Goldman Sachs 2009 Annual Report Download - page 122
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Goldman Sachs 2009 Annual Report
120
The following table sets forth the weighted average key economic assumptions used in measuring the fair value of the rm’s
retained interests and the sensitivity of this fair value to immediate adverse changes of 10% and 20% in those assumptions:
As of December2009 As of November2008
Type of Retained Interests (1)
Type of Retained Interests (1)
($ inmillions) Mortgage-Backed Other Asset-Backed (2) Mortgage-Backed Other Asset-Backed
Fair value of retained interests $4,012 $ 93 $1,415 $367 (5)
Weighted average life (years) 4.4 4.4 6.0 5.1
Constant prepayment rate
(3) 23.5% N.M. 15.5% 4.5%
Impact of 10% adverse change
(3) $ (44) N.M. $ (14) $ (6)
Impact of 20% adverse change
(3) (92) N.M. (27) (12)
Discount rate
(4) 8.4% N.M. 21.1% 29.2%
Impact of 10% adverse change $ (76) N.M. $ (46) $ (25)
Impact of 20% adverse change (147) N.M. (89) (45)
(1) Includes $4.03billion and $1.53billion as of December2009 and November2008, respectively, held in QSPEs.
(2) Due to the nature and current fair value of certain of these retained interests, the weighted average assumptions for constant prepayment and discount rates
and the related sensitivity to adverse changes are not meaningful as of December2009. The rm’s maximum exposure to adverse changes in the value of
these interests is the rm’s carrying value of $93million.
(3) Constant prepayment rate is included only for positions for which constant prepayment rate is a key assumption in the determination of fair value.
(4) The majority of the rm’s mortgage-backed retained interests are U.S. government agency-issued collateralized mortgage obligations, for which there is no
anticipated credit loss. For the remainder of the rm’s retained interests, the expected credit loss assumptions are re ected within the discount rate.
(5) Includes $192million of retained interests related to transfers of securitized assets that were accounted for as secured nancings rather than sales.
The preceding table does not give effect to the offsetting bene t of other nancial instruments that are held to mitigate risks
inherent in these retained interests. Changes in fair value based on an adverse variation in assumptions generally cannot be
extrapolated because the relationship of the change in assumptions to the change in fair value is not usually linear. In addition,
the impact of a change in a particular assumption is calculated independently of changes in any other assumption. In practice,
simultaneous changes in assumptions might magnify or counteract the sensitivities disclosed above.
Notes to Consolidated Financial Statements