Goldman Sachs 2012 Annual Report Download - page 102

Management’s Discussion and Analysis
As of December 2011
Credit Exposure Market Exposure
in millions Loans
OTC
Derivatives Other
Gross
Funded Hedges
Total Net
Funded
Credit
Exposure
Unfunded
Credit
Exposure
Total
Credit
Exposure Debt
Equities
and
Other
Credit
Derivatives
Total
Market
Exposure
Greece
Sovereign $ — $ — $ — $ — $ — $ — $ — $ — $ 329 $ — $ (22) $ 307
Non-Sovereign 20 53 — 73 — 73 — 73 32 11 18 61
Total Greece 20 53 — 73 — 73 — 73 361 11 (4) 368
Ireland
Sovereign — 1 256 257 — 257 — 257 411 — (352) 59
Non-Sovereign — 542 66 608 (8) 600 57 657 412 85 115 612
Total Ireland — 543 322 865 (8) 857 57 914 823 85 (237) 671
Italy
Sovereign — 1,666 3 1,669 (1,410) 259 — 259 210 — 200 410
Non-Sovereign 126 457 — 583 (25) 558 408 966 190 297 (896) (409)
Total Italy 126 2,123 3 2,252 (1,435) 817 408 1,225 400 297 (696) 1
Portugal
Sovereign — 151 — 151 — 151 — 151 (98) — 23 (75)
Non-Sovereign — 53 2 55 — 55 — 55 230 13 (179) 64
Total Portugal — 204 2 206 — 206 — 206 132 13 (156) (11)
Spain
Sovereign — 88 — 88 — 88 — 88 151 — (550) (399)
Non-Sovereign 153 254 11 418 (141) 277 146 423 345 239 (629) (45)
Total Spain 153 342 11 506 (141) 365 146 511 496 239 (1,179) (444)
Subtotal $299 $3,265 1$338 $3,902 $(1,584) $2,318 $611 $2,929 $2,212 $645 $(2,272) 2$ 585
1. Includes the benefit of $6.5 billion of cash and U.S. Treasury securities collateral and excludes non-U.S. government and agency obligations and corporate securities
collateral of $341 million.
2. Includes written and purchased credit derivative notionals reduced by the fair values of such credit derivatives.
We economically hedge our exposure to written credit
derivatives by entering into offsetting purchased credit
derivatives with identical underlyings. Where possible, we
endeavor to match the tenor and credit default terms of
such hedges to that of our written credit derivatives.
Substantially all purchased credit derivatives included
above are bought from investment-grade counterparties
domiciled outside of these countries and are collateralized
with cash or U.S. Treasury securities. The gross purchased
and written credit derivative notionals across the above
countries for single-name and index credit default swaps
(included in ‘Hedges’ and ‘Credit Derivatives’ in the tables
above) were $179.4 billion and $168.6 billion, respectively,
as of December 2012, and $177.8 billion and
$167.3 billion, respectively, as of December 2011.
Including netting under legally enforceable netting
agreements, within each and across all of the countries
above, the purchased and written credit derivative
notionals for single-name and index credit default swaps
were $26.0 billion and $15.3 billion, respectively, as of
December 2012, and $28.2 billion and $17.7 billion,
respectively, as of December 2011. These notionals are not
representative of our exposure because they exclude
available netting under legally enforceable netting
agreements on other derivatives outside of these countries
and collateral received or posted under credit
support agreements.
In credit exposure above, ‘Other’ principally consists of
deposits, secured lending transactions and other secured
receivables, net of applicable collateral. As of
December 2012 and December 2011, $4.8 billion and
$7.0 billion, respectively, of secured lending transactions
and other secured receivables were fully collateralized.
For information about the nature of or payout under trigger
events related to written and purchased credit protection
contracts see Note 7 to the consolidated financial
statements.
100 Goldman Sachs 2012 Annual Report