Regulation and Capital Adequacy (Tables)

9 Months Ended

Sep. 30, 2021

Risk-based Capital and Leverage Requirements

The table below presents the risk-based capital requirements as of both September 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 September 2021
CET1 capital	$ 93,292	$ 93,292
Tier 1 capital	$102,580	$102,580
Tier 2 capital	$ 14,982	$ 12,625
Total capital	$117,562	$115,205
RWAs	$663,936	$672,061
CET1 capital ratio	14.1%	13.9%
Tier 1 capital ratio	15.5%	15.3%
Total capital ratio	17.7%	17.1%
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		September 2021		December 2020
Tier 1 capital		$ 102,580		$ 92,730
Average total assets		$1,410,173		$1,152,785
Deductions from Tier 1 capital		(5,272	)	(4,948	)
Average adjusted total assets		1,404,901		1,147,837
Impact of SLR temporary amendment		–		(202,748	)
Average off-balance sheet exposures		439,373		387,848
Total leverage exposure		$1,844,274		$1,332,937
Tier 1 leverage ratio		7.3%		8.1%
SLR		5.6%		7.0%



			Requirements
Tier 1 leverage ratio			4.0%
SLR			5.0%

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. The amendment permitting this exclusion expired on April 1, 2021.

•

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
Nine Months Ended September 2021
CET1 capital
Beginning balance	$ 81,641		$ 81,641
Change in:
Common shareholders’ equity	11,615		11,615
Impact of CECL transition	(67	)	(67	)
Deduction for identifiable intangible assets	123		123
Other adjustments	(20	)	(20	)
Ending balance	$ 93,292		$ 93,292
Tier 1 capital
Beginning balance	$ 92,730		$ 92,730
Change in:
CET1 capital	11,651		11,651
Deduction for investments in covered funds	(556	)	(556	)
Preferred stock	(1,250	)	(1,250	)
Other adjustments	5		5
Ending balance	102,580		102,580
Tier 2 capital
Beginning balance	15,424		13,279
Change in:
Qualifying subordinated debt	(152	)	(152	)
Junior subordinated debt	(94	)	(94	)
Allowance for credit losses	(199	)	–
Other adjustments	3		(408	)
Ending balance	14,982		12,625
Total capital	$117,562		$115,205
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 September 2021
Credit RWAs
Derivatives	$147,590	$116,971
Commitments, guarantees and loans	222,978	178,086
Securities financing transactions	88,391	18,004
Equity investments	49,346	55,450
Other	74,325	91,181
Total Credit RWAs	582,630	459,692
Market RWAs
Regulatory VaR	12,733	12,733
Stressed VaR	40,922	40,922
Incremental risk	8,325	8,325
Comprehensive risk	3,292	3,292
Specific risk	16,034	16,034
Total Market RWAs	81,306	81,306
Total Operational RWAs	–	131,063
Total RWAs	$663,936	$672,061
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
Nine Months Ended September 2021
RWAs
Beginning balance		$554,162			$609,750
Credit RWAs
Change in:
Derivatives		27,298			5,280
Commitments, guarantees and loans		46,477			26,499
Securities financing transactions		16,964			1,436
Equity investments		2,402			6,182
Other		4,051			7,582
Change in Credit RWAs		97,192			46,979
Market RWAs
Change in:
Regulatory VaR		(2,180	)		(2,180	)
Stressed VaR		8,944			8,944
Incremental risk		443			443
Comprehensive risk		1,534			1,534
Specific risk		3,841			3,841
Change in Market RWAs		12,582			12,582
Change in Operational RWAs		–			2,750
Ending balance		$663,936			$672,061
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		September 2021		December 2020
Common shareholders’ equity		$ 96,344		$ 84,729
Impact of CECL transition		1,059		1,126
Deduction for goodwill		(3,652	)	(3,652	)
Deduction for identifiable intangible assets		(478	)	(601	)
Other adjustments		19		39
CET1 capital		93,292		81,641
Preferred stock		9,953		11,203
Deduction for investments in covered funds		(662	)	(106	)
Other adjustments		(3	)	(8	)
Tier 1 capital		$102,580		$ 92,730
Standardized Tier 2 and Total capital
Tier 1 capital		$102,580		$ 92,730
Qualifying subordinated debt		12,044		12,196
Junior subordinated debt		94		188
Allowance for credit losses		2,896		3,095
Other adjustments		(52	)	(55	)
Standardized Tier 2 capital		14,982		15,424
Standardized Total capital		$117,562		$108,154
Advanced Tier 2 and Total capital
Tier 1 capital		$102,580		$ 92,730
Standardized Tier 2 capital		14,982		15,424
Allowance for credit losses		(2,896	)	(3,095	)
Other adjustments		539		950
Advanced Tier 2 capital		12,625		13,279
Advanced Total capital		$115,205		$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 the 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 $674 million as of September 2021 and $680 million as of December 2020.

•

Deduction for identifiable intangible assets was net of deferred tax liabilities of $19 million as of September 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 September 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 September 2021
CET1 capital	$ 40,811	$ 40,811
Tier 1 capital	$ 40,811	$ 40,811
Tier 2 capital	$ 6,259	$ 4,598
Total capital	$ 47,070	$ 45,409
RWAs	$343,033	$221,831
CET1 capital ratio	11.9%	18.4%
Tier 1 capital ratio	11.9%	18.4%
Total capital ratio	13.7%	20.5%
As of December 2020
CET1 capital	$ 34,687	$ 34,687
Tier 1 capital	$ 34,687	$ 34,687
Tier 2 capital	$ 6,312	$ 4,963
Total capital	$ 40,999	$ 39,650
RWAs	$280,877	$173,442
CET1 capital ratio	12.3%	20.0%
Tier 1 capital ratio	12.3%	20.0%
Total capital ratio	14.6%	22.9%

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		September 2021	December 2020
Tier 1 capital		$ 40,811	$ 34,687
Average adjusted total assets		$374,396	$310,690
Total leverage exposure		$608,770	$381,637
Tier 1 leverage ratio		10.9%	11.2%
SLR		6.7%	9.1%

In the table above:

•

In accordance with the reporting requirements for business combinations of entities under common control, prior period amounts are presented as if the acquisition of GSBE by GS Bank USA had occurred at the beginning of 2020.

•

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 percentage points for the three months ended December 2020. The amendment permitting this exclusion expired on April 1, 2021.

•

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.