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QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
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For the quarterly period ended |
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or |
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
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For the transition period from |
to |
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(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) | |
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(Address of principal executive offices) |
(Zip Code) |
Title of each class |
Trading Symbol |
Exchange on which registered | ||
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Non-Cumulative Preferred Stock, Series A |
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Non-Cumulative Preferred Stock, Series C |
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Non-Cumulative Preferred Stock, Series D |
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Fixed-to-Floating Rate Non-Cumulative Preferred Stock, Series J |
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Fixed-to-Floating Rate Non-Cumulative Preferred Stock, Series K |
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Non-Cumulative Preferred Stock, Series N |
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5.793% Fixed-to-Floating Rate |
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Floating Rate |
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☒ |
Accelerated filer ☐ |
Non-accelerated filer ☐ |
Smaller reporting company |
Emerging growth company |
Form 10-Q Item Number |
Page No. | |||
PART I |
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Page No. | ||||
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Item 2 |
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Item 3 |
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146 | |||
Item 4 |
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146 | |||
PART II |
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146 | |||
Item 1 |
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146 | |||
Item 2 |
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146 | |||
Item 5 |
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146 | ||||
Item 6 |
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147 | |||
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147 |
Goldman Sachs September 2019 Form 10-Q |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||
in millions, except per share amounts |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Revenues |
||||||||||||||||||
Investment banking |
$ |
$ |
$ |
$ |
||||||||||||||
Investment management |
||||||||||||||||||
Commissions and fees |
||||||||||||||||||
Market making |
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Other principal transactions |
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Total non-interest revenues |
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Interest income |
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Interest expense |
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Net interest income |
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Total net revenues |
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Provision for credit losses |
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Operating expenses |
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Compensation and benefits |
||||||||||||||||||
Brokerage, clearing, exchange and distribution fees |
||||||||||||||||||
Market development |
||||||||||||||||||
Communications and technology |
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Depreciation and amortization |
||||||||||||||||||
Occupancy |
||||||||||||||||||
Professional fees |
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Other expenses |
||||||||||||||||||
Total operating expenses |
||||||||||||||||||
Pre-tax earnings |
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Provision for taxes |
||||||||||||||||||
Net earnings |
||||||||||||||||||
Preferred stock dividends |
||||||||||||||||||
Net earnings applicable to common shareholders |
$ |
$ |
$ |
$ |
||||||||||||||
Earnings per common share |
||||||||||||||||||
Basic |
$ |
$ |
$ |
$ |
||||||||||||||
Diluted |
$ |
$ |
$ |
$ |
||||||||||||||
Average common shares |
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Basic |
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Diluted |
Three Months Ended September |
|
Nine Months Ended September |
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$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Net earnings |
$ |
|
$ |
|
$ |
|||||||||||||
Other comprehensive income/(loss) adjustments, net of tax: |
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Currency translation |
( |
) |
( |
) | |
( |
) | |||||||||||
Debt valuation adjustment |
|
( |
) | ( |
) |
|
||||||||||||
Pension and postretirement liabilities |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Available-for-sale securities |
|
( |
) | |
( |
) | ||||||||||||
Other comprehensive income/(loss) |
|
( |
) | ( |
) |
|
||||||||||||
Comprehensive income |
$ |
$ |
$ |
$ |
1 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Assets |
||||||||
Cash and cash equivalents |
$ |
$ |
||||||
Collateralized agreements: |
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Securities purchased under agreements to resell (includes $ |
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Securities borrowed (includes $ |
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Receivables: |
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Loans receivable |
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Customer and other receivables (includes $ |
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||||||
Financial instruments owned (at fair value and includes $ |
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||||||
Other assets |
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||||||
Total assets |
$ |
$ |
||||||
Liabilities and shareholders’ equity |
||||||||
Deposits (includes $ |
$ |
$ |
||||||
Collateralized financings: |
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Securities sold under agreements to repurchase (at fair value) |
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Securities loaned (includes $ |
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Other secured financings (includes $ |
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Customer and other payables |
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Financial instruments sold, but not yet purchased (at fair value) |
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Unsecured short-term borrowings (includes $ |
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Unsecured long-term borrowings (includes $ |
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Other liabilities (includes $ |
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Total liabilities |
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Commitments, contingencies and guarantees |
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Shareholders’ equity |
||||||||
Preferred stock; aggregate liquidation preference of $ |
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Common stock; |
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||||||
Share-based awards |
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Nonvoting common stock; no shares issued and outstanding |
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Additional paid-in capital |
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Retained earnings |
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Accumulated other comprehensive income/(loss) |
( |
) |
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|||||
Stock held in treasury, at cost; |
( |
) |
( |
) | ||||
Total shareholders’ equity |
|
|
||||||
Total liabilities and shareholders’ equity |
$ |
$ |
Goldman Sachs September 2019 Form 10-Q |
2 |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Preferred stock |
||||||||||||||||||
Beginning balance |
$ |
$ |
$ |
$ |
||||||||||||||
Issued |
– |
– |
|
– |
||||||||||||||
Redeemed |
– |
– |
( |
) |
( |
) | ||||||||||||
Ending balance |
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||||||||||||||
Common stock |
||||||||||||||||||
Beginning balance |
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||||||||||||||
Ending balance |
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||||||||||||||
Share-based awards |
||||||||||||||||||
Beginning balance |
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|
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|
||||||||||||||
Issuance and amortization of share-based awards |
|
|
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|
||||||||||||||
Delivery of common stock underlying share-based awards |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Forfeiture of share-based awards |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Exercise of share-based awards |
– |
( |
) | – |
( |
) | ||||||||||||
Ending balance |
|
|
|
|
||||||||||||||
Additional paid-in capital |
||||||||||||||||||
Beginning balance |
|
|
|
|
||||||||||||||
Delivery of common stock underlying share-based awards |
|
|
|
|
||||||||||||||
Cancellation of share-based awards in satisfaction of withholding tax requirements |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Preferred stock issuance costs, net of reversals upon redemption |
– |
– |
|
|
||||||||||||||
Ending balance |
|
|
|
|
||||||||||||||
Retained earnings |
||||||||||||||||||
Beginning balance, as previously reported |
|
|
|
|
||||||||||||||
Cumulative effect of change in accounting principle for: |
||||||||||||||||||
Leases, net of tax |
– |
– |
|
– |
||||||||||||||
Revenue recognition from contracts with clients, net of tax |
– |
– |
– |
( |
) | |||||||||||||
Beginning balance, adjusted |
|
|
|
|
||||||||||||||
Net earnings |
|
|
|
|
||||||||||||||
Dividends and dividend equivalents declared on common stock and share-based awards |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Dividends declared on preferred stock |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Preferred stock redemption premium |
– |
– |
( |
) |
( |
) | ||||||||||||
Ending balance |
|
|
|
|
||||||||||||||
Accumulated other comprehensive income/(loss) |
||||||||||||||||||
Beginning balance |
( |
) |
( |
) | |
( |
) | |||||||||||
Other comprehensive income/(loss) |
|
( |
) | ( |
) |
|
||||||||||||
Ending balance |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Stock held in treasury, at cost |
||||||||||||||||||
Beginning balance |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Repurchased |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Reissued |
|
– |
|
|
||||||||||||||
Other |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Ending balance |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Total shareholders’ equity |
$ |
$ |
$ |
$ |
3 |
Goldman Sachs September 2019 Form 10-Q |
Nine Months Ended September |
||||||||
$ in millions |
2019 |
2018 |
||||||
Cash flows from operating activities |
||||||||
Net earnings |
$ |
$ |
||||||
Adjustments to reconcile net earnings to net cash provided by/(used for) operating activities: |
||||||||
Depreciation and amortization |
||||||||
Share-based compensation |
||||||||
Gain related to extinguishment of unsecured borrowings |
– |
( |
) | |||||
Provision for credit losses |
||||||||
Changes in operating assets and liabilities: |
||||||||
Customer and other receivables and payables, net |
||||||||
Collateralized transactions (excluding other secured financings), net |
||||||||
Financial instruments owned (excluding available-for-sale securities) |
( |
) |
( |
) | ||||
Financial instruments sold, but not yet purchased |
||||||||
Other, net |
( |
) |
( |
) | ||||
Net cash provided by/(used for) operating activities |
( |
) |
||||||
Cash flows from investing activities |
||||||||
Purchase of property, leasehold improvements and equipment |
( |
) |
( |
) | ||||
Proceeds from sales of property, leasehold improvements and equipment |
||||||||
Net cash used for business acquisitions |
( |
) |
( |
) | ||||
Purchase of investments |
( |
) |
( |
) | ||||
Proceeds from sales and paydowns of investments |
||||||||
Loans receivable, net |
( |
) |
( |
) | ||||
Net cash used for investing activities |
( |
) |
( |
) | ||||
Cash flows from financing activities |
||||||||
Unsecured short-term borrowings, net |
||||||||
Other secured financings (short-term), net |
( |
) |
||||||
Proceeds from issuance of other secured financings (long-term) |
||||||||
Repayment of other secured financings (long-term), including the current portion |
( |
) |
( |
) | ||||
Purchase of Trust Preferred securities |
( |
) |
( |
) | ||||
Proceeds from issuance of unsecured long-term borrowings |
||||||||
Repayment of unsecured long-term borrowings, including the current portion |
( |
) |
( |
) | ||||
Derivative contracts with a financing element, net |
||||||||
Deposits, net |
||||||||
Preferred stock redemption |
( |
) |
( |
) | ||||
Proceeds from issuance of preferred stock, net of issuance costs |
– |
|||||||
Common stock repurchased |
( |
) |
( |
) | ||||
Settlement of share-based awards in satisfaction of withholding tax requirements |
( |
) |
( |
) | ||||
Dividends and dividend equivalents paid on common stock, preferred stock and share-based awards |
( |
) |
( |
) | ||||
Proceeds from issuance of common stock, including exercise of share-based awards |
– |
|||||||
Other financing, net |
– |
|||||||
Net cash provided by financing activities |
||||||||
Net increase/(decrease) in cash and cash equivalents |
( |
) |
||||||
Cash and cash equivalents, beginning balance |
||||||||
Cash and cash equivalents, ending balance |
$ |
$ |
||||||
Supplemental disclosures: |
||||||||
Cash payments for interest, net of capitalized interest |
$ |
$ |
||||||
Cash payments for income taxes, net |
$ |
$ |
Goldman Sachs September 2019 Form 10-Q |
4 |
5 |
Goldman Sachs September 2019 Form 10-Q |
Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased |
Note 4 |
|||
Fair Value Measurements |
Note 5 |
|||
Cash Instruments |
Note 6 |
|||
Derivatives and Hedging Activities |
Note 7 |
|||
Fair Value Option |
Note 8 |
|||
Loans Receivable |
Note 9 |
|||
Collateralized Agreements and Financings |
Note 10 |
|||
Securitization Activities |
Note 11 |
|||
Variable Interest Entities |
Note 12 |
|||
Other Assets |
Note 13 |
|||
Deposits |
Note 14 |
|||
Short-Term Borrowings |
Note 15 |
|||
Long-Term Borrowings |
Note 16 |
|||
Other Liabilities |
Note 17 |
|||
Commitments, Contingencies and Guarantees |
Note 18 |
|||
Shareholders’ Equity |
Note 19 |
|||
Regulation and Capital Adequacy |
Note 20 |
|||
Earnings Per Common Share |
Note 21 |
|||
Transactions with Affiliated Funds |
Note 22 |
|||
Interest Income and Interest Expense |
Note 23 |
|||
Income Taxes |
Note 24 |
|||
Business Segments |
Note 25 |
|||
Credit Concentrations |
Note 26 |
|||
Legal Proceedings |
Note 27 |
Goldman Sachs September 2019 Form 10-Q |
6 |
7 |
Goldman Sachs September 2019 Form 10-Q |
Goldman Sachs September 2019 Form 10-Q |
8 |
9 |
Goldman Sachs September 2019 Form 10-Q |
Goldman Sachs September 2019 Form 10-Q |
10 |
11 |
Goldman Sachs September 2019 Form 10-Q |
Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased |
$ in millions |
Financial Instruments Owned |
Financial Instruments Sold, But Not Yet Purchased |
||||||
As of September 2019 |
||||||||
Money market instruments |
$ |
$ – |
||||||
Government and agency obligations: |
||||||||
U.S. |
||||||||
Non-U.S. |
||||||||
Loans and securities backed by: |
||||||||
Commercial real estate |
||||||||
Residential real estate |
||||||||
Corporate debt instruments |
||||||||
State and municipal obligations |
||||||||
Other debt obligations |
– |
|||||||
Equity securities |
||||||||
Commodities |
– |
|||||||
Investments in funds at NAV |
– |
|||||||
Total cash instruments |
||||||||
Derivatives |
||||||||
Total |
$ |
$ |
||||||
As of December 2018 |
||||||||
Money market instruments |
$ |
$ |
||||||
Government and agency obligations: |
||||||||
U.S. |
||||||||
Non-U.S. |
||||||||
Loans and securities backed by: |
||||||||
Commercial real estate |
– |
|||||||
Residential real estate |
||||||||
Corporate debt instruments |
||||||||
State and municipal obligations |
– |
|||||||
Other debt obligations |
||||||||
Equity securities |
||||||||
Commodities |
– |
|||||||
Investments in funds at NAV |
– |
|||||||
Total cash instruments |
||||||||
Derivatives |
||||||||
Total |
$ |
$ |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||||
Interest rates |
$ ( |
) |
$ |
$ |
$ |
) | ||||||||||||||
Credit |
||||||||||||||||||||
Currencies |
||||||||||||||||||||
Equities |
||||||||||||||||||||
Commodities |
( |
) |
||||||||||||||||||
Market making |
||||||||||||||||||||
Other principal transactions |
||||||||||||||||||||
Total |
$ |
$ |
$ |
$ |
• |
Gains/(losses) include both realized and unrealized gains and losses, and are primarily related to the firm’s financial instruments owned and financial instruments sold, but not yet purchased, including both derivative and non-derivative financial instruments. |
• |
Gains/(losses) exclude related interest income and interest expense. See Note 23 for further information about interest income and interest expense. |
• |
Gains/(losses) on other principal transactions are included in the firm’s Investing & Lending segment. See Note 25 for net revenues, including net interest income, by product type for Investing & Lending, as well as the amount of net interest income included in Investing & Lending. |
• |
Gains/(losses) are not representative of the manner in which the firm manages its business activities because many of the firm’s market-making and client facilitation strategies utilize financial instruments across various product types. Accordingly, gains or losses in one product type frequently offset gains or losses in other product types. For example, most of the firm’s longer-term derivatives across product types are sensitive to changes in interest rates and may be economically hedged with interest rate swaps. Similarly, a significant portion of the firm’s cash instruments and derivatives across product types has exposure to foreign currencies and may be economically hedged with foreign currency contracts. |
Goldman Sachs September 2019 Form 10-Q |
12 |
|
As of |
|||||||||||
$ in millions |
September 2019 |
June 2019 |
December 2018 |
|||||||||
Total level 1 financial assets |
$ |
$ |
$ |
|||||||||
Total level 2 financial assets |
|
|
|
|||||||||
Total level 3 financial assets |
|
|
|
|||||||||
Investments in funds at NAV |
|
|
|
|||||||||
Counterparty and cash collateral netting |
( |
) |
( |
) | ( |
) | ||||||
Total financial assets at fair value |
$ |
$ |
$ |
|||||||||
Total assets |
$ |
$ |
$ |
|||||||||
Total level 3 financial assets divided by: |
|
|
|
|||||||||
Total assets |
|
|
|
|||||||||
Total financial assets at fair value |
|
|
|
|||||||||
Total level 1 financial liabilities |
$ |
$ |
$ |
|||||||||
Total level 2 financial liabilities |
|
|
|
|||||||||
Total level 3 financial liabilities |
|
|
|
|||||||||
Counterparty and cash collateral netting |
( |
) |
( |
) | ( |
) | ||||||
Total financial liabilities at fair value |
$ |
$ |
$ |
|||||||||
Total level 3 financial liabilities divided by total financial liabilities at fair value |
|
|
|
• |
Counterparty netting among positions classified in the same level is included in that level. |
• |
Counterparty and cash collateral netting represents the impact on derivatives of netting across levels of the fair value hierarchy. |
As of |
||||||||||||
$ in millions |
September 2019 |
June 2019 |
December 2018 |
|||||||||
Cash instruments |
$ |
$ |
$ |
|||||||||
Derivatives |
|
|
|
|||||||||
Other financial assets |
– |
|
|
|||||||||
Total |
$ |
$ |
$ |
13 |
Goldman Sachs September 2019 Form 10-Q |
• |
Market yields implied by transactions of similar or related assets and/or current levels and changes in market indices, such as the CMBX (an index that tracks the performance of commercial mortgage bonds); |
• |
Transaction prices in both the underlying collateral and instruments with the same or similar underlying collateral; |
• |
A measure of expected future cash flows in a default scenario (recovery rates) implied by the value of the underlying collateral, which is mainly driven by current performance of the underlying collateral, capitalization rates and multiples. Recovery rates are expressed as a percentage of notional or face value of the instrument and reflect the benefit of credit enhancements on certain instruments; and |
• |
Timing of expected future cash flows (duration) which, in certain cases, may incorporate the impact of other unobservable inputs (e.g., prepayment speeds). |
Goldman Sachs September 2019 Form 10-Q |
14 |
• |
Market yields implied by transactions of similar or related assets; |
• |
Transaction prices in both the underlying collateral and instruments with the same or similar underlying collateral; |
• |
Cumulative loss expectations, driven by default rates, home price projections, residential property liquidation timelines, related costs and subsequent recoveries; and |
• |
Duration, driven by underlying loan prepayment speeds and residential property liquidation timelines. |
• |
Market yields implied by transactions of similar or related assets and/or current levels and trends of market indices, such as the CDX (an index that tracks the performance of corporate credit); |
• |
Current performance and recovery assumptions and, where the firm uses credit default swaps to value the related cash instrument, the cost of borrowing the underlying reference obligation; and |
• |
Duration. |
• |
Industry multiples (primarily EBITDA multiples) and public comparables; |
• |
Transactions in similar instruments; |
• |
Discounted cash flow techniques; and |
• |
Third-party appraisals. |
• |
Market and transaction multiples; |
• |
Discount rates and capitalization rates; and |
• |
For equity securities with debt-like features, market yields implied by transactions of similar or related assets, current performance and recovery assumptions, and duration. |
• |
Market yields implied by transactions of similar or related assets and/or current levels and trends of market indices; |
• |
Current performance and recovery assumptions and, where the firm uses credit default swaps to value the related cash instrument, the cost of borrowing the underlying reference obligation; and |
• |
Duration. |
15 |
Goldman Sachs September 2019 Form 10-Q |
$ in millions |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
As of September 2019 |
||||||||||||||||
Assets |
||||||||||||||||
Money market instruments |
$ |
$ |
$ – |
$ |
||||||||||||
Government and agency obligations: |
||||||||||||||||
U.S. |
|
|
|
|
||||||||||||
Non-U.S. |
|
|
|
|
||||||||||||
Loans and securities backed by: |
||||||||||||||||
Commercial real estate |
– |
|
|
|
||||||||||||
Residential real estate |
– |
|
|
|
||||||||||||
Corporate debt instruments |
|
|
|
|
||||||||||||
State and municipal obligations |
– |
|
|
|
||||||||||||
Other debt obligations |
– |
|
|
|
||||||||||||
Equity securities |
|
|
|
|
||||||||||||
Commodities |
– |
|
– |
|
||||||||||||
Subtotal |
$ |
$ |
$ |
$ |
||||||||||||
Investments in funds at NAV |
||||||||||||||||
Total cash instrument assets |
$ |
|||||||||||||||
Liabilities |
||||||||||||||||
Government and agency obligations: |
||||||||||||||||
U.S. |
$ ( |
) |
$ ( |
) |
$ – |
$ ( |
) | |||||||||
Non-U.S. |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Loans and securities backed by: |
||||||||||||||||
Commercial real estate |
– |
( |
) |
( |
) |
( |
) | |||||||||
Residential real estate |
– |
( |
) |
( |
) |
( |
) | |||||||||
Corporate debt instruments |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
State and municipal obligations |
|
|
– |
|
|
|
( |
) |
|
|
– |
|
|
|
( |
) |
Equity securities |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Total cash instrument liabilities |
|
$ |
) |
$ |
) |
$ |
) |
$ |
) | |||||||
As of December 2018 |
||||||||||||||||
Assets |
||||||||||||||||
Money market instruments |
$ |
$ |
$ |
$ |
||||||||||||
Government and agency obligations: |
||||||||||||||||
U.S. |
|
|
|
|
||||||||||||
Non-U.S. |
|
|
|
|
||||||||||||
Loans and securities backed by: |
||||||||||||||||
Commercial real estate |
– |
|
|
|
||||||||||||
Residential real estate |
– |
|
|
|
||||||||||||
Corporate debt instruments |
|
|
|
|
||||||||||||
State and municipal obligations |
– |
|
|
|
||||||||||||
Other debt obligations |
– |
|
|
|
||||||||||||
Equity securities |
|
|
|
|
||||||||||||
Commodities |
– |
|
– |
|
||||||||||||
Subtotal |
$ |
$ |
$ |
$ |
||||||||||||
Investments in funds at NAV |
|
|||||||||||||||
Total cash instrument assets |
$ |
|||||||||||||||
Liabilities |
||||||||||||||||
Government and agency obligations: |
||||||||||||||||
U.S. |
$ |
) |
$ |
) |
$ |
$ |
) | |||||||||
Non-U.S. |
( |
) |
( |
) |
– |
( |
) | |||||||||
Loans and securities backed by residential real estate |
– |
( |
) |
– |
( |
) | ||||||||||
Corporate debt instruments |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Other debt obligations |
– |
( |
) |
– |
( |
) | ||||||||||
Equity securities |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Total cash instrument liabilities |
$ |
) |
$ ( |
) |
$ |
) |
$ |
) |
• |
Cash instrument assets are included in financial instruments owned and cash instrument liabilities are included in financial instruments sold, but not yet purchased. |
• |
Cash instrument assets are shown as positive amounts and cash instrument liabilities are shown as negative amounts. |
• |
Money market instruments includes commercial paper, certificates of deposit and time deposits, substantially all of which have a maturity of less than one year. |
• |
Corporate debt instruments includes corporate loans and debt securities. |
• |
Equity securities includes public and private equities, exchange-traded funds and convertible debentures. Such securities include investments accounted for at fair value under the fair value option where the firm would otherwise apply the equity method of accounting of $ |
Level 3 Assets and Range of Significant Unobservable Inputs (Weighted Average) as of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Loans and securities backed by commercial real estate |
||||||||
Level 3 assets |
$ |
$ |
||||||
Yield |
4.1 |
) |
6.9% to 22.5% (12.4% |
) | ||||
Recovery rate |
5.5% to 89.3% (48.6 % |
) |
9.7% to 78.4% (42.9% |
) | ||||
Duration (years) |
0.3 to 6.2 (3.3 |
) |
0.4 to 7.1 (3.7 |
) | ||||
Loans and securities backed by residential real estate |
||||||||
Level 3 assets |
$ |
$ |
||||||
Yield |
0.9% to 14.0% (8.5 % |
) |
2.6% to 19.3% (9.2% |
) | ||||
Cumulative loss rate |
2.8% to 47.2% (33.3 % |
) |
8.3% to 37.7% (19.2% |
) | ||||
Duration (years) |
1.0 to 12.9 (5.3 |
) |
1.4 to 14.0 (6.7 |
) | ||||
Corporate debt instruments |
||||||||
Level 3 assets |
$ |
$ |
||||||
Yield |
1.2% to 29.4% (12.0% |
) |
0.7% to 32.3% (11.9% |
) | ||||
Recovery rate |
0.0% to 78.0% (52.6% |
) |
0.0% to 78.0% (57.8% |
) | ||||
Duration (years) |
0.6 to 6.0 (3.2 |
) |
0.4 to 13.5 (3.4 |
) | ||||
Equity securities |
||||||||
Level 3 assets |
$ |
$ |
||||||
Multiples |
0.5 |
) |
1.0x to 23.6x (8.1x |
) | ||||
Discount rate/yield |
6.5% to 22.5% (13.5% |
) |
6.5% to 22.1% (14.3% |
) | ||||
Capitalization rate |
3.6% to 15.0% (5.8% |
) |
3.5% to 12.3% (6.1% |
) | ||||
Other cash instruments |
||||||||
Level 3 assets |
$ |
$ |
||||||
Yield |
3.5% to 16.0% (13.8% |
) |
4.1% to 11.5% (9.2% |
) | ||||
Duration (years) |
1.6 to 4.8 (2.9 |
) |
2.2 to 4.8 (2.8 |
) |
Goldman Sachs September 2019 Form 10-Q |
16 |
• |
Ranges represent the significant unobservable inputs that were used in the valuation of each type of cash instrument. |
• |
Weighted averages are calculated by weighting each input by the relative fair value of the cash instruments. |
• |
The ranges and weighted averages of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one cash instrument. For example, the highest multiple for private equity securities is appropriate for valuing a specific private equity security but may not be appropriate for valuing any other private equity security. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 cash instruments. |
• |
Increases in yield, discount rate, capitalization rate, duration or cumulative loss rate used in the valuation of level 3 cash instruments would have resulted in a lower fair value measurement, while increases in recovery rate or multiples would have resulted in a higher fair value measurement as of both September 2019 and December 2018. Due to the distinctive nature of each level 3 cash instrument, the interrelationship of inputs is not necessarily uniform within each product type. |
• |
Loans and securities backed by commercial and residential real estate, corporate debt instruments and other cash instruments are valued using discounted cash flows, and equity securities are valued using market comparables and discounted cash flows. |
• |
The fair value of any one instrument may be determined using multiple valuation techniques. For example, market comparables and discounted cash flows may be used together to determine fair value. Therefore, the level 3 balance encompasses both of these techniques. |
|
Three Months Ended September |
|
Nine Months Ended September |
|||||||||||||||
$ in millions |
2019 |
2018 |
|
2019 |
2018 |
|||||||||||||
Total cash instrument assets |
|
|
|
|
|
|||||||||||||
Beginning balance |
$ |
$ |
|
$ |
$ |
|||||||||||||
Net realized gains/(losses) |
|
|
|
|
|
|||||||||||||
Net unrealized gains/(losses) |
|
|
|
|
|
|||||||||||||
Purchases |
|
|
|
|
|
|||||||||||||
Sales |
( |
) |
( |
) | |
( |
) |
( |
) | |||||||||
Settlements |
( |
) |
( |
) | |
( |
) |
( |
) | |||||||||
Transfers into level 3 |
|
|
|
|
|
|||||||||||||
Transfers out of level 3 |
( |
) |
( |
) | |
( |
) |
( |
) | |||||||||
Ending balance |
$ |
$ |
|
$ |
$ |
|||||||||||||
Total cash instrument liabilities |
|
|
|
|
||||||||||||||
Beginning balance |
$ ( |
) |
$ |
) | |
$ ( |
) |
$ |
) | |||||||||
Net realized gains/(losses) |
( |
) |
– |
|
|
|
||||||||||||
Net unrealized gains/(losses) |
( |
) |
( |
) | |
( |
) |
|
||||||||||
Purchases |
|
|
|
|
|
|||||||||||||
Sales |
( |
) |
( |
) | |
( |
) |
( |
) | |||||||||
Settlements |
|
|
|
|
|
|||||||||||||
Transfers into level 3 |
( |
) |
( |
) | |
( |
) |
( |
) | |||||||||
Transfers out of level 3 |
|
|
|
|
|
|||||||||||||
Ending balance |
$ ( |
) |
$ |
) | |
$ ( |
) |
$ |
) |
• |
Changes in fair value are presented for all cash instrument assets and liabilities that are classified in level 3 as of the end of the period. |
• |
Net unrealized gains/(losses) relates to instruments that were still held at period-end. |
• |
Purchases includes originations and secondary purchases. |
• |
Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. If a cash instrument asset or liability was transferred to level 3 during a reporting period, its entire gain or loss for the period is classified in level 3. |
• |
For level 3 cash instrument assets, increases are shown as positive amounts, while decreases are shown as negative amounts. For level 3 cash instrument liabilities, increases are shown as negative amounts, while decreases are shown as positive amounts. |
• |
Level 3 cash instruments are frequently economically hedged with level 1 and level 2 cash instruments and/or level 1, level 2 or level 3 derivatives. Accordingly, gains or losses that are classified in level 3 can be partially offset by gains or losses attributable to level 1 or level 2 cash instruments and/or level 1, level 2 or level 3 derivatives. As a result, gains or losses included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources. |
17 |
Goldman Sachs September 2019 Form 10-Q |
Three Months Ended September |
|
Nine Months Ended September |
||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Loans and securities backed by commercial real estate |
||||||||||||||||||
Beginning balance |
$ |
$ |
$ |
$ |
||||||||||||||
Net realized gains/(losses) |
|
|
|
|
||||||||||||||
Net unrealized gains/(losses) |
( |
) |
|
( |
) |
( |
) | |||||||||||
Purchases |
|
|
|
|
||||||||||||||
Sales |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Settlements |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Transfers into level 3 |
|
|
|
|
||||||||||||||
Transfers out of level 3 |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Ending balance |
$ |
$ |
$ |
$ |
||||||||||||||
Loans and securities backed by residential real estate |
||||||||||||||||||
Beginning balance |
$ |
$ |
$ |
$ |
||||||||||||||
Net realized gains/(losses) |
|
|
|
|
||||||||||||||
Net unrealized gains/(losses) |
|
|
|
|
||||||||||||||
Purchases |
|
|
|
|
||||||||||||||
Sales |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Settlements |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Transfers into level 3 |
|
|
|
|
||||||||||||||
Transfers out of level 3 |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Ending balance |
$ |
$ |
$ |
$ |
||||||||||||||
Corporate debt instruments |
||||||||||||||||||
Beginning balance |
$ |
$ |
$ |
$ |
||||||||||||||
Net realized gains/(losses) |
|
|
|
|
||||||||||||||
Net unrealized gains/(losses) |
( |
) |
|
|
( |
) | ||||||||||||
Purchases |
|
|
|
|
||||||||||||||
Sales |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Settlements |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Transfers into level 3 |
|
|
|
|
||||||||||||||
Transfers out of level 3 |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Ending balance |
$ |
$ |
$ |
$ |
||||||||||||||
Equity securities |
||||||||||||||||||
Beginning balance |
$ |
$ |
$ |
$ |
||||||||||||||
Net realized gains/(losses) |
|
|
|
|
||||||||||||||
Net unrealized gains/(losses) |
|
|
|
|
||||||||||||||
Purchases |
|
|
|
|
||||||||||||||
Sales |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Settlements |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Transfers into level 3 |
|
|
|
|
||||||||||||||
Transfers out of level 3 |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Ending balance |
$ |
$ |
$ |
$ |
||||||||||||||
Other cash instruments |
||||||||||||||||||
Beginning balance |
$ |
$ |
$ |
$ |
||||||||||||||
Net realized gains/(losses) |
( |
) |
– |
( |
) |
|
||||||||||||
Net unrealized gains/(losses) |
( |
) |
|
( |
) |
|
||||||||||||
Purchases |
|
|
|
|
||||||||||||||
Sales |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Settlements |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Transfers into level 3 |
|
|
|
|
||||||||||||||
Transfers out of level 3 |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Ending balance |
$ |
$ |
$ |
$ |
Goldman Sachs September 2019 Form 10-Q |
18 |
$ in millions |
Amortized Cost |
Fair Value |
Weighted Average Yield |
|||||||||
As of September 2019 |
||||||||||||
Less than 5 years |
$ |
$ |
||||||||||
Greater than 5 years |
||||||||||||
Total |
$ |
$ |
||||||||||
As of December 2018 |
||||||||||||
Less than 5 years |
$ |
$ |
||||||||||
Greater than 5 years |
||||||||||||
Total |
$ |
$ |
• |
Available-for-sale securities consists of U.S. government obligations that were classified in level 1 of the fair value hierarchy as of both September 2019 and December 2018. |
• |
The firm sold $ billion of available-for-sale securities during the nine months ended September 2019. The realized gains on sales of such securities were $earnings. The sales and realized gains for the year ended December 2018 were not material. |
• |
The gross unrealized gains included in accumulated other comprehensive income/(loss) were $ million and the gross unrealized losses included in accumulated other comprehensive income/(loss) were not material as of September 2019. The gross unrealized losses included in accumulated other comprehensive income/(loss) were $ |
• |
Available-for-sale securities in an unrealized loss position are periodically reviewed for other-than-temporary impairment. The firm considers various factors, including market conditions, changes in issuer credit ratings, severity and duration of the unrealized losses, and the intent and ability to hold the security until recovery to determine if the securities are other-than-temporarily impaired. There were no such impairments during both the nine months ended September 2019 and September 2018. |
19 |
Goldman Sachs September 2019 Form 10-Q |
$ in millions |
Fair Value of Investments |
Unfunded Commitments |
||||||
As of September 2019 |
||||||||
Private equity funds |
$ |
$ |
||||||
Credit funds |
||||||||
Hedge funds |
– |
|||||||
Real estate funds |
||||||||
Total |
$ |
$ |
||||||
As of December 2018 |
||||||||
Private equity funds |
$ |
$ |
||||||
Credit funds |
||||||||
Hedge funds |
– |
|||||||
Real estate funds |
||||||||
Total |
$ |
$ |
Goldman Sachs September 2019 Form 10-Q |
20 |
• |
Futures and Forwards. |
• |
Swaps. |
• |
Options . |
As of September 2019 |
As of December 2018 |
|||||||||||||||||
$ in millions |
Derivative Assets |
Derivative Liabilities |
|
Derivative Assets |
Derivative Liabilities |
|||||||||||||
Not accounted for as hedges |
||||||||||||||||||
Exchange-traded |
$ |
$ |
$ |
$ |
||||||||||||||
OTC-cleared |
|
|
|
|
||||||||||||||
Bilateral OTC |
|
|
|
|
||||||||||||||
Total interest rates |
|
|
|
|
||||||||||||||
OTC-cleared |
|
|
|
|
||||||||||||||
Bilateral OTC |
|
|
|
|
||||||||||||||
Total credit |
|
|
|
|
||||||||||||||
Exchange-traded |
|
|
|
|
||||||||||||||
OTC-cleared |
|
|
|
|
||||||||||||||
Bilateral OTC |
|
|
|
|
||||||||||||||
Total currencies |
|
|
|
|
||||||||||||||
Exchange-traded |
|
|
|
|
||||||||||||||
OTC-cleared |
|
|
|
|
||||||||||||||
Bilateral OTC |
|
|
|
|
||||||||||||||
Total commodities |
|
|
|
|
||||||||||||||
Exchange-traded |
|
|
|
|
||||||||||||||
Bilateral OTC |
|
|
|
|
||||||||||||||
Total equities |
|
|
|
|
||||||||||||||
Subtotal |
|
|
|
|
||||||||||||||
Accounted for as hedges |
||||||||||||||||||
OTC-cleared |
|
– |
|
– |
||||||||||||||
Bilateral OTC |
|
– |
|
|
||||||||||||||
Total interest rates |
|
– |
|
|
||||||||||||||
OTC-cleared |
|
|
|
|
||||||||||||||
Bilateral OTC |
|
|
|
|
||||||||||||||
Total currencies |
|
|
|
|
||||||||||||||
Subtotal |
|
|
|
|
||||||||||||||
Total gross fair value |
$ |
$ |
$ |
$ |
||||||||||||||
Offset in consolidated statements of financial condition |
||||||||||||||||||
Exchange-traded |
$ ( |
) |
$ ( |
) |
$ ( |
) |
$ ( |
) | ||||||||||
OTC-cleared |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
Bilateral OTC |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
Counterparty netting |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
OTC-cleared |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
Bilateral OTC |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
Cash collateral netting |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
Total amounts offset |
$ ( |
) |
$ ( |
) |
$ ( |
) |
|
$( |
) | |||||||||
Included in consolidated statements of financial condition |
| |||||||||||||||||
Exchange-traded |
$ |
$ |
$ |
$ |
||||||||||||||
OTC-cleared |
|
|
|
|
||||||||||||||
Bilateral OTC |
|
|
|
|
||||||||||||||
Total |
$ |
$ |
$ |
$ |
||||||||||||||
Not offset in consolidated statements of financial condition |
||||||||||||||||||
Cash collateral |
$ ( |
) |
$ ( |
) |
$ ( |
) |
|
$ ( |
) | |||||||||
Securities collateral |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
Total |
$ |
$ |
$ |
$ |
|
21 |
Goldman Sachs September 2019 Form 10-Q |
Notional Amounts as of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Not accounted for as hedges |
||||||||
Exchange-traded |
$ |
$ |
||||||
OTC-cleared |
|
|
||||||
Bilateral OTC |
|
|
||||||
Total interest rates |
|
|
||||||
OTC-cleared |
|
|
||||||
Bilateral OTC |
|
|
||||||
Total credit |
|
|
||||||
Exchange-traded |
|
|
||||||
OTC-cleared |
|
|
||||||
Bilateral OTC |
|
|
||||||
Total currencies |
|
|
||||||
Exchange-traded |
|
|
||||||
OTC-cleared |
|
|
||||||
Bilateral OTC |
|
|
||||||
Total commodities |
|
|
||||||
Exchange-traded |
|
|
||||||
Bilateral OTC |
|
|
||||||
Total equities |
|
|
||||||
Subtotal |
|
|
||||||
Accounted for as hedges |
||||||||
OTC-cleared |
|
|
||||||
Bilateral OTC |
|
|
||||||
Total interest rates |
|
|
||||||
OTC-cleared |
|
|
||||||
Bilateral OTC |
|
|
||||||
Total currencies |
|
|
||||||
Subtotal |
|
|
||||||
Total notional amounts |
$ |
$ |
• |
Gross fair values exclude the effects of both counterparty netting and collateral, and therefore are not representative of the firm’s exposure. |
• |
Where the firm has received or posted collateral under credit support agreements, but has not yet determined such agreements are enforceable, the related collateral has not been netted. |
• |
Notional amounts, which represent the sum of gross long and short derivative contracts, provide an indication of the volume of the firm’s derivative activity and do not represent anticipated losses. |
• |
Total gross fair value of derivatives included derivative assets of $ |
• |
Interest Rate. 10-year swap rate vs. 2-year swap rate) are more complex, but the key inputs are generally observable. |
• |
Credit. |
• |
Currency. |
Goldman Sachs September 2019 Form 10-Q |
22 |
• |
Commodity. |
• |
Equity. |
• |
For level 3 interest rate and currency derivatives, significant unobservable inputs include correlations of certain currencies and interest rates (e.g., the correlation between Euro inflation and Euro interest rates). In addition, for level 3 interest rate derivatives, significant unobservable inputs include specific interest rate volatilities. |
• |
For level 3 credit derivatives, significant unobservable inputs include illiquid credit spreads and upfront credit points, which are unique to specific reference obligations and reference entities, recovery rates and certain correlations required to value credit derivatives (e.g., the likelihood of default of the underlying reference obligation relative to one another). |
• |
For level 3 commodity derivatives, significant unobservable inputs include volatilities for options with strike prices that differ significantly from current market prices and prices or spreads for certain products for which the product quality or physical location of the commodity is not aligned with benchmark indices. |
• |
For level 3 equity derivatives, significant unobservable inputs generally include equity volatility inputs for options that are long-dated and/or have strike prices that differ significantly from current market prices. In addition, the valuation of certain structured trades requires the use of level 3 correlation inputs, such as the correlation of the price performance of two or more individual stocks or the correlation of the price performance for a basket of stocks to another asset class, such as commodities. |
23 |
Goldman Sachs September 2019 Form 10-Q |
$ in millions |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
As of September 2019 |
||||||||||||||||
Assets |
||||||||||||||||
Interest rates |
$ |
$ |
$ |
$ |
||||||||||||
Credit |
– |
|
|
|
||||||||||||
Currencies |
– |
|
|
|
||||||||||||
Commodities |
– |
|
|
|
||||||||||||
Equities |
|
|
|
|
||||||||||||
Gross fair value |
|
|
|
|
||||||||||||
Counterparty netting in levels |
– |
( |
) |
( |
) |
( |
) | |||||||||
Subtotal |
$ |
$ |
$ |
$ |
||||||||||||
Cross-level counterparty netting |
( |
) | ||||||||||||||
Cash collateral netting |
( |
) | ||||||||||||||
Net fair value |
$ |
|||||||||||||||
Liabilities |
||||||||||||||||
Interest rates |
$ ( |
) |
$ ( |
) |
$ ( |
) |
$ ( |
) | ||||||||
Credit |
– |
( |
) |
( |
) |
( |
) | |||||||||
Currencies |
– |
( |
) |
( |
) |
( |
) | |||||||||
Commodities |
– |
( |
) |
( |
) |
( |
) | |||||||||
Equities |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Gross fair value |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Counterparty netting in levels |
– |
|
|
|
||||||||||||
Subtotal |
$ ( |
) |
$ ( |
) |
$ ( |
) |
$ ( |
) | ||||||||
Cross-level counterparty netting |
|
|||||||||||||||
Cash collateral netting |
|
|||||||||||||||
Net fair value |
$ ( |
) | ||||||||||||||
As of December 2018 |
||||||||||||||||
Assets |
||||||||||||||||
Interest rates |
$ |
$ |
$ |
$ |
||||||||||||
Credit |
– |
|
|
|
||||||||||||
Currencies |
– |
|
|
|
||||||||||||
Commodities |
– |
|
|
|
||||||||||||
Equities |
|
|
|
|
||||||||||||
Gross fair value |
|
|
|
|
||||||||||||
Counterparty netting in levels |
– |
( |
) |
( |
) |
( |
) | |||||||||
Subtotal |
$ |
$ |
$ |
$ |
||||||||||||
Cross-level counterparty netting |
( |
) | ||||||||||||||
Cash collateral netting |
( |
) | ||||||||||||||
Net fair value |
$ |
|||||||||||||||
Liabilities |
||||||||||||||||
Interest rates |
$ ( |
) |
$ ( |
) |
$ ( |
) |
$ ( |
) | ||||||||
Credit |
– |
( |
) |
( |
) |
( |
) | |||||||||
Currencies |
– |
( |
) |
( |
) |
( |
) | |||||||||
Commodities |
– |
( |
) |
( |
) |
( |
) | |||||||||
Equities |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Gross fair value |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Counterparty netting in levels |
– |
|
|
|
||||||||||||
Subtotal |
$ ( |
) |
$ ( |
) |
$ ( |
) |
$ ( |
) | ||||||||
Cross-level counterparty netting |
|
|||||||||||||||
Cash collateral netting |
|
|||||||||||||||
Net fair value |
$ ( |
) |
Goldman Sachs September 2019 Form 10-Q |
24 |
• |
The gross fair values exclude the effects of both counterparty netting and collateral netting, and therefore are not representative of the firm’s exposure. |
• |
Counterparty netting is reflected in each level to the extent that receivable and payable balances are netted within the same level and is included in counterparty netting in levels. Where the counterparty netting is across levels, the netting is included in cross-level counterparty netting. |
• |
Derivative assets are shown as positive amounts and derivative liabilities are shown as negative amounts. |
|
Level 3 Assets (Liabilities) and Range of Significant Unobservable Inputs (Average/Median) as of |
|||||||
$ in millions, |
September 2019 |
December 2018 |
||||||
Interest rates, net |
$ |
$( |
||||||
Correlation |
(53)% to 81% (51%/60%) |
(10)% to 86% (66%/64%) |
||||||
Volatility (bps) |
31 to 150 (79/76) |
31 to 150 (74/65) |
||||||
Credit, net |
$ |
$ |
||||||
Credit spreads (bps) |
1 to 559 |
1 to 810 (109/63) |
||||||
Upfront credit points |
2 to 98 (39/32) |
2 to 99 (44/40) |
||||||
Recovery rates |
25% to 60% (36%/38%) |
25% to 70% (40%/40%) |
||||||
Currencies, net |
$( |
$ |
||||||
Correlation |
20% to 70% (37%/36%) |
10% to 70% (40%/36%) |
||||||
Commodities, net |
$ |
$ |
||||||
Volatility |
11% to 80% (26%/25%) |
10% to 75% (28%/27%) |
||||||
Natural gas spread |
$( ($( |
$( ($( |
||||||
Oil spread |
$ ( ) to $($ |
$ ( ) to $($ |
||||||
Equities, net |
$ ( ) |
$ ( ) |
||||||
Correlation |
( |
(68)% to 97% (48%/51%) |
||||||
Volatility |
|
3% to 102% (20%/18%) |
• |
Derivative assets are shown as positive amounts and derivative liabilities are shown as negative amounts. |
• |
Ranges represent the significant unobservable inputs that were used in the valuation of each type of derivative. |
• |
Averages represent the arithmetic average of the inputs and are not weighted by the relative fair value or notional of the respective financial instruments. An average greater than the median indicates that the majority of inputs are below the average. For example, the difference between the average and the median for credit spreads indicates that the majority of the inputs fall in the lower end of the range. |
• |
The ranges, averages and medians of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one derivative. For example, the highest correlation for interest rate derivatives is appropriate for valuing a specific interest rate derivative but may not be appropriate for valuing any other interest rate derivative. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 derivatives. |
• |
Interest rates, currencies and equities derivatives are valued using option pricing models, credit derivatives are valued using option pricing, correlation and discounted cash flow models, and commodities derivatives are valued using option pricing and discounted cash flow models. |
• |
The fair value of any one instrument may be determined using multiple valuation techniques. For example, option pricing models and discounted cash flows models are typically used together to determine fair value. Therefore, the level 3 balance encompasses both of these techniques. |
• |
Correlation within currencies and equities includes cross-product type correlation. |
• |
Natural gas spread represents the spread per million British thermal units of natural gas. |
• |
Oil spread represents the spread per barrel of oil and refined products. |
• |
Correlation. |
• |
Volatility. |
25 |
Goldman Sachs September 2019 Form 10-Q |
• |
Credit spreads, upfront credit points and recovery rates. |
• |
Commodity prices and spreads. |
• |
Correlation. |
• |
Volatility. |
• |
Credit spreads, upfront credit points and recovery rates. |
• |
Commodity prices and spreads. |
|
Three Months Ended September |
|
Nine Months Ended September |
|||||||||||||||
$ in millions |
2019 |
2018 |
|
2019 |
2018 |
|||||||||||||
Total level 3 derivatives |
|
|
|
|
|
|||||||||||||
Beginning balance |
$ |
$ |
|
$ |
$( |
) | ||||||||||||
Net realized gains/(losses) |
|
|
|
|
|
|||||||||||||
Net unrealized gains/(losses) |
|
( |
) | |
( |
) |
|
|||||||||||
Purchases |
|
|
|
|
|
|||||||||||||
Sales |
( |
) |
( |
) | |
( |
) |
( |
) | |||||||||
Settlements |
( |
) |
( |
) | |
|
|
|||||||||||
Transfers into level 3 |
( |
) |
( |
) | |
|
|
|||||||||||
Transfers out of level 3 |
( |
) |
|
|
( |
) |
|
|||||||||||
Ending balance |
$ |
$ |
|
$ |
$ |
• |
Changes in fair value are presented for all derivative assets and liabilities that are classified in level 3 as of the end of the period. |
• |
Net unrealized gains/(losses) relates to instruments that were still held at period-end. |
• |
Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. If a derivative was transferred into level 3 during a reporting period, its entire gain or loss for the period is classified in level 3. |
• |
Positive amounts for transfers into level 3 and negative amounts for transfers out of level 3 represent net transfers of derivative assets. Negative amounts for transfers into level 3 and positive amounts for transfers out of level 3 represent net transfers of derivative liabilities. |
• |
A derivative with level 1 and/or level 2 inputs is classified in level 3 in its entirety if it has at least one significant level 3 input. |
• |
If there is one significant level 3 input, the entire gain or loss from adjusting only observable inputs (i.e., level 1 and level 2 inputs) is classified in level 3. |
• |
Gains or losses that have been classified in level 3 resulting from changes in level 1 or level 2 inputs are frequently offset by gains or losses attributable to level 1 or level 2 derivatives and/or level 1, level 2 and level 3 cash instruments. As a result, gains/(losses) included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources. |
Goldman Sachs September 2019 Form 10-Q |
26 |
|
Three Months Ended September |
|
Nine Months Ended September |
|||||||||||||||
$ in millions |
2019 |
2018 |
|
2019 |
2018 |
|||||||||||||
Interest rates, net |
|
|
|
|
|
|||||||||||||
Beginning balance |
$ |
$ ( |
) | |
$ ( |
) |
$ ( |
) | ||||||||||
Net realized gains/(losses) |
( |
) |
( |
) | |
( |
) |
( |
) | |||||||||
Net unrealized gains/(losses) |
|
( |
) | |
|
( |
) | |||||||||||
Purchases |
|
– |
|
|
|
|||||||||||||
Sales |
– |
( |
) | |
( |
) |
( |
) | ||||||||||
Settlements |
( |
) |
|
|
|
|
||||||||||||
Transfers into level 3 |
|
( |
) | |
( |
) |
|
|||||||||||
Transfers out of level 3 |
( |
) |
( |
) | |
– |
|
|||||||||||
Ending balance |
$ |
$ ( |
) | |
$ |
$ ( |
) | |||||||||||
Credit, net |
|
|
|
|
|
|||||||||||||
Beginning balance |
$ |
$ |
|
$ |
$ |
|||||||||||||
Net realized gains/(losses) |
|
|
|
|
|
|||||||||||||
Net unrealized gains/(losses) |
|
( |
) | |
|
( |
) | |||||||||||
Purchases |
|
|
|
|
|
|||||||||||||
Sales |
( |
) |
( |
) | |
( |
) |
( |
) | |||||||||
Settlements |
( |
) |
|
|
( |
) |
|
|||||||||||
Transfers into level 3 |
|
( |
) | |
|
|
||||||||||||
Transfers out of level 3 |
( |
) |
|
|
( |
) |
|
|||||||||||
Ending balance |
$ |
$ |
|
$ |
$ |
|||||||||||||
Currencies, net |
|
|
|
|
|
|||||||||||||
Beginning balance |
$ ( |
) |
$ |
|
$ |
$ ( |
) | |||||||||||
Net realized gains/(losses) |
( |
) |
( |
) | |
( |
) |
( |
) | |||||||||
Net unrealized gains/(losses) |
( |
) |
|
|
( |
) |
|
|||||||||||
Purchases |
|
|
|
|
|
|||||||||||||
Sales |
( |
) |
( |
) | |
( |
) |
( |
) | |||||||||
Settlements |
|
( |
) | |
( |
) |
|
|||||||||||
Transfers into level 3 |
( |
) |
|
|
( |
) |
|
|||||||||||
Transfers out of level 3 |
( |
) |
( |
) | |
( |
) |
– |
||||||||||
Ending balance |
$ ( |
) |
$ |
|
$ ( |
) |
$ |
|||||||||||
Commodities, net |
|
|
|
|
|
|||||||||||||
Beginning balance |
$ |
$ |
|
$ |
$ |
|||||||||||||
Net realized gains/(losses) |
|
|
|
( |
) |
|
||||||||||||
Net unrealized gains/(losses) |
|
|
|
|
|
|||||||||||||
Purchases |
|
|
|
|
|
|||||||||||||
Sales |
( |
) |
( |
) | |
( |
) |
( |
) | |||||||||
Settlements |
( |
) |
( |
) | |
|
( |
) | ||||||||||
Transfers into level 3 |
|
( |
) | |
– |
|
||||||||||||
Transfers out of level 3 |
( |
) |
– |
|
|
|
||||||||||||
Ending balance |
$ |
$ |
|
$ |
$ |
|||||||||||||
Equities, net |
|
|
|
|
|
|||||||||||||
Beginning balance |
$ ( |
) |
$ ( |
) |
|
$ ( |
) |
$ ( |
) | |||||||||
Net realized gains/(losses) |
|
|
|
|
|
|||||||||||||
Net unrealized gains/(losses) |
( |
) |
|
|
( |
) |
|
|||||||||||
Purchases |
|
|
|
|
|
|||||||||||||
Sales |
( |
) |
( |
) | |
( |
) |
( |
) | |||||||||
Settlements |
|
( |
) | |
|
( |
) | |||||||||||
Transfers into level 3 |
( |
) |
( |
) | |
( |
) |
( |
) | |||||||||
Transfers out of level 3 |
|
|
|
( |
) |
|
||||||||||||
Ending balance |
$ ( |
) |
$ ( |
) | |
$ ( |
) |
$ ( |
) |
27 |
Goldman Sachs September 2019 Form 10-Q |
$ in millions |
Less than 1 Year |
1 - 5 Years |
Greater than 5 Years |
Total |
||||||||||||
As of September 2019 |
||||||||||||||||
Assets |
||||||||||||||||
Interest rates |
$ |
$ |
$ |
$ |
||||||||||||
Credit |
|
|
|
|
||||||||||||
Currencies |
|
|
|
|
||||||||||||
Commodities |
|
|
|
|
||||||||||||
Equities |
|
|
|
|
||||||||||||
Counterparty netting in tenors |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Subtotal |
$ |
$ |
$ |
$ |
||||||||||||
Cross-tenor counterparty netting |
( |
) | ||||||||||||||
Cash collateral netting |
( |
) | ||||||||||||||
Total OTC derivative assets |
$ |
|||||||||||||||
Liabilities |
||||||||||||||||
Interest rates |
$ |
$ |
$ |
$ |
||||||||||||
Credit |
|
|
|
|
||||||||||||
Currencies |
|
|
|
|
||||||||||||
Commodities |
|
|
|
|
||||||||||||
Equities |
|
|
|
|
||||||||||||
Counterparty netting in tenors |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Subtotal |
$ |
$ |
$ |
$ |
||||||||||||
Cross-tenor counterparty netting |
( |
) | ||||||||||||||
Cash collateral netting |
( |
) | ||||||||||||||
Total OTC derivative liabilities |
$ |
|||||||||||||||
As of December 2018 |
||||||||||||||||
Assets |
||||||||||||||||
Interest rates |
$ |
$ |
$ |
$ |
||||||||||||
Credit |
|
|
|
|
||||||||||||
Currencies |
|
|
|
|
||||||||||||
Commodities |
|
|
|
|
||||||||||||
Equities |
|
|
|
|
||||||||||||
Counterparty netting in tenors |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Subtotal |
$ |
$ |
$ |
$ |
||||||||||||
Cross-tenor counterparty netting |
( |
) | ||||||||||||||
Cash collateral netting |
( |
) | ||||||||||||||
Total OTC derivative assets |
$ |
|||||||||||||||
Liabilities |
||||||||||||||||
Interest rates |
$ |
$ |
$ |
$ |
||||||||||||
Credit |
|
|
|
|
||||||||||||
Currencies |
|
|
|
|
||||||||||||
Commodities |
|
|
|
|
||||||||||||
Equities |
|
|
|
|
||||||||||||
Counterparty netting in tenors |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||
Subtotal |
$ |
$ |
$ |
$ |
||||||||||||
Cross-tenor counterparty netting |
( |
) | ||||||||||||||
Cash collateral netting |
( |
) | ||||||||||||||
Total OTC derivative liabilities |
$ |
• |
Tenor is based on remaining contractual maturity. |
• |
Counterparty netting within the same product type and tenor category is included within such product type and tenor category. |
• |
Counterparty netting across product types within the same tenor category is included in counterparty netting in tenors. Where the counterparty netting is across tenor categories, the netting is included in cross-tenor counterparty netting. |
Goldman Sachs September 2019 Form 10-Q |
28 |
• |
Credit Default Swaps. |
• |
Credit Options. |
• |
Credit Indices, Baskets and Tranches. pro-rata portion of the transaction’s total notional amount based on the underlying defaulted reference obligation. In certain transactions, the credit risk of a basket or index is separated into various portions (tranches), each having different levels of subordination. The most junior tranches cover initial defaults and once losses exceed the notional amount of these junior tranches, any excess loss is covered by the next most senior tranche. |
• |
Total Return Swaps. |
29 |
Goldman Sachs September 2019 Form 10-Q |
Credit Spread on Underlier (basis points) |
||||||||||||||||||||
$ in millions |
0 - 250 |
251 - 500 |
501 - 1,000 |
Greater than 1,000 |
Total |
|||||||||||||||
As of September 2019 |
||||||||||||||||||||
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor |
||||||||||||||||||||
Less than 1 year |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
1 – 5 years |
|
|
|
|
|
|||||||||||||||
Greater than 5 years |
|
|
|
|
|
|||||||||||||||
Total |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Maximum Payout/Notional Amount of Purchased Credit Derivatives |
||||||||||||||||||||
Offsetting |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Other |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Fair Value of Written Credit Derivatives |
||||||||||||||||||||
Asset |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Liability |
|
|
|
|
|
|||||||||||||||
Net asset/(liability) |
$ |
$ ( |
) |
$ ( |
) |
$ ( |
) |
$ |
||||||||||||
As of December 2018 |
||||||||||||||||||||
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor |
||||||||||||||||||||
Less than 1 year |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
1 – 5 years |
|
|
|
|
|
|||||||||||||||
Greater than 5 years |
|
|
|
|
|
|||||||||||||||
Total |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Maximum Payout/Notional Amount of Purchased Credit Derivatives |
||||||||||||||||||||
Offsetting |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Other |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Fair Value of Written Credit Derivatives |
||||||||||||||||||||
Asset |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
Liability |
|
|
|
|
|
|||||||||||||||
Net asset/(liability) |
$ |
$ ( |
) | $ ( |
) | $ ( |
) | $ |
• |
Fair values exclude the effects of both netting of receivable balances with payable balances under enforceable netting agreements, and netting of cash received or posted under enforceable credit support agreements, and therefore are not representative of the firm’s credit exposure. |
• |
Tenor is based on remaining contractual maturity. |
• |
The credit spread on the underlier, together with the tenor of the contract, are indicators of payment/performance risk. The firm is less likely to pay or otherwise be required to perform where the credit spread and the tenor are lower. |
• |
Offsetting purchased credit derivatives represent the notional amount of purchased credit derivatives that economically hedge written credit derivatives with identical underliers. |
• |
Other purchased credit derivatives represent the notional amount of all other purchased credit derivatives not included in offsetting. |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Fair value of assets |
$ |
$ |
||||||
Fair value of liabilities |
|
|
||||||
Net liability |
$ |
$ |
||||||
Notional amount |
$ |
$ |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Net derivative liabilities under bilateral agreements |
$ |
$ |
||||||
Collateral posted |
$ |
$ |
||||||
Additional collateral or termination payments: |
||||||||
One-notch downgrade |
$ |
$ |
||||||
Two-notch downgrade |
$ |
$ |
Goldman Sachs September 2019 Form 10-Q |
30 |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Interest rate hedges |
$ |
$ ( |
) |
$ |
$ ( |
) | ||||||||||||
Hedged borrowings and deposits |
$ ( |
) |
$ |
$ ( |
) |
$ |
||||||||||||
Interest expense |
$ |
$ |
$ |
$ |
$ in millions |
Carrying Value |
Cumulative Hedging Adjustment |
||||||
As of September 2019 |
||||||||
Deposits |
$ |
$ |
||||||
Unsecured short-term borrowings |
$ |
$ |
||||||
Unsecured long-term borrowings |
$ |
$ |
||||||
As of December 2018 |
||||||||
Deposits |
$ |
$ ( |
) | |||||
Unsecured short-term borrowings |
$ |
$ ( |
) | |||||
Unsecured long-term borrowings |
$ |
$ |
31 |
Goldman Sachs September 2019 Form 10-Q |
Three Months Ended September |
|
Nine Months Ended September |
||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Hedges: |
||||||||||||||||||
Foreign currency forward contract |
$ |
$ |
$ |
$ |
||||||||||||||
Foreign currency-denominated debt |
$ |
$ |
$ ( |
) |
$ |
• |
Reflect economic events in earnings on a timely basis; |
• |
Mitigate volatility in earnings from using different measurement attributes (e.g., transfers of financial instruments owned accounted for as financings are recorded at fair value, whereas the related secured financing would be recorded on an accrual basis absent electing the fair value option); and |
• |
Address simplification and cost-benefit considerations (e.g., accounting for hybrid financial instruments at fair value in their entirety versus bifurcation of embedded derivatives and hedge accounting for debt hosts). |
• |
Repurchase agreements and substantially all resale agreements; |
• |
Securities borrowed and loaned in Fixed Income, Currency and Commodities (FICC) Client Execution; |
• |
Substantially all other secured financings, including transfers of assets accounted for as financings; |
• |
Certain unsecured short-term and long-term borrowings, substantially all of which are hybrid financial instruments; |
• |
Certain customer and other receivables, including transfers of assets accounted for as secured loans and certain margin loans; and |
• |
Certain time deposits (deposits with no stated maturity are not eligible for a fair value option election), including structured certificates of deposit, which are hybrid financial instruments. |
Goldman Sachs September 2019 Form 10-Q |
32 |
$ in millions |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
As of September 2019 |
|||||||||||||||||
Assets |
|||||||||||||||||
Resale agreements |
$ – |
$ |
$ – |
$ |
|||||||||||||
Securities borrowed |
– |
– |
|||||||||||||||
Customer and other receivables |
– |
– |
|||||||||||||||
Total |
$ – |
$ |
$ – |
$ |
|||||||||||||
Liabilities |
|||||||||||||||||
Deposits |
$ – |
$ ( |
) |
$ ( |
) |
$ ( |
) | ||||||||||
Repurchase agreements |
– |
( |
) |
( |
) |
( |
) | ||||||||||
Securities loaned |
– |
( |
) |
– |
( |
) | |||||||||||
Other secured financings |
– |
( |
) |
( |
) |
( |
) | ||||||||||
Unsecured borrowings: |
|||||||||||||||||
Short-term |
– |
( |
) |
( |
) |
( |
) | ||||||||||
Long-term |
– |
( |
) |
( |
) |
( |
) | ||||||||||
Other liabilities |
– |
( |
) |
( |
) |
( |
) | ||||||||||
Total |
$ – |
$ ( |
) |
$ ( |
) |
$ ( |
) | ||||||||||
As of December 2018 |
|||||||||||||||||
Assets |
|||||||||||||||||
Resale agreements |
$ |
$ |
$ |
$ |
|||||||||||||
Securities borrowed |
– |
– |
|||||||||||||||
Customer and other receivables |
– |
||||||||||||||||
Total |
$ |
$ |
$ |
$ |
|||||||||||||
Liabilities |
|||||||||||||||||
Deposits |
$ |
$ ( |
) |
$ ( |
) |
$ |
) | ||||||||||
Repurchase agreements |
– |
( |
) |
( |
) |
( |
) | ||||||||||
Securities loaned |
– |
( |
) |
– |
( |
) | |||||||||||
Other secured financings |
– |
( |
) |
( |
) |
( |
) | ||||||||||
Unsecured borrowings: |
|||||||||||||||||
Short-term |
– |
( |
) |
( |
) |
( |
) | ||||||||||
Long-term |
– |
( |
) |
( |
) |
( |
) | ||||||||||
Other liabilities |
– |
( |
) |
( |
) |
( |
) | ||||||||||
Total |
$ |
$( |
) |
$( |
) |
$( |
) |
• |
Yield: |
• |
Duration: |
33 |
Goldman Sachs September 2019 Form 10-Q |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Total other financial assets |
||||||||||||||||||
Beginning balance |
$ |
$ |
$ |
$ |
||||||||||||||
Net realized gains/(losses) |
– |
|||||||||||||||||
Net unrealized gains/(losses) |
( |
) |
( |
) |
||||||||||||||
Settlements |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
Ending balance |
$ – |
$ |
$ – |
$ |
||||||||||||||
Total other financial liabilities |
||||||||||||||||||
Beginning balance |
$( |
) |
$( |
) |
$( |
) |
$( |
) | ||||||||||
Net realized gains/(losses) |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
Net unrealized gains/(losses) |
( |
) |
( |
) |
( |
) |
||||||||||||
Sales |
– |
– |
– |
|||||||||||||||
Issuances |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
Settlements |
||||||||||||||||||
Transfers into level 3 |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
Transfers out of level 3 |
||||||||||||||||||
Ending balance |
$( |
) |
$( |
) |
$( |
) |
$( |
) |
• |
Changes in fair value are presented for all other financial assets and financial liabilities that are classified in level 3 as of the end of the period. |
• |
Net unrealized gains/(losses) relates to instruments that were still held at period-end. |
• |
Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. If a financial asset or financial liability was transferred to level 3 during a reporting period, its entire gain or loss for the period is classified in level 3. |
• |
For level 3 other financial assets, increases are shown as positive amounts, while decreases are shown as negative amounts. For level 3 other financial liabilities, increases are shown as negative amounts, while decreases are shown as positive amounts. |
• |
Level 3 other financial assets and financial liabilities are frequently economically hedged with cash instruments and derivatives. Accordingly, gains or losses that are classified in level 3 can be partially offset by gains or losses attributable to level 1, 2 or 3 cash instruments or derivatives. As a result, gains or losses included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources. |
Goldman Sachs September 2019 Form 10-Q |
34 |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||||
Deposits |
||||||||||||||||||||
Beginning balance |
$ ( |
) |
$ ( |
) |
$ ( |
) |
$ ( |
) | ||||||||||||
Net realized gains/(losses) |
– |
( |
) |
( |
) |
( |
) | |||||||||||||
Net unrealized gains/(losses) |
( |
) |
( |
) |
||||||||||||||||
Issuances |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Settlements |
||||||||||||||||||||
Transfers into level 3 |
( |
) |
– |
( |
) |
( |
) | |||||||||||||
Transfers out of level 3 |
||||||||||||||||||||
Ending balance |
$ ( |
) |
$ ( |
) |
$ ( |
) |
$ ( |
) | ||||||||||||
Repurchase agreements |
||||||||||||||||||||
Beginning balance |
$ |
) |
$ ( |
) |
$ |
) |
$ ( |
) | ||||||||||||
Net unrealized gains/(losses) |
– |
( |
) |
– |
||||||||||||||||
Settlements |
– |
|||||||||||||||||||
Ending balance |
$ |
) |
$ ( |
) |
$ |
) |
$ ( |
) | ||||||||||||
Other secured financings |
||||||||||||||||||||
Beginning balance |
$ |
) |
$ ( |
) |
$ |
) |
$ ( |
) | ||||||||||||
Net realized gains/(losses) |
||||||||||||||||||||
Net unrealized gains/(losses) |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Issuances |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Settlements |
||||||||||||||||||||
Transfers into level 3 |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Transfers out of level 3 |
– |
– |
||||||||||||||||||
Ending balance |
$ |
) |
$ ( |
) |
$ |
) |
$ ( |
) | ||||||||||||
Unsecured short-term borrowings |
||||||||||||||||||||
Beginning balance |
$ ( |
) |
$ ( |
) |
$ ( |
) |
$ ( |
) | ||||||||||||
Net realized gains/(losses) |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Net unrealized gains/(losses) |
( |
) |
( |
) |
||||||||||||||||
Issuances |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Settlements |
||||||||||||||||||||
Transfers into level 3 |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Transfers out of level 3 |
||||||||||||||||||||
Ending balance |
$ ( |
) |
$ ( |
) |
$ ( |
) |
$ ( |
) | ||||||||||||
Unsecured long-term borrowings |
||||||||||||||||||||
Beginning balance |
$( |
) |
$ ( |
) |
$( |
) |
$ ( |
) | ||||||||||||
Net realized gains/(losses) |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Net unrealized gains/(losses) |
( |
) |
( |
) |
( |
) |
||||||||||||||
Sales |
– |
– |
– |
|||||||||||||||||
Issuances |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Settlements |
||||||||||||||||||||
Transfers into level 3 |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Transfers out of level 3 |
||||||||||||||||||||
Ending balance |
$( |
) |
$( |
) |
$( |
) |
$( |
) | ||||||||||||
Other liabilities |
||||||||||||||||||||
Beginning balance |
$ |
) |
$ ( |
) |
$ |
) |
$ ( |
) | ||||||||||||
Net realized gains/(losses) |
||||||||||||||||||||
Net unrealized gains/(losses) |
( |
) |
( |
) |
( |
) | ||||||||||||||
Issuances |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Ending balance |
$ |
) |
$ ( |
) |
$ |
) |
$ ( |
) |
35 |
Goldman Sachs September 2019 Form 10-Q |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Unsecured short-term borrowings |
$ |
) |
$( |
) | $( |
) |
$ ( |
) | ||||||||||
Unsecured long-term borrowings |
( |
) |
( |
) |
||||||||||||||
Other liabilities |
( |
) |
( |
) |
( |
) | ||||||||||||
Other |
( |
) |
( |
) | ( |
) |
( |
) | ||||||||||
Total |
$( |
) |
$( |
) | $( |
) |
$ |
• |
Gains/(losses) are included in market making and other principal transactions. |
• |
Gains/(losses) exclude contractual interest, which is included in interest income and interest expense, for all instruments other than hybrid financial instruments. See Note 23 for further information about interest income and interest expense. |
• |
Gains/(losses) included in unsecured short-term and long-term borrowings were substantially all related to the embedded derivative component of hybrid financial instruments for both the three and nine months ended September 2019 and September 2018. These gains and losses would have been recognized under other U.S. GAAP even if the firm had not elected to account for the entire hybrid financial instrument at fair value. |
• |
Other primarily consists of gains/(losses) on customer and other receivables, deposits and other secured financings. |
Goldman Sachs September 2019 Form 10-Q |
36 |
As of |
|||||||
|
|||||||
$ in millions |
September 2019 |
December 2018 |
|||||
Performing loans and long-term receivables |
|||||||
Aggregate contractual principal in excess of fair value |
$ |
$ |
|||||
Loans on nonaccrual status and/or more than 90 days past due |
|||||||
Aggregate contractual principal in excess of fair value |
$ |
$ |
|||||
Aggregate fair value of loans on nonaccrual status and/or more than 90 days past due |
$ |
$ |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
DVA (pre-tax) |
$ |
$ ( |
) |
$ ( |
) |
$ |
||||||||||||
DVA (net of tax) |
$ |
$ ( |
) |
$ ( |
) |
$ |
• |
DVA (net of tax) is included in debt valuation adjustment in the consolidated statements of comprehensive income. |
• |
The gains/(losses) reclassified to earnings from accumulated other comprehensive income/(loss) upon extinguishment of such financial liabilities were not material for both the three and nine months ended September 2019 and September 2018. |
37 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Corporate loans |
$ |
$ |
||||||
PWM loans |
||||||||
Commercial real estate loans |
||||||||
Residential real estate loans |
||||||||
Consumer loans |
||||||||
Other loans |
||||||||
Total loans receivable, gross |
||||||||
Allowance for loan losses |
( |
) |
( |
) | ||||
Total loans receivable |
$ |
$ |
• |
Corporate Loans. |
• |
Private Wealth Management (PWM) Loans. |
• |
Commercial Real Estate Loans. |
• |
Residential Real Estate Loans. |
• |
Consumer Loans. |
• |
Other Loans. |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Corporate |
$ |
$ |
||||||
Credit card |
– |
|||||||
Other |
||||||||
Total |
$ |
$ |
• |
Corporate lending commitments primarily relates to the firm’s relationship lending activities. |
• |
Credit card lending commitments represents credit card lines issued by the firm to consumers. These credit card lines are cancelable by the firm. |
• |
Other lending commitments primarily relates to lending commitments extended to clients who warehouse assets backed by real estate and other assets and in connection with commercial real estate financing. |
• |
The carrying value of lending commitments was liabilit a y of $ |
• |
The estimated fair value of such lending commitments was liabilit a y of $b illion as of September 2019 and $ |
Goldman Sachs September 2019 Form 10-Q |
38 |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Commercial real estate loans |
$ |
$ |
||||||
Residential real estate loans |
||||||||
Other loans |
– |
|||||||
Total gross carrying value |
$ |
$ |
||||||
Total outstanding principal balance |
$ |
$ |
||||||
Total accretable yield |
$ |
$ |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Acquired during the period |
||||||||||||||||||
Fair value |
$ |
$ |
$ |
$ |
||||||||||||||
Expected cash flows |
$ |
$ |
$ |
$ |
||||||||||||||
Contractually required cash flows |
$ |
$ |
$ |
$ |
• |
Fair value, expected cash flows and contractually required cash flows were as of the acquisition date. |
• |
Expected cash flows represents the cash flows expected to be received over the life of the loan or as a result of liquidation of the underlying collateral. |
• |
Contractually required cash flows represents cash flows required to be repaid by the borrower over the life of the loan. |
$ in millions |
Loans |
Lending Commitments |
Total |
|||||||||
Credit Rating Equivalent |
||||||||||||
As of September 2019 |
||||||||||||
Investment-grade |
$ |
$ |
$ |
|||||||||
Non-investment-grade |
||||||||||||
Total |
$ |
$ |
$ |
|||||||||
As of December 2018 |
||||||||||||
Investment-grade |
$ |
$ |
$ |
|||||||||
Non-investment-grade |
||||||||||||
Total |
$ |
$ |
$ |
|||||||||
Regulatory Risk Rating |
||||||||||||
As of September 2019 |
||||||||||||
Non-criticized/pass |
$ |
$ |
$ |
|||||||||
Criticized |
||||||||||||
Total |
$ |
$ |
$ |
|||||||||
As of December 2018 |
||||||||||||
Non-criticized/pass |
$ |
$ |
$ |
|||||||||
Criticized |
||||||||||||
Total |
$ |
$ |
$ |
39 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Consumer loans, gross |
$ |
$ |
||||||
Refreshed FICO credit score |
||||||||
Greater than or equal to 660 |
||||||||
Less than 660 |
||||||||
Total |
• |
Specific loan-level reserves are determined on loans (excluding PCI loans) that exhibit credit quality weakness and are therefore individually evaluated for impairment. |
• |
Portfolio level reserves are determined on loans (excluding PCI loans) not evaluated for specific loan-level reserves by aggregating groups of loans with similar risk characteristics and estimating the probable loss inherent in the portfolio. |
• |
Reserves on PCI loans are recorded when it is determined that the expected cash flows, which are reassessed on a quarterly basis, will be lower than those used to establish the current effective yield for such loans or pools of loans. If the expected cash flows are determined to be significantly higher than those used to establish the current effective yield, such increases are initially recognized as a reduction to any previously recorded allowances for loan losses and any remaining increases are recognized as interest income prospectively over the life of the loan or pools of loans as an increase to the effective yield. |
Goldman Sachs September 2019 Form 10-Q |
40 |
$ in millions |
Specific |
Portfolio |
PCI |
Total |
||||||||||||
As of September 2019 |
||||||||||||||||
Loans Receivable |
||||||||||||||||
Corporate loans |
$ |
$ |
$ – |
$ |
||||||||||||
PWM loans |
|
|
– |
|
||||||||||||
Commercial real estate loans |
|
|
|
|
||||||||||||
Residential real estate loans |
|
|
|
|
||||||||||||
Consumer loans |
– |
|
– |
|
||||||||||||
Other loans |
– |
|
– |
|
||||||||||||
Total |
$ |
$ |
$ |
$ |
||||||||||||
Lending Commitments |
||||||||||||||||
Corporate |
$ |
$ |
$ – |
$ |
||||||||||||
Credit card |
|
|
– |
|
|
|
|
|
|
|
– |
|
|
|
|
|
Other |
|
|
– |
|
||||||||||||
Total |
$ |
$ |
$ – |
$ |
||||||||||||
As of December 2018 |
||||||||||||||||
Loans Receivable |
||||||||||||||||
Corporate loans |
$ |
$ |
$ |
$ |
||||||||||||
PWM loans |
|
|
– |
|
||||||||||||
Commercial real estate loans |
|
|
|
|
||||||||||||
Residential real estate loans |
|
|
|
|
||||||||||||
Consumer loans |
– |
|
– |
|
||||||||||||
Other loans |
– |
|
|
|
||||||||||||
Total |
$ |
$ |
$ |
$ |
||||||||||||
Lending Commitments |
||||||||||||||||
Corporate |
$ |
$ |
$ |
$ |
||||||||||||
Other |
– |
|
– |
|
||||||||||||
Total |
$ |
$ |
$ |
$ |
• |
Gross loans receivable and lending commitments, subject to specific loan-level reserves, included $ |
• |
Gross loans receivable deemed impaired and subject to specific loan-level reserves as a percentage of total gross loans receivable was |
Nine Months Ended September 2019 |
|
Year Ended December 2018 |
||||||||||||||||
$ in millions |
Loans Receivable |
Lending Commitments |
Loans Receivable |
Lending Commitments |
||||||||||||||
Changes in the allowance for credit losses |
||||||||||||||||||
Beginning balance |
$ |
$ |
$ |
$ |
||||||||||||||
Net charge-offs |
( |
) |
– |
( |
) |
– |
||||||||||||
Provision |
|
|
|
|
||||||||||||||
Other |
( |
) |
– |
( |
) |
( |
) | |||||||||||
Ending balance |
$ |
$ |
$ |
$ |
||||||||||||||
Allowance for losses by impairment methodology |
||||||||||||||||||
Specific |
$ |
$ |
$ |
$ |
||||||||||||||
Portfolio |
|
|
|
|
||||||||||||||
PCI |
|
– |
|
– |
||||||||||||||
Total |
$ |
$ |
$ |
$ |
• |
Net charge-offs were primarily related to consumer loans for the nine months ended September 2019 and consumer loans and commercial real estate PCI loans for the year ended December 2018. |
• |
The provision for credit losses was primarily related to consumer loans and corporate loans for both the nine months ended September 2019 and the year ended December 2018. |
• |
Other represents the reduction to the allowance related to loans and lending commitments transferred to held for sale. |
• |
Portfolio level reserves were primarily related to corporate loans and lending commitments. Specific loan-level reserves were substantially all related to corporate loans. Reserves on PCI loans were related to real estate loans. |
• |
Substantially all of the allowance for losses on lending commitments was related to corporate lending commitments. |
• |
Allowance for loan losses as a percentage of total gross loans receivable was |
• |
Net charge-offs as a percentage of average total gross loans receivable were |
41 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Resale agreements |
$ |
$ |
||||||
Securities borrowed |
$ |
$ |
||||||
Repurchase agreements |
$ |
$ |
||||||
Securities loaned |
$ |
$ |
• |
Substantially all resale agreements and all repurchase agreements are carried at fair value under the fair value option. See Note 8 for further information about the valuation techniques and significant inputs used to determine fair value. |
• |
Securities borrowed of $30.00 billion as of September 2019 and $23.14 billion as of December 2018, and securities loaned of $2.62 billion as of September 2019 and $3.24 billion as of December 2018 were at fair value. |
Goldman Sachs September 2019 Form 10-Q |
42 |
Assets |
Liabilities |
|||||||||||||||||
$ in millions |
Resale agreements |
Securities borrowed |
|
Repurchase agreements |
Securities loaned |
|||||||||||||
As of September 2019 |
||||||||||||||||||
Included in consolidated statements of financial condition |
||||||||||||||||||
Gross carrying value |
$ |
$ |
$ |
$ |
||||||||||||||
Counterparty netting |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
Total |
|
|
|
|
||||||||||||||
Amounts not offset |
||||||||||||||||||
Counterparty netting |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
Collateral |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||
Total |
$ |
$ |
$ |
$ |
||||||||||||||
As of December 2018 |
||||||||||||||||||
Included in consolidated statements of financial condition |
||||||||||||||||||
Gross carrying value |
$ |
$ |
$ |
$ |
||||||||||||||
Counterparty netting |
( |
) |
( |
) | ( |
) | ( |
) | ||||||||||
Total |
|
|
|
|
||||||||||||||
Amounts not offset |
||||||||||||||||||
Counterparty netting |
( |
) |
( |
) | ( |
) | ( |
) | ||||||||||
Collateral |
( |
) |
( |
) | ( |
) | ( |
) | ||||||||||
Total |
$ |
$ |
$ |
$ |
• |
Substantially all of the gross carrying values of these arrangements are subject to enforceable netting agreements. |
• |
Where the firm has received or posted collateral under credit support agreements, but has not yet determined such agreements are enforceable, the related collateral has not been netted. |
• |
Amounts not offset includes counterparty netting that does not meet the criteria for netting under U.S. GAAP and the fair value of collateral received or posted subject to enforceable credit support agreements. |
$ in millions |
Repurchase agreements |
Securities loaned |
||||||
As of September 2019 |
||||||||
Money market instruments |
$ |
$ – |
||||||
U.S. government and agency obligations |
|
– |
||||||
Non-U.S. government and agency obligations |
|
|
||||||
Securities backed by commercial real estate |
|
– |
||||||
Securities backed by residential real estate |
|
– |
||||||
Corporate debt securities |
|
|
||||||
State and municipal obligations |
|
– |
||||||
Other debt obligations |
|
– |
||||||
Equity securities |
|
|
||||||
Total |
$ |
$ |
||||||
As of December 2018 |
||||||||
Money market instruments |
$ |
$ |
||||||
U.S. government and agency obligations |
|
– |
||||||
Non-U.S. government and agency obligations |
|
|
||||||
Securities backed by commercial real estate |
|
– |
||||||
Securities backed by residential real estate |
|
– |
||||||
Corporate debt securities |
|
|
||||||
Other debt obligations |
|
– |
||||||
Equity securities |
|
|
||||||
Total |
$ |
$ |
As of September 2019 |
||||||||
$ in millions |
Repurchase agreements |
Securities loaned |
||||||
No stated maturity and overnight |
$ |
$ |
||||||
2 - 30 days |
|
|
||||||
31 - 90 days |
|
|
||||||
91 days - 1 year |
|
|
||||||
Greater than 1 year |
|
– |
||||||
Total |
$ |
$ |
• |
Repurchase agreements and securities loaned that are repayable prior to maturity at the option of the firm are reflected at their contractual maturity dates. |
• |
Repurchase agreements and securities loaned that are redeemable prior to maturity at the option of the holder are reflected at the earliest dates such options become exercisable. |
43 |
Goldman Sachs September 2019 Form 10-Q |
• |
Liabilities of consolidated VIEs; |
• |
Transfers of assets accounted for as financings rather than sales (e.g., collateralized central bank financings, pledged commodities, bank loans and mortgage whole loans); and |
• |
Other structured financing arrangements. |
$ in millions |
U.S. Dollar |
Non-U.S. Dollar |
Total |
|||||||||
As of September 2019 |
||||||||||||
Other secured financings (short-term): |
||||||||||||
At fair value |
$ |
$ |
$ |
|||||||||
At amortized cost |
|
– |
|
|||||||||
Other secured financings (long-term): |
||||||||||||
At fair value |
|
|
|
|||||||||
At amortized cost |
|
– |
|
|||||||||
Total other secured financings |
$ |
$ |
$ |
|||||||||
Other secured financings collateralized by: |
||||||||||||
Financial instruments |
$ |
$ |
$ |
|||||||||
Other assets |
$ |
$ |
$ |
|||||||||
As of December 2018 |
||||||||||||
Other secured financings (short-term): |
||||||||||||
At fair value |
$ |
$ |
$ |
|||||||||
At amortized cost |
– |
– |
– |
|||||||||
Other secured financings (long-term): |
||||||||||||
At fair value |
|
|
|
|||||||||
At amortized cost |
|
– |
|
|||||||||
Total other secured financings |
$ |
$ |
$ |
|||||||||
Other secured financings collateralized by: |
||||||||||||
Financial instruments |
$ |
$ |
$ |
|||||||||
Other assets |
$ |
$ |
$ |
• |
Short-term other secured financings includes financings maturing within one year of the financial statement date and financings that are redeemable within one year of the financial statement date at the option of the holder. |
• |
U.S. dollar-denominated short-term other secured financings at amortized cost had a weighted average interest rate of |
• |
U.S. dollar-denominated long-term other secured financings at amortized cost had a weighted average interest rate of |
• |
Total other secured financings included $ |
• |
Other secured financings collateralized by financial instruments included $ |
Goldman Sachs September 2019 Form 10-Q |
44 |
$ in millions |
As of September 2019 |
|||
Other secured financings (short-term) |
$ |
|||
Other secured financings (long-term): |
||||
2020 |
|
|||
2021 |
|
|||
2022 |
|
|||
2023 |
|
|||
2024 |
|
|||
2025 - thereafter |
|
|||
Total other secured financings (long-term) |
|
|||
Total other secured financings |
$ |
• |
Long-term other secured financings that are repayable prior to maturity at the option of the firm are reflected at their contractual maturity dates. |
• |
Long-term other secured financings that are redeemable prior to maturity at the option of the holder are reflected at the earliest dates such options become exercisable. |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Collateral available to be delivered or repledged |
$ |
$ |
||||||
Collateral that was delivered or repledged |
$ |
$ |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Financial instruments owned pledged to counterparties that: |
||||||||
Had the right to deliver or repledge |
$ |
$ |
||||||
Did not have the right to deliver or repledge |
$ |
$ |
||||||
Other assets pledged to counterparties that did not have the right to deliver or repledge |
$ |
$ |
45 |
Goldman Sachs September 2019 Form 10-Q |
Three Months Ended September |
|
Nine Months Ended September |
||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Residential mortgages |
$ |
$ |
$ |
$ |
||||||||||||||
Commercial mortgages |
|
|
|
|
||||||||||||||
Other financial assets |
|
|
|
|
||||||||||||||
Total financial assets securitized |
$ |
$ |
$ |
$ |
||||||||||||||
Retained interests cash flows |
$ |
$ |
$ |
$ |
$ in millions |
Outstanding Principal Amount |
Retained Interests |
Purchased Interests |
|||||||||
As of September 2019 |
||||||||||||
U.S. government agency-issued collateralized mortgage obligations |
$ |
$ |
$ |
|||||||||
Other residential mortgage-backed |
|
|
|
|||||||||
Other commercial mortgage-backed |
|
|
|
|||||||||
Corporate debt and other asset-backed |
|
|
– |
|||||||||
Total |
$ |
$ |
$ |
|||||||||
As of December 2018 |
||||||||||||
U.S. government agency-issued collateralized mortgage obligations |
$ |
$ |
$ |
|||||||||
Other residential mortgage-backed |
|
|
|
|||||||||
Other commercial mortgage-backed |
|
|
|
|||||||||
Corporate debt and other asset-backed |
|
|
|
|||||||||
Total |
$ |
$ |
$ |
• |
The outstanding principal amount is presented for the purpose of providing information about the size of the securitization entities and is not representative of the firm’s risk of loss. |
• |
The firm’s risk of loss from retained or purchased interests is limited to the carrying value of these interests. |
• |
Purchased interests represent senior and subordinated interests, purchased in connection with secondary market-making activities, in securitization entities in which the firm also holds retained interests. |
• |
Substantially all of the total outstanding principal amount and total retained interests relate to securitizations during 2014 and thereafter. |
• |
The fair value of retained interests was $ |
Goldman Sachs September 2019 Form 10-Q |
46 |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Fair value of retained interests |
$ |
$ |
||||||
Weighted average life (years) |
||||||||
Constant prepayment rate |
||||||||
Impact of 10% adverse change |
$ ( |
) |
$ ( |
) | ||||
Impact of 20% adverse change |
$ ( |
) |
$ ( |
) | ||||
Discount rate |
||||||||
Impact of 10% adverse change |
$ ( |
) |
$ ( |
) | ||||
Impact of 20% adverse change |
$ ( |
) |
$ ( |
) |
• |
Amounts do not reflect the benefit of other financial instruments that are held to mitigate risks inherent in these retained interests. |
• |
Changes in fair value based on an adverse variation in assumptions generally cannot be extrapolated because the relationship of the change in assumptions to the change in fair value is not usually linear. |
• |
The impact of a change in a particular assumption is calculated independently of changes in any other assumption. In practice, simultaneous changes in assumptions might magnify or counteract the sensitivities disclosed above. |
• |
The constant prepayment rate is included only for positions for which it is a key assumption in the determination of fair value. |
• |
The discount rate for retained interests that relate to U.S. government agency-issued collateralized mortgage obligations does not include any credit loss. Expected credit loss assumptions are reflected in the discount rate for the remainder of retained interests. |
• |
Which variable interest holder has the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance; |
• |
Which variable interest holder has the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE; |
• |
The VIE’s purpose and design, including the risks the VIE was designed to create and pass through to its variable interest holders; |
• |
The VIE’s capital structure; |
• |
The terms between the VIE and its variable interest holders and other parties involved with the VIE; and |
• |
Related-party relationships. |
47 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Total nonconsolidated VIEs |
||||||||
Assets in VIEs |
$ |
$ |
||||||
Carrying value of variable interests — assets |
$ |
$ |
||||||
Carrying value of variable interests — liabilities |
$ |
$ |
||||||
Maximum exposure to loss: |
||||||||
Retained interests |
$ |
$ |
||||||
Purchased interests |
||||||||
Commitments and guarantees |
||||||||
Derivatives |
||||||||
Loans and investments |
||||||||
Total maximum exposure to loss |
$ |
$ |
• |
The nature of the firm’s variable interests is described in the rows under maximum exposure to loss. |
• |
The firm’s exposure to the obligations of VIEs is generally limited to its interests in these entities. In certain instances, the firm provides guarantees, including derivative guarantees, to VIEs or holders of variable interests in VIEs. |
• |
The maximum exposure to loss excludes the benefit of offsetting financial instruments that are held to mitigate the risks associated with these variable interests. |
• |
The maximum exposure to loss from retained interests, purchased interests, and loans and investments is the carrying value of these interests. |
• |
The maximum exposure to loss from commitments and guarantees, and derivatives is the notional amount, which does not represent anticipated losses and has not been reduced by unrealized losses. As a result, the maximum exposure to loss exceeds liabilities recorded for commitments and guarantees, and derivatives. |
Goldman Sachs September 2019 Form 10-Q |
48 |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Mortgage-backed |
||||||||
Assets in VIEs |
$ |
$ |
||||||
Carrying value of variable interests — assets |
$ |
$ |
||||||
Maximum exposure to loss: |
||||||||
Retained interests |
$ |
$ |
||||||
Purchased interests |
|
|
||||||
Commitments and guarantees |
|
|
||||||
Derivatives |
|
|
||||||
Total maximum exposure to loss |
$ |
$ |
||||||
Real estate, credit- and power-related and other investing |
||||||||
Assets in VIEs |
$ |
$ |
||||||
Carrying value of variable interests — assets |
$ |
$ |
||||||
Carrying value of variable interests — liabilities |
$ |
$ |
||||||
Maximum exposure to loss: |
||||||||
Commitments and guarantees |
$ |
$ |
||||||
Derivatives |
|
|
||||||
Loans and investments |
|
|
||||||
Total maximum exposure to loss |
$ |
$ |
||||||
Corporate debt and other asset-backed |
||||||||
Assets in VIEs |
$ |
$ |
||||||
Carrying value of variable interests — assets |
$ |
$ |
||||||
Carrying value of variable interests — liabilities |
$ |
$ |
||||||
Maximum exposure to loss: |
||||||||
Retained interests |
$ |
$ |
||||||
Purchased interests |
|
|
||||||
Commitments and guarantees |
|
|
||||||
Derivatives |
|
|
||||||
Loans and investments |
|
|
||||||
Total maximum exposure to loss |
$ |
$ |
||||||
Investments in funds |
||||||||
Assets in VIEs |
$ |
$ |
||||||
Carrying value of variable interests — assets |
$ |
$ |
||||||
Maximum exposure to loss: |
||||||||
Commitments and guarantees |
$ |
$ |
||||||
Derivatives |
|
|
||||||
Loans and investments |
|
|
||||||
Total maximum exposure to loss |
$ |
$ |
• |
Mortgage-backed: Assets were primarily included in financial instruments owned and loans receivable. |
• |
Real estate, credit- and power-related and other investing: Assets were primarily included in financial instruments owned and liabilities were included in financial instruments sold, but not yet purchased and other liabilities. |
• |
Corporate debt and other asset-backed: Assets were primarily included in loans receivable and liabilities were included in financial instruments sold, but not yet purchased. |
• |
Investments in funds: Assets were included in financial instruments owned. |
As of |
|||||||
$ in millions |
September 2019 |
December 2018 |
|||||
Total consolidated VIEs |
|||||||
Assets |
|||||||
Cash and cash equivalents |
$ |
$ |
|||||
Loans receivable |
|
|
|||||
Customer and other receivables |
|
|
|||||
Financial instruments owned |
|
|
|||||
Other assets |
|
|
|||||
Total |
$ |
$ |
|||||
Liabilities |
|||||||
Other secured financings |
$ |
$ |
|||||
Customer and other payables |
|
– |
|||||
Financial instruments sold, but not yet purchased |
|
|
|||||
Unsecured short-term borrowings |
|
|
|||||
Unsecured long-term borrowings |
|
|
|||||
Other liabilities |
|
|
|||||
Total |
$ |
$ |
• |
Assets and liabilities are presented net of intercompany eliminations and exclude the benefit of offsetting financial instruments that are held to mitigate the risks associated with the firm’s variable interests. |
• |
VIEs in which the firm holds a majority voting interest are excluded if (i) the VIE meets the definition of a business and (ii) the VIE’s assets can be used for purposes other than the settlement of its obligations. |
• |
Substantially all assets can only be used to settle obligations of the VIE. |
49 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Real estate, credit-related and other investing |
||||||||
Assets |
||||||||
Cash and cash equivalents |
$ |
$ |
||||||
Loans receivable |
|
|
||||||
Customer and other receivables |
|
– |
||||||
Financial instruments owned |
|
|
||||||
Other assets |
|
|
||||||
Total |
$ |
$ |
||||||
Liabilities |
||||||||
Other secured financings |
$ |
$ |
||||||
Customer and other payables |
|
– |
||||||
Financial instruments sold, but not yet purchased |
|
|
||||||
Other liabilities |
|
|
||||||
Total |
$ |
$ |
||||||
Mortgage-backed and other asset-backed |
||||||||
Assets |
||||||||
Loans receivable |
$ – |
$ |
||||||
Customer and other receivables |
– |
|
||||||
Financial instruments owned |
|
|
||||||
Other assets |
– |
|
||||||
Total |
$ |
$ |
||||||
Liabilities |
||||||||
Other secured financings |
$ |
$ |
||||||
Total |
$ |
$ |
||||||
Principal-protected notes |
||||||||
Assets |
||||||||
Financial instruments owned |
$ |
$ |
||||||
Total |
$ |
$ |
||||||
Liabilities |
||||||||
Other secured financings |
$ |
$ |
||||||
Unsecured short-term borrowings |
|
|
||||||
Unsecured long-term borrowings |
|
|
||||||
Total |
$ |
$ |
• |
The majority of the assets in principal-protected notes VIEs are intercompany and are eliminated in consolidation. |
• |
Creditors and beneficial interest holders of real estate, credit-related and other investing VIEs, and mortgage-backed and other asset-backed VIEs do not have recourse to the general credit of the firm. |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Property, leasehold improvements and equipment |
$ |
$ |
||||||
Held-to-maturity securities |
|
|
||||||
Goodwill and identifiable intangible assets |
|
|
||||||
Operating lease right-of-use assets |
|
– |
||||||
Income tax-related assets |
|
|
||||||
Miscellaneous receivables and other |
|
|
||||||
Total |
$ |
$ |
Goldman Sachs September 2019 Form 10-Q |
50 |
$ in millions |
Amortized Cost |
Fair Value |
Weighted Average Yield |
|||||||||
As of September 2019 |
||||||||||||
Less than 5 years |
$ |
$ |
||||||||||
Greater than 5 years |
||||||||||||
Total U.S. government obligations |
||||||||||||
Less than 5 years |
||||||||||||
Greater than 5 years |
||||||||||||
Total securities backed by real estate |
||||||||||||
Total held-to-maturity securities |
$ |
$ |
||||||||||
As of December 2018 |
||||||||||||
Less than 5 years |
$ |
$ |
||||||||||
Total U.S. government obligations |
||||||||||||
Less than 5 years |
||||||||||||
Greater than 5 years |
||||||||||||
Total securities backed by real estate |
||||||||||||
Total held-to-maturity securities |
$ |
$ |
• |
Substantially all of the securities backed by real estate consist of securities backed by residential real estate. |
• |
As these securities are not accounted for at fair value, they are not included in the firm’s fair value hierarchy in Notes 5 through 8. Had these securities been included in the firm’s fair value hierarchy, U.S. government obligations would have been classified in level 1 and substantially all securities backed by real estate would have been classified in level 2 of the fair value hierarchy as of both September 2019 and December 2018. |
• |
The gross unrealized gains were $ million and the gross unrealized losses were not material as of September 2019. Gross unrealized gains/(losses) were not material as of December 2018. |
• |
Held-to-maturity securities in an unrealized loss position are periodically reviewed for other-than-temporary impairment. The firm considers various factors, including market conditions, changes in issuer credit ratings, severity and duration of the unrealized losses, and the intent and ability to hold the security until recovery to determine if the securities are other-than-temporarily impaired. There were no such impairments during each of the three and nine months ended September 2019 and September 2018. |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Investment Banking: |
||||||||
Financial Advisory |
$ |
$ |
||||||
Underwriting |
||||||||
Institutional Client Services: |
||||||||
FICC Client Execution |
||||||||
Equities client execution |
||||||||
Securities services |
||||||||
Investing & Lending |
||||||||
Investment Management |
||||||||
Total |
$ |
$ |
51 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
By Segment |
||||||||
Institutional Client Services: |
||||||||
FICC Client Execution |
$ |
$ |
||||||
Equities client execution |
– |
|||||||
Investing & Lending |
||||||||
Investment Management |
||||||||
Total |
$ |
$ |
||||||
By Type |
||||||||
Customer lists |
||||||||
Gross carrying value |
$ |
$ |
||||||
Accumulated amortization |
( |
) |
( |
) | ||||
Net carrying value |
||||||||
Acquired leases and other |
||||||||
Gross carrying value |
||||||||
Accumulated amortization |
( |
) |
( |
) | ||||
Net carrying value |
||||||||
Total gross carrying value |
||||||||
Total accumulated amortization |
( |
) |
( |
) | ||||
Total net carrying value |
$ |
$ |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||||
Amortization |
$ |
$ |
$ |
$ |
$ in millions |
As of September 2019 |
|||
Estimated future amortization |
||||
Remainder of 2019 |
$ |
|||
2020 |
$ |
|||
2021 |
$ |
|||
2022 |
$ |
|||
2023 |
$ |
|||
2024 |
$ |
Goldman Sachs September 2019 Form 10-Q |
52 |
• |
Investments in qualified affordable housing projects of $ |
• |
Assets classified as held for sale of $ right-of-use asset upon the leaseback. |
• |
Equity-method investments of $ |
$ in millions |
Savings and Demand |
Time |
Total |
|||||||||
As of September 2019 |
||||||||||||
Private bank deposits |
$ |
$ |
$ |
|||||||||
Consumer deposits |
||||||||||||
Brokered certificates of deposit |
– |
|||||||||||
Deposit sweep programs |
– |
|||||||||||
Institutional deposits |
||||||||||||
Total |
$ |
$ |
$ |
|||||||||
As of December 2018 |
||||||||||||
Private bank deposits |
$ |
$ |
$ |
|||||||||
Consumer deposits |
||||||||||||
Brokered certificates of deposit |
– |
|||||||||||
Deposit sweep programs |
– |
|||||||||||
Institutional deposits |
||||||||||||
Total |
$ |
$ |
$ |
• |
Substantially all deposits are interest-bearing. |
• |
Savings and demand accounts consist of money market deposit accounts, negotiable order of withdrawal accounts and demand deposit accounts that have no stated maturity or expiration date. |
• |
Time deposits included $ |
• |
Time deposits had a weighted average maturity of approximately |
• |
Deposit sweep programs represent long-term contractual agreements with U.S. broker-dealers who sweep client cash to FDIC-insured deposits. As of September 2019, the firm had |
• |
Deposits insured by the FDIC were $ |
• |
Deposits insured by the U.K.’s Financial Services Compensation Scheme were $ |
53 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
U.S. offices |
$ |
$ |
||||||
Non-U.S. offices |
||||||||
Total |
$ |
$ |
As of September 2019 |
||||||||||||
$ in millions |
U.S. |
Non-U.S. |
Total |
|||||||||
Remainder of 2019 |
$ |
$ |
$ |
|||||||||
2020 |
||||||||||||
2021 |
||||||||||||
2022 |
||||||||||||
2023 |
||||||||||||
2024 |
||||||||||||
2025 - thereafter |
||||||||||||
Total |
$ |
$ |
$ |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Other secured financings (short-term) |
$ |
$ |
||||||
Unsecured short-term borrowings |
||||||||
Total |
$ |
$ |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Current portion of unsecured long-term borrowings |
$ |
$ |
||||||
Hybrid financial instruments |
||||||||
Other unsecured short-term borrowings |
||||||||
Total unsecured short-term borrowings |
$ |
$ |
||||||
Weighted average interest rate |
Goldman Sachs September 2019 Form 10-Q |
54 |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Other secured financings (long-term) |
$ |
$ |
||||||
Unsecured long-term borrowings |
216,878 |
|||||||
Total |
$ |
$ |
$ in millions |
U.S. Dollar |
Non-U.S. Dollar |
Total |
|||||||||
As of September 2019 |
||||||||||||
Fixed-rate obligations |
$ |
$ |
$ |
|||||||||
Floating-rate obligations |
||||||||||||
Total |
$ |
$ |
$ |
|||||||||
As of December 2018 |
||||||||||||
Fixed-rate obligations |
$ |
$ |
$ |
|||||||||
Floating-rate obligations |
||||||||||||
Total |
$ |
$ |
$ |
• |
Unsecured long-term borrowings consists principally of senior borrowings, which have maturities extending through 206 9 . |
• |
Floating-rate obligations includes equity-linked and indexed instruments. Floating interest rates are generally based on LIBOR or Euro Interbank Offered Rate. |
• |
U.S. dollar-denominated debt had interest rates ranging from both September 2019 and December 2018. These rates exclude unsecured long-term borrowings accounted for at fair value under the fair value option. |
• |
Non-U.S. dollar-denominated debt had interest rates ranging from |
$ in millions |
As of September 2019 |
|||
2020 |
$ |
|||
2021 |
||||
2022 |
||||
2023 |
||||
2024 |
||||
2025 - thereafter |
||||
Total |
$ |
• |
Unsecured long-term borrowings maturing within one year of the financial statement date and unsecured long-term borrowings that are redeemable within one year of the financial statement date at the option of the holder are excluded as they are included in unsecured short-term borrowings. |
• |
Unsecured long-term borrowings that are repayable prior to maturity at the option of the firm are reflected at their contractual maturity dates. |
• |
Unsecured long-term borrowings that are redeemable prior to maturity at the option of the holder are reflected at the earliest dates such options become exercisable. |
• |
Unsecured long-term borrowings included $ ( ) million in 2022, $ |
55 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Fixed-rate obligations: |
||||||||
At fair value |
$ |
$ |
||||||
At amortized cost |
||||||||
Floating-rate obligations: |
||||||||
At fair value |
||||||||
At amortized cost |
||||||||
Total |
$ |
$ |
$ in millions |
Par Amount |
Carrying Value |
Rate |
|||||||||
As of September 2019 |
||||||||||||
Subordinated debt |
$ |
$ |
||||||||||
Junior subordinated debt |
||||||||||||
Total |
$ |
$ |
||||||||||
As of December 2018 |
||||||||||||
Subordinated debt |
$ |
$ |
||||||||||
Junior subordinated debt |
||||||||||||
Total |
$ |
$ |
Goldman Sachs September 2019 Form 10-Q |
56 |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Compensation and benefits |
$ |
$ |
||||||
Income tax-related liabilities |
||||||||
Operating lease liabilities |
– |
|||||||
Noncontrolling interests |
||||||||
Employee interests in consolidated funds |
||||||||
Accrued expenses and other |
||||||||
Total |
$ |
$ |
57 |
Goldman Sachs September 2019 Form 10-Q |
$ in millions |
As of September 2019 |
|||
Remainder of 2019 |
$ |
|||
2020 |
||||
2021 |
||||
2022 |
||||
2023 |
||||
2024 |
||||
2025 - thereafter |
||||
Total undiscounted lease payments |
||||
Imputed interest |
( |
) | ||
Total operating lease liabilities |
$ |
|||
Weighted average remaining lease term |
||||
Weighted average discount rate |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Commitment Type |
||||||||
Commercial lending: |
||||||||
Investment-grade |
$ |
$ |
||||||
Non-investment-grade |
||||||||
Warehouse financing |
||||||||
Credit c ard |
– |
|||||||
Total lending |
||||||||
Collateralized agreement |
||||||||
Collateralized financing |
||||||||
Letters of credit |
||||||||
Investment |
||||||||
Other |
||||||||
Total commitments |
$ |
$ |
As of September 2019 |
||||||||||||||||
$ in millions |
Remainder of 2019 |
|
2020 - 2021 |
2022 - 2023 |
2024 - Thereafter |
|||||||||||
Commitment Type |
||||||||||||||||
Commercial lending: |
||||||||||||||||
Investment-grade |
$ |
$ |
$ |
$ |
||||||||||||
Non-investment-grade |
||||||||||||||||
Warehouse financing |
||||||||||||||||
Credit c ard |
– |
– |
– |
|||||||||||||
Total lending |
||||||||||||||||
Collateralized agreement |
– |
– |
||||||||||||||
Collateralized financing |
– |
– |
– |
|||||||||||||
Letters of credit |
||||||||||||||||
Investment |
||||||||||||||||
Other |
– |
– |
||||||||||||||
Total commitments |
$ |
$ |
$ |
$ |
Goldman Sachs September 2019 Form 10-Q |
58 |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Held for investment |
$ |
$ |
||||||
Held for sale |
|
|
||||||
At fair value |
|
|
||||||
Total |
$ |
$ |
• |
Held for investment lending commitments are accounted for on an accrual basis. See Note 9 for further information about such commitments. |
• |
Held for sale lending commitments are accounted for at the lower of cost or fair value. |
• |
Gains or losses related to lending commitments at fair value, if any, are generally recorded net of any fees in other principal transactions. |
• |
Substantially all lending commitments relate to the firm’s Investing & Lending segment. |
59 |
Goldman Sachs September 2019 Form 10-Q |
$ in millions |
Derivatives |
Securities lending indemnifications |
Other financial guarantees |
|||||||||
As of September 2019 |
||||||||||||
Carrying Value of Net Liability |
$ |
$ |
$ |
|||||||||
Maximum Payout/Notional Amount by Period of Expiration |
||||||||||||
Remainder of 2019 |
$ |
$ |
$ |
|||||||||
2020 - 2021 |
|
– |
|
|||||||||
2022 - 2023 |
|
– |
|
|||||||||
2024 - thereafter |
|
– |
|
|||||||||
Total |
$ |
$ |
$ |
|||||||||
As of December 2018 |
||||||||||||
Carrying Value of Net Liability |
$ |
$ |
$ |
|||||||||
Maximum Payout/Notional Amount by Period of Expiration |
||||||||||||
2019 |
$ |
$ |
$ |
|||||||||
2020 - 2021 |
|
– |
|
|||||||||
2022 - 2023 |
|
– |
|
|||||||||
2024 - thereafter |
|
– |
|
|||||||||
Total |
$ |
$ |
$ |
• |
The maximum payout is based on the notional amount of the contract and does not represent anticipated losses. |
• |
Amounts exclude certain commitments to issue standby letters of credit that are included in lending commitments. See the tables in “Commitments” above for a summary of the firm’s commitments. |
• |
The carrying value for derivatives included derivative assets of $ |
Goldman Sachs September 2019 Form 10-Q |
60 |
61 |
Goldman Sachs September 2019 Form 10-Q |
September 2019 |
||||||||
in millions, except per share amounts |
Three Months Ended |
Nine Months Ended |
||||||
Common share repurchases |
||||||||
Average cost per share |
$ |
$ |
||||||
Total cost of common share repurchases |
$ |
$ |
Goldman Sachs September 2019 Form 10-Q |
62 |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||
2019 |
2018 |
2019 |
2018 |
|||||||||||||||
Dividends declared per common share |
$ |
$ |
$ |
$ |
Series |
Shares Authorized |
|
Shares Issued |
Shares Outstanding |
Depositary Shares Per Share |
|||||||||||
A |
||||||||||||||||
C |
||||||||||||||||
D |
||||||||||||||||
E |
N/A |
|||||||||||||||
F |
N/A |
|||||||||||||||
J |
||||||||||||||||
K |
||||||||||||||||
L |
||||||||||||||||
M |
||||||||||||||||
N |
||||||||||||||||
O |
||||||||||||||||
P |
||||||||||||||||
Q |
||||||||||||||||
Total |
Series |
Earliest Redemption Date |
|
Liquidation Preference |
|
Redemption ($ in millions) |
|||||||
A |
$ |
$ |
||||||||||
C |
$ |
|||||||||||
D |
$ |
|||||||||||
E |
$ |
|||||||||||
F |
$ |
|||||||||||
J |
$ |
|||||||||||
K |
$ |
|||||||||||
L |
$ |
|||||||||||
M |
$ |
|||||||||||
N |
$ |
|||||||||||
O |
$ |
|||||||||||
P |
$ |
|||||||||||
Q |
$ |
|||||||||||
Total |
$ |
• |
All shares have a par value of $ |
• |
The earliest redemption date represents the date on which each share of non-cumulative Preferred Stock is redeemable at the firm’s option. |
• |
Prior to redeeming preferred stock, the firm must receive confirmation that the FRB does not object to such action. |
• |
In June 2019, Group Inc. issued Non-Cumulative Preferred Stock (Series Q Preferred Stock). |
• |
The redemption price per share for Series A through F and Series Q Preferred Stock is the liquidation preference plus declared and unpaid dividends. The redemption price per share for Series J through P Preferred Stock is the liquidation preference plus accrued and unpaid dividends. Each share of Series E and Series F Preferred Stock is redeemable at the firm’s option, subject to certain covenant restrictions governing the firm’s ability to redeem the preferred stock without issuing common stock or other instruments with equity-like characteristics. See Note 16 for information about the replacement capital covenants applicable to the Series E and Series F Preferred Stock. |
• |
All series of preferred stock are pari passu and have a preference over the firm’s common stock on liquidation. |
• |
The firm’s ability to declare or pay dividends on, or purchase, redeem or otherwise acquire, its common stock is subject to certain restrictions in the event that the firm fails to pay or set aside full dividends on the preferred stock for the latest completed dividend period. |
63 |
Goldman Sachs September 2019 Form 10-Q |
Series |
Per Annum Dividend Rate | |||
A |
||||
C |
||||
D |
||||
E |
||||
F |
||||
J |
3 month LIBOR + 3.64% thereafter, payable quarterly | |||
K |
3 month LIBOR + 3.55% thereafter, payable quarterly | |||
L |
||||
M |
||||
N |
||||
O |
November 10, 2026; 3 month LIBOR + 3.834%, payable quarterly, thereafter | |||
P |
November 10, 2022; 3 month LIBOR + 2.874%, payable quarterly, thereafter | |||
Q |
August 10, 2024; 5 year treasury rate + 3.623%, payable semi-annually, thereafter |
2019 |
2018 |
|||||||||||||||||||
Series |
per share |
$ in millions |
per share |
$ in millions |
||||||||||||||||
Three Months Ended September |
||||||||||||||||||||
A |
$ |
$ |
$ |
$ |
||||||||||||||||
B |
$ |
– |
$ |
|||||||||||||||||
C |
$ |
$ |
||||||||||||||||||
D |
$ |
$ |
||||||||||||||||||
E |
$ |
$ |
||||||||||||||||||
F |
$ |
$ |
||||||||||||||||||
J |
$ |
$ |
||||||||||||||||||
K |
$ |
$ |
||||||||||||||||||
L |
$ |
$ |
– |
|||||||||||||||||
N |
$ |
$ |
||||||||||||||||||
Total |
$ |
$ |
||||||||||||||||||
Nine Months Ended September |
||||||||||||||||||||
A |
$ |
$ |
$ |
$ |
||||||||||||||||
B |
$ |
$ |
||||||||||||||||||
C |
$ |
$ |
||||||||||||||||||
D |
$ |
$ |
||||||||||||||||||
E |
$ |
$ |
||||||||||||||||||
F |
$ |
$ |
||||||||||||||||||
J |
$ |
$ |
||||||||||||||||||
K |
$ |
$ |
||||||||||||||||||
L |
$ |
$ |
||||||||||||||||||
M |
$ |
$ |
||||||||||||||||||
N |
$ |
$ |
||||||||||||||||||
O |
$ |
$ |
||||||||||||||||||
P |
$ |
$ |
||||||||||||||||||
Total |
$ |
$ |
$ in millions |
Beginning balance |
Other comprehensive income/(loss) adjustments, net of tax |
Ending balance |
|||||||||
Three Months Ended September 2019 |
||||||||||||
Currency translation |
$ ( |
) |
$ |
) |
$ |
) | ||||||
Debt valuation adjustment |
( |
) |
||||||||||
Pension and postretirement liabilities |
( |
) |
( |
) |
( |
) | ||||||
Available-for-sale securities |
||||||||||||
Total |
$ ( |
) |
$ |
$ |
) | |||||||
Three Months Ended September 2018 |
||||||||||||
Currency translation |
$ ( |
) |
$ |
) |
$ ( |
) | ||||||
Debt valuation adjustment |
( |
) |
( |
) | ||||||||
Pension and postretirement liabilities |
( |
) |
( |
) |
( |
) | ||||||
Available-for-sale securities |
( |
) |
( |
) |
( |
) | ||||||
Total |
$ ( |
) |
$ |
) |
$( |
) | ||||||
Nine Months Ended September 2019 |
||||||||||||
Currency translation |
$ |
) |
$ |
$ |
) | |||||||
Debt valuation adjustment |
( |
) |
||||||||||
Pension and postretirement liabilities |
( |
) |
( |
) |
( |
) | ||||||
Available-for-sale securities |
( |
) |
||||||||||
Total |
$ |
$( |
) |
$ |
) | |||||||
Nine Months Ended September 2018 |
||||||||||||
Currency translation |
$ ( |
) |
$ |
) |
$ ( |
) | ||||||
Debt valuation adjustment |
( |
) |
( |
) | ||||||||
Pension and postretirement liabilities |
( |
) |
( |
) |
( |
) | ||||||
Available-for-sale securities |
( |
) |
( |
) |
( |
) | ||||||
Total |
$( |
) |
$ |
$( |
) |
Goldman Sachs September 2019 Form 10-Q |
64 |
As of |
||||||||
September 2019 |
December 2018 |
|||||||
Risk-based capital requirements |
||||||||
CET1 capital ratio |
||||||||
Tier 1 capital ratio |
||||||||
Total capital ratio |
||||||||
Leverage requirements |
||||||||
Tier 1 leverage ratio |
||||||||
SLR |
• |
As of September 2019, the CET1 capital ratio requirement included a minimum of G-SIB surcharge of |
• |
As of December 2018, the CET1 capital ratio requirement included a minimum of phase-in of the capital conservation buffer of phase-in of the G-SIB surcharge of |
• |
The capital conservation buffer, countercyclical capital buffer and G-SIB surcharge phased in ratably from January 1, 2016 through January 1, 2019. |
• |
The G-SIB surcharge is updated annually based on financial data from the prior year and is generally applicable for the following year. The G-SIB surcharge is calculated using two methodologies, the higher of which is reflected in the firm’s risk-based capital requirements. The first calculation (Method 1) is based on the Basel Committee’s methodology which, among other factors, relies upon measures of the size, activity and complexity of each G-SIB. The second calculation (Method 2) uses similar inputs but includes a measure of reliance on short-term wholesale funding. |
• |
The Tier 1 leverage ratio requirement is a minimum of G-SIBs. |
65 |
Goldman Sachs September 2019 Form 10-Q |
$ in millions |
Standardized |
Advanced |
||||||
As of September 2019 |
||||||||
CET1 capital |
$ |
$ |
||||||
Tier 1 capital |
$ |
$ |
||||||
Tier 2 capital |
$ |
$ |
||||||
Total capital |
$ |
$ |
||||||
RWAs |
$ |
$ |
||||||
CET1 capital ratio |
||||||||
Tier 1 capital ratio |
||||||||
Total capital ratio |
||||||||
As of December 2018 |
||||||||
CET1 capital |
$ |
$ |
||||||
Tier 1 capital |
$ |
$ |
||||||
Tier 2 capital |
$ |
$ |
||||||
Total capital |
$ |
$ |
||||||
RWAs |
$ |
$ |
||||||
CET1 capital ratio |
||||||||
Tier 1 capital ratio |
||||||||
Total capital ratio |
For the Three Months Ended or as of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Tier 1 capital |
$ |
$ |
||||||
Average total assets |
||||||||
Deductions from Tier 1 capital |
( |
) |
( |
) | ||||
Average adjusted total assets |
||||||||
Average off-balance-sheet exposures |
||||||||
Total leverage exposure |
$ |
$ |
||||||
Tier 1 leverage ratio |
||||||||
SLR |
• |
Average total assets represents the average daily assets for the quarter. |
• |
Average off-balance-sheet exposures represents the monthly average and consists of derivatives, securities financing transactions, commitments and guarantees. |
• |
Tier 1 leverage ratio is calculated as Tier 1 capital divided by average adjusted total assets. |
• |
SLR is calculated as Tier 1 capital divided by total leverage exposure. |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Common shareholders’ equity |
$ |
$ |
||||||
Deduction for goodwill |
( |
) |
( |
) | ||||
Deduction for identifiable intangible assets |
( |
) |
( |
) | ||||
Other adjustments |
( |
) |
( |
) | ||||
CET1 capital |
||||||||
Preferred stock |
||||||||
Deduction for investments in covered funds |
( |
) |
( |
) | ||||
Other adjustments |
( |
) |
( |
) | ||||
Tier 1 capital |
$ |
$ |
||||||
Standardized Tier 2 and Total capital |
||||||||
Tier 1 capital |
$ |
$ |
||||||
Qualifying subordinated debt |
||||||||
Junior subordinated debt |
||||||||
Allowance for credit losses |
||||||||
Other adjustments |
( |
) |
( |
) | ||||
Standardized Tier 2 capital |
||||||||
Standardized Total capital |
$ |
$ |
||||||
Advanced Tier 2 and Total capital |
||||||||
Tier 1 capital |
$ |
$ |
||||||
Standardized Tier 2 capital |
||||||||
Allowance for credit losses |
( |
) |
( |
) | ||||
Other adjustments |
||||||||
Advanced Tier 2 capital |
||||||||
Advanced Total capital |
$ |
$ |
• |
Deduction for goodwill was net of deferred tax liabilities of $ |
• |
Deduction for identifiable intangible assets was net of deferred tax liabilities of $ |
• |
Deduction for investments in covered funds represents the firm’s aggregate investments in applicable covered funds, excluding investments that are subject to an extended conformance period. See Note 6 for further information about the Volcker Rule. |
• |
Other adjustments within CET1 capital and Tier 1 capital primarily include credit valuation adjustments on derivative liabilities, pension and postretirement liabilities, the overfunded portion of the firm’s defined benefit pension plan obligation net of associated deferred tax liabilities, disallowed deferred tax assets, debt valuation adjustments and other required credit risk-based deductions. Other adjustments within |
• |
Qualifying subordinated debt is subordinated debt issued by Group Inc. with an original maturity of |
Goldman Sachs September 2019 Form 10-Q |
66 |
• |
Junior subordinated debt is debt issued to a Trust. As of September |
$ in millions |
Standardized |
Advanced |
||||||
Nine Months Ended September 2019 |
|
|
|
|
|
| ||
CET1 capital |
||||||||
Beginning balance |
$ |
$ |
||||||
Change in: |
||||||||
Common shareholders’ equity |
|
|
||||||
Deduction for goodwill |
( |
) |
( |
) | ||||
Deduction for identifiable intangible assets |
( |
) |
( |
) | ||||
Other adjustments |
|
|
||||||
Ending balance |
$ |
$ |
||||||
Tier 1 capital |
||||||||
Beginning balance |
$ |
$ |
||||||
Change in: |
||||||||
CET1 capital |
|
|
||||||
Deduction for investments in covered funds |
|
|
||||||
Other adjustments |
|
|
( |
) |
( |
) | ||
Ending balance |
|
|
||||||
Tier 2 capital |
||||||||
Beginning balance |
|
|
||||||
Change in: |
||||||||
Qualifying subordinated debt |
( |
) |
( |
) | ||||
Junior subordinated debt |
( |
) |
( |
) | ||||
Allowance for credit losses |
|
– |
||||||
Other adjustments |
( |
) |
|
|||||
Ending balance |
|
|
||||||
Total capital |
$ |
$ |
Year Ended December 2018 |
|
|
|
|
|
| ||
CET1 capital |
||||||||
Beginning balance |
$ |
$ |
||||||
Change in: |
||||||||
Common shareholders’ equity |
|
|
||||||
Transitional provisions |
( |
) |
( |
) | ||||
Deduction for goodwill |
( |
) |
( |
) | ||||
Deduction for identifiable intangible assets |
|
|
||||||
Other adjustments |
( |
) |
( |
) | ||||
Ending balance |
$ |
$ |
||||||
Tier 1 capital |
||||||||
Beginning balance |
$ |
$ |
||||||
Change in: |
||||||||
CET1 capital |
|
|
||||||
Transitional provisions |
|
|
||||||
Deduction for investments in covered funds |
( |
) |
( |
) | ||||
Preferred stock |
( |
) |
( |
) | ||||
Other adjustments |
|
|
||||||
Ending balance |
|
|
||||||
Tier 2 capital |
||||||||
Beginning balance |
|
|
||||||
Change in: |
||||||||
Qualifying subordinated debt |
( |
) |
( |
) | ||||
Junior subordinated debt |
( |
) |
( |
) | ||||
Allowance for credit losses |
|
– |
||||||
Other adjustments |
|
|
||||||
Ending balance |
|
|
||||||
Total capital |
$ |
$ |
• |
The Standardized Capital Rules apply prescribed risk-weights, which depend largely on the type of counterparty. The exposure measure for derivatives and securities financing transactions are based on specific formulas which take certain factors into consideration. |
• |
Under the Advanced Capital |
• |
For both Standardized and Advanced credit RWAs, the risk-weights for securitizations and equities are based on specific required formulaic approaches. |
67 |
Goldman Sachs September 2019 Form 10-Q |
• |
Value-at-Risk (VaR) is the potential loss in value of inventory positions, as well as certain other financial assets and financial liabilities, due to adverse market movements over a defined time horizon with a specified confidence level. |
• |
Stressed VaR is the potential loss in value of inventory positions, as well as certain other financial assets and financial liabilities, during a period of significant market stress; |
• |
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; |
• |
Comprehensive risk is the potential loss in value, due to price risk and defaults, within the firm’s credit correlation positions; and |
• |
Specific risk is the risk of loss on a position that could result from factors other than broad market movements, including event risk, default risk and idiosyncratic risk. The standardized measurement method is used to determine specific risk RWAs, by applying supervisory defined risk-weighting factors after applicable netting is performed. |
$ in millions |
Standardized |
|
Advan ced |
|||||
As of September 201 9 |
||||||||
Credit RWAs |
||||||||
Derivatives |
$ |
$ |
||||||
Commitments, guarantees and loans |
|
|
||||||
Securities financing transactions |
|
|
||||||
Equity investments |
|
|
||||||
Other |
|
|
||||||
Total Credit RWAs |
|
|
||||||
Market RWAs |
||||||||
Regulatory VaR |
|
|
||||||
Stressed VaR |
|
|
||||||
Incremental risk |
|
|
||||||
Comprehensive risk |
|
|
||||||
Specific risk |
|
|
||||||
Total Market RWAs |
|
|
||||||
Total Operati o nal RWAs |
|
|
– |
|
|
|
| |
Total RWAs |
$ |
$ |
||||||
As of D ecember 2018 |
||||||||
Credit RWAs |
||||||||
Derivatives |
$ |
$ |
||||||
Commitments, guarantees and loans |
|
|
||||||
Securities financing transactions |
|
|
||||||
Equity investments |
|
|
||||||
Other |
|
|
||||||
Total Credit RWAs |
|
|
||||||
Market RWAs |
||||||||
Regulatory VaR |
|
|
||||||
Stressed VaR |
|
|
||||||
Incremental risk |
|
|
||||||
Comprehensive risk |
|
|
||||||
Specific risk |
|
|
||||||
Total Market RWAs |
|
|
||||||
Total Operational RWAs |
– |
|
||||||
Total RWAs |
$ |
$ |
• |
Securities financing transactions represents resale and repurchase agreements and securities borrowed and loaned transactions. |
• |
Other includes receivables, certain debt securities, cash and cash equivalents and other assets. |
Goldman Sachs September 2019 Form 10-Q |
68 |
$ in millions |
Standardized |
Advanced |
||||||
Nine Months Ended September 2019 |
||||||||
Risk-Weighted Assets |
||||||||
Beginning balance |
$ |
$ |
||||||
Credit RWAs |
||||||||
Change in: |
||||||||
Derivatives |
||||||||
Commitments, guarantees and loans |
||||||||
Securities financing transactions |
||||||||
Equity investments |
||||||||
Other |
||||||||
Change in Credit RWAs |
||||||||
Market RWAs |
||||||||
Change in: |
||||||||
Regulatory VaR |
||||||||
Stressed VaR |
( |
) |
( |
) | ||||
Incremental risk |
( |
) |
( |
) | ||||
Comprehensive risk |
( |
) |
( |
) | ||||
Specific risk |
( |
) |
( |
) | ||||
Change in Market RWAs |
( |
) |
( |
) | ||||
Change in Operational RWAs |
– |
( |
) | |||||
Ending balance |
$ |
$ |
||||||
Year Ended December 2018 |
||||||||
Risk-Weighted Assets |
||||||||
Beginning balance |
$ |
$ |
||||||
Credit RWAs |
||||||||
Change in: |
||||||||
Transitional provisions |
||||||||
Derivatives |
( |
) |
( |
) | ||||
Commitments, guarantees and loans |
( |
) | ||||||
Securities financing transactions |
( |
) |
( |
) | ||||
Equity investments |
( |
) |
( |
) | ||||
Other |
( |
) |
( |
) | ||||
Change in Credit RWAs |
( |
) | ||||||
Market RWAs |
||||||||
Change in: |
||||||||
Regulatory VaR |
||||||||
Stressed VaR |
( |
) |
( |
) | ||||
Incremental risk |
||||||||
Comprehensive risk |
||||||||
Specific risk |
( |
) |
( |
) | ||||
Change in Market RWAs |
( |
) |
( |
) | ||||
Change in Operational RWAs |
– |
( |
) | |||||
Ending balance |
$ |
$ |
69 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||||||
September 2019 |
December 2018 |
“Well-capitalized” Requirements |
||||||||||
Risk-based capital requirements |
||||||||||||
CET1 capital ratio |
||||||||||||
Tier 1 capital ratio |
||||||||||||
Total capital ratio |
||||||||||||
Leverage requirements |
||||||||||||
Tier 1 leverage ratio |
||||||||||||
SLR |
• |
As of September 2019, the CET1 capital ratio requirement included a minimum of |
• |
As of December 2018, the CET1 capital ratio requirement included a minimum of phase-in of the capital conservation buffer of |
• |
The “well-capitalized” requirements were the binding requirements for risk-based capital ratios as of December 2018 and were the binding requirements for leverage ratios as of both September 2019 and December 2018. |
$ in millions |
Standardized |
Advanced |
||||||
As of September 2019 |
||||||||
CET1 capital |
$ |
$ |
||||||
Tier 1 capital |
$ |
$ |
||||||
Tier 2 capital |
$ |
$ |
||||||
Total capital |
$ |
$ |
||||||
RWAs |
$ |
$ |
||||||
CET1 capital ratio |
||||||||
Tier 1 capital ratio |
||||||||
Total capital ratio |
||||||||
As of December 2018 |
||||||||
CET1 capital |
$ |
$ |
||||||
Tier 1 capital |
$ |
$ |
||||||
Tier 2 capital |
$ |
$ |
||||||
Total capital |
$ |
$ |
||||||
RWAs |
$ |
$ |
||||||
CET1 capital ratio |
||||||||
Tier 1 capital ratio |
||||||||
Total capital ratio |
• |
Each of the risk-based capital ratios calculated in accordance with the Standardized Capital Rules was lower than that calculated in accordance with the Advanced Capital Rules and therefore the Standardized ratios were the ratios that applied to GS Bank USA as of both September 2019 and December 2018. |
Goldman Sachs September 2019 Form 10-Q |
70 |
• |
The Standardized risk-based capital ratios increased from December 2018 to September 2019, reflecting an increase in capital, principally due to net earnings, partially offset by an increase in credit RWAs. The Advanced risk-based capital ratios decreased from December 2018 to September 2019, principally due to an increase in credit RWAs due to increased lending activity, partially offset by an increase in capital, principally due to net earnings. |
For the Three Months Ended or as of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Tier 1 capital |
$ |
$ |
||||||
Average adjusted total assets |
$ |
$ |
||||||
Total leverage exposure |
$ |
$ |
||||||
Tier 1 leverage ratio |
||||||||
SLR |
• |
Tier 1 leverage ratio is calculated as Tier 1 capital divided by average adjusted total assets. |
• |
SLR is calculated as Tier 1 capital divided by total leverage exposure. |
71 |
Goldman Sachs September 2019 Form 10-Q |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||
in millions, except per share amounts |
2019 |
|
2018 |
|
2019 |
2018 |
||||||||||||
Net earnings applicable to common shareholders |
$ |
$ |
$ |
|
$ |
|||||||||||||
Weighted average basic shares |
||||||||||||||||||
Effect of dilutive securities: |
||||||||||||||||||
RSUs |
||||||||||||||||||
Stock options |
||||||||||||||||||
Dilutive securities |
||||||||||||||||||
Weighted average diluted shares |
||||||||||||||||||
Basic EPS |
$ |
$ |
$ |
$ |
||||||||||||||
Diluted EPS |
$ |
$ |
$ |
$ |
• |
Unvested share-based awards that have non-forfeitable rights to dividends or dividend equivalents are treated as a separate class of securities in calculating basic EPS. The impact of applying this methodology was a reduction in basic EPS of $ and $both the nine months ended September 2019 and September 2018. |
• |
Diluted EPS does not include antidilutive RSUs of less than |
Three Months |
Nine Months Ended September |
|||||||||||||||||
$ in millions |
2019 |
|
|
2019 |
|
2018 |
||||||||||||
Fees earned from funds |
$ |
$ |
$ |
$ |
As of |
||||||||||||||||||
$ in millions |
September 2019 |
December 2018 |
||||||||||||||||
Fees receivable from funds |
$ |
$ |
||||||||||||||||
Aggregate carrying value of interests in funds |
$ |
$ |
Goldman Sachs September 2019 Form 10-Q |
72 |
Three Months Ended September |
|
Nine Months Ended September |
||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Deposits with banks |
$ |
$ |
$ |
$ |
||||||||||||||
Collateralized agreements |
|
|
|
|
||||||||||||||
Financial instruments owned |
|
|
|
|
||||||||||||||
Loans receivable |
|
|
|
|
||||||||||||||
Other interest |
|
|
|
|
||||||||||||||
Total interest income |
|
|
|
|
||||||||||||||
Deposits |
|
|
|
|
||||||||||||||
Collateralized financings |
|
|
|
|
||||||||||||||
Financial instruments sold, but not yet purchased |
|
|
|
|
||||||||||||||
Secured and unsecured borrowings: |
||||||||||||||||||
Short-term |
|
|
|
|
||||||||||||||
Long-term |
|
|
|
|
||||||||||||||
Other interest |
|
|
|
|
||||||||||||||
Total interest expense |
|
|
|
|
||||||||||||||
Net interest income |
$ |
$ |
$ |
$ |
• |
Collateralized agreements includes rebates paid and interest income on securities borrowed. |
• |
Other interest income includes interest income on customer debit balances and other interest-earning assets. |
• |
Collateralized financings consists of repurchase agreements and securities loaned. |
• |
Other interest expense includes rebates received on other interest-bearing liabilities and interest expense on customer credit balances. |
73 |
Goldman Sachs September 2019 Form 10-Q |
Jurisdiction |
As of September 2019 |
|||
U.S. Federal |
|
|||
New York State and City |
|
|||
United Kingdom |
|
|||
Japan |
|
|||
Hong Kong |
|
Three Months Ended September |
|
Nine Months Ended September |
||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
|
2018 |
|||||||||||||
Investment Banking |
||||||||||||||||||
Financial Advisory |
$ |
$ |
$ |
$ |
||||||||||||||
Equity underwriting |
|
|
|
|
||||||||||||||
Debt underwriting |
|
|
|
|
||||||||||||||
Total Underwriting |
|
|
|
|
||||||||||||||
Total net revenues |
|
|
|
|
||||||||||||||
Operating expenses |
|
|
|
|
||||||||||||||
Pre-tax earnings |
$ |
$ |
$ |
$ |
||||||||||||||
Institutional Client Services |
||||||||||||||||||
FICC Client Execution |
$ |
$ |
$ |
$ |
||||||||||||||
Equities client execution |
|
|
|
|
||||||||||||||
Commissions and fees |
|
|
|
|
||||||||||||||
Securities services |
|
|
|
|
||||||||||||||
Total Equities |
|
|
|
|
||||||||||||||
Total net revenues |
|
|
|
|
||||||||||||||
Operating expenses |
|
|
|
|
||||||||||||||
Pre-tax earnings |
$ |
$ |
$ |
$ |
||||||||||||||
Investing & Lending |
||||||||||||||||||
Equity securities |
$ |
$ |
$ |
$ |
||||||||||||||
Debt securities and loans |
|
|
|
|
||||||||||||||
Total net revenues |
|
|
|
|
||||||||||||||
Provision for credit losses |
|
|
|
|
||||||||||||||
Operating expenses |
|
|
|
|
||||||||||||||
Pre-tax earnings |
$ |
$ |
$ |
$ |
||||||||||||||
Investment Management |
||||||||||||||||||
Management and other fees |
$ |
$ |
$ |
$ |
||||||||||||||
Incentive fees |
|
|
|
|
||||||||||||||
Transaction revenues |
|
|
|
|
||||||||||||||
Total net revenues |
|
|
|
|
||||||||||||||
Operating expenses |
|
|
|
|
||||||||||||||
Pre-tax earnings |
$ |
$ |
$ |
$ |
||||||||||||||
Total net revenues |
$ |
$ |
$ |
$ |
||||||||||||||
Provision for credit losses |
|
|
|
|
||||||||||||||
Total operating expenses |
|
|
|
|
||||||||||||||
Total pre-tax earnings |
$ |
$ |
$ |
$ |
Goldman Sachs September 2019 Form 10-Q |
74 |
• |
Revenues and expenses directly associated with each segment are included in determining pre-tax earnings. |
• |
Net revenues in the firm’s segments include allocations of interest income and expense to specific positions in relation to the cash generated by, or funding requirements of, such positions. Net interest is included in segment net revenues as it is consistent with how management assesses segment performance. |
• |
Overhead expenses not directly allocable to specific segments are allocated ratably based on direct segment expenses. |
• |
Provision for credit losses, previously reported in Investing & Lending segment net revenues, is now reported as a separate line item in the consolidated statements of earnings. Previously reported amounts have been conformed to the current presentation. |
As of |
||||||||
$ in millions |
September 2019 |
|
December 2018 |
|||||
Investment Banking |
$ |
$ |
||||||
Institutional Client Services |
||||||||
Investing & Lending |
||||||||
Investment Management |
||||||||
Total |
$ |
$ |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
|
2018 |
|||||||||||||||
Investment Banking |
$ |
$ |
$ |
$ |
||||||||||||||||
Institutional Client Services |
||||||||||||||||||||
Investing & Lending |
||||||||||||||||||||
Investment Management |
||||||||||||||||||||
Total |
$ |
$ |
$ |
$ |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
|
2018 |
|||||||||||||||
Investment Banking |
$ |
$ |
$ |
$ |
||||||||||||||||
Institutional Client Services |
||||||||||||||||||||
Investing & Lending |
||||||||||||||||||||
Investment Management |
||||||||||||||||||||
Total |
$ |
$ |
$ |
$ |
• |
Investment Banking: location of the client and investment banking team. |
• |
Institutional Client Services: FICC Client Execution and Equities (excluding s ecurities services): location of the market-making desk; s ecurities services: location of the primary market for the underlying security. |
• |
Investing & Lending: Investing: location of the investment; Lending: location of the client. |
• |
Investment Management: location of the sales team. |
$ in millions |
2019 |
2018 |
||||||||||||
Three Months Ended September |
||||||||||||||
Americas |
$ |
$ |
||||||||||||
Europe, Middle East and Africa |
||||||||||||||
Asia |
||||||||||||||
Total net revenues |
$ |
$ |
||||||||||||
Americas |
$ |
$ |
||||||||||||
Europe, Middle East and Africa |
||||||||||||||
Asia |
||||||||||||||
Total pre-tax earnings |
$ |
$ |
||||||||||||
Nine Months Ended September |
||||||||||||||
Americas |
$ |
$ |
||||||||||||
Europe, Middle East and Africa |
||||||||||||||
Asia |
||||||||||||||
Total net revenues |
$ |
$ |
||||||||||||
Americas |
$ |
$ |
||||||||||||
Europe, Middle East and Africa |
||||||||||||||
Asia |
||||||||||||||
Total pre-tax earnings |
$ |
$ |
• |
Substantially all of the amounts in Americas were attributable to the U.S. |
• |
Asia includes Australia and New Zealand. |
75 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
U.S. government and agency obligations |
$ |
$ |
||||||
Percentage of total assets |
||||||||
Non-U.S. government and agency obligations |
$ |
$ |
||||||
Percentage of total assets |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
U.S. government and agency obligations |
$ |
$ |
||||||
Non-U.S. government and agency obligations |
$ |
$ |
• |
Non-U.S. government and agency obligations primarily consists of securities issued by the governments of Japan, France, the U.K. and Germany. |
• |
Given that the firm’s primary credit exposure on such transactions is to the counterparty to the transaction, the firm would be exposed to the collateral issuer only in the event of counterparty default. |
Goldman Sachs September 2019 Form 10-Q |
76 |
77 |
Goldman Sachs September 2019 Form 10-Q |
Goldman Sachs September 2019 Form 10-Q |
78 |
79 |
Goldman Sachs September 2019 Form 10-Q |
Goldman Sachs September 2019 Form 10-Q |
80 |
81 |
Goldman Sachs September 2019 Form 10-Q |
Goldman Sachs September 2019 Form 10-Q |
82 |
83 |
Goldman Sachs September 2019 Form 10-Q |
Regulatory Investigations and Reviews and Related Litigation |
|
|
• |
The 2008 financial crisis; |
• |
The public offering process; |
• |
The firm’s investment management and financial advisory services; |
• |
Conflicts of interest; |
• |
Research practices, including research independence and interactions between research analysts and other firm personnel, including investment banking personnel, as well as third parties; |
• |
Transactions involving government-related financings and other matters, municipal securities, including wall-cross procedures and conflict of interest disclosure with respect to state and municipal clients, the trading and structuring of municipal derivative instruments in connection with municipal offerings, political contribution rules, municipal advisory services and the possible impact of credit default swap transactions on municipal issuers; |
• |
The offering, auction, sales, trading and clearance of corporate and government securities, currencies, commodities and other financial products and related sales and other communications and activities, as well as the firm’s supervision and controls relating to such activities, including compliance with applicable short sale rules, algorithmic, high-frequency and quantitative trading, the firm’s U.S. alternative trading system (dark pool), futures trading, options trading, when-issued trading, transaction reporting, technology systems and controls, securities lending practices, trading and clearance of credit derivative instruments and interest rate swaps, commodities activities and metals storage, private placement practices, allocations of and trading in securities, and trading activities and communications in connection with the establishment of benchmark rates, such as currency rates; |
• |
Compliance with the FCPA; |
• |
The firm’s hiring and compensation practices; |
• |
The firm’s system of risk management and controls; and |
• |
Insider trading, the potential misuse and dissemination of material nonpublic information regarding corporate and governmental developments and the effectiveness of the firm’s insider trading controls and information barriers. |
Goldman Sachs September 2019 Form 10-Q |
84 |
85 |
Goldman Sachs September 2019 Form 10-Q |
Distribution of Assets, Liabilities and Shareholders’ Equity |
Average Balance for the |
||||||||||||||||
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||
Assets |
||||||||||||||||
U.S. |
$ 35,782 |
$ 63,615 |
$ 41,812 |
$ 67,303 |
||||||||||||
Non-U.S. |
50,052 |
50,732 |
49,360 |
51,762 |
||||||||||||
Total deposits with banks |
85,834 |
114,347 |
91,172 |
119,065 |
||||||||||||
U.S. |
160,702 |
167,614 |
164,461 |
162,303 |
||||||||||||
Non-U.S. |
124,061 |
136,522 |
125,995 |
144,097 |
||||||||||||
Total collateralized agreements |
284,763 |
304,136 |
290,456 |
306,400 |
||||||||||||
U.S. |
204,430 |
174,417 |
190,859 |
165,141 |
||||||||||||
Non-U.S. |
140,969 |
122,465 |
132,866 |
122,850 |
||||||||||||
Total financial instruments owned |
345,399 |
296,882 |
323,725 |
287,991 |
||||||||||||
U.S. |
74,204 |
69,268 |
74,419 |
66,140 |
||||||||||||
Non-U.S. |
11,861 |
6,644 |
9,800 |
6,440 |
||||||||||||
Total loans receivable |
86,065 |
75,912 |
84,219 |
72,580 |
||||||||||||
U.S. |
48,058 |
41,112 |
45,051 |
45,157 |
||||||||||||
Non-U.S. |
38,910 |
40,486 |
36,855 |
44,669 |
||||||||||||
Total other interest-earning assets |
86,968 |
81,598 |
81,906 |
89,826 |
||||||||||||
Total interest-earning assets |
889,029 |
872,875 |
871,478 |
875,862 |
||||||||||||
Cash and due from banks |
12,196 |
10,247 |
10,638 |
12,011 |
||||||||||||
Other non-interest-earning assets |
90,024 |
84,418 |
84,854 |
87,149 |
||||||||||||
Total assets |
$991,249 |
$967,540 |
$966,970 |
$975,022 |
||||||||||||
Liabilities |
||||||||||||||||
U.S. |
$133,165 |
$120,083 |
$128,396 |
$115,544 |
||||||||||||
Non-U.S. |
36,121 |
28,844 |
33,540 |
30,124 |
||||||||||||
Total interest-bearing deposits |
169,286 |
148,927 |
161,936 |
145,668 |
||||||||||||
U.S. |
72,348 |
54,986 |
62,416 |
62,124 |
||||||||||||
Non-U.S. |
30,572 |
44,456 |
32,715 |
47,166 |
||||||||||||
Total collateralized financings |
102,920 |
99,442 |
95,131 |
109,290 |
||||||||||||
U.S. |
31,883 |
33,388 |
30,794 |
34,652 |
||||||||||||
Non-U.S. |
44,864 |
46,457 |
46,115 |
49,730 |
||||||||||||
Total financial instruments sold, but not yet purchased |
76,747 |
79,845 |
76,909 |
84,382 |
||||||||||||
U.S. |
37,167 |
38,635 |
34,977 |
41,159 |
||||||||||||
Non-U.S. |
17,719 |
17,874 |
16,711 |
17,217 |
||||||||||||
Total short-term borrowings |
54,886 |
56,509 |
51,688 |
58,376 |
||||||||||||
U.S. |
205,336 |
217,071 |
206,889 |
213,659 |
||||||||||||
Non-U.S. |
28,027 |
25,449 |
28,438 |
23,063 |
||||||||||||
Total long-term borrowings |
233,363 |
242,520 |
235,327 |
236,722 |
||||||||||||
U.S. |
129,656 |
126,754 |
129,398 |
124,087 |
||||||||||||
Non-U.S. |
54,715 |
62,972 |
54,402 |
65,933 |
||||||||||||
Total other interest-bearing liabilities |
184,371 |
189,726 |
183,800 |
190,020 |
||||||||||||
Total interest-bearing liabilities |
821,573 |
816,969 |
804,791 |
824,458 |
||||||||||||
Non-interest-bearing deposits |
5,758 |
4,554 |
5,346 |
4,176 |
||||||||||||
Other non-interest-bearing liabilities |
72,864 |
59,769 |
66,568 |
62,006 |
||||||||||||
Total liabilities |
900,195 |
881,292 |
876,705 |
890,640 |
||||||||||||
Shareholders’ equity |
||||||||||||||||
Preferred stock |
11,203 |
11,203 |
11,203 |
11,268 |
||||||||||||
Common stock |
79,851 |
75,045 |
79,062 |
73,114 |
||||||||||||
Total shareholders’ equity |
91,054 |
86,248 |
90,265 |
84,382 |
||||||||||||
Total liabilities and shareholders’ equity |
$991,249 |
$967,540 |
$966,970 |
$975,022 |
||||||||||||
Percentage of interest-earning assets and interest-bearing liabilities attributable to non-U.S. operations |
||||||||||||||||
Assets |
41.15% |
40.88% |
40.72% |
42.22% |
||||||||||||
Liabilities |
25.81% |
27.67% |
26.33% |
28.29% |
Interest for the |
||||||||||||||||
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||
Assets |
||||||||||||||||
U.S. |
$ |
$ 318 |
$ |
$ 899 |
||||||||||||
Non-U.S. |
79 |
53 |
235 |
116 |
||||||||||||
Total deposits with banks |
287 |
371 |
981 |
1,015 |
||||||||||||
U.S. |
981 |
883 |
3,324 |
2,196 |
||||||||||||
Non-U.S. |
119 |
138 |
381 |
388 |
||||||||||||
Total collateralized agreements |
1,100 |
1,021 |
3,705 |
2,584 |
||||||||||||
U.S. |
1,164 |
1,102 |
3,603 |
3,269 |
||||||||||||
Non-U.S. |
745 |
613 |
2,128 |
1,894 |
||||||||||||
Total financial instruments owned |
1,909 |
1,715 |
5,731 |
5,163 |
||||||||||||
U.S. |
1,074 |
972 |
3,246 |
2,673 |
||||||||||||
Non-U.S. |
172 |
118 |
456 |
309 |
||||||||||||
Total loans receivable |
1,246 |
1,090 |
3,702 |
2,982 |
||||||||||||
U.S. |
635 |
616 |
1,871 |
1,757 |
||||||||||||
Non-U.S. |
282 |
248 |
826 |
710 |
||||||||||||
Total other interest-earning assets |
917 |
864 |
2,697 |
2,467 |
||||||||||||
Total interest-earning assets |
$ 5,459 |
$5,061 |
$16,816 |
$14,211 |
||||||||||||
Liabilities |
||||||||||||||||
U.S. |
$ |
$ 616 |
$ 2,357 |
$ 1,614 |
||||||||||||
Non-U.S. |
126 |
68 |
332 |
201 |
||||||||||||
Total interest-bearing deposits |
945 |
684 |
2,689 |
1,815 |
||||||||||||
U.S. |
635 |
427 |
1,902 |
1,160 |
||||||||||||
Non-U.S. |
75 |
88 |
228 |
224 |
||||||||||||
Total collateralized financings |
710 |
515 |
2,130 |
1,384 |
||||||||||||
U.S. |
63 |
205 |
373 |
613 |
||||||||||||
Non-U.S. |
191 |
208 |
562 |
583 |
||||||||||||
Total financial instruments sold, but not yet purchased |
254 |
413 |
935 |
1,196 |
||||||||||||
U.S. |
186 |
149 |
483 |
529 |
||||||||||||
Non-U.S. |
4 |
7 |
17 |
17 |
||||||||||||
Total short-term borrowings |
190 |
156 |
500 |
546 |
||||||||||||
U.S. |
1,286 |
1,431 |
4,043 |
4,053 |
||||||||||||
Non-U.S. |
35 |
23 |
76 |
59 |
||||||||||||
Total long-term borrowings |
1,321 |
1,454 |
4,119 |
4,112 |
||||||||||||
U.S. |
1,010 |
792 |
3,401 |
2,174 |
||||||||||||
Non-U.S. |
21 |
191 |
(255 |
) |
208 |
|||||||||||
Total other interest-bearing liabilities |
1,031 |
983 |
3,146 |
2,382 |
||||||||||||
Total interest-bearing liabilities |
$4,451 |
$4,205 |
$13,519 |
$11,435 |
||||||||||||
Net interest income |
||||||||||||||||
U.S. |
$ |
$ |
$ 231 |
$ 651 |
||||||||||||
Non-U.S. |
945 |
585 |
3,066 |
2,125 |
||||||||||||
Net interest income |
$1,008 |
$ 856 |
$ 3,297 |
$ 2,776 |
Goldman Sachs September 2019 Form 10-Q |
86 |
Annualized Average Rate for the |
||||||||||||||||
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||
2019 |
2018 |
2019 |
2018 |
|||||||||||||
Assets |
||||||||||||||||
U.S. |
2.26% |
1.98% |
2.39% |
1.79% |
||||||||||||
Non-U.S. |
0.61% |
0.41% |
0.64% |
0.30% |
||||||||||||
Total deposits with banks |
1.30% |
1.29% |
1.44% |
1.14% |
||||||||||||
U.S. |
2.37% |
2.09% |
2.70% |
1.81% |
||||||||||||
Non-U.S. |
0.37% |
0.40% |
0.40% |
0.36% |
||||||||||||
Total collateralized agreements |
1.50% |
1.33% |
1.71% |
1.13% |
||||||||||||
U.S. |
2.21% |
2.51% |
2.52% |
2.65% |
||||||||||||
Non-U.S. |
2.05% |
1.99% |
2.14% |
2.06% |
||||||||||||
Total financial instruments owned |
2.15% |
2.29% |
2.37% |
2.40% |
||||||||||||
U.S. |
5.62% |
5.57% |
5.83% |
5.40% |
||||||||||||
Non-U.S. |
5.63% |
7.05% |
6.22% |
6.42% |
||||||||||||
Total loans receivable |
5.62% |
5.70% |
5.88% |
5.49% |
||||||||||||
U.S. |
5.13% |
5.94% |
5.55% |
5.20% |
||||||||||||
Non-U.S. |
2.81% |
2.43% |
3.00% |
2.13% |
||||||||||||
Total other interest-earning assets |
4.09% |
4.20% |
4.40% |
3.67% |
||||||||||||
Total interest-earning assets |
2.38% |
2.30% |
2.58% |
2.17% |
||||||||||||
Liabilities |
||||||||||||||||
U.S. |
2.39% |
2.04% |
2.45% |
1.87% |
||||||||||||
Non-U.S. |
1.35% |
0.94% |
1.32% |
0.89% |
||||||||||||
Total interest-bearing deposits |
2.17% |
1.82% |
2.22% |
1.67% |
||||||||||||
U.S. |
3.41% |
3.08% |
4.07% |
2.50% |
||||||||||||
Non-U.S. |
0.95% |
0.79% |
0.93% |
0.63% |
||||||||||||
Total collateralized financings |
2.68% |
2.05% |
2.99% |
1.69% |
||||||||||||
U.S. |
0.77% |
2.44% |
1.62% |
2.37% |
||||||||||||
Non-U.S. |
1.65% |
1.78% |
1.63% |
1.57% |
||||||||||||
Total financial instruments sold, but not yet purchased |
1.29% |
2.05% |
1.63% |
1.90% |
||||||||||||
U.S. |
1.94% |
1.53% |
1.85% |
1.72% |
||||||||||||
Non-U.S. |
0.09% |
0.16% |
0.14% |
0.13% |
||||||||||||
Total short-term borrowings |
1.34% |
1.10% |
1.29% |
1.25% |
||||||||||||
U.S. |
2.43% |
2.62% |
2.61% |
2.54% |
||||||||||||
Non-U.S. |
0.48% |
0.36% |
0.36% |
0.34% |
||||||||||||
Total long-term borrowings |
2.20% |
2.38% |
2.34% |
2.32% |
||||||||||||
U.S. |
3.02% |
2.48% |
3.51% |
2.34% |
||||||||||||
Non-U.S. |
0.15% |
1.20% |
(0.63)% |
0.42% |
||||||||||||
Total other interest-bearing liabilities |
2.17% |
2.06% |
2.29% |
1.68% |
||||||||||||
Total interest-bearing liabilities |
2.10% |
2.04% |
2.25% |
1.85% |
||||||||||||
Interest rate spread |
0.28% |
0.26% |
0.33% |
0.32% |
||||||||||||
U.S. |
0.05% |
0.21% |
0.06% |
0.17% |
||||||||||||
Non-U.S. |
1.00% |
0.65% |
1.16% |
0.77% |
||||||||||||
Net yield on interest-earning assets |
0.44% |
0.39% |
0.51% |
0.42% |
• |
Assets, liabilities and interest are classified as U.S. and non-U.S. based on the location of the legal entity in which the assets and liabilities are held. |
• |
Derivative instruments and commodities are included in other non-interest-earning assets and other non-interest- bearing liabilities. |
• |
Total other interest-earning assets primarily consists of receivables from customers and counterparties. |
• |
Collateralized financings consists of securities sold under agreements to repurchase and securities loaned. |
• |
Substantially all of the total other interest-bearing liabilities consists of payables to customers and counterparties. |
• |
Interest rates for borrowings include the effects of interest rate swaps accounted for as hedges. |
87 |
Goldman Sachs September 2019 Form 10-Q |
Goldman Sachs September 2019 Form 10-Q |
88 |
89 |
Goldman Sachs September 2019 Form 10-Q |
• |
Determining the appropriate valuation methodology and/or model for each type of level 3 financial instrument; |
• |
Determining model inputs based on an evaluation of all relevant empirical market data, including prices evidenced by market transactions, interest rates, credit spreads, volatilities and correlations; and |
• |
Determining appropriate valuation adjustments, including those related to illiquidity or counterparty credit quality. |
• |
Trade Comparison. |
• |
External Price Comparison. |
• |
Calibration to Market Comparables. |
• |
Relative Value Analyses. |
• |
Collateral Analyses. |
• |
Execution of Trades. |
• |
Backtesting. |
Goldman Sachs September 2019 Form 10-Q |
90 |
91 |
Goldman Sachs September 2019 Form 10-Q |
|
Three Months Ended September |
|
Nine Months Ended September |
|||||||||||||||
$ in millions, except per share amounts |
2019 |
2018 |
|
2019 |
2018 |
|||||||||||||
Net revenues |
$8,323 |
$8,820 |
|
$26,591 |
$28,536 |
|||||||||||||
Pre-tax earnings |
$2,416 |
$3,078 |
|
$ 8,262 |
$ 9,773 |
|||||||||||||
Net earnings |
$1,877 |
$2,524 |
|
$ 6,549 |
$ 7,921 |
|||||||||||||
Net earnings applicable to common shareholders |
$1,793 |
$2,453 |
|
$ 6,173 |
$ 7,538 |
|||||||||||||
Diluted earnings per common share |
$ 4.79 |
$ 6.28 |
|
$ 16.32 |
$ 19.21 |
|||||||||||||
Annualized ROE |
9.0% |
13.1% |
|
10.4% |
13.7% |
|||||||||||||
Annualized ROTE |
9.5% |
13.8% |
|
11.0% |
14.6% |
|||||||||||||
Annualized net earnings to average total assets |
0.8% |
1.0% |
|
0.9% |
1.1% |
|||||||||||||
Annualized return on average total shareholders’ equity |
8.2% |
11.7% |
|
9.7% |
12.5% |
|||||||||||||
Average total shareholders’ equity to average total assets |
9.2% |
8.9% |
|
9.3% |
8.7% |
|||||||||||||
Dividend payout ratio |
26.1% |
12.7% |
|
17.8% |
12.2% |
• |
Dividend payout ratio is calculated by dividing dividends declared per common share by diluted earnings per common share. |
• |
Annualized ROE is calculated by dividing annualized net earnings applicable to common shareholders by average monthly common shareholders’ equity. Tangible common shareholders’ equity is calculated as total shareholders’ equity less preferred stock, goodwill and identifiable intangible assets. Annualized return on average tangible common shareholders’ equity (ROTE) is calculated by dividing annualized net earnings applicable to common shareholders by average monthly tangible common shareholders’ equity. We believe that tangible common shareholders’ equity is meaningful because it is a measure that we and investors use to assess capital adequacy and that ROTE is meaningful because it measures the performance of businesses consistently, whether they were acquired or developed internally. Tangible common shareholders’ equity and ROTE are non-GAAP measures and may not be comparable to similar non-GAAP measures used by other companies. Annualized return on average total shareholders’ equity is calculated by dividing annualized net earnings by average monthly total shareholders’ equity. |
|
Average for the |
|||||||||||||||||||
|
Three Months Ended September |
|
Nine Months Ended September |
|||||||||||||||||
$ in millions |
2019 |
2018 |
|
2019 |
2018 |
|||||||||||||||
Total shareholders’ equity |
$ 91,054 |
$ 86,248 |
|
$ 90,265 |
$ 84,382 |
|||||||||||||||
Preferred stock |
(11,203 |
) |
(11,203 |
) | |
(11,203 |
) |
(11,268 |
) | |||||||||||
Common shareholders’ equity |
79,851 |
75,045 |
|
79,062 |
73,114 |
|||||||||||||||
Goodwill and identifiable intangible assets |
(4,704 |
) |
(4,105 |
) | |
(4,347 |
) |
(4,090 |
) | |||||||||||
Tangible common shareholders’ equity |
$ 75,147 |
$ 70,940 |
|
$ 74,715 |
$ 69,024 |
Goldman Sachs September 2019 Form 10-Q |
92 |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||
$ in millions |
2019 |
2018 |
|
2019 |
2018 |
|||||||||||||
Investment banking |
$1,687 |
$1,980 |
$ 5,360 |
$ 5,818 |
||||||||||||||
Investment management |
1,556 |
1,580 |
4,469 |
4,947 |
||||||||||||||
Commissions and fees |
758 |
704 |
2,308 |
2,361 |
||||||||||||||
Market making |
2,384 |
2,281 |
7,346 |
8,031 |
||||||||||||||
Other principal transactions |
930 |
1,419 |
3,811 |
4,603 |
||||||||||||||
Total non-interest revenues |
7,315 |
7,964 |
23,294 |
25,760 |
||||||||||||||
Interest income |
5,459 |
5,061 |
16,816 |
14,211 |
||||||||||||||
Interest expense |
4,451 |
4,205 |
13,519 |
11,435 |
||||||||||||||
Net interest income |
1,008 |
856 |
3,297 |
2,776 |
||||||||||||||
Total net revenues |
$8,323 |
$8,820 |
$26,591 |
$28,536 |
• |
Investment banking consists of revenues (excluding net interest) from financial advisory and underwriting assignments, as well as derivative transactions directly related to these assignments. These activities are included in our Investment Banking segment. |
• |
Investment management consists of revenues (excluding net interest) from providing investment management services to a diverse set of clients, as well as wealth advisory services and certain transaction services to high-net-worth individuals and families. These activities are included in our Investment Management segment. |
• |
Commissions and fees consists of revenues from executing and clearing client transactions on major stock, options and futures exchanges worldwide, as well as over-the-counter (OTC) transactions. These activities are included in our Institutional Client Services and Investment Management segments. |
• |
Market making consists of revenues (excluding net interest) from client execution activities related to making markets in interest rate products, credit products, mortgages, currencies, commodities and equity products. These activities are included in our Institutional Client Services segment. |
• |
Other principal transactions consists of revenues (excluding net interest) from our investing activities and the origination of loans to provide financing to clients. In addition, other principal transactions includes revenues related to our consolidated investments. These activities are included in our Investing & Lending segment. |
93 |
Goldman Sachs September 2019 Form 10-Q |
Goldman Sachs September 2019 Form 10-Q |
94 |
Three Months Ended September |
|
Nine Months Ended September |
||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Provision for credit losses |
$291 |
$174 |
$729 |
$452 |
|
Three Months Ended September |
|
Nine Months Ended September |
|||||||||||||||
$ in millions |
2019 |
2018 |
|
2019 |
2018 |
|||||||||||||
Compensation and benefits |
$ 2,731 |
$ 3,019 |
|
$ 9,307 |
$10,471 |
|||||||||||||
Brokerage, clearing, exchange and distribution fees |
853 |
714 |
|
2,438 |
2,370 |
|||||||||||||
Market development |
169 |
167 |
|
539 |
532 |
|||||||||||||
Communications and technology |
283 |
250 |
|
859 |
761 |
|||||||||||||
Depreciation and amortization |
473 |
317 |
|
1,240 |
951 |
|||||||||||||
Occupancy |
252 |
203 |
|
711 |
594 |
|||||||||||||
Professional fees |
350 |
310 |
|
950 |
897 |
|||||||||||||
Other expenses |
505 |
588 |
|
1,556 |
1,735 |
|||||||||||||
Total operating expenses |
$ 5,616 |
$ 5,568 |
|
$17,600 |
$18,311 |
|||||||||||||
Headcount at period-end |
37,800 |
36,300 |
|
|
|
95 |
Goldman Sachs September 2019 Form 10-Q |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||
$ in millions |
2019 |
2018 |
|
2019 |
2018 |
|||||||||||||
Investment Banking |
||||||||||||||||||
Net revenues |
$1,687 |
$1,980 |
$ 5,360 |
$ 5,818 |
||||||||||||||
Operating expenses |
962 |
1,114 |
3,013 |
3,334 |
||||||||||||||
Pre-tax earnings |
$ 725 |
$ 866 |
$ 2,347 |
$ 2,484 |
||||||||||||||
Institutional Client Services |
||||||||||||||||||
Net revenues |
$3,287 |
$3,101 |
$10,368 |
$11,056 |
||||||||||||||
Operating expenses |
2,336 |
2,357 |
7,572 |
8,061 |
||||||||||||||
Pre-tax earnings |
$ 951 |
$ 744 |
$ 2,796 |
$ 2,995 |
||||||||||||||
Investing & Lending |
||||||||||||||||||
Net revenues |
$1,681 |
$2,035 |
$ 6,048 |
$ 6,344 |
||||||||||||||
Provision for credit losses |
291 |
174 |
729 |
452 |
||||||||||||||
Operating expenses |
969 |
777 |
3,045 |
2,760 |
||||||||||||||
Pre-tax earnings |
$ 421 |
$1,084 |
$ 2,274 |
$ 3,132 |
||||||||||||||
Investment Management |
||||||||||||||||||
Net revenues |
$1,668 |
$1,704 |
$ 4,815 |
$ 5,318 |
||||||||||||||
Operating expenses |
1,349 |
1,320 |
3,970 |
4,156 |
||||||||||||||
Pre-tax earnings |
$ 319 |
$ 384 |
$ 845 |
$ 1,162 |
||||||||||||||
Total net revenues |
$8,323 |
$8,820 |
$26,591 |
$28,536 |
||||||||||||||
Provision for credit losses |
291 |
174 |
729 |
452 |
||||||||||||||
Total operating expenses |
5,616 |
5,568 |
17,600 |
18,311 |
||||||||||||||
Total pre-tax earnings |
$2,416 |
$3,078 |
$ 8,262 |
$ 9,773 |
Goldman Sachs September 2019 Form 10-Q |
96 |
|
Three Months Ended September |
|
Nine Months Ended September |
|||||||||||||||
$ in millions |
2019 |
2018 |
|
2019 |
2018 |
|||||||||||||
Financial Advisory |
$ 716 |
$ 916 |
|
$2,379 |
$2,306 |
|||||||||||||
Equity underwriting |
385 |
432 |
|
1,138 |
1,331 |
|||||||||||||
Debt underwriting |
586 |
632 |
|
1,843 |
2,181 |
|||||||||||||
Total Underwriting |
971 |
1,064 |
|
2,981 |
3,512 |
|||||||||||||
Total net revenues |
1,687 |
1,980 |
|
5,360 |
5,818 |
|||||||||||||
Operating expenses |
962 |
1,114 |
|
3,013 |
3,334 |
|||||||||||||
Pre-tax earnings |
$ 725 |
$ 866 |
|
$2,347 |
$2,484 |
|
Three Months Ended September |
|
Nine Months Ended September |
|||||||||||||||
$ in billions |
2019 |
2018 |
|
2019 |
2018 |
|||||||||||||
Announced mergers and acquisitions |
$ 261 |
$ 208 |
|
$1,103 |
$1,011 |
|||||||||||||
Completed mergers and acquisitions |
$ 427 |
$ 265 |
|
$1,034 |
$ 699 |
|||||||||||||
Equity and equity-related offerings |
$ 17 |
$ 15 |
|
$ 49 |
$ 56 |
|||||||||||||
Debt offerings |
$ 67 |
$ 63 |
|
$ 196 |
$ 211 |
• |
Volumes are per Dealogic. |
• |
Announced and completed mergers and acquisitions volumes are based on full credit to each of the advisors in a transaction. Equity and equity-related offerings and debt offerings are based on full credit for single book managers and equal credit for joint book managers. Transaction volumes may not be indicative of net revenues in a given period. In addition, transaction volumes for prior periods may vary from amounts previously reported due to the subsequent withdrawal or a change in the value of a transaction. |
• |
Equity and equity-related offerings includes Rule 144A and public common stock offerings, convertible offerings and rights offerings. |
• |
Debt offerings includes non-convertible preferred stock, mortgage-backed securities, asset-backed securities and taxable municipal debt. Includes publicly registered and Rule 144A issues. Excludes leveraged loans. |
97 |
Goldman Sachs September 2019 Form 10-Q |
• |
Interest Rate Products. |
• |
Credit Products. |
• |
Mortgages. |
• |
Currencies. G-10 currencies and emerging-market products. |
• |
Commodities. |
Goldman Sachs September 2019 Form 10-Q |
98 |
Three Months Ended September |
|
Nine Months Ended September |
||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
FICC Client Execution |
$1,410 |
$1,307 |
$ 4,718 |
$ 5,060 |
||||||||||||||
Equities client execution |
681 |
681 |
2,135 |
2,434 |
||||||||||||||
Commissions and fees |
728 |
674 |
2,219 |
2,254 |
||||||||||||||
Securities services |
468 |
439 |
1,296 |
1,308 |
||||||||||||||
Total Equities |
1,877 |
1,794 |
5,650 |
5,996 |
||||||||||||||
Total net revenues |
3,287 |
3,101 |
10,368 |
11,056 |
||||||||||||||
Operating expenses |
2,336 |
2,357 |
7,572 |
8,061 |
||||||||||||||
Pre-tax earnings |
$ |
$ 744 |
$ 2,796 |
$ 2,995 |
$ in millions |
FICC Client Execution |
Total Equities |
Institutional Client Services |
|||||||||
Three Months Ended September 2019 |
||||||||||||
Market making |
$1,299 |
$1,085 |
$ 2,384 |
|||||||||
Commissions and fees |
– |
728 |
728 |
|||||||||
Net interest income |
111 |
64 |
175 |
|||||||||
Total net revenues |
$1,410 |
$1,877 |
$ 3,287 |
|||||||||
Three Months Ended September 2018 |
||||||||||||
Market making |
$1,281 |
$1,000 |
$ 2,281 |
|||||||||
Commissions and fees |
– |
674 |
674 |
|||||||||
Net interest income |
26 |
120 |
146 |
|||||||||
Total net revenues |
$1,307 |
$1,794 |
$ 3,101 |
|||||||||
Nine Months Ended September 2019 |
||||||||||||
Market making |
$4,057 |
$3,289 |
$ 7,346 |
|||||||||
Commissions and fees |
– |
2,219 |
2,219 |
|||||||||
Net interest income |
661 |
142 |
803 |
|||||||||
Total net revenues |
$4,718 |
$5,650 |
$10,368 |
|||||||||
Nine Months Ended September 2018 |
||||||||||||
Market making |
$4,545 |
$3,486 |
$ 8,031 |
|||||||||
Commissions and fees |
– |
2,254 |
2,254 |
|||||||||
Net interest income |
515 |
256 |
771 |
|||||||||
Total net revenues |
$5,060 |
$5,996 |
$11,056 |
• |
The difference between commissions and fees and those in the consolidated statements of earnings represents commissions and fees included in our Investment Management segment. |
• |
See “Net Revenues” for further information about market making revenues, commissions and fees, and net interest income. See Note 25 to the consolidated financial statements for net interest income by business segment. |
• |
The primary driver of net revenues for FICC Client Execution was client activity. |
99 |
Goldman Sachs September 2019 Form 10-Q |
• |
Net revenues in commodities were higher, reflecting higher client activity and the impact of improved market-making conditions on our inventory. |
• |
Net revenues in credit products and mortgages were higher, reflecting higher client activity. |
• |
Net revenues in interest rate products were higher, reflecting higher client activity, largely offset by the impact of challenging market-making conditions on our inventory. |
• |
Net revenues in currencies were lower, reflecting the impact of challenging market-making conditions on our inventory. |
• |
Net revenues in currencies were significantly lower and net revenues in interest rate products were lower, primarily reflecting the impact of challenging market-making conditions on our inventory. |
• |
Net revenues in credit products were lower, reflecting the impact of challenging market-making conditions on our inventory. |
• |
Net revenues in commodities were significantly higher, primarily reflecting the impact of improved market-making conditions on our inventory. |
• |
Net revenues in mortgages were higher, reflecting higher client activity. |
Goldman Sachs September 2019 Form 10-Q |
100 |
Three Months Ended September |
|
Nine Months Ended September |
||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Equity securities |
$ |
$1,111 |
$3,050 |
$3,461 |
||||||||||||||
Debt securities and loans |
1,019 |
924 |
2,998 |
2,883 |
||||||||||||||
Total net revenues |
1,681 |
2,035 |
6,048 |
6,344 |
||||||||||||||
Provision for credit losses |
291 |
174 |
729 |
452 |
||||||||||||||
Operating expenses |
969 |
777 |
3,045 |
2,760 |
||||||||||||||
Pre-tax earnings |
$ |
$1,084 |
$2,274 |
$3,132 |
101 |
Goldman Sachs September 2019 Form 10-Q |
Three Months Ended September |
|
Nine Months Ended September |
||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
Management and other fees |
$1,457 |
$1,382 |
$4,184 |
$4,073 |
||||||||||||||
Incentive fees |
45 |
148 |
147 |
677 |
||||||||||||||
Transaction revenues |
166 |
174 |
484 |
568 |
||||||||||||||
Total net revenues |
1,668 |
1,704 |
4,815 |
5,318 |
||||||||||||||
Operating expenses |
1,349 |
1,320 |
3,970 |
4,156 |
||||||||||||||
Pre-tax earnings |
$ |
$ 384 |
$ |
$1,162 |
As of September |
||||||||
$ in billions |
2019 |
2018 |
||||||
Asset Class |
||||||||
Alternative investments |
$ |
$ 175 |
||||||
Equity |
392 |
349 |
||||||
Fixed income |
784 |
668 |
||||||
Total long-term AUS |
1,358 |
1,192 |
||||||
Liquidity products |
404 |
358 |
||||||
Total AUS |
$1,762 |
$1,550 |
||||||
Distribution Channel |
||||||||
Institutional |
$ |
$ 581 |
||||||
High-net-worth individuals |
530 |
483 |
||||||
Third-party distributed |
553 |
486 |
||||||
Total AUS |
$1,762 |
$1,550 |
||||||
Region |
||||||||
Americas |
$1,331 |
$1,152 |
||||||
Europe, Middle East and Africa |
263 |
246 |
||||||
Asia |
168 |
152 |
||||||
Total AUS |
$1,762 |
$1,550 |
||||||
Vehicle |
||||||||
Separate accounts |
$1,044 |
$ 878 |
||||||
Public funds |
540 |
514 |
||||||
Private funds and other |
178 |
158 |
||||||
Total AUS |
$1,762 |
$1,550 |
Goldman Sachs September 2019 Form 10-Q |
102 |
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||
$ in billions |
2019 |
2018 |
|
2019 |
2018 |
|||||||||||||
Beginning balance |
$1,660 |
$1,513 |
$1,542 |
$1,494 |
||||||||||||||
Net inflows/(outflows): |
||||||||||||||||||
Alternative investments |
8 |
3 |
10 |
5 |
||||||||||||||
Equity |
41 |
7 |
44 |
14 |
||||||||||||||
Fixed income |
20 |
3 |
52 |
15 |
||||||||||||||
Total long-term AUS net inflows/(outflows) |
69 |
13 |
106 |
34 |
||||||||||||||
Liquidity products |
17 |
8 |
7 |
13 |
||||||||||||||
Total AUS net inflows/(outflows) |
86 |
21 |
113 |
47 |
||||||||||||||
Net market appreciation/(depreciation) |
16 |
16 |
107 |
9 |
||||||||||||||
Ending balance |
$1,762 |
$1,550 |
$1,762 |
$1,550 |
• |
Total AUS net inflows/(outflows) for the three and nine months ended September 2019 included $58 billion of inflows (substantially all in equity and fixed income assets) in connection with the acquisitions of Standard & Poor’s Investment Advisory Services (SPIAS) and United Capital. |
• |
Total AUS net inflows/(outflows) for the nine months ended September 2019 also included $13 billion of inflows (substantially all in equity and fixed income assets) in connection with the acquisition of Rocaton Investment Advisors (Rocaton). |
Average for the |
||||||||||||||||||
Three Months Ended September |
Nine Months Ended September |
|||||||||||||||||
$ in billions |
2019 |
2018 |
|
2019 |
2018 |
|||||||||||||
Alternative investments |
$ |
$ 174 |
$ |
$ 171 |
||||||||||||||
Equity |
380 |
340 |
350 |
333 |
||||||||||||||
Fixed income |
771 |
665 |
734 |
664 |
||||||||||||||
Total long-term AUS |
1,328 |
1,179 |
1,257 |
1,168 |
||||||||||||||
Liquidity products |
400 |
352 |
389 |
342 |
||||||||||||||
Total AUS |
$1,728 |
$1,531 |
$1,646 |
$1,510 |
103 |
Goldman Sachs September 2019 Form 10-Q |
• |
To develop our balance sheet projections, taking into account the general state of the financial markets and expected business activity levels, as well as regulatory requirements; |
• |
To allow Treasury and our independent risk oversight and control functions to objectively evaluate balance sheet limit requests from our revenue-producing units in the context of our overall balance sheet constraints, including our liability profile and equity capital levels, and key metrics; and |
• |
To inform the target amount, tenor and type of funding to raise, based on our projected assets and contractual maturities. |
Goldman Sachs September 2019 Form 10-Q |
104 |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
GCLA, segregated assets and other |
$ |
$313,138 |
||||||
Secured client financing |
134,167 |
145,232 |
||||||
Inventory |
288,592 |
204,584 |
||||||
Secured financing agreements |
63,117 |
61,632 |
||||||
Receivables |
45,767 |
42,006 |
||||||
Institutional Client Services |
397,476 |
308,222 |
||||||
Public equity |
2,293 |
1,445 |
||||||
Private equity |
19,692 |
19,985 |
||||||
Total equity |
21,985 |
21,430 |
||||||
Loans receivable |
85,837 |
80,590 |
||||||
Loans, at fair value |
14,267 |
13,416 |
||||||
Total loans |
100,104 |
94,006 |
||||||
Debt securities |
14,042 |
11,215 |
||||||
Other |
6,025 |
7,913 |
||||||
Investing & Lending |
142,156 |
134,564 |
||||||
Total inventory and related assets |
539,632 |
442,786 |
||||||
Other assets |
35,581 |
30,640 |
||||||
Total assets |
$1,007,320 |
$931,796 |
• |
Global Core Liquid Assets (GCLA), Segregated Assets and Other. |
• |
Secured Client Financing. |
• |
Institutional Client Services. |
• |
Investing & Lending. |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Equity Type |
||||||||
Corporate |
$17,761 |
$17,262 |
||||||
Real Estate |
4,224 |
4,168 |
||||||
Total |
$21,985 |
$21,430 |
||||||
Region |
||||||||
Americas |
52% |
53% |
||||||
Europe, Middle East and Africa |
16% |
16% |
||||||
Asia |
32% |
31% |
||||||
Total |
100% |
100% |
$ in millions |
As of September 2019 |
|||
Equity |
$21,985 |
|||
2012 or earlier |
32% |
|||
2013 - 2015 |
31% |
|||
2016 - thereafter |
37% |
|||
Total |
100% |
105 |
Goldman Sachs September 2019 Form 10-Q |
Loans. |
$ in millions |
Loans Receivable |
Loans, at Fair Value |
Total |
|||||||||
As of September 2019 |
|
|
|
|||||||||
Loan Type |
|
|
||||||||||
Corporate loans |
$41,463 |
$ 3,183 |
$ 44,646 |
|||||||||
PWM loans |
18,331 |
7,623 |
25,954 |
|||||||||
Commercial real estate loans |
12,662 |
1,803 |
14,465 |
|||||||||
Residential real estate loans |
5,657 |
1,003 |
6,660 |
|||||||||
Consumer loans |
5,525 |
– |
5,525 |
|||||||||
Other loans |
3,520 |
655 |
4,175 |
|||||||||
Allowance for loan losses |
(1,321 |
) |
– |
(1,321 |
) | |||||||
Total |
$85,837 |
$14,267 |
$100,104 |
|||||||||
Region |
|
|
||||||||||
Americas |
64% |
10% |
74% |
|||||||||
Europe, Middle East and Africa |
18% |
3% |
21% |
|||||||||
Asia |
4% |
1% |
5% |
|||||||||
Total |
86% |
14% |
100% |
|||||||||
As of December 2018 |
|
|
||||||||||
Loan Type |
|
|
||||||||||
Corporate loans |
$37,283 |
$ 2,819 |
$ 40,102 |
|||||||||
PWM loans |
17,518 |
7,250 |
24,768 |
|||||||||
Commercial real estate loans |
11,441 |
1,718 |
13,159 |
|||||||||
Residential real estate loans |
7,284 |
973 |
8,257 |
|||||||||
Consumer loans |
4,536 |
– |
4,536 |
|||||||||
Other loans |
3,594 |
656 |
4,250 |
|||||||||
Allowance for loan losses |
(1,066 |
) | – |
(1,066 |
) | |||||||
Total |
$80,590 |
$13,416 |
$ 94,006 |
|||||||||
Region |
|
|
|
|||||||||
Americas |
67% |
11% |
78% |
|||||||||
Europe, Middle East and Africa |
16% |
2% |
18% |
|||||||||
Asia |
3% |
1% |
4% |
|||||||||
Total |
86% |
14% |
100% |
The table below presents the concentration of our secured and unsecured loans by an internally determined public rating agency equivalent. |
|
Investment- Grade |
Non-Investment- Grade |
Unrated |
Total |
||||||||||||
As of September 2019 |
|
|
|
|||||||||||||
Secured |
26% |
49% |
9% |
84% |
||||||||||||
Unsecured |
5% |
4% |
7% |
16% |
||||||||||||
Total |
31% |
53% |
16% |
100% |
||||||||||||
As of December 2018 |
|
|
|
|||||||||||||
Secured |
26% |
49% |
9% |
84% |
||||||||||||
Unsecured |
7% |
3% |
6% |
16% |
||||||||||||
Total |
33% |
52% |
15% |
100% |
In the table above, unrated loans primarily represents consumer loans, certain Private Wealth Management (PWM) loans and Purchased Credit Impaired loans for which other metrics are used to evaluate the credit quality. |
The table below presents the concentration by industry of our corporate loans. |
|
As of |
|||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Corporate loans |
$44,646 |
$40,102 |
||||||
Industry |
|
|
||||||
Consumer, Retail & Healthcare |
14% |
16% |
||||||
Diversified Industrials |
17% |
17% |
||||||
Financial Institutions |
11% |
10% |
||||||
Funds |
10% |
10% |
||||||
Natural Resources & Utilities |
10% |
11% |
||||||
Real Estate |
7% |
6% |
||||||
Technology, Media & Telecommunications |
18% |
18% |
||||||
Other (including Special Purpose Vehicles) |
13% |
12% |
||||||
Total |
100% |
100% |
In the table above, as of both September 2019 and December 2018, corporate loans included approximately 40% of loans related to our relationship lending and investment banking activities, 15% of loans related to collateralized inventory financings and 45% of loans related to other corporate lending activity, including middle market lending. |
See Note 9 to the consolidated financial statements for further information about loans receivable. |
• |
Other Assets. right-of-use assets, income tax-related receivables and miscellaneous receivables. Other assets included $16.48 billion as of September 2019 and $13.21 billion as of December 2018, held by consolidated investment entities (CIEs) in connection with our Investing & Lending segment activities. Substantially all of such assets relate to CIEs engaged in real estate investment activities. These entities were funded with liabilities of approximately $9 billion as of September 2019 and $6 billion as of December 2018. Substantially all such liabilities were nonrecourse, thereby reducing our equity at risk. |
Goldman Sachs September 2019 Form 10-Q |
106 |
$ in millions |
GCLA, Segregated Assets and Other |
Secured Client Financing |
Institutional Client Services |
Investing & Lending |
Other Assets |
Total |
||||||||||||||||||
As of September 2019 |
|
|
|
|
||||||||||||||||||||
Cash and cash equivalents |
$ 94,094 |
$ – |
$ – |
$ – |
$ – |
$ |
||||||||||||||||||
Resale agreements |
98,164 |
22,510 |
17,621 |
4 |
– |
138,299 |
||||||||||||||||||
Securities borrowed |
14,681 |
80,192 |
45,496 |
– |
– |
140,369 |
||||||||||||||||||
Loans receivable |
– |
– |
– |
85,837 |
– |
85,837 |
||||||||||||||||||
Customer and other receivables |
– |
31,465 |
45,767 |
5,860 |
– |
83,092 |
||||||||||||||||||
Financial instruments owned |
85,942 |
– |
288,592 |
50,455 |
– |
424,989 |
||||||||||||||||||
Other assets |
5,059 |
– |
– |
– |
35,581 |
40,640 |
||||||||||||||||||
Total assets |
$297,940 |
$134,167 |
$397,476 |
$142,156 |
$35,581 |
$1,007,320 |
||||||||||||||||||
As of December 2018 |
|
|
|
|
||||||||||||||||||||
Cash and cash equivalents |
$130,547 |
$ |
$ |
$ |
$ |
$ 130,547 |
||||||||||||||||||
Resale agreements |
87,022 |
32,389 |
19,808 |
39 |
– |
139,258 |
||||||||||||||||||
Securities borrowed |
10,382 |
83,079 |
41,824 |
– |
– |
135,285 |
||||||||||||||||||
Loans receivable |
– |
– |
– |
80,590 |
– |
80,590 |
||||||||||||||||||
Customer and other receivables |
– |
29,764 |
42,006 |
7,545 |
– |
79,315 |
||||||||||||||||||
Financial instruments owned |
85,187 |
– |
204,584 |
46,390 |
– |
336,161 |
||||||||||||||||||
Other assets |
– |
– |
– |
– |
30,640 |
30,640 |
||||||||||||||||||
Total assets |
$313,138 |
$145,232 |
$308,222 |
$134,564 |
$30,640 |
$ 931,796 |
107 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Total assets |
$1,007,320 |
$931,796 |
||||||
Unsecured long-term borrowings |
$ |
$224,149 |
||||||
Total shareholders’ equity |
$ |
$ 90,185 |
||||||
Leverage ratio |
10.9x |
10.3x |
||||||
Debt to equity ratio |
2.4x |
2.5x |
• |
The leverage ratio equals total assets divided by total shareholders’ equity and measures the proportion of equity and debt we use to finance assets. This ratio is different from the leverage ratios included in Note 20 to the consolidated financial statements. |
• |
The debt to equity ratio equals unsecured long-term borrowings divided by total shareholders’ equity. |
As of |
||||||||
$ in millions, except per share amounts |
September 2019 |
December 2018 |
||||||
Total shareholders’ equity |
$ 92,012 |
$ 90,185 |
||||||
Preferred stock |
(11,203 |
) |
(11,203 |
) | ||||
Common shareholders’ equity |
80,809 |
78,982 |
||||||
Goodwill and identifiable intangible assets |
(4,886 |
) |
(4,082 |
) | ||||
Tangible common shareholders’ equity |
$ 75,923 |
$ 74,900 |
||||||
Book value per common share |
$ 218.82 |
$ 207.36 |
||||||
Tangible book value per common share |
$ 205.59 |
$ 196.64 |
• |
Tangible common shareholders’ equity is calculated as total shareholders’ equity less preferred stock, goodwill and identifiable intangible assets. We believe that tangible common shareholders’ equity is meaningful because it is a measure that we and investors use to assess capital adequacy. Tangible common shareholders’ equity is a non-GAAP measure and may not be comparable to similar non-GAAP measures used by other companies. |
• |
Book value per common share and tangible book value per common share are based on common shares outstanding and restricted stock units granted to employees with no future service requirements (collectively, basic shares) of 369.3 million as of September 2019 and 380.9 million as of December 2018. We believe that tangible book value per common share (tangible common shareholders’ equity divided by basic shares) is meaningful because it is a measure that we and investors use to assess capital adequacy. Tangible book value per common share is a non-GAAP measure and may not be comparable to similar non-GAAP measures used by other companies. |
As of |
||||||||||||||||
$ in millions |
September 2019 |
December 2018 |
||||||||||||||
Deposits |
$182,702 |
27% |
$158,257 |
25% |
||||||||||||
Collateralized financings |
139,792 |
20% |
111,964 |
18% |
||||||||||||
Unsecured short-term borrowings |
51,958 |
8% |
40,502 |
7% |
||||||||||||
Unsecured long-term borrowings |
216,878 |
32% |
224,149 |
36% |
||||||||||||
Total shareholders’ equity |
92,012 |
13% |
90,185 |
14% |
||||||||||||
Total funding sources |
$683,342 |
100% |
$625,057 |
100% |
Goldman Sachs September 2019 Form 10-Q |
108 |
$ in millions |
First Quarter |
Second Quarter |
Third Quarter |
Fourth Quarter |
Total |
|||||||||||||||
2020 |
$ – |
$ – |
$ – |
$7,784 |
$ 7,784 |
|||||||||||||||
2021 |
$ 3,420 |
$5,450 |
$7,839 |
$7,757 |
24,466 |
|||||||||||||||
2022 |
$ 6,380 |
$6,355 |
$6,275 |
$5,933 |
24,943 |
|||||||||||||||
2023 |
$10,192 |
$4,563 |
$7,875 |
$4,245 |
26,875 |
|||||||||||||||
2024 |
$ 6,455 |
$4,335 |
$5,865 |
$2,228 |
18,883 |
|||||||||||||||
2025 - thereafter |
113,927 |
|||||||||||||||||||
Total |
$216,878 |
109 |
Goldman Sachs September 2019 Form 10-Q |
• |
Capital Planning. |
• |
Stress Testing. |
Goldman Sachs September 2019 Form 10-Q |
110 |
111 |
Goldman Sachs September 2019 Form 10-Q |
Goldman Sachs September 2019 Form 10-Q |
112 |
As of |
||||||||
September 2019 |
December 2018 |
|||||||
Risk-based capital requirements |
||||||||
CET1 capital ratio |
8.8% |
8.1% |
||||||
Tier 1 capital ratio |
10.8% |
10.1% |
||||||
Total capital ratio |
13.4% |
12.7% |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Risk-based capital and RWAs |
||||||||
CET1 capital |
$ 23,765 |
$ 23,956 |
||||||
Tier 1 capital |
$ 32,065 |
$ 32,256 |
||||||
Tier 2 capital |
$ 5,377 |
$ 5,377 |
||||||
Total capital |
$ 37,442 |
$ 37,633 |
||||||
RWAs |
$206,751 |
$200,089 |
||||||
Risk-based capital ratios |
||||||||
CET1 capital ratio |
11.5% |
12.0% |
||||||
Tier 1 capital ratio |
15.5% |
16.1% |
||||||
Total capital ratio |
18.1% |
18.8% |
113 |
Goldman Sachs September 2019 Form 10-Q |
Requirements |
||||
TLAC to RWAs |
22.0% |
|||
TLAC to leverage exposure |
9.5% |
|||
External long-term debt to RWAs |
8.5% |
|||
External long-term debt to leverage exposure |
4.5% |
• |
The TLAC to RWAs requirement includes (i) the 18% minimum, (ii) the 2.5% buffer, (iii) the 1.5% G-SIB surcharge (Method 1) and (iv) the countercyclical capital buffer, which the FRB has set to zero percent. |
• |
The TLAC to leverage exposure requirement includes (i) the 7.5% minimum and (ii) the 2.0% leverage exposure buffer. |
• |
The external long-term debt to RWAs requirement includes (i) the 6% minimum and (ii) the 2.5% G-SIB surcharge (Method 2). |
• |
The external long-term debt to total leverage exposure is the 4.5% minimum. |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
TLAC |
$ 244,239 |
$ 254,836 |
||||||
External long-term debt |
$ 148,870 |
$ 160,493 |
||||||
RWAs |
$ 565,601 |
$ 558,111 |
||||||
Leverage exposure |
$1,385,056 |
$1,342,906 |
||||||
TLAC to RWAs |
43.2% |
45.7% |
||||||
TLAC to leverage exposure |
17.6% |
19.0% |
||||||
External long-term debt to RWAs |
26.3% |
28.8% |
||||||
External long-term debt to leverage exposure |
10.7% |
12.0% |
Goldman Sachs September 2019 Form 10-Q |
114 |
• |
TLAC includes common and preferred stock, and eligible long-term debt issued by Group Inc. Eligible long-term debt represents unsecured debt, which has a remaining maturity of at least one year and satisfies additional requirements. |
• |
External long-term debt consists of eligible long-term debt subject to a haircut if it is due to be paid between one and two years. |
• |
RWAs represent Advanced RWAs. In accordance with the TLAC rules, the higher of Advanced or Standardized RWAs are used in the calculation of TLAC and external long-term debt ratios and applicable requirements. |
• |
Leverage exposure consists of average adjusted total assets and certain off-balance-sheet exposures. |
115 |
Goldman Sachs September 2019 Form 10-Q |
Off-Balance-Sheet Arrangements and Contractual Obligations |
• |
Purchasing or retaining residual and other interests in special purpose entities, such as mortgage-backed and other asset-backed securitization vehicles; |
• |
Holding senior and subordinated debt, interests in limited and general partnerships, and preferred and common stock in other nonconsolidated vehicles; |
• |
Entering into interest rate, foreign currency, equity, commodity and credit derivatives, including total return swaps; and |
• |
Providing guarantees, indemnifications, commitments, letters of credit and representations and warranties. |
Type of Off-Balance-Sheet Arrangement |
|
Disclosure in Form 10-Q | ||
Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated variable interest entities (VIEs) |
See Note 12 to the consolidated financial statements. | |||
Guarantees, letters of credit, and lending and other commitments |
See Note 18 to the consolidated financial statements. | |||
Derivatives |
See “Risk Management — Credit Risk Management — Credit Exposures — OTC Derivatives” and Notes 4, 5, 7 and 18 to the consolidated financial statements. |
Goldman Sachs September 2019 Form 10-Q |
116 |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Time deposits |
$ 31,648 |
$ 28,413 |
||||||
Secured long-term financings |
$ 11,845 |
$ 11,878 |
||||||
Unsecured long-term borrowings |
$216,878 |
$224,149 |
||||||
Interest payments |
$ 49,941 |
$ 54,594 |
||||||
Operating lease payments |
$ 4,011 |
$ 2,399 |
As of September 2019 |
||||||||||||||||
$ in millions |
Remainder of 2019 |
2020 - 2021 |
2022 - 2023 |
2024 - Thereafter |
||||||||||||
Time deposits |
$ – |
$ 9,685 |
$13,498 |
$ 8,465 |
||||||||||||
Secured long-term financings |
$ – |
$ 4,042 |
$ 3,060 |
$ 4,743 |
||||||||||||
Unsecured long-term borrowings |
$ – |
$32,250 |
$51,818 |
$132,810 |
||||||||||||
Interest payments |
$1,583 |
$12,078 |
$ 8,895 |
$ 27,385 |
||||||||||||
Operating lease payments |
$ |
$ |
$ |
$ 2,791 |
• |
Obligations maturing within one year of our financial statement date or redeemable within one year of our financial statement date at the option of the holders are excluded as they are treated as short-term obligations. See Note 15 to the consolidated financial statements for further information about our short-term borrowings. |
• |
Obligations that are repayable prior to maturity at our option are reflected at their contractual maturity dates and obligations that are redeemable prior to maturity at the option of the holders are reflected at the earliest dates such options become exercisable. |
• |
As of September 2019, unsecured long-term borrowings had maturities extending through 2069, consisted principally of senior borrowings, and included $10.05 billion of adjustments to the carrying value of certain unsecured long-term borrowings resulting from the application of hedge accounting. See Note 16 to the consolidated financial statements for further information about our unsecured long-term borrowings. |
• |
As of September 2019, the difference between the aggregate contractual principal amount and the related fair value of long-term other secured financings for which the fair value option was elected was not material. |
• |
As of September 2019, the difference between the aggregate contractual principal amount and the related fair value of unsecured long-term borrowings for which the fair value option was elected was not material. |
• |
Interest payments represents estimated future contractual interest payments related to unsecured long-term borrowings, secured long-term financings and time deposits based on applicable interest rates as of September 2019, and includes stated coupons, if any, on structured notes. |
• |
Operating lease payments include lease commitments for office space that expire on various dates through 2069. Certain agreements are subject to periodic escalation provisions for increases in real estate taxes and other charges. See Note 17 to the consolidated financial statements for further information about our operating lease liabilities. |
117 |
Goldman Sachs September 2019 Form 10-Q |
Goldman Sachs September 2019 Form 10-Q |
118 |
119 |
Goldman Sachs September 2019 Form 10-Q |
• |
Firmwide Risk Committee. co-chaired by the chairs of the Firmwide Enterprise Risk Committee. |
• |
Firmwide New Activity Committee. co-chaired by the head of regulatory controllers and the head of Securities Division Operations, who are appointed as chairs by the chairs of the Firmwide Enterprise Risk Committee. |
Goldman Sachs September 2019 Form 10-Q |
120 |
• |
Firmwide Model Risk Control Committee. |
• |
Firmwide Conduct and Operational Risk Committee. co-chaired by a managing director in Compliance and our deputy chief risk officer, who are appointed as chairs by the chairs of the Firmwide Enterprise Risk Committee. |
• |
Firmwide Technology Risk Committee. co-chaired by our co-chief information officer and the head of Global Investment Research, who are appointed as chairs by the chairs of the Firmwide Enterprise Risk Committee. |
• |
Global Business and Operational Resilience Committee. |
• |
Risk Governance Committee. |
• |
Firmwide Volcker Oversight Committee. co-chaired by our chief market risk officer and the deputy head of Compliance, who are appointed as chairs by the chairs of the Firmwide Enterprise Risk Committee. |
• |
Firmwide Reputational Risk Committee. |
• |
Firmwide Suitability Committee. co-chaired by the deputy head of Compliance, and the co-head of Europe, Middle East and Africa FICC sales, who are appointed as chairs by the chair of the Firmwide Client and Business Standards Committee. |
121 |
Goldman Sachs September 2019 Form 10-Q |
• |
Firmwide Investment Policy Committee. co-chaired by the chairman and a co-head of our Merchant Banking Division, who are appointed as chairs by our president and chief operating officer and our chief financial officer. |
• |
Firmwide Capital Committee. co-chaired by the head of Credit Risk and a co-head of the Financing Group, who are appointed as chairs by the chairs of the Firmwide Enterprise Risk Committee. |
• |
Firmwide Commitments Committee. co-chaired by the co-head of the Industrials Group in our Investment Banking Division, an advisory director, and a managing director in our Investment Banking Division, who are appointed as chairs by the chair of the Firmwide Client and Business Standards Committee. |
Goldman Sachs September 2019 Form 10-Q |
122 |
• |
The first days or weeks of a liquidity crisis are the most critical to a company’s survival; |
• |
Focus must be maintained on all potential cash and collateral outflows, not just disruptions to financing flows. Our businesses are diverse, and our liquidity needs are determined by many factors, including market movements, collateral requirements and client commitments, all of which can change dramatically in a difficult funding environment; |
• |
During a liquidity crisis, credit-sensitive funding, including unsecured debt, certain deposits and some types of secured financing agreements, may be unavailable, and the terms (e.g., interest rates, collateral provisions and tenor) or availability of other types of secured financing may change and certain deposits may be withdrawn; and |
• |
As a result of our policy to pre-fund liquidity that we estimate may be needed in a crisis, we hold more unencumbered securities and have larger debt balances than our businesses would otherwise require. We believe that our liquidity is stronger with greater balances of highly liquid unencumbered securities, even though it increases our total assets and our funding costs. |
• |
Conservatively managing the overall characteristics of our funding book, with a focus on maintaining long-term, diversified sources of funding in excess of our current requirements. See “Balance Sheet and Funding Sources — Funding Sources” for further information; |
123 |
Goldman Sachs September 2019 Form 10-Q |
• |
Actively managing and monitoring our asset base, with particular focus on the liquidity, holding period and our ability to fund assets on a secured basis. We assess our funding requirements and our ability to liquidate assets in a stressed environment while appropriately managing risk. This enables us to determine the most appropriate funding products and tenors. See “Balance Sheet and Funding Sources — Balance Sheet Management” for further information about our balance sheet management process and “— Funding Sources — Secured Funding” for further information about asset classes that may be harder to fund on a secured basis; and |
• |
Raising secured and unsecured financing that has a long tenor relative to the liquidity profile of our assets. This reduces the risk that our liabilities will come due in advance of our ability to generate liquidity from the sale of our assets. Because we maintain a highly liquid balance sheet, the holding period of certain of our assets may be materially shorter than their contractual maturity dates. |
Goldman Sachs September 2019 Form 10-Q |
124 |
• |
Severely challenged market environments, including low consumer and corporate confidence, financial and political instability, adverse changes in market values, including potential declines in equity markets and widening of credit spreads; and |
• |
A firm-specific crisis potentially triggered by material losses, reputational damage, litigation, executive departure, and/or a ratings downgrade. |
• |
Liquidity needs over a 30-day scenario; |
• |
A two-notch downgrade of our long-term senior unsecured credit ratings; |
• |
A combination of contractual outflows, such as upcoming maturities of unsecured debt, and contingent outflows (e.g., actions, though not contractually required, we may deem necessary in a crisis). We assume that most contingent outflows will occur within the initial days and weeks of a crisis; |
• |
No issuance of equity or unsecured debt; |
• |
No support from additional government funding facilities. Although we have access to various central bank funding programs, we do not assume reliance on additional sources of funding in a liquidity crisis; and |
• |
No asset liquidation except relating to GCLA or hedging activities. |
• |
Contractual: All upcoming maturities of unsecured long-term debt, commercial paper and other unsecured funding products. We assume that we will be unable to issue new unsecured debt or roll over any maturing debt. |
• |
Contingent: Repurchases of our outstanding long-term debt, commercial paper and hybrid financial instruments in the ordinary course of business as a market maker. |
• |
Contractual: All upcoming maturities of term deposits. We assume that we will be unable to raise new term deposits or roll over any maturing term deposits. |
• |
Contingent: Partial withdrawals of deposits that have no contractual maturity. The withdrawal assumptions reflect, among other factors, the type of deposit, whether the deposit is insured or uninsured, and our relationship with the depositor. |
• |
Contractual: A portion of upcoming contractual maturities of secured funding due to either the inability to refinance or the ability to refinance only at wider haircuts (i.e., on terms which require us to post additional collateral). Our assumptions reflect, among other factors, the quality of the underlying collateral, counterparty roll probabilities (our assessment of the counterparty’s likelihood of continuing to provide funding on a secured basis at the maturity of the trade) and counterparty concentration. |
• |
Contingent: Adverse changes in the value of financial assets pledged as collateral for financing transactions, which would necessitate additional collateral postings under those transactions. |
125 |
Goldman Sachs September 2019 Form 10-Q |
• |
Contingent: Collateral postings to counterparties due to adverse changes in the value of our OTC derivatives, excluding those that are cleared and settled through central counterparties (OTC-cleared). |
• |
Contingent: Other outflows of cash or collateral related to OTC derivatives, excluding OTC-cleared, including the impact of trade terminations, collateral substitutions, collateral disputes, loss of rehypothecation rights, collateral calls or termination payments required by a two-notch downgrade in our credit ratings, and collateral that has not been called by counterparties, but is available to them. |
• |
Contingent: Variation margin postings required due to adverse changes in the value of our outstanding exchange-traded and OTC-cleared derivatives. |
• |
Contingent: An increase in initial margin and guaranty fund requirements by derivative clearing houses. |
• |
Contingent: Liquidity outflows in our prime brokerage business, including withdrawals of customer credit balances, and a reduction in customer short positions, which may serve as a funding source for long positions. |
• |
Contingent: Liquidity outflows associated with a reduction or composition change in our short positions, which may serve as a funding source for long positions. |
• |
Contingent: Draws on our unfunded commitments. Draw assumptions reflect, among other things, the type of commitment and counterparty. |
• |
Other large cash outflows that could occur in a stressed environment. |
• |
Liquidity needs over a one-day settlement period; |
• |
Delays in receipt of counterparty cash payments; |
• |
A reduction in the availability of intraday credit lines at our clearing agents and agent banks; and |
• |
Higher settlement volumes due to an increase in activity. |
Goldman Sachs September 2019 Form 10-Q |
126 |
Average for the Three Months Ended |
||||||||
$ in millions |
September 2019 |
June 2019 |
||||||
Denomination |
||||||||
U.S. dollar |
$146,907 |
$139,266 |
||||||
Non-U.S. dollar |
91,406 |
86,050 |
||||||
Total |
$238,313 |
$225,316 |
||||||
Asset Class |
||||||||
Overnight cash deposits |
$ 64,766 |
$ 62,037 |
||||||
U.S. government obligations |
94,941 |
90,378 |
||||||
U.S. agency obligations |
18,312 |
11,800 |
||||||
Non-U.S. government obligations |
60,294 |
61,101 |
||||||
Total |
$238,313 |
$225,316 |
||||||
Entity Type |
||||||||
Group Inc. and Funding IHC |
$ 41,280 |
$ 40,222 |
||||||
Major broker-dealer subsidiaries |
98,483 |
91,835 |
||||||
Major bank subsidiaries |
98,550 |
93,259 |
||||||
Total |
$238,313 |
$225,316 |
• |
The U.S. dollar-denominated GCLA consists of (i) unencumbered U.S. government and agency obligations (including highly liquid U.S. agency mortgage-backed obligations), all of which are eligible as collateral in Federal Reserve open market operations and (ii) certain overnight U.S. dollar cash deposits. |
• |
The non-U.S. dollar-denominated GCLA consists of non-U.S. government obligations (only unencumbered German, French, Japanese and U.K. government obligations) and certain overnight cash deposits in highly liquid currencies. |
127 |
Goldman Sachs September 2019 Form 10-Q |
Average for the Three Months Ended |
||||||||
$ in millions |
September 2019 |
June 2019 |
||||||
Total HQLA |
$233,620 |
$224,564 |
||||||
Eligible HQLA |
$175,937 |
$167,382 |
||||||
Net cash outflows |
$131,227 |
$125,870 |
||||||
LCR |
134% |
133% |
• |
GS Bank USA. |
• |
GSI. |
• |
Other Subsidiaries. |
As of September 2019 |
||||||||||||||||||||
DBRS |
Fitch |
Moody’s |
R&I |
S&P |
||||||||||||||||
Short-term debt |
R-1 (middle |
) |
F1 |
P-2 |
a-1 |
A-2 |
||||||||||||||
Long-term debt |
A (high |
) |
A |
A3 |
A |
BBB+ |
||||||||||||||
Subordinated debt |
A |
A- |
Baa2 |
A- |
BBB- |
|||||||||||||||
Trust preferred |
A |
BBB- |
Baa3 |
N/A |
BB |
|||||||||||||||
Preferred stock |
BBB (high |
) |
BB+ |
Ba1 |
N/A |
BB |
||||||||||||||
Ratings outlook |
Stable |
Stable |
Stable |
Stable |
Stable |
• |
The ratings and outlook are by DBRS, Inc. (DBRS), Fitch, Inc. (Fitch), Moody’s Investors Service (Moody’s), Rating and Investment Information, Inc. (R&I), and Standard and Poor’s Ratings Services (S&P). |
• |
The ratings for trust preferred relate to the guaranteed preferred beneficial interests issued by Goldman Sachs Capital I. |
• |
The DBRS, Fitch, Moody’s and S&P ratings for preferred stock include the APEX issued by Goldman Sachs Capital II and Goldman Sachs Capital III. |
Goldman Sachs September 2019 Form 10-Q |
128 |
As of September 2019 |
||||||||||||
Fitch |
Moody’s |
S&P |
||||||||||
GS Bank USA |
||||||||||||
Short-term debt |
F1 |
P-1 |
A-1 |
|||||||||
Long-term debt |
A+ |
A1 |
A+ |
|||||||||
Short-term bank deposits |
F1+ |
P-1 |
N/A |
|||||||||
Long-term bank deposits |
AA- |
A1 |
N/A |
|||||||||
Ratings outlook |
Stable |
Stable |
Stable |
|||||||||
GSIB |
||||||||||||
Short-term debt |
F1 |
P-1 |
A-1 |
|||||||||
Long-term debt |
A |
A1 |
A+ |
|||||||||
Short-term bank deposits |
F1 |
P-1 |
N/A |
|||||||||
Long-term bank deposits |
A |
A1 |
N/A |
|||||||||
Ratings outlook |
Stable |
Stable |
Stable |
|||||||||
GS&Co. |
||||||||||||
Short-term debt |
F1 |
N/A |
A-1 |
|||||||||
Long-term debt |
A+ |
N/A |
A+ |
|||||||||
Ratings outlook |
Stable |
N/A |
Stable |
|||||||||
GSI |
||||||||||||
Short-term debt |
F1 |
P-1 |
A-1 |
|||||||||
Long-term debt |
A |
A1 |
A+ |
|||||||||
Ratings outlook |
Stable |
Stable |
Stable |
• |
Our liquidity, market, credit and operational risk management practices; |
• |
The level and variability of our earnings; |
• |
Our capital base; |
• |
Our franchise, reputation and management; |
• |
Our corporate governance; and |
• |
The external operating and economic environment, including, in some cases, the assumed level of government support or other systemic considerations, such as potential resolution. |
129 |
Goldman Sachs September 2019 Form 10-Q |
• |
Interest rate risk: results from exposures to changes in the level, slope and curvature of yield curves, the volatilities of interest rates, 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; and |
• |
Commodity price risk: results from exposures to changes in spot prices, forward prices and volatilities of commodities, such as crude oil, petroleum products, natural gas, electricity, and precious and base metals. |
• |
Collecting complete, accurate and timely information; |
• |
Utilizing a dynamic limit-setting framework; |
• |
Monitoring compliance with established market risk limits and reporting our exposures; |
• |
Diversifying exposures; |
• |
Controlling position sizes; |
• |
Evaluating mitigants, such as economic hedges in related securities or derivatives; and |
• |
Ensuring proactive communication between our revenue-producing units and our independent risk oversight and control functions. |
Goldman Sachs September 2019 Form 10-Q |
130 |
• |
VaR does not estimate potential losses over longer time horizons where moves may be extreme; |
• |
VaR does not take account of the relative liquidity of different risk positions; and |
• |
Previous moves in market risk factors may not produce accurate predictions of all future market moves. |
• |
Positions that are best measured and monitored using sensitivity measures; and |
• |
The impact of changes in counterparty and our own credit spreads on derivatives, as well as changes in our own credit spreads on financial liabilities for which the fair value option was elected. |
131 |
Goldman Sachs September 2019 Form 10-Q |
Three Months Ended |
|
Nine Months Ended September |
||||||||||||||||||||
$ in millions |
September 2019 |
June 2019 |
September 2018 |
2019 |
2018 |
|||||||||||||||||
Interest rates |
$ 49 |
$ 41 |
$ 41 |
$ 44 |
$ 48 |
|||||||||||||||||
Equity prices |
28 |
27 |
28 |
28 |
32 |
|||||||||||||||||
Currency rates |
12 |
10 |
15 |
11 |
13 |
|||||||||||||||||
Commodity prices |
12 |
12 |
10 |
12 |
11 |
|||||||||||||||||
Diversification effect |
(43 |
) |
(38 |
) | (41 |
) | (40 |
) |
(40 |
) | ||||||||||||
Total |
$ 58 |
$ 52 |
$ 53 |
$ 55 |
$ 64 |
As of |
||||||||||||
$ in millions |
September 2019 |
June 2019 |
September 2018 |
|||||||||
Interest rates |
$ 51 |
$ 43 |
$ 39 |
|||||||||
Equity prices |
29 |
29 |
33 |
|||||||||
Currency rates |
12 |
8 |
21 |
|||||||||
Commodity prices |
12 |
14 |
11 |
|||||||||
Diversification effect |
(47 |
) |
(39 |
) | (55 |
) | ||||||
Total |
$ 57 |
$ 55 |
$ 49 |
Goldman Sachs September 2019 Form 10-Q |
132 |
Three Months Ended |
||||||||||||||||||||||||||||
September 2019 |
|
June 2019 |
|
September 2018 |
||||||||||||||||||||||||
$ in millions |
High |
Low |
High |
Low |
High |
Low |
||||||||||||||||||||||
Categories |
||||||||||||||||||||||||||||
Interest rates |
$60 |
$40 |
$54 |
$35 |
$53 |
$34 |
||||||||||||||||||||||
Equity prices |
$34 |
$23 |
$34 |
$23 |
$37 |
$24 |
||||||||||||||||||||||
Currency rates |
$22 |
$ 6 |
$16 |
$ 6 |
$22 |
$ 9 |
||||||||||||||||||||||
Commodity prices |
$15 |
$11 |
$14 |
$10 |
$14 |
$ 8 |
||||||||||||||||||||||
Firmwide |
||||||||||||||||||||||||||||
VaR |
$71 |
$51 |
$67 |
$43 |
$70 |
$44 |
Three Months Ended September |
|
Nine Months Ended September |
||||||||||||||||
$ in millions |
2019 |
2018 |
2019 |
2018 |
||||||||||||||
>$100 |
5 |
1 |
10 |
11 |
||||||||||||||
$75 - $100 |
3 |
1 |
14 |
19 |
||||||||||||||
$50 - $75 |
15 |
10 |
35 |
47 |
||||||||||||||
$25 - $50 |
14 |
23 |
58 |
52 |
||||||||||||||
$0 - $25 |
13 |
20 |
47 |
47 |
||||||||||||||
$(25) - $0 |
12 |
8 |
22 |
12 |
||||||||||||||
$(50) - $(25) |
2 |
– |
2 |
– |
||||||||||||||
Total |
64 |
63 |
188 |
188 |
As of |
||||||||||||
$ in millions |
September 2019 |
June 2019 |
September 2018 |
|||||||||
Equity |
$1,938 |
$1,985 |
$1,911 |
|||||||||
Debt |
2,221 |
2,136 |
1,660 |
|||||||||
Total |
$4,159 |
$4,121 |
$3,571 |
• |
The market risk of these positions is determined by estimating the potential reduction in net revenues of a 10% decline in the value of these positions. |
• |
Equity positions relate to private and restricted public equity securities, including interests in funds that invest in corporate equities and real estate and interests in hedge funds. |
• |
Debt positions include interests in funds that invest in corporate mezzanine and senior debt instruments, loans backed by commercial and residential real estate, corporate bank loans and other corporate debt, including acquired portfolios of distressed loans. |
• |
Funded equity and debt positions are included in our consolidated statements of financial condition in financial instruments owned. See Note 6 to the consolidated financial statements for further information about cash instruments. |
• |
These measures do not reflect the diversification effect across asset categories or across other market risk measures. |
133 |
Goldman Sachs September 2019 Form 10-Q |
Goldman Sachs September 2019 Form 10-Q |
134 |
Categories in the Consolidated Statements of Financial Condition |
Market Risk Measures | |
Collateralized agreements, at fair value |
VaR | |
Receivables |
VaR Interest Rate Sensitivity | |
Financial instruments owned |
VaR 10% Sensitivity Measures Credit Spread Sensitivity — Derivatives | |
Deposits, at fair value |
VaR Credit Spread Sensitivity — Financial Liabilities | |
Collateralized financings, at fair value |
VaR | |
Financial instruments sold, but not yet purchased |
VaR Credit Spread Sensitivity — Derivatives | |
Unsecured short-term and long-term borrowings, at fair value |
VaR Credit Spread Sensitivity — Financial Liabilities |
• |
Collecting complete, accurate and timely information; |
• |
Approving transactions and setting and communicating credit exposure limits; |
• |
Monitoring compliance with established credit risk limits and reporting our exposure; |
• |
Establishing or approving underwriting standards; |
• |
Assessing the likelihood that a counterparty will default on its payment obligations; |
• |
Measuring our current and potential credit exposure and losses resulting from a counterparty default; |
• |
Using credit risk mitigants, including collateral and hedging; |
• |
Maximizing recovery through active workout and restructuring of claims; and |
• |
Ensuring proactive communication between our revenue-producing units and our independent risk oversight and control functions. |
135 |
Goldman Sachs September 2019 Form 10-Q |
Goldman Sachs September 2019 Form 10-Q |
136 |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Cash and Cash Equivalents |
$70,672 |
$107,408 |
||||||
Industry |
||||||||
Financial Institutions |
20% |
16% |
||||||
Sovereign |
80% |
84% |
||||||
Total |
100% |
100% |
||||||
Region |
||||||||
Americas |
47% |
36% |
||||||
Europe, Middle East and Africa |
22% |
41% |
||||||
Asia |
31% |
23% |
||||||
Total |
100% |
100% |
||||||
Credit Quality (Credit Rating Equivalent) |
||||||||
AAA |
53% |
62% |
||||||
AA |
7% |
10% |
||||||
A |
39% |
27% |
||||||
BBB |
1% |
1% |
||||||
Total |
100% |
100% |
137 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
OTC derivative assets |
$ 46,816 |
$ 40,576 |
||||||
Collateral (not netted under U.S. GAAP) |
(17,293 |
) |
(14,278 |
) | ||||
Net credit exposure |
$ 29,523 |
$ 26,298 |
||||||
Industry |
||||||||
Consumer, Retail & Healthcare |
3% |
2% |
||||||
Diversified Industrials |
8% |
8% |
||||||
Financial Institutions |
12% |
14% |
||||||
Funds |
15% |
17% |
||||||
Municipalities & Nonprofit |
8% |
7% |
||||||
Natural Resources & Utilities |
14% |
13% |
||||||
Sovereign |
25% |
25% |
||||||
Technology, Media & Telecommunications |
8% |
7% |
||||||
Other (including Special Purpose Vehicles) |
7% |
7% |
||||||
Total |
100% |
100% |
||||||
Region |
||||||||
Americas |
42% |
35% |
||||||
Europe, Middle East and Africa |
50% |
55% |
||||||
Asia |
8% |
10% |
||||||
Total |
100% |
100% |
• |
OTC derivative assets, included in the consolidated statements of financial condition, are reported on a net-by-counterparty basis (i.e., the net receivable for a given counterparty) when a legal right of setoff exists under an enforceable netting agreement (counterparty netting) and are accounted for at fair value, net of cash collateral received under enforceable credit support agreements (cash collateral netting). |
• |
Collateral represents cash collateral and the fair value of securities collateral, primarily U.S. and non-U.S. government and agency obligations, received under credit support agreements, which management considers when determining credit risk, but such collateral is not eligible for netting under U.S. GAAP. |
$ in millions |
Investment- Grade |
Non-Investment- Grade / Unrated |
Total |
|||||||||
As of September 2019 |
||||||||||||
Less than 1 year |
$ 19,511 |
$ |
$ |
|||||||||
1 - 5 years |
23,477 |
5,886 |
29,363 |
|||||||||
Greater than 5 years |
70,688 |
7,217 |
77,905 |
|||||||||
Total |
113,676 |
17,820 |
131,496 |
|||||||||
Netting |
(92,938 |
) |
(9,035 |
) |
(101,973 |
) | ||||||
Net credit exposure |
$ 20,738 |
$ |
$ |
|||||||||
As of December 2018 |
||||||||||||
Less than 1 year |
$ |
$ |
$ |
|||||||||
1 - 5 years |
21,300 |
4,091 |
25,391 |
|||||||||
Greater than 5 years |
51,737 |
4,191 |
55,928 |
|||||||||
Total |
88,734 |
13,709 |
102,443 |
|||||||||
Netting |
(68,736 |
) | (7,409 |
) | (76,145 |
) | ||||||
Net credit exposure |
$ |
$ |
$ |
• |
Tenor is based on remaining contractual maturity. |
• |
Netting includes counterparty netting across tenor categories and cash and securities collateral that management considers when determining credit risk (including collateral that is not eligible for netting under U.S. GAAP). Counterparty netting within the same tenor category is included within such tenor category. |
Investment-Grade |
||||||||||||||||||||
$ in millions |
AAA |
AA |
A |
BBB |
Total |
|||||||||||||||
As of September 2019 |
||||||||||||||||||||
Less than 1 year |
$ |
$ 3,278 |
$ |
$ |
$ |
|||||||||||||||
1 - 5 years |
653 |
2,939 |
12,599 |
7,286 |
23,477 |
|||||||||||||||
Greater than 5 years |
14,774 |
6,745 |
25,962 |
23,207 |
70,688 |
|||||||||||||||
Total |
15,812 |
12,962 |
46,966 |
37,936 |
113,676 |
|||||||||||||||
Netting |
(10,918 |
) |
(9,615 |
) |
(41,811 |
) |
(30,594 |
) |
(92,938 |
) | ||||||||||
Net credit exposure |
$ 4,894 |
$ 3,347 |
$ |
$ |
$ |
|||||||||||||||
As of December 2018 |
||||||||||||||||||||
Less than 1 year |
$ 1,262 |
$ 2,506 |
$ 6,473 |
$ 5,456 |
$ 15,697 |
|||||||||||||||
1 - 5 years |
881 |
5,192 |
9,072 |
6,155 |
21,300 |
|||||||||||||||
Greater than 5 years |
9,202 |
3,028 |
21,415 |
18,092 |
51,737 |
|||||||||||||||
Total |
11,345 |
10,726 |
36,960 |
29,703 |
88,734 |
|||||||||||||||
Netting |
(6,444 |
) | (7,107 |
) | (32,390 |
) | (22,795 |
) | (68,736 |
) | ||||||||||
Net credit exposure |
$ 4,901 |
$ 3,619 |
$ 4,570 |
$ 6,908 |
$ 19,998 |
|
Non-Investment-Grade /Unrated |
|||||||||||
$ in millions |
BB or lower |
Unrated |
Total |
|||||||||
As of September 2019 |
|
|
|
|||||||||
Less than 1 year |
$ 4,436 |
$ |
$ 4,717 |
|||||||||
1 - 5 years |
5,826 |
60 |
5,886 |
|||||||||
Greater than 5 years |
7,083 |
134 |
7,217 |
|||||||||
Total |
17,345 |
475 |
17,820 |
|||||||||
Netting |
(8,929 |
) |
(106 |
) |
(9,035 |
) | ||||||
Net credit exposure |
$ 8,416 |
$ |
$ 8,785 |
|||||||||
As of December 2018 |
|
|
|
|||||||||
Less than 1 year |
$ 5,255 |
$ 172 |
$ 5,427 |
|||||||||
1 - 5 years |
4,053 |
38 |
4,091 |
|||||||||
Greater than 5 years |
4,138 |
53 |
4,191 |
|||||||||
Total |
13,446 |
263 |
13,709 |
|||||||||
Netting |
(7,339 |
) | (70 |
) | (7,409 |
) | ||||||
Net credit exposure |
$ 6,107 |
$ 193 |
$ 6,300 |
Goldman Sachs September 2019 Form 10-Q |
138 |
• |
Commercial Lending. non-investment-grade corporate borrowers. Loans and lending commitments associated with these activities are principally used for operating and general corporate purposes or in connection with contingent acquisitions. Corporate loans may be secured or unsecured, depending on the loan purpose, the risk profile of the borrower and other factors. Our commercial lending activities also include extending loans to borrowers that are secured by commercial and other real estate. |
The table below presents our credit exposure from commercial loans and lending commitments, and the concentration by industry, region and credit quality. |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Loans and Lending Commitments |
$210,879 |
$200,823 |
||||||
Industry |
||||||||
Consumer, Retail & Healthcare |
19% |
16% |
||||||
Diversified Industrials |
15% |
16% |
||||||
Financial Institutions |
8% |
9% |
||||||
Funds |
3% |
4% |
||||||
Natural Resources & Utilities |
15% |
15% |
||||||
Real Estate |
12% |
10% |
||||||
Technology, Media & Telecommunications |
16% |
18% |
||||||
Other (including Special Purpose Vehicles) |
12% |
12% |
||||||
Total |
100% |
100% |
||||||
Region |
||||||||
Americas |
75% |
76% |
||||||
Europe, Middle East and Africa |
21% |
20% |
||||||
Asia |
4% |
4% |
||||||
Total |
100% |
100% |
||||||
Credit Quality (Credit Rating Equivalent) |
||||||||
AAA |
1% |
1% |
||||||
AA |
5% |
5% |
||||||
A |
13% |
14% |
||||||
BBB |
29% |
29% |
||||||
BB or lower |
52% |
51% |
||||||
Total |
100% |
100% |
• |
PWM, Residential Real Estate and Other Lending. |
$ in millions |
PWM |
Residential Real Estate and Other |
||||||
As of September 2019 |
||||||||
Credit Exposure |
$28,327 |
$11,044 |
||||||
Americas |
89% |
71% |
||||||
Europe, Middle East and Africa |
9% |
29% |
||||||
Asia |
2% |
– |
||||||
Total |
100% |
100% |
||||||
As of December 2018 |
||||||||
Credit Exposure |
$26,775 |
$11,976 |
||||||
Americas |
91% |
72% |
||||||
Europe, Middle East and Africa |
7% |
27% |
||||||
Asia |
2% |
1% |
||||||
Total |
100% |
100% |
• |
Consumer Lending. |
The table below presents our credit exposure from originated unsecured consumer loans and the concentration by the five most concentrated U.S. states. |
$ in millions |
Consumer |
|||
As of September 2019 |
||||
Credit Exposure |
$5,525 |
|||
California |
13% |
|||
Texas |
9% |
|||
New York |
7% |
|||
Florida |
7% |
|||
Illinois |
4% |
|||
Other |
60% |
|||
Total |
100% |
|||
As of December 2018 |
||||
Credit Exposure |
$4,536 |
|||
California |
12% |
|||
Texas |
9% |
|||
New York |
7% |
|||
Florida |
7% |
|||
Illinois |
4% |
|||
Other |
61% |
|||
Total |
100% |
See Note 9 to the consolidated financial statements for further information about the credit quality indicators of consumer loans. |
139 |
Goldman Sachs September 2019 Form 10-Q |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Securities Financing Transactions |
$28,386 |
$20,979 |
||||||
Industry |
||||||||
Financial Institutions |
38% |
31% |
||||||
Funds |
32% |
33% |
||||||
Municipalities & Nonprofit |
4% |
7% |
||||||
Sovereign |
24% |
28% |
||||||
Other (including Special Purpose Vehicles) |
2% |
1% |
||||||
Total |
100% |
100% |
||||||
Region |
||||||||
Americas |
41% |
33% |
||||||
Europe, Middle East and Africa |
38% |
41% |
||||||
Asia |
21% |
26% |
||||||
Total |
100% |
100% |
||||||
Credit Quality (Credit Rating Equivalent) |
||||||||
AAA |
15% |
11% |
||||||
AA |
34% |
34% |
||||||
A |
34% |
35% |
||||||
BBB |
6% |
10% |
||||||
BB or lower |
8% |
10% |
||||||
Unrated |
3% |
– |
||||||
Total |
100% |
100% |
As of |
||||||||
$ in millions |
September 2019 |
December 2018 |
||||||
Other Credit Exposures |
$44,653 |
$41,649 |
||||||
Industry |
||||||||
Financial Institutions |
84% |
84% |
||||||
Funds |
10% |
7% |
||||||
Natural Resources & Utilities |
2% |
4% |
||||||
Other (including Special Purpose Vehicles) |
4% |
5% |
||||||
Total |
100% |
100% |
||||||
Region |
||||||||
Americas |
45% |
44% |
||||||
Europe, Middle East and Africa |
43% |
46% |
||||||
Asia |
12% |
10% |
||||||
Total |
100% |
100% |
||||||
Credit Quality (Credit Rating Equivalent) |
||||||||
AAA |
3% |
3% |
||||||
AA |
55% |
47% |
||||||
A |
22% |
26% |
||||||
BBB |
8% |
8% |
||||||
BB or lower |
12% |
16% |
||||||
Total |
100% |
100% |
Goldman Sachs September 2019 Form 10-Q |
140 |
• |
Clients, products and business practices; |
• |
Execution, delivery and process management; |
• |
Business disruption and system failures; |
• |
Employment practices and workplace safety; |
• |
Damage to physical assets; |
• |
Internal fraud; and |
• |
External fraud. |
141 |
Goldman Sachs September 2019 Form 10-Q |
• |
Collecting complete, accurate and timely information; |
• |
Training, supervision and development of our people; |
• |
Active participation of senior management in identifying and mitigating our key operational risks; |
• |
Independent risk oversight and control functions that monitor operational risk, and implementation of policies, procedures and controls designed to prevent the occurrence of operational risk events; and |
• |
Ensuring proactive communication between our revenue-producing units and our independent risk oversight and control functions. |
• |
Risk identification and assessment; |
• |
Risk measurement; and |
• |
Risk monitoring and reporting. |
• |
Evaluations of the complexity of our business activities; |
• |
The degree of automation in our processes; |
• |
New activity information; |
• |
The legal and regulatory environment; and |
• |
Changes in the markets for our products and services, including the diversity and sophistication of our customers and counterparties. |
Goldman Sachs September 2019 Form 10-Q |
142 |
• |
The model’s conceptual soundness, including the reasonableness of model assumptions, and suitability for intended use; |
• |
The testing strategy utilized by the model developers to ensure that the models function as intended; |
• |
The suitability of the calculation techniques incorporated in the model; |
• |
The model’s accuracy in reflecting the characteristics of the related product and its significant risks; |
• |
The model’s consistency with models for similar products; and |
• |
The model’s sensitivity to input parameters and assumptions. |
143 |
Goldman Sachs September 2019 Form 10-Q |
Goldman Sachs September 2019 Form 10-Q |
144 |
145 |
Goldman Sachs September 2019 Form 10-Q |
Total Shares Purchased |
Average Price Paid Per Share |
Total Shares Purchased as Part of a Publicly Announced Program |
Maximum Shares That May Yet Be Purchased Under the Program |
|||||||||||||
July |
3,085,584 |
$217.69 |
3,085,584 |
68,023,966 |
||||||||||||
August |
5,345 |
$200.15 |
5,345 |
68,018,621 |
||||||||||||
September |
48 |
$207.21 |
– |
68,018,621 |
||||||||||||
Total |
3,090,977 |
3,090,929 |
Goldman Sachs September 2019 Form 10-Q |
146 |
3.1 |
||||
3.2 |
||||
15.1 |
||||
31.1 |
||||
32.1 |
||||
101 |
Pursuant to Rules 405 and 406 of Regulation S-T, the following information is formatted in iXBRL (Inline eXtensible Business Reporting Language): (i) the Consolidated Statements of Earnings for the three and nine months ended September 30, 2019 and September 30, 2018, (ii) the Consolidated Statements of Comprehensive Income for the three and nine months ended September 30, 2019 and September 30, 2018, (iii) the Consolidated Statements of Financial Condition as of September 30, 2019 and December 31, 2018, (iv) the Consolidated Statements of Changes in Shareholders’ Equity for the three and nine months ended September 30, 2019 and September 30, 2018, (v) the Consolidated Statements of Cash Flows for the nine months ended September 30, 2019 and September 30, 2018, (vi) the notes to the Consolidated Financial Statements and (vii) the cover page. | |||
104 |
Cover Page Interactive Data File (formatted in iXBRL Exhibit 101). |
The Goldman Sachs Group, Inc. | ||||
By: |
/s/ |
Stephen M. Scherr | ||
Name: |
|
Stephen M. Scherr | ||
Title: |
|
Chief Financial Officer | ||
Date: |
|
October 31, 2019 | ||
By: |
/s/ |
Brian J. Lee | ||
Name: |
|
Brian | ||
Title: |
|
Principal Accounting Officer | ||
Date: |
|
October 31, 2019 |
147 |
Goldman Sachs September 2019 Form 10-Q |