Goldman Sachs 2015 Annual Report Download - page 179

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Notes to Consolidated Financial Statements
Nonconsolidated VIEs
The table below presents information about nonconsolidated
VIEs in which the firm holds variable interests.
Nonconsolidated VIEs
as of December
$ in millions 2015 2014
Mortgage-backed 1
Assets in VIEs $62,672 $ 78,107
Carrying value of variable interests - assets 2,439 4,348
Maximum Exposure to Loss
Retained interests 1,115 2,370
Purchased interests 1,324 1,978
Commitments and guarantees 40 —
Derivatives 222 392
Total maximum exposure to loss 2,701 4,740
Corporate CDOs and CLOs
Assets in VIEs 6,493 8,317
Carrying value of variable interests - assets 624 463
Carrying value of variable interests - liabilities 29 3
Maximum Exposure to Loss
Retained interests 34
Purchased interests 106 184
Commitments and guarantees 647 —
Derivatives 2,633 2,053
Loans and investments 265 —
Total maximum exposure to loss 3,654 2,241
Real estate, credit-related and other investing
Assets in VIEs 9,793 8,720
Carrying value of variable interests - assets 3,557 3,051
Carrying value of variable interests - liabilities 33
Maximum Exposure to Loss
Commitments and guarantees 570 604
Loans and investments 3,557 3,051
Total maximum exposure to loss 4,127 3,655
Other asset-backed
Assets in VIEs 7,026 8,253
Carrying value of variable interests - assets 265 509
Carrying value of variable interests - liabilities 145 16
Maximum Exposure to Loss
Retained interests 41 55
Purchased interests 98 322
Commitments and guarantees 500 213
Derivatives 4,075 3,221
Total maximum exposure to loss 4,714 3,811
Other
Assets in VIEs 4,161 5,677
Carrying value of variable interests - assets 286 290
Maximum Exposure to Loss
Commitments and guarantees 263 307
Derivatives 688
Loans and investments 286 290
Total maximum exposure to loss 555 685
Total nonconsolidated VIEs
Assets in VIEs 90,145 109,074
Carrying value of variable interests - assets 7,171 8,661
Carrying value of variable interests - liabilities 177 22
Maximum Exposure to Loss
Retained interests 1,159 2,429
Purchased interests 1,528 2,484
Commitments and guarantees 22,020 1,124
Derivatives 26,936 5,754
Loans and investments 4,108 3,341
Total maximum exposure to loss $15,751 $ 15,132
1. Assets in VIEs and maximum exposure to loss include $4.08 billion and
$502 million, respectively, as of December 2015, and $3.57 billion and
$662 million, respectively, as of December 2014, related to CDOs backed by
mortgage obligations.
2. Includes $1.52 billion and $1.64 billion as of December 2015 and
December 2014, respectively, related to commitments and derivative
transactions with VIEs to which the firm transferred assets.
The firm’s exposure to the obligations of VIEs is generally
limited to its interests in these entities. In certain instances,
the firm provides guarantees, including derivative
guarantees, to VIEs or holders of variable interests in VIEs.
In the table above, nonconsolidated VIEs are aggregated
based on principal business activity. The nature of the
firm’s variable interests can take different forms, as
described in the rows under maximum exposure to loss. In
the table above:
‰The maximum exposure to loss excludes the benefit of
offsetting financial instruments that are held to mitigate
the risks associated with these variable interests.
‰For retained and purchased interests, and loans and
investments, the maximum exposure to loss is the
carrying value of these interests.
‰For commitments and guarantees, and derivatives, the
maximum exposure to loss is the notional amount, which
does not represent anticipated losses and also has not
been reduced by unrealized losses already recorded. As a
result, the maximum exposure to loss exceeds liabilities
recorded for commitments and guarantees, and
derivatives provided to VIEs.
The carrying values of the firm’s variable interests in
nonconsolidated VIEs are included in the consolidated
statement of financial condition as follows:
‰Substantially all assets held by the firm related to
mortgage-backed and corporate CDO and CLO VIEs are
included in “Financial instruments owned, at fair value.”
Substantially all liabilities held by the firm related to
corporate CDO and CLO VIEs are included in “Financial
instruments sold, but not yet purchased, at fair value;”
‰Substantially all assets held by the firm related to other
asset-backed VIEs are included in “Financial instruments
owned, at fair value” and “Loans Receivable.”
Substantially all liabilities held by the firm related to other
asset-backed VIEs are included in “Financial instruments
sold, but not yet purchased, at fair value;”
‰Substantially all assets held by the firm related to real
estate, credit-related and other investing VIEs are
included in “Financial instruments owned, at fair value,”
“Loans receivable,” and “Other assets.” Substantially all
liabilities held by the firm related to real estate, credit-
related and other investing VIEs are included in “Other
liabilities and accrued expenses” and “Financial
Instruments sold, but not yet purchased, at fair value;”
and
‰Substantially all assets held by the firm related to other
VIEs are included in “Financial instruments owned, at
fair value.”
Goldman Sachs 2015 Form 10-K 167