The Goldman Sachs Group, Inc.

PILLAR 3 DISCLOSURES

For the period ended December 31, 2020

THE GOLDMAN SACHS GROUP, INC.

Pillar 3 Disclosures

TABLE OF CONTENTS

Page No.

Index of Tables

1

Introduction

2

Regulatory Capital

5

Capital Structure

6

Risk-Weighted Assets

8

Credit Risk

8

Equity Exposures in the Banking Book

15

Securitizations in the Banking Book

18

Market Risk

22

Operational Risk

28

Model Risk Management

30

Interest Rate Sensitivity

31

Cautionary Note on Forward-Looking Statements

32

Glossary of Risk Terms

33

Index of References

36

INDEX OF TABLES

Page No.

Table 1

Regulatory Risk-Based Capital and Leverage Ratios

5

Table 2

Risk-Based Capital and Leverage Requirements

6

Table 3

Capital Structure

6

Table 4

Risk-Weighted Assets by Exposure Category

8

Table 5

Credit Risk Wholesale Exposures by PD Band

11

Table 6

Credit Risk Retail Exposures by PD Band

12

Table 7

Equity Exposures in the Banking Book

17

Table 8

Securitization Exposures and Related RWAs by Exposure Type

21

Table 9

Securitization Exposures and Related RWAs by Regulatory Capital Approach

21

Table 10

Securitization Activity - Banking Book

22

Table 11

Regulatory VaR

24

Table 12

Stressed VaR

24

Table 13

Incremental Risk

24

Table 14

Comprehensive Risk

25

Table 15

Daily Regulatory VaR

26

Table 16

Specific Risk

26

Table 17

Trading Book Securitization Exposures

27

December 2020 | Pillar 3 Disclosures

1

THE GOLDMAN SACHS GROUP, INC.

Pillar 3 Disclosures

Introduction

Overview

The Goldman Sachs Group, Inc. (Group Inc. or parent company), a Delaware corporation, together with its consolidated subsidiaries (collectively, the firm), is a leading global financial institution that delivers a broad range of financial services across investment banking, securities, investment management and consumer banking to a large and diversified client base that includes corporations, financial institutions, governments and individuals. When we use the terms "the firm," "we," "us" and "our," we mean Group Inc. and its consolidated subsidiaries.

The Board of Governors of the Federal Reserve System (FRB) is the primary regulator of Group Inc., a bank holding company (BHC) under the Bank Holding Company Act of 1956 and a financial holding company under amendments to this Act. We are subject to consolidated regulatory capital requirements which are calculated in accordance with the regulations of the FRB (Capital Framework).

The capital requirements are expressed as risk-based capital and leverage ratios that compare measures of regulatory capital to risk-weighted assets (RWAs), average assets and off-balance-sheet exposures. Failure to comply with these capital requirements could result in restrictions being imposed by our regulators and could limit our ability to repurchase shares, pay dividends and make certain discretionary compensation payments. Our capital levels are also subject to qualitative judgments by the regulators about components of capital, risk weightings and other factors.

The Capital Framework, as described below, requires disclosures based on the third pillar of Basel III (Pillar 3). The purpose of Pillar 3 disclosures is to provide information on banking institutions' risk management practices and regulatory capital ratios. This document is designed to satisfy these requirements and should be read in conjunction with our most recent Annual Report on Form 10-K, as well as our most recent FFIEC 101 Report, "Regulatory Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework." References to our "2020 Form 10-K" are to our Annual Report on Form 10-K for the year ended December 31, 2020. All references to December 2020 and December 2019 refer to the periods ended, or the dates, as the context requires, December 31, 2020 and December 31, 2019, respectively. References to our FFIEC 101 Report refer to our report filed for the period ended December 31, 2020, available on the National Information Center's website located atwww.ffiec.gov.

Capital Framework

The regulations under the Capital Framework are largely based on the Basel Committee on Banking Supervision's (Basel Committee) capital framework for strengthening international capital standards (Basel III) and also implement certain provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act). Under the Capital Framework, we are an "Advanced approach" banking organization and have been designated as a global systemically important bank (G-SIB).

The Capital Framework includes the minimum risk-based capital and the capital conservation buffer requirements. The buffer must consist entirely of capital that qualifies as Common Equity Tier 1 (CET1) capital.

Prior to October 1, 2020, the capital conservation buffer requirements under both the Standardized and Advanced Capital Rules were comprised of (i) a 2.5% buffer, (ii) the countercyclical capital buffer and (iii) the G-SIB surcharge. Beginning on October 1, 2020, the 2.5% buffer was replaced with the stress capital buffer under the Standardized Capital Rules. The components of the capital conservation buffer requirements under the Advanced Capital Rules remain unchanged.

December 2020 | Pillar 3 Disclosures

2

THE GOLDMAN SACHS GROUP, INC.

Pillar 3 Disclosures

The firm calculates its CET1 capital, Tier 1 capital and Total capital ratios in accordance with the Standardized and Advanced Capital Rules. Beginning on October 1, 2020, each of the ratios calculated under the Standardized and Advanced Capital Rules must meet the respective capital requirements. Prior to October 1, 2020, the lower of each risk-based capital ratio calculated under the Standardized and Advanced Capital Rules was the ratio against which our compliance with risk-based capital requirements was assessed. Under the Capital Framework, the firm is also subject to leverage requirements which consist of a minimum Tier 1 leverage ratio and a minimum supplementary leverage ratio (SLR), as well as the SLR buffer.

The Standardized CET1 capital, Tier 1 capital and Total capital ratios were 14.7%, 16.7% and 19.5% as of December 2020. For additional information about our Standardized capital ratios, see "Note 20. Regulation and Capital Adequacy" in Part II, Item 8 "Financial Statements and Supplementary Data" in our 2020 Form 10-K.

The Advanced Capital Rules require an Advanced approach BHC to meet a series of qualification requirements on an ongoing basis. They also require notification to supervisors of any change to a model that results in a material change in its RWAs, or of any significant change to its modeling assumptions. These qualification requirements address the following areas: the bank's governance processes and systems for maintaining adequate capital commensurate with its risk profile; its internal systems for segmenting exposures and applying risk weights; its quantification of risk parameters used including its model-based estimates of exposures; its operational risk management processes, data management and quantification systems; the data management systems that are designed to support the timely and accurate reporting of risk-based capital requirements; and the control, oversight and validation mechanisms exercised by senior management and by the Board of Directors of Group Inc. (Board).

The information presented in this document is calculated in accordance with the Capital Framework with RWAs calculated in accordance with the Advanced Capital Rules, unless otherwise specified.

Definition of Risk-Weighted Assets. As of December 2020, RWAs were calculated in accordance with both the Advanced and Standardized Capital Rules.

For additional information about the Capital Framework and the requirement to calculate RWAs in accordance with both the Advanced and Standardized Capital Rules, see "Note 20.

Regulation and Capital Adequacy" in Part II, Item 8

"Financial Statements and Supplementary Data" in our 2020

Form 10-K. Also see "Regulation" in Part I, Item 1 "Business" in our 2020 Form 10-K for additional information about our regulatory capital requirements.

Fair Value

Trading assets and liabilities, certain investments and loans, and certain other financial assets and liabilities, are included in our consolidated balance sheets at fair value (i.e., marked-to-market), with related gains or losses generally recognized in our consolidated statements of earnings and, therefore, in capital. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The use of fair value to measure financial instruments is fundamental to our risk management practices and is our most critical accounting policy. The daily discipline of marking substantially all of our inventory to current market levels is an effective tool for assessing and managing risk and provides transparent and realistic insight into our financial exposures. The use of fair value is an important aspect to consider when evaluating our capital base and our capital ratios as changes in the fair value of our positions are reflected in the current period's shareholders' equity, and accordingly, regulatory capital; it is also a factor used to determine the classification of positions into the banking book and trading book, as discussed further below.

For additional information regarding the determination of fair value under accounting principles generally accepted in the United States (U.S. GAAP) and controls over valuation of financial instruments, see "Note 3. Significant Accounting Policies" in Part II, Item 8 "Financial Statements and Supplementary Data" and "Critical Accounting Policies - Fair Value" in Part II, Item 7 "Management's Discussion and Analysis of Financial Condition and Results of Operations" in our 2020 Form 10-K.

December 2020 | Pillar 3 Disclosures

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The Goldman Sachs Group Inc. published this content on 24 February 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 24 February 2021 22:23:05 UTC.