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Regulation and Capital Adequacy (Tables)
 9 Months Ended
Sep. 30, 2016
Minimum Capital Ratios

Regulatory Capital and Capital Ratios. The table below presents the minimum ratios required for the firm.

 

    As of  
      September 2016         December 2015   

CET1 ratio

     5.875%         4.5%   
   

Tier 1 capital ratio

     7.375%         6.0%   
   

Total capital ratio

     9.375%         8.0%   
   

Tier 1 leverage ratio

     4.000%         4.0%   
Capital Rollforward

The tables below present changes in CET1, Tier 1 capital and Tier 2 capital for the nine months ended September 2016 and year ended December 2015.

 

    Nine Months Ended
September 2016		  
$ in millions     Standardized        
 		 Basel III
Advanced		   
  

Common Equity Tier 1

     

Beginning balance

     $71,363         $71,363   
   

Change in common shareholders’ equity

     379         379   
   

Change in deductions for:

     

Transitional provisions

     (839 )       (839 ) 
   

Goodwill and identifiable intangible
assets, net of deferred tax liabilities

     11         11   
   

Investments in nonconsolidated financial
institutions

     669         669   
   

Change in other adjustments

     114         114   

Ending balance

     $71,697         $71,697   

Tier 1 capital

     

Beginning balance

     $81,511         $81,511   
   

Change in deductions for:

     

Transitional provisions

     (558 )       (558 ) 
   

Investments in covered funds

     (174 )       (174 ) 
   

Other net increase in CET1

     1,173         1,173   
   

Redesignation of junior subordinated debt
issued to trusts

     (330 )       (330 ) 
   

Change in preferred stock

     3         3   
   

Change in other adjustments

     119         119   

Ending balance

     81,744         81,744   

Tier 2 capital

     

Beginning balance

     16,705         16,103   
   

Change in qualifying subordinated debt

     (324 )       (324 ) 
   

Redesignation of junior subordinated debt
issued to trusts

     (198 )       (198 ) 
   

Change in the allowance for losses on
loans and lending commitments

     97         —   
   

Change in other adjustments

     15         15   

Ending balance

     16,295         15,596   

Total capital

     $98,039         $97,340   

 

    Year Ended
December 2015		  
$ in millions     Standardized       
 		 Basel III
Advanced		   
  

Common Equity Tier 1

    

Beginning balance

     $69,830        $69,830   
   

Change in common shareholders’ equity

     1,931        1,931   
   

Change in deductions for:

    

Transitional provisions

     (1,368 )      (1,368 ) 
   

Goodwill and identifiable intangible
assets, net of deferred tax liabilities

     75        75   
   

Investments in nonconsolidated financial institutions

     1,059        1,059   
   

Change in other adjustments

     (164 )      (164 ) 

Ending balance

     $71,363        $71,363   

Tier 1 capital

    

Beginning balance

     $78,433        $78,433   
   

Change in deductions for:

    

Transitional provisions

     (1,073 )      (1,073 ) 
   

Investments in covered funds

     (413 )      (413 ) 
   

Other net increase in CET1

     2,901        2,901   
   

Redesignation of junior subordinated debt
issued to trusts

     (330 )      (330 ) 
   

Change in preferred stock

     2,000        2,000   
   

Change in other adjustments

     (7 )      (7 ) 

Ending balance

     81,511        81,511   

Tier 2 capital

    

Beginning balance

     12,861        12,545   
   

Increased deductions for transitional provisions

     (53 )      (53 ) 
   

Change in qualifying subordinated debt

     3,238        3,238   
   

Redesignation of junior subordinated debt
issued to trusts

     330        330   
   

Change in the allowance for losses on
loans and lending commitments

     286        —   
   

Change in other adjustments

     43        43   

Ending balance

     16,705        16,103   

Total capital

     $98,216        $97,614   
Schedule of Minimum Ratios and Well Capitalized Minimum Ratios

The table below presents the minimum ratios and the “well-capitalized” minimum ratios required for GS Bank USA.

 

    Minimum Ratio as of     “Well-capitalized”
Minimum Ratio		  
      September 2016        December 2015     

CET1 ratio

     5.125%        4.5%        6.5%   
   

Tier 1 capital ratio

     6.625%        6.0%        8.0%   
   

Total capital ratio

     8.625%        8.0%        10.0%   
   

Tier 1 leverage ratio

     4.000%        4.0%        5.0%   

Basel III Advanced Rules [Member]  
Capital Ratios
The table below presents the ratios calculated in accordance with both the Standardized and Basel III Advanced Rules.

 

    As of  
$ in millions    
 		 September
2016		   
  		    
 		 December
2015		   
  

Common shareholders’ equity

     $  75,907        $  75,528   
   

Deductions for goodwill and identifiable intangible assets, net of deferred tax liabilities

     (2,879 )      (2,814 ) 
   

Deductions for investments in nonconsolidated financial institutions

     (650 )      (864 ) 
   

Other adjustments

     (681 )      (487 ) 

Common Equity Tier 1

     71,697        71,363   

Preferred stock

     11,203        11,200   
   

Junior subordinated debt issued to trusts

     —        330   
   

Deduction for investments in covered funds

     (587 )      (413 ) 
   

Other adjustments

     (569 )      (969 ) 

Tier 1 capital

     $  81,744        $  81,511   

Standardized Tier 2 and Total capital

    

Tier 1 capital

     $  81,744        $  81,511   
   

Qualifying subordinated debt

     14,808        15,132   
   

Junior subordinated debt issued to trusts

     792        990   
   

Allowance for losses on loans and lending commitments

     699        602   
   

Other adjustments

     (4 )      (19 ) 

Standardized Tier 2 capital

     16,295        16,705   

Standardized Total capital

     $  98,039        $  98,216   

Basel III Advanced Tier 2 and Total capital

    

Tier 1 capital

     $  81,744        $  81,511   
   

Standardized Tier 2 capital

     16,295        16,705   
   

Allowance for losses on loans and lending commitments

     (699 )      (602 ) 

Basel III Advanced Tier 2 capital

     15,596        16,103   

Basel III Advanced Total capital

     $  97,340        $  97,614   

 

RWAs

    

Standardized

     $513,020        $524,107   
   

Basel III Advanced

     579,996        577,651   

 

CET1 ratio

    

Standardized

     14.0%        13.6%   
   

Basel III Advanced

     12.4%        12.4%   

 

Tier 1 capital ratio

    

Standardized

     15.9%        15.6%   
   

Basel III Advanced

     14.1%        14.1%   

 

Total capital ratio

    

Standardized

     19.1%        18.7%   
   

Basel III Advanced

     16.8%        16.9%   

 

Tier 1 leverage ratio

     9.3%        9.3%   

 

In the table above:

 

•  

The deductions for goodwill and identifiable intangible assets, net of deferred tax liabilities, include goodwill of $3.67 billion and $3.66 billion as of September 2016 and December 2015, respectively, and identifiable intangible assets of $261 million (60% of $435 million) and $196 million (40% of $491 million) as of September 2016 and December 2015, respectively, net of associated deferred tax liabilities of $1.05 billion and $1.04 billion as of September 2016 and December 2015, respectively. Goodwill is fully deducted from CET1, while the deduction for identifiable intangible assets is required to be phased into CET1 ratably over five years from 2014 to 2018. The balance that is not deducted during the transitional period is risk weighted.

 

•  

The deductions for investments in nonconsolidated financial institutions represent the amount by which the firm’s investments in the capital of nonconsolidated financial institutions exceed certain prescribed thresholds. The deduction for such investments is required to be phased into CET1 ratably over five years from 2014 to 2018. As of September 2016 and December 2015, CET1 reflects 60% and 40% of the deduction, respectively. The balance that is not deducted during the transitional period is risk weighted.

 

•  

The deduction for investments in covered funds represents the firm’s aggregate investments in applicable covered funds, as permitted by the Volcker Rule, that were purchased after December 2013. Substantially all of these investments in covered funds were purchased in connection with the firm’s market-making activities. This deduction was not subject to a transition period. See Note 6 for further information about the Volcker Rule.

 

•  

Other adjustments within CET1 and Tier 1 capital primarily include accumulated other comprehensive loss, 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 and other required credit risk-based deductions. The deductions for such items are generally required to be phased into CET1 ratably over five years from 2014 to 2018. As of September 2016 and December 2015, CET1 reflects 60% and 40% of such deductions, respectively. The balance that is not deducted from CET1 during the transitional period is generally deducted from Tier 1 capital within other adjustments.

 

•  

As of September 2016, junior subordinated debt issued to trusts is fully phased out of Tier 1 capital, with 60% included in Tier 2 capital and 40% fully phased out of regulatory capital. As of December 2015, junior subordinated debt issued to trusts is reflected in both Tier 1 capital (25%) and Tier 2 capital (75%). Junior subordinated debt issued to trusts is reduced by the amount of trust preferred securities purchased by the firm and will be fully phased out of Tier 2 capital by 2022 at a rate of 10% per year. See Note 16 for additional information about the firm’s junior subordinated debt issued to trusts and trust preferred securities purchased by the firm.

 

•  

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 16 for additional information about the firm’s subordinated debt.
Risk-weighted Assets

The tables below present the components of RWAs calculated in accordance with the Standardized and Basel III Advanced Rules.

 

    Standardized Capital Rules as of  
$ in millions     September 2016         December 2015   

Credit RWAs

     

 

Derivatives

     $126,732         $136,841   
   

Commitments, guarantees and loans

     116,966         111,391   
   

Securities financing transactions

     78,050         71,392   
   

Equity investments

     40,423         37,687   
   

Other

     58,762         62,807   

Total Credit RWAs

     420,933         420,118   

Market RWAs

     

 

Regulatory VaR

     9,525         12,000   
   

Stressed VaR

     24,925         21,738   
   

Incremental risk

     9,188         9,513   
   

Comprehensive risk

     5,638         5,725   
   

Specific risk

     42,811         55,013   

Total Market RWAs

     92,087         103,989   

Total RWAs

     $513,020         $524,107   
    Basel III Advanced Rules as of  
$ in millions     September 2016         December 2015   

Credit RWAs

     

 

Derivatives

     $123,920         $113,671   
   

Commitments, guarantees and loans

     116,582         114,523   
   

Securities financing transactions

     16,863         14,901   
   

Equity investments

     42,961         40,110   
   

Other

     62,283         60,877   

Total Credit RWAs

     362,609         344,082   

Market RWAs

     

 

Regulatory VaR

     9,525         12,000   
   

Stressed VaR

     24,925         21,738   
   

Incremental risk

     9,188         9,513   
   

Comprehensive risk

     4,813         4,717   
   

Specific risk

     42,811         55,013   

Total Market RWAs

     91,262         102,981   

Total Operational RWAs

     126,125         130,588   

Total RWAs

     $579,996         $577,651   
Risk-weighted Assets Rollforward

The table below presents changes in RWAs calculated in accordance with the Standardized and Basel III Advanced Rules for the nine months ended September 2016.

 

    Nine Months Ended
September 2016		  
$ in millions     Standardized        
 		 Basel III
Advanced		   
  

Risk-Weighted Assets

     

Beginning balance

     $524,107         $577,651   
   

Credit RWAs

     

Increased deductions for transitional provisions

     (531 )       (531 ) 
   

Change in:

     

Derivatives

     (10,109 )       10,249   
   

Commitments, guarantees and loans

     5,575         2,059   
   

Securities financing transactions

     6,658         1,962   
   

Equity investments

     3,267         3,382   
   

Other

     (4,045 )       1,406   

Change in Credit RWAs

     815         18,527   

Market RWAs

     

Change in:

     

Regulatory VaR

     (2,475 )       (2,475 ) 
   

Stressed VaR

     3,187         3,187   
   

Incremental risk

     (325 )       (325 ) 
   

Comprehensive risk

     (87 )       96   
   

Specific risk

     (12,202 )       (12,202 ) 

Change in Market RWAs

     (11,902 )       (11,719 ) 

Operational RWAs

     

Change in operational risk

     —         (4,463 ) 

Change in Operational RWAs

     —         (4,463 ) 

Ending balance

     $513,020         $579,996   

The table below presents changes in RWAs calculated in accordance with the Standardized and Basel III Advanced Rules for the year ended December 2015.

 

   

Year Ended

December 2015

  
$ in millions     Standardized        
 		 Basel III
Advanced		   
  

Risk-Weighted Assets

     

Beginning balance

     $619,216         $570,313   
   

Credit RWAs

     

Increased deductions for transitional provisions

     (1,073 )       (1,073 ) 
   

Change in:

     

Derivatives

     (43,930 )       (8,830 ) 
   

Commitments, guarantees and loans

     21,608         19,314   
   

Securities financing transactions

     (20,724 )       (717 ) 
   

Equity investments

     131         934   
   

Other

     (8,589 )       6,510   

Change in Credit RWAs

     (52,577 )       16,138   

Market RWAs

     

Change in:

     

Regulatory VaR

     1,762         1,762   
   

Stressed VaR

     (7,887 )       (7,887 ) 
   

Incremental risk

     (7,437 )       (7,437 ) 
   

Comprehensive risk

     (4,130 )       (3,433 ) 
   

Specific risk

     (24,840 )       (24,905 ) 

Change in Market RWAs

     (42,532 )       (41,900 ) 

Operational RWAs

     

Change in operational risk

     —         33,100   

Change in Operational RWAs

     —         33,100   

Ending balance

     $524,107         $577,651   
Hybrid Capital Rules [Member]  
Capital Ratios

The table below presents the ratios for GS Bank USA calculated in accordance with both the Standardized and Basel III Advanced Rules.

 

    As of  
$ in millions     September 2016         December 2015   

Standardized

     

Common Equity Tier 1

     $  24,121         $  23,017   

 

Tier 1 capital

     24,121         23,017   
   

Tier 2 capital

     2,381         2,311   

Total capital

     $  26,502         $  25,328   

 

Basel III Advanced

     

Common Equity Tier 1

     $  24,121         $  23,017   

 

Tier 1 capital

     24,121         23,017   
   

Standardized Tier 2 capital

     2,381         2,311   
   

Allowance for losses on loans and lending commitments

     (381 )       (311 ) 
   

Other adjustments

     —         —   

Tier 2 capital

     2,000         2,000   

Total capital

     $  26,121         $  25,017   

 

RWAs

     

Standardized

     $194,629         $202,197   
   

Basel III Advanced

     137,135         131,059   

 

CET1 ratio

     

Standardized

     12.4%         11.4%   
   

Basel III Advanced

     17.6%         17.6%   

 

Tier 1 capital ratio

     

Standardized

     12.4%         11.4%   
   

Basel III Advanced

     17.6%         17.6%   

 

Total capital ratio

     

Standardized

     13.6%         12.5%   
   

Basel III Advanced

     19.0%         19.1%   

 

Tier 1 leverage ratio

     15.0%         16.4%