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SULLIVAN & CROMWELL LLP
TELEPHONE: 1-212-558-4000
FACSIMILE: 1-212- 558-3 5 88
125 f?lJ~ 6T~
WWW . SULLCROM.COM
Yew o/~J JV7YI0004 -24.98
LOS ANGELES. PALO ALTO. WASHINGTON, D.C .
FRANKFURT· LONDON. PAR IS
BEIJ I NG. HONG KONG. TOKYO
MELBOURNE· SYDNEY
FOIA CONFIDENTIAL TREATMENT REQUESTED
BY THE GOLDMAN SACHS GROUP, INC.
July 14,2010
Via Federal Express
Christopher Seefer, Esq.,
Assistant Director and Deputy General Counsel,
Financial Crisis Inquiry Commission,
1717 Pennsylvania Avenue, N.W.,
Washington, D.C. 20006-4614.
Re: FCIC Requests for Documents and Information
Dear Mr. Seefer:
On behalf of The Goldman Sachs Group, Inc. ("GS Group"), I write with
respect to requests made by the Commission during the hearings dated June 30 and July
1,2010.'
In response to the Commission's request for the identities of the
counterparties from which GS Group's affiliates purchased CDS protection on AIG and
the amounts of protection purchased from each counterparty, I have enclosed a CD-ROM
(bearing production number GS MBS 0000038855) that contains a spreadsheet with two
tabs. The "Counterparty" tab shows (i) the notional amounts of purchases and sales of
CDS protection on AIG in effect for each external counterparty on September 15, 2008
and (ii) the net notional amounts of CDS protection on AI G in effect for each external
counterparty on September 15, 2008. The "Summary" tab shows (i) a summary of the
notional amounts of purchases and sales of CDS protection on AIG in effect for internal
and external counterparties on September 15, 2008 and (ii) a summary of the portion of
The statements in this letter are based upon information, including documents,
supplied by GS Group.
-2-
Mr. Christopher Seefer, Esq.
non-CDS protection purchased on indexes and other credit products that can be attributed
to AIG default risk and related off-setting bond exposure. The numbers in the
"Summary" tab are broken down by trading group.
We would welcome the opportunity to walk you through the enclosed
information and answer any of your questions.
We wish to stress that this spreadsheet did not previously exist in this form
at GS Group. GS Group used various technology and manual resources to generate this
spreadsheet for production to you in response to this request. While GS Group believes
that the spreadsheet is reasonably accurate, GS Group cannot make an absolute
representation that it is complete or that there were not some inadvertent errors in its
preparation, especially given the expedited timeframe within which it was generated and
produced to you. We also wish to stress that the information used to generate this
spreadsheet was maintained and used for limited, internal firm purposes, and not pursuant
to or for purposes of regulatory or other reporting requirements, or for use by third
parties.
Please note the materials identified above are being produced to you using
the TrueCrypt encryption software. The software necessary to view these materials is
provided along with this production. We will provide the passwords for the enclosed
materials in a separate letter.
*
*
*
Pursuant to Section 5 of the Fraud Enforcement and Recovery Act of
2009, Pub. L. No. 111 -21, 123 Stat. 161 7, I hereby request on behalf of GS Group that
this letter and the material to which it refers be maintained in a secure manner and not be
disclosed to the public, including in response to any request under the Freedom of
Information Act, 5 U.S .C. § 55 2. If you wish to release any of these documents publicly,
GS Group respectfully requests reasonable advance notice of your intent to do so and the
opportunity to object to, or to seek to limit, such a release.
Richard H. Klapper
(Enclosure)
cc:
Janet A. Broeckel, Esq.
(Goldman, Sachs & Co.)
CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN SACHS
AIG External CDS Notional by Counterparty as-of 9/15/08
Counterparty
CITIBANK, N.A.
CREDIT SUISSE INTERNATIONAL
MORGAN STANLEY CAPITAL SERVICES INC.
JPMORGAN CHASE BANK N.A.-LONDON BRANCH
LEHMAN BROTHERS SPECIAL FINANCING, INC
SWISS RE FINANCIAL PRODUCTS CORPORATION
PIMCO FUNDS-TOTAL RETURN FUND
DEUTSCHE BANK AG-LONDON BRANCH
KBC FINANCIAL PRODUCTS (CAYMAN ISLANDS) LTD.
ROYAL BANK OF CANADA-LONDON BRANCH
PIMCO FUNDS-LOW DURATION FUND
SOCIETE GENERALE
WACHOVIA BANK, NATIONAL ASSOCIATION
NATIXIS FINANCIAL PRODUCTS INC.
MERRILL LYNCH INTERNATIONAL
NATIXIS
BANK OF NOVA SCOTIA (THE)
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK
BNP PARIBAS
DRESDNER BANK AG-LONDON BRANCH
ALPHADYNE INTERNATIONAL MASTER FUND, LTD.
BANK OF AMERICA, NATIONAL ASSOCIATION
MBIA INC.
BANK OF MONTREAL-LONDON BRANCH
COMMERZBANK AKTIENGESELLSCHAFT
LYXOR STARWAY SPC-LYXOR STARWAY ALPHADYNE SEGREGATED PFLO
UNICREDIT BANK AG
GOVERNMENT OF SINGAPORE INVESTMENT CORPORATION PTE LTD
BANCO FINANTIA SA
BANK OF MONTREAL-CHICAGO BRANCH
WICKER PARK CDO I, LTD.
BLUECORR FUND, LLC
SUTTONBROOK CAPITAL PORTFOLIO LP
CITIBANK, N.A.-LONDON BRANCH
BLUEMOUNTAIN TIMBERLINE LTD.
PIMCO GLOBAL CREDIT OPPORTUNITY MASTER FUND LDC (PIMCO 4810)
AQR ABSOLUTE RETURN MASTER ACCOUNT L.P.
MOORE MACRO FUND, L.P.
NORGES BANK
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
FORTIS BANK
PIMCO COMBINED ALPHA STRATEGIES MASTER FUND LDC (PIMCO 4863)
WESTLB AG-LONDON BRANCH
AQR GLOBAL ASSET ALLOCATION MASTER ACCOUNT, L.P.
CITADEL EQUITY FUND LTD.
ALLIANZ GLOBAL INVESTORS KAG-ALLIANZ PIMCOMOBIL-FONDS-520004
BARCLAYS BANK PLC
PIMCO COMBINED ALPHA STRATEGIES MASTER FUND LDC (PIMCO 4866)
ARROWGRASS MASTER FUND LTD
MIZUHO INTERNATIONAL PLC
RABOBANK INTERNATIONAL-LONDON BRANCH
STANDARD CHARTERED BANK-SINGAPORE BRANCH
Buy
702,800,000
632,080,000
808,000,000
413,940,000
713,261,082
168,000,000
135,000,000
1,656,846,700
143,050,000
108,000,000
70,200,000
117,050,000
122,214,000
76,345,000
758,400,000
65,580,000
43,900,000
82,300,000
31,500,000
84,100,000
48,757,000
269,200,000
25,000,000
25,000,000
25,000,000
47,743,000
20,000,000
20,000,000
20,000,000
18,000,000
17,500,000
34,000,000
15,000,000
12,500,000
24,900,000
12,000,000
11,750,000
10,000,000
10,000,000
547,997,000
8,000,000
8,000,000
8,000,000
7,750,000
7,400,000
7,000,000
790,000,000
6,000,000
15,500,000
5,400,000
5,000,000
5,000,000
Sell
(300,554,000)
(322,350,000)
(565,500,000)
(197,900,000)
(538,481,000)
(35,900,000)
(15,000,000)
(1,569,600,000)
(58,400,000)
(32,000,000)
(54,770,000)
(62,000,000)
(20,000,000)
(716,965,000)
(28,515,600)
(7,735,000)
(47,500,000)
(54,990,000)
(20,986,000)
(244,130,000)
(25,014,000)
(18,400,000)
(12,900,000)
(538,751,000)
(783,910,000)
(10,000,000)
Net
402,246,000
309,730,000
242,500,000
216,040,000
174,780,082
132,100,000
120,000,000
87,246,700
84,650,000
76,000,000
70,200,000
62,280,000
60,214,000
56,345,000
41,435,000
37,064,400
36,165,000
34,800,000
31,500,000
29,110,000
27,771,000
25,070,000
25,000,000
25,000,000
25,000,000
22,729,000
20,000,000
20,000,000
20,000,000
18,000,000
17,500,000
15,600,000
15,000,000
12,500,000
12,000,000
12,000,000
11,750,000
10,000,000
10,000,000
9,246,000
8,000,000
8,000,000
8,000,000
7,750,000
7,400,000
7,000,000
6,090,000
6,000,000
5,500,000
5,400,000
5,000,000
5,000,000
MILLENNIUM PARK CDO I, LTD.
III RELATIVE VALUE CREDIT STRATEGIES HUB FUND LTD.
INTERNATIONALE KAG MBH-INKA B
GOLDENTREE MASTER FUND, LTD.
NATIONAL BANK OF CANADA
LOOMIS SAYLES MULTI-STRATEGY MASTER ALPHA, LTD.
PIMCO VARIABLE INSURANCE TRUST-LOW DURATION BOND PORTFOLIO
TIDEN DESTINY MASTER FUND LIMITED
STICHTING PENSIOENFONDS OCE
INTESA SANPAOLO SPA
PIMCO GLOBAL CREDIT OPPORTUNITY MASTER FUND LDC (PIMCO 4807)
DCI UMBRELLA FUND PLC-DIVERSIFED CRED INVESTMENTS FD THREE
HALBIS DISTRESSED OPPORTUNITIES MASTER FUND LTD.
UBS FUNDS (THE)-UBS DYNAMIC ALPHA FUND
GOLDENTREE MASTER FUND II, LTD.
RP RENDITE PLUS-MULTI STRATEGIE INVESTMENT GRADE (MSIG)
CAIRN CAPITAL STRUCTURED CREDIT MASTER FUND LIMITED
ALLIANZ GLOBAL INV KAG MBH-DBI PIMCO GLBL CORP BD FDS-551416
PIMCO FUNDS: PACIFIC INVESTMENT MNGMT SER-FLOATING INCOME FD
UBS DYNAMIC ALPHA STRATEGIES MASTER FUND LTD.
ALLIANZ GLOBAL INVESTORS KAG MBH-DIT FDS VICTORIA DFS 558513
PIMCO FUNDS: GLOBAL INVESTORS SERIES PLC-LOW AVE DURATION FD
INTERNATIONALE KAPITALANLAGEGESELLSCHFT MBH-PKMF INKA-556490
BFT VOL 2
PIMCO FUNDS-LOW DURATION FUND II
GOLDENTREE CREDIT OPPORTUNITIES MASTER FUND, LTD.
EMBARQ SAVINGS PLAN MASTER TRUST
RUSSELL INVESTMENT COMPANY-RUSSELL SHORT DURATION BOND FUND
PIMCO FUNDS-LOW DURATION FUND III
EQUITY TRUSTEES LIMITED-PIMCO AUSTRALIAN BOND FUND
PUBLIC EDUCATION EMPLOYEE RETIREMENT SYSTEM OF MISSOURI
PIMCO BERMUDA TRUST II-PIMCO JGB FLOATER FOREIGN STRATEGY FD
D.B. ZWIRN SPECIAL OPPORTUNITIES FUND, LTD.
PIMCO BERMUDA TRUST II-PIMCO BERMUDA JGB FLOATER US STRA FD
FRANK RUSSELL INVESTMENT COMPANY-FIXED INCOME II FUND
D.B. ZWIRN SPECIAL OPPORTUNITIES FUND, LLC
SEI INSTITUTIONAL INVESTMENTS TRUST-ENHANCED LIBOR OPP FUND
WMP LIBOR PLUS TRADING LIMITED
WELLINGTON TRUST CO, MULT CTF TR-LIBOR PLUS HIGH QUALITY PTF
CITIGROUP GLOBAL MARKETS LIMITED
SEI INSTITUTIONAL MANAGED TRUST-ENHANCED INCOME FUND
WELLINGTON TRUST COMPANY, NA MULT CIF TR II-US EQ IDX PLS I
SEI DAILY INCOME TRUST-ULTRA SHORT BOND FUND
BAUPOST VALUE PARTNERS, L.P.-III
PENSION BENEFIT GUARANTY CORP (WELLNGTN 6334 PG01 GL BL PTF)
YB INSTITUTIONAL LIMITED PARTNERSHIP
OIL INVESTMENT CORPORATION LTD.
PIMCO CAYMAN TRUST-PIMCO CAYMAN GL AG EX-JPN BD (PIMCO 2763)
INTEL CORPORATION PROFIT SHARING RETIREMENT PLAN
GPC LXIV, LLC
IBM PERSONAL PENSION PLAN TRUST (PIMCO 2642)
BANCO SANTANDER, S.A.
PB INSTITUTIONAL LIMITED PARTNERSHIP
STRUCTURED INVT HOLDINGS IV SPC-TREESDALE CORP CREDIT A SEG
PIMCO FUNDS-LONG TERM US GOVERNMENT
ASHLAND INC. EMPLOYEE SAVINGS PLAN TRUST
PIMCO BERMUDA TR II-PIMCO BERMUDA GLOB AGGR EX-JAP BD FD (M)
BAUPOST VALUE PARTNERS, L.P.-I
5,000,000
5,000,000
4,500,000
4,480,000
5,000,000
3,250,000
2,700,000
2,500,000
2,450,000
2,000,000
2,000,000
2,000,000
2,000,000
1,250,000
1,180,000
1,100,000
1,000,000
1,000,000
800,000
750,000
600,000
600,000
550,000
500,000
500,000
340,000
300,000
300,000
300,000
300,000
200,000
200,000
29,047,250
100,000
100,000
7,777,750
63,500,000
(2,000,000)
(250,000)
(28,945,750)
(7,949,250)
(500,000)
(570,000)
(655,000)
(700,000)
(710,000)
(800,000)
(1,360,000)
(1,385,000)
(1,700,000)
(1,765,000)
(1,905,000)
(2,000,000)
(2,000,000)
(2,094,000)
(2,100,000)
(66,000,000)
(2,520,000)
(2,760,000)
(2,900,000)
(3,000,000)
(3,000,000)
(3,010,000)
5,000,000
5,000,000
4,500,000
4,480,000
3,000,000
3,000,000
2,700,000
2,500,000
2,450,000
2,000,000
2,000,000
2,000,000
2,000,000
1,250,000
1,180,000
1,100,000
1,000,000
1,000,000
800,000
750,000
600,000
600,000
550,000
500,000
500,000
340,000
300,000
300,000
300,000
300,000
200,000
200,000
101,500
100,000
100,000
(171,500)
(500,000)
(570,000)
(655,000)
(700,000)
(710,000)
(800,000)
(1,360,000)
(1,385,000)
(1,700,000)
(1,765,000)
(1,905,000)
(2,000,000)
(2,000,000)
(2,094,000)
(2,100,000)
(2,500,000)
(2,520,000)
(2,760,000)
(2,900,000)
(3,000,000)
(3,000,000)
(3,010,000)
STAPLE STREET AVIATION (MASTER), L.P.
STICHTING PENSIOENFONDS UWV
RAVEN CREDIT OPPORTUNITIES MASTER FUND, LTD.
PIMCO FUNDS-PRIVATE ACCOUNT PORTFOLIO SERIES:INV GRADE CORP
LEHMAN BROTHERS INTERNATIONAL (EUROPE)
GREYWOLF STRUCTURED PRODUCTS MASTER FUND, LTD.
DEPFA BANK PUBLIC LIMITED COMPANY
AUTONOMY MASTER FUND LIMITED
SPV UNO, LLC
NORDEA BANK FINLAND PLC
HB INSTITUTIONAL LIMITED PARTNERSHIP
CLAREN ROAD CREDIT OPPORTUNITIES MASTER FUND, LTD.
LISPENARD STREET CREDIT (MASTER), LTD.
CQS CAPITAL STRUCTURE ARBITRAGE MASTER FUND LIMITED
DBS BANK LTD.
STICHTING SHELL PENSIOENFONDS
ZUERCHER KANTONALBANK
TEMPO MASTER FUND L.P.
UNICREDIT BANK AUSTRIA AG
OCH-ZIFF CAPITAL STRUCTURE ARBITRAGE MASTER FUND, LTD
THE ROYAL BANK OF SCOTLAND PUBLIC LIMITED COMPANY
BLUECREST MULTI STRATEGY CREDIT MASTER FUND LIMITED
PRESIDENT AND FELLOWS OF HARVARD COLLEGE
BLUE MOUNTAIN CREDIT ALTERNATIVES MASTER FUND L.P.
DZ BANK AG DEUTSCHE ZENTRAL-GENOSSENSCHAFTSBANK
FRONTPOINT RELATIVE VALUE OPPORTUNITIES FUND, L.P.
NOMURA INTERNATIONAL PLC
WESTPAC BANKING CORPORATION
ROYAL BANK OF CANADA
BNP PARIBAS-LONDON BRANCH
SOCIETE GENERALE-NEW YORK BRANCH
BANCA IMI S.P.A.
BANK OF TOKYO-MITSUBISHI UFJ, LTD.-NEW YORK BRANCH
CLAREN ROAD CREDIT MASTER FUND, LTD.
THE ROYAL BANK OF SCOTLAND N.V.-LONDON BRANCH
OZ MASTER FUND LTD.
UBS AG-LONDON BRANCH
HSBC BANK USA, NATIONAL ASSOCIATION
Total
3,000,000
5,000,000
182,230,000
6,300,000
566,100,000
5,000,000
212,600,000
55,000,000
13,000,000
543,639,000
183,500,000
10,950,507,782
(3,500,000)
(3,500,000)
(3,600,000)
(3,600,000)
(5,000,000)
(5,000,000)
(5,000,000)
(5,000,000)
(5,000,000)
(5,000,000)
(5,000,000)
(5,000,000)
(5,000,000)
(5,000,000)
(5,000,000)
(5,000,000)
(5,000,000)
(5,000,000)
(8,000,000)
(5,000,000)
(5,325,000)
(5,325,000)
(6,000,000)
(6,000,000)
(6,500,000)
(6,500,000)
(7,000,000)
(7,000,000)
(12,500,000)
(7,500,000)
(7,500,000)
(7,500,000)
(10,000,000)
(10,000,000)
(10,000,000)
(10,000,000)
(10,000,000)
(10,000,000)
(10,000,000)
(10,000,000)
(193,800,000)
(11,570,000)
(20,200,000)
(13,900,000)
(15,000,000)
(15,000,000)
(581,300,000)
(15,200,000)
(20,000,000)
(20,000,000)
(22,840,000)
(22,840,000)
(30,000,000)
(25,000,000)
(40,000,000)
(40,000,000)
(43,000,000)
(43,000,000)
(257,425,000)
(44,825,000)
(50,000,000)
(50,000,000)
(50,000,000)
(50,000,000)
(50,000,000)
(50,000,000)
(59,146,000)
(59,146,000)
(124,500,000)
(69,500,000)
(115,000,000) (102,000,000)
(657,300,000) (113,661,000)
(350,100,000) (166,600,000)
(9,239,366,600) 1,711,141,182
CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN SACHS
AIG CDS / Other Notional as of 9/15/08
Group
CVA
IG Flow
Structured Credit
Other
Grand Total
External
External Total
Buy
Sell
69,000,000
(41,000,000)
28,000,000
8,810,937,782 (7,183,081,600) 1,627,856,182
544,750,000
(483,165,000)
61,585,000
1,525,820,000 (1,532,120,000)
(6,300,000)
10,950,507,782 (9,239,366,600) 1,711,141,182
Internal
Buy
4,119,800,000
2,856,545,667
1,390,482,000
210,500,000
8,577,327,667
Internal Total
Sell
(1,220,000,000) 2,899,800,000
(4,887,841,000) (2,031,295,333)
(2,275,286,667)
(884,804,667)
(194,200,000)
16,300,000
(8,577,327,667)
0
Non-CDS* AIG Risk
Buy
Sell
Non-CDS* AIG
Risk Total
748,227,576
(85,000,000)
663,227,576
748,227,576
(85,000,000)
663,227,576
Non-CDS risk comments
London Correlation tranche/index exposure
New York Correlation tranche / index exposure
New York Index index exposure
PFI ILFC bond exposure
558,526,816
14,886,484
174,814,276
(85,000,000)
663,227,576
* Non-CDS risk (for Correlation and Index products) is based on approximate notional
values derived using Recovery in Default and JTD risk
Grand Total
2,927,800,000
(403,439,151)
(159,992,091)
10,000,000
2,374,368,758
From: Michaels, Susan [Fin] [
Sent: Thursday, July 15, 2010 11:59 AM
To: Chris Seefer
Cc: Smith, Sarah [Fin]; Lee, Brian-J (FI Controllers) [Fin]; Simpson, Michael [Fin]; Fredman, Sheara
[Fin]; Broeckel, Janet [Legal]
Subject: Response to FCIC Hearing requests
Chris,
The attached file has the additional information concerning the collateral posted and settlement amounts paid to
Goldman Sachs’ counterparties on the swaps that were written back-to-back against credit default swaps with
AIG Financial Products that were part of the Maiden Lane III transaction. Please let us know if you would like
someone to walk you through the spreadsheet and answer any of your questions.
Please note the following:
The Goldman Sachs Group, Inc. (“GS Group”) used various technology and manual resources to generate some of
the documents for production to you in response to your requests. While GS Group believes that these
documents are reasonably accurate, we cannot make an absolute representation that it is complete or that there
are not some inadvertent errors in the preparation of the spreadsheet. We will provide further updates or
corrections if we discover missing information or errors.
Additionally, pursuant to Section 5 of the Fraud Enforcement and Recovery Act of 2009, Pub. L. No. 111-21, 123
Stat. 1617, we hereby request on behalf of GS Group that this letter and the material to which it refers be
maintained in a secure manner and not be disclosed to the public, including in response to any request under
the Freedom of Information Act, 5 U.S.C. § 552. If you wish to release any of these documents publicly, GS
Group respectfully requests reasonable advance notice of your intent to do so and the opportunity to object to,
or to seek to limit, such a release.
Please confirm receipt.
Regards,
Sue
This message may contain information that is confidential or proprietary. If you are not the intended recipient, please advise the sender
immediately and delete this message and any attachments. Follow this link for further information on confidentiality and the risks
inherent in electronic communication: http://www.gs.com/disclaimer/email/
CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN SACHS
MAIDEN LANE III LLC
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Cusip
02149WAA5
112021AA8
112021AB6
112021AC4
216444AA7
264403AJ5
264403AK2
26545QAA7
26545QAQ2
34958CAA2
37638VAA1
37638VAG8
446279AA9
446279AC5
46426RAA7
46426RAB5
48206AAA6
48206AAG3
498588AA0
498588AC6
52902TAC0
52902TAE6
55311TAA2
58936RAA5
58936RAB3
68571UAA7
68619MAJ0
68619MAL5
68619MAQ4
76112CAA6
76112CAB4
768277AA3
80410RAA4
82437XAA6
83743LAA9
83743LAC5
83743YAB9
83743YAS2
896008AB5
896008AB5
896008AC3
952186AA2
952186AB0
952186AB0
442451AA8
Product Description
ALTS 052A A1
BROD 051A A1V
BROD 051A A1NA
BROD 051A A1NB
COOL A1 144A
DUKE7 041 1A2
DUKE 041A 1A2V
DUNHL 041A A1VA
DUNHL 041A A1NV
FORTIUS I A1 144A
GLCR 042A A1V
GLCR 042A A1NV
HUNTN 051A A1A
HUNTN 051A A1B
ICM 052A A1A
ICM 052A A1B
JPTR 053A A1VA
JPTR 053A A1NV
KLROS 061A A1V
KLROS 061A A1NV
LEXN 051A A1AN
LEXN 051A A1B
MKP 3A A1
MRCY 041A A1VA
MRCY 041A A1VA
ORCHD 052A A1
ORPT 051A A1V
ORPT 051A A1VF
ORPT 051A A1VB
RESF 041A A1V
RESF 041A AINV
RIVER 051A A1
SATV 051A A1
SHERW 052A A1
SCF 8A A1AV
SCF 8A A1NV
SCF 7AA 1B
SCF 7AA 1A
TRIAX 062A A1B1
TRIAX 062A A1B1
TRIAX 062A A1B2
WCOAST A1A 144A
WCOAST A1B 144A
WCOAST A1B 144A
HOUT BAY
Trade Date
11/21/2008
11/24/2008
11/21/2008
11/21/2008
11/24/2008
11/21/2008
11/24/2008
11/24/2008
11/21/2008
11/21/2008
11/24/2008
11/21/2008
11/21/2008
11/24/2008
11/21/2008
11/21/2008
11/24/2008
11/21/2008
11/24/2008
11/21/2008
11/21/2008
11/24/2008
11/21/2008
11/24/2008
11/21/2008
11/21/2008
11/24/2008
11/21/2008
11/21/2008
11/24/2008
11/21/2008
11/21/2008
11/21/2008
11/21/2008
11/24/2008
11/21/2008
11/24/2008
11/21/2008
12/17/2008
11/21/2008
11/21/2008
11/21/2008
12/17/2008
11/24/2008
12/21/2008
TOTAL
PYMT from ML3
491,285,394
236,020
116,616,781
159,546,228
75,092,199
51,292,364
78,514
116,286
66,359,135
103,048,148
44,024
81,320,748
168,077,315
218,726
46,483,780
10,873,399
226,832
369,371,511
227,493
341,855,112
33,634,863
169,871
6,647,722
53,661
85,161,973
19,911,850
247,024
180,638,861
181,336,578
78,111
121,456,544
47,546,568
45,066,197
68,070,564
192,111
62,476,848
142,942
120,810,907
355,790,653
209,333,308
859,318,483
383,793,306
97,971,363
289,904,893
300,486,409
5,552,611,619
Payment to
Funding CP
398,067,840
83,655,654
114,451,316
55,202,028
27,479,787
53,251,504
68,446,445
74,363,011
131,568,546
27,869,810
6,519,254
253,459,305
272,927,410
18,974,979
4,281,809
70,788,824
13,458,145
118,297,030
118,753,901
90,741,151
34,975,632
38,205,935
35,578,237
35,071,004
77,383,627
318,521,869
187,434,268
764,923,500
284,920,730
67,500,000
199,766,250
254,432,832
4,301,271,632
Collateral Due
from AIG
677,738,152
250,966,963
343,353,949
135,598,489
74,297,202
98,895,651
257,972,411
73,647,982
224,022,118
148,629,713
34,767,184
925,421,182
518,166,532
113,849,877
1,135,968
90,094,866
47,576,228
521,146,373
523,159,299
201,972,240
91,749,037
64,007,345
260,907,070
229,615,818
364,808,526
306,030,815
180,083,905
734,926,500
770,341,234
232,539,455
688,044,295
509,045,790
9,694,512,169
Collateral Posted
584,568,581
218,024,620
298,284,736
115,271,719
50,492,887
85,798,709
222,869,594
61,657,090
187,540,421
130,474,880
30,520,440
809,568,470
449,293,893
101,906,122
923,883
75,735,434
41,264,742
458,833,637
460,605,880
171,276,411
79,645,207
54,177,256
228,425,707
202,220,037
321,400,704
268,873,344
158,218,583
640,669,927
671,530,476
202,092,689
597,957,545
442,543,147
8,422,666,771
Collateral
Shortfall
(93,169,571)
(32,942,343)
(45,069,213)
(20,326,770)
(23,804,315)
(13,096,942)
(35,102,817)
(11,990,893)
(36,481,697)
(18,154,833)
(4,246,745)
(115,852,711)
(68,872,639)
(11,943,754)
(212,085)
(14,359,432)
(6,311,486)
(62,312,736)
(62,553,419)
(30,695,829)
(12,103,830)
(9,830,089)
(32,481,364)
(27,395,781)
(43,407,821)
(37,157,471)
(21,865,322)
(94,256,573)
(98,810,757)
(30,446,766)
(90,086,749)
(66,502,643)
(1,271,845,398)
CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN SACHS
LTD PFI / Mortgages Cashflows to Counterparties related to ML3 Population (in millions)
14,060
1,073
460
339
191
102
156
326
137
770
357
177
41
1,189
797
136
157
5
61
644
640
296
134
99
303
436
283
1,500
994
1,188
1,069
2,504
0
70
47
0
0
27
0
18
0
270
0
0
0
26
0
0
0
61
218
55
81
0
0
162
66
218
740
446
0
0
1,544
173
189
0
0
0
0
0
0
91
0
0
0
181
136
0
0
0
0
198
0
0
0
0
0
57
0
0
298
0
222
852
0
0
0
0
0
0
0
0
482
0
0
0
115
0
0
0
0
0
48
87
0
0
0
0
0
0
93
26
0
0
998
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
111
0
888
0
865
0
0
0
191
0
51
0
0
0
87
0
0
113
53
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
369
633
125
125
0
0
0
0
0
0
0
0
0
0
254
130
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
663
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
181
332
0
0
0
0
0
0
150
0
0
0
631
0
0
0
0
0
0
0
0
0
0
0
0
101
0
0
133
0
0
0
0
0
0
99
0
298
0
0
0
0
0
692
0
0
86
0
0
0
253
0
0
0
0
0
109
0
0
0
0
0
0
0
0
0
0
0
0
0
42
7
0
196
365
365
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
322
75
14
0
0
0
25
27
46
0
0
0
0
10
89
0
0
0
0
0
1
0
0
0
14
0
0
22
0
0
0
440
0
0
0
0
0
0
0
0
51
0
177
0
0
0
136
0
0
0
0
0
0
76
0
0
0
0
0
0
0
0
399
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6
215
0
0
0
0
0
0
179
0
0
661
138
4
189
0
0
2
15
23
0
0
0
0
109
22
0
0
0
0
0
0
0
57
0
28
0
2
0
0
0
71
300
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
300
0
273
0
0
0
0
0
0
0
0
0
0
0
0
0
273
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
363
67
57
17
0
0
5
2
43
0
0
0
0
20
0
0
0
0
0
0
0
0
0
0
23
0
56
0
6
0
66
308
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
308
0
0
0
244
0
0
0
0
0
0
0
0
136
0
0
41
0
0
0
0
0
0
0
67
0
0
0
0
0
0
0
0
0
0
128
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
128
375
130
3
0
0
0
46
22
7
0
0
0
0
88
31
0
0
0
0
0
2
0
0
0
0
15
7
9
0
0
16
87
0
0
0
0
0
0
0
0
0
0
0
0
87
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
102
0
0
0
0
102
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
84
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
47
0
0
0
37
0
0
0
0
0
0
102
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
43
0
0
0
0
0
0
26
33
0
0
16
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
16
0
0
0
0
0
0
24
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
24
0
0
0
0
0
0
0
0
0
0
0
0
0
0
14
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
14
0
0
0
0
0
0
9
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
9
0
0
0
0
0
0
The Royal Bank of Scotland
Hypo Public Finance Bank
Hoogovens PSF ST
Ocelot CDO I PLC
Credit Linked Notes LTD
Kommunalkredit Int Bank
Lion Capital Global Credit I LTD
Signum Platinum
GSAM Credit CDO LTD
Barclays Bank PLC
Legal & General Assurance
Infinity finance plc
Shackleton Re Limited
MNGD Pension Funds LTD
KBC Asset Management NVD Star
Finance
Venice finance plc
Hospitals of Ontario Pension Plan
Stoneheath Re CRDV G
Zulma finance plc
Natixis
PGGM Pensioenfonds
Sierra finance plc
Skandinaviska Enskilda
Bankensweden
Depfa Bank Plc
The Hongkong & Shanghai
Banking Corporation
Calyon-Cedex Branch
BGI INV FDS GSI AG
Dexia Bank S.A
ZurcherKantonalbank
Rabobank Nederland-London
Branch
BOND
Underwriter
Grand Total Per CounterParty
Altius Funding
Credit Suisse First Boston
Broderick CDO
Merrill Lynch
Broderick CDO
Merrill Lynch
Coolidge Funding
Goldman Sachs
Duke Funding
Morgan Stanley
Dunhill ABS CDO
Merrill Lynch
Fortius I Funding
Goldman Sachs
Glacier CDO
Merrill Lynch
Hout Bay
Goldman Sachs / Investec
Huntington CDO
Merrill Lynch
Ischus CDO
Credit Suisse First Boston
Ischus CDO
Credit Suisse First Boston
Jupiter High-Grade CDO
Merrill Lynch
Kleros Preferred Funding
Merrill Lynch
Lexington Capital
Merrill Lynch
Mercury CDO
Merrill Lynch
MKP CBO
RBS Greenwich Capital
Orchid Structured Finance
Citigroup
Orient Point
Merrill Lynch
Orient Point
Merrill Lynch
Reservoir Funding
Merrill Lynch
River North CDO
JPMorgan
Saturn Ventures
Citigroup
Sherwood Funding CDO
Morgan Stanley
South Coast Funding
Merrill Lynch
South Coast Funding
Merrill Lynch
Triaxx Prime CDO
ICP Securities
Triaxx Prime CDO
ICP Securities
West Coast Funding
Goldman Sachs
West Coast Funding
Goldman Sachs
Banco Santander Central Hispano
SA
CUSIP
02149WAA5
112021AC4
112021AB6
216444AA7
264403AJ5
26545QAQ2
34958CAA2
37638VAG8
442451AA8
446279AA9
46426RAA7
46426RAB5
48206AAG3
498588AC6
52902TAC0
58936RAB3
55311TAA2
68571UAA7
68619MAQ4
68619MAL5
76112CAB4
768277AA3
80410RAA4
82437XAA6
83743YAS2
83743LAC5
896008AC3
896008AB5
952186AB0
952186AA2
DZ Bank AG Deutsche ZentraleGenossenschafts Bank
Grand Total Per Bond
COUNTERPARTY
46
0
0
0
0
0
0
8
0
0
0
0
0
0
38
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
10
0
0
0
0
0
0
0
0
10
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
0
0
0
0
0
0
0
CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN SACHS
LTD PFI / Mortgage Cashflow (excluding proceeds for bonds purchased for ML3) (in millions)
02149WAA5
112021AC4
112021AB6
216444AA7
264403AJ5
26545QAQ2
34958CAA2
37638VAG8
442451AA8
446279AA9
46426RAA7
46426RAB5
48206AAG3
498588AC6
52902TAC0
58936RAB3
55311TAA2
68571UAA7
68619MAQ4
68619MAL5
76112CAB4
768277AA3
80410RAA4
82437XAA6
83743YAS2
83743LAC5
896008AC3
896008AB5
952186AB0
952186AA2
9,759
675
346
256
136
74
103
258
63
516
226
149
35
936
524
117
87
1
48
525
522
205
99
61
267
359
248
735
488
920
784
1,324
70
47
1,060
109
142
670
799
0
171
26
633
125
125
543
459
142
89
319
253
365
365
100
14
2
19
-1
12
55
115
113
53
162
66
183
179
127
161
48
87
254
130
79
109
139
255
2
15
162
111
688
150
369
233
179
147
13
7
3
117
3
0
20
8
15
70
22
0
128
35
20
11
87
74
71
64
14
14
12
4
215
67
8
11
2
56
0
27
233
6
24
117
128
4
The Royal Bank of Scotland
10
1
8
10
87
6
38
1
35
32
7
9
15
74
22
14
179
2
Hypo Public Finance Bank
Hoogovens PSF ST
Ocelot CDO I PLC
Credit Linked Notes LTD
Kommunalkredit Int Bank
Lion Capital Global Credit I LTD
Signum Platinum
GSAM Credit CDO LTD
Barclays Bank PLC
Legal & General Assurance
98
24
0
18
-1
3
73
6
Infinity finance plc
Shackleton Re Limited
175
14
14
42
7
179
MNGD Pension Funds LTD
KBC Asset Management NVD Star
Finance
Venice finance plc
Hospitals of Ontario Pension Plan
Stoneheath Re CRDV G
Zulma finance plc
244
26
1
120
1
-1
10
117
76
245
93
7
398
51
1
61
47
146
393
149
73
48
178
32
-10
Natixis
PGGM Pensioenfonds
Sierra finance plc
Skandinaviska Enskilda
Bankensweden
566
86
33
62
Depfa Bank Plc
The Hongkong & Shanghai
Banking Corporation
Calyon-Cedex Branch
BGI INV FDS GSI AG
759
136
27
18
Dexia Bank S.A
ZurcherKantonalbank
Rabobank Nederland-London
Branch
Banco Santander Central Hispano
SA
BOND
Underwriter
Grand Total Per CounterParty
Altius Funding
Credit Suisse First Boston
Broderick CDO
Merrill Lynch
Broderick CDO
Merrill Lynch
Coolidge Funding
Goldman Sachs
Duke Funding
Morgan Stanley
Dunhill ABS CDO
Merrill Lynch
Fortius I Funding
Goldman Sachs
Glacier CDO
Merrill Lynch
Hout Bay
Goldman Sachs / Investec
Huntington CDO
Merrill Lynch
Ischus CDO
Credit Suisse First Boston
Ischus CDO
Credit Suisse First Boston
Jupiter High-Grade CDO
Merrill Lynch
Kleros Preferred Funding
Merrill Lynch
Lexington Capital
Merrill Lynch
Mercury CDO
Merrill Lynch
MKP CBO
RBS Greenwich Capital
Orchid Structured Finance
Citigroup
Orient Point
Merrill Lynch
Orient Point
Merrill Lynch
Reservoir Funding
Merrill Lynch
River North CDO
JPMorgan
Saturn Ventures
Citigroup
Sherwood Funding CDO
Morgan Stanley
South Coast Funding
Merrill Lynch
South Coast Funding
Merrill Lynch
Triaxx Prime CDO
ICP Securities
Triaxx Prime CDO
ICP Securities
West Coast Funding
Goldman Sachs
West Coast Funding
Goldman Sachs
DZ Bank AG Deutsche ZentraleGenossenschafts Bank
CUSIP
Grand Total Per Bond
COUNTERPARTY
14
12
16
12
8
CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN SACHS
Total Payments to Funding CP to source bonds for ML3 (in millions)
02149WAA5
112021AC4
112021AB6
216444AA7
264403AJ5
26545QAQ2
34958CAA2
37638VAG8
442451AA8
446279AA9
46426RAA7
46426RAB5
48206AAG3
498588AC6
52902TAC0
58936RAB3
55311TAA2
68571UAA7
68619MAQ4
68619MAL5
76112CAB4
768277AA3
80410RAA4
82437XAA6
83743YAS2
83743LAC5
896008AC3
896008AB5
952186AB0
952186AA2
4,301
398
114
84
55
27
53
68
74
254
132
28
7
253
273
19
71
4
13
119
118
91
35
38
36
77
35
765
506
267
285
1,180
0
0
0
0
0
0
0
0
0
99
0
0
0
0
0
0
0
13
40
22
91
0
0
0
0
35
561
319
0
0
484
64
47
0
0
0
0
0
0
29
0
0
0
39
47
0
0
0
0
37
0
0
0
0
0
10
0
0
152
0
60
182
0
0
0
0
0
0
0
0
163
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
19
0
0
200
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
200
0
105
0
0
0
55
0
18
0
0
0
32
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
120
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
42
78
0
0
0
0
0
0
0
0
0
0
173
0
0
0
0
0
0
0
0
0
0
0
0
22
0
0
60
0
0
0
0
0
0
38
0
52
0
0
0
0
0
126
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
126
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
223
61
11
0
0
0
6
28
34
0
0
0
0
8
73
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
47
0
0
0
0
0
0
0
0
0
0
28
0
0
0
19
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
0
0
0
0
0
0
0
0
0
0
416
112
3
69
0
0
1
16
12
0
0
0
0
101
8
0
0
0
0
0
0
0
35
0
15
0
0
0
0
0
44
68
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
68
0
94
0
0
0
0
0
0
0
0
0
0
0
0
0
94
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
216
55
50
15
0
0
2
2
24
0
0
0
0
15
0
0
0
0
0
0
0
0
0
0
12
0
0
0
0
0
43
191
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
191
0
0
0
69
0
0
0
0
0
0
0
0
62
0
0
7
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
277
106
2
0
0
0
27
23
4
0
0
0
0
68
19
0
0
0
0
0
0
0
0
0
0
15
0
0
0
0
12
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
27
0
0
0
0
27
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
13
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
8
0
0
0
4
0
0
0
0
0
0
38
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
8
0
0
0
0
0
0
13
17
0
0
2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
0
0
0
0
0
0
11
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
11
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
The Royal Bank of Scotland
Hypo Public Finance Bank
Hoogovens PSF ST
Ocelot CDO I PLC
Credit Linked Notes LTD
Kommunalkredit Int Bank
Lion Capital Global Credit I LTD
Signum Platinum
GSAM Credit CDO LTD
Barclays Bank PLC
Legal & General Assurance
Infinity finance plc
Shackleton Re Limited
MNGD Pension Funds LTD
KBC Asset Management NVD Star
Finance
Venice finance plc
Hospitals of Ontario Pension Plan
Stoneheath Re CRDV G
Zulma finance plc
Natixis
PGGM Pensioenfonds
Sierra finance plc
Skandinaviska Enskilda
Bankensweden
Depfa Bank Plc
The Hongkong & Shanghai
Banking Corporation
Calyon-Cedex Branch
BGI INV FDS GSI AG
Dexia Bank S.A
ZurcherKantonalbank
Rabobank Nederland-London
Branch
Banco Santander Central Hispano
SA
BOND
Underwriter
Grand Total Per CounterParty
Altius Funding
Credit Suisse First Boston
Broderick CDO
Merrill Lynch
Broderick CDO
Merrill Lynch
Coolidge Funding
Goldman Sachs
Duke Funding
Morgan Stanley
Dunhill ABS CDO
Merrill Lynch
Fortius I Funding
Goldman Sachs
Glacier CDO
Merrill Lynch
Hout Bay
Goldman Sachs / Investec
Huntington CDO
Merrill Lynch
Ischus CDO
Credit Suisse First Boston
Ischus CDO
Credit Suisse First Boston
Jupiter High-Grade CDO
Merrill Lynch
Kleros Preferred Funding
Merrill Lynch
Lexington Capital
Merrill Lynch
Mercury CDO
Merrill Lynch
MKP CBO
RBS Greenwich Capital
Orchid Structured Finance
Citigroup
Orient Point
Merrill Lynch
Orient Point
Merrill Lynch
Reservoir Funding
Merrill Lynch
River North CDO
JPMorgan
Saturn Ventures
Citigroup
Sherwood Funding CDO
Morgan Stanley
South Coast Funding
Merrill Lynch
South Coast Funding
Merrill Lynch
Triaxx Prime CDO
ICP Securities
Triaxx Prime CDO
ICP Securities
West Coast Funding
Goldman Sachs
West Coast Funding
Goldman Sachs
DZ Bank AG Deutsche ZentraleGenossenschafts Bank
CUSIP
Grand Total Per Bond
COUNTERPARTY
31
0
0
0
0
0
0
0
0
0
0
0
0
0
31
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4
0
0
0
0
0
0
0
0
0
0
0
0
0
From: Michaels, Susan [Fin]
Sent: Thursday, July 15, 2010 3:15 PM
To: Chris Seefer
Cc: Smith, Sarah [Fin]; Lee, Brian-J (FI Controllers) [Fin]; Simpson, Michael [Fin]; Fredman, Sheara
[Fin]; Broeckel, Janet [Legal]
Subject: Response to FCIC Hearing requests
Chris,
We have attached a spreadsheet (bearing production number GS MBS 0000038856) that shows: (i) the status of
each trade that was not included in the Maiden Lane
III transaction as of November 6, 2008; (ii) the status of those same trades as of July 6, 2010; and (iii) the net
proceeds received upon termination for all trades terminated prior to July 6. Please
let us know if you have any questions or would like someone to walk you through the spreadsheet.
Please note the following:
The Goldman Sachs Group, Inc. (“GS Group”) used various technology and manual resources to generate some of
the documents for production to you in response to your requests. While GS Group believes that these
documents are reasonably accurate, we cannot make an absolute representation that it is complete or that there
are not some inadvertent errors in the preparation of the spreadsheet. We will provide further updates or
corrections if we discover missing information or errors.
Additionally, pursuant to Section 5 of the Fraud Enforcement and Recovery Act of 2009, Pub. L. No. 111-21, 123
Stat. 1617, we hereby request on behalf of GS Group that this letter and the material to which it refers be
maintained in a secure manner and not be disclosed to the public, including in response to any request under
the Freedom of Information Act, 5 U.S.C. § 552. If you wish to release any of these documents publicly, GS
Group respectfully requests reasonable advance notice of your intent to do so and the opportunity to object to,
or to seek to limit, such a release.
Please confirm receipt.
Regards,
Sue
This message may contain information that is confidential or proprietary. If you are not the intended recipient, please advise the sender
immediately and delete this message and any attachments. Follow this link for further information on confidentiality and the risks
inherent in electronic communication: http://www.gs.com/disclaimer/email/
AIG - CDS Exposure/Collateral Call Summary (Non MLIII Related)
November 6, 2008 & July 6, 2010
November 6th, 2008
Name
TRIAX 2006-2A A1B1
ORKNEY HOLDINGS, LLC
ROMULUS FINANCE S.R.L.
ABACUS04-1
ABACUS05-2
ABACUS05-CB1
ABACUS04-2
ABACUS05-3
ABACUS06-NS1 IG
ABAC07-18
Misc. CMBS CDS
Cusip / ISIN
896008AB5
686335AA8
XS0161620868
N/A
N/A
N/A
N/A
N/A
N/A
N/A
Numerous
Notional
500,000,000
600,000,000
194,294,981
1,760,000,000
1,000,000,000
480,000,000
730,000,000
1,200,000,000
329,000,000
470,000,000
2,002,500,000
9,265,794,981
Current Face
496,109,845
600,000,000
194,294,981
1,760,000,000
1,000,000,000
240,642,687
730,000,000
593,502,471
326,533,915
470,000,000
2,002,500,000
8,413,583,899
GS Exposure
243,093,824
324,000,000
65,424,742
515,207,116
335,961,932
87,952,756
152,514,155
226,969,545
172,683,598
328,739,422
321,797,064
2,774,344,154
July 6th, 2010
Name
TRIAX 2006-2A A1B1
ABACUS05-3
ABACUS06-NS1 IG
ABAC07-18
Misc. CMBS CDS
Cusip / ISIN
896008AB5
N/A
N/A
N/A
Numerous
Notional
500,000,000
1,200,000,000
329,000,000
470,000,000
1,427,500,000
3,926,500,000
Current Face
145,187,109
439,919,926
326,329,506
470,000,000
1,427,500,000
2,808,936,541
GS Exposure
10,889,033
261,316,792
220,658,613
387,028,807
307,910,399
1,187,803,644
Per CSA
Threshold
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
Rating based
0.00%
0.00%
Collateral
Due
243,093,824
324,000,000
65,424,742
515,207,116
335,961,932
87,952,756
152,514,155
226,969,545
328,739,422
321,797,064
2,601,660,556
Collateral
Posted
213,578,000
245,734,800
N/A
503,395,310
324,609,180
85,887,729
140,844,623
206,620,043
308,147,741
271,464,113
2,300,281,539
Per CSA
Threshold
0.00%
0.00%
0.00%
0.00%
0.00%
Collateral
Due
10,889,033
261,316,792
220,658,613
387,028,807
307,910,399
1,187,803,644
Collateral
Posted
10,889,033
261,316,792
220,658,613
387,028,807
307,910,399
1,187,803,644
Unwinds and Terminations
Name
ORKNEY HOLDINGS, LLC
ROMULUS FINANCE S.R.L.
ABACUS04-1
ABACUS05-2
ABACUS05-CB1
ABACUS04-2
Misc. CMBS CDS
Cusip / ISIN
686335AA8
XS0161620868
N/A
N/A
N/A
N/A
Numerous
Settlements
359,997,667
84,003,652
805,492,319
519,462,344
143,070,903
259,697,424
28,737,323
2,200,461,632
Collateral Prior to
Termination
468,000,000
N/A
805,858,926
510,095,518
142,119,719
253,938,906
41,955,338
2,221,968,407
Net Proceeds
(108,002,333)
84,003,652
(366,607)
9,366,826
951,184
5,758,518
(13,218,015)
(21,506,775)
Note: ROMULUS FINANCE was in the Goldman Sachs Bank USA entity which had numerous trades across various products. Collateral balances were not manually
tracked on a transactional level.
From: Broeckel, Janet [Legal]
Sent: Wednesday, August 11, 2010 12:57 PM
To: Carl McCarden
Cc: Chris Seefer
Subject: Per your voicemail
Carl,
I received your voicemail but thought it might be more useful to respond to the your questions regarding trades
not included in the Maiden Lane III transaction in an email to avoid any confusion. Please note the following:
The 7 Abacus trades referenced in the response sent on August 9, 2010 (bearing production number GS MBS
40068) are included (along with the notional amounts of each trade) starting with the names “ABAC” (rows 11
through 17).
The termination dates for these trades were included in the response sent on June 14, 2010, item #3, which
contained a spreadsheet identifying the initial payments, termination payments, and credit event payments
made on any CDS referencing any Abacus CDO (bearing production number GS MBS 27967). As provided in the
spreadsheet, the four ABACUS trades with AIG which were terminated, were executed, by mutual consent on
June 18, 2009.
I have also attached to this email our response on July 15, 2010 for your convenience.
Please let me know if you have any additional questions. Thanks.
_______________________________________________
Janet A. Broeckel
Managing Director and Associate General Counsel
Goldman, Sachs & Co.
m
From: Michaels, Susan [Fin]
Sent: Thursday, July 15, 2010 8:34 PM
To: Chris Seefer
Cc: Smith, Sarah [Fin]; Lee, Brian-J (FI Controllers) [Fin]; Simpson, Michael [Fin]; Fredman, Sheara
[Fin]; Broeckel, Janet [Legal]
Subject: Response to FCIC Hearing requests
Chris,
Attached please find the following responses to the hearing requests.
Question: The FCIC wants (a) all information about contacts with government officials that Goldman Sachs had
about AIG's waiver of legal claims in the Maiden Lane III transaction, (b) a copy of the waiver, and (c) what
economic benefits Goldman Sachs received from being relieved of liability.
Response: In
response to the Commission’s request for information concerning the mutual
waiver and release contained in the Maiden Lane III transaction documents, GS Group
directs the Commission to the Federal Reserve Bank of New York’s July 9, 2010 letter to the
editor of the New York Times, which has been reproduced on the FRBNY’s website. The
FRBNY’s letter and accompanying chronology have been reproduced here for your
convenience at production numbers GS MBS [38839–38843]. These documents establish
that neither Goldman Sachs, nor any other counterparty, requested the mutual waiver and
release contained in the Maiden Lane III transaction documents. We believe that these
documents address the Commission’s request for information on this topic. Please let us
know if the Commission requests any additional information from GS Group on this issue.
Question: Quarterly and annual reports on derivatives that are sent by any part of Goldman Sachs to the OCC.
Response: At the June 30, 2010 hearing, the Commission stated that The Office of the Comptroller of the
Currency reports annual derivatives revenues from commercial banks and that the OCC had reported in 2009 that
GS Group’s commercial bank had $22.9 billion in revenues from derivatives trading. At the July 1, 2010 hearing,
the Commission repeated these statements and requested that GS Group provide to the Commission the reports
that it provides to the OCC showing derivative revenues.
As the Staff acknowledged during our call on Friday July 9, 2010, the OCC reports annually the combined cash and
derivative trading revenues of commercial banks, which is consistent with the way that GS Group tracks and
reports its revenues. GS Group hopes that the Commission will take the appropriate steps to correct the record
on this point.
Furthermore, GS Group is not aware of any filings that it makes directly to the OCC. We believe that the data
compiled for the OCC report is largely sourced from Goldman Sachs Bank USA’s Quarterly Call Reports to the
Federal Reserve Bank of New York, which consistent with our previous statements do not break out revenue
from derivatives trading. (These call reports are publicly available from the website of the Federal Financial
Institutions Examination Council at www.ffiec.gov.) Moreover, GS Group is not aware of any filings or reports to
its regulators that bifurcate cash and derivative revenues.
Please note the following:
The Goldman Sachs Group, Inc. (“GS Group”) used various technology and manual resources to generate some of
the documents for production to you in response to your requests. While GS Group believes that these
documents are reasonably accurate, we cannot make an absolute representation that it is complete or that there
are not some inadvertent errors in the preparation of the spreadsheet. We will provide further updates or
corrections if we discover missing information or errors.
Additionally, pursuant to Section 5 of the Fraud Enforcement and Recovery Act of 2009, Pub. L. No. 111-21, 123
Stat. 1617, we hereby request on behalf of GS Group that this letter and the material to which it refers be
maintained in a secure manner and not be disclosed to the public, including in response to any request under
the Freedom of Information Act, 5 U.S.C. § 552. If you wish to release any of these documents publicly, GS
Group respectfully requests reasonable advance notice of your intent to do so and the opportunity to object to,
or to seek to limit, such a release.
Please confirm receipt.
Regards,
Sue
This message may contain information that is confidential or proprietary. If you are not the intended recipient, please advise the sender
immediately and delete this message and any attachments. Follow this link for further information on confidentiality and the risks
inherent in electronic communication: http://www.gs.com/disclaimer/email/
Letter to the Editor - Federal Reserve Bank of New York
Home > News and Events > Statements
News and Events
Statements
News
Letter to the Editor
Events
July 9, 2010
Speeches
To the Editor:
Public Engagements
Re "Inside the U.S. Bailout of A.I.G.: Extra Forgiveness for Big Banks" (front
page, June 30):
View News and
Events Contacts
I take issue with your article’s characterization of the role that the Federal
Reserve Bank of New York played in stabilizing American International Group.
The article states that "regulators ignored recommendations from their own
advisers" to force A.I.G. counterparties to accept losses on their credit default
swap contracts.
We asked our advisers—BlackRock, Morgan Stanley and
Ernst & Young—to provide options for our consideration, but the
fact that options were provided simply cannot be interpreted as a
recommendation that we should or could force concessions. No such
recommendation was ever made.
The article suggests that a "legal waiver" clause in the agreement that
terminated the credit default swap was unusual; that regulators forced A.I.G.
into the agreement; and that it unduly benefited the counterparties. We
disagree in every respect. Regulators did not force A.I.G. into the waiver
clause. The waiver clause was a standard legal provision. It was a mutual
release, by which A.I.G. and the counterparties released each other from
liability.
Thomas C. Baxter Jr.
General Counsel and Executive V.P.
Federal Reserve Bank of New York
New York, July 1, 2010
Supporting Documents
Statements from the New York Fed’s advisors on the allegation that
they recommended forcing concessions
Statement of Facts verified by Davis Polk & Wardell LLP (the New
York Fed’s legal counsel) and Weil Gotshal & Manges LLP (A.I.G.’s
legal counsel) who were responsible for drafting the Termination
Agreement
Home
Federal Reserve System
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GS MBS 0000038839
http://www.newyorkfed.org/aboutthefed/aig/statements/statement_070910.html [7/12/2010 10:31:45 AM]
Statements from the New York Fed’s advisors on the allegation that they recommended forcing
concessions
Ernst & Young: "We can confirm that we did not recommend that the FRBNY force
AIG counterparties to accept concessions on the price paid for their CDOs, nor did
the Federal Reserve Bank of New York (FRBNY) ignore any such recommendation."
Morgan Stanley: "Morgan Stanley was not asked for, and did not provide, any
recommendation to the Federal Reserve Bank of New York in connection with
counterparty negotiations regarding Maiden Lane III."
BlackRock: "BlackRock confirms that it did not advise the Federal Reserve Bank of
New York to force AIG counterparties to accept losses on their CDS contracts."
GS MBS 0000038840
Questions have been raised about the waiver language that relates to the Maiden Lane
III special purpose vehicle.
The actual facts that answer those questions are as follows:
1. In an email sent at 2:47 am on Thursday November 6, Davis Polk, outside
counsel to the FRBNY, sent for internal review by its client, a form of termination
agreement to be entered into between AIG and the various counterparties. The draft
did not contain broad releases for either AIG or the counterparties. Rather, it proposed
to release each of the parties from further obligations under the CDSs relating to certain
multi‐sector CDOs.1
2. After further review and revisions by Davis Polk and FRBNY, the draft
termination agreement was sent by FRBNY to AIG and its counsel Weil Gotshal on
Thursday November 6 at 4:52 pm. That version continued to have narrowly drafted
termination language.2
1
The relevant language stated: 1. Termination of CDS Transactions. With effect from
and including [insert same date as Purchase Date] (the “Termination Date”), and in consideration
of the mutual representations, warranties and covenants contained in this Termination
Agreement and other good and valuable consideration (the receipt and sufficiency of which are
hereby acknowledged by each of the parties), AIG‐FP and Counterparty are each released and
discharged from further obligations to each other with respect to each CDS Transaction and their
respective rights against each other thereunder are cancelled, provided that such release and
discharge shall not affect any rights, liabilities or obligations of AIG‐FP or the Counterparty with
respect to payments or other obligations due and payable or due to be performed on or prior to
the Termination Date, and all such payments and obligations shall be paid or performed by AIG‐
FP or Counterparty, as applicable, in accordance with the terms of the CDS Transactions.
[Notwithstanding the foregoing, AIG‐FP and Counterparty agree that any provision of a
Transaction Document that addresses indemnification of AIG‐FP or its affiliates by another party
or contribution by any such party that by its terms would survive the termination of a CDS
Transaction shall survive the termination of the CDS Transactions hereunder].
2
1.
Termination of CDS Transactions. With effect from and including [insert same
date as Purchase Date] (the “Termination Date”), and in consideration of the mutual
representations, warranties and covenants contained in this Termination Agreement and other
good and valuable consideration (the receipt and sufficiency of which are hereby acknowledged
by each of the parties), AIG‐FP and Counterparty are each released and discharged from further
obligations to each other with respect to each CDS Transaction and their respective rights against
each other thereunder, provided that such release and discharge shall not affect any rights,
liabilities or obligations of AIG‐FP or the Counterparty with respect to payments or other
obligations due and payable or due to be performed on or prior to the Termination Date, and all
(…continued)
GS MBS 0000038841
3. After reviewing the FRBNY draft termination agreement, Weil Gotshal
conferred with its clients (AIG and AIGFP) about the desirability of expanding the release
language in the termination agreement to more broadly cover the release of claims
against AIG related to the terminated CDS. This requested change originated from AIG
and its counsel, and the FRBNY learned of it subsequently when it received Weil
Gotshal’s markup.
4. During the evening of November 6, attorneys from Weil Gotshal called
attorneys from Davis Polk to advise that they would be sending comments on the
termination agreement (and the related agreements), and that they would be
broadening the release language. Because releases of this nature are virtually always
mutual and given the exigent circumstances facing AIG, the attorneys from the two
firms quickly agreed on this call that whatever expansion of the release language that
Weil Gotshal and AIG would reflect in their comments would have to be mutual. No
FRBNY personnel were on, or consulted in advance of, this brief call, which was the only
time this issue was discussed by Davis Polk and Weil Gotshal. There was no other
discussion of any kind at any time on this issue between either the FRBNY or its advisors
on the one hand, and AIG or its advisors, on the other.
5. Weil Gotshal prepared a markup of the termination agreement that inserted
broad and detailed mutual release language, and sent it to Davis Polk by email a few
hours later, at 1:27 am on Friday November 7. The new release language tracked
almost verbatim language that Weil Gotshal had recently used representing another
insurance company that had terminated billions of dollars of similar credit protection
only a few months earlier.
6. Davis Polk did not have any comments on the broad release language
proposed by Weil Gotshal, and passed the markup of the Termination Agreement on to
FRBNY.
(continued…)
such payments and obligations shall be paid or performed by AIG‐FP or Counterparty, as
applicable, in accordance with the terms of the CDS Transactions nor shall such release and
discharge affect the obligation to return Collateral which shall be returned to the Escrow Agent
at such date or dates, and subject to netting and set‐off, as set forth in this Agreement and the
Purchase Agreement. [Notwithstanding the foregoing, AIG‐FP and Counterparty agree that any
provision of a Transaction Document that addresses indemnification of AIG‐FP or its affiliates by
another party or contribution by any such party in connection with any CDS Transaction that by
its terms would survive the termination of a CDS Transaction shall survive the termination of the
CDS Transactions hereunder].
2
GS MBS 0000038842
7. Davis Polk spoke to no counterparty about the waiver or releases in the draft
termination agreement, and neither Davis Polk nor the FRBNY directed AIG, Weil or any
other party to insert a broad waiver. But for AIG’s desire for a broader release for itself,
the initial narrow FRBNY formulation would have been sent to the counterparties.
8. There is ample precedent for the inclusion of broad release language in these
types of termination agreements, which can be found in public filings.3
9. There is absolutely no factual basis for the conclusion, or even an inference,
that the FRBNY drafted or created the broad waiver, or intended for the waiver to be for
the benefit of any counterparty, or all of the counterparties or that the waiver was done
to disadvantage AIG.
3
Amerinst Insurance Group Ltd.
Enron Corp.
RAM Holdings Ltd.
3
GS MBS 0000038843
From: Michaels, Susan [Fin] [
Sent: Friday, July 16, 2010 6:41 PM
To: Chris Seefer
Cc: Smith, Sarah [Fin]; Lee, Brian-J (FI Controllers) [Fin]; Simpson, Michael [Fin]; Fredman, Sheara
[Fin]; Broeckel, Janet [Legal]
Subject: Response to FCIC Hearing requests
Chris,
The following is the response to the question from the hearing about the difference in terms for trades with AIG
as compared to the other counterparties.
Question: Were the collateral posting agreements between AIG and the counterparties we sold protection to on
the other side of the trade the same?
Response: Most collateral posting arrangements with counterparties are not executed on a trade by trade basis
but rather negotiated under a global ISDA and CSA (Credit Support Annex). The ISDA and CSA typically govern all
derivative transactions with the counterparty, including credit, interest rate, equity and foreign exchange
products. Both the collateral posting arrangements with AIG and the other approximately 30 counterparties we
traded with on the other side were driven by global ISDA and CSA provisions with those counterparties. The
specific terms, as reflected in the confirmations of these contracts, would have been negotiated individually
between the parties to the agreement and may have been modified throughout the duration of the transaction.
Specifically, the terms for collateral posting for the majority of these transactions included a threshold whereby
AIG only had to post collateral to Goldman Sachs when the price on the underlying security declined by more
than 6% if AIG was rated AAA, 4% if AIG had been rated AA and 0% if rated A+ or below. Given AIG's rating
between 2007 and 2008, collateral posting between AIG and Goldman Sachs for most transactions was subject to
a 4% threshold during most of that period. On the other hand, the majority of our transactions with
counterparties on the other side were not subject to a threshold. Overall, for most of that period the collateral
posting and cash transfers Goldman Sachs made to counterparties were greater than the amount of collateral
that we called for from AIG.
The following is a response to a question raised at the hearing regarding the amounts charged for the trades
with AIG and other counterparties.
Request: The Commission has asked for Goldman Sachs to show the price that was charged to counterparties in
the total return swap transactions (“TRS”) that were written back-to-back against the purchases of CDS
protection from AIG, and the price that AIG charged for protection on the referenced bonds.
Response: We have attached a spreadsheet (bearing production number GS MBS 0000038860) that provides the
information requested. For each of the back-to-back TRSs, Goldman Sachs paid the TRS counterparty a spread in
return for the economic exposure to the bond referenced in the TRS. The “Financing Spread” column shows this
spread in basis points. Goldman Sachs, as the holder of the economic exposure to the bond, would receive the
bond spread from the CDO via the TRS counterparty, which is listed in the column labeled “Bond Spread”.
In order to offset the credit risk of the transaction, Goldman Sachs would purchase CDS protection on the
referenced bond from AIG. The “CDS Spread” column shows the cost of protection paid to AIG on the
referenced bond.
Goldman Sachs earns the Bond Spread, less the Financing Spread and the CDS Spread. For example, in the case
of the Altius Funding transaction, Goldman Sachs paid the TRS counterparties 13 bps in the TRS, and paid AIG 10
bps for the CDS protection, while receiving 25 bps from the bond, netting 2 bps. The present value of the
lifetime profits from these back-to-back transactions on the trade date is reflected in the column labeled “Day 1
Net Revenues”.
As you can see, applying a weighted average, Goldman Sachs nets less than 3.25 basis points for these trades,
totaling less than $25 million in present value (as of the trade dates) of the expected lifetime profits for the
trades. Because these trades were terminated early by the Maiden Lane III transaction, Goldman Sachs’ realized
gains were even less, and amount to less than one tenth of one percent of the $16.8 billion notional amount of
the trades.
We would welcome the opportunity to walk you through the attached spreadsheet and answer any of your
questions.
Please note the following:
The Goldman Sachs Group, Inc. (“GS Group”) used various technology and manual resources to generate some of
the documents for production to you in response to your requests. While GS Group believes that these
documents are reasonably accurate, we cannot make an absolute representation that it is complete or that there
are not some inadvertent errors in the preparation of the spreadsheet. We will provide further updates or
corrections if we discover missing information or errors.
Additionally, pursuant to Section 5 of the Fraud Enforcement and Recovery Act of 2009, Pub. L. No. 111-21, 123
Stat. 1617, we hereby request on behalf of GS Group that this letter and the material to which it refers be
maintained in a secure manner and not be disclosed to the public, including in response to any request under
the Freedom of Information Act, 5 U.S.C. § 552. If you wish to release any of these documents publicly, GS
Group respectfully requests reasonable advance notice of your intent to do so and the opportunity to object to,
or to seek to limit, such a release.
Please confirm receipt.
Regards,
Sue
Cusip
02149WAA5
112021AB6
112021AC4
112021AA8
216444AA7
264403AJ5
264403AK2
26545QAQ2
26545QAA7
34958CAA2
37638VAG8
37638VAA1
442451AA8
446279AA9
446279AC5
46426RAA7
46426RAB5
48206AAG3
48206AAA6
498588AC6
498588AA0
52902TAC0
52902TAE6
58936RAB3
58936RAA5
G6177YAA0
68571UAA7
68619MAJ0
68619MAQ4
68619MAL5
76112CAB4
76112CAA6
768277AA3
80410RAA4
82437XAA6
83743YAS2
83743YAB9
83743LAC5
83743LAA9
896008AB5
896008AC3
896008AC3
896008AB5
952186AA2
952186AB0
Reference Obligation
Altius Funding
Broderick CDO
Broderick CDO
Broderick CDO
COOLIDGE FUNDING, LTD.
Duke Funding
Duke Funding
Dunhill ABS CDO
Dunhill ABS CDO
FORTIUS FUNDING LTD
Glacier CDO
Glacier CDO
HOUTB061 CDO
Huntington CDO
Huntington CDO
Ischus CDO
Ischus CDO
Jupiter High-Grade CDO
Jupiter High-Grade CDO
Kleros Preferred Funding
Kleros Preferred Funding
Lexington Capital
Lexington Capital
Mercury CDO
Mercury CDO
MKP CBO
Orchid Structured Finance CDO
Orient Point
Orient Point
Orient Point
Reservoir Funding
Reservoir Funding
River North CDO
Saturn Ventures
Sherwood Funding CDO
South Coast Funding
South Coast Funding
South Coast Funding
South Coast Funding
Triaxx Prime CDO
Triaxx Prime CDO
Triaxx Prime CDO
Triaxx Prime CDO
West Coast Funding
West Coast Funding
Notional
1,277,900,000
354,500,000
485,000,000
250,000
274,700,000
129,650,000
100,000
327,000,000
250,000
390,000,000
324,800,000
100,000
825,000,000
406,500,000
250,000
213,750,000
50,000,000
1,299,500,000
250,000
869,500,000
250,000
199,500,000
250,000
299,800,000
100,000
140,000,000
113,750,000
250,000
649,750,000
647,250,000
374,800,000
100,000
149,750,000
267,750,000
322,250,000
773,500,000
250,000
344,500,000
250,000
1,399,850,000
1,399,850,000
100,000,000
100,000,000
1,187,950,000
1,187,850,000
16,888,550,000
Effective
Date
10-Nov-05
13-Dec-05
13-Dec-05
13-Dec-05
22-Jun-05
12-Aug-04
12-Aug-04
16-Dec-04
16-Dec-04
17-Apr-07
12-Oct-04
12-Oct-04
2-May-06
29-Mar-05
29-Mar-05
27-Jul-05
27-Jul-05
10-Aug-05
10-Aug-05
10-Jan-06
10-Jan-06
25-Oct-05
25-Oct-05
3-Nov-04
3-Nov-04
7-Apr-04
19-Apr-05
25-Oct-05
25-Oct-05
25-Oct-05
26-Oct-04
26-Oct-04
19-Jan-05
9-Jun-05
15-Dec-05
25-May-05
25-May-05
25-Jan-06
25-Jan-06
14-Dec-06
14-Dec-06
14-Dec-06
14-Dec-06
26-Jul-06
26-Jul-06
CDS
Bond Financing
Spread Spread Spread Duration
25
27
27
27
14
35
35
32
32
27
33
33
25
27
27
27
27
27
27
27
27
28
28
34
34
39
36
27
27
27
35
35
33
27
28
26
26
32
32
26
26
26
26
22
22
13
13
14
13
0
16
16
14
14
9
14
14
13
14
14
14
15
13
13
12
12
12
12
15
14
14
15
13
13
15
16
15
15
11
14
14
14
12
12
12
14
14
12
13
15
10
10
10
10
10
11
11
11
11
14
11
11
8
10
10
10
10
10
10
10
10
10
10
11
11
11
12
10
10
10
11
11
11
10
10
10
10
14
14
11
11
11
11
8
8
5.00
4.88
4.67
4.92
4.56
5.55
5.55
3.90
3.90
2.13
3.53
3.50
4.64
4.73
4.71
5.32
5.19
5.30
5.30
5.25
5.25
3.47
3.47
4.20
4.94
2.80
3.28
6.36
5.39
5.03
3.93
4.88
5.69
3.06
5.71
5.06
5.06
4.81
3.30
4.94
5.88
5.88
4.94
3.95
6.34
Day 1 Net
Revenues
1,371,806
620,737
600,336
442
501,053
596,287
460
891,667
682
324,804
917,064
280
1,355,112
568,997
349
309,055
61,954
2,554,747
505
2,064,454
595
382,408
479
925,503
416
548,678
350,435
562
1,238,248
641,164
1,284,417
466
596,543
491,205
700,004
957,843
314
1,050,748
523
1,782,085
675,963
48,288
127,305
703,814
(433,229)
24,815,568
From: Michaels, Susan [Fin] [
Sent: Wednesday, July 28, 2010 8:19 PM
To: Chris Seefer
Cc: Smith, Sarah [Fin]; Lee, Brian-J (FI Controllers) [Fin]; Simpson, Michael [Fin]; Fredman, Sheara
[Fin]; Broeckel, Janet [Legal]
Subject: Response to FCIC Hearing requests
Chris,
Attached is our response to the request for information regarding the basis of our collateral calls to AIG.
Please let us know if you have any questions.
Please note the following:
The Goldman Sachs Group, Inc. (“GS Group”) used various technology and manual resources to generate some of
the documents for production to you in response to your requests. While GS Group believes that these
documents are reasonably accurate, we cannot make an absolute representation that it is complete or that there
are not some inadvertent errors in the preparation of the spreadsheet. We will provide further updates or
corrections if we discover missing information or errors.
Additionally, pursuant to Section 5 of the Fraud Enforcement and Recovery Act of 2009, Pub. L. No. 111-21, 123
Stat. 1617, we hereby request on behalf of GS Group that this letter and the material to which it refers be
maintained in a secure manner and not be disclosed to the public, including in response to any request under
the Freedom of Information Act, 5 U.S.C. § 552. If you wish to release any of these documents publicly, GS
Group respectfully requests reasonable advance notice of your intent to do so and the opportunity to object to,
or to seek to limit, such a release.
Please confirm receipt.
Regards,
Sue
This message may contain information that is confidential or proprietary. If you are not the intended recipient, please advise the sender
immediately and delete this message and any attachments. Follow this link for further information on confidentiality and the risks
inherent in electronic communication: http://www.gs.com/disclaimer/email/
Valuation & Pricing Related to Transactions with AIG
In July 2007, as the housing market continued to deteriorate, financial markets began to
significantly re-price risk in U.S. mortgage products, including super senior Collateralized Debt
Obligations (CDOs). As required by US GAAP, our policy of fair value accounting, which
recognizes the value of an asset or liability as the price at which willing buyers and sellers
transact, prompted us, as always, to mark our positions to the then prevailing market prices.
We believe our marks were accurate and reflected the value markets were placing on the
transactions.
Over subsequent weeks and months, we made collateral calls to AIG, and other counterparties,
consistent with the further deterioration in the market. We made those collateral calls based on
prices that reflected the deteriorating conditions in the market for the underlying collateral in
Residential Mortgage Backed Securities (RMBS) and CDOs and specific transactions in
comparable securities – transactions in which we acted as a market maker and transactions we
observed between other market participants. Goldman Sachs called for and paid (known as
“posting”) collateral consistent with the marks we used for our internal and external reporting
purposes as well as for our own collateral posting calculations.
The foundation of our approach to risk management is based upon disciplined mark-to-market
accounting. This involves the daily practice of valuing the firm’s assets and liabilities to current
market levels – that is, the value one might expect to find on the open market. Without a
realistic view of our own financial position, we would not be able to properly assess or manage
our risk. Goldman Sachs is one of the few financial institutions in the world that carries virtually
all financial instruments held in its inventory at current market value, with any changes reflected
immediately in our risk management systems.
Significant Trading Activity On Behalf of Clients Informed Pricing
Throughout 2007 and 2008, Goldman Sachs was an active market maker in cash and credit
default swap (CDS) mortgage products. This market activity provided a strong foundation for
our marks:
For example, from May 2007 through November 2008, our Mortgage Department bought and
sold approximately:
$85 billion notional amount of the ABX and TABX indices, representing 5,000 trades
$17 billion principal amount of RMBS cash securities, representing 2,000 trades
$32 billion notional amount of RMBS CDS, comprising 5,000 trades
$5 billion principal amount of CDO cash securities, in more than 350 trades
$16 billion notional amount of CDO CDS, in more than 800 trades
The following graphs provide for RMBS and CDOs the total notional traded and trade count on a
monthly basis from May of 2007 through November 2008. In addition, we have provided to the
Commission the detailed list of all transactions executed during that time (bearing production
number GS MBS 0000039095).
1
Confidential Treatment
Requested by Goldman Sachs
GS MBS 0000039096
2
Confidential Treatment
Requested by Goldman Sachs
GS MBS 0000039097
How We Determined Pricing
Our marks were based upon the best available market information at the time, including
observed trades, actionable bids or offers from other parties, and other market information
sourced through our franchise.
Consistent with other cash and derivative markets, it was not unusual for there to be an
absence of transactions in specific RMBS, CDO securities and derivatives. In addition, certain
securities often had only one or a limited numbers of holders. As a result, we used observed
transactions in comparable instruments (e.g., instruments having similar underlying collateral,
structure, and/or risk/reward profile) to help inform our valuations.
Market information we used in connection with determining valuations extended beyond trades
executed by Goldman Sachs. We were frequently asked to bid and/or offer securities or
derivatives. Whether or not we executed a transaction, we were able to obtain additional useful
pricing information from client feedback as well as other market color.
At times, in order to gauge the fair value of the CDO securities, we would also value the
collateral underlying the CDO. This approach, referred to as a net asset value (“NAV”) analysis,
valued the underlying collateral based upon the best available market information for the
underlying RMBS and other securities at that time.
This NAV analysis incorporated additional factors into the valuation process. For example:
3
Confidential Treatment
Requested by Goldman Sachs
GS MBS 0000039098
CDO securities began to trade at a discount to NAV-implied values as market
participants penalized less liquid and complex instruments during the market
deterioration in 2007 and 2008;
Valuations of the CDO securities reflected the allocation of NAV across the CDO’s
capital structure (e.g., senior classes vs. subordinate classes).
While a certain degree of judgment was necessary in these valuations, we were able to access
the best available market information to price these CDO securities and to ensure that our
pricing represented actual fair market values at the time.
Market Moves, Examples of Comparable Transactions and Timeline
100
01/03/08:
GS called AIG FP
for $2.1bn
07/26/07:
GS called AIG
FP for $1.8bn
90
80
Price Moves
02/13/08:
ALTS 2006-3A
at 30 cents
A
70
B
C
60
10/17/07:
ALTS 2005-1A B
at 70 cents
Price
50
03/28/08:
ALTS 2006-3A
at 32 cents
11/13-14/07:
GLCR 2006-4X A1
at 43 cents
D
40
30
07/10/07:
Rating Agencies
downgrade billions
of RMBS
03/13/08:
GS called AIG FP
for $4.9bn
05/07/08:
SMSTR 2004-1A A1
at 56 cents
08/21/08:
GS called AIG FP
for $2.5bn
20
10
Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08
GS-AIG CDO Trades
ABX 06-1 double-A
ABX 06-1 triple-B
The above graph depicts Goldman Sachs’ weighted average price of the back-to-back CDO
trades (i.e., trades in which AIG sold credit protection to Goldman Sachs and Goldman Sachs
sold credit protection to another counterparty referencing the same security), hereafter referred
to as the “AIG portfolio”. These trades constituted the substantial majority of the CDS
transactions we undertook with AIG. AIG’s CDO trades predominantly consisted of high-grade
(typically double-A average rating) and mezzanine (typically triple-B average rating) CDOs from
the 2003 to early 2006 vintages. Also shown are two indices referencing subprime securities
issued in the second half of 2005 -- the double-A rated and triple-B rated tranches of the ABX
4
Confidential Treatment
Requested by Goldman Sachs
GS MBS 0000039099
06-1 index. These indices represented the most liquid and observable proxy for the vintage and
ratings of the RMBS underlying the AIG CDO positions.
From July of 2007 through November of 2008 there was observable market data which provided
the basis for our collateral requests to AIG.
A) July 2007:
In mid-July 2007, before our first collateral call to AIG, rating agencies downgraded
hundreds of subprime RMBS and put hundreds more securities on watch for further
downgrades. With tens of billions of dollars of subprime securities negatively impacted,
ABX and subprime RMBS prices dropped sharply and significantly over the month.
o Specifically, in July, the ABX 06-1 AA index dropped 7 points from $100 to $93,
and ABX 06-1 BBB index dropped 21 points from $86 to $65. At the time, these
were unprecedented drops and new market lows.
Over the course of July, after the subprime ratings downgrades, a number of our clients
requested that dealers bid on more than $1 billion of CDO risk. Clients wanted to sell
their risk, but frequently could not find buyers at prices they liked.
Dealers were aggressively buying CDS protection on CDOs across the vintage
spectrum. During July 2007, we observed CDS on subordinate classes from 2005 and
earlier vintage CDOs trading at 70 cents on the dollar or lower in competitive auctions.
In particular, this was the case for high grade CDOs such as ALTS 2005-1A, ALTS
2005-2A, and BUCK 2005-2A and mezzanine CDOs such as DUKEF 2005-9A, GSCSF
2005-1A, PS 2A, SCF 5A, TOPG 2005-2A and TRNTY 2005-1A. Although, of the above
CDOs, only ALTS 2005-2A CDO was specifically referenced in the AIG portfolio, the
observed transactions clearly substantiated widespread re-pricing of 2005 and earlier
vintage CDOs in the market.
In July, we traded approximately $14 billion RMBS and approximately $1 billion CDOs
across cash securities, single name CDS, and CDS indices.
The observed significant re-pricing of CDO liabilities and the relevant market moves
necessitated the initial collateral call to AIG, as illustrated by the graph on page 4.
B) October - November 2007:
During October and November 2007, based upon increasing delinquencies and clear
credit deterioration in underlying subprime RMBS, rating agencies downgraded dozens
of CDO transactions with billions of dollars in outstanding securities. CDO prices
continued to fall during this period, as the following examples reflect.
5
Confidential Treatment
Requested by Goldman Sachs
GS MBS 0000039100
On October 17th, we bought at 70 cents on the dollar ALTS 2005-1A B, the double-A
rated subordinate tranche from a 2005 vintage high grade CDO. The ALTS 2005-1A
CDO is very similar to the ALTS 2005-2A CDO on which AIG had written super senior
protection to Goldman Sachs. In particular, the two ALTS CDOs have similar type and
vintage of collateral, similar structures and the same collateral manager. The trade on
the subordinate ALTS 2005-1A B tranche at 70 clearly demonstrated that market pricing
at the time reflected a significant degree of stress for 2005 vintage high grade CDOs.
On October 30th, the mark we used for the AIG collateral call on ALTS 2005-2A super
senior was 87.
On November 30th, we owned SMSTR 2004-1A A1, the super senior class of a 2004
vintage mezzanine CDO, marked on our books at a price of 68. We viewed this
particular security as better quality and more desirable versus the mezzanine CDO
transactions in the AIG portfolio, which had a weighted average price of approximately
69 as of November 30th in the AIG collateral call. SMSTR 2004-1A A1 was ultimately
sold on May 7, 2008 at 56 cents on the dollar.
From the beginning of October through the end of November 2007, the ABX 06-1 AA
index dropped 9 points from $95 to $86 and ABX 06-1 BBB index dropped 28 points
from $61 to $33, as illustrated by the graph on page 4.
During this period, we traded more than $13 billion RMBS and approximately $700
million CDOs across cash securities, single name CDS and CDS indices.
C) December 2007 - January 2008:
Cash CDO trading activity picked up considerably in late 2007 and into early 2008. In
December 2007, we purchased almost $800 million notional of various senior and
subordinate CDO securities.
On November 13th and 14th, we purchased at a blended price of approximately 43 cents
on the dollar almost $67 million of GLCR 2006-4A A1, an early 2006 vintage mezzanine
CDO. This transaction was comparable to specific line items in the AIG CDO portfolio, in
particular SCF 8A A1, which was marked at 55 cents on the dollar as of November 30th.
We observed that approximately $90 million of the super senior class from TRAIN 3A
A1, a 2003 vintage mezzanine CDO, traded at approximately 70 cents on the dollar.
Although this specific bond was not in AIG’s portfolio, this observation clearly
substantiated the fact that even highly seasoned super senior CDO tranches traded at a
significant discount to par value at the time.
From the beginning of December 2007 through the end of January 2008, the ABX 06-1
AA index dropped 2 points from $86 to $84 and the ABX 06-1 BBB index dropped 4
points from $33 to $29, as illustrated by the graph on page 4.
6
Confidential Treatment
Requested by Goldman Sachs
GS MBS 0000039101
During this period, we traded approximately $7 billion RMBS and approximately $1.4
billion CDOs across cash securities, single name CDS and CDS indices.
D) February-March 2008:
The RMBS and CDO markets became further stressed in February and March 2008 as
Bear Stearns nearly failed, the hedge fund Peloton Partners collapsed and other
mortgage participants experienced financial distress and investors were concerned that
a substantial amount of assets would be sold into the market.
On February 13th, we facilitated a client unwind of $296 million notional credit protection
referencing the super senior tranche of ALTS 2006-3A, an early 2006 vintage high grade
CDO, at approximately 30 cents on the dollar. This high grade CDO security was similar
to early 2006 vintage high grade CDOs on which AIG had sold Goldman Sachs credit
protection, and in particular WESTC 2006-1A which was marked at 33 on February 29th.
On March 28th, we purchased $38 million of the super senior class of the same ALTS
2006-3A high grade CDO at approximately 32 cents on the dollar from a different client.
The price of WESTC 2006-1A super senior was marked at 33 on March 28th.
From the beginning of February through the end of March 2008, the ABX 06-1 AA index
dropped 13 points from $83 to $70 and ABX 06-1 BBB index dropped 11 points from $29
to $18, as illustrated by the graph on page 4.
During this period, we traded approximately $21 billion RMBS and approximately $1.4
billion CDOs across cash securities, single name CDS and CDS indices.
CDO Valuation Discussion with AIG
Throughout the period of the collateral dispute, we continued to augment and refine tools to
provide additional analysis for our valuations.
In particular, in January 2008, in order to have a very detailed dialogue with AIG about our
pricing, we performed an extensive analysis on our CDO transactions with AIG.
ALTS 2005-2A A1 is a super senior tranche from a late 2005 vintage high grade CDO.
The valuation approach we used began with the underlying portfolio net asset value
(“NAV”). The underlying portfolio was 96% RMBS, comprised of alt-A (43%), subprime
(36%) and prime (15%), with the other 4% of the portfolio comprised of various other
types of asset backed securities. Almost 95% of the collateral was issued in 2005 and
had original ratings of triple-A (46%), double-A (25%) and single-A (29%). Informed by
our market making activities in RMBS, Goldman Sachs used the large amount of
available trade information to price the underlying assets. The result of this analysis was
7
Confidential Treatment
Requested by Goldman Sachs
GS MBS 0000039102
an average price of $73 for alt-A, $67 for subprime and $87 for prime arriving at a
weighted average portfolio NAV of approximately 71 cents on the dollar.
The super senior notes comprised approximately 87.1% of the overall CDO capital
structure. Therefore, the portfolio market value was equal to approximately 81.4% of the
face amount of the super senior class (71.0/87.1). The portfolio NAV divided by the
super senior tranche size ignores the cashflows owed as well as the value of the other
parts of the CDO capital structure, such as subordinate tranches, swap counterparties,
and other fees and expenses (collectively referred to as cashflow “leakage”). For ALTS
2005-2A A1, we estimated the leakage (using market pricing for the subordinate CDO
liabilities and the embedded fixed/floating interest rate swap) to be approximately 6% of
the super senior face amount. Deducting this 6% leakage from 81.4% resulted in a
NAV-based calculated value of 75.4 for the super senior tranche.
Goldman Sachs’ bid and offer for ALTS 2005-2A A1 was 67.5 / 77.5, further informed by
the market supply/demand dynamic, other market pricing information, in depth portfolio
analysis and relative value tools. The mid-market price of 72.5 was used for purposes of
margining the CDS protection with AIG.
BROD 2005-1A A1NA and A1B1 are pari passu super senior tranches from a 2005
vintage high grade CDO issued in late 2005. The underlying portfolio was 80% RMBS,
comprised of subprime (45%), alt-A (26%), and prime (9%), with the other 20% of the
portfolio comprised mostly of CDOs. Over 90% of the collateral was issued in 2005 and
had original ratings of triple-A (25%), double-A (47%) and single-A (27%). Informed by
our market making activities in RMBS and other products, Goldman Sachs used the
large amount of available trade information to price the underlying assets. The result of
this analysis was an average price of $57 for 2005 collateral and $70 for 2004 vintage
collateral arriving at an NAV of 57 cents on the dollar.
The super senior class comprised approximately 84.0% of the overall CDO capital
structure. The leakage was estimated to be approximately 4.0% of the super senior
class face amount on this date. Therefore, the NAV-based calculated value was 64.4
(i.e., 57.5 / 84.0 – 4.0).
Incorporating the market supply/demand dynamic and other market pricing information,
our bid and offer for BROD 2005-1A A1NA and A1B1 was 55 / 65. The mid-market price
of 60 was used for purposes of margining the CDS protection with AIG.
SCF 8A A1NV is an early 2006 vintage mezzanine super senior CDO. The underlying
portfolio was 88% RMBS, comprised mostly of subprime (73%) and alt-A (14%) with the
other 12% of the portfolio consisted mostly of CDOs and CMBS. More than 85% of the
collateral was issued in 2005 or later and had original ratings of triple-B (98%), and
single-A (2%). Informed by our market making activities in RMBS and other products,
we used the large amount of available trade information to price the underlying assets.
The result of this analysis was an average price of $43 for the RMBS, $86 for the CMBS
and $5 for the CDOs, resulting in a portfolio NAV of 41 cents on the dollar.
8
Confidential Treatment
Requested by Goldman Sachs
GS MBS 0000039103
The super senior class size was 68.1% of the overall CDO capital structure. We
estimated the leakage to be approximately 10.6% of the super senior class face amount.
Therefore, the NAV-based value was 49.4.
Incorporating the market supply/demand dynamic and other market pricing information,
our bid and offer for SCF 8A A1NV was 37.5 / 47.5. The mid-market price of 42.5 was
used for purposes of margining the CDS protection with AIG.
Although we did not conduct the same level of analysis as the January 2008 exercise
summarized above, throughout the course of our collateral dispute with AIG we performed
analyses of comparable transactions and actionable bids and offers using a similar
methodology.
Conclusion
We believe that our marks on the GS-AIG trades were accurate for a number of reasons,
including:
As we have demonstrated, our fair value marks were based upon the best available
market information at that time because we were an active market maker in cash and
credit default swap mortgage products throughout 2007 and 2008.
We were willing and ready to make a two-way market. If AIG believed that our marks
were too low relative to the rest of the market, it could have bought additional risk at
those significantly lower prices. It did not.
We told AIG that it could offer our prices to other counterparties in an effort to find
clearing levels for the specific reference obligations if it was not interested in adding risk.
The prices at which we marked the securities were consistent with the prices we had on
similar securities that we held in our inventory.
We used consistent prices to post collateral to clients on the other side of the AIG
transactions.
We felt confident enough in the accuracy of our marks to pay a premium to other
financial institutions in order to hedge our uncollateralized credit risk to AIG.
We questioned AIG’s view of the value of super senior CDO risk they insured because:
We provided our individual marks to AIG on a daily basis, but AIG did not provide us with
its marks, despite repeated requests to do so. This was not consistent with how other
counterparties looked to resolve valuation disputes.
AIG stated on numerous occasions in our discussions with them that they were not
actively trading in the market.
AIG depended on third party marks but confirmed on multiple occasions that it could not
buy or sell on those prices. In other words, the marks they cited were not actionable.
During early discussions with AIG, they stated they were looking at their positions on a
“more fundamental” basis and were accordingly not incorporating actual current market
values.
Indeed, as AIG stated during its testimony before the FCIC, it did not have an internal pricing
system to value the securities on which they sold credit protection until December 2007.
9
Confidential Treatment
Requested by Goldman Sachs
GS MBS 0000039104
From: Broeckel, Janet [Legal]
Sent: Thursday, August 05, 2010 6:54 PM
To: Carl McCarden
Cc: Chris Seefer
Subject: FW: Follow-up Questions on Information Provided on 07/14/10 re AIG Exposure (GS MBS 0000038855.xls)
Carl,
In response to your request, enclosed please find a list of the other Index constituents for the relevant Indices. Please note, however, that as
we previously discussed with you, the index exposures included as part of the Non-CDS risk in the spreadsheet provided relate only to
Goldman Sachs’ exposure to AIG as a component of the Index – it does not include any exposure Goldman Sachs had to the other components
of the Index. For example, if Goldman Sachs had purchased 100M of notional protection on the IG Index (which included 125 names in total),
the risk reflected in the total Non-CDS exposure would only be .8M (i.e., 1/125 th of the 100M notional).
Please call me with you have any questions.
_______________________________________________
Janet A. Broeckel
Managing Director and Associate General Counsel
Goldman, Sachs & Co.
This message may contain information that is confidential or privileged. If you are not the intended recipient, please advise the sender
immediately and delete this message and any attachments. Follow this link for further information on confidentiality and the risks inherent in
electronic communication: http://www.gs.com/disclaimer/email/
Carl McCarden
Sent: Wednesday, August 04, 2010 12:17 PM
To: Broeckel, Janet [Legal]
Cc: Chris Seefer
Subject: Follow-up Questions on Information Provided on 07/14/10 re AIG Exposure (GS MBS
0000038855.xls)
Janet,
We received a few follow-up questions on the information that you provided on Goldman’s
hedges of the exposure to AIG as of 09/15/08. We would like to know the components (other
than AIG) of the indices that were listed under the Non-CDS risk comments on the spreadsheet
entitled “AIG CDS/Other Notional as of 09/15/08.” I have included the relevant section of the
spreadsheet below.
Non-CDS risk comments
London Correlation tranche/index exposure
558,526,816
14,886,484
New York Correlation tranche / index exposure
174,814,276
New York Index index exposure
PFI ILFC bond exposure
(85,000,000)
663,227,576
* Non-CDS risk (for Correlation and Index products) is based on approximate notional
values derived using Recovery in Default and JTD risk
Thank you in advance for your time and assistance.
Regards,
Carl
Carl McCarden
CDX.NA.IG.7
CDX.NA.IG.8
CDX.NA.IG.9
CDX.NA.IG.10
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CDX.NA.IG.FIN.8
CDX.NA.IG.6
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CDX.NA.IG.FIN.6
CDX.NA.IG.5
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CDX.NA.IG.FIN.5
CDX.NA.IG.4
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CDX.NA.IG.FIN.4
CDX.NA.IG.3
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CDX.NA.IG.2
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CDX.NA.IG.1
Index Constituents / Index Series
ACE LIMITED
AETNA INC.
ALCOA INC.
ALLTEL CORPORATION
ALLY FINANCIAL INC.
ALTRIA GROUP, INC.
AMERICAN AXLE & MANUFACTURING, INC.
AMERICAN ELECTRIC POWER COMPANY, INC.
AMERICAN EXPRESS COMPANY
AMERICAN INTERNATIONAL GROUP, INC.
AMGEN INC.
ANADARKO PETROLEUM CORPORATION
ARROW ELECTRONICS, INC.
AT&T CORP.
AT&T INC.
AT&T MOBILITY LLC
AUTOZONE, INC.
AVIS BUDGET GROUP, INC.
BANK OF AMERICA CORPORATION
BAXTER INTERNATIONAL INC.
BELLSOUTH CORPORATION
BELO CORP.
BOEING CAPITAL CORPORATION
BOMBARDIER CAPITAL INC.
BOMBARDIER INC.
BOSTON SCIENTIFIC CORPORATION
BRISTOL-MYERS SQUIBB COMPANY
BRUNSWICK CORPORATION
BURLINGTON NORTHERN SANTA FE, LLC
CA, INC.
CAMPBELL SOUP COMPANY
CAPITAL ONE BANK (USA), NATIONAL ASSOCIATION
CARDINAL HEALTH, INC.
CARNIVAL CORPORATION
CATERPILLAR INC.
CBS CORPORATION
CENTEX CORPORATION
CENTURYLINK INC
CIGNA CORPORATION
CIT GROUP INC.
CLEAR CHANNEL COMMUNICATIONS, INC.
COMCAST CABLE COMMUNICATIONS, LLC
COMCAST CORPORATION
COMPUTER SCIENCES CORPORATION
CONAGRA FOODS, INC.
CONOCOPHILLIPS
CONSTELLATION ENERGY GROUP, INC.
COX COMMUNICATIONS, INC.
CSX CORPORATION
CVS CAREMARK CORPORATION
DARDEN RESTAURANTS, INC.
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DEERE & COMPANY
DEVON ENERGY CORPORATION
DOMINION RESOURCES, INC.
DUKE ENERGY CAROLINAS, LLC
E. I. DU PONT DE NEMOURS AND COMPANY
EASTMAN CHEMICAL COMPANY
EASTMAN KODAK COMPANY
EMBARQ CORPORATION
EOP OPERATING LIMITED PARTNERSHIP
EXPEDIA, INC.
FEDERAL HOME LOAN MORTGAGE CORPORATION*
FEDERAL NATIONAL MORTGAGE ASSOCIATION*
FIRST DATA CORPORATION
FIRSTENERGY CORP.
FORD MOTOR CREDIT COMPANY LLC
FORTUNE BRANDS, INC.
FRONTIER COMMUNICATIONS CORPORATION
GANNETT CO., INC.
GENERAL ELECTRIC CAPITAL CORPORATION
GENERAL MILLS, INC.
GOODRICH CORPORATION
HALLIBURTON COMPANY
HARRAH'S OPERATING COMPANY, INC.
HESS CORPORATION
HEWLETT-PACKARD COMPANY
HILTON HOTELS CORPORATION
HONEYWELL INTERNATIONAL INC.
HP Enterprise Services, LLC
INGERSOLL-RAND COMPANY
INTELSAT S.A.
INTERNATIONAL BUSINESS MACHINES CORPORATION
INTERNATIONAL LEASE FINANCE CORPORATION
INTERNATIONAL PAPER COMPANY
INTERVAL ACQUISITION CORP.
ISTAR FINANCIAL INC.
J. C. PENNEY COMPANY, INC.
JONES APPAREL GROUP, INC.
KERR-MCGEE CORPORATION
KOHL'S CORPORATION
KRAFT FOODS INC.
LEAR CORPORATION
LENNAR CORPORATION
LIBERTY MEDIA LLC
LIMITED BRANDS, INC.
LIZ CLAIBORNE, INC.
LOCKHEED MARTIN CORPORATION
LOEWS CORPORATION
M.D.C. HOLDINGS, INC.
MACY'S RETAIL HOLDINGS, INC.
MACY'S, INC.
MARRIOTT INTERNATIONAL, INC.
MARSH & MCLENNAN COMPANIES, INC.
MASCO CORPORATION
MAYTAG CORPORATION
MBIA INSURANCE CORPORATION
MCDONALD'S CORPORATION
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MCKESSON CORPORATION
MEADWESTVACO CORPORATION
METLIFE, INC.
MOTOROLA, INC.
NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP
NEW ALBERTSON'S, INC.
NEW CINGULAR WIRELESS SERVICES, INC.
NEWELL RUBBERMAID INC.
NEWS AMERICA INCORPORATED
NORDSTROM, INC.
NORFOLK SOUTHERN CORPORATION
NORTHROP GRUMMAN CORPORATION
OLIN CORPORATION
OMNICOM GROUP INC.
PROGRESS ENERGY, INC.
PULTEGROUP, INC.
QUEST DIAGNOSTICS INCORPORATED
R.R. DONNELLEY & SONS COMPANY
RADIAN GROUP INC.
RADIOSHACK CORPORATION
RAYTHEON COMPANY
RESIDENTIAL CAPITAL, LLC
RIO TINTO ALCAN INC.
ROHM AND HAAS COMPANY
SABRE HOLDINGS CORPORATION
SAFEWAY INC.
SARA LEE CORPORATION
SEARS ROEBUCK ACCEPTANCE CORP.
SEMPRA ENERGY
SIMON PROPERTY GROUP, L.P.
SOUTHWEST AIRLINES CO.
SPRINT NEXTEL CORPORATION
STARWOOD HOTELS & RESORTS WORLDWIDE, INC.
SUN MICROSYSTEMS, INC.
SUPERMEDIA INC
SUPERVALU INC.
TARGET CORPORATION
TEMPLE-INLAND INC.
TEXTRON FINANCIAL CORPORATION
THE ALLSTATE CORPORATION
THE BLACK & DECKER CORPORATION
THE CHUBB CORPORATION
THE DOW CHEMICAL COMPANY
THE GAP, INC.
THE HARTFORD FINANCIAL SERVICES GROUP, INC.
THE HOME DEPOT, INC.
THE KROGER CO.
THE MCCLATCHY COMPANY
THE NEW YORK TIMES COMPANY
THE SHERWIN-WILLIAMS COMPANY
THE WALT DISNEY COMPANY
TIME WARNER INC.
TOLL BROTHERS, INC.
TOYS 'R' US, INC.
TRANSOCEAN INC.
TRIBUNE COMPANY
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TYSON FOODS, INC.
UNION PACIFIC CORPORATION
UNIVERSAL HEALTH SERVICES, INC.
VALERO ENERGY CORPORATION
VERIZON COMMUNICATIONS INC.
VIACOM INC.
VISTEON CORPORATION
WAL-MART STORES, INC.
WASHINGTON MUTUAL, INC.
WELLS FARGO & COMPANY
WENDY'S INTERNATIONAL, INC.
WEYERHAEUSER COMPANY
WHIRLPOOL CORPORATION
WINDSTREAM CORPORATION
WYETH LLC
XL GROUP LTD.
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* Credit event during September 2008, would have been removed from the Index
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From: Padgett, Jason D.
Sent: Thursday, August 05, 2010 7:00 PM
To: Chris Seefer
Cc: Broeckel, Janet [Legal]; Klapper, Richard; Edelman, Theodore
Subject: Goldman Sachs
Chris,
Per Janet’s email yesterday, I have attached GS Group’s response to the Commission’s request for
information concerning GS Group’s revenues associated with derivatives activities (bearing
production number GS MBS 0000040066-67). As Janet’s email indicated, GS Group’s response
provides estimates of the allocation of activity from fee and cash-based businesses and derivativebased businesses. Please let us know if you have any questions.
Please note the following:
Pursuant to Section 5 of the Fraud Enforcement and Recovery Act of 2009, Pub. L. No. 111-21, 123
Stat. 1617, we hereby request on behalf of GS Group that this letter and the material to which it
refers be maintained in a secure manner and not be disclosed to the public, including in response
to any request under the Freedom of Information Act, 5 U.S.C. § 552. If you wish to release any of
these documents publicly, GS Group respectfully requests reasonable advance notice of your intent
to do so and the opportunity to object to, or to seek to limit, such a release.
Very truly yours,
Jason D. Padgett
SULLIVAN & CROMWELL LLP
Estimated Revenue Analysis
Per the Commission’s request, please find below an analysis of the firm’s estimated revenues associated with
derivatives activities. We would make several important points:
Like every other major financial institution, Goldman Sachs does not manage its trading desks or its trading risk
such that aggregate firmwide revenues generated by derivative transactions can be separately delineated from
revenues generated by any other form of trading. Desks are responsible for facilitating customer transactions in
a particular asset class regardless of whether a customer is seeking to execute a trade in cash or derivative form,
and for managing their risk holistically, no matter in what form that risk was obtained.
For example, desks in credit products generally organize themselves by industry sectors, e.g. financials or
telecoms. Traders in each of these sectors are indifferent between having risk in credit derivative form or in
bond form and will trade both with clients. Residual credit risk is minimized in the most efficient manner
regardless of whether the transaction reducing credit risk is in derivative or bond form. As a consequence, the
resulting portfolios are a mixture of bonds and CDS contracts and any tracking or analysis of net revenue
dissecting the two product lines would have no relevance or significance. Similar relationships exist between
derivative and cash instruments across all other product classes.
Since we do not use aggregate firmwide derivative revenues as information to manage our trading business, our
systems have not been designed to track revenues in this manner.
In the absence of this information, and in an effort to be responsive to the Commission’s request, we have
attempted to derive a potential range of aggregate firmwide revenues from derivative activities by performing a
rough analysis of our major businesses from 2006 to 2009 and allocating them as either “cash” or “derivatives”.
We did this based on our best guess as to the predominant form of trading in each desk, as well as an estimated
allocation of franchise trading activity between “cash” and “derivatives”. We note that revenues from
“derivatives” include both exchange‐traded and over‐the‐counter transactions, and from transactions entered
into by Goldman Sachs affiliates world‐wide.
The results of this analysis are below:
Business
Firmwide
Equities
FICC
Interest Rate Products
Currencies
Commodities
Credit
Mortgages
Merchant Banking
Investment Banking
Investment Management
Estimated % of Activity from Fee
Based and Cash‐based Businesses
Estimated % of Activity from
Derivative‐based businesses
65% to 75%
80% to 85%
45% to 50%
45% to 50%
35% to 45%
25% to 30%
55% to 65%
40% to 70%
25% to 35%
15% to 20%
50% to 55%
50% to 55%
55% to 65%
70% to 75%
35% to 45%
30% to 60%
100%
100%
100%
N/A
N/A
N/A
Confidential Treatment Requested by Goldman Sachs
GS MBS 0000040066
To be clear, these percentages do not accurately reflect the percentage of aggregate firmwide revenues from
derivative transactions, since each individual business is a mix of derivative and non‐derivative activity.
We also reiterate that the results above were prepared solely for the purposes of your request and we would
not (and do not) use this information in the management of our businesses. In fact, failure to analyze and report
risk on a fully integrated basis (i.e., without regard to the form in which that risk was obtained) would be
extremely detrimental to effective risk management.
It is our understanding that none of our major competitors track aggregate derivative revenues. We have
discussed U.S. GAAP reporting requirements with respect to revenues from derivative transactions with both
our regulators and our external auditors, PricewaterhouseCoopers. Based on those discussions and other
research we have performed, we continue to believe there is no requirement for institutions that include
derivatives with their cash trading activities to report aggregate firmwide revenues from derivative transactions.
Also, as stated by the Financial Accounting Standards Board in paragraph A35 of the basis for conclusions to
Financial Accounting Standard FAS 161: Disclosures about Derivative Instruments and Hedging Activities, “A
dealer’s trading activity often is included in a trading portfolio that contains both market‐making and proprietary
positions. The dealer manages the overall risk in the trading portfolio by using both derivative and nonderivative
instruments. Under these circumstances, disclosing the gains and losses only on derivative instruments included
in a dealer’s trading portfolio would not be meaningful (and could even be misleading) because the offsetting
losses and gains on the nonderivative instruments included in the same trading portfolio are not disclosed. The
Board agreed with those concerns and decided that an entity does not have to complete certain sections of the
required statement of financial performance tabular disclosure as long as the entity includes alternative
disclosures about gains and losses from trading activities that include nondesignated/nonqualifying derivative
instruments as well as nonderivative instruments.”
Finally, at the June 30th 2010 hearing the Commission specifically referred to revenues from derivative trading
that purportedly were provided by Goldman Sachs and other firms to the Office of the Comptroller of the
Currency. As the Commission is aware, however, the reports submitted to the OCC do not reflect derivative
revenues, but instead include combined cash and derivative revenues for our bank subsidiary, exactly consistent
with the way we track and report our business activities.
Confidential Treatment Requested by Goldman Sachs
GS MBS 0000040067
The Commission asked whether there were additional counterparties to the super senior credit default
swap trades that we executed with AIGFP. On July 16, 2010 we provided information on the
counterparties to whom we sold credit protection referencing the same securities on which we
purchased protection from AIGFP.
In addition to these credit default swap trades, between May 2005 and February 2007, we bought
approximately $6 billion notional of super senior tranched credit default swap (CDS) protection from
AIGFP on seven reference portfolios related to ABACUS transactions. In contrast to a single‐name CDS
(which references one specific mortgage backed security (MBS) or asset backed security (ABS)), a
tranched CDS references an entire portfolio of MBS and/or ABS with a designated attachment and
detachment point.
Five of these super senior transactions, which had a notional value of $5.2 billion, were executed
between May and November 2005. AIGFP took an active role in negotiating both specific aspects of the
reference portfolios and the legal terms with respect to the transactions. In the first quarter of 2006,
AIGFP notified market participants that it would no longer take incremental exposure to CDO tranches
that referenced mezzanine subprime RMBS. Subsequently, AIGFP wrote credit protection to Goldman
Sachs on the super senior tranches of two synthetic CDOs referencing exclusively commercial mortgage‐
backed securities (CMBS) and other commercial real estate‐related obligations (with no subprime
RMBS).
These ABACUS super senior CDS transactions with AIGFP were not “back‐to‐back” trades (i.e., having a
simultaneous sale of offsetting tranched CDS protection to a different counterparty). Rather, traders
managed the risk of these and all the other trades in the book as a whole. Traders utilized ABX, CMBX,
single‐name CDS, TRS and cash securities to hedge these and other tranched CDS trades to adjust the
overall risk profile of the book and achieve a generally balanced position as market prices fluctuated
over time. Hedging using indices, single‐name CDS, TRS or cash securities in this manner requires a
dynamic risk management approach. Hedges must be monitored frequently and, on occasion,
rebalanced because tranched CDS are option‐like instruments that are tied to the market price of (and
credit losses on) the reference portfolio. As with any derivative having an option‐like profile, the risk
profile changes not only as the underlying instruments change in value, but also with the passage of
time.
None of the above ABACUS super senior CDS transactions were included in the Maiden Lane III
transaction. On July 15, 2010, we provided the Commission the status of each trade that was not
included in Maiden Lane III, including the net proceeds received for all trades which were terminated.
Confidential Treatment
Requested by Goldman Sachs
GS MBS 0000040068
From: Fredman, Sheara [Fin]
Sent: Monday, August 09, 2010 7:12 PM
To: 'cseefer@fcic.gov'
Cc: Smith, Sarah [Fin]; Lee, Brian-J (FI Controllers) [Fin]; Simpson, Michael [Fin]; Fredman, Sheara
[Fin]; Broeckel, Janet [Legal]; Michaels, Susan [Fin]
Subject: Response to FCIC Hearing Request
Chris,
We have attached a response to the question from the hearing surrounding the trades in which AIG sold credit
protection to Goldman Sachs and Goldman Sachs did not sell credit protection to a counterparty referencing the
same security (bearing production number GS MBS 40068). Please let us know if you have any questions.
Thanks,
Sheara
Please note the following:
Pursuant to Section 5 of the Fraud Enforcement and Recovery Act of 2009, Pub. L. No. 111-21, 123 Stat. 1617, we
hereby request on behalf of GS Group that this letter and the material to which it refers be maintained in a
secure manner and not be disclosed to the public, including in response to any request under the Freedom of
Information Act, 5 U.S.C. § 552. If you wish to release any of these documents publicly, GS Group respectfully
requests reasonable advance notice of your intent to do so and the opportunity to object to, or to seek to limit,
such a release.
From: Fredman, Sheara [Fin]
Sent: Thursday, August 12, 2010 1:50 PM
To: Chris Seefer
Cc: Smith, Sarah [Fin]; Lee, Brian-J (FI Controllers) [Fin]; Simpson, Michael [Fin]; Fredman, Sheara
[Fin]; Broeckel, Janet [Legal]; Michaels, Susan [Fin]
Subject: Response to FCIC Request
Chris –
The Commission had requested in the hearing for revenues from our proprietary trading activities which
are associated with trading derivative products. As we have previously stated, we manage our
businesses based on their net risk exposures, which are comprised of combined cash and derivative
positions. Of the business units that solely engage in proprietary trading activities and do not facilitate
customers, Macro Proprietary Trading trades predominantly in derivative positions (although like most
of our businesses, trades cash as well as derivative positions). The spreadsheet attached below
(bearing production number GS MBS 39110) includes a breakdown of revenues and profits and losses
for Macro Proprietary Trading.
Please let us know if you need additional information.
Thanks,
Sheara
_____________________________________________
From: Fredman, Sheara [Fin]
Sent: Tuesday, August 03, 2010 7:20 PM
To: 'cseefer@fcic.gov'
Cc: Smith, Sarah [Fin]; Lee, Brian-J (FI Controllers) [Fin]; Simpson, Michael [Fin]; Fredman, Sheara
[Fin]; Broeckel, Janet [Legal]; Michaels, Susan [Fin]
Subject: Response to FCIC Request
Chris
As we stated in our March 8, 2010 response to request 28 of the FCIC’s January 28, 2010 letter, Goldman Sachs
has certain business units that solely engage in proprietary trading activities and are not customer facilitation in
nature. These business units are principal equity strategies, credit principal investing and macro proprietary
trading businesses. On June 2, 2010, in an email from Tom Greene, the FCIC requested further information
about our proprietary trading activities, including a breakdown of the revenues, profits and losses, and details of
the assets held by those business units. In the attached spreadsheet (bearing production number GS MBS
39110) we are providing a spreadsheet that details this additional information.
Please let us know if you need additional information.
Thanks,
Sheara
Please note the following:
The Goldman Sachs Group, Inc. (“GS Group”) used various technology and manual resources to generate some of
the documents for production to you in response to your requests. While GS Group believes that these
documents are reasonably accurate, we cannot make an absolute representation that it is complete or that there
are not some inadvertent errors in the preparation of the spreadsheet. We will provide further updates or
corrections if we discover missing information or errors.
Additionally, pursuant to Section 5 of the Fraud Enforcement and Recovery Act of 2009, Pub. L. No. 111-21, 123
Stat. 1617, we hereby request on behalf of GS Group that this letter and the material to which it refers be
maintained in a secure manner and not be disclosed to the public, including in response to any request under
the Freedom of Information Act, 5 U.S.C. § 552. If you wish to release any of these documents publicly, GS
Group respectfully requests reasonable advance notice of your intent to do so and the opportunity to object to,
or to seek to limit, such a release.
(1)
Aggregate Net Revenues and Pre-Tax Profit and Loss from Proprietary Trading
($ in Millions)
CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN SACHS
FY2009
FY2008
FY2007
FY2006
Aggregate Net Revenues
Principal equity strategies
Credit principal investing
Macro proprietary trading
Total
499
153
209
861
(361)
(1,482)
407
(1,436)
1,741
200
264
2,205
877
474
131
1,482
Pre Tax Profit and Loss (1)
Principal equity strategies
Credit principal investing
Macro proprietary trading
Total
214
26
130
371
(581)
(1,607)
206
(1,981)
760
10
141
910
327
214
66
608
Aggregate Assets held for Proprietary Trading
($ in Millions)
FY2009
FY2008
FY2007
FY2006
Principal equity strategies
Cash
Corporate Debt (3)
Equity
Other
292
280
-
686
8,411
-
849
9,448
-
6
50
1
9
9
4,411
23
22
1
17
42
677
21
490
4
85
57
9,754
4
616
3
75
32
11,027
1,459
374
40
2,693
477
41
5,414
1,348
45
3,825
1,222
21
319
3
2,194
Derivatives (2)
Credit
Equity
Interest Rate
Commodity
Currency
Total
1,913
2,423
-
977
43
1
4,232
304
88
0
7,200
22
23
0
5,114
Credit principal investing
Cash
Corporate Debt (3)
Equity
Other
Derivatives (2)
Credit
Equity
Interest Rate
Commodity
Currency
Total
-
Macro proprietary trading
Cash
Corporate Debt
Equity
Other
(3)
Derivatives (2)
Credit
Equity
Interest Rate
Commodity
Currency
Total
-
2
7
-
134
12
-
533
40
-
3
0
33
1
63
100
17
42
92
6
221
387
2
11
231
92
965
1,448
135
318
4,674
225
1,049
6,973
3,372
2,796
40
2,988
764
41
6,234
9,771
45
5,207
10,709
21
328
53
34
10
72
6,705
1,016
107
94
23
263
5,295
327
589
235
177
1,022
18,401
161
958
4,677
300
1,081
23,114
Total
Cash
Corporate Debt (3)
Equity
Other
Derivatives (2)
Credit
Equity
Interest Rate
Commodity
Currency
Total
Notes:
(1) Amounts are approximate
(2) Derivatives asset balances do not include cross product or collateral netting.
(3) Corporate debt includes bank loans and bridge loans, corporate debt securities and other debt obligations and mortgage
and other asset-backed loans and securities.
@FedFRASER