Goldman Sachs 2015 Annual Report Download - page 176

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Notes to Consolidated Financial Statements
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 2015 2014 2013
Residential mortgages $10,479 $19,099 $29,772
Commercial mortgages 6,043 2,810 6,086
Other financial assets —1,009 —
Total $16,522 $22,918 $35,858
Cash flows on retained
interests $ 174 $ 215 $ 249
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.
As of December 2015
$ in millions
Outstanding
Principal
Amount
Fair Value of
Retained
Interests
Fair Value of
Purchased
Interests
U.S. government
agency-issued
collateralized mortgage
obligations $39,088 $ 846 $ 20
Other residential
mortgage-backed 2,195 154 17
Other commercial
mortgage-backed 6,842 115 28
CDOs, CLOs and other 2,732 44 7
Total $50,857 $1,159 $ 72
As of December 2014
$ in millions
Outstanding
Principal
Amount
Fair Value of
Retained
Interests
Fair Value of
Purchased
Interests
U.S. government
agency-issued
collateralized mortgage
obligations $56,792 $2,140 $ —
Other residential
mortgage-backed 2,273 144 5
Other commercial
mortgage-backed 3,313 86 45
CDOs, CLOs and other 4,299 59 17
Total $66,677 $2,429 $ 67
In the tables above:
‰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.
‰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.
‰Substantially all of the total outstanding principal amount
and total fair value of retained interests as of
December 2015 relate to securitizations during 2012 and
thereafter, and substantially all of the total outstanding
principal amount and total fair value of retained interests
as of December 2014 relate to securitizations during 2011
and thereafter.
In addition to the interests in the tables above, the firm had
other continuing involvement in the form of derivative
transactions and commitments with certain
nonconsolidated VIEs. The carrying value of these
derivatives and commitments was a net asset of $92 million
and $115 million as of December 2015 and
December 2014, respectively. The notional amounts of
these derivatives and commitments are included in
maximum exposure to loss in the nonconsolidated VIE
table in Note 12.
164 Goldman Sachs 2015 Form 10-K