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Notes to Consolidated Financial Statements
These tables do not give effect to the benefit of any offsetting financial instruments that are held to mitigate risks related to the
firm’s interests in nonconsolidated VIEs.
As of November 2007
Maximum Exposure to Loss in Nonconsolidated VIEs
(1)
Purchased
and Retained Commitments Loans and
(in millions) VIE Assets Interests and Guarantees Derivatives Investments Total
Mortgage CDOs
(2) $18,914 $1,011 $ — $10,089 $ — $11,100
Corporate CDOs and CLOs
(3) 10,750 411 — 2,218 — 2,629
Real estate, credit-related
and other investing
(4) 17,272 — 107 12 3,141 3,260
Municipal bond securitizations 1,413 — 1,413 — — 1,413
Other mortgage-backed 3,881 719 — — — 719
Other asset-backed 3,771 — — 1,579 — 1,579
Power-related 438 2 37 — 16 55
Principal-protected notes
(5) 5,698 — — 5,186 — 5,186
Total $62,137 $2,143 $1,557 $19,084 $3,157 $25,941
As of November 2006
Maximum Exposure to Loss in Nonconsolidated VIEs
(1)
Purchased
and Retained Commitments Loans and
(in millions) VIE Assets Interests and Guarantees Derivatives Investments Total
Mortgage CDOs
(2) $26,225 $2,172 $ — $ 7,119 $ — $ 9,291
Corporate CDOs and CLOs
(3) 11,385 234 — 2,663 — 2,897
Real estate, credit-related
and other investing
(4) 16,300 — 113 8 2,088 2,209
Municipal bond securitizations 1,182 — 1,182 — — 1,182
Other mortgage-backed 8,143 477 — — — 477
Other asset-backed 96 — — 66 — 66
Power-related 3,422 10 73 — 597 680
Principal-protected notes
(5) 4,363 — — 3,437 — 3,437
Total $71,116 $2,893 $1,368 $13,293 $2,685 $20,239
(1) Such amounts do not represent the anticipated losses in connection with these transactions.
(2) Derivatives related to mortgage CDOs primarily consist of written protection on investment-grade, short-term collateral held by VIEs that have issued CDOs.
(3)
Derivatives related to corporate CDOs and CLOs primarily consist of total return swaps on CDOs and CLOs. The firm has generally transferred the risks related to the
underlying securities through derivatives with non-VIEs.
(4)
The firm obtains interests in these VIEs in connection with making proprietary investments in real estate, distressed loans and other types of debt, mezzanine instruments
and equities.
(5) Derivatives related to principal-protected notes consist of out-of-the-money written put options that provide principal protection to clients invested in various fund
products, with risk to the firm mitigated through portfolio rebalancing.
107Goldman Sachs 2007 Annual Report