The Goldman Sachs Group, Inc. and. Goldman Sachs Bank USA Dodd-Frank Act Stress Test Results
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1 The Goldman Sachs Group, Inc. and Goldman Sachs Bank USA 2013 Dodd-Frank Act Stress Test Results March 7, 2013
2 DFA Stress Test Results for The Goldman Sachs Group, Inc. The Dodd-Frank Wall Street Reform and Consumer Protection Act ( DFA ) requires The Goldman Sachs Group, Inc. (referred to herein as Group, we, us or the firm ) to publish a summary of the results of the DFA stress tests based on the Federal Reserve s severely adverse scenario. The following table summarizes the results of such tests based on the firm s calculations for the Federal Reserve s severely adverse scenario, including the instantaneous global market shock applied to our trading and counterparty exposures. The results exclude requested capital actions that are incorporated into our Comprehensive Capital Analysis and Review ( CCAR ), including the repurchase of outstanding common stock, a potential increase in our quarterly common stock dividend and the possible issuance, redemption and modification of other capital securities: 1
3 The most significant drivers of the changes in the firm s regulatory capital ratios, as well as the Tier 1 Common ratio, under the DFA stress test based on the Federal Reserve s severely adverse scenario are 1 : Increased risk weighted assets ( RWAs ) resulting from the implementation of the Federal Reserve s Final Market Risk Capital Rule in January 2013, consistent with the Federal Reserve s implementation timeline. Cumulative trading and counterparty losses and other losses, including those associated with the global market shock. Based on the Federal Reserve s guidance, we did not incorporate the impact of the global market shock on our balance sheet, or RWA projections, and did not reflect management actions (i.e., reductions in risk exposures or compensation/non-compensation expenses) as a result of the global market shock, which further increased the impact of the global market shock on our capital ratios. The negative impact on pre-provision net revenues of the Federal Reserve s macroeconomic path in their severely adverse scenario over the nine-quarter scenario horizon. The results above are not necessarily indicative of the Federal Reserve s results under CCAR. On March 14, 2013, the Federal Reserve will disclose capital ratios incorporating CCAR capital assumptions, which include the requested capital actions that are described above. DFA Stress Test Results for Goldman Sachs Bank USA The DFA requires Goldman Sachs Bank USA ( GS Bank ) to conduct stress tests on an annual basis. GS Bank is a wholly-owned subsidiary of Group. The Federal Reserve s Final Stress Test Rule requires stress test results of any subsidiary depository institution to be disclosed along with the stress test results of the bank holding company parent. In the nine-quarter projection under the Federal Reserve s severely adverse scenario, GS Bank s Tier 1 Capital and Total Capital ratio which was 18.0% at the end of Q3 2012, declines to a minimum over the nine-quarter scenario horizon of 11.3%, and GS Bank s Tier 1 Leverage ratio, which was 17.8% at the end of Q3 2012, declines to a minimum of 13.8%. Ending Q Tier 1 Capital, Total Capital and Tier 1 Leverage ratios are 12.3%, 12.4% and 14.8%, respectively. 1 Q capital ratios are based on Basel 1. Effective Q1 2013, capital ratios include the impact of the Federal Reserve s Final Market Risk Capital Rule (12 C.F.R. Part 225/208, Appendix E). 2
4 The most significant drivers of the changes in GS Bank s regulatory capital ratios are consistent with those of Group. Potential capital planning initiatives are also drivers of these changes. More information on the CCAR and DFA stress tests are available on the Federal Reserve s website at 3
5 Additional Information Risks included in the stress test The risks captured in the stress test process are market risk, credit risk, operational risk and liquidity risk. For further information about the description of these risks, please refer to related disclosures within Management s Discussion and Analysis of Financial Condition and Results of Operations in our Annual Report on Form 10-K for the year ended December 31, Methodologies used in the stress test Pre-Provision Net Revenue: The macroeconomic guidance provided by the Federal Reserve forms the basis for projecting net revenues. In addition to the macroeconomic variable and asset path projections provided by the Federal Reserve, we also incorporate internally modeled variables that are more specific to the firm and generally consistent in terms of direction and magnitude with the macroeconomic and financial market variables provided by the Federal Reserve. We also project operating expenses over the nine-quarter scenario horizon. Our operating expenses are primarily influenced by compensation, headcount and levels of business activity. Provisions and Loan Losses: The macroeconomic variables provided by the Federal Reserve also form the basis for projecting changes in provisions and loan losses in our accrual loan portfolio. The losses are projected to occur over the nine-quarter scenario horizon using a comprehensive, model based approach. The model estimates losses by projecting exposure at default, loss given default, probability of default, and ratings migration for each individual loan over the scenario horizon. Trading and Counterparty Losses: Trading and counterparty losses includes mark-to-market losses, changes in CVA and incremental default losses on positions held at fair value as a result of the global market shock. Losses are derived by applying the global market shocks provided by the Federal Reserve. We use the firm s stress testing and risk management infrastructure to calculate the impact of applying the shocks. Certain positions are subject to price shocks where a percentage haircut is applied against the fair value as instructed by the 4
6 Federal Reserve. Mark-to-market shocks are applied instantaneously and incremental risk mitigation is not permitted per the Federal Reserve s instructions. Other Losses: Other losses primarily reflect the projected change in the carrying value of loans and loan commitments accounted for under the fair value option, net of existing hedges. Such loans and loan commitments are subject to the global market shock prescribed by the Federal Reserve and the shocks are applied instantaneously. The effect of incremental risk mitigation is not permitted per the Federal Reserve s instructions. Risk Weighted Assets: Projected risk weighted assets incorporate the impact of the Federal Reserve s Final Market Risk Capital Rule 1 as well as forecasts which estimate that RWAs evolve directionally consistent with the macro-economic environment and our balance sheet. 1 Q capital ratios are based on Basel 1. Effective Q1 2013, capital ratios include the impact of the Federal Reserve s Final Market Risk Capital Rule (12 C.F.R. Part 225/208, Appendix E). 5
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