Goldman Sachs 2015 Annual Report Download - page 200

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Notes to Consolidated Financial Statements
See “Definition of Risk-Weighted Assets” above for a
description of the calculations of Credit RWAs, Market
RWAs and Operational RWAs, including the differences in
the calculation of Credit RWAs under each of the
Standardized Capital Rules and the Basel III Advanced Rules.
The table below presents changes in RWAs from
December 31, 2013 to December 31, 2014. As of
December 31, 2013, the firm was subject to the capital
regulations of the Federal Reserve Board that were based on
the Basel Committee’s Basel I Capital Accord, including the
revised market risk capital requirements.
$ in millions
Period Ended
December 2014
Risk-weighted assets
Balance, December 31, 2013 $433,226
Credit RWAs
Change related to the transition to the Revised
Capital Framework 169,101
Decrease in derivatives (24,109)
Increase in commitments, guarantees and loans 18,208
Decrease in securities financing transactions (2,782)
Decrease in equity investments (2,728)
Increase in other 2,007
Change in Credit RWAs 59,697
Market RWAs
Change related to the transition to the Revised
Capital Framework 1,626
Decrease in regulatory VaR (5,175)
Decrease in stressed VaR (11,512)
Increase in incremental risk 7,487
Decrease in comprehensive risk (6,617)
Decrease in specific risk (5,907)
Change in Market RWAs (20,098)
Operational RWAs
Change related to the transition to the Revised
Capital Framework 88,938
Increase in operational risk 8,550
Change in Operational RWAs 97,488
Ending balance (Basel III Advanced) $570,313
1. Includes $26.67 billion of RWA changes related to the transition to the Revised
Capital Framework on January 1, 2014 and $42.43 billion of changes to the
calculation of credit RWAs in accordance with the Basel III Advanced Rules
related to the firm’s application of the Basel III Advanced Rules on April 1, 2014.
Credit RWAs as of December 2014 increased by
$59.70 billion compared with December 2013, primarily
due to increased risk weightings related to counterparty
credit risk for derivative exposures and the inclusion of
RWAs for equity investments in certain nonconsolidated
entities, both resulting from the transition to the Revised
Capital Framework. Market RWAs as of December 2014
decreased by $20.10 billion compared with
December 2013, primarily due to a decrease in stressed
VaR, reflecting reduced fixed income and equities
exposures. Operational RWAs as of December 2014
increased by $97.49 billion compared with
December 2013, substantially all of which was due to the
transition to the Revised Capital Framework.
Bank Subsidiaries
Regulatory Capital Ratios. GS Bank USA, an FDIC-
insured, New York State-chartered bank and a member of
the Federal Reserve System, is supervised and regulated by
the Federal Reserve Board, the FDIC, the New York State
Department of Financial Services and the Consumer
Financial Protection Bureau, and is subject to regulatory
capital requirements that are calculated in substantially the
same manner as those applicable to bank holding
companies. For purposes of assessing the adequacy of its
capital, GS Bank USA calculates its capital ratios in
accordance with the risk-based capital and leverage
requirements applicable to state member banks. Those
requirements are based on the Revised Capital Framework
described above. GS Bank USA is an Advanced approach
banking organization under the Revised Capital
Framework.
Under the regulatory framework for prompt corrective
action applicable to GS Bank USA, in order to meet the
quantitative requirements for being a “well-capitalized”
depository institution, GS Bank USA must meet higher
minimum requirements than the minimum ratios in the
table below. The table below presents the minimum ratios
and “well-capitalized” minimum ratios required for GS
Bank USA as of December 2015.
Minimum Ratio
“Well-capitalized”
Minimum Ratio
CET1 ratio 4.5% 6.5%
Tier 1 capital ratio 6.0% 8.0%
Total capital ratio 8.0% 10.0%
Tier 1 leverage ratio 4.0% 5.0%
GS Bank USA was in compliance with its minimum capital
requirements and the “well-capitalized” minimum ratios as
of December 2015 and December 2014. GS Bank USA’s
capital levels and prompt corrective action classification are
also subject to qualitative judgments by the regulators
about components of capital, risk weightings and other
factors. Failure to comply with these capital requirements
could result in restrictions being imposed by GS Bank
USA’s regulators.
188 Goldman Sachs 2015 Form 10-K