Goldman Sachs 2009 Annual Report Download - page 124

Goldman Sachs 2009 Annual Report
122
Notes to Consolidated Financial Statements
The following tables set forth total assets in  rm-sponsored nonconsolidated VIEs in which the  rm holds variable interests and
other nonconsolidated VIEs in which the  rm holds signi cant variable interests, and the  rm’s maximum exposure to loss excluding
the bene t of offsetting  nancial instruments that are held to mitigate the risks associated with these variable interests. For 2009,
in accordance with amended principles requiring enhanced disclosures, the following table also sets forth the total assets and total
liabilities included in the consolidated statements of  nancial condition related to the  rm’s interests in these nonconsolidated VIEs.
The  rm has aggregated nonconsolidated VIEs based on principal business activity, as re ected in the  rst column. The nature of the
 rm’s variable interests can take different forms, as described in the columns under maximum exposure to loss.
As of December2009
Carrying Value of
the Firm’s
Variable Interests Maximum Exposure to Loss in Nonconsolidated VIEs (1)
Purchased Commitments
Assets and Retained and Loans and
(inmillions) in VIE Assets Liabilities Interests Guarantees Derivatives Investments Total
Mortgage CDOs
(2) $ 9,114 $ 182 $ 10 $135 $ – $ 4,111 (7) $ – $ 4,246
Corporate CDOs and CLOs
(2) 32,490 834 400 259 3 7,577 (8) – 7,839
Real estate, credit-related and
other investing
(3) 22,618 2,386 204 – 397 – 2,425 2,822
Other asset-backed
(2) 497 16 12 – – 497 – 497
Power-related
(4) 592 224 3 – 37 – 224 261
Principal-protected notes
(5) 2,209 12 1,357 – – 2,512 – 2,512
Total $67,520 $3,654 $1,986 $394 $437 (6) $14,697 (6) $2,649 $18,177
As of November2008
Maximum Exposure to Loss in Nonconsolidated VIEs
(1)
Purchased Commitments
Assets and Retained and Loans and
(inmillions) in VIE Interests Guarantees Derivatives Investments Total
Mortgage CDOs $13,061 $242 $ – $ 5,616 (7) $ – $ 5,858
Corporate CDOs and CLOs 8,584 161 – 918 (8) – 1,079
Real estate, credit-related and other investing
(3) 26,898 – 143 – 3,223 3,366
Municipal bond securitizations 111 – 111 – – 111
Other asset-backed 4,355 – – 1,084 – 1,084
Power-related 844 – 37 – 213 250
Principal-protected notes
(5) 4,516 – – 4,353 – 4,353
Total $58,369 $403 $291 $11,971 $3,436 $16,101
(1) Such amounts do not represent the anticipated losses in connection with these transactions because they exclude the effect of offsetting  nancial instruments
that are held to mitigate these risks.
(2) These VIEs are generally  nanced through the issuance of debt instruments collateralized by assets held by the VIE. Substantially all assets and liabilities held by the  rm
related to these VIEs are included in “Trading assets, at fair value” and “Trading liabilities, at fair value,” respectively, in the consolidated statement of  nancial condition.
(3) The  rm obtains interests in these VIEs in connection with making investments in real estate, distressed loans and other types of debt, mezzanine instruments
and equities. These VIEs are generally  nanced through the issuance of debt and equity instruments which are either collateralized by or indexed to assets held
by the VIE. Substantially all assets and liabilities held by the  rm related to these VIEs are included in “Trading assets, at fair value” and “Other assets,” and
“Other liabilities and accrued expenses,” respectively, in the consolidated statement of  nancial condition.
(4) Assets and liabilities held by the  rm related to these VIEs are included in “Other assets” and “Other liabilities and accrued expenses,” respectively, in the
consolidated statement of  nancial condition.
(5) Consists of out-of-the-money written put options that provide principal protection to clients invested in various fund products, with risk to the  rm mitigated through portfolio
rebalancing. Assets related to these VIEs are included in “Trading assets, at fair value” and liabilities related to these VIEs are included in “Other secured  nancings,”
“Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings” or “Unsecured long-term borrowings” in the consolidated statement
of  nancial condition. Assets in VIE, carrying value of liabilities and maximum exposure to loss exclude $3.97billion as of December2009, associated with guarantees related
to the  rm’s performance under borrowings from the VIE, which are recorded as liabilities in the consolidated statement of  nancial condition. Substantially all of the liabilities
included in the table above relate to additional borrowings from the VIE associated with principal protected notes guaranteed by the  rm.
(6) The aggregate amounts include $4.66billion as of December2009, related to guarantees and derivative transactions with VIEs to which the  rm transferred assets.
(7) Primarily consists of written protection on investment-grade, short-term collateral held by VIEs that have issued CDOs.
(8) Primarily consists of total return swaps on CDOs and CLOs. The  rm has generally transferred the risks related to the underlying securities through derivatives
with non-VIEs.