risks and Uncertainties

The company faces a variety of risks that are substantial and inherent in its business.

The principal risks and uncertainties that the company faces are: market risk, liquidity risk, credit risk, operational risk, legal and regulatory risk and market development. For further information about the risk factors that impact GS Group, see GS Group's Annual Report on Form 10-K for the year ended December 31, 2022 in Part 1, Item 1A.

Economic and Market Conditions

The company is primarily involved in the issuance of debt securities in a number of markets and the proceeds from these debt securities are lent to affiliates. The company also enters into derivative transactions with affiliates for hedging purposes. The activity of the company and its annual issuance volume is affected both by positive and negative developments in the markets where it carries out its business activity. A difficult general economic situation may lead to a lower issuance volume. The market of these debt securities depends particularly on the development of capital markets, which are in tuaffected by the general situation of the world economy, as well as the economic and political conditions in the respective countries.

Commercial Activity

The company was established only for the purpose of issuing debt securities, lending these proceeds to affiliates and entering into derivative transactions with affiliates for hedging purposes, and does not carry out any other operating business activities.

The company is an indirect, wholly-owned subsidiary of Group Inc. and depends on Group Inc. for capital. All of the company's unsecured debt issuances are guaranteed by Group Inc. If the company fails or goes bankrupt, an investment in a security may mean a complete loss of the invested amount if the loss cannot be satisfied by the guarantee from Group Inc. The debt securities are not covered by a deposit protection fund or similar safety system in relation to the claims of holders of debt securities in the case of an insolvency of the company.

Liquidity

The credit ratings of Group Inc. are important to the company's liquidity. A reduction in Group Inc.'s credit ratings could adversely affect the company's liquidity and competitive position, increase borrowing costs or limit access to the capital markets. There is no rating of the company regarding its credit risk by renowned rating agencies, such as Moody's Investors Service or Standard & Poor's Ratings Services.

The company's liquidity could be impaired by an inability to access unsecured debt markets, an inability to access funds from Group Inc., or unforeseen outflows of cash.

Credit Markets

Widening credit spreads for Group Inc., as well as significant declines in the availability of credit, could adversely affect the company's ability to borrow on an unsecured basis. The company issues debt securities, the proceeds of which are onward lent to Group Inc. and/or GS Group affiliates. Any disruptions in the credit markets may make it harder and more expensive to obtain funding for GS Group's businesses.

Reliance on GS Group

The company is a wholly-owned subsidiary of Group Inc. As a wholly-owned subsidiary, the company relies on various business relationships of Group Inc. and other GS Group affiliates generally, including the ability to receive various services, as well as, in part, the capital and liquidity of the company's ultimate parent, Group Inc. The company remains an operating subsidiary of a larger organisation and therefore its interconnectedness within the organisation will continue. Because the company's business relies upon Group Inc. and other GS Group affiliates to a significant extent, risks that could affect these entities could also have a significant impact on the company.

Furthermore, the company relies upon certain GS Group affiliates for various support services, including, but not limited to, trade execution, relationship management, settlement and clearing, risk management and other technical, operational and administrative services.

GOLDMAN SACHS FINANCE CORP INTERNATIONAL LTD

Management Report

As a consequence of the foregoing, in the event the company's relationships with other GS Group affiliates are not maintained, for any reason, including as a result of possible strategic decisions that Group Inc. may make from time-to- time or as a result of material adverse changes in Group Inc.'s performance, the company's net revenues may decline, the cost of operating and funding its business may increase and the company's business, financial condition and profitability may be materially and adversely affected.

Changes in Underliers

Many of the products that the company issues, such as structured notes or warrants pay interest or determine the principal amount to be paid at maturity or in the event of default by reference to rates or by reference to an index, currency, basket, exchange traded fund (ETF) or other financial metric (the underlier). In the event that the composition of the underlier is significantly changed, by reference to rules governing such underlier or otherwise, the underlier ceases to exist (for example, in the event that a country withdraws from the Euro or links its currency to or delinks its currency from another currency or benchmark, an index or ETF sponsor materially alters the composition of an index or ETF, or stocks in a basket are delisted or become impermissible to be included in the index or ETF), the underlier ceases to be recognised as an acceptable market benchmark or there are legal or regulatory constraints on linking a financial instrument to the underlier, the company may experience adverse effects consistent with those described below for Interbank Offered Rates (IBORs).

IBOR Exposure Overview

Replacement of Interbank Offered Rates, including London Interbank Offered Rate (LIBOR)

On January 1, 2022, the publication of all EUR, CHF, JPY and GBP LIBOR (non-USD LIBOR) settings along with certain USD LIBOR settings ceased. The publication of the most commonly used USD LIBOR settings as representative rates will cease after June 2023. The Financial Conduct Authority (FCA) has allowed the publication and use of synthetic rates for certain GBP LIBOR settings in legacy GBP LIBOR-based derivative contracts through March 2024. The FCA has proposed to allow the publication and use of synthetic rates for certain USD LIBOR settings in legacy USD LIBOR-based derivative contracts through September 2024. The U.S. federal banking agencies' guidance strongly encourages banking organisations to cease using USD LIBOR.

The language in the company's contracts and financial instruments that define IBORs, in particular LIBOR, have developed over time and have various events that trigger when a successor rate to the designated rate would be selected. Once a trigger is satisfied, contracts and financial instruments often give the calculation agent (which may be the company) discretion over the successor rate or benchmark to be selected. As a result, for the most commonly used USD LIBOR settings, there continues to be considerable uncertainty as to how the financial services industry will address the discontinuance of designated rates in contracts and financial instruments or such designated rates ceasing to be acceptable reference rates. This uncertainty could ultimately result in disputes and litigation surrounding the proper interpretation of the company's IBOR- based contracts and financial instruments.

The International Swaps and Derivatives Association (ISDA) 2020 IBOR Fallbacks Protocol (IBOR Protocol) has provided derivatives market participants with amended fallbacks for legacy and new derivative contracts to mitigate legal or economic uncertainty. Both counterparties have to adhere to the IBOR Protocol or engage in bilateral amendments for the terms to be effective for derivative contracts. ISDA has confirmed that the FCA's formal announcement to cease both non-USD and USD LIBOR settings fixed the spread adjustment for all LIBOR rates and as a result fallbacks applied automatically for non-USD LIBOR settings following December 31, 2021 and will apply automatically for USD LIBOR settings following June 30, 2023. The Adjustable Interest Rate (LIBOR) Act, that was enacted in March 2022, provides a statutory framework to replace USD LIBOR with a benchmark rate based on the Secured Overnight Financing Rate (SOFR) for contracts governed by U.S. law that have no fallbacks or fallbacks that would require the use of a poll or LIBOR-based rate. In December 2022, the FRB adopted a final rule that implements the LIBOR Act, which became effective on February 27, 2023. The final rule identifies different SOFR- based replacement rates for derivative contracts, for cash instruments such as floating-rate notes and preferred stock, for consumer contracts and for certain government-sponsored enterprise contracts that lack a fallback to an alternative rate when USD LIBOR ceases to be published on June 30, 2023.

Further, the discontinuation of an IBOR, changes in an IBOR or changes in market acceptance of any IBOR as a reference rate may also adversely affect the amounts paid on debt securities the company has issued, amounts received and paid on derivative instruments the company has entered into, the value of such debt securities or derivative instruments, the trading market for debt securities, the company's ability to effectively use derivative instruments to manage risk and its exposure to fluctuations in interest rates.

GOLDMAN SACHS FINANCE CORP INTERNATIONAL LTD

Management Report

IBOR Exposure (Audited). GS Group, including the company, has facilitated an orderly transition from non-USD LIBORs to alternative risk-free reference rates and continues to make progress on its transition programme as it relates to

USD LIBOR.

The table below presents the company's exposure to interest rate benchmarks subject to reform.

In the table above:

• Non-USDIBOR derivative notionals excludes amounts for which fallbacks apply from January 1, 2022, or amounts for which all future cashflows have already been fixed, as the company has no ongoing IBOR exposure related to these transactions.
• USD-LIBORbased debt securities issued of $3.46 billion included approximately $3.33 billion of debt securities issued which will mature after June 2023 based on their contractual terms.
• USD-LIBORbased derivative contracts with notionals of $68.90 billion included approximately $64.08 billion of derivative contracts which will mature after June 2023 based on their contractual terms. All such derivative contracts are with a GS Group affiliate under bilateral agreements subject to the IBOR Protocol.
• In relation to outstanding debt securities linked to IBORs, the company expects to follow the fallback methodology described in the offering documentation and, as the documentation permits, follow global industry standard replacements. Notification of the applicable fallbacks has been made available to holders of these securities.

E.U. Regulation

The company lists debt instruments on certain E.U. trading venues and as a result the E.U. Transparency Directive and Delegated Regulation 2019/815 on European Single Electronic Format (ESEF Regulation) apply to the company.

Date of Authorisation of Issue

The management report was authorised for issue by the Board of Directors on April 21, 2023.

By order of the board

V. Sethi

Director

April 27, 2023

GOLDMAN SACHS FINANCE CORP INTERNATIONAL LTD

Directors' Report

The directors present their report and the audited financial statements for the year ended December 2022.

Dividends

The directors do not recommend the payment of an ordinary dividend for the year ended December 2022.

Disclosure of Information to Auditors

In the case of each of the persons who are directors of the company at the date when this report was approved:

• So far as each of the directors is aware, there is no relevant audit information of which the company's auditors are unaware; and
• Each of the directors has taken all the steps that they ought to have taken as a director to make themselves aware of any relevant audit information and to establish that the company's auditors are aware of that information.

Independent Auditors

PricewaterhouseCoopers LLP have indicated their willingness to continue in office as auditors of the company.

Statement of Directors' Responsibilities in Respect of the Financial Statements

The directors are responsible for preparing the management report, the directors' report and the financial statements in accordance with applicable law and regulations.

Companies (Jersey) Law 1991 requires the directors to prepare financial statements for each financial year. Under that law the directors have prepared the financial statements in accordance with International Financial Reporting Standards (IFRS) as adopted in the E.U.

Under company law, directors must not approve the financial statements unless they are satisfied that they give a true and fair view of the state of affairs of the company and of the profit or loss of the company for that period. In preparing the financial statements, the directors are required to:

• Select suitable accounting policies and then apply them consistently;
• State whether applicable IFRS as adopted in the E.U. have been followed, subject to any material departures disclosed and explained in the financial statements;
• Make judgements and estimates that are reasonable and prudent; and
• Prepare the financial statements on the going concebasis unless it is inappropriate to presume that the company will continue in business.

The directors confirm that they have complied with the above requirements in preparing the financial statements.

The directors are responsible for safeguarding the assets of the company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities.

The directors are also responsible for keeping adequate accounting records which disclose with reasonable accuracy at any time the financial position of the company and to enable them to ensure that the financial statements comply with the Companies (Jersey) Law 1991.

The directors are responsible for:

• The maintenance and integrity of the company's financial statements on the Goldman Sachs website. Legislation in Jersey governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.
• Presenting the financial statements in compliance with the requirements set out in the Delegated Regulation 2019/815 on European Single Electronic Format (ESEF Regulation).

GOLDMAN SACHS FINANCE CORP INTERNATIONAL LTD

Directors' Report

Directors' Confirmations

The directors confirm to the best of their knowledge:

• The financial statements, prepared in accordance with Companies (Jersey) Law 1991 and IFRS as adopted in the E.U., give a true and fair view of the assets, liabilities, financial position and profit or loss of the company; and
• The management report includes a fair review of the development and performance of the business and the position of the company, together with a description of the principal risks and uncertainties that the company faces.

Directors

The directors of the company who served throughout the year and to the date of this report, except where noted, were:

Name

A. Bajpayi

P. A. Benichou

E. M. Fletcher (appointed December 12, 2022)

K. G. Kochar (resigned June 30, 2022)

M. J. Lynam (appointed December 12, 2022)

S. A. R. McGrath (appointed December 12, 2022)

M. Mertz (resigned June 30, 2022)

V. Sethi (appointed September 1, 2022)

A. D'Souza (resigned May 30, 2022)

J. C. Van Der Spuy (appointed December 12, 2022)

No director had, at the year end, any interest requiring note herein.

Date of Authorisation of Issue

The financial statements were authorised for issue by the Board of Directors on April 21, 2023.

By order of the board

V. Sethi

Director

April 27, 2023

Independent auditors' report to the member of Goldman Sachs Finance Corp International Ltd

Report on the audit of the financial statements

Opinion

In our opinion, Goldman Sachs Finance Corp International Ltd's financial statements:

• give a true and fair view of the state of the company's affairs as at 31 December 2022 and of its profit and cash flows for the year then ended;
• have been properly prepared in accordance with International Financial Reporting Standards as adopted in the European Union; and
• have been prepared in accordance with the requirements of the Companies (Jersey) Law 1991

We have audited the financial statements, included within the Annual Report, which comprise: the balance sheet as at 31 December 2022; the income statement and the statement of comprehensive income, the statement of cash flows and the statement of changes in equity for the year then ended; and the notes to the financial statements, which include a description of the significant accounting policies.

Basis for opinion

We conducted our audit in accordance with International Standards on Auditing (UK) ("ISAs (UK)") and applicable law. Our responsibilities under ISAs (UK) are further described in the Auditors' responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Independence

We remained independent of the company in accordance with the ethical requirements that are relevant to our audit of the financial statements in the UK, which includes the Financial Reporting Council ("FRC")'s Ethical Standard, as applicable to listed public interest entities in accordance with the requirements of the Crown Dependencies' Audit Rules and Guidance for market-traded companies, and we have fulfilled our other ethical responsibilities in accordance with these requirements.

Our audit approach

Overview

Audit scope.

• We perform a full scope audit of the financial statements of the company as a whole as a single component. The scope of the audit and the nature, timing and extent of audit procedures were determined by our risk assessment, the financial significance of financial statement line items and qualitative factors (including history of misstatement through fraud or error). In particular, we looked at where the directors made subjective judgements, for example in respect of significant accounting estimates that involved making assumptions and considering future events that are inherently uncertain.

Key audit matters.

• Valuation of debt securities issued designated at fair value through profit and loss and the associated derivatives recorded at fair value.

Materiality.

• Overall materiality: $347.2 million (2021: $166.0 million) based on 1% of total assets.
• Performance materiality: $260.4 million (2021: $124.5 million).

The scope of our audit

As part of designing our audit, we determined materiality and assessed the risks of material misstatement in the financial statements.

Key audit matters

Key audit matters are those matters that, in the auditors' professional judgement, were of most significance in the audit of the financial statements of the current period and include the most significant assessed risks of material misstatement (whether or not due to fraud) identified by the auditors, including those which had the greatest effect on: the overall audit strategy; the allocation of resources in the audit; and directing the efforts of the engagement team. These matters, and any comments we make on the results of our procedures thereon, were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.

This is not a complete list of all risks identified by our audit. The key audit matter below is consistent with last year.

As at 31 December 2022, total derivative assets, derivative liabilities and debt securities issued and designated at FVTPL were $2,869 million, $4,794 million and $26,607 million, respectively. The debt valuation adjustment for the year was $489 million.

• We examined cash reconciliations, large gains and losses on disposals and other events which could provide evidence about the appropriateness of management's valuation.

Based on the work performed, we found management's estimates of the fair value of debt securities issued and derivative instruments to be supported by the evidence obtained.

In addition.

• We performed testing to validate that management had allocated financial instruments to the appropriate level within the fair value hierarchy in line with the established policy, and that the policy classifications were appropriate.
• We read and assessed the disclosures in Note 20 'Fair Value Measurement' regarding significant unobservable inputs and the fair value hierarchy and found them to be appropriate.