Goldman Sachs : Bank Europe SE - 2023 IFRS Financial Information (English)

Financial Information

December 31, 2023

Goldman Sachs Bank Europe SE

GOLDMAN SACHS BANK EUROPE SE

FINANCIAL INFORMATION FOR THE YEAR ENDED DECEMBER 31, 2023

INDEX

		Page No.
Introduction	2
Income Statement	3
Statement of Comprehensive Income	3
Balance Sheet	4
Statement of Changes in Equity	5
Note 1	Basis of Preparation	6
Note 2	Material Accounting Policies	6
Note 3	Net Revenues	13
Note 4	Net Operating Expenses	13
Note 5	Collateralised Agreements	14
Note 6	Trading Assets and Liabilities	14
Note 7	Other Assets	14
Note 8	Collateralised Financings	14
Note 9	Deposits	14
Note 10	Unsecured Borrowings	15
Note 11	Other Liabilities	15
Note 12	Share Capital	15
Note 13	Financial Instruments	15
Independent auditor's report	18

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GOLDMAN SACHS BANK EUROPE SE

FINANCIAL INFORMATION FOR THE YEAR ENDED DECEMBER 31, 2023

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 non-statutory financial information of the bank has been prepared for the limited purpose of supporting regulatory filings.

The bank's Annual Financial Statements and Management report for the year ended December 31, 2023 prepared in accordance with the requirements of the German Commercial Code in English and German can be found at www.goldmansachs.com/investor-relations/financials/ subsidiary-financial-info/gsbe/index.html.

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.

During the year, the bank agreed to transfer a 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 3 for further information.

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.

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GOLDMAN SACHS BANK EUROPE SE

Income Statement

€ in millions	Note	Year Ended December
	2023	2022
Gains or losses from financial instruments at fair value through profit or loss		€	1,054	€ 928
Fees and commissions			894	1,054
Other income			20	-
Non-interest income			1,968	1,982
Interest income from financial instruments measured at fair value through profit or loss			1,825	739
Interest income from financial instruments measured at amortised cost			1,498	406
Interest expense from financial instruments measured at fair value through profit or loss			(2,185)	(951)
Interest expense from financial instruments measured at amortised cost			(953)	(228)
Net interest income/(expense)			185	(34)
Net revenues	3		2,153	1,948
Impairments on financial instruments			(2)	(32)
Net operating expenses	4		(1,175)	(1,226)
Profit before taxation			976	690
Income tax expense			(276)	(237)
Profit for the financial year			€ 700	€ 453
Net revenues and profit before taxation of the bank are derived from continuing operations in the current and prior period.

Statement of Comprehensive Income

	Year Ended December
€ in millions	2023	2022
Profit for the financial year	€ 700	€ 453
Other comprehensive income
Items that will not be reclassified subsequently to profit or loss
Actuarial gain/(loss) relating to the pension scheme	(6)	48
Debt valuation adjustment	-	(1)
Deferred tax attributable to the components of other comprehensive income	2	(15)
Other comprehensive income/(loss) for the financial year, net of tax	(4)	32
Total comprehensive income for the financial year	€ 696	€ 485

The accompanying notes are an integral part of this financial information.

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GOLDMAN SACHS BANK EUROPE SE

Balance Sheet

		As of December
€ in millions	Note	2023	2022
Assets
Cash and cash equivalents		€ 15,478	€ 12,642
Collateralised agreements	5	15,491	12,985
Customer and other receivables		20,195	22,378
Trading assets (includes €10.08 billion and €2.84 billion pledged as collateral)	6	237,997	190,132
Loans		1,162	1,210
Other assets	7	807	756
Total assets		€291,130	€240,103
Liabilities
Collateralised financings	8	€ 15,198	€ 7,830
Customer and other payables		14,432	18,731
Trading liabilities	6	226,282	190,180
Deposits	9	11,149	6,764
Unsecured borrowings	10	10,015	6,506
Other liabilities	11	1,070	1,064
Total liabilities		278,146	231,075
Shareholder's equity
Share capital	12	329	329
Share premium account		26	26
Other equity instruments		10,576	7,316
Retained earnings		2,051	1,351
Accumulated other comprehensive income		2	6
Total shareholder's equity		12,984	9,028
Total liabilities and shareholder's equity		€291,130	€240,103

The accompanying notes are an integral part of this financial information.

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GOLDMAN SACHS BANK EUROPE SE

Statement of Changes in Equity

		Year Ended December
€ in millions	Note	2023	2022
Share capital
Beginning balance		€ 329	€ 329
Ending balance	12	329	329
Share premium account
Beginning balance		26	26
Ending balance		26	26
Other equity instruments
Beginning balance		7,316	4,586
Capital contributions		3,260	2,730
Ending balance		10,576	7,316
Retained earnings
Beginning balance		1,351	898
Profit for the financial year		700	453
Share-based payments		73	188
Management recharge related to share-based payments		(73)	(188)
Ending balance		2,051	1,351
Accumulated other comprehensive income
Beginning balance		6	(26)
Other comprehensive income		(4)	32
Ending balance		2	6
Total shareholder's equity		€12,984	€9,028

The accompanying notes are an integral part of this financial information.

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GOLDMAN SACHS BANK EUROPE SE

Notes to the Financial Information

Note 1.

Basis of Preparation

The non-statutory financial information of the bank has been prepared for the limited purpose of supporting regulatory filings and comprises the primary statements (excluding a Statement of Cash Flows) and certain explanatory notes to support the primary statements.

The non-statutory financial information has been prepared on the going concern basis, under the historical cost convention (modified as explained in "Pension Arrangements" and "Financial Assets and Liabilities" below) and in line with the recognition and measurement requirements of EU-adopted International Financial Reporting Standards ("EU-IFRS").

The accounting policies applied in respect of measurement and recognition are set out in Note 2. The primary statements are presented in accordance with the formats permitted by IAS 1 'Presentation of Financial Statements'.

Note 2.

Material Accounting Policies

New Standards, Amendments and Interpretations

Amendments to IAS 1 'Presentation of Financial Statements' (IAS 1). The bank has applied the following amendments:

• Disclosure of Accounting Policies (Amendments to IAS 1 'Presentation of Financial Statements' and to IFRS Practice Statement 2 'Making Materiality Judgements'). This amendment requires the disclosure of material accounting policies, replacing the requirement to disclose significant accounting policies. This amendment had limited impact on the bank's disclosures of accounting policies, but did not have any impact on the amounts recognised in the financial statements.

Accounting Policies

Revenue Recognition. Net revenues include the net profit arising from transactions, with both third parties and affiliates, in derivatives, securities and other financial instruments and fees and commissions. This is inclusive of associated interest and dividends.

Financial Assets and Liabilities Measured at Fair Value Through Profit or Loss

Financial assets and liabilities measured at fair value through profit or loss are recognised at fair value with realised and unrealised gains and losses, as well as associated interest and dividend income and expenses included in net revenues, with the exception of changes in the fair value of financial liabilities designated at fair value through profit or loss attributable to own credit spreads (debt valuation adjustment or DVA), which is recognised in other comprehensive income, unless this would create or enlarge an accounting mismatch in profit or loss. Financial assets are marked to bid prices and financial liabilities are marked to offer prices. Fair value measurements do not include transaction costs. The bank measures certain financial assets and liabilities as a portfolio (i.e., based on its net exposure to market and/or credit risks).

Unrealised gains and losses related to the change in fair value of financial assets and liabilities measured at fair value through profit or loss are recognised from trade date in net revenues or other comprehensive income in the case of DVA.

Contractual interest is included in interest income and expense for all instruments other than hybrid financial instruments at fair value through profit or loss, for which contractual interest is included in gains and losses from financial instruments measured at fair value through profit or loss.

Revenue from Contracts with Clients

Revenues earned from contracts with clients for services, such as investment banking, investment management, and execution and clearing (contracts with clients) are recognised when the performance obligations related to the underlying transaction are completed.

Where the bank recognises revenues in its capacity as principal to a transaction and incurs expenses to satisfy some or all of its performance obligations under these transactions, it is required by IFRS 15 'Revenue from Contracts with Customers' (IFRS 15) to report these revenues gross of the associated expenses. Such revenue is included in net revenues and such expenses are included in transaction based and other expenses (known hereafter as "IFRS 15 expenses").

The bank is principal to the transaction if it has the primary obligation to provide the service to the customer. The bank satisfies the performance obligation by itself, or by engaging other GS Group affiliates to satisfy some or all of its performance obligations on its behalf.

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GOLDMAN SACHS BANK EUROPE SE

Notes to the Financial Information

Net revenues are recognised as follows:

• Financial Advisory and Underwriting
  Fees from financial advisory and underwriting engagements are recognised in profit and loss when the services related to the underlying transactions are completed under the terms of the engagement.
• Execution and Client Clearing Transactions
  Revenue from commissions and fees from executing and clearing client transactions on stock, options and futures markets, as well as OTC transactions is recognised in net revenues on the day the trade is executed.

Short-TermEmployee Benefits. Short-term employee benefits, such as wages and salaries, are measured on an undiscounted basis and accrued as an expense over the period in which the employee renders the service to the bank. Provision is made for discretionary year-end compensation whether to be paid in cash or share-based awards where, as a result of bank policy and past practice, a constructive obligation exists at the balance sheet date.

Share-BasedPayments. Group Inc. issues awards in the form of restricted stock units (RSUs) to the bank's employees in exchange for employee services. Group Inc. generally issues new shares of common stock upon delivery of share-based awards and awards are therefore classified as equity settled. As a result the cost of share-based transactions with employees is measured based on the grant- date fair value of the award. The bank recognises the grant- date fair value of the award in compensation and benefits in the income statement, with a corresponding credit directly to equity. For share-based awards that do not require future service (i.e., vested awards, which include awards granted to retirement eligible employees), the grant-date fair value is expensed immediately. For share-based awards that require future service, the grant-date fair value is recognised over the relevant service period. Expected forfeitures are included in determining the amount of awards expected to vest and thus the share-based employee compensation expense. Cash dividend equivalents, unless prohibited by regulation, are generally paid on outstanding RSUs.

The bank has also entered into a chargeback agreement with Group Inc. under which it is committed to pay to Group Inc., at the delivery date of the shares, an amount in cash equal to

1. the grant-date fair value of those awards and (b) subsequent movements in the fair value of those awards between the grant-date and ultimate delivery to employees (subsequent to the vesting date). The bank accounts (a) by recognising a payable to Group Inc. in other liabilities based on the grant-date fair value of the award, with a corresponding debit directly to equity and for (b) by recognising the subsequent movement in the fair value of awards between the grant-date and ultimate delivery to employees in compensation and benefits in the income statement, with a corresponding increase or decrease in other liabilities. As a result, the share-based payment transaction and chargeback agreement, in aggregate, gives rise to a total charge to the income statement based on the grant-date fair value of the awards adjusted for subsequent movements in the fair value of those awards up to delivery.

Current and Deferred Taxation. Current tax is calculated on the basis of the tax laws enacted or substantively enacted at the balance sheet date in the countries where the bank operates and generates taxable income.

Deferred tax is recognised in respect of all temporary differences that have originated, but not reversed at the balance sheet date, where transactions or events have occurred at that date that will result in an obligation to pay more tax or a right to pay less tax in the future with the following exceptions:

• Deferred tax assets are recognised only to the extent that it is more likely than not that there will be suitable taxable profits from which the future reversal of the underlying temporary differences can be deducted.
• Deferred tax is measured on an undiscounted basis at the tax rates that are expected to apply in the periods in which temporary differences reverse, based on tax rates and laws enacted or substantively enacted at the balance sheet date.

Current tax and deferred tax is generally recognised in the income statement or directly in other comprehensive income according to where the associated gain or loss was recognised.

Cash and Cash Equivalents. This includes cash at bank and highly liquid overnight deposits held in the ordinary course of business.

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GOLDMAN SACHS BANK EUROPE SE

Notes to the Financial Information

Foreign Currencies. The bank's financial statements are presented in Euro, which is also the bank's functional currency.

Transactions denominated in foreign currencies are translated into Euro at rates of exchange ruling on the date the transaction occurred. Monetary assets and liabilities, and non-monetary assets and liabilities measured at fair value, denominated in foreign currencies are translated into Euro at rates of exchange ruling at the balance sheet date. Non- monetary assets and liabilities measured at cost are translated into Euro at rates of exchange ruling at the date the transactions occurred. Foreign exchange gains and losses are recognised in profit before taxation.

Financial Assets and Liabilities.

Recognition and Derecognition

Financial assets and liabilities, other than cash instruments purchased or sold in regular way transactions, are recognised when the bank becomes party to the contractual provisions of the instrument. Financial assets are derecognised when the contractual rights to the cash flows from the financial asset expire or if the bank transfers the financial asset and the transfer qualifies for derecognition. A transferred financial asset qualifies for derecognition if the bank transfers substantially all the risks and rewards of ownership of the financial asset or if the bank neither transfers nor retains substantially all the risks and rewards of ownership of the financial asset but does not retain control. Financial liabilities are derecognised only when they are extinguished, i.e., when the obligation specified in the contract is discharged or cancelled or expires.

Cash instruments purchased or sold in regular way transactions are recognised and derecognised using settlement date accounting.

Classification and Measurement: Financial Assets The bank classifies financial assets as subsequently measured at amortised cost or fair value through profit or loss on the basis of both the bank's business model for managing financial assets and the contractual cash flow characteristics of the financial assets. The business model reflects how the bank manages particular groups of assets in order to generate future cash flows. Where the bank's business model is to hold the assets to collect contractual cash flows, the bank subsequently assesses whether the financial assets' cash flows represent solely payments of principal and interest. Financial assets with embedded derivatives (hybrid instruments) are also subject to the same assessment.

Financial assets measured at amortised cost. Financial assets that are held for the collection of contractual cash flows and have cash flows that represent solely payments of principal and interest are measured at amortised cost. The bank considers whether the cash flows represent basic lending arrangements, and where contractual terms introduce exposure to risk or volatility inconsistent with a basic lending arrangement, the financial asset is mandatorily measured at fair value through profit or loss (see below). Financial assets measured at amortised cost are initially measured at fair value plus transaction costs and subsequently at amortised cost using the effective interest method. The effective interest method is a method of calculating the amortised cost of a financial instrument and allocating the interest income over the relevant period. The effective interest rate is the rate that exactly discounts estimated future cash receipts through the expected life of the financial asset or, when appropriate, a shorter period to the net carrying amount of the financial asset. When calculating the effective interest rate, the bank estimates cash flows considering all contractual terms of the financial asset but does not consider future credit losses. Finance revenue is recorded in net revenues. Financial assets measured at amortised cost include:

• • Cash and cash equivalents;
  • Certain collateralised agreements, which consist of substantially all securities borrowed and certain resale agreements;
  • Substantially all customer and other receivables;
  • Substantially all loans and investments; and
  • Certain other assets, which consists of certain intercompany loans and certain miscellaneous receivables and other.
• Financial assets mandatorily measured at fair value through profit or loss. Financial assets that are not held for the collection of contractual cash flows or do not have cash flows that represent solely payments of principal and interest are mandatorily measured at fair value through profit or loss. Financial assets mandatorily measured at fair value are initially measured at fair value with transaction costs expensed in the income statement. Such financial assets are subsequently measured at fair value with gains or losses recognised in gains or losses from financial instruments at fair value through profit or loss. Financial assets mandatorily measured at fair value include:
• • Certain collateralised agreements, which consists of substantially all resale agreements and certain securities borrowed;
  • Trading assets, which consists of trading cash instruments and derivative instruments;
  • Certain customer and other receivables; and
  • Certain loans and investments that are not recognised at amortised cost.

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GOLDMAN SACHS BANK EUROPE SE

Notes to the Financial Information

Classification and Measurement: Financial Liabilities

The bank classifies its financial liabilities into the below categories based on the purpose for which they were acquired or originated.

• Financial liabilities held for trading. Financial liabilities held for trading are initially measured at fair value and subsequently at fair value through profit or loss, with gains or losses recognised in gains or losses from financial instruments at fair value through profit or loss. Financial liabilities held for trading include trading liabilities, which consists of:
• • Trading cash instruments; and
  • Derivative instruments.
• Financial liabilities designated at fair value through profit or loss. The bank designates certain financial liabilities at fair value through profit or loss. Financial liabilities designated at fair value through profit or loss are initially measured at fair value and subsequently at fair value through profit or loss, with DVA being recognised in other comprehensive income, if it does not create or enlarge an accounting mismatch, and the remaining changes in the fair value being recognised in net revenues. Amounts recognised in other comprehensive income attributable to own credit spreads are not subsequently transferred to the income statement, even upon derecognition of the financial liability. Gains or losses exclude contractual interest, which is included in interest income and interest expense, for all instruments other than hybrid financial instruments. The primary reasons for designating such financial liabilities at fair value through profit or loss are:
• • To eliminate or significantly reduce a measurement or recognition inconsistency that would otherwise arise from measuring assets or liabilities or recognising the gains and losses on them on different bases; and
  • The group of financial liabilities, or financial assets and liabilities, is managed and its performance evaluated on a fair value basis.

Financial liabilities designated at fair value through profit or loss include:

• Substantially all repurchase agreements;
• Certain deposits;
• Certain unsecured borrowings, which consists of certain intercompany loans and debt securities issued; and
• Certain other liabilities.

Financial liabilities measured at amortised cost. Financial liabilities measured at amortised cost are initially measured at fair value plus transaction costs and subsequently measured at amortised cost using the effective interest method. See "Financial assets measured at amortised cost" above for further information on the effective interest method. Finance costs, including discounts allowed on issue, are recorded in net interest income and interest expense. Financial liabilities measured at amortised cost include:

• Substantially all securities loaned;
• Customer and other payables;
• Substantially all deposits that have not been designated at fair value through profit or loss;
• Certain unsecured borrowings that have not been designated at fair value through profit or loss; and
• Substantially all other liabilities, which primarily consists of compensation and benefits and accrued expenses and other.

Impairment

The bank assesses the expected credit losses (ECL) associated with financial assets measured at amortised cost on a forward-looking basis in accordance with the provisions of IFRS 9 'Financial Instruments' (IFRS 9). The measurement of expected credit losses reflects an unbiased and probability weighted amount that is determined by evaluating a range of possible outcomes, the time value of money, and reasonable and supportable information that is available without undue cost or effort at the reporting date about past events, current conditions and forecasts of future economic conditions. Expected credit losses are recorded in impairments on financial instruments. The bank's impairment model is based on changes in credit quality since initial recognition of the financial assets measured at amortised cost and incorporates the following three stages:

• Stage 1. Financial assets measured at amortised cost that are not credit-impaired on initial recognition and there has been no significant increase in credit risk since initial recognition. The ECL is measured at an amount equal to the expected credit losses that result from default events possible within the next twelve months.
• Stage 2. Financial assets measured at amortised cost where there has been a significant increase in credit risk since initial recognition, however not yet deemed to be credit-impaired. The ECL is measured based on expected credit losses on a lifetime basis.
• Stage 3. Financial assets measured at amortised cost that are in default, or are defined as credit-impaired. The ECL is measured based on expected credit losses on a lifetime basis.

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