v3.21.2
Regulation and Capital Adequacy (Tables)
 6 Months Ended
Jun. 30, 2021
Risk-based Capital and Leverage Requirements The table below presents the risk-based capital requirements as of both June 2021 and December 2020.
 
     Standardized        Advanced  
CET1 capital ratio
     13.6%        9.5%  
Tier 1 capital ratio
     15.1%        11.0%  
Total capital ratio
     17.1%        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 6.6% 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 June 2021
                 
CET1 capital
  
 
$  89,440
 
   
 
$  89,440
 
Tier 1 capital
  
 
$  98,514
 
   
 
$  98,514
 
Tier 2 capital
  
 
$  14,965
 
   
 
$  12,747
 
Total capital
  
 
$113,479
 
   
 
$111,261
 
RWAs
  
 
$621,335
 
   
 
$667,143
 
 
CET1 capital ratio
  
 
14.4%
 
   
 
13.4%
 
Tier 1 capital ratio
  
 
15.9%
 
   
 
14.8%
 
Total capital ratio
  
 
18.3%
 
   
 
16.7%
 
 
As of December 2020
                 
CET1 capital
     $  81,641        $  81,641  
Tier 1 capital
     $  92,730        $  92,730  
Tier 2 capital
     $  15,424        $  13,279  
Total capital
     $108,154        $106,009  
RWAs
     $554,162        $609,750  
 
CET1 capital ratio
     14.7%        13.4%  
Tier 1 capital ratio
     16.7%        15.2%  
Total capital ratio
     19.5%        17.4%  
Leverage Ratio
The table below presents information about leverage ratios.
 
   
For the Three Months
Ended or as of
  
     
$ in millions
  
 
June
2021
 
 
     
December
2020
  
 
Tier 1 capital
  
 
$    
 
98,514
 
      $     92,730  
 
Average total assets
  
 
$1,358,068
 
      $1,152,785  
Deductions from Tier 1 capital
  
 
(5,003
) 
      (4,948 ) 
Average adjusted total assets
  
 
1,353,065
 
      1,147,837  
Impact of SLR temporary amendment
  
 
–
 
      (202,748 ) 
Average
off-balance
sheet exposures
  
 
424,376
 
      387,848  
Total leverage exposure
  
 
$1,777,441
 
      $1,332,937  
 
Tier 1 leverage ratio
  
 
7.3%
 
      8.1%  
SLR
  
 
5.5%
 
      7.0%  
In the table above:
 
•  
Average total assets represents the average daily assets for the quarter adjusted for the impact of CECL transition.
 
•  
Impact of SLR temporary amendment represented the exclusion of average holdings of U.S. Treasury securities and average deposits at the Federal Reserve as permitted by the FRB. The impact of this temporary amendment was an increase in the firm’s SLR by approximately 1.0 percentage points for the three months ended December 2020. Effective April 1, 2021, the amendment permitting this exclusion expired and, as a result, the SLR for the three months ended June 2021 did not reflect the impact of the temporary amendment to exclude the holdings of such assets.
 
•  
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  
Six Months Ended June 2021
                
CET1 capital
                
Beginning balance
  
 
$  81,641
 
  
 
$  81,641
 
Change in:
                
Common shareholders’ equity
  
 
7,958
 
  
 
7,958
 
Impact of CECL transition
  
 
(85
) 
  
 
(85
) 
Deduction for goodwill
  
 
(5
) 
  
 
(5
) 
Deduction for identifiable intangible assets
  
 
97
 
  
 
97
 
Other adjustments
  
 
(166
 )  
 
(166
 )
Ending balance
  
 
$  89,440
 
  
 
$  89,440
 
 
Tier 1 capital
                
Beginning balance
  
 
$  92,730
 
  
 
$  92,730
 
Change in:
                
CET1 capital
  
 
7,799
 
  
 
7,799
 
Deduction for investments in covered funds
  
 
(20
) 
  
 
(20
) 
Preferred stock
  
 
(2,000
) 
  
 
(2,000
) 
Other adjustments
  
 
5
 
  
 
5
 
Ending balance
  
 
98,514
 
  
 
98,514
 
Tier 2 capital
                
Beginning balance
  
 
15,424
 
  
 
13,279
 
Change in:
                
Qualifying subordinated debt
  
 
(119
) 
  
 
(119
) 
Junior subordinated debt
  
 
(94
) 
  
 
(94
) 
Allowance for credit losses
  
 
(254
) 
  
 
–
 
Other adjustments
  
 
8
 
  
 
(319
 )
Ending balance
  
 
14,965
 
  
 
12,747
 
Total capital
  
 
$113,479
 
  
 
$111,261
 
 
Year Ended December 2020
                
CET1 capital
                
Beginning balance
     $  74,850       $  74,850  
Change in:
                
Common shareholders’ equity
     5,667       5,667  
Impact of CECL transition
     1,126       1,126  
Deduction for goodwill
     (123 )      (123 ) 
Deduction for identifiable intangible assets
     3       3  
Other adjustments
     118       118  
Ending balance
     $  81,641       $  81,641  
 
Tier 1 capital
                
Beginning balance
     $  85,440       $  85,440  
Change in:
                
CET1 capital
     6,791       6,791  
Deduction for investments in covered funds
     504       504  
Other adjustments
     (5 )      (5 ) 
Ending balance
     92,730       92,730  
Tier 2 capital
                
Beginning balance
     14,925       13,473  
Change in:
                
Qualifying subordinated debt
     (651 )      (651 ) 
Junior subordinated debt
     (96 )      (96 ) 
Allowance for credit losses
     1,293       –  
Other adjustments
     (47 )      553  
Ending balance
     15,424       13,279  
Total capital
     $108,154       $106,009  
Risk-weighted Assets
The table below presents information about RWAs.
 
$ in millions
     Standardized        Advanced  
As of June 2021
                 
Credit RWAs
                 
Derivatives
  
 
$128,830
 
   
 
$110,132
 
Commitments, guarantees and loans
  
 
197,151
 
   
 
168,796
 
Securities financing transactions
 
  
 
77,787
 
   
 
15,363
 
Equity investments
  
 
55,578
 
   
 
62,005
 
Other
  
 
71,705
 
   
 
89,350
 
Total Credit RWAs
  
 
531,051
 
   
 
445,646
 
Market RWAs
                 
Regulatory VaR
  
 
15,771
 
   
 
15,771
 
Stressed VaR
  
 
51,917
 
   
 
51,917
 
Incremental risk
  
 
7,704
 
   
 
7,704
 
Comprehensive risk
  
 
2,164
 
   
 
2,164
 
Specific risk
  
 
12,728
 
   
 
12,728
 
Total Market RWAs
  
 
90,284
 
   
 
90,284
 
Total Operational RWAs
  
 
–
 
   
 
131,213
 
Total RWAs
  
 
$621,335
 
   
 
$667,143
 
 
As of December 2020
                 
Credit RWAs
                 
Derivatives
     $120,292        $111,691  
Commitments, guarantees and loans
     176,501        151,587  
Securities financing transactions
     71,427        16,568  
Equity investments
     46,944        49,268  
Other
     70,274        83,599  
Total Credit RWAs
     485,438        412,713  
Market RWAs
                 
Regulatory VaR
     14,913        14,913  
Stressed VaR
     31,978        31,978  
Incremental risk
     7,882        7,882  
Comprehensive risk
     1,758        1,758  
Specific risk
     12,193        12,193  
Total Market RWAs
     68,724        68,724  
Total Operational RWAs
     –        128,313  
Total RWAs
     $554,162        $609,750  
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  
Six Months Ended June 2021
                 
RWAs
                 
Beginning balance
  
 
$554,162
 
   
 
$609,750
 
Credit RWAs
                 
Change in:
                 
Derivatives
  
 
8,538
 
   
 
(1,559
 )
Commitments, guarantees and loans
  
 
20,650
 
   
 
17,209
 
Securities financing transactions
  
 
6,360
 
   
 
(1,205
 )
Equity investments
  
 
8,634
 
   
 
12,737
 
Other
  
 
1,431
 
   
 
5,751
 
Change in Credit RWAs
  
 
45,613
 
   
 
32,933
 
Market RWAs
                 
Change in:
                 
Regulatory VaR
  
 
858
 
   
 
858
 
Stressed VaR
  
 
19,939
 
   
 
19,939
 
Incremental risk
  
 
(178
) 
   
 
(178
) 
Comprehensive risk
  
 
406
 
   
 
406
 
Specific risk
  
 
535
 
   
 
535
 
Change in Market RWAs
  
 
21,560
 
   
 
21,560
 
Change in Operational RWAs
  
 
–
 
   
 
2,900
 
Ending balance
  
 
$621,335
 
   
 
$667,143
 
 
Year Ended December 2020
                 
RWAs
                 
Beginning balance
     $563,575        $544,653  
Credit RWAs
                 
Change in:
                 
Derivatives
     (614 )       39,060  
Commitments, guarantees and loans
     (3,239 )       17,131  
Securities financing transactions
     5,560        2,734  
Equity investments
     (9,870 )       (12,624 ) 
Other
     (5,386 )       5,333  
Change in Credit RWAs
     (13,549 )       51,634  
Market RWAs
                 
Change in:
                 
Regulatory VaR
     5,980        5,980  
Stressed VaR
     1,067        1,067  
Incremental risk
     3,574        3,574  
Comprehensive risk
     365        567  
Specific risk
     (6,850 )       (6,850 ) 
Change in Market RWAs
     4,136        4,338  
Change in Operational RWAs
     –        9,125  
Ending balance
     $554,162        $609,750  
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 [Member]  
Risk-based Capital The table below presents information about risk-based capital.
 
    As of  
     
$ in millions
  
 
June
2021
 
 
     
December
2020
  
 
Common shareholders’ equity
  
 
$  92,687
 
      $  84,729  
Impact of CECL transition
  
 
1,041
 
      1,126  
Deduction for goodwill
  
 
(3,657
)
 
      (3,652 ) 
Deduction for identifiable intangible assets
  
 
(504
)
     (601 ) 
Other adjustments
  
 
(127
)
     39  
CET1 capital
  
 
89,440
 
      81,641  
Preferred stock
  
 
9,203
 
      11,203  
Deduction for investments in covered funds
  
 
(126
)
     (106 ) 
Other adjustments
  
 
(3
)
     (8 ) 
Tier 1 capital
  
 
$  98,514
 
      $  92,730  
 
Standardized Tier 2 and Total capital
      
 
         
Tier 1 capital
  
 
$  98,514
 
      $  92,730  
Qualifying subordinated debt
  
 
12,077
 
      12,196  
Junior subordinated debt
  
 
94
 
      188  
Allowance for credit losses
  
 
2,841
 
      3,095  
Other adjustments
  
 
(47
)
     (55 ) 
Standardized Tier 2 capital
  
 
14,965
 
      15,424  
Standardized Total capital
  
 
$113,479
 
      $108,154  
 
Advanced Tier 2 and Total capital
      
 
         
Tier 1 capital
  
 
$  98,514
 
      $  92,730  
Standardized Tier 2 capital
  
 
14,965
 
      15,424  
Allowance for credit losses
  
 
(2,841
)
     (3,095 ) 
Other adjustments
  
 
623
 
      950  
Advanced Tier 2 capital
  
 
12,747
 
      13,279  
Advanced Total capital
  
 
$111,261
 
      $106,009  
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 $675 million as of June 2021 and $680 million as of December 2020.
 
•  
Deduction for identifiable intangible assets was net of deferred tax liabilities of $19 million as of June 2021 and $29 million as of December 2020.
 
•  
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 June 2021, 10% of this debt was included in Tier 2 capital and 90% was phased out of regulatory capital. As of December 2020, 20% of this debt was included in Tier 2 capital and 80% 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. See Note 14 for further information about the firm’s junior subordinated debt and Trust Preferred securities.
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 June 2021
                 
CET1 capital
  
 
$  32,593
 
   
 
$  32,593
 
Tier 1 capital
  
 
$  32,593
 
   
 
$  32,593
 
Tier 2 capital
  
 
$    6,148
 
   
 
$    4,688
 
Total capital
  
 
$  38,741
 
   
 
$  37,281
 
RWAs
  
 
$295,470
 
   
 
$193,398
 
 
CET1 capital ratio
  
 
11.0%
 
   
 
16.9%
 
Tier 1 capital ratio
  
 
11.0%
 
   
 
16.9%
 
Total capital ratio
  
 
13.1%
 
   
 
19.3%
 
 
As of December 2020
                 
CET1 capital
     $  30,656        $  30,656  
Tier 1 capital
     $  30,656        $  30,656  
Tier 2 capital
     $    6,288        $    4,903  
Total capital
     $  36,944        $  35,559  
RWAs
     $266,153        $165,799  
 
CET1 capital ratio
     11.5%        18.5%  
Tier 1 capital ratio
     11.5%        18.5%  
Total capital ratio
     13.9%        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
  
     
$ in millions
  
 
June
2021
 
 
     
December
2020
  
 
Tier 1 capital
  
 
$  32,593
 
      $  30,656  
Average adjusted total assets
  
 
$306,095
 
      $283,869  
Total leverage exposure
  
 
$512,063
 
      $343,198  
 
Tier 1 leverage ratio
  
 
10.6%
 
      10.8%  
SLR
  
 
6.4%
 
      8.9%  
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.
 
•  
Total leverage exposure, for the three months ended December 2020, excluded average holdings of U.S. Treasury securities and average deposits at the Federal Reserve as permitted by the FRB under a temporary amendment.
The impact of this temporary amendment was an increase in GS Bank USA’s SLR by approximately 2.4
 p
ercentage points for the three months ended December 2020. Effective April 1, 2021, the amendment permitting this exclusion expired and, as a result, the SLR for the three months ended June 2021 did not reflect the impact of the temporary amendment to exclude the holdings of such assets.
 
•  
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.