Third Quarter 2013 Regulatory Capital Disclosures

THE GOLDMAN SACHS GROUP, INC.

Regulatory Capital Disclosures

Introduction

The Goldman Sachs Group, Inc. (Group Inc.) is a leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments and high-net-worth individuals. When we use the terms "Goldman Sachs," "the firm," "we," "us" and "our," we mean Group Inc., a Delaware corporation, and its consolidated subsidiaries.

The Board of Governors of the Federal Reserve System (Federal Reserve Board) is the primary regulator of Group Inc., a bank holding company under the Bank Holding Company Act of 1956 (BHC Act) and a financial holding company under amendments to the BHC Act effected by the U.S. Gramm-Leach-Bliley Act of 1999. As a bank holding company, we are subject to consolidated risk-based regulatory capital requirements that are computed in accordance with the Federal Reserve Board's risk-based capital regulations (which are based on the Basel I Capital Accord of the Basel Committee) and also reflect the Federal Reserve Board's revised market risk regulatory capital requirements which became effective on January 1, 2013. The capital regulations also include requirements with respect to leverage. Our capital levels are also subject to qualitative judgments by our regulators about components, risk weightings and other factors.

The purpose of these disclosures is to provide information on our risk management practices and regulatory capital ratios, as required under the revised market risk regulatory capital requirements. These disclosures should be read in conjunction with our most recent Quarterly Report on Form 10-Q and our most recent Annual Report on Form 10-K. References to "Quarterly Report on Form 10-Q" are to our Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2013 and references to "Annual Report on Form 10-K" are to our Annual Report on Form 10-K for the year ended December 31, 2012. All references to September 2013 refer to our period ended, or the date, September 30, 2013, as the context requires.

Measures of exposures and other metrics disclosed in this report may not be based on U.S. generally accepted accounting principles (U.S. GAAP), may not be directly comparable to measures reported in our Quarterly Report on Form 10-Q or Annual Report on Form 10-K, and may not be comparable to similar measures used by other companies. These disclosures are not required to be, and have not been, audited by our independent auditors. The firm's historical filings with the SEC are located at: www.gs.com/shareholders.

As required under the Federal Reserve Board's regulations, the adequacy of our capital is primarily measured using risk-based capital ratios, which compare measures of capital to risk- weighted assets (RWAs), and a leverage ratio, a non-risk-based capital measure, which compares capital to average adjusted total assets. The risk weights that are used in the calculation of RWAs reflect an assessment of the riskiness of our assets and exposures. These risk weights are based on either predetermined levels set by regulators or on internal models which are subject to various qualitative and quantitative parameters. The revised market risk regulatory capital rules require that a bank holding company must obtain the prior written approval of its regulators before using any internal model to calculate its risk-based capital requirement1.

In evaluating our regulatory capital ratios, the following matters should be considered.

Fair Value. The inventory reflected on our condensed consolidated statements of financial condition as "financial instruments owned, at fair value" and "financial instruments sold, but not yet purchased, at fair value" and certain other financial assets and financial liabilities, are accounted for at fair value (i.e., marked-to-market), with related gains or losses generally recognized in our condensed consolidated statements of earnings and, therefore, in Tier 1 common capital and Tier 1 capital. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The use of fair value to measure financial instruments is fundamental to our risk management practices and is our most critical accounting policy. The daily discipline of marking substantially all of our inventory to current market levels is an effective tool for assessing and managing risk and provides transparent and realistic insight into our financial exposures. The use of fair value is an important aspect to consider when evaluating our capital base and our capital ratios; it is also a factor used to determine the classification of positions into the banking book and trading book, as discussed further below.

For additional information regarding the determination of fair value under U.S. GAAP and controls over valuation of inventory, see "Management's Discussion and Analysis of

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Financial Condition and Results of Operations - Critical Accounting Policies - Fair Value" in Part I, Item 2 of our Quarterly Report on Form 10-Q.

Banking Book / Trading Book Classification. In order to determine the appropriate regulatory capital treatment for our exposures, positions must be first classified into either "banking book" or "trading book." Positions are classified as banking book unless they qualify to be classified as trading book.

Banking book positions may be accounted for at amortized cost, fair value or under the equity method; they are not generally held "for the purpose of short-term resale or with the intent of benefiting from actual or expected short-term price movements or to lock in arbitrage profits2." Banking book positions are subject to credit risk capital requirements. Credit risk represents the potential for loss due to the default or deterioration in credit quality of a counterparty (e.g., an OTC derivatives counterparty or a borrower) or an issuer of securities or other instruments we hold. See "Risk-Weighted Assets - Credit RWAs" for additional details.

Trading book positions generally meet the following criteria: they are assets or liabilities that are accounted for at fair value; they are risk managed using a Value-at-Risk (VaR) internal model; and they are positions that we hold as part of our market-making businesses "for the purpose of short-term resale or with the intent of benefiting from actual or expected short-term price movements or to lock in arbitrage profits2." In accordance with the Federal Reserve Board's revised rules, trading book positions are generally considered "covered" positions and are subject to market risk regulatory capital requirements. Foreign exchange and commodity positions are considered covered positions, whether or not they meet the other criteria for classification as trading book positions. Market risk is the risk of loss in the value of our inventory due to changes in market prices. See "Risk-Weighted Assets - Market RWAs" for further details. Some trading book positions, such as derivatives, are also subject to counterparty credit risk capital requirements.

THE GOLDMAN SACHS GROUP, INC.

Regulatory Capital Disclosures

Consolidated Regulatory Capital Ratios

The table below presents information about our regulatory capital ratios and Tier 1 leverage ratio, as implemented by the Federal Reserve Board. The capital ratios are based on Basel I and also reflect the revised market risk regulatory capital requirements.

Table 1: Regulatory Capital Ratios

The revised market risk regulatory capital requirements became effective on January 1, 2013, replacing earlier capital requirements for trading book positions. These requirements introduced a revised methodology for determining RWAs for market risk and are designed to implement the new market risk framework of the Basel Committee, as well as to implement the prohibition on the use of external credit ratings, as required by the U.S. Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act).

The Tier 1 capital ratio is defined as Tier 1 capital divided by RWAs, and the Total capital ratio is defined as Total capital divided by RWAs. Federal Reserve Board regulations require bank holding companies to maintain a minimum Tier 1 capital ratio of 4% and a minimum Total capital ratio of 8%. The required minimum Tier 1 capital ratio and Total capital ratio in order to be considered a "well-capitalized" bank holding company under the Federal Reserve Board guidelines are 6% and 10%, respectively. Bank holding companies may be expected to maintain ratios well above the minimum levels, depending on their particular condition, risk profile and growth plans.

The Tier 1 common ratio is defined as Tier 1 common capital divided by RWAs. We believe that the Tier 1 common ratio is meaningful because it is one of the measures that we, our regulators and investors use to assess capital adequacy.

The Tier 1 leverage ratio is defined as Tier 1 capital divided by average adjusted total assets (which includes adjustments for goodwill and identifiable intangible assets, and the carrying value of equity investments in non-financial companies that are subject to deductions from Tier 1 capital). The minimum Tier 1 leverage ratio is currently 3% for bank holding companies that have received the highest supervisory rating under Federal Reserve Board guidelines or that have implemented the Federal Reserve Board's risk-based capital measure for market risk.

The U.S. federal bank regulatory agencies (Agencies) have approved revised capital regulations establishing a new comprehensive capital framework for U.S. banking organizations (2013 Capital Framework). These regulations are largely based on the Basel Committee's December 2010 final capital framework for strengthening international capital standards (Basel III). In addition, these regulations significantly revise the risk-based capital and leverage ratio requirements applicable to bank holding companies as compared to the current U.S. risk- based capital and leverage ratio rules and, thereby, implement certain provisions of the Dodd-Frank Act.

The revised market risk regulatory capital requirements referenced above are also a part of these rules and will ultimately be reflected in our 2013 Capital Framework ratios when they become effective. For additional information on the 2013 Capital Framework and other announced and proposed changes that will impact our regulatory capital ratios, regulatory leverage ratios and assessments of capital adequacy in the future, see "Regulatory Reform."

THE GOLDMAN SACHS GROUP, INC.

Regulatory Capital Disclosures

Regulatory Capital

For regulatory purposes, our Total capital base is divided into three main categories, namely Tier 1 common capital, Tier 1 capital and Tier 2 capital as follows:

• Tier 1 common capital is comprised of common shareholders' equity, after giving effect to deductions for disallowed items (for example, goodwill and intangible assets) and other adjustments;
• Tier 1 capital is comprised of Tier 1 common capital plus other qualifying capital instruments such as perpetual non- cumulative preferred stock and junior subordinated debt issued to trusts (a portion of the latter is being phased-out of Tier 1 capital, as required by the Dodd-Frank Act) and other adjustments; and
• Total capital is comprised of Tier 1 capital plus Tier 2 capital. Tier 2 capital includes qualifying subordinated debt, redesignated junior subordinated debt issued to trusts, allowance for loan and lease losses (limited to 1.25% of RWAs) and other adjustments.

Capital elements are subject to various regulatory limits and restrictions. In general, to qualify as an element of Tier 1 or Tier 2 capital, an instrument must be fully paid and effectively unsecured. Accordingly, if a bank holding company has purchased its own capital instrument, or has directly or indirectly funded the purchase thereof, that instrument generally is disqualified from inclusion in regulatory capital. A qualifying Tier 1 or Tier 2 capital instrument must also be subordinated to all senior indebtedness of the organization. Additionally, Tier 1 capital must represent at least 50% of qualifying Total capital.

Assets that are deducted from capital in computing the numerator of the capital ratios are excluded from the computation of RWAs in the denominator of the ratios.

The table below presents information on the components of our regulatory capital structure, which are based on Basel I, as implemented by the Federal Reserve Board, and also reflect the revised market risk regulatory capital requirements. In the table below:

• Equity investments in certain entities primarily represent a portion of our nonconsolidated equity investments.
• Disallowed deferred tax assets represent certain deferred tax assets that are excluded from regulatory capital based upon an assessment which, in addition to other factors, includes an estimate of future taxable income.

• Debt valuation adjustment represents the cumulative change in the fair value of our unsecured borrowings attributable to the impact of changes in our own credit spreads (net of tax at the applicable tax rate).
• Other adjustments within our Tier 1 common capital primarily includes the cumulative change in our pension and postretirement liabilities (net of tax at the applicable tax rate) and investments in certain nonconsolidated entities.
• Qualifying subordinated debt represents subordinated debt issued by Group Inc. with an original term to maturity of five years or greater. The outstanding amount of subordinated debt qualifying for Tier 2 capital is reduced, or discounted, upon reaching a remaining maturity of five years.

Table 2: Capital Structure

1. On January 1, 2013, we began to incorporate the Dodd-Frank Act's phase-out of regulatory capital treatment for junior subordinated debt issued to trusts by allowing for only 75% of these capital instruments to be included in Tier 1 capital and 25% to be designated as Tier 2 capital in the calculation of our current capital ratios. In July 2013, the Agencies finalized the phase-out provisions of these capital instruments. For further details on the finalized provisions see "Regulatory Reform" below and for additional information about the junior subordinated debt issued to trusts see Note 16. Long-Term Borrowings to the condensed consolidated financial statements in Part I, Item 1 of our Quarterly Report on Form 10-Q.

THE GOLDMAN SACHS GROUP, INC.

Regulatory Capital Disclosures

Risk-Weighted Assets

Overview

RWAs under the Federal Reserve Board's current risk-based capital requirements are calculated based on measures of credit risk and market risk. The table below presents information on the components of RWAs within our consolidated regulatory capital ratios, which are based on Basel I, as implemented by the Federal Reserve Board, and also reflect the revised market risk regulatory capital requirements.

Table 4: Risk-Weighted Assets

1. Principally includes certain commitments to extend credit and letters of credit.
2. Represents resale and repurchase agreements and securities borrowed and loaned transactions.
3. Principally includes receivables from customers, certain loans, other assets, and cash and cash equivalents.
4. Under the current regulatory capital framework, there is no explicit requirement for Operational risk.

The table below presents the changes in RWAs for the three months ended September 2013.

Table 5: Risk-Weighted Assets Rollforward

Credit RWAs decreased $4.56 billion compared with June 2013, primarily reflecting a decrease in securities financing exposure. Market RWAs decreased by $16.17 billion compared with June 2013, primarily reflecting a decrease in incremental risk related to positional changes.

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THE GOLDMAN SACHS GROUP, INC.

Regulatory Capital Disclosures

Credit RWAs

RWAs for credit risk reflect amounts for on-balance sheet and off-balance sheet exposures. Credit risk requirements for on- balance sheet assets, such as receivables and cash, are generally based on the balance sheet value. Credit risk requirements for securities financing transactions are determined based upon the positive net exposure for each trade, and include the effect of counterparty netting and collateral, as applicable. For off-balance sheet exposures, including commitments and guarantees, a credit equivalent amount is calculated based on the notional amount of each trade. Requirements for OTC derivatives are based on a combination of positive net exposure and a percentage of the notional amount of each trade, and include the effect of counterparty netting and collateral, as applicable. All such assets and exposures are then assigned a risk weight depending on, among other things, whether the counterparty is a sovereign, bank or a qualifying securities firm or other entity (or if collateral is held, depending on the nature of the collateral).

Market RWAs

As previously noted, our covered positions are subject to market risk capital requirements which are based on either predetermined levels set by regulators or on internal models, which are subject to various qualitative and quantitative parameters. The revised market risk regulatory capital rules require that a bank holding company must obtain the prior written approval of its regulators before using any internal model to calculate its risk-based capital requirement1.

RWAs for market risk are computed using the following internal models: Value-at-Risk (VaR), Stressed VaR (SVaR), Incremental risk and Comprehensive risk (which also includes a surcharge). In addition, the Specific risk measure is also used to compute RWAs for market risk, under the standardized measurement method, for certain securitized and non-securitized covered positions by applying risk-weighting factors predetermined by regulators, to positions after applicable netting is performed. As defined in the Federal Reserve Board regulations, RWAs for market risk are the sum of each of these measures multiplied by 12.5. An overview of each of these measures is provided below.

Regulatory VaR. VaR is the potential loss in value of inventory positions due to adverse market movements over a defined time horizon with a specified confidence level. We use a single VaR model for risk management (positions subject to VaR limits) and for regulatory capital purposes (covered positions). However, regulatory VaR will differ from risk management VaR, due to different time horizons and confidence levels (10-day and 99% for regulatory VaR vs. one-day and 95% for risk management VaR), as well as differences in the scope of positions on which VaR is calculated.

The VaR model captures risks including interest rates, equity prices, currency rates and commodity prices. As such, VaR facilitates comparison across portfolios of different risk characteristics. VaR also captures the diversification of aggregated risk at the firmwide level. Categories of market risk include the following:

• Interest rate risk: results from exposures to changes in the level, slope and curvature of yield curves, the volatilities of interest rates, mortgage prepayment speeds and credit spreads.
• Equity price risk: results from exposures to changes in prices and volatilities of individual equities, baskets of equities and equity indices.
• Currency rate risk: results from exposures to changes in spot prices, forward prices and volatilities of currency rates.
• Commodity price risk: results from exposures to changes in spot prices, forward prices and volatilities of commodities, such as electricity, natural gas, crude oil, petroleum products, and precious and base metals.

In accordance with the revised market risk regulatory capital requirements, we evaluate the accuracy of our VaR model through daily backtesting. The results of the backtesting determine the size of the VaR multiplier used to compute RWAs. See "Regulatory VaR Backtesting Results" for additional information.

THE GOLDMAN SACHS GROUP, INC.

Regulatory Capital Disclosures

The table below presents by risk category our period-end, high, low and mean of the average daily Regulatory VaR. Average, per the revised market risk regulatory capital requirements, is determined based on the average daily Regulatory VaR over the preceding 60 business days.

Table 6: Regulatory VaR

1. Regulatory VaR is subject to a regulatory multiplier that is set at a minimum of three (which is the multiplier used in this table) and can be increased up to four, depending upon the number of backtesting exceptions. See "Regulatory VaR Backtesting Results." This result is further multiplied by 12.5 to convert into RWAs.
2. Diversification effect in the table above represents the difference between total VaR and the sum of the VaRs for the four risk categories. This effect arises because the four market risk categories are not perfectly correlated.

Stressed VaR. SVaR is the potential loss in value of inventory positions during a period of significant market stress. SVaR is calculated at a 99% confidence level over a 10-day horizon using market data inputs from a continuous 12-month period of stress. We identify the stressed period by comparing VaR using market data inputs from different historical periods.

The table below presents our period-end, high, low and mean of the average weekly SVaR. Average, per the revised market risk regulatory capital requirements, is determined based on the average weekly amount for the preceding 12 weeks.

Table 7: Stressed VaR

1. SVaR is subject to the same regulatory multiplier used for Regulatory VaR and is further multiplied by 12.5 to convert into RWAs.

Incremental Risk. Incremental risk is the potential loss in value of non-securitized inventory positions due to the default or credit migration of issuers of financial instruments over a one-year time horizon. As required by the revised market risk regulatory capital rules this measure is calculated at a 99.9% confidence level over a one-year time horizon. It uses a multi- factor model assuming a constant level of risk. When assessing the risk, we take into account market and issuer- specific concentration, credit quality, liquidity horizons and correlation of default and migration risk. The liquidity horizon is calculated based upon the size of exposures and the speed at which we can reduce risk, by hedging or unwinding positions, given our experience during a historical stress period, and is subject to the prescribed regulatory minimum.

The table below presents our period-end, high, low and mean of the maximum of the average weekly Incremental risk measure or the point-in-time measure. Average, per the revised market risk regulatory capital requirements, is determined based on the average weekly amount over the preceding 12 weeks.

Table 8: Incremental Risk

1. In order to convert the results of Incremental risk into RWAs, it is multiplied by 12.5.

THE GOLDMAN SACHS GROUP, INC.

Regulatory Capital Disclosures

Comprehensive Risk. Comprehensive risk is the potential loss in value, due to price risk and defaults, within the firm's credit correlation positions. A credit correlation position is defined as a securitization position for which all or substantially all of the value of the underlying exposures is based on the credit quality of a single company for which a two-way market exists, or indices based on such exposures for which a two-way market exists, or hedges of these positions (which are typically not securitization positions).

As required by the revised market risk regulatory capital requirements, Comprehensive risk comprises a model-based measure and a surcharge based on the standardized measurement method. The modeled measure is calculated at a 99.9% confidence level over a one-year time horizon applying a constant level of risk. The model comprehensively covers price risks including nonlinear price effects and takes into account contractual structure of cash flows, the effect of multiple defaults, credit spread risk, volatility of implied correlation, recovery rate volatility and basis risk. The liquidity horizon is based upon our experience during a historical stress period, subject to the prescribed regulatory minimum.

The surcharge is 8% of the standardized specific risk add-on. For detail on the calculation of the add-on for securitization positions, see "Specific Risk - Securitization Positions" below, and for detail on the calculation of the add-on for hedges see "Specific Risk - Other Specific Risk" below.

As of September 2013, we had credit correlation positions, subject to the Comprehensive risk measure, with a fair value of $520 million in net assets and $575 million in net liabilities.

The following table presents our period-end, high, low and mean of the maximum of the average weekly Comprehensive risk measure or the point-in-time measure, inclusive of both modeled and non-modeled components. Average, per the revised market risk regulatory capital requirements, is determined based on the average weekly amount for the preceding 12 weeks.

Table 9: Comprehensive Risk

1. In order to convert the Comprehensive risk measure into RWAs, it is multiplied by 12.5.
2. These results include a surcharge of $1.05 billion on credit correlation positions.

Model Review and Validation

The models discussed above, which are used to determine Regulatory VaR, SVaR, Incremental risk and Comprehensive risk, are subject to review and validation at least annually by our independent model validation group, which consists of quantitative professionals who are separate from model developers. This review includes:

• a critical evaluation of the model, its theoretical soundness and adequacy for intended use;
• verification of the testing strategy utilized by the model developers to ensure that the model functions as intended; and
• verification of the suitability of the calculation techniques incorporated in the model.

Our models are regularly reviewed and enhanced in order to incorporate changes in the composition of covered positions, as well as variations in market conditions. Prior to implementing significant changes to our assumptions and/or models, we perform model validation and test runs. Additionally, we evaluate the accuracy of our Regulatory VaR model through daily backtesting. See "Regulatory VaR Backtesting Results" for further detail.