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Regulation and Capital Adequacy (Tables)
 3 Months Ended
Mar. 31, 2020
Risk-based Capital and Leverage Ratios
The table below presents the risk-based capital and leverage requirements.
 
         
  
 
Requirements
 
Risk-based capital requirements
 
 
 
CET1 capital ratio
 
 
9.5%
 
Tier 1 capital ratio
 
 
11.0%
 
Total capital ratio
 
 
13.0%
 
 
Leverage requirements
 
 
 
Tier 1 leverage ratio
 
 
4.0%
 
SLR
 
 
5.0%
 
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%. 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.
Risk-based Capital Ratios
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.
Leverage Ratio
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.
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
 
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
 
 
 
 
 
 
 
 
 
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.
 
                 
                 
 
 
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%. The requirements also include the capital conservation buffer of 2.5% 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 [Member]  
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.
Risk-weighted Assets
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
 
 
 
 
 
 
 
 
 
Changes in Risk-weighted 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
 
 
 
 
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 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%
 
 
 
 
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
 
                 
$ 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.