Goldman Sachs 2012 Annual Report Download - page 158

Notes to Consolidated Financial Statements
The primary risks included in beneficial interests and other
interests from the firm’s continuing involvement with
securitization vehicles are the performance of the
underlying collateral, the position of the firm’s investment
in the capital structure of the securitization vehicle and the
market yield for the security. These interests are accounted
for at fair value and are included in “Financial instruments
owned, at fair value” and are generally classified in level 2
of the fair value hierarchy. See Notes 5 through 8 for
further information about fair value measurements.
The table below presents the amount of financial assets
securitized and the cash flows received on retained interests
in securitization entities in which the firm had
continuing involvement.
Year Ended December
in millions 2012 2011 2010
Residential mortgages $33,755 $40,131 $47,803
Commercial mortgages 300 — 1,451
Other financial assets —269 12
Total $34,055 $40,400 $49,266
Cash flows on retained
interests $ 389 $ 569 $ 517
The table below presents the firm’s continuing involvement
in nonconsolidated securitization entities to which the firm
sold assets, as well as the total outstanding principal
amount of transferred assets in which the firm has
continuing involvement. In this table:
‰the outstanding principal amount is presented for the
purpose of providing information about the size of the
securitization entities in which the firm has continuing
involvement and is not representative of the firm’s risk
of loss;
‰for retained or purchased interests, the firm’s risk of loss
is limited to the fair value of these interests; and
‰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.
As of December 2012 As of December 2011
in millions
Outstanding
Principal
Amount
Fair Value of
Retained
Interests
Fair Value of
Purchased
Interests
Outstanding
Principal
Amount
Fair Value of
Retained
Interests
Fair Value of
Purchased
Interests
U.S. government agency-issued collateralized
mortgage obligations 1$57,685 $4,654 $ — $70,448 $5,038 $ —
Other residential mortgage-backed 23,656 106 — 4,459 101 3
Commercial mortgage-backed 31,253 1 56 3,398 606 331
CDOs, CLOs and other 48,866 51 331 9,972 32 211
Total 5$71,460 $4,812 $387 $88,277 $5,777 $545
1. Outstanding principal amount and fair value of retained interests primarily relate to securitizations during 2012 and 2011 as of December 2012, and securitizations
during 2011 and 2010 as of December 2011.
2. Outstanding principal amount and fair value of retained interests as of both December 2012 and December 2011 primarily relate to prime and Alt-A securitizations
during 2007 and 2006.
3. As of December 2012, the outstanding principal amount primarily relates to securitizations during 2012 and 2007 and the fair value of retained interests primarily
relate to securitizations during 2012. As of December 2011, the outstanding principal amount primarily relates to securitizations during 2010, 2007 and 2006 and the
fair value of retained interests primarily relates to securitizations during 2010.
4. Outstanding principal amount and fair value of retained interests as of both December 2012 and December 2011 primarily relate to CDO and CLO securitizations
during 2007 and 2006.
5. Outstanding principal amount includes $835 million and $774 million as of December 2012 and December 2011, respectively, related to securitization entities in
which the firm’s only continuing involvement is retained servicing which is not a variable interest.
156 Goldman Sachs 2012 Annual Report