|
||||||||||||||||||||||||||
| SEC Info℠ | | | Home | | | Search | | | My Interests | | | Help | | | Sign In | | | Please Sign In | |||||||
|
||||||||||||||||||||||||||
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 5/04/21 Goldman Sachs Group Inc. 10-Q 3/31/21 211:47M Donnelley … Solutions/FA |
Document/Exhibit Description Pages Size
1: 10-Q Quarterly Report HTML 5.58M
2: EX-15.1 Letter re: Unaudited Interim Financial Info HTML 59K
3: EX-31.1 Certification -- §302 - SOA'02 HTML 70K
4: EX-32.1 Certification -- §906 - SOA'02 HTML 60K
11: R1 Cover Page HTML 138K
12: R2 Consolidated Statements of Earnings (Unaudited) HTML 150K
13: R3 Consolidated Statements of Comprehensive Income HTML 85K
(Unaudited)
14: R4 Consolidated Balance Sheets (Unaudited) HTML 144K
15: R5 Consolidated Balance Sheets (Unaudited) HTML 94K
(Parenthetical)
16: R6 Consolidated Statements of Changes in HTML 125K
Shareholders' Equity (Unaudited)
17: R7 Consolidated Statements of Cash Flows HTML 157K
18: R8 Description of Business HTML 65K
19: R9 Basis of Presentation HTML 63K
20: R10 Significant Accounting Policies HTML 119K
21: R11 Fair Value Measurements HTML 173K
22: R12 Trading Assets and Liabilities HTML 91K
23: R13 Trading Cash Instruments HTML 316K
24: R14 Derivatives and Hedging Activities HTML 847K
25: R15 Investments HTML 417K
26: R16 Loans HTML 916K
27: R17 Fair Value Option HTML 291K
28: R18 Collateralized Agreements and Financings HTML 261K
29: R19 Other Assets HTML 148K
30: R20 Deposits HTML 136K
31: R21 Unsecured Borrowings HTML 165K
32: R22 Other Liabilities HTML 102K
33: R23 Securitization Activities HTML 136K
34: R24 Variable Interest Entities HTML 233K
35: R25 Commitments, Contingencies and Guarantees HTML 204K
36: R26 Shareholders' Equity HTML 220K
37: R27 Regulation and Capital Adequacy HTML 460K
38: R28 Earnings Per Common Share HTML 79K
39: R29 Transactions with Affiliated Funds HTML 76K
40: R30 Interest Income and Interest Expense HTML 91K
41: R31 Income Taxes HTML 75K
42: R32 Business Segments HTML 257K
43: R33 Credit Concentrations HTML 82K
44: R34 Legal Proceedings HTML 120K
45: R35 Basis of Presentation (Policies) HTML 340K
46: R36 Fair Value Measurements (Tables) HTML 109K
47: R37 Trading Assets and Liabilities (Tables) HTML 88K
48: R38 Trading Cash Instruments (Tables) HTML 312K
49: R39 Derivatives and Hedging Activities (Tables) HTML 793K
50: R40 Investments (Tables) HTML 492K
51: R41 Loans (Tables) HTML 878K
52: R42 Fair Value Option (Tables) HTML 253K
53: R43 Collateralized Agreements and Financings (Tables) HTML 239K
54: R44 Other Assets (Tables) HTML 140K
55: R45 Deposits (Tables) HTML 127K
56: R46 Unsecured Borrowings (Tables) HTML 154K
57: R47 Other Liabilities (Tables) HTML 100K
58: R48 Securitization Activities (Tables) HTML 129K
59: R49 Variable Interest Entities (Tables) HTML 205K
60: R50 Commitments, Contingencies and Guarantees (Tables) HTML 180K
61: R51 Shareholders' Equity (Tables) HTML 222K
62: R52 Regulation and Capital Adequacy (Tables) HTML 431K
63: R53 Earnings Per Common Share (Tables) HTML 73K
64: R54 Transactions with Affiliated Funds (Tables) HTML 74K
65: R55 Interest Income and Interest Expense (Tables) HTML 84K
66: R56 Income Taxes (Tables) HTML 67K
67: R57 Business Segments (Tables) HTML 243K
68: R58 Credit Concentrations (Tables) HTML 80K
69: R59 Description of Business - Additional Information HTML 60K
(Detail)
70: R60 Significant Accounting Policies - Additional HTML 100K
Information (Detail)
71: R61 Fair Value Measurements - Financial Assets HTML 91K
Liabilities Summary (Detail)
72: R62 Fair Value Measurements - Total Level 3 Financial HTML 78K
Assets (Detail)
73: R63 Trading Assets and Liabilities - Summary of HTML 66K
Trading Assets and Liabilities (Detail)
74: R64 Trading Assets and Liabilities - Gains and Losses HTML 69K
from Market Making (Detail)
75: R65 Trading Cash Instruments - Cash Instruments by HTML 157K
Level (Detail)
76: R66 Trading Cash Instruments - Fair Value, Cash HTML 113K
Instruments, Measurement Inputs, Disclosure
(Detail)
77: R67 Trading Cash Instruments - Cash Instruments, Level HTML 122K
3 Rollforward (Detail)
78: R68 Trading Cash Instruments - Additional Information HTML 72K
(Detail)
79: R69 Derivatives and Hedging Activities - Fair Value of HTML 168K
Derivatives on a Gross Basis (Detail)
80: R70 Derivatives and Hedging Activities - Additional HTML 83K
Information (Detail)
81: R71 Derivatives and Hedging Activities - Fair Value of HTML 132K
Derivatives by Level (Detail)
82: R72 Derivatives and Hedging Activities - Fair Value, HTML 173K
Derivatives, Measurement Inputs, Disclosure
(Detail)
83: R73 Derivatives and Hedging Activities - Fair Value of HTML 107K
Derivatives, Level 3 Rollforward (Detail)
84: R74 Derivatives and Hedging Activities - OTC HTML 123K
Derivatives by Product Type and Tenor (Detail)
85: R75 Derivatives and Hedging Activities - Credit HTML 119K
Derivatives (Detail)
86: R76 Derivatives and Hedging Activities - Summary of HTML 62K
Information About CVA and FVA (Detail)
87: R77 Derivatives and Hedging Activities - Bifurcated HTML 68K
Embedded Derivatives (Detail)
88: R78 Derivatives and Hedging Activities - Derivatives HTML 68K
with Credit-Related Contingent Features (Detail)
89: R79 Derivatives and Hedging Activities - Gain (Loss) HTML 69K
from Interest Rate Hedges and Related Hedged
Borrowings and Deposits (Detail)
90: R80 Derivatives and Hedging Activities - Carrying HTML 69K
Amount of Hedged Items Currently Designated in a
Hedging Relationship and Related Cumulative
Hedging Adjustment (Detail)
91: R81 Derivatives and Hedging Activities - Carrying HTML 64K
Amount of Hedged Items Currently Designated in a
Hedging Relationship and Related Cumulative
Hedging Adjustment (Parenthetical) (Detail)
92: R82 Derivatives and Hedging Activities - Gains and HTML 65K
Losses on Net Investment Hedges (Detail)
93: R83 Investments - Additional Information (Detail) HTML 87K
94: R84 Investments - Fair Value of Investments by HTML 73K
Accounting Type (Detail)
95: R85 Investments - Equity Securities At Fair Value HTML 69K
(Detail)
96: R86 Investments - Debt Securities At Fair Value HTML 64K
(Detail)
97: R87 Investments - Investments in Funds that are HTML 78K
Calculated Using Net Asset Value Per Share
(Detail)
98: R88 Investments - Securities Accounted for As HTML 83K
Available-for-Sale Included in Investments
(Detail)
99: R89 Investments - Securities Accounted for As HTML 65K
Available-for-Sale Included in Investments
(Parenthetical) (Detail)
100: R90 Investments - Cash Instruments by Level (Detail) HTML 104K
101: R91 Investments - Fair Value Measurement Inputs HTML 109K
(Detail)
102: R92 Investments - Investments, Level 3 Rollforward HTML 99K
(Detail)
103: R93 Investments - Held-to-Maturity Securities (Detail) HTML 83K
104: R94 Investments - Held-to-Maturity Securities HTML 62K
(Parenthetical) (Detail)
105: R95 Loans - Summary of Loans (Detail) HTML 119K
106: R96 Loans - Additional Information (Detail) HTML 146K
107: R97 Loans - Summary of Concentration of Secured and HTML 176K
Unsecured Loans (Detail)
108: R98 Loans - Schedule of Credit Quality Indicators for HTML 159K
Term Loans by Origination Year (Detail)
109: R99 Loans - Summary of Consumer Loans by Refreshed HTML 104K
FICO Credit Score (Detail)
110: R100 Loans - Summary of Credit Concentration by Region HTML 106K
(Detail)
111: R101 Loans - Summary of Financing receivable, past due HTML 97K
(Detail)
112: R102 Loans - Impaired Financing Receivables (Detail) HTML 75K
113: R103 Loans - Summary of Loans and Lending Commitments HTML 93K
Accounted for at Amortized Cost by Portfolio
(Detail)
114: R104 Loans - Summary of Changes in Allowance for Credit HTML 91K
Losses (Detail)
115: R105 Loans - Schedule of Forecasted Economic Scenarios HTML 69K
(Detail)
116: R106 Loans - Fair value of loans held for investment by HTML 87K
level (Detail)
117: R107 Loans - Summary of Weighted Average of Significant HTML 100K
Unobservable Inputs (Detail)
118: R108 Loans - Loans, Level 3 Rollforward (Detail) HTML 99K
119: R109 Loans - Summary of estimated fair value of loans HTML 82K
and lending commitments (Detail)
120: R110 Fair Value Option - Financial Assets and Financial HTML 94K
Liabilities by Level (Detail)
121: R111 Fair Value Option - Level 3 Rollforward (Detail) HTML 105K
122: R112 Fair Value Option - Additional Information HTML 113K
(Detail)
123: R113 Fair Value Option - Gains and Losses on Other HTML 67K
Financial Assets and Financial Liabilities at Fair
Value (Detail)
124: R114 Fair Value Option - Loans and Lending Commitments HTML 64K
(Detail)
125: R115 Fair Value Option - Summary of DVA Losses on HTML 63K
Financial Liabilities (Detail)
126: R116 Collateralized Agreements and Financings - Resale HTML 61K
and Repurchase Agreements and Securities Borrowed
and Loaned Transactions (Parenthetical) (Detail)
127: R117 Collateralized Agreements and Financings - HTML 121K
Offsetting Arrangements (Detail)
128: R118 Collateralized Agreements and Financings - HTML 83K
Schedule of Gross Carrying Value of Repurchase
Agreements and Securities Loaned (Detail)
129: R119 Collateralized Agreements and Financings - HTML 75K
Schedule of Repurchase Agreements and Securities
Loaned (Detail)
130: R120 Collateralized Agreements and Financings - Other HTML 79K
Secured Financings (Detail)
131: R121 Collateralized Agreements and Financings - Other HTML 75K
Secured Financings (Parenthetical) (Detail)
132: R122 Collateralized Agreements and Financings - Other HTML 81K
Secured Financings by Maturity Date (Detail)
133: R123 Collateralized Agreements and Financings - HTML 62K
Financial Instruments Received as Collateral and
Repledged (Detail)
134: R124 Collateralized Agreements and Financings - HTML 59K
Financial Instruments Received as Collateral and
Repledged (Parenthetical) (Detail)
135: R125 Collateralized Agreements and Financings - Assets HTML 71K
pledged as collateral (Detail)
136: R126 Other Assets - Other Assets (Detail) HTML 72K
137: R127 Other Assets - Other Assets (Parenthetical) HTML 76K
(Detail)
138: R128 Other Assets - Goodwill and Intangible Assets HTML 77K
(Detail)
139: R129 Other Assets - Intangible Assets Disclosure HTML 69K
(Detail)
140: R130 Other Assets - Intangible Assets Disclosure - HTML 62K
Additional Information (Detail)
141: R131 Other Assets - Amortization Expense (Detail) HTML 60K
142: R132 Other Assets - Estimated Future Amortization for HTML 71K
Existing Identifiable Intangible Assets Through
2026 (Detail)
143: R133 Deposits - Types and Sources of the Firm's HTML 79K
Deposits (Detail)
144: R134 Deposits - Types and Sources of the Firm's HTML 66K
Deposits (Parenthetical) (Detail)
145: R135 Deposits - Deposits (Detail) HTML 63K
146: R136 Deposits - Maturities of Time Deposits (Detail) HTML 82K
147: R137 Deposits - Maturities of Time Deposits HTML 61K
(Parenthetical) (Detail)
148: R138 Unsecured Borrowings - Schedule of Short Term and HTML 65K
Long Term Unsecured Borrowings (Detail)
149: R139 Unsecured Borrowings - Unsecured Short-Term HTML 70K
Borrowings (Detail)
150: R140 Unsecured Borrowings - Unsecured Long-Term HTML 68K
Borrowings (Detail)
151: R141 Unsecured Borrowings - Unsecured Long-Term HTML 71K
Borrowings (Parenthetical) (Detail)
152: R142 Unsecured Borrowings - Unsecured Long-Term HTML 77K
Borrowings by Maturity Date (Detail)
153: R143 Unsecured Borrowings - Unsecured Long-Term HTML 71K
Borrowings by Maturity Date (Parenthetical)
(Detail)
154: R144 Unsecured Borrowings - Additional Information HTML 91K
(Detail)
155: R145 Unsecured Borrowings - Unsecured Long-Term HTML 67K
Borrowings after Hedging (Detail)
156: R146 Unsecured Borrowings - Unsecured Long-Term HTML 63K
Borrowings after Hedging (Parenthetical) (Detail)
157: R147 Unsecured Borrowings - Subordinated Borrowings HTML 79K
(Detail)
158: R148 Other Liabilities - Other Liabilities by Type HTML 71K
(Detail)
159: R149 Other Liabilities - Information About Operating HTML 81K
Lease Liabilities (Detail)
160: R150 Other Liabilities - Additional Information HTML 61K
(Detail)
161: R151 Securitization Activities - Amount of Financial HTML 66K
Assets Securitized and Cash Flows Received on
Retained Interests (Detail)
162: R152 Securitization Activities - Additional Information HTML 69K
(Detail)
163: R153 Securitization Activities - Firms Continuing HTML 75K
Involvement in Securitization Entities to Which
Firm Sold Assets (Detail)
164: R154 Securitization Activities - Firms Continuing HTML 59K
Involvement in Securitization Entities to Which
Firm Sold Assets (Parenthetical) (Detail)
165: R155 Securitization Activities - Weighted Average Key HTML 80K
Economic Assumptions Used in Measuring Fair Value
of Firm's Retained Interests and Sensitivity of
This Fair Value to Immediate Adverse Changes
(Detail)
166: R156 Variable Interest Entities - Nonconsolidated HTML 116K
Variable Interest Entities (Detail)
167: R157 Variable Interest Entities - Consolidated Variable HTML 117K
Interest Entities (Detail)
168: R158 Commitments, Contingencies and Guarantees - HTML 109K
Commitments (Detail)
169: R159 Commitments, Contingencies and Guarantees - HTML 64K
Lending Commitments (Detail)
170: R160 Commitments, Contingencies and Guarantees - HTML 112K
Additional Information (Detail)
171: R161 Commitments, Contingencies and Guarantees - HTML 82K
Guarantees (Detail)
172: R162 Commitments, Contingencies and Guarantees - HTML 63K
Guarantees (Parenthetical) (Detail)
173: R163 Shareholders' Equity - Additional Information HTML 173K
(Detail)
174: R164 Shareholders' Equity - Summary of Amount of Common HTML 64K
Stock Repurchased by the Firm (Detail)
175: R165 Shareholders' Equity - Dividends Declared on HTML 59K
Common Stock (Detail)
176: R166 Shareholders' Equity - Summary of Perpetual HTML 128K
Preferred Stock Issued and Outstanding (Detail)
177: R167 Shareholders' Equity - Summary of Perpetual HTML 85K
Preferred Stock Issued and Outstanding
(Parenthetical) (Detail)
178: R168 Shareholders' Equity - Summary of Preferred HTML 91K
Dividends Declared on Preferred Stock Issued
(Detail)
179: R169 Shareholders' Equity - Accumulated Other HTML 81K
Comprehensive Income/(Loss), Net of Tax (Detail)
180: R170 Regulation and Capital Adequacy - Risk-based HTML 73K
Capital and Leverage Requirements (Detail)
181: R171 Regulation and Capital Adequacy - Risk-based HTML 89K
Capital Ratios (Detail)
182: R172 Regulation and Capital Adequacy - Risk-based HTML 63K
Capital Ratios (Parenthetical) (Detail)
183: R173 Regulation and Capital Adequacy - Leverage Ratios HTML 77K
(Detail)
184: R174 Regulation and Capital Adequacy - Additional HTML 108K
Information (Detail)
185: R175 Regulation and Capital Adequacy - Risk-based HTML 98K
Capital (Detail)
186: R176 Regulation and Capital Adequacy - Risk-based HTML 65K
Capital (Parenthetical) (Detail)
187: R177 Regulation and Capital Adequacy - CET1, Tier 1 HTML 103K
Capital and Tier 2 Capital (Detail)
188: R178 Regulation and Capital Adequacy - Risk-weighted HTML 104K
Assets (Detail)
189: R179 Regulation and Capital Adequacy - Changes in HTML 103K
Risk-weighted Assets (Detail)
190: R180 Regulation and Capital Adequacy - Risk-based HTML 79K
Capital and Leverage Ratios and "Well-capitalized"
Requirements (Detail)
191: R181 Earnings Per Common Share - Earnings Per Common HTML 83K
Share (Detail)
192: R182 Earnings Per Common Share - Additional Information HTML 62K
(Detail)
193: R183 Transactions with Affiliated Funds - Fees Earned HTML 59K
from Affiliated Funds (Detail)
194: R184 Transactions with Affiliated Funds - Fees HTML 61K
Receivable from Affiliated Funds and the Aggregate
Carrying Value of the Firm's Interests in these
Funds (Detail)
195: R185 Transactions with Affiliated Funds - Additional HTML 63K
Information (Detail)
196: R186 Interest Income and Interest Expense - Interest HTML 88K
Income and Interest Expense (Detail)
197: R187 Income Taxes - Earliest Tax Years Subject to HTML 69K
Examination by Major Jurisdiction (Detail)
198: R188 Business Segments - Segment Operating Results HTML 113K
(Detail)
199: R189 Business Segments - Segment Operating Results HTML 61K
(Parenthetical) (Detail)
200: R190 Business Segments - Depreciation and Amortization HTML 68K
(Detail)
201: R191 Business Segments - Assets by Segment (Detail) HTML 70K
202: R192 Business Segments - Summary of Gross Loans by HTML 104K
Segment and Loan and Allowance for Loan Losses
(Detail)
203: R193 Business Segments - Total Net Revenues and Pre-Tax HTML 80K
Earnings By Geographic Region (Detail)
204: R194 Credit Concentrations - Credit Concentration, HTML 67K
Government and Federal Agency Obligations (Detail)
205: R195 Credit Concentrations - Additional Information HTML 63K
(Detail)
206: R196 Credit Concentrations - Credit Concentration, HTML 64K
Resale Agreements and Securities Borrowed (Detail)
207: R197 Legal Proceedings - Additional Information HTML 129K
(Detail)
209: XML IDEA XML File -- Filing Summary XML 420K
10: XML XBRL Instance -- d114194d10q_htm XML 16.67M
208: EXCEL IDEA Workbook of Financial Reports XLSX 374K
6: EX-101.CAL XBRL Calculations -- gs-20210331_cal XML 360K
7: EX-101.DEF XBRL Definitions -- gs-20210331_def XML 2.61M
8: EX-101.LAB XBRL Labels -- gs-20210331_lab XML 3.62M
9: EX-101.PRE XBRL Presentations -- gs-20210331_pre XML 3.25M
5: EX-101.SCH XBRL Schema -- gs-20210331 XSD 762K
210: JSON XBRL Instance as JSON Data -- MetaLinks 950± 1.47M
211: ZIP XBRL Zipped Folder -- 0001193125-21-148444-xbrl Zip 868K
| Form 10-Q |
i ☒ |
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 | |||
For the quarterly period ended i March 31, i 2021 / | ||||
| or | ||||
i ☐ |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 | |||
| For the transition period from | to | |||
| i Delaware | i 13-4019460 | |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) | |
| i 200 West Street, i New York, N.Y. | i 10282 | |
| (Address of principal executive offices) | (Zip Code) | |
| Title of each class | Trading Symbol |
Exchange on which registered | ||
i Common stock, par value $.01 per share |
i GS | i NYSE | ||
i Depositary Shares, Each Representing 1/1,000th Interest in a Share of Floating Rate Non-Cumulative Preferred Stock, Series A |
i GS PrA | i NYSE | ||
i Depositary Shares, Each Representing 1/1,000th Interest in a Share of Floating Rate Non-Cumulative Preferred Stock, Series C |
i GS PrC | i NYSE | ||
i Depositary Shares, Each Representing 1/1,000th Interest in a Share of Floating Rate Non-Cumulative Preferred Stock, Series D |
i GS PrD | i NYSE | ||
i Depositary Shares, Each Representing 1/1,000th Interest in a Share of 5.50% Fixed-to-Floating Non-Cumulative Preferred Stock, Series J |
i GS PrJ | i NYSE | ||
i Depositary Shares, Each Representing 1/1,000th Interest in a Share of 6.375% Fixed-to-Floating Non-Cumulative Preferred Stock, Series K |
i GS PrK | i NYSE | ||
i Depositary Shares, Each Representing 1/1,000th Interest in a Share of 6.30% Non-Cumulative Preferred Stock, Series N |
i GS PrN | i NYSE | ||
5.793% Fixed-to-Floating |
i GS/43PE | i NYSE | ||
Floating Rate i Normal Automatic Preferred Enhanced Capital Securities of Goldman Sachs Capital III |
i GS/43PF | i NYSE | ||
i Medium-Term Notes, Series E, Index-Linked Notes due 2028 of GS Finance Corp. |
i FRLG | i NYSE Arca | ||
| i Large accelerated filer ☒ | Accelerated filer ☐ | Non-accelerated filer ☐ |
Smaller reporting company i ☐ | Emerging growth company i ☐ |
Form 10-Q Item Number |
Page No. | |||
| PART I |
||||
| |
1 | |||
| Item 1 |
||||
| |
1 | |||
| |
1 | |||
| |
1 | |||
| |
2 | |||
| |
3 | |||
| |
4 | |||
| |
5 | |||
| |
5 | |||
| |
5 | |||
| |
6 | |||
| |
11 | |||
| |
16 | |||
| |
17 | |||
| |
19 | |||
| |
29 | |||
| |
34 | |||
| |
44 | |||
| |
48 | |||
| |
52 | |||
| |
55 | |||
| |
56 | |||
| |
58 | |||
| |
59 | |||
| |
61 | |||
| |
64 | |||
| |
68 | |||
| |
71 | |||
| |
79 | |||
| |
79 | |||
| |
80 | |||
| |
80 | |||
| |
81 | |||
| |
84 | |||
| |
84 | |||
Page No. | ||||
| |
93 | |||
| |
94 | |||
| Item 2 |
||||
| |
96 | |||
| |
96 | |||
| |
96 | |||
| |
97 | |||
| |
97 | |||
| |
99 | |||
| |
100 | |||
| |
100 | |||
| |
115 | |||
| |
118 | |||
| |
123 | |||
| |
126 | |||
| |
127 | |||
| |
127 | |||
| |
133 | |||
| |
139 | |||
| |
143 | |||
| |
152 | |||
| |
153 | |||
| |
154 | |||
| |
155 | |||
| Item 3 |
||||
| |
158 | |||
| Item 4 |
||||
| |
158 | |||
| PART II |
||||
| |
158 | |||
| Item 1 |
||||
| |
158 | |||
| Item 2 |
||||
| |
158 | |||
| Item 6 |
||||
| |
159 | |||
| |
159 | |||
| Goldman Sachs March 2021 Form 10-Q | ||
Three Months Ended March |
||||||||
in millions, except per share amounts |
2021 |
2020 | ||||||
Revenues |
||||||||
Investment banking |
$ i 3,566 |
$ i 1,742 | ||||||
Investment management |
i 1,796 |
i 1,768 | ||||||
Commissions and fees |
i 1,073 |
i 1,020 | ||||||
Market making |
i 5,893 |
i 3,682 | ||||||
Other principal transactions |
i 3,894 |
( i 782 | ) | |||||
Total non-interest revenues |
i 16,222 |
i 7,430 | ||||||
Interest income |
i 3,054 |
i 4,750 | ||||||
Interest expense |
i 1,572 |
i 3,437 | ||||||
Net interest income |
i 1,482 |
i 1,313 | ||||||
Total net revenues |
i 17,704 |
i 8,743 | ||||||
Provision for credit losses |
( i 70 |
) |
i 937 | |||||
Operating expenses |
||||||||
Compensation and benefits |
i 6,043 |
i 3,235 | ||||||
Transaction based |
i 1,256 |
i 1,030 | ||||||
Market development |
i 80 |
i 153 | ||||||
Communications and technology |
i 375 |
i 321 | ||||||
Depreciation and amortization |
i 498 |
i 437 | ||||||
Occupancy |
i 247 |
i 238 | ||||||
Professional fees |
i 360 |
i 347 | ||||||
Other expenses |
i 578 |
i 697 | ||||||
Total operating expenses |
i 9,437 |
i 6,458 | ||||||
Pre-tax earnings |
i 8,337 |
i 1,348 | ||||||
Provision for taxes |
i 1,501 |
i 135 | ||||||
Net earnings |
i 6,836 |
i 1,213 | ||||||
Preferred stock dividends |
i 125 |
i 90 | ||||||
Net earnings applicable to common shareholders |
$ i 6,711 |
$ i 1,123 | ||||||
Earnings per common share |
||||||||
Basic |
$ i 18.80 |
$ i 3.12 | ||||||
Diluted |
$ i 18.60 |
$ i 3.11 | ||||||
Average common shares |
||||||||
Basic |
i 356.6 |
i 358.0 | ||||||
Diluted |
i 360.9 |
i 361.1 | ||||||
Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Net earnings |
$ i 6,836 |
$ i 1,213 | ||||||
Other comprehensive income/(loss) adjustments, net of tax: |
||||||||
Currency translation |
i – |
( i 17 | ) | |||||
Debt valuation adjustment |
( i 19 |
) |
i 2,914 | |||||
Pension and postretirement liabilities |
i 7 |
i 7 | ||||||
Available-for-sale |
( i 628 |
) |
i 517 | |||||
Other comprehensive income/(loss) |
( i 640 |
) |
i 3,421 | |||||
Comprehensive income |
$ i 6,196 |
$ i 4,634 | ||||||
| 1 | Goldman Sachs March 2021 Form 10-Q |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Assets |
||||||||
Cash and cash equivalents |
$ |
$ i 155,842 | ||||||
Collateralized agreements: |
||||||||
Securities purchased under agreements to resell (at fair value) |
i 146,084 |
i 108,060 | ||||||
Securities borrowed (includes $ i 31,554 |
i 178,245 |
i 142,160 | ||||||
Customer and other receivables (includes $ i 49 |
i 164,658 |
i 121,331 | ||||||
Trading assets (at fair value and includes $ i 62,415 i 69,031
pledged as collateral) |
i 374,218 |
i 393,630 | ||||||
Investments (includes $ i 82,364 $ i 15,800 |
i 88,016 |
i 88,445 | ||||||
Loans (net of allowance of $ i 3,515 $ i 13,482 |
i 121,261 |
i 116,115 | ||||||
Other assets |
i 37,911 |
i 37,445 | ||||||
Total assets |
$ i 1,301,548 |
$ i 1,163,028 | ||||||
Liabilities and shareholders’ equity |
||||||||
Deposits (includes $ i 32,229 |
$ |
$ i 259,962 | ||||||
Collateralized financings: |
||||||||
Securities sold under agreements to repurchase (at fair value) |
i 130,607 |
i 126,571 | ||||||
Securities loaned (includes $ i 3,678 |
i 34,345 |
i 21,621 | ||||||
Other secured financings (includes $ i 26,197 |
i 27,668 |
i 25,755 | ||||||
Customer and other payables |
i 224,268 |
i 190,658 | ||||||
Trading liabilities (at fair value) |
i 200,807 |
i 153,727 | ||||||
Unsecured short-term borrowings (includes $ i 30,485 |
i 58,463 |
i 52,870 | ||||||
Unsecured long-term borrowings (includes $ i 39,902 |
i 219,044 |
i 213,481 | ||||||
Other liabilities (includes $ i 160 |
i 22,664 |
i 22,451 | ||||||
Total liabilities |
i 1,203,884 |
i 1,067,096 | ||||||
Commitments, contingencies and guarantees |
i | i | ||||||
Shareholders’ equity |
||||||||
Preferred stock; aggregate liquidation preference of $ i 9,203 |
i 9,203 |
i 11,203 | ||||||
Common stock; i 906,270,681 i 340,018,220 |
i 9 |
i 9 | ||||||
Share-based awards |
i 3,608 |
i 3,468 | ||||||
Nonvoting common stock; no shares issued and outstanding |
i – |
i – | ||||||
Additional paid-in capital |
i 56,340 |
i 55,679 | ||||||
Retained earnings |
i 119,210 |
i 112,947 | ||||||
Accumulated other comprehensive loss |
( i 2,074 |
) |
( i 1,434 | ) | ||||
Stock held in treasury, at cost; i 566,252,463 |
( i 88,632 |
) |
( i 85,940 | ) | ||||
Total shareholders’ equity |
i 97,664 |
i 95,932 | ||||||
Total liabilities and shareholders’ equity |
$ i 1,301,548 |
$ i 1,163,028 | ||||||
| Goldman Sachs March 2021 Form 10-Q | 2 |
Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Preferred stock |
||||||||
Beginning balance |
$ i 11,203 |
$ i 11,203 | ||||||
Issued |
i – |
i 350 | ||||||
Redeemed |
( i 2,000 |
) |
( i 350 | ) | ||||
Ending balance |
i 9,203 |
i 11,203 | ||||||
Common stock |
||||||||
Beginning balance |
i 9 |
i 9 | ||||||
Issued |
i – |
i – | ||||||
Ending balance |
i 9 |
i 9 | ||||||
Share-based awards |
||||||||
Beginning balance |
i 3,468 |
i 3,195 | ||||||
Issuance and amortization of share-based awards |
i 1,759 |
i 1,397 | ||||||
Delivery of common stock underlying share-based awards |
( i 1,597 |
) |
( i 1,547 | ) | ||||
Forfeiture of share-based awards |
( i 22 |
) |
( i 8 | ) | ||||
Ending balance |
i 3,608 |
i 3,037 | ||||||
Additional paid-in capital |
||||||||
Beginning balance |
i 55,679 |
i 54,883 | ||||||
Delivery of common stock underlying share-based awards |
i 1,590 |
i 1,541 | ||||||
Cancellation of share-based awards in satisfaction of withholding tax requirements |
( i 937 |
) |
( i 803 | ) | ||||
Issuance costs of redeemed preferred stock |
i 7 |
i – | ||||||
Other |
i 1 |
i – | ||||||
Ending balance |
i 56,340 |
i 55,621 | ||||||
Retained earnings |
||||||||
Beginning balance, as previously reported |
i 112,947 |
i 106,465 | ||||||
Cumulative effect of change in accounting principle for current expected credit losses, net of tax |
i – |
( i 638 | ) | |||||
Beginning balance, adjusted |
i 112,947 |
i 105,827 | ||||||
Net earnings |
i 6,836 |
i 1,213 | ||||||
Dividends and dividend equivalents declared on common stock and share-based awards |
( i 448 |
) |
( i 449 | ) | ||||
Dividends declared on preferred stock |
( i 104 |
) |
( i 89 | ) | ||||
Preferred stock redemption premium |
( i 21 |
) |
( i 1 | ) | ||||
Ending balance |
i 119,210 |
i 106,501 | ||||||
Accumulated other comprehensive income/(loss) |
||||||||
Beginning balance |
( i 1,434 |
) |
( i 1,484 | ) | ||||
Other comprehensive income/(loss) |
( i 640 |
) |
i 3,421 | |||||
Ending balance |
( i 2,074 |
) |
i 1,937 | |||||
Stock held in treasury, at cost |
||||||||
Beginning balance |
( i 85,940 |
) |
( i 84,006 | ) | ||||
Repurchased |
( i 2,700 |
) |
( i 1,928 | ) | ||||
Reissued |
i 10 |
i 10 | ||||||
Other |
( i 2 |
) |
( i 5 | ) | ||||
Ending balance |
( i 88,632 |
) |
( i 85,929 | ) | ||||
Total shareholders’ equity |
$ i 97,664 |
$ i 92,379 | ||||||
| 3 | Goldman Sachs March 2021 Form 10-Q |
Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Cash flows from operating activities |
||||||||
Net earnings |
$ i 6,836 |
$ i 1,213 | ||||||
Adjustments to reconcile net earnings to net cash used for operating activities: |
||||||||
Depreciation and amortization |
i 498 |
i 437 | ||||||
Share-based compensation |
i 1,759 |
i 1,395 | ||||||
Gain related to extinguishment of unsecured borrowings |
i – |
( i 1 | ) | |||||
Provision for credit losses |
( i 70 |
) |
i 937 | |||||
Changes in operating assets and liabilities: |
||||||||
Customer and other receivables and payables, net |
( i 9,722 |
) |
( i 7,961 | ) | ||||
Collateralized transactions (excluding other secured financings), net |
( i 57,349 |
) |
( i 55,249 | ) | ||||
Trading assets |
i 15,373 |
( i 20,580 | ) | |||||
Trading liabilities |
i 46,777 |
i 27,523 | ||||||
Loans held for sale, net |
( i 656 |
) |
i 2,624 | |||||
Other, net |
( i 8,629 |
) |
( i 3,369 | ) | ||||
Net cash used for operating activities |
( i 5,183 |
) |
( i 53,031 | ) | ||||
Cash flows from investing activities |
||||||||
Purchase of property, leasehold improvements and equipment |
( i 1,312 |
) |
( i 2,843 | ) | ||||
Proceeds from sales of property, leasehold improvements and equipment |
i 192 |
i 397 | ||||||
Purchase of investments |
( i 12,848 |
) |
( i 10,214 | ) | ||||
Proceeds from sales and paydowns of investments |
i 15,319 |
i 3,889 | ||||||
Loans (excluding loans held for sale), net |
( i 3,838 |
) |
( i 23,565 | ) | ||||
Net cash used for investing activities |
( i 2,487 |
) |
( i 32,336 | ) | ||||
Cash flows from financing activities |
||||||||
Unsecured short-term borrowings, net |
i 3,788 |
i 2,915 | ||||||
Other secured financings (short-term), net |
i 2,555 |
i 16,307 | ||||||
Proceeds from issuance of other secured financings (long-term) |
i 1,695 |
i 2,969 | ||||||
Repayment of other secured financings (long-term), including the current portion |
( i 727 |
) |
( i 445 | ) | ||||
Purchase of Trust Preferred securities |
i – |
( i 11 | ) | |||||
Proceeds from issuance of unsecured long-term borrowings |
i 26,426 |
i 26,506 | ||||||
Repayment of unsecured long-term borrowings, including the current portion |
( i 11,764 |
) |
( i 16,175 | ) | ||||
Derivative contracts with a financing element, net |
i 303 |
i 134 | ||||||
Deposits, net |
i 26,522 |
i 28,381 | ||||||
Preferred stock redemption |
( i 2,000 |
) |
( i 350 | ) | ||||
Common stock repurchased |
( i 2,700 |
) |
( i 1,928 | ) | ||||
Settlement of share-based awards in satisfaction of withholding tax requirements |
( i 938 |
) |
( i 804 | ) | ||||
Dividends and dividend equivalents paid on common stock, preferred stock and share-based awards |
( i 551 |
) |
( i 538 | ) | ||||
Proceeds from issuance of preferred stock, net of issuance costs |
i – |
i 349 | ||||||
Other financing, net |
i 374 |
i – | ||||||
Net cash provided by financing activities |
i 42,983 |
i 57,310 | ||||||
Net increase/(decrease) in cash and cash equivalents |
i 35,313 |
( i 28,057 | ) | |||||
Cash and cash equivalents, beginning balance |
i 155,842 |
i 133,546 | ||||||
Cash and cash equivalents, ending balance |
$ i 191,155 |
$ i 105,489 | ||||||
Supplemental disclosures: |
||||||||
Cash payments for interest, net of capitalized interest |
$ i 1,896 |
$ i 4,041 | ||||||
Cash payments for income taxes, net |
$ |
$ i 474 | ||||||
| Goldman Sachs March 2021 Form 10-Q | 4 |
| 5 | Goldman Sachs March 2021 Form 10-Q |
| Fair Value Measurements |
Note 4 | |||
| Trading Assets and Liabilities |
Note 5 | |||
| Trading Cash Instruments |
Note 6 | |||
| Derivatives and Hedging Activities |
Note 7 | |||
| Investments |
Note 8 | |||
| Loans |
Note 9 | |||
| Fair Value Option |
Note 10 | |||
| Collateralized Agreements and Financings |
Note 11 | |||
| Other Assets |
Note 12 | |||
| Deposits |
Note 13 | |||
| Unsecured Borrowings |
Note 14 | |||
| Other Liabilities |
Note 15 | |||
| Securitization Activities |
Note 16 | |||
| Variable Interest Entities |
Note 17 | |||
| Commitments, Contingencies and Guarantees |
Note 18 | |||
| Shareholders’ Equity |
Note 19 | |||
| Regulation and Capital Adequacy |
Note 20 | |||
| Earnings Per Common Share |
Note 21 | |||
| Transactions with Affiliated Funds |
Note 22 | |||
| Interest Income and Interest Expense |
Note 23 | |||
| Income Taxes |
Note 24 | |||
| Business Segments |
Note 25 | |||
| Credit Concentrations |
Note 26 | |||
| Legal Proceedings |
Note 27 | |||
| Goldman Sachs March 2021 Form 10-Q | 6 |
| 7 | Goldman Sachs March 2021 Form 10-Q |
| Goldman Sachs March 2021 Form 10-Q | 8 |
| 9 | Goldman Sachs March 2021 Form 10-Q |
| Goldman Sachs March 2021 Form 10-Q | 10 |
| 11 | Goldman Sachs March 2021 Form 10-Q |
| • | Market yields implied by transactions of similar or related assets and/or current levels and changes in market indices, such as the CMBX (an index that tracks the performance of commercial mortgage bonds); |
| • | Transaction prices in both the underlying collateral and instruments with the same or similar underlying collateral; |
| • | A measure of expected future cash flows in a default scenario (recovery rates) implied by the value of the underlying collateral, which is mainly driven by current performance of the underlying collateral and capitalization rates. Recovery rates are expressed as a percentage of notional or face value of the instrument and reflect the benefit of credit enhancements on certain instruments; and |
| • | Timing of expected future cash flows (duration) which, in certain cases, may incorporate the impact of any loan forbearances and other unobservable inputs (e.g., prepayment speeds). |
| • | Market yields implied by transactions of similar or related assets; |
| • | Transaction prices in both the underlying collateral and instruments with the same or similar underlying collateral; |
| • | Cumulative loss expectations, driven by default rates, home price projections, residential property liquidation timelines, related costs and subsequent recoveries; and |
| • | Duration, driven by underlying loan prepayment speeds and residential property liquidation timelines. |
| Goldman Sachs March 2021 Form 10-Q | 12 |
| • | Market yields implied by transactions of similar or related assets and/or current levels and trends of market indices, such as the CDX (an index that tracks the performance of corporate credit); |
| • | Current performance and recovery assumptions and, where the firm uses credit default swaps to value the related instrument, the cost of borrowing the underlying reference obligation; |
| • | Duration; and |
| • | Market and transaction multiples for corporate debt instruments with convertibility or participation options. |
| • | Industry multiples (primarily EBITDA and revenue multiples) and public comparables; |
| • | Transactions in similar instruments; |
| • | Discounted cash flow techniques; and |
| • | Third-party appraisals. |
| • | Market and transaction multiples; |
| • | Discount rates and capitalization rates; and |
| • | For equity securities with debt-like features, market yields implied by transactions of similar or related assets, current performance and recovery assumptions, and duration. |
| • | Market yields implied by transactions of similar or related assets and/or current levels and trends of market indices; |
| • | Current performance and recovery assumptions and, where the firm uses credit default swaps to value the related instrument, the cost of borrowing the underlying reference obligation; and |
| • | Duration. |
| • | Interest Rate. 10-year swap rate vs. 2-year swap rate) are more complex, but the key inputs are generally observable. |
| • | Credit. |
| 13 | Goldman Sachs March 2021 Form 10-Q |
| • | Currency. |
| • | Commodity. |
| • | Equity. |
| • | For level 3 interest rate and currency derivatives, significant unobservable inputs include correlations of certain currencies and interest rates (e.g., the correlation between Euro inflation and Euro interest rates) and specific interest rate and currency volatilities. |
| • | For level 3 credit derivatives, significant unobservable inputs include illiquid credit spreads and upfront credit points, which are unique to specific reference obligations and reference entities, and recovery rates. |
| • | For level 3 commodity derivatives, significant unobservable inputs include volatilities for options with strike prices that differ significantly from current market prices and prices or spreads for certain products for which the product quality or physical location of the commodity is not aligned with benchmark indices. |
| • | For level 3 equity derivatives, significant unobservable inputs generally include equity volatility inputs for options that are long-dated and/or have strike prices that differ significantly from current market prices. In addition, the valuation of certain structured trades requires the use of level 3 correlation inputs, such as the correlation of the price performance of two or more individual stocks or the correlation of the price performance for a basket of stocks to another asset class, such as commodities. |
| Goldman Sachs March 2021 Form 10-Q | 14 |
| 15 | Goldman Sachs March 2021 Form 10-Q |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Total level 1 financial assets |
$ i 253,650 |
$ i 263,999 | ||||||
Total level 2 financial assets |
i 428,190 |
i 410,275 | ||||||
Total level 3 financial assets |
i 26,893 |
i 26,305 | ||||||
Investments in funds at NAV |
i 3,758 |
i 3,664 | ||||||
Counterparty and cash collateral netting |
( i 64,740 |
) |
( i 77,170 | ) | ||||
Total financial assets at fair value |
$ i 647,751 |
$ i 627,073 | ||||||
Total assets |
$ i 1,301,548 |
$ i 1,163,028 | ||||||
Total level 3 financial assets divided by: |
||||||||
Total assets |
i 2.1% |
i 2.3% | ||||||
Total financial assets at fair value |
i 4.2% |
i 4.2% | ||||||
Total level 1 financial liabilities |
$ i 133,542 |
$ i 85,120 | ||||||
Total level 2 financial liabilities |
i 350,494 |
i 331,824 | ||||||
Total level 3 financial liabilities |
i 33,192 |
i 32,930 | ||||||
Counterparty and cash collateral netting |
( i 53,163 |
) |
( i 60,297 | ) | ||||
Total financial liabilities at fair value |
$ i 464,065 |
$ i 389,577 | ||||||
Total liabilities |
$ i 1,203,884 |
$ i 1,067,096 | ||||||
Total level 3 financial liabilities divided by: |
||||||||
Total liabilities |
i 2.8% |
i 3.1% | ||||||
Total financial liabilities at fair value |
i 7.2% |
i 8.5% | ||||||
| • | Counterparty netting among positions classified in the same level is included in that level. |
| • | Counterparty and cash collateral netting represents the impact on derivatives of netting across levels. |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Trading assets: |
||||||||
Trading cash instruments |
$ |
$ i 1,237 | ||||||
Derivatives |
i 5,940 |
i 5,967 | ||||||
Investments |
i 17,049 |
i 16,423 | ||||||
Loans |
i 2,531 |
i 2,678 | ||||||
Total |
$ |
$ i 26,305 | ||||||
$ in millions |
Trading Assets |
|
Trading Liabilities |
| ||||
As of March 2021 |
||||||||
Trading cash instruments |
$ i 304,675 |
$ i 150,585 |
||||||
Derivatives |
i 69,543 |
i 50,222 |
||||||
Total |
$ i 374,218 |
$ i 200,807 |
||||||
As of December 2020 |
||||||||
Trading cash instruments |
$ i 324,049 | $ i 95,136 | ||||||
Derivatives |
i 69,581 | i 58,591 | ||||||
Total |
$ i 393,630 | $ i 153,727 | ||||||
Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Interest rates |
$ ( i 1,243 |
) |
$ |
|||||
Credit |
i 852 |
i 1,842 | ||||||
Currencies |
i 2,850 |
( i 735 | ) | |||||
Equities |
i 2,778 |
i 1,700 | ||||||
Commodities |
i 656 |
i 138 | ||||||
Total |
$ i 5,893 |
$ i 3,682 | ||||||
| • | Gains/(losses) include both realized and unrealized gains and losses. Gains/(losses) exclude related interest income and interest expense. See Note 23 for further information about interest income and interest expense. |
| • | Gains and losses included in market making are primarily related to the firm’s trading assets and liabilities, including both derivative and non-derivative financial instruments. |
| • | Gains/(losses) are not representative of the manner in which the firm manages its business activities because many of the firm’s market-making and client facilitation strategies utilize financial instruments across various product types. Accordingly, gains or losses in one product type frequently offset gains or losses in other product types. For example, most of the firm’s longer-term derivatives across product types are sensitive to changes in interest rates and may be economically hedged with interest rate swaps. Similarly, a significant portion of the firm’s trading cash instruments and derivatives across product types has exposure to foreign currencies and may be economically hedged with foreign currency contracts. |
| Goldman Sachs March 2021 Form 10-Q | 16 |
$ in millions |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| As of March 2021 |
||||||||||||||||
| Assets |
||||||||||||||||
| Government and agency obligations: |
|
|||||||||||||||
| U.S. |
$ i 66,374 |
$ i 27,233 |
$ – |
$ i 93,607 |
||||||||||||
| Non-U.S. |
i 53,647 |
i 14,906 |
i 19 |
i 68,572 |
||||||||||||
| Loans and securities backed by: |
||||||||||||||||
| Commercial real estate |
– |
i 736 |
i 115 |
i 851 |
||||||||||||
| Residential real estate |
– |
i 8,619 |
i 204 |
i 8,823 |
||||||||||||
| Corporate debt instruments |
i 488 |
i 33,134 |
i 918 |
i 34,540 |
||||||||||||
| State and municipal obligations |
– |
i 216 |
– |
i 216 |
||||||||||||
| Other debt obligations |
i 202 |
i 1,830 |
i 45 |
i 2,077 |
||||||||||||
| Equity securities |
i 86,325 |
i 2,784 |
i 72 |
i 89,181 |
||||||||||||
| Commodities |
– |
i 6,808 |
– |
i 6,808 |
||||||||||||
| Total |
$ i 207,036 |
$ i 96,266 |
$ i 1,373 |
$ i 304,675 |
||||||||||||
| Liabilities |
||||||||||||||||
| Government and agency obligations: |
|
|||||||||||||||
| U.S. |
$ ( i 20,825 |
) |
$ |
) |
$ – |
$ ( i 20,836 |
) | |||||||||
| Non-U.S. |
( i 31,972 |
) |
( i 2,632 |
) |
– |
( i 34,604 |
) | |||||||||
| Loans and securities backed by: |
||||||||||||||||
| Commercial real estate |
– |
( i 23 |
) |
( i 4 |
) |
( i 27 |
) | |||||||||
| Residential real estate |
– |
( i 45 |
) |
– |
( i 45 |
) | ||||||||||
| Corporate debt instruments |
( i 67 |
) |
( i 13,782 |
) |
( i 71 |
) |
( i 13,920 |
) | ||||||||
| Other debt obligations |
– |
– |
( i 1 |
) |
( i 1 |
) | ||||||||||
| Equity securities |
( i 80,610 |
) |
( i 503 |
) |
( i 30 |
) |
( i 81,143 |
) | ||||||||
| Commodities |
– |
( i 9 |
) |
– |
( i 9 |
) | ||||||||||
| Total |
$( i 133,474 |
) |
$ |
) |
$ |
) |
$( i 150,585 |
) | ||||||||
| As of December 2020 |
||||||||||||||||
| Assets |
||||||||||||||||
| Government and agency obligations: |
|
|||||||||||||||
| U.S. |
$ |
$ i 44,863 | $ |
$ |
||||||||||||
| Non-U.S. |
i 46,147 | i 11,261 | i 15 | i 57,423 | ||||||||||||
| Loans and securities backed by: |
||||||||||||||||
| Commercial real estate |
– | i 597 | i 203 | i 800 | ||||||||||||
| Residential real estate |
– | i 6,948 | i 131 | i 7,079 | ||||||||||||
| Corporate debt instruments |
i 915 | i 29,639 | i 797 | i 31,351 | ||||||||||||
| State and municipal obligations |
– | i 200 | – | i 200 | ||||||||||||
| Other debt obligations |
i 338 | i 1,055 | i 19 | i 1,412 | ||||||||||||
| Equity securities |
i 75,300 | i 2,505 | i 72 | i 77,877 | ||||||||||||
| Commodities |
– | i 9,374 | – | i 9,374 | ||||||||||||
| Total |
$ |
$ i 106,442 | $ i 1,237 | $ |
||||||||||||
| Liabilities |
||||||||||||||||
| Government and agency obligations: |
|
|||||||||||||||
| U.S. |
$ |
) | $ ( i 13 | ) | $ |
$ |
) | |||||||||
| Non-U.S. |
( i 22,092 | ) | ( i 1,792 | ) | – | ( i 23,884 | ) | |||||||||
| Loans and securities backed by: |
||||||||||||||||
| Commercial real estate |
– | ( i 17 | ) | ( i 1 | ) | ( i 18 | ) | |||||||||
| Residential real estate |
– | ( i 1 | ) | – | ( i 1 | ) | ||||||||||
| Corporate debt instruments |
( i 2 | ) | ( i 7,970 | ) | ( i 50 | ) | ( i 8,022 | ) | ||||||||
| State and municipal obligations |
– | ( i 5 | ) | – | ( i 5 | ) | ||||||||||
| Other debt obligations |
– | – | ( i 2 | ) | ( i 2 | ) | ||||||||||
| Equity securities |
( i 45,734 | ) | ( i 550 | ) | ( i 27 | ) | ( i 46,311 | ) | ||||||||
| Total |
$ |
) | $ ( i 10,348 | ) | $ ( i 80 | ) | $ |
) | ||||||||
| • | Trading cash instrument assets are shown as positive amounts and trading cash instrument liabilities are shown as negative amounts. |
| • | Corporate debt instruments includes corporate loans, debt securities, convertible debentures, prepaid commodity transactions and transfers of assets accounted for as secured loans rather than purchases. |
| • | Equity securities includes public equities and exchange-traded funds. |
| • | Other debt obligations includes other asset-backed securities and money market instruments. |
As of March 2021 |
As of December 2020 | |||||||||||||||||
$ in millions |
Amount or Range |
Weighted Average |
Amount or Range |
|
Weighted Average |
| ||||||||||||
| Loans and securities backed by commercial real estate |
| |||||||||||||||||
| Level 3 assets |
$ i 115 |
$ i 203 | ||||||||||||||||
| Yield |
i 2.1% to i 23.5% |
13.5% |
i 1.7% to i 22.0% | 9.0% | ||||||||||||||
| Recovery rate |
i 13.0% to i 96.5% |
62.2% |
i 5.1% to i 94.9% | 57.7% | ||||||||||||||
| Duration (years) |
i 0.9 to i 4.9 |
i 2.6 |
i 1.1 to i 9.1 | i 5.0 | ||||||||||||||
| Loans and securities backed by residential real estate |
| |||||||||||||||||
| Level 3 assets |
$ i 204 |
$ i 131 | ||||||||||||||||
| Yield |
i 1.0% to i 34.8% |
6.9% |
i 0.6% to i 15.7% | 6.3% | ||||||||||||||
| Cumulative loss rate |
i 6.5% to i 31.0% |
16.4% |
i 3.4% to i 45.6% | 20.8% | ||||||||||||||
| Duration (years) |
i 0.4 to i 23.5 |
i 5.1 |
i 0.9 to i 16.1 | i 6.5 | ||||||||||||||
| Corporate debt instruments |
|
|||||||||||||||||
| Level 3 assets |
$ i 918 |
$ i 797 | ||||||||||||||||
| Yield |
i 0.2% to i 32.3% |
7.6% |
i 0.6% to i 30.6% | 9.5% | ||||||||||||||
| Recovery rate |
i 0.0% to i 70.3% |
55.2% |
i 0.0% to i 73.6% | 58.7% | ||||||||||||||
| Duration (years) |
i 0.2 to i 14.1 |
i 3.8 |
i 0.3 to i 25.5 | i 4.0 | ||||||||||||||
| 17 | Goldman Sachs March 2021 Form 10-Q |
| • | Ranges represent the significant unobservable inputs that were used in the valuation of each type of trading cash instrument. |
| • | Weighted averages are calculated by weighting each input by the relative fair value of the trading cash instruments. |
| • | The ranges and weighted averages of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one trading cash instrument. For example, the highest recovery rate for corporate debt instruments is appropriate for valuing a specific corporate debt instrument, but may not be appropriate for valuing any other corporate debt instrument. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 trading cash instruments. |
| • | Increases in yield, duration or cumulative loss rate used in the valuation of level 3 trading cash instruments would have resulted in a lower fair value measurement, while increases in recovery rate would have resulted in a higher fair value measurement as of both March 2021 and December 2020. Due to the distinctive nature of each level 3 trading cash instrument, the interrelationship of inputs is not necessarily uniform within each product type. |
| • | Trading cash instruments are valued using discounted cash flows. |
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Total trading cash instrument assets |
||||||||
| Beginning balance |
$ i 1,237 |
$ i 1,242 | ||||||
| Net realized gains/(losses) |
i 33 |
i 34 | ||||||
| Net unrealized gains/(losses) |
i 33 |
( i 159 | ) | |||||
| Purchases |
i 521 |
i 353 | ||||||
| Sales |
( i 307 |
) |
( i 268 | ) | ||||
| Settlements |
( i 153 |
) |
( i 153 | ) | ||||
| Transfers into level 3 |
i 224 |
i 342 | ||||||
| Transfers out of level 3 |
( i 215 |
) |
( i 157 | ) | ||||
| Ending balance |
$ i 1,373 |
$ i 1,234 | ||||||
| Total trading cash instrument liabilities |
||||||||
| Beginning balance |
$ |
) |
$ ( i 273 | ) | ||||
| Net realized gains/(losses) |
i 1 |
– | ||||||
| Net unrealized gains/(losses) |
( i 2 |
) |
i 91 | |||||
| Purchases |
i 21 |
i 26 | ||||||
| Sales |
( i 40 |
) |
( i 32 | ) | ||||
| Settlements |
i 7 |
( i 2 | ) | |||||
| Transfers into level 3 |
( i 19 |
) |
( i 13 | ) | ||||
| Transfers out of level 3 |
i 6 |
i 9 | ||||||
| Ending balance |
$ |
) |
$ ( i 194 | ) | ||||
| • | Changes in fair value are presented for all trading cash instruments that are classified in level 3 as of the end of the period. |
| • | Net unrealized gains/(losses) relates to trading cash instruments that were still held at period-end. |
| • | Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. If a trading cash instrument was transferred to level 3 during a reporting period, its entire gain or loss for the period is classified in level 3. |
| • | For level 3 trading cash instrument assets, increases are shown as positive amounts, while decreases are shown as negative amounts. For level 3 trading cash instrument liabilities, increases are shown as negative amounts, while decreases are shown as positive amounts. |
| • | Level 3 trading cash instruments are frequently economically hedged with level 1 and level 2 trading cash instruments and/or level 1, level 2 or level 3 derivatives. Accordingly, gains or losses that are classified in level 3 can be partially offset by gains or losses attributable to level 1 or level 2 trading cash instruments and/or level 1, level 2 or level 3 derivatives. As a result, gains or losses included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources. |
| Goldman Sachs March 2021 Form 10-Q | 18 |
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Loans and securities backed by commercial real estate |
||||||||
Beginning balance |
$ i 203 |
$ i 191 | ||||||
Net realized gains/(losses) |
i 1 |
i 9 | ||||||
Net unrealized gains/(losses) |
( i 5 |
) |
( i 22 | ) | ||||
Purchases |
i 17 |
i 14 | ||||||
Sales |
( i 23 |
) |
( i 6 | ) | ||||
Settlements |
( i 3 |
) |
( i 50 | ) | ||||
Transfers into level 3 |
i 10 |
i 7 | ||||||
Transfers out of level 3 |
( i 85 |
) |
( i 13 | ) | ||||
Ending balance |
$ i 115 |
$ i 130 | ||||||
Loans and securities backed by residential real estate |
||||||||
Beginning balance |
$ i 131 |
$ i 231 | ||||||
Net realized gains/(losses) |
i 5 |
i 1 | ||||||
Net unrealized gains/(losses) |
i 3 |
i 7 | ||||||
Purchases |
i 24 |
i 80 | ||||||
Sales |
( i 36 |
) |
( i 23 | ) | ||||
Settlements |
( i 12 |
) |
( i 13 | ) | ||||
Transfers into level 3 |
i 104 |
i 61 | ||||||
Transfers out of level 3 |
( i 15 |
) |
( i 93 | ) | ||||
Ending balance |
$ i 204 |
$ i 251 | ||||||
Corporate debt instruments |
||||||||
Beginning balance |
$ i 797 |
$ i 692 | ||||||
Net realized gains/(losses) |
i 26 |
i 22 | ||||||
Net unrealized gains/(losses) |
i 36 |
( i 132 | ) | |||||
Purchases |
i 440 |
i 238 | ||||||
Sales |
( i 217 |
) |
( i 214 | ) | ||||
Settlements |
( i 114 |
) |
( i 80 | ) | ||||
Transfers into level 3 |
i 60 |
i 242 | ||||||
Transfers out of level 3 |
( i 110 |
) |
( i 49 | ) | ||||
Ending balance |
$ i 918 |
$ i 719 | ||||||
Other |
||||||||
Beginning balance |
$ i 106 |
$ i 128 | ||||||
Net realized gains/(losses) |
i 1 |
i 2 | ||||||
Net unrealized gains/(losses) |
( i 1 |
) |
( i 12 | ) | ||||
Purchases |
i 40 |
i 21 | ||||||
Sales |
( i 31 |
) |
( i 25 | ) | ||||
Settlements |
( i 24 |
) |
( i 10 | ) | ||||
Transfers into level 3 |
i 50 |
i 32 | ||||||
Transfers out of level 3 |
( i 5 |
) |
( i 2 | ) | ||||
Ending balance |
$ i 136 |
$ i 134 | ||||||
| 19 | Goldman Sachs March 2021 Form 10-Q |
| • | Futures and Forwards. |
| • |
| • | Options. |
As of March 2021 |
As of December 2020 | |||||||||||||||||
$ in millions |
Derivative Assets |
Derivative Liabilities |
Derivative Assets |
|
Derivative Liabilities |
| ||||||||||||
Not accounted for as hedges |
||||||||||||||||||
Exchange-traded |
$ i 665 |
$ i 1,033 |
$ i 665 | $ i 660 | ||||||||||||||
OTC-cleared |
i 16,345 |
i 15,133 |
i 18,832 | i 16,809 | ||||||||||||||
Bilateral OTC |
i 263,495 |
i 236,837 |
i 337,998 | i 304,370 | ||||||||||||||
Total interest rates |
i 280,505 |
i 253,003 |
i 357,495 | i 321,839 | ||||||||||||||
OTC-cleared |
i 4,855 |
i 5,415 |
i 4,137 | i 4,517 | ||||||||||||||
Bilateral OTC |
i 12,928 |
i 11,567 |
i 12,418 | i 11,551 | ||||||||||||||
Total credit |
i 17,783 |
i 16,982 |
i 16,555 | i 16,068 | ||||||||||||||
Exchange-traded |
i 679 |
i 12 |
i 133 | i 22 | ||||||||||||||
OTC-cleared |
i 372 |
i 431 |
i 401 | i 631 | ||||||||||||||
Bilateral OTC |
i 99,120 |
i 93,137 |
i 101,830 | i 102,676 | ||||||||||||||
Total currencies |
i 100,171 |
i 93,580 |
i 102,364 | i 103,329 | ||||||||||||||
Exchange-traded |
i 5,670 |
i 5,586 |
i 4,476 | i 4,177 | ||||||||||||||
OTC-cleared |
i 255 |
i 227 |
i 195 | i 187 | ||||||||||||||
Bilateral OTC |
i 10,663 |
i 13,244 |
i 9,320 | i 13,691 | ||||||||||||||
Total commodities |
i 16,588 |
i 19,057 |
i 13,991 | i 18,055 | ||||||||||||||
Exchange-traded |
i 33,762 |
i 33,855 |
i 29,006 | i 31,944 | ||||||||||||||
OTC-cleared |
i 13 |
i 13 |
– | – | ||||||||||||||
Bilateral OTC |
i 44,635 |
i 47,083 |
i 47,867 | i 49,072 | ||||||||||||||
Total equities |
i 78,410 |
i 80,951 |
i 76,873 | i 81,016 | ||||||||||||||
Subtotal |
i 493,457 |
i 463,573 |
i 567,278 | i 540,307 | ||||||||||||||
Accounted for as hedges |
||||||||||||||||||
OTC-cleared |
i 3 |
– |
i 1 | – | ||||||||||||||
Bilateral OTC |
i 1,081 |
– |
i 1,346 | – | ||||||||||||||
Total interest rates |
i 1,084 |
– |
i 1,347 | – | ||||||||||||||
OTC-cleared |
i 58 |
i 48 |
– | i 87 | ||||||||||||||
Bilateral OTC |
i 152 |
i 232 |
i 4 | i 372 | ||||||||||||||
Total currencies |
i 210 |
i 280 |
i 4 | i 459 | ||||||||||||||
Subtotal |
i 1,294 |
i 280 |
i 1,351 | i 459 | ||||||||||||||
Total gross fair value |
$ i 494,751 |
$ i 463,853 |
$ i 568,629 | $ i 540,766 | ||||||||||||||
Offset in the consolidated balance sheets |
||||||||||||||||||
Exchange-traded |
$ ( i 34,961 |
) |
$ ( i 34,961 |
) |
$ ( i 29,549 | ) | $ ( i 29,549 | ) | ||||||||||
OTC-cleared |
( i 20,016 |
) |
( i 20,016 |
) |
( i 21,315 | ) | ( i 21,315 | ) | ||||||||||
Bilateral OTC |
( i 306,582 |
) |
( i 306,582 |
) |
( i 372,142 | ) | ( i 372,142 | ) | ||||||||||
Counterparty netting |
( i 361,559 |
) |
( i 361,559 |
) |
( i 423,006 | ) | ( i 423,006 | ) | ||||||||||
OTC-cleared |
( i 1,553 |
) |
( i 584 |
) |
( i 1,926 | ) | ( i 720 | ) | ||||||||||
Bilateral OTC |
( i 62,096 |
) |
( i 51,488 |
) |
( i 74,116 | ) | ( i 58,449 | ) | ||||||||||
Cash collateral netting |
( i 63,649 |
) |
( i 52,072 |
) |
( i 76,042 | ) | ( i 59,169 | ) | ||||||||||
Total amounts offset |
$( i 425,208 |
) |
$( i 413,631 |
) |
$( i 499,048 | ) | $( i 482,175 | ) | ||||||||||
Included in the consolidated balance sheets |
||||||||||||||||||
Exchange-traded |
$ i 5,815 |
$ i 5,525 |
$ i 4,731 | $ i 7,254 | ||||||||||||||
OTC-cleared |
i 332 |
i 667 |
i 325 | i 196 | ||||||||||||||
Bilateral OTC |
i 63,396 |
i 44,030 |
i 64,525 | i 51,141 | ||||||||||||||
Total |
$ i 69,543 |
$ i 50,222 |
$ i 69,581 | $ i 58,591 | ||||||||||||||
Not offset in the consolidated balance sheets |
||||||||||||||||||
Cash collateral |
$ ( i 852 |
) |
$ ( i 1,842 |
) |
$ ( i 979 | ) | $ ( i 2,427 | ) | ||||||||||
Securities collateral |
( i 16,066 |
) |
( i 6,571 |
) |
( i 17,297 | ) | ( i 9,943 | ) | ||||||||||
Total |
$ i 52,625 |
$ i 41,809 |
$ i 51,305 | $ i 46,221 | ||||||||||||||
| Goldman Sachs March 2021 Form 10-Q | 20 |
| Notional Amounts as of | ||||||||
| $ in millions |
March 2021 |
December 2020 |
| |||||
| Not accounted for as hedges |
| |||||||
| Exchange-traded |
$ i 3,961,941 |
$ i 3,722,558 | ||||||
| OTC-cleared |
i 17,579,552 |
i 13,789,571 | ||||||
| Bilateral OTC |
i 11,834,200 |
i 11,076,460 | ||||||
| Total interest rates |
i 33,375,693 |
i 28,588,589 | ||||||
| OTC-cleared |
i 633,145 |
i 515,197 | ||||||
| Bilateral OTC |
i 604,166 |
i 558,813 | ||||||
| Total credit |
i 1,237,311 |
i 1,074,010 | ||||||
| Exchange-traded |
i 9,573 |
i 7,413 | ||||||
| OTC-cleared |
i 185,729 |
i 157,687 | ||||||
| Bilateral OTC |
i 6,759,515 |
i 6,041,663 | ||||||
| Total currencies |
i 6,954,817 |
i 6,206,763 | ||||||
| Exchange-traded |
i 286,649 |
i 242,193 | ||||||
| OTC-cleared |
i 3,857 |
i 2,315 | ||||||
| Bilateral OTC |
i 221,664 |
i 206,253 | ||||||
| Total commodities |
i 512,170 |
i 450,761 | ||||||
| Exchange-traded |
i 1,069,830 |
i 948,937 | ||||||
| OTC-cleared |
i 447 |
– | ||||||
| Bilateral OTC |
i 1,228,482 |
i 1,126,572 | ||||||
| Total equities |
i 2,298,759 |
i 2,075,509 | ||||||
| Subtotal |
i 44,378,750 |
i 38,395,632 | ||||||
| Accounted for as hedges |
| |||||||
| OTC-cleared |
i 190,514 |
i 182,311 | ||||||
| Bilateral OTC |
i 6,463 |
i 6,641 | ||||||
| Total interest rates |
i 196,977 |
i 188,952 | ||||||
| OTC-cleared |
i 3,607 |
i 1,767 | ||||||
| Bilateral OTC |
i 15,178 |
i 14,055 | ||||||
| Total currencies |
i 18,785 |
i 15,822 | ||||||
| Subtotal |
i 215,762 |
i 204,774 | ||||||
| Total notional amounts |
$ i 44,594,512 |
$ i 38,600,406 | ||||||
| • | Gross fair values exclude the effects of both counterparty netting and collateral, and therefore are not representative of the firm’s exposure. |
| • | Where the firm has received or posted collateral under credit support agreements, but has not yet determined such agreements are enforceable, the related collateral has not been netted. |
| • | Notional amounts, which represent the sum of gross long and short derivative contracts, provide an indication of the volume of the firm’s derivative activity and do not represent anticipated losses. |
| • | Total gross fair value of derivatives included derivative assets of $ i 22.13 billion as of March 2021 and $ i 20.60 billion
as of December 2020, and derivative liabilities of $ i 19.56 billion as of March 2021 and $ i 22.98 billion
as of December 2020, which are not subject to an enforceable netting agreement or are subject to a netting agreement that the firm has not yet determined to be enforceable. |
$ in millions |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| As of March 2021 |
| |||||||||||||||
| Assets |
||||||||||||||||
| Interest rates |
$ i 7 |
$ i 280,374 |
$ i 1,208 |
$ i 281,589 |
||||||||||||
| Credit |
– |
i 14,549 |
i 3,234 |
i 17,783 |
||||||||||||
| Currencies |
– |
i 100,200 |
i 181 |
i 100,381 |
||||||||||||
| Commodities |
– |
i 15,917 |
i 671 |
i 16,588 |
||||||||||||
| Equities |
i 24 |
i 76,742 |
i 1,644 |
i 78,410 |
||||||||||||
| Gross fair value |
i 31 |
i 487,782 |
i 6,938 |
i 494,751 |
||||||||||||
| Counterparty netting in levels |
– |
( i 359,470 |
) |
( i 998 |
) |
( i 360,468 |
) | |||||||||
| Subtotal |
$ i 31 |
$ i 128,312 |
$ i 5,940 |
$ i 134,283 |
||||||||||||
| Cross-level counterparty netting |
( i 1,091 |
) | ||||||||||||||
| Cash collateral netting |
( i 63,649 |
) | ||||||||||||||
| Net fair value |
$ i 69,543 |
|||||||||||||||
| Liabilities |
||||||||||||||||
| Interest rates |
$ ( i 29 |
) |
$( i 252,085 |
) |
$ ( i 889 |
) |
$( i 253,003 |
) | ||||||||
| Credit |
– |
( i 15,623 |
) |
( i 1,359 |
) |
( i 16,982 |
) | |||||||||
| Currencies |
– |
( i 93,390 |
) |
( i 470 |
) |
( i 93,860 |
) | |||||||||
| Commodities |
– |
( i 18,598 |
) |
( i 459 |
) |
( i 19,057 |
) | |||||||||
| Equities |
( i 39 |
) |
( i 77,796 |
) |
( i 3,116 |
) |
( i 80,951 |
) | ||||||||
| Gross fair value |
( i 68 |
) |
( i 457,492 |
) |
( i 6,293 |
) |
( i 463,853 |
) | ||||||||
| Counterparty netting in levels |
– |
i 359,470 |
i 998 |
i 360,468 |
||||||||||||
| Subtotal |
$ ( i 68 |
) |
$ ( i 98,022 |
) |
$( i 5,295 |
) |
$( i 103,385 |
) | ||||||||
| Cross-level counterparty netting |
i 1,091 |
|||||||||||||||
| Cash collateral netting |
i 52,072 |
|||||||||||||||
| Net fair value |
$ ( i 50,222 |
) | ||||||||||||||
| As of December 2020 |
||||||||||||||||
| Assets |
||||||||||||||||
| Interest rates |
$ i 297 | $ |
$ |
$ |
||||||||||||
| Credit |
– | i 13,104 | i 3,451 | i 16,555 | ||||||||||||
| Currencies |
– | i 102,221 | i 147 | i 102,368 | ||||||||||||
| Commodities |
– | i 13,285 | i 706 | i 13,991 | ||||||||||||
| Equities |
i 75 | i 75,054 | i 1,744 | i 76,873 | ||||||||||||
| Gross fair value |
i 372 | i 561,232 | i 7,025 | i 568,629 | ||||||||||||
| Counterparty netting in levels |
( i 135 | ) | ( i 420,685 | ) | ( i 1,058 | ) | ( i 421,878 | ) | ||||||||
| Subtotal |
$ i 237 | $ |
$ |
$ |
||||||||||||
| Cross-level counterparty netting |
( i 1,128 | ) | ||||||||||||||
| Cash collateral netting |
( i 76,042 | ) | ||||||||||||||
| Net fair value |
$ |
|||||||||||||||
| Liabilities |
||||||||||||||||
| Interest rates |
$( i 229 | ) | $ |
) | $ |
) | $ |
) | ||||||||
| Credit |
– | ( i 14,395 | ) | ( i 1,673 | ) | ( i 16,068 | ) | |||||||||
| Currencies |
– | ( i 103,303 | ) | ( i 485 | ) | ( i 103,788 | ) | |||||||||
| Commodities |
– | ( i 17,649 | ) | ( i 406 | ) | ( i 18,055 | ) | |||||||||
| Equities |
( i 318 | ) | ( i 78,122 | ) | ( i 2,576 | ) | ( i 81,016 | ) | ||||||||
| Gross fair value |
( i 547 | ) | ( i 534,369 | ) | ( i 5,850 | ) | ( i 540,766 | ) | ||||||||
| Counterparty netting in levels |
i 135 | i 420,685 | i 1,058 | i 421,878 | ||||||||||||
| Subtotal |
$( i 412 | ) | $ |
) | $ |
) | $ |
) | ||||||||
| Cross-level counterparty netting |
i 1,128 | |||||||||||||||
| Cash collateral netting |
i 59,169 | |||||||||||||||
| Net fair value |
$ |
) | ||||||||||||||
| 21 | Goldman Sachs March 2021 Form 10-Q |
| • | Gross fair values exclude the effects of both counterparty netting and collateral netting, and therefore are not representative of the firm’s exposure. |
| • | Counterparty netting is reflected in each level to the extent that receivable and payable balances are netted within the same level and is included in counterparty netting in levels. Where the counterparty netting is across levels, the netting is included in cross-level counterparty netting. |
| • | Derivative assets are shown as positive amounts and derivative liabilities are shown as negative amounts. |
As of March 2021 |
As of December 2020 | |||||||||||||||||
$ in millions, except inputs |
Amount or Range |
Average/ Median |
|
Amount or Range |
Average/ Median |
|||||||||||||
| Interest rates, net |
$ i 319 |
$ i 267 | ||||||||||||||||
| Correlation |
( i 42)% to i 81% |
i 48%/ i 60% |
( i 8)% to i 81% | i 56%/ i 60% | ||||||||||||||
| Volatility (bps) |
i 31 to i 150 |
i 65/ i 53 |
i 31 to i 150 | i 65/ i 53 | ||||||||||||||
| Credit, net |
$ i 1,875 |
$ i 1,778 | ||||||||||||||||
| Credit spreads (bps) |
i 2 to i 598 |
i 108/ i 84 |
i 2 to i 699 | i 109/ i 74 | ||||||||||||||
| Upfront credit points |
i 3 to i 100 |
i 46/ i 31 |
i 7 to i 90 | i 40/ i 30 | ||||||||||||||
| Recovery rates |
i 20% to i 90% |
i 45%/ i 40% |
i 25% to i 90% | i 46%/ i 40% | ||||||||||||||
| Currencies, net |
$( i 289) |
$( i 338) | ||||||||||||||||
| Correlation |
i 20% to i 70% |
i 39%/ i 41% |
i 20% to i 70% | i 39%/ i 41% | ||||||||||||||
| Volatility |
i 19% to i 20% |
i 20%/ i 20% |
i 18% to i 18% | i 18%/ i 18% | ||||||||||||||
| Commodities, net |
$ i 212 |
$ i 300 | ||||||||||||||||
| Volatility |
i 14% to i 77% |
i 29%/ i 27% |
i 15% to i 87% | i 32%/ i 30% | ||||||||||||||
| Natural gas spread |
|
$( i 1.22) to $ i 2.27 |
|
$( i 0.11)/ $( i 0.07) |
$( i 1.00) to $ i 2.13 |
|
$( i 0.13)/ $( i 0.09) |
| ||||||||||
| Oil spread |
|
$ i 10.20 to $ i 20.65 |
|
$ i 14.87/ $ i 14.16 |
$ i 8.30 to $ i 11.20 |
|
$ i 9.73/ $ i 9.55 |
| ||||||||||
| Electricity price |
|
$ i 9.81 to $ i 72.05 |
|
$ i 29.59/ $ i 29.25 |
|
N/A |
|
|
N/A |
| ||||||||
| Equities, net |
$( i 1,472) |
$( i 832) | ||||||||||||||||
| Correlation |
( i 70)% to i 100% |
i 50%/ i 51% |
( i 70)% to i 100% | i 52%/ i 55% | ||||||||||||||
| Volatility |
i 3% to i 190% |
i 12%/ i 7% |
i 3% to i 129% | i 14%/ i 7% | ||||||||||||||
| • | Derivative assets are shown as positive amounts and derivative liabilities are shown as negative amounts. |
| • | Ranges represent the significant unobservable inputs that were used in the valuation of each type of derivative. |
| • | Averages represent the arithmetic average of the inputs and are not weighted by the relative fair value or notional amount of the respective financial instruments. An average greater than the median indicates that the majority of inputs are below the average. For example, the difference between the average and the median for credit spreads indicates that the majority of the inputs fall in the lower end of the range. |
| • | The ranges, averages and medians of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one derivative. For example, the highest correlation for interest rate derivatives is appropriate for valuing a specific interest rate derivative but may not be appropriate for valuing any other interest rate derivative. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 derivatives. |
| • | Interest rates, currencies and equities derivatives are valued using option pricing models, credit derivatives are valued using option pricing, correlation and discounted cash flow models, and commodities derivatives are valued using option pricing and discounted cash flow models. |
| • | The fair value of any one instrument may be determined using multiple valuation techniques. For example, option pricing models and discounted cash flows models are typically used together to determine fair value. Therefore, the level 3 balance encompasses both of these techniques. |
| • | Correlation within currencies and equities includes cross-product type correlation. |
| • | Natural gas spread represents the spread per million British thermal units of natural gas. |
| • | Oil spread represents the spread per barrel of oil and refined products. |
| • | Electricity price represents the price per megawatt hour of electricity. |
| • | Correlation. |
| Goldman Sachs March 2021 Form 10-Q | 22 |
| • | Volatility. |
| • | Credit spreads, upfront credit points and recovery rates. |
| • | Commodity prices and spreads. |
| • | Correlation. |
| • | Volatility. |
| • | Credit spreads, upfront credit points and recovery rates. |
| • | Commodity prices and spreads. |
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Total level 3 derivatives, net |
||||||||
| Beginning balance |
$ i 1,175 |
$ i 25 | ||||||
| Net realized gains/(losses) |
( i 98 |
) |
i 137 | |||||
| Net unrealized gains/(losses) |
i 40 |
i 2,305 | ||||||
| Purchases |
i 192 |
i 223 | ||||||
| Sales |
( i 908 |
) |
( i 413 | ) | ||||
| Settlements |
i 207 |
i 41 | ||||||
| Transfers into level 3 |
( i 69 |
) |
( i 801 | ) | ||||
| Transfers out of level 3 |
i 106 |
i 143 | ||||||
| Ending balance |
$ |
$ i 1,660 | ||||||
| • | Changes in fair value are presented for all derivative assets and liabilities that are classified in level 3 as of the end of the period. |
| • | Net unrealized gains/(losses) relates to instruments that were still held at period-end. |
| • | Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. If a derivative was transferred into level 3 during a reporting period, its entire gain or loss for the period is classified in level 3. |
| • | Positive amounts for transfers into level 3 and negative amounts for transfers out of level 3 represent net transfers of derivative assets. Negative amounts for transfers into level 3 and positive amounts for transfers out of level 3 represent net transfers of derivative liabilities. |
| • | A derivative with level 1 and/or level 2 inputs is classified in level 3 in its entirety if it has at least one significant level 3 input. |
| • | If there is one significant level 3 input, the entire gain or loss from adjusting only observable inputs (i.e., level 1 and level 2 inputs) is classified in level 3. |
| • | Gains or losses that have been classified in level 3 resulting from changes in level 1 or level 2 inputs are frequently offset by gains or losses attributable to level 1 or level 2 derivatives and/or level 1, level 2 and level 3 trading cash instruments. As a result, gains/(losses) included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources. |
| 23 | Goldman Sachs March 2021 Form 10-Q |
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Interest rates, net |
||||||||
| Beginning balance |
$ |
$ i 89 | ||||||
| Net realized gains/(losses) |
i 7 |
i 7 | ||||||
| Net unrealized gains/(losses) |
i 111 |
i 132 | ||||||
| Purchases |
i 4 |
i 1 | ||||||
| Sales |
( i 23 |
) |
( i 13 | ) | ||||
| Settlements |
i 2 |
i 37 | ||||||
| Transfers into level 3 |
( i 4 |
) |
i 11 | |||||
| Transfers out of level 3 |
( i 45 |
) |
i 2 | |||||
| Ending balance |
$ |
$ i 266 | ||||||
| Credit, net |
||||||||
| Beginning balance |
$ i 1,778 |
$ i 1,877 | ||||||
| Net realized gains/(losses) |
( i 19 |
) |
( i 20 | ) | ||||
| Net unrealized gains/(losses) |
i 105 |
i 652 | ||||||
| Purchases |
i 42 |
i 53 | ||||||
| Sales |
( i 13 |
) |
( i 27 | ) | ||||
| Settlements |
( i 43 |
) |
( i 55 | ) | ||||
| Transfers into level 3 |
( i 17 |
) |
i 11 | |||||
| Transfers out of level 3 |
i 42 |
i 27 | ||||||
| Ending balance |
$ i 1,875 |
$ i 2,518 | ||||||
| Currencies, net |
||||||||
| Beginning balance |
$ |
) |
$ ( i 211 | ) | ||||
| Net realized gains/(losses) |
( i 1 |
) |
( i 6 | ) | ||||
| Net unrealized gains/(losses) |
( i 24 |
) |
i 185 | |||||
| Purchases |
i 7 |
– | ||||||
| Sales |
( i 12 |
) |
( i 11 | ) | ||||
| Settlements |
i 63 |
i 111 | ||||||
| Transfers into level 3 |
– |
( i 4 | ) | |||||
| Transfers out of level 3 |
i 16 |
( i 3 | ) | |||||
| Ending balance |
$ |
) |
$ i 61 | |||||
| Commodities, net |
||||||||
| Beginning balance |
$ |
$ i 247 | ||||||
| Net realized gains/(losses) |
( i 55 |
) |
i 17 | |||||
| Net unrealized gains/(losses) |
i 7 |
i 197 | ||||||
| Purchases |
i 20 |
i 22 | ||||||
| Sales |
( i 17 |
) |
( i 69 | ) | ||||
| Settlements |
( i 27 |
) |
( i 7 | ) | ||||
| Transfers into level 3 |
– |
( i 11 | ) | |||||
| Transfers out of level 3 |
( i 16 |
) |
( i 8 | ) | ||||
| Ending balance |
$ |
$ i 388 | ||||||
| Equities, net |
||||||||
| Beginning balance |
$ |
) |
$( i 1,977 | ) | ||||
| Net realized gains/(losses) |
( i 30 |
) |
i 139 | |||||
| Net unrealized gains/(losses) |
( i 159 |
) |
i 1,139 | |||||
| Purchases |
i 119 |
i 147 | ||||||
| Sales |
( i 843 |
) |
( i 293 | ) | ||||
| Settlements |
i 212 |
( i 45 | ) | |||||
| Transfers into level 3 |
( i 48 |
) |
( i 808 | ) | ||||
| Transfers out of level 3 |
i 109 |
i 125 | ||||||
| Ending balance |
$( i 1,472 |
) |
$( i 1,573 | ) | ||||
| Goldman Sachs March 2021 Form 10-Q | 24 |
| $ in millions |
Less than 1 Year |
|
1 - 5 Years |
|
Greater than 5 Years |
|
|
Total |
| |||||||
| As of March 2021 |
||||||||||||||||
| Assets |
||||||||||||||||
| Interest rates |
$ i 8,236 |
$ i 15,696 |
$ i 60,957 |
$ i 84,889 |
||||||||||||
| Credit |
i 1,662 |
i 2,177 |
i 3,638 |
i 7,477 |
||||||||||||
| Currencies |
i 16,979 |
i 7,745 |
i 8,004 |
i 32,728 |
||||||||||||
| Commodities |
i 4,488 |
i 1,904 |
i 403 |
i 6,795 |
||||||||||||
| Equities |
i 8,813 |
i 12,612 |
i 1,849 |
i 23,274 |
||||||||||||
| Counterparty netting in tenors |
( i 3,944 |
) |
( i 3,568 |
) |
( i 3,052 |
) |
( i 10,564 |
) | ||||||||
| Subtotal |
$ i 36,234 |
$ i 36,566 |
$ i 71,799 |
$ i 144,599 |
||||||||||||
| Cross-tenor counterparty netting |
( i 17,222 |
) | ||||||||||||||
| Cash collateral netting |
( i 63,649 |
) | ||||||||||||||
| Total OTC derivative assets |
$ i 63,728 |
|||||||||||||||
| Liabilities |
||||||||||||||||
| Interest rates |
$ i 7,920 |
$ i 11,835 |
$ i 36,179 |
$ i 55,934 |
||||||||||||
| Credit |
i 1,538 |
i 2,982 |
i 2,156 |
i 6,676 |
||||||||||||
| Currencies |
i 16,009 |
i 5,941 |
i 4,924 |
i 26,874 |
||||||||||||
| Commodities |
i 4,249 |
i 1,610 |
i 3,489 |
i 9,348 |
||||||||||||
| Equities |
i 8,004 |
i 13,929 |
i 3,790 |
i 25,723 |
||||||||||||
| Counterparty netting in tenors |
( i 3,944 |
) |
( i 3,568 |
) |
( i 3,052 |
) |
( i 10,564 |
) | ||||||||
| Subtotal |
$ i 33,776 |
$ i 32,729 |
$ i 47,486 |
$ i 113,991 |
||||||||||||
| Cross-tenor counterparty netting |
( i 17,222 |
) | ||||||||||||||
| Cash collateral netting |
( i 52,072 |
) | ||||||||||||||
| Total OTC derivative liabilities |
|
$ i 44,697 |
||||||||||||||
| As of December 2020 |
||||||||||||||||
| Assets |
||||||||||||||||
| Interest rates |
$ i 8,913 | $ i 20,145 | $ i 74,893 | $ i 103,951 | ||||||||||||
| Credit |
i 822 | i 3,270 | i 3,302 | i 7,394 | ||||||||||||
| Currencies |
i 13,887 | i 7,400 | i 9,303 | i 30,590 | ||||||||||||
| Commodities |
i 2,998 | i 1,466 | i 488 | i 4,952 | ||||||||||||
| Equities |
i 12,182 | i 12,590 | i 1,807 | i 26,579 | ||||||||||||
| Counterparty netting in tenors |
( i 3,963 | ) | ( i 4,458 | ) | ( i 3,182 | ) | ( i 11,603 | ) | ||||||||
| Subtotal |
$ i 34,839 | $ i 40,413 | $ i 86,611 | $ i 161,863 | ||||||||||||
| Cross-tenor counterparty netting |
( i 20,971 | ) | ||||||||||||||
| Cash collateral netting |
( i 76,042 | ) | ||||||||||||||
| Total OTC derivative assets |
$ i 64,850 | |||||||||||||||
| Liabilities |
||||||||||||||||
| Interest rates |
$ i 5,687 | $ i 11,967 | $ i 49,301 | $ i 66,955 | ||||||||||||
| Credit |
i 1,268 | i 3,462 | i 2,177 | i 6,907 | ||||||||||||
| Currencies |
i 18,770 | i 7,575 | i 5,775 | i 32,120 | ||||||||||||
| Commodities |
i 3,455 | i 1,545 | i 4,315 | i 9,315 | ||||||||||||
| Equities |
i 9,702 | i 14,095 | i 3,986 | i 27,783 | ||||||||||||
| Counterparty netting in tenors |
( i 3,963 | ) | ( i 4,458 | ) | ( i 3,182 | ) | ( i 11,603 | ) | ||||||||
| Subtotal |
$ i 34,919 | $ i 34,186 | $ i 62,372 | $ i 131,477 | ||||||||||||
| Cross-tenor counterparty netting |
( i 20,971 | ) | ||||||||||||||
| Cash collateral netting |
( i 59,169 | ) | ||||||||||||||
| Total OTC derivative liabilities |
$ i 51,337 | |||||||||||||||
| • | Tenor is based on remaining contractual maturity. |
| • | Counterparty netting within the same product type and tenor category is included within such product type and tenor category. |
| • | Counterparty netting across product types within the same tenor category is included in counterparty netting in tenors. Where the counterparty netting is across tenor categories, the netting is included in cross-tenor counterparty netting. |
| • | Credit Default Swaps. |
| • | Credit Options. |
| 25 | Goldman Sachs March 2021 Form 10-Q |
| • | Credit Indices, Baskets and Tranches. pro-rata portion of the transaction’s total notional amount based on the underlying defaulted reference obligation. In certain transactions, the credit risk of a basket or index is separated into various portions (tranches), each having different levels of subordination. The most junior tranches cover initial defaults and once losses exceed the notional amount of these junior tranches, any excess loss is covered by the next most senior tranche. |
| • | Total Return Swaps. |
| Credit Spread on Underlier (basis points) | ||||||||||||||||||||
| $ in millions |
0 - 250 |
251 - 500 |
501 - 1,000 |
Greater than 1,000 |
Total |
|||||||||||||||
| As of March 2021 |
||||||||||||||||||||
| Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor |
| |||||||||||||||||||
| Less than 1 year |
$ i 104,938 |
$ i 8,890 |
$ |
$ i 3,882 |
$ i 118,497 |
|||||||||||||||
| 1 – 5 years |
i 347,792 |
i 24,907 |
i 7,115 |
i 3,173 |
i 382,987 |
|||||||||||||||
| Greater than 5 years |
i 84,316 |
i 9,089 |
i 3,511 |
i 420 |
i 97,336 |
|||||||||||||||
| Total |
$ i 537,046 |
$ i 42,886 |
$ i 11,413 |
$ i 7,475 |
$ i 598,820 |
|||||||||||||||
| Maximum Payout/Notional Amount of Purchased Credit Derivatives |
| |||||||||||||||||||
| Offsetting |
$ i 463,033 |
$ i 35,683 |
$ i 7,893 |
$ i 6,966 |
$ i 513,575 |
|||||||||||||||
| Other |
$ i 110,732 |
$ i 9,417 |
$ i 4,040 |
$ |
$ i 124,927 |
|||||||||||||||
| Fair Value of Written Credit Derivatives |
| |||||||||||||||||||
| Asset |
$ i 11,208 |
$ |
$ |
$ |
$ i 12,518 |
|||||||||||||||
| Liability |
i 762 |
i 1,029 |
i 856 |
i 1,932 |
i 4,579 |
|||||||||||||||
| Net asset/(liability) |
$ i 10,446 |
$ |
) |
$ |
) |
$( i 1,872 |
) |
$ i 7,939 |
||||||||||||
| As of December 2020 |
||||||||||||||||||||
| Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor |
| |||||||||||||||||||
| Less than 1 year |
$ i 96,049 | $ i 5,826 | $ |
$ |
$ i 104,728 | |||||||||||||||
| 1 – 5 years |
i 331,145 | i 17,913 | i 8,801 | i 4,932 | i 362,791 | |||||||||||||||
| Greater than 5 years |
i 44,132 | i 3,839 | i 272 | i 88 | i 48,331 | |||||||||||||||
| Total |
$ i 471,326 | $ i 27,578 | $ i 9,523 | $ |
$ i 515,850 | |||||||||||||||
| Maximum Payout/Notional Amount of Purchased Credit Derivatives |
| |||||||||||||||||||
| Offsetting |
$ i 407,315 | $ i 19,822 | $ i 8,679 | $ |
$ i 442,907 | |||||||||||||||
| Other |
$ i 103,604 | $ i 7,272 | $ i 3,619 | $ |
$ i 115,271 | |||||||||||||||
| Fair Value of Written Credit Derivatives |
| |||||||||||||||||||
| Asset |
$ i 10,302 | $ i 638 | $ i 256 | $ |
$ i 11,314 | |||||||||||||||
| Liability |
i 1,112 | i 1,119 | i 387 | i 2,001 | i 4,619 | |||||||||||||||
| Net asset/(liability) |
$ i 9,190 | $ ( i 481 | ) | $ ( i 131 | ) | $ |
) | $ i 6,695 | ||||||||||||
| • | Fair values exclude the effects of both netting of receivable balances with payable balances under enforceable netting agreements, and netting of cash received or posted under enforceable credit support agreements, and therefore are not representative of the firm’s credit exposure. |
| • | Tenor is based on remaining contractual maturity. |
| • | The credit spread on the underlier, together with the tenor of the contract, are indicators of payment/performance risk. The firm is less likely to pay or otherwise be required to perform where the credit spread and the tenor are lower. |
| • | Offsetting purchased credit derivatives represent the notional amount of purchased credit derivatives that economically hedge written credit derivatives with identical underliers. |
| • | Other purchased credit derivatives represent the notional amount of all other purchased credit derivatives not included in offsetting. |
| Goldman Sachs March 2021 Form 10-Q | 26 |
Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 |
||||||
CVA, net of hedges |
$ |
) |
$ i 271 |
|||||
FVA, net of hedges |
i 12 |
( i 759 |
) | |||||
Total |
$ |
) |
$ ( i 488 |
) | ||||
As of |
||||||||
$ in millions |
March 2021 |
December 2020 |
||||||
Fair value of assets |
$ i 1,117 |
$ i 1,450 |
||||||
Fair value of liabilities |
( i 1,295 |
) |
( i 1,220 |
) | ||||
Net asset/(liability) |
$ |
) |
$ i 230 |
|||||
Notional amount |
$ i 12,097 |
$ i 12,548 |
||||||
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Net derivative liabilities under bilateral agreements |
$ i 35,227 |
$ i 43,368 | ||||||
Collateral posted |
$ i 29,177 |
$ i 35,296 | ||||||
Additional collateral or termination payments: |
||||||||
One-notch downgrade |
$ |
$ i 481 | ||||||
Two-notch downgrade |
$ |
$ i 1,388 | ||||||
| 27 | Goldman Sachs March 2021 Form 10-Q |
Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Interest rate hedges |
$( i 5,405 |
) |
$ i 6,586 | |||||
Hedged borrowings and deposits |
$ i 5,185 |
$( i 6,679 | ) | |||||
Interest expense |
$ i 1,572 |
$ i 3,437 | ||||||
$ in millions |
Carrying Value |
|
|
Cumulative Hedging Adjustment |
| |||
As of March 2021 |
||||||||
Deposits |
$ i 16,036 |
$ i 510 |
||||||
Unsecured short-term borrowings |
$ i 3,099 |
$ i 33 |
||||||
Unsecured long-term borrowings |
$ i 120,451 |
$ i 6,610 |
||||||
As of December 2020 |
||||||||
Deposits |
$ i 17,303 | $ i 649 | ||||||
Unsecured short-term borrowings |
$ i 5,976 | $ i 53 | ||||||
Unsecured long-term borrowings |
$ i 115,242 | $ i 11,624 | ||||||
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Hedges: |
||||||||
Foreign currency forward contract |
$ i 460 |
$ i 756 | ||||||
Foreign currency-denominated debt |
$ i 265 |
$ |
) | |||||
| Goldman Sachs March 2021 Form 10-Q | 28 |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Equity securities, at fair value |
$ i 19,442 |
$ i 19,781 | ||||||
| Debt instruments, at fair value |
i 17,743 |
i 16,981 | ||||||
| Available-for-sale |
i 45,179 |
i 46,016 | ||||||
| Investments, at fair value |
i 82,364 |
i 82,778 | ||||||
| Held-to-maturity |
i 5,265 |
i 5,301 | ||||||
| Equity method investments |
i 387 |
i 366 | ||||||
| Total investments |
$ i 88,016 |
$ i 88,445 | ||||||
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Equity securities, at fair value |
$ i 19,442 |
$ i 19,781 | ||||||
| Equity Type |
||||||||
| Public equity |
i 13% |
i 15% | ||||||
| Private equity |
i 87% |
i 85% | ||||||
| Total |
i 100% |
i 100% | ||||||
| Asset Class |
||||||||
| Corporate |
i 82% |
i 83% | ||||||
| Real estate |
i 18% |
i 17% | ||||||
| Total |
i 100% |
i 100% | ||||||
| • | Equity securities, at fair value included investments accounted for at fair value under the fair value option where the firm would otherwise apply the equity method of accounting of $ i 6.36 billion as of March 2021 and $ i 7.14 billion
as of December 2020. Gains recognized as a result of changes in the fair value of equity securities for which the fair value option was elected was $ i 419 million for the three months ended March 2021 and $ i 77 million
for the three months ended March 2020. These gains are included in other principal transactions in the consolidated statements of earnings. |
| • | Equity securities, at fair value included $ i 2.34 billion as of March 2021 and $ i 2.35 billion
as of December 2020 of investments in funds that are measured at NAV. |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Corporate debt securities |
$ i 12,038 |
$ i 10,991 | ||||||
| Securities backed by real estate |
i 1,871 |
i 1,940 | ||||||
| Money market instruments |
i 1,840 |
i 2,185 | ||||||
| Other |
i 1,994 |
i 1,865 | ||||||
| Total |
$ i 17,743 |
$ i 16,981 | ||||||
| • | Money market instruments primarily includes time deposits and investments in money market funds. |
| • | Other included $ i 1.42 billion as of March 2021 and $ i 1.31 billion
as of December 2020 of investments in credit funds that are measured at NAV. |
| 29 | Goldman Sachs March 2021 Form 10-Q |
$ in millions |
Fair Value of Investments |
|
Unfunded Commitments |
| ||||
| As of March 2021 |
||||||||
| Private equity funds |
$ i 1,995 |
$ |
||||||
| Credit funds |
i 1,420 |
i 787 |
||||||
| Hedge funds |
i 100 |
– |
||||||
| Real estate funds |
i 243 |
i 214 |
||||||
| Total |
$ i 3,758 |
$ i 1,554 |
||||||
| As of December 2020 |
||||||||
| Private equity funds |
$ i 2,042 | $ i 557 | ||||||
| Credit funds |
i 1,312 | i 680 | ||||||
| Hedge funds |
i 102 | – | ||||||
| Real estate funds |
i 208 | i 213 | ||||||
| Total |
$ i 3,664 | $ i 1,450 | ||||||
$ in millions |
Amortized Cost |
|
Fair Value |
|
|
Weighted Average Yield |
| |||||
| As of March 2021 |
||||||||||||
| Less than 1 year |
$ i 25 |
$ i 25 |
i 0.08% |
|||||||||
| 1 year to 5 years |
i 35,827 |
i 35,740 |
i 0.49% |
|||||||||
| 5 years to 10 years |
i 7,442 |
i 7,401 |
i 1.21% |
|||||||||
| Total U.S. government obligations |
i 43,294 |
i 43,166 |
i 0.62% |
|||||||||
| 5 years to 10 years |
i 1,754 |
i 1,693 |
i 0.10% |
|||||||||
| Greater than 10 years |
i 357 |
i 320 |
i 0.74% |
|||||||||
| Total non-U.S. government obligations |
i 2,111 |
i 2,013 |
i 0.20% |
|||||||||
| Total available-for-sale |
$ i 45,405 |
$ i 45,179 |
i 0.60% |
|||||||||
| As of December 2020 |
||||||||||||
| Less than 1 year |
$ i 25 | $ i 25 | i 0.08% | |||||||||
| 1 year to 5 years |
i 35,831 | i 36,158 | i 0.70% | |||||||||
| 5 years to 10 years |
i 7,454 | i 7,732 | i 1.19% | |||||||||
| Total U.S. government obligations |
i 43,310 | i 43,915 | i 0.78% | |||||||||
| 5 years to 10 years |
i 1,739 | i 1,744 | i 0.10% | |||||||||
| Greater than 10 years |
i 353 | i 357 | i 0.74% | |||||||||
| Total non-U.S. government obligations |
i 2,092 | i 2,101 | i 0.21% | |||||||||
| Total available-for-sale |
$ i 45,402 | $ i 46,016 | i 0.76% | |||||||||
| • | Available-for-sale |
| • | The firm sold available-for-sale |
| Goldman Sachs March 2021 Form 10-Q | 30 |
| • | The gross unrealized gains included in accumulated other comprehensive income/(loss) were $ i 262 million and the gross unrealized losses included in accumulated other comprehensive income/(loss) were $ i 488 million
as of March 2021. The gross unrealized gains included in accumulated other comprehensive income/(loss) were $ i 631 million and the gross unrealized losses included in accumulated other comprehensive income/(loss) were not material as of December 2020. |
| • | Available-for-sale |
$ in millions |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
As of March 2021 |
||||||||||||||||
Government and agency obligations: |
||||||||||||||||
U.S. |
$ i 43,166 |
$ – |
$ – |
$ i 43,166 |
||||||||||||
Non-U.S. |
i 2,015 |
i 49 |
– |
i 2,064 |
||||||||||||
Corporate debt securities |
i 61 |
i 6,663 |
i 5,314 |
i 12,038 |
||||||||||||
Securities backed by real estate |
– |
i 832 |
i 1,039 |
i 1,871 |
||||||||||||
Money market instruments |
i 787 |
i 1,053 |
– |
i 1,840 |
||||||||||||
Other debt obligations |
– |
– |
i 523 |
i 523 |
||||||||||||
Equity securities |
i 554 |
i 6,377 |
i 10,173 |
i 17,104 |
||||||||||||
Subtotal |
$ i 46,583 |
$ i 14,974 |
$ i 17,049 |
$ i 78,606 |
||||||||||||
Investments in funds at NAV |
i 3,758 |
|||||||||||||||
Total investments |
$ i 82,364 |
|||||||||||||||
As of December 2020 |
||||||||||||||||
Government and agency obligations: |
||||||||||||||||
U.S. |
$ i 43,915 | $ |
$ |
$ i 43,915 | ||||||||||||
Non-U.S. |
i 2,109 | i 48 | – | i 2,157 | ||||||||||||
Corporate debt securities |
i 70 | i 5,635 | i 5,286 | i 10,991 | ||||||||||||
Securities backed by real estate |
– | i 942 | i 998 | i 1,940 | ||||||||||||
Money market instruments |
i 781 | i 1,404 | – | i 2,185 | ||||||||||||
Other debt obligations |
– | – | i 497 | i 497 | ||||||||||||
Equity securities |
i 517 | i 7,270 | i 9,642 | i 17,429 | ||||||||||||
Subtotal |
$ i 47,392 | $ i 15,299 | $ i 16,423 | $ i 79,114 | ||||||||||||
Investments in funds at NAV |
i 3,664 | |||||||||||||||
Total investments |
$ i 82,778 | |||||||||||||||
As of March 2021 |
As of December 2020 | |||||||||||||||||
$ in millions |
Amount or Range |
Weighted Average |
Amount or Range |
|
Weighted Average |
| ||||||||||||
Corporate debt securities |
||||||||||||||||||
Level 3 assets |
$ i 5,314 |
$ i 5,286 | ||||||||||||||||
Yield |
i 7.0% to i 22.0% |
i 9.5% |
i 4.5% to i 19.5% | i 10.2% | ||||||||||||||
Recovery rate |
i 9.0% to i 70.0% |
i 52.3% |
i 10.0% to i 70.0% | i 50.7% | ||||||||||||||
Duration (years) |
i 2.4 to i 7.5 |
i 4.4 |
i 3.0 to i 7.7 | i 4.2 | ||||||||||||||
Multiples |
i 0.5x to i 22.4x |
i 7.6x |
i 0.6x to i 29.3x | i 6.9x | ||||||||||||||
Securities backed by real estate |
||||||||||||||||||
Level 3 assets |
$ i 1,039 |
$ i 998 | ||||||||||||||||
Yield |
i 8.3% to i 20.3% |
i 14.0% |
i 8.2% to i 52.4% | i 17.5% | ||||||||||||||
Recovery rate |
i 19.4% to i 57.8% |
i 32.8% |
i 21.6% to i 57.8% | i 33.7% | ||||||||||||||
Duration (years) |
i 0.6 to i 3.0 |
i 1.5 |
i 0.4 to i 3.6 | i 2.7 | ||||||||||||||
Other debt obligations |
||||||||||||||||||
Level 3 assets |
$ i 523 |
$ i 497 | ||||||||||||||||
Yield |
i 2.2% to i 9.7% |
i 4.0% |
i 1.7% to i 6.2% | i 3.5% | ||||||||||||||
Duration (years) |
i 1.6 to i 9.8 |
i 6.0 |
i 0.2 to i 10.3 | i 6.4 | ||||||||||||||
Equity securities |
||||||||||||||||||
Level 3 assets |
$ i 10,173 |
$ i 9,642 | ||||||||||||||||
Multiples |
i 0.5x to i 36.6x |
i 11.9x |
i 0.6x to i 27.9x | i 9.0x | ||||||||||||||
Discount rate/yield |
i 4.8% to i 45.0% |
i 14.1% |
i 4.0% to i 38.5% | i 13.5% | ||||||||||||||
Capitalization rate |
i 3.8% to i 13.9% |
i 6.2% |
i 3.7% to i 14.1% | i 6.3% | ||||||||||||||
| • | Ranges represent the significant unobservable inputs that were used in the valuation of each type of investment. |
| • | Weighted averages are calculated by weighting each input by the relative fair value of the investment. |
| • | The ranges and weighted averages of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one investment. For example, the highest multiple for private equity securities is appropriate for valuing a specific private equity security but may not be appropriate for valuing any other private equity security. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 investments. |
| • | Increases in yield, discount rate, capitalization rate or duration used in the valuation of level 3 investments would have resulted in a lower fair value measurement, while increases in recovery rate or multiples would have resulted in a higher fair value measurement as of both March 2021 and December 2020. Due to the distinctive nature of each level 3 investment, the interrelationship of inputs is not necessarily uniform within each product type. |
| 31 | Goldman Sachs March 2021 Form 10-Q |
| • | Corporate debt securities, securities backed by real estate and other debt obligations are valued using discounted cash flows, and equity securities are valued using market comparables and discounted cash flows. |
| • | The fair value of any one instrument may be determined using multiple valuation techniques. For example, market comparables and discounted cash flows may be used together to determine fair value. Therefore, the level 3 balance encompasses both of these techniques. |
Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Beginning balance |
$ i 16,423 |
$ i 15,282 | ||||||
Net realized gains/(losses) |
i 205 |
i 75 | ||||||
Net unrealized gains/(losses) |
i 1,191 |
( i 1,284 | ) | |||||
Purchases |
i 397 |
i 348 | ||||||
Sales |
( i 92 |
) |
( i 197 | ) | ||||
Settlements |
( i 812 |
) |
( i 325 | ) | ||||
Transfers into level 3 |
i 901 |
i 6,480 | ||||||
Transfers out of level 3 |
( i 1,164 |
) |
( i 971 | ) | ||||
Ending balance |
$ i 17,049 |
$ i 19,408 | ||||||
| • | Changes in fair value are presented for all investments that are classified in level 3 as of the end of the period. |
| • | Net unrealized gains/(losses) relates to investments that were still held at period-end. |
| • | Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. If an investment was transferred to level 3 during a reporting period, its entire gain or loss for the period is classified in level 3. |
| • | For level 3 investments, increases are shown as positive amounts, while decreases are shown as negative amounts. |
Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Corporate debt securities |
||||||||
Beginning balance |
$ i 5,286 |
$ i 3,465 | ||||||
Net realized gains/(losses) |
i 151 |
i 50 | ||||||
Net unrealized gains/(losses) |
i 266 |
( i 465 | ) | |||||
Purchases |
i 159 |
i 69 | ||||||
Sales |
( i 73 |
) |
( i 174 | ) | ||||
Settlements |
( i 435 |
) |
( i 166 | ) | ||||
Transfers into level 3 |
i 519 |
i 4,394 | ||||||
Transfers out of level 3 |
( i 559 |
) |
( i 24 | ) | ||||
Ending balance |
$ i 5,314 |
$ i 7,149 | ||||||
Securities backed by real estate |
||||||||
Beginning balance |
$ |
$ i 595 | ||||||
Net realized gains/(losses) |
i 17 |
i 6 | ||||||
Net unrealized gains/(losses) |
( i 4 |
) |
( i 72 | ) | ||||
Purchases |
i 48 |
i 52 | ||||||
Settlements |
( i 107 |
) |
( i 12 | ) | ||||
Transfers into level 3 |
i 87 |
i 206 | ||||||
Ending balance |
$ i 1,039 |
$ i 775 | ||||||
Other debt obligations |
||||||||
Beginning balance |
$ |
$ i 319 | ||||||
Net realized gains/(losses) |
i 3 |
i 2 | ||||||
Net unrealized gains/(losses) |
( i 1 |
) |
i 19 | |||||
Purchases |
i 30 |
– | ||||||
Sales |
( i 3 |
) |
– | |||||
Settlements |
( i 3 |
) |
( i 2 | ) | ||||
Transfers into level 3 |
– |
i 90 | ||||||
Ending balance |
$ |
$ i 428 | ||||||
Equity securities |
||||||||
Beginning balance |
$ i 9,642 |
$ i 10,903 | ||||||
Net realized gains/(losses) |
i 34 |
i 17 | ||||||
Net unrealized gains/(losses) |
i 930 |
( i 766 | ) | |||||
Purchases |
i 160 |
i 227 | ||||||
Sales |
( i 16 |
) |
( i 23 | ) | ||||
Settlements |
( i 267 |
) |
( i 145 | ) | ||||
Transfers into level 3 |
i 295 |
i 1,790 | ||||||
Transfers out of level 3 |
( i 605 |
) |
( i 947 | ) | ||||
Ending balance |
$ i 10,173 |
$ i 11,056 | ||||||
| Goldman Sachs March 2021 Form 10-Q | 32 |
$ in millions |
Amortized Cost |
|
Fair Value |
|
|
Weighted Average Yield |
| |||||
As of March 2021 |
||||||||||||
Less than 1 year |
$ |
$ |
i 2.53% |
|||||||||
1 year to 5 years |
i 4,041 |
i 4,280 |
i 2.30% |
|||||||||
Total U.S. government obligations |
i 4,545 |
i 4,793 |
i 2.33% |
|||||||||
5 years to 10 years |
i 4 |
i 3 |
i 2.59% |
|||||||||
Greater than 10 years |
i 716 |
i 738 |
i 1.09% |
|||||||||
Total securities backed by real estate |
i 720 |
i 741 |
i 1.10% |
|||||||||
Total held-to-maturity |
$ i 5,265 |
$ i 5,534 |
i 2.16% |
|||||||||
As of December 2020 |
||||||||||||
Less than 1 year |
$ i 501 | $ i 513 | i 2.53% | |||||||||
1 year to 5 years |
i 2,529 | i 2,695 | i 2.34% | |||||||||
5 years to 10 years |
i 1,531 | i 1,675 | i 2.25% | |||||||||
Total U.S. government obligations |
i 4,561 | i 4,883 | i 2.33% | |||||||||
5 years to 10 years |
i 4 | i 3 | i 2.56% | |||||||||
Greater than 10 years |
i 736 | i 751 | i 1.08% | |||||||||
Total securities backed by real estate |
i 740 | i 754 | i 1.08% | |||||||||
Total held-to-maturity |
$ i 5,301 | $ i 5,637 | i 2.15% | |||||||||
| • | Substantially all of the securities backed by real estate consist of securities backed by residential real estate. |
| • | As these securities are not accounted for at fair value, they are not included in the firm’s fair value hierarchy in Notes 4 through 10. Had these securities been included in the firm’s fair value hierarchy, U.S. government obligations would have been classified in level 1 and securities backed by real estate would have been primarily classified in level 2 of the fair value hierarchy as of both March 2021 and December 2020. |
| • | The gross unrealized gains were $ i 270 million as of March 2021 and $ i 340 million
as of December 2020. The gross unrealized losses were i i no / t
material as of both March 2021 and December 2020. |
| • | i Held-to-maturity |
| 33 | Goldman Sachs March 2021 Form 10-Q |
$ in millions |
Amortized Cost |
|
Fair Value |
|
Held For Sale |
|
Total | |||||||||
As of March 2021 |
||||||||||||||||
Loan Type |
||||||||||||||||
Corporate |
$ i 43,483 |
$ i 3,025 |
$ |
$ i 47,495 |
||||||||||||
Wealth management |
i 27,804 |
i 7,702 |
– |
i 35,506 |
||||||||||||
Commercial real estate |
i 17,016 |
i 1,799 |
i 1,847 |
i 20,662 |
||||||||||||
Residential real estate |
i 8,337 |
i 455 |
i 18 |
i 8,810 |
||||||||||||
Consumer: |
||||||||||||||||
Installment |
i 3,477 |
– |
– |
i 3,477 |
||||||||||||
Credit cards |
i 4,376 |
– |
– |
i 4,376 |
||||||||||||
Other |
i 3,622 |
i 501 |
i 327 |
i 4,450 |
||||||||||||
Total loans, gross |
i 108,115 |
i 13,482 |
i 3,179 |
i 124,776 |
||||||||||||
Allowance for loan losses |
( i 3,515 |
) |
– |
– |
( i 3,515 |
) | ||||||||||
Total loans |
$ i 104,600 |
$ i 13,482 |
$ i 3,179 |
$ i 121,261 |
||||||||||||
As of December 2020 |
||||||||||||||||
Loan Type |
||||||||||||||||
Corporate |
$ i 44,778 | $ i 2,751 | $ i 1,130 | $ i 48,659 | ||||||||||||
Wealth management |
i 25,151 | i 7,872 | – | i 33,023 | ||||||||||||
Commercial real estate |
i 17,096 | i 1,961 | i 1,233 | i 20,290 | ||||||||||||
Residential real estate |
i 5,236 | i 494 | i 20 | i 5,750 | ||||||||||||
Consumer: |
||||||||||||||||
Installment |
i 3,823 | – | – | i 3,823 | ||||||||||||
Credit cards |
i 4,270 | – | – | i 4,270 | ||||||||||||
Other |
i 3,211 | i 547 | i 416 | i 4,174 | ||||||||||||
Total loans, gross |
i 103,565 | i 13,625 | i 2,799 | i 119,989 | ||||||||||||
Allowance for loan losses |
( i 3,874 | ) | – | – | ( i 3,874 | ) | ||||||||||
Total loans |
$ i 99,691 | $ i 13,625 | $ i 2,799 | $ i 116,115 | ||||||||||||
| • | Corporate. |
| • | Wealth Management. |
| • | Commercial Real Estate. |
| • | Residential Real Estate. |
| • | Installment. |
| • | Credit Cards. |
| • | Other. |
| Goldman Sachs March 2021 Form 10-Q | 34 |
$ in millions |
Investment- Grade |
|
Non-Investment- Grade |
|
Other Metrics/ Unrated |
|
Total | |||||||||
| As of March 2021 |
||||||||||||||||
| Accounting Method |
||||||||||||||||
| Amortized cost |
$ i 36,914 |
$ i 59,595 |
$ i 11,606 |
$ i 108,115 |
||||||||||||
| Fair value |
i 2,392 |
i 5,802 |
i 5,288 |
i 13,482 |
||||||||||||
| Held for sale |
i 322 |
i 2,496 |
i 361 |
i 3,179 |
||||||||||||
| Total |
$ i 39,628 |
$ i 67,893 |
$ i 17,255 |
$ i 124,776 |
||||||||||||
| Loan Type |
||||||||||||||||
| Corporate |
$ i 10,210 |
$ i 36,920 |
$ |
$ i 47,495 |
||||||||||||
| Wealth management |
i 24,829 |
i 4,995 |
i 5,682 |
i 35,506 |
||||||||||||
| Real estate: |
||||||||||||||||
| Commercial |
i 1,894 |
i 17,925 |
i 843 |
i 20,662 |
||||||||||||
| Residential |
i 539 |
i 7,092 |
i 1,179 |
i 8,810 |
||||||||||||
| Consumer: |
||||||||||||||||
| Installment |
– |
– |
i 3,477 |
i 3,477 |
||||||||||||
| Credit cards |
– |
– |
i 4,376 |
i 4,376 |
||||||||||||
| Other |
i 2,156 |
i 961 |
i 1,333 |
i 4,450 |
||||||||||||
| Total |
$ i 39,628 |
$ i 67,893 |
$ i 17,255 |
$ i 124,776 |
||||||||||||
| Secured |
i 84% |
i 92% |
i 45% |
i 83% |
||||||||||||
| Unsecured |
i 16% |
i 8% |
i 55% |
i 17% |
||||||||||||
| Total |
i 100% |
i 100% |
i 100% |
i 100% |
||||||||||||
| As of December 2020 |
||||||||||||||||
| Accounting Method |
||||||||||||||||
| Amortized cost |
$ i 33,532 | $ i 58,250 | $ i 11,783 | $ i 103,565 | ||||||||||||
| Fair value |
i 2,084 | i 5,925 | i 5,616 | i 13,625 | ||||||||||||
| Held for sale |
i 224 | i 2,152 | i 423 | i 2,799 | ||||||||||||
| Total |
$ i 35,840 | $ i 66,327 | $ i 17,822 | $ i 119,989 | ||||||||||||
| Loan Type |
||||||||||||||||
| Corporate |
$ i 9,478 | $ i 38,704 | $ i 477 | $ i 48,659 | ||||||||||||
| Wealth management |
i 22,098 | i 5,331 | i 5,594 | i 33,023 | ||||||||||||
| Real estate: |
||||||||||||||||
| Commercial |
i 1,792 | i 17,480 | i 1,018 | i 20,290 | ||||||||||||
| Residential |
i 636 | i 3,852 | i 1,262 | i 5,750 | ||||||||||||
| Consumer: |
||||||||||||||||
| Installment |
– | – | i 3,823 | i 3,823 | ||||||||||||
| Credit cards |
– | – | i 4,270 | i 4,270 | ||||||||||||
| Other |
i 1,836 | i 960 | i 1,378 | i 4,174 | ||||||||||||
| Total |
$ i 35,840 | $ i 66,327 | $ i 17,822 | $ i 119,989 | ||||||||||||
| Secured |
i 83% | i 90% | i 46% | i 82% | ||||||||||||
| Unsecured |
i 17% | i 10% | i 54% | i 18% | ||||||||||||
| Total |
i 100% | i 100% | i 100% | i 100% | ||||||||||||
| • | Wealth management loans included in the other metrics/unrated category primarily consists of loans backed by residential real estate and securities, and real estate loans included in the other metrics/unrated category primarily consists of purchased loans. The firm’s risk assessment process for these loans includes reviewing certain key metrics, such as loan-to-value ratio, delinquency status, collateral values, expected cash flows, the Fair Isaac Corporation (FICO) credit score (which measures a borrower’s creditworthiness by considering factors such as payment and credit history) and other risk factors. |
| • | For installment and credit card loans included in the other metrics/unrated category, an important credit-quality indicator is the FICO credit score. FICO credit scores are periodically refreshed by the firm to assess the updated creditworthiness of the borrower. See “Vintage” below for information about installment and credit card loans by FICO credit scores. |
| 35 | Goldman Sachs March 2021 Form 10-Q |
As of March 2021 |
||||||||||||||||
$ in millions |
Investment- Grade |
Non-Investment- Grade |
Other Metrics/ Unrated |
Total |
||||||||||||
| 2021 |
$ i 512 |
$ i 1,772 |
$ – |
$ i 2,284 |
||||||||||||
| 2020 |
i 1,878 |
i 6,685 |
– |
i 8,563 |
||||||||||||
| 2019 |
i 1,360 |
i 5,660 |
– |
i 7,020 |
||||||||||||
| 2018 |
i 1,884 |
i 3,237 |
– |
i 5,121 |
||||||||||||
| 2017 |
i 701 |
i 2,764 |
– |
i 3,465 |
||||||||||||
| 2016 or earlier |
i 419 |
i 2,905 |
– |
i 3,324 |
||||||||||||
| Revolving |
i 2,876 |
i 10,685 |
i 145 |
i 13,706 |
||||||||||||
| Corporate |
i 9,630 |
i 33,708 |
i 145 |
i 43,483 |
||||||||||||
| 2021 |
i 189 |
i 40 |
i 101 |
i 330 |
||||||||||||
| 2020 |
i 519 |
i 222 |
– |
i 741 |
||||||||||||
| 2019 |
i 719 |
i 431 |
– |
i 1,150 |
||||||||||||
| 2018 |
i 323 |
i 90 |
– |
i 413 |
||||||||||||
| 2017 |
i 374 |
i 31 |
– |
i 405 |
||||||||||||
| 2016 or earlier |
i 549 |
i 303 |
– |
i 852 |
||||||||||||
| Revolving |
i 20,618 |
i 1,780 |
i 1,515 |
i 23,913 |
||||||||||||
| Wealth management |
i 23,291 |
i 2,897 |
i 1,616 |
i 27,804 |
||||||||||||
| 2021 |
i 191 |
i 1,411 |
i 1 |
i 1,603 |
||||||||||||
| 2020 |
i 749 |
i 3,051 |
i 17 |
i 3,817 |
||||||||||||
| 2019 |
i 76 |
i 1,911 |
– |
i 1,987 |
||||||||||||
| 2018 |
i 132 |
i 1,950 |
i 8 |
i 2,090 |
||||||||||||
| 2017 |
i 26 |
i 1,595 |
i 11 |
i 1,632 |
||||||||||||
| 2016 or earlier |
– |
i 897 |
i 493 |
i 1,390 |
||||||||||||
| Revolving |
i 193 |
i 4,304 |
– |
i 4,497 |
||||||||||||
| Commercial real estate |
i 1,367 |
i 15,119 |
i 530 |
i 17,016 |
||||||||||||
| 2021 |
– |
i 207 |
i 32 |
i 239 |
||||||||||||
| 2020 |
i 384 |
i 869 |
i 124 |
i 1,377 |
||||||||||||
| 2019 |
– |
i 45 |
i 235 |
i 280 |
||||||||||||
| 2018 |
– |
i 106 |
i 205 |
i 311 |
||||||||||||
| 2017 |
i 8 |
i 53 |
i 144 |
i 205 |
||||||||||||
| 2016 or earlier |
– |
i 1 |
i 66 |
i 67 |
||||||||||||
| Revolving |
i 147 |
i 5,709 |
i 2 |
i 5,858 |
||||||||||||
| Residential real estate |
i 539 |
i 6,990 |
i 808 |
i 8,337 |
||||||||||||
| 2021 |
– |
i 33 |
i 61 |
i 94 |
||||||||||||
| 2020 |
– |
i 75 |
i 444 |
i 519 |
||||||||||||
| 2019 |
– |
i 34 |
i 26 |
i 60 |
||||||||||||
| 2018 |
– |
i 198 |
i 31 |
i 229 |
||||||||||||
| 2017 |
– |
i 7 |
– |
i 7 |
||||||||||||
| Revolving |
i 2,087 |
i 534 |
i 92 |
i 2,713 |
||||||||||||
| Other |
i 2,087 |
i 881 |
i 654 |
i 3,622 |
||||||||||||
| Total |
$ i 36,914 |
$ i 59,595 |
$ i 3,753 |
$ i 100,262 |
||||||||||||
| Percentage of total |
i 37% |
i 59% |
i 4% |
i 100% |
||||||||||||
| As of December 2020 | ||||||||||||||||
$ in millions |
Investment- Grade |
|
Non-Investment- Grade |
|
|
Other Metrics/ Unrated |
|
Total | ||||||||
| 2020 |
$ i 1,978 | $ i 7,545 | $ i 140 | $ i 9,663 | ||||||||||||
| 2019 |
i 889 | i 6,106 | – | i 6,995 | ||||||||||||
| 2018 |
i 2,076 | i 3,555 | – | i 5,631 | ||||||||||||
| 2017 |
i 851 | i 3,083 | – | i 3,934 | ||||||||||||
| 2016 |
i 268 | i 1,262 | – | i 1,530 | ||||||||||||
| 2015 or earlier |
i 351 | i 2,073 | – | i 2,424 | ||||||||||||
| Revolving |
i 2,662 | i 11,891 | i 48 | i 14,601 | ||||||||||||
| Corporate |
i 9,075 | i 35,515 | i 188 | i 44,778 | ||||||||||||
| 2020 |
i 497 | i 313 | – | i 810 | ||||||||||||
| 2019 |
i 723 | i 403 | – | i 1,126 | ||||||||||||
| 2018 |
i 298 | i 87 | – | i 385 | ||||||||||||
| 2017 |
i 377 | i 30 | – | i 407 | ||||||||||||
| 2016 |
i 22 | i 20 | – | i 42 | ||||||||||||
| 2015 or earlier |
i 531 | i 264 | – | i 795 | ||||||||||||
| Revolving |
i 18,077 | i 2,085 | i 1,424 | i 21,586 | ||||||||||||
| Wealth management |
i 20,525 | i 3,202 | i 1,424 | i 25,151 | ||||||||||||
| 2020 |
i 848 | i 3,071 | i 55 | i 3,974 | ||||||||||||
| 2019 |
i 76 | i 1,965 | – | i 2,041 | ||||||||||||
| 2018 |
i 137 | i 2,164 | i 25 | i 2,326 | ||||||||||||
| 2017 |
i 26 | i 1,734 | i 12 | i 1,772 | ||||||||||||
| 2016 |
– | i 165 | i 9 | i 174 | ||||||||||||
| 2015 or earlier |
– | i 775 | i 526 | i 1,301 | ||||||||||||
| Revolving |
i 461 | i 5,047 | – | i 5,508 | ||||||||||||
| Commercial real estate |
i 1,548 | i 14,921 | i 627 | i 17,096 | ||||||||||||
| 2020 |
i 402 | i 976 | i 115 | i 1,493 | ||||||||||||
| 2019 |
– | i 90 | i 271 | i 361 | ||||||||||||
| 2018 |
– | i 123 | i 249 | i 372 | ||||||||||||
| 2017 |
i 9 | i 83 | i 152 | i 244 | ||||||||||||
| 2016 |
– | i 1 | – | i 1 | ||||||||||||
| 2015 or earlier |
– | – | i 70 | i 70 | ||||||||||||
| Revolving |
i 225 | i 2,470 | – | i 2,695 | ||||||||||||
| Residential real estate |
i 636 | i 3,743 | i 857 | i 5,236 | ||||||||||||
| 2020 |
i 242 | i 84 | i 466 | i 792 | ||||||||||||
| 2019 |
– | i 67 | i 29 | i 96 | ||||||||||||
| 2018 |
– | i 46 | – | i 46 | ||||||||||||
| 2017 |
– | i 8 | – | i 8 | ||||||||||||
| Revolving |
i 1,506 | i 664 | i 99 | i 2,269 | ||||||||||||
| Other |
i 1,748 | i 869 | i 594 | i 3,211 | ||||||||||||
| Total |
$ i 33,532 | $ i 58,250 | $ i 3,690 | $ i 95,472 | ||||||||||||
| Percentage of total |
i 35% | i 61% | i 4% | i 100% | ||||||||||||
| Goldman Sachs March 2021 Form 10-Q | 36 |
$ in millions |
Greater than or equal to 660 |
|
Less than 660 | Total | ||||||||
| As of March 2021 |
||||||||||||
| 2021 |
$ i 310 |
$ i 1 |
$ i 311 |
|||||||||
| 2020 |
i 1,153 |
i 43 |
i 1,196 |
|||||||||
| 2019 |
i 1,016 |
i 112 |
i 1,128 |
|||||||||
| 2018 |
i 611 |
i 112 |
i 723 |
|||||||||
| 2017 |
i 93 |
i 21 |
i 114 |
|||||||||
| 2016 |
i 4 |
i 1 |
i 5 |
|||||||||
| Installment |
i 3,187 |
i 290 |
i 3,477 |
|||||||||
| Credit cards |
i 3,397 |
i 979 |
i 4,376 |
|||||||||
| Total |
$ i 6,584 |
$ i 1,269 |
$ i 7,853 |
|||||||||
| Percentage of total: |
||||||||||||
| Installment |
i 92% |
i 8% |
i 100% |
|||||||||
| Credit cards |
i 78% |
i 22% |
i 100% |
|||||||||
| Total |
i 84% |
i 16% |
i 100% |
|||||||||
| As of December 2020 |
||||||||||||
| 2020 |
$ i 1,321 | $ i 38 | $ i 1,359 | |||||||||
| 2019 |
i 1,225 | i 132 | i 1,357 | |||||||||
| 2018 |
i 792 | i 150 | i 942 | |||||||||
| 2017 |
i 128 | i 30 | i 158 | |||||||||
| 2016 |
i 6 | i 1 | i 7 | |||||||||
| Installment |
i 3,472 | i 351 | i 3,823 | |||||||||
| Credit cards |
i 3,398 | i 872 | i 4,270 | |||||||||
| Total |
$ i 6,870 | $ i 1,223 | $ i 8,093 | |||||||||
| Percentage of total: |
||||||||||||
| Installment |
i 91% | i 9% | i 100% | |||||||||
| Credit cards |
i 80% | i 20% | i 100% | |||||||||
| Total |
i 85% | i 15% | i 100% | |||||||||
$ in millions |
Carrying Value |
|
Americas | EMEA | Asia | Total | ||||||||||||||
| As of March 2021 |
||||||||||||||||||||
| Corporate |
$ i 47,495 |
i 57% |
i 33% |
i 10% |
i 100% |
|||||||||||||||
| Wealth management |
i 35,506 |
i 88% |
i 9% |
i 3% |
i 100% |
|||||||||||||||
| Commercial real estate |
i 20,662 |
i 72% |
i 20% |
i 8% |
i 100% |
|||||||||||||||
| Residential real estate |
i 8,810 |
i 93% |
i 5% |
i 2% |
i 100% |
|||||||||||||||
| Consumer: |
||||||||||||||||||||
| Installment |
i 3,477 |
i 100% |
– |
– |
i 100% |
|||||||||||||||
| Credit cards |
i 4,376 |
i 100% |
– |
– |
i 100% |
|||||||||||||||
| Other |
i 4,450 |
i 83% |
i 16% |
i 1% |
i 100% |
|||||||||||||||
| Total |
$ i 124,776 |
i 75% |
i 19% |
i 6% |
i 100% |
|||||||||||||||
| As of December 2020 |
||||||||||||||||||||
| Corporate |
$ i 48,659 | i 60% | i 31% | i 9% | i 100% | |||||||||||||||
| Wealth management |
i 33,023 | i 88% | i 10% | i 2% | i 100% | |||||||||||||||
| Commercial real estate |
i 20,290 | i 71% | i 19% | i 10% | i 100% | |||||||||||||||
| Residential real estate |
i 5,750 | i 88% | i 9% | i 3% | i 100% | |||||||||||||||
| Consumer: |
||||||||||||||||||||
| Installment |
i 3,823 | i 100% | – | – | i 100% | |||||||||||||||
| Credit cards |
i 4,270 | i 100% | – | – | i 100% | |||||||||||||||
| Other |
i 4,174 | i 81% | i 17% | i 2% | i 100% | |||||||||||||||
| Total |
$ i 119,989 | i 75% | i 19% | i 6% | i 100% | |||||||||||||||
| • | EMEA represents Europe, Middle East and Africa. |
| • | The top five industry concentrations for corporate loans as of March 2021 were i 19 % for technology, media & telecommunications ( i 17%
as of December 2020), i 16 % for diversified industrials ( i 17%
as of December 2020), i 14% for funds ( i 13%
as of December 2020), i 11% for natural resources & utilities ( i 12%
as of December 2020), and i 10% for financial institutions ( i 10%
as of December 2020). |
| 37 | Goldman Sachs March 2021 Form 10-Q |
$ in millions |
30-89 days |
90 days or more |
|
Total | ||||||||
| As of March 2021 |
||||||||||||
| Corporate |
$ |
$ i 80 |
$ i 80 |
|||||||||
| Wealth management |
i 5 |
i 34 |
i 39 |
|||||||||
| Commercial real estate |
i 61 |
i 178 |
i 239 |
|||||||||
| Residential real estate |
i 4 |
i 20 |
i 24 |
|||||||||
| Consumer: |
||||||||||||
| Installment |
i 30 |
i 13 |
i 43 |
|||||||||
| Credit cards |
i 36 |
i 43 |
i 79 |
|||||||||
| Other |
i 21 |
i 4 |
i 25 |
|||||||||
| Total |
$ i 157 |
$ i 372 |
$ i 529 |
|||||||||
| Total divided by gross loans at amortized cost |
|
i 0.5% |
||||||||||
| As of December 2020 |
||||||||||||
| Corporate |
$ |
$ i 294 | $ i 294 | |||||||||
| Wealth management |
i 58 | i 34 | i 92 | |||||||||
| Commercial real estate |
i 49 | i 183 | i 232 | |||||||||
| Residential real estate |
i 4 | i 23 | i 27 | |||||||||
| Consumer: |
||||||||||||
| Installment |
i 42 | i 16 | i 58 | |||||||||
| Credit cards |
i 46 | i 31 | i 77 | |||||||||
| Other |
i 20 | i 4 | i 24 | |||||||||
| Total |
$ i 219 | $ i 585 | $ i 804 | |||||||||
| Total divided by gross loans at amortized cost |
|
i 0.8% | ||||||||||
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Corporate |
$ i 2,321 |
$ i 2,651 | ||||||
| Wealth management |
i 60 |
i 61 | ||||||
| Commercial real estate |
i 633 |
i 649 | ||||||
| Residential real estate |
i 21 |
i 25 | ||||||
| Installment |
i 47 |
i 44 | ||||||
| Other |
i 79 |
i 122 | ||||||
| Total |
$ i 3,161 |
$ i 3,552 | ||||||
| Total divided by gross loans at amortized cost |
i 2.9% |
i 3.4% | ||||||
| • | Nonaccrual loans included $ i 321 million as of March 2021 and $ i 533 million
as of December 2020 of loans that were 30 days or more past due. |
| • | Loans that were 90 days or more past due and still accruing were not material as of both March 2021 and December 2020. |
| • | Nonaccrual loans included $ i i 315 / million
as of both March 2021 and December 2020 of corporate and commercial real estate loans that were modified in a troubled debt restructuring. The firm’s lending commitments related to these loans were not material as of both March 2021 and December 2020. Installment loans that were modified in a troubled debt restructuring were not material as of both March 2021 and December 2020. |
| Goldman Sachs March 2021 Form 10-Q | 38 |
| As of | ||||||||||||||||||
March 2021 |
December 2020 | |||||||||||||||||
$ in millions |
Loans |
Lending Commitments |
Loans |
Lending Commitments |
||||||||||||||
| Wholesale |
||||||||||||||||||
| Corporate |
$ i 43,483 |
$ i 146,169 |
$ i 44,778 | $ i 127,756 | ||||||||||||||
| Wealth management |
i 27,804 |
i 3,603 |
i 25,151 | i 2,314 | ||||||||||||||
| Commercial real estate |
i 17,016 |
i 3,736 |
i 17,096 | i 4,154 | ||||||||||||||
| Residential real estate |
i 8,337 |
i 3,400 |
i 5,236 | i 1,804 | ||||||||||||||
| Other |
i 3,622 |
i 4,707 |
i 3,211 | i 4,841 | ||||||||||||||
| Consumer |
||||||||||||||||||
| Installment |
i 3,477 |
i 5 |
i 3,823 | i 4 | ||||||||||||||
| Credit cards |
i 4,376 |
i 26,491 |
i 4,270 | i 21,640 | ||||||||||||||
| Total |
$ i 108,115 |
$ i 188,111 |
$ i 103,565 | $ i 162,513 | ||||||||||||||
| • | Wholesale loans included $ i 3.11 billion as of March 2021 and $ i 3.51 billion
as of December 2020 of nonaccrual loans for which the allowance for credit losses was measured on an asset-specific basis. The allowance for credit losses on these loans was $ i 599 million as of March 2021 and $ i 649 million
as of December 2020. These loans included $ i 479 million as of March 2021 and $ i 584 million
as of December 2020 of loans which did not require a reserve as the loan was deemed to be recoverable. |
| • | Credit card lending commitments included $ i 24.54 billion as of March 2021 and $ i 21.64 billion
as of December 2020 related to credit card lines issued by the firm to consumers. These credit card lines are cancellable by the firm. Credit card lending commitments also included approximately $ i 2.0 billion as of March 2021 related to a commitment to acquire the General Motors co-branded credit card portfolio. |
| 39 | Goldman Sachs March 2021 Form 10-Q |
$ in millions |
Wholesale | Consumer | Total | |||||||||
| Three Months Ended March 2021 |
| |||||||||||
| Allowance for loan losses |
| |||||||||||
| Beginning balance |
$ i 2,584 |
$ i 1,290 |
$ i 3,874 |
|||||||||
| Net charge-offs |
( i 17 |
) |
( i 61 |
) |
( i 78 |
) | ||||||
| Provision |
( i 130 |
) |
( i 122 |
) |
( i 252 |
) | ||||||
| Other |
( i 29 |
) |
– |
( i 29 |
) | |||||||
| Ending balance |
$ i 2,408 |
$ i 1,107 |
$ i 3,515 |
|||||||||
| Allowance ratio |
i 2.4% |
i 14.1% |
i 3.3% |
|||||||||
| Net charge-off ratio |
i 0.1% |
i 3.1% |
i 0.3% |
|||||||||
| Allowance for losses on lending commitments |
| |||||||||||
| Beginning balance |
$ |
$ – |
$ |
|||||||||
| Provision |
i 2 |
i 180 |
i 182 |
|||||||||
| Other |
( i 18 |
) |
– |
( i 18 |
) | |||||||
| Ending balance |
$ i 541 |
$ i 180 |
$ |
|||||||||
| Three Months Ended March 2020 |
| |||||||||||
| Allowance for loan losses |
| |||||||||||
| Beginning balance |
$ i 1,331 | $ i 837 | $ i 2,168 | |||||||||
| Net charge-offs |
( i 50 | ) | ( i 81 | ) | ( i 131 | ) | ||||||
| Provision |
i 746 | i 169 | i 915 | |||||||||
| Other |
( i 84 | ) | – | ( i 84 | ) | |||||||
| Ending balance |
$ i 1,943 | $ i 925 | $ i 2,868 | |||||||||
| Allowance ratio |
i 1.8% | i 13.4% | i 2.5% | |||||||||
| Net charge-off ratio |
i 0.2% | i 4.8% | i 0.5% | |||||||||
| Allowance for losses on lending commitments |
| |||||||||||
| Beginning balance |
$ i 313 | $ |
$ i 313 | |||||||||
| Provision |
i 22 | – | i 22 | |||||||||
| Ending balance |
$ i 335 | $ |
$ i 335 | |||||||||
| • | Other represents the reduction to the allowance related to loans and lending commitments transferred to held for sale. |
| • | The allowance ratio is calculated by dividing the allowance for loan losses by gross loans accounted for at amortized cost. |
| • | The net charge-off ratio is calculated by dividing annualized net charge-offs by average gross loans accounted for at amortized cost. |
| • | The beginning balance for the allowance for loan losses and allowance for losses on lending commitments for the three months ended March 2020 reflects the cumulative effect of measuring the allowance under the CECL standard as of January 1, 2020. The cumulative effect was an increase in the allowance for credit losses of $ i 679 million, which consisted of (i) an increase in the allowance for loan losses of $ i 727 million
(an increase in the allowance for wholesale loans of $ i 452 million, an increase in the allowance for consumer loans of $ i 444 million
and a decrease in the allowance for PCI loans of $ i 169 million) and (ii) a decrease in the allowance for lending commitments of $ i 48 million.
|
| Goldman Sachs March 2021 Form 10-Q | 40 |
U.S. Unemployment Rate |
Growth/(Decline) in U.S. GDP |
|||||||
Forecast for the quarter ended: |
||||||||
June 2021 |
i 5.5 % to i 11.0 % |
i 1.2 % to ( i 7.0 )% |
||||||
December 2021 |
i 4.7% to i 9.5% |
i 4.8% to ( i 3.8 )% |
||||||
June 2022 |
i 4.4% to i 7.1% |
i 6.5% to ( i 0.4 )% |
||||||
| • | U.S. unemployment rate represents the rate forecasted as of the respective quarter-end. |
| • | Growth/(decline) in U.S. GDP represents the change in quarterly U.S. GDP relative to the U.S. GDP for the fourth quarter of 2019 (pre-pandemic levels). |
| • | Recovery of quarterly U.S. GDP to its pre-pandemic levels in the three scenarios ranges from the quarters ending June 2021 to September 2022. |
| • | While the U.S. unemployment and U.S. GDP growth rates are significant inputs to the forecast model, the model contemplates a variety of other inputs across a range of scenarios to provide a forecast of future economic conditions. Given the complex nature of the forecasting process, no single economic variable can be viewed in isolation and independently of other inputs. |
$ in millions |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
As of March 2021 |
||||||||||||||||
Loan Type |
||||||||||||||||
Corporate |
$ – |
$ i 2,049 |
$ |
$ i 3,025 |
||||||||||||
Wealth management |
– |
i 7,639 |
i 63 |
i 7,702 |
||||||||||||
Commercial real estate |
– |
i 771 |
i 1,028 |
i 1,799 |
||||||||||||
Residential real estate |
– |
i 279 |
i 176 |
i 455 |
||||||||||||
Other |
– |
i 213 |
i 288 |
i 501 |
||||||||||||
Total |
$ – |
$ i 10,951 |
$ i 2,531 |
$ i 13,482 |
||||||||||||
As of December 2020 |
||||||||||||||||
Loan Type |
||||||||||||||||
Corporate |
$ – | $ i 1,822 | $ i 929 | $ i 2,751 | ||||||||||||
Wealth management |
– | i 7,809 | i 63 | i 7,872 | ||||||||||||
Commercial real estate |
– | i 857 | i 1,104 | i 1,961 | ||||||||||||
Residential real estate |
– | i 234 | i 260 | i 494 | ||||||||||||
Other |
– | i 225 | i 322 | i 547 | ||||||||||||
Total |
$ – | $ i 10,947 | $ i 2,678 | $ i 13,625 | ||||||||||||
| 41 | Goldman Sachs March 2021 Form 10-Q |
As of March 2021 |
As of December 2020 | |||||||||||||||||||
$ in millions |
Amount or Range |
Weighted Average |
|
Amount or Range |
|
Weighted Average |
| |||||||||||||
Corporate |
||||||||||||||||||||
Level 3 assets |
$ i 976 |
$ i 929 | ||||||||||||||||||
Yield |
i 2.0% to i 36.6% |
13.9% |
i 1.1% to i 45.2% | 12.4% | ||||||||||||||||
Recovery rate |
i 15.0% to i 99.0% |
57.3% |
i 15.0% to i 58.0% | 31.0% | ||||||||||||||||
Duration (years) |
i 0.7 to i 14.6 |
i 3.8 |
i 1.5 to i 5.3 | i 3.4 | ||||||||||||||||
Commercial real estate |
||||||||||||||||||||
Level 3 assets |
$ i 1,028 |
$ i 1,104 | ||||||||||||||||||
Yield |
i 1.1% to i 20.7% |
11.5% |
i 4.5% to i 19.3% | 11.0% | ||||||||||||||||
Recovery rate |
i 10.9% to i 99.8% |
65.0% |
i 3.0% to i 99.8% | 66.5% | ||||||||||||||||
Duration (years) |
i 0.3 to i 4.6 |
i 2.3 |
i 0.3 to i 4.8 | i 2.6 | ||||||||||||||||
Residential real estate |
||||||||||||||||||||
Level 3 assets |
$ i 176 |
$ i 260 | ||||||||||||||||||
Yield |
i 1.5% to i 13.5% |
11.2% |
i 2.0% to i 14.0% | 12.1% | ||||||||||||||||
Duration (years) |
i 0.5 to i 2.4 |
i 1.3 |
i 0.6 to i 2.6 | i 1.7 | ||||||||||||||||
Wealth management and other |
||||||||||||||||||||
Level 3 assets |
$ i 351 |
$ i 385 | ||||||||||||||||||
Yield |
i 3.8% to i 18.7% |
8.4% |
i 2.8% to i 18.7% | 8.0% | ||||||||||||||||
Duration (years) |
i 3.1 to i 5.0 |
i 3.8 |
i 0.9 to i 5.5 | i 4.1 | ||||||||||||||||
| • | Ranges represent the significant unobservable inputs that were used in the valuation of each type of loan. |
| • | Weighted averages are calculated by weighting each input by the relative fair value of the loan. |
| • | The ranges and weighted averages of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one loan. For example, the highest yield for residential real estate loans is appropriate for valuing a specific residential real estate loan but may not be appropriate for valuing any other residential real estate loan. Accordingly, the ranges of inputs do not represent uncertainty in, or possible ranges of, fair value measurements of level 3 loans. |
| • | Increases in yield or duration used in the valuation of level 3 loans would have resulted in a lower fair value measurement, while increases in recovery rate would have resulted in a higher fair value measurement as of both March 2021 and December 2020. Due to the distinctive nature of each level 3 loan, the interrelationship of inputs is not necessarily uniform within each product type. |
| • | Loans are valued using discounted cash flows. |
Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Beginning balance |
$ i 2,678 |
$ i 1,890 | ||||||
Net realized gains/(losses) |
i 26 |
i 27 | ||||||
Net unrealized gains/(losses) |
( i 11 |
) |
( i 54 | ) | ||||
Purchases |
i 31 |
i 473 | ||||||
Sales |
– |
( i 12 | ) | |||||
Settlements |
( i 164 |
) |
( i 221 | ) | ||||
Transfers into level 3 |
i 84 |
i 653 | ||||||
Transfers out of level 3 |
( i 113 |
) |
( i 3 | ) | ||||
Ending balance |
$ i 2,531 |
$ i 2,753 | ||||||
| • | Changes in fair value are presented for loans that are classified in level 3 as of the end of the period. |
| • | Net unrealized gains/(losses) relates to loans that were still held at period-end. |
| • | Purchases includes originations and secondary purchases. |
| • | Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. If a loan was transferred to level 3 during a reporting period, its entire gain or loss for the period is classified in level 3. |
| Goldman Sachs March 2021 Form 10-Q | 42 |
Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Corporate |
||||||||
Beginning balance |
$ i 929 |
$ i 752 | ||||||
Net realized gains/(losses) |
i 6 |
i 10 | ||||||
Net unrealized gains/(losses) |
i 6 |
( i 11 | ) | |||||
Purchases |
i 22 |
i 156 | ||||||
Sales |
– |
( i 7 | ) | |||||
Settlements |
( i 33 |
) |
( i 40 | ) | ||||
Transfers into level 3 |
i 84 |
i 187 | ||||||
Transfers out of level 3 |
( i 38 |
) |
( i 3 | ) | ||||
Ending balance |
$ i 976 |
$ i 1,044 | ||||||
Commercial real estate |
||||||||
Beginning balance |
$ i 1,104 |
$ i 591 | ||||||
Net realized gains/(losses) |
i 7 |
i 17 | ||||||
Net unrealized gains/(losses) |
( i 14 |
) |
i 7 | |||||
Purchases |
i 8 |
i 236 | ||||||
Sales |
– |
( i 5 | ) | |||||
Settlements |
( i 73 |
) |
( i 115 | ) | ||||
Transfers into level 3 |
– |
i 332 | ||||||
Transfers out of level 3 |
( i 4 |
) |
– | |||||
Ending balance |
$ i 1,028 |
$ i 1,063 | ||||||
Residential real estate |
||||||||
Beginning balance |
$ i 260 |
$ i 221 | ||||||
Net realized gains/(losses) |
i 3 |
– | ||||||
Net unrealized gains/(losses) |
( i 1 |
) |
( i 17 | ) | ||||
Purchases |
– |
i 42 | ||||||
Settlements |
( i 15 |
) |
( i 27 | ) | ||||
Transfers into level 3 |
– |
i 41 | ||||||
Transfers out of level 3 |
( i 71 |
) |
– | |||||
Ending balance |
$ i 176 |
$ i 260 | ||||||
Wealth management and other |
||||||||
Beginning balance |
$ i 385 |
$ i 326 | ||||||
Net realized gains/(losses) |
i 10 |
– | ||||||
Net unrealized gains/(losses) |
( i 2 |
) |
( i 33 | ) | ||||
Purchases |
i 1 |
i 39 | ||||||
Settlements |
( i 43 |
) |
( i 39 | ) | ||||
Transfers into level 3 |
– |
i 93 | ||||||
Ending balance |
$ i 351 |
$ i 386 | ||||||
Carrying Value |
Estimated Fair Value | |||||||||||||||||
$ in millions |
Level 2 | Level 3 | Total | |||||||||||||||
As of March 2021 |
||||||||||||||||||
Amortized cost |
$ i 104,600 |
$ i 60,861 |
$ i 45,209 |
$ i 106,070 |
||||||||||||||
Held for sale |
$ i 3,179 |
$ i 2,295 |
$ i 895 |
$ i 3,190 |
||||||||||||||
As of December 2020 |
||||||||||||||||||
Amortized cost |
$ i 99,691 | $ i 52,793 | $ i 48,512 | $ i 101,305 | ||||||||||||||
Held for sale |
$ i 2,799 | $ i 1,541 | $ i 1,271 | $ i 2,812 | ||||||||||||||
| 43 | Goldman Sachs March 2021 Form 10-Q |
| • | Reflect economic events in earnings on a timely basis; |
| • | Mitigate volatility in earnings from using different measurement attributes (e.g., transfers of financial assets accounted for as financings are recorded at fair value, whereas the related secured financing would be recorded on an accrual basis absent electing the fair value option); and |
| • | Address simplification and cost-benefit considerations (e.g., accounting for hybrid financial instruments at fair value in their entirety versus bifurcation of embedded derivatives and hedge accounting for debt hosts). |
| • | Repurchase agreements and resale agreements; |
| • | Certain securities borrowed and loaned transactions; |
| • | Substantially all other secured financings, including transfers of assets accounted for as financings; |
| • | Certain unsecured short- and long-term borrowings, substantially all of which are hybrid financial instruments; |
| • | Certain customer and other receivables, including certain margin loans; and |
| • | Certain time deposits (deposits with no stated maturity are not eligible for a fair value option election), including structured certificates of deposit, which are hybrid financial instruments. |
$ in millions |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
As of March 2021 |
||||||||||||||||
Assets |
||||||||||||||||
Resale agreements |
$ – |
$ i 146,084 |
$ |
$ i 146,084 |
||||||||||||
Securities borrowed |
– |
i 31,554 |
– |
i 31,554 |
||||||||||||
Customer and other receivables |
– |
i 49 |
– |
i 49 |
||||||||||||
Total |
$ – |
$ i 177,687 |
$ |
$ i 177,687 |
||||||||||||
Liabilities |
||||||||||||||||
Deposits |
$ – |
$ ( i 28,245 |
) |
$ ( i 3,984 |
) |
$ ( i 32,229 |
) | |||||||||
Repurchase agreements |
– |
( i 130,606 |
) |
( i 1 |
) |
( i 130,607 |
) | |||||||||
Securities loaned |
– |
( i 3,678 |
) |
– |
( i 3,678 |
) | ||||||||||
Other secured financings |
– |
( i 22,973 |
) |
( i 3,224 |
) |
( i 26,197 |
) | |||||||||
Unsecured borrowings: |
||||||||||||||||
Short-term |
– |
( i 20,239 |
) |
( i 10,246 |
) |
( i 30,485 |
) | |||||||||
Long-term |
– |
( i 29,725 |
) |
( i 10,177 |
) |
( i 39,902 |
) | |||||||||
Other liabilities |
– |
( i 1 |
) |
( i 159 |
) |
( i 160 |
) | |||||||||
Total |
$ – |
$( i 235,467 |
) |
$( i 27,791 |
) |
$( i 263,258 |
) | |||||||||
As of December 2020 |
||||||||||||||||
Assets |
||||||||||||||||
Resale agreements |
$ – | $ |
$ |
$ |
||||||||||||
Securities borrowed |
– | i 28,898 | – | i 28,898 | ||||||||||||
Customer and other receivables |
– | i 82 | – | i 82 | ||||||||||||
Total |
$ – | $ |
$ |
$ |
||||||||||||
Liabilities |
||||||||||||||||
Deposits |
$ – | $ |
) | $ |
) | $ |
) | |||||||||
Repurchase agreements |
– | ( i 126,569 | ) | ( i 2 | ) | ( i 126,571 | ) | |||||||||
Securities loaned |
– | ( i 1,053 | ) | – | ( i 1,053 | ) | ||||||||||
Other secured financings |
– | ( i 20,652 | ) | ( i 3,474 | ) | ( i 24,126 | ) | |||||||||
Unsecured borrowings: |
||||||||||||||||
Short-term |
– | ( i 19,227 | ) | ( i 7,523 | ) | ( i 26,750 | ) | |||||||||
Long-term |
– | ( i 28,335 | ) | ( i 12,576 | ) | ( i 40,911 | ) | |||||||||
Other liabilities |
– | ( i 1 | ) | ( i 262 | ) | ( i 263 | ) | |||||||||
Total |
$ – | $ |
) | $ |
) | $ |
) | |||||||||
| Goldman Sachs March 2021 Form 10-Q | 44 |
| • | Yield: 1.4% to 7.1% (weighted average: 2.4%) |
| • | Duration: i 1.4 to i 7.8 years
(weighted average: i 4.0 years) |
| • | Yield: 1.4% to 7.1% (weighted average: 2.7%) |
| • | Duration: i 1.4 to i 8.0 years
(weighted average: i 4.0 years) |
Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Beginning balance |
$( i 28,058 |
) |
$( i 21,036 | ) | ||||
Net realized gains/(losses) |
( i 146 |
) |
( i 130 | ) | ||||
Net unrealized gains/(losses) |
i 375 |
i 3,160 | ||||||
Issuances |
( i 8,645 |
) |
( i 7,643 | ) | ||||
Settlements |
i 7,070 |
i 5,157 | ||||||
Transfers into level 3 |
( i 641 |
) |
( i 1,596 | ) | ||||
Transfers out of level 3 |
i 2,254 |
i 438 | ||||||
Ending balance |
$( i 27,791 |
) |
$( i 21,650 | ) | ||||
| • | Changes in fair value are presented for all other financial liabilities that are classified in level 3 as of the end of the period. |
| • | Net unrealized gains/(losses) relates to other financial liabilities that were still held at period-end. |
| • | Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. If a financial liability was transferred to level 3 during a reporting period, its entire gain or loss for the period is classified in level 3. |
| • | For level 3 other financial liabilities, increases are shown as negative amounts, while decreases are shown as positive amounts. |
| • | Level 3 other financial liabilities are frequently economically hedged with trading assets and liabilities. Accordingly, gains or losses that are classified in level 3 can be partially offset by gains or losses attributable to level 1, 2 or 3 trading assets and liabilities. As a result, gains or losses included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources. |
| 45 | Goldman Sachs March 2021 Form 10-Q |
Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Deposits |
||||||||
Beginning balance |
$ ( i 4,221 |
) |
$ ( i 4,023 | ) | ||||
Net realized gains/(losses) |
( i 7 |
) |
( i 11 | ) | ||||
Net unrealized gains/(losses) |
( i 2 |
) |
i 117 | |||||
Issuances |
( i 93 |
) |
( i 335 | ) | ||||
Settlements |
i 307 |
i 309 | ||||||
Transfers into level 3 |
( i 27 |
) |
( i 121 | ) | ||||
Transfers out of level 3 |
i 59 |
i 68 | ||||||
Ending balance |
$ ( i 3,984 |
) |
$ ( i 3,996 | ) | ||||
Repurchase agreements |
||||||||
Beginning balance |
$ ( i 2 |
) |
$ ( i 30 | ) | ||||
Net unrealized gains/(losses) |
– |
i 3 | ||||||
Settlements |
i 1 |
i 15 | ||||||
Ending balance |
$ ( i 1 |
) |
$ ( i 12 | ) | ||||
Other secured financings |
||||||||
Beginning balance |
$ ( i 3,474 |
) |
$ ( i 386 | ) | ||||
Net realized gains/(losses) |
i 3 |
( i 44 | ) | |||||
Net unrealized gains/(losses) |
i 36 |
i 107 | ||||||
Issuances |
( i 66 |
) |
( i 14 | ) | ||||
Settlements |
i 99 |
i 92 | ||||||
Transfers into level 3 |
( i 266 |
) |
( i 985 | ) | ||||
Transfers out of level 3 |
i 444 |
– | ||||||
Ending balance |
$ ( i 3,224 |
) |
$ ( i 1,230 | ) | ||||
Unsecured short-term borrowings |
||||||||
Beginning balance |
$ ( i 7,523 |
) |
$ ( i 5,707 | ) | ||||
Net realized gains/(losses) |
( i 74 |
) |
( i 11 | ) | ||||
Net unrealized gains/(losses) |
( i 62 |
) |
i 1,538 | |||||
Issuances |
( i 6,891 |
) |
( i 3,954 | ) | ||||
Settlements |
i 3,607 |
i 2,718 | ||||||
Transfers into level 3 |
( i 202 |
) |
( i 270 | ) | ||||
Transfers out of level 3 |
i 899 |
i 275 | ||||||
Ending balance |
$( i 10,246 |
) |
$ ( i 5,411 | ) | ||||
Unsecured long-term borrowings |
||||||||
Beginning balance |
$( i 12,576 |
) |
$( i 10,741 | ) | ||||
Net realized gains/(losses) |
( i 76 |
) |
( i 72 | ) | ||||
Net unrealized gains/(losses) |
i 300 |
i 1,571 | ||||||
Issuances |
( i 1,587 |
) |
( i 3,332 | ) | ||||
Settlements |
i 3,056 |
i 2,023 | ||||||
Transfers into level 3 |
( i 146 |
) |
( i 220 | ) | ||||
Transfers out of level 3 |
i 852 |
i 95 | ||||||
Ending balance |
$( i 10,177 |
) |
$( i 10,676 | ) | ||||
Other liabilities |
||||||||
Beginning balance |
$ ( i 262 |
) |
$ ( i 149 | ) | ||||
Net realized gains/(losses) |
i 8 |
i 8 | ||||||
Net unrealized gains/(losses) |
i 103 |
( i 176 | ) | |||||
Issuances |
( i 8 |
) |
( i 8 | ) | ||||
Ending balance |
$ ( i 159 |
) |
$ ( i 325 | ) | ||||
| Goldman Sachs March 2021 Form 10-Q | 46 |
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Unsecured short-term borrowings |
$ ( i 960 |
) |
$ i 4,481 | |||||
| Unsecured long-term borrowings |
( i 229 |
) |
i 992 | |||||
| Other |
i 106 |
i 398 | ||||||
| Total |
$( i 1,083 |
) |
$ i 5,871 | |||||
| • | Gains/(losses) were substantially all included in market making. |
| • | Gains/(losses) exclude contractual interest, which is included in interest income and interest expense, for all instruments other than hybrid financial instruments. See Note 23 for further information about interest income and interest expense. |
| • | Gains/(losses) included in unsecured short- and long-term borrowings were substantially all related to the embedded derivative component of hybrid financial instruments for both the three months ended March 2021 and March 2020. These gains and losses would have been recognized under other U.S. GAAP even if the firm had not elected to account for the entire hybrid financial instrument at fair value. |
| • | Other primarily consists of gains/(losses) on customer and other receivables, deposits, other secured financings and other liabilities. |
| • | Other financial assets and liabilities at fair value are frequently economically hedged with trading assets and liabilities. Accordingly, gains or losses on such other financial assets and liabilities can be partially offset by gains or losses on trading assets and liabilities. As a result, gains or losses on other financial assets and liabilities do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources. |
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| DVA (pre-tax) |
$( i 29 |
) |
$ i 3,871 | |||||
| DVA (net of tax) |
$( i 19 |
) |
$ i 2,914 | |||||
| • | DVA (net of tax) is included in debt valuation adjustment in the consolidated statements of comprehensive income. |
| • | The gains/(losses) reclassified to earnings from accumulated other comprehensive income/(loss) upon extinguishment of such financial liabilities were not material for both the three months ended March 2021 and March 2020. |
| 47 | Goldman Sachs March 2021 Form 10-Q |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Performing loans |
||||||||
| Aggregate contractual principal in excess of fair value |
$ i 1,048 |
$ i 958 | ||||||
| Loans on nonaccrual status and/or more than 90 days past due |
| |||||||
| Aggregate contractual principal in excess of fair value |
$ i 11,005 |
$ i 10,526 | ||||||
| Aggregate fair value |
$ i 4,060 |
$ i 3,519 | ||||||
| Goldman Sachs March 2021 Form 10-Q | 48 |
| Assets | Liabilities | |||||||||||||||||
$ in millions |
Resale agreements |
|
Securities borrowed |
|
Repurchase agreements |
|
Securities loaned |
| ||||||||||
| As of March 2021 |
|
|||||||||||||||||
| Included in the consolidated balance sheets |
| |||||||||||||||||
| Gross carrying value |
$ i 222,884 |
$ |
$ i 207,407 |
$ |
||||||||||||||
| Counterparty netting |
( i 76,800 |
) |
( i 4,434 |
) |
( i 76,800 |
) |
( i 4,434 |
) | ||||||||||
| Total |
i 146,084 |
i 178,245 |
i 130,607 |
i 34,345 |
||||||||||||||
| Amounts not offset |
|
|||||||||||||||||
| Counterparty netting |
( i 14,874 |
) |
( i 10,739 |
) |
( i 14,874 |
) |
( i 10,739 |
) | ||||||||||
| Collateral |
( i 128,260 |
) |
( i 158,552 |
) |
( i 112,422 |
) |
( i 21,140 |
) | ||||||||||
| Total |
$ i 2,950 |
$ |
$ |
$ |
||||||||||||||
| As of December 2020 |
|
|||||||||||||||||
| Included in the consolidated balance sheets |
| |||||||||||||||||
| Gross carrying value |
$ i 205,817 | $ i 147,593 | $ i 224,328 | $ i 27,054 | ||||||||||||||
| Counterparty netting |
( i 97,757 | ) | ( i 5,433 | ) | ( i 97,757 | ) | ( i 5,433 | ) | ||||||||||
| Total |
i 108,060 | i 142,160 | i 126,571 | i 21,621 | ||||||||||||||
| Amounts not offset |
|
|||||||||||||||||
| Counterparty netting |
( i 8,920 | ) | ( i 3,525 | ) | ( i 8,920 | ) | ( i 3,525 | ) | ||||||||||
| Collateral |
( i 96,140 | ) | ( i 132,893 | ) | ( i 116,819 | ) | ( i 17,693 | ) | ||||||||||
| Total |
$ i 3,000 | $ i 5,742 | $ i 832 | $ i 403 | ||||||||||||||
| • | Substantially all of the gross carrying values of these arrangements are subject to enforceable netting agreements. |
| • | Where the firm has received or posted collateral under credit support agreements, but has not yet determined such agreements are enforceable, the related collateral has not been netted. |
| • | Amounts not offset includes counterparty netting that does not meet the criteria for netting under U.S. GAAP and the fair value of collateral received or posted subject to enforceable credit support agreements. |
| • | Resale agreements and repurchase agreements are carried at fair value under the fair value option. See Note 4 for further information about the valuation techniques and significant inputs used to determine fair value. |
| • | Securities borrowed included in the consolidated balance sheets of $ i 31.55 billion as of March 2021 and $ i 28.90 billion as
of December 2020, and securities loaned of $ i 3.68 billion as of March 2021 and $ i 1.05 billion
as of December 2020 were at fair value under the fair value option. See Note 10 for further information about securities borrowed and securities loaned accounted for at fair value. |
| 49 | Goldman Sachs March 2021 Form 10-Q |
$ in millions |
Repurchase agreements |
|
Securities loaned |
| ||||
| As of March 2021 |
||||||||
| Money market instruments |
$ |
$ |
||||||
| U.S. government and agency obligations |
i 86,217 |
i 1 |
||||||
| Non-U.S. government and agency obligations |
i 80,520 |
i 1,767 |
||||||
| Securities backed by commercial real estate |
i 38 |
– |
||||||
| Securities backed by residential real estate |
i 604 |
– |
||||||
| Corporate debt securities |
i 11,585 |
i 371 |
||||||
| State and municipal obligations |
i 57 |
– |
||||||
| Other debt obligations |
i 83 |
– |
||||||
| Equity securities |
i 27,452 |
i 36,640 |
||||||
| Total |
$ i 207,407 |
$ i 38,779 |
||||||
| As of December 2020 |
||||||||
| Money market instruments |
$ |
$ |
||||||
| U.S. government and agency obligations |
i 121,751 | – | ||||||
| Non-U.S. government and agency obligations |
i 79,159 | i 1,634 | ||||||
| Securities backed by commercial real estate |
i 65 | – | ||||||
| Securities backed by residential real estate |
i 121 | – | ||||||
| Corporate debt securities |
i 6,364 | i 46 | ||||||
| State and municipal obligations |
i 92 | – | ||||||
| Other debt obligations |
i 20 | – | ||||||
| Equity securities |
i 16,668 | i 25,374 | ||||||
| Total |
$ i 224,328 | $ i 27,054 | ||||||
As of March 2021 |
||||||||
$ in millions |
Repurchase agreements |
Securities loaned |
||||||
| No stated maturity and overnight |
$ i 87,256 |
$ i 24,075 |
||||||
| 2 - 30 days |
i 57,123 |
i 307 |
||||||
| 31 - 90 days |
i 17,812 |
i 691 |
||||||
| 91 days - 1 year |
i 39,489 |
i 13,706 |
||||||
| Greater than 1 year |
i 5,727 |
– |
||||||
| Total |
$ i 207,407 |
$ i 38,779 |
||||||
| • | Repurchase agreements and securities loaned that are repayable prior to maturity at the option of the firm are reflected at their contractual maturity dates. |
| • | Repurchase agreements and securities loaned that are redeemable prior to maturity at the option of the holder are reflected at the earliest dates such options become exercisable. |
| • | Liabilities of consolidated VIEs; |
| • | Transfers of assets accounted for as financings rather than sales (e.g., pledged commodities, bank loans and mortgage whole loans); and |
| • | Other structured financing arrangements. |
| Goldman Sachs March 2021 Form 10-Q | 50 |
$ in millions |
U.S. Dollar |
|
Non-U.S. Dollar |
|
Total | |||||||
As of March 2021 |
||||||||||||
Other secured financings (short-term): |
||||||||||||
At fair value |
$ i 7,279 |
$ i 7,789 |
$ i 15,068 |
|||||||||
At amortized cost |
i 146 |
i – |
i 146 |
|||||||||
Other secured financings (long-term): |
||||||||||||
At fair value |
i 6,593 |
i 4,536 |
i 11,129 |
|||||||||
At amortized cost |
i 658 |
i 667 |
i 1,325 |
|||||||||
Total other secured financings |
$ i 14,676 |
$ i 12,992 |
$ i 27,668 |
|||||||||
Other secured financings collateralized by: |
||||||||||||
Financial instruments |
$ i 7,983 |
$ i 11,429 |
$ i 19,412 |
|||||||||
Other assets |
$ i 6,693 |
$ i 1,563 |
$ i 8,256 |
|||||||||
As of December 2020 |
||||||||||||
Other secured financings (short-term): |
||||||||||||
At fair value |
$ i 6,371 | $ i 6,847 | $ i 13,218 | |||||||||
At amortized cost |
i – | i – | i – | |||||||||
Other secured financings (long-term): |
||||||||||||
At fair value |
i 6,632 | i 4,276 | i 10,908 | |||||||||
At amortized cost |
i 914 | i 715 | i 1,629 | |||||||||
Total other secured financings |
$ i 13,917 | $ i 11,838 | $ i 25,755 | |||||||||
Other secured financings collateralized by: |
||||||||||||
Financial instruments |
$ i 6,841 | $ i 10,068 | $ i 16,909 | |||||||||
Other assets |
$ i 7,076 | $ i 1,770 | $ i 8,846 | |||||||||
| • | Short-term other secured financings includes financings maturing within one year of the financial statement date and financings that are redeemable within one year of the financial statement date at the option of the holder. |
| • | U.S. dollar-denominated short-term other secured financings at amortized cost had a weighted average interest rate of i 2.60% as of March 2021. These rates include the effect of hedging activities. |
| • | U.S. dollar-denominated long-term other secured financings at amortized cost had a weighted average interest rate of i 0.62% as of March 2021 and i 1.27%
as of December 2020. These rates include the effect of hedging activities. |
| • | Non-U.S. dollar-denominated long-term other secured financings at amortized cost had a weighted average interest rate of i 0.34% as of March 2021 and i 0.40%
as of December 2020. These rates include the effect of hedging activities. |
| • | Total other secured financings included $ i 1.99 billion as of March 2021 and $ i 2.05 billion
as of December 2020 related to transfers of financial assets accounted for as financings rather than sales. Such financings were collateralized by financial assets, primarily included in trading assets, of $ i 1.99 billion as of March 2021 and $ i 2.26 billion
as of December 2020. |
| • | Other secured financings collateralized by financial instruments included $ i 13.68 billion as of March 2021 and $ i 11.28 billion
as of December 2020 of other secured financings collateralized by trading assets, investments and loans, and included $ i 5.73 billion as of March 2021 and $ i 5.63 billion
as of December 2020 of other secured financings collateralized by financial instruments received as collateral and repledged. |
$ in millions |
As of March 2021 |
|||
Other secured financings (short-term) |
$ i 15,214 |
|||
Other secured financings (long-term): |
||||
2022 |
i 4,256 |
|||
2023 |
i 2,576 |
|||
2024 |
i 1,423 |
|||
2025 |
i 906 |
|||
2026 |
i 1,077 |
|||
2027 - thereafter |
i 2,216 |
|||
Total other secured financings (long-term) |
i 12,454 |
|||
Total other secured financings |
$ i 27,668 |
|||
| • | Long-term other secured financings that are repayable prior to maturity at the option of the firm are reflected at their contractual maturity dates. |
| • | Long-term other secured financings that are redeemable prior to maturity at the option of the holder are reflected at the earliest dates such options become exercisable. |
| 51 | Goldman Sachs March 2021 Form 10-Q |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Collateral available to be delivered or repledged |
$ i 901,870 |
$ i 864,494 | ||||||
Collateral that was delivered or repledged |
$ i 756,339 |
$ i 723,409 | ||||||
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Pledged to counterparties that had the right to deliver or repledge |
||||||||
Trading assets |
$ i 62,415 |
$ i 69,031 | ||||||
Investments |
$ i 15,800 |
$ i 13,375 | ||||||
Pledged to counterparties that did not have the right to deliver or repledge |
||||||||
Trading assets |
$ i 102,129 |
$ i 99,142 | ||||||
Investments |
$ i 11,134 |
$ i 2,331 | ||||||
Loans |
$ i 7,911 |
$ i 8,320 | ||||||
Other assets |
$ i 13,447 |
$ i 14,144 | ||||||
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Property, leasehold improvements and equipment |
$ i 22,427 |
$ i 23,147 | ||||||
Goodwill |
i 4,332 |
i 4,332 | ||||||
Identifiable intangible assets |
i 575 |
i 630 | ||||||
Operating lease right-of-use |
i 2,330 |
i 2,280 | ||||||
Income tax-related assets |
i 3,414 |
i 2,960 | ||||||
Miscellaneous receivables and other |
i 4,833 |
i 4,096 | ||||||
Total |
$ i 37,911 |
$ i 37,445 | ||||||
| Goldman Sachs March 2021 Form 10-Q | 52 |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Investment Banking |
$ |
$ i 281 | ||||||
| Global Markets: |
||||||||
| FICC |
i 269 |
i 269 | ||||||
| Equities |
i 2,644 |
i 2,644 | ||||||
| Asset Management |
i 390 |
i 390 | ||||||
| Consumer & Wealth Management: |
||||||||
| Consumer banking |
i 48 |
i 48 | ||||||
| Wealth management |
i 700 |
i 700 | ||||||
| Total |
$ i 4,332 |
$ i 4,332 | ||||||
| 53 | Goldman Sachs March 2021 Form 10-Q |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| By Reporting Unit |
||||||||
| Global Markets: |
||||||||
| FICC |
$ |
$ i 2 | ||||||
| Equities |
i 45 |
i 45 | ||||||
| Asset Management |
i 231 |
i 274 | ||||||
| Consumer & Wealth Management: |
|
|||||||
| Consumer banking |
– |
i 6 | ||||||
| Wealth management |
i 297 |
i 303 | ||||||
| Total |
$ |
$ i 630 | ||||||
| By Type |
||||||||
| Customer lists |
||||||||
| Gross carrying value |
$ i 1,475 |
$ i 1,478 | ||||||
| Accumulated amortization |
( i 1,099 |
) |
( i 1,089 | ) | ||||
| Net carrying value |
i 376 |
i 389 | ||||||
| Acquired leases and other |
||||||||
| Gross carrying value |
i 641 |
i 710 | ||||||
| Accumulated amortization |
( i 442 |
) |
( i 469 | ) | ||||
| Net carrying value |
i 199 |
i 241 | ||||||
| Total gross carrying value |
i 2,116 |
i 2,188 | ||||||
| Total accumulated amortization |
( i 1,541 |
) |
( i 1,558 | ) | ||||
| Total net carrying value |
$ |
$ i 630 | ||||||
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Amortization |
$ i 36 |
$ i 41 | ||||||
$ in millions |
As of March 2021 |
|||
| Estimated future amortization |
||||
| Remainder of 2021 |
$ i 78 |
|||
| 2022 |
$ i 90 |
|||
| 2023 |
$ i 81 |
|||
| 2024 |
$ i 65 |
|||
| 2025 |
$ i 46 |
|||
| 2026 |
$ i 35 |
|||
| Goldman Sachs March 2021 Form 10-Q | 54 |
| • | Investments in qualified affordable housing projects of $ i 671 million as of March 2021 and $ i 678 million
as of December 2020. |
| • | Assets classified as held for sale of $ i 1.22 billion as of March 2021 and $ i 437 million
as of December 2020 related to the firm’s consolidated investments within the Asset Management segment, substantially all of which consisted of property and equipment. |
$ in millions |
Savings and Demand |
|
Time | Total | ||||||||
As of March 2021 |
||||||||||||
Consumer deposits |
$ i 75,937 |
$ i 24,224 |
$ i 100,161 |
|||||||||
Private bank deposits |
i 68,383 |
i 1,053 |
i 69,436 |
|||||||||
Brokered certificates of deposit |
i – |
i 30,017 |
i 30,017 |
|||||||||
Deposit sweep programs |
i 22,541 |
i – |
i 22,541 |
|||||||||
Transaction banking |
i 32,897 |
i 2,563 |
i 35,460 |
|||||||||
Other deposits |
i – |
i 28,403 |
i 28,403 |
|||||||||
Total |
$ i 199,758 |
$ i 86,260 |
$ i 286,018 |
|||||||||
As of December 2020 |
||||||||||||
Consumer deposits |
$ i 67,395 | $ i 29,530 | $ i 96,925 | |||||||||
Private bank deposits |
i 67,185 | i 1,183 | i 68,368 | |||||||||
Brokered certificates of deposit |
i – | i 30,060 | i 30,060 | |||||||||
Deposit sweep programs |
i 22,987 | i – | i 22,987 | |||||||||
Transaction banking |
i 28,852 | i – | i 28,852 | |||||||||
Other deposits |
i – | i 12,770 | i 12,770 | |||||||||
Total |
$ i 186,419 | $ i 73,543 | $ i 259,962 | |||||||||
| • | Substantially all deposits are interest-bearing. |
| • | Savings and demand accounts consist of money market deposit accounts, negotiable order of withdrawal accounts and demand deposit accounts that have no stated maturity or expiration date. |
| • | Time deposits included $ i 32.23 billion as of March 2021 and $ i 16.18 billion as of December 2020 of deposits accounted for at fair value under the fair value option. See
Note 10 for further information about deposits accounted for at fair value. |
| • | Time deposits had a weighted average maturity of approximately i 1.1 years as of March 2021 and i 1.3 years as of December 2020. |
| • | Deposit sweep programs include long-term contractual agreements with U.S. broker-dealers who sweep client cash to FDIC-insured deposits. As of March 2021, the firm had i 12 such deposit sweep program agreements. |
| • | Transaction banking deposits consists of deposits that the firm raised through its cash management services business for corporate and other institutional clients. |
| • | Other deposits represent deposits from institutional clients. |
| • | Deposits insured by the FDIC were $ i 125.50 billion as of March 2021 and $ i 123.03 billion as of December 2020. |
| • | Deposits insured by non-U.S. insurance programs were $ i 29.38 billion as of March 2021 and $ i 27.52 billion as of December 2020.
|
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
U.S. offices |
$ i 213,237 |
$ i 206,356 | ||||||
Non-U.S. offices |
i 72,781 |
i 53,606 | ||||||
Total |
$ i 286,018 |
$ i 259,962 | ||||||
As of March 2021 |
||||||||||||
$ in millions |
U.S. |
Non-U.S. |
Total |
|||||||||
Remainder of 2021 |
$ i 28,336 |
$ i 22,528 |
$ i 50,864 |
|||||||||
2022 |
i 13,106 |
i 6,202 |
i 19,308 |
|||||||||
2023 |
i 6,359 |
i 124 |
i 6,483 |
|||||||||
2024 |
i 4,105 |
i 133 |
i 4,238 |
|||||||||
2025 |
i 2,052 |
i 268 |
i 2,320 |
|||||||||
2026 |
i 1,126 |
i 269 |
i 1,395 |
|||||||||
2027 - thereafter |
i 950 |
i 702 |
i 1,652 |
|||||||||
Total |
$ i 56,034 |
$ i 30,226 |
$ i 86,260 |
|||||||||
| 55 | Goldman Sachs March 2021 Form 10-Q |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Unsecured short-term borrowings |
$ i 58,463 |
$ i 52,870 | ||||||
Unsecured long-term borrowings |
i 219,044 |
i 213,481 | ||||||
Total |
$ i 277,507 |
$ i 266,351 | ||||||
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Current portion of unsecured long-term borrowings |
$ i 26,756 |
$ i 25,914 | ||||||
Hybrid financial instruments |
i 21,592 |
i 18,823 | ||||||
Commercial paper |
i 8,209 |
i 6,085 | ||||||
Other unsecured short-term borrowings |
i 1,906 |
i 2,048 | ||||||
Total unsecured short-term borrowings |
$ i 58,463 |
$ i 52,870 | ||||||
Weighted average interest rate |
i 2.11% |
i 1.84% | ||||||
$ in millions |
U.S. Dollar |
|
Non-U.S. Dollar |
|
Total | |||||||
As of March 2021 |
||||||||||||
Fixed-rate obligations |
$ i 102,296 |
$ i 41,789 |
$ i 144,085 |
|||||||||
Floating-rate obligations |
i 44,883 |
i 30,076 |
i 74,959 |
|||||||||
Total |
$ i 147,179 |
$ i 71,865 |
$ i 219,044 |
|||||||||
As of December 2020 |
||||||||||||
Fixed-rate obligations |
$ i 100,558 | $ i 38,759 | $ i 139,317 | |||||||||
Floating-rate obligations |
i 42,019 | i 32,145 | i 74,164 | |||||||||
Total |
$ i 142,577 | $ i 70,904 | $ i 213,481 | |||||||||
| • | Unsecured long-term borrowings consists principally of senior borrowings, which have maturities extending through 2065. |
| • | Floating-rate obligations includes equity-linked, credit-linked and indexed instruments. Floating interest rates are generally based on LIBOR or Euro Interbank Offered Rate. |
| • | U.S. dollar-denominated debt had interest rates ranging from i 0.48% to i 9.30%
(with a weighted average rate of i 3.66%) as of March 2021 and i 0.63%
to i 9.30% (with a weighted average rate of i 4.07%)
as of December 2020. These rates exclude unsecured long-term borrowings accounted for at fair value under the fair value option. |
| • | Non-U.S. dollar-denominated debt had interest rates ranging from i 0.13% to i 13.00%
(with a weighted average rate of i 2.05%) as of March 2021 and i 0.13%
to i 13.00% (with a weighted average rate of i 2.20%)
as of December 2020. These rates exclude unsecured long-term borrowings accounted for at fair value under the fair value option. |
$ in millions |
As of March 2021 |
|||
2022 |
$ i 20,845 |
|||
2023 |
i 37,048 |
|||
2024 |
i 22,643 |
|||
2025 |
i 26,450 |
|||
2026 |
i 19,512 |
|||
2027 - thereafter |
i 92,546 |
|||
Total |
$ i 219,044 |
|||
| Goldman Sachs March 2021 Form 10-Q | 56 |
| • | Unsecured long-term borrowings maturing within one year of the financial statement date and unsecured long-term borrowings that are redeemable within one year of the financial statement date at the option of the holder are excluded as they are included in unsecured short-term borrowings. |
| • | Unsecured long-term borrowings that are repayable prior to maturity at the option of the firm are reflected at their contractual maturity dates. |
| • | Unsecured long-term borrowings that are redeemable prior to maturity at the option of the holder are reflected at the earliest dates such options become exercisable. |
| • | Unsecured long-term borrowings included $ i 6.83 billion of adjustments to the carrying value of certain unsecured long-term borrowings resulting from the application of hedge accounting by year of maturity as follows: $ i 10 million
in 2022, $ i 190 million in 2023, $ i 561 million
in 2024, $ i 620 million in 2025, $ i 434 million
in 2026 and $ i 5.01 billion in 2027 and thereafter. |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Fixed-rate obligations: |
||||||||
At fair value |
$ i 1,472 |
$ i 1,521 | ||||||
At amortized cost |
i 30,067 |
i 30,827 | ||||||
Floating-rate obligations: |
||||||||
At fair value |
i 38,430 |
i 39,390 | ||||||
At amortized cost |
i 149,075 |
i 141,743 | ||||||
Total |
$ i 219,044 |
$ i 213,481 | ||||||
$ in millions |
Par Amount |
|
Carrying Value |
|
Rate | |||||||
As of March 2021 |
||||||||||||
Subordinated debt |
$ i 14,040 |
$ i 16,771 |
i 1.64% |
|||||||||
Junior subordinated debt |
i 968 |
i 1,302 |
i 1.25% |
|||||||||
Total |
$ i 15,008 |
$ i 18,073 |
i 1.62% |
|||||||||
As of December 2020 |
||||||||||||
Subordinated debt |
$ i 14,136 | $ i 18,529 | i 1.83% | |||||||||
Junior subordinated debt |
i 968 | i 1,430 | i 1.32% | |||||||||
Total |
$ i 15,104 | $ i 19,959 | i 1.80% | |||||||||
| 57 | Goldman Sachs March 2021 Form 10-Q |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Compensation and benefits |
$ i 6,136 |
$ i 7,896 | ||||||
Income tax-related liabilities |
i 4,278 |
i 3,155 | ||||||
Operating lease liabilities |
i 2,319 |
i 2,283 | ||||||
Noncontrolling interests |
i 1,733 |
i 1,640 | ||||||
Employee interests in consolidated funds |
i 34 |
i 34 | ||||||
Accrued expenses and other |
i 8,164 |
i 7,443 | ||||||
Total |
$ i 22,664 |
$ i 22,451 | ||||||
$ in millions |
Operating lease liabilities |
| ||
As of March 2021 |
||||
2021 |
$ |
|||
2022 |
i 316 |
|||
2023 |
i 281 |
|||
2024 |
i 263 |
|||
2025 |
i 232 |
|||
2026 - thereafter |
i 1,795 |
|||
Total undiscounted lease payments |
i 3,123 |
|||
Imputed interest |
( i 804 |
) | ||
Total operating lease liabilities |
$ i 2,319 |
|||
Weighted average remaining lease term |
i 15 years |
|||
Weighted average discount rate |
i 3.74% |
|||
As of December 2020 |
||||
2021 |
$ |
|||
2022 |
i 301 | |||
2023 |
i 264 | |||
2024 |
i 247 | |||
2025 |
i 215 | |||
2026 - thereafter |
i 1,899 | |||
Total undiscounted lease payments |
i 3,268 | |||
Imputed interest |
( i 985 | ) | ||
Total operating lease liabilities |
$ |
|||
Weighted average remaining lease term |
i 16 years | |||
Weighted average discount rate |
i 4.02% | |||
| Goldman Sachs March 2021 Form 10-Q | 58 |
Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
Residential mortgages |
$ i 4,939 |
$ i 3,107 | ||||||
Commercial mortgages |
i 5,371 |
i 4,996 | ||||||
Other financial assets |
i 1,112 |
i 540 | ||||||
Total financial assets securitized |
$ i 11,422 |
$ i 8,643 | ||||||
Retained interests cash flows |
$ |
$ |
||||||
| 59 | Goldman Sachs March 2021 Form 10-Q |
$ in millions |
Outstanding Principal Amount |
|
Retained Interests |
|
Purchased Interests |
| ||||||
As of March 2021 |
||||||||||||
U.S. government agency-issued CMOs |
$ i 22,041 |
$ i 1,806 |
$ i 1 |
|||||||||
Other residential mortgage-backed |
i 23,060 |
i 1,023 |
i 21 |
|||||||||
Other commercial mortgage-backed |
i 41,926 |
i 941 |
i 40 |
|||||||||
Corporate debt and other asset-backed |
i 5,299 |
i 231 |
i 2 |
|||||||||
Total |
$ i 92,326 |
$ i 4,001 |
$ i 64 |
|||||||||
As of December 2020 |
||||||||||||
U.S. government agency-issued CMOs |
$ i 20,841 | $ |
$ i 4 | |||||||||
Other residential mortgage-backed |
i 24,262 | i 1,170 | i 23 | |||||||||
Other commercial mortgage-backed |
i 38,340 | i 914 | i 39 | |||||||||
Corporate debt and other asset-backed |
i 4,299 | i 192 | – | |||||||||
Total |
$ i 87,742 | $ i 3,182 | $ i 66 | |||||||||
| • | CMOs represents collateralized mortgage obligations. |
| • | The outstanding principal amount is presented for the purpose of providing information about the size of the securitization entities and is not representative of the firm’s risk of loss. |
| • | The firm’s risk of loss from retained or purchased interests is limited to the carrying value of these interests. |
| • | Purchased interests represent senior and subordinated interests, purchased in connection with secondary market-making activities, in securitization entities in which the firm also holds retained interests. |
| • | Substantially all of the total outstanding principal amount and total retained interests relate to securitizations during 2015 and thereafter. |
| • | The fair value of retained interests was $ i 4.02 billion as of March 2021 and $ i 3.19 billion as of December 2020. |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Fair value of retained interests |
$ i 3,785 |
$ |
||||||
Weighted average life (years) |
i 5.9 |
i 4.7 | ||||||
Constant prepayment rate |
i 11.5% |
i 15.0% | ||||||
Impact of 10% adverse change |
$ |
) |
$ |
) | ||||
Impact of 20% adverse change |
$ |
) |
$ |
) | ||||
Discount rate |
i 6.8% |
i 6.1% | ||||||
Impact of 10% adverse change |
$ |
) |
$ |
) | ||||
Impact of 20% adverse change |
$ |
) |
$ |
) | ||||
| • | Amounts do not reflect the benefit of other financial instruments that are held to mitigate risks inherent in these retained interests. |
| • | Changes in fair value based on an adverse variation in assumptions generally cannot be extrapolated because the relationship of the change in assumptions to the change in fair value is not usually linear. |
| • | The impact of a change in a particular assumption is calculated independently of changes in any other assumption. In practice, simultaneous changes in assumptions might magnify or counteract the sensitivities disclosed above. |
| • | The constant prepayment rate is included only for positions for which it is a key assumption in the determination of fair value. |
| • | The discount rate for retained interests that relate to U.S. government agency-issued CMOs does not include any credit loss. Expected credit loss assumptions are reflected in the discount rate for the remainder of retained interests. |
| Goldman Sachs March 2021 Form 10-Q | 60 |
| • | Which variable interest holder has the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance; |
| • | Which variable interest holder has the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE; |
| • | The VIE’s purpose and design, including the risks the VIE was designed to create and pass through to its variable interest holders; |
| • | The VIE’s capital structure; |
| • | The terms between the VIE and its variable interest holders and other parties involved with the VIE; and |
| • | Related-party relationships. |
| 61 | Goldman Sachs March 2021 Form 10-Q |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Total nonconsolidated VIEs |
||||||||
| Assets in VIEs |
$ i 151,339 |
$ i 148,665 | ||||||
| Carrying value of variable interests — assets |
$ i 9,706 |
$ i 8,624 | ||||||
| Carrying value of variable interests — liabilities |
$ i 827 |
$ i 888 | ||||||
| Maximum exposure to loss: |
||||||||
| Retained interests |
$ i 4,001 |
$ i 3,182 | ||||||
| Purchased interests |
i 904 |
i 1,041 | ||||||
| Commitments and guarantees |
i 2,169 |
i 2,455 | ||||||
| Derivatives |
i 8,545 |
i 8,343 | ||||||
| Debt and equity |
i 4,454 |
i 4,020 | ||||||
| Total |
$ i 20,073 |
$ i 19,041 | ||||||
| • | The nature of the firm’s variable interests is described in the rows under maximum exposure to loss. |
| • | The firm’s exposure to the obligations of VIEs is generally limited to its interests in these entities. In certain instances, the firm provides guarantees, including derivative guarantees, to VIEs or holders of variable interests in VIEs. |
| • | The maximum exposure to loss excludes the benefit of offsetting financial instruments that are held to mitigate the risks associated with these variable interests. |
| • | The maximum exposure to loss from retained interests, purchased interests, and debt and equity is the carrying value of these interests. |
| • | The maximum exposure to loss from commitments and guarantees, and derivatives is the notional amount, which does not represent anticipated losses and has not been reduced by unrealized losses. As a result, the maximum exposure to loss exceeds liabilities recorded for commitments and guarantees, and derivatives. |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Mortgage-backed |
||||||||
| Assets in VIEs |
$ i 99,809 |
$ i 99,353 | ||||||
| Carrying value of variable interests — assets |
$ i 4,655 |
$ i 4,014 | ||||||
| Maximum exposure to loss: |
||||||||
| Retained interests |
$ i 3,770 |
$ i 2,990 | ||||||
| Purchased interests |
i 885 |
i 1,024 | ||||||
| Commitments and guarantees |
i 46 |
i 47 | ||||||
| Derivatives |
i 396 |
i 394 | ||||||
| Total |
$ i 5,097 |
$ i 4,455 | ||||||
| Real estate, credit- and power-related and other investing |
| |||||||
| Assets in VIEs |
$ i 21,423 |
$ i 20,934 | ||||||
| Carrying value of variable interests — assets |
$ i 3,561 |
$ i 3,288 | ||||||
| Carrying value of variable interests — liabilities |
$ |
$ i 14 | ||||||
| Maximum exposure to loss: |
||||||||
| Commitments and guarantees |
$ i 1,230 |
$ i 1,374 | ||||||
| Derivatives |
i 75 |
i 84 | ||||||
| Debt and equity |
i 3,561 |
i 3,288 | ||||||
| Total |
$ i 4,866 |
$ i 4,746 | ||||||
| Corporate debt and other asset-backed |
|
|||||||
| Assets in VIEs |
$ i 14,890 |
$ i 14,077 | ||||||
| Carrying value of variable interests — assets |
$ i 1,058 |
$ i 913 | ||||||
| Carrying value of variable interests — liabilities |
$ |
$ i 874 | ||||||
| Maximum exposure to loss: |
||||||||
| Retained interests |
$ |
$ i 192 | ||||||
| Purchased interests |
i 19 |
i 17 | ||||||
| Commitments and guarantees |
i 859 |
i 989 | ||||||
| Derivatives |
i 8,071 |
i 7,862 | ||||||
| Debt and equity |
i 461 |
i 323 | ||||||
| Total |
$ i 9,641 |
$ i 9,383 | ||||||
| Investments in funds |
||||||||
| Assets in VIEs |
$ i 15,217 |
$ i 14,301 | ||||||
| Carrying value of variable interests — assets |
$ |
$ i 409 | ||||||
| Maximum exposure to loss: |
||||||||
| Commitments and guarantees |
$ |
$ i 45 | ||||||
| Derivatives |
i 3 |
i 3 | ||||||
| Debt and equity |
i 432 |
i 409 | ||||||
| Total |
$ |
$ i 457 | ||||||
| • | Mortgage-backed: Assets were primarily included in trading assets and loans. |
| • | Real estate, credit- and power-related and other investing: Assets were primarily included in investments and loans and liabilities were included in trading liabilities and other liabilities. |
| • | Corporate debt and other asset-backed: Assets were included in loans and trading assets, and liabilities were included in trading liabilities. |
| • | Investments in funds: Assets were included in investments. |
| Goldman Sachs March 2021 Form 10-Q | 62 |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Total consolidated VIEs |
||||||||
| Assets |
||||||||
| Cash and cash equivalents |
$ |
$ i 312 | ||||||
| Trading assets |
i 71 |
i 96 | ||||||
| Investments |
i 972 |
i 880 | ||||||
| Loans |
i 1,895 |
i 2,099 | ||||||
| Other assets |
i 960 |
i 989 | ||||||
| Total |
$ i 4,207 |
$ i 4,376 | ||||||
| Liabilities |
||||||||
| Other secured financings |
$ i 1,690 |
$ i 1,891 | ||||||
| Customer and other payables |
i 9 |
i 28 | ||||||
| Trading liabilities |
i 269 |
i 296 | ||||||
| Unsecured short-term borrowings |
i 59 |
i 43 | ||||||
| Unsecured long-term borrowings |
i 196 |
i 226 | ||||||
| Other liabilities |
i 1,068 |
i 948 | ||||||
| Total |
$ i 3,291 |
$ i 3,432 | ||||||
| • | Assets and liabilities are presented net of intercompany eliminations and exclude the benefit of offsetting financial instruments that are held to mitigate the risks associated with the firm’s variable interests. |
| • | VIEs in which the firm holds a majority voting interest are excluded if (i) the VIE meets the definition of a business and (ii) the VIE’s assets can be used for purposes other than the settlement of its obligations. |
| • | Substantially all assets can only be used to settle obligations of the VIE. |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Real estate, credit-related and other investing |
|
|||||||
| Assets |
||||||||
| Cash and cash equivalents |
$ |
$ i 229 | ||||||
| Trading assets |
i 12 |
i 8 | ||||||
| Investments |
i 972 |
i 880 | ||||||
| Loans |
i 1,895 |
i 2,099 | ||||||
| Other assets |
i 960 |
i 989 | ||||||
| Total |
$ i 4,012 |
$ i 4,205 | ||||||
| Liabilities |
||||||||
| Other secured financings |
$ |
$ i 649 | ||||||
| Customer and other payables |
i 9 |
i 28 | ||||||
| Trading liabilities |
i 44 |
i 46 | ||||||
| Other liabilities |
i 1,068 |
i 948 | ||||||
| Total |
$ i 1,654 |
$ i 1,671 | ||||||
| Corporate debt and other asset-backed |
||||||||
| Assets |
||||||||
| Cash and cash equivalents |
$ |
$ i 83 | ||||||
| Total |
$ |
$ i 83 | ||||||
| Liabilities |
||||||||
| Other secured financings |
$ |
$ i 679 | ||||||
| Total |
$ |
$ i 679 | ||||||
| Principal-protected notes |
||||||||
| Assets |
||||||||
| Trading assets |
$ |
$ i 88 | ||||||
| Total |
$ |
$ i 88 | ||||||
| Liabilities |
||||||||
| Other secured financings |
$ |
$ i 563 | ||||||
| Trading liabilities |
i 225 |
i 250 | ||||||
| Unsecured short-term borrowings |
i 59 |
i 43 | ||||||
| Unsecured long-term borrowings |
i 196 |
i 226 | ||||||
| Total |
$ i 1,010 |
$ i 1,082 | ||||||
| • | The majority of the assets in principal-protected notes VIEs are intercompany and are eliminated in consolidation. |
| • | Creditors and beneficial interest holders of real estate, credit-related and other investing VIEs do not have recourse to the general credit of the firm. |
| 63 | Goldman Sachs March 2021 Form 10-Q |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Commitment Type |
||||||||
| Commercial lending: |
||||||||
| Investment-grade |
$ i 97,248 |
$ i 83,801 | ||||||
| Non-investment-grade |
i 61,580 |
i 56,757 | ||||||
| Warehouse financing |
i 10,823 |
i 9,377 | ||||||
| Credit cards |
i 26,491 |
i 21,640 | ||||||
| Total lending |
i 196,142 |
i 171,575 | ||||||
| Risk participations |
i 8,135 |
i 8,054 | ||||||
| Collateralized agreement |
i 96,505 |
i 55,278 | ||||||
| Collateralized financing |
i 27,091 |
i 35,402 | ||||||
| Letters of credit |
i 367 |
i 367 | ||||||
| Investment |
i 6,243 |
i 6,456 | ||||||
| Other |
i 9,987 |
i 7,836 | ||||||
| Total commitments |
$ i 344,470 |
$ i 284,968 | ||||||
As of March 2021 |
||||||||||||||||
$ in millions |
Remainder of 2021 |
2022 - 2023 |
2024 - 2025 |
2026 - Thereafter |
||||||||||||
| Commitment Type |
||||||||||||||||
| Commercial lending: |
||||||||||||||||
| Investment-grade |
$ i 9,668 |
$ i 44,571 |
$ i 34,592 |
$ i 8,417 |
||||||||||||
| Non-investment-grade |
i 3,291 |
i 21,766 |
i 23,841 |
i 12,682 |
||||||||||||
| Warehouse financing |
i 1,128 |
i 5,590 |
i 3,336 |
i 769 |
||||||||||||
| Credit cards |
i 26,491 |
– |
– |
– |
||||||||||||
| Total lending |
i 40,578 |
i 71,927 |
i 61,769 |
i 21,868 |
||||||||||||
| Risk participations |
i 720 |
i 4,537 |
i 2,668 |
i 210 |
||||||||||||
| Collateralized agreement |
i 96,505 |
– |
– |
– |
||||||||||||
| Collateralized financing |
i 27,091 |
– |
– |
– |
||||||||||||
| Letters of credit |
i 311 |
i 15 |
– |
i 41 |
||||||||||||
| Investment |
i 2,325 |
i 2,075 |
i 1,062 |
i 781 |
||||||||||||
| Other |
i 9,697 |
i 167 |
i 63 |
i 60 |
||||||||||||
| Total commitments |
$ i 177,227 |
$ i 78,721 |
$ i 65,562 |
$ i 22,960 |
||||||||||||
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Held for investment |
$ i 188,111 |
$ i 162,513 | ||||||
| Held for sale |
i 6,076 |
i 6,594 | ||||||
| At fair value |
i 1,955 |
i 2,468 | ||||||
| Total |
$ i 196,142 |
$ i 171,575 | ||||||
| • | Held for investment lending commitments are accounted for at amortized cost. The carrying value of lending commitments was a liability of $ i 972 million (including allowance for credit losses of $ i 721 million)
as of March 2021 and $ i 775 million (including allowance for credit losses of $ i 557 million)
as of December 2020. The estimated fair value of such lending commitments was a liability of $ i 4.03 billion as of March 2021 and $ i 4.05 billion
as of December 2020. Had these lending commitments been carried at fair value and included in the fair value hierarchy, $ i 2.32 billion as of March 2021 and $ i 2.43 billion
as of December 2020 would have been classified in level 2, and $ i 1.71 billion as of March 2021 and $ i 1.62 billion
as of December 2020 would have been classified in level 3. |
| • | Held for sale lending commitments are accounted for at the lower of cost or fair value. The carrying value of lending commitments held for sale was a liability of $ i 72 million as of March 2021 and $ i 68 million
as of December 2020. The estimated fair value of such lending commitments approximates the carrying value. Had these lending commitments been included in the fair value hierarchy, they would have been primarily classified in level 3 as of both March 2021 and December 2020. |
| • | Gains or losses related to lending commitments at fair value, if any, are generally recorded net of any fees in other principal transactions. |
| Goldman Sachs March 2021 Form 10-Q | 64 |
| 65 | Goldman Sachs March 2021 Form 10-Q |
$ in millions |
Derivatives | Securities lending and clearing |
|
Other financial guarantees |
| |||||||
As of March 2021 |
||||||||||||
Carrying Value of Net Liability |
$ i 3,923 |
$ – |
$ |
|||||||||
Maximum Payout/Notional Amount by Period of Expiration |
||||||||||||
Remainder of 2021 |
$ i 81,762 |
$ i 18,932 |
$ |
|||||||||
2022 - 2023 |
i 61,673 |
– |
i 3,451 |
|||||||||
2024 - 2025 |
i 26,730 |
– |
i 2,746 |
|||||||||
2026 - thereafter |
i 31,385 |
– |
i 334 |
|||||||||
Total |
$ i 201,550 |
$ i 18,932 |
$ i 7,390 |
|||||||||
As of December 2020 |
||||||||||||
Carrying Value of Net Liability |
$ i 4,357 | $ |
$ i 253 | |||||||||
Maximum Payout/Notional Amount by Period of Expiration |
||||||||||||
2021 |
$ i 89,202 | $ i 21,352 | $ i 1,263 | |||||||||
2022 - 2023 |
i 56,204 | – | i 3,304 | |||||||||
2024 - 2025 |
i 23,389 | – | i 2,787 | |||||||||
2026 - thereafter |
i 32,244 | – | i 268 | |||||||||
Total |
$ i 201,039 | $ i 21,352 | $ i 7,622 | |||||||||
| • | The maximum payout is based on the notional amount of the contract and does not represent anticipated losses. |
| • | Amounts exclude certain commitments to issue standby letters of credit that are included in lending commitments. See the tables in “Commitments” above for a summary of the firm’s commitments. |
| • | The carrying value for derivatives included derivative assets of $ i 1.34 billion as of March 2021 and $ i 1.66 billion
as of December 2020, and derivative liabilities of $ i 5.26 billion as of March 2021 and $ i 6.02 billion
as of December 2020. |
| Goldman Sachs March 2021 Form 10-Q | 66 |
| 67 | Goldman Sachs March 2021 Form 10-Q |
Three Months Ended March |
||||||||
in millions, except per share amounts |
2021 |
2020 | ||||||
Common share repurchases |
i 8.7 |
i 8.2 | ||||||
Average cost per share |
$ i 310.04 |
$ i 236.35 | ||||||
Total cost of common share repurchases |
$ i 2,700 |
$ i 1,928 | ||||||
Three Months Ended March |
||||||||
2021 |
2020 | |||||||
Dividends declared per common share |
$ i 1.25 |
$ i 1.25 | ||||||
| Goldman Sachs March 2021 Form 10-Q | 68 |
Series |
Shares Authorized |
Shares Issued |
Shares Outstanding |
Depositary Shares Per Share |
||||||||||||
| A |
i 50,000 | i 30,000 | i 29,999 | i 1,000 | ||||||||||||
| C |
i 25,000 | i 8,000 | i 8,000 | i 1,000 | ||||||||||||
| D |
i 60,000 | i 54,000 | i 53,999 | i 1,000 | ||||||||||||
| E |
i 17,500 | i 7,667 | i 7,667 | N/A | ||||||||||||
| F |
i 5,000 | i 1,615 | i 1,615 | N/A | ||||||||||||
| J |
i 46,000 | i 40,000 | i 40,000 | i 1,000 | ||||||||||||
| K |
i 32,200 | i 28,000 | i 28,000 | i 1,000 | ||||||||||||
| N |
i 31,050 | i 27,000 | i 27,000 | i 1,000 | ||||||||||||
| O |
i 26,000 | i 26,000 | i 26,000 | i 25 | ||||||||||||
| P |
i 66,000 | i 60,000 | i 60,000 | i 25 | ||||||||||||
| Q |
i 20,000 | i 20,000 | i 20,000 | i 25 | ||||||||||||
| R |
i 24,000 | i 24,000 | i 24,000 | i 25 | ||||||||||||
| S |
i 14,000 | i 14,000 | i 14,000 | i 25 | ||||||||||||
| Total |
i 416,750 |
i 340,282 |
i 340,280 |
|||||||||||||
Series |
Earliest Redemption Date |
Liquidation Preference |
Redemption Value ($ in millions) |
|||||||||
| A |
i Currently redeemable | $ i 25,000 | $ |
|||||||||
| C |
i Currently redeemable | $ i 25,000 | i 200 |
|||||||||
| D |
i Currently redeemable | $ i 25,000 | i 1,350 |
|||||||||
| E |
i Currently redeemable | $ i 100,000 | i 767 |
|||||||||
| F |
i Currently redeemable | $ i 100,000 | i 161 |
|||||||||
| J |
i May 10, 2023 | $ i 25,000 | i 1,000 |
|||||||||
| K |
i May 10, 2024 | $ i 25,000 | i 700 |
|||||||||
| N |
i May 10, 2021 | $ i 25,000 | i 675 |
|||||||||
| O |
i November 10, 2026 | $ i 25,000 | i 650 |
|||||||||
| P |
i November 10, 2022 | $ i 25,000 | i 1,500 |
|||||||||
| Q |
i August 10, 2024 | $ i 25,000 | i 500 |
|||||||||
| R |
i February 10, 2025 | $ i 25,000 | i 600 |
|||||||||
| S |
i February 10, 2025 | $ i 25,000 | i 350 |
|||||||||
| Total |
$ i 9,203 |
|||||||||||
| • | All shares have a par value of $ i i i i i i i i i i i i i 0.01 / / / / / / / / / / / /
per share and, where applicable, each share is represented by the specified number of depositary shares. |
| • | The earliest redemption date represents the date on which each share of non-cumulative Preferred Stock is redeemable at the firm’s option. |
| • | Prior to redeeming preferred stock, the firm must receive approval from the FRB. |
| • | The redemption price per share for Series A through F and Series Q through S Preferred Stock is the liquidation preference plus declared and unpaid dividends. The redemption price per share for Series J through P Preferred Stock is the liquidation preference plus accrued and unpaid dividends. Each share of Series E and Series F Preferred Stock is redeemable at the firm’s option, subject to certain covenant restrictions governing the firm’s ability to redeem the preferred stock without issuing common stock or other instruments with equity-like characteristics. See Note 14 for information about the replacement capital covenants applicable to the Series E and Series F Preferred Stock. |
| • | All series of preferred stock are pari passu and have a preference over the firm’s common stock on liquidation. |
| • | The firm’s ability to declare or pay dividends on, or purchase, redeem or otherwise acquire, its common stock is subject to certain restrictions in the event that the firm fails to pay or set aside full dividends on the preferred stock for the latest completed dividend period. |
| 69 | Goldman Sachs March 2021 Form 10-Q |
Series |
|
Per Annum Dividend Rate |
||||
| A |
i 3 month LIBOR + 0.75%, with floor of 3.75%, payable quarterly | |||||
| C |
i 3 month LIBOR + 0.75%, with floor of 4.00%, payable quarterly | |||||
| D |
i 3 month LIBOR + 0.67%, with floor of 4.00%, payable quarterly | |||||
| E |
i 3 month LIBOR + 0.7675%, with floor of 4.00%, payable quarterly | |||||
| F |
i 3 month LIBOR + 0.77%, with floor of 4.00%, payable quarterly | |||||
| J |
i 5.50% to, but excluding, May 10, 2023; 3 month LIBOR + 3.64% thereafter, payable quarterly |
|||||
| K |
i 6.375% to, but excluding, May 10, 2024; 3 month LIBOR + 3.55% thereafter, payable quarterly |
|||||
| N |
i 6.30%, payable quarterly | |||||
| O |
i 5.30%, payable semi-annually, from issuance date to, but excluding, November 10, 2026; 3 month LIBOR + 3.834%, payable quarterly, thereafter |
|||||
| P |
i 5.00%, payable semi-annually, from issuance date to, but excluding, November 10, 2022; 3 month LIBOR + 2.874%, payable quarterly, thereafter |
|||||
| Q |
i 5.50%, payable semi-annually, from issuance date to, but excluding, August 10, 2024; 5 year treasury rate + 3.623%, payable semi-annually, thereafter |
|||||
| R |
i 4.95%, payable semi-annually, from issuance date to, but excluding, February 10, 2025; 5 year treasury rate + 3.224%, payable semi-annually, thereafter |
|||||
| S |
i 4.40%, payable semi-annually, from issuance date to, but excluding, February 10, 2025; 5 year treasury rate + 2.85%, payable semi-annually thereafter |
|||||
2021 |
2020 | |||||||||||||||||||
Series |
per share |
$ in millions |
per share |
$ in millions |
||||||||||||||||
| Three Months Ended March |
| |||||||||||||||||||
| A |
$ |
$ i 7 |
$ i 234.38 | $ i 7 | ||||||||||||||||
| C |
$ |
i 2 |
$ i 250.00 | i 2 | ||||||||||||||||
| D |
$ |
i 14 |
$ i 250.00 | i 13 | ||||||||||||||||
| E |
$ i 1,000.00 |
i 7 |
$ i 1,011.11 | i 7 | ||||||||||||||||
| F |
$ i 1,000.00 |
i 2 |
$ i 1,011.11 | i 2 | ||||||||||||||||
| J |
$ |
i 14 |
$ i 343.75 | i 14 | ||||||||||||||||
| K |
$ |
i 11 |
$ i 398.44 | i 11 | ||||||||||||||||
| L |
$ |
i – |
$ i 361.54 | i 4 | ||||||||||||||||
| N |
$ |
i 10 |
$ i 393.75 | i 11 | ||||||||||||||||
| Q |
$ |
i 14 |
$ i 889.93 | i 18 | ||||||||||||||||
| R |
$ |
i 15 |
$ |
– | ||||||||||||||||
| S |
$ |
i 8 |
$ |
– | ||||||||||||||||
| Total |
$ i 104 |
$ i 89 | ||||||||||||||||||
| $ in millions |
|
Beginning balance |
|
Other comprehensive income/(loss) adjustments, net of tax |
|
|
Ending balance |
| ||||
| Three Months Ended March 2021 |
| |||||||||||
| Currency translation |
$ |
) |
$ – |
$ |
) | |||||||
| Debt valuation adjustment |
( i 833 |
) |
( i 19 |
) |
( i 852 |
) | ||||||
| Pension and postretirement liabilities |
( i 368 |
) |
i 7 |
( i 361 |
) | |||||||
| Available-for-sale |
i 463 |
( i 628 |
) |
( i 165 |
) | |||||||
| Total |
$( i 1,434 |
) |
$ |
) |
$( i 2,074 |
) | ||||||
| Three Months Ended March 2020 |
| |||||||||||
| Currency translation |
$ |
) | $ ( i 17 | ) | $ |
) | ||||||
| Debt valuation adjustment |
( i 572 | ) | i 2,914 | i 2,342 | ||||||||
| Pension and postretirement liabilities |
( i 342 | ) | i 7 | ( i 335 | ) | |||||||
| Available-for-sale |
i 46 | i 517 | i 563 | |||||||||
| Total |
$ |
) | $ i 3,421 | $ |
||||||||
| Goldman Sachs March 2021 Form 10-Q | 70 |
| Standardized | Advanced | |||||||
CET1 capital ratio |
i i 13.6 / % | i i 9.5 / % | ||||||
Tier 1 capital ratio |
i i 15.1 / % | i i 11.0 / % | ||||||
Total capital ratio |
i i 17.1 / % | i i 13.0 / % | ||||||
| • | Under both the Standardized and Advanced Capital Rules, the CET1 capital ratio requirement includes a minimum of i i 4.5 / %,
the Tier 1 capital ratio requirement includes a minimum of i i 6.0 / %
and the Total capital ratio requirement includes a minimum of i i 8.0 / %.
These requirements also include the capital conservation buffer requirements, consisting of the G-SIB surcharge of i i 2.5 / %
(Method 2) and the countercyclical capital buffer, which the FRB has set to i i zero /
percent. In addition, the capital conservation buffer requirements include the stress capital buffer (SCB) of i i 6.6 / %
under the Standardized Capital Rules and a buffer of i i 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. |
| 71 | Goldman Sachs March 2021 Form 10-Q |
$ in millions |
Standardized | Advanced | ||||||
As of March 2021 |
||||||||
CET1 capital |
$ i 85,219 |
$ i 85,219 |
||||||
Tier 1 capital |
$ i 94,314 |
$ i 94,314 |
||||||
Tier 2 capital |
$ i 15,063 |
$ i 12,837 |
||||||
Total capital |
$ i 109,377 |
$ i 107,151 |
||||||
RWAs |
$ i 594,573 |
$ i 629,801 |
||||||
CET1 capital ratio |
i 14.3% |
i 13.5% |
||||||
Tier 1 capital ratio |
i 15.9% |
i 15.0% |
||||||
Total capital ratio |
i 18.4% |
i 17.0% |
||||||
As of December 2020 |
||||||||
CET1 capital |
$ i 81,641 | $ i 81,641 | ||||||
Tier 1 capital |
$ i 92,730 | $ i 92,730 | ||||||
Tier 2 capital |
$ i 15,424 | $ i 13,279 | ||||||
Total capital |
$ i 108,154 | $ i 106,009 | ||||||
RWAs |
$ i 554,162 | $ i 609,750 | ||||||
CET1 capital ratio |
i 14.7% | i 13.4% | ||||||
Tier 1 capital ratio |
i 16.7% | i 15.2% | ||||||
Total capital ratio |
i 19.5% | i 17.4% | ||||||
Requirements |
||||
Tier 1 leverage ratio |
i i 4.0 / % |
|||
SLR |
i i 5.0 / % |
|||
For the Three Months Ended or as of |
||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Tier 1 capital |
$ |
$ i 92,730 | ||||||
Average total assets |
$ i 1,249,783 |
$ i 1,152,785 | ||||||
Deductions from Tier 1 capital |
( i 5,111 |
) |
( i 4,948 |
) | ||||
Average adjusted total assets |
i 1,244,672 |
i 1,147,837 | ||||||
Impact of SLR temporary amendment |
( i 205,103 |
) |
( i 202,748 | ) | ||||
Average off-balance sheet exposures |
i 410,683 |
i 387,848 | ||||||
Total leverage exposure |
$ i 1,450,252 |
$ i 1,332,937 | ||||||
Tier 1 leverage ratio |
i 7.6 % |
i 8.1% | ||||||
SLR |
i 6.5 % |
i 7.0% | ||||||
| • | Average total assets represents the average daily assets for the quarter adjusted for the impact of CECL transition. |
| • | Impact of SLR temporary amendment represents the exclusion of average holdings of U.S. Treasury securities and average deposits at the Federal Reserve as permitted by the FRB. Effective April 1, 2021, the amendment permitting this exclusion expired and, as a result, the SLR for the three months ended June 2021 will not reflect the impact of the temporary amendment to exclude the holdings of such assets. This temporary amendment had the effect of increasing the SLR by approximately i 0.8 percentage
points for the three months ended March 2021 and approximately i 1.0 percentage points for the three months ended December 2020. |
| • | 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. |
| Goldman Sachs March 2021 Form 10-Q | 72 |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Common shareholders’ equity |
$ i 88,461 |
$ i 84,729 | ||||||
Impact of CECL transition |
i 1,077 |
i 1,126 | ||||||
Deduction for goodwill |
( i 3,660 |
) |
( i 3,652 | ) | ||||
Deduction for identifiable intangible assets |
( i 548 |
) |
( i 601 | ) | ||||
Other adjustments |
( i 111 |
) |
i 39 | |||||
CET1 capital |
i 85,219 |
i 81,641 | ||||||
Preferred stock |
i 9,203 |
i 11,203 | ||||||
Deduction for investments in covered funds |
( i 104 |
) |
( i 106 | ) | ||||
Other adjustments |
( i 4 |
) |
( i 8 | ) | ||||
Tier 1 capital |
$ i 94,314 |
$ i 92,730 | ||||||
Standardized Tier 2 and Total capital |
||||||||
Tier 1 capital |
$ i 94,314 |
$ i 92,730 | ||||||
Qualifying subordinated debt |
i 12,079 |
i 12,196 | ||||||
Junior subordinated debt |
i 94 |
i 188 | ||||||
Allowance for credit losses |
i 2,949 |
i 3,095 | ||||||
Other adjustments |
( i 59 |
) |
( i 55 | ) | ||||
Standardized Tier 2 capital |
i 15,063 |
i 15,424 | ||||||
Standardized Total capital |
$ i 109,377 |
$ i 108,154 | ||||||
Advanced Tier 2 and Total capital |
||||||||
Tier 1 capital |
$ i 94,314 |
$ i 92,730 | ||||||
Standardized Tier 2 capital |
i 15,063 |
i 15,424 | ||||||
Allowance for credit losses |
( i 2,949 |
) |
( i 3,095 | ) | ||||
Other adjustments |
i 723 |
i 950 | ||||||
Advanced Tier 2 capital |
i 12,837 |
i 13,279 | ||||||
Advanced Total capital |
$ i 107,151 |
$ i 106,009 | ||||||
| • | Impact of CECL transition represents the impact of adoption as of January 1, 2020 and the impact of increasing regulatory capital by i i 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 $ i 672 million as of March 2021 and $ i 680
million as of December 2020. |
| • | Deduction for identifiable intangible assets was net of deferred tax liabilities of $ i 27 million as of March 2021 and $ i 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 i i 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 March 2021, i 10% of this debt was included in Tier 2 capital and i 90%
was phased out of regulatory capital. As of December 2020, i 20% of this debt was included in Tier 2 capital and i 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. |
| 73 | Goldman Sachs March 2021 Form 10-Q |
$ in millions |
Standardized | Advanced | ||||||
Three Months Ended March 2021 |
||||||||
CET1 capital |
||||||||
Beginning balance |
$ i 81,641 |
$ i 81,641 |
||||||
Change in: |
||||||||
Common shareholders’ equity |
i 3,732 |
i 3,732 |
||||||
Impact of CECL transition |
( i 49 |
) |
( i 49 |
) | ||||
Deduction for goodwill |
( i 8 |
) |
( i 8 |
) | ||||
Deduction for identifiable intangible assets |
i 53 |
i 53 |
||||||
Other adjustments |
( i 150 |
) |
( i 150 |
) | ||||
Ending balance |
$ i 85,219 |
$ i 85,219 |
||||||
Tier 1 capital |
||||||||
Beginning balance |
$ i 92,730 |
$ i 92,730 |
||||||
Change in: |
||||||||
CET1 capital |
i 3,578 |
i 3,578 |
||||||
Deduction for investments in covered funds |
i 2 |
i 2 |
||||||
Preferred stock |
( i 2,000 |
) |
( i 2,000 |
) | ||||
Other adjustments |
i 4 |
i 4 |
||||||
Ending balance |
i 94,314 |
i 94,314 |
||||||
Tier 2 capital |
||||||||
Beginning balance |
i 15,424 |
i 13,279 |
||||||
Change in: |
||||||||
Qualifying subordinated debt |
( i 117 |
) |
( i 117 |
) | ||||
Junior subordinated debt |
( i 94 |
) |
( i 94 |
) | ||||
Allowance for credit losses |
( i 146 |
) |
– |
|||||
Other adjustments |
( i 4 |
) |
( i 231 |
) | ||||
Ending balance |
i 15,063 |
i 12,837 |
||||||
Total capital |
$ i 109,377 |
$ i 107,151 |
||||||
Year Ended December 2020 |
||||||||
CET1 capital |
||||||||
Beginning balance |
$ i 74,850 | $ i 74,850 | ||||||
Change in: |
||||||||
Common shareholders’ equity |
i 5,667 | i 5,667 | ||||||
Impact of CECL transition |
i 1,126 | i 1,126 | ||||||
Deduction for goodwill |
( i 123 | ) | ( i 123 | ) | ||||
Deduction for identifiable intangible assets |
i 3 | i 3 | ||||||
Other adjustments |
i 118 | i 118 | ||||||
Ending balance |
$ i 81,641 | $ i 81,641 | ||||||
Tier 1 capital |
||||||||
Beginning balance |
$ i 85,440 | $ i 85,440 | ||||||
Change in: |
||||||||
CET1 capital |
i 6,791 | i 6,791 | ||||||
Deduction for investments in covered funds |
i 504 | i 504 | ||||||
Other adjustments |
( i 5 | ) | ( i 5 | ) | ||||
Ending balance |
i 92,730 | i 92,730 | ||||||
Tier 2 capital |
||||||||
Beginning balance |
i 14,925 | i 13,473 | ||||||
Change in: |
||||||||
Qualifying subordinated debt |
( i 651 | ) | ( i 651 | ) | ||||
Junior subordinated debt |
( i 96 | ) | ( i 96 | ) | ||||
Allowance for credit losses |
i 1,293 | – | ||||||
Other adjustments |
( i 47 | ) | i 553 | |||||
Ending balance |
i 15,424 | i 13,279 | ||||||
Total capital |
$ i 108,154 | $ i 106,009 | ||||||
| • | The Standardized Capital Rules apply prescribed risk-weights, which depend largely on the type of counterparty. The exposure measure for derivatives and securities financing transactions are based on specific formulas which take certain factors into consideration. |
| • | Under the Advanced Capital Rules, the firm computes risk-weights for wholesale and retail credit exposures in accordance with the Advanced Internal Ratings-Based approach. The exposure measures for derivatives and securities financing transactions are computed utilizing internal models. |
| • | For both Standardized and Advanced credit RWAs, the risk-weights for securitizations and equities are based on specific required formulaic approaches. |
| • | Value-at-Risk |
| Goldman Sachs March 2021 Form 10-Q | 74 |
| • | Stressed VaR is the potential loss in value of trading assets and liabilities, as well as certain investments, loans, and other financial assets and liabilities accounted for at fair value, during a period of significant market stress; |
| • | Incremental risk is the potential loss in value of non-securitized positions due to the default or credit migration of issuers of financial instruments over a one-year time horizon; |
| • | Comprehensive risk is the potential loss in value, due to price risk and defaults, within the firm’s credit correlation positions; and |
| • | Specific risk is the risk of loss on a position that could result from factors other than broad market movements, including event risk, default risk and idiosyncratic risk. The standardized measurement method is used to determine specific risk RWAs, by applying supervisory defined risk-weighting factors after applicable netting is performed. |
$ in millions |
Standardized | Advanced | ||||||
As of March 2021 |
||||||||
Credit RWAs |
||||||||
Derivatives |
$ i 126,509 |
$ i 104,912 |
||||||
Commitments, guarantees and loans |
i 190,116 |
i 156,207 |
||||||
Securities financing transactions |
i 75,746 |
i 21,337 |
||||||
Equity investments |
i 46,587 |
i 48,778 |
||||||
Other |
i 71,973 |
i 89,250 |
||||||
Total Credit RWAs |
i 510,931 |
i 420,484 |
||||||
Market RWAs |
||||||||
Regulatory VaR |
i 16,383 |
i 16,383 |
||||||
Stressed VaR |
i 41,798 |
i 41,798 |
||||||
Incremental risk |
i 8,614 |
i 8,614 |
||||||
Comprehensive risk |
i 1,959 |
i 1,959 |
||||||
Specific risk |
i 14,888 |
i 14,888 |
||||||
Total Market RWAs |
i 83,642 |
i 83,642 |
||||||
Total Operational RWAs |
– |
i 125,675 |
||||||
Total RWAs |
$ i 594,573 |
$ i 629,801 |
||||||
As of December 2020 |
||||||||
Credit RWAs |
||||||||
Derivatives |
$ i 120,292 | $ i 111,691 | ||||||
Commitments, guarantees and loans |
i 176,501 | i 151,587 | ||||||
Securities financing transactions |
i 71,427 | i 16,568 | ||||||
Equity investments |
i 46,944 | i 49,268 | ||||||
Other |
i 70,274 | i 83,599 | ||||||
Total Credit RWAs |
i 485,438 | i 412,713 | ||||||
Market RWAs |
||||||||
Regulatory VaR |
i 14,913 | i 14,913 | ||||||
Stressed VaR |
i 31,978 | i 31,978 | ||||||
Incremental risk |
i 7,882 | i 7,882 | ||||||
Comprehensive risk |
i 1,758 | i 1,758 | ||||||
Specific risk |
i 12,193 | i 12,193 | ||||||
Total Market RWAs |
i 68,724 | i 68,724 | ||||||
Total Operational RWAs |
– | i 128,313 | ||||||
Total RWAs |
$ i 554,162 | $ i 609,750 | ||||||
| • | 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. |
| 75 | Goldman Sachs March 2021 Form 10-Q |
$ in millions |
Standardized | Advanced | ||||||
Three Months Ended March 2021 |
||||||||
RWAs |
||||||||
Beginning balance |
$ i 554,162 |
$ i 609,750 |
||||||
Credit RWAs |
||||||||
Change in: |
||||||||
Derivatives |
i 6,217 |
( i 6,779 |
) | |||||
Commitments, guarantees and loans |
i 13,615 |
i 4,620 |
||||||
Securities financing transactions |
i 4,319 |
i 4,769 |
||||||
Equity investments |
( i 357 |
) |
( i 490 |
) | ||||
Other |
i 1,699 |
i 5,651 |
||||||
Change in Credit RWAs |
i 25,493 |
i 7,771 |
||||||
Market RWAs |
||||||||
Change in: |
||||||||
Regulatory VaR |
i 1,470 |
i 1,470 |
||||||
Stressed VaR |
i 9,820 |
i 9,820 |
||||||
Incremental risk |
i 732 |
i 732 |
||||||
Comprehensive risk |
i 201 |
i 201 |
||||||
Specific risk |
i 2,695 |
i 2,695 |
||||||
Change in Market RWAs |
i 14,918 |
i 14,918 |
||||||
Change in Operational RWAs |
– |
( i 2,638 |
) | |||||
Ending balance |
$ i 594,573 |
$ i 629,801 |
||||||
Year Ended December 2020 |
||||||||
RWAs |
||||||||
Beginning balance |
$ i 563,575 | $ i 544,653 | ||||||
Credit RWAs |
||||||||
Change in: |
||||||||
Derivatives |
( i 614 | ) | i 39,060 | |||||
Commitments, guarantees and loans |
( i 3,239 | ) | i 17,131 | |||||
Securities financing transactions |
i 5,560 | i 2,734 | ||||||
Equity investments |
( i 9,870 | ) | ( i 12,624 | ) | ||||
Other |
( i 5,386 | ) | i 5,333 | |||||
Change in Credit RWAs |
( i 13,549 | ) | i 51,634 | |||||
Market RWAs |
||||||||
Change in: |
||||||||
Regulatory VaR |
i 5,980 | i 5,980 | ||||||
Stressed VaR |
i 1,067 | i 1,067 | ||||||
Incremental risk |
i 3,574 | i 3,574 | ||||||
Comprehensive risk |
i 365 | i 567 | ||||||
Specific risk |
( i 6,850 | ) | ( i 6,850 | ) | ||||
Change in Market RWAs |
i 4,136 | i 4,338 | ||||||
Change in Operational RWAs |
– | i 9,125 | ||||||
Ending balance |
$ i 554,162 | $ i 609,750 | ||||||
| Goldman Sachs March 2021 Form 10-Q | 76 |
Requirements |
“Well-capitalized” Requirements |
|||||||
Risk-based capital requirements |
||||||||
CET1 capital ratio |
i i 7.0 / % |
i i 6.5 / % |
||||||
Tier 1 capital ratio |
i i 8.5 / % |
i i 8.0 / % |
||||||
Total capital ratio |
i i 10.5 / % |
i i 10.0 / % |
||||||
Leverage requirements |
||||||||
Tier 1 leverage ratio |
i i 4.0 / % |
i i 5.0 / % |
||||||
SLR |
i i 3.0 / % |
i i 6.0 / % |
||||||
| • | The CET1 capital ratio requirement includes a minimum of i i 4.5 / %,
the Tier 1 capital ratio requirement includes a minimum of i i 6.0 / %
and the Total capital ratio requirement includes a minimum of i i 8.0 / %.
These requirements also include the capital conservation buffer requirements consisting of a i i 2.5 / %
buffer and the countercyclical capital buffer, which the FRB has set to i i zero /
percent. |
| • | The “well-capitalized” requirements are the binding requirements for leverage ratios. |
$ in millions |
Standardized | Advanced | ||||||
As of March 2021 |
||||||||
CET1 capital |
$ i 31,137 |
$ i 31,137 |
||||||
Tier 1 capital |
$ i 31,137 |
$ i 31,137 |
||||||
Tier 2 capital |
$ i 6,134 |
$ i 4,696 |
||||||
Total capital |
$ i 37,271 |
$ i 35,833 |
||||||
RWAs |
$ i 287,339 |
$ i 175,826 |
||||||
CET1 capital ratio |
i 10.8% |
i 17.7% |
||||||
Tier 1 capital ratio |
i 10.8% |
i 17.7% |
||||||
Total capital ratio |
i 13.0% |
i 20.4% |
||||||
As of December 2020 |
||||||||
CET1 capital |
$ i 30,656 | $ i 30,656 | ||||||
Tier 1 capital |
$ i 30,656 | $ i 30,656 | ||||||
Tier 2 capital |
$ i 6,288 | $ i 4,903 | ||||||
Total capital |
$ i 36,944 | $ i 35,559 | ||||||
RWAs |
$ i 266,153 | $ i 165,799 | ||||||
CET1 capital ratio |
i 11.5% | i 18.5% | ||||||
Tier 1 capital ratio |
i 11.5% | i 18.5% | ||||||
Total capital ratio |
i 13.9% | i 21.4% | ||||||
| • | The lower of the Standardized or Advanced ratio is the ratio against which GS Bank USA’s compliance with the capital requirements is assessed under the risk-based Capital Rules, and therefore, the Standardized ratios applied to GS Bank USA as of both March 2021 and December 2020. |
| • | As permitted by the FRB, GS Bank USA has elected to temporarily delay the estimated effects of adopting CECL on regulatory capital until January 2022 and to subsequently phase-in the effects through January 2025. In addition, during 2020 and 2021, GS Bank USA has elected to increase regulatory capital by i i 25 / %
of the increase in the allowance for credit losses since January 1, 2020, as permitted by the rules issued by the FRB. The impact of this increase will also be phased in over the three-year transition period. Reflecting the full impact of CECL as of both March 2021 and December 2020 would not have had a material impact on GS Bank USA’s Standardized risk-based capital ratios. |
| 77 | Goldman Sachs March 2021 Form 10-Q |
| • | The Standardized and Advanced risk-based capital ratios decreased from December 2020 to March 2021, reflecting an increase in both Credit and Market RWAs, partially offset by an increase in capital, principally due to net earnings. |
For the Three Months Ended or as of |
||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
Tier 1 capital |
$ i 31,137 |
$ i 30,656 | ||||||
Average adjusted total assets |
$ i 283,449 |
$ i 283,869 | ||||||
Total leverage exposure |
$ i 355,420 |
$ i 343,198 | ||||||
Tier 1 leverage ratio |
i 11.0% |
i 10.8% | ||||||
SLR |
i 8.8% |
i 8.9% | ||||||
| • | 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, excluded average holdings of U.S. Treasury securities and average deposits at the Federal Reserve as permitted by the FRB. Effective April 1, 2021, the amendment permitting this exclusion expired and, as a result, the SLR for the three months ended June 2021 will not reflect the impact of the temporary amendment to exclude the holdings of such assets. This temporary amendment had the effect of increasing GS Bank USA’s SLR by approximately i i 2.4 / percentage
points for both the three months ended March 2021 and December 2020. |
| • | 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. |
| Goldman Sachs March 2021 Form 10-Q | 78 |
| Three Months Ended March |
||||||||
in millions, except per share amounts |
2021 |
2020 | ||||||
| Net earnings to common |
$ i 6,711 |
$ i 1,123 | ||||||
| Weighted average basic shares |
i 356.6 |
i 358.0 | ||||||
| Effect of dilutive RSUs |
i 4.3 |
i 3.1 | ||||||
| Weighted average diluted shares |
i 360.9 |
i 361.1 | ||||||
| Basic EPS |
$ i 18.80 |
$ i 3.12 | ||||||
| Diluted EPS |
$ i 18.60 |
$ i 3.11 | ||||||
| • | Net earnings to common represents net earnings applicable to common shareholders, which is calculated as net earnings less preferred stock dividends. |
| • | Unvested share-based awards that have non-forfeitable rights to dividends or dividend equivalents are treated as a separate class of securities under the two-class method. Distributed earnings allocated to these securities reduce net earnings to common to calculate EPS under this method. The impact of applying this methodology was a reduction in basic EPS of $ i i 0.02 /
for both the three months ended March 2021 and March 2020. |
| • | Diluted EPS does not include antidilutive RSUs of approximately i i 0.1 / million
for both the three months ended March 2021 and March 2020. |
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Fees earned from funds |
$ |
$ i 921 | ||||||
| As of | ||||||||
| $ in millions |
March 2021 |
December 2020 |
| |||||
| Fees receivable from funds |
$ |
$ i 803 | ||||||
| Aggregate carrying value of interests in funds |
$ i 5,210 |
$ i 5,068 | ||||||
| 79 | Goldman Sachs March 2021 Form 10-Q |
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Deposits with banks |
$ |
) |
$ i 205 | |||||
| Collateralized agreements |
( i 181 |
) |
i 534 | |||||
| Trading assets |
i 1,193 |
i 1,573 | ||||||
| Investments |
i 507 |
i 471 | ||||||
| Loans |
i 1,220 |
i 1,316 | ||||||
| Other interest |
i 318 |
i 651 | ||||||
| Total interest income |
i 3,054 |
i 4,750 | ||||||
| Deposits |
i 343 |
i 818 | ||||||
| Collateralized financings |
( i 17 |
) |
i 448 | |||||
| Trading liabilities |
i 373 |
i 314 | ||||||
| Short-term borrowings |
i 158 |
i 141 | ||||||
| Long-term borrowings |
i 893 |
i 1,105 | ||||||
| Other interest |
( i 178 |
) |
i 611 | |||||
| Total interest expense |
i 1,572 |
i 3,437 | ||||||
| Net interest income |
$ i 1,482 |
$ i 1,313 | ||||||
| • | Collateralized agreements includes rebates paid and interest income on securities borrowed. |
| • | Loans excludes interest on loans held for sale that are accounted for at the lower of cost or fair value. Such interest is included within other interest. |
| • | Other interest income includes interest income on customer debit balances, other interest-earning assets and loans held for sale that are accounted for at the lower of cost or fair value. |
| • | Collateralized financings consists of repurchase agreements and securities loaned. |
| • | Short- and long-term borrowings include both secured and unsecured borrowings. |
| • | Other interest expense includes rebates received on other interest-bearing liabilities and interest expense on customer credit balances. |
| Goldman Sachs March 2021 Form 10-Q | 80 |
| Jurisdiction |
As of March 2021 |
|||
| U.S. Federal |
i 2011 |
|||
| New York State and City |
i 2015 |
|||
| United Kingdom |
i 2017 |
|||
| Japan |
i 2015 |
|||
| Hong Kong |
i 2014 |
|||
| 81 | Goldman Sachs March 2021 Form 10-Q |
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Investment Banking |
||||||||
| Non-interest revenues |
$ i 3,671 |
$ i 2,046 | ||||||
| Net interest income |
i 100 |
i 138 | ||||||
| Total net revenues |
i 3,771 |
i 2,184 | ||||||
| Provision for credit losses |
( i 163 |
) |
i 622 | |||||
| Operating expenses |
i 1,863 |
i 1,169 | ||||||
| Pre-tax earnings |
$ i 2,071 |
$ i 393 |
||||||
| Net earnings |
$ i 1,698 |
$ |
||||||
| Net earnings to common |
$ i 1,679 |
$ |
||||||
| Average common equity |
$ i 10,564 |
$ i 11,308 | ||||||
| Return on average common equity |
i 63.6% |
i 12.1% | ||||||
| Global Markets |
||||||||
| Non-interest revenues |
$ i 7,020 |
$ i 4,652 | ||||||
| Net interest income |
i 561 |
i 511 | ||||||
| Total net revenues |
i 7,581 |
i 5,163 | ||||||
| Provision for credit losses |
( i 20 |
) |
i 68 | |||||
| Operating expenses |
i 4,185 |
i 2,847 | ||||||
| Pre-tax earnings |
$ i 3,416 |
$ i 2,248 | ||||||
| Net earnings |
$ i 2,801 |
$ i 2,023 | ||||||
| Net earnings to common |
$ i 2,730 |
$ i 1,964 | ||||||
| Average common equity |
$ i 41,044 |
$ i 39,797 | ||||||
| Return on average common equity |
i 26.6% |
i 19.7% | ||||||
| Asset Management |
||||||||
| Non-interest revenues |
$ i 4,431 |
$ |
) | |||||
| Net interest income |
i 183 |
i 171 | ||||||
| Total net revenues |
i 4,614 |
( i 96 | ) | |||||
| Provision for credit losses |
i 53 |
i 79 | ||||||
| Operating expenses |
i 1,890 |
i 1,198 | ||||||
| Pre-tax earnings/(loss) |
$ i 2,671 |
$ |
) | |||||
| Net earnings/(loss) |
$ i 2,190 |
$ |
) | |||||
| Net earnings/(loss) to common |
$ i 2,165 |
$ |
) | |||||
| Average common equity |
$ i 24,604 |
$ i 21,156 | ||||||
| Return on average common equity |
i 35.2% |
( i 23.6)% | ||||||
| Consumer & Wealth Management |
||||||||
| Non-interest revenues |
$ i 1,100 |
$ |
||||||
| Net interest income |
i 638 |
i 493 | ||||||
| Total net revenues |
i 1,738 |
i 1,492 | ||||||
| Provision for credit losses |
i 60 |
i 168 | ||||||
| Operating expenses |
i 1,499 |
i 1,244 | ||||||
| Pre-tax earnings |
$ |
$ |
||||||
| Net earnings |
$ |
$ |
||||||
| Net earnings to common |
$ |
$ |
||||||
| Average common equity |
$ i 10,244 |
$ i 7,002 | ||||||
| Return on average common equity |
i 5.3% |
i 3.8% | ||||||
| Total |
||||||||
| Non-interest revenues |
$ i 16,222 |
$ i 7,430 | ||||||
| Net interest income |
i 1,482 |
i 1,313 | ||||||
| Total net revenues |
i 17,704 |
i 8,743 | ||||||
| Provision for credit losses |
( i 70 |
) |
i 937 | |||||
| Operating expenses |
i 9,437 |
i 6,458 | ||||||
| Pre-tax earnings |
$ i 8,337 |
$ i 1,348 | ||||||
| Net earnings |
$ i 6,836 |
$ i 1,213 | ||||||
| Net earnings to common |
$ i 6,711 |
$ i 1,123 | ||||||
| Average common equity |
$ i 86,456 |
$ i 79,263 | ||||||
| Return on average common equity |
i 31.0% |
i 5.7% | ||||||
| • | Revenues and expenses directly associated with each segment are included in determining pre-tax earnings. |
| • | Net revenues in the firm’s segments include allocations of interest income and expense to specific positions in relation to the cash generated by, or funding requirements of, such positions. Net interest is included in segment net revenues as it is consistent with how management assesses segment performance. |
| • | Overhead expenses not directly allocable to specific segments are allocated ratably based on direct segment expenses. |
| • | The allocation of common equity among the firm’s segments for the first quarter of 2021 reflected updates to the firm’s attributed equity framework (effective January 1, 2021) to incorporate the impact of the SCB r ule and the firm’s SCB of i 6.6%, which became effective on October 1, 2020 under the Standardized Approach. The average
common equity balances above incorporate such impact, as well as the changes in the size and composition of assets held in each of the firm’s segments that occurred during the first quarter of 2021. |
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Investment Banking |
$ i 48 |
$ i 39 | ||||||
| Global Markets |
i 168 |
i 133 | ||||||
| Asset Management |
i 190 |
i 170 | ||||||
| Consumer & Wealth Management |
i 92 |
i 95 | ||||||
| Total |
$ i 498 |
$ i 437 | ||||||
| Goldman Sachs March 2021 Form 10-Q | 82 |
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Investment Banking |
$ |
$ |
||||||
| Global Markets |
i 972,275 |
i 844,606 | ||||||
| Asset Management |
i 89,694 |
i 95,751 | ||||||
| Consumer & Wealth Management |
i 108,915 |
i 106,429 | ||||||
| Total |
$ i 1,301,548 |
$ i 1,163,028 | ||||||
| As of | ||||||||
$ in millions |
March 2021 |
December 2020 |
| |||||
| Investment Banking |
||||||||
| Corporate |
$ |
$ |
||||||
| Loans, gross |
i 26,028 |
i 27,866 | ||||||
| Allowance for loan losses |
( i 1,118 |
) |
( i 1,322 | ) | ||||
| Loans |
i 24,910 |
i 26,544 | ||||||
| Global Markets |
||||||||
| Corporate |
i 13,779 |
i 13,248 | ||||||
| Real estate |
i 20,423 |
i 16,915 | ||||||
| Other |
i 3,776 |
i 3,499 | ||||||
| Loans, gross |
i 37,978 |
i 33,662 | ||||||
| Allowance for loan losses |
( i 439 |
) |
( i 448 | ) | ||||
| Loans |
i 37,539 |
i 33,214 | ||||||
| Asset Management |
||||||||
| Corporate |
i 7,688 |
i 7,545 | ||||||
| Real estate |
i 9,049 |
i 9,125 | ||||||
| Other |
i 674 |
i 675 | ||||||
| Loans, gross |
i 17,411 |
i 17,345 | ||||||
| Allowance for loan losses |
( i 826 |
) |
( i 787 | ) | ||||
| Loans |
i 16,585 |
i 16,558 | ||||||
| Consumer & Wealth Management |
||||||||
| Wealth management |
i 35,506 |
i 33,023 | ||||||
| Installment |
i 3,477 |
i 3,823 | ||||||
| Credit cards |
i 4,376 |
i 4,270 | ||||||
| Loans, gross |
i 43,359 |
i 41,116 | ||||||
| Allowance for loan losses |
( i 1,132 |
) |
( i 1,317 | ) | ||||
| Loans |
i 42,227 |
i 39,799 | ||||||
| Total |
||||||||
| Loans, gross |
i 124,776 |
i 119,989 | ||||||
| Allowance for loan losses |
( i 3,515 |
) |
( i 3,874 | ) | ||||
| Loans |
$ |
$ |
||||||
| • | Investment Banking: location of the client and investment banking team. |
| • | Global Markets: FICC and Equities intermediation: location of the market-making desk; FICC and Equities financing (excluding prime brokerage financing): location of the desk; prime brokerage financing: location of the primary market for the underlying security. |
| • | Asset Management (excluding Equity investments and Lending and debt investments): location of the sales team; Equity investments: location of the investment; Lending and debt investments: location of the client. |
| • | Consumer & Wealth Management: Wealth manageme n t: location of the sales team; Consumer banking: location of the client. |
$ in millions |
2021 |
2020 | ||||||||||||||
| Three Months Ended March |
||||||||||||||||
| Americas |
$ i 10,825 |
i 61% |
$ i 5,171 | i 59% | ||||||||||||
| EMEA |
i 4,713 |
i 27% |
i 2,108 | i 24% | ||||||||||||
| Asia |
i 2,166 |
i 12% |
i 1,464 | i 17% | ||||||||||||
| Total net revenues |
$ i 17,704 |
i 100% |
$ i 8,743 | i 100% | ||||||||||||
| Americas |
$ i 5,015 |
i 60% |
$ |
i 41% | ||||||||||||
| EMEA |
i 2,415 |
i 29% |
i 436 | i 32% | ||||||||||||
| Asia |
i 907 |
i 11% |
i 361 | i 27% | ||||||||||||
| Total pre-tax earnings |
$ i 8,337 |
i 100% |
$ i 1,348 | i 100% | ||||||||||||
| • | Results in Americas were primarily attributable to the U.S. |
| • | Asia includes Australia and New Zealand. |
| 83 | Goldman Sachs March 2021 Form 10-Q |
| As of | ||||||||
| $ in millions |
March 2021 |
December 2020 |
| |||||
| U.S. government and agency obligations |
$ i 141,318 |
$ i 187,009 | ||||||
| Percentage of total assets |
i 10.9% |
i 16.1% | ||||||
| Non-U.S. government and agency obligations |
$ i 70,636 |
$ i 59,580 | ||||||
| Percentage of total assets |
i 5.4% |
i 5.1% | ||||||
| As of | ||||||||
| $ in millions |
March 2021 |
December 2020 |
| |||||
| U.S. government and agency obligations |
$ i 83,895 |
$ i 60,158 | ||||||
| Non-U.S. government and agency obligations |
$ i 84,563 |
$ i 68,001 | ||||||
| • | Non-U.S. government and agency obligations primarily consists of securities issued by the governments of the U.K. and Japan. |
| • | Given that the firm’s primary credit exposure on such transactions is to the counterparty to the transaction, the firm would be exposed to the collateral issuer only in the event of counterparty default. |
| Goldman Sachs March 2021 Form 10-Q | 84 |
| 85 | Goldman Sachs March 2021 Form 10-Q |
| Goldman Sachs March 2021 Form 10-Q | 86 |
| 87 | Goldman Sachs March 2021 Form 10-Q |
| Goldman Sachs March 2021 Form 10-Q | 88 |
| 89 | Goldman Sachs March 2021 Form 10-Q |
| Goldman Sachs March 2021 Form 10-Q | 90 |
| 91 | Goldman Sachs March 2021 Form 10-Q |
| • | The securities offering process and underwriting practices; |
| • | The firm’s investment management and financial advisory services; |
| • | Conflicts of interest; |
| • | Research practices, including research independence and interactions between research analysts and other firm personnel, including investment banking personnel, as well as third parties; |
| • | Transactions involving government-related financings and other matters, municipal securities, including wall-cross procedures and conflict of interest disclosure with respect to state and municipal clients, the trading and structuring of municipal derivative instruments in connection with municipal offerings, political contribution rules, municipal advisory services and the possible impact of credit default swap transactions on municipal issuers; |
| • | Consumer lending, as well as residential mortgage lending, servicing and securitization, and compliance with related consumer laws; |
| • | The offering, auction, sales, trading and clearance of corporate and government securities, currencies, commodities and other financial products and related sales and other communications and activities, as well as the firm’s supervision and controls relating to such activities, including compliance with applicable short sale rules, algorithmic, high-frequency and quantitative trading, the firm’s U.S. alternative trading system (dark pool), futures trading, options trading, when-issued trading, transaction reporting, technology systems and controls, securities lending practices, prime brokerage activities, trading and clearance of credit derivative instruments and interest rate swaps, commodities activities and metals storage, private placement practices, allocations of and trading in securities, and trading activities and communications in connection with the establishment of benchmark rates, such as currency rates; |
| • | Compliance with the FCPA; |
| • | The firm’s hiring and compensation practices; |
| • | The firm’s system of risk management and controls; and |
| • | Insider trading, the potential misuse and dissemination of material nonpublic information regarding corporate and governmental developments and the effectiveness of the firm’s insider trading controls and information barriers. |
| Goldman Sachs March 2021 Form 10-Q | 92 |
| Report of Independent Registered Public Accounting Firm |
| 93 | Goldman Sachs March 2021 Form 10-Q |
| Average Balance for the Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Assets |
||||||||
| U.S. |
$ |
$ 41,249 | ||||||
| Non-U.S. |
78,851 |
54,102 | ||||||
| Total deposits with banks |
157,599 |
95,351 | ||||||
| U.S. |
174,032 |
137,105 | ||||||
| Non-U.S. |
109,222 |
123,218 | ||||||
| Total collateralized agreements |
283,254 |
260,323 | ||||||
| U.S. |
189,211 |
195,854 | ||||||
| Non-U.S. |
130,127 |
117,488 | ||||||
| Total trading assets |
319,338 |
313,342 | ||||||
| U.S. |
69,115 |
43,979 | ||||||
| Non-U.S. |
18,565 |
17,435 | ||||||
| Total investments |
87,680 |
61,414 | ||||||
| U.S. |
95,061 |
88,534 | ||||||
| Non-U.S. |
21,053 |
17,066 | ||||||
| Total loans |
116,114 |
105,600 | ||||||
| U.S. |
84,928 |
50,888 | ||||||
| Non-U.S. |
56,495 |
43,570 | ||||||
| Total other interest-earning assets |
141,423 |
94,458 | ||||||
| Total interest-earning assets |
1,105,408 |
930,488 | ||||||
| Cash and due from banks |
10,563 |
12,232 | ||||||
| Other non-interest-earning assets |
132,735 |
105,947 | ||||||
| Total assets |
$1,248,706 |
$1,048,667 | ||||||
| Liabilities |
||||||||
| U.S. |
$ |
$ 153,771 | ||||||
| Non-U.S. |
62,419 |
45,418 | ||||||
| Total interest-bearing deposits |
264,125 |
199,189 | ||||||
| U.S. |
102,735 |
88,223 | ||||||
| Non-U.S. |
49,534 |
36,884 | ||||||
| Total collateralized financings |
152,269 |
125,107 | ||||||
| U.S. |
72,367 |
27,626 | ||||||
| Non-U.S. |
65,074 |
47,948 | ||||||
| Total trading liabilities |
137,441 |
75,574 | ||||||
| U.S. |
35,726 |
34,241 | ||||||
| Non-U.S. |
34,921 |
18,399 | ||||||
| Total short-term borrowings |
70,647 |
52,640 | ||||||
| U.S. |
199,621 |
197,063 | ||||||
| Non-U.S. |
28,407 |
27,294 | ||||||
| Total long-term borrowings |
228,028 |
224,357 | ||||||
| U.S. |
124,324 |
128,285 | ||||||
| Non-U.S. |
75,835 |
65,702 | ||||||
| Total other interest-bearing liabilities |
200,159 |
193,987 | ||||||
| Total interest-bearing liabilities |
1,052,669 |
870,854 | ||||||
| Non-interest-bearing deposits |
6,499 |
6,325 | ||||||
| Other non-interest-bearing liabilities |
93,379 |
81,022 | ||||||
| Total liabilities |
1,152,547 |
958,201 | ||||||
| Shareholders’ equity |
||||||||
| Preferred stock |
9,703 |
11,203 | ||||||
| Common stock |
86,456 |
79,263 | ||||||
| Total shareholders’ equity |
96,159 |
90,466 | ||||||
| Total liabilities and shareholders’ equity |
$1,248,706 |
$1,048,667 | ||||||
| Percentage attributable to non-U.S. operations |
|
|||||||
| Interest-earning assets |
37.48% |
40.07% | ||||||
| Interest-bearing liabilities |
30.04% |
27.75% | ||||||
| Interest for the Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Assets |
||||||||
| U.S. |
$ |
$ 151 | ||||||
| Non-U.S. |
(27 |
) |
54 | |||||
| Total deposits with banks |
(3 |
) |
205 | |||||
| U.S. |
(82 |
) |
440 | |||||
| Non-U.S. |
(99 |
) |
94 | |||||
| Total collateralized agreements |
(181 |
) |
534 | |||||
| U.S. |
792 |
1,067 | ||||||
| Non-U.S. |
401 |
506 | ||||||
| Total trading assets |
1,193 |
1,573 | ||||||
| U.S. |
356 |
334 | ||||||
| Non-U.S. |
151 |
137 | ||||||
| Total investments |
507 |
471 | ||||||
| U.S. |
1,013 |
1,123 | ||||||
| Non-U.S. |
207 |
193 | ||||||
| Total loans |
1,220 |
1,316 | ||||||
| U.S. |
260 |
453 | ||||||
| Non-U.S. |
58 |
198 | ||||||
| Total other interest-earning assets |
318 |
651 | ||||||
| Total interest-earning assets |
$3,054 |
$4,750 | ||||||
| Liabilities |
||||||||
| U.S. |
$ |
$ 685 | ||||||
| Non-U.S. |
52 |
133 | ||||||
| Total interest-bearing deposits |
343 |
818 | ||||||
| U.S. |
12 |
400 | ||||||
| Non-U.S. |
(29 |
) |
48 | |||||
| Total collateralized financings |
(17 |
) |
448 | |||||
| U.S. |
149 |
105 | ||||||
| Non-U.S. |
224 |
209 | ||||||
| Total trading liabilities |
373 |
314 | ||||||
| U.S. |
144 |
135 | ||||||
| Non-U.S. |
14 |
6 | ||||||
| Total short-term borrowings |
158 |
141 | ||||||
| U.S. |
868 |
1,074 | ||||||
| Non-U.S. |
25 |
31 | ||||||
| Total long-term borrowings |
893 |
1,105 | ||||||
| U.S. |
(157 |
) |
452 | |||||
| Non-U.S. |
(21 |
) |
159 | |||||
| Total other interest-bearing liabilities |
(178 |
) |
611 | |||||
| Total interest-bearing liabilities |
$1,572 |
$3,437 | ||||||
| Net interest income |
||||||||
| U.S. |
$1,056 |
$ 717 | ||||||
| Non-U.S. |
426 |
596 | ||||||
| Net interest income |
$1,482 |
$1,313 | ||||||
| Goldman Sachs March 2021 Form 10-Q | 94 |
| Annualized Average Rate for the Three Months Ended March |
||||||||
2021 |
2020 | |||||||
| Assets |
||||||||
| U.S. |
0.12% |
1.47% | ||||||
| Non-U.S. |
(0.14)% |
0.40% | ||||||
| Total deposits with banks |
(0.01)% |
0.86% | ||||||
| U.S. |
(0.19)% |
1.29% | ||||||
| Non-U.S. |
(0.37)% |
0.31% | ||||||
| Total collateralized agreements |
(0.26)% |
0.83% | ||||||
| U.S. |
1.70% |
2.19% | ||||||
| Non-U.S. |
1.25% |
1.73% | ||||||
| Total trading assets |
1.52% |
2.02% | ||||||
| U.S. |
2.09% |
3.05% | ||||||
| Non-U.S. |
3.30% |
3.16% | ||||||
| Total investments |
2.35% |
3.08% | ||||||
| U.S. |
4.32% |
5.10% | ||||||
| Non-U.S. |
3.99% |
4.55% | ||||||
| Total loans |
4.26% |
5.01% | ||||||
| U.S. |
1.24% |
3.58% | ||||||
| Non-U.S. |
0.42% |
1.83% | ||||||
| Total other interest-earning assets |
0.91% |
2.77% | ||||||
| Total interest-earning assets |
1.12% |
2.05% | ||||||
| Liabilities |
||||||||
| U.S. |
0.59% |
1.79% | ||||||
| Non-U.S. |
0.34% |
1.18% | ||||||
| Total interest-bearing deposits |
0.53% |
1.65% | ||||||
| U.S. |
0.05% |
1.82% | ||||||
| Non-U.S. |
(0.24)% |
0.52% | ||||||
| Total collateralized financings |
(0.05)% |
1.44% | ||||||
| U.S. |
0.84% |
1.53% | ||||||
| Non-U.S. |
1.40% |
1.75% | ||||||
| Total trading liabilities |
1.10% |
1.67% | ||||||
| U.S. |
1.63% |
1.59% | ||||||
| Non-U.S. |
0.16% |
0.13% | ||||||
| Total short-term borrowings |
0.91% |
1.08% | ||||||
| U.S. |
1.76% |
2.19% | ||||||
| Non-U.S. |
0.36% |
0.46% | ||||||
| Total long-term borrowings |
1.59% |
1.98% | ||||||
| U.S. |
(0.51)% |
1.42% | ||||||
| Non-U.S. |
(0.11)% |
0.97% | ||||||
| Total other interest-bearing liabilities |
(0.36)% |
1.27% | ||||||
| Total interest-bearing liabilities |
0.61% |
1.59% | ||||||
| Interest rate spread |
0.51% |
0.46% | ||||||
| U.S. |
0.62% |
0.52% | ||||||
| Non-U.S. |
0.42% |
0.64% | ||||||
| Net yield on interest-earning assets |
0.54% |
0.57% | ||||||
| • | Assets, liabilities and interest are classified as U.S. and non-U.S. based on the location of the legal entity in which the assets and liabilities are held. |
| • | Derivative instruments and commodities are included in other non-interest-earning assets and other non-interest-bearing liabilities. |
| • | Total other interest-earning assets primarily consists of receivables from customers and counterparties. |
| • | Collateralized financings consists of securities sold under agreements to repurchase and securities loaned. |
| • | Substantially all of the total other interest-bearing liabilities consists of payables to customers and counterparties. |
| • | Interest rates for borrowings include the effects of interest rate swaps accounted for as hedges. |
| • | Total loans exclude loans held for sale that are accounted for at the lower of cost or fair value. Such loans are included within other interest-earning assets. |
| • | Total short- and long-term borrowings include both secured and unsecured borrowings. |
| 95 | Goldman Sachs March 2021 Form 10-Q |
| Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations |
| Goldman Sachs March 2021 Form 10-Q | 96 |
| • | Determining the appropriate valuation methodology and/or model for each type of level 3 financial instrument; |
| • | Determining model inputs based on an evaluation of all relevant empirical market data, including prices evidenced by market transactions, interest rates, credit spreads, volatilities and correlations; and |
| • | Determining appropriate valuation adjustments, including those related to illiquidity or counterparty credit quality. |
| 97 | Goldman Sachs March 2021 Form 10-Q |
| • | Trade Comparison. |
| • | External Price Comparison. |
| • | Calibration to Market Comparables. |
| • | Relative Value Analyses. |
| • | Collateral Analyses. |
| • | Execution of Trades. |
| • | Backtesting. |
| Goldman Sachs March 2021 Form 10-Q | 98 |
| 99 | Goldman Sachs March 2021 Form 10-Q |
| Three Months Ended March |
||||||||
$ in millions, except per share amounts |
2021 |
2020 | ||||||
| Net revenues |
$17,704 |
$8,743 | ||||||
| Pre-tax earnings |
$ 8,337 |
$1,348 | ||||||
| Net earnings |
$ 6,836 |
$1,213 | ||||||
| Net earnings to common |
$ 6,711 |
$1,123 | ||||||
| Diluted EPS |
$ 18.60 |
$ 3.11 | ||||||
| ROE |
31.0% |
5.7% | ||||||
| ROTE |
32.9% |
6.0% | ||||||
| Net earnings to average total assets |
2.2% |
0.5% | ||||||
| Return on average shareholders’ equity |
28.4% |
5.4% | ||||||
| Average equity to average assets |
7.7% |
8.6% | ||||||
| Dividend payout ratio |
6.7% |
40.2% | ||||||
| • | Net earnings to common represents net earnings applicable to common shareholders, which is calculated as net earnings less preferred stock dividends. |
| • | ROE, return on average tangible common shareholders’ equity (ROTE), net earnings to average total assets and return on average shareholders’ equity are annualized amounts. |
| • | Average equity to average assets is calculated by dividing average total shareholders’ equity by average total assets. |
| • | Dividend payout ratio is calculated by dividing dividends declared per common share by diluted EPS. |
| • | Annualized ROE is calculated by dividing annualized net earnings to common by average monthly common shareholders’ equity. Tangible common shareholders’ equity is calculated as total shareholders’ equity less preferred stock, goodwill and identifiable intangible assets. Annualized ROTE is calculated by dividing annualized net earnings to common by average monthly tangible common shareholders’ equity. We believe that tangible common shareholders’ equity is meaningful because it is a measure that we and investors use to assess capital adequacy and that ROTE is meaningful because it measures the performance of businesses consistently, whether they were acquired or developed internally. Tangible common shareholders’ equity and ROTE are non-GAAP measures and may not be comparable to similar non-GAAP measures used by other companies. Annualized return on average shareholders’ equity is calculated by
dividing annualized net earnings by average monthly shareholders’ equity. |
| The table below presents our average equity and the reconciliation of average common shareholders’ equity to average tangible common shareholders’ equity. |
| Average for the Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Total shareholders’ equity |
$96,159 |
$ 90,466 | ||||||
| Preferred stock |
(9,703 |
) |
(11,203 | ) | ||||
| Common shareholders’ equity |
86,456 |
79,263 | ||||||
| Goodwill |
(4,332 |
) |
(4,196 | ) | ||||
| Identifiable intangible assets |
(608 |
) |
(625 | ) | ||||
| Tangible common shareholders’ equity |
$81,516 |
$ 74,442 | ||||||
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Investment banking |
$ 3,566 |
$ 1,742 | ||||||
| Investment management |
1,796 |
1,768 | ||||||
| Commissions and fees |
1,073 |
1,020 | ||||||
| Market making |
5,893 |
3,682 | ||||||
| Other principal transactions |
3,894 |
(782 | ) | |||||
| Total non-interest revenues |
16,222 |
7,430 | ||||||
| Interest income |
3,054 |
4,750 | ||||||
| Interest expense |
1,572 |
3,437 | ||||||
| Net interest income |
1,482 |
1,313 | ||||||
| Total net revenues |
$17,704 |
$ 8,743 | ||||||
| • | Investment banking consists of revenues (excluding net interest) from financial advisory and underwriting assignments. These activities are included in our Investment Banking segment. |
| Goldman Sachs March 2021 Form 10-Q | 100 |
| • | Investment management consists of revenues (excluding net interest) from providing asset management services across all major asset classes to a diverse set of asset management clients (included in our Asset Management segment), as well as asset management services, wealth advisory services and certain transaction services for wealth management clients (included in our Consumer & Wealth Management segment). |
| • | Commissions and fees consists of revenues from executing and clearing client transactions on major stock, options and futures exchanges worldwide, as well as over-the-counter |
| • | Market making consists of revenues (excluding net interest) from client execution activities related to making markets in interest rate products, credit products, mortgages, currencies, commodities and equity products. These activities are included in our Global Markets segment. |
| • | Other principal transactions consists of revenues (excluding net interest) from our equity investing activities, including revenues related to our consolidated investments (included in our Asset Management segment), and lending activities (included across our four segments). |
| 101 | Goldman Sachs March 2021 Form 10-Q |
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Provision for credit losses |
$(70 |
) |
$937 | |||||
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Compensation and benefits |
$ 6,043 |
$ 3,235 | ||||||
| Transaction based |
1,256 |
1,030 | ||||||
| Market development |
80 |
153 | ||||||
| Communications and technology |
375 |
321 | ||||||
| Depreciation and amortization |
498 |
437 | ||||||
| Occupancy |
247 |
238 | ||||||
| Professional fees |
360 |
347 | ||||||
| Other expenses |
578 |
697 | ||||||
| Total operating expenses |
$ 9,437 |
$ 6,458 | ||||||
| Headcount at period-end |
40,300 |
38,500 | ||||||
| Goldman Sachs March 2021 Form 10-Q | 102 |
| As of | ||||||||
$ in millions |
March 2021 |
|
December 2020 |
| ||||
| Investment Banking |
$ |
$ 116,242 | ||||||
| Global Markets |
972,275 |
844,606 | ||||||
| Asset Management |
89,694 |
95,751 | ||||||
| Consumer & Wealth Management |
108,915 |
106,429 | ||||||
| Total |
$1,301,548 |
$1,163,028 | ||||||
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Investment Banking |
||||||||
| Net revenues |
$ 3,771 |
$ 2,184 | ||||||
| Provision for credit losses |
(163 |
) |
622 | |||||
| Operating expenses |
1,863 |
1,169 | ||||||
| Pre-tax earnings |
$ 2,071 |
$ 393 | ||||||
| Net earnings to common |
$ 1,679 |
$ 343 | ||||||
| Average common equity |
$10,564 |
$11,308 | ||||||
| Return on average common equity |
63.6% |
12.1% | ||||||
| Global Markets |
||||||||
| Net revenues |
$ 7,581 |
$ 5,163 | ||||||
| Provision for credit losses |
(20 |
) |
68 | |||||
| Operating expenses |
4,185 |
2,847 | ||||||
| Pre-tax earnings |
$ 3,416 |
$ 2,248 | ||||||
| Net earnings to common |
$ 2,730 |
$ 1,964 | ||||||
| Average common equity |
$41,044 |
$39,797 | ||||||
| Return on average common equity |
26.6% |
19.7% | ||||||
| Asset Management |
||||||||
| Net revenues |
$ 4,614 |
$ (96 | ) | |||||
| Provision for credit losses |
53 |
79 | ||||||
| Operating expenses |
1,890 |
1,198 | ||||||
| Pre-tax earnings/(loss) |
$ 2,671 |
$ |
) | |||||
| Net earnings/(loss) to common |
$ 2,165 |
$ |
) | |||||
| Average common equity |
$24,604 |
$21,156 | ||||||
| Return on average common equity |
35.2% |
(23.6)% | ||||||
| Consumer & Wealth Management |
||||||||
| Net revenues |
$ 1,738 |
$ 1,492 | ||||||
| Provision for credit losses |
60 |
168 | ||||||
| Operating expenses |
1,499 |
1,244 | ||||||
| Pre-tax earnings |
$ |
$ 80 | ||||||
| Net earnings to common |
$ |
$ 66 | ||||||
| Average common equity |
$10,244 |
$ 7,002 | ||||||
| Return on average common equity |
5.3% |
3.8% | ||||||
| Total net revenues |
$17,704 |
$ 8,743 | ||||||
| Total provision for credit losses |
(70 |
) |
937 | |||||
| Total operating expenses |
9,437 |
6,458 | ||||||
| Total pre-tax earnings |
$ 8,337 |
$ 1,348 | ||||||
| Net earnings to common |
$ 6,711 |
$ 1,123 | ||||||
| Average common equity |
$86,456 |
$79,263 | ||||||
| Return on average common equity |
31.0% |
5.7% | ||||||
| 103 | Goldman Sachs March 2021 Form 10-Q |
| • | Financial advisory. |
| • | Underwriting. |
| • | Corporate lending. |
| As of | ||||||||
$ in millions |
March 2021 |
|
December 2020 |
| ||||
| Cash and cash equivalents |
$ 47,649 |
$ 34,730 | ||||||
| Collateralized agreements |
22,695 |
20,242 | ||||||
| Customer and other receivables |
10,428 |
2,465 | ||||||
| Trading assets |
21,432 |
29,493 | ||||||
| Investments |
1,665 |
1,078 | ||||||
| Loans |
24,910 |
26,544 | ||||||
| Other assets |
1,885 |
1,690 | ||||||
| Total |
$130,664 |
$116,242 | ||||||
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Financial advisory |
$ 1,117 |
$ 781 | ||||||
| Equity underwriting |
1,569 |
378 | ||||||
| Debt underwriting |
880 |
583 | ||||||
| Underwriting |
2,449 |
961 | ||||||
| Corporate lending |
205 |
442 | ||||||
| Net revenues |
3,771 |
2,184 | ||||||
| Provision for credit losses |
(163 |
) |
622 | |||||
| Operating expenses |
1,863 |
1,169 | ||||||
| Pre-tax earnings |
2,071 |
393 | ||||||
| Provision for taxes |
373 |
39 | ||||||
| Net earnings |
1,698 |
354 | ||||||
| Preferred stock dividends |
19 |
11 | ||||||
| Net earnings to common |
$ 1,679 |
$ 343 | ||||||
| Average common equity |
$10,564 |
$11,308 | ||||||
| Return on average common equity |
63.6% |
12.1% | ||||||
| Goldman Sachs March 2021 Form 10-Q | 104 |
| Three Months Ended March |
||||||||
$ in billions |
2021 |
2020 | ||||||
| Announced mergers and acquisitions |
$414 |
$221 | ||||||
| Completed mergers and acquisitions |
$303 |
$198 | ||||||
| Equity and equity-related offerings |
$ 49 |
$ 12 | ||||||
| Debt offerings |
$ 90 |
$ 93 | ||||||
| • | Volumes are per Dealogic. |
| • | Announced and completed mergers and acquisitions volumes are based on full credit to each of the advisors in a transaction. Equity and equity-related offerings and debt offerings are based on full credit for single book managers and equal credit for joint book managers. Transaction volumes may not be indicative of net revenues in a given period. In addition, transaction volumes for prior periods may vary from amounts previously reported due to the subsequent withdrawal or a change in the value of a transaction. |
| • | Equity and equity-related offerings includes Rule 144A and public common stock offerings, convertible offerings and rights offerings. |
| • | Debt offerings includes non-convertible preferred stock, mortgage-backed securities, asset-backed securities and taxable municipal debt. Includes publicly registered and Rule 144A issues and excludes leveraged loans. |
| 105 | Goldman Sachs March 2021 Form 10-Q |
| • | FICC intermediation. |
| • | FICC financing. |
| • | Equities intermediation. |
| • | Equities financing. broker-to-broker |
| Goldman Sachs March 2021 Form 10-Q | 106 |
| As of | ||||||||
| $ in millions |
March 2021 |
|
December 2020 |
| ||||
| Cash and cash equivalents |
$104,654 |
$ 86,663 | ||||||
| Collateralized agreements |
285,263 |
212,711 | ||||||
| Customer and other receivables |
144,639 |
110,473 | ||||||
| Trading assets |
337,670 |
339,349 | ||||||
| Investments |
51,963 |
52,929 | ||||||
| Loans |
37,539 |
33,214 | ||||||
| Other assets |
10,547 |
9,267 | ||||||
| Total |
$972,275 |
$844,606 | ||||||
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| FICC intermediation |
$ 3,451 |
$ 2,537 | ||||||
| FICC financing |
442 |
432 | ||||||
| FICC |
3,893 |
2,969 | ||||||
| Equities intermediation |
2,586 |
1,528 | ||||||
| Equities financing |
1,102 |
666 | ||||||
| Equities |
3,688 |
2,194 | ||||||
| Net revenues |
7,581 |
5,163 | ||||||
| Provision for credit losses |
(20 |
) |
68 | |||||
| Operating expenses |
4,185 |
2,847 | ||||||
| Pre-tax earnings |
3,416 |
2,248 | ||||||
| Provision for taxes |
615 |
225 | ||||||
| Net earnings |
2,801 |
2,023 | ||||||
| Preferred stock dividends |
71 |
59 | ||||||
| Net earnings to common |
$ 2,730 |
$ 1,964 | ||||||
| Average common equity |
$ 41,044 |
$ 39,797 | ||||||
| Return on average common equity |
26.6% |
19.7% | ||||||
$ in millions |
FICC | Equities | |
Global Markets |
| |||||||
| Three Months Ended March 2021 |
| |||||||||||
| Market making |
$3,259 |
$2,634 |
$5,893 |
|||||||||
| Commissions and fees |
– |
1,019 |
1,019 |
|||||||||
| Other principal transactions |
108 |
– |
108 |
|||||||||
| Net interest income |
526 |
35 |
561 |
|||||||||
| Total |
$3,893 |
$3,688 |
$7,581 |
|||||||||
| Three Months Ended March 2020 |
|
|||||||||||
| Market making |
$2,334 | $1,348 | $3,682 | |||||||||
| Commissions and fees |
– | 980 | 980 | |||||||||
| Other principal transactions |
(20 | ) | 10 | (10 | ) | |||||||
| Net interest income |
655 | (144 | ) | 511 | ||||||||
| Total |
$2,969 | $2,194 | $5,163 | |||||||||
| 107 | Goldman Sachs March 2021 Form 10-Q |
| • | The difference between commissions and fees and those in the consolidated statements of earnings represents commissions and fees included in our Consumer & Wealth Management segment. |
| • | See “Net Revenues” for further information about market making revenues, commissions and fees, other principal transactions revenues and net interest income. See Note 25 to the consolidated financial statements for net interest income by business segment. |
| • | The primary driver of net revenues for FICC intermediation was client activity. |
| • | Net revenues in mortgages and commodities reflected the impact of improved market-making conditions on our inventory. |
| • | Net revenues in interest rate products and credit products reflected the impact of improved market-making conditions on our inventory, partially offset by lower client activity. |
| • | Net revenues in currencies reflected lower client activity, partially offset by improved market-making conditions on our inventory. |
| Goldman Sachs March 2021 Form 10-Q | 108 |
| • | Management and other fees. |
| • | Incentive fees. |
| • | Equity investments. |
| • | Lending and debt investments. |
| As of | ||||||||
| $ in millions |
March 2021 |
|
December 2020 |
| ||||
| Cash and cash equivalents |
$ 8,361 |
$ |
||||||
| Collateralized agreements |
3,643 |
4,749 | ||||||
| Customer and other receivables |
1,103 |
1,261 | ||||||
| Trading assets |
3,363 |
6,819 | ||||||
| Investments |
34,336 |
34,386 | ||||||
| Loans |
16,585 |
16,558 | ||||||
| Other assets |
22,303 |
23,343 | ||||||
| Total |
$89,694 |
$ |
||||||
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Management and other fees |
$ |
$ 640 | ||||||
| Incentive fees |
42 |
154 | ||||||
| Equity investments |
3,120 |
(22 | ) | |||||
| Lending and debt investments |
759 |
(868 | ) | |||||
| Net revenues |
4,614 |
(96 | ) | |||||
| Provision for credit losses |
53 |
79 | ||||||
| Operating expenses |
1,890 |
1,198 | ||||||
| Pre-tax earnings/(loss) |
2,671 |
(1,373 | ) | |||||
| Provision/(benefit) for taxes |
481 |
(137 | ) | |||||
| Net earnings/(loss) |
2,190 |
(1,236 | ) | |||||
| Preferred stock dividends |
25 |
14 | ||||||
| Net earnings/(loss) to common |
$ 2,165 |
$ |
) | |||||
| Average common equity |
$24,604 |
$ |
||||||
| Return on average common equity |
35.2% |
(23.6)% | ||||||
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Equity Type |
||||||||
| Private equity |
$ 2,781 |
$ 462 | ||||||
| Public equity |
339 |
(484 | ) | |||||
| Total |
$ 3,120 |
$ (22 | ) | |||||
| Asset Class |
||||||||
| Real estate |
$ |
$ 551 | ||||||
| Corporate |
2,820 |
(573 | ) | |||||
| Total |
$ 3,120 |
$ (22 | ) | |||||
| 109 | Goldman Sachs March 2021 Form 10-Q |
| • | Management and other fees. |
| • | Incentive fees. |
| • | Private banking and lending. |
| Goldman Sachs March 2021 Form 10-Q | 110 |
| As of | ||||||||
| $ in millions |
March 2021 |
|
December 2020 |
| ||||
| Cash and cash equivalents |
$ 30,491 |
$ 25,814 | ||||||
| Collateralized agreements |
12,728 |
12,518 | ||||||
| Customer and other receivables |
8,488 |
7,132 | ||||||
| Trading assets |
11,753 |
17,969 | ||||||
| Investments |
52 |
52 | ||||||
| Loans |
42,227 |
39,799 | ||||||
| Other assets |
3,176 |
3,145 | ||||||
| Total |
$108,915 |
$106,429 | ||||||
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| Management and other fees |
$ 1,077 |
$ |
||||||
| Incentive fees |
26 |
69 | ||||||
| Private banking and lending |
264 |
182 | ||||||
| Wealth management |
1,367 |
1,210 | ||||||
| Consumer banking |
371 |
282 | ||||||
| Net revenues |
1,738 |
1,492 | ||||||
| Provision for credit losses |
60 |
168 | ||||||
| Operating expenses |
1,499 |
1,244 | ||||||
| Pre-tax earnings |
179 |
80 | ||||||
| Provision for taxes |
32 |
8 | ||||||
| Net earnings |
147 |
72 | ||||||
| Preferred stock dividends |
10 |
6 | ||||||
| Net earnings to common |
$ |
$ |
||||||
| Average common equity |
$ 10,244 |
$ 7,002 | ||||||
| Return on average common equity |
5.3% |
3.8% | ||||||
| 111 | Goldman Sachs March 2021 Form 10-Q |
| As of March | ||||||||
$ in billions |
2021 |
2020 | ||||||
| Segment |
||||||||
| Asset Management |
$1,567 |
$1,309 | ||||||
| Consumer & Wealth Management |
637 |
509 | ||||||
| Total AUS |
$2,204 |
$1,818 | ||||||
| Asset Class |
||||||||
| Alternative investments |
$ |
$ |
||||||
| Equity |
516 |
335 | ||||||
| Fixed income |
885 |
771 | ||||||
| Total long-term AUS |
1,598 |
1,284 | ||||||
| Liquidity products |
606 |
534 | ||||||
| Total AUS |
$2,204 |
$1,818 | ||||||
| Distribution Channel |
||||||||
| Institutional |
$ |
$ |
||||||
| Wealth management |
637 |
509 | ||||||
| Third-party distributed |
805 |
652 | ||||||
| Total AUS |
$2,204 |
$1,818 | ||||||
| Region |
||||||||
| Americas |
$1,723 |
$1,396 | ||||||
| EMEA |
316 |
264 | ||||||
| Asia |
165 |
158 | ||||||
| Total AUS |
$2,204 |
$1,818 | ||||||
| Vehicle |
||||||||
| Separate accounts |
$1,208 |
$1,001 | ||||||
| Public funds |
732 |
622 | ||||||
| Private funds and other |
264 |
195 | ||||||
| Total AUS |
$2,204 |
$1,818 | ||||||
| • | Liquidity products includes money market funds and private bank deposits. |
| • | EMEA represents Europe, Middle East and Africa. |
| Three Months Ended March |
||||||||
$ in billions |
2021 |
2020 | ||||||
| Asset Management |
||||||||
| Beginning balance |
$1,530 |
$1,298 | ||||||
| Net inflows/(outflows): |
||||||||
| Alternative investments |
3 |
(1 | ) | |||||
| Equity |
3 |
2 | ||||||
| Fixed income |
16 |
7 | ||||||
| Total long-term AUS net inflows/(outflows) |
22 |
8 | ||||||
| Liquidity products |
29 |
66 | ||||||
| Total AUS net inflows/(outflows) |
51 |
74 | ||||||
| Net market appreciation/(depreciation) |
(14 |
) |
(63 | ) | ||||
| Ending balance |
$1,567 |
$1,309 | ||||||
| Consumer & Wealth Management |
||||||||
| Beginning balance |
$ |
$ |
||||||
| Net inflows/(outflows): |
||||||||
| Alternative investments |
2 |
– | ||||||
| Equity |
11 |
1 | ||||||
| Fixed income |
2 |
(8 | ) | |||||
| Total long-term AUS net inflows/(outflows) |
15 |
(7 | ) | |||||
| Liquidity products |
(6 |
) |
6 | |||||
| Total AUS net inflows/(outflows) |
9 |
(1 | ) | |||||
| Net market appreciation/(depreciation) |
13 |
(51 | ) | |||||
| Ending balance |
$ |
$ |
||||||
| Firmwide |
||||||||
| Beginning balance |
$2,145 |
$1,859 | ||||||
| Net inflows/(outflows): |
||||||||
| Alternative investments |
5 |
(1 | ) | |||||
| Equity |
14 |
3 | ||||||
| Fixed income |
18 |
(1 | ) | |||||
| Total long-term AUS net inflows/(outflows) |
37 |
1 | ||||||
| Liquidity products |
23 |
72 | ||||||
| Total AUS net inflows/(outflows) |
60 |
73 | ||||||
| Net market appreciation/(depreciation) |
(1 |
) |
(114 | ) | ||||
| Ending balance |
$2,204 |
$1,818 | ||||||
| Goldman Sachs March 2021 Form 10-Q | 112 |
| Average for the Three Months Ended March |
||||||||
$ in billions |
2021 |
2020 | ||||||
| Segment |
||||||||
| Asset Management |
$1,532 |
$1,295 | ||||||
| Consumer & Wealth Management |
624 |
546 | ||||||
| Total AUS |
$2,156 |
$1,841 | ||||||
| Asset Class |
||||||||
| Alternative investments |
$ |
$ |
||||||
| Equity |
490 |
392 | ||||||
| Fixed income |
895 |
796 | ||||||
| Total long-term AUS |
1,578 |
1,371 | ||||||
| Liquidity products |
578 |
470 | ||||||
| Total AUS |
$2,156 |
$1,841 | ||||||
| $ in billions |
|
AUS |
|
|
Non-fee-earning alternative assets |
|
|
Total alternative assets |
| |||
| As of March 2021 |
||||||||||||
| Corporate equity |
$ 81 |
$ 57 |
$138 |
|||||||||
| Credit |
20 |
73 |
93 |
|||||||||
| Real estate |
18 |
46 |
64 |
|||||||||
| Hedge funds and multi-asset |
78 |
1 |
79 |
|||||||||
| Other |
– |
1 |
1 |
|||||||||
| Total |
$197 |
$178 |
$375 |
|||||||||
| As of March 2020 |
||||||||||||
| Corporate equity |
$ 80 | $ 40 | $120 | |||||||||
| Credit |
15 | 49 | 64 | |||||||||
| Real estate |
13 | 45 | 58 | |||||||||
| Hedge funds and multi-asset |
70 | 1 | 71 | |||||||||
| Other |
– | 1 | 1 | |||||||||
| Total |
$178 | $136 | $314 | |||||||||
| • | Substantially all corporate equity is private equity. |
| • | Total alternative assets included uncalled capital that is available for future investing of $43 billion as of March 2021 and $31 billion as of March 2020. |
| • | Non-fee-earning non-fee-earning |
$ in billions |
Loans | |
Debt securities |
|
|
Equity securities |
|
|
CIE investments and other |
|
Total | |||||||||
| As of March 2021 |
||||||||||||||||||||
| Corporate equity |
$ |
$ |
$16 |
$ |
$16 |
|||||||||||||||
| Credit |
8 |
12 |
– |
– |
20 |
|||||||||||||||
| Real estate |
8 |
2 |
3 |
19 |
32 |
|||||||||||||||
| Other |
– |
– |
– |
1 |
1 |
|||||||||||||||
| Total |
$16 |
$14 |
$19 |
$20 |
$69 |
|||||||||||||||
| As of March 2020 |
||||||||||||||||||||
| Corporate equity |
$ |
$ |
$16 | $ |
$16 | |||||||||||||||
| Credit |
8 | 10 | – | – | 18 | |||||||||||||||
| Real estate |
8 | 3 | 5 | 19 | 35 | |||||||||||||||
| Other |
– | – | – | 1 | 1 | |||||||||||||||
| Total |
$16 | $13 | $21 | $20 | $70 | |||||||||||||||
| 113 | Goldman Sachs March 2021 Form 10-Q |
$ in billions |
As of March 2021 |
|||
| Loans |
$16 |
|||
| Debt securities |
14 |
|||
| Total |
$30 |
|||
| Accounting Classification |
||||
| Debt securities at fair value |
45% |
|||
| Loans at amortized cost |
43% |
|||
| Loans at fair value |
12% |
|||
| Total |
100% |
|||
| Region |
||||
| Americas |
46% |
|||
| EMEA |
33% |
|||
| Asia |
21% |
|||
| Total |
100% |
|||
| Industry |
||||
| Consumers |
5% |
|||
| Financial Institutions |
7% |
|||
| Healthcare |
8% |
|||
| Industrials |
16% |
|||
| Natural Resources & Utilities |
4% |
|||
| Real Estate |
35% |
|||
| Technology, Media & Telecommunications |
15% |
|||
| Other |
10% |
|||
| Total |
100% |
|||
$ in billions |
As of March 2021 |
|||
| Equity securities |
$19 |
|||
| Vintage |
||||
| 2014 or earlier |
31% |
|||
| 2015 – 2017 |
38% |
|||
| 2018 – thereafter |
31% |
|||
| Total |
100% |
|||
| Region |
||||
| Americas |
48% |
|||
| EMEA |
21% |
|||
| Asia |
31% |
|||
| Total |
100% |
|||
| Industry |
||||
| Financial Institutions |
20% |
|||
| Healthcare |
8% |
|||
| Industrials |
5% |
|||
| Natural Resources & Utilities |
8% |
|||
| Real Estate |
18% |
|||
| Technology, Media & Telecommunications |
33% |
|||
| Other |
8% |
|||
| Total |
100% |
|||
| • | Equity securities included $17 billion of private equity positions and $2 billion of public equity positions that converted from private equity upon the initial public offerings of the underlying companies. |
| • | Real estate equity securities consisted of 3% of multifamily, 3% of office, 6% of mixed use and 6% of other real estate equity securities. |
$ in billions |
As of March 2021 |
|||
| CIE assets, net of financings |
$9 |
|||
| Vintage |
||||
| 2014 or earlier |
2% |
|||
| 2015 – 2017 |
30% |
|||
| 2018 – thereafter |
68% |
|||
| Total |
100% |
|||
| Region |
||||
| Americas |
63% |
|||
| EMEA |
22% |
|||
| Asia |
15% |
|||
| Total |
100% |
|||
| Asset Class |
||||
| Hospitality |
4% |
|||
| Industrials |
9% |
|||
| Multifamily |
25% |
|||
| Office |
26% |
|||
| Retail |
6% |
|||
| Senior Housing |
13% |
|||
| Student Housing |
7% |
|||
| Other |
10% |
|||
| Total |
100% |
|||
| Goldman Sachs March 2021 Form 10-Q | 114 |
| • | To develop our balance sheet projections, taking into account the general state of the financial markets and expected business activity levels, as well as regulatory requirements; |
| • | To allow Treasury and our independent risk oversight and control functions to objectively evaluate balance sheet limit requests from our revenue-producing units in the context of our overall balance sheet constraints, including our liability profile and equity capital levels, and key metrics; and |
| • | To inform the target amount, tenor and type of funding to raise, based on our projected assets and contractual maturities. |
| 115 | Goldman Sachs March 2021 Form 10-Q |
| As of | ||||||||
$ in millions |
March 2021 |
|
December 2020 |
| ||||
| Total assets |
$1,301,548 |
$1,163,028 | ||||||
| Unsecured long-term borrowings |
$ 219,044 |
$ 213,481 | ||||||
| Total shareholders’ equity |
$ 97,664 |
$ 95,932 | ||||||
| Leverage ratio |
13.3x |
12.1x | ||||||
| Debt-to-equity |
2.2x |
2.2x | ||||||
| • | The leverage ratio equals total assets divided by total shareholders’ equity and measures the proportion of equity and debt we use to finance assets. This ratio is different from the leverage ratios included in Note 20 to the consolidated financial statements. |
| • | The debt-to-equity |
| As of | ||||||||
$ in millions, except per share amounts |
March 2021 |
|
December 2020 |
| ||||
| Total shareholders’ equity |
$97,664 |
$ 95,932 | ||||||
| Preferred stock |
(9,203 |
) |
(11,203 | ) | ||||
| Common shareholders’ equity |
88,461 |
84,729 | ||||||
| Goodwill |
(4,332 |
) |
(4,332 | ) | ||||
| Identifiable intangible assets |
(575 |
) |
(630 | ) | ||||
| Tangible common shareholders’ equity |
$83,554 |
$ 79,767 | ||||||
| Book value per common share |
$250.81 |
$ 236.15 | ||||||
| Tangible book value per common share |
$236.90 |
$ 222.32 | ||||||
| • | Tangible common shareholders’ equity is calculated as total shareholders’ equity less preferred stock, goodwill and identifiable intangible assets. We believe that tangible common shareholders’ equity is meaningful because it is a measure that we and investors use to assess capital adequacy. Tangible common shareholders’ equity is a non-GAAP measure and may not be comparable to similar non-GAAP measures used by other companies. |
| • | Book value per common share and tangible book value per common share are based on common shares outstanding and restricted stock units granted to employees with no future service requirements and not subject to performance conditions (collectively, basic shares) of 352.7 million as of March 2021 and 358.8 million as of December 2020. We believe that tangible book value per common share (tangible common shareholders’ equity divided by basic shares) is meaningful because it is a measure that we and investors use to assess capital adequacy. Tangible book value per common share is a non-GAAP measure and may not be comparable to similar non-GAAP measures used by other companies. |
| Goldman Sachs March 2021 Form 10-Q | 116 |
| As of | ||||||||||||||||
$ in millions |
March 2021 |
December 2020 | ||||||||||||||
| Deposits |
$286,018 |
33% |
$259,962 | 33% | ||||||||||||
| Collateralized financings |
192,620 |
23% |
173,947 | 22% | ||||||||||||
| Unsecured short-term borrowings |
58,463 |
7% |
52,870 | 6% | ||||||||||||
| Unsecured long-term borrowings |
219,044 |
26% |
213,481 | 27% | ||||||||||||
| Total shareholders’ equity |
97,664 |
11% |
95,932 | 12% | ||||||||||||
| Total |
$853,809 |
100% |
$796,192 | 100% | ||||||||||||
| 117 | Goldman Sachs March 2021 Form 10-Q |
$ in millions |
First Quarter |
Second Quarter |
Third Quarter |
Fourth Quarter |
Total |
|||||||||||||||
| As of March 2021 |
|
|||||||||||||||||||
| 2022 |
$ – |
$7,603 |
$6,920 |
$6,322 |
$ 20,845 |
|||||||||||||||
| 2023 |
$14,459 |
$6,685 |
$8,358 |
$7,546 |
37,048 |
|||||||||||||||
| 2024 |
$ 8,803 |
$4,518 |
$5,910 |
$3,412 |
22,643 |
|||||||||||||||
| 2025 |
$ 7,036 |
$8,716 |
$5,825 |
$4,873 |
26,450 |
|||||||||||||||
| 2026 |
$ 6,288 |
$2,925 |
$4,279 |
$6,020 |
19,512 |
|||||||||||||||
| 2027 – thereafter |
|
92,546 |
||||||||||||||||||
| Total |
$219,044 |
|||||||||||||||||||
| Goldman Sachs March 2021 Form 10-Q | 118 |
| 119 | Goldman Sachs March 2021 Form 10-Q |
| Goldman Sachs March 2021 Form 10-Q | 120 |
Requirements |
||||
| TLAC to RWAs |
22.0% |
|||
| TLAC to leverage exposure |
9.5% |
|||
| External long-term debt to RWAs |
8.5% |
|||
| External long-term debt to leverage exposure |
4.5% |
|||
| • | The TLAC to RWAs requirement includes (i) the 18% minimum, (ii) the 2.5% buffer, (iii) the 1.5% G-SIB surcharge (Method 1) and (iv) the countercyclical capital buffer, which the FRB has set to zero percent. |
| • | The TLAC to leverage exposure requirement includes (i) the 7.5% minimum and (ii) the 2.0% leverage exposure buffer. |
| • | The external long-term debt to RWAs requirement includes (i) the 6% minimum and (ii) the 2.5% G-SIB surcharge (Method 2). |
| • | The external long-term debt to total leverage exposure is the 4.5% minimum. |
| For the Three Months Ended or as of |
||||||||
$ in millions |
March 2021 |
|
December 2020 |
| ||||
| TLAC |
$ |
$ 242,730 | ||||||
| External long-term debt |
$ |
$ 139,200 | ||||||
| RWAs |
$ |
$ 609,750 | ||||||
| Leverage exposure |
$1,450,252 |
$1,332,937 | ||||||
| TLAC to RWAs |
40.7% |
39.8% | ||||||
| TLAC to leverage exposure |
17.7% |
18.2% | ||||||
| External long-term debt to RWAs |
23.5% |
22.8% | ||||||
| External long-term debt to leverage exposure |
10.2% |
10.4% | ||||||
| • | TLAC includes common and preferred stock, and eligible long-term debt issued by Group Inc. Eligible long-term debt represents unsecured debt, which has a remaining maturity of at least one year and satisfies additional requirements. |
| • | External long-term debt consists of eligible long-term debt subject to a haircut if it is due to be paid between one and two years. |
| • | RWAs represent Advanced RWAs as of both March 2021 and December 2020. In accordance with the TLAC rules, the higher of Advanced or Standardized RWAs are used in the calculation of TLAC and external long-term debt ratios and applicable requirements. |
| 121 | Goldman Sachs March 2021 Form 10-Q |
| • | Leverage exposure consists of average adjusted total assets and certain off-balance sheet exposures. Leverage exposure excluded average holdings of U.S. Treasury securities and average deposits at the Federal Reserve |
| As of | ||||||||
March 2021 |
|
December 2020 |
| |||||
| Risk-based capital requirements |
||||||||
| CET1 capital ratio |
8.1% |
8.1% | ||||||
| Tier 1 capital ratio |
9.9% |
10.0% | ||||||
| Total capital ratio |
12.4% |
12.5% | ||||||
| Goldman Sachs March 2021 Form 10-Q | 122 |
| As of | ||||||||
| $ in millions |
March 2021 |
|
December 2020 |
| ||||
| Risk-based capital and risk-weighted assets |
||||||||
| CET1 capital |
$ 27,235 |
$ 26,962 | ||||||
| Tier 1 capital |
$ 35,535 |
$ 35,262 | ||||||
| Tier 2 capital |
$ 5,377 |
$ 5,377 | ||||||
| Total capital |
$ 40,912 |
$ 40,639 | ||||||
| RWAs |
$268,976 |
$252,355 | ||||||
| Risk-based capital ratios |
||||||||
| CET1 capital ratio |
10.1% |
10.7% | ||||||
| Tier 1 capital ratio |
13.2% |
14.0% | ||||||
| Total capital ratio |
15.2% |
16.1% | ||||||
| 123 | Goldman Sachs March 2021 Form 10-Q |
| Goldman Sachs March 2021 Form 10-Q | 124 |
| 125 | Goldman Sachs March 2021 Form 10-Q |
| • | Purchasing or retaining residual and other interests in special purpose entities, such as mortgage-backed and other asset-backed securitization vehicles; |
| • | Holding senior and subordinated debt, interests in limited and general partnerships, and preferred and common stock in other nonconsolidated vehicles; |
| • | Entering into interest rate, foreign currency, equity, commodity and credit derivatives, including total return swaps; and |
| • | Providing guarantees, indemnifications, commitments, letters of credit and representations and warranties. |
Off-Balance Sheet Arrangement |
Disclosure in Form 10-Q | |||
| Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated variable interest entities (VIEs) |
See Note 17 to the consolidated financial statements. | |||
| Guarantees, letters of credit, and lending and other commitments |
See Note 18 to the consolidated financial statements. | |||
| Derivatives |
See “Risk Management — Credit Risk Management — Credit Exposures — OTC Derivatives” and Notes 4, 5, 7 and 18 to the consolidated financial statements. | |||
| As of | ||||||||
| $ in millions |
March 2021 |
|
December 2020 |
| ||||
| Time deposits |
$ 23,390 |
$ 26,433 | ||||||
| Financings and borrowings: |
||||||||
| Secured long-term |
$ 12,454 |
$ 12,537 | ||||||
| Unsecured long-term |
$219,044 |
$213,481 | ||||||
| Interest payments |
$ 43,300 |
$ 44,073 | ||||||
| Operating lease payments |
$ 3,123 |
$ 3,268 | ||||||
| Goldman Sachs March 2021 Form 10-Q | 126 |
As of March 2021 |
||||||||||||||||
| $ in millions |
Remainder of 2021 |
2022 - 2023 |
2024 - 2025 |
2026 - Thereafter |
||||||||||||
| Time deposits |
$ – |
$13,785 |
$ 6,558 |
$ 3,047 |
||||||||||||
| Financings and borrowings: |
||||||||||||||||
| Secured long-term |
$ – |
$ 6,832 |
$ 2,329 |
$ 3,293 |
||||||||||||
| Unsecured long-term |
$ – |
$57,893 |
$49,093 |
$112,058 |
||||||||||||
| Interest payments |
$3,959 |
$ 9,682 |
$ 7,214 |
$ 22,445 |
||||||||||||
| Operating lease payments |
$ |
$ |
$ |
$ 1,795 |
||||||||||||
| • | Obligations maturing within one year of our financial statement date or redeemable within one year of our financial statement date at the option of the holders are excluded as they are treated as short-term obligations. See Note 14 to the consolidated financial statements for further information about our short-term borrowings. |
| • | Obligations that are repayable prior to maturity at our option are reflected at their contractual maturity dates and obligations that are redeemable prior to maturity at the option of the holders are reflected at the earliest dates such options become exercisable. |
| • | As of March 2021, unsecured long-term borrowings had maturities extending through 2065, consisted principally of senior borrowings, and included $6.83 billion of adjustments to the carrying value of certain unsecured long-term borrowings resulting from the application of hedge accounting. See Note 14 to the consolidated financial statements for further information about our unsecured long-term borrowings. |
| • | As of March 2021, the difference between aggregate contractual principal amount and the related fair value of long-term other secured financings for which the fair value option was elected was not material. |
| • | As of March 2021, the aggregated contractual principal amount of unsecured long-term borrowings for which the fair value option was elected exceeded the related fair value by $319 million. |
| • | Interest payments represents estimated future contractual interest payments related to unsecured long-term borrowings, secured long-term financings and time deposits based on applicable interest rates as of March 2021, and includes stated coupons, if any, on structured notes. |
| • | Operating lease payments includes lease commitments for office space that expire on various dates through 2069. Certain agreements are subject to periodic escalation provisions for increases in real estate taxes and other charges. See Note 15 to the consolidated financial statements for further information about our operating lease liabilities. |
| 127 | Goldman Sachs March 2021 Form 10-Q |
| • | Risk Identification and Assessment. |
| Goldman Sachs March 2021 Form 10-Q | 128 |
| • | Risk Appetite, Limit and Threshold Setting. |
| • | Risk Reporting and Monitoring. |
| • | Risk Decision-Making. decision-making on risk management issues and ensures implementation of those decisions. We make extensive use of risk committees that meet regularly and serve as an important means to facilitate and foster ongoing discussions to manage and mitigate risks. |
| 129 | Goldman Sachs March 2021 Form 10-Q |
| • | Firmwide Risk Committee. co-chaired by the chairs of the Firmwide Enterprise Risk Committee. |
| • | Firmwide New Activity Committee. co-chaired by the controller and chief accounting officer, and the head of Operations and Platform Engineering for the Global Markets Division, who are appointed as chairs by the chairs of the Firmwide Enterprise Risk Committee. |
| • | Firmwide Operational Risk and Resilience Committee. co-chaired by our chief administrative officer and deputy chief risk officer, who are appointed as chairs by the chairs of the Firmwide Enterprise Risk Committee. |
| Goldman Sachs March 2021 Form 10-Q | 130 |
| • | Firmwide Conduct Committee. |
| • | Risk Governance Committee. |
| • | Firmwide Reputational Risk Committee. |
| • | Firmwide Suitability Committee. co-chaired by our chief compliance officer, and the co-head of EMEA FICC sales, who are appointed as chairs by the chair of the Firmwide Client and Business Standards Committee. |
| • | Firmwide Investment Policy Committee. co-chaired by the head of our Asset Management Division, a co-head of our Global Markets Division and the chief risk officer, who are appointed as chairs by our president and chief operating officer and our chief financial officer. |
| • | Firmwide Capital Committee. co-chaired by the head of Credit Risk and Market Risk, and a co-head of the Financing Group, who are appointed as chairs by the chairs of the Firmwide Enterprise Risk Committee. |
| 131 | Goldman Sachs March 2021 Form 10-Q |
| • | Firmwide Commitments Committee. co-chaired by the co-head of the Industrials Group in our Investment Banking Division, the chief underwriting officer for EMEA, and a managing director in our Investment Banking Division, who are appointed as chairs by the chair of the Firmwide Client and Business Standards Committee.
|
| Goldman Sachs March 2021 Form 10-Q | 132 |
| • | The first days or weeks of a liquidity crisis are the most critical to a company’s survival; |
| • | Focus must be maintained on all potential cash and collateral outflows, not just disruptions to financing flows. Our businesses are diverse, and our liquidity needs are determined by many factors, including market movements, collateral requirements and client commitments, all of which can change dramatically in a difficult funding environment; |
| • | During a liquidity crisis, credit-sensitive funding, including unsecured debt, certain deposits and some types of secured financing agreements, may be unavailable, and the terms (e.g., interest rates, collateral provisions and tenor) or availability of other types of secured financing may change and certain deposits may be withdrawn; and |
| • | As a result of our policy to pre-fund liquidity that we estimate may be needed in a crisis, we hold more unencumbered securities and have larger funding balances than our businesses would otherwise require. We believe that our liquidity is stronger with greater balances of highly liquid unencumbered securities, even though it increases our total assets and our funding costs. |
| • | Conservatively managing the overall characteristics of our funding book, with a focus on maintaining long-term, diversified sources of funding in excess of our current requirements. See “Balance Sheet and Funding Sources — Funding Sources” for further information; |
| • | Actively managing and monitoring our asset base, with particular focus on the liquidity, holding period and ability to fund assets on a secured basis. We assess our funding requirements and our ability to liquidate assets in a stressed environment while appropriately managing risk. This enables us to determine the most appropriate funding products and tenors. See “Balance Sheet and Funding Sources — Balance Sheet Management” for further information about our balance sheet management process and “— Funding Sources — Secured Funding” for further information about asset classes that may be harder to fund on a secured basis; and |
| 133 | Goldman Sachs March 2021 Form 10-Q |
| • | Raising secured and unsecured financing that has a long tenor relative to the liquidity profile of our assets. This reduces the risk that our liabilities will come due in advance of our ability to generate liquidity from the sale of our assets. Because we maintain a highly liquid balance sheet, the holding period of certain of our assets may be materially shorter than their contractual maturity dates. |
| Goldman Sachs March 2021 Form 10-Q | 134 |
| • | Severely challenged market environments, which includes low consumer and corporate confidence, financial and political instability, and adverse changes in market values, including potential declines in equity markets and widening of credit spreads; and |
| • | A firm-specific crisis potentially triggered by material losses, reputational damage, litigation and/or a ratings downgrade. |
| • | Liquidity needs over a 30-day scenario; |
| • | A two-notch downgrade of our long-term senior unsecured credit ratings; |
| • | Changing conditions in funding markets, which limit our access to unsecured and secured funding; |
| • | No support from additional government funding facilities. Although we have access to various central bank funding programs, we do not assume reliance on additional sources of funding in a liquidity crisis; and |
| • | A combination of contractual outflows, such as upcoming maturities of unsecured debt, and contingent outflows, including, but not limited to, the withdrawal of customer credit balances in our prime brokerage business, increase in variation margin requirements due to adverse changes in the value of our exchange-traded and OTC-cleared derivatives, and withdrawals of deposits that have no contractual maturity. |
| 135 | Goldman Sachs March 2021 Form 10-Q |
| Average for the Three Months Ended |
||||||||
$ in millions |
March 2021 |
|
December 2020 |
| ||||
| Denomination |
||||||||
| U.S. dollar |
$188,854 |
$190,735 | ||||||
| Non-U.S. dollar |
109,788 |
107,106 | ||||||
| Total |
$298,642 |
$297,841 | ||||||
| Asset Class |
||||||||
| Overnight cash deposits |
$132,317 |
$108,345 | ||||||
| U.S. government obligations |
108,339 |
125,060 | ||||||
| U.S. agency obligations |
9,295 |
7,059 | ||||||
| Non-U.S. government obligations |
48,691 |
57,377 | ||||||
| Total |
$298,642 |
$297,841 | ||||||
| Entity Type |
||||||||
| Group Inc. and Funding IHC |
$ 44,300 |
$ 36,737 | ||||||
| Major broker-dealer subsidiaries |
94,232 |
100,891 | ||||||
| Major bank subsidiaries |
160,110 |
160,213 | ||||||
| Total |
$298,642 |
$297,841 | ||||||
| • | The U.S. dollar-denominated GCLA consists of (i) unencumbered U.S. government and agency obligations (including highly liquid U.S. agency mortgage-backed obligations), all of which are eligible as collateral in Federal Reserve open market operations and (ii) certain overnight U.S. dollar cash deposits. |
| • | The non-U.S. dollar-denominated GCLA consists of non-U.S. government obligations (only unencumbered German, French, Japanese and U.K. government obligations) and certain overnight cash deposits in highly liquid currencies. |
| Average for the Three Months Ended |
||||||||
$ in millions |
March 2021 |
|
December 2020 |
| ||||
| Total HQLA |
$288,142 |
$291,393 | ||||||
| Eligible HQLA |
$210,133 |
$212,614 | ||||||
| Net cash outflows |
$151,993 |
$166,551 | ||||||
| LCR |
138% |
128% | ||||||
| Goldman Sachs March 2021 Form 10-Q | 136 |
| • | GS Bank USA. |
| • | GSI. |
| • | Other Subsidiaries. |
As of March 2021 |
||||||||||||||||||||
DBRS |
Fitch |
Moody’s |
R&I |
S&P |
||||||||||||||||
| Short-term debt |
R-1 (middle |
) |
F1 |
P-1 |
a-1 |
A-2 |
||||||||||||||
| Long-term debt |
A (high |
) |
A |
A2 |
A |
BBB+ |
||||||||||||||
| Subordinated debt |
A |
BBB+ |
Baa2 |
A- |
BBB- |
|||||||||||||||
| Trust preferred |
A |
BBB- |
Baa3 |
N/A |
BB |
|||||||||||||||
| Preferred stock |
BBB (high |
) |
BBB- |
Ba1 |
N/A |
BB |
||||||||||||||
| Ratings outlook |
Stable |
Negative |
Stable |
Stable |
Stable |
|||||||||||||||
| • | The ratings and outlook are by DBRS, Inc. (DBRS), Fitch, Inc. (Fitch), Moody’s Investors Service (Moody’s), Rating and Investment Information, Inc. (R&I), and Standard & Poor’s Ratings Services (S&P). |
| • | The ratings for trust preferred relate to the guaranteed preferred beneficial interests issued by Goldman Sachs Capital I. |
| • | The DBRS, Fitch, Moody’s and S&P ratings for preferred stock include the APEX issued by Goldman Sachs Capital II and Goldman Sachs Capital III. |
As of March 2021 |
||||||||||||
Fitch |
Moody’s |
S&P |
||||||||||
| GS Bank USA |
||||||||||||
| Short-term debt |
F1 |
P-1 |
A-1 |
|||||||||
| Long-term debt |
A+ |
A1 |
A+ |
|||||||||
| Short-term bank deposits |
F1+ |
P-1 |
N/A |
|||||||||
| Long-term bank deposits |
AA- |
A1 |
N/A |
|||||||||
| Ratings outlook |
Negative |
Stable |
Stable |
|||||||||
| GSIB |
||||||||||||
| Short-term debt |
F1 |
P-1 |
A-1 |
|||||||||
| Long-term debt |
A+ |
A1 |
A+ |
|||||||||
| Short-term bank deposits |
F1 |
P-1 |
N/A |
|||||||||
| Long-term bank deposits |
A+ |
A1 |
N/A |
|||||||||
| Ratings outlook |
Negative |
Stable |
Stable |
|||||||||
| GSBE |
||||||||||||
| Short-term debt |
F1 |
P-1 |
A-1 |
|||||||||
| Long-term debt |
A |
A1 |
A+ |
|||||||||
| Short-term bank deposits |
N/A |
P-1 |
N/A |
|||||||||
| Long-term bank deposits |
N/A |
A1 |
N/A |
|||||||||
| Ratings outlook |
Negative |
Stable |
Stable |
|||||||||
| GS&Co. |
||||||||||||
| Short-term debt |
F1 |
N/A |
A-1 |
|||||||||
| Long-term debt |
A+ |
N/A |
A+ |
|||||||||
| Ratings outlook |
Negative |
N/A |
Stable |
|||||||||
| GSI |
||||||||||||
| Short-term debt |
F1 |
P-1 |
A-1 |
|||||||||
| Long-term debt |
A+ |
A1 |
A+ |
|||||||||
| Ratings outlook |
Negative |
Stable |
Stable |
|||||||||
| 137 | Goldman Sachs March 2021 Form 10-Q |
| • | Our liquidity, market, credit and operational risk management practices; |
| • | Our level and variability of earnings; |
| • | Our capital base; |
| • | Our franchise, reputation and management; |
| • | Our corporate governance; and |
| • | The external operating and economic environment, including, in some cases, the assumed level of government support or other systemic considerations, such as potential resolution. |
| Goldman Sachs March 2021 Form 10-Q | 138 |
| • | Interest rate risk: results from exposures to changes in the level, slope and curvature of yield curves, the volatilities of interest rates, prepayment speeds and credit spreads; |
| • | Equity price risk: results from exposures to changes in prices and volatilities of individual equities, baskets of equities and equity indices; |
| • | Currency rate risk: results from exposures to changes in spot prices, forward prices and volatilities of currency rates; and |
| • | Commodity price risk: results from exposures to changes in spot prices, forward prices and volatilities of commodities, such as crude oil, petroleum products, natural gas, electricity, and precious and base metals. |
| • | Monitoring compliance with established market risk limits and reporting our exposures; |
| • | Diversifying exposures; |
| • | Controlling position sizes; and |
| • | Evaluating mitigants, such as economic hedges in related securities or derivatives. |
| • | VaR does not estimate potential losses over longer time horizons where moves may be extreme; |
| • | VaR does not take account of the relative liquidity of different risk positions; and |
| • | Previous moves in market risk factors may not produce accurate predictions of all future market moves. |
| 139 | Goldman Sachs March 2021 Form 10-Q |
| • | Positions that are best measured and monitored using sensitivity measures; and |
| • | The impact of changes in counterparty and our own credit spreads on derivatives, as well as changes in our own credit spreads on financial liabilities for which the fair value option was elected. |
| Three Months Ended | ||||||||||||
$ in millions |
March 2021 |
|
December 2020 |
|
|
March 2020 |
| |||||
| Categories |
||||||||||||
| Interest rates |
$ 58 |
$ 57 | $ 60 | |||||||||
| Equity prices |
51 |
50 | 41 | |||||||||
| Currency rates |
12 |
14 | 18 | |||||||||
| Commodity prices |
22 |
20 | 11 | |||||||||
| Diversification effect |
(54 |
) |
(57 | ) | (49 | ) | ||||||
| Total |
$ 89 |
$ 84 | $ 81 | |||||||||
| Goldman Sachs March 2021 Form 10-Q | 140 |
| As of | ||||||||||||
$ in millions |
March 2021 |
|
December 2020 |
|
|
March 2020 |
| |||||
| Categories |
||||||||||||
| Interest rates |
$ 59 |
$ 60 | $ 99 | |||||||||
| Equity prices |
54 |
50 | 78 | |||||||||
| Currency rates |
14 |
11 | 48 | |||||||||
| Commodity prices |
16 |
16 | 16 | |||||||||
| Diversification effect |
(59 |
) |
(46 | ) | (118 | ) | ||||||
| Total |
$ 84 |
$ 91 | $ 123 | |||||||||
| Three Months Ended | ||||||||||||||||||||||||||||||
March 2021 |
December 2020 | March 2020 | ||||||||||||||||||||||||||||
$ in millions |
High |
Low |
High | Low | High | Low | ||||||||||||||||||||||||
| Categories |
||||||||||||||||||||||||||||||
| Interest rates |
$ 67 |
$50 |
$65 | $51 | $ 99 | $46 | ||||||||||||||||||||||||
| Equity prices |
$ 71 |
$40 |
$63 | $44 | $116 | $23 | ||||||||||||||||||||||||
| Currency rates |
$ 16 |
$ 9 |
$19 | $10 | $ 53 | $ 8 | ||||||||||||||||||||||||
| Commodity prices |
$ 34 |
$14 |
$31 | $15 | $ 18 | $ 9 | ||||||||||||||||||||||||
| Firmwide |
||||||||||||||||||||||||||||||
| VaR |
$105 |
$74 |
$95 | $78 | $195 | $58 | ||||||||||||||||||||||||
| Three Months Ended March |
||||||||
$ in millions |
2021 |
2020 | ||||||
| >$100 |
26 |
14 | ||||||
| $75 – $100 |
15 |
8 | ||||||
| $50 – $75 |
9 |
5 | ||||||
| $25 – $50 |
3 |
12 | ||||||
| $0 – $25 |
6 |
14 | ||||||
| $(25) – $0 |
2 |
4 | ||||||
| $(50) – $(25) |
– |
1 | ||||||
| $(75) – $(50) |
– |
2 | ||||||
| $(100) – $(75) |
– |
2 | ||||||
| Total |
61 |
62 | ||||||
| 141 | Goldman Sachs March 2021 Form 10-Q |
| As of | ||||||||||||
| $ in millions |
March 2021 |
|
December 2020 |
|
|
March 2020 |
| |||||
| Equity |
$1,831 |
$1,854 | $1,818 | |||||||||
| Debt |
2,486 |
2,516 | 2,384 | |||||||||
| Total |
$4,317 |
$4,370 | $4,202 | |||||||||
| • | The market risk of these positions is determined by estimating the potential reduction in net revenues of a 10% decline in the value of these positions. |
| • | Equity positions relate to private and restricted public equity securities, including interests in funds that invest in corporate equities and real estate and interests in hedge funds. |
| • | Debt positions include interests in funds that invest in corporate mezzanine and senior debt instruments, loans backed by commercial and residential real estate, corporate bank loans and other corporate debt, including acquired portfolios of distressed loans. |
| • | Funded equity and debt positions are included in our consolidated balance sheets in investments and loans. See Note 8 to the consolidated financial statements for further information about investments and Note 9 to the consolidated financial statements for further information about loans. |
| • | These measures do not reflect the diversification effect across asset categories or across other market risk measures. |
| Goldman Sachs March 2021 Form 10-Q | 142 |
Assets or Liabilities |
Market Risk Measures | |
| Collateralized agreements, at fair value |
VaR | |
| Customer and other receivables, at fair value |
10% Sensitivity Measures | |
| Trading assets |
VaR Credit Spread Sensitivity | |
| Investments, at fair value |
VaR 10% Sensitivity Measures | |
| Loans |
VaR 10% Sensitivity Measures Interest Rate Sensitivity | |
| Deposits, at fair value |
VaR Credit Spread Sensitivity | |
| Collateralized financings, at fair value |
VaR | |
| Trading liabilities |
VaR Credit Spread Sensitivity | |
| Unsecured borrowings, at fair value |
VaR Credit Spread Sensitivity |
| • | Monitoring compliance with established credit risk limits and reporting our credit exposures and credit concentrations; |
| • | Establishing or approving underwriting standards; |
| • | Assessing the likelihood that a counterparty will default on its payment obligations; |
| • | Measuring our current and potential credit exposure and losses resulting from a counterparty default; |
| • | Using credit risk mitigants, including collateral and hedging; and |
| • | Maximizing recovery through active workout and restructuring of claims. |
| 143 | Goldman Sachs March 2021 Form 10-Q |
| Goldman Sachs March 2021 Form 10-Q | 144 |
| As of | ||||||||
| $ in millions |
March 2021 |
|
December 2020 |
| ||||
| Cash and Cash Equivalents |
$165,603 |
$131,324 | ||||||
| Industry |
||||||||
| Financial Institutions |
6% |
11% | ||||||
| Sovereign |
94% |
89% | ||||||
| Total |
100% |
100% | ||||||
| Region |
||||||||
| Americas |
61% |
45% | ||||||
| EMEA |
30% |
41% | ||||||
| Asia |
9% |
14% | ||||||
| Total |
100% |
100% | ||||||
| Credit Quality (Credit Rating Equivalent) |
||||||||
| AAA |
62% |
44% | ||||||
| AA |
26% |
38% | ||||||
| A |
11% |
17% | ||||||
| BBB |
1% |
1% | ||||||
| Total |
100% |
100% | ||||||
| As of | ||||||||
| $ in millions |
March 2021 |
|
December 2020 |
| ||||
| OTC derivative assets |
$ 63,728 |
$ 64,850 | ||||||
| Collateral (not netted under U.S. GAAP) |
(17,530 |
) |
(18,990 | ) | ||||
| Net credit exposure |
$ 46,198 |
$ 45,860 | ||||||
| Industry |
||||||||
| Consumer & Retail |
3% |
4% | ||||||
| Diversified Industrials |
21% |
23% | ||||||
| Financial Institutions |
13% |
12% | ||||||
| Funds |
19% |
12% | ||||||
| Healthcare |
1% |
2% | ||||||
| Municipalities & Nonprofit |
4% |
6% | ||||||
| Natural Resources & Utilities |
12% |
11% | ||||||
| Sovereign |
12% |
14% | ||||||
| Technology, Media & Telecommunications |
10% |
12% | ||||||
| Other (including Special Purpose Vehicles) |
5% |
4% | ||||||
| Total |
100% |
100% | ||||||
| Region |
||||||||
| Americas |
60% |
62% | ||||||
| EMEA |
30% |
30% | ||||||
| Asia |
10% |
8% | ||||||
| Total |
100% |
100% | ||||||
| • | OTC derivative assets, included in the consolidated balance sheets, are reported on a net-by-counterparty |
| • | Collateral represents cash collateral and the fair value of securities collateral, primarily U.S. and non-U.S. government and agency obligations, received under credit support agreements, that we consider when determining credit risk, but such collateral is not eligible for netting under U.S. GAAP. |
| 145 | Goldman Sachs March 2021 Form 10-Q |
| $ in millions |
|
Investment- Grade |
|
|
Non-Investment- Grade / Unrated |
|
|
Total |
| |||
| As of March 2021 |
||||||||||||
| Less than 1 year |
$ 25,745 |
$ 10,489 |
$ 36,234 |
|||||||||
| 1 - 5 years |
21,403 |
15,163 |
36,566 |
|||||||||
| Greater than 5 years |
64,558 |
7,241 |
71,799 |
|||||||||
| Total |
111,706 |
32,893 |
144,599 |
|||||||||
| Netting |
(88,126 |
) |
(10,275 |
) |
(98,401 |
) | ||||||
| Net credit exposure |
$ 23,580 |
$ 22,618 |
$ 46,198 |
|||||||||
| As of December 2020 |
||||||||||||
| Less than 1 year |
$ 22,332 | $ |
$ 34,839 | |||||||||
| 1 - 5 years |
23,927 | 16,486 | 40,413 | |||||||||
| Greater than 5 years |
77,653 | 8,958 | 86,611 | |||||||||
| Total |
123,912 | 37,951 | 161,863 | |||||||||
| Netting |
(101,691 | ) | (14,312 | ) | (116,003 | ) | ||||||
| Net credit exposure |
$ 22,221 | $ |
$ 45,860 | |||||||||
| • | Tenor is based on remaining contractual maturity. |
| • | Netting includes counterparty netting across tenor categories and collateral that we consider when determining credit risk (including collateral that is not eligible for netting under U.S. GAAP). Counterparty netting within the same tenor category is included within such tenor category. |
| Investment-Grade | ||||||||||||||||||||
$ in millions |
AAA | AA | A | BBB | Total | |||||||||||||||
| As of March 2021 |
| |||||||||||||||||||
| Less than 1 year |
$ |
$ 6,688 |
$ 11,751 |
$ 6,752 |
$ 25,745 |
|||||||||||||||
| 1 - 5 years |
1,182 |
3,626 |
10,342 |
6,253 |
21,403 |
|||||||||||||||
| Greater than 5 years |
12,773 |
6,107 |
24,616 |
21,062 |
64,558 |
|||||||||||||||
| Total |
14,509 |
16,421 |
46,709 |
34,067 |
111,706 |
|||||||||||||||
| Netting |
(11,052 |
) |
(10,959 |
) |
(39,238 |
) |
(26,877 |
) |
(88,126 |
) | ||||||||||
| Net credit exposure |
$ 3,457 |
$ 5,462 |
$ 7,471 |
$ 7,190 |
$ 23,580 |
|||||||||||||||
| As of December 2020 |
| |||||||||||||||||||
| Less than 1 year |
$ |
$ |
$ |
$ |
$ 22,332 | |||||||||||||||
| 1 - 5 years |
1,069 | 4,189 | 10,976 | 7,693 | 23,927 | |||||||||||||||
| Greater than 5 years |
16,550 | 7,403 | 28,410 | 25,290 | 77,653 | |||||||||||||||
| Total |
18,151 | 15,738 | 50,826 | 39,197 | 123,912 | |||||||||||||||
| Netting |
(14,364 | ) | (11,230 | ) | (44,529 | ) | (31,568 | ) | (101,691 | ) | ||||||||||
| Net credit exposure |
$ |
$ |
$ |
$ |
$ 22,221 | |||||||||||||||
Non-Investment-Grade / Unrated |
||||||||||||||||||||
$ in millions |
BB or lower | Unrated | Total | |||||||||||||||||
| As of March 2021 |
||||||||||||||||||||
| Less than 1 year |
$ 9,721 |
$ |
$ 10,489 |
|||||||||||||||||
| 1 - 5 years |
15,002 |
161 |
15,163 |
|||||||||||||||||
| Greater than 5 years |
7,010 |
231 |
7,241 |
|||||||||||||||||
| Total |
31,733 |
1,160 |
32,893 |
|||||||||||||||||
| Netting |
(10,190 |
) |
(85 |
) |
(10,275 |
) | ||||||||||||||
| Net credit exposure |
$ 21,543 |
$ 1,075 |
$ 22,618 |
|||||||||||||||||
| As of December 2020 |
|
|||||||||||||||||||
| Less than 1 year |
$ |
$ |
$ 12,507 | |||||||||||||||||
| 1 - 5 years |
16,274 | 212 | 16,486 | |||||||||||||||||
| Greater than 5 years |
8,844 | 114 | 8,958 | |||||||||||||||||
| Total |
36,659 | 1,292 | 37,951 | |||||||||||||||||
| Netting |
(14,114 | ) | (198 | ) | (14,312 | ) | ||||||||||||||
| Net credit exposure |
$ |
$ |
$ 23,639 | |||||||||||||||||
| $ in millions |
|
Loans |
|
|
Lending Commitments |
|
|
Total |
| |||
| As of March 2021 |
||||||||||||
| Corporate |
$ 47,495 |
$153,709 |
$201,204 |
|||||||||
| Wealth management |
35,506 |
3,789 |
39,295 |
|||||||||
| Commercial real estate |
20,662 |
3,810 |
24,472 |
|||||||||
| Residential real estate |
8,810 |
3,491 |
12,301 |
|||||||||
| Consumer: |
||||||||||||
| Installment |
3,477 |
5 |
3,482 |
|||||||||
| Credit cards |
4,376 |
26,491 |
30,867 |
|||||||||
| Other |
4,450 |
4,847 |
9,297 |
|||||||||
| Total, gross |
124,776 |
196,142 |
320,918 |
|||||||||
| Allowance for loan losses |
(3,515 |
) |
(721 |
) |
(4,236 |
) | ||||||
| Total |
$121,261 |
$195,421 |
$316,682 |
|||||||||
| As of December 2020 |
||||||||||||
| Corporate |
$ 48,659 | $135,818 | $184,477 | |||||||||
| Wealth management |
33,023 | 3,103 | 36,126 | |||||||||
| Commercial real estate |
20,290 | 4,268 | 24,558 | |||||||||
| Residential real estate |
5,750 | 1,900 | 7,650 | |||||||||
| Consumer: |
||||||||||||
| Installment |
3,823 | 4 | 3,827 | |||||||||
| Credit cards |
4,270 | 21,640 | 25,910 | |||||||||
| Other |
4,174 | 4,842 | 9,016 | |||||||||
| Total, gross |
119,989 | 171,575 | 291,564 | |||||||||
| Allowance for loan losses |
(3,874 | ) | (557 | ) | (4,431 | ) | ||||||
| Total |
$116,115 | $171,018 | $287,133 | |||||||||
| Goldman Sachs March 2021 Form 10-Q | 146 |
| $ in millions |
|
Loans |
|
|
Lending Commitments |
|
|
Total |
| |||
| As of March 2021 |
||||||||||||
| Corporate |
$47,495 |
$153,709 |
$201,204 |
|||||||||
| Industry |
||||||||||||
| Consumer & Retail |
7% |
12% |
11% |
|||||||||
| Diversified Industrials |
16% |
22% |
21% |
|||||||||
| Financial Institutions |
10% |
7% |
8% |
|||||||||
| Funds |
14% |
3% |
6% |
|||||||||
| Healthcare |
7% |
10% |
9% |
|||||||||
| Natural Resources & Utilities |
11% |
20% |
18% |
|||||||||
| Real Estate |
7% |
4% |
4% |
|||||||||
| Technology, Media & Telecommunications |
19% |
18% |
18% |
|||||||||
| Other (including Special Purpose Vehicles) |
9% |
4% |
5% |
|||||||||
| Total |
100% |
100% |
100% |
|||||||||
| Region |
||||||||||||
| Americas |
57% |
68% |
65% |
|||||||||
| EMEA |
33% |
30% |
31% |
|||||||||
| Asia |
10% |
2% |
4% |
|||||||||
| Total |
100% |
100% |
100% |
|||||||||
| Credit Quality (Credit Rating Equivalent) |
|
|||||||||||
| AAA |
– |
1% |
1% |
|||||||||
| AA |
– |
4% |
4% |
|||||||||
| A |
7% |
17% |
14% |
|||||||||
| BBB |
14% |
41% |
34% |
|||||||||
| BB or lower |
78% |
36% |
46% |
|||||||||
| Other metrics/unrated |
1% |
1% |
1% |
|||||||||
| Total |
100% |
100% |
100% |
|||||||||
| As of December 2020 |
||||||||||||
| Corporate |
$48,659 | $135,818 | $184,477 | |||||||||
| Industry |
||||||||||||
| Consumer & Retail |
7% | 14% | 12% | |||||||||
| Diversified Industrials |
17% | 17% | 17% | |||||||||
| Financial Institutions |
10% | 6% | 7% | |||||||||
| Funds |
13% | 3% | 6% | |||||||||
| Healthcare |
7% | 12% | 11% | |||||||||
| Natural Resources & Utilities |
12% | 18% | 16% | |||||||||
| Real Estate |
8% | 6% | 6% | |||||||||
| Technology, Media & Telecommunications |
17% | 19% | 19% | |||||||||
| Other (including Special Purpose Vehicles) |
9% | 5% | 6% | |||||||||
| Total |
100% | 100% | 100% | |||||||||
| Region |
||||||||||||
| Americas |
60% | 70% | 67% | |||||||||
| EMEA |
31% | 28% | 29% | |||||||||
| Asia |
9% | 2% | 4% | |||||||||
| Total |
100% | 100% | 100% | |||||||||
| Credit Quality (Credit Rating Equivalent) |
|
|||||||||||
| AAA |
– | 1% | 1% | |||||||||
| AA |
– | 5% | 4% | |||||||||
| A |
6% | 19% | 15% | |||||||||
| BBB |
13% | 36% | 30% | |||||||||
| BB or lower |
80% | 38% | 49% | |||||||||
| Other metrics/unrated |
1% | 1% | 1% | |||||||||
| Total |
100% | 100% | 100% | |||||||||
| $ in millions |
|
Loans |
|
|
Lending Commitments |
|
|
Total |
| |||
| As of March 2021 |
||||||||||||
| Wealth Management |
$35,506 |
$3,789 |
$39,295 |
|||||||||
| Region |
||||||||||||
| Americas |
88% |
99% |
89% |
|||||||||
| EMEA |
9% |
1% |
8% |
|||||||||
| Asia |
3% |
– |
3% |
|||||||||
| Total |
100% |
100% |
100% |
|||||||||
| Credit Quality (Credit Rating Equivalent) |
||||||||||||
| Investment-grade |
70% |
53% |
68% |
|||||||||
| Non-investment-grade |
14% |
22% |
15% |
|||||||||
| Other metrics/unrated |
16% |
25% |
17% |
|||||||||
| Total |
100% |
100% |
100% |
|||||||||
| As of December 2020 |
||||||||||||
| Wealth Management |
$33,023 | $3,103 | $36,126 | |||||||||
| Region |
||||||||||||
| Americas |
88% | 99% | 89% | |||||||||
| EMEA |
10% | 1% | 9% | |||||||||
| Asia |
2% | – | 2% | |||||||||
| Total |
100% | 100% | 100% | |||||||||
| Credit Quality (Credit Rating Equivalent) |
||||||||||||
| Investment-grade |
67% | 58% | 66% | |||||||||
| Non-investment-grade |
16% | 21% | 17% | |||||||||
| Other metrics/unrated |
17% | 21% | 17% | |||||||||
| Total |
100% | 100% | 100% | |||||||||
| 147 | Goldman Sachs March 2021 Form 10-Q |
$ in millions |
Loans | |
Lending Commitments |
|
Total | |||||||
| As of March 2021 |
||||||||||||
| Commercial Real Estate |
$20,662 |
$3,810 |
$24,472 |
|||||||||
| Region |
||||||||||||
| Americas |
72% |
64% |
70% |
|||||||||
| EMEA |
20% |
14% |
19% |
|||||||||
| Asia |
8% |
22% |
11% |
|||||||||
| Total |
100% |
100% |
100% |
|||||||||
| Credit Quality (Credit Rating Equivalent) |
||||||||||||
| Investment-grade |
9% |
10% |
9% |
|||||||||
| Non-investment-grade |
87% |
83% |
86% |
|||||||||
| Other metrics/unrated |
4% |
7% |
5% |
|||||||||
| Total |
100% |
100% |
100% |
|||||||||
| As of December 2020 |
||||||||||||
| Commercial Real Estate |
$20,290 | $4,268 | $24,558 | |||||||||
| Region |
||||||||||||
| Americas |
71% | 65% | 70% | |||||||||
| EMEA |
19% | 10% | 18% | |||||||||
| Asia |
10% | 25% | 12% | |||||||||
| Total |
100% | 100% | 100% | |||||||||
| Credit Quality (Credit Rating Equivalent) |
||||||||||||
| Investment-grade |
9% | 13% | 10% | |||||||||
| Non-investment-grade |
86% | 87% | 86% | |||||||||
| Other metrics/unrated |
5% | – | 4% | |||||||||
| Total |
100% | 100% | 100% | |||||||||
$ in millions |
Loans | |
Lending Commitments |
|
Total | |||||||
| As of March 2021 |
||||||||||||
| Residential Real Estate |
$8,810 |
$3,491 |
$12,301 |
|||||||||
| Region |
||||||||||||
| Americas |
93% |
100% |
95% |
|||||||||
| EMEA |
5% |
– |
4% |
|||||||||
| Asia |
2% |
– |
1% |
|||||||||
| Total |
100% |
100% |
100% |
|||||||||
| Credit Quality (Credit Rating Equivalent) |
||||||||||||
| Investment-grade |
6% |
– |
5% |
|||||||||
| Non-investment-grade |
81% |
97% |
85% |
|||||||||
| Other metrics/unrated |
13% |
3% |
10% |
|||||||||
| Total |
100% |
100% |
100% |
|||||||||
| As of December 2020 |
||||||||||||
| Residential Real Estate |
$5,750 | $1,900 | $ |
|||||||||
| Region |
||||||||||||
| Americas |
88% | 98% | 91% | |||||||||
| EMEA |
9% | 2% | 7% | |||||||||
| Asia |
3% | – | 2% | |||||||||
| Total |
100% | 100% | 100% | |||||||||
| Credit Quality (Credit Rating Equivalent) |
||||||||||||
| Investment-grade |
11% | 2% | 9% | |||||||||
| Non-investment-grade |
67% | 93% | 73% | |||||||||
| Other metrics/unrated |
22% | 5% | 18% | |||||||||
| Total |
100% | 100% | 100% | |||||||||
| • | Credit exposure includes loans and lending commitments of $10.53 billion as of March 2021 and $5.71 billion as of December 2020 which are extended to clients who warehouse assets that are directly or indirectly secured by residential real estate. |
| • | Other metrics/unrated primarily includes loans purchased by us. Our risk assessment process for such loans includes reviewing certain key metrics, such as loan-to-value |
| Goldman Sachs March 2021 Form 10-Q | 148 |
| As of | ||||||||
$ in millions |
March 2021 |
|
December 2020 |
| ||||
| Installment |
$3,477 |
$3,823 | ||||||
| California |
11% |
11% | ||||||
| Texas |
9% |
9% | ||||||
| New York |
7% |
7% | ||||||
| Florida |
7% |
7% | ||||||
| Illinois |
4% |
4% | ||||||
| Other |
62% |
62% | ||||||
| Total |
100% |
100% | ||||||
| Credit Cards |
$4,376 |
$4,270 | ||||||
| California |
19% |
19% | ||||||
| Texas |
9% |
9% | ||||||
| New York |
8% |
8% | ||||||
| Florida |
8% |
8% | ||||||
| Illinois |
4% |
4% | ||||||
| Other |
52% |
52% | ||||||
| Total |
100% |
100% | ||||||
$ in millions |
Loans | |
Lending Commitments |
|
Total | |||||||
| As of March 2021 |
||||||||||||
| Other |
$4,450 |
$4,847 |
$9,297 |
|||||||||
| Region |
||||||||||||
| Americas |
83% |
98% |
90% |
|||||||||
| EMEA |
16% |
– |
8% |
|||||||||
| Asia |
1% |
2% |
2% |
|||||||||
| Total |
100% |
100% |
100% |
|||||||||
| Credit Quality (Credit Rating Equivalent) |
||||||||||||
| Investment-grade |
48% |
86% |
68% |
|||||||||
| Non-investment-grade |
22% |
11% |
16% |
|||||||||
| Other metrics/unrated |
30% |
3% |
16% |
|||||||||
| Total |
100% |
100% |
100% |
|||||||||
| As of December 2020 |
||||||||||||
| Other |
$4,174 | $4,842 | $9,016 | |||||||||
| Region |
||||||||||||
| Americas |
81% | 98% | 90% | |||||||||
| EMEA |
17% | – | 8% | |||||||||
| Asia |
2% | 2% | 2% | |||||||||
| Total |
100% | 100% | 100% | |||||||||
| Credit Quality (Credit Rating Equivalent) |
||||||||||||
| Investment-grade |
44% | 94% | 71% | |||||||||
| Non-investment-grade |
23% | 6% | 14% | |||||||||
| Other metrics/unrated |
33% | – | 15% | |||||||||
| Total |
100% | 100% | 100% | |||||||||
| • | Credit exposure includes loans and lending commitments extended to clients who warehouse assets of $7.49 billion as of March 2021 and $7.28 billion as of December 2020. |
| • | Other metrics/unrated primarily includes consumer and credit card loans purchased by us. Our risk assessment process for such loans includes reviewing certain key metrics, such as expected cash flows, delinquency status and other risk factors. |
| 149 | Goldman Sachs March 2021 Form 10-Q |
| As of | ||||||||
$ in millions |
March 2021 |
|
December 2020 |
| ||||
| Securities Financing Transactions |
$34,383 |
$30,190 | ||||||
| Industry |
||||||||
| Financial Institutions |
33% |
39% | ||||||
| Funds |
27% |
24% | ||||||
| Municipalities & Nonprofit |
6% |
5% | ||||||
| Sovereign |
32% |
30% | ||||||
| Other (including Special Purpose Vehicles) |
2% |
2% | ||||||
| Total |
100% |
100% | ||||||
| Region |
||||||||
| Americas |
35% |
33% | ||||||
| EMEA |
45% |
46% | ||||||
| Asia |
20% |
21% | ||||||
| Total |
100% |
100% | ||||||
| Credit Quality (Credit Rating Equivalent) |
||||||||
| AAA |
17% |
15% | ||||||
| AA |
28% |
28% | ||||||
| A |
37% |
40% | ||||||
| BBB |
11% |
10% | ||||||
| BB or lower |
5% |
5% | ||||||
| Unrated |
2% |
2% | ||||||
| Total |
100% |
100% | ||||||
| As of | ||||||||
$ in millions |
March 2021 |
|
December 2020 |
| ||||
| Other Credit Exposures |
$50,764 |
$56,429 | ||||||
| Industry |
||||||||
| Financial Institutions |
85% |
85% | ||||||
| Funds |
9% |
9% | ||||||
| Natural Resources & Utilities |
2% |
2% | ||||||
| Other (including Special Purpose Vehicles) |
4% |
4% | ||||||
| Total |
100% |
100% | ||||||
| Region |
||||||||
| Americas |
54% |
54% | ||||||
| EMEA |
34% |
35% | ||||||
| Asia |
12% |
11% | ||||||
| Total |
100% |
100% | ||||||
| Credit Quality (Credit Rating Equivalent) |
||||||||
| AAA |
6% |
5% | ||||||
| AA |
46% |
48% | ||||||
| A |
25% |
27% | ||||||
| BBB |
7% |
8% | ||||||
| BB or lower |
15% |
11% | ||||||
| Unrated |
1% |
1% | ||||||
| Total |
100% |
100% | ||||||
| Goldman Sachs March 2021 Form 10-Q | 150 |
| 151 | Goldman Sachs March 2021 Form 10-Q |
| • | Clients, products and business practices; |
| • | Execution, delivery and process management; |
| • | Business disruption and system failures; |
| • | Employment practices and workplace safety; |
| • | Damage to physical assets; |
| • | Internal fraud; and |
| • | External fraud. |
| • | Evaluations of the complexity of our business activities; |
| • | The degree of automation in our processes; |
| • | New activity information; |
| • | The legal and regulatory environment; and |
| • | Changes in the markets for our products and services, including the diversity and sophistication of our customers and counterparties. |
| Goldman Sachs March 2021 Form 10-Q | 152 |
| 153 | Goldman Sachs March 2021 Form 10-Q |
| • | The model’s conceptual soundness, including the reasonableness of model assumptions, and suitability for intended use; |
| • | The testing strategy utilized by the model developers to ensure that the models function as intended; |
| • | The suitability of the calculation techniques incorporated in the model; |
| • | The model’s accuracy in reflecting the characteristics of the related product and its significant risks; |
| • | The model’s consistency with models for similar products; and |
| • | The model’s sensitivity to input parameters and assumptions. |
| Goldman Sachs March 2021 Form 10-Q | 154 |
| 155 | Goldman Sachs March 2021 Form 10-Q |
| Goldman Sachs March 2021 Form 10-Q | 156 |
| 157 | Goldman Sachs March 2021 Form 10-Q |
Total Shares Purchased |
Average Price Paid Per Share |
Total Shares Purchased as Part of a Publicly Announced Program |
Maximum Shares That May Yet Be Purchased Under the Program |
|||||||||||||
| January |
1,725,281 |
$281.28 |
1,723,451 |
47,970,311 |
||||||||||||
| February |
4,314,657 |
$304.88 |
4,314,657 |
43,655,654 |
||||||||||||
| March |
2,670,400 |
$336.95 |
2,670,400 |
40,985,254 |
||||||||||||
| Total |
8,710,338 |
8,708,508 |
||||||||||||||
| Goldman Sachs March 2021 Form 10-Q | 158 |
| 3.1 | ||
| 15.1 | ||
| 31.1 | ||
| 32.1 | ||
| 101 | Pursuant to Rules 405 and 406 of Regulation S-T, the following information is formatted in iXBRL (Inline eXtensible Business Reporting Language): (i) the Consolidated Statements of Earnings for the three months ended March 31, 2021 and March 31, 2020, (ii) the Consolidated Statements of Comprehensive Income for the three months ended March 31, 2021 and March 31, 2020, (iii) the Consolidated Balance Sheets as of March 31, 2021 and December 31, 2020, (iv) the Consolidated Statements of Changes in Shareholders’ Equity for the three months ended March 31, 2021 and March 31, 2020,
(v) the Consolidated Statements of Cash Flows for the three months ended March 31, 2021 and March 31, 2020, (vi) the notes to the Consolidated Financial Statements and (vii) the cover page. | |
| 104 | Cover Page Interactive Data File (formatted in iXBRL in Exhibit 101). | |
| THE GOLDMAN SACHS GROUP, INC. | ||||
| By: |
/s/ |
Stephen M. Scherr | ||
| Name: |
Stephen M. Scherr | |||
| Title: |
Chief Financial Officer (Principal Financial Officer) | |||
| Date: |
May 3, 2021 | |||
| By: |
/s/ |
Sheara Fredman | ||
| Name: |
Sheara Fredman | |||
| Title: |
Chief Accounting Officer (Principal Accounting Officer) | |||
| Date: |
May 3, 2021 | |||
| 159 | Goldman Sachs March 2021 Form 10-Q |
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 12/16/21 Goldman Sachs Group Inc. S-8 12/16/21 4:72K Donnelley … Solutions/FA 11/09/21 Goldman Sachs Group Inc. 424B3 1:2.1M Donnelley … Solutions/FA 11/09/21 GreenSky, Inc. DEFM14A 1:3.3M Donnelley … Solutions/FA 11/05/21 Goldman Sachs Group Inc. S-4/A 7:3.3M Donnelley … Solutions/FA 10/21/21 Goldman Sachs Group Inc. S-4 11:3.3M Donnelley … Solutions/FA |
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 4/26/21 Goldman Sachs Group Inc. 8-K:3,5,9 4/26/21 14:388K Donnelley … Solutions/FA |
