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%. The requirements also include 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.

•

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% includes a minimum of 3% and a 2% buffer applicable to G-SIBs.

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



$ in millions	Standardized	Advanced
As of March 2020
CET1 capital	$ 74,550	$ 74,550
Tier 1 capital	$ 85,589	$ 85,589
Tier 2 capital	$ 15,131	$ 13,470
Total capital	$100,720	$ 99,059
RWAs	$594,484	$605,926
CET1 capital ratio	12.5%	12.3%
Tier 1 capital ratio	14.4%	14.1%
Total capital ratio	16.9%	16.3%
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%

In the table above:

•

The lower of the Standardized or Advanced ratio is the ratio against which the firm’s compliance with the capital requirements is assessed under the risk-based Capital Rules, and therefore, the Advanced ratios applied to the firm as of March 2020 and the Standardized ratios applied to the firm as of December 2019.

•

As permitted by the FRB, the firm has elected to temporarily delay the estimated effects of adopting CECL on regulatory capital until January 2022 and to subsequently phase-in the effects through January 2025. In addition, during 2020 and 2021, the firm has elected to increase regulatory capital by 25% of the increase in the allowance for credit losses since January 1, 2020, as permitted by the rules issued by the FRB. The impact of this increase will also be phased in over the three-year transition period. Reflecting the full impact of CECL as of March 2020 would not have had a material impact on the firm’s Advanced risk-based capital ratios.

•

The FRB

permits banking organizations to exclude assets acquired in connection with their participation in the Federal Reserve’s Money Market Mutual Fund Liquidity Facility (MMLF) from their calculation of risk-based capital and leverage ratios. The firm has opted to exclude such assets from the calculations of these ratios as of March 2020.

The table below presents information about leverage ratios.



	For the Three Months Ended or as of

$ in millions		March 2020		December 2019
Tier 1 capital		$ 85,589		$ 85,440
Average total assets		$1,048,847		$ 983,909
Deductions from Tier 1 capital		(4,887	)	(5,275	)
Average adjusted total assets		1,043,960		978,634
Average off-balance sheet exposures		394,906		396,833
Total leverage exposure		$1,438,866		$1,375,467
Tier 1 leverage ratio		8.2%		8.7%
SLR		5.9%		6.2%

In the table above:

•	Average total assets represents the average daily assets for the quarter adjusted for the impact of CECL transition and exclusion of assets acquired in connection with the firm’s participation in the Federal Reserve’s MMLF.

•	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.

Risk-Based Capital.

The table below presents information about risk-based capital.



	As of

$ in millions		March 2020		December 2019
Common shareholders’ equity		$ 81,176		$ 79,062
Impact of CECL transition		819		–
Deduction for goodwill		(3,528	)	(3,529	)
Deduction for identifiable intangible assets		(584	)	(604	)
Other adjustments		(3,333	)	(79	)
CET1 capital		74,550		74,850
Preferred stock		11,203		11,203
Deduction for investments in covered funds		(157	)	(610	)
Other adjustments		(7	)	(3	)
Tier 1 capital		$ 85,589		$ 85,440
Standardized Tier 2 and Total capital
Tier 1 capital		$ 85,589		$ 85,440
Qualifying subordinated debt		12,820		12,847
Junior subordinated debt		188		284
Allowance for credit losses		2,174		1,802
Other adjustments		(51	)	(8	)
Standardized Tier 2 capital		15,131		14,925
Standardized Total capital		$100,720		$100,365
Advanced Tier 2 and Total capital
Tier 1 capital		$ 85,589		$ 85,440
Standardized Tier 2 capital		15,131		14,925
Allowance for credit losses		(2,174	)	(1,802	)
Other adjustments		513		350
Advanced Tier 2 capital		13,470		13,473
Advanced Total capital		$ 99,059		$ 98,913

In the table above:

•

Impact of CECL transition represents the impact of adoption as of January 1, 2020 and the impact of increasing regulatory capital by 25% of the increase in allowance for credit losses since January 1, 2020. The allowance for credit losses within Standardized and Advanced Tier 2 capital also reflects the impact of these adjustments.

•	Deduction for goodwill was net of deferred tax liabilities of $668 million as of March 2020 and $667 million as of December 2019.

•	Deduction for identifiable intangible assets was net of deferred tax liabilities of $30 million as of March 2020 and $37 million as of December 2019.

•	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 March 2020, 20% of this debt was included in Tier 2 capital and 80% was phased out of regulatory capital. As of December 2019, 30% of this debt was included in Tier 2 capital and 70% 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.

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



$ in millions	Standardized		Advanced
Three Months Ended March 2020
CET1 capital
Beginning balance	$ 74,850		$74,850
Change in:
Common shareholders’ equity	2,114		2,114
Impact of CECL transition	819		819
Deduction for goodwill	1		1
Deduction for identifiable intangible assets	20		20
Other adjustments	(3,254	)	(3,254	)
Ending balance	$ 74,550		$74,550
Tier 1 capital
Beginning balance	$ 85,440		$85,440
Change in:
CET1 capital	(300	)	(300	)
Deduction for investments in covered funds	453		453
Other adjustments	(4	)	(4	)
Ending balance	85,589		85,589
Tier 2 capital
Beginning balance	14,925		13,473
Change in:
Qualifying subordinated debt	(27	)	(27	)
Junior subordinated debt	(96	)	(96	)
Allowance for credit losses	372		–
Other adjustments	(43	)	120
Ending balance	15,131		13,470
Total capital	$100,720		$99,059
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

RWAs.

RWAs are calculated in accordance with both the Standardized and Advanced Capital Rules.

Credit Risk

Credit RWAs are calculated based on measures of exposure, which are then risk weighted under the Standardized and Advanced Capital Rules:

•	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 Rules, the firm computes risk-weights for wholesale and retail credit exposures in accordance with the Advanced Internal Ratings-Based approach. The exposure measures for derivatives and securities financing transactions are computed utilizing internal models.

•	For both Standardized and Advanced credit RWAs, the risk-weights for securitizations and equities are based on specific required formulaic approaches.

Market Risk

RWAs for market risk in accordance with the Standardized and Advanced Capital Rules are generally consistent. Market RWAs are calculated based on measures of exposure which include the following:

•	Value-at-Risk (VaR) is the potential loss in value of trading assets and liabilities, as well as certain investments, loans, and other financial assets and liabilities accounted for at fair value, due to adverse market movements over a defined time horizon with a specified confidence level.

For both risk management purposes and regulatory capital calculations

the firm uses a single VaR model which captures risks including those related to interest rates, equity prices, currency rates and commodity prices. However, VaR used for regulatory capital requirements (regulatory VaR) differs from risk management VaR due to different time horizons and confidence levels

(10-day

and 99% for regulatory VaR vs.

one-day

and 95% for risk management VaR), as well as differences in the scope of positions on which VaR is calculated. In addition, the daily net revenues used to determine risk management VaR exceptions (i.e., comparing the daily net revenues to the VaR measure calculated as of the end of the prior business day) include intraday activity, whereas the Capital Framework requires that intraday activity be excluded from daily net revenues when calculating regulatory VaR exceptions. Intraday activity includes bid/offer net revenues, which are more likely than not to be positive by their nature. As a result, there may be differences in the number of VaR exceptions and the amount of daily net revenues calculated for regulatory VaR compared to the amounts calculated for risk management VaR.

The firm’s positional losses observed on a single day exceeded its 99%

one-day

regulatory VaR on six occasions during the three months ended March 2020 and exceeded its 99%

one-day

VaR on one occasion during the year ended December 2019. There was no change in the VaR multiplier used to calculate Market RWAs;

•	Stressed VaR is the potential loss in value of trading assets and liabilities, as well as certain investments, loans, and other financial assets and liabilities accounted for at fair value, during a period of significant market stress;

•	Incremental risk is the potential loss in value of non-securitized 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.

Operational Risk

Operational RWAs are only required to be included under the Advanced Capital Rules. The firm utilizes an internal risk-based model to quantify Operational RWAs.

The table below presents information about RWAs.



$ in millions	Standardized	Advanced
As of March 2020
Credit RWAs
Derivatives	$134,778	$104,638
Commitments, guarantees and loans	189,300	148,986
Securities financing transactions	59,729	12,515
Equity investments	50,881	52,999
Other	74,574	82,753
Total Credit RWAs	509,262	401,891
Market RWAs
Regulatory VaR	13,465	13,465
Stressed VaR	45,608	45,608
Incremental risk	5,088	5,088
Comprehensive risk	2,186	2,186
Specific risk	18,875	18,875
Total Market RWAs	85,222	85,222
Total Operational RWAs	–	118,813
Total RWAs	$594,484	$605,926
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

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.

The table below presents changes in RWAs.



$ in millions	Standardized		Advanced
Three Months Ended March 2020
RWAs
Beginning balance	$563,575		$544,653
Credit RWAs
Change in:
Derivatives	13,872		32,007
Commitments, guarantees and loans	9,560		14,530
Securities financing transactions	(6,138	)	(1,319	)
Equity investments	(5,933	)	(8,893	)
Other	(1,086	)	4,487
Change in Credit RWAs	10,275		40,812
Market RWAs
Change in:
Regulatory VaR	4,532		4,532
Stressed VaR	14,697		14,697
Incremental risk	780		780
Comprehensive risk	793		995
Specific risk	(168	)	(168	)
Change in Market RWAs	20,634		20,836
Change in Operational RWAs	–		(375	)
Ending balance	$594,484		$605,926
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

RWAs Rollforward Commentary

Three Months Ended March 2020.

Standardized Credit RWAs as of March 2020 increased by $10.28

billion compared with December 2019, primarily reflecting an increase in derivatives, principally due to increased exposure, and an increase in commitments, guarantees and loans, principally due to increased lending activity. This increase was partially offset by decreased securities financing transactions and equity investments, primarily due to reduced exposures. Standardized Market RWAs as of March 2020 increased by

$20.63

billion compared with December 2019, primarily reflecting an increase in stressed VaR, principally due to increased risk exposures, and an increase in regulatory VaR, principally due to market volatility.

Advanced Credit RWAs as of March 2020 increased by $40.81 billion compared with December 2019, primarily reflecting an increase in derivatives, principally due to increased exposure

including the impact of higher levels of volatility

and counterparty credit risk, and an increase in commitments, guarantees and loans, principally due to increased lending activity. This increase was partially offset by decreased equity investments, primarily due to reduced exposures. Advanced Market RWAs as of March 2020 increased by $20.84 billion compared with December 2019, primarily reflecting an increase in stressed VaR, principally due to increased risk exposures, and an increase in regulatory VaR, principally due to market volatility. Advanced Operational RWAs as of March 2020 were essentially unchanged compared with December 2019.

Year Ended December 2019.

Standardized Credit RWAs as of December 2019 increased by $25.65 billion compared with December 2018, primarily reflecting an increase in commitments, guarantees and loans, principally due to an increase in lending activity, and an increase in other credit RWAs, principally due to the recognition of operating lease

right-of-use

assets upon adoption of ASU No.

2016-02

and an increase in corporate debt exposures. Standardized Market RWAs as of December 2019 decreased by $9.98 billion compared with December 2018, primarily reflecting a decrease in specific risk, principally due to reduced exposures, and a decrease in incremental risk, principally due to reduced exposures and changes in risk measurements.

Advanced Credit RWAs as of December 2019 decreased by $7.67 billion compared with 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 which resulted in a decrease in credit RWAs, primarily in commitments, guarantees and loans and derivatives. This decrease was partially offset by an increase in other credit RWAs, principally due to the recognition of operating lease

right-of-use

assets upon adoption of ASU No.

2016-02

and an increase in corporate debt exposures. Advanced Market RWAs as of December 2019 decreased by $10.19 billion compared with December 2018, primarily reflecting a decrease in specific risk, principally due to reduced exposures, and a decrease in incremental risk, principally due to reduced exposures and changes in risk measurements. Advanced Operational RWAs as of December 2019 increased by $4.40 billion compared with December 2018, associated with litigation and regulatory proceedings.

Bank Subsidiaries

Regulatory Capital Ratios.

GS Bank USA, the firm’s primary U.S. bank subsidiary, is an FDIC-insured, New York State-chartered bank and a member of the Federal Reserve System, is supervised and regulated by the FRB, the FDIC, the New York State Department of Financial Services and the Consumer Financial Protection Bureau, and is subject to regulatory capital requirements that are calculated in substantially the same manner as those applicable to BHCs. For purposes of assessing the adequacy of its capital, GS Bank USA calculates its risk-based capital and leverage ratios in accordance with the regulatory capital requirements applicable to state member banks. Those requirements are based on the Capital Framework described above. GS Bank USA is an Advanced approach banking organization under the Capital Framework.

Under the regulatory framework for prompt corrective action applicable to GS Bank USA, in order to meet the quantitative requirements for being a “well-capitalized” depository institution, GS Bank USA must also meet the “well-capitalized” requirements in the table below.

GS Bank USA’s capital levels and prompt corrective action classification are also subject to qualitative judgments by the regulators about components of capital, risk weightings and other factors. Failure to comply with these capital requirements, including a breach of the buffers described above, could result in restrictions being imposed by GS Bank USA’s regulators.

Similar to the firm, GS Bank USA is required to calculate each of the CET1 capital, Tier 1 capital and Total capital ratios in accordance with both the Standardized and Advanced Capital Rules. The lower of each risk-based capital ratio calculated in accordance with the Standardized and Advanced Capital Rules is the ratio against which GS Bank USA’s compliance with its risk-based capital requirements is assessed.

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

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



$ in millions	Standardized	Advanced
As of March 2020
CET1 capital	$ 29,760	$ 29,760
Tier 1 capital	$ 29,760	$ 29,760
Tier 2 capital	$ 5,710	$ 4,644
Total capital	$ 35,470	$ 34,404
RWAs	$272,752	$164,238
CET1 capital ratio	10.9%	18.1%
Tier 1 capital ratio	10.9%	18.1%
Total capital ratio	13.0%	20.9%
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%

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 March 2020 and December 2019.

•

As permitted by the FRB, GS Bank USA has elected to temporarily delay the estimated effects of adopting CECL on regulatory capital until January 2022 and to subsequently phase-in the effects through January 2025. In addition, during 2020 and 2021, GS Bank USA has elected to increase regulatory capital by 25% of the increase in the allowance for credit losses since January 1, 2020, as permitted by the rules issued by the FRB. The impact of this increase will also be phased in over the three-year transition period. Reflecting the full impact of CECL as of March 2020 would not have had a material impact on GS Bank USA’s Standardized risk-based capital ratios.

•	The Standardized risk-based capital ratios and the Advanced risk-based capital ratios both decreased from December 2019 to March 2020, primarily due to an increase in Credit RWAs and Market RWAs.

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



	For the Three Months Ended or as of

$ in millions		March 2020	December 2019
Tier 1 capital		$ 29,760	$ 29,176
Average adjusted total assets		$243,007	$220,974
Total leverage exposure		$425,724	$413,852
Tier 1 leverage ratio		12.2%	13.2%
SLR		7.0%	7.0%

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.

The firm’s principal

non-U.S.

bank subsidiary, GSIB, is a wholly-owned credit institution, regulated by the Prudential Regulation Authority and the Financial Conduct Authority and is subject to regulatory capital requirements. As of both March 2020 and December 2019, GSIB was in compliance with its regulatory capital requirements.

Other.

The deposits of GS Bank USA are insured by the FDIC to the extent provided by law. The FRB requires that GS Bank USA maintain cash reserves with the Federal Reserve Bank of New York. The amount deposited by GS Bank USA at the Federal Reserve Bank of New York was $34.16 billion as of March 2020 and $50.55 billion as of December 2019, which exceeded required reserve amounts by $34.16 billion as of March 2020 and $50.29 billion as of December 2019.

Restrictions on Payments

Group Inc. may be limited in its ability to access capital held at certain subsidiaries as a result of regulatory, tax or other constraints. These limitations include provisions of applicable law and regulations and other regulatory restrictions that limit the ability of those subsidiaries to declare and pay dividends without prior regulatory approval (e.g., dividends that may be paid by GS Bank USA are limited to the lesser of the amounts calculated under a recent earnings test and an undivided profits test) even if the relevant subsidiary would satisfy the equity capital requirements applicable to it after giving effect to the dividend. For example, the FRB, the FDIC and the New York State Department of Financial Services have authority to prohibit or to limit the payment of dividends by the banking organizations they supervise (including GS Bank USA) if, in the regulator’s opinion, payment of a dividend would constitute an unsafe or unsound practice in light of the financial condition of the banking organization.

In addition,

subsidiaries not subject to separate regulatory capital requirements may hold capital to satisfy local tax and legal guidelines, rating agency requirements (for entities with assigned credit ratings) or internal policies, including policies concerning the minimum amount of capital a subsidiary should hold based on its underlying level of risk.

Group Inc.’s equity investment in subsidiaries was $95.59 billion as of March 2020 and $95.68 billion as of December 2019, of which Group Inc. was required to maintain $63.09 billion as of March 2020 and $57.58 billion as of December 2019, of minimum equity capital in its regulated subsidiaries in order to satisfy the regulatory requirements of such subsidiaries.

Group Inc.’s capital invested in certain

non-U.S.

subsidiaries is exposed to foreign exchange risk, substantially all of which is managed through a combination of derivatives and

non-U.S.

denominated debt. See Note 7 for information about the firm’s net investment hedges used to hedge this risk.