RAROC profile and corporate credit pricing model derived from Pillar 3 disclosures.
Goldman Sachs is a United States-based bank with approximately EUR 823bn of corporate credit exposure (EAD) under the A-IRB approach to credit risk capital. The numbers below come directly from Goldman Sachs's most recent Pillar 3 CR6 regulatory filings and are used to model how this bank prices corporate credit facilities.
Goldman Sachs is not a clearing-style corporate lender; its disclosed corporate EAD is dominated by relationship-lending facilities tied to investment banking mandates. The reported RAROC on a standalone BBB+ term loan understates the economics of the full client relationship, where league-table M&A and capital-markets fees typically cross-subsidise the lending spread.
Goldman Sachs is mid-sized by corporate EAD (17 of 59). Its cost-to-income ratio of 60.0% is in line with the European large-bank average (+10.2pp vs the 59-bank cross-section average of 49.8%). The corporate portfolio is predominantly investment-grade, with an EAD-weighted average PD of 1.4% against a cross-bank average of 2.1%.
Because the bank runs the advanced IRB approach, its own LGD and credit-conversion models drive capital requirements, which on our comparable sample deal typically produces tighter minimum spreads than foundation-IRB peers with identical obligor risk. Unsecured LGD disclosed at 32.5% is -4.3pp against the 36.8% cross-bank average, indicating recovery assumptions that are more favourable than the peer median — often a feature of senior-unsecured lending to large investment-grade obligors.
On the standardised BBB+ EUR 25M 5-year term loan used across every bank profile, Goldman Sachs lands in the top half of the pricing ranking (#24 of 59), with a RAROC of 7.40% and a minimum spread of 249bp to reach the 12% hurdle. Within United States specifically, the bank ranks #6 of 7 on this same calculation.
| Parameter | Value | What it means |
|---|---|---|
| IRB approach | A-IRB | How the bank computes risk-weighted assets |
| Cost-to-income ratio | 60.0% | Operating cost share of net revenue |
| Effective tax rate | 24.0% | Applied to RAROC numerator after EL and funding |
| Average corporate PD | 1.44% | EAD-weighted probability of default |
| Avg LGD (unsecured) | 32.5% | Loss share if borrower defaults, no collateral |
| Avg LGD (secured) | 20.0% | Loss share with eligible collateral |
| Funding spread | 15bp | Bank's wholesale funding cost above risk-free |
| Corporate EAD | EUR 823bn | Total exposure at default to corporates |
On a representative BBB+ rated, 5-year term loan of EUR 25M at 150bp spread with a 20bp commitment fee, Goldman Sachs would generate an estimated RAROC of 7.40% against a typical 12% bank hurdle rate. To hit that hurdle on this exact deal, the bank would need a minimum spread of 249bp. This deal is significantly below target — the bank would either reprice it or decline.
| Component | Value |
|---|---|
| Annual revenue (spread + fees) | EUR 385,000 |
| Operating cost | EUR 154,000 |
| Expected loss (PD × LGD × EAD) | EUR 28,750 |
| Capital required (FPE) | EUR 2,451,320 |
| RAROC (after tax) | 7.40% |
| Min spread to hit 12% RAROC | 249bp |
Out of 59 banks in the OpenRAROC dataset, Goldman Sachs ranks #24 by RAROC on this sample deal.
| Rank | Bank | Country | RAROC | Min spread |
|---|---|---|---|---|
| 1 | Qatar National Bank | Qatar | 9.00% | 203bp |
| 2 | DBS Group | Singapore | 8.18% | 224bp |
| 3 | JP Morgan | United States | 8.12% | 231bp |
| 4 | ICBC | China | 8.06% | 233bp |
| 5 | China Construction Bank | China | 8.06% | 233bp |
| 23 | Citibank | United States | 7.40% | 249bp |
| 24 | Goldman Sachs | United States | 7.40% | 249bp |
| 25 | Morgan Stanley | United States | 7.40% | 249bp |
Upload a CSV of your existing facilities and OpenRAROC will run the same calculation against Goldman Sachs (and 58 other banks) to show you who's overcharging you and which bank should price your next deal.
Open the calculatorFree RAROC calculator. Upload your portfolio. See who prices your facilities best.
Open OpenRAROC