Goldman Sachs Group (GS)

While our activities expose us to many different industries and counterparties, we routinely execute a high volume of transactions with counterparties in the financial services industry, including brokers and dealers, commercial banks and investment funds, resulting in significant credit concentration with respect to this industry. In the ordinary course of business, we may also be subject to a concentration of credit risk to a particular counterparty, borrower or issuer.

 

As of March 2009, November 2008 and December 2008, we held $103.37 billion (11% of total assets), $53.98 billion (6% of total assets) and $245.96 billion (22% of total assets), respectively, of U.S. government and federal agency obligations included in “Trading assets, at fair value” and “Cash and securities segregated for regulatory and other purposes” in the condensed consolidated statements of financial condition. As of March 2009, November 2008 and December 2008, we held $38.42 billion (4% of total assets), $21.13 billion (2% of total assets) and $32.00 billion (3% of total assets), respectively, of other sovereign obligations, principally consisting of securities issued by the governments of Japan and the United Kingdom. In addition, as of March 2009, November 2008 and December 2008, $110.63 billion, $126.27 billion and $131.75 billion of our securities purchased under agreements to resell and securities borrowed (including those in “Cash and securities segregated for regulatory and other purposes”), respectively, were collateralized by U.S. government and federal agency obligations. As of March 2009, November 2008 and December 2008, $77.99 billion, $65.37 billion and $71.07 billion of our securities purchased under agreements to resell and securities borrowed, respectively, were collateralized by other sovereign obligations, principally consisting of securities issued by the governments of Germany and Japan. As of March 2009, November 2008 and December 2008, we did not have credit exposure to any other counterparty that exceeded 2% of our total assets. However, over the past several years, the amount and duration of our credit exposures with respect to OTC derivatives has been increasing, due to, among other factors, the growth of our OTC derivative activities and market evolution toward longer-dated transactions. A further discussion of our derivative activities follows below.

 

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 financing activities.
To reduce our credit exposures, we seek to enter into netting
agreements with counterparties that permit us to offset
receivables and payables with such counterparties. In addition,
we attempt to further reduce credit risk with certain
counterparties by (i) entering into agreements that enable
us to obtain collateral from a counterparty on an upfront or
contingent basis, (ii) seeking
third-party
guarantees of the counterparty’s obligations,
and/or
(iii) transferring our credit risk to third parties using
credit derivatives
and/or other
structures and techniques.

 

To measure and manage our credit exposures, we use a variety of
tools, including credit limits referenced to both current
exposure and potential exposure. Potential exposure is an
estimate of exposure, within a specified confidence level, that
could be outstanding over the life of a transaction based on
market movements. In addition, as part of our market risk
management process, for positions measured by changes in credit
spreads, we use VaR and other sensitivity measures. To
supplement our primary credit exposure measures, we also use
scenario analyses, such as credit spread widening scenarios,
stress tests and other quantitative tools.

 

Our global credit management systems monitor credit exposure to
individual counterparties and on an aggregate basis to
counterparties and their affiliates. These systems also provide
management, including the Firmwide Risk and Credit Policy
Committees, with information regarding credit risk by product,
industry sector, country and region.

 

While our activities expose us to many different industries and
counterparties, we routinely execute a high volume of
transactions with counterparties in the financial services
industry, including brokers and dealers, commercial banks and
investment funds, resulting in significant credit concentration
with respect to this industry. In the ordinary course of
business, we may also be subject to a concentration of credit
risk to a particular counterparty, borrower or issuer.

 

As of November 2008 and November 2007, we held
$53.98 billion (6% of total assets) and $45.75 billion
(4% of total assets), respectively, of U.S. government and
federal agency obligations included in “Trading assets, at
fair value” and “Cash and securities segregated for
regulatory and other purposes” in the consolidated
statements of financial condition. As of November 2008 and
November 2007, we held $21.13 billion (2% of total
assets) and $31.65 billion (3% of total assets),
respectively, of other sovereign obligations, principally
consisting of securities issued by the governments of Japan and
the United Kingdom. In addition, as of November 2008 and
November 2007, $126.27 billion and
$144.92 billion of our securities purchased under
agreements to resell and securities borrowed (including those in
“Cash and securities segregated for regulatory and other
purposes”), respectively, were collateralized by
U.S. government and federal agency obligations. As of
November 2008 and November 2007, $65.37 billion
and $41.26 billion of our securities purchased under
agreements to resell and securities borrowed, respectively, were
collateralized by other sovereign obligations. As of
November 2008 and November 2007, we did not have
credit exposure to any other counterparty that exceeded 2% of
our total assets. However, over the past several years, the
amount and duration of our credit exposures with respect to OTC
derivatives has been increasing, due to, among other factors,
the growth of our OTC derivative activities and market evolution
toward longer-dated transactions. A further discussion of our
derivative activities follows below.

To measure and manage our credit exposures, we use a variety of tools, including credit limits referenced to both current exposure and potential exposure. Potential exposure is generally based on projected worst-case market movements over the life of a transaction. In addition, as part of our market risk management process, for positions measured by changes in credit spreads, we use VaR and other sensitivity measures. To supplement our primary credit exposure measures, we also use scenario analyses, such as credit spread widening scenarios, stress tests and other quantitative tools.

 

Our global credit management systems monitor credit exposure to individual counterparties and on an aggregate basis to counterparties and their affiliates. These systems also provide management, including the Firmwide Risk and Credit Policy Committees, with information regarding credit risk by product, industry sector, country and region.

 

While our activities expose us to many different industries and counterparties, we routinely execute a high volume of transactions with counterparties in the financial services industry, including brokers and dealers, commercial banks, investment funds and other institutional clients, resulting in significant credit concentration with respect to this industry. In the ordinary course of business, we may also be subject to a concentration of credit risk to a particular counterparty, borrower or issuer.

 

As of August 2008 and November 2007, we held $58.36 billion (5% of total assets) and $45.75 billion (4% of total assets), respectively, of U.S. government and federal agency obligations included in “Financial instruments owned, at fair value” and “Cash and securities segregated for regulatory and other purposes” in the condensed consolidated statements of financial condition. As of August 2008 and November 2007, we held $29.22 billion (3% of total assets) and $31.65 billion (3% of total assets), respectively, of other sovereign obligations, principally consisting of securities issued by the governments of Japan and the United Kingdom. In addition, as of August 2008 and November 2007, $163.65 billion and $144.92 billion of our financial instruments purchased under agreements to resell and securities borrowed (including those in “Cash and securities segregated for regulatory and other purposes”), respectively, were collateralized by U.S. government and federal agency obligations. As of August 2008 and November 2007, $54.73 billion and $41.26 billion of our financial instruments purchased under agreements to resell and securities borrowed, respectively, were collateralized by other sovereign obligations. As of August 2008 and November 2007, we did not have credit exposure to any other counterparty that exceeded 2% of our total assets. However, over the past several years, the amount and duration of our credit exposures have been increasing, due to, among other factors, the growth of our lending and OTC derivative activities and market evolution toward longer-dated transactions. A further discussion of our derivative activities follows below.

Our global credit management systems monitor credit exposure to individual counterparties and on an aggregate basis to counterparties and their affiliates. These systems also provide management, including the Firmwide Risk and Credit Policy Committees, with information regarding credit risk by product, industry sector, country and region.

 

While our activities expose us to many different industries and counterparties, we routinely execute a high volume of transactions with counterparties in the financial services industry, including brokers and dealers, commercial banks, investment funds and other institutional clients, resulting in significant credit concentration with respect to this industry. In the ordinary course of business, we may also be subject to a concentration of credit risk to a particular counterparty, borrower or issuer.

 

As of May 2008 and November 2007, we held $39.06 billion (4% of total assets) and $45.75 billion (4% of total assets), respectively, of U.S. government and federal agency obligations (including securities guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation) included in “Financial instruments owned, at fair value” and “Cash and securities segregated for regulatory and other purposes” in the condensed consolidated statements of financial condition. As of May 2008 and November 2007, we held $27.78 billion (3% of total assets) and $31.65 billion (3% of total assets), respectively, of other sovereign obligations, principally consisting of securities issued by the governments of Japan and the United Kingdom. In addition, as of May 2008 and November 2007, $127.29 billion and $144.92 billion of our financial instruments purchased under agreements to resell and securities borrowed (including those in “Cash and securities segregated for regulatory and other purposes”), respectively, were collateralized by U.S. government and federal agency obligations. As of May 2008 and November 2007, $47.26 billion and $41.26 billion of our financial instruments purchased under agreements to resell and securities borrowed, respectively, were collateralized by other sovereign obligations. As of May 2008 and November 2007, we did not have credit exposure to any other counterparty that exceeded 2% of our total assets. However, over the past several years, the amount and duration of our credit exposures have been increasing, due to, among other factors, the growth of our lending and OTC derivative activities and market evolution toward longer dated transactions. A further discussion of our derivative activities follows below.

Our global credit management systems monitor credit exposure to individual counterparties and on an aggregate basis to counterparties and their affiliates. These systems also provide management, including the Firmwide Risk and Credit Policy Committees, with information regarding credit risk by product, industry sector, country and region.

 

While our activities expose us to many different industries and counterparties, we routinely execute a high volume of transactions with counterparties in the financial services industry, including brokers and dealers, commercial banks, investment funds and other institutional clients, resulting in significant credit concentration with respect to this industry. In the ordinary course of business, we may also be subject to a concentration of credit risk to a particular counterparty, borrower or issuer.

 

As of February 2008 and November 2007, we held $63.96 billion (5% of total assets) and $45.75 billion (4% of total assets), respectively, of U.S. government and federal agency obligations (including securities guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation) included in “Financial instruments owned, at fair value” and “Cash and securities segregated for regulatory and other purposes” in the condensed consolidated statements of financial condition. As of February 2008 and November 2007, we held $34.81 billion (3% of total assets) and $31.65 billion (3% of total assets), respectively, of other sovereign obligations, principally consisting of securities issued by the governments of Japan and the United Kingdom. In addition, as of February 2008 and November 2007, $146.62 billion and $144.92 billion of our financial instruments purchased under agreements to resell and securities borrowed, respectively, were collateralized by U.S. government and federal agency obligations. As of February 2008 and November 2007, $47.45 billion and $41.26 billion of our financial instruments purchased under agreements to resell and securities borrowed, respectively, were collateralized by other sovereign obligations. As of February 2008 and November 2007, we did not have credit exposure to any other counterparty that exceeded 2% of our total assets. However, over the past several years, the amount and duration of our credit exposures have been increasing, due to, among other factors, the growth of our lending and OTC derivative activities and market evolution toward longer dated transactions. A further discussion of our derivative activities follows below.

and other sensitivity measures. To supplement our primary credit exposure measures, we also use scenario analyses, such as credit spread widening scenarios, stress tests and other quantitative tools.

 

Our global credit management systems monitor credit exposure to individual counterparties and on an aggregate basis to counterparties and their affiliates. These systems also provide management, including the Firmwide Risk and Credit Policy Committees, with information regarding credit risk by product, industry sector, country and region.

 

While our activities expose us to many different industries and counterparties, we routinely execute a high volume of transactions with counterparties in the financial services industry, including brokers and dealers, commercial banks, investment funds and other institutional clients, resulting in significant credit concentration with respect to this industry. In the ordinary course of business, we may also be subject to a concentration of credit risk to a particular counterparty, borrower or issuer.

 

As of November 2007 and November 2006, we held $45.75 billion (4% of total assets) and $46.20 billion (6% of total assets), respectively, of U.S. government and federal agency obligations (including securities guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation) included in “Financial instruments owned, at fair value” and “Cash and securities segregated for regulatory and other purposes” in the consolidated statements of financial condition. As of November 2007 and November 2006, we held $31.65 billion (3% of total assets) and $23.64 billion (3% of total assets), respectively, of other sovereign obligations, principally consisting of securities issued by the governments of Japan and the United Kingdom. In addition, as of November 2007 and November 2006, $144.92 billion and $104.76 billion of our financial instruments purchased under agreements to resell and securities borrowed, respectively, were collateralized by U.S. government and federal agency obligations. As of November 2007 and 2006, $41.26 billion and $38.22 billion of our financial instruments purchased under agreements to resell and securities borrowed, respectively, were collateralized by other sovereign obligations. As of November 2007 and November 2006, we did not have credit exposure to any other counterparty that exceeded 2% of our total assets. However, over the past several years, the amount and duration of our credit exposures have been increasing, due to, among other factors, the growth of our lending and OTC derivative activities and market evolution toward longer dated transactions. A further discussion of our derivative activities follows below.

 

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 financing activities.
To reduce our credit exposures, we seek to enter into netting
agreements with counterparties that permit us to offset
receivables and payables with such counterparties. In addition,
we attempt to further reduce credit risk with certain
counterparties by (i) entering into agreements that enable
us to obtain collateral from a counterparty on an upfront or
contingent basis, (ii) seeking
third-party
guarantees of the counterparty’s obligations, and/or
(iii) transferring our credit risk to third parties using
credit derivatives and/or other structures and techniques.

 

To measure and manage our credit exposures, we use a variety of
tools, including credit limits referenced to both current
exposure and potential exposure. Potential exposure is generally
based on projected worst-case market movements over the life of
a transaction. In addition, as part of our market risk
management process, for positions measured by changes in credit
spreads, we use VaR

and other sensitivity measures. To supplement our primary credit
exposure measures, we also use scenario analyses, such as credit
spread widening scenarios, stress tests and other quantitative
tools.

 

Our global credit management systems monitor credit exposure to
individual counterparties and on an aggregate basis to
counterparties and their affiliates. These systems also provide
management, including the Firmwide Risk and Credit Policy
Committees, with information regarding credit risk by product,
industry sector, country and region.

 

While our activities expose us to many different industries and
counterparties, we routinely execute a high volume of
transactions with counterparties in the financial services
industry, including brokers and dealers, commercial banks,
investment funds and other institutional clients, resulting in
significant credit concentration with respect to this industry.
In the ordinary course of business, we may also be subject to a
concentration of credit risk to a particular counterparty,
borrower or issuer.

 

As of November 2007 and November 2006, we held
$45.75 billion (4% of total assets) and $46.20 billion
(6% of total assets), respectively, of U.S. government and
federal agency obligations (including securities guaranteed by
the Federal National Mortgage Association and the Federal Home
Loan Mortgage Corporation) included in “Financial
instruments owned, at fair value” and “Cash and
securities segregated for regulatory and other purposes” in
the consolidated statements of financial condition. As of
November 2007 and November 2006, we held $31.65 billion (3%
of total assets) and $23.64 billion (3% of total assets),
respectively, of other sovereign obligations, principally
consisting of securities issued by the governments of Japan and
the United Kingdom. In addition, as of November 2007 and
November 2006, $144.92 billion and $104.76 billion of
our financial instruments purchased under agreements to resell
and securities borrowed, respectively, were collateralized by
U.S. government and federal agency obligations. As of November
2007 and 2006, $41.26 billion and $38.22 billion of
our financial instruments purchased under agreements to resell
and securities borrowed, respectively, were collateralized by
other sovereign obligations. As of November 2007 and November
2006, we did not have credit exposure to any other counterparty
that exceeded 2% of our total assets. However, over the past
several years, the amount and duration of our credit exposures
have been increasing, due to, among other factors, the growth of
our lending and OTC derivative activities and market evolution
toward longer dated transactions. A further discussion of our
derivative activities follows below.