Goldman Sachs 2013 Annual Report Download - page 105

Management’s Discussion and Analysis
As of December 2012
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 $ — $ — $ — $ — $ — $ — $ — $ — $ 30 $ — $ — $ 30
Non-Sovereign — 5 1 6 — 6 — 6 65 15 (5) 75
Total Greece — 5 1 6 — 6 — 6 95 15 (5) 105
Ireland
Sovereign — 1 103 104 — 104 — 104 8 — (150) (142)
Non-Sovereign — 126 36 162 — 162 — 162 801 74 155 1,030
Total Ireland — 127 139 266 — 266 — 266 809 74 5 888
Italy
Sovereign — 1,756 1 1,757 (1,714) 43 — 43 (415) — (603) (1,018)
Non-Sovereign 43 560 129 732 (33) 699 587 1,286 434 65 (996) (497)
Total Italy 43 2,316 130 2,489 (1,747) 742 587 1,329 19 65 (1,599) (1,515)
Portugal
Sovereign — 141 61 202 — 202 — 202 155 — (226) (71)
Non-Sovereign — 44 2 46 — 46 — 46 168 (6) (133) 29
Total Portugal — 185 63 248 — 248 — 248 323 (6) (359) (42)
Spain
Sovereign — 75 — 75 — 75 — 75 986 — (268) 718
Non-Sovereign 1,048 259 23 1,330 (95) 1,235 733 1,968 1,268 83 (186) 1,165
Total Spain 1,048 334 23 1,405 (95) 1,310 733 2,043 2,254 83 (454) 1,883
Total $1,091 1$2,967 2$356 $4,414 $(1,842) 3$2,572 $1,320 $3,892 $3,500 $231 $(2,412) 3$ 1,319
1. Principally consists of loans for which the fair value of collateral exceeds the carrying value of such loans.
2. Includes the benefit of $6.6 billion of cash and U.S. Treasury securities collateral and excludes non-U.S. government and agency obligations and corporate securities
collateral of $357 million.
3. 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, U.S. Treasury securities or German government
agency obligations. 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
$154.6 billion and $148.2 billion, respectively, as of
December 2013, and $179.4 billion and $168.6 billion,
respectively, as of December 2012. 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 $22.3 billion and $15.8 billion,
respectively, as of December 2013, and $26.0 billion and
$15.3 billion, respectively, as of December 2012. 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 2013 and December 2012, $11.9 billion and
$4.8 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.
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