Goldman Sachs 2013 Annual Report Download - page 168

Notes to Consolidated Financial Statements
The tables below present 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 these tables:
‰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 2013
in millions
Outstanding
Principal
Amount
Fair Value of
Retained
Interests
Fair Value of
Purchased
Interests
U.S. government agency-
issued collateralized
mortgage obligations $61,543 $3,455 $ —
Other residential
mortgage-backed 2,072 46 —
Other commercial
mortgage-backed 7,087 140 153
CDOs, CLOs and other 6,861 86 8
Total 1$77,563 $3,727 $161
As of December 2012
in millions
Outstanding
Principal
Amount
Fair Value of
Retained
Interests
Fair Value of
Purchased
Interests
U.S. government agency-
issued collateralized
mortgage obligations $57,685 $4,654 $ —
Other residential
mortgage-backed 3,656 106 —
Other commercial
mortgage-backed 1,253 1 56
CDOs, CLOs and other 8,866 51 331
Total 1$71,460 $4,812 $387
1. Outstanding principal amount includes $418 million and $835 million as of
December 2013 and December 2012, respectively, related to securitization
entities in which the firm’s only continuing involvement is retained servicing
which is not a variable interest.
In addition, the outstanding principal and fair value of
retained interests in the tables above relate to the following
types of securitizations and vintage as described:
‰the outstanding principal amount and fair value of
retained interests for U.S. government agency-issued
collateralized mortgage obligations as of December 2013
primarily relate to securitizations during 2013 and 2012,
and as of December 2012 primarily relate to
securitizations during 2012 and 2011;
‰the outstanding principal amount and fair value of
retained interests for other residential mortgage-backed
obligations as of both December 2013 and
December 2012 primarily relate to prime and Alt-A
securitizations during 2007 and 2006;
‰the outstanding principal amount and fair value of
retained interests for other commercial mortgage-backed
obligations as of December 2013 primarily relate to
securitizations during 2013. As of December 2012, the
outstanding principal amount primarily relates to
securitizations during 2012 and 2007 and the fair value of
retained interests primarily relates to securitizations
during 2012; and
‰the outstanding principal amount and fair value of
retained interests for CDOs, CLOs and other as of
December 2013 primarily relate to CDO and CLO
securitizations during 2007 and as of December 2012
primarily relate to securitizations during 2007 and 2006.
166 Goldman Sachs 2013 Annual Report