Goldman Sachs 2009 Annual Report Download - page 72

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VaR excludes the impact of changes in counterparty and our own credit spreads on derivatives as well as changes in our own credit
spreads on unsecured borrowings for which the fair value option was elected. The estimated sensitivity of our net revenues to a
one basis point increase in credit spreads (counterparty and our own) on derivatives was a $1million loss as of December2009.
In addition, the estimated sensitivity of our net revenues to a one basis point increase in our own credit spreads on unsecured
borrowings for which the fair value option was elected was an $8million gain (including hedges) as of December2009.
Daily VaR (1)
(in millions) As of Year Ended
December November December2009
Risk Categories 2009 2008 High Low
Interest rates $ 122 $228 $252 $111
Equity prices 99 38 123 32
Currency rates 21 36 61 20
Commodity prices 33 33 59 18
Diversi cation effect (2) (122) (91)
Total $ 153 $244 $285 $153
(1) Certain portfolios and individual positions are not included in VaR, where VaR is not the most appropriate measure of risk (e.g.,due to transfer restrictions
and/or illiquidity). See “— Other Market Risk Measures” below.
(2) Equals the difference between total VaR and the sum of the VaRs for the four risk categories. This effect arises because the four market risk categories are
notperfectly correlated.
Our daily VaR decreased to $153million as of December2009 from $244million as of November2008, due to a decrease in the
interest rate and currency rate categories as well as an increase in the diversi cation bene t across risk categories, partially offset
by an increase in the equity prices category. The decrease in interest rates was principally due to lower market volatilities, tighter
spreads and lower levels of exposure. The decrease in currency rates was primarily due to lower market volatilities. The increase
in equity prices was primarily due to higher levels of exposure.
The following chart presents our daily VaR during 2009:
Daily VaR
($ inmillions)
First Quarter
2009
Second Quarter
2009
Third Quarter
2009
Fourth Quarter
2009
Daily Trading VaR
0
20
40
60
80
100
120
140
160
180
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300
Goldman Sachs 2009 Annual Report
70
Management’s Discussion and Analysis