Regulation and Capital Adequacy (Tables)

9 Months Ended

Sep. 30, 2022

Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items]

Risk-based Capital and Leverage Requirements

The table below presents the risk-based capital requirements.

	Standardized		Advanced
CET1 capital ratio	13.4	%	9.5	%
Tier 1 capital ratio	14.9	%	11.0	%
Total capital ratio	16.9	%	13.0	%

In the table above:

•Under both the Standardized and Advanced Capital Rules, the CET1 capital ratio requirement includes a minimum of 4.5%, the Tier 1 capital ratio requirement includes a minimum of 6.0% and the Total capital ratio requirement includes a minimum of 8.0%. These requirements also include the capital conservation buffer requirements, consisting of the G-SIB surcharge of 2.5% (Method 2) and the countercyclical capital buffer, which the FRB has set to zero percent. In addition, the capital conservation buffer requirements include the stress capital buffer (SCB) of 6.4% under the Standardized Capital Rules and a buffer of 2.5% under the Advanced Capital Rules.

•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.

Risk-based Capital Ratios

The table below presents information about risk-based capital ratios.

$ in millions	Standardized			Advanced
As of September 2022
CET1 capital	$	98,707		$	98,707
Tier 1 capital	$	109,214		$	109,214
Tier 2 capital	$	15,599		$	12,555
Total capital	$	124,813		$	121,769
RWAs	$	688,566		$	675,075
CET1 capital ratio	14.3		%	14.6		%
Tier 1 capital ratio	15.9		%	16.2		%
Total capital ratio	18.1		%	18.0		%
As of December 2021
CET1 capital	$	96,254		$	96,254
Tier 1 capital	$	106,766		$	106,766
Tier 2 capital	$	14,636		$	12,051
Total capital	$	121,402		$	118,817
RWAs	$	676,863		$	647,921
CET1 capital ratio	14.2		%	14.9		%
Tier 1 capital ratio	15.8		%	16.5		%
Total capital ratio	17.9		%	18.3		%

Leverage Ratio

The table below presents the leverage requirements.

	Requirements
Tier 1 leverage ratio	4.0	%
SLR	5.0	%

In the table above, the SLR requirement of 5% includes a minimum of 3% and a 2% buffer applicable to G-SIBs.

The table below presents information about leverage ratios.

	For the Three Months Ended or as of
	September			December
$ in millions	2022			2021
Tier 1 capital	$	109,214		$	106,766
Average total assets	$	1,581,084		$	1,466,770
Deductions from Tier 1 capital	(8,333)			(4,583)
Average adjusted total assets	1,572,751			1,462,187
Off-balance sheet and other exposures	382,549			448,334
Total leverage exposure	$	1,955,300		$	1,910,521
Tier 1 leverage ratio	6.9		%	7.3%
SLR	5.6		%	5.6%

In the table above:

•Average total assets represents the average daily assets for the quarter adjusted for the impact of Current Expected Credit Losses (CECL) transition.

•Off-balance sheet and other exposures primarily includes the monthly average of off-balance sheet exposures, consisting 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.

Changes in CET1, Tier 1 Capital and Tier 2 Capital

The table below presents changes in CET1 capital, Tier 1 capital and Tier 2 capital.

$ in millions	Standardized		Advanced
Nine Months Ended September 2022
CET1 capital
Beginning balance	$	96,254	$	96,254
Change in:
Common shareholders’ equity	9,364		9,364
Impact of CECL transition	(276)		(276)
Deduction for goodwill	(1,996)		(1,996)
Deduction for identifiable intangible assets	(1,316)		(1,316)
Other adjustments	(3,323)		(3,323)
Ending balance	$	98,707	$	98,707
Tier 1 capital
Beginning balance	$	106,766	$	106,766
Change in:
CET1 capital	2,453		2,453
Deduction for investments in covered funds	(4)		(4)
Other adjustments	(1)		(1)
Ending balance	109,214		109,214
Tier 2 capital
Beginning balance	14,636		12,051
Change in:
Qualifying subordinated debt	(543)		(543)
Junior subordinated debt	(94)		(94)
Allowance for credit losses	1,564		—
Other adjustments	36		1,141
Ending balance	15,599		12,555
Total capital	$	124,813	$	121,769
Year Ended December 2021
CET1 capital
Beginning balance	$	81,641	$	81,641
Change in:
Common shareholders’ equity	14,494		14,494
Impact of CECL transition	(21)		(21)
Deduction for goodwill	42		42
Deduction for identifiable intangible assets	200		200
Other adjustments	(102)		(102)
Ending balance	$	96,254	$	96,254
Tier 1 capital
Beginning balance	$	92,730	$	92,730
Change in:
CET1 capital	14,613		14,613
Deduction for investments in covered funds	(83)		(83)
Preferred stock	(500)		(500)
Other adjustments	6		6
Ending balance	106,766		106,766
Tier 2 capital
Beginning balance	15,424		13,279
Change in:
Qualifying subordinated debt	(642)		(642)
Junior subordinated debt	(94)		(94)
Allowance for credit losses	(61)		—
Other adjustments	9		(492)
Ending balance	14,636		12,051
Total capital	$	121,402	$	118,817

Risk-weighted Assets

The table below presents information about RWAs.

$ in millions	Standardized	Advanced
As of September 2022
Credit RWAs
Derivatives	$168,177	$122,589
Commitments, guarantees and loans	242,565	179,657
Securities financing transactions	77,807	22,339
Equity investments	31,527	33,165
Other	81,992	96,202
Total Credit RWAs	602,068	453,952
Market RWAs
Regulatory VaR	22,156	22,156
Stressed VaR	36,208	36,208
Incremental risk	9,324	9,324
Comprehensive risk	3,485	3,485
Specific risk	15,325	15,325
Total Market RWAs	86,498	86,498
Total Operational RWAs	—	134,625
Total RWAs	$688,566	$675,075
As of December 2021
Credit RWAs
Derivatives	$175,628	$109,532
Commitments, guarantees and loans	233,639	182,210
Securities financing transactions	76,346	14,407
Equity investments	43,256	45,582
Other	71,485	86,768
Total Credit RWAs	600,354	438,499
Market RWAs
Regulatory VaR	13,510	13,510
Stressed VaR	38,922	38,922
Incremental risk	6,867	6,867
Comprehensive risk	2,521	2,521
Specific risk	14,689	14,689
Total Market RWAs	76,509	76,509
Total Operational RWAs	—	132,913
Total RWAs	$676,863	$647,921

In the table above:

•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.

Changes in Risk-weighted Assets

The table below presents changes in RWAs.

$ in millions	Standardized	Advanced
Nine Months Ended September 2022
RWAs
Beginning balance	$676,863	$647,921
Credit RWAs
Change in:
Derivatives	(7,451)	13,057
Commitments, guarantees and loans	8,926	(2,553)
Securities financing transactions	1,461	7,932
Equity investments	(11,729)	(12,417)
Other	10,507	9,434
Change in Credit RWAs	1,714	15,453
Market RWAs
Change in:
Regulatory VaR	8,646	8,646
Stressed VaR	(2,714)	(2,714)
Incremental risk	2,457	2,457
Comprehensive risk	964	964
Specific risk	636	636
Change in Market RWAs	9,989	9,989
Change in Operational RWAs	—	1,712
Ending balance	$688,566	$675,075
Year Ended December 2021
RWAs
Beginning balance	$554,162	$609,750
Credit RWAs
Change in:
Derivatives	55,336	(2,159)
Commitments, guarantees and loans	57,138	30,623
Securities financing transactions	4,919	(2,161)
Equity investments	(3,688)	(3,686)
Other	1,211	3,169
Change in Credit RWAs	114,916	25,786
Market RWAs
Change in:
Regulatory VaR	(1,403)	(1,403)
Stressed VaR	6,944	6,944
Incremental risk	(1,015)	(1,015)
Comprehensive risk	763	763
Specific risk	2,496	2,496
Change in Market RWAs	7,785	7,785
Change in Operational RWAs	—	4,600
Ending balance	$676,863	$647,921

Minimum Risk-based Capital Under the Standardized and Advanced Capital Rules and the Leverage Ratios and "well-capitalized" Minimum Ratios

The table below presents GS Bank USA’s risk-based capital, leverage and “well-capitalized” requirements.

	Requirements		“Well-capitalized” Requirements
Risk-based capital requirements
CET1 capital ratio	7.0	%	6.5	%
Tier 1 capital ratio	8.5	%	8.0	%
Total capital ratio	10.5	%	10.0	%
Leverage requirements
Tier 1 leverage ratio	4.0	%	5.0	%
SLR	3.0	%	6.0	%

In the table above:

•The CET1 capital ratio requirement includes a minimum of 4.5%, the Tier 1 capital ratio requirement includes a minimum of 6.0% and the Total capital ratio requirement includes a minimum of 8.0%. These requirements also include the capital conservation buffer requirements consisting of a 2.5% buffer and the countercyclical capital buffer, which the FRB has set to zero percent.

•The “well-capitalized” requirements are the binding requirements for leverage ratios.

Basel III Advanced Rules

Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items]

Risk-based Capital

The table below presents information about risk-based capital.

	As of
	September		December
$ in millions	2022		2021
Common shareholders’ equity	$	108,587	$	99,223
Impact of CECL transition	829		1,105
Deduction for goodwill	(5,606)		(3,610)
Deduction for identifiable intangible assets	(1,717)		(401)
Other adjustments	(3,386)		(63)
CET1 capital	98,707		96,254
Preferred stock	10,703		10,703
Deduction for investments in covered funds	(193)		(189)
Other adjustments	(3)		(2)
Tier 1 capital	$	109,214	$	106,766
Standardized Tier 2 and Total capital
Tier 1 capital	$	109,214	$	106,766
Qualifying subordinated debt	11,011		11,554
Junior subordinated debt	—		94
Allowance for credit losses	4,598		3,034
Other adjustments	(10)		(46)
Standardized Tier 2 capital	15,599		14,636
Standardized Total capital	$	124,813	$	121,402
Advanced Tier 2 and Total capital
Tier 1 capital	$	109,214	$	106,766
Standardized Tier 2 capital	15,599		14,636
Allowance for credit losses	(4,598)		(3,034)
Other adjustments	1,554		449
Advanced Tier 2 capital	12,555		12,051
Advanced Total capital	$	121,769	$	118,817

In the table above:

•Beginning in January 2022, the firm started to phase in the estimated reduction to regulatory capital as a result of adopting the CECL model. Impact of CECL transition in the table above reflects the total amount of reduction of $1.11 billion as of December 2021 to be phased in through January 2025 (at 25% per year), of which $276 million was phased in on January 1, 2022. The total amount to be phased in includes the impact of adopting CECL as of January 1, 2020, as well as 25% of the increase in the allowance for credit losses from January 1, 2020 through December 31, 2021.

•Deduction for goodwill was net of deferred tax liabilities of $682 million as of September 2022 and $675 million as of December 2021.

•Deduction for identifiable intangible assets was net of deferred tax liabilities of $246 million as of September 2022 and $17 million as of December 2021.

•Deduction for investments in covered funds represents the firm’s aggregate investments in applicable covered funds. As of December 2021, this deduction excluded investments that were subject to an extended conformance period. See Note 8 for further information about the Volcker Rule.

•Other adjustments within CET1 capital and Tier 1 capital primarily include credit valuation adjustments on derivative 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 Advanced Tier 2 capital include eligible credit reserves.

•Qualifying subordinated debt is subordinated debt issued by Group Inc. with an original maturity of five years or greater. The outstanding amount of subordinated debt qualifying for Tier 2 capital is reduced upon reaching a remaining maturity of five years. See Note 14 for further information about the firm’s subordinated debt.

•Junior subordinated debt is debt issued to a Trust and was fully phased out of regulatory capital on January 1, 2022. As of December 2021, 10% of this debt was included in Tier 2 capital and 90% was phased out of regulatory capital. Junior subordinated debt is reduced by the amount of Trust Preferred securities purchased by the firm. See Note 14 for further information about the firm’s junior subordinated debt and Trust Preferred securities.

Hybrid Capital Rules

Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items]

Risk-based Capital

The table below presents information about GS Bank USA’s risk-based capital ratios.

$ in millions	Standardized			Advanced
As of September 2022
CET1 capital	$	45,578		$	45,578
Tier 1 capital	$	45,578		$	45,578
Tier 2 capital	$	7,728		$	5,312
Total capital	$	53,306		$	50,890
RWAs	$	343,781		$	261,371
CET1 capital ratio	13.3		%	17.4		%
Tier 1 capital ratio	13.3		%	17.4		%
Total capital ratio	15.5		%	19.5		%
As of December 2021
CET1 capital	$	42,535		$	42,535
Tier 1 capital	$	42,535		$	42,535
Tier 2 capital	$	6,430		$	4,646
Total capital	$	48,965		$	47,181
RWAs	$	312,601		$	222,607
CET1 capital ratio	13.6		%	19.1		%
Tier 1 capital ratio	13.6		%	19.1		%
Total capital ratio	15.7		%	21.2		%

In the table above:

•The lower of the Standardized or Advanced ratio is the ratio against which GS Bank USA’s compliance with the capital requirements is assessed under the risk-based Capital Rules, and therefore, the Standardized ratios applied to GS Bank USA as of both September 2022 and December 2021.

•Beginning in January 2022, GS Bank USA started to phase in the estimated reduction to regulatory capital as a result of adopting the CECL model. The total amount to be phased in includes the impact of adopting CECL as of January 1, 2020, as well as 25% of the increase in the allowance for credit losses from January 1, 2020 through December 31, 2021.

•The Standardized and Advanced risk-based capital ratios decreased from December 2021 to September 2022, reflecting an increase in both Credit and Market RWAs, partially offset by an increase in capital, principally due to capital contributions and net earnings.

GS Bank USA

Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items]

Leverage Ratio

The table below presents information about GS Bank USA’s leverage ratios.

	For the Three Months Ended or as of
	September			December
$ in millions	2022			2021
Tier 1 capital	$	45,578		$	42,535
Average adjusted total assets	$	506,003		$	409,739
Total leverage exposure	$	670,832		$	627,799
Tier 1 leverage ratio	9.0		%	10.4%
SLR	6.8		%	6.8		%

In the table above:

•Average adjusted total assets represents the average daily assets for the quarter adjusted for deductions from Tier 1 capital and the impact of CECL transition.

•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.

GSIB

Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items]

Risk-based Capital

The table below presents information about GSIB’s risk-based capital ratios.

	As of
	September			December
$ in millions	2022			2021
Risk-based capital and risk-weighted assets
CET1 capital	$	3,329		$	3,408
Tier 1 capital	$	3,329		$	3,408
Tier 2 capital	$	826		$	826
Total capital	$	4,155		$	4,234
RWAs	$	15,542		$	17,196
Risk-based capital ratios
CET1 capital ratio	21.4		%	19.8		%
Tier 1 capital ratio	21.4		%	19.8		%
Total capital ratio	26.7		%	24.6		%

In the table above, the risk-based capital ratios as of September 2022 reflected profits after foreseeable charges that are still subject to verification by GSIB’s external auditors and approval by GSIB’s Board of Directors for inclusion in risk-based capital. These profits contributed approximately 160 basis points to the CET1 capital ratio as of September 2022.

Schedule of Risk Based Capital Requirements

The table below presents GSIB’s risk-based capital requirements.

	As of
	September		December
	2022		2021
Risk-based capital requirements
CET1 capital ratio	9.3	%	8.5	%
Tier 1 capital ratio	11.5	%	10.5	%
Total capital ratio	14.5	%	13.2	%

GSBE

Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items]

Leverage Ratio

The table below presents GSBE’s leverage ratio requirement and leverage ratios.

	As of
	September		December
	2022		2021
Leverage ratio requirement	3.0	%	3.0	%
Leverage ratio	7.8	%	7.6	%

In the table above, the leverage ratio as of September 2022 reflected profits after foreseeable charges that are still subject to verification by GSBE’s external auditors and approval by GSBE’s shareholder (GS Bank USA) for inclusion in risk-based capital. These profits contributed approximately 33 basis points to the leverage ratio as of September 2022.

Risk-based Capital

The table below presents information about GSBE’s risk-based capital ratios.

	As of
	September			December
$ in millions	2022			2021
Risk-based capital and risk-weighted assets
CET1 capital	$	8,587		$	6,527
Tier 1 capital	$	8,587		$	6,527
Tier 2 capital	$	20		$	23
Total capital	$	8,607		$	6,550
RWAs	$	31,440		$	28,924
Risk-based capital ratios
CET1 capital ratio	27.3		%	22.6%
Tier 1 capital ratio	27.3		%	22.6%
Total capital ratio	27.4		%	22.6%

In the table above, the risk-based capital ratios as of September 2022 reflected profits after foreseeable charges that are still subject to verification by GSBE’s external auditors and approval by GSBE’s shareholder (GS Bank USA) for inclusion in risk-based capital. These profits contributed approximately 116 basis points to the CET1 capital ratio as of September 2022.

Schedule of Risk Based Capital Requirements

The table below presents GSBE’s risk-based capital requirements.

	As of
	September		December
	2022		2021
Risk-based capital requirements
CET1 capital ratio	9.0	%	8.7	%
Tier 1 capital ratio	11.1	%	10.8	%
Total capital ratio	13.8	%	13.5	%