Goldman Sachs 2015 Annual Report Download - page 199

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Notes to Consolidated Financial Statements
The tables below present the components of RWAs
calculated in accordance with the Standardized and
Basel III Advanced rules as of December 2015 and
December 2014.
Standardized Capital Rules
as of December
$ in millions 2015 2014
Credit RWAs
Derivatives $136,841 $180,771
Commitments, guarantees and loans 111,391 89,783
Securities financing transactions 171,392 92,116
Equity investments 37,687 38,526
Other 262,807 71,499
Total Credit RWAs 420,118 472,695
Market RWAs
Regulatory VaR 12,000 10,238
Stressed VaR 21,738 29,625
Incremental risk 9,513 16,950
Comprehensive risk 5,725 9,855
Specific risk 55,013 79,853
Total Market RWAs 103,989 146,521
Total RWAs $524,107 $619,216
Basel III Advanced Rules
as of December
$ in millions 2015 2014
Credit RWAs
Derivatives $113,671 $122,501
Commitments, guarantees and loans 114,523 95,209
Securities financing transactions 114,901 15,618
Equity investments 40,110 40,146
Other 260,877 54,470
Total Credit RWAs 344,082 327,944
Market RWAs
Regulatory VaR 12,000 10,238
Stressed VaR 21,738 29,625
Incremental risk 9,513 16,950
Comprehensive risk 4,717 8,150
Specific risk 55,013 79,918
Total Market RWAs 102,981 144,881
Total Operational RWAs 130,588 97,488
Total RWAs $577,651 $570,313
1. Represents resale and repurchase agreements and securities borrowed and
loaned transactions.
2. Includes receivables, other assets, and cash and cash equivalents.
The table below presents changes in RWAs calculated in
accordance with the Standardized and Basel III Advanced
rules for the period ended December 2015.
Period Ended
December 2015
$ in millions Standardized
Basel III
Advanced
Risk-Weighted Assets
Beginning balance $619,216 $570,313
Credit RWAs
Increased deductions due to transitional
provisions 1(1,073) (1,073)
Increase/(decrease) in derivatives (43,930) (8,830)
Increase/(decrease) in commitments,
guarantees and loans 21,608 19,314
Increase/(decrease) in securities financing
transactions (20,724) (717)
Increase/(decrease) in equity investments 131 934
Change in other (8,589) 6,510
Change in Credit RWAs (52,577) 16,138
Market RWAs
Increase/(decrease) in regulatory VaR 1,762 1,762
Increase/(decrease) in stressed VaR (7,887) (7,887)
Increase/(decrease) in incremental risk (7,437) (7,437)
Increase/(decrease) in comprehensive risk (4,130) (3,433)
Increase/(decrease) in specific risk (24,840) (24,905)
Change in Market RWAs (42,532) (41,900)
Operational RWAs
Increase/(decrease) in operational risk — 33,100
Change in Operational RWAs — 33,100
Ending balance $524,107 $577,651
1. Represents the increased phase-in of deductions from 20% to 40%,
effective January 2015.
Standardized Credit RWAs as of December 2015 decreased
by $52.58 billion compared with December 2014,
reflecting decreases in derivatives and securities financing
transactions, primarily due to lower exposures. These
decreases were partially offset by an increase in lending
activity. Standardized Market RWAs as of December 2015
decreased by $42.53 billion compared with
December 2014, primarily due to decreased specific risk, as
a result of reduced risk exposures.
Basel III Advanced Credit RWAs as of December 2015
increased by $16.14 billion compared with
December 2014, primarily reflecting an increase in lending
activity. This increase was partially offset by a decrease in
RWAs related to derivatives, due to lower counterparty
credit risk. Basel III Advanced Market RWAs as of
December 2015 decreased by $41.90 billion compared with
December 2014, primarily due to decreased specific risk, as
a result of reduced risk exposures. Basel III Advanced
Operational RWAs as of December 2015 increased by
$33.10 billion compared with December 2014,
substantially all of which is associated with mortgage-
related legal matters and regulatory proceedings.
Goldman Sachs 2015 Form 10-K 187