Goldman Sachs 2009 Annual Report Download - page 74

The following table sets forth market risk for positions not included in VaR. These measures do not re ect diversi cation bene ts across
asset categories and, given the differing likelihood of the potential declines in asset categories, these measures have not been aggregated:
Asset Categories 10% Sensitivity Measure 10% Sensitivity
Amount as of
December November
2009 2008
(inmillions)
FICC and Equities
(1)
Equity (2) Underlying asset value $ 616 $ 790
Debt (3) Underlying asset value 431 808
Principal Investments
(4)
ICBC ICBC ordinary share price 298 202
Other Equity (5) Underlying asset value 1,001 1,155
Debt (6) Underlying asset value 947 694
Real Estate (7) Underlying asset value 690 1,330
(1) In addition to the positions in these portfolios, which are accounted for at fair value, we make investments accounted for under the equity method and we also
make direct investments in real estate, both of which are included in “Other assets” in the consolidated statements of  nancial condition. Direct investments in
real estate are accounted for at cost less accumulated depreciation. See Note12 to the consolidated  nancial statements for information on “Other assets.”
(2) Relates to private and restricted public equity securities held within the FICC and Equities components of our Trading and Principal Investments segment.
(3) Primarily relates to acquired portfolios of distressed loans (primarily backed by commercial and residential real estate collateral), loans backed by commercial
real estate, and corporate debt held within the FICC component of our Trading and Principal Investments segment.
(4) Represents investments included within the Principal Investments component of our Trading and Principal Investments segment.
(5) Primarily relates to interests in our merchant banking funds that invest in corporate equities.
(6) Primarily relates to interests in our merchant banking funds that invest in corporate mezzanine debt instruments.
(7) Primarily relates to interests in our merchant banking funds that invest in real estate. Such funds typically employ leverage as part of the investment strategy.
This sensitivity measure is based on ourpercentage ownership of the underlying asset values in the funds and unfunded commitments to the funds.
The decrease in our 10% sensitivity measures as of
December2009 from November2008 for debt and equity
positions in the FICC and Equities components of our Trading
and Principal Investments segment was primarily due to decreases
in the fair value of the portfolios as well as due to dispositions.
The decrease in our 10% sensitivity measure for equity positions
in our Principal Investments component was primarily due to
dispositions. The increase in our 10% sensitivity measure for debt
positions in our Principal Investments component was primarily
due to new investment activity. The decrease in our 10% sensitivity
measure for real estate positions in our Principal Investments
component was primarily due to a decrease in the fair value of
theportfolio.
In addition to the positions included in VaR and the other
risk measures described above, as of December2009, we
held approximately $10.70billion of  nancial instruments in
our bank and insurance subsidiaries, primarily consisting of
$5.12billion of money market instruments, $1.25billion of
government and U.S. federal agency obligations, $2.78billion
of corporate debt securities and other debt obligations, and
$1.31billion of mortgage and other asset-backed loans and
securities. As of November2008, we held approximately
$10.39billion of  nancial instruments in our bank and
insurance subsidiaries, primarily consisting of $2.86billion
of money market instruments, $3.08billion of government
and U.S. federal agency obligations, $2.87billion of corporate
debt securities and other debt obligations, and $1.22billion
of mortgage and other asset-backed loans and securities.
In addition, as of December2009 and November2008, we
held commitments and loans under the William Street credit
extension program. See Note8 to the consolidated  nancial
statements for further information regarding our William Street
credit extension program.
Credit Risk
Credit risk represents the loss that we would incur if a
counterparty or an issuer of securities or other instruments we
hold fails toperform under its contractual obligations to us, or
upon a deterioration in the credit quality of third parties whose
securities or other instruments, including OTC derivatives, we
hold. Our exposure to credit risk principally arises through
our trading, investing and  nancing activities. To reduce our
Goldman Sachs 2009 Annual Report
72
Management’s Discussion and Analysis