Goldman Sachs 2012 Annual Report Download - page 101

Management’s Discussion and Analysis
Selected Country Exposures
During 2011 and throughout 2012, there have been
concerns about European sovereign debt risk and its impact
on the European banking system and a number of
European member states have been experiencing significant
credit deterioration. The most pronounced market concerns
relate to Greece, Ireland, Italy, Portugal and Spain. The
tables below present our credit exposure (both gross and
net of hedges) to all sovereigns, financial institutions and
corporate counterparties or borrowers in these countries.
Credit exposure represents the potential for loss due to the
default or deterioration in credit quality of a counterparty
or borrower. In addition, the tables include the market
exposure of our long and short inventory for which the
issuer or underlier is located in these countries. Market
exposure represents the potential for loss in value of our
inventory due to changes in market prices. There is no
overlap between the credit and market exposures in the
tables below.
The country of risk is determined by the location of the
counterparty, issuer or underlier’s assets, where they
generate revenue, the country in which they are
headquartered, and/or the government whose policies affect
their ability to repay their obligations.
As of December 2012
Credit Exposure Market Exposure
in millions Loans
OTC
Derivatives Other
Gross
Funded Hedges
Total Net
Funded
Credit
Exposure
Unfunded
Credit
Exposure
Total
Credit
Exposure Debt
Equities
and
Other
Credit
Derivatives
Total
Market
Exposure
Greece
Sovereign $— $—$—$—$ —$— $— $—$30 $— $ —$ 30
Non-Sovereign — 5 1 6 — 6 — 6 65 15 (5) 75
Total Greece — 5 1 6 — 6 — 6 95 15 (5) 105
Ireland
Sovereign — 1 103 104 — 104 — 104 8 — (150) (142)
Non-Sovereign — 126 36 162 — 162 — 162 801 74 155 1,030
Total Ireland — 127 139 266 — 266 — 266 809 74 5 888
Italy
Sovereign — 1,756 1 1,757 (1,714) 43 — 43 (415) — (603) (1,018)
Non-Sovereign 43 560 129 732 (33) 699 587 1,286 434 65 (996) (497)
Total Italy 43 2,316 130 2,489 (1,747) 742 587 1,329 19 65 (1,599) (1,515)
Portugal
Sovereign — 141 61 202 — 202 — 202 155 — (226) (71)
Non-Sovereign — 44 2 46 — 46 — 46 168 (6) (133) 29
Total Portugal — 185 63 248 — 248 — 248 323 (6) (359) (42)
Spain
Sovereign — 75 — 75 — 75 — 75 986 — (268) 718
Non-Sovereign 1,048 259 23 1,330 (95) 1,235 733 1,968 1,268 83 (186) 1,165
Total Spain 1,048 334 23 1,405 (95) 1,310 733 2,043 2,254 83 (454) 1,883
Subtotal $1,091 1$2,967 2$356 $4,414 $(1,842) 3$2,572 $1,320 $3,892 $3,500 $231 $(2,412) 3$ 1,319
1. Principally consists of collateralized loans.
2. Includes the benefit of $6.6 billion of cash and U.S. Treasury securities collateral and excludes non-U.S. government and agency obligations and corporate securities
collateral of $357 million.
3. Includes written and purchased credit derivative notionals reduced by the fair values of such credit derivatives.
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