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Regulation and Capital Adequacy (Tables)
 12 Months Ended
Dec. 31, 2019
Risk-based Capital and Leverage Ratios
The table below presents the risk-based capital and leverage requirements.
 
                 
       
 
As of December
 
                 
 
 
2019
 
    
2018
 
Risk-based capital requirements
 
 
 
    
 
CET1 capital ratio
 
 
9.5%
 
    
8.3%
 
Tier 1 capital ratio
 
 
11.0%
 
    
9.8%
 
Total capital ratio
 
 
13.0%
 
    
11.8%
 
 
Leverage requirements
 
 
 
    
 
Tier 1 leverage ratio
 
 
4.0%
 
    
4.0%
 
SLR
 
 
5.0%
 
    
5.0%
 
 
 
 
 
 
 
 
 
In the table above:
 
•
 As of December 2019, the CET1 capital ratio requirement included a minimum of 4.5%, the Tier 1 capital ratio requirement included a minimum of 6.0%, and the Total capital ratio requirement included a minimum of 8.0%. The requirements also included the capital conservation buffer of 2.5%, the
G-SIB
surcharge of 2.5% (Method 2) and the countercyclical capital buffer, which the FRB has set to zero percent.
 
 
 
 
 
 
 
 
 
•
 As of December 2018, the CET1 capital ratio requirement included a minimum of 4.5%, the Tier 1 capital ratio requirement included a minimum of 6.0%, and the Total capital ratio requirement included a minimum of 8.0%. The requirements also included the 75%
phase-in
of the capital conservation buffer of 2.5%, the 75%
phase-in
of the
G-SIB
surcharge of 2.5% (Method 2) and the countercyclical capital buffer, which the FRB has set to zero percent.
 
 
 
 
 
 
 
 
 
•
 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 4%. The SLR requirement of 5% as of both December 2019 and December 2018 includes a minimum of 3% and a 2% buffer applicable to
G-SIBs.
 
 
 
 
Risk-based Capital Ratios
The table below presents information about risk-based capital ratios.
 
                 
                 
$ in millions
   
Standardized
     
Advanced
 
As of December 2019
  
 
 
    
 
CET1 capital
 
 
$  74,850
 
  
 
$  74,850
 
Tier 1 capital
 
 
$  85,440
 
  
 
$  85,440
 
Tier 2 capital
 
 
$  14,925
 
  
 
$  13,473
 
Total capital
 
 
$100,365
 
  
 
$  98,913
 
RWAs
 
 
$563,575
 
  
 
$544,653
 
 
CET1 capital ratio
 
 
13.3%
 
  
 
13.7%
 
Tier 1 capital ratio
 
 
15.2%
 
  
 
15.7%
 
Total capital ratio
 
 
17.8%
 
  
 
18.2%
 
 
As of December 2018
  
 
 
    
 
CET1 capital
   
$  73,116
     
$  73,116
 
Tier 1 capital
   
$  83,702
     
$  83,702
 
Tier 2 capital
   
$  14,926
     
$  13,743
 
Total capital
   
$  98,628
     
$  97,445
 
RWAs
   
$547,910
     
$558,111
 
 
CET1 capital ratio
   
13.3%
     
13.1%
 
Tier 1 capital ratio
   
15.3%
     
15.0%
 
Total capital ratio
   
18.0%
     
17.5%
 
 
 
 
 
 
 
 
 
 
 
 
In the table above:
 
•
In accordance with the risk-based Capital Rules, the lower of the Standardized or Advanced ratio is the ratio against which the firm’s compliance with the capital requirements is assessed, and therefore, the Standardized ratios applied to the firm as of December 2019 and the Advanced ratios applied to the firm as of December 2018.
 
 
 
 
 
 
 
 
 
 
 
 
•
 Beginning in the fourth quarter of 2019, the firm made changes to the calculation of the loss given default for certain wholesale exposures. At the date of adoption, the estimated impact of these changes was an increase in the firm’s Advanced CET1 capital ratio of approximately 1 percentage point.
 
 
 
 
 
 
 
 
Leverage Ratio
The table below presents information about leverage ratios.
 
                 
       
 
For the Three Months
Ended or as of December
 
                 
$ in millions
 
 
2019
 
    
2018
 
Tier 1 capital
 
 
$
  
   85,440
 
    
$     83,702
 
 
Average total assets
 
 
983,909
 
    
945,961
 
Deductions from Tier 1 capital
 
 
(5,275
)
   
(4,754
 )
Average adjusted total assets
 
 
978,634
 
    
941,207
 
Average
off-balance-sheet
exposures
  
 
396,833
 
    
401,699
 
Total leverage exposure
 
 
$1,375,467
 
    
$1,342,906
 
 
Tier 1 leverage ratio
 
 
8.7%
 
    
8.9%
 
SLR
 
 
6.2%
 
    
6.2%
 
 
 
 
 
 
 
 
 
In the table above:
 
•
 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.
 
 
 
 
 
 
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
 
Year Ended December 2019
  
 
 
    
 
CET1 capital
 
 
 
    
 
Beginning balance
 
 
$  73,116
 
  
 
$73,116
 
Change in:
 
 
 
  
 
 
Common shareholders’ equity
 
 
80
 
  
 
80
 
Deduction for goodwill
 
 
(432
)
 
 
(432
)
Deduction for identifiable intangible assets
 
 
(307
)
 
 
(307
)
Other adjustments
 
 
2,393
 
  
 
2,393
 
Ending balance
 
 
$  74,850
 
  
 
$74,850
 
Tier 1 capital
 
 
 
  
 
 
Beginning balance
 
 
$  83,702
 
  
 
$83,702
 
Change in:
 
 
 
  
 
 
CET1 capital
 
 
1,734
 
  
 
1,734
 
Deduction for investments in covered funds
 
 
5
 
  
 
5
 
Other adjustments
 
 
(1
)
 
 
(1
)
Ending balance
 
 
85,440
 
  
 
85,440
 
Tier 2 capital
 
 
 
  
 
 
Beginning balance
 
 
14,926
 
  
 
13,743
 
Change in:
 
 
 
  
 
 
Qualifying subordinated debt
 
 
(300
)
 
 
(300
)
Junior subordinated debt
 
 
(158
)
 
 
(158
)
Allowance for credit losses
 
 
449
 
  
 
–
 
Other adjustments
 
 
8
 
  
 
188
 
Ending balance
 
 
14,925
 
  
 
13,473
 
Total capital
 
 
$100,365
 
  
 
$98,913
 
 
Year Ended December 2018
  
 
 
    
 
CET1 capital
 
 
 
    
 
Beginning balance
   
$  67,110
     
$67,110
 
Change in:
   
     
 
Common shareholders’ equity
   
8,592
     
8,592
 
Transitional provisions
   
(117
 )    
(117
 )
Deduction for goodwill
   
(86
 )    
(86
 )
Deduction for identifiable intangible assets
   
26
     
26
 
Other adjustments
   
(2,409
 )    
(2,409
 )
Ending balance
   
$  73,116
     
$73,116
 
Tier 1 capital
   
     
 
Beginning balance
   
$  78,331
     
$78,331
 
Change in:
   
     
 
CET1 capital
   
6,006
     
6,006
 
Transitional provisions
   
13
     
13
 
Deduction for investments in covered funds
   
(25
 )    
(25
 )
Preferred stock
   
(650
 )    
(650
 )
Other adjustments
   
27
     
27
 
Ending balance
   
83,702
     
83,702
 
Tier 2 capital
   
     
 
Beginning balance
   
14,977
     
13,899
 
Change in:
   
     
 
Qualifying subordinated debt
   
(213
 )    
(213
 )
Junior subordinated debt
   
(125
 )    
(125
 )
Allowance for credit losses
   
275
     
–
 
Other adjustments
   
12
     
182
 
Ending balance
   
14,926
     
13,743
 
Total capital
   
$  98,628
     
$97,445
 
 
 
 
 
 
 
 
 
Minimum Risk-based Capital and Leverage Ratios and "well-capitalized" Minimum Ratios
The table below presents GS Bank USA’s risk-based capital, leverage and “well-capitalized” requirements.
 
                         
             
 
As of December
   
“Well-capitalized”

Requirements
 
 
 
2019
 
    
2018
 
Risk-based capital requirements
 
 
 
    
     
 
CET1 capital ratio
 
 
7.0%
 
    
6.4%
   
 
6.5%
 
Tier 1 capital ratio
 
 
8.5%
 
    
7.9%
   
 
8.0%
 
Total capital ratio
 
 
10.5%
 
    
9.9%
   
 
10.0%
 
 
Leverage requirements
 
 
 
    
   
 
 
Tier 1 leverage ratio
 
 
4.0%
 
    
4.0%
   
 
5.0%
 
SLR
 
 
3.0%
 
    
3.0%
   
 
6.0%
 
 
 
 
In the table above:
 
•
 As of December 2019, the CET1 capital ratio requirement included a minimum of 4.5%, the Tier 1 capital ratio requirement included a minimum of 6.0%, and the Total capital ratio requirement included a minimum of 8.0%. The requirements also included the capital conservation buffer of 2.5% and the countercyclical capital buffer, which the FRB has set to zero percent.
 
 
 
 
 
•
 As of December 2018, the CET1 capital ratio requirement included a minimum of 4.5%, the Tier 1 capital ratio requirement included a minimum of 6.0%, and the Total capital ratio requirement included a minimum of 8.0%. The requirements also included the 75%
phase-in
of the capital conservation buffer of 2.5% and the countercyclical capital buffer of zero percent.
 
 
 
 
 
•
 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 December 2019 and December 2018.
 
 
 
Basel III Advanced Rules [Member]  
Risk-based Capital The table below presents information about risk-based capital.
 
                 
       
 
As of December
 
                 
$ in millions
 
 
2019
 
    
2018
 
Common shareholders’ equity
 
 
$  79,062
 
    
$78,982
 
Deduction for goodwill
 
 
(3,529
)
   
(3,097
 )
Deduction for identifiable intangible assets
 
 
(604
)
   
(297
 )
Other adjustments
 
 
(79
)
   
(2,472
 )
CET1 capital
 
 
74,850
 
    
73,116
 
Preferred stock
 
 
11,203
 
    
11,203
 
Deduction for investments in covered funds
 
 
(610
)
   
(615
 )
Other adjustments
 
 
(3
)
   
(2
 )
Tier 1 capital
 
 
$  85,440
 
    
$83,702
 
Standardized Tier 2 and Total capital
 
 
 
    
 
Tier 1 capital
 
 
$  85,440
 
    
$83,702
 
Qualifying subordinated debt
 
 
12,847
 
    
13,147
 
Junior subordinated debt
 
 
284
 
    
442
 
Allowance for credit losses
 
 
1,802
 
    
1,353
 
Other adjustments
 
 
(8
)
   
(16
 )
Standardized Tier 2 capital
 
 
14,925
 
    
14,926
 
Standardized Total capital
 
 
$100,365
 
    
$98,628
 
Advanced Tier 2 and Total capital
   
 
Tier 1 capital
 
 
$  85,440
 
    
$83,702
 
Standardized Tier 2 capital
 
 
14,925
 
    
14,926
 
Allowance for credit losses
 
 
(1,802
)
   
(1,353
 )
Other adjustments
 
 
350
 
    
170
 
Advanced Tier 2 capital
 
 
13,473
 
    
13,743
 
Advanced Total capital
 
 
$  98,913
 
    
$97,445
 
 
 
 
 
 
 
 
 
In the table above:
 
•
 Deduction for goodwill was net of deferred tax liabilities of $667 million as of December 2019 and $661 million as of December 2018.
 
 
 
 
 
 
 
 
 
 
 
 
•
 Deduction for identifiable intangible assets was net of deferred tax liabilities of $37 million as of December 2019 and $27 million as of December 2018.
 
 
 
 
 
 
 
 
 
 
 
 
•
 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 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. As of December 2019, 30% of this debt was included in Tier 2 capital and 70% was phased out of regulatory capital. As of December 2018, 40% of this debt was included in Tier 2 capital and 60% was phased out of regulatory capital. Junior subordinated debt 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 14 for further information about the firm’s junior subordinated debt and Trust Preferred securities.
 
 
 
 
 
 
 
 
Risk-weighted Assets
The table below presents information about RWAs.
 
                 
$ in millions
   
Standardized
     
Advanced
 
As of December 2019
  
 
 
    
 
Credit RWAs
 
 
 
    
 
Derivatives
 
 
$120,906
 
  
 
$  72,631
 
Commitments, guarantees and loans
 
 
179,740
 
  
 
134,456
 
Securities financing transactions
 
 
65,867
 
  
 
13,834
 
Equity investments
 
 
56,814
 
  
 
61,892
 
Other
 
 
75,660
 
  
 
78,266
 
Total Credit RWAs
 
 
498,987
 
  
 
361,079
 
Market RWAs
 
 
 
  
 
 
Regulatory VaR
 
 
8,933
 
  
 
8,933
 
Stressed VaR
 
 
30,911
 
  
 
30,911
 
Incremental risk
 
 
4,308
 
  
 
4,308
 
Comprehensive risk
 
 
1,393
 
  
 
1,191
 
Specific risk
 
 
19,043
 
  
 
19,043
 
Total Market RWAs
 
 
64,588
 
  
 
64,386
 
Total Operational RWAs
 
 
–
 
  
 
119,188
 
Total RWAs
 
 
$563,575
 
  
 
$544,653
 
 
As of December 2018
  
 
 
    
 
Credit RWAs
 
 
 
    
 
Derivatives
   
$122,511
     
$  82,301
 
Commitments, guarantees and loans
   
160,305
     
143,356
 
Securities financing transactions
   
66,363
     
18,259
 
Equity investments
   
53,563
     
55,154
 
Other
   
70,596
     
69,681
 
Total Credit RWAs
   
473,338
     
368,751
 
Market RWAs
   
     
 
Regulatory VaR
   
7,782
     
7,782
 
Stressed VaR
   
27,952
     
27,952
 
Incremental risk
   
10,469
     
10,469
 
Comprehensive risk
   
2,770
     
2,770
 
Specific risk
   
25,599
     
25,599
 
Total Market RWAs
   
74,572
     
74,572
 
Total Operational RWAs
   
–
     
114,788
 
Total RWAs
   
$547,910
     
$558,111
 
Changes in Risk-weighted Assets
The table below presents changes in RWAs.
 
                 
$ in millions
   
Standardized
     
Advanced
 
Year Ended December 2019
  
 
 
    
 
RWAs
 
 
 
    
 
Beginning balance
 
 
$547,910
 
  
 
$558,111
 
Credit RWAs
 
 
 
  
 
 
Change in:
 
 
 
  
 
 
Derivatives
 
 
(1,605
)
 
 
(9,670
)
Commitments, guarantees and loans
 
 
19,435
 
  
 
(8,900
)
Securities financing transactions
 
 
(496
)
 
 
(4,425
)
Equity investments
 
 
3,251
 
  
 
6,738
 
Other
 
 
5,064
 
  
 
8,585
 
Change in Credit RWAs
 
 
25,649
 
  
 
(7,672
)
Market RWAs
 
 
 
  
 
 
Change in:
 
 
 
  
 
 
Regulatory VaR
 
 
1,151
 
  
 
1,151
 
Stressed VaR
 
 
2,959
 
  
 
2,959
 
Incremental risk
 
 
(6,161
)
 
 
(6,161
)
Comprehensive risk
 
 
(1,377
)
 
 
(1,579
)
Specific risk
 
 
(6,556
)
 
 
(6,556
)
Change in Market RWAs
 
 
(9,984
)
 
 
(10,186
)
Change in Operational RWAs
 
 
–
 
  
 
4,400
 
Ending balance
 
 
$563,575
 
  
 
$544,653
 
 
Year Ended December 2018
  
 
 
    
 
RWAs
 
 
 
    
 
Beginning balance
   
$555,611
     
$617,646
 
Credit RWAs
   
     
 
Change in:
   
     
 
Transitional provisions
   
7,766
     
8,232
 
Derivatives
   
(3,565
 )    
(20,685
 )
Commitments, guarantees and loans
   
15,201
     
(20,019
 )
Securities financing transactions
   
(11,599
 )    
(1,103
 )
Equity investments
   
(2,241
 )    
(4,580
 )
Other
   
(454
 )    
(6,411
 )
Change in Credit RWAs
   
5,108
     
(44,566
 )
Market RWAs
   
     
 
Change in:
   
     
 
Regulatory VaR
   
250
     
250
 
Stressed VaR
   
(4,801
 )    
(4,801
 )
Incremental risk
   
2,028
     
2,028
 
Comprehensive risk
   
373
     
900
 
Specific risk
   
(10,659
 )    
(10,659
 )
Change in Market RWAs
   
(12,809
 )    
(12,282
 )
Change in Operational RWAs
   
–
     
(2,687
 )
Ending balance
   
$547,910
     
$558,111
 
Hybrid Capital Rules [Member]  
Risk-based Capital
The table below presents information about GS Bank USA’s risk-based capital ratios.
 
                 
                 
$ in millions
   
Standardized
     
Advanced
 
As of December 2019
  
 
 
    
 
CET1 capital
 
 
$  29,176
 
  
 
$  29,176
 
Tier 1 capital
 
 
$  29,176
 
  
 
$  29,176
 
Tier 2 capital
 
 
$    5,293
 
  
 
$    4,486
 
Total capital
 
 
$  34,469
 
  
 
$  33,662
 
RWAs
 
 
$258,541
 
  
 
$135,596
 
 
CET1 capital ratio
 
 
11.3%
 
  
 
21.5%
 
Tier 1 capital ratio
 
 
11.3%
 
  
 
21.5%
 
Total capital ratio
 
 
13.3%
 
  
 
24.8%
 
 
As of December 2018
  
 
 
    
 
CET1 capital
   
$  27,467
     
$  27,467
 
Tier 1 capital
   
$  27,467
     
$  27,467
 
Tier 2 capital
   
$    5,069
     
$    4,446
 
Total capital
   
$  32,536
     
$  31,913
 
RWAs
   
$248,356
     
$149,019
 
 
CET1 capital ratio
   
11.1%
     
18.4%
 
Tier 1 capital ratio
   
11.1%
     
18.4%
 
Total capital ratio
   
13.1%
     
21.4%
 
 
 
 
GS Bank USA [Member]  
Leverage Ratio
The table below presents information about GS Bank USA’s leverage ratios.
 
                 
       
 
For the Three Months
Ended or as of December
 
                 
$ in millions
 
 
2019
 
    
2018
 
Tier 1 capital
 
 
$  29,176
 
    
$  27,467
 
Average adjusted total assets
 
 
$220,974
 
    
$188,606
 
Total leverage exposure
 
 
$413,852
 
    
$368,062
 
 
Tier 1 leverage ratio
 
 
13.2%
 
    
14.6%
 
SLR
 
 
7.0%
 
    
7.5%
 
 
 
 
 
In the table above:
 
•
 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.