10-Q

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2012

or

¨ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                                             to

Commission File Number: 001-14965

The Goldman Sachs Group, Inc.

(Exact name of registrant as specified in its charter)

Delaware	13-4019460
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)
200 West Street, New York, N.Y.	10282
(Address of principal executive offices)	(Zip Code)

(212) 902-1000

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

x Yes ¨ No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

x Yes ¨ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

  Large accelerated filer  x                     Accelerated filer  ¨

Non-accelerated filer  ¨ (Do not check if a smaller reporting company)        Smaller reporting company  ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

¨ Yes x No

APPLICABLE ONLY TO CORPORATE ISSUERS

As of October 26, 2012, there were 469,943,620 shares of the registrant’s common stock outstanding.

THE GOLDMAN SACHS GROUP, INC.

QUARTERLY REPORT ON FORM 10-Q FOR THE QUARTER ENDED SEPTEMBER 30, 2012

INDEX

Form 10-Q Item Number		Page No.
PART I	FINANCIAL INFORMATION		2
Item 1	Financial Statements (Unaudited)		2
	Condensed Consolidated Statements of Earnings for the three and nine months ended September 30, 2012 and September 30, 2011		2
	Condensed Consolidated Statements of Comprehensive Income for the three and nine months ended September 30, 2012 and September 30, 2011		3
	Condensed Consolidated Statements of Financial Condition as of September 30, 2012 and December 31, 2011		4
	Condensed Consolidated Statements of Changes in Shareholders’ Equity for the nine months ended September 30, 2012 and year ended December 31, 2011		5
	Condensed Consolidated Statements of Cash Flows for the nine months ended September 30, 2012 and September 30, 2011		6
	Notes to Condensed Consolidated Financial Statements		7
	Note 1.       Description of Business		7
	Note 2.       Basis of Presentation		7
	Note 3.       Significant Accounting Policies		8
	Note 4.      Financial  Instruments Owned, at Fair Value and Financial Instruments Sold, But Not Yet Purchased, at Fair Value		12
	Note 5.       Fair Value Measurements		13
	Note 6.       Cash Instruments		15
	Note 7.       Derivatives and Hedging Activities		25
	Note 8.       Fair Value Option		41
	Note 9.       Collateralized Agreements and Financings		51
	Note 10.    Securitization Activities		54
	Note 11.     Variable Interest Entities		57
	Note 12.    Other Assets		62
	Note 13.     Goodwill and Identifiable Intangible Assets		63
	Note 14.    Deposits		65
	Note 15.    Short-Term Borrowings		66
	Note 16.    Long-Term Borrowings		67
	Note 17.     Other Liabilities and Accrued Expenses		71
	Note 18.     Commitments, Contingencies and Guarantees		72
	Note 19.    Shareholders’ Equity		78
	Note 20.     Regulation and Capital Adequacy		81
	Note 21.    Earnings Per Common Share		86
	Note 22.     Transactions with Affiliated Funds		87
	Note 23.     Interest Income and Interest Expense		88
	Note 24.    Income Taxes		88
	Note 25.    Business Segments		89
	Note 26.    Credit Concentrations		93
	Note 27.    Legal Proceedings		94
	Note 28.    Subsequent Event		107
	Report of Independent Registered Public Accounting Firm		108
	Statistical Disclosures		109
Item 2	Management’s Discussion and Analysis of Financial Condition and Results of Operations		113
Item 3	Quantitative and Qualitative Disclosures About Market Risk		183
Item 4	Controls and Procedures		183
PART II	OTHER INFORMATION		183
Item 1	Legal Proceedings		183
Item 2	Unregistered Sales of Equity Securities and Use of Proceeds		184
Item 6	Exhibits		185
SIGNATURES			186

Exhibit 12.1 - Statement re: Computation of Ratios of Earnings to Fixed Charges and Ratios of Earnings to Combined Fixed Charges and Preferred Stock  Dividends.

Exhibit 15.1 - Letter re: Unaudited Interim Financial Information.

Exhibit 31.1 - Rule 13a-14(a) Certifications.

Exhibit 32.1 - Section 1350 Certifications.

Exhibit 101 - Interactive data.

Goldman Sachs September 2012 Form 10-Q 1

PART I. FINANCIAL INFORMATION

Item 1.    Financial Statements (Unaudited)

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Condensed Consolidated Statements of Earnings

(Unaudited)

	Three Months Ended September		Nine Months Ended September
in millions, except per share amounts	2012	2011	2012	2011
Revenues
Investment banking	$1,168	$    781	$  3,534	$  3,498
Investment management	1,147	1,133	3,518	3,495
Commissions and fees	748	1,056	2,407	2,969
Market making	2,650	1,800	8,652	7,998
Other principal transactions	1,802	(2,539)	3,909	675
Total non-interest revenues	7,515	2,231	22,020	18,635
Interest income	2,629	3,354	8,517	10,142
Interest expense	1,793	1,998	5,610	6,015
Net interest income	836	1,356	2,907	4,127
Net revenues, including net interest income	8,351	3,587	24,927	22,762
Operating expenses
Compensation and benefits	3,675	1,578	10,968	10,015
Brokerage, clearing, exchange and distribution fees	547	668	1,658	1,903
Market development	123	140	369	502
Communications and technology	190	209	588	617
Depreciation and amortization	396	389	1,238	1,351
Occupancy	217	262	643	781
Professional fees	205	253	652	749
Insurance reserves	153	197	431	402
Other expenses	547	621	1,486	1,520
Total non-compensation expenses	2,378	2,739	7,065	7,825
Total operating expenses	6,053	4,317	18,033	17,840
Pre-tax earnings/(loss)	2,298	(730)	6,894	4,922
Provision/(benefit) for taxes	786	(337)	2,311	1,493
Net earnings/(loss)	1,512	(393)	4,583	3,429
Preferred stock dividends	54	35	124	1,897
Net earnings/(loss) applicable to common shareholders	$1,458	$   (428)	$  4,459	$  1,532
Earnings/(loss) per common share
Basic	$  2.95	$  (0.84)	$    8.85	$    2.84
Diluted	2.85	(0.84)	8.57	2.70
Dividends declared per common share	$  0.46	$   0.35	$    1.27	$    1.05
Average common shares outstanding
Basic	491.2	518.2	501.1	530.1
Diluted	510.9	518.2	520.1	566.6

The accompanying notes are an integral part of these condensed consolidated financial statements.

2 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Condensed Consolidated Statements of Comprehensive Income

(Unaudited)

	Three Months Ended September				Nine Months Ended September
in millions		2012		2011		2012		2011
Net earnings/(loss)		$1,512		$(393)		$4,583		$3,429
Other comprehensive income/(loss), net of tax:
Currency translation adjustment, net of tax		(11	)	(5)		(63	)	(40)
Pension and postretirement liability adjustments, net of tax		6		1		13		4
Net unrealized gains on available-for-sale securities, net of tax		129		37		184		8
Other comprehensive income/(loss)		124		33		134		(28)
Comprehensive income/(loss)		$1,636		$(360)		$4,717		$3,401

The accompanying notes are an integral part of these condensed consolidated financial statements.

Goldman Sachs September 2012 Form 10-Q 3

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Condensed Consolidated Statements of Financial Condition

(Unaudited)

	As of
in millions, except share and per share amounts	September  2012	December  2011
Assets
Cash and cash equivalents	$  63,639	$  56,008
Cash and securities segregated for regulatory and other purposes (includes $34,087 and $42,014 at fair value as of September 2012 and December 2011, respectively)	53,597	64,264
Collateralized agreements:
Securities purchased under agreements to resell and federal funds sold (includes $147,361 and $187,789 at fair value as of September 2012 and December 2011, respectively)	147,361	187,789
Securities borrowed (includes $47,986 and $47,621 at fair value as of September 2012 and December 2011, respectively)	165,250	153,341
Receivables from brokers, dealers and clearing organizations	15,556	14,204
Receivables from customers and counterparties (includes $6,920 and $9,682 at fair value as of September 2012 and December 2011, respectively)	64,787	60,261
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	415,293	364,206
Other assets	23,724	23,152
Total assets	$949,207	$923,225
Liabilities and shareholders’ equity
Deposits (includes $5,674 and $4,526 at fair value as of September 2012 and December 2011, respectively)	$  61,526	$  46,109
Collateralized financings:
Securities sold under agreements to repurchase, at fair value	166,186	164,502
Securities loaned (includes $243 and $107 at fair value as of September 2012 and December 2011, respectively)	13,640	7,182
Other secured financings (includes $25,179 and $30,019 at fair value as of September 2012 and December 2011, respectively)	29,393	37,364
Payables to brokers, dealers and clearing organizations	6,635	3,667
Payables to customers and counterparties	198,816	194,625
Financial instruments sold, but not yet purchased, at fair value	144,179	145,013
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings (includes $17,620 and $17,854 at fair value as of September 2012 and December 2011, respectively)	47,271	49,038
Unsecured long-term borrowings (includes $12,878 and $17,162 at fair value as of September 2012 and December 2011, respectively)	167,878	173,545
Other liabilities and accrued expenses (includes $9,975 and $9,486 at fair value as of September 2012 and December 2011, respectively)	39,996	31,801
Total liabilities	875,520	852,846
Commitments, contingencies and guarantees
Shareholders’ equity
Preferred stock, par value $0.01 per share; aggregate liquidation preference of $5,350 and $3,100 as of September 2012 and December 2011, respectively	5,350	3,100
Common stock, par value $0.01 per share; 4,000,000,000 shares authorized, 810,459,443 and 795,555,310 shares issued as of September 2012 and December 2011, respectively, and 471,430,795 and 485,467,565 shares outstanding as of September 2012 and December 2011, respectively	8	8
Restricted stock units and employee stock options	4,109	5,681
Nonvoting common stock, par value $0.01 per share; 200,000,000 shares authorized, no shares issued and outstanding	—	—
Additional paid-in capital	47,298	45,553
Retained earnings	62,638	58,834
Accumulated other comprehensive loss	(382)	(516)
Stock held in treasury, at cost, par value $0.01 per share; 339,028,650 and 310,087,747 shares as of September 2012 and December 2011, respectively	(45,334)	(42,281)
Total shareholders’ equity	73,687	70,379
Total liabilities and shareholders’ equity	$949,207	$923,225

The accompanying notes are an integral part of these condensed consolidated financial statements.

4 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Condensed Consolidated Statements of Changes in Shareholders’ Equity

(Unaudited)

	Nine Months Ended	Year Ended
in millions	September  2012	December  2011
Preferred stock
Balance, beginning of year	$   3,100	$   6,957
Issued	2,250	—
Repurchased	—	(3,857)
Balance, end of period	5,350	3,100
Common stock
Balance, beginning of year	8	8
Issued	—	—
Balance, end of period	8	8
Restricted stock units and employee stock options
Balance, beginning of year	5,681	7,706
Issuance and amortization of restricted stock units and employee stock options	1,134	2,863
Delivery of common stock underlying restricted stock units	(2,624)	(4,791)
Forfeiture of restricted stock units and employee stock options	(81)	(93)
Exercise of employee stock options	(1)	(4)
Balance, end of period	4,109	5,681
Additional paid-in capital
Balance, beginning of year	45,553	42,103
Issuance of common stock	—	103
Delivery of common stock underlying share-based awards	2,741	5,160
Cancellation of restricted stock units in satisfaction of withholding tax requirements	(947)	(1,911)
Excess net tax benefit/(provision) related to share-based awards	(48)	138
Cash settlement of share-based compensation	(1)	(40)
Balance, end of period	47,298	45,553
Retained earnings
Balance, beginning of year	58,834	57,163
Net earnings	4,583	4,442
Dividends and dividend equivalents declared on common stock and restricted stock units	(655)	(769)
Dividends on preferred stock	(124)	(2,002)
Balance, end of period	62,638	58,834
Accumulated other comprehensive income/(loss)
Balance, beginning of year	(516)	(286)
Other comprehensive income/(loss)	134	(230)
Balance, end of period	(382)	(516)
Stock held in treasury, at cost
Balance, beginning of year	(42,281)	(36,295)
Repurchased	(3,119)	(6,051)
Reissued	66	65
Balance, end of period	(45,334)	(42,281)
Total shareholders’ equity	$ 73,687	$ 70,379

The accompanying notes are an integral part of these condensed consolidated financial statements.

Goldman Sachs September 2012 Form 10-Q 5

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Condensed Consolidated Statements of Cash Flows

(Unaudited)

	Nine Months Ended September
in millions	2012	2011
Cash flows from operating activities
Net earnings	$   4,583	$   3,429
Non-cash items included in net earnings
Depreciation and amortization	1,238	1,355
Share-based compensation	1,088	2,431
Changes in operating assets and liabilities
Cash and securities segregated for regulatory and other purposes	10,616	(23,691)
Net receivables from brokers, dealers and clearing organizations	1,617	(9,839)
Net payables to customers and counterparties	(244)	26,241
Securities borrowed, net of securities loaned	(5,451)	6,859
Securities sold under agreements to repurchase, net of securities purchased under agreements to resell and federal funds sold	42,112	(18,948)
Financial instruments owned, at fair value	(47,787)	(2,961)
Financial instruments sold, but not yet purchased, at fair value	(831)	21,367
Other, net	2,977	(3,813)
Net cash provided by operating activities	9,918	2,430
Cash flows from investing activities
Purchase of property, leasehold improvements and equipment	(707)	(979)
Proceeds from sales of property, leasehold improvements and equipment	38	53
Business acquisitions, net of cash acquired	(439)	(265)
Proceeds from sales of investments	424	1,985
Purchase of available-for-sale securities	(3,671)	(2,352)
Proceeds from sales of available-for-sale securities	2,838	2,546
Net cash provided by/(used for) investing activities	(1,517)	988
Cash flows from financing activities
Unsecured short-term borrowings, net	(1,691)	(190)
Other secured financings (short-term), net	(2,045)	2,657
Proceeds from issuance of other secured financings (long-term)	4,004	9,505
Repayment of other secured financings (long-term), including the current portion	(10,333)	(8,285)
Proceeds from issuance of unsecured long-term borrowings	22,020	23,908
Repayment of unsecured long-term borrowings, including the current portion	(27,873)	(19,438)
Derivative contracts with a financing element, net	1,145	661
Deposits, net	15,417	3,230
Preferred stock repurchased	—	(3,857)
Common stock repurchased	(3,116)	(5,140)
Dividends and dividend equivalents paid on common stock, preferred stock and restricted stock units	(779)	(2,549)
Proceeds from issuance of preferred stock, net of issuance costs	2,250	—
Proceeds from issuance of common stock, including stock option exercises	148	182
Excess tax benefit related to share-based compensation	84	353
Cash settlement of share-based compensation	(1)	(40)
Net cash provided by/(used for) financing activities	(770)	997
Net increase in cash and cash equivalents	7,631	4,415
Cash and cash equivalents, beginning of year	56,008	39,788
Cash and cash equivalents, end of period	$ 63,639	$ 44,203

SUPPLEMENTAL DISCLOSURES:

Cash payments for interest, net of capitalized interest, were $7.87 billion and $6.11 billion during the nine months ended September 2012 and September 2011, respectively.

Cash payments for income taxes, net of refunds, were $1.09 billion and $1.64 billion during the nine months ended September 2012 and September 2011, respectively.

Non-cash activities:

During the nine months ended September 2012, the firm assumed $77 million of debt in connection with business acquisitions. During the nine months ended September 2011, the firm assumed $2.09 billion of debt and issued $103 million of common stock in connection with the acquisition of Goldman Sachs Australia Pty Ltd, formerly Goldman Sachs & Partners Australia Group Holdings Pty Ltd.

The accompanying notes are an integral part of these condensed consolidated financial statements.

6 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 1.

Description of Business

The Goldman Sachs Group, Inc. (Group Inc.), a Delaware corporation, together with its consolidated subsidiaries (collectively, the firm), is a leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments and high-net-worth individuals. Founded in 1869, the firm is headquartered in New York and maintains offices in all major financial centers around the world.

The firm reports its activities in the following four business segments:

Investment Banking

The firm provides a broad range of investment banking services to a diverse group of corporations, financial institutions, investment funds and governments. Services include advisory assignments with respect to mergers and acquisitions, divestitures, corporate defense activities, risk management, restructurings and spin-offs, and debt and equity underwriting of public offerings and private placements, as well as derivative transactions directly related to these activities.

Institutional Client Services

The firm facilitates client transactions and makes markets in fixed income, equity, currency and commodity products, primarily with institutional clients such as corporations, financial institutions, investment funds and governments. The firm also makes markets and clears client transactions on major stock, options and futures exchanges worldwide and provides financing, securities lending and prime brokerage services to institutional clients.

Investing & Lending

The firm invests in and originates loans to provide financing to clients. These investments and loans are typically longer-term in nature. The firm makes investments, directly and indirectly through funds that the firm manages, in debt securities, loans, public and private equity securities, real estate, consolidated investment entities and power generation facilities.

Investment Management

The firm provides investment management services and offers investment products (primarily through separately managed accounts and commingled vehicles, such as mutual funds and private investment funds) across all major asset classes to a diverse set of institutional and individual clients. The firm also offers wealth advisory services, including portfolio management and financial counseling, and brokerage and other transaction services to high-net-worth individuals and families.

Note 2.

Basis of Presentation

These condensed consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States (U.S. GAAP) and include the accounts of Group Inc. and all other entities in which the firm has a controlling financial interest. Intercompany transactions and balances have been eliminated.

These condensed consolidated financial statements are unaudited and should be read in conjunction with the audited consolidated financial statements included in the firm’s Annual Report on Form 10-K for the year ended December 31, 2011. References to “the firm’s Annual Report on Form 10-K” are to the firm’s Annual Report on Form 10-K for the year ended December 31, 2011. The condensed consolidated financial information as of December 31, 2011 has been derived from audited consolidated financial statements not included herein.

These unaudited condensed consolidated financial statements reflect all adjustments that are, in the opinion of management, necessary for a fair statement of the results for the interim periods presented. These adjustments are of a normal, recurring nature. Interim period operating results may not be indicative of the operating results for a full year.

All references to September 2012 and September 2011 refer to the firm’s periods ended, or the dates, as the context requires, September 30, 2012 and September 30, 2011, respectively. All references to June 2012 and December 2011 refer to the dates June 30, 2012 and December 31, 2011, respectively. Any reference to a future year refers to a year ending on December 31 of that year. Certain reclassifications have been made to previously reported amounts to conform to the current presentation.

Goldman Sachs September 2012 Form 10-Q 7

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 3.

Significant Accounting Policies

The firm’s significant accounting policies include when and how to measure the fair value of assets and liabilities, accounting for goodwill and identifiable intangible assets, and when to consolidate an entity. See Notes 5 through 8 for policies on fair value measurements, Note 13 for policies on goodwill and identifiable intangible assets, and below and Note 11 for policies on consolidation accounting. All other significant accounting policies are either discussed below or included in the following footnotes:

Financial Instruments Owned, at Fair Value and Financial Instruments Sold, But Not Yet Purchased, at Fair Value	Note 4
Fair Value Measurements	Note 5
Cash Instruments	Note 6
Derivatives and Hedging Activities	Note 7
Fair Value Option	Note 8
Collateralized Agreements and Financings	Note 9
Securitization Activities	Note 10
Variable Interest Entities	Note 11
Other Assets	Note 12
Goodwill and Identifiable Intangible Assets	Note 13
Deposits	Note 14
Short-Term Borrowings	Note 15
Long-Term Borrowings	Note 16
Other Liabilities and Accrued Expenses	Note 17
Commitments, Contingencies and Guarantees	Note 18
Shareholders’ Equity	Note 19
Regulation and Capital Adequacy	Note 20
Earnings Per Common Share	Note 21
Transactions with Affiliated Funds	Note 22
Interest Income and Interest Expense	Note 23
Income Taxes	Note 24
Business Segments	Note 25
Credit Concentrations	Note 26
Legal Proceedings	Note 27
Subsequent Event	Note 28

Consolidation

The firm consolidates entities in which the firm has a controlling financial interest. The firm determines whether it has a controlling financial interest in an entity by first evaluating whether the entity is a voting interest entity or a variable interest entity (VIE).

Voting Interest Entities. Voting interest entities are entities in which (i) the total equity investment at risk is sufficient to enable the entity to finance its activities independently and (ii) the equity holders have the power to direct the activities of the entity that most significantly impact its economic performance, the obligation to absorb the losses of the entity and the right to receive the residual returns of the entity. The usual condition for a controlling financial interest in a voting interest entity is ownership of a majority voting interest. If the firm has a majority voting interest in a voting interest entity, the entity is consolidated.

Variable Interest Entities. A VIE is an entity that lacks one or more of the characteristics of a voting interest entity. The firm has a controlling financial interest in a VIE when the firm has a variable interest or interests that provide it with (i) the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. See Note 11 for further information about VIEs.

Equity-Method Investments. When the firm does not have a controlling financial interest in an entity but can exert significant influence over the entity’s operating and financial policies, the investment is accounted for either (i) under the equity method of accounting or (ii) at fair value by electing the fair value option available under U.S. GAAP. Significant influence generally exists when the firm owns 20% to 50% of the entity’s common stock or in-substance common stock.

8 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

In general, the firm accounts for investments acquired subsequent to November 24, 2006, when the fair value option became available, at fair value. In certain cases, the firm applies the equity method of accounting to new investments that are strategic in nature or closely related to the firm’s principal business activities, when the firm has a significant degree of involvement in the cash flows or operations of the investee or when cost-benefit considerations are less significant. See Note 12 for further information about equity-method investments.

Investment Funds. The firm has formed numerous investment funds with third-party investors. These funds are typically organized as limited partnerships or limited liability companies for which the firm acts as general partner or manager. Generally, the firm does not hold a majority of the economic interests in these funds. These funds are usually voting interest entities and generally are not consolidated because third-party investors typically have rights to terminate the funds or to remove the firm as general partner or manager. Investments in these funds are included in “Financial instruments owned, at fair value.” See Notes 6, 18 and 22 for further information about investments in funds.

Use of Estimates

Preparation of these condensed consolidated financial statements requires management to make certain estimates and assumptions, the most important of which relate to fair value measurements, accounting for goodwill and identifiable intangible assets, discretionary compensation accruals and the provision for losses that may arise from litigation, regulatory proceedings and tax audits. These estimates and assumptions are based on the best available information but actual results could be materially different.

Revenue Recognition

Financial Assets and Financial Liabilities at Fair Value. Financial instruments owned, at fair value and Financial instruments sold, but not yet purchased, at fair value are recorded at fair value either under the fair value option or in accordance with other U.S. GAAP. In addition, the firm has elected to account for certain of its other financial assets and financial liabilities at fair value by electing the fair value option. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to

transfer a liability in an orderly transaction between market participants at the measurement date. Financial assets are marked to bid prices and financial liabilities are marked to offer prices. Fair value measurements do not include transaction costs. Fair value gains or losses are generally included in “Market making” for positions in Institutional Client Services and “Other principal transactions” for positions in Investing & Lending. See Notes 5 through 8 for further information about fair value measurements.

Investment Banking. Fees from financial advisory assignments and underwriting revenues are recognized in earnings when the services related to the underlying transaction are completed under the terms of the assignment. Expenses associated with such transactions are deferred until the related revenue is recognized or the assignment is otherwise concluded. Expenses associated with financial advisory assignments are recorded as non-compensation expenses, net of client reimbursements. Underwriting revenues are presented net of related expenses.

Investment Management. The firm earns management fees and incentive fees for investment management services. Management fees are calculated as a percentage of net asset value, invested capital or commitments, and are recognized over the period that the related service is provided. Incentive fees are calculated as a percentage of a fund’s or separately managed account’s return, or excess return above a specified benchmark or other performance target. Incentive fees are generally based on investment performance over a 12-month period or over the life of a fund. Fees that are based on performance over a 12-month period are subject to adjustment prior to the end of the measurement period. For fees that are based on investment performance over the life of the fund, future investment underperformance may require fees previously distributed to the firm to be returned to the fund. Incentive fees are recognized only when all material contingencies have been resolved. Management and incentive fee revenues are included in “Investment management” revenues.

Commissions and Fees. The firm earns “Commissions and fees” from executing and clearing client transactions on stock, options and futures markets. Commissions and fees are recognized on the day the trade is executed.

Goldman Sachs September 2012 Form 10-Q 9

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Transfers of Assets

Transfers of assets are accounted for as sales when the firm has relinquished control over the assets transferred. For transfers of assets accounted for as sales, any related gains or losses are recognized in net revenues. Assets or liabilities that arise from the firm’s continuing involvement with transferred assets are measured at fair value. For transfers of assets that are not accounted for as sales, the assets remain in “Financial instruments owned, at fair value” and the transfer is accounted for as a collateralized financing, with the related interest expense recognized over the life of the transaction. See Note 9 for further information about transfers of assets accounted for as collateralized financings and Note 10 for further information about transfers of assets accounted for as sales.

Receivables from Customers and Counterparties

Receivables from customers and counterparties generally relate to collateralized transactions. Such receivables are primarily comprised of customer margin loans, transfers of assets accounted for as secured loans rather than purchases and collateral posted in connection with certain derivative transactions. Certain of the firm’s receivables from customers and counterparties are accounted for at fair value under the fair value option, with changes in fair value generally included in “Market making” revenues. See Note 8 for further information about the fair values of these receivables. Receivables from customers and counterparties not accounted for at fair value are accounted for at amortized cost net of estimated uncollectible amounts. Interest on receivables from customers and counterparties is recognized over the life of the transaction and included in “Interest income.”

Insurance Activities

Certain of the firm’s insurance and reinsurance contracts are accounted for at fair value under the fair value option, with changes in fair value included in “Market making” revenues. See Note 8 for further information about the fair values of these insurance and reinsurance contracts.

Revenues from variable annuity and life insurance and reinsurance contracts not accounted for at fair value generally consist of fees assessed on contract holder account balances for mortality charges, policy administration fees and surrender charges. These revenues are recognized in earnings over the period that services are provided and are included in “Market making” revenues. Changes in reserves, including interest credited to policyholder account balances, are recognized in “Insurance reserves.”

Premiums earned for underwriting property catastrophe reinsurance are recognized in earnings over the coverage period, net of premiums ceded for the cost of reinsurance, and are included in “Market making” revenues. Expenses for liabilities related to property catastrophe reinsurance claims, including estimates of losses that have been incurred but not reported, are included in “Insurance reserves.”

Share-based Compensation

The cost of employee services received in exchange for a share-based award is generally measured based on the grant-date fair value of the award. Share-based awards that do not require future service (i.e., vested awards, including awards granted to retirement-eligible employees) are expensed immediately. Share-based awards that require future service are amortized over the relevant service period. Expected forfeitures are included in determining share-based employee compensation expense.

The firm pays cash dividend equivalents on outstanding restricted stock units (RSUs). Dividend equivalents paid on RSUs are generally charged to retained earnings. Dividend equivalents paid on RSUs expected to be forfeited are included in compensation expense. The firm accounts for the tax benefit related to dividend equivalents paid on RSUs as an increase to additional paid-in capital.

In certain cases, primarily related to conflicted employment (as outlined in the applicable award agreements), the firm may cash settle share-based compensation awards. For awards accounted for as equity instruments, additional paid-in capital is adjusted to the extent of the difference between the current value of the award and the grant-date value of the award.

10 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Foreign Currency Translation

Assets and liabilities denominated in non-U.S. currencies are translated at rates of exchange prevailing on the date of the condensed consolidated statements of financial condition and revenues and expenses are translated at average rates of exchange for the period. Foreign currency remeasurement gains or losses on transactions in nonfunctional currencies are recognized in earnings. Gains or losses on translation of the financial statements of a non-U.S. operation, when the functional currency is other than the U.S. dollar, are included, net of hedges and taxes, in the condensed consolidated statements of comprehensive income.

Cash and Cash Equivalents

The firm defines cash equivalents as highly liquid overnight deposits held in the ordinary course of business. As of September 2012 and December 2011, “Cash and cash equivalents” included $7.11 billion and $7.95 billion, respectively, of cash and due from banks, and $56.53 billion and $48.05 billion, respectively, of interest-bearing deposits with banks.

Recent Accounting Developments

Reconsideration of Effective Control for Repurchase Agreements (ASC 860). In April 2011, the FASB issued ASU No. 2011-03, “Transfers and Servicing (Topic 860) — Reconsideration of Effective Control for Repurchase Agreements.” ASU No. 2011-03 changes the assessment of effective control by removing (i) the criterion that requires the transferor to have the ability to repurchase or redeem financial assets on substantially the agreed terms, even in the event of default by the transferee, and (ii) the collateral maintenance implementation guidance related to that criterion. ASU No. 2011-03 is effective for periods beginning after December 15, 2011. The firm adopted the standard on January 1, 2012. Adoption of ASU No. 2011-03 did not affect the firm’s financial condition, results of operations or cash flows.

Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (ASC 820). In May 2011, the FASB issued ASU No. 2011-04, “Fair Value Measurements and Disclosures (Topic 820) — Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs.” ASU No. 2011-04 clarifies the application of existing fair value measurement and disclosure requirements, changes certain principles related to measuring fair value, and requires additional disclosures about fair value measurements. ASU No. 2011-04 is effective for periods beginning after December 15, 2011. The firm adopted the standard on January 1, 2012. Adoption of ASU No. 2011-04 did not materially affect the firm’s financial condition, results of operations or cash flows.

Derecognition of in Substance Real Estate (ASC 360). In December 2011, the FASB issued ASU No. 2011-10, “Property, Plant, and Equipment (Topic 360) — Derecognition of in Substance Real Estate — a Scope Clarification.” ASU No. 2011-10 clarifies that in order to deconsolidate a subsidiary (that is in substance real estate) as a result of a parent no longer controlling the subsidiary due to a default on the subsidiary’s nonrecourse debt, the parent also must satisfy the sale criteria in ASC 360-20, “Property, Plant, and Equipment — Real Estate Sales.” The ASU is effective for fiscal years beginning on or after June 15, 2012. The firm will apply the provisions of the ASU to such events occurring on or after January 1, 2013. Adoption is not expected to materially affect the firm’s financial condition, results of operations or cash flows.

Disclosures about Offsetting Assets and Liabilities (ASC 210). In December 2011, the FASB issued ASU No. 2011-11, “Balance Sheet (Topic 210) — Disclosures about Offsetting Assets and Liabilities.” ASU No. 2011-11 requires disclosure of the effect or potential effect of offsetting arrangements on the firm’s financial position as well as enhanced disclosure of the rights of setoff associated with the firm’s recognized assets and recognized liabilities. ASU No. 2011-11 is effective for periods beginning on or after January 1, 2013. Since these amended principles require only additional disclosures concerning offsetting and related arrangements, adoption will not affect the firm’s financial condition, results of operations or cash flows.

Goldman Sachs September 2012 Form 10-Q 11

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 4.

Financial Instruments Owned, at Fair
Value and Financial Instruments Sold, But
Not Yet Purchased, at Fair Value

Financial instruments owned, at fair value and financial instruments sold, but not yet purchased, at fair value are accounted for at fair value either under the fair value option or in accordance with other U.S. GAAP. See Note 8 for further information about the fair value option. The table below presents the firm’s financial instruments owned, at fair value, including those pledged as collateral, and

financial instruments sold, but not yet purchased, at fair value. Financial instruments owned, at fair value included $9.08 billion and $4.86 billion as of September 2012 and December 2011, respectively, of securities accounted for as available-for-sale, substantially all of which are held in the firm’s insurance subsidiaries.

	As of September 2012			As of December 2011
in millions	Financial Instruments Owned	Financial Instruments Sold, But Not Yet Purchased			Financial Instruments Owned	Financial Instruments Sold, But Not Yet Purchased
Commercial paper, certificates of deposit, time deposits and other money market instruments	$  10,708	$          —			$  13,440	$          —
U.S. government and federal agency obligations	95,529	22,945			87,040	21,006
Non-U.S. government and agency obligations	62,952	36,630			49,205	34,886
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate	7,536	—			6,699	27
Loans and securities backed by residential real estate	9,602	8			7,592	3
Bank loans and bridge loans	21,011	2,143	2		19,745	2,756	2
Corporate debt securities	25,345	6,902			22,131	6,553
State and municipal obligations	3,296	2			3,089	3
Other debt obligations	4,489	—			4,362	—
Equities and convertible debentures	91,225	23,778			65,113	21,326
Commodities	10,771	—			5,762	—
Derivatives 1	72,829	51,771			80,028	58,453
Total	$415,293	$144,179			$364,206	$145,013

1. Net of cash collateral received or posted under credit support agreements and reported on a net-by-counterparty basis when a legal right of setoff exists under an enforceable netting agreement.

2. Primarily relates to the fair value of unfunded lending commitments for which the fair value option was elected.

12 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Gains and Losses from Market Making and Other Principal Transactions

The table below presents, by major product type, the firm’s “Market making” and “Other principal transactions” revenues. These gains/(losses) are primarily related to the firm’s financial instruments owned, at fair value and financial instruments sold, but not yet purchased, at fair value, including both derivative and non-derivative financial instruments. These gains/(losses) exclude related interest income and interest expense. See Note 23 for further information about interest income and interest expense.

The gains/(losses) in the table are not representative of the manner in which the firm manages its business activities because many of the firm’s market-making, client facilitation, and investing and lending strategies utilize financial instruments across various product types. Accordingly, gains or losses in one product type frequently offset gains or losses in other product types. For example, most of the firm’s longer-term derivatives are sensitive to changes in interest rates and may be economically hedged with interest rate swaps. Similarly, a significant portion of the firm’s cash instruments and derivatives has exposure to foreign currencies and may be economically hedged with foreign currency contracts.

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Interest rates		$1,833	$(1,674)		$  3,157	$1,766
Credit		1,190	213		4,365	3,193
Currencies		(698)	2,271		(646)	(319)
Equities		1,910	(1,998)		4,097	1,876
Commodities		(12)	218		564	1,104
Other		229	231		1,024	1,053
Total		$4,452	$   (739)		$12,561	$8,673

Note 5.

Fair Value Measurements

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial assets are marked to bid prices and financial liabilities are marked to offer prices. Fair value measurements do not include transaction costs. The firm measures certain financial assets and financial liabilities as a portfolio (i.e., based on its net exposure to market and/or credit risks).

The best evidence of fair value is a quoted price in an active market. If quoted prices in active markets are not available, fair value is determined by reference to prices for similar instruments, quoted prices or recent transactions in less active markets, or internally developed models that primarily use market-based or independently sourced parameters as inputs including, but not limited to, interest rates, volatilities, equity or debt prices, foreign exchange rates, commodity prices, credit spreads and funding spreads (i.e., the spread, or difference, between the interest rate at which a borrower could finance a given financial instrument relative to a benchmark interest rate).

U.S. GAAP has a three-level fair value hierarchy for disclosure of fair value measurements. The fair value hierarchy prioritizes inputs to the valuation techniques used to measure fair value, giving the highest priority to level 1 inputs and the lowest priority to level 3 inputs. A financial instrument’s level in the fair value hierarchy is based on the lowest level of input that is significant to its fair value measurement.

The fair value hierarchy is as follows:

Level 1. Inputs are unadjusted quoted prices in active markets to which the firm had access at the measurement date for identical, unrestricted assets or liabilities.

Level 2. Inputs to valuation techniques are observable, either directly or indirectly.

Level 3. One or more inputs to valuation techniques are significant and unobservable.

Goldman Sachs September 2012 Form 10-Q 13

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

The fair values for substantially all of the firm’s financial assets and financial liabilities are based on observable prices and inputs and are classified in levels 1 and 2 of the fair value hierarchy. Certain level 2 and level 3 financial assets and financial liabilities may require appropriate valuation adjustments that a market participant would require to arrive at fair value for factors such as counterparty and the firm’s credit quality, funding risk, transfer restrictions, liquidity and bid/offer spreads. Valuation adjustments are generally based on market evidence.

See Notes 6 and 7 for further information about fair value measurements of cash instruments and derivatives, respectively, included in “Financial instruments owned, at fair value” and “Financial instruments sold, but not yet purchased, at fair value,” and Note 8 for further information about fair value measurements of other financial assets and financial liabilities accounted for at fair value under the fair value option.

Financial assets and financial liabilities accounted for at fair value under the fair value option or in accordance with other U.S. GAAP are summarized below.

	As of
$ in millions		September 2012		June 2012		December 2011
Total level 1 financial assets		$ 183,205		$ 163,712		$ 136,780
Total level 2 financial assets		526,914		552,082		587,416
Total level 3 financial assets		47,810		46,505		47,937
Cash collateral and counterparty netting 1		(106,282	)	(111,139	)	(120,821	)
Total financial assets at fair value		$ 651,647		$ 651,160		$ 651,312
Total assets		$ 949,207		$ 948,638		$ 923,225
Total level 3 financial assets as a percentage of Total assets		5.0	%	4.9	%	5.2	%
Total level 3 financial assets as a percentage of Total financial assets at fair value		7.3	%	7.1	%	7.4	%
Total level 1 financial liabilities		$   80,843		$   86,453		$   75,557
Total level 2 financial liabilities		309,289		303,084		319,160
Total level 3 financial liabilities		24,002		23,127		25,498
Cash collateral and counterparty netting 1		(32,200	)	(32,577	)	(31,546	)
Total financial liabilities at fair value		$ 381,934		$ 380,087		$ 388,669
Total level 3 financial liabilities as a percentage of Total financial liabilities at fair value		6.3	%	6.1	%	6.6	%

1. Represents the impact on derivatives of cash collateral netting, and counterparty netting across levels of the fair value hierarchy. Netting among positions classified in the same level is included in that level.

Level 3 financial assets as of September 2012 increased compared with June 2012, primarily reflecting an increase in private equity investments and derivative assets. The increase in private equity investments primarily reflected transfers from level 2, unrealized gains and purchases, partially offset by transfers to level 2. The increase in derivative assets primarily reflected an increase in credit derivatives, principally due to transfers from level 2, partially offset by unrealized losses and settlements.

Level 3 financial assets as of September 2012 were essentially unchanged compared with December 2011.

See Notes 6, 7 and 8 for further information about level 3 cash instruments, derivatives and other financial assets and financial liabilities accounted for at fair value under the fair value option, respectively, including information about significant unrealized gains and losses, and transfers in and out of level 3.

14 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 6.

Cash Instruments

Cash instruments include U.S. government and federal agency obligations, non-U.S. government and agency obligations, bank loans and bridge loans, corporate debt securities, equities and convertible debentures, and other non-derivative financial instruments owned and financial instruments sold, but not yet purchased. See below for the types of cash instruments included in each level of the fair value hierarchy and the valuation techniques and significant inputs used to determine their fair values. See Note 5 for an overview of the firm’s fair value measurement policies.

Level 1 Cash Instruments

Level 1 cash instruments include U.S. government obligations and most non-U.S. government obligations, actively traded listed equities, certain government agency obligations and money market instruments. These instruments are valued using quoted prices for identical unrestricted instruments in active markets.

The firm defines active markets for equity instruments based on the average daily trading volume both in absolute terms and relative to the market capitalization for the instrument. The firm defines active markets for debt instruments based on both the average daily trading volume and the number of days with trading activity.

Level 2 Cash Instruments

Level 2 cash instruments include commercial paper, certificates of deposit, time deposits, most government agency obligations, certain non-U.S. government obligations, most corporate debt securities, commodities, certain mortgage-backed loans and securities, certain bank loans and bridge loans, restricted or less liquid listed equities, most state and municipal obligations and certain lending commitments.

Valuations of level 2 cash instruments can be verified to quoted prices, recent trading activity for identical or similar instruments, broker or dealer quotations or alternative pricing sources with reasonable levels of price transparency. Consideration is given to the nature of the quotations (e.g., indicative or firm) and the relationship of recent market activity to the prices provided from alternative pricing sources.

Valuation adjustments are typically made to level 2 cash instruments (i) if the cash instrument is subject to transfer restrictions and/or (ii) for other premiums and liquidity discounts that a market participant would require to arrive at fair value. Valuation adjustments are generally based on market evidence.

Level 3 Cash Instruments

Level 3 cash instruments have one or more significant valuation inputs that are not observable. Absent evidence to the contrary, level 3 cash instruments are initially valued at transaction price, which is considered to be the best initial estimate of fair value. Subsequently, the firm uses other methodologies to determine fair value, which vary based on the type of instrument. Valuation inputs and assumptions are changed when corroborated by substantive observable evidence, including values realized on sales of financial assets.

Goldman Sachs September 2012 Form 10-Q 15

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

The table below presents the valuation techniques and the nature of significant inputs generally used to determine

the fair values of each type of level 3 cash instrument.

Level 3 Cash Instrument	Valuation Techniques and Significant Inputs
Loans and securities backed by commercial real estate Ÿ    Collateralized by a single commercial real estate property or a portfolio of properties Ÿ    May include tranches of varying levels of subordination	Valuation techniques vary by instrument, but are generally based on discounted cash flow techniques.
	Significant inputs are generally determined based on relative value analyses and include:
	Ÿ    Transaction prices in both the underlying collateral and instruments with the same or similar underlying collateral
	Ÿ    Market yields implied by transactions of similar or related assets and/or current levels and changes in market indices such as the CMBX (an index that tracks the performance of commercial mortgage bonds)
	Ÿ    Recovery rates implied by the value of the underlying collateral, which is mainly driven by current performance of the underlying collateral, capitalization rates and multiples
	Ÿ    Timing of expected future cash flows (duration)
Loans and securities backed by residential real estate Ÿ    Collateralized by portfolios of residential real estate Ÿ    May include tranches of varying levels of subordination	Valuation techniques vary by instrument, but are generally based on discounted cash flow techniques.
	Significant inputs are generally determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices such as the ABX (an index that tracks the performance of subprime residential mortgage bonds). Significant inputs include:
	Ÿ    Transaction prices in both the underlying collateral and instruments with the same or similar underlying collateral
	Ÿ    Market yields implied by transactions of similar or related assets
	Ÿ    Cumulative loss expectations, driven by default rates, home price projections, residential property liquidation timelines and related costs
	Ÿ    Duration, driven by underlying loan prepayment speeds and residential property liquidation timelines
Bank loans and bridge loans	Valuation techniques vary by instrument, but are generally based on discounted cash flow techniques.
	Significant inputs are generally determined based on relative value analyses, which incorporate comparisons both to prices of credit default swaps that reference the same or similar underlying instrument or entity and to other debt instruments for the same issuer for which observable prices or broker quotations are available. Significant inputs include:
	Ÿ    Market yields implied by transactions of similar or related assets and/or current levels and trends of market indices such as CDX and LCDX (indices that track the performance of corporate credit and loans, respectively)
	Ÿ    Current performance and recovery assumptions and, where the firm uses credit default swaps to value the related cash instrument, the cost of borrowing the underlying reference obligation
	Ÿ    Duration
Non-U.S. government and agency obligations Corporate debt securities State and municipal obligations Other debt obligations	Valuation techniques vary by instrument, but are generally based on discounted cash flow techniques.
	Significant inputs are generally determined based on relative value analyses, which incorporate comparisons both to prices of credit default swaps that reference the same or similar underlying instrument or entity and to other debt instruments for the same issuer for which observable prices or broker quotations are available. Significant inputs include:
	Ÿ    Market yields implied by transactions of similar or related assets and/or current levels and trends of market indices such as CDX, LCDX and MCDX (an index that tracks the performance of municipal obligations)
	Ÿ    Current performance and recovery assumptions and, where the firm uses credit default swaps to value the related cash instrument, the cost of borrowing the underlying reference obligation
	Ÿ    Duration
Equities and convertible debentures (including private equity investments and investments in real estate entities)	Recent third-party completed or pending transactions (e.g., merger proposals, tender offers, debt restructurings) are considered to be the best evidence for any change in fair value. When these are not available, the following valuation methodologies are used, as appropriate:
	Ÿ    Industry multiples and public comparables
	Ÿ    Transactions in similar instruments
	Ÿ    Discounted cash flow techniques
	Ÿ    Third-party appraisals
	The firm also considers changes in the outlook for the relevant industry and financial performance of the issuer as compared to projected performance. Significant inputs include:
	Ÿ    Market and transaction multiples
	Ÿ    Discount rates, long-term growth rates, earnings compound annual growth rates and capitalization rates
	Ÿ    For equity instruments with debt-like features: market yields implied by transactions of similar or related assets, current performance and recovery assumptions, and duration

16 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Significant Unobservable Inputs

The table below presents the ranges of significant unobservable inputs used to value the firm’s level 3 cash instruments. These ranges represent the significant unobservable inputs that were used in the valuation of each type of cash instrument. The ranges of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one cash instrument. For example, the highest multiple presented in the table for

private equity investments is appropriate for valuing a specific private equity investment but may not be appropriate for valuing any other private equity investment. Accordingly, the ranges of inputs presented below do not represent uncertainty in, or possible ranges of, fair value measurements of the firm’s level 3 cash instruments.

Level 3 Cash Instrument	Level 3 Assets as of      September 2012 (in millions)	Significant Unobservable Inputs by Valuation Technique	Range of Significant Unobservable Inputs as of September 2012
Loans and securities backed by commercial real estate •  Collateralized by a single commercial real estate     property or a portfolio of properties •  May include tranches of varying levels of subordination	$3,318	Discounted cash flows:
		•  Yield	3.9% to 30.1%
		•  Recovery rate 1	39.0% to 100.0%
		•  Duration (years) 2	0.7 to 8.5
Loans and securities backed by residential real estate •  Collateralized by portfolios of residential real estate •  May include tranches of varying levels of subordination	$1,288	Discounted cash flows:
		•  Yield	4.3% to 19.4%
		•  Cumulative loss rate	0.0% to 61.7%
		•  Duration (years) 2	1.3 to 4.1
Bank loans and bridge loans	$10,833	Discounted cash flows:
		•  Yield	0.4% to 32.7%
		•  Recovery rate 1	19.5% to 100.0%
		•  Duration (years) 2	0.4 to 4.7
Non-U.S. government and agency obligations Corporate debt securities State and municipal obligations Other debt obligations	$5,325	Discounted cash flows:
		•  Yield	1.4% to 34.5%
		•  Recovery rate 1	0.0% to 100.0%
		•  Duration (years) 2	0.3 to 16.5
Equities and convertible debentures (including private equity investments and investments in real estate entities)	$15,126 3	Comparable multiples:
		•  Multiples	0.7x to 23.4x
		Discounted cash flows:
		•  Yield/discount rate	10.0% to 25.0%
		•  Long-term growth rate/     compound annual growth rate	(3.2)% to 26.0%
		•  Capitalization rate	5.4% to 11.0%
		•  Recovery rate 1	42.1% to 100.0%
		•  Duration (years) 2	0.7 to 8.3

1. Recovery rate is a measure of expected future cash flows, expressed as a percentage of notional or face value of the instrument.

2. Duration is an estimate of the timing of future cash flows and, in certain cases, may incorporate the impact of other unobservable inputs (e.g., prepayment speeds).

3. The fair value of any one instrument may be determined using multiple valuation techniques. For example, market comparables and discounted cash flows may be used together to determine fair value. Therefore, the level 3 balance encompasses both of these techniques.

Increases in yield, discount rate, capitalization rate, duration or cumulative loss rate used in the valuation of the firm’s level 3 cash instruments would result in a lower fair value measurement, while increases in recovery rate, multiples, long-term growth rate or compound annual

growth rate would result in a higher fair value measurement. Due to the distinctive nature of each of the firm’s level 3 cash instruments, the interrelationship of inputs is not necessarily uniform within each product type.

Goldman Sachs September 2012 Form 10-Q 17

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Fair Value of Cash Instruments by Level

The tables below present, by level within the fair value hierarchy, cash instrument assets and liabilities, at fair value. Cash instrument assets and liabilities are included in

“Financial instruments owned, at fair value” and “Financial instruments sold, but not yet purchased, at fair value,” respectively.

	Cash Instrument Assets at Fair Value as of September 2012
in millions		Level 1		Level 2		Level 3		Total
Commercial paper, certificates of deposit, time deposits and other money market instruments		$    1,942		$    8,766		$       —		$  10,708
U.S. government and federal agency obligations		42,178		53,351		—		95,529
Non-U.S. government and agency obligations		46,864		16,075		13		62,952
Mortgage and other asset-backed loans and securities 1:
Loans and securities backed by commercial real estate		—		4,218		3,318		7,536
Loans and securities backed by residential real estate		—		8,314		1,288		9,602
Bank loans and bridge loans		—		10,178		10,833		21,011
Corporate debt securities 2		145		22,479		2,721		25,345
State and municipal obligations		—		2,713		583		3,296
Other debt obligations 2		—		2,481		2,008		4,489
Equities and convertible debentures		66,653	3	9,446	4	15,126	5	91,225
Commodities		—		10,771		—		10,771
Total		$157,782		$148,792		$35,890		$342,464
	Cash Instrument Liabilities at Fair Value as of September 2012
in millions		Level 1		Level 2		Level 3		Total
U.S. government and federal agency obligations		$  22,733		$       212		$       —		$  22,945
Non-U.S. government and agency obligations		35,337		1,293		—		36,630
Mortgage and other asset-backed loans and securities:
Loans and securities backed by residential real estate		—		6		2		8
Bank loans and bridge loans		—		1,526		617		2,143
Corporate debt securities 6		26		6,829		47		6,902
State and municipal obligations		—		2		—		2
Equities and convertible debentures		22,608	3	1,163	4	7		23,778
Total		$  80,704		$  11,031		$     673		$  92,408

1. Includes $645 million and $518 million of collateralized debt obligations (CDOs) backed by real estate in level 2 and level 3, respectively.

2. Includes $1.09 billion and $1.63 billion of CDOs and collateralized loan obligations (CLOs) backed by corporate obligations in level 2 and level 3, respectively.

3. Consists of listed equity securities.

4. Principally consists of restricted or less liquid listed securities.

5. Includes $13.03 billion of private equity investments, $1.45 billion of investments in real estate entities and $645 million of convertible debentures.

6. Includes $3 million of CDOs and CLOs backed by corporate obligations in level 3.

18 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

	Cash Instrument Assets at Fair Value as of December 2011
in millions		Level 1		Level 2		Level 3		Total
Commercial paper, certificates of deposit, time deposits and other money market instruments		$    3,255		$  10,185		$       —		$  13,440
U.S. government and federal agency obligations		29,263		57,777		—		87,040
Non-U.S. government and agency obligations		42,854		6,203		148		49,205
Mortgage and other asset-backed loans and securities 1:
Loans and securities backed by commercial real estate		—		3,353		3,346		6,699
Loans and securities backed by residential real estate		—		5,883		1,709		7,592
Bank loans and bridge loans		—		8,460		11,285		19,745
Corporate debt securities 2		133		19,518		2,480		22,131
State and municipal obligations		—		2,490		599		3,089
Other debt obligations 2		—		2,911		1,451		4,362
Equities and convertible debentures		39,955	3	11,491	4	13,667	5	65,113
Commodities		—		5,762		—		5,762
Total		$115,460		$134,033		$34,685		$284,178
	Cash Instrument Liabilities at Fair Value as of December 2011
in millions		Level 1		Level 2		Level 3		Total
U.S. government and federal agency obligations		$  20,940		$         66		$       —		$  21,006
Non-U.S. government and agency obligations		34,339		547		—		34,886
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		—		27		—		27
Loans and securities backed by residential real estate		—		3		—		3
Bank loans and bridge loans		—		1,891		865		2,756
Corporate debt securities 6		—		6,522		31		6,553
State and municipal obligations		—		3		—		3
Equities and convertible debentures		20,069	3	1,248	4	9		21,326
Total		$  75,348		$  10,307		$     905		$  86,560

1. Includes $213 million and $595 million of CDOs backed by real estate in level 2 and level 3, respectively.

2. Includes $403 million and $1.19 billion of CDOs and CLOs backed by corporate obligations in level 2 and level 3, respectively.

3. Consists of listed equity securities.

4. Principally consists of restricted or less liquid listed securities.

5. Includes $12.07 billion of private equity investments, $1.10 billion of investments in real estate entities and $497 million of convertible debentures.

6. Includes $27 million of CDOs and CLOs backed by corporate obligations in level 3.

Transfers Between Levels of the Fair Value Hierarchy

Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. During the three months ended September 2012, transfers into level 2 from level 1 of cash instruments were $205 million, including transfers of non-U.S. government obligations and equity securities of $118 million and $87 million, respectively, reflecting the level of market activity in these instruments. Transfers into level 1 from level 2 of cash instruments were $261 million, reflecting transfers of equity securities due to the level of market activity in these instruments.

During the nine months ended September 2012, transfers into level 2 from level 1 of cash instruments were $2.02 billion, including transfers of non-U.S. government obligations of $1.19 billion, reflecting the level of market activity in these instruments, and transfers of equity securities of $832 million, primarily reflecting the impact of transfer restrictions. Transfers into level 1 from level 2 of cash instruments were $427 million, including transfers of non-U.S. government obligations of $225 million, reflecting the level of market activity in these instruments, and transfers of equity securities of $182 million, where the firm was able to obtain quoted prices for certain instruments and due to the level of market activity for other instruments.

Goldman Sachs September 2012 Form 10-Q 19

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Level 3 Rollforward

If a cash instrument asset or liability was transferred to level 3 during a reporting period, its entire gain or loss for the period is included in level 3.

Level 3 cash instruments are frequently economically hedged with level 1 and level 2 cash instruments and/or level 1, level 2 or level 3 derivatives. Accordingly, gains or losses that are reported in level 3 can be partially offset by gains or losses attributable to level 1 or level 2 cash

instruments and/or level 1, level 2 or level 3 derivatives. As a result, gains or losses included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources.

The tables below present changes in fair value for all cash instrument assets and liabilities categorized as level 3 as of the end of the period.

	Level 3 Cash Instrument Assets at Fair Value for the Three Months Ended September 2012
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Commercial paper, certificates of deposit, time deposits and other money market instruments		$         7	$  —		$     —		$     —		$       —		$       (7	)	$     —	$      —		$       —
Non-U.S. government and agency obligations		8	—		3		2		—		—		—	—		13
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		3,166	57		78		355		(362	)	(44	)	214	(146	)	3,318
Loans and securities backed by residential real estate		1,632	65		44		81		(266	)	(351	)	98	(15	)	1,288
Bank loans and bridge loans		10,461	151		150		1,535		(906	)	(805	)	691	(444	)	10,833
Corporate debt securities		2,367	106		140		462		(274	)	(120	)	240	(200	)	2,721
State and municipal obligations		547	4		5		36		(27	)	(2	)	20	—		583
Other debt obligations		1,757	5		51		197		(88	)	(25	)	118	(7	)	2,008
Equities and convertible debentures		14,420	31		632		513		(320	)	(108	)	798	(840	)	15,126
Total		$34,365	$419	2	$1,103	2	$3,181		$(2,243	)	$(1,462	)	$2,179	$(1,652	)	$35,890
	Level 3 Cash Instrument Liabilities at Fair Value for the Three Months Ended September 2012
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Total		$     739	$   (2	)	$       3		$  (105	)	$       65		$      16		$     46	$     (89	)	$     673

1. Includes both originations and secondary market purchases.

2. The aggregate amounts include approximately $340 million, $843 million and $339 million reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.

The net unrealized gain/(loss) on level 3 cash instruments of $1.10 billion (reflecting $1.10 billion on cash instrument assets and $(3) million on cash instrument liabilities) for the three months ended September 2012 primarily consisted of gains on private equity investments, bank loans and bridge loans, and corporate debt securities. Unrealized gains during the quarter primarily reflected the impact of an increase in global equity prices and tighter credit spreads.

Transfers into level 3 during the three months ended September 2012 primarily reflected transfers from level 2 of certain private equity investments and bank loans and bridge loans, principally due to less market activity in these instruments.

Transfers out of level 3 during the three months ended September 2012 primarily reflected transfers to level 2 of certain private equity investments and bank loans and bridge loans, principally due to improved transparency of market prices as a result of market transactions in these financial instruments.

20 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

	Level 3 Cash Instrument Assets at Fair Value for the Nine Months Ended September 2012
in millions		Balance,  beginning of period	Net realized gains/  (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Non-U.S. government and agency obligations		$     148	$    (55	)	$       4		$       2		$       (8	)	$     (71	)	$       6	$     (13	)	$       13
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		3,346	143		227		1,337		(956	)	(859	)	218	(138	)	3,318
Loans and securities backed by residential real estate		1,709	128		239		345		(729	)	(471	)	77	(10	)	1,288
Bank loans and bridge loans		11,285	431		318		3,393		(2,754	)	(2,122	)	1,237	(955	)	10,833
Corporate debt securities		2,480	266		229		865		(851	)	(352	)	344	(260	)	2,721
State and municipal obligations		599	16		8		53		(80	)	(12	)	—	(1	)	583
Other debt obligations		1,451	52		50		645		(365	)	(41	)	222	(6	)	2,008
Equities and convertible debentures		13,667	60		1,158		2,166		(497	)	(640	)	866	(1,654	)	15,126
Total		$34,685	$1,041	2	$2,233	2	$8,806		$(6,240	)	$(4,568	)	$2,970	$(3,037	)	$35,890
	Level 3 Cash Instrument Liabilities at Fair Value for the Nine Months Ended September 2012
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Total		$     905	$    (35	)	$       9		$  (427	)	$    244		$      81		$     90	$   (194	)	$     673

1. Includes both originations and secondary market purchases.

2. The aggregate amounts include approximately $560 million, $1.77 billion and $945 million reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.

The net unrealized gain/(loss) on level 3 cash instruments of $2.22 billion (reflecting $2.23 billion on cash instrument assets and $(9) million on cash instrument liabilities) for the nine months ended September 2012 primarily consisted of gains on private equity investments, mortgage and other asset-backed loans and securities, bank loans and bridge loans, and corporate debt securities. Unrealized gains during the nine months ended September 2012 primarily reflected the impact of an increase in global equity prices and generally tighter credit spreads.

Transfers into level 3 during the nine months ended September 2012 primarily reflected transfers from level 2 of certain bank loans and bridge loans, and private equity investments, principally due to less market activity in these instruments.

Transfers out of level 3 during the nine months ended September 2012 primarily reflected transfers to level 2 of certain private equity investments and bank loans and bridge loans. Transfers of private equity investments to level 2 were principally due to improved transparency of market prices as a result of market transactions in these financial instruments. Transfers of bank loans and bridge loans to level 2 were principally due to market transactions in these instruments and unobservable inputs no longer being significant to the valuation of certain loans.

Goldman Sachs September 2012 Form 10-Q 21

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

	Level 3 Cash Instrument Assets at Fair Value for the Three Months Ended September 2011
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		$  3,539	$  77		$   (149	)	$   226		$   (220	)	$   (367	)	$ 441		$  3,547
Loans and securities backed by residential real estate		2,829	38		(25	)	234		(226	)	(178	)	(989	)	1,683
Bank loans and bridge loans		10,183	162		(595	)	2,655		(413	)	(571	)	(410	)	11,011
Corporate debt securities		2,747	61		(221	)	316		(392	)	(80	)	149		2,580
State and municipal obligations		643	2		(6	)	17		(18	)	(2	)	52		688
Other debt obligations		1,472	(2	)	(27	)	153		(167	)	(68	)	260		1,621
Equities and convertible debentures		13,452	14		(191	)	294		(224	)	(166	)	394		13,573
Total		$34,865	$352	2	$(1,214	) 2	$3,895		$(1,660	)	$(1,432	)	$(103	)	$34,703
	Level 3 Cash Instrument Liabilities at Fair Value for the Three Months Ended September 2011
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Total		$     612	$ (12	)	$    328		$  (265	)	$    144		$    122		$     5		$     934

1. Includes both originations and secondary market purchases.

2. The aggregate amounts include approximately $(551) million, $(701) million and $390 million reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.

The net unrealized loss on level 3 cash instruments of $1.54 billion (reflecting losses of $1.21 billion on cash instrument assets and $328 million on cash instrument liabilities) for the three months ended September 2011 primarily consisted of losses on bank loans and bridge loans, corporate debt securities and private equity investments. Losses during the third quarter of 2011 reflected unfavorable credit markets and a significant decline in global equity markets.

Significant transfers in or out of level 3 during the three months ended September 2011 included:

Ÿ Loans and securities backed by residential real estate: net transfer out of level 3 of $989 million, principally due to transfers to level 2 of certain loans due to improved transparency of market prices used to value these financial instruments, as well as unobservable inputs no longer being significant to the valuation of these instruments.

Ÿ Bank loans and bridge loans: net transfer out of level 3 of $410 million, principally due to transfers to level 2 of certain loans due to improved transparency of market prices as a result of market activity in these financial instruments, partially offset by transfers to level 3 of other loans due to reduced transparency of market prices as a result of less market activity in these financial instruments.

Ÿ Equities and convertible debentures: net transfer into level 3 of $394 million, principally due to transfers to level 3 of certain private equity investments due to reduced transparency of market prices as a result of less market activity in these financial instruments, partially offset by transfers to level 2 of other private equity investments due to improved transparency of market prices as a result of market activity and partial sales.

22 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

	Level 3 Cash Instrument Assets at Fair Value for the Nine Months Ended September 2011
in millions		Balance,  beginning of period	Net   realized gains/  (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Net  transfers in and/or (out) of level 3		Balance, end of period
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		$  3,976	$   139		$  92		$  1,049		$   (915	)	$   (726	)	$     (68	)	$  3,547
Loans and securities backed by residential real estate		2,501	137		57		688		(507	)	(509	)	(684	)	1,683
Bank loans and bridge loans		9,905	477		(96	)	4,732		(1,183	)	(1,521	)	(1,303	)	11,011
Corporate debt securities		2,737	164		(99	)	1,467		(1,002	)	(192	)	(495	)	2,580
State and municipal obligations		754	3		(3	)	72		(136	)	(2	)	—		688
Other debt obligations		1,274	116		(7	)	553		(552	)	(216	)	453		1,621
Equities and convertible debentures		11,060	160		473		2,658		(904	)	(657	)	783		13,573
Total		$32,207	$1,196	2	$417	2	$11,219		$(5,199	)	$(3,823	)	$(1,314	)	$34,703
	Level 3 Cash Instrument Liabilities at Fair Value for the Nine Months Ended September 2011
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Total		$     446	$    (32	)	$329		$    (363	)	$    429		$    132		$       (7	)	$     934

1. Includes both originations and secondary market purchases.

2. The aggregate amounts include approximately $(87) million, $629 million and $1.07 billion reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.

The net unrealized gain/(loss) on level 3 cash instruments of $88 million (reflecting $417 million on cash instrument assets and $(329) million on cash instrument liabilities) for the nine months ended September 2011 primarily consisted of a net gain on private equity investments, where prices were generally corroborated through market transactions for similar assets during the period, partially offset by losses on bank loans and bridge loans, primarily reflecting the impact of unfavorable credit markets principally in the third quarter of 2011.

Significant transfers in or out of level 3 during the nine months ended September 2011 included:

Ÿ Bank loans and bridge loans: net transfer out of level 3 of $1.30 billion, principally due to transfers to level 2 of certain loans due to improved transparency of market prices as a result of market transactions in these financial instruments, partially offset by transfers to level 3 of other loans due to reduced transparency of market prices as a result of less market activity in these financial instruments.

Ÿ Equities and convertible debentures: net transfer into level 3 of $783 million, principally due to transfers to level 3 of certain private equity investments due to reduced transparency of market prices as a result of less market activity in these financial instruments, partially offset by transfers to level 2 of other private equity investments due to improved transparency of market prices as a result of market transactions in these financial instruments.

Ÿ Loans and securities backed by residential real estate: net transfer out of level 3 of $684 million, principally due to transfers to level 2 of certain loans due to improved transparency of market prices used to value these financial instruments, as well as unobservable inputs no longer being significant to the valuation of these instruments.

Ÿ Corporate debt securities: net transfer out of level 3 of $495 million, principally due to transfers to level 2 of certain corporate debt securities due to increased transparency of market prices as a result of market transactions in these financial instruments.

Goldman Sachs September 2012 Form 10-Q 23

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Investments   in   Funds  That   Calculate  Net   Asset
Value Per Share

Cash instruments at fair value include investments in funds that are valued based on the net asset value per share (NAV) of the investment fund. The firm uses NAV as its measure of fair value for fund investments when (i) the fund investment does not have a readily determinable fair value and (ii) the NAV of the investment fund is calculated in a manner consistent with the measurement principles of investment company accounting, including measurement of the underlying investments at fair value.

The firm’s investments in funds that calculate NAV primarily consist of investments in firm-sponsored funds where the firm co-invests with third-party investors. The private equity, private debt and real estate funds are primarily closed-end funds in which the firm’s investments are not eligible for redemption. Distributions will be received from these funds as the underlying assets are liquidated and it is estimated that substantially all of the underlying assets of existing funds will be liquidated over

the next seven years. The firm continues to manage its existing funds taking into account the transition periods under the Volcker Rule of the U.S. Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act), although the rules have not yet been finalized.

The firm’s investments in hedge funds are generally redeemable on a quarterly basis with 91 days’ notice, subject to a maximum redemption level of 25% of the firm’s initial investments at any quarter-end. The firm currently plans to comply with the Volcker Rule by redeeming certain of its interests in hedge funds. The firm redeemed approximately $300 million and $800 million of these interests in hedge funds during the three and nine months ended September 2012, respectively.

The table below presents the fair value of the firm’s investments in, and unfunded commitments to, funds that calculate NAV.

	As of September 2012			As of December 2011
in millions		Fair Value of Investments	Unfunded Commitments		Fair Value of Investments	Unfunded Commitments
Private equity funds 1		$  8,251	$2,829		$  8,074	$3,514
Private debt funds 2		3,700	3,023		3,596	3,568
Hedge funds 3		2,450	—		3,165	—
Real estate funds 4		1,799	1,004		1,531	1,613
Total		$16,200	$6,856		$16,366	$8,695

1. These funds primarily invest in a broad range of industries worldwide in a variety of situations, including leveraged buyouts, recapitalizations and growth investments.

2. These funds generally invest in loans and other fixed income instruments and are focused on providing private high-yield capital for mid- to large-sized leveraged and management buyout transactions, recapitalizations, financings, refinancings, acquisitions and restructurings for private equity firms, private family companies and corporate issuers.

3. These funds are primarily multi-disciplinary hedge funds that employ a fundamental bottom-up investment approach across various asset classes and strategies including long/short equity, credit, convertibles, risk arbitrage, special situations and capital structure arbitrage.

4. These funds invest globally, primarily in real estate companies, loan portfolios, debt recapitalizations and direct property.

24 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 7.

Derivatives and Hedging Activities

Derivative Activities

Derivatives are instruments that derive their value from underlying asset prices, indices, reference rates and other inputs, or a combination of these factors. Derivatives may be privately negotiated contracts, which are usually referred to as over-the-counter (OTC) derivatives, or they may be listed and traded on an exchange (exchange-traded).

Market-Making. As a market maker, the firm enters into derivative transactions to provide liquidity and to facilitate the transfer and hedging of risk. In this capacity, the firm typically acts as principal and is consequently required to commit capital to provide execution. As a market maker, it is essential to maintain an inventory of financial instruments sufficient to meet expected client and market demands.

Risk Management. The firm also enters into derivatives to actively manage risk exposures that arise from market-making and investing and lending activities in derivative and cash instruments. The firm’s holdings and exposures are hedged, in many cases, on either a portfolio or risk-specific basis, as opposed to an instrument-by-instrument basis. The offsetting impact of this economic hedging is reflected in the same business segment as the related revenues. In addition, the firm may enter into derivatives designated as hedges under U.S. GAAP. These derivatives are used to manage foreign currency exposure on the net investment in certain non-U.S. operations and to manage interest rate exposure in certain fixed-rate unsecured long-term and short-term borrowings, and deposits.

The firm enters into various types of derivatives, including:

Ÿ Futures and Forwards. Contracts that commit counterparties to purchase or sell financial instruments, commodities or currencies in the future.

Ÿ Swaps. Contracts that require counterparties to exchange cash flows such as currency or interest payment streams. The amounts exchanged are based on the specific terms of the contract with reference to specified rates, financial instruments, commodities, currencies or indices.

Ÿ Options. Contracts in which the option purchaser has the right, but not the obligation, to purchase from or sell to the option writer financial instruments, commodities or currencies within a defined time period for a specified price.

Derivatives are accounted for at fair value, net of cash collateral received or posted under credit support agreements. Derivatives are reported on a net-by-counterparty basis (i.e., the net payable or receivable for derivative assets and liabilities for a given counterparty) when a legal right of setoff exists under an enforceable netting agreement. Derivative assets and liabilities are included in “Financial instruments owned, at fair value” and “Financial instruments sold, but not yet purchased, at fair value,” respectively.

Substantially all gains and losses on derivatives not designated as hedges under ASC 815 are included in “Market making” and “Other principal transactions.”

Goldman Sachs September 2012 Form 10-Q 25

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

The table below presents the fair value of derivatives on a net-by-counterparty basis.

	As of September 2012			As of December 2011
in millions		Derivative Assets	Derivative Liabilities		Derivative Assets	Derivative Liabilities
Exchange-traded		$  4,628	$  3,921		$  5,880	$  3,172
Over-the-counter		68,201	47,850		74,148	55,281
Total		$72,829	$51,771		$80,028	$58,453

The table below presents the fair value and the number of derivative contracts by major product type on a gross basis. Gross fair values in the table below exclude the effects of both netting of receivable balances with payable balances

under enforceable netting agreements, and netting of cash collateral received or posted under credit support agreements, and therefore are not representative of the firm’s exposure.

	As of September 2012						As of December 2011
in millions, except number of contracts		Derivative Assets		Derivative Liabilities		Number of Contracts		Derivative Assets		Derivative Liabilities		Number of Contracts
Derivatives not accounted for as hedges
Interest rates		$ 614,949		$ 573,931		300,118		$ 624,189		$ 582,608		287,351
Credit		94,970		81,829		355,728		150,816		130,659		362,407
Currencies		73,246		62,854		218,241		88,654		71,736		203,205
Commodities		28,320		29,125		89,291		35,966		38,050		93,755
Equities		58,886		51,097		346,551		64,135		51,928		332,273
Subtotal		870,371		798,836		1,309,929		963,760		874,981		1,278,991
Derivatives accounted for as hedges
Interest rates		23,721		65		1,605		21,981		13		1,125
Currencies		9		60		73		124		21		71
Subtotal		23,730		125		1,678		22,105		34		1,196
Gross fair value of derivatives		$ 894,101		$ 798,961		1,311,607		$ 985,865		$ 875,015		1,280,187
Counterparty netting 1		(717,563	)	(717,563	)			(787,733	)	(787,733	)
Cash collateral netting 2		(103,709	)	(29,627	)			(118,104	)	(28,829	)
Fair value included in financial instruments owned		$   72,829						$   80,028
Fair value included in financial instruments sold, but not yet purchased				$   51,771						$   58,453

1. Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements.

2. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

26 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Valuation Techniques for Derivatives

The firm’s level 2 and level 3 derivatives are valued using derivative pricing models (e.g., models that incorporate option pricing methodologies, Monte Carlo simulations and discounted cash flows). Price transparency of derivatives can generally be characterized by product type.

Interest Rate. In general, the prices and other inputs used to value interest rate derivatives are transparent, even for long-dated contracts. Interest rate swaps and options denominated in the currencies of leading industrialized nations are characterized by high trading volumes and tight bid/offer spreads. Interest rate derivatives that reference indices, such as an inflation index, or the shape of the yield curve (e.g., 10-year swap rate vs. 2-year swap rate) are more complex, but the prices and other inputs are generally observable.

Credit. Price transparency for credit default swaps, including both single names and baskets of credits, varies by market and underlying reference entity or obligation. Credit default swaps that reference indices, large corporates and major sovereigns generally exhibit the most price transparency. For credit default swaps with other underliers, price transparency varies based on credit rating, the cost of borrowing the underlying reference obligations, and the availability of the underlying reference obligations for delivery upon the default of the issuer. Credit default swaps that reference loans, asset-backed securities and emerging market debt instruments tend to have less price transparency than those that reference corporate bonds. In addition, more complex credit derivatives, such as those sensitive to the correlation between two or more underlying reference obligations, generally have less price transparency.

Currency. Prices for currency derivatives based on the exchange rates of leading industrialized nations, including those with longer tenors, are generally transparent. The primary difference between the price transparency of developed and emerging market currency derivatives is that emerging markets tend to be observable for contracts with shorter tenors.

Commodity. Commodity derivatives include transactions referenced to energy (e.g., oil and natural gas), metals (e.g., precious and base) and soft commodities (e.g., agricultural). Price transparency varies based on the underlying commodity, delivery location, tenor and product quality (e.g., diesel fuel compared to unleaded gasoline). In general, price transparency for commodity derivatives is greater for contracts with shorter tenors and contracts that are more closely aligned with major and/or benchmark commodity indices.

Equity. Price transparency for equity derivatives varies by market and underlier. Options on indices and the common stock of corporates included in major equity indices exhibit the most price transparency. Equity derivatives generally have observable market prices, except for contracts with long tenors or reference prices that differ significantly from current market prices. More complex equity derivatives, such as those sensitive to the correlation between two or more individual stocks, generally have less price transparency.

Liquidity is essential to observability of all product types. If transaction volumes decline, previously transparent prices and other inputs may become unobservable. Conversely, even highly structured products may at times have trading volumes large enough to provide observability of prices and other inputs. See Note 5 for an overview of the firm’s fair value measurement policies.

Level 1 Derivatives

Level 1 derivatives include short-term contracts for future delivery of securities when the underlying security is a level 1 instrument, and exchange-traded derivatives if they are actively traded and are valued at their quoted market price.

Level 2 Derivatives

Level 2 derivatives include exchange-traded derivatives that are not actively traded and OTC derivatives for which all significant valuation inputs are corroborated by market evidence. Level 2 exchange-traded derivatives are valued using models that calibrate to market-clearing levels of OTC derivatives.

The selection of a particular model to value a derivative depends on the contractual terms of and specific risks inherent in the instrument, as well as the availability of pricing information in the market. For derivatives that trade in liquid markets, model selection does not involve significant management judgment because outputs of models can be calibrated to market-clearing levels.

Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates, loss severity rates and correlations of such inputs. Inputs to the valuations of level 2 derivatives can be verified to market transactions, broker or dealer quotations or other alternative pricing sources with reasonable levels of price transparency. Consideration is given to the nature of the quotations (e.g., indicative or firm) and the relationship of recent market activity to the prices provided from alternative pricing sources.

Goldman Sachs September 2012 Form 10-Q 27

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Level 3 Derivatives

Level 3 derivatives are valued using models which utilize observable level 1 and/or level 2 inputs, as well as unobservable level 3 inputs.

Ÿ For the majority of the firm’s interest rate and currency derivatives classified within level 3, significant unobservable inputs include correlations of certain currencies and interest rates (e.g., the correlation between Euro inflation and Euro interest rates), specific interest rate volatilities and the basis, or difference, between benchmark interest rates and related indices.

Ÿ For level 3 credit derivatives, significant level 3 inputs include illiquid credit spreads, which are unique to specific reference obligations and reference entities, recovery rates, certain correlations required to value credit and mortgage derivatives (e.g., the likelihood of default of the underlying reference obligation relative to one another) and the basis, or price difference, between certain reference obligations and benchmark indices.

Ÿ For level 3 equity derivatives, significant level 3 inputs generally include equity volatility inputs for options that are very long-dated and/or have strike prices that differ significantly from current market prices. In addition, the valuation of certain structured trades requires the use of level 3 inputs for the correlation of the price performance of two or more individual stocks or the correlation of the price performance for a basket of stocks to another asset class such as commodities.

Ÿ For level 3 commodity derivatives, significant level 3 inputs include volatilities for options with strike prices that differ significantly from current market prices and prices or spreads for certain products for which the product quality or physical location of the commodity is not aligned with benchmark indices.

Subsequent to the initial valuation of a level 3 derivative, the firm updates the level 1 and level 2 inputs to reflect observable market changes and any resulting gains and losses are recorded in level 3. Level 3 inputs are changed when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations or other empirical market data. In circumstances where the firm cannot verify the model value by reference to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. See below for further information about unobservable inputs used in the valuation of level 3 derivatives.

Valuation Adjustments

Valuation adjustments are integral to determining the fair value of derivatives and are used to adjust the mid-market valuations, produced by derivative pricing models, to the appropriate exit price valuation. These adjustments incorporate bid/offer spreads, the cost of liquidity, credit valuation adjustments (CVA) and funding valuation adjustments, which account for the credit and funding risk inherent in derivative portfolios. Market-based inputs are generally used when calibrating valuation adjustments to market-clearing levels.

In addition, for derivatives that include significant unobservable inputs, the firm makes model or exit price adjustments to account for the valuation uncertainty present in the transaction.

28 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Significant Unobservable Inputs

The table below presents the ranges of significant unobservable inputs used to value the firm’s level 3 derivatives. These ranges represent the significant unobservable inputs that were used in the valuation of each type of derivative. The ranges of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one derivative. For

example, the highest correlation presented in the table for interest rate derivatives is appropriate for valuing a specific interest rate derivative but may not be appropriate for valuing any other interest rate derivative. Accordingly, the ranges of inputs presented below do not represent uncertainty in, or possible ranges of, fair value measurements of the firm’s level 3 derivatives.

Level 3 Derivative Product Type	Net Level 3 Assets/(Liabilities)      as of September 2012 (in millions)	Significant Unobservable Inputs of Derivative Pricing Models	Range of Significant Unobservable Inputs as of September 2012
Interest rates	$(483)	Correlation 1 Volatility Basis	49% to 87% 32% to 88% 1 basis point to 39 basis points (bps)
Credit	$6,979	Correlation 1 Credit spreads Recovery rates Basis	5% to 94% 68 bps to 1,781 bps 0% to 95% 1 point to 8 points
Currencies	$351	Correlation 1	65% to 87%
Commodities	$(651)	Volatility Spread per million British Thermal units (MMBTU) of natural gas Price per megawatt hour of power Price per barrel of oil	5% to 66% $(0.86) to $4.50 $13.37 to $71.65 $87.00 to $101.00
Equities	$(577)	Correlation 1 Volatility	46% to 99% 11% to 65%

1. The range of unobservable inputs for correlation across derivative product types (i.e., cross-asset correlation) was (51)% to 66% as of September 2012.

Goldman Sachs September 2012 Form 10-Q 29

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Sensitivity of Fair Value Measurement to Changes
in Significant Unobservable Inputs

The following provides a description of the directional sensitivity of the firm’s level 3 fair value measurements to changes in significant unobservable inputs, in isolation. Due to the distinctive nature of each of the firm’s level 3 derivatives, the interrelationship of inputs is not necessarily uniform within each product type.

Ÿ Correlation: For contracts where the holder benefits from the convergence of the underlying asset or index prices (e.g., interest rates, credit spreads, foreign exchange rates, inflation rates and equity prices), an increase in correlation generally results in a higher fair value measurement.

Ÿ Volatility: In general, for purchased options an increase in volatility results in a higher fair value measurement.

Ÿ Interest rate basis: For contracts where the holder is receiving the interest rate basis, a wider basis generally results in a higher fair value measurement.

Ÿ Credit spreads, recovery rates and basis: In general, the fair value of purchased credit protection increases as credit spreads increase, recovery rates decrease or basis widens. Credit spreads, recovery rates and basis are strongly related to distinctive risk factors of the underlying reference obligations, which include reference entity-specific factors such as leverage, volatility and industry, market-based risk factors, such as borrowing costs or liquidity of the underlying reference obligation, and macro-economic conditions.

Ÿ Commodity prices and spreads: For contracts where the holder is receiving a commodity, an increase in the spread (price difference from a benchmark index due to differences in quality or delivery location) or price generally results in a higher fair value measurement.

30 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Fair Value of Derivatives by Level

The tables below present the fair value of derivatives on a gross basis by level and major product type. Gross fair values in the tables below exclude the effects of both netting of receivable balances with payable balances under

enforceable netting agreements, and netting of cash received or posted under credit support agreements both in and across levels of the fair value hierarchy, and therefore are not representative of the firm’s exposure.

	Derivative Assets at Fair Value as of September 2012
in millions		Level 1	Level 2		Level 3		Cross-Level Netting		Total
Interest rates		$  15	$ 638,393		$     262		$       —		$ 638,670
Credit		—	83,310		11,660		—		94,970
Currencies		—	71,907		1,348		—		73,255
Commodities		—	27,617		703		—		28,320
Equities		62	57,781		1,043		—		58,886
Gross fair value of derivative assets		77	879,008		15,016		—		894,101
Counterparty netting 1		—	(711,084	)	(3,906	)	(2,573	) 3	(717,563	)
Subtotal		$  77	$ 167,924		$11,110		$(2,573	)	$ 176,538
Cash collateral netting 2									(103,709	)
Fair value included in financial instruments owned									$   72,829
	Derivative Liabilities at Fair Value as of September 2012
in millions		Level 1	Level 2		Level 3		Cross-Level Netting		Total
Interest rates		$  79	$ 573,172		$     745		$       —		$ 573,996
Credit		—	77,148		4,681		—		81,829
Currencies		—	61,917		997		—		62,914
Commodities		—	27,771		1,354		—		29,125
Equities		60	49,417		1,620		—		51,097
Gross fair value of derivative liabilities		139	789,425		9,397		—		798,961
Counterparty netting 1		—	(711,084	)	(3,906	)	(2,573	) 3	(717,563	)
Subtotal		$139	$   78,341		$  5,491		$(2,573	)	$   81,398
Cash collateral netting 2									(29,627	)
Fair value included in financial instruments sold, but not yet purchased									$   51,771

1. Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements.

2. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

3. Represents the netting of receivable balances with payable balances for the same counterparty across levels of the fair value hierarchy under enforceable netting agreements.

Goldman Sachs September 2012 Form 10-Q 31

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

	Derivative Assets at Fair Value as of December 2011
in millions		Level 1	Level 2		Level 3		Cross-Level Netting		Total
Interest rates		$  33	$ 645,923		$     214		$      —		$ 646,170
Credit		—	137,110		13,706		—		150,816
Currencies		—	86,752		2,026		—		88,778
Commodities		—	35,062		904		—		35,966
Equities		24	62,684		1,427		—		64,135
Gross fair value of derivative assets		57	967,531		18,277		—		985,865
Counterparty netting 1		—	(778,639	)	(6,377	)	(2,717	) 3	(787,733	)
Subtotal		$  57	$ 188,892		$11,900		$(2,717	)	$ 198,132
Cash collateral netting 2									(118,104	)
Fair value included in financial instruments owned									$   80,028
	Derivative Liabilities at Fair Value as of December 2011
in millions		Level 1	Level 2		Level 3		Cross-Level Netting		Total
Interest rates		$  24	$ 582,012		$     585		$      —		$ 582,621
Credit		—	123,253		7,406		—		130,659
Currencies		—	70,573		1,184		—		71,757
Commodities		—	36,541		1,509		—		38,050
Equities		185	49,884		1,859		—		51,928
Gross fair value of derivative liabilities		209	862,263		12,543		—		875,015
Counterparty netting 1		—	(778,639	)	(6,377	)	(2,717	) 3	(787,733	)
Subtotal		$209	$   83,624		$  6,166		$(2,717	)	$   87,282
Cash collateral netting 2									(28,829	)
Fair value included in financial instruments sold, but not yet purchased									$   58,453

1. Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements.

2. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

3. Represents the netting of receivable balances with payable balances for the same counterparty across levels of the fair value hierarchy under enforceable netting agreements.

32 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Level 3 Rollforward

If a derivative was transferred to level 3 during a reporting period, its entire gain or loss for the period is included in level 3. Transfers between levels are reported at the beginning of the reporting period in which they occur.

Gains and losses on level 3 derivatives should be considered in the context of the following:

Ÿ A derivative with level 1 and/or level 2 inputs is classified in level 3 in its entirety if it has at least one significant level 3 input.

Ÿ If there is one significant level 3 input, the entire gain or loss from adjusting only observable inputs (i.e., level 1 and level 2 inputs) is classified as level 3.

Ÿ Gains or losses that have been reported in level 3 resulting from changes in level 1 or level 2 inputs are frequently offset by gains or losses attributable to level 1 or level 2 derivatives and/or level 1, level 2 and level 3 cash instruments. As a result, gains/(losses) included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources.

The tables below present changes in fair value for all derivatives categorized as level 3 as of the end of the period.

	Level 3 Derivative Assets and Liabilities at Fair Value for the Three Months Ended September 2012
in millions		Asset/ (liability) balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales		Settlements		Transfers into level 3		Transfers out of level 3		Asset/ (liability) balance, end of period
Interest rates — net		$  (353	)	$(24	)	$   49		$    1	$    —		$  (36	)	$  (147	) 3	$  27	4	$  (483	)
Credit — net		6,119		72		(736	)	50	(58	)	(596	)	2,124		4	4	6,979
Currencies — net		192		(8	)	27		4	(7	)	75		61		7	4	351
Commodities — net		(240	)	(38	)	18		74	(431	)	31		(88	) 3	23	4	(651	)
Equities — net		(548	)	(69	)	(68	)	4	(63	)	146		(38	) 3	59	4	(577	)
Total derivatives — net		$5,170		$(67	) 1	$(710	) 1, 2	$133	$(559	)	$(380	)	$1,912		$120		$5,619

1. The aggregate amounts include approximately $(625) million and $(152) million reported in “Market making” and “Other principal transactions,” respectively.

2. Principally resulted from changes in level 2 inputs.

3. Reflects a net transfer to level 3 of derivative liabilities.

4. Reflects a net transfer to level 2 of derivative liabilities.

The net unrealized loss on level 3 derivatives of $710 million for the three months ended September 2012 was primarily attributable to the impact of tighter credit spreads and changes in foreign exchange rates on certain credit derivatives.

Transfers into level 3 derivatives during the three months ended September 2012 primarily reflected transfers from level 2 of certain credit derivative assets, primarily due to unobservable inputs becoming significant to the valuation of these derivatives, and transfers from level 2 of other credit derivative assets, primarily due to reduced transparency of correlation inputs used to value these derivatives.

Goldman Sachs September 2012 Form 10-Q 33

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

	Level 3 Derivative Assets and Liabilities at Fair Value for the Nine Months Ended September 2012
in millions		Asset/ (liability) balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales		Settlements		Transfers into level 3		Transfers out of level 3		Asset/ (liability) balance, end of period
Interest rates — net		$  (371	)	$ (58	)	$    (4	)	$    2	$     (11	)	$     (10	)	$    (44	) 3	$   13	4	$  (483	)
Credit — net		6,300		273		(354	)	151	(159	)	(1,418	)	2,265		(79	)	6,979
Currencies — net		842		(18	)	(208	)	13	(10	)	(100	)	95		(263	)	351
Commodities — net		(605	)	(75	)	135		266	(605	)	396		(188	) 3	25	4	(651	)
Equities — net		(432	)	16		(276	)	131	(240	)	186		(15	) 3	53	4	(577	)
Total derivatives — net		$5,734		$138	1	$(707	) 1, 2	$563	$(1,025	)	$   (946	)	$2,113		$(251	)	$5,619

1. The aggregate amounts include approximately $(465) million and $(104) million reported in “Market making” and “Other principal transactions,” respectively.

2. Principally resulted from changes in level 2 inputs.

3. Reflects a net transfer to level 3 of derivative liabilities.

4. Reflects a net transfer to level 2 of derivative liabilities.

The net unrealized loss on level 3 derivatives of $707 million for the nine months ended September 2012 was primarily attributable to the impact of tighter credit spreads, an increase in global equity prices and changes in foreign exchange rates on certain derivatives.

Transfers into level 3 derivatives during the nine months ended September 2012 primarily reflected transfers from level 2 of certain credit derivative assets, primarily due to unobservable inputs becoming significant to the valuation of these derivatives, and transfers from level 2 of other credit derivative assets, primarily due to reduced transparency of correlation inputs used to value these derivatives.

Transfers out of level 3 derivatives during the nine months ended September 2012 primarily reflected transfers to level 2 of certain currency derivative assets, primarily due to unobservable correlation inputs no longer being significant to the valuation of these derivatives.

	Level 3 Derivative Assets and Liabilities at Fair Value for the Three Months Ended September 2011
in millions		Asset/ (liability) balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Settlements		Net transfers in and/or (out) of level 3		Asset/ (liability) balance, end of period
Interest rates — net		$  (192	)	$ (17	)	$  (124	)	$    6	$       (4)	$     7		$   49		$  (275	)
Credit — net		6,019		117		1,281		269	(671)	(521	)	(479	)	6,015
Currencies — net		1,123		10		30		—	(14)	27		(46	)	1,130
Commodities — net		184		(13	)	(637	)	13	(748)	142		(507	)	(1,566	)
Equities — net		(903	)	44		636		64	(302)	(5	)	38		(428	)
Total derivatives — net		$6,231		$141	1	$1,186	1, 2	$352	$(1,739)	$(350	)	$(945	)	$4,876

1. The aggregate amounts include approximately $1.32 billion and $8 million reported in “Market making” and “Other principal transactions,” respectively.

2. Principally resulted from changes in level 2 inputs.

The net unrealized gain on level 3 derivatives of $1.19 billion for the three months ended September 2011 was primarily attributable to the impact of changes in interest rates and exchange rates and wider credit spreads underlying certain credit derivatives, as well as the impact of a decline in global equity prices underlying certain equity

derivatives. These gains were partially offset by the impact of a decline in certain commodity prices. Unrealized gains on level 3 derivatives were substantially offset by unrealized losses on derivatives classified within level 2 which economically hedge derivatives classified within level 3.

34 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Significant transfers in or out of level 3 derivatives during the three months ended September 2011 included:

Ÿ Credit — net: net transfer out of level 3 of $479 million, principally due to unobservable inputs no longer being significant to the valuation of certain credit derivatives.

Ÿ Commodities — net: net transfer out of level 3 of $507 million, primarily reflecting transfers to level 2, due to increased transparency of market prices used to value certain commodity derivative assets as a result of market activity in similar instruments, and unobservable inputs becoming less significant to the valuation of other commodity derivative assets. In addition, certain commodity derivative liabilities were transferred into level 3 due to reduced transparency of volatility inputs used to value these derivatives.

	Level 3 Derivative Assets and Liabilities at Fair Value for the Nine Months Ended September 2011
in millions		Asset/ (liability) balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales		Settlements		Net transfers in and/or (out) of level 3		Asset/ (liability) balance, end of period
Interest rates — net		$   194		$  (45	)	$  (178	)	$  13	$       (6	)	$      59		$   (312	)	$   (275	)
Credit — net		7,040		123		1,632		319	(873	)	(1,179	)	(1,047	)	6,015
Currencies — net		1,098		(17	)	(210	)	28	(18	)	6		243		1,130
Commodities — net		220		(222	)	(785	)	129	(800	)	358		(466	)	(1,566	)
Equities — net		(990	)	65		734		306	(519	)	(10	)	(14	)	(428	)
Total derivatives — net		$7,562		$  (96	) 1	$1,193	1, 2	$795	$(2,216	)	$   (766	)	$(1,596	)	$ 4,876

1. The aggregate amounts include approximately $1.10 billion and $(7) million reported in “Market making” and “Other principal transactions,” respectively.

2. Principally resulted from changes in level 2 inputs.

The net unrealized gain on level 3 derivatives of $1.19 billion for the nine months ended September 2011 was primarily attributable to the impact of changes in interest rates and exchange rates and wider credit spreads underlying certain credit derivatives, and the impact of a decline in global equity prices underlying certain equity derivatives. These gains were partially offset by the impact of a decline in certain commodity prices. Unrealized gains on level 3 derivatives were substantially offset by unrealized losses on derivatives classified within level 2 which economically hedge derivatives classified within level 3.

Significant transfers in or out of level 3 derivatives during the nine months ended September 2011 included:

Ÿ Credit — net: net transfer out of level 3 of $1.05 billion, principally due to unobservable inputs no longer being significant to the valuation of certain credit derivatives.

Ÿ Commodities — net: net transfer out of level 3 of $466 million, primarily reflecting transfers to level 2, due to increased transparency of market prices used to value certain commodity derivative assets as a result of market activity in similar instruments, and unobservable inputs becoming less significant to the valuation of other commodity derivative assets. In addition, certain commodity derivative liabilities were transferred into level 3 due to reduced transparency of volatility inputs used to value these derivatives.

Impact of Credit Spreads on Derivatives

On an ongoing basis, the firm realizes gains or losses relating to changes in credit risk through the unwind of derivative contracts and changes in credit mitigants.

The net gain/(loss), including hedges, attributable to the impact of changes in credit exposure and credit spreads (counterparty and the firm’s) on derivatives was $(377) million and $328 million for the three months ended September 2012 and September 2011, respectively, and $(716) million and $459 million for the nine months ended September 2012 and September 2011, respectively.

Bifurcated Embedded Derivatives

The table below presents derivatives, primarily interest rate, equity and commodity products, that have been bifurcated from their related borrowings. These derivatives are recorded at fair value and included in “Unsecured short-term borrowings” and “Unsecured long-term borrowings.” See Note 8 for further information.

	As of
in millions, except number of contracts		September 2012		December 2011
Fair value of assets		$ 342		$422
Fair value of liabilities		490		304
Net asset/(liability)		$(148	)	$118
Number of contracts		399		333

Goldman Sachs September 2012 Form 10-Q 35

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

OTC Derivatives

The tables below present the fair values of OTC derivative assets and liabilities by tenor and by product type. Tenor is based on expected duration for mortgage-related credit

derivatives and generally on remaining contractual maturity for other derivatives.

in millions	OTC Derivatives as of September 2012
Assets Product Type	0 - 12 Months		1 - 5 Years		5 Years or Greater		Total
Interest rates	$11,466		$29,659		$  81,929		$ 123,054
Credit	1,692		13,386		8,909		23,987
Currencies	8,116		8,432		13,026		29,574
Commodities	5,012		4,617		368		9,997
Equities	4,907		7,989		7,399		20,295
Netting across product types 1	(2,983	)	(5,976	)	(5,637	)	(14,596	)
Subtotal	$28,210		$58,107		$105,994		192,311
Cross maturity netting 2							(20,401	)
Cash collateral netting 3							(103,709	)
Total							$   68,201
Liabilities Product Type	0 - 12 Months		1 - 5 Years		5 Years or Greater		Total
Interest rates	$  6,448		$18,382		$  33,569		$   58,399
Credit	593		7,030		3,224		10,847
Currencies	6,815		5,254		7,142		19,211
Commodities	3,368		5,552		2,229		11,149
Equities	3,415		5,314		4,139		12,868
Netting across product types 1	(2,983	)	(5,976	)	(5,637	)	(14,596	)
Subtotal	$17,656		$35,556		$  44,666		97,878
Cross maturity netting 2							(20,401	)
Cash collateral netting 3							(29,627	)
Total							$   47,850

1. Represents the netting of receivable balances with payable balances for the same counterparty across product types within a tenor category under enforceable netting agreements. Receivable and payable balances with the same counterparty in the same product type and tenor category are netted within such product type and tenor category.

2. Represents the netting of receivable balances with payable balances for the same counterparty across tenor categories under enforceable netting agreements.

3. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

36 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

in millions	OTC Derivatives as of December 2011
Assets Product Type		0 - 12 Months		1 - 5 Years		5 Years or Greater		Total
Interest rates		$10,931		$32,194		$  82,480		$ 125,605
Credit		3,054		15,468		13,687		32,209
Currencies		11,253		11,592		16,023		38,868
Commodities		5,286		5,931		147		11,364
Equities		6,663		7,768		7,468		21,899
Netting across product types 1		(3,071	)	(6,033	)	(6,027	)	(15,131	)
Subtotal		$34,116		$66,920		$113,778		214,814
Cross maturity netting 2								(22,562	)
Cash collateral netting 3								(118,104	)
Total								$   74,148
Liabilities Product Type		0 - 12 Months		1 - 5 Years		5 Years or Greater		Total
Interest rates		$  5,787		$18,607		$  37,739		$   62,133
Credit		1,200		6,957		3,894		12,051
Currencies		9,826		5,514		6,502		21,842
Commodities		6,322		5,174		2,727		14,223
Equities		3,290		4,018		4,246		11,554
Netting across product types 1		(3,071	)	(6,033	)	(6,027	)	(15,131	)
Subtotal		$23,354		$34,237		$  49,081		106,672
Cross maturity netting 2								(22,562	)
Cash collateral netting 3								(28,829	)
Total								$   55,281

1. Represents the netting of receivable balances with payable balances for the same counterparty across product types within a tenor category under enforceable netting agreements. Receivable and payable balances with the same counterparty in the same product type and tenor category are netted within such product type and tenor category.

2. Represents the netting of receivable balances with payable balances for the same counterparty across tenor categories under enforceable netting agreements.

3. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

Goldman Sachs September 2012 Form 10-Q 37

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Derivatives with Credit-Related Contingent Features

Certain of the firm’s derivatives have been transacted under bilateral agreements with counterparties who may require the firm to post collateral or terminate the transactions based on changes in the firm’s credit ratings. The firm assesses the impact of these bilateral agreements by determining the collateral or termination payments that would occur assuming a downgrade by all rating agencies. A downgrade by any one rating agency, depending on the agency’s relative ratings of the firm at the time of the downgrade, may have an impact which is comparable to the impact of a downgrade by all rating agencies. The table below presents the aggregate fair value of net derivative liabilities under such agreements (excluding application of collateral posted to reduce these liabilities), the related aggregate fair value of the assets posted as collateral, and the additional collateral or termination payments that could have been called at the reporting date by counterparties in the event of a one-notch and two-notch downgrade in the firm’s credit ratings.

	As of
in millions		September 2012	December 2011
Net derivative liabilities under bilateral agreements		$29,731	$35,066
Collateral posted		25,512	29,002
Additional collateral or termination payments for a one-notch downgrade		1,397	1,303
Additional collateral or termination payments for a two-notch downgrade		2,698	2,183

Credit Derivatives

The firm enters into a broad array of credit derivatives in locations around the world to facilitate client transactions and to manage the credit risk associated with market-making and investing and lending activities. Credit derivatives are actively managed based on the firm’s net risk position.

Credit derivatives are individually negotiated contracts and can have various settlement and payment conventions. Credit events include failure to pay, bankruptcy, acceleration of indebtedness, restructuring, repudiation and dissolution of the reference entity.

Credit Default Swaps. Single-name credit default swaps protect the buyer against the loss of principal on one or more bonds, loans or mortgages (reference obligations) in the event the issuer (reference entity) of the reference obligations suffers a credit event. The buyer of protection pays an initial or periodic premium to the seller and receives

protection for the period of the contract. If there is no credit event, as defined in the contract, the seller of protection makes no payments to the buyer of protection. However, if a credit event occurs, the seller of protection is required to make a payment to the buyer of protection, which is calculated in accordance with the terms of the contract.

Credit Indices, Baskets and Tranches. Credit derivatives may reference a basket of single-name credit default swaps or a broad-based index. If a credit event occurs in one of the underlying reference obligations, the protection seller pays the protection buyer. The payment is typically a pro-rata portion of the transaction’s total notional amount based on the underlying defaulted reference obligation. In certain transactions, the credit risk of a basket or index is separated into various portions (tranches), each having different levels of subordination. The most junior tranches cover initial defaults and once losses exceed the notional amount of these junior tranches, any excess loss is covered by the next most senior tranche in the capital structure.

Total Return Swaps. A total return swap transfers the risks relating to economic performance of a reference obligation from the protection buyer to the protection seller. Typically, the protection buyer receives from the protection seller a floating rate of interest and protection against any reduction in fair value of the reference obligation, and in return the protection seller receives the cash flows associated with the reference obligation, plus any increase in the fair value of the reference obligation.

Credit Options. In a credit option, the option writer assumes the obligation to purchase or sell a reference obligation at a specified price or credit spread. The option purchaser buys the right, but does not assume the obligation, to sell the reference obligation to, or purchase it from, the option writer. The payments on credit options depend either on a particular credit spread or the price of the reference obligation.

The firm economically hedges its exposure to written credit derivatives primarily by entering into offsetting purchased credit derivatives with identical underlyings. Substantially all of the firm’s purchased credit derivative transactions are with financial institutions and are subject to stringent collateral thresholds. In addition, upon the occurrence of a specified trigger event, the firm may take possession of the reference obligations underlying a particular written credit derivative, and consequently may, upon liquidation of the reference obligations, recover amounts on the underlying reference obligations in the event of default.

38 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

As of September 2012, written and purchased credit derivatives had total gross notional amounts of $1.86 trillion and $1.98 trillion, respectively, for total net notional purchased protection of $115.24 billion. As of December 2011, written and purchased credit derivatives had total gross notional amounts of $1.96 trillion and $2.08 trillion, respectively, for total net notional purchased protection of $116.93 billion.

The table below presents certain information about credit derivatives. In the table below:

Ÿ fair values exclude the effects of both netting of receivable balances with payable balances under enforceable netting agreements, and netting of cash received or posted under credit support agreements, and therefore are not representative of the firm’s credit exposure;

Ÿ tenor is based on expected duration for mortgage-related credit derivatives and on remaining contractual maturity for other credit derivatives; and

Ÿ the credit spread on the underlying, together with the tenor of the contract, are indicators of payment/performance risk. The firm is less likely to pay or otherwise be required to perform where the credit spread and the tenor are lower.

	Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor					Maximum Payout/Notional Amount of Purchased Credit Derivatives					Fair Value of Written Credit Derivatives
$ in millions		0 - 12 Months	1 - 5 Years	5 Years or Greater	Total		Offsetting Purchased Credit Derivatives	1	Other Purchased Credit Derivatives	2		Asset	Liability	Net Asset/ (Liability)
As of September 2012
Credit spread on underlying (basis points)
0-250		$378,059	$   919,259	$153,110	$1,450,428		$1,357,304		$197,320			$25,629	$  10,001	$ 15,628
251-500		17,581	169,661	48,737	235,979		214,043		24,678			3,870	12,055	(8,185	)
501-1,000		12,677	65,288	12,185	90,150		86,341		6,510			1,086	5,768	(4,682	)
Greater than 1,000		16,997	61,631	7,429	86,057		72,992		18,664			496	24,540	(24,044	)
Total		$425,314	$1,215,839	$221,461	$1,862,614		$1,730,680		$247,172			$31,081	$  52,364	$(21,283	)
As of December 2011
Credit spread on underlying (basis points)
0-250		$282,851	$   794,193	$141,688	$1,218,732		$1,122,296		$180,316			$17,572	$  16,907	$      665
251-500		42,682	269,687	69,864	382,233		345,942		47,739			4,517	20,810	(16,293	)
501-1,000		29,377	140,389	21,819	191,585		181,003		23,176			138	15,398	(15,260	)
Greater than 1,000		30,244	114,103	22,995	167,342		147,614		28,734			512	57,201	(56,689	)
Total		$385,154	$1,318,372	$256,366	$1,959,892		$1,796,855		$279,965			$22,739	$110,316	$(87,577	)

1. Offsetting purchased credit derivatives represent the notional amount of purchased credit derivatives to the extent they economically hedge written credit derivatives with identical underlyings.

2. This purchased protection represents the notional amount of purchased credit derivatives in excess of the notional amount included in “Offsetting Purchased Credit Derivatives.”

Hedge Accounting

The firm applies hedge accounting for (i) certain interest rate swaps used to manage the interest rate exposure of certain fixed-rate unsecured long-term and short-term borrowings and certain fixed-rate certificates of deposit and (ii) certain foreign currency forward contracts and foreign currency-denominated debt used to manage foreign currency exposures on the firm’s net investment in certain non-U.S. operations.

To qualify for hedge accounting, the derivative hedge must be highly effective at reducing the risk from the exposure being hedged. Additionally, the firm must formally document the hedging relationship at inception and test the hedging relationship at least on a quarterly basis to ensure the derivative hedge continues to be highly effective over the life of the hedging relationship.

Goldman Sachs September 2012 Form 10-Q 39

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Interest Rate Hedges

The firm designates certain interest rate swaps as fair value hedges. These interest rate swaps hedge changes in fair value attributable to the relevant benchmark interest rate (e.g., London Interbank Offered Rate (LIBOR)), effectively converting a substantial portion of fixed-rate obligations into floating-rate obligations.

The firm applies a statistical method that utilizes regression analysis when assessing the effectiveness of its fair value hedging relationships in achieving offsetting changes in the fair values of the hedging instrument and the risk being hedged (i.e., interest rate risk). An interest rate swap is considered highly effective in offsetting changes in fair value attributable to changes in the hedged risk when the regression analysis results in a coefficient of determination of 80% or greater and a slope between 80% and 125%.

For qualifying fair value hedges, gains or losses on derivatives are included in “Interest expense.” The change in fair value of the hedged item attributable to the risk being hedged is reported as an adjustment to its carrying value and is subsequently amortized into interest expense over its remaining life. Gains or losses resulting from hedge ineffectiveness are included in “Interest expense.” When a derivative is no longer designated as a hedge, any remaining difference between the carrying value and par value of the hedged item is amortized to interest expense over the remaining life of the hedged item using the effective interest method. See Note 23 for further information about interest income and interest expense.

The table below presents the gains/(losses) from interest rate derivatives accounted for as hedges, the related hedged borrowings and bank deposits, and the hedge ineffectiveness on these derivatives.

	Three Months Ended September					Nine Months Ended September
in millions		2012		2011			2012		2011
Interest rate hedges		$(549	)	$ 6,654			$   (995	)	$ 4,832
Hedged borrowings and bank deposits		102		(6,969	)		(280	)	(6,056	)
Hedge ineffectiveness 1		(447	)	(315	)		(1,275	)	(1,224	)

1. Primarily consisted of amortization of prepaid credit spreads resulting from the passage of time.

Net Investment Hedges

The firm seeks to reduce the impact of fluctuations in foreign exchange rates on its net investment in certain non-U.S. operations through the use of foreign currency forward contracts and foreign currency-denominated debt. For foreign currency forward contracts designated as hedges, the effectiveness of the hedge is assessed based on the overall changes in the fair value of the forward contracts (i.e., based on  changes  in  forward  rates).  For  foreign currency-denominated debt designated as a hedge, the effectiveness of the hedge is assessed based on changes in spot rates.

For qualifying net investment hedges, the gains or losses on the hedging instruments, to the extent effective, are included in “Currency translation adjustment, net of tax” within the condensed consolidated statements of comprehensive income.

The table below presents the gains/(losses) from net investment hedging.

	Three Months Ended September					Nine Months Ended September
in millions		2012		2011			2012		2011
Currency hedges		$(192	)	$ 513			$(195	)	$ 110
Foreign currency-denominated debt		(73	)	(130	)		40		(142	)

The gain/(loss) related to ineffectiveness was not material for the three and nine months ended September 2012 and September 2011, and the loss reclassified to earnings from accumulated other comprehensive income was not material for the three and nine months ended September 2012. The loss reclassified to earnings from accumulated other comprehensive income was $151 million and $169 million for the three and nine months ended September 2011, respectively.

As of September 2012 and December 2011, the firm had designated $3.07 billion and $3.11 billion, respectively, of foreign currency-denominated debt, included in “Unsecured   long-term   borrowings”   and   “Unsecured short-term  borrowings,”  as  hedges  of  net  investments in non-U.S. subsidiaries.

40 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 8.

Fair Value Option

Other Financial Assets and Financial Liabilities at
Fair Value

In addition to all cash and derivative instruments included in “Financial instruments owned, at fair value” and “Financial instruments sold, but not yet purchased, at fair value,” the firm has elected to account for certain of its other financial assets and financial liabilities at fair value under the fair value option.

The primary reasons for electing the fair value option are to:

Ÿ reflect economic events in earnings on a timely basis;

Ÿ mitigate volatility in earnings from using different measurement attributes (e.g., transfers of financial instruments owned accounted for as financings are recorded at fair value whereas the related secured financing would be recorded on an accrual basis absent electing the fair value option); and

Ÿ address simplification and cost-benefit considerations (e.g., accounting for hybrid financial instruments at fair value in their entirety versus bifurcation of embedded derivatives and hedge accounting for debt hosts).

Hybrid financial instruments are instruments that contain bifurcatable embedded derivatives and do not require settlement by physical delivery of non-financial assets (e.g., physical commodities). If the firm elects to bifurcate the embedded derivative from the associated debt, the derivative is accounted for at fair value and the host contract is accounted for at amortized cost, adjusted for the effective portion of any fair value hedges. If the firm does not elect to bifurcate, the entire hybrid financial instrument is accounted for at fair value under the fair value option.

Other financial assets and financial liabilities accounted for at fair value under the fair value option include:

Ÿ resale and repurchase agreements;

Ÿ securities borrowed and loaned within Fixed Income, Currency and Commodities Client Execution;

Ÿ certain other secured financings, primarily transfers of assets accounted for as financings rather than sales and certain other nonrecourse financings;

Ÿ certain unsecured short-term borrowings, consisting of all promissory notes and commercial paper and certain hybrid financial instruments;

Ÿ certain unsecured long-term borrowings, including prepaid commodity transactions and certain hybrid financial instruments;

Ÿ certain receivables from customers and counterparties, including certain margin loans and transfers of assets accounted for as secured loans rather than purchases;

Ÿ certain insurance and reinsurance contract assets and liabilities and certain guarantees;

Ÿ certain subordinated liabilities issued by consolidated VIEs; and

Ÿ certain time deposits issued by the firm’s bank subsidiaries (deposits with no stated maturity are not eligible for a fair value option election), including structured certificates of deposit, which are hybrid financial instruments.

These financial assets and financial liabilities at fair value are generally valued based on discounted cash flow techniques, which incorporate inputs with reasonable levels of price transparency, and are generally classified as level 2 because the inputs are observable. Valuation adjustments may be made for liquidity and for counterparty and the firm’s credit quality.

See below for information about the significant inputs used to value other financial assets and financial liabilities at fair value, including the ranges of significant unobservable inputs used to value the level 3 instruments within these categories. These ranges represent the significant unobservable inputs that were used in the valuation of each type of other financial assets and financial liabilities at fair value. The ranges of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one instrument. For example, the highest yield presented below for resale and repurchase agreements is appropriate for valuing a specific agreement in that category but may not be appropriate for valuing any other agreements in that category. Accordingly, the range of inputs presented below do not represent uncertainty in, or possible ranges of, fair value measurements of the firm’s level 3 other financial assets and financial liabilities.

Goldman Sachs September 2012 Form 10-Q 41

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Resale and Repurchase Agreements and Securities Borrowed and Loaned. The significant inputs to the valuation of resale and repurchase agreements and securities borrowed and loaned are collateral funding spreads, the amount and timing of expected future cash flows and interest rates. The ranges of significant unobservable inputs used to value level 3 resale and repurchase agreements as of September 2012 are as follows:

Ÿ Yield: 1.9% to 5.3%

Ÿ Duration: 0.4 to 4.8 years

Generally, increases in yield or duration, in isolation, would result in a lower fair value measurement. Due to the distinctive nature of each of the firm’s level 3 resale and repurchase agreements, the interrelationship of inputs is not necessarily uniform across such agreements.

See Note 9 for further information about collateralized agreements.

Other Secured Financings. The significant inputs to the valuation of other secured financings at fair value are the amount and timing of expected future cash flows, interest rates, collateral funding spreads, the fair value of the collateral delivered by the firm (which is determined using the amount and timing of expected future cash flows, market prices, market yields and recovery assumptions) and the frequency of additional collateral calls. The ranges of significant unobservable inputs used to value level 3 other secured financings as of September 2012 are as follows:

Ÿ Yield: 0.4% to 20.1%

Ÿ Duration: 0.2 to 10.0 years

Generally, increases in yield or duration, in isolation, would result in a lower fair value measurement. Due to the distinctive nature of each of the firm’s level 3 other secured financings, the interrelationship of inputs is not necessarily uniform across such financings.

See Note 9 for further information about collateralized financings.

Unsecured Short-term and Long-term Borrowings. The significant inputs to the valuation of unsecured short-term and long-term borrowings at fair value are the amount and timing of expected future cash flows, interest rates, the credit spreads of the firm, as well as commodity prices in the case of prepaid commodity transactions. The inputs used to value the embedded derivative component of hybrid financial instruments are consistent with the inputs used to value the firm’s other derivative instruments. See Note 7 for further information about derivatives. See Notes 15 and 16 for further information about unsecured short-term and long-term borrowings, respectively.

Certain of the firm’s unsecured short-term and long-term instruments are included in level 3, substantially all of which are hybrid financial instruments. As the significant unobservable inputs used to value hybrid financial instruments primarily relate to the embedded derivative component of these borrowings, these inputs are incorporated in the firm’s derivative disclosures related to unobservable inputs in Note 7.

Insurance and Reinsurance Contracts. Insurance and reinsurance contracts at fair value are included in “Receivables from customers and counterparties” and “Other liabilities and accrued expenses.” The insurance and reinsurance contracts for which the firm has elected the fair value option are contracts that can be settled only in cash and that qualify for the fair value option because they are recognized financial instruments. These contracts are valued using market transactions and other market evidence where possible, including market-based inputs to models, calibration to market-clearing transactions or other alternative pricing sources with reasonable levels of price transparency. Significant level 2 inputs are interest rates, inflation rates, volatilities, and policy lapse and projected mortality assumptions. Significant level 3 inputs are funding spreads. When unobservable inputs to a valuation model are significant to the fair value measurement of an instrument, the instrument is classified in level 3. The range of significant unobservable inputs used to value level 3 insurance and reinsurance contracts as of September 2012 is as follows:

Ÿ Funding spreads: 92 bps to 128 bps

Generally, an increase in funding spreads would result in a lower fair value measurement.

42 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Receivables from Customers and Counterparties. Receivables from customers and counterparties at fair value, excluding insurance and reinsurance contracts, are primarily comprised of transfers of assets accounted for as secured loans rather than purchases. The significant inputs to the valuation of such receivables are commodity prices, interest rates, the amount and timing of expected future cash flows and funding spreads. The range of significant unobservable inputs used to value level 3 receivables from customers and counterparties as of September 2012 is as follows:

Ÿ Funding spreads: 112 bps to 157 bps

Generally, an increase in funding spreads would result in a lower fair value measurement.

Receivables from customers and counterparties not accounted for at fair value are accounted for at amortized cost net of estimated uncollectible amounts, which generally approximates fair value. Such receivables are primarily comprised of customer margin loans. While these margin loans are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value

hierarchy in Notes 6, 7 and 8. Had these margin loans been included in the firm’s fair value hierarchy, substantially all would have been classified in level 2 as of September 2012.

Deposits. The significant inputs to the valuation of time deposits are interest rates and the amount and timing of future cash flows. The inputs used to value the embedded derivative component of hybrid financial instruments are consistent with the inputs used to value the firm’s other derivative instruments. See Note 7 for further information about derivatives. See Note 14 for further information about deposits.

The firm’s deposits that are included in level 3 are hybrid financial instruments. As the significant unobservable inputs used to value hybrid financial instruments primarily relate to the embedded derivative component of these deposits, these inputs are incorporated in the firm’s derivative disclosures related to unobservable inputs in Note 7.

Fair Value of Other Financial Assets and Financial Liabilities by Level

The tables below present, by level within the fair value hierarchy, other financial assets and financial liabilities accounted for at fair value under the fair value option.

	Other Financial Assets at Fair Value as of September 2012
in millions		Level 1	Level 2	Level 3	Total
Securities segregated for regulatory and other purposes 1		$25,346	$    8,741	$       —	$  34,087
Securities purchased under agreements to resell		—	147,176	185	147,361
Securities borrowed		—	47,986	—	47,986
Receivables from customers and counterparties		—	6,295	625	6,920
Total		$25,346	$210,198	$     810	$236,354
	Other Financial Liabilities at Fair Value as of September  2012
in millions		Level 1	Level 2	Level 3	Total
Deposits		$       —	$    5,373	$     301	$    5,674
Securities sold under agreements to repurchase		—	164,067	2,119	166,186
Securities loaned		—	243	—	243
Other secured financings		—	23,926	1,253	25,179
Unsecured short-term borrowings		—	14,939	2,681	17,620
Unsecured long-term borrowings		—	10,877	2,001	12,878
Other liabilities and accrued expenses		—	492	9,483	9,975
Total		$       —	$219,917	$17,838	$237,755

1. Includes securities segregated for regulatory and other purposes accounted for at fair value under the fair value option, which consists of securities borrowed and resale agreements. The table above includes $25.35 billion of level 1 and $531 million of level 2 securities segregated for regulatory and other purposes accounted for at fair value under other U.S. GAAP, principally consisting of U.S. Treasury securities, money market instruments and insurance separate account assets.

Goldman Sachs September 2012 Form 10-Q 43

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

	Other Financial Assets at Fair Value as of December 2011
in millions		Level 1	Level 2	Level 3	Total
Securities segregated for regulatory and other purposes 1		$21,263	$  20,751	$        —	$  42,014
Securities purchased under agreements to resell		—	187,232	557	187,789
Securities borrowed		—	47,621	—	47,621
Receivables from customers and counterparties		—	8,887	795	9,682
Total		$21,263	$264,491	$  1,352	$287,106
	Other Financial Liabilities at Fair Value as of December  2011
in millions		Level 1	Level 2	Level 3	Total
Deposits		$        —	$    4,513	$       13	$    4,526
Securities sold under agreements to repurchase		—	162,321	2,181	164,502
Securities loaned		—	107	—	107
Other secured financings		—	28,267	1,752	30,019
Unsecured short-term borrowings		—	14,560	3,294	17,854
Unsecured long-term borrowings		—	14,971	2,191	17,162
Other liabilities and accrued expenses		—	490	8,996	9,486
Total		$        —	$225,229	$18,427	$243,656

1. Includes securities segregated for regulatory and other purposes accounted for at fair value under the fair value option, which consists of securities borrowed and resale agreements. The table above includes $21.26 billion of level 1 and $528 million of level 2 securities segregated for regulatory and other purposes accounted for at fair value under other U.S. GAAP, principally consisting of U.S. Treasury securities, money market instruments and insurance separate account assets.

44 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Transfers Between Levels of the Fair Value Hierarchy

Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. There were no transfers of other financial assets and financial liabilities between level 1 and level 2 during the three and nine months ended September 2012. The tables below present information about transfers between level 2 and level 3.

Level 3 Rollforward

If a financial asset or financial liability was transferred to level 3 during a reporting period, its entire gain or loss for the period is included in level 3.

The tables below present changes in fair value for other financial assets and financial liabilities accounted for at fair value under the fair value option categorized as level 3 as of the end of the period. Level 3 other financial assets and liabilities are frequently economically hedged with cash instruments and derivatives. Accordingly, gains or losses that are reported in level 3 can be partially offset by gains or losses attributable to level 1, 2 or 3 cash instruments or derivatives. As a result, gains or losses included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources.

	Level 3 Other Financial Assets at Fair Value for the Three Months Ended September 2012
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Securities purchased under agreements to resell		$  1,023	$  2		$—		$41	$—	$   —	$  (52	)	$   —	$(829	)	$     185
Receivables from customers and counterparties		616	—		19		—	—	—	(10	)	—	—		625
Total		$  1,639	$  2	1	$19	1	$41	$—	$   —	$  (62	)	$   —	$(829	)	$     810

1. The aggregate amounts include gains of approximately $20 million and $1 million reported in “Market making” and “Interest income,” respectively.

	Level 3 Other Financial Liabilities at Fair Value for the Three Months Ended September 2012
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Deposits		$     179	$  —		$    4		$ —	$—	$102	$    —		$  16	$    —		$     301
Securities sold under agreements to repurchase, at fair value		2,055	—		—		—	—	64	—		—	—		2,119
Other secured financings		1,182	3		—		—	—	117	(200	)	151	—		1,253
Unsecured short-term borrowings		2,726	7		171		—	—	170	(253	)	76	(216	)	2,681
Unsecured long-term borrowings		1,946	7		80		—	—	47	(108	)	33	(4	)	2,001
Other liabilities and accrued expenses		8,969	(15	)	608		—	—	—	(79	)	—	—		9,483
Total		$17,057	$   2	1	$863	1	$ —	$—	$500	$(640	)	$276	$(220	)	$17,838

1. The aggregate amounts include losses of approximately $797 million, $65 million and $3 million reported in “Market making,” “Other principal transactions” and “Interest expense,” respectively.

The net unrealized loss on level 3 other financial liabilities of $863 million for the three months ended September 2012 primarily reflected the impact of tighter funding spreads and changes in foreign exchange rates on certain insurance liabilities, and an increase in global equity prices and tighter credit spreads on certain hybrid financial instruments.

Transfers out of level 3 of other financial assets during the three months ended September 2012 reflected transfers to level 2 of certain resale agreements, primarily due to increased transparency of funding spreads as a result of market activity in similar instruments.

Transfers into level 3 of other financial liabilities during the three months ended September 2012 primarily reflected transfers from level 2 of certain secured financings, primarily due to less market activity in these instruments.

Transfers out of level 3 of other financial liabilities during the three months ended September 2012 primarily reflected transfers to level 2 of certain hybrid financial instruments, principally due to increased transparency of the correlation and volatility inputs used to value certain instruments and unobservable inputs no longer being significant to the valuation of other instruments.

Goldman Sachs September 2012 Form 10-Q 45

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

	Level 3 Other Financial Assets at Fair Value for the Nine Months Ended September 2012
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Securities purchased under agreements to resell		$     557	$   8		$—		$   51	$—	$      —	$   (431	)	$   —	$    —		$     185
Receivables from customers and counterparties		795	—		21		199	—	—	(17	)	—	(373	)	625
Total		$  1,352	$   8	1	$21	1	$250	$—	$      —	$   (448	)	$   —	$(373	)	$     810

1. The aggregate amounts include gains of approximately $21 million and $8 million reported in “Market making” and “Interest income,” respectively.

	Level 3 Other Financial Liabilities at Fair Value for the Nine Months Ended September 2012
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases		Sales	Issues	Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Deposits		$       13	$  —		$      —		$      —		$—	$   272	$       —		$   16	$       —		$     301
Securities sold under agreements to repurchase, at fair value		2,181	—		—		—		—	—	(62	)	—	—		2,119
Other secured financings		1,752	9		—		—		—	296	(775	)	—	(29	)	1,253
Unsecured short-term borrowings		3,294	(33	)	204		(13	)	—	550	(817	)	194	(698	)	2,681
Unsecured long-term borrowings		2,191	23		190		—		—	293	(238	)	213	(671	)	2,001
Other liabilities and accrued expenses		8,996	(23	)	764		—		—	—	(254	)	—	—		9,483
Total		$18,427	$(24	)1	$1,158	1	$    (13	)	$—	$1,411	$(2,146	)	$423	$(1,398	)	$17,838

1. The aggregate amounts include losses of approximately $1.02 billion, $103 million and $10 million reported in “Market making,” “Other principal transactions” and “Interest expense,” respectively.

The net unrealized loss on level 3 other financial liabilities of $1.16 billion for the nine months ended September 2012 primarily reflected the impact of tighter funding spreads and changes in foreign exchange rates on certain insurance liabilities, and an increase in global equity prices and tighter credit spreads on certain hybrid financial instruments.

Transfers out of level 3 of other financial assets during the nine months ended September 2012 reflected transfers to level 2 of certain insurance receivables, primarily due to increased transparency of the mortality inputs used to value these receivables.

Transfers into level 3 of other financial liabilities during the nine months ended September 2012 primarily reflected transfers from level 2 of certain hybrid financial instruments, principally due to decreased transparency of the correlation and volatility inputs used to value these instruments.

Transfers out of level 3 of other financial liabilities during the nine months ended September 2012 primarily reflected transfers to level 2 of certain hybrid financial instruments, principally due to increased transparency of the correlation and volatility inputs used to value certain instruments, and unobservable inputs no longer being significant to the valuation of certain instruments.

46 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

	Level 3 Other Financial Assets at Fair Value for the Three Months Ended September 2011
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Net transfers in and/or (out) of level 3	Balance, end of period
Securities purchased under agreements to resell		$     299	$  —		$    —		$232	$  —	$   —	$     (46	)	$      —	$     485
Receivables from customers and counterparties		321	—		(19	)	312	—	—	(7	)	176	783
Total		$     620	$  —	1	$  (19	) 1	$544	$  —	$   —	$     (53	)	$    176	$  1,268

1. The aggregate amounts include losses of approximately $19 million reported in “Market making.”

	Level 3 Other Financial Liabilities at Fair Value for the Three Months Ended September 2011
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases		Sales		Issues	Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Securities sold under agreements to repurchase, at fair value		$  2,076	$  —		$    —		$   —		$  —		$  52	$      —		$      —		$  2,128
Other secured financings		5,297	—		(1	)	—		—		—	(588	)	(3,054	)	1,654
Unsecured short-term borrowings		3,101	(86	)	(367	)	—		19		110	(356	)	1,013		3,434
Unsecured long-term borrowings		2,554	4		(182	)	(22	)	—		163	(25	)	149		2,641
Other liabilities and accrued expenses		6,944	—		359		227		(32	)	—	(147	)	—		7,351
Total		$19,972	$(82	) 1	$(191	) 1	$205		$(13	)	$325	$(1,116	)	$(1,892	)	$17,208

1. The aggregate amounts include gains/(losses) of approximately $298 million and $(25) million reported in “Market making” and “Other principal transactions,” respectively.

Significant transfers in or out of level 3 during the three months ended September 2011 included:

Ÿ Other secured financings: net transfer out of level 3 of $3.05 billion, principally due to transfers to level 2 of certain borrowings as unobservable inputs were no longer significant to the valuation of these borrowings as they neared maturity.

Ÿ Unsecured short-term borrowings: net transfer into level 3 of $1.01 billion, principally due to transfers to level 3 of certain borrowings due to less transparency of market prices as a result of less activity in these financial instruments.

Goldman Sachs September 2012 Form 10-Q 47

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

	Level 3 Other Financial Assets at Fair Value for the Nine Months Ended September 2011
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Net transfers in and/or (out) of level 3	Balance, end of period
Securities purchased under agreements to resell		$     100	$   2		$    —		$   477	$  —	$      —	$     (94	)	$       —	$     485
Receivables from customers and counterparties		298	—		2		325	—	—	(18	)	176	783
Total		$     398	$   2	1	$     2	1	$   802	$  —	$      —	$   (112	)	$    176	$  1,268

1. The aggregate amounts include gains of approximately $2 million and $2 million reported in “Market making” and “Other principal transactions,” respectively.

	Level 3 Other Financial Liabilities at Fair Value for the Nine Months Ended September 2011
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases		Sales		Issues	Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Securities sold under agreements to repurchase, at fair value		$  2,060	$  —		$    —		$      —		$  —		$   246	$   (178	)	$       —		$  2,128
Other secured financings		8,349	8		3		—		—		272	(3,943	)	(3,035	)	1,654
Unsecured short-term borrowings		3,476	69		(652	)	(3	)	7		933	(781	)	385		3,434
Unsecured long-term borrowings		2,104	14		(20	)	(72	)	—		453	(97	)	259		2,641
Other liabilities and accrued expenses		2,409	—		662		4,564		(32	)	—	(252	)	—		7,351
Total		$18,398	$ 91	1	$    (7	) 1	$4,489		$(25	)	$1,904	$(5,251	)	$(2,391	)	$17,208

1. The aggregate amounts include gains/(losses) of approximately $(94) million, $18 million and $(8) million reported in “Market making,” “Other principal transactions” and “Interest expense,” respectively.

The net unrealized loss on other liabilities and accrued expenses of $662 million was primarily attributable to the impact of a change in interest rates on certain insurance liabilities. The net unrealized gain on unsecured short-term borrowings of $652 million primarily reflected gains on certain equity-linked notes, principally due to a decline in global equity markets.

Significant transfers in or out of level 3 during the nine months ended September 2011 included:

Ÿ Other secured financings: net transfer out of level 3 of $3.04 billion, principally due to transfers to level 2 of certain borrowings as unobservable inputs were no longer significant to the valuation of these borrowings as they neared maturity.

Ÿ Unsecured short-term borrowings: net transfer into level 3 of $385 million, principally due to transfers to level 3 of certain borrowings due to less transparency of market prices as a result of less activity in these financial instruments, partially offset by transfers from level 3 unsecured short-term borrowings to level 3 unsecured long-term borrowings related to an extension in the tenor of certain borrowings.

48 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Gains and Losses on Other Financial Assets and
Financial Liabilities at Fair Value

The “Fair Value Option” columns in the table below present the gains and losses recognized as a result of the firm electing to apply the fair value option to certain financial assets and financial liabilities. These gains and losses are included in “Market making” and “Other principal transactions.”

The amounts in the table exclude contractual interest, which is included in “Interest income” and “Interest expense,” for all instruments other than hybrid financial instruments. See Note 23 for further information about interest income and interest expense. The table also excludes gains and losses related to financial instruments owned, at fair value and financial instruments sold, but not yet purchased, at fair value.

Included in the “Other” columns in the table below are:

Ÿ Gains and losses on the embedded derivative component of hybrid financial instruments included in unsecured short-term borrowings and unsecured long-term borrowings. These gains and losses would have been recognized under other U.S. GAAP even if the firm had not elected to account for the entire hybrid instrument at fair value.

Ÿ Gains and losses on secured financings related to transfers of assets accounted for as financings rather than sales. These gains and losses are offset by gains and losses on the related instruments included in “Financial instruments owned, at fair value” and “Receivables from customers and counterparties.”

Ÿ Gains and losses on receivables from customers and counterparties related to transfers of assets accounted for as receivables rather than purchases. These gains and losses are offset by gains and losses on the related financial instruments included in “Other secured financings.”

Ÿ Gains and losses on subordinated liabilities issued by consolidated VIEs, which are included in “Other liabilities and accrued expenses.” These gains and losses are offset by gains and losses on the financial assets held by the consolidated VIEs.

	Gains/(Losses) on Other Financial Assets and Financial Liabilities at Fair Value
	Three Months Ended September										Nine Months Ended September
	2012					2011					2012					2011
in millions		Fair Value Option		Other			Fair Value Option		Other			Fair Value Option		Other			Fair Value Option		Other
Receivables from customers and counterparties 1		$       49		$    786			$  (24	)	$   380			$      58		$    847			$  (29	)	$    899
Other secured financings		(22	)	(1,267	)		104		(613	)		(33	)	(1,636	)		137		(1,538)
Unsecured short-term borrowings		(90	)	(479	)		83		2,125			(128	)	(573	)		114		2,228
Unsecured long-term borrowings		(313	)	(662	)		482		3,157			(495	)	(1,017	)		553		2,318
Other liabilities and accrued expenses 2		(595	)	(48	)		(307	)	60			(787	)	(6	)		(560	)	127
Other 3		(33	)	(5	)		46		—			(128	)	(2	)		91		—
Total		$(1,004	)	$(1,675	)		$ 384		$5,109			$(1,513	)	$(2,387	)		$ 306		$ 4,034

1. Primarily consists of gains/(losses) on certain transfers accounted for as receivables rather than purchases and certain reinsurance contracts.

2. Primarily consists of gains/(losses) on certain insurance contracts.

3. Primarily consists of gains/(losses) on resale and repurchase agreements, securities borrowed and loaned and deposits.

Excluding the gains and losses on the instruments accounted for under the fair value option described above, “Market making” and “Other principal transactions”

primarily represents gains and losses on “Financial instruments owned, at fair value” and “Financial instruments sold, but not yet purchased, at fair value.”

Goldman Sachs September 2012 Form 10-Q 49

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Loans and Lending Commitments

The table below presents the difference between the aggregate fair value and the aggregate contractual principal amount for loans and long-term receivables for which the fair value option was elected.

	As of
in millions		September 2012	December 2011
Aggregate contractual principal amount of performing loans and long-term receivables in excess of the related fair value		$  2,704	$  3,826
Aggregate contractual principal amount of loans on nonaccrual status and/or more than 90 days past due in excess of the related fair value		24,017	23,034
Total 1		$26,721	$26,860
Aggregate fair value of loans on nonaccrual status and/or more than 90 days past due		$  2,262	$  3,174

1. The aggregate contractual principal exceeds the related fair value primarily because the firm regularly purchases loans, such as distressed loans, at values significantly below contractual principal amounts.

As of September 2012 and December 2011, the fair value of unfunded lending commitments for which the fair value option was elected was a liability of $2.04 billion and $2.82 billion, respectively, and the related total contractual amount of these lending commitments was $59.92 billion and $66.12 billion, respectively. See Note 18 for further information about lending commitments.

Long-term Debt Instruments

The aggregate contractual principal amount of long-term other secured financings for which the fair value option was elected exceeded the related fair value by $188 million and $239 million as of September 2012 and December 2011, respectively. The fair value of unsecured long-term borrowings for which the fair value option was elected exceeded the related aggregate contractual principal amount by $159 million as of September 2012, whereas the aggregate contractual principal amount exceeded the related fair value by $693 million as of December 2011. The amounts above include both principal and non-principal-protected long-term borrowings.

Impact of Credit Spreads on Loans and Lending Commitments

The estimated net gain/(loss) attributable to changes in instrument-specific credit spreads on loans and lending commitments for which the fair value option was elected was $1.10 billion and $(1.47) billion for the three months ended September 2012 and September 2011, respectively, and $2.35 billion and $(659) million for the nine months ended September 2012 and September 2011, respectively. Changes in the fair value of loans and lending commitments are primarily attributable to changes in instrument-specific credit spreads. Substantially all of the firm’s performing loans and lending commitments are floating-rate.

Impact of Credit Spreads on Borrowings

The table below presents the net gains/(losses) attributable to the impact of changes in the firm’s own credit spreads on borrowings for which the fair value option was elected. The firm calculates the fair value of borrowings by discounting future cash flows at a rate which incorporates the firm’s credit spreads.

	Three Months Ended September				Nine Months Ended September
in millions		2012		2011		2012		2011
Net gains/(losses) including hedges		$(370	)	$450		$(588	)	$576
Net gains/(losses) excluding hedges		(396	)	586		(628	)	705

50 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 9.

Collateralized Agreements and Financings

Collateralized agreements are securities purchased under agreements to resell (resale agreements or reverse repurchase agreements) and securities borrowed. Collateralized financings are securities sold under agreements to repurchase (repurchase agreements), securities loaned and other secured financings. The firm enters into these transactions in order to, among other things, facilitate client activities, invest excess cash, acquire securities to cover short positions and finance certain firm activities.

Collateralized agreements and financings are presented on a net-by-counterparty basis when a legal right of setoff exists. Interest on collateralized agreements and collateralized financings is recognized over the life of the transaction and included in “Interest income” and “Interest expense,” respectively. See Note 23 for further information about interest income and interest expense.

The table below presents the carrying value of resale and repurchase agreements and securities borrowed and loaned transactions.

	As of
in millions		September 2012	December 2011
Securities purchased under agreements to resell 1		$147,361	$187,789
Securities borrowed 2		165,250	153,341
Securities sold under agreements to repurchase 1		166,186	164,502
Securities loaned 2		13,640	7,182

1. Resale and repurchase agreements are carried at fair value under the fair value option. See Note 8 for further information about the valuation techniques and significant inputs used to determine fair value.

2. As of September 2012 and December 2011, $47.99 billion and $47.62 billion of securities borrowed, and $243 million and $107 million of securities loaned were at fair value, respectively.

Resale and Repurchase Agreements

A resale agreement is a transaction in which the firm purchases financial instruments from a seller, typically in exchange for cash, and simultaneously enters into an agreement to resell the same or substantially the same financial instruments to the seller at a stated price plus accrued interest at a future date.

A repurchase agreement is a transaction in which the firm sells financial instruments to a buyer, typically in exchange for cash, and simultaneously enters into an agreement to repurchase the same or substantially the same financial instruments from the buyer at a stated price plus accrued interest at a future date.

The financial instruments purchased or sold in resale and repurchase agreements typically include U.S. government and federal agency, and investment-grade sovereign obligations.

The firm receives financial instruments purchased under resale agreements, makes delivery of financial instruments sold under repurchase agreements, monitors the market value of these financial instruments on a daily basis, and delivers or obtains additional collateral due to changes in the market value of the financial instruments, as appropriate. For resale agreements, the firm typically requires delivery of collateral with a fair value approximately equal to the carrying value of the relevant assets in the condensed consolidated statements of financial condition.

Even though repurchase and resale agreements involve the legal transfer of ownership of financial instruments, they are accounted for as financing arrangements because they require the financial instruments to be repurchased or resold at the maturity of the agreement. However, “repos to maturity” are accounted for as sales. A repo to maturity is a transaction in which the firm transfers a security under an agreement to repurchase the security where the maturity date of the repurchase agreement matches the maturity date of the underlying security. Therefore, the firm effectively no longer has a repurchase obligation and has relinquished control over the underlying security and, accordingly, accounts for the transaction as a sale. The firm had no repos to maturity outstanding as of September 2012 or December 2011.

Goldman Sachs September 2012 Form 10-Q 51

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Securities Borrowed and Loaned Transactions

In a securities borrowed transaction, the firm borrows securities from a counterparty in exchange for cash. When the firm returns the securities, the counterparty returns the cash. Interest is generally paid periodically over the life of the transaction.

In a securities loaned transaction, the firm lends securities to a counterparty typically in exchange for cash or securities, or a letter of credit. When the counterparty returns the securities, the firm returns the cash or securities posted as collateral. Interest is generally paid periodically over the life of the transaction.

The firm receives securities borrowed, makes delivery of securities loaned, monitors the market value of these securities on a daily basis, and delivers or obtains additional collateral due to changes in the market value of the securities, as appropriate. For securities borrowed transactions, the firm typically requires collateral with a fair value approximately equal to the carrying value of the securities borrowed transaction.

Securities borrowed and loaned within Fixed Income, Currency and Commodities Client Execution are recorded at fair value under the fair value option.

Securities borrowed and loaned within Securities Services are recorded based on the amount of cash collateral advanced or received plus accrued interest. As these arrangements generally can be terminated on demand, they exhibit little, if any, sensitivity to changes in interest rates. Therefore, the carrying value of such arrangements approximates fair value. While these arrangements are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these arrangements been included in the firm’s fair value hierarchy, they would have been classified in level 2 as of September 2012.

As of September 2012 and December 2011, the firm had $8.21 billion and $20.22 billion, respectively, of securities received under resale agreements and securities borrowed transactions that were segregated to satisfy certain regulatory requirements. These securities are included in “Cash and securities segregated for regulatory and other purposes.”

Other Secured Financings

In addition to repurchase agreements and securities lending transactions, the firm funds certain assets through the use of other secured financings and pledges financial instruments and other assets as collateral in these transactions. These other secured financings consist of:

Ÿ liabilities of consolidated VIEs;

Ÿ transfers of assets accounted for as financings rather than sales (primarily collateralized central bank financings, pledged commodities, bank loans and mortgage whole loans); and

Ÿ other structured financing arrangements.

Other secured financings include arrangements that are nonrecourse. As of September 2012 and December 2011, nonrecourse other secured financings were $1.94 billion and $3.14 billion, respectively.

The firm has elected to apply the fair value option to the following other secured financings because the use of fair value eliminates non-economic volatility in earnings that would arise from using different measurement attributes:

Ÿ transfers of assets accounted for as financings rather than sales; and

Ÿ certain other nonrecourse financings.

See Note 8 for further information about other secured financings that are accounted for at fair value. Other secured financings that are not recorded at fair value are generally short-term and recorded based on the amount of cash received plus accrued interest, which generally approximates fair value. While these financings are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these financings been included in the firm’s fair value hierarchy, they would have primarily been classified in level 2 as of September 2012.

52 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

The table below presents information about other secured financings. In the table below:

Ÿ short-term secured financings include financings maturing within one year of the financial statement date and financings that are redeemable within one year of the financial statement date at the option of the holder;

Ÿ long-term secured financings that are repayable prior to maturity at the option of the firm are reflected at their contractual maturity dates; and

Ÿ long-term secured financings that are redeemable prior to maturity at the option of the holders are reflected at the dates such options become exercisable.

	As of September 2012						As of December 2011
$ in millions		U.S. Dollar		Non-U.S. Dollar		Total		U.S. Dollar		Non-U.S. Dollar		Total
Other secured financings (short-term):
At fair value		$13,392		$4,918		$18,310		$18,519		$  5,140		$23,659
At amortized cost		34		2,706		2,740		155		5,371		5,526
Interest rates 1		6.82	%	0.10	%			3.85	%	0.22	%
Other secured financings (long-term):
At fair value		5,462		1,407		6,869		4,305		2,055		6,360
At amortized cost		710		764		1,474		1,024		795		1,819
Interest rates 1		2.99	%	2.84	%			1.88	%	3.28	%
Total 2		$19,598		$9,795		$29,393		$24,003		$13,361		$37,364
Amount of other secured financings collateralized by:
Financial instruments 3		$18,990		$9,420		$28,410		$23,703		$12,169		$35,872
Other assets 4		608		375		983		300		1,192		1,492

1. The weighted average interest rates exclude secured financings at fair value and include the effect of hedging activities. See Note 7 for further information about hedging activities.

2. Includes $6.18 billion and $9.36 billion related to transfers of financial assets accounted for as financings rather than sales as of September 2012 and December 2011, respectively. Such financings were collateralized by financial assets included in “Financial instruments owned, at fair value” of $6.20 billion and $9.51 billion as of September 2012 and December 2011, respectively.

3. Includes $15.58 billion and $14.82 billion of other secured financings collateralized by financial instruments owned, at fair value as of September 2012 and December 2011, respectively, and includes $12.83 billion and $21.06 billion of other secured financings collateralized by financial instruments received as collateral and repledged as of September 2012 and December 2011, respectively.

4. Primarily real estate and cash.

The table below presents other secured financings by maturity.

in millions	As of September 2012
Other secured financings (short-term)	$21,050
Other secured financings (long-term):
2013	771
2014	4,046
2015	1,274
2016	571
2017	197
2018-thereafter	1,484
Total other secured financings (long-term)	8,343
Total other secured financings	$29,393

The aggregate contractual principal amount of other secured financings (long-term) for which the fair value option was elected exceeded the related fair value by $188 million and $239 million, as of September 2012 and December 2011, respectively.

Goldman Sachs September 2012 Form 10-Q 53

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Collateral Received and Pledged

The firm receives financial instruments (e.g., U.S. government and federal agency, other sovereign and corporate obligations, as well as equities and convertible debentures) as collateral, primarily in connection with resale agreements, securities borrowed, derivative transactions and customer margin loans.

In many cases, the firm is permitted to deliver or repledge these financial instruments when entering into repurchase agreements and securities lending agreements, primarily in connection with secured client financing activities. The firm is also permitted to deliver or repledge these financial instruments in connection with other secured financings, collateralizing derivative transactions and meeting firm or customer settlement requirements.

The table below presents financial instruments at fair value received as collateral that were available to be delivered or repledged and were delivered or repledged by the firm.

	As of
in millions		September 2012	December 2011
Collateral available to be delivered or repledged		$573,711	$622,926
Collateral that was delivered or repledged		431,090	454,604

The firm also pledges certain financial instruments owned, at fair value in connection with repurchase agreements, securities lending agreements and other secured financings, and other assets (primarily real estate and cash) in connection with other secured financings to counterparties who may or may not have the right to deliver or repledge them. The table below presents information about assets pledged by the firm.

	As of
in millions		September 2012	December 2011
Financial instruments owned, at fair value pledged to counterparties that:
Had the right to deliver or repledge		$  66,753	$  53,989
Did not have the right to deliver or repledge		118,630	110,949
Other assets pledged to counterparties that:
Did not have the right to deliver or repledge		2,603	3,444

Note 10.

Securitization Activities

The firm securitizes residential and commercial mortgages, corporate bonds, loans and other types of financial assets by selling these assets to securitization vehicles (e.g., trusts, corporate entities and limited liability companies) and acts as underwriter of the beneficial interests that are sold to investors. The firm’s residential mortgage securitizations are substantially all in connection with government agency securitizations.

Beneficial interests issued by securitization entities are debt or equity securities that give the investors rights to receive all or portions of specified cash inflows to a securitization vehicle and include senior and subordinated shares of principal, interest and/or other cash inflows. The proceeds from the sale of beneficial interests are used to pay the transferor for the financial assets sold to the securitization vehicle or to purchase securities which serve as collateral.

The firm accounts for a securitization as a sale when it has relinquished control over the transferred assets. Prior to securitization, the firm accounts for assets pending transfer at fair value and therefore does not typically recognize significant gains or losses upon the transfer of assets. Net revenues from underwriting activities are recognized in connection with the sales of the underlying beneficial interests to investors.

For transfers of assets that are not accounted for as sales, the assets remain in “Financial instruments owned, at fair value” and the transfer is accounted for as a collateralized financing, with the related interest expense recognized over the life of the transaction. See Notes 9 and 23 for further information about collateralized financings and interest expense, respectively.

The firm generally receives cash in exchange for the transferred assets but may also have continuing involvement with transferred assets, including ownership of beneficial interests in securitized financial assets, primarily in the form of senior or subordinated securities. The firm may also purchase senior or subordinated securities issued by securitization vehicles (which are typically VIEs) in connection with secondary market-making activities.

54 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

The primary risks included in beneficial interests and other interests from the firm’s continuing involvement with securitization vehicles are the performance of the underlying collateral, the position of the firm’s investment in the capital structure of the securitization vehicle and the market yield for the security. These interests are accounted for at fair value and are included in “Financial instruments owned, at fair value” and are generally classified in level 2 of the fair value hierarchy. See Notes 5 through 8 for further information about fair value measurements.

The table below presents the amount of financial assets securitized and the cash flows received on retained interests in securitization entities in which the firm had continuing involvement.

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Residential mortgages		$8,530	$10,091		$27,797	$31,642
Commercial mortgages		625	—		2,248	—
Other financial assets		—	153		—	234
Total		$9,155	$10,244		$30,045	$31,876
Cash flows on retained interests		$   161	$     239		$     333	$     594

The table below presents the firm’s continuing involvement in nonconsolidated securitization entities to which the firm sold assets, as well as the total outstanding principal amount of transferred assets in which the firm has continuing involvement. In this table:

Ÿ the outstanding principal amount is presented for the purpose of providing information about the size of the securitization entities in which the firm has continuing involvement and is not representative of the firm’s risk of loss;

Ÿ for retained or purchased interests, the firm’s risk of loss is limited to the fair value of these interests; and

Ÿ purchased interests represent senior and subordinated interests, purchased in connection with secondary market-making activities, in securitization entities in which the firm also holds retained interests.

	As of September 2012				As of December 2011
in millions		Outstanding Principal Amount	Fair Value of Retained Interests	Fair Value of Purchased Interests		Outstanding Principal Amount	Fair Value of Retained Interests	Fair Value of Purchased Interests
U.S. government agency-issued collateralized mortgage obligations 1		$57,923	$3,809	$   —		$70,448	$5,038	$   —
Other residential mortgage-backed 2		3,769	105	—		4,459	101	3
Commercial mortgage-backed 3		3,186	18	46		3,398	606	331
CDOs, CLOs and other 4		9,259	37	266		9,972	32	211
Total 5		$74,137	$3,969	$312		$88,277	$5,777	$545

1. Outstanding principal amount and fair value of retained interests primarily relate to securitizations during 2012 and 2011 as of September 2012, and securitizations during 2011 and 2010 as of December 2011.

2. Outstanding principal amount and fair value of retained interests as of both September 2012 and December 2011 primarily relate to prime and Alt-A securitizations during 2007 and 2006.

3. As of September 2012, the outstanding principal amount and the fair value of retained interests primarily relate to securitizations during 2012. As of December 2011, the outstanding principal amount primarily relates to securitizations during 2010, 2007 and 2006 and the fair value of retained interests primarily relates to securitizations during 2010.

4. Outstanding principal amount and fair value of retained interests as of both September 2012 and December 2011 primarily relate to CDO and CLO securitizations during 2007 and 2006.

5. Outstanding principal amount includes $815 million and $774 million as of September 2012 and December 2011, respectively, related to securitization entities in which the firm’s only continuing involvement is retained servicing which is not a variable interest.

Goldman Sachs September 2012 Form 10-Q 55

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

In addition to the interests in the table above, the firm had other continuing involvement in the form of derivative transactions and guarantees with certain nonconsolidated VIEs. The carrying value of these derivatives and guarantees was a net liability of $3 million and $52 million as of September 2012 and December 2011, respectively. The notional amounts of these derivatives and guarantees are included in maximum exposure to loss in the nonconsolidated VIE tables in Note 11.

The table below presents the weighted average key economic assumptions used in measuring the fair value of retained interests and the sensitivity of this fair value to immediate adverse changes of 10% and 20% in those assumptions.

	As of September 2012					As of December 2011
	Type of Retained Interests					Type of Retained Interests
$ in millions		Mortgage-Backed		Other	1		Mortgage-Backed		Other	1
Fair value of retained interests		$3,932		$    37			$5,745		$    32
Weighted average life (years)		7.5		2.3			7.1		4.7
Constant prepayment rate 2		15.7	%	N.M.			14.1	%	N.M.
Impact of 10% adverse change 2		$    (68	)	N.M.			$    (55	)	N.M.
Impact of 20% adverse change 2		(128	)	N.M.			(108	)	N.M.
Discount rate 3		4.6	%	N.M.			5.4	%	N.M.
Impact of 10% adverse change		$    (83	)	N.M.			$  (125	)	N.M.
Impact of 20% adverse change		(155	)	N.M.			(240	)	N.M.

1. Due to the nature and current fair value of certain of these retained interests, the weighted average assumptions for constant prepayment and discount rates and the related sensitivity to adverse changes are not meaningful as of September 2012 and December 2011. The firm’s maximum exposure to adverse changes in the value of these interests is the carrying value of $37 million and $32 million as of September 2012 and December 2011, respectively.

2. Constant prepayment rate is included only for positions for which constant prepayment rate is a key assumption in the determination of fair value.

3. The majority of mortgage-backed retained interests are U.S. government agency-issued collateralized mortgage obligations, for which there is no anticipated credit loss. For the remainder of retained interests, the expected credit loss assumptions are reflected in the discount rate.

The preceding table does not give effect to the offsetting benefit of other financial instruments that are held to mitigate risks inherent in these retained interests. Changes in fair value based on an adverse variation in assumptions generally cannot be extrapolated because the relationship of the change in assumptions to the change in fair value is

not usually linear. In addition, the impact of a change in a particular assumption in the preceding table is calculated independently of changes in any other assumption. In practice, simultaneous changes in assumptions might magnify or counteract the sensitivities disclosed above.

56 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 11.

Variable Interest Entities

VIEs generally finance the purchase of assets by issuing debt and equity securities that are either collateralized by or indexed to the assets held by the VIE. The debt and equity securities issued by a VIE may include tranches of varying levels of subordination. The firm’s involvement with VIEs includes securitization of financial assets, as described in Note 10, and investments in and loans to other types of VIEs, as described below. See Note 10 for additional information about securitization activities, including the definition of beneficial interests. See Note 3 for the firm’s consolidation policies, including the definition of a VIE.

The firm is principally involved with VIEs through the following business activities:

Mortgage-Backed VIEs and Corporate CDO and CLO VIEs. The firm sells residential and commercial mortgage loans and securities to mortgage-backed VIEs and corporate bonds and loans to corporate CDO and CLO VIEs and may retain beneficial interests in the assets sold to these VIEs. The firm purchases and sells beneficial interests issued by mortgage-backed and corporate CDO and CLO VIEs in connection with market-making activities. In addition, the firm may enter into derivatives with certain of these VIEs, primarily interest rate swaps, which are typically not variable interests. The firm generally enters into derivatives with other counterparties to mitigate its risk from derivatives with these VIEs.

Certain mortgage-backed and corporate CDO and CLO VIEs, usually referred to as synthetic CDOs or credit-linked note VIEs, synthetically create the exposure for the beneficial interests they issue by entering into credit derivatives, rather than purchasing the underlying assets. These credit derivatives may reference a single asset, an index, or a portfolio/basket of assets or indices. See Note 7 for further information about credit derivatives. These VIEs use the funds from the sale of beneficial interests and the premiums received from credit derivative counterparties to purchase securities which serve to collateralize the beneficial interest holders and/or the credit derivative counterparty. These VIEs may enter into other derivatives, primarily interest rate swaps, which are typically not variable interests. The firm may be a counterparty to derivatives with these VIEs and generally enters into derivatives with other counterparties to mitigate its risk.

Real Estate, Credit-Related and Other Investing VIEs. The firm purchases equity and debt securities issued by and makes loans to VIEs that hold real estate, performing and nonperforming debt, distressed loans and equity securities.

Other Asset-Backed VIEs. The firm structures VIEs that issue notes to clients and purchases and sells beneficial interests issued by other asset-backed VIEs in connection with market-making activities. In addition, the firm may enter into derivatives with certain other asset-backed VIEs, primarily total return swaps on the collateral assets held by these VIEs under which the firm pays the VIE the return due to the note holders and receives the return on the collateral assets owned by the VIE. The firm generally can be removed as the total return swap counterparty. The firm generally enters into derivatives with other counterparties to mitigate its risk from derivatives with these VIEs. The firm typically does not sell assets to the other asset-backed VIEs it structures.

Power-Related VIEs. The firm purchases debt and equity securities issued by and may provide guarantees to VIEs that hold power-related assets. The firm typically does not sell assets to or enter into derivatives with these VIEs.

Investment Funds. The firm purchases equity securities issued by and may provide guarantees to certain of the investment funds it manages. The firm typically does not sell assets to or enter into derivatives with these VIEs.

Principal-Protected Note VIEs. The firm structures VIEs that issue principal-protected notes to clients. These VIEs own portfolios of assets, principally with exposure to hedge funds. Substantially all of the principal protection on the notes issued by these VIEs is provided by the asset portfolio rebalancing that is required under the terms of the notes. The firm enters into total return swaps with these VIEs under which the firm pays the VIE the return due to the principal-protected note holders and receives the return on the assets owned by the VIE. The firm may enter into derivatives with other counterparties to mitigate the risk it has from the derivatives it enters into with these VIEs. The firm also obtains funding through these VIEs.

Goldman Sachs September 2012 Form 10-Q 57

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

VIE Consolidation Analysis

A variable interest in a VIE is an investment (e.g., debt or equity securities) or other interest (e.g., derivatives or loans and lending commitments) in a VIE that will absorb portions of the VIE’s expected losses and/or receive portions of the VIE’s expected residual returns.

The firm’s variable interests in VIEs include senior and subordinated debt in residential and commercial mortgage-backed and other asset-backed securitization entities, CDOs and CLOs; loans and lending commitments; limited and general partnership interests; preferred and common equity; derivatives that may include foreign currency, equity and/or credit risk; guarantees; and certain of the fees the firm receives from investment funds. Certain interest rate, foreign currency and credit derivatives the firm enters into with VIEs are not variable interests because they create rather than absorb risk.

The enterprise with a controlling financial interest in a VIE is known as the primary beneficiary and consolidates the VIE. The firm determines whether it is the primary beneficiary of a VIE by performing an analysis that principally considers:

Ÿ which variable interest holder has the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance;

Ÿ which variable interest holder has the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE;

Ÿ the VIE’s purpose and design, including the risks the VIE was designed to create and pass through to its variable interest holders;

Ÿ the VIE’s capital structure;

Ÿ the terms between the VIE and its variable interest holders and other parties involved with the VIE; and

Ÿ related-party relationships.

The firm reassesses its initial evaluation of whether an entity is a VIE when certain reconsideration events occur. The firm reassesses its determination of whether it is the primary beneficiary of a VIE on an ongoing basis based on current facts and circumstances.

Nonconsolidated VIEs

The firm’s exposure to the obligations of VIEs is generally limited to its interests in these entities. In certain instances, the firm provides guarantees, including derivative guarantees, to VIEs or holders of variable interests in VIEs.

The tables below present information about nonconsolidated VIEs in which the firm holds variable interests. Nonconsolidated VIEs are aggregated based on principal business activity. The nature of the firm’s variable interests can take different forms, as described in the rows under maximum exposure to loss. In the tables below:

Ÿ The maximum exposure to loss excludes the benefit of offsetting financial instruments that are held to mitigate the risks associated with these variable interests.

Ÿ For retained and purchased interests and loans and investments, the maximum exposure to loss is the carrying value of these interests.

Ÿ For commitments and guarantees, and derivatives, the maximum exposure to loss is the notional amount, which does not represent anticipated losses and also has not been reduced by unrealized losses already recorded. As a result, the maximum exposure to loss exceeds liabilities recorded for commitments and guarantees, and derivatives provided to VIEs.

The carrying values of the firm’s variable interests in nonconsolidated VIEs are included in the consolidated statement of financial condition as follows:

Ÿ Substantially all assets held by the firm related to mortgage-backed, corporate CDO and CLO and other asset-backed VIEs and investment funds are included in “Financial instruments owned, at fair value.” Substantially all liabilities held by the firm related to corporate CDO and CLO and other asset-backed VIEs are included in “Financial instruments sold, but not yet purchased, at fair value.”

58 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Ÿ Assets and liabilities held by the firm related to real estate, credit-related and other investing VIEs are primarily included in “Financial instruments owned, at fair value” and “Financial instruments sold, but not yet purchased, at fair value” and “Other liabilities and accrued expenses,” respectively.

Ÿ Assets and liabilities held by the firm related to power-related VIEs are primarily included in “Other assets” and “Other liabilities and accrued expenses,” respectively.

	Nonconsolidated VIEs
	As of September 2012
in millions		Mortgage- backed		Corporate CDOs and CLOs	Real estate, credit- related and other investing	Other asset- backed	Power- related	Investment funds	Total
Assets in VIE		$85,380	2	$22,363	$9,522	$3,626	$537	$2,263	$123,691
Carrying Value of the Firm’s Variable Interests
Assets		5,533		1,206	1,736	249	287	5	9,016
Liabilities		—		34	—	30	—	—	64
Maximum Exposure to Loss in Nonconsolidated VIEs
Retained interests		3,932		37	—	—	—	—	3,969
Purchased interests		1,317		680	—	230	—	—	2,227
Commitments and guarantees 1		—		1	398	—	2	1	402
Derivatives 1		1,994		6,382	—	1,081	—	—	9,457
Loans and investments		42		—	1,736	—	287	5	2,070
Total		$  7,285	2	$  7,100	$2,134	$1,311	$289	$       6	$  18,125
	Nonconsolidated VIEs
	As of December 2011
in millions		Mortgage- backed		Corporate CDOs and CLOs	Real estate, credit- related and other investing	Other asset- backed	Power- related	Investment funds	Total
Assets in VIE		$94,047	2	$20,340	$8,974	$4,593	$519	$2,208	$130,681
Carrying Value of the Firm’s Variable Interests
Assets		7,004		911	1,495	352	289	5	10,056
Liabilities		—		63	3	24	2	—	92
Maximum Exposure to Loss in Nonconsolidated VIEs
Retained interests		5,745		32	—	—	—	—	5,777
Purchased interests		962		368	—	333	—	—	1,663
Commitments and guarantees 1		—		1	373	—	46	—	420
Derivatives 1		2,469		7,529	—	1,221	—	—	11,219
Loans and investments		82		—	1,495	—	288	5	1,870
Total		$  9,258	2	$  7,930	$1,868	$1,554	$334	$       5	$  20,949

1. The aggregate amounts include $3.59 billion and $4.17 billion as of September 2012 and December 2011, respectively, related to guarantees and derivative transactions with VIEs to which the firm transferred assets.

2. Assets in VIE and maximum exposure to loss include $7.11 billion and $2.42 billion, respectively, as of September 2012, and $6.15 billion and $2.62 billion, respectively, as of December 2011, related to CDOs backed by mortgage obligations.

Goldman Sachs September 2012 Form 10-Q 59

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Consolidated VIEs

The tables below present the carrying amount and classification of assets and liabilities in consolidated VIEs, excluding the benefit of offsetting financial instruments that are held to mitigate the risks associated with the firm’s variable interests. Consolidated VIEs are aggregated based on principal business activity and their assets and liabilities are presented net of intercompany eliminations. The majority of the assets in principal-protected notes VIEs are intercompany and are eliminated in consolidation.

Substantially all the assets in consolidated VIEs can only be used to settle obligations of the VIE.

The tables below exclude VIEs in which the firm holds a majority voting interest if (i) the VIE meets the definition of a business and (ii) the VIE’s assets can be used for purposes other than the settlement of its obligations.

The liabilities of real estate, credit-related and other investing VIEs and CDOs, mortgage-backed and other asset-backed VIEs do not have recourse to the general credit of the firm.

	Consolidated VIEs
	As of September 2012
in millions		Real estate, credit-related and other investing	CDOs, mortgage-backed and other asset-backed	Principal- protected notes	Total
Assets
Cash and cash equivalents		$   286	$  —	$     —	$   286
Cash and securities segregated for regulatory and other purposes		111	—	93	204
Receivables from brokers, dealers and clearing organizations		3	—	—	3
Financial instruments owned, at fair value		2,582	569	170	3,321
Other assets		1,331	—	—	1,331
Total		$4,313	$569	$   263	$5,145
Liabilities
Other secured financings		$   665	$566	$   289	$1,520
Financial instruments sold, but not yet purchased, at fair value		—	—	4	4
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings		—	—	1,963	1,963
Unsecured long-term borrowings		4	—	220	224
Other liabilities and accrued expenses		1,965	—	—	1,965
Total		$2,634	$566	$2,476	$5,676

60 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

	Consolidated VIEs
	As of December 2011
in millions		Real estate, credit-related and other investing	CDOs, mortgage-backed and other asset-backed	Principal- protected notes	Total
Assets
Cash and cash equivalents		$   660	$  51	$       1	$   712
Cash and securities segregated for regulatory and other purposes		139	—	—	139
Receivables from brokers, dealers and clearing organizations		4	—	—	4
Receivables from customers and counterparties		—	16	—	16
Financial instruments owned, at fair value		2,369	352	112	2,833
Other assets		1,552	437	—	1,989
Total		$4,724	$856	$   113	$5,693
Liabilities
Other secured financings		$1,418	$298	$3,208	$4,924
Payables to customers and counterparties		—	9	—	9
Financial instruments sold, but not yet purchased, at fair value		—	—	2	2
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings		185	—	1,941	2,126
Unsecured long-term borrowings		4	—	269	273
Other liabilities and accrued expenses		2,046	40	—	2,086
Total		$3,653	$347	$5,420	$9,420

Goldman Sachs September 2012 Form 10-Q 61

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 12.

Other Assets

Other assets are generally less liquid, non-financial assets. The table below presents other assets by type.

	As of
in millions		September 2012	December 2011
Property, leasehold improvements and equipment 1		$  8,470	$  8,697
Goodwill and identifiable intangible assets 2		5,296	5,468
Income tax-related assets 3		5,426	5,017
Equity-method investments 4		518	664
Miscellaneous receivables and other 5		4,014	3,306
Total		$23,724	$23,152

1. Net of accumulated depreciation and amortization of $9.02 billion and $8.46 billion as of September 2012 and December 2011, respectively.

2. See Note 13 for further information about goodwill and identifiable intangible assets.

3. See Note 24 for further information about income taxes.

4. Excludes investments accounted for at fair value under the fair value option where the firm would otherwise apply the equity method of accounting of $4.71 billion and $4.17 billion as of September 2012 and December 2011, respectively, which are included in “Financial instruments owned, at fair value.” The firm has generally elected the fair value option for such investments acquired after the fair value option became available.

5. Includes $460 million of assets held for sale as of September 2012.

Property, Leasehold Improvements and Equipment

Property, leasehold improvements and equipment included $6.21 billion and $6.48 billion as of September 2012 and December 2011, respectively, related to property, leasehold improvements and equipment that the firm uses in connection with its operations. The remainder is held by investment entities, including VIEs, consolidated by the firm.

Substantially all property and equipment are depreciated on a straight-line basis over the useful life of the asset. Leasehold improvements are amortized on a straight-line basis over the useful life of the improvement or the term of the lease, whichever is shorter. Certain costs of software developed or obtained for internal use are capitalized and amortized on a straight-line basis over the useful life of the software.

Property, leasehold improvements and equipment are tested for impairment whenever events or changes in circumstances suggest that an asset’s or asset group’s carrying value may not be fully recoverable. The firm’s policy for impairment testing of property, leasehold improvements and equipment is the same as is used for identifiable intangible assets with finite lives. See Note 13 for further information.

Impairments

As a result of a decline in the market conditions in which certain of the firm’s consolidated investments operate, during the first nine months of 2012 the firm tested certain property, leasehold improvements and equipment and commodity-related intangible assets and other assets for impairment in accordance with ASC 360. The carrying value of these assets exceeded the projected undiscounted cash flows over the estimated remaining useful lives of these assets; as such, the firm determined the assets were impaired and recorded impairment losses. In addition, the firm classified certain assets as held for sale during the first nine months of 2012 and recognized impairment losses related to these assets. Collectively, the impairment losses were $252 million during the nine months ended September 2012 ($169 million related to property, leasehold improvements and equipment and $83 million related to other assets and commodity-related intangible assets), substantially all of which were included in “Depreciation and amortization.” These impairment losses were included in the firm’s Investing & Lending segment and represented the excess of the carrying values of these assets over their estimated fair values, which are primarily level 3 measurements, using a combination of discounted cash flow analyses and relative value analyses, including the estimated cash flows expected to be received from the disposition of certain of these assets.

In the first quarter of 2011, the firm classified certain assets as held for sale, primarily related to Litton Loan Servicing LP (Litton) and recognized impairment losses of approximately $220 million, principally in the firm’s Institutional Client Services segment. These impairment losses, which were included in “Depreciation and amortization,” represented the excess of (i) the carrying value of these assets over (ii) their estimated fair value less estimated cost to sell. These assets were sold in the third quarter of 2011. The firm received total consideration that approximated the firm’s adjusted carrying value for Litton. See Note 18 for further information about the sale of Litton.

62 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 13.

Goodwill and Identifiable Intangible Assets

The tables below present the carrying values of goodwill and identifiable intangible assets, which are included in “Other assets.”

	Goodwill
	As of
in millions	September 2012	December 2011
Investment Banking:
Financial Advisory	$     98	$   104
Underwriting	183	186
Institutional Client Services:
Fixed Income, Currency and Commodities Client Execution	269	284
Equities Client Execution	2,389	2,390
Securities Services	104	117
Investing & Lending	131	147
Investment Management	589	574
Total	$3,763	$3,802
	Identifiable Intangible Assets
	As of
in millions	September 2012	December 2011
Investment Banking:
Financial Advisory	$       1	$       4
Underwriting	—	1
Institutional Client Services:
Fixed Income, Currency and Commodities Client Execution	435	488
Equities Client Execution	655	677
Investing & Lending	308	369
Investment Management	134	127
Total	$1,533	$1,666

Goodwill

Goodwill is the cost of acquired companies in excess of the fair value of net assets, including identifiable intangible assets, at the acquisition date.

Goodwill is assessed annually in the fourth quarter for impairment or more frequently if events occur or circumstances change that indicate an impairment may exist. Qualitative factors are assessed to determine whether it is more likely than not that the fair value of a reporting unit is less than its carrying amount. If results of the qualitative assessment are not conclusive, a quantitative goodwill impairment test is performed.

The quantitative goodwill impairment test consists of two steps.

Ÿ The first step compares the estimated fair value of each reporting unit with its estimated net book value (including goodwill and identified intangible assets). If the reporting unit’s fair value exceeds its estimated net book value, goodwill is not impaired.

Ÿ If the estimated fair value of a reporting unit is less than its estimated net book value, the second step of the goodwill impairment test is performed to measure the amount of impairment loss, if any. An impairment loss is equal to the excess of the carrying amount of goodwill over its fair value.

To estimate the fair value of each reporting unit, both relative value and residual income valuation techniques are used because the firm believes market participants would use these techniques to value the firm’s reporting units.

Relative value techniques apply average observable price-to-earnings multiples of comparable competitors to certain reporting units’ net earnings. For other reporting units, fair value is estimated using price-to-book multiples based on residual income techniques, which consider a reporting unit’s return on equity in excess of the firm’s cost of equity capital. The net book value of each reporting unit reflects the estimated amount of shareholders’ equity required to support the activities of the reporting unit under guidelines issued by the Basel Committee on Banking Supervision (Basel Committee) in December 2010.

Goldman Sachs September 2012 Form 10-Q 63

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Identifiable Intangible Assets

The table below presents the gross carrying amount, accumulated amortization and net carrying amount of

identifiable intangible assets and their weighted average remaining lives.

		As of
$ in millions		September 2012			Weighted Average Remaining Lives (years)	December 2011
Customer lists	Gross carrying amount		$ 1,147				$ 1,119
	Accumulated amortization		(650	)			(593	)
	Net carrying amount		497		8		526
Commodities-related intangibles 1	Gross carrying amount		491				595
	Accumulated amortization		(204	)			(237	)
	Net carrying amount		287		9		358
Television broadcast royalties	Gross carrying amount		560				560
	Accumulated amortization		(170	)			(123	)
	Net carrying amount		390		6		437
Insurance-related intangibles 2	Gross carrying amount		339				292
	Accumulated amortization		(197	)			(146	)
	Net carrying amount		142		6		146
Other 3	Gross carrying amount		992				950
	Accumulated amortization		(775	)			(751	)
	Net carrying amount		217		11		199
Total	Gross carrying amount		3,529				3,516
	Accumulated amortization		(1,996	)			(1,850	)
	Net carrying amount		$ 1,533		8		$ 1,666

1. Primarily includes commodity-related customer contracts and relationships, permits and access rights.

2. Represents value of business acquired related to the firm’s insurance businesses.

3. Primarily includes the firm’s New York Stock Exchange (NYSE) Designated Market Maker (DMM) rights and exchange-traded fund lead market maker rights.

Substantially all of the firm’s identifiable intangible assets are considered to have finite lives and are amortized (i) over their estimated lives, (ii) based on economic usage for certain commodity-related intangibles or (iii) in proportion

to estimated gross profits or premium revenues. Amortization expense for identifiable intangible assets is included in “Depreciation and amortization.”

64 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

The tables below present amortization expense for identifiable intangible assets for the three and nine months ended September 2012 and September 2011, and the estimated future amortization expense through 2017 for identifiable intangible assets as of September 2012.

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Amortization expense		$60	$84		$206	$207

in millions	As of September 2012
Estimated future amortization expense:
Remainder of 2012	$  72
2013	247
2014	215
2015	181
2016	177
2017	173

Identifiable intangible assets are tested for recoverability whenever events or changes in circumstances indicate that an asset’s or asset group’s carrying value may not be recoverable.

If a recoverability test is necessary, the carrying value of an asset or asset group is compared to the total of the undiscounted cash flows expected to be received over the remaining useful life and from the disposition of the asset or asset group.

Ÿ If the total of the undiscounted cash flows exceeds the carrying value, the asset or asset group is not impaired.

Ÿ If the total of the undiscounted cash flows is less than the carrying value, the asset or asset group is not fully recoverable and an impairment loss is recognized as the difference between the carrying amount of the asset or asset group and its estimated fair value.

See Note 12 for information about impairments of the firm’s identifiable intangible assets.

Note 14.

Deposits

The table below presents deposits held in U.S. and non-U.S. offices. Substantially all U.S. deposits were held at Goldman Sachs Bank USA (GS Bank USA) and were interest-bearing and substantially all non-U.S. deposits were held at Goldman Sachs Bank (Europe) plc (GS Bank Europe) and Goldman Sachs International Bank (GSIB) and were interest-bearing.

	As of
in millions		September 2012		December 2011
U.S. offices		$53,643		$38,477
Non-U.S. offices		7,883		7,632
Total		$61,526	1	$46,109	1

The table below presents maturities of time deposits held in U.S. and non-U.S. offices.

	As of September 2012
in millions		U.S.		Non-U.S.		Total
Remainder of 2012		$     875		$1,649		$  2,524
2013		5,069		602		5,671
2014		3,363		—		3,363
2015		2,784		—		2,784
2016		1,435		—		1,435
2017		2,002		—		2,002
2018 - thereafter		4,483		—		4,483
Total		$20,011	2	$2,251	3	$22,262	1

1. Includes $5.67 billion and $4.53 billion as of September 2012 and December 2011, respectively, of time deposits accounted for at fair value under the fair value option.

2. Includes $48 million greater than $100,000, of which $6 million matures within three months, $6 million matures within three to six months, $29 million matures within six to twelve months, and $7 million matures after twelve months.

3. Substantially all were greater than $100,000.

As of September 2012, demand deposits were $39.26 billion, which were recorded based on the amount of cash received plus accrued interest, which approximates fair value. In addition, the firm designates certain derivatives as fair value hedges on substantially all of its time deposits for which it has not elected the fair value option. Accordingly, $16.59 billion of time deposits were effectively converted from fixed-rate obligations to floating-rate obligations and were recorded at amounts that generally approximate fair value. While these demand deposits and time deposits are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these deposits been included in the firm’s fair value hierarchy, they would have been classified in level 2.

Goldman Sachs September 2012 Form 10-Q 65

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 15.

Short-Term Borrowings

Short-term borrowings were comprised of the following:

	As of
in millions		September 2012	December 2011
Other secured financings (short-term)		$21,050	$29,185
Unsecured short-term borrowings		47,271	49,038
Total		$68,321	$78,223

See Note 9 for further information about other secured financings.

Unsecured short-term borrowings include the portion of unsecured long-term borrowings maturing within one year of the financial statement date and unsecured long-term borrowings that are redeemable within one year of the financial statement date at the option of the holder.

The firm accounts for promissory notes, commercial paper and certain hybrid financial instruments at fair value under the fair value option. See Note 8 for further information about unsecured short-term borrowings that are accounted for at fair value. Short-term borrowings that are not recorded at fair value are recorded based on the amount of cash received plus accrued interest, and such amounts approximate fair value due to the short-term nature of the obligations. While these short-term borrowings are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these borrowings been included in the firm’s fair value hierarchy, substantially all would have been classified in level 2 as of September 2012.

The table below presents unsecured short-term borrowings.

	As of
$ in millions		September 2012		December 2011
Current portion of unsecured long-term borrowings 1		$28,575		$28,836
Hybrid financial instruments		12,278		11,526
Promissory notes		151		1,328
Commercial paper		359		1,491
Other short-term borrowings		5,908		5,857
Total		$47,271		$49,038
Weighted average interest rate 2		1.63	%	1.89	%

1. As of September 2012, no borrowings guaranteed by the Federal Deposit Insurance Corporation (FDIC) under the Temporary Liquidity Guarantee Program (TLGP) were outstanding and the program had expired for new issuances. Includes $8.53 billion as of December 2011, guaranteed by the FDIC under the TLGP.

2. The weighted average interest rates for these borrowings include the effect of hedging activities and exclude financial instruments accounted for at fair value under the fair value option. See Note 7 for further information about hedging activities.

66 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 16.

Long-Term Borrowings

Long-term borrowings were comprised of the following:

	As of
in millions		September 2012	December 2011
Other secured financings (long-term)		$    8,343	$    8,179
Unsecured long-term borrowings		167,878	173,545
Total		$176,221	$181,724

See Note 9 for further information about other secured financings. The table below presents unsecured long-term

borrowings extending through 2061 and consisting principally of senior borrowings.

	As of September 2012				As of December 2011
in millions		U.S. Dollar	Non-U.S. Dollar	Total		U.S. Dollar	Non-U.S. Dollar	Total
Fixed-rate obligations 1		$  89,700	$35,911	$125,611		$  84,058	$38,569	$122,627
Floating-rate obligations 2		21,281	20,986	42,267		23,436	27,482	50,918
Total		$110,981	$56,897	$167,878		$107,494	$66,051	$173,545

1. Interest rates on U.S. dollar-denominated debt ranged from 0.20% to 10.04% (with a weighted average rate of 5.54%) and 0.10% to 10.04% (with a weighted average rate of 5.62%) as of September 2012 and December 2011, respectively. Interest rates on non-U.S. dollar-denominated debt ranged from 0.10% to 14.85% (with a weighted average rate of 4.71%) and 0.85% to 14.85% (with a weighted average rate of 4.75%) as of September 2012 and December 2011, respectively.

2. Floating interest rates generally are based on LIBOR or the federal funds target rate. Equity-linked and indexed instruments are included in floating-rate obligations.

Goldman Sachs September 2012 Form 10-Q 67

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

The table below presents unsecured long-term borrowings by maturity date. In the table below:

Ÿ unsecured long-term borrowings maturing within one year of the financial statement date and unsecured long-term borrowings that are redeemable within one year of the financial statement date at the option of the holders are included as unsecured short-term borrowings;

Ÿ unsecured long-term borrowings that are repayable prior to maturity at the option of the firm are reflected at their contractual maturity dates; and

Ÿ unsecured long-term borrowings that are redeemable prior to maturity at the option of the holders are reflected at the dates such options become exercisable.

in millions	As of September 2012
2013	$    3,941
2014	21,653
2015	19,825
2016	21,929
2017	20,289
2018 - thereafter	80,241
Total 1	$167,878

1. Includes $11.20 billion related to interest rate hedges on certain unsecured long-term borrowings, by year of maturity as follows: $102 million in 2013, $655 million in 2014, $594 million in 2015, $1.23 billion in 2016, $1.38 billion in 2017 and $7.24 billion in 2018 and thereafter.

The fair value of unsecured long-term borrowings (principal and non-principal-protected) for which the fair value option was elected exceeded the related aggregate contractual principal amount by $159 million as of September 2012, whereas the aggregate contractual principal amount exceeded the related fair value by $693 million as of December 2011.

The firm designates certain derivatives as fair value hedges to effectively convert a substantial portion of its fixed-rate unsecured long-term borrowings which are not accounted for at fair value into floating-rate obligations. Accordingly, excluding the cumulative impact of changes in the firm’s credit spreads, the carrying value of unsecured long-term borrowings approximated fair value as of September 2012 and December 2011. While these unsecured long-term borrowings are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these borrowings been included in the firm’s fair value hierarchy, substantially all would have been classified in level 2 as of September 2012. For unsecured long-term borrowings for which the firm did not elect the fair value option, the cumulative impact due to changes in the firm’s own credit spreads would be an increase of less than 1% and a reduction of less than 4% in the carrying value of total unsecured long-term borrowings as of September 2012 and December 2011, respectively. See Note 7 for further information about hedging activities.

The table below presents unsecured long-term borrowings, after giving effect to hedging activities that converted a substantial portion of fixed-rate obligations to floating-rate obligations.

	As of
in millions		September 2012	December 2011
Fixed-rate obligations
At fair value		$         65	$         76
At amortized cost 1		25,981	28,773
Floating-rate obligations
At fair value		12,813	17,086
At amortized cost 1		129,019	127,610
Total		$167,878	$173,545

1. The weighted average interest rates on the aggregate amounts were 2.48% (5.12% related to fixed-rate obligations and 1.98% related to floating-rate obligations) and 2.59% (5.18% related to fixed-rate obligations and 2.03% related to floating-rate obligations) as of September 2012 and December 2011, respectively. These rates exclude financial instruments accounted for at fair value under the fair value option.

68 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Subordinated Borrowings

Unsecured long-term borrowings include subordinated debt and junior subordinated debt. Junior subordinated debt is junior in right of payment to other subordinated borrowings, which are junior to senior borrowings.

As of September 2012 and December 2011, subordinated debt had maturities ranging from 2015 to 2038 and 2017 to 2038, respectively. The table below presents subordinated borrowings.

	As of September 2012					As of December 2011
$ in millions		Par Amount	Carrying Amount	Rate	1		Par Amount	Carrying Amount	Rate	1
Subordinated debt		$14,501	$17,512	4.20	%		$14,310	$17,362	4.39	%
Junior subordinated debt		2,835	4,284	2.81	%		5,085	6,533	2.43	%
Total subordinated borrowings		$17,336	$21,796	3.97	%		$19,395	$23,895	3.87	%

1. Weighted average interest rate after giving effect to fair value hedges used to convert these fixed-rate obligations into floating-rate obligations. See Note 7 for further information about hedging activities. See below for information about interest rates on junior subordinated debt.

Junior Subordinated Debt

Junior Subordinated Debt Issued to APEX Trusts. In 2007, Group Inc. issued a total of $2.25 billion of remarketable junior subordinated debt to Goldman Sachs Capital II and Goldman Sachs Capital III (APEX Trusts), Delaware statutory trusts. The APEX Trusts issued $2.25 billion of guaranteed perpetual Normal Automatic Preferred Enhanced Capital Securities (APEX) to third parties and a de minimis amount of common securities to Group Inc. Group Inc. also entered into contracts with the APEX Trusts to sell $2.25 billion of Group Inc. perpetual non-cumulative preferred stock (the stock purchase contracts). See Note 19 for more information about the preferred stock that Group Inc. has issued in connection with the stock purchase contracts.

The firm accounted for the stock purchase contracts as equity instruments and, accordingly, recorded the cost of the stock purchase contracts as a reduction to additional paid-in capital.

During the first quarter of 2012, pursuant to a remarketing provided for by the initial terms of the junior subordinated debt, Goldman Sachs Capital II sold all of its $1.75 billion of junior subordinated debt to Murray Street Investment Trust I (Murray Street Trust), a new trust sponsored by the firm. On June 1, 2012, pursuant to the stock purchase contracts, Goldman Sachs Capital II used the proceeds of this sale to purchase shares of Group Inc.’s Perpetual Non-Cumulative Preferred Stock, Series E (Series E Preferred Stock).

During the third quarter of 2012, pursuant to a remarketing provided for by the initial terms of the junior subordinated debt, Goldman Sachs Capital III sold all of its $500 million of junior subordinated debt to Vesey Street Investment Trust I (Vesey Street Trust), a new trust sponsored by the firm. On September 4, 2012, pursuant to the stock purchase contracts, Goldman Sachs Capital III used the proceeds of this sale to purchase shares of Group Inc.’s Perpetual Non-Cumulative Preferred Stock, Series F (Series F Preferred Stock).

In connection with the remarketing of the junior subordinated debt to the Murray Street Trust and Vesey Street Trust (together, the 2012 Trusts), pursuant to the terms of the junior subordinated debt, the interest rate and other terms were modified. Following such sales, the firm pays interest semi-annually on the $1.75 billion of junior subordinated debt held by the Murray Street Trust at a fixed annual rate of 4.647% and the debt matures on March 9, 2017 and on the $500 million of junior subordinated debt held by the Vesey Street Trust at a fixed annual rate of 4.404% and the debt matures on September 1, 2016. To fund the purchase of the junior subordinated debt, the 2012 Trusts issued an aggregate of $2.25 billion of senior guaranteed trust securities. The 2012 Trusts are required to pay distributions on their senior guaranteed trust securities in the same amounts and on the same dates that they are scheduled to receive interest on the junior subordinated debt they hold, and are required to redeem their respective senior guaranteed trust securities upon the maturity or earlier redemption of the junior subordinated debt they hold. Group Inc. fully and unconditionally guarantees the payment of these distribution and redemption amounts when due on a senior basis and, as such, the $2.25 billion of junior subordinated debt held by the 2012 Trusts for the benefit of investors is no longer classified as junior subordinated debt.

Goldman Sachs September 2012 Form 10-Q 69

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

The firm has the right to defer payments on the junior subordinated debt, subject to limitations. During any such extension period, the firm will not be permitted to, among other things, pay dividends on or make certain repurchases of its common or preferred stock. If the firm were to defer payment of interest on the junior subordinated debt and the 2012 Trusts were therefore unable to make scheduled distributions to the holders of the senior guaranteed trust securities, under the guarantee, Group Inc. would be obligated to make those payments to the holders of the senior guaranteed trust securities.

The APEX Trusts and the 2012 Trusts are wholly-owned finance subsidiaries of the firm for regulatory and legal purposes but are not consolidated for accounting purposes.

In connection with the APEX issuance, the firm covenanted in favor of certain of its debtholders, who were initially and are currently the holders of Group Inc.’s 6.345% Junior Subordinated Debentures due February 15, 2034, that, subject to certain exceptions, the firm would not redeem or purchase APEX or shares of Group Inc.’s Series E Preferred Stock or Series F Preferred Stock prior to the date that is ten years after the applicable stock purchase date, unless the applicable redemption or purchase price does not exceed a maximum amount determined by reference to the aggregate amount of net cash proceeds that the firm has received from the sale of qualifying securities.

Junior Subordinated Debt Issued in Connection with Trust Preferred Securities. Group Inc. issued $2.84 billion of junior subordinated debentures in 2004 to Goldman Sachs Capital I (Trust), a Delaware statutory trust. The Trust issued $2.75 billion of guaranteed preferred beneficial interests to third parties and $85 million of common beneficial interests to Group Inc. and used the proceeds from the issuances to purchase the junior subordinated debentures from Group Inc. The Trust is a wholly-owned finance subsidiary of the firm for regulatory and legal purposes but is not consolidated for accounting purposes.

The firm pays interest semi-annually on the debentures at an annual rate of 6.345% and the debentures mature on February 15, 2034. The coupon rate and the payment dates applicable to the beneficial interests are the same as the interest rate and payment dates for the debentures. The firm has the right, from time to time, to defer payment of interest on the debentures, and therefore cause payment on the Trust’s preferred beneficial interests to be deferred, in each case up to ten consecutive semi-annual periods. During any such extension period, the firm will not be permitted to, among other things, pay dividends on or make certain repurchases of its common stock. The Trust is not permitted to pay any distributions on the common beneficial interests held by Group Inc. unless all dividends payable on the preferred beneficial interests have been paid in full.

70 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 17.

Other Liabilities and Accrued Expenses

The table below presents other liabilities and accrued expenses by type.

	As of
in millions		September 2012	December 2011
Compensation and benefits		$  7,930	$  5,701
Insurance-related liabilities		22,656	18,614
Noncontrolling interests 1		1,339	1,450
Income tax-related liabilities 2		2,103	533
Employee interests in consolidated funds		284	305
Subordinated liabilities issued by consolidated VIEs		1,046	1,090
Accrued expenses and other		4,638	4,108
Total		$39,996	$31,801

1. Includes $1.18 billion and $1.17 billion related to consolidated investment funds as of September 2012 and December 2011, respectively.

2. See Note 24 for further information about income taxes.

The table below presents insurance-related liabilities by type.

	As of
in millions		September 2012	December 2011
Separate account liabilities		$  3,287	$  3,296
Liabilities for future benefits and unpaid claims		13,312	14,213
Contract holder account balances		5,793	835
Reserves for guaranteed minimum death and income benefits		264	270
Total 1		$22,656	$18,614

1. Increase primarily due to reinsurance transactions during 2012.

Separate account liabilities are supported by separate account assets, representing segregated contract holder funds under variable annuity and life insurance contracts. Separate account assets are included in “Cash and securities segregated for regulatory and other purposes.”

Liabilities for future benefits and unpaid claims include liabilities arising from reinsurance provided by the firm to other insurers. The firm had a receivable of $1.46 billion and $1.30 billion as of September 2012 and December 2011, respectively, related to such reinsurance contracts, which is reported in “Receivables from customers and counterparties.” In addition, the firm has ceded risks to reinsurers related to certain of its liabilities for future benefits and unpaid claims and had a receivable of $234 million and $648 million as of September 2012 and December 2011, respectively, related to such reinsurance contracts, which is reported in “Receivables from customers and counterparties.” Contracts to cede risks to reinsurers do not relieve the firm of its obligations to contract holders. Liabilities for future benefits and unpaid claims include $9.26 billion and $8.75 billion carried at fair value under the fair value option as of September 2012 and December 2011, respectively.

Contract holder account balances primarily include fixed annuities under reinsurance contracts.

Reserves for guaranteed minimum death and income benefits represent a liability for the expected value of guaranteed benefits in excess of projected annuity account balances. These reserves are based on total payments expected to be made less total fees expected to be assessed over the life of the contract.

Goldman Sachs September 2012 Form 10-Q 71

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 18.

Commitments, Contingencies and Guarantees

Commitments

The table below presents the firm’s commitments.

	Commitment Amount by Period of Expiration as of September 2012					Total Commitments as of
in millions		Remainder 2012	2013- 2014	2015- 2016	2017- Thereafter		September 2012	December 2011
Commitments to extend credit 1
Commercial lending: 2
Investment-grade		$  1,637	$11,834	$28,477	$12,460		$  54,408	$  51,281
Non-investment-grade		659	4,656	8,191	6,052		19,558	14,217
Warehouse financing		150	604	—	—		754	247
Total commitments to extend credit		2,446	17,094	36,668	18,512		74,720	65,745
Contingent and forward starting resale and securities borrowing agreements 3		56,275	324	—	—		56,599	54,522
Forward starting repurchase and secured lending agreements 3		12,727	—	—	—		12,727	17,964
Letters of credit 4		397	468	5	5		875	1,353
Investment commitments		921	4,364	143	2,433		7,861	9,118
Other		3,654	234	49	71		4,008	5,342
Total commitments		$76,420	$22,484	$36,865	$21,021		$156,790	$154,044

1. Commitments to extend credit are presented net of amounts syndicated to third parties.

2. Includes commitments associated with the former William Street credit extension program.

3. These agreements generally settle within three business days.

4. Consists of commitments under letters of credit issued by various banks which the firm provides to counterparties in lieu of securities or cash to satisfy various collateral and margin deposit requirements.

Commitments to Extend Credit

The firm’s commitments to extend credit are agreements to lend with fixed termination dates and depend on the satisfaction of all contractual conditions to borrowing. The total commitment amount does not necessarily reflect actual future cash flows because the firm may syndicate all or substantial portions of these commitments and commitments can expire unused or be reduced or cancelled at the counterparty’s request.

The firm generally accounts for commitments to extend credit at fair value. Losses, if any, are generally recorded, net of any fees in “Other principal transactions.”

Certain lending commitments, entered into during 2012, were held for investment and therefore were accounted for on an accrual basis. As of September 2012, approximately $13.45 billion of the firm’s lending commitments were held for investment. As of September 2012, the carrying value and the estimated fair value of such lending commitments were liabilities of $58 million and $406 million, respectively. As these lending commitments are not

accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP, their fair value is not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these commitments been included in the firm’s fair value hierarchy, they would have primarily been classified in level 3 as of September 2012.

Commercial Lending. The firm’s commercial lending commitments are extended to investment-grade and non-investment-grade corporate borrowers. Commitments to investment-grade corporate borrowers are principally used for operating liquidity and general corporate purposes. The firm also extends lending commitments in connection with contingent acquisition financing and other types of corporate lending as well as commercial real estate financing. Commitments that are extended for contingent acquisition financing are often intended to be short-term in nature, as borrowers often seek to replace them with other funding sources.

72 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Sumitomo Mitsui Financial Group, Inc. (SMFG) provides the firm with credit loss protection on certain approved loan commitments (primarily investment-grade commercial lending commitments). The notional amount of such loan commitments was $33.19 billion and $31.94 billion as of September 2012 and December 2011, respectively. The credit loss protection on loan commitments provided by SMFG is generally limited to 95% of the first loss the firm realizes on such commitments, up to a maximum of approximately $950 million. In addition, subject to the satisfaction of certain conditions, upon the firm’s request, SMFG will provide protection for 70% of additional losses on such commitments, up to a maximum of $1.13 billion, of which $300 million of protection had been provided as of both September 2012 and December 2011. The firm also uses other financial instruments to mitigate credit risks related to certain commitments not covered by SMFG. These instruments primarily include credit default swaps that reference the same or similar underlying instrument or entity or credit default swaps that reference a market index.

Warehouse Financing. The firm provides financing to clients who warehouse financial assets. These arrangements are secured by the warehoused assets, primarily consisting of commercial mortgage loans.

Contingent and Forward Starting Resale and Securities Borrowing Agreements/Forward Starting Repurchase and Secured Lending Agreements

The firm enters into resale and securities borrowing agreements and repurchase and secured lending agreements that settle at a future date. The firm also enters into commitments to provide contingent financing to its clients and counterparties through resale agreements. The firm’s funding of these commitments depends on the satisfaction of all contractual conditions to the resale agreement and these commitments can expire unused.

Investment Commitments

The firm’s investment commitments consist of commitments to invest in private equity, real estate and other assets directly and through funds that the firm raises and manages. These commitments include $1.01 billion and $1.62 billion as of September 2012 and December 2011, respectively, related to real estate private investments and $6.85 billion and $7.50 billion as of September 2012 and December 2011, respectively, related to corporate and other private investments. Of these amounts, $6.58 billion and $8.38 billion as of September 2012 and December 2011, respectively, relate to commitments to invest in funds managed by the firm, which will be funded at market value on the date of investment.

Leases

The firm has contractual obligations under long-term noncancelable lease agreements, principally for office space, expiring on various dates through 2069. Certain agreements are subject to periodic escalation provisions for increases in real estate taxes and other charges. The table below presents future minimum rental payments, net of minimum sublease rentals.

in millions	As of September 2012
Remainder of 2012	$   110
2013	432
2014	400
2015	358
2016	331
2017	319
2018 - thereafter	1,296
Total	$3,246

Operating leases include office space held in excess of current requirements. Rent expense relating to space held for growth is included in “Occupancy.” The firm records a liability, based on the fair value of the remaining lease rentals reduced by any potential or existing sublease rentals, for leases where the firm has ceased using the space and management has concluded that the firm will not derive any future economic benefits. Costs to terminate a lease before the end of its term are recognized and measured at fair value on termination.

Goldman Sachs September 2012 Form 10-Q 73

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Contingencies

Legal Proceedings. See Note 27 for information about legal proceedings, including certain mortgage-related matters.

Certain Mortgage-Related Contingencies. There are multiple areas of focus by regulators, governmental agencies and others within the mortgage market that may impact originators, issuers, servicers and investors. There remains significant uncertainty surrounding the nature and extent of any potential exposure for participants in this market.

Ÿ Representations and Warranties. The firm has not been a significant originator of residential mortgage loans. The firm did purchase loans originated by others and generally received loan-level representations of the type described below from the originators. During the period 2005 through 2008, the firm sold approximately $10 billion of loans to government-sponsored enterprises and approximately $11 billion of loans to other third parties. In addition, the firm transferred loans to trusts and other mortgage securitization vehicles. As of September 2012 and December 2011, the outstanding balance of the loans transferred to trusts and other mortgage securitization vehicles during the period 2005 through 2008 was approximately $36 billion and $42 billion, respectively. This amount reflects paydowns and cumulative losses of approximately $89 billion ($19 billion of which are cumulative losses) as of September 2012 and approximately $83 billion ($17 billion of which are cumulative losses) as of December 2011. A small number of these Goldman Sachs-issued securitizations with an outstanding principal balance of $560 million and total paydowns and cumulative losses of $1.49 billion ($499 million of which are cumulative losses) as of September 2012, and an outstanding principal balance of $635 million and total paydowns and cumulative losses of $1.42 billion ($465 million of which are cumulative losses) as of December 2011, were structured with credit protection obtained from monoline insurers. In connection with both sales of loans and securitizations, the firm provided loan level representations of the type described below and/or assigned the loan level representations from the party from whom the firm purchased the loans.

The loan level representations made in connection with the sale or securitization of mortgage loans varied among transactions but were generally detailed representations applicable to each loan in the portfolio and addressed matters relating to the property, the borrower and the note. These representations generally included, but were not limited to, the following: (i) certain attributes of the borrower’s financial status; (ii) loan-to-value ratios, owner occupancy status and certain other characteristics of the property; (iii) the lien position; (iv) the fact that the loan was originated in compliance with law; and (v) completeness of the loan documentation.

The firm has received repurchase claims for residential mortgage loans based on alleged breaches of representations, from government-sponsored enterprises, other third parties, trusts and other mortgage securitization vehicles, which have not been significant. During both the three and nine months ended September 2012 and September 2011, the firm repurchased loans with an unpaid principal balance of less than $10 million. The loss related to the repurchase of these loans was not material for both the three and nine months ended September 2012 and September 2011.

Ultimately, the firm’s exposure to claims for repurchase of residential mortgage loans based on alleged breaches of representations will depend on a number of factors including the following: (i) the extent to which these claims are actually made; (ii) the extent to which there are underlying breaches of representations that give rise to valid claims for repurchase; (iii) in the case of loans originated by others, the extent to which the firm could be held liable and, if it is, the firm’s ability to pursue and collect on any claims against the parties who made representations to the firm; (iv) macro-economic factors, including developments in the residential real estate market; and (v) legal and regulatory developments.

Based upon the large number of defaults in residential mortgages, including those sold or securitized by the firm, there is a potential for increasing claims for repurchases. However, the firm is not in a position to make a meaningful estimate of that exposure at this time.

74 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Ÿ Foreclosure and Other Mortgage Loan Servicing Practices and Procedures. The firm had received a number of requests for information from regulators and other agencies, including state attorneys general and banking regulators, as part of an industry-wide focus on the practices of lenders and servicers in connection with foreclosure proceedings and other aspects of mortgage loan servicing practices and procedures. The requests sought information about the foreclosure and servicing protocols and activities of Litton, a residential mortgage servicing subsidiary sold by the firm to Ocwen Financial Corporation (Ocwen) in the third quarter of 2011. The firm is cooperating with the requests and these inquiries may result in the imposition of fines or other regulatory action. In the third quarter of 2010, prior to the firm’s sale of Litton, Litton had temporarily suspended evictions and foreclosure and real estate owned sales in a number of states, including those with judicial foreclosure procedures. Litton resumed these activities beginning in the fourth quarter of 2010.

In connection with the sale of Litton, the firm provided customary representations and warranties, and indemnities for breaches of these representations and warranties, to Ocwen. These indemnities are subject to various limitations, and are capped at approximately $50 million. The firm has not yet received any claims relating to these indemnities. The firm also agreed to provide specific indemnities to Ocwen related to claims made by third parties with respect to servicing activities during the period that Litton was owned by the firm and which are in excess of the related reserves accrued for such matters by Litton at the time of the sale. These indemnities are capped at approximately $125 million. The firm has recorded a reserve for the portion of these potential losses that it believes is probable and can be reasonably estimated. As of September 2012, the firm had not received material claims with respect to these indemnities and had not made material payments in connection with these claims.

The firm further agreed to provide indemnities to Ocwen not subject to a cap, which primarily relate to potential liabilities constituting fines or civil monetary penalties which could be imposed in settlements with certain terms with U.S. states attorneys general or in consent orders with certain terms with the Federal Reserve, the Office of Thrift Supervision, the Office of the Comptroller of the Currency, the FDIC or the New York State Department of Financial Services, in each case relating to Litton’s foreclosure and servicing practices while it was owned by the firm. Under the Litton sale agreement the firm also retained liabilities associated with claims related to Litton’s failure to maintain lender-placed mortgage insurance, obligations to repurchase certain loans from

government-sponsored enterprises, subpoenas from one of Litton’s regulators, and fines or civil penalties imposed by the Federal Reserve or the New York State Department of Financial Services in connection with certain compliance matters. Management is unable to develop an estimate of the maximum potential amount of future payments under these indemnities because the firm has received no claims under these indemnities other than an immaterial amount with respect to government-sponsored enterprises. However, management does not believe, based on currently available information, that any payments under these indemnities will have a material adverse effect on the firm’s financial condition.

On September 1, 2011, Group Inc. and GS Bank USA entered into a Consent Order (the Order) with the Board of Governors of the Federal Reserve System (Federal Reserve Board) relating to the servicing of residential mortgage loans. The terms of the Order are substantially similar and, in many respects, identical to the orders entered into with the Federal Reserve Board by other large U.S. financial institutions. The Order sets forth various allegations of improper conduct in servicing by Litton, requires that Group Inc. and GS Bank USA cease and desist such conduct, and requires that Group Inc. and GS Bank USA, and their boards of directors, take various affirmative steps. The Order requires (i) Group Inc. and GS Bank USA to engage a third-party consultant to conduct a review of certain foreclosure actions or proceedings that occurred or were pending between January 1, 2009 and December 31, 2010; (ii) the adoption of policies and procedures related to management of third parties used to outsource residential mortgage servicing, loss mitigation or foreclosure; (iii) a “validation report” from an independent third-party consultant regarding compliance with the Order for the first year; and (iv) submission of quarterly progress reports as to compliance with the Order by the boards of directors (or committees thereof) of Group Inc. and GS Bank USA.

In addition, on September 1, 2011, GS Bank USA entered into an Agreement on Mortgage Servicing Practices with the New York State Department of Financial Services, Litton and Ocwen relating to the servicing of residential mortgage loans, and, in a related agreement with the New York State Department of Financial Services, Group Inc. agreed to forgive 25% of the unpaid principal balance on certain delinquent first lien residential mortgage loans owned by Group Inc. or a subsidiary, totaling approximately $13 million in principal forgiveness.

Goldman Sachs September 2012 Form 10-Q 75

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Guaranteed Minimum Death and Income Benefits. In connection with its insurance business, the firm is contingently liable to provide guaranteed minimum death and income benefits to certain contract holders and has established a reserve related to $5.45 billion and $5.52 billion of contract holder account balances as of September 2012 and December 2011, respectively, for such benefits. The weighted average attained age of these contract holders was 69 years for both September 2012 and December 2011.

The net amount at risk, representing guaranteed minimum death and income benefits in excess of contract holder account balances, was $1.25 billion and $1.51 billion as of September 2012 and December 2011, respectively. See Note 17 for further information about the reserves recorded in “Other liabilities and accrued expenses” related to guaranteed minimum death and income benefits.

Guarantees

The firm enters into various derivatives that meet the definition of a guarantee under U.S. GAAP, including written equity and commodity put options, written currency contracts and interest rate caps, floors and swaptions. Disclosures about derivatives are not required if they may be cash settled and the firm has no basis to conclude it is probable that the counterparties held the underlying instruments at inception of the contract. The firm has concluded that these conditions have been met for certain large, internationally active commercial and investment bank counterparties and certain other counterparties. Accordingly, the firm has not included such contracts in the table below.

The firm, in its capacity as an agency lender, indemnifies most of its securities lending customers against losses incurred in the event that borrowers do not return securities and the collateral held is insufficient to cover the market value of the securities borrowed.

In the ordinary course of business, the firm provides other financial guarantees of the obligations of third parties (e.g., standby letters of credit and other guarantees to enable clients to complete transactions and fund-related guarantees). These guarantees represent obligations to make payments to beneficiaries if the guaranteed party fails to fulfill its obligation under a contractual arrangement with that beneficiary.

The table below presents certain information about derivatives that meet the definition of a guarantee and certain other guarantees. The maximum payout in the table below is based on the notional amount of the contract and therefore does not represent anticipated losses. See Note 7 for further information about credit derivatives that meet the definition of a guarantee which are not included below.

Because derivatives are accounted for at fair value, the carrying value is considered the best indication of payment/performance risk for individual contracts. However, the carrying values below exclude the effect of a legal right of setoff that may exist under an enforceable netting agreement and the effect of netting of cash collateral posted under credit support agreements.

	As of September 2012
			Maximum Payout/Notional Amount by Period of Expiration
in millions		Carrying Value of Net Liability		Remainder of 2012	2013- 2014	2015- 2016	2017- Thereafter	Total
Derivatives 1		$10,380		$222,571	$389,958	$86,756	$69,552	$768,837
Securities lending indemnifications 2		—		29,932	—	—	—	29,932
Other financial guarantees 3		163		204	857	1,018	1,246	3,325

1. These derivatives are risk managed together with derivatives that do not meet the definition of a guarantee, and therefore these amounts do not reflect the firm’s overall risk related to its derivative activities. As of December 2011, the carrying value of the net liability related to derivative guarantees was $11.88 billion.

2. Collateral held by the lenders in connection with securities lending indemnifications was $30.82 billion as of September 2012. Because the contractual nature of these arrangements requires the firm to obtain collateral with a market value that exceeds the value of the securities lent to the borrower, there is minimal performance risk associated with these guarantees.

3. Other financial guarantees excludes certain commitments to issue standby letters of credit that are included in “Commitments to extend credit.” See table in “Commitments” above for a summary of the firm’s commitments. As of December 2011, the carrying value of the net liability related to other financial guarantees was $205 million.

76 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Guarantees of Securities Issued by Trusts. The firm has established trusts, including Goldman Sachs Capital I, the APEX Trusts, the 2012 Trusts, and other entities for the limited purpose of issuing securities to third parties, lending the proceeds to the firm and entering into contractual arrangements with the firm and third parties related to this purpose. The firm does not consolidate these entities. See Note 16 for further information about the transactions involving Goldman Sachs Capital I, the APEX Trusts, and the 2012 Trusts.

The firm effectively provides for the full and unconditional guarantee of the securities issued by these entities. Timely payment by the firm of amounts due to these entities under the guarantee, borrowing, preferred stock and related contractual arrangements will be sufficient to cover payments due on the securities issued by these entities.

Management believes that it is unlikely that any circumstances will occur, such as nonperformance on the part of paying agents or other service providers, that would make it necessary for the firm to make payments related to these entities other than those required under the terms of the guarantee, borrowing, preferred stock and related contractual arrangements and in connection with certain expenses incurred by these entities.

Indemnities and Guarantees of Service Providers. In the ordinary course of business, the firm indemnifies and guarantees certain service providers, such as clearing and custody agents, trustees and administrators, against specified potential losses in connection with their acting as an agent of, or providing services to, the firm or its affiliates.

The firm may also be liable to some clients for losses caused by acts or omissions of third-party service providers, including sub-custodians and third-party brokers. In addition, the firm is a member of payment, clearing and settlement networks as well as securities exchanges around the world that may require the firm to meet the obligations of such networks and exchanges in the event of member defaults.

In connection with its prime brokerage and clearing businesses, the firm agrees to clear and settle on behalf of its clients the transactions entered into by them with other brokerage firms. The firm’s obligations in respect of such transactions are secured by the assets in the client’s account as well as any proceeds received from the transactions cleared and settled by the firm on behalf of the client. In connection with joint venture investments, the firm may issue loan guarantees under which it may be liable in the event of fraud, misappropriation, environmental liabilities and certain other matters involving the borrower.

The firm is unable to develop an estimate of the maximum payout under these guarantees and indemnifications. However, management believes that it is unlikely the firm will have to make any material payments under these arrangements, and no material liabilities related to these guarantees and indemnifications have been recognized in the condensed consolidated statements of financial condition as of September 2012 and December 2011.

Other Representations, Warranties and Indemnifications. The firm provides representations and warranties to counterparties in connection with a variety of commercial transactions and occasionally indemnifies them against potential losses caused by the breach of those representations and warranties. The firm may also provide indemnifications protecting against changes in or adverse application of certain U.S. tax laws in connection with ordinary-course transactions such as securities issuances, borrowings or derivatives.

In addition, the firm may provide indemnifications to some counterparties to protect them in the event additional taxes are owed or payments are withheld, due either to a change in or an adverse application of certain non-U.S. tax laws.

These indemnifications generally are standard contractual terms and are entered into in the ordinary course of business. Generally, there are no stated or notional amounts included in these indemnifications, and the contingencies triggering the obligation to indemnify are not expected to occur. The firm is unable to develop an estimate of the maximum payout under these guarantees and indemnifications. However, management believes that it is unlikely the firm will have to make any material payments under these arrangements, and no material liabilities related to these arrangements have been recognized in the condensed consolidated statements of financial condition as of September 2012 and December 2011.

Goldman Sachs September 2012 Form 10-Q 77

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Guarantees of Subsidiaries. Group Inc. fully and unconditionally guarantees the securities issued by GS Finance Corp., a wholly-owned finance subsidiary of the firm.

Group Inc. has guaranteed the payment obligations of Goldman, Sachs & Co. (GS&Co.), GS Bank USA, GS Bank Europe and Goldman Sachs Execution & Clearing, L.P. (GSEC), subject to certain exceptions.

In November 2008, the firm contributed subsidiaries into GS Bank USA, and Group Inc. agreed to guarantee the reimbursement of certain losses, including credit-related losses, relating to assets held by the contributed entities. In connection with this guarantee, Group Inc. also agreed to pledge to GS Bank USA certain collateral, including interests in subsidiaries and other illiquid assets.

In addition, Group Inc. guarantees many of the obligations of its other consolidated subsidiaries on a transaction-by-transaction basis, as negotiated with counterparties. Group Inc. is unable to develop an estimate of the maximum payout under its subsidiary guarantees; however, because these guaranteed obligations are also obligations of consolidated subsidiaries included in the table above, Group Inc.’s liabilities as guarantor are not separately disclosed.

Note 19.

Shareholders’ Equity

Common Equity

On October 15, 2012, the Board of Directors of Group Inc. (Board) increased the firm’s quarterly dividend to $0.50 per common share from $0.46 per common share. The dividend will be paid on December 28, 2012 to common shareholders of record on November 30, 2012.

The firm’s share repurchase program is intended to help maintain the appropriate level of common equity and to substantially offset increases in share count over time resulting from employee share-based compensation. The repurchase program is effected primarily through regular open-market purchases, the amounts and timing of which are determined primarily by the firm’s current and projected capital positions (i.e., comparisons of the firm’s desired level and composition of capital to its actual level and composition of capital) and the issuance of shares resulting from employee share-based compensation, but which may also be influenced by general market conditions and the prevailing price and trading volumes of the firm’s common stock. Any repurchase of the firm’s common stock requires approval by the Federal Reserve Board.

During the three and nine months ended September 2012, the firm repurchased 11.8 million and 29.4 million shares of its common stock at an average cost per share of $106.17 and $106.07, for a total cost of $1.25 billion and $3.11 billion, respectively, under the share repurchase program. In addition, pursuant to the terms of certain share-based compensation plans, employees may remit shares to the firm or the firm may cancel RSUs to satisfy minimum statutory employee tax withholding requirements. Under these plans, during the nine months ended September 2012, employees remitted 33,477 shares with a total value of $3 million and the firm cancelled 8.9 million of RSUs with a total value of $947 million.

78 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Preferred Equity

The table below presents perpetual preferred stock issued and outstanding as of September 2012.

Series	Shares Authorized		Shares Issued		Shares Outstanding		Dividend Rate	Redemption Value (in millions)
A		50,000		30,000		29,999	3 month LIBOR + 0.75%, with floor of 3.75% per annum		$   750
B		50,000		32,000		32,000	6.20% per annum		800
C		25,000		8,000		8,000	3 month LIBOR + 0.75%, with floor of 4.00% per annum		200
D		60,000		54,000		53,999	3 month LIBOR + 0.67%, with floor of 4.00% per annum		1,350
E		17,500		17,500		17,500	3 month LIBOR + 0.77%, with floor of 4.00% per annum		1,750
F		5,000		5,000		5,000	3 month LIBOR + 0.77%, with floor of 4.00% per annum		500
		207,500		146,500		146,498			$5,350

Each share of non-cumulative Series A Preferred Stock, Series B Preferred Stock, Series C Preferred Stock and Series D Preferred Stock issued and outstanding has a par value of $0.01, has a liquidation preference of $25,000, is represented by 1,000 depositary shares and is redeemable at the firm’s option, subject to the approval of the Federal Reserve Board, at a redemption price equal to $25,000 plus declared and unpaid dividends.

All series of preferred stock are pari passu and have a preference over the firm’s common stock on liquidation. Dividends on each series of preferred stock, if declared, are payable quarterly in arrears. The firm’s ability to declare or pay dividends on, or purchase, redeem or otherwise acquire, its common stock is subject to certain restrictions in the event that the firm fails to pay or set aside full dividends on the preferred stock for the latest completed dividend period.

In 2007, the Board authorized 17,500 shares of Series E Preferred Stock, and 5,000 shares of Series F Preferred Stock, in connection with the APEX Trusts. On June 1, 2012, Group Inc. issued 17,500 shares of Series E Preferred Stock to Goldman Sachs Capital II pursuant to the stock purchase contracts held by Goldman Sachs

Capital II. On September 4, 2012, Group Inc. issued 5,000 shares of Series F Preferred Stock to Goldman Sachs Capital III pursuant to the stock purchase contracts held by Goldman Sachs Capital III. Each share of Series E and Series F Preferred Stock issued and outstanding has a par value of $0.01, has a liquidation preference of $100,000 and is redeemable at the option of the firm at any time subject to approval from the Federal Reserve Board and to certain covenant restrictions governing the firm’s ability to redeem or purchase the preferred stock without issuing common stock or other instruments with equity-like characteristics. See Note 16 for further information about the APEX Trusts.

On October 24, 2012, Group Inc. issued 34,000 shares of perpetual 5.95% Non-Cumulative Preferred Stock, Series I, par value $0.01 per share (Series I Preferred Stock), out of a total of 34,500 shares of Series I Preferred Stock authorized for issuance. Each share of Series I Preferred Stock issued and outstanding has a liquidation preference of $25,000, is represented by 1,000 depositary shares and is redeemable at the firm’s option beginning November 10, 2017, subject to the approval of the Federal Reserve Board, at a redemption price equal to $25,000 plus accrued and unpaid dividends.

Goldman Sachs September 2012 Form 10-Q 79

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

In March 2011, the firm provided notice to Berkshire Hathaway Inc. and certain of its subsidiaries (collectively, Berkshire Hathaway) that it would redeem in full the 50,000 shares of the firm’s 10% Cumulative Perpetual Preferred Stock, Series G (Series G Preferred Stock) held by Berkshire Hathaway for the stated redemption price of $5.50 billion ($110,000 per share), plus accrued and unpaid dividends. In connection with this notice, the firm recognized a preferred dividend of $1.64 billion (calculated as the difference between the carrying value and the redemption value of the preferred stock), which was recorded as a reduction to earnings applicable to common

shareholders for the first quarter of 2011. The redemption also resulted in the acceleration of $24 million of preferred dividends related to the period from April 1, 2011 to the redemption date, which was included in the firm’s results during the three months ended March 2011. The Series G Preferred Stock was redeemed on April 18, 2011. Berkshire Hathaway continues to hold a five-year warrant, issued in October 2008, to purchase up to 43.5 million shares of common stock at an exercise price of $115.00 per share.

The table below presents preferred dividends declared on preferred stock.

	Three Months Ended September						Nine Months Ended September
	2012			2011			2012			2011
		per share	in millions		per share	in millions		per share	in millions		per share	in millions
Series A		$   239.58	$  7		$239.58	$  7		$   718.74	$  21		$   710.93	$  21
Series B		387.50	13		387.50	12		1,162.50	37		1,162.50	37
Series C		255.56	2		255.56	2		766.68	6		758.34	6
Series D		255.56	14		255.56	14		766.68	42		758.34	41
Series E		1,055.56	18		—	—		1,055.56	18		—	—
Series G		—	—		—	—		—	—		2,500.00	125	1
Total			$54			$35			$124			$230

1. Excludes preferred dividends related to the redemption of the firm’s Series G Preferred Stock.

Accumulated Other Comprehensive Income/(Loss)

The tables below present accumulated other comprehensive income/(loss) by type.

	As of September 2012
in millions		Currency translation adjustment, net of tax		Pension and postretirement liability adjustments, net of tax		Net unrealized gains/(losses) on available-for-sale securities, net of tax		Accumulated other comprehensive income/(loss), net of tax
Balance, beginning of year		$(225	)	$(374	)	$  83		$(516	)
Other comprehensive income/(loss)		(63	)	13		184		134
Balance, end of period		$(288	)	$(361	)	$267	1	$(382	)
	As of December 2011
in millions		Currency translation adjustment, net of tax		Pension and postretirement liability adjustments, net of tax		Net unrealized gains/(losses) on available-for-sale securities, net of tax		Accumulated other comprehensive income/(loss), net of tax
Balance, beginning of year		$(170	)	$(229	)	$113		$(286	)
Other comprehensive loss		(55	)	(145	)	(30	)	(230	)
Balance, end of year		$(225	)	$(374	)	$  83	1	$(516	)

1. Substantially all consists of net unrealized gains on securities held by the firm’s insurance subsidiaries as of both September 2012 and December 2011.

80 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 20.

Regulation and Capital Adequacy

The Federal Reserve Board is the primary regulator of Group Inc., a bank holding company and a financial holding company under the U.S. Bank Holding Company Act of 1956. As a bank holding company, the firm is subject to consolidated regulatory capital requirements that are computed in accordance with the Federal Reserve Board’s risk-based capital requirements (which are based on the ‘Basel 1’ Capital Accord of the Basel Committee). These capital requirements are expressed as capital ratios that compare measures of capital to risk-weighted assets (RWAs). The firm’s U.S. bank depository institution subsidiaries, including GS Bank USA, are subject to similar capital requirements.

Under the Federal Reserve Board’s capital adequacy requirements and the regulatory framework for prompt corrective action that is applicable to GS Bank USA, the firm and its U.S. bank depository institution subsidiaries must meet specific capital requirements that involve quantitative measures of assets, liabilities and certain off-balance-sheet items as calculated under regulatory reporting practices. The firm and its U.S. bank depository institution subsidiaries’ capital amounts, as well as GS Bank USA’s prompt corrective action classification, are also subject to qualitative judgments by the regulators about components, risk weightings and other factors.

Many of the firm’s subsidiaries, including GS&Co. and the firm’s other broker-dealer subsidiaries, are subject to separate regulation and capital requirements as described below.

Group Inc.

Federal Reserve Board regulations require bank holding companies to maintain a minimum Tier 1 capital ratio of 4% and a minimum total capital ratio of 8%. The required minimum Tier 1 capital ratio and total capital ratio in order to be considered a “well-capitalized” bank holding company under the Federal Reserve Board guidelines are 6% and 10%, respectively. Bank holding companies may be expected to maintain ratios well above the minimum levels, depending on their particular condition, risk profile and growth plans. The minimum Tier 1 leverage ratio is 3% for bank holding companies that have received the highest supervisory rating under Federal Reserve Board guidelines or that have implemented the Federal Reserve Board’s risk-based capital measure for market risk. Other bank holding companies must have a minimum Tier 1 leverage ratio of 4%.

The table below presents information regarding Group Inc.’s regulatory capital ratios.

	As of
$ in millions		September 2012		December 2011
Tier 1 capital		$  65,230		$  63,262
Tier 2 capital		$  13,425		$  13,881
Total capital		$  78,655		$  77,143
Risk-weighted assets		$435,331		$457,027
Tier 1 capital ratio		15.0	%	13.8	%
Total capital ratio		18.1	%	16.9	%
Tier 1 leverage ratio		7.2	%	7.0	%

RWAs under the Federal Reserve Board’s risk-based capital requirements are calculated based on the amount of market risk and credit risk. RWAs for market risk are determined by reference to the firm’s Value-at-Risk (VaR) model, supplemented by other measures to capture risks not reflected in the firm’s VaR model. Credit risk for on-balance sheet assets is based on the balance sheet value. For off-balance sheet exposures, including OTC derivatives and commitments, a credit equivalent amount is calculated based on the notional amount of each trade. All such assets and amounts are then assigned a risk weight depending on, among other things, whether the counterparty is a sovereign, bank or qualifying securities firm or other entity (or if collateral is held, depending on the nature of the collateral).

Tier 1 leverage ratio is defined as Tier 1 capital under Basel 1 divided by average adjusted total assets (which includes adjustments for disallowed goodwill and intangible assets, and the carrying value of equity investments in non-financial companies that are subject to deductions from Tier 1 capital).

Goldman Sachs September 2012 Form 10-Q 81

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Regulatory Reform

The firm is currently working to implement the requirements set out in the Federal Reserve Board’s Risk-Based Capital Standards: Advanced Capital Adequacy Framework — Basel 2, as applicable to Group Inc. as a bank holding company (Basel 2), which are based on the advanced approaches under the Revised Framework for the International Convergence of Capital Measurement and Capital Standards issued by the Basel Committee. U.S. banking regulators have incorporated the Basel 2 framework into the existing risk-based capital requirements by requiring that internationally active banking organizations, such as Group Inc., adopt Basel 2, once approved to do so by regulators. The firm’s capital adequacy ratio will also be impacted by the further changes outlined below under the Basel 2.5 framework, provisions of the Dodd-Frank Act, and the Basel 3 framework.

In June 2012, the U.S. federal bank regulatory agencies (the Agencies) issued revised rules which modify their market risk regulatory capital requirements for banking organizations that have significant trading activities. These modifications are designed to address the adjustments to the market risk regulatory capital framework that were announced by the Basel Committee in June 2010 (Basel 2.5), as well as the prohibition on the use of external credit ratings, as required by the Dodd-Frank Act. These changes will be implemented in January 2013 and will result in increased regulatory capital requirements for market risk.

In addition, in June 2012, the Agencies proposed further modifications to their capital adequacy regulations to address aspects of both the Dodd-Frank Act and the guidelines issued by the Basel Committee in December 2010 (Basel 3). If enacted as proposed, the most significant changes that would impact the firm include (i) revisions to the definition of Tier 1 capital, including new deductions from Tier 1 capital, (ii) higher minimum capital and leverage ratios, (iii) the introduction of a new minimum ratio of Tier 1 common equity to RWAs, (iv) new capital conservation and counter-cyclical capital buffers, (v) an additional leverage ratio, which includes measures of off-balance sheet exposures, and (vi) revisions to the methodology for calculating RWAs, particularly for credit risk capital requirements on derivatives. Among the consequences of these proposals would be the phase out of Tier 1 capital treatment for the firm’s junior subordinated debt issued to trusts over a three-year period beginning on January 1, 2013.

In accordance with the “Collins Amendment” of the Dodd-Frank Act, the Agencies have proposed risk-based capital floors for the capital ratios. Furthermore, the June 2012 proposals include provisions which, if enacted as proposed, would modify these risk-based capital floors.

82 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

The Basel Committee has published its final provisions for assessing the global systemic importance of banking institutions and the range of additional Tier 1 common equity that should be maintained by banking institutions deemed to be globally systemically important. The additional capital for these institutions would initially range from 1% to 2.5% of Tier 1 common equity and could be as much as 3.5% for a bank that increases its systemic footprint (e.g., by increasing total assets). In November 2012, the Financial Stability Board (established at the direction of the leaders of the Group of 20) indicated that the firm would be required to hold an additional 1.5% of Tier 1 common equity as a globally systemically important bank under the Basel Committee’s methodology. Therefore, depending upon any future revisions to this provisional additional Tier 1 common equity requirement and the manner and timing of the U.S. banking regulators’ implementation of the Basel Committee’s methodology, the firm expects that the minimum Tier 1 common ratio requirement applicable to the firm will include this additional capital assessment. The firm expects that globally systemically important banking institutions will be required to meet the capital surcharges on a phased-in basis from 2016 through 2019.

The Basel Committee also published its final provisions for calculating incremental capital requirements for domestic systemically important banks. The provisions are complementary to the framework outlined above for global systemically important banks, but are more principles-based in order to provide an appropriate degree of national discretion. These provisions may impact the regulatory capital requirements of GS Bank USA, but the exact impact will depend on how they are implemented by the U.S. banking regulators.

In May 2012, the Basel Committee released a consultation paper proposing a “Fundamental Review of the Trading Book.” The paper proposes a series of comprehensive changes to the regulatory capital requirements for market risk which, if enacted by the U.S. banking regulators, would likely replace the Basel 2.5 requirements that, as outlined above, become effective in January 2013.

The Dodd-Frank Act contains provisions that require the registration of all swap dealers, major swap participants, security-based swap dealers, and/or major security-based swap participants. Entities that register under these provisions will be subject to regulatory capital requirements, which have not yet been finalized by the CFTC and SEC. Nevertheless, the firm expects that this will result in modifications to the regulatory capital requirements of some of its entities, and will result in some of its other entities becoming subject to regulatory capital requirements for the first time.

The interaction among the Dodd-Frank Act, the Basel Committee’s proposed changes and other proposed or announced changes from other governmental entities and regulators (including the European Union (EU) and the U.K.’s Financial Services Authority (FSA)) adds further uncertainty to the firm’s future capital and liquidity requirements and those of the firm’s subsidiaries.

Goldman Sachs September 2012 Form 10-Q 83

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Bank Subsidiaries

GS Bank USA, an FDIC-insured, New York State-chartered bank and a member of the Federal Reserve System, is supervised and regulated by the Federal Reserve Board, the FDIC, the New York State Department of Financial Services and the Bureau of Consumer Financial Protection, and is subject to minimum capital requirements (described below) that are calculated in a manner similar to those applicable to bank holding companies. GS Bank USA computes its capital ratios in accordance with the regulatory capital guidelines currently applicable to state member banks, which are based on Basel 1 as implemented by the Federal Reserve Board, for purposes of assessing the adequacy of its capital. Under the regulatory framework for prompt corrective action that is applicable to GS Bank USA, in order to be considered a “well-capitalized” depository institution, GS Bank USA must maintain a Tier 1 capital ratio of at least 6%, a total capital ratio of at least 10% and a Tier 1 leverage ratio of at least 5%. GS Bank USA has agreed with the Federal Reserve Board to maintain minimum capital ratios in excess of these “well-capitalized” levels. Accordingly, for a period of time, GS Bank USA is expected to maintain a Tier 1 capital ratio of at least 8%, a total capital ratio of at least 11% and a Tier 1 leverage ratio of at least 6%. As noted in the table below, GS Bank USA was in compliance with these minimum capital requirements as of September 2012 and December 2011.

The table below presents information regarding GS Bank USA’s regulatory capital ratios under Basel 1 as implemented by the Federal Reserve Board.

	As of
$ in millions		September 2012		December 2011
Tier 1 capital		$  20,333		$  19,251
Tier 2 capital		$         33		$           6
Total capital		$  20,366		$  19,257
Risk-weighted assets		$112,922		$112,824
Tier 1 capital ratio		18.0	%	17.1	%
Total capital ratio		18.0	%	17.1	%
Tier 1 leverage ratio		17.8	%	18.5	%

GS Bank USA is currently working to implement the Basel 2 framework, as implemented by the Federal Reserve Board. Similar to the firm’s requirement as a bank holding company, GS Bank USA is required to adopt Basel 2, once approved to do so by regulators. GS Bank USA will also be impacted by the modified market risk regulatory capital framework outlined above, which will be implemented in January 2013. In addition, the capital requirements for GS Bank USA are expected to be impacted by the June 2012 proposed modifications to the Agencies’ capital adequacy regulations outlined above. If enacted as proposed, these proposals would also change the regulatory framework for prompt corrective action that is applicable to GS Bank USA. The firm also expects that GS Bank USA will be impacted by aspects of the Dodd-Frank Act, including new stress tests.

The deposits of GS Bank USA are insured by the FDIC to the extent provided by law. The Federal Reserve Board requires depository institutions to maintain cash reserves with a Federal Reserve Bank. The amount deposited by the firm’s depository institution held at the Federal Reserve Bank was approximately $49.72 billion and $40.06 billion as of September 2012 and December 2011, respectively, which exceeded required reserve amounts by $49.42 billion and $39.51 billion as of September 2012 and December 2011, respectively.

Transactions between GS Bank USA and its subsidiaries and Group Inc. and its subsidiaries and affiliates (other than, generally, subsidiaries of GS Bank USA) are regulated by the Federal Reserve Board. These regulations generally limit the types and amounts of transactions (including loans to and borrowings from GS Bank USA) that may take place and generally require those transactions to be on an arm’s-length basis.

GSIB, a wholly-owned credit institution, regulated by the FSA, and GS Bank Europe, a wholly-owned credit institution, regulated by the Central Bank of Ireland, are both subject to minimum capital requirements. As of September 2012 and December 2011, GSIB and GS Bank Europe were in compliance with all regulatory capital requirements.

84 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Broker-Dealer Subsidiaries

The firm’s U.S. regulated broker-dealer subsidiaries include GS&Co. and GSEC. GS&Co. and GSEC are registered U.S. broker-dealers and futures commission merchants, and are subject to regulatory capital requirements, including those imposed by the SEC, the U.S. Commodity Futures Trading Commission (CFTC), Chicago Mercantile Exchange, the Financial Industry Regulatory Authority, Inc. (FINRA) and the National Futures Association. Rule 15c3-1 of the SEC and Rule 1.17 of the CFTC specify uniform minimum net capital requirements, as defined, for their registrants, and also effectively require that a significant part of the registrants’ assets be kept in relatively liquid form. GS&Co. and GSEC have elected to compute their minimum capital requirements in accordance with the “Alternative Net Capital Requirement” as permitted by Rule 15c3-1.

As of September 2012 and December 2011, GS&Co. had regulatory net capital, as defined by Rule 15c3-1, of $13.24 billion and $11.24 billion, respectively, which exceeded the amount required by $11.41 billion and $9.34 billion, respectively. As of September 2012 and December 2011, GSEC had regulatory net capital, as defined by Rule 15c3-1, of $2.21 billion and $2.10 billion, respectively, which exceeded the amount required by $2.08 billion and $2.00 billion, respectively.

In addition to its alternative minimum net capital requirements, GS&Co. is also required to hold tentative net capital in excess of $1 billion and net capital in excess of $500 million in accordance with the market and credit risk standards of Appendix E of Rule 15c3-1. GS&Co. is also required to notify the SEC in the event that its tentative net capital is less than $5 billion. As of September 2012 and December 2011, GS&Co. had tentative net capital and net capital in excess of both the minimum and the notification requirements.

Insurance Subsidiaries

The firm has U.S. insurance subsidiaries that are subject to state insurance regulation and oversight in the states in which they are domiciled and in the other states in which they are licensed. In addition, certain of the firm’s insurance subsidiaries outside of the U.S. are regulated by the FSA and certain are regulated by the Bermuda Monetary Authority. The firm’s insurance subsidiaries were in compliance with all regulatory capital requirements as of September 2012 and December 2011.

Other Non-U.S. Regulated Subsidiaries

The firm’s principal non-U.S. regulated subsidiaries include Goldman Sachs International (GSI) and Goldman Sachs Japan Co., Ltd. (GSJCL). GSI, the firm’s regulated U.K. broker-dealer, is subject to the capital requirements imposed by the FSA. GSJCL, the firm’s regulated Japanese broker-dealer, is subject to the capital requirements imposed by Japan’s Financial Services Agency. As of September 2012 and December 2011, GSI and GSJCL were in compliance with their local capital adequacy requirements. Certain other non-U.S. subsidiaries of the firm are also subject to capital adequacy requirements promulgated by authorities of the countries in which they operate. As of September 2012 and December 2011, these subsidiaries were in compliance with their local capital adequacy requirements.

Restrictions on Payments

The regulatory requirements referred to above restrict Group Inc.’s ability to withdraw capital from its regulated subsidiaries. As of September 2012 and December 2011, Group Inc. was required to maintain approximately $30.89 billion and $25.53 billion, respectively, of minimum equity capital in these regulated subsidiaries. This minimum equity capital requirement includes certain restrictions imposed by federal and state laws as to the payment of dividends to Group Inc. by its regulated subsidiaries. In addition to limitations on the payment of dividends imposed by federal and state laws, the Federal Reserve Board, the FDIC and the New York State Department of Financial Services have authority to prohibit or to limit the payment of dividends by the banking organizations they supervise (including GS Bank USA) if, in the relevant regulator’s opinion, payment of a dividend would constitute an unsafe or unsound practice in the light of the financial condition of the banking organization.

Goldman Sachs September 2012 Form 10-Q 85

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 21.

Earnings Per Common Share

Basic earnings/(loss) per common share (EPS) is calculated by dividing net earnings/(loss) applicable to common shareholders by the weighted average number of common shares outstanding. Common shares outstanding includes common stock and RSUs for which no future service is required as a condition to the delivery of the underlying common stock. Diluted EPS includes the determinants of

basic EPS and, in addition reflects the dilutive effect of the common stock deliverable for stock warrants and options and for RSUs for which future service is required as a condition to the delivery of the underlying common stock.

The table below presents the computations of basic and diluted EPS.

	Three Months Ended September					Nine Months Ended September
in millions, except per share amounts		2012		2011			2012	2011
Numerator for basic and diluted EPS — net earnings/(loss) applicable to common shareholders	$	1,458	$	(428	)	$	4,459	$1,532
Denominator for basic EPS — weighted average number of common shares		491.2		518.2			501.1	530.1
Effect of dilutive securities:
RSUs		12.0		—			10.8	14.0
Stock options and warrants		7.7		—			8.2	22.5
Dilutive potential common shares		19.7		—			19.0	36.5
Denominator for diluted EPS — weighted average number of common shares and dilutive potential common shares		510.9		518.2			520.1	566.6
Basic EPS	$	2.95	$	(0.84	)	$	8.85	$2.84
Diluted EPS		2.85		(0.84	)		8.57	2.70

In the table above, unvested share-based payment awards that have non-forfeitable rights to dividends or dividend equivalents are treated as a separate class of securities in calculating EPS. The impact of applying this methodology was a reduction in basic EPS of $0.02 for the three months ended September 2012 and an increase in basic and diluted loss per common share of $0.01 for the three months ended

September 2011, and a reduction in basic EPS of $0.05 for both the nine months ended September 2012 and September 2011.

The diluted EPS computations in the table above do not include the following:

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Number of antidilutive RSUs and common shares underlying antidilutive stock options and warrants		52.4	123.4		52.4	6.4

86 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 22.

Transactions with Affiliated Funds

The firm has formed numerous nonconsolidated investment funds with third-party investors. As the firm generally acts as the investment manager for these funds, it is entitled to receive management fees and, in certain cases, advisory fees or incentive fees from these funds. Additionally, the firm invests alongside the third-party investors in certain funds.

The tables below present fees earned from affiliated funds, fees receivable from affiliated funds and the aggregate carrying value of the firm’s interests in affiliated funds.

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Fees earned from affiliated funds		$   602	$   663		$1,947	$2,104

	As of
in millions		September 2012	December 2011
Fees receivable from funds		$     622	$     721
Aggregate carrying value of interests in funds		15,095	14,960

As of September 2012 and December 2011, the firm had outstanding loans and guarantees to certain of its funds of $637 million and $289 million, respectively, which are collateralized by certain fund assets. These amounts relate primarily to certain real estate funds for which the firm voluntarily provided financial support to alleviate liquidity constraints during the financial crisis and, more recently, to enable them to fund investment opportunities. As of September 2012 and December 2011, the firm had no outstanding commitments to extend credit to these funds.

The Volcker Rule, as currently drafted, would restrict the firm from providing additional voluntary financial support to these funds after July 2014 (subject to extension by the Federal Reserve Board). As a general matter, in the ordinary course of business, the firm does not expect to provide additional voluntary financial support to these funds; however, in the event that such support is provided, the amount of any such support is not expected to be material. In addition, in the ordinary course of business, the firm may also engage in other activities with these funds, including, among others, securities lending, trade execution, market making, custody, and acquisition and bridge financing. See Note 18 for the firm’s investment commitments related to these funds.

Goldman Sachs September 2012 Form 10-Q 87

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 23.

Interest Income and Interest Expense

Interest income is recorded on an accrual basis based on contractual interest rates. The table below presents the

sources of interest income and interest expense.

	Three Months Ended September					Nine Months Ended September
in millions		2012			2011		2012		2011
Interest income
Deposits with banks	$	38		$	32	$	111		$88
Securities borrowed, securities purchased under agreements to resell and federal funds sold 1		(74	)		170		(49	)	572
Financial instruments owned, at fair value		2,324			2,755		7,334		8,218
Other interest 2		341			397		1,121		1,264
Total interest income		2,629			3,354		8,517		10,142
Interest expense
Deposits		106			65		292		205
Securities loaned and securities sold under agreements to repurchase		188			266		615		703
Financial instruments sold, but not yet purchased, at fair value		594			585		1,783		1,844
Short-term borrowings 3		133			150		453		401
Long-term borrowings 3		941			829		2,841		2,471
Other interest 4		(169	)		103		(374	)	391
Total interest expense		1,793			1,998		5,610		6,015
Net interest income	$	836		$	1,356	$	2,907		$4,127

1. Includes rebates paid and interest income on securities borrowed.

2. Includes interest income on customer debit balances and other interest-earning assets.

3. Includes interest on unsecured borrowings and other secured financings.

4. Includes rebates received and interest expense on customer credit balances and other interest-bearing liabilities.

Note 24.

Income Taxes

Provision for Income Taxes

Income taxes are provided for using the asset and liability method under which deferred tax assets and liabilities are recognized for temporary differences between the financial reporting and tax bases of assets and liabilities. The firm reports interest expense related to income tax matters in “Provision for taxes” and income tax penalties in “Other expenses.”

Deferred Income Taxes

Deferred income taxes reflect the net tax effects of temporary differences between the financial reporting and tax bases of assets and liabilities. These temporary differences result in taxable or deductible amounts in future years and are measured using the tax rates and laws that will be in effect when such differences are expected to reverse. Valuation allowances are established to reduce deferred tax assets to the amount that more likely than not will be realized. Tax assets and liabilities are presented as a component of “Other assets” and “Other liabilities and accrued expenses,” respectively.

88 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Unrecognized Tax Benefits

The firm recognizes tax positions in the financial statements only when it is more likely than not that the position will be sustained on examination by the relevant taxing authority based on the technical merits of the position. A position that meets this standard is measured at the largest amount of benefit that will more likely than not be realized on settlement. A liability is established for differences between positions taken in a tax return and amounts recognized in the financial statements.

Regulatory Tax Examinations

The firm is subject to examination by the U.S. Internal Revenue Service (IRS) and other taxing authorities in jurisdictions where the firm has significant business operations, such as the United Kingdom, Japan, Hong Kong, Korea and various states, such as New York. The tax years under examination vary by jurisdiction. The firm believes that during 2012, certain audits have a reasonable possibility of being completed. The firm does not expect completion of these audits to have a material impact on the firm’s financial condition but it may be material to operating results for a particular period, depending, in part, on the operating results for that period.

The table below presents the earliest tax years that remain subject to examination by major jurisdiction.

Jurisdiction	As of September 2012
U.S. Federal 1	2005
New York State and City 2	2004
United Kingdom	2007
Japan 3	2008
Hong Kong	2005
Korea	2008

1. IRS examination of fiscal 2008 through calendar 2010 began during 2011. IRS examination of fiscal 2005, 2006 and 2007 began during 2008. IRS examination of fiscal 2003 and 2004 has been completed, but the liabilities for those years are not yet final.

2. New York State and City examination of fiscal 2004, 2005 and 2006 began in 2008.

3. Japan National Tax Agency examination of fiscal 2005 through 2009 began during the first quarter of 2010. The examinations have been completed, but the liabilities for 2008 and 2009 are not yet final.

All years subsequent to the above remain open to examination by the taxing authorities. The firm believes that the liability for unrecognized tax benefits it has established is adequate in relation to the potential for additional assessments.

Note 25.

Business Segments

Basis of Presentation

In reporting segments, certain of the firm’s business lines have been aggregated where they have similar economic characteristics and are similar in each of the following areas: (i) the nature of the services they provide, (ii) their methods of distribution, (iii) the types of clients they serve and (iv) the regulatory environments in which they operate.

The cost drivers of the firm taken as a whole — compensation, headcount and levels of business activity — are broadly similar in each of the firm’s business segments. Compensation and benefits expenses in the firm’s segments reflect, among other factors, the overall performance of the firm as well as the performance of individual businesses. Consequently, pre-tax margins in one segment of the firm’s business may be significantly affected by the performance of the firm’s other business segments.

The firm allocates assets (including allocations of excess liquidity and cash, secured client financing and other assets), revenues and expenses among the four reportable business segments. Due to the integrated nature of these segments, estimates and judgments are made in allocating certain assets, revenues and expenses. Transactions between segments are based on specific criteria or approximate third-party rates. Total operating expenses include corporate items that have not been allocated to individual business segments. The allocation process is based on the manner in which management views the business of the firm.

Goldman Sachs September 2012 Form 10-Q 89

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Management believes that the following information provides a reasonable representation of each segment’s

contribution to consolidated pre-tax earnings/(loss) and total assets.

		For the Three Months Ended or as of September				For the Nine Months Ended or as of September
in millions			2012	2011			2012	2011
Investment Banking	Net revenues		$    1,164	$       781			$    3,521	$    3,498
	Operating expenses		825	541			2,560	2,445
	Pre-tax earnings		$       339	$       240			$       961	$    1,053
	Segment assets		$    1,765	$    2,136			$    1,765	$    2,136
Institutional Client Services	Net revenues 1		$    4,184	$    4,062			$  13,782	$  14,224
	Operating expenses		3,186	2,631			10,016	10,255
	Pre-tax earnings		$       998	$    1,431			$    3,766	$    3,969
	Segment assets		$842,950	$845,055			$842,950	$845,055
Investing & Lending	Net revenues		$    1,804	$   (2,479	)		$    3,918	$    1,270
	Operating expenses		1,002	86			2,216	1,864
	Pre-tax earnings/(loss)		$       802	$   (2,565	)		$    1,702	$     (594)
	Segment assets		$  92,541	$  87,712			$  92,541	$  87,712
Investment Management	Net revenues		$    1,199	$    1,223			$    3,706	$    3,770
	Operating expenses		977	989			3,037	3,112
	Pre-tax earnings		$       222	$       234			$       669	$       658
	Segment assets		$  11,951	$  14,006			$  11,951	$  14,006
Total	Net revenues		$    8,351	$    3,587			$  24,927	$  22,762
	Operating expenses		6,053	4,317			18,033	17,840
	Pre-tax earnings/(loss)		$    2,298	$      (730	)		$    6,894	$    4,922
	Total assets		$949,207	$948,909			$949,207	$948,909

1. Includes $30 million and $31 million for the three months ended September 2012 and September 2011, respectively, and $81 million for both the nine months ended September 2012 and September 2011, of realized gains on available-for-sale securities held in the firm’s insurance subsidiaries.

Total operating expenses in the table above include the following expenses that have not been allocated to the firm’s segments:

Ÿ net provisions for a number of litigation and regulatory proceedings of $62 million and $59 million for the three months ended September 2012 and September 2011, respectively, and $188 million and $128 million for the nine months ended September 2012 and September 2011, respectively;

Ÿ charitable contributions of $12 million and $25 million for the nine months ended September 2012 and September 2011, respectively; and

Ÿ real estate-related exit costs of $1 million and $11 million for the three months ended September 2012 and September 2011, respectively, and $4 million and $11 million for the nine months ended September 2012 and September 2011, respectively. Real estate-related exit costs are included in “Depreciation and amortization” and “Occupancy” in the condensed consolidated statements of earnings.

90 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

The tables below present the amounts of net interest income or interest expense included in net revenues, and the amounts of depreciation and amortization expense included in pre-tax earnings.

	Three Months Ended September					Nine Months Ended September
in millions		2012			2011		2012		2011
Investment Banking	$	(4	)	$	—	$	(13	)	$      —
Institutional Client Services		813			1,243		2,799		3,375
Investing & Lending		2			60		9		595
Investment Management		25			53		112		157
Total net interest	$	836		$	1,356	$	2,907		$4,127
	Three Months Ended September					Nine Months Ended September
in millions		2012			2011		2012		2011
Investment Banking	$	36		$	44	$	117		$   133
Institutional Client Services		188			230		559		753
Investing & Lending		119			56		406		318
Investment Management		52			59		155		151
Total depreciation and amortization	$	396	1	$	389	$	1,238	1	$1,355

1. Includes real estate-related exit costs of $1 million for both the three and nine months ended September 2012 that have not been allocated to the firm’s segments.

Geographic Information

Due to the highly integrated nature of international financial markets, the firm manages its businesses based on the profitability of the enterprise as a whole. The methodology for allocating profitability to geographic regions is dependent on estimates and management judgment because a significant portion of the firm’s activities require cross-border coordination in order to facilitate the needs of the firm’s clients.

Geographic results are generally allocated as follows:

Ÿ Investment Banking: location of the client and investment banking team.

Ÿ Institutional Client Services: Fixed Income, Currency and Commodities Client Execution, and Equities (excluding Securities Services): location of the market-making desk; Securities Services: location of the primary market for the underlying security.

Ÿ Investing & Lending: Investing: location of the investment; Lending: location of the client.

Ÿ Investment Management: location of the sales team.

Goldman Sachs September 2012 Form 10-Q 91

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

The table below presents the total net revenues and pre-tax earnings/(loss) of the firm by geographic region allocated based on the methodology referred to above, as well as the

percentage of total net revenues and pre-tax earnings/(loss) (excluding Corporate) for each geographic region.

	Three Months Ended September									Nine Months Ended September
$ in millions		2012				2011					2012				2011
Net revenues
Americas 1		$5,114		61	%	$2,485		69	%		$14,807		59	%	$14,149		62	%
EMEA 2		2,160		26		1,349		38			6,660		27		5,974		26
Asia 3		1,077		13		(247	)	(7	)		3,460		14		2,639		12
Total net revenues		$8,351		100	%	$3,587		100	%		$24,927		100	%	$22,762		100	%
Pre-tax earnings/(loss)
Americas 1		$1,401		59	%	$     92		N.M.			$  3,943		56	%	$  3,567		70	%
EMEA 2		709		30		107		N.M.			2,279		32		1,678		33
Asia 3		251		11		(859	)	N.M.			876		12		(159	)	(3	)
Subtotal		2,361		100	%	(660	)	100	%		7,098		100	%	5,086		100	%
Corporate 4		(63	)			(70	)				(204	)			(164	)
Total pre-tax earnings/(loss)		$2,298				$  (730	)				$  6,894				$  4,922

1. Substantially all relates to the U.S.

2. EMEA (Europe, Middle East and Africa).

3. Asia also includes Australia and New Zealand.

4. Consists of net provisions for a number of litigation and regulatory proceedings of $62 million and $59 million for the three months ended September 2012 and September 2011, respectively, and $188 million and $128 million for the nine months ended September 2012 and September 2011, respectively; charitable contributions of $12 million and $25 million for the nine months ended September 2012 and September 2011, respectively; and real estate-related exit costs of $1 million and $11 million for the three months ended September 2012 and September 2011, respectively, and $4 million and $11 million for the nine months ended September 2012 and September 2011, respectively.

92 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 26.

Credit Concentrations

Credit concentrations may arise from market making, client facilitation, investing, underwriting, lending and collateralized transactions and may be impacted by changes in economic, industry or political factors. The firm seeks to mitigate credit risk by actively monitoring exposures and obtaining collateral from counterparties as deemed appropriate.

While the firm’s activities expose it to many different industries and counterparties, the firm routinely executes a high volume of transactions with asset managers, investment funds, commercial banks, brokers and dealers, clearing houses and exchanges, which results in significant credit concentrations.

In the ordinary course of business, the firm may also be subject to a concentration of credit risk to a particular counterparty, borrower or issuer, including sovereign issuers, or to a particular clearing house or exchange.

The table below presents the credit concentrations in assets held by the firm. As of September 2012 and December 2011, the firm did not have credit exposure to any other counterparty that exceeded 2% of total assets.

	As of
$ in millions		September 2012		December 2011
U.S. government and federal agency obligations 1		$116,426		$103,468
% of total assets		12.3	%	11.2	%
Non-U.S. government and agency obligations 1, 2		$  62,952		$  49,025
% of total assets		6.6	%	5.3	%

1. Included in “Financial instruments owned, at fair value” and “Cash and securities segregated for regulatory and other purposes.”

2. Principally related to Germany, Japan and the United Kingdom as of both September 2012 and December 2011.

To reduce credit exposures, the firm may enter into agreements with counterparties that permit the firm to offset receivables and payables with such counterparties and/or enable the firm to obtain collateral on an upfront or contingent basis. Collateral obtained by the firm related to derivative assets is principally cash and is held by the firm or a third-party custodian. Collateral obtained by the firm related to resale agreements and securities borrowed transactions is primarily U.S. government and federal agency obligations and Non-U.S. government and agency obligations. See Note 9 for further information about collateralized agreements and financings.

The table below presents U.S. government and federal agency obligations, and Non-U.S. government and agency obligations that collateralize resale agreements and securities borrowed transactions (including those in “Cash and securities segregated for regulatory and other purposes”). Because the firm’s primary credit exposure on such transactions is to the counterparty to the transaction, the firm would be exposed to the collateral issuer only in the event of counterparty default.

	As of
in millions		September 2012	December 2011
U.S. government and federal agency obligations		$69,330	$  94,603
Non-U.S. government and agency obligations 1		90,930	110,178

1. Principally consisting of securities issued by the governments of Germany and France.

Goldman Sachs September 2012 Form 10-Q 93

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Note 27.

Legal Proceedings

The firm is involved in a number of judicial, regulatory and arbitration proceedings (including those described below) concerning matters arising in connection with the conduct of the firm’s businesses. Many of these proceedings are in early stages, and many of these cases seek an indeterminate amount of damages.

Under ASC 450 an event is “reasonably possible” if “the chance of the future event or events occurring is more than remote but less than likely” and an event is “remote” if “the chance of the future event or events occurring is slight.” Thus, references to the upper end of the range of reasonably possible loss for cases in which the firm is able to estimate a range of reasonably possible loss mean the upper end of the range of loss for cases for which the firm believes the risk of loss is more than slight. The amounts reserved against such matters are not significant as compared to the upper end of the range of reasonably possible loss.

With respect to proceedings described below for which management has been able to estimate a range of reasonably possible loss where (i) plaintiffs have claimed an amount of money damages, (ii) the firm is being sued by purchasers in an underwriting and is not being indemnified by a party that the firm believes will pay any judgment, or (iii) the purchasers are demanding that the firm repurchase securities, management has estimated the upper end of the range of reasonably possible loss as being equal to (a) in the case of (i), the amount of money damages claimed, (b) in the case of (ii), the amount of securities that the firm sold in the underwritings and (c) in the case of (iii), the price that purchasers paid for the securities less the estimated value, if any, as of September 2012 of the relevant securities, in each of cases (i), (ii) and (iii), taking into account any factors believed to be relevant to the particular proceeding or proceedings of that type. As of the date hereof, the firm has estimated the upper end of the range of reasonably possible aggregate loss for such proceedings and for any other proceedings described below where management has been able to estimate a range of reasonably possible aggregate loss to be approximately $3.6 billion.

Management is generally unable to estimate a range of reasonably possible loss for proceedings other than those included in the estimate above, including where (i) plaintiffs have not claimed an amount of money damages, unless management can otherwise determine an appropriate amount, (ii) the proceedings are in early stages, (iii) there is uncertainty as to the likelihood of a class being certified or the ultimate size of the class, (iv) there is uncertainty as to the outcome of pending appeals or motions, (v) there are significant factual issues to be resolved, and/or (vi) there are novel legal issues presented. However, for these cases, management does not believe, based on currently available information, that the outcomes of such proceedings will have a material adverse effect on the firm’s financial condition, though the outcomes could be material to the firm’s operating results for any particular period, depending, in part, upon the operating results for such period.

IPO Process Matters. Group Inc. and GS&Co. are among the numerous financial services companies that have been named as defendants in a variety of lawsuits alleging improprieties in the process by which those companies participated in the underwriting of public offerings.

GS&Co. has been named as a defendant in an action commenced on May 15, 2002 in New York Supreme Court, New York County, by an official committee of unsecured creditors on behalf of eToys, Inc., alleging that the firm intentionally underpriced eToys, Inc.’s initial public offering. The action seeks, among other things, unspecified compensatory damages resulting from the alleged lower amount of offering proceeds. On appeal from rulings on GS&Co.’s motion to dismiss, the New York Court of Appeals dismissed claims for breach of contract, professional malpractice and unjust enrichment, but permitted claims for breach of fiduciary duty and fraud to continue. On remand, the lower court granted GS&Co.’s motion for summary judgment and, on December 8, 2011, the appellate court affirmed the lower court’s decision. On September 6, 2012, the New York Court of Appeals granted the creditors’ motion for leave to appeal.

Group Inc. and certain of its affiliates have, together with various underwriters in certain offerings, received subpoenas and requests for documents and information from various governmental agencies and self-regulatory organizations in connection with investigations relating to the public offering process. Goldman Sachs has cooperated with these investigations.

94 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

World Online Litigation. In March 2001, a Dutch shareholders’ association initiated legal proceedings for an unspecified amount of damages against GSI and others in Amsterdam District Court in connection with the initial public offering of World Online in March 2000, alleging misstatements and omissions in the offering materials and that the market was artificially inflated by improper public statements and stabilization activities. Goldman Sachs and ABN AMRO Rothschild served as joint global coordinators of the approximately €2.9 billion offering. GSI underwrote 20,268,846 shares and GS&Co. underwrote 6,756,282 shares for a total offering price of approximately €1.16 billion.

The district court rejected the claims against GSI and ABN AMRO, but found World Online liable in an amount to be determined. On appeal, the Netherlands Court of Appeals affirmed in part and reversed in part the decision of the district court, holding that certain of the alleged disclosure deficiencies were actionable as to GSI and ABN AMRO. On further appeal, the Netherlands Supreme Court affirmed the rulings of the Court of Appeals, except that it found certain additional aspects of the offering materials actionable and held that individual investors could potentially hold GSI and ABN AMRO responsible for certain public statements and press releases by World Online and its former CEO. The parties entered into a definitive settlement agreement, dated July 15, 2011, and GSI has paid the full amount of its proposed contribution. In the first quarter of 2012, GSI entered into a settlement agreement, subject to certain conditions, with respect to a claim filed by another shareholders’ association relating to approximately €4 million of World Online shares. Other shareholders have made demands for compensation of alleged damages, and GSI and other syndicate members are discussing the possibility of settlement with certain of these shareholders.

Research Matters. Group Inc. and certain of its affiliates are subject to a number of investigations and reviews by   various  governmental   and   regulatory   bodies and self-regulatory organizations relating to research practices, including, among other things, research analysts’ methods for obtaining receipt and distribution of information and communications among research analysts, sales and trading personnel and clients.

Adelphia Communications Fraudulent Conveyance Litigation. GS&Co. is named as a defendant in two proceedings commenced in the U.S. Bankruptcy Court for the Southern District of New York, one on July 6, 2003 by a creditors committee, and the second on or about July 31, 2003 by an equity committee of Adelphia Communications, Inc. Those proceedings were consolidated in a single amended complaint filed by the Adelphia Recovery Trust on October 31, 2007. The complaint seeks, among other things, to recover, as fraudulent conveyances, approximately $62.9 million allegedly paid to GS&Co. by Adelphia Communications, Inc. and its affiliates in respect of margin calls made in the ordinary course of business on accounts owned by members of the family that formerly controlled Adelphia Communications, Inc. The district court assumed jurisdiction over the action and, on April 8, 2011, granted GS&Co.’s motion for summary judgment. The plaintiff appealed on May 6, 2011.

Goldman Sachs September 2012 Form 10-Q 95

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Specialist Matters. Spear, Leeds & Kellogg Specialists LLC (SLKS) and certain affiliates have received requests for information from various governmental agencies and self-regulatory organizations as part of an industry-wide investigation relating to activities of floor specialists in recent years. Goldman Sachs has cooperated with the requests.

On March 30, 2004, certain specialist firms on the NYSE, including SLKS, without admitting or denying the allegations, entered into a final global settlement with the SEC and the NYSE covering certain activities during the years 1999 through 2003. The SLKS settlement involves, among other things, (i) findings by the SEC and the NYSE that SLKS violated certain federal securities laws and NYSE rules, and in some cases failed to supervise certain individual specialists, in connection with trades that allegedly disadvantaged customer orders, (ii) a cease and desist order against SLKS, (iii) a censure of SLKS, (iv) SLKS’ agreement to pay an aggregate of $45.3 million in disgorgement and a penalty to be used to compensate customers, (v) certain undertakings with respect to SLKS’ systems and procedures, and (vi) SLKS’ retention of an independent consultant to review and evaluate certain of SLKS’ compliance systems, policies and procedures. Comparable findings were made and sanctions imposed in the settlements with other specialist firms. The settlement did not resolve the related private civil actions against SLKS and other firms or regulatory investigations involving individuals or conduct on other exchanges. On May 26, 2011, the SEC issued an order directing the undistributed settlement funds to be transferred to the U.S. Treasury; the funds will accordingly not be allocated to any settlement fund for the civil actions described below.

SLKS, Spear, Leeds & Kellogg, L.P. and Group Inc. are among numerous defendants named in purported class actions brought beginning in October 2003 on behalf of investors in the U.S. District Court for the Southern District of New York alleging violations of the federal securities laws and state common law in connection with NYSE floor specialist activities. The actions, which have been consolidated, seek unspecified compensatory damages, restitution and disgorgement on behalf of purchasers and sellers of unspecified securities between October 17, 1998 and October 15, 2003. By a decision dated March 14, 2009, the district court granted plaintiffs’ motion for class certification. The defendants’ petition with the U.S. Court of Appeals for the Second Circuit seeking review of the certification ruling was denied, and the specialist defendants’ petition for a rehearing and/or rehearing en banc was denied on February 24, 2010. On October 24, 2012, the parties entered into a definitive settlement agreement, subject to court approval. The firm has reserved the full amount of its proposed contribution to the settlement.

Fannie Mae Litigation. GS&Co. was added as a defendant in an amended complaint filed on August 14, 2006 in a purported class action pending in the U.S. District Court for the District of Columbia. The complaint asserts violations of the federal securities laws generally arising from allegations concerning Fannie Mae’s accounting practices in connection with certain Fannie Mae-sponsored REMIC transactions that were allegedly arranged by GS&Co. The complaint does not specify a dollar amount of damages. The other defendants include Fannie Mae, certain of its past and present officers and directors, and accountants. By a decision dated May 8, 2007, the district court granted GS&Co.’s motion to dismiss the claim against it. The time for an appeal will not begin to run until disposition of the claims against other defendants. A motion to stay the action filed by the Federal Housing Finance Agency (FHFA), which took control of the foregoing action following Fannie Mae’s conservatorship, was denied on November 14, 2011.

96 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Compensation-Related Litigation. On January 17, 2008, Group Inc., its Board, executive officers and members of its management committee were named as defendants in a purported shareholder derivative action in the U.S. District Court for the Eastern District of New York predicting that the firm’s 2008 Proxy Statement would violate the federal securities laws by undervaluing certain stock option awards and alleging that senior management received excessive compensation for 2007. The complaint seeks, among other things, an equitable accounting for the allegedly excessive compensation. Plaintiff’s motion for a preliminary injunction to prevent the 2008 Proxy Statement from using options valuations that the plaintiff alleges are incorrect and to require the amendment of SEC Form 4s filed by certain of the executive officers named in the complaint to reflect the stock option valuations alleged by the plaintiff was denied, and plaintiff’s appeal from this denial was dismissed. On February 13, 2009, the plaintiff filed an amended complaint, which added purported direct (i.e., non-derivative) claims based on substantially the same theory. The plaintiff filed a further amended complaint on March 24, 2010, and the defendants’ motion to dismiss this further amended complaint was granted on the ground that dismissal of the shareholder plaintiff’s prior action relating to the firm’s 2007 Proxy Statement based on the failure to make a demand to the Board precluded relitigation of demand futility. On December 19, 2011, the appellate court vacated the order of dismissal, holding only that preclusion principles did not mandate dismissal and remanding for consideration of the alternative grounds for dismissal. On April 18, 2012, plaintiff disclosed that he no longer is a Group Inc. shareholder and thus lacks standing to continue to prosecute the action, as well as the New York state action described below.

On March 24, 2009, the same plaintiff filed an action in New York Supreme Court, New York County against Group Inc., its directors and certain senior executives alleging violation of Delaware statutory and common law in connection with substantively similar allegations regarding stock option awards. On January 7, 2011, the plaintiff filed an amended complaint. Defendants moved to dismiss the amended complaint, and the parties subsequently agreed to stay the state court action pending the final resolution of the appeal from the dismissal of the federal court action in respect of the firm’s 2008 Proxy Statement described above, as well as any remanded proceedings further adjudicating defendants’ motion to dismiss.

Goldman Sachs September 2012 Form 10-Q 97

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Mortgage-Related Matters. On April 16, 2010, the SEC brought an action (SEC Action) under the U.S. federal securities laws in the U.S. District Court for the Southern District of New York against GS&Co. and Fabrice Tourre, one of its employees, in connection with a CDO offering made in early 2007 (ABACUS 2007-AC1 transaction), alleging that the defendants made materially false and misleading statements to investors and seeking, among other things, unspecified monetary penalties. Investigations of GS&Co. by FINRA and of GSI by the FSA were subsequently initiated, and Group Inc. and certain of its affiliates have received subpoenas and requests for information from other regulators, regarding CDO offerings, including the ABACUS 2007-AC1 transaction, and related matters.

On July 14, 2010, GS&Co. entered into a consent agreement with the SEC, settling all claims made against GS&Co. in the SEC Action (SEC Settlement), pursuant to which GS&Co. paid $550 million of disgorgement and civil penalties, and which was approved by the U.S. District Court for the Southern District of New York on July 20, 2010.

On January 6, 2011, ACA Financial Guaranty Corp. filed an action against GS&Co. in respect of the ABACUS 2007-AC1 transaction in New York Supreme Court, New York County. The complaint includes allegations of fraudulent inducement, fraudulent concealment and unjust enrichment and seeks at least $30 million in compensatory damages, at least $90 million in punitive damages and unspecified disgorgement. On April 25, 2011, the plaintiff filed an amended complaint and, on June 3, 2011, GS&Co. moved to dismiss the amended complaint. By a decision dated April 23, 2012, the court granted the motion to dismiss as to the unjust enrichment claim and denied the motion as to the other claims, and on May 29, 2012, GS&Co. appealed the decision to the extent that its motion was denied and filed counterclaims for breach of contract and fraudulent inducement, and third-party claims against ACA Management, LLC for breach of contract, unjust enrichment and indemnification. ACA Financial Guaranty Corp. and ACA Management, LLC moved to dismiss GS&Co.’s counterclaims and third-party claims on August 31, 2012.

Since July 1, 2011, two putative shareholder derivative actions have been filed in the U.S. District Court for the Southern District of New York against Group Inc., the Board and certain officers and employees of Group Inc. and Litton in connection with the servicing of residential mortgage loans and other mortgage-related activities beginning in January 2009. The complaints generally include allegations of breach of fiduciary duty, waste, abuse of control, and mismanagement and seek, among other things, declaratory relief, unspecified damages and certain governance reforms. The district court consolidated the actions, and, on December 20, 2011, the plaintiffs filed a consolidated amended complaint. On August 14, 2012, the district court dismissed all of the plaintiffs’ claims and the time to appeal has run.

In addition, the Board has received books and records demands from several shareholders for materials relating to, among other subjects, the firm’s mortgage servicing and foreclosure activities, participation in federal programs providing assistance to financial institutions and homeowners, loan sales to Fannie Mae and Freddie Mac, mortgage-related activities and conflicts management.

Since April 23, 2010, the Board has received letters from shareholders demanding that the Board take action to address alleged misconduct by GS&Co., the Board and certain officers and employees of Group Inc. and its affiliates. These demands, which the Board has rejected, generally alleged misconduct in connection with the firm’s securitization practices, including the ABACUS 2007-AC1 transaction, the alleged failure by Group Inc. to adequately disclose the SEC investigation that led to the SEC Action, and Group Inc.’s 2009 compensation practices. An additional demand that the Board investigate and take action was received from another shareholder in June 2012, relating to the firm’s mortgage-related activities and to stock sales by certain directors and executives of the firm.

98 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

In addition, beginning April 26, 2010, a number of purported securities law class actions have been filed in the U.S. District Court for the Southern District of New York challenging the adequacy of Group Inc.’s public disclosure of, among other things, the firm’s activities in the CDO market and the SEC investigation that led to the SEC Action. The purported class action complaints, which name as defendants Group Inc. and certain officers and employees of Group Inc. and its affiliates, have been consolidated, generally allege violations of Sections 10(b) and 20(a) of the Exchange Act and seek unspecified damages. Plaintiffs filed a consolidated amended complaint on July 25, 2011. On October 6, 2011, the defendants moved to dismiss, and by a decision dated June 21, 2012, the district court dismissed the claims based on Group Inc.’s not disclosing that it had received a “Wells” notice from the staff of the SEC related to the ABACUS 2007-AC1 transaction, but permitted the plaintiffs’ other claims to proceed.

GS&Co., Goldman Sachs Mortgage Company (GSMC) and GS Mortgage Securities Corp. (GSMSC) and three current or former Goldman Sachs employees are defendants in a putative class action commenced on December 11, 2008 in the U.S. District Court for the Southern District of New York brought on behalf of purchasers of various mortgage pass-through certificates and asset-backed certificates issued by various securitization trusts established by the firm and underwritten by GS&Co. in 2007. The complaint generally alleges that the registration statement and prospectus supplements for the certificates violated the federal securities laws, and seeks unspecified compensatory damages and rescission or rescissionary damages. The defendants’ motion to dismiss the second amended complaint was granted with leave to replead certain claims. On March 31, 2010, the plaintiff filed a third amended complaint relating to two offerings, which the defendants moved to dismiss. This motion to dismiss was

denied as to the plaintiff’s Section 12(a)(2) claims and granted as to the plaintiff’s Section 11 claims, and the plaintiff’s motion for reconsideration was denied. The plaintiff filed a motion for entry of final judgment or certification of an interlocutory appeal as to plaintiff’s Section 11 claims, which was denied. The plaintiff then filed a motion for leave to amend to reinstate the damages claims based on allegations that it had sold its securities, which was denied. On May 5, 2011, the court granted plaintiff’s motion for entry of a final judgment dismissing all its claims. The plaintiff appealed from the dismissal with respect to all 17 of the offerings included in its original complaint. By a decision dated September 6, 2012, the U.S. Court of Appeals for the Second Circuit affirmed the district court’s dismissal of plaintiff’s claims with respect to 10 of the offerings included in plaintiff’s original complaint but vacated the dismissal and remanded the case to the district court with instructions to reinstate the plaintiff’s claims with respect to the other seven offerings. On October 26, 2012, the defendants filed a petition for certiorari with the U.S. Supreme Court seeking review of the Second Circuit decision. On October 31, 2012, the plaintiff served defendants with a fourth amended complaint relating to those seven offerings, plus seven additional offerings. On June 3, 2010, another investor (who had unsuccessfully sought to intervene in the action) filed a separate putative class action asserting substantively similar allegations relating to an additional offering pursuant to the 2007 registration statement. The district court twice granted defendants’ motions to dismiss this separate action, both times with leave to replead. On July 9, 2012, that separate plaintiff filed a second amended complaint, and the defendants moved to dismiss on September 21, 2012. The securitization trusts issued, and GS&Co. underwrote, approximately $11 billion principal amount of certificates to all purchasers in the fourteen offerings at issue in the initial plaintiff’s fourth amended complaint and the one offering at issue in the separate plaintiff’s second amended complaint.

Goldman Sachs September 2012 Form 10-Q 99

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Group Inc., GS&Co., GSMC and GSMSC are among the defendants in a separate putative class action commenced on February 6, 2009 in the U.S. District Court for the Southern District of New York brought on behalf of purchasers of various mortgage pass-through certificates and asset-backed certificates issued by various securitization trusts established by the firm and underwritten by GS&Co. in 2006. The other original defendants include three current or former Goldman Sachs employees and various rating agencies. The second amended complaint generally alleges that the registration statement and prospectus supplements for the certificates violated the federal securities laws, and seeks unspecified compensatory and rescissionary damages. Defendants moved to dismiss the second amended complaint. On January 12, 2011, the district court granted the motion to dismiss with respect to offerings in which plaintiff had not purchased securities as well as all claims against the rating agencies, but denied the motion to dismiss with respect to a single offering in which the plaintiff allegedly purchased securities. These trusts issued, and GS&Co. underwrote, approximately $698 million principal amount of certificates to all purchasers in the offerings at issue in the complaint (excluding those offerings for which the claims have been dismissed). On February 2, 2012, the district court granted the plaintiff’s motion for class certification and on June 13, 2012, the U.S. Court of Appeals for the Second Circuit granted defendants’ petition to review that ruling. On July 31, 2012, the parties reached a settlement, subject to court approval. The firm has paid the full amount of the proposed settlement into an escrow account.

On September 30, 2010, a putative class action was filed in the U.S. District Court for the Southern District of New York against GS&Co., Group Inc. and two former GS&Co. employees on behalf of investors in $821 million of notes issued in 2006 and 2007 by two synthetic CDOs (Hudson Mezzanine 2006-1 and 2006-2). The complaint, which was amended on February 4, 2011, asserts federal securities law and common law claims, and seeks unspecified compensatory, punitive and other damages. The defendants moved to dismiss on April 5, 2011, and the motion was granted as to plaintiff’s claim of market manipulation and denied as to the remainder of plaintiff’s claims by a decision dated March 21, 2012. On May 21, 2012, the defendants counterclaimed for breach of contract and fraud.

GS&Co., GSMC and GSMSC are among the defendants in a lawsuit filed in August 2011 by CIFG Assurance of North America, Inc. (CIFG) in the New York Supreme Court. The complaint alleges that CIFG was fraudulently induced to provide credit enhancement for a 2007 securitization sponsored by GSMC, and seeks, among other things, the repurchase of $24.7 million in aggregate principal amount of mortgages that CIFG had previously stated to be non-conforming, an accounting for any proceeds associated with mortgages discharged from the securitization and unspecified compensatory damages. On October 17, 2011, the Goldman Sachs defendants moved to dismiss. By a decision dated May 1, 2012, the court dismissed the fraud and accounting claims but denied the motion as to certain breach of contract claims that were also alleged. On June 6, 2012, the Goldman Sachs defendants filed counterclaims for breach of contract. In addition, the parties have each appealed the court’s May 1, 2012 decision to the extent adverse. The parties have been ordered to mediate, and proceedings in the trial court have been stayed pending mediation.

Various alleged purchasers of, and counterparties involved in transactions relating to, mortgage pass-through certificates, CDOs and other mortgage-related products (including certain Allstate affiliates, Basis Yield Alpha Fund (Master), Bayerische Landesbank, Cambridge Place Investment Management Inc., the Charles Schwab Corporation, Deutsche Zentral-Genossenschaftbank, the FDIC (as receiver for Guaranty Bank), the Federal Home Loan Banks of Boston, Chicago, Indianapolis and Seattle, the FHFA (as conservator for Fannie Mae and Freddie Mac), Heungkuk Life Insurance Co. Limited (Heungkuk), HSH Nordbank, IKB Deutsche Industriebank AG, Landesbank Baden-Württemberg, Massachusetts Mutual Life Insurance Company, MoneyGram Payment Systems, Inc., the National Credit Union Administration, Phoenix Light SF Limited and related parties, Prudential Insurance Company of America and related parties, Sealink Funding Limited, Stichting Pensioenfonds ABP, The Union Central Life Insurance Company, Ameritas Life Insurance Corp., Acacia Life Insurance Company, Watertown Savings Bank, The Western and Southern Life Insurance Co., John Hancock and related parties, and Royal Park Investments SA/NV) have filed complaints in state and federal court or initiated arbitration proceedings against firm affiliates, generally alleging that the offering documents for the securities that they purchased contained untrue statements of material facts and material omissions and generally seeking rescission and/or damages. Certain of these complaints allege fraud and seek punitive damages. Certain of these complaints also name other firms as defendants.

100 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

A number of other entities (including American International Group, Inc. (AIG), Deutsche Bank National Trust Company, John Hancock and related parties, M&T Bank and Norges Bank Investment Management) have threatened to assert claims of various types against the firm in connection with various mortgage-related transactions, and the firm has entered into agreements with a number of these entities to toll the relevant statute of limitations.

As of the date hereof, the aggregate notional amount of mortgage-related securities sold to plaintiffs in active cases brought against the firm where those plaintiffs are seeking rescission of such securities was approximately $20.1 billion (which does not reflect adjustment for any subsequent paydowns or distributions or any residual value of such securities, statutory interest or any other adjustments that may be claimed). This amount does not include the threatened claims noted above, potential claims by these or other purchasers in the same or other mortgage-related offerings that have not actually been brought against the firm, or claims that have been dismissed.

In June 2011, Heungkuk filed a criminal complaint against certain past and present employees of the firm in South Korea relating to its purchase of a CDO securitization from Goldman Sachs. The filing does not represent any judgment by a governmental entity, but starts a process whereby the prosecutor investigates the complaint and determines whether to take action.

On September 1, 2011, Group Inc. and GS Bank USA entered into a Consent Order with the Federal Reserve Board relating to the servicing of residential mortgage loans. In addition, on September 1, 2011, GS Bank USA entered into an Agreement on Mortgage Servicing Practices with the New York State Department of Financial Services, Litton and Ocwen, in connection with which Group Inc. agreed to forgive 25% of the unpaid principal balance on certain delinquent first lien residential mortgage loans owned by Group Inc. or a subsidiary, totaling approximately $13 million in principal forgiveness. See Note 18 for further information about these settlements.

Group Inc., GS&Co. and GSMC are among the numerous financial services firms named as defendants in a qui tam action originally filed by a relator on April 7, 2010 purportedly on behalf of the City of Chicago and State of Illinois in Cook County, Illinois Circuit Court asserting claims under the Illinois Whistleblower Reward and Protection Act and Chicago False Claims Act, based on allegations that defendants had falsely certified compliance with various Illinois laws, which were purportedly violated in connection with mortgage origination and servicing activities. The complaint, which was originally filed under seal, seeks treble damages and civil penalties. Plaintiff filed an amended complaint on December 28, 2011, naming GS&Co. and GSMC, among others, as additional defendants and a second amended complaint on February 8, 2012. On March 12, 2012, the action was removed to the U.S. District Court for the Northern District of Illinois, and on September 17, 2012 the district court granted the plaintiff’s motion to remand the action to state court.

The firm has also received, and continues to receive, requests for information and/or subpoenas from federal, state and local regulators and law enforcement authorities, relating to the mortgage-related securitization process, subprime mortgages, CDOs, synthetic mortgage-related products, particular transactions involving these products, and servicing and foreclosure activities, and is cooperating with these regulators and other authorities, including in some cases agreeing to the tolling of the relevant statute of limitations. See also “Financial Crisis-Related Matters” below.

The firm expects to be the subject of additional putative shareholder derivative actions, purported class actions, rescission and “put back” claims and other litigation, additional investor and shareholder demands, and additional regulatory and other investigations and actions with respect to mortgage-related offerings, loan sales, CDOs, and servicing and foreclosure activities. See Note 18 for further information regarding mortgage-related contingencies.

Goldman Sachs September 2012 Form 10-Q 101

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Private Equity-Sponsored Acquisitions Litigation. Group Inc. and “GS Capital Partners” are among numerous private equity firms and investment banks named as defendants in a federal antitrust action filed in the U.S. District Court for the District of Massachusetts in December 2007. As amended, the complaint generally alleges that the defendants have colluded to limit competition in bidding for private equity-sponsored acquisitions of public companies, thereby resulting in lower prevailing bids and, by extension, less consideration for shareholders of those companies in violation of Section 1 of the U.S. Sherman Antitrust Act and common law. The complaint seeks, among other things, treble damages in an unspecified amount. Defendants moved to dismiss on August 27, 2008. The district court dismissed claims relating to certain transactions that were the subject of releases as part of the settlement of shareholder actions challenging such transactions, and by an order dated December 15, 2008 otherwise denied the motion to dismiss. On April 26, 2010, the plaintiffs moved for leave to proceed with a second phase of discovery encompassing additional transactions. On August 18, 2010, the court permitted discovery on eight additional transactions, and the plaintiffs filed a fourth amended complaint on October 7, 2010. On January 13, 2011, the court granted defendants’ motion to dismiss certain aspects of the fourth amended complaint. On March 1, 2011, the court granted the motion filed by certain defendants, including Group Inc., to dismiss another claim of the fourth amended complaint on the grounds that the transaction was the subject of a release as part of the settlement of a shareholder action challenging the transaction. On June 14, 2012, the plaintiffs filed a fifth amended complaint encompassing additional transactions. On July 18, 2012, the court granted defendants’ motion to dismiss certain newly asserted claims on the grounds that certain transactions are subject to releases as part of settlements of shareholder actions challenging those transactions, and denied defendants’ motion to dismiss certain additional claims as time-barred. On July 23, 2012, the defendants filed motions for summary judgment.

IndyMac Pass-Through Certificates Litigation. GS&Co. is among numerous underwriters named as defendants in a putative securities class action filed on May 14, 2009 in the U.S. District Court for the Southern District of New York. As to the underwriters, plaintiffs allege that the offering documents in connection with various securitizations of mortgage-related assets violated the disclosure requirements of the federal securities laws. The defendants include IndyMac-related entities formed in connection with the securitizations, the underwriters of the offerings, certain ratings agencies which evaluated the credit quality of the securities, and certain former officers and directors of IndyMac affiliates. On November 2, 2009, the underwriters moved to dismiss the complaint. The motion was granted in part on February 17, 2010 to the extent of dismissing claims based on offerings in which no plaintiff purchased, and the court reserved judgment as to the other aspects of the motion. By a decision dated June 21, 2010, the district court formally dismissed all claims relating to offerings in which no named plaintiff purchased certificates (including all offerings underwritten by GS&Co.), and both granted and denied the defendants’ motions to dismiss in various other respects. On October 12, 2012, the plaintiffs filed a motion seeking reinstatement of claims relating to 42 offerings previously dismissed for lack of standing. GS&Co. was a co-underwriter for one of the 42 offerings; however, the plaintiffs’ motion does not seek to add GS&Co. as a defendant. On May 17, 2010, four additional investors filed a motion seeking to intervene in order to assert claims based on additional offerings (including two underwritten by GS&Co.). The defendants opposed the motion on the ground that the putative intervenors’ claims were time-barred and, on June 21, 2011, the court denied the motion to intervene with respect to, among others, the claims based on the offerings underwritten by GS&Co. Certain of the putative intervenors (including those seeking to assert claims based on two offerings underwritten by GS&Co.) have appealed.

GS&Co. underwrote approximately $751 million principal amount of securities to all purchasers in the offerings at issue in the May 2010 motion to intervene. On July 11, 2008, IndyMac Bank was placed under an FDIC receivership, and on July 31, 2008, IndyMac Bancorp, Inc. filed for Chapter 7 bankruptcy in the U.S. Bankruptcy Court in Los Angeles, California.

102 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

RALI Pass-Through Certificates Litigation. GS&Co. is among numerous underwriters named as defendants in a putative securities class action initially filed in September 2008 in New York Supreme Court, and subsequently removed to the U.S. District Court for the Southern District of New York. As to the underwriters, plaintiffs allege that the offering documents in connection with various offerings of mortgage-backed pass-through certificates violated the disclosure requirements of the federal securities laws. In addition to the underwriters, the defendants include Residential Capital, LLC (ResCap), Residential Accredit Loans, Inc. (RALI), Residential Funding Corporation (RFC), Residential Funding Securities Corporation (RFSC), and certain of their officers and directors. On March 31, 2010, the defendants’ motion to dismiss was granted in part and denied in part by the district court, resulting in dismissal on the basis of standing of all claims relating to offerings in which no plaintiff purchased securities. In June and July 2010, the lead plaintiff and five additional investors moved to intervene in order to assert claims based on additional offerings (including two underwritten by GS&Co.). On April 28, 2011, the court granted defendants’ motion to dismiss as to certain of these claims (including those relating to one offering underwritten by GS&Co. based on a release in an unrelated settlement), but otherwise permitted the intervenor case to proceed. Class certification of the claims based on the pre-intervention offerings was initially denied by the district court, and that denial was upheld on appeal; however, following remand, on October 15, 2012, the district court certified a class in connection with the pre-intervention offerings. The certified class consists of investors “who bought the securities on the date of offering directly from the issuers.” On November 5, 2012, the defendants sought leave from the U.S. Court of Appeals to appeal the certification order.

GS&Co. underwrote approximately $1.28 billion principal amount of securities to all purchasers in the offerings for which claims have not been dismissed. On May 14, 2012, ResCap, RALI and RFC filed for Chapter 11 bankruptcy in the U.S. Bankruptcy Court for the Southern District of New York and the action has been stayed with respect to them, RFSC and certain of their officers and directors.

MF Global Securities Litigation. GS&Co. is among numerous underwriters named as defendants in class action complaints filed in the U.S. District Court for the Southern District of New York commencing November 18, 2011. These complaints generally allege that the offering materials for two offerings of MF Global Holdings Ltd. convertible notes (aggregating approximately $575 million in principal amount) in February 2011 and July 2011, among other things, failed to describe adequately the nature, scope and risks of MF Global’s exposure to European sovereign debt, in violation of the disclosure requirements of the federal securities laws. On August 20, 2012, the plaintiffs filed a consolidated amended complaint and on October 19, 2012, the defendants filed a motion to dismiss the amended complaint. GS&Co. underwrote an aggregate principal amount of approximately $214 million of the notes. On October 31, 2011, MF Global Holdings Ltd. filed for Chapter 11 bankruptcy in the U.S. Bankruptcy Court in Manhattan, New York.

GS&Co. has also received inquiries from various governmental and regulatory bodies and self-regulatory organizations concerning certain transactions with MF Global prior to its bankruptcy filing. Goldman Sachs is cooperating with all such inquiries.

Goldman Sachs September 2012 Form 10-Q 103

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Employment-Related Matters. On September 15, 2010, a putative class action was filed in the U.S. District for the Southern District of New York by three former female employees alleging that Group Inc. and GS&Co. have systematically discriminated against female employees in respect of compensation, promotion, assignments, mentoring and performance evaluations. The complaint alleges a class consisting of all female employees employed at specified levels by Group Inc. and GS&Co. since July 2002, and asserts claims under federal and New York City discrimination laws. The complaint seeks class action status, injunctive relief and unspecified amounts of compensatory, punitive and other damages. Group Inc. and GS&Co. filed a motion to stay the claims of one of the named plaintiffs and to compel individual arbitration with that individual, based on an arbitration provision contained in an employment agreement between Group Inc. and the individual. On April 28, 2011, the magistrate judge to whom the district judge assigned the motion denied the motion. On July 7, 2011, the magistrate judge denied Group Inc.’s and GS&Co.’s motion for reconsideration of the magistrate judge’s decision, and on July 21, 2011 Group Inc. and GS&Co. appealed the magistrate judge’s decision to the district court, which affirmed the decision on November 15, 2011. Group Inc. and GS&Co. have appealed that decision to the U.S. Court of Appeals for the Second Circuit. On June 13, 2011, Group Inc. and GS&Co. moved to strike the class allegations of one of the three named plaintiffs based on her failure to exhaust administrative remedies. On September 29, 2011, the magistrate judge recommended denial of the motion to strike and Group Inc. and GS&Co. filed their objections to that recommendation with the district judge presiding over the case on October 11, 2011. By a decision dated January 10, 2012, the district court denied the motion to strike. On July 22, 2011, Group Inc. and GS&Co. moved to strike all of the plaintiffs’ class allegations, and for partial summary judgment as to plaintiffs’ disparate impact claims. By a decision dated January 19, 2012, the magistrate judge recommended that defendants’ motion be denied as premature. The defendants filed objections to that recommendation with the district judge and on July 17, 2012, the district court issued a decision granting in part Group Inc.’s and GS&Co.’s motion to strike plaintiffs’ class allegations on the ground that plaintiffs lacked standing to pursue certain equitable remedies and denying in part Group Inc.’s and GS&Co.’s motion to strike plaintiffs’ class allegations in their entirety as premature.

Hellenic Republic (Greece) Matters. Group Inc. and certain of its affiliates have been subject to a number of investigations and reviews by various governmental and regulatory bodies and self-regulatory organizations in connection with the firm’s transactions with the Hellenic Republic (Greece), including financing and swap transactions, as well as trading and research activities with respect to Greek sovereign debt. Goldman Sachs has cooperated with the investigations and reviews.

Investment Management Services. Group Inc. and certain of its affiliates are parties to various civil litigation and arbitration proceedings and other disputes with clients relating to losses allegedly sustained as a result of the firm’s investment management services. These claims generally seek, among other things, restitution or other compensatory damages and, in some cases, punitive damages. In addition, Group Inc. and its affiliates are subject from time to time to investigations and reviews by various governmental and regulatory bodies and self-regulatory organizations in connection with the firm’s investment management services. Goldman Sachs is cooperating with all such investigations and reviews.

Goldman Sachs Asset Management International (GSAMI) is the defendant in an action filed on July 9, 2012 with the High Court of Justice in London by certain entities representing Vervoer, a Dutch pension fund, alleging that GSAMI was negligent in performing its duties as investment manager in connection with the allocation of the plaintiffs’ funds among asset managers in accordance with asset allocations provided by plaintiffs and that GSAMI breached its contractual and common law duties to the plaintiffs. Specifically, plaintiffs allege that GSAMI provided inadequate disclosure, caused their assets to be invested in unsuitable products for an extended period, thereby causing in excess of €81 million in losses, and caused them to be under-exposed for a period of time to certain other investments that performed well, thereby resulting in foregone potential gains. The plaintiffs are seeking unspecified monetary damages. On November 2, 2012, GSAMI served its defense to the allegations.

104 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Financial Advisory Services. Group Inc. and certain of its affiliates are parties to various civil litigation and arbitration proceedings and other disputes with clients and third parties relating to the firm’s financial advisory activities. These claims generally seek, among other things, compensatory damages and, in some cases, punitive damages, and in certain cases allege that the firm did not appropriately disclose or deal with conflicts of interest. In addition, Group Inc. and its affiliates are subject from time to time to investigations and reviews by various governmental and regulatory bodies and self-regulatory organizations in connection with conflicts of interest. Goldman Sachs is cooperating with all such investigations and reviews.

Group Inc., GS&Co. and The Goldman, Sachs & Co. L.L.C. are defendants in an action brought by the founders and former majority shareholders of Dragon Systems, Inc. (Dragon) on November 18, 2008, alleging that the plaintiffs incurred losses due to GS&Co.’s financial advisory services provided in connection with the plaintiffs’ exchange of their purported $300 million interest in Dragon for stock of Lernout & Hauspie Speech Products, N.V. (L&H) in 2000. L&H filed for Chapter 11 bankruptcy in the U.S. Bankruptcy Court in Wilmington, Delaware on November 29, 2000. The action is pending in the United States District Court for the District of Massachusetts. The complaint, which was amended in November 2011 following the 2009 dismissal of certain of the plaintiffs’ initial claims, seeks unspecified compensatory, punitive and other damages, and alleges breach of fiduciary duty, breach of contract, breach of implied covenant of good faith and fair dealing, violation of state unfair trade practices laws, negligence, negligent and intentional misrepresentation, gross negligence, willful misconduct and bad faith. Former minority shareholders of Dragon have brought a similar action against GS&Co. with respect to their purported $49 million interest in Dragon, and this action has been consolidated with the action described above. All parties moved for summary judgment. By an order dated October 31, 2012, the court granted summary judgment with respect to certain counterclaims and an indemnification claim brought by the Goldman Sachs defendants against one of the shareholders, but denied summary judgment with respect to all other claims.

Sales, Trading and Clearance Practices. Group Inc. and certain of its affiliates are subject to a number of investigations and reviews, certain of which are industry-wide, by   various   governmental   and   regulatory   bodies   and self-regulatory organizations relating to the sales, trading and clearance of corporate and government securities and other financial products, including compliance with the SEC’s short sale rule, algorithmic and quantitative trading, futures trading, transaction reporting, securities lending practices, trading and clearance of credit derivative instruments, commodities trading, private placement practices and compliance with the U.S. Foreign Corrupt Practices Act.

The European Commission announced in April 2011 that it is initiating proceedings to investigate further numerous financial services companies, including Group Inc., in connection with the supply of data related to credit default swaps and in connection with profit sharing and fee arrangements for clearing of credit default swaps, including potential anti-competitive practices. The proceedings in connection with the supply of data related to credit default swaps are ongoing but the proceedings related to profit sharing and fee arrangements for clearing of credit default swaps have been suspended indefinitely. The firm has received civil investigative demands from the U.S. Department of Justice (DOJ) for information on similar matters. Goldman Sachs is cooperating with the investigations and reviews.

Insider Trading Investigations. From time to time, the firm and its employees are the subject of or otherwise involved in regulatory investigations relating to insider trading, the potential misuse of material nonpublic information and the effectiveness of the firm’s insider trading controls and information barriers. It is the firm’s practice to cooperate fully with any such investigations.

EU Price-Fixing Matter. On July 5, 2011, the European Commission issued a Statement of Objections to Group Inc. raising allegations of an industry-wide conspiracy to fix prices for power cables including by an Italian cable company in which certain Goldman Sachs-affiliated investment funds held ownership interests from 2005 to 2009. The Statement of Objections proposes to hold Group Inc. jointly and severally liable for some or all of any fine levied against the cable company under the concept of parental liability under EU competition law.

Goldman Sachs September 2012 Form 10-Q 105

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Municipal Securities Matters. Group Inc. and certain of its affiliates are subject to a number of investigations and reviews by various governmental and regulatory bodies and self-regulatory organizations relating to transactions involving municipal securities, including wall-cross procedures and conflict of interest disclosure with respect to state and municipal clients, the trading and structuring of municipal derivative instruments in connection with municipal offerings, political contribution rules, underwriting of Build America Bonds and the possible impact of credit default swap transactions on municipal issuers. Goldman Sachs is cooperating with the investigations and reviews.

Group Inc., Goldman Sachs Mitsui Marine Derivative Products, L.P. (GSMMDP) and GS Bank USA are among numerous financial services firms that have been named as defendants in numerous substantially identical individual antitrust actions filed beginning on November 12, 2009 that have been coordinated with related antitrust class action litigation and individual actions, in which no Goldman Sachs affiliate is named, for pre-trial proceedings in the U.S. District Court for the Southern District of New York. The plaintiffs include individual California municipal entities and three New York non-profit entities. All of these complaints against Group Inc., GSMMDP and GS Bank USA generally allege that the Goldman Sachs defendants participated in a conspiracy to arrange bids, fix prices and divide up the market for derivatives used by municipalities in refinancing and hedging transactions from 1992 to 2008. The complaints assert claims under the federal antitrust laws and either California’s Cartwright Act or New York’s Donnelly Act, and seek, among other things, treble damages under the antitrust laws in an unspecified amount and injunctive relief. On April 26, 2010, the Goldman Sachs defendants’ motion to dismiss complaints filed by several individual California municipal plaintiffs was denied. On August 19, 2011, Group Inc., GSMMDP and GS Bank USA were voluntarily dismissed without prejudice from all actions except one brought by a California municipal entity.

On August 21, 2008, GS&Co. entered into a settlement in principle with the Office of the Attorney General of the State of New York and the Illinois Securities Department (on behalf of the North American Securities Administrators Association) regarding auction rate securities. Under the agreement, Goldman Sachs agreed, among other things, (i) to offer to repurchase at par the outstanding auction rate securities that its private wealth management clients purchased through the firm prior to February 11, 2008, with the exception of those auction rate securities where

auctions were clearing, (ii) to continue to work with issuers and other interested parties, including regulatory and governmental entities, to expeditiously provide liquidity solutions for institutional investors, and (iii) to pay a $22.5 million fine. The settlement is subject to approval by the various states. GS&Co. has entered into consent orders with New York, Illinois and most other states and is in the process of doing so with the remaining states.

On September 4, 2008, Group Inc. was named as a defendant, together with numerous other financial services firms, in two complaints filed in the U.S. District Court for the Southern District of New York alleging that the defendants engaged in a conspiracy to manipulate the auction securities market in violation of federal antitrust laws. The actions were filed, respectively, on behalf of putative classes of issuers of and investors in auction rate securities and seek, among other things, treble damages in an unspecified amount. Defendants’ motion to dismiss was granted on January 26, 2010. On March 1, 2010, the plaintiffs appealed from the dismissal of their complaints.

Beginning in February 2012, GS&Co. was named as respondent in three FINRA arbitrations filed, respectively, by the cities of Houston, Texas and Reno, Nevada and a California school district, based on GS&Co.’s role as underwriter and broker-dealer of the claimants’ issuances of an aggregate of over $1.7 billion of auction rate securities from 2004 through 2007 (in the Houston arbitration, two other financial services firms were named as respondents as well). Each claimant alleges that GS&Co. failed to disclose that it had a practice of placing cover bids on auctions, and failed to offer the claimant the option of a formulaic maximum rate (rather than a fixed maximum rate), and that, as a result, the claimant was forced to engage in a series of expensive refinancing and conversion transactions after the failure of the auction market (at an estimated cost, in the case of Houston, of approximately $90 million). Houston and Reno also allege that GS&Co. advised them to enter into interest rate swaps in connection with their auction rate securities issuances, causing them to incur additional losses (including, in the case of Reno, a swap termination obligation of over $8 million). The claimants assert claims for breach of fiduciary duty, fraudulent concealment, negligent misrepresentation, breach of contract, violations of the Exchange Act and state securities laws, and breach of duties under the rules of the Municipal Securities Rulemaking Board and the NASD, and seek unspecified damages. GS&Co. has moved in federal court to enjoin the Reno and California school district arbitrations pursuant to an exclusive forum selection clause in the transaction documents.

106 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements

(Unaudited)

Financial Crisis-Related Matters. Group Inc. and certain of its affiliates are subject to a number of investigations and reviews by various governmental and regulatory bodies and self-regulatory organizations and litigation relating to the 2008 financial crisis, including the establishment and unwind of credit default swaps between Goldman Sachs and AIG and other transactions with, and in the securities of, AIG, The Bear Stearns Companies Inc., Lehman Brothers Holdings Inc. and other firms. Goldman Sachs is cooperating with the investigations and reviews.

In the second quarter of 2011, a Staff Report of the Senate Permanent Subcommittee on Investigations concerning the key causes of the financial crisis was issued. Goldman Sachs and another financial institution were used as case studies with respect to the role of investment banks. The report was referred to the DOJ and the SEC for review. The firm has cooperated with the investigations arising from this referral. On August 9, 2012, the DOJ announced that it had concluded its investigation and would not be bringing criminal charges against the firm or any of its current or former employees in connection with this matter.

Note 28.

Subsequent Event

On October 15, 2012, the firm completed the sale of its hedge fund administration business to State Street Corporation for approximately $515 million and will recognize a pre-tax gain of approximately $500 million during the fourth quarter of 2012. The historical operating results of the hedge fund administration business were not material to the firm.

Goldman Sachs September 2012 Form 10-Q 107

Report of Independent Registered Public Accounting Firm

To the Board of Directors and the Shareholders of

The Goldman Sachs Group, Inc.:

We have reviewed the accompanying condensed consolidated statement of financial condition of The Goldman Sachs Group, Inc. and its subsidiaries (the Company) as of September 30, 2012, the related condensed consolidated statements of earnings for the three and nine months ended September 30, 2012 and 2011, the condensed consolidated statements of comprehensive income for the three and nine months ended September 30, 2012 and 2011, the condensed consolidated statement of changes in shareholders’ equity for the nine months ended September 30, 2012, and the condensed consolidated statements of cash flows for the nine months ended September 30, 2012 and 2011. These condensed consolidated interim financial statements are the responsibility of the Company’s management.

We conducted our review in accordance with the standards of the Public Company Accounting Oversight Board (United States). A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the Public Company Accounting Oversight Board (United States), the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.

Based on our review, we are not aware of any material modifications that should be made to the accompanying condensed consolidated interim financial statements for them to be in conformity with accounting principles generally accepted in the United States of America.

We previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the consolidated statement of financial condition as of December 31, 2011, and the related consolidated statements of earnings, comprehensive income, changes in shareholders’ equity and cash flows for the year then ended (not presented herein), and in our report dated February 28, 2012, we expressed an unqualified opinion on those consolidated financial statements. In our opinion, the information set forth in the accompanying condensed consolidated statement of financial condition as of December 31, 2011, and the condensed consolidated statement of changes in shareholders’ equity for the year ended December 31, 2011, is fairly stated in all material respects in relation to the consolidated financial statements from which it has been derived.

/s/ PRICEWATERHOUSECOOPERS LLP

New York, New York

November 8, 2012

108 Goldman Sachs September 2012 Form 10-Q

Statistical Disclosures

Distribution of Assets, Liabilities and Shareholders’ Equity

The tables below present a summary of consolidated average balances and interest rates.

	Three Months Ended September
	2012						2011
in millions, except rates		Average balance	Interest		Average rate (annualized)			Average balance	Interest		Average rate (annualized)
Assets
Deposits with banks		$  53,135	$     38		0.28	%		$  38,298	$     32		0.33	%
U.S.		49,749	35		0.28			33,184	24		0.29
Non-U.S.		3,386	3		0.35			5,114	8		0.62
Securities borrowed, securities purchased under agreements to resell, at fair value, and federal funds sold		328,166	(74	)	(0.09	)		353,310	170		0.19
U.S.		185,144	(135	)	(0.29	)		212,051	(93	)	(0.17	)
Non-U.S.		143,022	61		0.17			141,259	263		0.74
Financial instruments owned, at fair value 1, 2		313,755	2,324		2.95			297,534	2,755		3.67
U.S.		191,000	1,552		3.23			187,405	1,787		3.78
Non-U.S.		122,755	772		2.50			110,129	968		3.49
Other interest-earning assets 3		137,919	341		0.98			146,792	397		1.07
U.S.		90,586	234		1.03			102,620	221		0.85
Non-U.S.		47,333	107		0.90			44,172	176		1.58
Total interest-earning assets		832,975	2,629		1.26			835,934	3,354		1.59
Cash and due from banks		6,463						5,656
Other non-interest-earning assets 2		104,106						127,653
Total assets		$943,544						$969,243
Liabilities
Interest-bearing deposits		$  58,723	$   106		0.72	%		$  40,432	$     65		0.64	%
U.S.		50,870	96		0.75			32,939	55		0.66
Non-U.S.		7,853	10		0.51			7,493	10		0.53
Securities loaned and securities sold under agreements to repurchase, at fair value		167,480	188		0.45			178,348	266		0.59
U.S.		112,004	90		0.32			109,042	63		0.23
Non-U.S.		55,476	98		0.70			69,306	203		1.16
Financial instruments sold, but not yet purchased 1, 2		98,815	594		2.39			105,930	585		2.19
U.S.		44,445	225		2.01			55,043	238		1.72
Non-U.S.		54,370	369		2.70			50,887	347		2.71
Commercial paper		756	—		0.14			2,416	1		0.20
U.S.		—	—		—			1,183	1		0.25
Non-U.S.		756	—		0.14			1,233	—		0.15
Other borrowings 4, 5		66,889	133		0.79			80,540	149		0.73
U.S.		45,408	111		0.97			52,674	109		0.82
Non-U.S.		21,481	22		0.41			27,866	40		0.57
Long-term borrowings 5, 6		174,598	941		2.14			187,438	829		1.75
U.S.		168,330	913		2.16			179,438	779		1.72
Non-U.S.		6,268	28		1.78			8,000	50		2.48
Other interest-bearing liabilities 7		210,475	(169	)	(0.32	)		211,356	103		0.19
U.S.		152,836	(274	)	(0.71	)		154,848	(173	)	(0.44	)
Non-U.S.		57,639	105		0.72			56,508	276		1.94
Total interest-bearing liabilities		777,736	1,793		0.92			806,460	1,998		0.98
Non-interest-bearing deposits		358						128
Other non-interest-bearing liabilities 2		92,407						91,390
Total liabilities		870,501						897,978
Shareholders’ equity
Preferred stock		4,975						3,100
Common stock		68,068						68,165
Total shareholders’ equity		73,043						71,265
Total liabilities and shareholders’ equity		$943,544						$969,243
Interest rate spread					0.34	%					0.61	%
Net interest income and net yield on interest-earning assets			$   836		0.40				$1,356		0.64
U.S.			525		0.40				867		0.64
Non-U.S.			311		0.39				489		0.65
Percentage of interest-earning assets and interest-bearing liabilities attributable to non-U.S. operations 8
Assets					38.00	%					35.97	%
Liabilities					26.21						27.44

Goldman Sachs September 2012 Form 10-Q 109

Statistical Disclosures

	Nine Months Ended September
	2012						2011
in millions, except rates		Average balance	Interest		Average rate (annualized)			Average balance	Interest		Average rate (annualized)
Assets
Deposits with banks		$  50,086	$   111		0.30	%		$  36,620	$       88		0.32	%
U.S.		46,363	94		0.27			31,121	68		0.29
Non-U.S.		3,723	17		0.61			5,499	20		0.49
Securities borrowed, securities purchased under agreements to resell, at fair value, and federal funds sold		341,542	(49	)	(0.02	)		350,695	572		0.22
U.S.		194,089	(359	)	(0.25	)		221,838	(161	)	(0.10	)
Non-U.S.		147,453	310		0.28			128,857	733		0.76
Financial instruments owned, at fair value 1, 2		304,312	7,334		3.22			291,927	8,218		3.76
U.S.		186,640	4,869		3.48			186,256	5,716		4.10
Non-U.S.		117,672	2,465		2.80			105,671	2,502		3.17
Other interest-earning assets 3		135,594	1,121		1.10			142,942	1,264		1.18
U.S.		89,011	720		1.08			99,216	680		0.92
Non-U.S.		46,583	401		1.15			43,726	584		1.79
Total interest-earning assets		831,534	8,517		1.37			822,184	10,142		1.65
Cash and due from banks		6,760						4,670
Other non-interest-earning assets 2		107,363						118,363
Total assets		$945,657						$945,217
Liabilities
Interest-bearing deposits		$  53,644	$   292		0.73	%		$  39,259	$     205		0.70	%
U.S.		45,932	262		0.76			32,476	179		0.74
Non-U.S.		7,712	30		0.52			6,783	26		0.51
Securities loaned and securities sold under agreements to repurchase, at fair value		174,131	615		0.47			175,246	703		0.54
U.S.		117,398	270		0.31			111,088	216		0.26
Non-U.S.		56,733	345		0.81			64,158	487		1.01
Financial instruments sold, but not yet purchased 1, 2		96,514	1,783		2.47			103,871	1,844		2.37
U.S.		42,411	579		1.82			54,214	739		1.82
Non-U.S.		54,103	1,204		2.97			49,657	1,105		2.98
Commercial paper		1,039	2		0.24			1,744	3		0.21
U.S.		110	1		0.62			443	1		0.25
Non-U.S.		929	1		0.19			1,301	2		0.20
Other borrowings 4, 5		70,710	451		0.85			75,123	398		0.71
U.S.		47,955	373		1.04			48,902	339		0.93
Non-U.S.		22,755	78		0.46			26,221	59		0.30
Long-term borrowings 5, 6		177,351	2,841		2.14			186,428	2,471		1.77
U.S.		170,680	2,714		2.12			179,499	2,327		1.73
Non-U.S.		6,671	127		2.54			6,929	144		2.78
Other interest-bearing liabilities 7		208,968	(374	)	(0.24	)		202,636	391		0.26
U.S.		152,723	(763	)	(0.67	)		148,683	(322	)	(0.29	)
Non-U.S.		56,245	389		0.92			53,953	713		1.77
Total interest-bearing liabilities		782,357	5,610		0.96			784,307	6,015		1.03
Non-interest-bearing deposits		264						146
Other non-interest-bearing liabilities 2		91,286						87,331
Total liabilities		873,907						871,784
Shareholders’ equity
Preferred stock		3,850						4,257
Common stock		67,900						69,176
Total shareholders’ equity		71,750						73,433
Total liabilities and shareholders’ equity		$945,657						$945,217
Interest rate spread					0.41	%					0.62	%
Net interest income and net yield on interest-earning assets			$2,907		0.47				$  4,127		0.67
U.S.			1,888		0.49				2,824		0.70
Non-U.S.			1,019		0.43				1,303		0.61
Percentage of interest-earning assets and interest-bearing liabilities attributable to non-U.S. operations 8
Assets					37.93	%					34.51	%
Liabilities					26.22						26.65

110 Goldman Sachs September 2012 Form 10-Q

Statistical Disclosures

1. Consists of cash financial instruments, including equity securities and convertible debentures.

2. Derivative instruments and commodities are included in other non-interest-earning assets and other non-interest-bearing liabilities.

3. Primarily consists of cash and securities segregated for regulatory and other purposes and certain receivables from customers and counterparties.

4. Consists of short-term other secured financings and unsecured short-term borrowings, excluding commercial paper.

5. Interest rates include the effects of interest rate swaps accounted for as hedges.

6. Consists of long-term secured financings and unsecured long-term borrowings.

7. Primarily consists of certain payables to customers and counterparties.

8. Assets, liabilities and interest are attributed to U.S. and non-U.S. based on the location of the legal entity in which the assets and liabilities are held.

Ratios

The table below presents selected financial ratios.

	Three Months Ended September			Nine Months Ended September
		2012	2011		2012	2011
Annualized net earnings to average assets		0.6%	N.M.		0.6%	0.5%
Annualized return on average common shareholders’ equity 1		8.6	N.M.		8.8	3.74
Annualized return on average total shareholders’ equity 2		8.3	N.M.		8.5	6.2
Total average equity to average assets		7.7	7.4%		7.6	7.8
Dividend payout ratio 3		16.1	N.M.		14.8	38.9

1. Based on annualized net earnings applicable to common shareholders divided by average monthly common shareholders’ equity.

2. Based on annualized net earnings divided by average monthly total shareholders’ equity.

3. Dividends declared per common share as a percentage of diluted earnings per common share.

4. The $1.64 billion Series G Preferred Stock dividend was not annualized in the calculation of annualized net earnings applicable to common shareholders since it has no impact on other quarters in the year.

Goldman Sachs September 2012 Form 10-Q 111

Statistical Disclosures

Cross-border Outstandings

Cross-border outstandings are based on the Federal Financial Institutions Examination Council’s (FFIEC) regulatory guidelines for reporting cross-border information and represent the amounts that the firm may not be able to obtain from a foreign country due to country-specific events, including unfavorable economic and political conditions, economic and social instability, and changes in government policies.

Credit exposure represents the potential for loss due to the default or deterioration in credit quality of a counterparty or an issuer of securities or other instruments the firm holds and is measured based on the potential loss in an event of non-payment by a counterparty. Credit exposure is reduced through the effect of risk mitigants, such as netting agreements with counterparties that permit the firm to offset receivables and payables with such counterparties or obtaining collateral from counterparties. The tables below do not include all the effects of such risk mitigants and do not represent the firm’s credit exposure.

Claims in the tables below include cash, receivables, securities purchased under agreements to resell, securities borrowed and cash financial instruments, but exclude derivative instruments and commitments. Securities purchased under agreements to resell and securities borrowed are presented gross, without reduction for related securities collateral held, based on the domicile of the counterparty. Margin loans (included in receivables) are presented based on the amount of collateral advanced by the counterparty.

The tables below present cross-border outstandings for each country in which cross-border outstandings exceed 0.75% of consolidated assets in accordance with the FFIEC guidelines.

	As of September 2012
in millions		Banks		Governments	Other		Total
Country
France		$34,569	1	$  2,254	$  5,483		$42,306
Cayman Islands		15		—	41,452		41,467
Japan		18,068		8	7,285		25,361
Germany		6,836		9,076	3,192		19,104
Switzerland		4,060		30	5,343		9,433
Canada		678		441	7,260		8,379
United Kingdom		1,625		1,130	5,559		8,314
Italy		763		5,048	1,685		7,496
Ireland		402		148	6,803		7,353	2
	As of December 2011
in millions		Banks		Governments	Other		Total
Country
France		$33,916	1	$  2,859	$  3,776		$40,551
Cayman Islands		—		—	33,742		33,742
Japan		18,745		31	6,457		25,233
Germany		5,458		16,089	3,162		24,709
United Kingdom		2,111		3,349	5,243		10,703
Italy		6,143		3,054	841		10,038	3
Ireland		1,148		63	8,801	2	10,012
China		6,722		38	2,908		9,668
Switzerland		3,836		40	5,112		8,988
Canada		676		1,019	6,841		8,536
Australia		1,597		470	5,209		7,276

1. Primarily comprised of secured lending transactions with a clearing house which are secured by collateral.

2. Primarily comprised of interests in and receivables from funds domiciled in Ireland, but whose underlying investments are primarily located outside of Ireland, and secured lending transactions.

3. Primarily comprised of secured lending transactions which are primarily secured by German government obligations.

112 Goldman Sachs September 2012 Form 10-Q

Item 2.    Management’s Discussion and Analysis of Financial Condition and Results of Operations

INDEX

	Page No.
Introduction		114
Executive Overview		114
Business Environment		118
Critical Accounting Policies		119
Use of Estimates		123
Results of Operations		124
Balance Sheet and Funding Sources		139
Equity Capital		146
Off-Balance-Sheet Arrangements and Contractual Obligations		151
Overview and Structure of Risk Management		154
Liquidity Risk Management		159
Market Risk Management		166
Credit Risk Management		171
Operational Risk Management		178
Recent Accounting Developments		180
Certain Risk Factors That May Affect Our Businesses		181
Cautionary Statement Pursuant to the U.S. Private Securities Litigation Reform Act of 1995		182

Goldman Sachs September 2012 Form 10-Q 113

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Introduction

The Goldman Sachs Group, Inc. (Group Inc.) is a leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments and high-net-worth individuals. Founded in 1869, the firm is headquartered in New York and maintains offices in all major financial centers around the world.

We report our activities in four business segments: Investment Banking, Institutional Client Services, Investing & Lending and Investment Management. See “Results of Operations” below for further information about our business segments.

This Management’s Discussion and Analysis of Financial Condition and Results of Operations should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2011. References to “our Annual Report on Form 10-K” are to our Annual Report on Form 10-K for the year ended December 31, 2011.

When we use the terms “Goldman Sachs,” “the firm,” “we,” “us” and “our,” we mean Group Inc., a Delaware corporation, and its consolidated subsidiaries.

References to “this Form 10-Q” are to our Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2012. All references to September 2012 and September 2011 refer to our periods ended, or the dates, as the context requires, September 30, 2012 and September 30, 2011, respectively. All references to June 2012 and December 2011 refer to the dates June 30, 2012 and December 31, 2011, respectively. Any reference to a future year refers to a year ending on December 31 of that year. Certain reclassifications have been made to previously reported amounts to conform to the current presentation.

Executive Overview

Three Months Ended September 2012 versus September 2011. The firm generated net earnings of $1.51 billion for the third quarter of 2012, compared with a net loss of $393 million for the third quarter of 2011. Our diluted earnings per common share were $2.85 for the third quarter of 2012, compared with a diluted loss per common share of $0.84 for the third quarter of 2011. Annualized return on average common shareholders’ equity (ROE) ¹ was 8.6% for the third quarter of 2012.

Book value per common share was $140.58 and tangible book value per common share ² was $129.69 as of September 2012, both approximately 3% higher compared with the end of the second quarter of 2012. Our Tier 1 capital ratio under Basel 1 was 15.0% and our Tier 1 common ratio under Basel 1 ³ was 13.1% as of September 2012, both unchanged from the end of the second quarter of 2012. During the quarter, the firm repurchased 11.8 million shares of its common stock for a total cost of $1.25 billion.

The firm generated net revenues of $8.35 billion for the third quarter of 2012, compared with $3.59 billion for the third quarter of 2011. These results reflected significantly improved results in Investing & Lending and, to a lesser extent, significantly higher net revenues in Investment Banking and slightly higher net revenues in Institutional Client Services compared with the third quarter of 2011. These increases were partially offset by slightly lower net revenues in Investment Management compared with the third quarter of 2011.

An overview of net revenues for each of our business segments is provided below.

1. See “Results of Operations — Financial Overview” below for further information about our calculation of annualized ROE.

2. Tangible book value per common share is a non-GAAP measure and may not be comparable to similar non-GAAP measures used by other companies. See “Equity Capital — Other Capital Metrics” below for further information about our calculation of tangible book value per common share.

3. Tier 1 common ratio is a non-GAAP measure and may not be comparable to similar non-GAAP measures used by other companies. See “Equity Capital — Consolidated Regulatory Capital Ratios” below for further information about our Tier 1 common ratio.

114 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Investment Banking

Net revenues in Investment Banking increased significantly compared with the third quarter of 2011, as net revenues in our Underwriting business were more than double the amount in the third quarter of 2011, which had particularly low volumes. This increase primarily reflected significantly higher net revenues in debt underwriting, principally due to higher net revenues from leveraged finance activity. Net revenues in equity underwriting were higher compared with the third quarter of 2011, primarily reflecting an increase in client activity. Net revenues in Financial Advisory were slightly lower compared with the third quarter of 2011.

Institutional Client Services

Net revenues in Institutional Client Services increased slightly compared with the third quarter of 2011, reflecting significantly higher net revenues in Fixed Income, Currency and Commodities Client Execution, partially offset by lower net revenues in Equities.

The increase in Fixed Income, Currency and Commodities Client Execution compared with the third quarter of 2011 reflected significantly higher net revenues in mortgages and higher net revenues in credit products, currencies and interest rate products, partially offset by significantly lower net revenues in commodities. During the third quarter of 2012, Fixed Income, Currency and Commodities Client Execution operated in an environment generally characterized by tighter credit spreads, as certain central banks took steps to ease monetary policy; however, broad market concerns persisted and levels of activity generally remained low.

The decrease in Equities compared with the third quarter of 2011 was primarily due to significantly lower commissions and fees, reflecting lower market volumes, and lower net revenues in equities client execution. In addition, net revenues in securities services were slightly lower compared with the third quarter of 2011, primarily reflecting the impact of lower average customer balances. During the quarter, Equities operated in an environment generally characterized by an increase in global equity prices and lower volatility levels.

The net loss attributable to the impact of changes in our own credit spreads on borrowings for which the fair value option was elected was $370 million ($225 million and $145 million related to Fixed Income, Currency and Commodities Client Execution and equities client execution, respectively) for the third quarter of 2012, compared with a net gain of $450 million ($308 million and $142 million related to Fixed Income, Currency and Commodities Client Execution and equities client execution, respectively) for the third quarter of 2011.

Investing & Lending

Net revenues in Investing & Lending were $1.80 billion for the third quarter of 2012, compared with negative net revenues of $2.48 billion for the third quarter of 2011. During the third quarter of 2012, Investing & Lending net revenues were positively impacted by tighter credit spreads and an increase in global equity prices. Results for the third quarter of 2012 included a gain of $99 million from our investment in the ordinary shares of Industrial and Commercial Bank of China Limited (ICBC), net gains of $824 million from other investments in equities, primarily in private equities, net gains and net interest income of $558 million from debt securities and loans, and other net revenues of $323 million, principally related to our consolidated investment entities.

Goldman Sachs September 2012 Form 10-Q 115

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Investment Management

Net revenues in Investment Management decreased slightly compared with the third quarter of 2011, reflecting lower transaction revenues and slightly lower management and other fees, partially offset by higher incentive fees. During the quarter, assets under management increased $20 billion to $856 billion, reflecting net market appreciation.

Nine Months Ended September 2012 versus September 2011.The firm generated net earnings of $4.58 billion for the first nine months of 2012, compared with $3.43 billion for the first nine months of 2011. Our diluted earnings per common share were $8.57 for the first nine months of 2012, compared with $2.70 ¹ for the first nine months of 2011. Annualized ROE ² was 8.8% for the first nine months of 2012, compared with 3.7% ¹ for the first nine months of 2011.

The firm generated net revenues of $24.93 billion for the first nine months of 2012, compared with $22.76 billion for the first nine months of 2011. These results reflected significantly higher net revenues in Investing & Lending compared with the first nine months of 2011. This increase was partially offset by slightly lower net revenues in both Institutional Client Services and Investment Management compared with the first nine months of 2011. Net revenues in Investment Banking were essentially unchanged compared with the first nine months of 2011. An overview of net revenues for each of our business segments is provided below.

Investment Banking

Net revenues in Investment Banking were essentially unchanged compared with the first nine months of 2011. Net revenues in our Underwriting business were slightly higher than the first nine months of 2011. Net revenues in debt underwriting were significantly higher compared with the first nine months of 2011, reflecting higher net revenues across all types of underwriting offerings. Net revenues in equity underwriting were significantly lower compared with the first nine months of 2011, primarily reflecting a decline in industry-wide initial public offerings. Net revenues in Financial Advisory were slightly lower compared with the first nine months of 2011.

Institutional Client Services

Net revenues in Institutional Client Services decreased slightly compared with the first nine months of 2011, reflecting lower net revenues in Equities, partially offset by slightly higher net revenues in Fixed Income, Currency and Commodities Client Execution.

The increase in Fixed Income, Currency and Commodities Client Execution compared with the first nine months of 2011 reflected significantly higher net revenues in mortgages and higher net revenues in interest rate products, partially offset by significantly lower net revenues in commodities and lower net revenues in currencies. Net revenues in credit products were essentially unchanged compared with the first nine months of 2011. Although credit spreads generally tightened during the first nine months of 2012, broad market concerns and uncertainties contributed to generally low levels of activity, particularly during the second and third quarters of 2012.

The decrease in Equities compared with the first nine months of 2011 was primarily due to lower commissions and fees, reflecting lower market volumes, and slightly lower net revenues in equities client execution. In addition, net revenues in securities services were slightly lower compared with the first nine months of 2011, primarily reflecting the impact of lower average customer balances. During the first nine months of 2012, Equities operated in an environment generally characterized by an increase in global equity prices and lower volatility levels, as compared with the first nine months of 2011.

The net loss attributable to the impact of changes in our own credit spreads on borrowings for which the fair value option was elected was $588 million ($354 million and $234 million related to Fixed Income, Currency and Commodities Client Execution and equities client execution, respectively) for the first nine months of 2012, compared with a net gain of $576 million ($399 million and $177 million related to Fixed Income, Currency and Commodities Client Execution and equities client execution, respectively) for the first nine months of 2011.

1. Excluding the impact of the preferred dividend of $1.64 billion in the first quarter of 2011 related to the redemption of our Series G Preferred Stock (calculated as the difference between the carrying value and the redemption value of the preferred stock), diluted earnings per common share were $5.60 and annualized ROE was 6.0% for the first nine months of 2011. We believe that presenting our results for the first nine months of 2011 excluding this dividend is meaningful, as it increases the comparability of period-to-period results. Diluted earnings per common share and annualized ROE excluding this dividend are non-GAAP measures and may not be comparable to similar non-GAAP measures used by other companies. See “Results of Operations — Financial Overview” below for further information about our calculation of diluted earnings per common share and annualized ROE excluding the impact of this dividend.

2. See “Results of Operations — Financial Overview” below for further information about our calculation of annualized ROE.

116 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Investing & Lending

Net revenues in Investing & Lending were $3.92 billion for the first nine months of 2012, compared with $1.27 billion for the first nine months of 2011. During the first nine months of 2012, Investing & Lending net revenues were positively impacted by generally tighter credit spreads and an increase in global equity prices. Results for the first nine months of 2012 included a gain of $74 million from our investment in the ordinary shares of ICBC and net gains of $1.60 billion from other investments in equities, primarily in private equities. In addition, Investing & Lending included net gains and net interest income of $1.37 billion from debt securities and loans, and other net revenues of $876 million, principally related to our consolidated investment entities.

Investment Management

Net revenues in Investment Management decreased slightly compared with the first nine months of 2011 due to slightly lower management and other fees, and lower transaction revenues, partially offset by significantly higher incentive fees, primarily related to the sale of our funds’ remaining investment in the ordinary shares of ICBC during the second quarter of 2012. During the first nine months of 2012, assets under management increased $28 billion to $856 billion. The increase in assets under management included net market appreciation of $39 billion, primarily in fixed income and equity assets, partially offset by net outflows of $11 billion. Net outflows included outflows in money market, equity and alternative investment assets, partially offset by inflows in fixed income assets (including $17 billion of fixed income asset inflows in connection with our acquisition of Dwight Asset Management Company LLC (Dwight Asset Management)).

Our business, by its nature, does not produce predictable earnings. Our results in any given period can be materially affected by conditions in global financial markets, economic conditions generally and other factors. For a further discussion of the factors that may affect our future operating results, see “Certain Risk Factors That May Affect Our Businesses” below, as well as “Risk Factors” in Part I, Item 1A of our Annual Report on Form 10-K.

Goldman Sachs September 2012 Form 10-Q 117

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Business Environment

Global

Global economic conditions continued to weaken during the third quarter of 2012, as real gross domestic product (GDP) appeared to decline in Europe and Japan, while real GDP growth in the United States and China was modest. After concerns regarding European sovereign debt risk heightened in the second quarter of 2012 and continued into the beginning of the third quarter, some positive developments, including certain central bank actions to ease monetary policy, alleviated market pressure. These actions resulted in tighter credit spreads, higher global equity prices and lower volatility levels compared with the second quarter of 2012. In addition, the price of crude oil increased. However, concerns and uncertainties about the outlook of the global economy, particularly as it relates to Europe, persisted. These concerns continued to weigh on investment banking activity, particularly in mergers and acquisitions, and initial public offerings activity levels, although industry-wide debt underwriting activity improved compared with the second quarter of 2012.

United States

In the United States, real GDP growth accelerated modestly during the quarter, reflecting an increase in the growth of consumer spending and an upturn in government spending, although growth in fixed investment slowed and net exports declined. Measures of business and consumer confidence improved. Unemployment levels declined, although the rate of unemployment remained elevated. Measures of inflation on average were lower compared with the second quarter of 2012. Housing market activity continued to improve, particularly in housing starts. The U.S. Federal Reserve maintained its federal funds rate at a target of zero to 0.25% and announced further easing measures that included an open-ended program to purchase mortgage-backed securities, as well as an extension of its commitment to keep interest rates exceptionally low until at least mid-2015. After reaching yields close to 1.40% earlier in the quarter, the 10-year Treasury note yield ended the quarter at 1.65%, essentially unchanged compared with the end of the second quarter of 2012. In equity markets, the NASDAQ Composite Index and the S&P 500 Index each increased by 6%, while the Dow Jones Industrial Average increased by 4%.

Europe

In the Euro area, real GDP appeared to decline during the quarter for the fourth consecutive quarter, reflecting the impact that the ongoing sovereign debt crisis has had on the region’s economic growth, particularly in Spain and Italy. Although measures of business confidence improved in some countries from low levels, they deteriorated in the aggregate. Measures of inflation on average were essentially unchanged

compared with the second quarter of 2012. The European Central Bank (ECB) decreased its main refinancing operations rate by 25 basis points to 0.75%. In addition, the ECB announced a new program to make outright purchases of sovereign bonds in the secondary markets, with the goal of having a single monetary policy in the Euro area, maintaining price stability and preserving the Euro. The Euro appreciated by 2% against the U.S. dollar. In the United Kingdom, real GDP strongly rebounded after declining for three consecutive quarters, reflecting increases in industrial production, consumption and exports, positively impacted in part by the Olympic Games. The Bank of England maintained its official bank rate at 0.50% and increased the size of its asset purchase program. The British pound appreciated by 3% against the U.S. dollar. Long-term government bond yields declined in most Euro area economies, while yields decreased slightly in the U.K. In equity markets, the DAX Index, the Euro Stoxx 50 Index, the CAC 40 Index, and the FTSE 100 Index increased by 12%, 8%, 5%, and 3%, respectively, during the quarter.

Asia

In Japan, real GDP appeared to decline during the quarter, primarily reflecting declines in consumer spending and fixed investment, as well as a sharp contraction in exports. The Bank of Japan left its target overnight call rate unchanged at a range of zero to 0.10%, and continued to ease monetary policy by further increasing the size of its asset purchase program and by facilitating outright purchases of government and corporate bonds. The yield on 10-year Japanese government bonds decreased, while the Japanese yen appreciated by 2% against the U.S. dollar. The Nikkei 225 Index ended the quarter 2% lower. In China, real GDP growth increased modestly during the quarter, reflecting growth in industrial production and retail spending, but remained lower compared with the solid pace of growth in previous years. Measures of inflation continued to decline during the quarter, reaching its lowest level since 2010. The People’s Bank of China left the reserve requirement ratio unchanged during the quarter. The Chinese yuan appreciated slightly against the U.S. dollar, while the Shanghai Composite Index decreased by 6%. In contrast, equity markets in Hong Kong and South Korea increased during the quarter. In India, real GDP growth during the quarter appeared to remain weak, reflecting continued weakness in investment demand, negatively impacted in part by less than normal monsoon rainfall. In addition, measures of wholesale inflation remained at an elevated level. The Indian rupee appreciated against the U.S. dollar and equity markets in India ended the quarter higher.

118 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Critical Accounting Policies

Fair Value

Fair Value Hierarchy. Financial instruments owned, at fair value and Financial instruments sold, but not yet purchased, at fair value (i.e., inventory), as well as certain other financial assets and financial liabilities, are reflected in our condensed consolidated statements of financial condition at fair value (i.e., marked-to-market), with related gains or losses generally recognized in our condensed consolidated statements of earnings. The use of fair value to measure financial instruments is fundamental to our risk management practices and is our most critical accounting policy.

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. In determining fair value, the hierarchy under U.S. generally accepted accounting principles (U.S. GAAP) gives (i) the highest priority to unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities (level 1 inputs), (ii) the next priority to inputs other than level 1 inputs that are observable, either directly or indirectly (level 2 inputs), and (iii) the lowest priority to inputs that cannot be observed in market activity (level 3 inputs). Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to their fair value measurement.

The fair values for substantially all of our financial assets and financial liabilities are based on observable prices and inputs and are classified in levels 1 and 2 of the fair value hierarchy. Certain level 2 and level 3 financial assets and financial liabilities may require appropriate valuation adjustments that a market participant would require to arrive at fair value for factors such as counterparty and the firm’s credit quality, funding risk, transfer restrictions, liquidity and bid/offer spreads. Valuation adjustments are generally based on market evidence.

Instruments categorized within level 3 of the fair value hierarchy, which represent approximately 5% of the firm’s total assets, require one or more significant inputs that are not observable. Absent evidence to the contrary, instruments classified within level 3 of the fair value hierarchy are initially valued at transaction price, which is considered to be the best initial estimate of fair value. Subsequent to the transaction date, we use other methodologies to determine fair value, which vary based on the type of instrument. Estimating the fair value of level 3 financial instruments requires judgments to be made. These judgments include:

Ÿ determining the appropriate valuation methodology and/or model for each type of level 3 financial instrument;

Ÿ determining model inputs based on an evaluation of all relevant empirical market data, including prices evidenced by market transactions, interest rates, credit spreads, volatilities and correlations; and

Ÿ determining appropriate valuation adjustments related to illiquidity or counterparty credit quality.

Regardless of the methodology, valuation inputs and assumptions are only changed when corroborated by substantive evidence.

Controls Over Valuation of Financial Instruments.Market makers and investment professionals in our revenue-producing units are responsible for pricing our financial instruments. Our control infrastructure is independent of the revenue-producing units and is fundamental to ensuring that all of our financial instruments are appropriately valued at market-clearing levels. In the event that there is a difference of opinion in situations where estimating the fair value of financial instruments requires judgment (e.g., calibration to market comparables or trade comparison, as described below), the final valuation decision is made by senior managers in control and support functions that are independent of the revenue-producing units (independent control and support functions). This independent price verification is critical to ensuring that our financial instruments are properly valued.

Goldman Sachs September 2012 Form 10-Q 119

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Price Verification.All financial instruments at fair value in levels 1, 2 and 3 of the fair value hierarchy are subject to our independent price verification process. The objective of price verification is to have an informed and independent opinion with regard to the valuation of financial instruments under review. Instruments that have one or more significant inputs which cannot be corroborated by external market data are classified within level 3 of the fair value hierarchy. Price verification strategies utilized by our independent control and support functions include:

Ÿ Trade Comparison.Analysis of trade data (both internal and external where available) is used to determine the most relevant pricing inputs and valuations.

Ÿ External Price Comparison.Valuations and prices are compared to pricing data obtained from third parties (e.g., broker or dealers, MarkIt, Bloomberg, IDC, TRACE). Data obtained from various sources is compared to ensure consistency and validity. When broker or dealer quotations or third-party pricing vendors are used for valuation or price verification, greater priority is generally given to executable quotations.

Ÿ Calibration to Market Comparables.Market-based transactions are used to corroborate the valuation of positions with similar characteristics, risks and components.

Ÿ Relative Value Analyses.Market-based transactions are analyzed to determine the similarity, measured in terms of risk, liquidity and return, of one instrument relative to another or, for a given instrument, of one maturity relative to another.

Ÿ Collateral Analyses.Margin disputes on derivatives are examined and investigated to determine the impact, if any, on our valuations.

Ÿ Execution of Trades.Where appropriate, trading desks are instructed to execute trades in order to provide evidence of market-clearing levels.

Ÿ Backtesting.Valuations are corroborated by comparison to values realized upon sales.

See Notes 5 through 8 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for further information about fair value measurements.

Review of Net Revenues.Independent control and support functions ensure adherence to our pricing policy through a combination of daily procedures, including the explanation and attribution of net revenues based on the underlying factors. Through this process we independently validate net revenues, identify and resolve potential fair value or trade booking issues on a timely basis and seek to ensure that risks are being properly categorized and quantified.

Review of Valuation Models.Quantitative professionals within our Market Risk Management department (Market Risk Management) perform an independent model approval process. This process incorporates a review of a diverse set of model and trade parameters across a broad range of values (including extreme and/or improbable conditions) in order to critically evaluate:

Ÿ the model’s suitability for valuation and risk management of a particular instrument type;

Ÿ the model’s accuracy in reflecting the characteristics of the related product and its significant risks;

Ÿ the suitability and properties of the numerical algorithms incorporated in the model;

Ÿ the model’s consistency with models for similar products; and

Ÿ the model’s sensitivity to input parameters and assumptions.

New or changed models are reviewed and approved. Models are evaluated and re-approved annually to assess the impact of any changes in the product or market and any market developments in pricing theories.

120 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Level 3 Financial Assets at Fair Value. The table below presents financial assets measured at fair value and the amount of such assets that are classified within level 3 of the fair value hierarchy.

Total level 3 financial assets were $47.81 billion, $46.51 billion and $47.94 billion as of September 2012, June 2012 and December 2011, respectively.

See Notes 5 through 8 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for further information about changes in level 3 financial assets and fair value measurements.

	As of September 2012			As of June 2012			As of December 2011
in millions		Total at Fair Value	Level 3 Total		Total at Fair Value	Level 3 Total		Total at Fair Value	Level 3 Total
Commercial paper, certificates of deposit, time deposits and other money market instruments		$  10,708	$       —		$  10,011	$         7		$  13,440	$       —
U.S. government and federal agency obligations		95,529	—		94,949	—		87,040	—
Non-U.S. government and agency obligations		62,952	13		63,890	8		49,205	148
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		7,536	3,318		7,199	3,166		6,699	3,346
Loans and securities backed by residential real estate		9,602	1,288		8,467	1,632		7,592	1,709
Bank loans and bridge loans		21,011	10,833		20,770	10,461		19,745	11,285
Corporate debt securities		25,345	2,721		21,534	2,367		22,131	2,480
State and municipal obligations		3,296	583		3,493	547		3,089	599
Other debt obligations		4,489	2,008		4,639	1,757		4,362	1,451
Equities and convertible debentures		91,225	15,126		74,606	14,420		65,113	13,667
Commodities		10,771	—		6,330	—		5,762	—
Total cash instruments		342,464	35,890		315,888	34,365		284,178	34,685
Derivatives		72,829	11,110		71,308	10,501		80,028	11,900
Financial instruments owned, at fair value		415,293	47,000		387,196	44,866		364,206	46,585
Securities segregated for regulatory and other purposes		34,087	—		37,279	—		42,014	—
Securities purchased under agreements to resell		147,361	185		167,344	1,023		187,789	557
Securities borrowed		47,986	—		51,897	—		47,621	—
Receivables from customers and counterparties		6,920	625		7,444	616		9,682	795
Total		$651,647	$47,810		$651,160	$46,505		$651,312	$47,937

Goldman Sachs September 2012 Form 10-Q 121

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Goodwill and Identifiable Intangible Assets

Goodwill.Goodwill is the cost of acquired companies in excess of the fair value of net assets, including identifiable intangible assets, at the acquisition date. Goodwill is assessed annually for impairment, or more frequently if events occur or circumstances change that indicate an impairment may exist, by first assessing qualitative factors to determine whether it is more likely than not that the fair value of a reporting unit is less than its carrying amount. If the results of the qualitative assessment are not conclusive, a quantitative goodwill impairment test is performed by comparing the estimated fair value of each reporting unit with its estimated net book value.

Estimating the fair value of our reporting units requires management to make judgments. Critical inputs to the fair value estimates include (i) projected earnings, (ii) estimated long-term growth rates and (iii) cost of equity.

During the second half of 2011, consistent with the decline in stock prices in the broader financial services sector, our stock price declined and throughout most of this period, our market capitalization was below book value. Accordingly, we performed a quantitative impairment test during the fourth quarter of 2011 and determined that goodwill was not impaired. The estimated fair value of our reporting units in which we hold substantially all of our goodwill significantly exceeded the estimated carrying values. We believe that it is appropriate to consider market capitalization, among other factors, as an indicator of fair value over a reasonable period of time.

If the current economic market conditions persist, and there is a prolonged period of weakness in the business environment and financial markets, our earnings may be adversely affected, which could result in an impairment of goodwill in the future. In addition, significant changes to other critical inputs of the goodwill impairment test (e.g., cost of equity) could cause the estimated fair value of our reporting units to decline, which could result in an impairment of goodwill in the future.

See Note 13 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for the carrying value of our goodwill.

Identifiable Intangible Assets. We amortize our identifiable intangible assets (i) over their estimated lives, (ii) based on economic usage or (iii) in proportion to estimated gross profits or premium revenues. Identifiable intangible assets are tested for impairment whenever events or changes in circumstances suggest that an asset’s or asset group’s carrying value may not be fully recoverable.

An impairment loss, generally calculated as the difference between the estimated fair value and the carrying value of an asset or asset group, is recognized if the sum of the estimated undiscounted cash flows relating to the asset or asset group is less than the corresponding carrying value. See Note 13 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for the carrying value and estimated remaining lives of our identifiable intangible assets by major asset class and impairments of our identifiable intangible assets.

A prolonged period of market weakness could adversely impact our businesses and impair the value of our identifiable intangible assets. In addition, certain events could indicate a potential impairment of our identifiable intangible assets, including (i) decreases in revenues from commodity-related customer contracts and relationships, (ii) decreases in cash receipts from television broadcast royalties, (iii) an adverse action or assessment by a regulator or (iv) adverse actual experience on the contracts in our variable annuity and life insurance business. Management judgment is required to evaluate whether indications of potential impairment have occurred, and to test intangibles for impairment if required.

122 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Use of Estimates

The use of generally accepted accounting principles requires management to make certain estimates and assumptions. In addition to the estimates we make in connection with fair value measurements, the accounting for goodwill and identifiable intangible assets, and discretionary compensation accruals, the use of estimates and assumptions is also important in determining provisions for losses that may arise from litigation, regulatory proceedings and tax audits.

A substantial portion of our compensation and benefits represents discretionary compensation, which is finalized at year-end. We believe the most appropriate way to allocate estimated annual discretionary compensation among interim periods is in proportion to the net revenues earned in such periods. In addition to the level of net revenues, our overall compensation expense in any given year is also influenced by, among other factors, prevailing labor markets, business mix, the structure of our share-based compensation programs and the external environment. See “Results of Operations — Financial Overview — Operating Expenses” below for information regarding our ratio of compensation and benefits to net revenues.

We estimate and provide for potential losses that may arise out of litigation and regulatory proceedings to the extent that such losses are probable and can be reasonably estimated. In accounting for income taxes, we estimate and provide for potential liabilities that may arise out of tax audits to the extent that uncertain tax positions fail to meet the recognition standard under FASB Accounting Standards Codification 740. See Note 24 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for further information about accounting for income taxes.

Significant judgment is required in making these estimates and our final liabilities may ultimately be materially different. Our total estimated liability in respect of litigation and regulatory proceedings is determined on a case-by-case basis and represents an estimate of probable losses after considering, among other factors, the progress of each case or proceeding, our experience and the experience of others in similar cases or proceedings, and the opinions and views of legal counsel. See Notes 18 and 27 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for information on certain judicial, regulatory and legal proceedings.

Goldman Sachs September 2012 Form 10-Q 123

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Results of Operations

The composition of our net revenues has varied over time as financial markets and the scope of our operations have changed. The composition of net revenues can also vary over the shorter term due to fluctuations in U.S. and global economic and market conditions. See “Certain Risk Factors That May Affect Our Businesses” below and “Risk Factors” in Part I, Item 1A of our Annual Report on

Form 10-K for a further discussion of the impact of economic and market conditions on our results of operations.

Financial Overview

The table below presents an overview of our financial results.

	Three Months Ended September					Nine Months Ended September
$ in millions, except per share amounts		2012		2011			2012		2011
Net revenues		$8,351		$3,587			$24,927		$22,762
Pre-tax earnings/(loss)		2,298		(730	)		6,894		4,922
Net earnings/(loss)		1,512		(393	)		4,583		3,429
Net earnings/(loss) applicable to common shareholders		1,458		(428	)		4,459		1,532
Diluted earnings/(loss) per common share		2.85		(0.84	)		8.57		2.70	2
Annualized return on average common shareholders’ equity 1		8.6	%	N.M.			8.8	%	3.7	% 2

1. Annualized ROE is computed by dividing annualized net earnings applicable to common shareholders by average monthly common shareholders’ equity. The impact of the $1.64 billion Series G Preferred Stock dividend in the first quarter of 2011 was not annualized in the calculation of annualized net earnings applicable to common shareholders for the nine months ended September 2011 as this amount had no impact on other quarters in the year. The table below presents our average common shareholders’ equity.

	Average for the
	Three Months Ended September					Nine Months Ended September
in millions		2012		2011			2012		2011
Total shareholders’ equity		$73,043		$71,265			$71,750		$73,433
Preferred stock		(4,975	)	(3,100	)		(3,850	)	(4,257	)
Common shareholders’ equity		$68,068		$68,165			$67,900		$69,176

2. Excluding the impact of the preferred dividend of $1.64 billion in the first quarter of 2011 related to the redemption of our Series G Preferred Stock (calculated as the difference between the carrying value and the redemption value of the preferred stock), diluted earnings per common share were $5.60 and annualized ROE was 6.0% for the first nine months of 2011. We believe that presenting our results for the first nine months of 2011 excluding this dividend is meaningful, as it increases the comparability of period-to-period results. Diluted earnings per common share and annualized ROE excluding this dividend are non-GAAP measures and may not be comparable to similar non-GAAP measures used by other companies. The tables below present the calculation of net earnings applicable to common shareholders, diluted earnings per common share and average common shareholders’ equity excluding the impact of this dividend.

in millions, except per share amount	Nine Months Ended September 2011
Net earnings applicable to common shareholders	$  1,532
Impact of the Series G Preferred Stock dividend	1,643
Net earnings applicable to common shareholders, excluding the impact of the Series G Preferred Stock dividend	3,175
Divided by: average diluted common shares outstanding	566.6
Diluted earnings per common share, excluding the impact of the Series G Preferred Stock dividend	$    5.60

in millions	Average for the Nine Months Ended September 2011
Total shareholders’ equity	$73,433
Preferred stock	(4,257	)
Common shareholders’ equity	69,176
Impact of the Series G Preferred Stock dividend	1,150
Common shareholders’ equity, excluding the impact of the Series G Preferred Stock dividend	$70,326

124 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Net Revenues

Three Months Ended September 2012 versus September 2011.Net revenues on the condensed consolidated statements of earnings were $8.35 billion for the third quarter of 2012, compared with $3.59 billion for the third quarter of 2011, reflecting significantly improved other principal transactions revenues and, to a lesser extent, significantly higher market-making revenues and investment banking revenues compared with the third quarter of 2011. These increases were partially offset by significantly lower net interest income and commissions and fees compared with the third quarter of 2011. Investment management revenues were essentially unchanged compared with the third quarter of 2011.

Nine Months Ended September 2012 versus September 2011. Net revenues on the condensed consolidated statements of earnings were $24.93 billion for the first nine months of 2012, 10% higher than the first nine months of 2011, reflecting significantly higher other principal transactions revenues and, to a lesser extent, higher market-making revenues. These increases were partially offset by significantly lower net interest income, as well as lower commissions and fees compared with the first nine months of 2011. Investment banking revenues and investment management revenues were essentially unchanged compared with the first nine months of 2011.

Non-interest Revenues

Investment banking

During the third quarter of 2012, investment banking revenues reflected an operating environment generally characterized by continued concerns about the outlook for the global economy, particularly as it relates to Europe. These concerns weighed on investment banking activity, particularly in mergers and acquisitions, and initial public offerings activity levels. However, industry-wide debt underwriting activity improved compared with the second quarter of 2012, as credit spreads tightened and interest rates remained low. If macroeconomic concerns continue and result in lower levels of client activity, investment banking revenues would likely be negatively impacted.

Three Months Ended September 2012 versus September 2011.Investment banking revenues on the condensed consolidated statements of earnings were $1.17 billion for the third quarter of 2012, 50% higher than the third quarter of 2011, as revenues in our underwriting business were more than double the amount in the third quarter of 2011, which had particularly low volumes. This increase primarily reflected significantly higher revenues in debt underwriting, principally due to higher revenues from leveraged finance activity. Revenues in equity underwriting were higher compared with the third quarter of 2011, primarily reflecting an increase in client activity. Revenues in financial advisory were slightly lower compared with the third quarter of 2011.

Nine Months Ended September 2012 versus September 2011.Investment banking revenues on the condensed consolidated statements of earnings were $3.53 billion for the first nine months of 2012, essentially unchanged compared with the first nine months of 2011. Revenues in our underwriting business were slightly higher than the first nine months of 2011. Revenues in debt underwriting were significantly higher compared with the first nine months of 2011, reflecting higher revenues across all types of underwriting offerings. Revenues in equity underwriting were significantly lower compared with the first nine months of 2011, primarily reflecting a decline in industry-wide initial public offerings. Revenues in financial advisory were slightly lower compared with the first nine months of 2011.

Investment management

During the third quarter of 2012, investment management revenues reflected an operating environment generally characterized by improved asset prices, resulting in appreciation in the value of client assets. However, the mix of assets under management has shifted slightly to lower risk asset classes compared with the third quarter of 2011. In the future, if asset prices were to decline or investors continue to withdraw their assets, investment management revenues would likely be negatively impacted. In addition, continued concerns about the global economic outlook could result in downward pressure on assets under management.

Goldman Sachs September 2012 Form 10-Q 125

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Three Months Ended September 2012 versus September 2011. Investment management revenues on the condensed consolidated statements of earnings were $1.15 billion for the third quarter of 2012, essentially unchanged compared with the third quarter of 2011, as higher incentive fees were offset by slightly lower management and other fees.

Nine Months Ended September 2012 versus September 2011.Investment management revenues on the condensed consolidated statements of earnings were $3.52 billion for the first nine months of 2012, essentially unchanged compared with the first nine months of 2011, as significantly higher incentive fees, primarily related to the sale of our funds’ remaining investment in the ordinary shares of ICBC during the second quarter of 2012, were offset by slightly lower management and other fees, and lower transaction revenues.

Commissions and fees

Although global equity prices generally increased during the third quarter of 2012, commissions and fees reflected an environment characterized by significantly lower market volumes due to lower volatility levels, and broad market concerns and uncertainties about the outlook of the global economy, particularly as it relates to Europe. If macroeconomic concerns continue and result in lower market volumes, commissions and fees would likely continue to be negatively impacted.

Three Months Ended September 2012 versus September 2011.Commissions and fees on the condensed consolidated statements of earnings were $748 million for the third quarter of 2012, 29% lower than the third quarter of 2011, reflecting lower market volumes.

Nine Months Ended September 2012 versus September 2011.Commissions and fees on the condensed consolidated statements of earnings were $2.41 billion for the first nine months of 2012, 19% lower than the first nine months of 2011, reflecting lower market volumes.

Market making

During the third quarter of 2012, market-making revenues reflected an environment generally characterized by some positive developments, including certain central bank actions to ease monetary policy, which resulted in tighter credit spreads, higher global equity prices and lower volatility levels compared with the second quarter of 2012. However, concerns and uncertainties about the outlook of the global economy, particularly as it relates to Europe, persisted, which resulted in weak investor conviction and generally low levels of activity. If these concerns and uncertainties continue over the long term, market-making revenues would likely be negatively impacted.

Three Months Ended September 2012 versus September 2011. Market-making revenues on the condensed consolidated statement of earnings were $2.65 billion for the third quarter of 2012, 47% higher than the third quarter of 2011, primarily reflecting significantly higher revenues in mortgages, equity shares and credit products, partially offset by significantly lower revenues in commodities.

Nine Months Ended September 2012 versus September 2011. Market-making revenues on the condensed consolidated statement of earnings were $8.65 billion for the first nine months of 2012, 8% higher than the first nine months of 2011, primarily reflecting significantly higher revenues in mortgages, interest rate products and equity shares, partially offset by significantly lower revenues in commodities and equity derivatives.

126 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Other principal transactions

During the third quarter of 2012, other principal transactions revenues reflected an operating environment characterized by tighter credit spreads and an increase in global equity prices. However, concerns about the outlook for the global economy, particularly as it relates to Europe, and uncertainty over financial regulatory reform persisted during the quarter. If equity prices decline and credit spreads widen, other principal transactions revenues would be negatively impacted.

Three Months Ended September 2012 versus September 2011.Other principal transactions revenues on the condensed consolidated statement of earnings were $1.80 billion for the third quarter of 2012, compared with negative revenues of $2.54 billion for the third quarter of 2011. Results for the third quarter of 2012 included a gain from our investment in the ordinary shares of ICBC, net gains from other investments in equities, primarily in private equities, net gains from debt securities and loans, and revenues related to our consolidated investment entities.

In the third quarter of 2011, other principal transactions revenues included a loss from our investment in the ordinary shares of ICBC, net losses from other investments in equities, primarily in public equities, as well as net losses from debt securities and loans, primarily in mezzanine and senior corporate loans. These net losses were partially offset by revenues related to our consolidated investment entities.

Nine Months Ended September 2012 versus September 2011.Other principal transactions revenues on the condensed consolidated statements of earnings were $3.91 billion for the first nine months of 2012, compared with $675 million for the first nine months of 2011. Results for the first nine months of 2012 included a gain from our investment in the ordinary shares of ICBC and net gains from other investments in equities, primarily in private equities. In addition, other principal transactions revenues included net gains from debt securities and loans, and revenues related to our consolidated investment entities.

In the first nine months of 2011, other principal transactions revenues included a loss from our investment in the ordinary shares of ICBC and net gains from other investments in equities, primarily driven by gains from private equities, partially offset by losses from public equities. In addition, other principal transactions revenues included net losses from debt securities and loans, primarily reflecting the impact of significantly wider credit spreads during the first nine months of 2011, and revenues related to our consolidated investment entities.

Net Interest Income

Three Months Ended September 2012 versus September 2011.Net interest income on the condensed consolidated statements of earnings was $836 million for the third quarter of 2012, 38% lower than the third quarter of 2011. The decrease compared with the third quarter of 2011 was primarily due to lower average yields on financial instruments, owned at fair value and collateralized agreements.

Nine Months Ended September 2012 versus September 2011. Net interest income on the condensed consolidated statements of earnings was $2.91 billion for the first nine months of 2012, 30% lower than the first nine months of 2011. The decrease compared with the first nine months of 2011 was primarily due to lower average yields on financial instruments, owned at fair value and collateralized agreements.

Operating Expenses

Our operating expenses are primarily influenced by compensation, headcount and levels of business activity. Compensation and benefits includes salaries, estimated year-end discretionary compensation, amortization of equity awards and other items such as benefits. Discretionary compensation is significantly impacted by, among other factors, the level of net revenues, prevailing labor markets, business mix, the structure of our share-based compensation programs and the external environment.

In the context of more difficult economic and financial conditions, the firm launched an initiative during the second quarter of 2011 to identify areas where we can operate more efficiently and reduce our operating expenses. We have met our 2011 targeted annual run rate compensation and non-compensation reduction of approximately $1.4 billion. We are currently targeting approximately $500 million in additional annual run rate compensation and non-compensation reductions that we expect to complete by year-end.

Goldman Sachs September 2012 Form 10-Q 127

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

The table below presents our operating expenses and total staff.

	Three Months Ended September			Nine Months Ended September
$ in millions		2012	2011		2012	2011
Compensation and benefits		$  3,675	$  1,578		$10,968	$10,015
Brokerage, clearing, exchange and distribution fees		547	668		1,658	1,903
Market development		123	140		369	502
Communications and technology		190	209		588	617
Depreciation and amortization		396	389		1,238	1,351
Occupancy		217	262		643	781
Professional fees		205	253		652	749
Insurance reserves 1		153	197		431	402
Other expenses		547	621		1,486	1,520
Total non-compensation expenses		2,378	2,739		7,065	7,825
Total operating expenses		$  6,053	$  4,317		$18,033	$17,840
Total staff at period-end 2		32,600	34,200

1. Revenues related to our insurance activities are included in “Market making” on the condensed consolidated statements of earnings.

2. Includes employees, consultants and temporary staff.

Three Months Ended September 2012 versus September 2011.Operating expenses were $6.05 billion for the third quarter of 2012, 40% higher than the third quarter of 2011. The accrual for compensation and benefits expenses was $3.68 billion for the third quarter of 2012, which was higher than the third quarter of 2011 due to higher net revenues. Total staff remained essentially unchanged during the third quarter of 2012.

Non-compensation expenses were $2.38 billion, 13% lower than the third quarter of 2011. The decrease compared with the third quarter of 2011 primarily reflected lower brokerage, clearing, exchange and distribution fees which principally reflected lower transaction volumes in Equities, lower expenses related to the U.K. bank levy (approximately $100 million related to the enactment of the U.K. bank levy was included in other expenses in the third quarter of 2011) and the impact of expense reduction initiatives. The third quarter of 2012 included net provisions for litigation and regulatory proceedings of $62 million.

Nine Months Ended September 2012 versus September 2011.Operating expenses were $18.03 billion for the first nine months of 2012, essentially unchanged compared with the first nine months of 2011. The accrual for compensation and benefits expenses was $10.97 billion for the first nine months of 2012, which was higher than the first nine months of 2011 due to higher net revenues. The ratio of compensation and benefits to net revenues for the first nine months of 2012 was 44.0%, consistent with the first nine months of 2011. Total staff decreased 2% during the first nine months of 2012.

Non-compensation expenses were $7.07 billion, 10% lower than the first nine months of 2011. The decrease compared with the first nine months of 2011 primarily reflected lower brokerage, clearing, exchange and distribution fees which principally reflected lower transaction volumes in Equities, the impact of expense reduction initiatives and lower impairment charges during the first nine months of 2012. The first nine months of 2012 included net provisions for litigation and regulatory proceedings of $188 million.

Provision for Taxes

The effective income tax rate for the first nine months of 2012 was 33.5%, up slightly from 33.2% for the first half of 2012 and up from 28.0% for 2011. The increase from 28.0% to 33.5% was primarily due to the earnings mix and a decrease in the impact of permanent benefits.

Effective January 1, 2012, the rules related to the deferral of U.S. tax on certain non-repatriated active financing income expired. This change did not have a material effect on our financial condition, results of operations or cash flows as of or for the three and nine months ended September 2012 and we do not expect this change to have a material effect on our financial condition, results of operations or cash flows for the remainder of 2012. This change may have a material impact on our effective tax rate for 2013 if the expired provisions are not re-enacted.

128 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Segment Operating Results

The table below presents the net revenues, operating expenses and pre-tax earnings of our segments.

		Three Months Ended September				Nine Months Ended September
in millions			2012	2011			2012	2011
Investment Banking	Net revenues		$1,164	$    781			$  3,521	$  3,498
	Operating expenses		825	541			2,560	2,445
	Pre-tax earnings		$   339	$    240			$     961	$  1,053
Institutional Client Services	Net revenues		$4,184	$ 4,062			$13,782	$14,224
	Operating expenses		3,186	2,631			10,016	10,255
	Pre-tax earnings		$   998	$ 1,431			$  3,766	$  3,969
Investing & Lending	Net revenues		$1,804	$(2,479	)		$  3,918	$  1,270
	Operating expenses		1,002	86			2,216	1,864
	Pre-tax earnings/(loss)		$   802	$(2,565	)		$  1,702	$    (594	)
Investment Management	Net revenues		$1,199	$ 1,223			$  3,706	$  3,770
	Operating expenses		977	989			3,037	3,112
	Pre-tax earnings		$   222	$    234			$     669	$     658
Total	Net revenues		$8,351	$ 3,587			$24,927	$22,762
	Operating expenses		6,053	4,317			18,033	17,840
	Pre-tax earnings/(loss)		$2,298	$   (730	)		$  6,894	$  4,922

Total operating expenses in the table above include the following expenses that have not been allocated to our segments:

Ÿ net provisions for a number of litigation and regulatory proceedings of $62 million and $59 million for the three months ended September 2012 and September 2011, respectively, and $188 million and $128 million for the nine months ended September 2012 and September 2011, respectively;

Ÿ charitable contributions of $12 million and $25 million for the nine months ended September 2012 and September 2011, respectively; and

Ÿ real estate-related exit costs of $1 million and $11 million for the three months ended September 2012 and September 2011, respectively, and $4 million and $11 million for the nine months ended September 2012 and September 2011, respectively. Real estate-related exit costs are included in “Depreciation and amortization” and “Occupancy” in the condensed consolidated statements of earnings.

Net revenues in our segments include allocations of interest income and interest expense to specific securities, commodities and other positions in relation to the cash generated by, or funding requirements of, such underlying positions. See Note 25 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for further information about our business segments.

The cost drivers of Goldman Sachs taken as a whole — compensation, headcount and levels of business activity — are broadly similar in each of our business segments. Compensation and benefits expenses within our segments reflect, among other factors, the overall performance of Goldman Sachs as well as the performance of individual businesses. Consequently, pre-tax margins in one segment of our business may be significantly affected by the performance of our other business segments. A discussion of segment operating results follows.

Goldman Sachs September 2012 Form 10-Q 129

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Investment Banking

Our Investment Banking segment is comprised of:

Financial Advisory.Includes advisory assignments with respect to mergers and acquisitions, divestitures, corporate defense activities, risk management, restructurings and spin-offs, and derivative transactions directly related to these client advisory assignments.

Underwriting.Includes public offerings and private placements of a wide range of securities, loans and other financial instruments, and derivative transactions directly related to these client underwriting activities.

The table below presents the operating results of our Investment Banking segment.

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Financial Advisory		$   509	$523		$1,467	$1,517
Equity underwriting		189	90		683	894
Debt underwriting		466	168		1,371	1,087
Total Underwriting		655	258		2,054	1,981
Total net revenues		1,164	781		3,521	3,498
Operating expenses		825	541		2,560	2,445
Pre-tax earnings		$   339	$240		$   961	$1,053

The table below presents our financial advisory and underwriting transaction volumes. ¹

	Three Months Ended September			Nine Months Ended September
in billions		2012	2011		2012	2011
Announced mergers and acquisitions		$176	$143		$473	$497
Completed mergers and acquisitions		153	165		374	520
Equity and equity-related offerings 2		17	6		41	48
Debt offerings 3		55	41		166	174

1. Source: Thomson Reuters. Announced and completed mergers and acquisitions volumes are based on full credit to each of the advisors in a transaction. Equity and equity-related offerings and debt offerings are based on full credit for single book managers and equal credit for joint book managers. Transaction volumes may not be indicative of net revenues in a given period. In addition, transaction volumes for prior periods may vary from amounts previously reported due to the subsequent withdrawal or a change in the value of a transaction.

2. Includes Rule 144A and public common stock offerings, convertible offerings and rights offerings.

3. Includes non-convertible preferred stock, mortgage-backed securities, asset-backed securities and taxable municipal debt. Includes publicly registered and Rule 144A issues. Excludes leveraged loans.

Three Months Ended September 2012 versus September 2011.Net revenues in Investment Banking were $1.16 billion, 49% higher than the third quarter of 2011.

Net revenues in Financial Advisory were $509 million, slightly lower compared with the third quarter of 2011. Net revenues in our Underwriting business were $655 million, more than double the amount in the third quarter of 2011, which had particularly low volumes. This increase primarily reflected significantly higher net revenues in debt underwriting, principally due to higher net revenues from leveraged finance activity. Net revenues in equity underwriting were higher compared with the third quarter of 2011, primarily reflecting an increase in client activity.

During the third quarter of 2012, Investment Banking operated in an environment generally characterized by continued concerns about the outlook for the global economy, particularly as it relates to Europe. These concerns weighed on investment banking activity, particularly in mergers and acquisitions, and initial public offerings activity levels. However, industry-wide debt underwriting activity improved compared with the second quarter of 2012, as credit spreads tightened and interest rates remained low. If macroeconomic concerns continue and result in lower levels of client activity, net revenues in Investment Banking would likely be negatively impacted.

Our investment banking transaction backlog declined slightly compared with the end of the second quarter of 2012, reflecting lower estimated net revenues from potential underwriting transactions, partially offset by higher estimated net revenues from potential advisory transactions. Estimated net revenues from potential debt underwriting transactions were lower compared with the second quarter of 2012, primarily reflecting a decrease in estimated net revenues related to underwriting commercial mortgage-backed securities and leveraged finance transactions. Estimated net revenues from potential equity underwriting transactions were also lower compared with the second quarter of 2012, reflecting a decrease in potential transactions due to uncertainty in market conditions.

130 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Our investment banking transaction backlog represents an estimate of our future net revenues from investment banking transactions where we believe that future revenue realization is more likely than not. We believe changes in our investment banking transaction backlog may be a useful indicator of client activity levels which, over the long term, impact our net revenues. However, the time frame for completion and corresponding revenue recognition of transactions in our backlog varies based on the nature of the assignment, as certain transactions may remain in our backlog for longer periods of time and others may enter and leave within the same reporting period. In addition, our transaction backlog is subject to certain limitations, such as assumptions about the likelihood that individual client transactions will occur in the future. Transactions may be cancelled or modified, and transactions not included in the estimate may also occur.

Operating expenses were $825 million for the third quarter of 2012, 52% higher than the third quarter of 2011, due to increased compensation and benefits expenses due to higher net revenues. Pre-tax earnings were $339 million in the third quarter of 2012, 41% higher than the third quarter of 2011.

Nine Months Ended September 2012 versus September 2011. Net revenues in Investment Banking were $3.52 billion, essentially unchanged compared with the first nine months of 2011.

Net revenues in Financial Advisory were $1.47 billion, slightly lower than the first nine months of 2011. Net revenues in our Underwriting business were $2.05 billion, slightly higher than the first nine months of 2011. Net revenues in debt underwriting were significantly higher compared with the first nine months of 2011, reflecting higher net revenues across all types of underwriting offerings. Net revenues in equity underwriting were significantly lower compared with the first nine months of 2011, primarily reflecting a decline in industry-wide initial public offerings.

During the first nine months of 2012, Investment Banking operated in an environment generally characterized by continued concerns about the outlook for the global economy, particularly as it relates to Europe. These concerns weighed on investment banking activity, particularly in mergers and acquisitions, and equity and equity-related underwriting activity levels. However, industry-wide debt underwriting activity improved compared with the first nine months of 2011, as credit spreads tightened and interest rates remained low. If macroeconomic concerns continue and result in lower levels of client activity, net revenues in Investment Banking would likely be negatively impacted.

Our investment banking transaction backlog increased compared with the end of 2011. The increase compared with the end of 2011 was due to an increase in potential debt underwriting transactions, primarily reflecting an increase in leveraged finance transactions, and an increase in potential advisory transactions. These increases were partially offset by a decrease in potential equity underwriting transactions compared with the end of 2011, reflecting uncertainty in market conditions.

Operating expenses were $2.56 billion for the first nine months of 2012, 5% higher than the first nine months of 2011, due to increased compensation and benefits expenses. Pre-tax earnings were $961 million in the first nine months of 2012, 9% lower than the first nine months of 2011.

Goldman Sachs September 2012 Form 10-Q 131

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Institutional Client Services

Our Institutional Client Services segment is comprised of:

Fixed Income, Currency and Commodities Client Execution.Includes client execution activities related to making markets in interest rate products, credit products, mortgages, currencies and commodities.

We generate market-making revenues in these activities, in three ways:

Ÿ In large, highly liquid markets (such as markets for U.S. Treasury bills, large capitalization S&P 500 stocks or certain mortgage pass-through certificates), we execute a high volume of transactions for our clients for modest spreads and fees.

Ÿ In less liquid markets (such as mid-cap corporate bonds, growth market currencies and certain non-agency mortgage-backed securities), we execute transactions for our clients for spreads and fees that are generally somewhat larger.

Ÿ We also structure and execute transactions involving customized or tailor-made products that address our clients’ risk exposures, investment objectives or other complex needs (such as a jet fuel hedge for an airline).

Given the focus on the mortgage market, our mortgage activities are further described below.

Our activities in mortgages include commercial mortgage-related securities, loans and derivatives, residential mortgage-related securities, loans and derivatives (including U.S. government agency-issued collateralized mortgage obligations, other prime, subprime and Alt-A securities and loans), and other asset-backed securities, loans and derivatives.

We buy, hold and sell long and short mortgage positions, primarily for market making for our clients. Our inventory therefore changes based on client demands and is generally held for short-term periods.

See Notes 18 and 27 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for information about exposure to mortgage repurchase requests, mortgage rescissions and mortgage-related litigation.

Equities. Includes client execution activities related to making markets in equity products, as well as commissions and fees from executing and clearing institutional client transactions on major stock, options and futures exchanges worldwide. Equities also includes our securities services business, which provides financing, securities lending and other prime brokerage services to institutional clients, including hedge funds, mutual funds, pension funds and foundations, and generates revenues primarily in the form of interest rate spreads or fees, and revenues related to our insurance activities.

The table below presents the operating results of our Institutional Client Services segment.

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011	2012	2011
Fixed Income, Currency and Commodities Client Execution		$2,224	$1,731	$  7,876	$  7,655
Equities client execution		847	903	2,407	2,505
Commissions and fees		721	1,019	2,331	2,851
Securities services		392	409	1,168	1,213
Total Equities		1,960	2,331	5,906	6,569
Total net revenues		4,184	4,062	13,782	14,224
Operating expenses		3,186	2,631	10,016	10,255
Pre-tax earnings		$   998	$1,431	$  3,766	$  3,969

Three Months Ended September 2012 versus September 2011.Net revenues in Institutional Client Services were $4.18 billion, 3% higher than the third quarter of 2011.

Net revenues in Fixed Income, Currency and Commodities Client Execution were $2.22 billion, 28% higher than the third quarter of 2011. This increase reflected significantly higher net revenues in mortgages and higher net revenues in credit products, currencies and interest rate products, partially offset by significantly lower net revenues in commodities. During the third quarter of 2012, Fixed Income, Currency and Commodities Client Execution operated in an environment generally characterized by tighter credit spreads, as certain central banks took steps to ease monetary policy; however, broad market concerns persisted and levels of activity generally remained low.

132 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Net revenues in Equities were $1.96 billion, 16% lower than the third quarter of 2011, primarily due to significantly lower commissions and fees, reflecting lower market volumes, and lower net revenues in equities client execution. In addition, net revenues in securities services were slightly lower compared with the third quarter of 2011, primarily reflecting the impact of lower average customer balances. During the quarter, Equities operated in an environment generally characterized by an increase in global equity prices and lower volatility levels.

The net loss attributable to the impact of changes in our own credit spreads on borrowings for which the fair value option was elected was $370 million ($225 million and $145 million related to Fixed Income, Currency and Commodities Client Execution and equities client execution, respectively) for the third quarter of 2012, compared with a net gain of $450 million ($308 million and $142 million related to Fixed Income, Currency and Commodities Client Execution and equities client execution, respectively) for the third quarter of 2011.

During the third quarter of 2012, Institutional Client Services operated in an environment generally characterized by some positive developments, including certain central bank actions to ease monetary policy, which resulted in tighter credit spreads, higher global equity prices and lower volatility levels compared with the second quarter of 2012. However, concerns and uncertainties about the outlook of the global economy, particularly as it relates to Europe, persisted, which resulted in weak investor conviction and generally low levels of activity. If these concerns and uncertainties continue over the long term, net revenues in Fixed Income, Currency and Commodities Client Execution and Equities would likely be negatively impacted.

Operating expenses were $3.19 billion for the third quarter of 2012, 21% higher than the third quarter of 2011, due to increased compensation and benefits expenses, partially offset by lower brokerage, clearing, exchange and distribution fees, principally reflecting lower transaction volumes in Equities. Pre-tax earnings were $998 million in the third quarter of 2012, 30% lower than the third quarter of 2011.

Nine Months Ended September 2012 versus September 2011.Net revenues in Institutional Client Services were $13.78 billion, 3% lower than the first nine months of 2011.

Net revenues in Fixed Income, Currency and Commodities Client Execution were $7.88 billion, slightly higher than the first nine months of 2011, reflecting significantly higher net revenues in mortgages and higher net revenues in interest rate products, partially offset by significantly lower net revenues in commodities and lower net revenues in currencies. Net revenues in credit products were essentially unchanged compared with the first nine months of 2011. Although credit spreads generally tightened during the first nine months of 2012, broad market concerns and uncertainties contributed to generally low levels of activity, particularly during the second and third quarters of 2012.

Net revenues in Equities were $5.91 billion, 10% lower than the first nine months of 2011, primarily due to lower commissions and fees, reflecting lower market volumes, and slightly lower net revenues in equities client execution. In addition, net revenues in securities services were slightly lower compared with the first nine months of 2011, primarily reflecting the impact of lower average customer balances. During the first nine months of 2012, Equities operated in an environment generally characterized by an increase in global equity prices and lower volatility levels, as compared with the first nine months of 2011.

The net loss attributable to the impact of changes in our own credit spreads on borrowings for which the fair value option was elected was $588 million ($354 million and $234 million related to Fixed Income, Currency and Commodities Client Execution and equities client execution, respectively) for the first nine months of 2012, compared with a net gain of $576 million ($399 million and $177 million related to Fixed Income, Currency and Commodities Client Execution and equities client execution, respectively) for the first nine months of 2011.

Goldman Sachs September 2012 Form 10-Q 133

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Institutional Client Services operated in an environment generally characterized by continued broad market concerns and uncertainties, although positive developments during the first nine months of 2012 helped to improve market conditions. These developments included certain central bank actions to ease monetary policy and address funding risks for European financial institutions, which resulted in generally tighter credit spreads, higher global equity prices and lower volatility levels. However, concerns and uncertainties about the outlook of the global economy, particularly as it relates to Europe, and uncertainty over financial regulatory reform, persisted. If these concerns and uncertainties continue over the long term, net revenues in Fixed Income, Currency and Commodities Client Execution and Equities would likely continue to be negatively impacted.

Operating expenses were $10.02 billion for the first nine months of 2012, slightly lower than the first nine months of 2011, primarily due to lower brokerage, clearing, exchange and distribution fees, principally reflecting lower transaction volumes in Equities, and the impact of impairment charges during the first nine months of 2011, principally related to Litton Loan Servicing LP. Pre-tax earnings were $3.77 billion in the first nine months of 2012, 5% lower than the first nine months of 2011.

Investing & Lending

Investing & Lending includes our investing activities and the origination of loans to provide financing to clients. These investments and loans are typically longer-term in nature. We make investments, directly and indirectly through funds that we manage, in debt securities, loans, public and private equity securities, real estate, consolidated investment entities and power generation facilities.

The table below presents the operating results of our Investing & Lending segment.

	Three Months Ended September				Nine Months Ended September
in millions		2012	2011			2012	2011
ICBC		$     99	$(1,045	)		$     74	$  (905)
Equity securities (excluding ICBC)		824	(1,004	)		1,603	736
Debt securities and loans		558	(907	)		1,365	317
Other		323	477			876	1,122
Total net revenues		1,804	(2,479	)		3,918	1,270
Operating expenses		1,002	86			2,216	1,864
Pre-tax earnings/(loss)		$   802	$(2,565	)		$1,702	$  (594)

Three Months Ended September 2012 versus September 2011.Net revenues in Investing & Lending were $1.80 billion for the third quarter of 2012, compared with negative net revenues of $2.48 billion for the third quarter of 2011. During the third quarter of 2012, Investing & Lending net revenues were positively impacted by tighter credit spreads and an increase in global equity prices. Results for the third quarter of 2012 included a gain of $99 million from our investment in the ordinary shares of ICBC, net gains of $824 million from other investments in equities, primarily in private equities, net gains and net interest income of $558 million from debt securities and loans, and other net revenues of $323 million, principally related to our consolidated investment entities.

During the third quarter of 2011, Investing & Lending net revenues were negatively impacted by a significant decline in global equity markets and unfavorable credit markets. Results for the third quarter of 2011 included a loss of $1.05 billion from our investment in the ordinary shares of ICBC, net losses of $1.00 billion from other investments in equities, primarily in public equities, as well as net losses of $907 million from debt securities and loans, primarily in mezzanine and senior corporate loans. These net losses were partially offset by other net revenues of $477 million, principally related to our consolidated investment entities.

Operating expenses were $1.00 billion for the third quarter of 2012, compared with $86 million in the third quarter of 2011. The increase compared with the third quarter of 2011 was primarily due to increased compensation and benefits expenses due to higher net revenues. Pre-tax earnings were $802 million in the third quarter of 2012, compared with a pre-tax loss of $2.57 billion in the third quarter of 2011.

134 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Nine Months Ended September 2012 versus September 2011.Net revenues in Investing & Lending were $3.92 billion for the first nine months of 2012, compared with $1.27 billion for the first nine months of 2011. During the first nine months of 2012, Investing & Lending net revenues were positively impacted by generally tighter credit spreads and an increase in global equity prices. Results for the first nine months of 2012 included a gain of $74 million from our investment in the ordinary shares of ICBC and net gains of $1.60 billion from other investments in equities, primarily in private equities. In addition, Investing & Lending included net gains and net interest income of $1.37 billion from debt securities and loans, and other net revenues of $876 million, principally related to our consolidated investment entities.

Results for the first nine months of 2011 included a loss of $905 million from our investment in the ordinary shares of ICBC, net gains of $736 million from other investments in equities, primarily driven by gains from private equities, partially offset by losses from public equities, and net revenues of $317 million from debt securities and loans, driven by net interest income, partially offset by losses, reflecting the impact of significantly wider credit spreads during the first nine months of 2011. In addition, Investing & Lending net revenues for the first nine months of 2011 included other net revenues of $1.12 billion, principally related to our consolidated investment entities.

Operating expenses were $2.22 billion for the first nine months of 2012, 19% higher than the first nine months of 2011, due to increased compensation and benefits expenses due to higher net revenues, and higher impairment charges related to our consolidated investment entities. Pre-tax earnings were $1.70 billion in the first nine months of 2012, compared with a pre-tax loss of $594 million in the first nine months of 2011.

Investment Management

Investment Management provides investment management services and offers investment products (primarily through separately managed accounts and commingled vehicles, such as mutual funds and private investment funds) across all major asset classes to a diverse set of institutional and individual clients. Investment Management also offers wealth advisory services, including portfolio management and financial counseling, and brokerage and other transaction services to high-net-worth individuals and families.

Assets under management typically generate fees as a percentage of net asset value, which vary by asset class and are affected by investment performance as well as asset inflows and redemptions. In certain circumstances, we are also entitled to receive incentive fees based on a percentage of a fund’s return or when the return exceeds a specified benchmark or other performance targets. Incentive fees are recognized when all material contingencies are resolved.

The table below presents the operating results of our Investment Management segment.

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011	2012	2011
Management and other fees		$1,016	$1,044	$3,038	$3,172
Incentive fees		82	45	357	182
Transaction revenues		101	134	311	416
Total net revenues		1,199	1,223	3,706	3,770
Operating expenses		977	989	3,037	3,112
Pre-tax earnings		$   222	$   234	$   669	$   658

Assets under management include client assets where we earn a fee for managing assets on a discretionary basis. This includes net assets in our mutual funds, hedge funds and private equity funds (including real estate funds), and separately managed accounts for institutional and individual investors. Assets under management do not include the self-directed assets of our clients, including brokerage accounts, or interest-bearing deposits held through our bank depository institution subsidiaries.

The tables below present our assets under management by asset class and a summary of the changes in our assets under management.

	As of
	September 30,			December 31,
in billions		2012	2011		2011	2010
Alternative investments 1		$136	$144		$142	$148
Equity		135	123		126	144
Fixed income		378	347		340	340
Total non-money market assets		649	614		608	632
Money markets		207	207		220	208
Total assets under management		$856	$821		$828	$840

1. Primarily includes hedge funds, private equity, real estate, currencies, commodities and asset allocation strategies.

Goldman Sachs September 2012 Form 10-Q 135

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

	Three Months Ended September 30,					Nine Months Ended September 30,
in billions		2012		2011			2012		2011
Balance, beginning of period		$836		$844			$828		$840
Net inflows/(outflows)
Alternative investments		(3	)	—			(8	)	(3	)
Equity		(1	)	—			(8	)	(2	)
Fixed income		5		(5	)		18		(3	)
Total non-money market net inflows/(outflows)		1		(5	)		2		(8	)
Money markets		(2	)	11			(13	)	(1	)
Total net inflows/(outflows)		(1	)	6	1		(11	) 2	(9	) 1
Net market appreciation/(depreciation)		21		(29	)		39		(10	)
Balance, end of period		$856		$821			$856		$821

1. Includes $6 billion of asset inflows across all asset classes in connection with our acquisitions of Goldman Sachs Australia Pty Ltd and Benchmark Asset Management Company Private Limited.

2. Includes $17 billion of fixed income asset inflows in connection with our acquisition of Dwight Asset Management.

Three Months Ended September 2012 versus September 2011.Net revenues in Investment Management were $1.20 billion, 2% lower than the third quarter of 2011. The decrease in net revenues compared with the third quarter of 2011 reflected lower transaction revenues and slightly lower management and other fees, partially offset by higher incentive fees. During the quarter, assets under management increased $20 billion to $856 billion, reflecting net market appreciation.

During the third quarter of 2012, Investment Management operated in an environment generally characterized by improved asset prices, resulting in appreciation in the value of client assets. However, the mix of assets under management has shifted slightly to lower risk asset classes compared with the third quarter of 2011. In the future, if asset prices were to decline or investors continue to withdraw their assets, net revenues in Investment Management would likely continue to be negatively impacted. In addition, continued concerns about the global economic outlook could result in downward pressure on assets under management.

Operating expenses were $977 million for the third quarter of 2012, essentially unchanged compared with the third quarter of 2011. Pre-tax earnings were $222 million in the third quarter of 2012, 5% lower than the third quarter of 2011.

Nine Months Ended September 2012 versus September 2011.Net revenues in Investment Management were $3.71 billion, 2% lower than the first nine months of 2011 due to slightly lower management and other fees, and lower transaction revenues, partially offset by significantly higher incentive fees, primarily related to the sale of our funds’ remaining investment in the ordinary shares of ICBC during the second quarter of 2012. During the first nine months of 2012, assets under management increased $28 billion to $856 billion. The increase in assets under management included net market appreciation of $39 billion, primarily in fixed income and equity assets, partially offset by net outflows of $11 billion. Net outflows included outflows in money market, equity and alternative investment assets, partially offset by inflows in fixed income assets (including $17 billion of fixed income asset inflows in connection with our acquisition of Dwight Asset Management).

During the first nine months of 2012, Investment Management operated in an environment generally characterized by improved asset prices, resulting in appreciation in the value of client assets. However, the mix of assets under management has shifted slightly to lower risk asset classes compared with the first nine months of 2011. In the future, if asset prices were to decline or investors continue to withdraw their assets, net revenues in Investment Management would likely continue to be negatively impacted. In addition, continued concerns about the global economic outlook could result in downward pressure on assets under management.

Operating expenses were $3.04 billion for the first nine months of 2012, slightly lower than the first nine months of 2011. Pre-tax earnings were $669 million in the first nine months of 2012, slightly higher than the first nine months of 2011.

Geographic Data

See Note 25 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for a summary of our total net revenues and pre-tax earnings by geographic region.

136 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Regulatory Developments

The U.S. Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act), enacted in July 2010, significantly altered the financial regulatory regime within which we operate. The implications of the Dodd-Frank Act for our businesses will depend to a large extent on the rules that will be adopted by the Board of Governors of the Federal Reserve System (Federal Reserve Board), the Federal Deposit Insurance Corporation (FDIC), the SEC, the U.S. Commodity Futures Trading Commission (CFTC) and other agencies to implement the legislation, as well as the development of market practices and structures under the regime established by the legislation and the implementing rules. Similar reforms are being considered by other regulators and policy makers worldwide and these reforms may affect our businesses. We expect that the principal areas of impact from regulatory reform for us will be:

Ÿ the Dodd-Frank prohibition on “proprietary trading” and the limitation on the sponsorship of, and investment in, hedge funds and private equity funds by banking entities, including bank holding companies, referred to as the “Volcker Rule”;

Ÿ increased regulation of and restrictions on over-the-counter (OTC) derivatives markets and transactions; and

Ÿ increased regulatory capital requirements.

In October 2011, the proposed rules to implement the Volcker Rule were issued and included an extensive request for comments on the proposal. The proposed rules are highly complex and many aspects of the Volcker Rule remain unclear. The full impact of the rule will depend upon the detailed scope of the prohibitions, permitted activities, exceptions and exclusions, and the full impact on the firm will not be known with certainty until the rules are finalized.

While many aspects of the Volcker Rule remain unclear, we evaluated the prohibition on “proprietary trading” and determined that businesses that engage in “bright line” proprietary trading are most likely to be prohibited. In 2011 and 2010, we liquidated substantially all of our Principal Strategies and global macro proprietary trading positions.

In addition, we evaluated the limitations on sponsorship of, and investments in, hedge funds and private equity funds. The firm earns management fees and incentive fees for investment management services from private equity and hedge funds, which are included in our Investment Management segment. The firm also makes investments in funds and the gains and losses from such investments are included in our Investing & Lending segment; these gains and losses will be impacted by the Volcker Rule. The Volcker Rule limitation on investments in hedge funds and private equity funds requires the firm to reduce its investment in each private equity and hedge fund to 3% or less of net asset value, and to reduce the firm’s aggregate investment in all such funds to 3% or less of the firm’s Tier 1 capital. Over the period from 1999 through the third quarter of 2012, the firm’s aggregate net revenues from its investments in hedge funds and private equity funds were not material to the firm’s aggregate total net revenues over the same period. We continue to manage our existing private equity funds taking into account the transition periods under the Volcker Rule. With respect to our hedge funds, we currently plan to comply with the Volcker Rule by redeeming certain of our interests in the funds. We currently expect to redeem up to approximately 10% of certain hedge funds’ total redeemable units per quarter over ten consecutive quarters, beginning March 2012 and ending June 2014. We redeemed approximately $300 million and $800 million of these interests in hedge funds during the three and nine months ended September 2012, respectively. In addition, we have limited the firm’s initial investment to 3% for certain new funds.

Goldman Sachs September 2012 Form 10-Q 137

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

As required by the Dodd-Frank Act, the Federal Reserve Board and FDIC have jointly issued a rule requiring each bank holding company with over $50 billion in assets and each designated systemically important financial institution to provide to regulators an annual plan for its rapid and orderly resolution in the event of material financial distress or failure (resolution plan). Our resolution plan must, among other things, ensure that Goldman Sachs Bank USA (GS Bank USA) is adequately protected from risks arising from our other entities. The regulators’ joint rule sets specific standards for the resolution plans, including requiring a detailed resolution strategy and analyses of the company’s material entities, organizational structure, interconnections and interdependencies, and management information systems, among other elements. We submitted our first resolution plan to the regulators on June 29, 2012. GS Bank USA also submitted a plan for its rapid and orderly resolution in the event of material financial distress or failure on June 29, 2012, as required by the FDIC.

In September 2011, the SEC proposed rules to implement the Dodd-Frank Act’s prohibition against securitization participants’ engaging in any transaction that would involve or result in any material conflict of interest with an investor in a securitization transaction. The proposed rules would except bona fide market-making activities and risk-mitigating hedging activities in connection with securitization activities from the general prohibition.

In December 2011, the Federal Reserve Board has proposed regulations designed to strengthen the regulation and supervision of large bank holding companies and systemically important nonbank financial firms. These proposals address risk-based capital and leverage requirements, liquidity requirements, single counterparty limits and early remediation requirements that are designed to address financial weakness at an early stage. Although many of the proposals mirror initiatives to which bank holding companies are already subject, their full impact on the firm will not be known with certainty until the rules are finalized. In addition, in October 2012, the Federal Reserve Board issued final rules for stress testing requirements for certain bank holding companies, including the firm.

The Dodd-Frank Act also contains provisions that include (i) requiring the registration of all swap dealers, major swap participants, security-based swap dealers, and/or major security-based swap participants, and the clearing and execution of more liquid “swaps” through regulated facilities (subject to limited exceptions) and both public and regulatory reporting of trade information, (ii) placing new requirements on swap dealers and security-based swap dealers to comply with new business conduct standards, covering their relationships with counterparties and their internal management of risks and information associated with swaps and security-based swaps, and (iii) establishing mandatory margin requirements for trades that are not cleared through a central counterparty. Although it has not yet finalized its capital regulations, the CFTC has finalized many other rules and has laid out a series of implementation deadlines in the fourth quarter of 2012 and into 2013. Among other requirements, firms that meet the regulatory definition of a swap dealer must register as such with the CFTC by December 31, 2012. Additional CFTC requirements, including business conduct standards for swap dealers and swap reporting requirements for all market participants, will also start on or shortly after December 31, 2012. In October 2012, the SEC also published proposed rules to implement certain of the above provisions of the Dodd-Frank Act related to margin and capital requirements for security-based swap dealers, major security-based swap participants and the clearing and execution of security-based swaps. Furthermore, in July 2012, the Basel Committee and the International Organization of Securities Commissions released a consultative document proposing margin requirements for non-centrally-cleared derivatives. The full impact of these proposals on the firm will not be known with certainty until the rules are finalized.

The Dodd-Frank Act also establishes a Bureau of Consumer Financial Protection having broad authority to regulate providers of credit, payment and other consumer financial products and services, and this Bureau has oversight over certain of our products and services.

See Note 20 to the condensed consolidated financial statements in Part I, Item I of this Form 10-Q for additional information about regulatory developments as they relate to our regulatory capital ratios.

See “Business — Regulation” in Part I, Item 1 of our Annual Report on Form 10-K for more information.

138 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Balance Sheet and Funding Sources

Balance Sheet Management

One of our most important risk management disciplines is our ability to manage the size and composition of our balance sheet. While our asset base changes due to client activity, market fluctuations and business opportunities, the size and composition of our balance sheet reflect (i) our overall risk tolerance, (ii) our ability to access stable funding sources and (iii) the amount of equity capital we hold.

Although our balance sheet fluctuates on a day-to-day basis, our total assets and adjusted assets at quarterly and year-end dates are generally not materially different from those occurring within our reporting periods.

In order to ensure appropriate risk management, we seek to maintain a liquid balance sheet and have processes in place to dynamically manage our assets and liabilities which include:

Ÿ quarterly planning;

Ÿ business-specific limits;

Ÿ monitoring of key metrics; and

Ÿ scenario analyses.

Quarterly Planning. We prepare a quarterly balance sheet plan that combines our projected total assets and composition of assets with our expected funding sources and capital levels for the upcoming quarter. The objectives of this quarterly planning process are:

Ÿ to develop our near-term balance sheet projections, taking into account the general state of the financial markets and expected client-driven and firm-driven activity levels;

Ÿ to ensure that our projected assets are supported by an adequate amount and tenor of funding and that our projected capital and liquidity metrics are within management guidelines; and

Ÿ to allow business risk managers and managers from our independent control and support functions to objectively evaluate balance sheet limit requests from business managers in the context of the firm’s overall balance sheet constraints. These constraints include the firm’s liability profile and equity capital levels, maturities and plans for new debt and equity issuances, share repurchases, deposit trends and secured funding transactions.

To prepare our quarterly balance sheet plan, business risk managers and managers from our independent control and support functions meet with business managers to review current and prior period metrics and discuss expectations for the upcoming quarter. The specific metrics reviewed include asset and liability size and composition, aged inventory, limit utilization, risk and performance measures, and capital usage.

Our consolidated quarterly plan, including our balance sheet plans by business, funding and capital projections, and projected capital and liquidity metrics, is reviewed by the Firmwide Finance Committee. See “Overview and Structure of Risk Management.”

Goldman Sachs September 2012 Form 10-Q 139

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Business-Specific Limits. The Firmwide Finance Committee sets asset and liability limits for each business and aged inventory limits for certain financial instruments as a disincentive to hold inventory over longer periods of time. These limits are set at levels which are close to actual operating levels in order to ensure prompt escalation and discussion among business managers and managers in our independent control and support functions on a routine basis. The Firmwide Finance Committee reviews and approves balance sheet limits on a quarterly basis and may also approve changes in limits on an ad hoc basis in response to changing business needs or market conditions.

Monitoring of Key Metrics. We monitor key balance sheet metrics daily both by business and on a consolidated basis, including asset and liability size and composition, aged inventory, limit utilization, risk measures and capital usage. We allocate assets to businesses and review and analyze movements resulting from new business activity as well as market fluctuations.

Scenario Analyses. We conduct scenario analyses to determine how we would manage the size and composition of our balance sheet and maintain appropriate funding, liquidity and capital positions in a variety of situations:

Ÿ These scenarios cover short-term and long-term time horizons using various macro-economic and firm-specific assumptions. We use these analyses to assist us in developing longer-term funding plans, including the level of unsecured debt issuances, the size of our secured funding program and the amount and composition of our equity capital. We also consider any potential future constraints, such as limits on our ability to grow our asset base in the absence of appropriate funding.

Ÿ Through our Internal Capital Adequacy Assessment Process (ICAAP) and our resolution and recovery planning, we further analyze how we would manage our balance sheet and risks through the duration of a severe crisis and we develop plans to access funding, generate liquidity, and/or redeploy or issue equity capital, as appropriate.

Balance Sheet Allocation

In addition to preparing our condensed consolidated statements of financial condition in accordance with U.S. GAAP, we prepare a balance sheet that generally allocates assets to our businesses, which is a non-GAAP presentation and may not be comparable to similar non-GAAP presentations used by other companies. We believe that presenting our assets on this basis is meaningful because it is consistent with the way management views and manages risks associated with the firm’s assets and better enables investors to assess the liquidity of the firm’s assets. The table below presents a summary of this balance sheet allocation.

	As of
in millions		September 2012	December 2011
Excess liquidity (Global Core Excess)		$170,210	$171,581
Other cash		6,328	7,888
Excess liquidity and cash		176,538	179,469
Secured client financing		246,744	283,707
Inventory		325,960	273,640
Secured financing agreements		84,819	71,103
Receivables		37,142	35,769
Institutional Client Services		447,921	380,512
ICBC		1,733	4,713
Equity (excluding ICBC)		21,662	23,041
Debt		24,003	23,311
Receivables and other		6,882	5,320
Investing & Lending		54,280	56,385
Total inventory and related assets		502,201	436,897
Other assets		23,724	23,152
Total assets		$949,207	$923,225

140 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

The following is a description of the captions in the table above.

Excess Liquidity and Cash. We maintain substantial excess liquidity to meet a broad range of potential cash outflows and collateral needs in the event of a stressed environment. See “Liquidity Risk Management” below for details on the composition and sizing of our excess liquidity pool or “Global Core Excess” (GCE). In addition to our excess liquidity, we maintain other operating cash balances, primarily for use in specific currencies, entities, or jurisdictions where we do not have immediate access to parent company liquidity.

Secured Client Financing. We provide collateralized financing for client positions, including margin loans secured by client collateral, securities borrowed, and resale agreements primarily collateralized by government obligations. As a result of client activities, we are required to segregate cash and securities to satisfy regulatory requirements. Our secured client financing arrangements, which are generally short-term, are accounted for at fair value or at amounts that approximate fair value, and include daily margin requirements to mitigate counterparty credit risk.

Institutional Client Services. In Institutional Client Services, we maintain inventory positions to facilitate market-making in fixed income, equity, currency and commodity products. Additionally, as part of client market-making activities, we enter into resale or securities borrowing arrangements to obtain securities which we can use to cover transactions in which we or our clients have sold securities that have not yet been purchased. The receivables in Institutional Client Services primarily relate to securities transactions.

Investing & Lending. In Investing & Lending, we make investments and originate loans to provide financing to clients. These investments and loans are typically longer-term in nature. We make investments, directly and indirectly through funds that we manage, in debt securities, loans, public and private equity securities, real estate and other investments.

Other Assets.Other assets are generally less liquid, non-financial assets, including property, leasehold improvements and equipment, goodwill and identifiable intangible assets, income tax-related receivables, equity-method investments and miscellaneous receivables.

Goldman Sachs September 2012 Form 10-Q 141

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

The tables below present the reconciliation of this balance sheet allocation to our U.S. GAAP balance sheet. In the tables below, total assets for Institutional Client Services and Investing & Lending represent the inventory and related assets. These amounts differ from total assets by

business segment disclosed in Note 25 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q because total assets disclosed in Note 25 include allocations of our excess liquidity and cash, secured client financing and other assets.

	As of September 2012
in millions		Excess Liquidity and Cash	1	Secured Client Financing	Institutional Client Services	Investing & Lending	Other Assets	Total Assets
Cash and cash equivalents		$  63,639		$          —	$          —	$       —	$       —	$  63,639
Cash and securities segregated for regulatory and other purposes		—		53,597	—	—	—	53,597
Securities purchased under agreements to resell and federal funds sold		47,051		68,071	32,055	184	—	147,361
Securities borrowed		24,905		87,581	52,764	—	—	165,250
Receivables from brokers, dealers and clearing organizations		—		3,282	12,253	21	—	15,556
Receivables from customers and counterparties		—		34,213	24,889	5,685	—	64,787
Financial instruments owned, at fair value		40,943		—	325,960	48,390	—	415,293
Other assets		—		—	—	—	23,724	23,724
Total assets		$176,538		$246,744	$447,921	$54,280	$23,724	$949,207
	As of December 2011
in millions		Excess Liquidity and Cash	1	Secured Client Financing	Institutional Client Services	Investing & Lending	Other Assets	Total Assets
Cash and cash equivalents		$  56,008		$          —	$          —	$       —	$       —	$  56,008
Cash and securities segregated for regulatory and other purposes		—		64,264	—	—	—	64,264
Securities purchased under agreements to resell and federal funds sold		70,220		98,445	18,671	453	—	187,789
Securities borrowed		14,919		85,990	52,432	—	—	153,341
Receivables from brokers, dealers and clearing organizations		—		3,252	10,612	340	—	14,204
Receivables from customers and counterparties		—		31,756	25,157	3,348	—	60,261
Financial instruments owned, at fair value		38,322		—	273,640	52,244	—	364,206
Other assets		—		—	—	—	23,152	23,152
Total assets		$179,469		$283,707	$380,512	$56,385	$23,152	$923,225

1. Includes unencumbered cash, U.S. government and federal agency obligations (including highly liquid U.S. federal agency mortgage-backed obligations), and German, French, Japanese and United Kingdom government obligations.

142 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Less Liquid Inventory Composition

We seek to maintain a liquid balance sheet comprised of assets that can be readily sold or funded on a secured basis. However, we do hold certain financial instruments that may be more difficult to sell, or fund on a secured basis, especially during times of market stress. We focus on funding these assets with liabilities that have longer-term contractual maturities to reduce the need to refinance in periods of market stress. The table below presents our aggregate holdings in these categories of financial instruments.

	As of
in millions		September 2012	December 2011
Bank loans and bridge loans 1		$21,011	$19,745
Mortgage and other asset-backed loans and securities		17,138	14,291
Private equity investments and restricted public equity securities 2		16,827	15,463
High-yield and other debt obligations		12,864	11,118
Emerging market debt securities		8,198	4,624
Emerging market equity securities		4,933	3,922
Other investments in funds 3		2,755	3,394
ICBC ordinary shares 4		1,733	4,713

1. Includes funded commitments and inventory held in connection with our origination, investing and market-making activities.

2. Includes interests in funds that we manage. Such amounts exclude assets for which the firm does not bear economic exposure of $2.41 billion and $2.38 billion as of September 2012 and December 2011, respectively, including assets related to consolidated investment funds and consolidated variable interest entities (VIEs).

3. Includes interests in other investment funds that we manage. We redeemed approximately $300 million and $800 million of these interests in hedge funds during the three and nine months ended September 2012, respectively. See “Results of Operations — Regulatory Developments” for more information about our plans to redeem certain of our interests in hedge funds to comply with the Volcker Rule.

4. Includes interests of $2.60 billion as of December 2011, held by investment funds managed by Goldman Sachs. These investment funds no longer have an interest in the ordinary shares of ICBC.

See Notes 4 through 6 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for further information about the financial instruments we hold.

Balance Sheet Analysis and Metrics

As of September 2012, total assets on our condensed consolidated statements of financial condition were $949.21 billion, an increase of $25.98 billion from December 2011. This increase was primarily due to an increase in financial instruments owned, at fair value of $51.09 billion, primarily due to increases in non-U.S. government and agency obligations and equities and convertible debentures. This increase was partially offset by decreases in collateralized agreements of $28.52 billion, primarily due to client activity.

As of September 2012, total liabilities on our condensed consolidated statements of financial condition were $875.52 billion, an increase of $22.67 billion from December 2011. This increase was primarily due to an increase in deposits of $15.42 billion, primarily due to increases in client activity.

As of September 2012 and December 2011, our total securities sold under agreements to repurchase, accounted for as collateralized financings, were $166.19 billion and $164.50 billion, respectively, which were both 7% higher than the daily average amount of repurchase agreements over the respective quarters. As of September 2012, the increase in our repurchase agreements relative to the daily average during the quarter was due to an increase in client activity and firm financing at the end of the quarter. The level of our repurchase agreements fluctuates between and within periods, primarily due to providing clients with access to highly liquid collateral, such as U.S. government and federal agency, and investment-grade sovereign obligations through collateralized financing activities.

Goldman Sachs September 2012 Form 10-Q 143

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

The table below presents information on our assets, unsecured long-term borrowings, shareholders’ equity and leverage ratios.

	As of
$ in millions		September 2012		December 2011
Total assets		$ 949,207		$ 923,225
Adjusted assets		$ 675,407		$ 604,391
Unsecured long-term borrowings		$ 167,878		$ 173,545
Total shareholders’ equity		$   73,687		$   70,379
Leverage ratio		12.9	x	13.1	x
Adjusted leverage ratio		9.2	x	8.6	x
Debt to equity ratio		2.3	x	2.5	x

Adjusted assets.Adjusted assets equals total assets less (i) low-risk collateralized assets generally associated with our secured client financing transactions, federal funds sold and excess liquidity (which includes financial instruments sold, but not yet purchased, at fair value, less derivative liabilities) and (ii) cash and securities we segregate for regulatory and other purposes. Adjusted assets is a non-GAAP measure and may not be comparable to similar non-GAAP measures used by other companies.

The table below presents the reconciliation of total assets to adjusted assets.

		As of
in millions			September 2012		December 2011
Total assets			$ 949,207		$ 923,225
Deduct:	Securities borrowed		(165,250	)	(153,341	)
	Securities purchased under agreements to resell and federal funds sold		(147,361	)	(187,789	)
Add:	Financial instruments sold, but not yet purchased, at fair value		144,179		145,013
	Less derivative liabilities		(51,771	)	(58,453	)
	Subtotal		(220,203	)	(254,570	)
Deduct:	Cash and securities segregated for regulatory and other purposes		(53,597	)	(64,264	)
Adjusted assets			$ 675,407		$ 604,391

Leverage ratio.The leverage ratio equals total assets divided by total shareholders’ equity and measures the proportion of equity and debt the firm is using to finance assets. This ratio is different from the Tier 1 leverage ratio included in “Equity Capital — Consolidated Regulatory Capital Ratios” below, and further described in Note 20 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q.

Adjusted leverage ratio.The adjusted leverage ratio equals adjusted assets divided by total shareholders’ equity. We believe that the adjusted leverage ratio is a more meaningful measure of our capital adequacy than the leverage ratio because it excludes certain low-risk collateralized assets that are generally supported with little or no capital. The adjusted leverage ratio is a non-GAAP measure and may not be comparable to similar non-GAAP measures used by other companies.

Our adjusted leverage ratio increased to 9.2x as of September 2012 from 8.6x as of December 2011 as our adjusted assets increased.

Debt to equity ratio.The debt to equity ratio equals unsecured long-term borrowings divided by total shareholders’ equity.

Funding Sources

Our primary sources of funding are secured financings, unsecured long-term and short-term borrowings, and deposits. We seek to maintain broad and diversified funding sources globally.

We raise funding through a number of different products, including:

Ÿ collateralized financings, such as repurchase agreements, securities loaned and other secured financings;

Ÿ long-term unsecured debt (including structured notes) through syndicated U.S. registered offerings, U.S. registered and 144A medium-term note programs, offshore medium-term note offerings and other debt offerings;

Ÿ demand and savings deposits through deposit sweep programs and time deposits through internal and third-party broker-dealers; and

Ÿ short-term unsecured debt through U.S. and non-U.S. commercial paper and promissory note issuances and other methods.

We generally distribute our funding products through our own sales force and third-party distributors, to a large, diverse creditor base in a variety of markets in the Americas, Europe and Asia. We believe that our relationships with our creditors are critical to our liquidity. Our creditors include banks, governments, securities lenders, pension funds, insurance companies, mutual funds and individuals. We have imposed various internal guidelines to monitor creditor concentration across our funding programs.

144 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Secured Funding. We fund a significant amount of our inventory on a secured basis. Secured funding is less sensitive to changes in our credit quality than unsecured funding due to the nature of the collateral we post to our lenders. However, because the terms or availability of secured funding, particularly short-dated funding, can deteriorate rapidly in a difficult environment, we generally do not rely on short-dated secured funding unless it is collateralized with highly liquid securities such as government obligations.

Substantially all of our other secured funding is executed for tenors of one month or greater. Additionally, we monitor counterparty concentration and hold a portion of our GCE for refinancing risk associated with our secured funding transactions. We seek longer terms for secured funding collateralized by lower-quality assets because these funding transactions may pose greater refinancing risk. In addition, we maintain secured funding capacity that is in excess of our existing requirements. This capacity is available to finance additional eligible inventory or to replace other secured liabilities.

The weighted average maturity of our secured funding, excluding funding collateralized by highly liquid securities eligible for inclusion in our GCE, exceeded 100 days as of September 2012.

A majority of our secured funding for securities not eligible for inclusion in the GCE is executed through term repurchase agreements and securities lending contracts. We also raise financing through other types of collateralized financings, such as secured loans and notes.

GS Bank USA has access to funding through the Federal Reserve Bank discount window. While we do not rely on this funding in our liquidity planning and stress testing, we maintain policies and procedures necessary to access this funding and test discount window borrowing procedures.

Unsecured Long-Term Borrowings. We issue unsecured long-term borrowings as a source of funding for inventory and other assets and to finance a portion of our GCE. We issue in different tenors, currencies, and products to maximize the diversification of our investor base. The table below presents our quarterly unsecured long-term borrowings maturity profile through the third quarter of 2018 as of September 2012.

Goldman Sachs September 2012 Form 10-Q 145

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

The weighted average maturity of our unsecured long-term borrowings as of September 2012 was approximately eight years. To mitigate refinancing risk, we seek to limit the principal amount of debt maturing on any one day or during any week or year. We enter into interest rate swaps to convert a substantial portion of our long-term borrowings  into floating-rate  obligations  in  order  to manage  our  exposure to  interest  rates.  See  Note 16  to  the condensed consolidated  financial   statements  in  Part I, Item 1  of  this Form 10-Q  for  further  information  about our  unsecured long-term borrowings.

Temporary Liquidity Guarantee Program (TLGP). The remaining portion of our senior unsecured short-term debt guaranteed by the FDIC under the TLGP matured during the second quarter of 2012. As of September 2012, no borrowings guaranteed by the FDIC under the TLGP were outstanding and the program had expired for new issuances.

Deposits. As of September 2012, our bank depository institution subsidiaries had $61.53 billion in customer deposits, including $25.69 billion of deposits from private wealth management clients (substantially all from overnight deposit sweep programs), $19.99 billion of long-term certificates of deposit and other long-term time deposits with a weighted average maturity of three years and $15.85 billion of other deposits, primarily from overnight deposit sweep programs, which are administered under long-term agreements. Substantially all of our deposits from private wealth management clients and other overnight deposit sweep programs  were sourced  through  our  own  sales  force  and third-party distributors. We utilize deposits to finance activities in our bank subsidiaries and to support potential outflows, such as draws on unfunded commitments.

Unsecured Short-Term Borrowings. A significant portion   of   our   short-term   borrowings   were   originally long-term debt that is scheduled to mature within one year of the reporting date. We use short-term borrowings to finance liquid assets and for other cash management purposes. We primarily issue commercial paper, promissory notes, and other hybrid instruments.

As of September 2012, our unsecured short-term borrowings, including the current portion of unsecured long-term borrowings, were $47.27 billion. See Note 15 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for further information about our unsecured short-term borrowings.

Equity Capital

Capital adequacy is of critical importance to us. Our objective is to be conservatively capitalized in terms of the amount and composition of our equity base. Accordingly, we have in place a comprehensive capital management policy that serves as a guide to determine the amount and composition of equity capital we maintain.

The level and composition of our equity capital are determined by multiple factors including our current and future consolidated regulatory capital requirements, our ICAAP and results of stress tests, and may also be influenced by other factors such as rating agency guidelines, subsidiary capital requirements, the business environment, conditions in the financial markets and assessments of potential future losses due to adverse changes in our business and market environments. In addition, we maintain a capital plan which projects sources and uses of capital given a range of business environments, and a contingency capital plan which provides a framework for analyzing and responding to an actual or perceived capital shortfall.

As part of the Federal Reserve Board’s annual Comprehensive Capital Analysis and Review, U.S. bank holding companies with total consolidated assets of $50 billion or greater, are required to submit annual capital plans for review by the Federal Reserve Board. The purpose of the Federal Reserve Board’s review is to ensure that these institutions have robust, forward-looking capital planning processes that account for their unique risks and that permit continued operations during times of economic and financial stress. The Federal Reserve Board will evaluate a bank holding company based on whether it has the capital necessary to continue operating under the baseline and stressed scenarios provided by the Federal Reserve. As part of the capital plan review, the Federal Reserve Board evaluates an institution’s plan to make capital distributions, such as increasing dividend payments or repurchasing  or  redeeming  stock,  across  a  range  of macro-economic and firm-specific assumptions. The Federal Reserve informed us that it did not object to our proposed capital actions through the first quarter of 2013, including the repurchase of outstanding common stock and the 2012 increases in the quarterly common stock dividend.

146 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Our consolidated regulatory capital requirements are determined by the Federal Reserve Board, as described below. Our ICAAP incorporates an internal risk-based capital assessment designed to identify and measure material risks associated with our business activities, including market risk, credit risk and operational risk, in a manner that is closely aligned  with  our  risk management practices.  Our  internal risk-based capital assessment is supplemented with the results of stress tests.

As of September 2012, our total shareholders’ equity was $73.69 billion (consisting of common shareholders’ equity of $68.34 billion and preferred stock of $5.35 billion). As of December 2011, our total shareholders’ equity was $70.38 billion (consisting of common shareholders’ equity of $67.28 billion and preferred stock of $3.10 billion). In addition, $2.75 billion of our junior subordinated debt issued to trusts qualifies as equity capital for regulatory and certain rating agency purposes. See “— Consolidated Regulatory Capital Ratios” below for information regarding the impact of regulatory developments.

Consolidated Regulatory Capital

The Federal Reserve Board is the primary regulator of Group Inc., a bank holding company and a financial holding company under the U.S. Bank Holding Company Act of 1956. As a bank holding company, we are subject to consolidated regulatory capital requirements that are computed in accordance with the Federal Reserve Board’s risk-based capital requirements (which are based on the ‘Basel 1’ Capital Accord of the Basel Committee on Banking Supervision (Basel Committee)).  These  capital requirements  are expressed  as  capital  ratios  that  compare  measures  of  capital  to risk-weighted assets (RWAs). See Note 20 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for additional information regarding the firm’s RWAs. The firm’s capital levels are also subject to qualitative judgments by its regulators about components, risk weightings and other factors.

Federal Reserve Board regulations require bank holding companies to maintain a minimum Tier 1 capital ratio of 4% and a minimum total capital ratio of 8%. The required minimum Tier 1 capital ratio and total capital ratio in order to be considered a “well-capitalized” bank holding company under the Federal Reserve Board guidelines are 6% and 10%, respectively. Bank holding companies may be expected to maintain ratios well above the minimum levels, depending on their particular condition, risk profile and growth plans. The minimum Tier 1 leverage ratio is 3% for bank holding companies that have received the highest supervisory rating under Federal Reserve Board guidelines or that have implemented the Federal Reserve Board’s risk-based capital measure for market risk. Other bank holding companies must have a minimum Tier 1 leverage ratio of 4%.

Goldman Sachs September 2012 Form 10-Q 147

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Consolidated Regulatory Capital Ratios

The table below presents information about our regulatory capital ratios.

	As of
$ in millions		September 2012		December 2011
Common shareholders’ equity		$  68,337		$  67,279
Less: Goodwill		(3,763	)	(3,802	)
Less: Disallowable intangible assets		(1,533	)	(1,666	)
Less: Other deductions 1		(5,911	)	(6,649	)
Tier 1 Common Capital		57,130		55,162
Preferred stock		5,350		3,100
Junior subordinated debt issued to trusts 2		2,750		5,000
Tier 1 Capital		65,230		63,262
Qualifying subordinated debt 3		13,309		13,828
Other adjustments		116		53
Tier 2 Capital		$  13,425		$  13,881
Total Capital		$  78,655		$  77,143
Risk-Weighted Assets 4		$435,331		$457,027
Tier 1 Capital Ratio		15.0	%	13.8	%
Total Capital Ratio		18.1	%	16.9	%
Tier 1 Leverage Ratio 4		7.2	%	7.0	%
Tier 1 Common Ratio 5		13.1	%	12.1	%

1. Principally includes equity investments in non-financial companies and the cumulative change in the fair value of our unsecured borrowings attributable to the impact of changes in our own credit spreads, disallowed deferred tax assets, and investments in certain nonconsolidated entities.

2. See Note 16 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for additional information about the junior subordinated debt issued to trusts.

3. Substantially all of our subordinated debt qualifies as Tier 2 capital for Basel 1 purposes.

4. See Note 20 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for additional information about the firm’s RWAs and Tier 1 leverage ratio.

5. The Tier 1 common ratio equals Tier 1 common capital divided by RWAs. We believe that the Tier 1 common ratio is meaningful because it is one of the measures that we and investors use to assess capital adequacy and, while not currently a formal regulatory capital ratio, this measure is of increasing importance to regulators. The Tier 1 common ratio  is  a non-GAAP  measure and  may  not  be  comparable  to similar non-GAAP measures used by other companies.

Our Tier 1 capital ratio increased to 15.0% as of September 2012 from 13.8% as of December 2011 primarily reflecting an increase in shareholders’ equity and a decrease in RWAs.

See Note 20 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for additional information about our regulatory capital ratios and the related regulatory requirements, including pending and proposed regulatory changes.

Internal Capital Adequacy Assessment Process

We perform an ICAAP with the objective of ensuring that the firm is appropriately capitalized relative to the risks in our business.

As part of our ICAAP, we perform an internal risk-based capital assessment. This assessment incorporates market risk, credit risk and operational risk. Market risk is calculated by using  Value-at-Risk  (VaR)  calculations supplemented  by risk-based add-ons which include risks related to rare events (tail risks). Credit risk utilizes assumptions about our counterparties’ probability of default, the size of our losses in the event of a default and the maturity of our counterparties’ contractual obligations to us. Operational risk is calculated based on scenarios incorporating multiple types of operational failures. Backtesting is used to gauge the effectiveness of models at capturing and measuring relevant risks.

We evaluate capital adequacy based on the result of our internal risk-based capital assessment, supplemented with the results of stress tests which measure the firm’s performance under various market conditions. Our goal is to hold sufficient capital, under our internal risk-based capital framework, to ensure we remain adequately capitalized after experiencing a severe stress event. Our assessment of capital adequacy is viewed in tandem with our assessment of liquidity adequacy and integrated into the overall risk management structure, governance and policy framework of the firm.

We attribute capital usage to each of our businesses based upon our internal risk-based capital and regulatory frameworks and manage the levels of usage based upon the balance sheet and risk limits established.

148 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Rating Agency Guidelines

The credit rating agencies assign credit ratings to the obligations of Group Inc., which directly issues or guarantees substantially all of the firm’s senior unsecured obligations. Goldman, Sachs & Co. (GS&Co.) and Goldman Sachs International (GSI) have been assigned long- and short-term issuer ratings by certain credit rating agencies. GS Bank USA has also been assigned long-term issuer ratings as well as ratings on its long-term and short-term bank deposits. In addition, credit rating agencies have assigned ratings to debt obligations of certain other subsidiaries of Group Inc.

The level and composition of our equity capital are among the many factors considered in determining our credit ratings. Each agency has its own definition of eligible capital and methodology for evaluating capital adequacy, and assessments are generally based on a combination of factors rather than a single calculation. See “Liquidity Risk Management — Credit Ratings” for further information about credit ratings of Group Inc., GS&Co., GSI and GS Bank USA.

Subsidiary Capital Requirements

Many of our subsidiaries, including GS Bank USA and our broker-dealer subsidiaries, are subject to separate regulation and capital requirements of the jurisdictions in which they operate. For purposes of assessing the adequacy of its capital, GS Bank USA has established an ICAAP which is similar to that used by Group Inc. GS Bank USA’s capital levels and prompt corrective action classification are subject to qualitative judgments by its regulators about components, risk weightings and other factors.

We expect that the capital requirements of several of our subsidiaries will be impacted in the future by the various developments arising from the Basel Committee, the Dodd-Frank Act, and other governmental entities and regulators.

See Note 20 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for information about GS Bank USA’s capital ratios under Basel 1 as implemented by the Federal Reserve Board, and for further information about the capital requirements of our other regulated subsidiaries and the potential impact of regulatory reform.

Subsidiaries not subject to separate regulatory capital requirements may hold capital to satisfy local tax and legal guidelines, rating agency requirements (for entities with assigned credit ratings) or internal policies, including policies concerning the minimum amount of capital a subsidiary should hold based on its underlying level of risk. In certain instances, Group Inc. may be limited in its ability to access capital held at certain subsidiaries as a result of regulatory, tax or other constraints. As of September 2012 and December 2011, Group Inc.’s equity investment in subsidiaries was $71.09 billion and $67.70 billion, respectively, compared with its total shareholders’ equity of $73.69 billion and $70.38 billion, respectively.

Group Inc. has guaranteed the payment obligations of GS&Co., GS Bank USA, Goldman Sachs Bank (Europe) plc and Goldman Sachs Execution & Clearing, L.P. (GSEC) subject to certain exceptions. In November 2008, Group Inc. contributed subsidiaries into GS Bank USA, and Group Inc. agreed to guarantee certain losses, including credit-related losses, relating to assets held by the contributed entities. In connection with this guarantee, Group Inc. also agreed to pledge to GS Bank USA certain collateral, including interests in subsidiaries and other illiquid assets.

Our capital invested in non-U.S. subsidiaries is generally exposed to foreign exchange risk, substantially all of which is managed through a combination of derivatives and non-U.S. denominated debt.

Contingency Capital Plan

Our contingency capital plan provides a framework for analyzing and responding to a perceived or actual capital deficiency, including, but not limited to, identification of drivers of a capital deficiency, as well as mitigants and potential actions. It outlines the appropriate communication procedures to follow during a crisis period, including internal dissemination of information as well as ensuring timely communication with external stakeholders.

Goldman Sachs September 2012 Form 10-Q 149

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Equity Capital Management

Our objective is to maintain a sufficient level and optimal composition of equity capital. We principally manage our capital through issuances and repurchases of our common stock. We may also, from time to time, issue or repurchase our preferred stock, junior subordinated debt issued to trusts and other subordinated debt or other forms of capital as business conditions warrant and subject to any regulatory approvals. We manage our capital requirements principally by setting limits on balance sheet assets and/or limits on risk, in each case both at the consolidated and business levels. We attribute capital usage to each of our businesses based upon our internal risk-based capital and regulatory frameworks and manage the levels of usage based upon the balance sheet and risk limits established.

See Notes 16 and 19 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for further information about our preferred stock, junior subordinated debt issued to trusts and other subordinated debt.

Series G Preferred Stock. In March 2011, we provided notice to Berkshire Hathaway that we would redeem in full the 50,000 shares of our Series G Preferred Stock held by Berkshire Hathaway for the stated redemption price of $5.50 billion ($110,000 per share), plus accrued and unpaid dividends. In connection with this notice, we recognized a preferred dividend of $1.64 billion (calculated as the difference between the carrying value and the redemption value of the preferred stock), which was recorded as a reduction to earnings applicable to common shareholders for the first quarter of 2011. The redemption also resulted in the acceleration of $24 million of preferred dividends related to the period from April 1, 2011 to the redemption date, which was included in our results during the three months ended March 2011. The Series G Preferred Stock was redeemed on April 18, 2011. Berkshire Hathaway continues to hold a five-year warrant, issued in October 2008, to purchase up to 43.5 million shares of common stock at an exercise price of $115.00 per share.

Share Repurchase Program. We seek to use our share repurchase program to help maintain the appropriate level of common equity and to substantially offset increases in share count over time resulting from employee share-based compensation. The repurchase program is effected primarily through regular open-market purchases, the amounts and timing of which are determined primarily by our current and projected capital positions (i.e., comparisons of our desired level and composition of capital to our actual level and composition of capital) and the issuance of shares resulting from employee share-based compensation, but which may also be influenced by general market conditions and the prevailing price and trading volumes of our common stock.

As of September 2012, under the share repurchase program approved by the Board, we can repurchase up to 34.2 million additional shares of common stock; however, any such repurchases are subject to the approval of the Federal Reserve Board. See “Unregistered Sales of Equity Securities and Use of Proceeds” in Part II, Item 2 and Note 19 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for additional information on our repurchase program.

150 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Other Capital Metrics

The table below presents information on our shareholders’ equity and book value per common share.

	As of
in millions, except per share amounts		September 2012	December 2011
Total shareholders’ equity		$73,687	$70,379
Common shareholders’ equity		68,337	67,279
Tangible common shareholders’ equity		63,041	61,811
Book value per common share		140.58	130.31
Tangible book value per common share		129.69	119.72

Tangible common shareholders’ equity. Tangible common shareholders’ equity equals total shareholders’ equity less preferred stock, goodwill and identifiable intangible assets. We believe that tangible common shareholders’ equity is meaningful because it is a measure that we and investors use to assess capital adequacy. Tangible common shareholders’ equity is a non-GAAP measure and may not be comparable to similar non-GAAP measures used by other companies.

The table below presents the reconciliation of total shareholders’ equity to tangible common shareholders’ equity.

	As of
in millions		September 2012		December 2011
Total shareholders’ equity		$73,687		$70,379
Deduct: Preferred stock		(5,350	)	(3,100)
Common shareholders’ equity		68,337		67,279
Deduct: Goodwill and identifiable intangible assets		(5,296	)	(5,468)
Tangible common shareholders’ equity		$63,041		$61,811

Book value and tangible book value per common share. Book value and tangible book value per common share are based on common shares outstanding, including restricted stock units granted to employees with no future service requirements, of 486.1 million and 516.3 million as of September 2012 and December 2011, respectively. We believe that tangible book value per common share (tangible common shareholders’ equity divided by common shares outstanding) is meaningful because it is a measure that we and investors use to assess capital adequacy. Tangible book value per common share is a non-GAAP measure and may not be comparable to similar non-GAAP measures used by other companies.

Off-Balance-Sheet Arrangements and Contractual Obligations

Off-Balance-Sheet Arrangements

We have various types of off-balance-sheet arrangements that we enter into in the ordinary course of business. Our involvement in these arrangements can take many different forms, including:

Ÿ purchasing or retaining residual and other interests in special purpose entities such as mortgage-backed and other asset-backed securitization vehicles;

Ÿ holding senior and subordinated debt, interests in limited and general partnerships, and preferred and common stock in other nonconsolidated vehicles;

Ÿ entering into interest rate, foreign currency, equity, commodity and credit derivatives, including total return swaps;

Ÿ entering into operating leases; and

Ÿ providing guarantees, indemnifications, loan commitments, letters of credit and representations and warranties.

We enter into these arrangements for a variety of business purposes, including securitizations. The securitization vehicles that purchase mortgages, corporate bonds, and other types of financial assets are critical to the functioning of several significant investor markets, including the mortgage-backed and other asset-backed securities markets, since they offer investors access to specific cash flows and risks created through the securitization process.

We also enter into these arrangements to underwrite client securitization transactions; provide secondary market liquidity; make investments in performing and nonperforming debt, equity, real estate and other assets; provide investors with credit-linked and asset-repackaged notes; and receive or provide letters of credit to satisfy margin requirements and to facilitate the clearance and settlement process.

Our financial interests in, and derivative transactions with, such nonconsolidated entities are generally accounted for at fair value, in the same manner as our other financial instruments, except in cases where we apply the equity method of accounting.

Goldman Sachs September 2012 Form 10-Q 151

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

The table below presents where a discussion of our various off-balance-sheet arrangements may be found in Part I, Items 1 and 2 of this Form 10-Q. In addition, see Note 3 to

the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for a discussion of our consolidation policies.

Type of Off-Balance-Sheet Arrangement	Disclosure in Form 10-Q
Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEs	See Note 11 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q.
Leases, letters of credit, and lending and other commitments	See below and Note 18 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q.
Guarantees	See below and Note 18 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q.
Derivatives	See Notes 4, 5, 7 and 18 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q.

152 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Contractual Obligations

We have certain contractual obligations which require us to make future cash payments. These contractual obligations include our unsecured long-term borrowings, secured long-term financings, time deposits, contractual interest payments and insurance agreements, all of which are included in our condensed consolidated statements of financial condition. Our obligations to make future cash

payments also include certain off-balance-sheet contractual obligations such as purchase obligations, minimum rental payments under noncancelable leases and commitments and guarantees.

The table below presents our contractual obligations, commitments and guarantees as of September 2012.

in millions	Remainder of 2012	2013-2014	2015-2016	2017- Thereafter	Total
Amounts related to on-balance-sheet obligations
Time deposits 1	$         —	$    5,848	$  4,219	$    6,485	$  16,552
Secured long-term financings 2	—	4,817	1,845	1,681	8,343
Unsecured long-term borrowings 3	—	25,594	41,754	100,530	167,878
Contractual interest payments 4	1,619	13,209	10,597	35,803	61,228
Insurance liabilities 5	502	3,151	2,394	20,562	26,609
Subordinated liabilities issued by consolidated VIEs	6	37	36	967	1,046
Amounts related to off-balance-sheet arrangements
Commitments to extend credit	2,446	17,094	36,668	18,512	74,720
Contingent and forward starting resale and securities borrowing agreements	56,275	324	—	—	56,599
Forward starting repurchase and secured lending agreements	12,727	—	—	—	12,727
Letters of credit	397	468	5	5	875
Investment commitments	921	4,364	143	2,433	7,861
Other commitments	3,654	234	49	71	4,008
Minimum rental payments	110	832	689	1,615	3,246
Derivative guarantees	222,571	389,958	86,756	69,552	768,837
Securities lending indemnifications	29,932	—	—	—	29,932
Other financial guarantees	204	857	1,018	1,246	3,325

1. Excludes $5.71 billion of time deposits maturing within one year.

2. The aggregate contractual principal amount of secured long-term financings for which the fair value option was elected, primarily consisting of transfers of financial assets accounted for as financings rather than sales and certain other nonrecourse financings, exceeded their related fair value by $188 million.

3. Includes $11.20 billion related to interest rate hedges on certain unsecured long-term borrowings. In addition, the fair value of unsecured long-term borrowings (principal and non-principal-protected) for which the fair value option was elected exceeded the related aggregate contractual principal amount by $159 million.

4. Represents estimated future interest payments related to unsecured long-term borrowings, secured long-term financings and time deposits based on applicable interest rates as of September 2012. Includes stated coupons, if any, on structured notes.

5. Represents estimated undiscounted payments related to future benefits and unpaid claims arising from policies associated with our insurance activities, excluding separate accounts and estimated recoveries under reinsurance contracts.

Goldman Sachs September 2012 Form 10-Q 153

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

In the table above:

Ÿ Obligations maturing within one year of our financial statement date or redeemable within one year of our financial statement date at the option of the holder are excluded and are treated as short-term obligations.

Ÿ Obligations that are repayable prior to maturity at our option are reflected at their contractual maturity dates and obligations that are redeemable prior to maturity at the option of the holders are reflected at the dates such options become exercisable.

Ÿ Amounts included in the table do not necessarily reflect the actual future cash flow requirements for these arrangements because commitments and guarantees represent notional amounts and may expire unused or be reduced or cancelled at the counterparty’s request.

Ÿ Due to the uncertainty of the timing and amounts that will ultimately be paid, our liability for unrecognized tax benefits has been excluded. See Note 24 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for further information about our unrecognized tax benefits.

See Notes 15 and 18 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for further information about our short-term borrowings, and commitments and guarantees.

As of September 2012, our unsecured long-term borrowings were $167.88 billion, with maturities extending to 2061, and consisted principally of senior borrowings. See Note 16 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for further information about our unsecured long-term borrowings.

As of September 2012, our future minimum rental payments net of minimum sublease rentals under noncancelable leases were $3.25 billion. These lease commitments, principally for office space, expire on various dates through 2069. Certain agreements are subject to periodic escalation provisions for increases in real estate taxes and other charges. See Note 18 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for further information about our leases.

Our occupancy expenses include costs associated with office space held in excess of our current requirements. This excess space, the cost of which is charged to earnings as incurred, is being held for potential growth or to replace currently occupied space that we may exit in the future. We regularly evaluate our current and future space capacity in relation to current and projected staffing levels. During the three and nine months ended September 2012, total occupancy expenses for space held in excess of our current requirements were not material. In addition, during the three and nine months ended September 2012, we incurred exit costs of $1 million and $4 million, respectively, related to our office space. We may incur exit costs (included in “Depreciation and amortization” and “Occupancy”) in the future to the extent we (i) reduce our space capacity or (ii) commit to, or occupy, new properties in the locations in which we operate and, consequently, dispose of existing space that had been held for potential growth. These exit costs may be material to our results of operations in a given period.

Overview and Structure of Risk

Management

Overview

We believe that effective risk management is of primary importance to the success of the firm. Accordingly, we have comprehensive risk management processes through which we monitor, evaluate and manage the risks we assume in conducting our activities. These include market, credit, liquidity, operational, legal, regulatory and reputational risk exposures. Our risk management framework is built around three core components: governance, processes and people.

Governance. Risk management governance starts with our Board, which plays an important role in reviewing and approving risk management policies and practices, both directly and through its Risk Committee, which consists of all of our independent directors. The Board also receives periodic updates on firmwide risks from our independent control and support functions. Next, at the most senior levels of the firm, our leaders are experienced risk managers, with a sophisticated and detailed understanding of the risks we take. Our senior managers lead and participate in risk-oriented committees, as do the leaders of our independent control and support functions — including those in internal audit, compliance, controllers, credit risk management, human capital management, legal, market risk management, operations, operational risk management, tax, technology and treasury.

154 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

The firm’s governance structure provides the protocol and responsibility for decision-making on risk management issues and ensures implementation of those decisions. We make extensive use of risk-related committees that meet regularly and serve as an important means to facilitate and foster ongoing discussions to identify, manage and mitigate risks.

We maintain strong communication about risk and we have a culture of collaboration in decision-making among the revenue-producing units, independent control and support functions, committees and senior management. While we believe that the first line of defense in managing risk rests with the managers in our revenue-producing units, we dedicate extensive resources to independent control and support functions in order to ensure a strong oversight structure and an appropriate segregation of duties.

Processes. We maintain various processes and procedures that are critical components of our risk management. First and foremost is our daily discipline of marking substantially all of the firm’s inventory to current market levels. Goldman Sachs carries its inventory at fair value, with changes in valuation reflected immediately in our risk management systems and in net revenues. We do so because we believe this discipline is one of the most effective tools for assessing and managing risk and that it provides transparent and realistic insight into our financial exposures.

We also apply a rigorous framework of limits to control risk across multiple transactions, products, businesses and markets. This includes setting credit and market risk limits at a variety of levels and monitoring these limits on a daily basis. Limits are typically set at levels that will be periodically exceeded, rather than at levels which reflect our maximum risk appetite. This fosters an ongoing dialogue on risk among revenue-producing units, independent control and support functions, committees and senior management, as well as rapid escalation of risk-related matters. See “Market Risk Management” and “Credit Risk Management” for further information on our risk limits.

Active management of our positions is another important process. Proactive mitigation of our market and credit exposures minimizes the risk that we will be required to take outsized actions during periods of stress.

We also focus on the rigor and effectiveness of the firm’s risk systems. The goal of our risk management technology is to get the right information to the right people at the right time, which requires systems that are comprehensive, reliable and timely. We devote significant time and resources to our risk management technology to ensure that it consistently provides us with complete, accurate and timely information.

People. Even the best technology serves only as a tool for helping to make informed decisions in real time about the risks we are taking. Ultimately, effective risk management requires our people to interpret our risk data on an ongoing and timely basis and adjust risk positions accordingly. In both our revenue-producing units and our independent control and support functions, the experience of our professionals, and their understanding of the nuances and limitations of each risk measure, guide the firm in assessing exposures and maintaining them within prudent levels.

Structure

Ultimate oversight of risk is the responsibility of the firm’s Board. The Board oversees risk both directly and through its Risk Committee. Within the firm, a series of committees with specific risk management mandates have oversight or decision-making responsibilities for risk management activities. Committee membership generally consists of senior managers from both our revenue-producing units and our independent control and support functions. We have established procedures for these committees to ensure that appropriate information barriers are in place. Our primary risk committees, most of which also have additional sub-committees or working groups, are described below. In addition to these committees, we have other risk-oriented committees which provide oversight for different businesses, activities, products, regions and legal entities.

Membership of the firm’s risk committees is reviewed regularly and updated to reflect changes in the responsibilities of the committee members. Accordingly, the length of time that members serve on the respective committees varies as determined by the committee chairs and based on the responsibilities of the members within the firm.

In addition, independent control and support functions, which report to the chief financial officer, general counsel, chief administrative officer, or in the case of Internal Audit, to the Audit Committee of the Board, are responsible for day-to-day oversight of risk, as discussed in greater detail in the following sections.

Goldman Sachs September 2012 Form 10-Q 155

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

The chart below presents an overview of our risk management governance structure, highlighting the

oversight of our Board, our key risk-related committees and the independence of our control and support functions.

Management Committee. The Management Committee oversees the global activities of the firm, including all of the firm’s independent control and support functions. It provides this oversight directly and through authority delegated to committees it has established. This committee is comprised of the most senior leaders of the firm, and is chaired by the firm’s chief executive officer. The Management Committee has established various committees with delegated authority and the chairperson of the Management Committee appoints the chairpersons of these committees. Most members of the Management Committee are also members of other firmwide, divisional and regional committees. The following are the committees that are principally involved in firmwide risk management.

Firmwide Client and Business Standards Committee. The Firmwide Client and Business Standards Committee assesses and makes determinations regarding business standards and practices, reputational risk management, client relationships and client service, is chaired by the firm’s president and chief operating officer, and reports to the Management Committee. This committee also has responsibility for overseeing the implementation of the recommendations of the Business Standards Committee. This committee has established the following two risk-related committees that report to it:

156 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Ÿ Firmwide New Activity Committee. The Firmwide New Activity Committee is responsible for reviewing new activities and establishing a process to identify and review previously approved activities that are significant and that have changed in complexity and/or structure or present different reputational and suitability concerns over time to consider whether these activities remain appropriate. This committee is co-chaired by the firm’s head of operations/chief operating officer for Europe, Middle East and Africa and the chief administrative officer of our Investment Management Division who are appointed by the Firmwide Client and Business Standards Committee chairperson.

Ÿ Firmwide Suitability Committee. The Firmwide Suitability Committee is responsible for setting standards and policies for product, transaction and client suitability and providing a forum for consistency across divisions, regions and products on suitability assessments. This committee also reviews suitability matters escalated from other firm committees. This committee is co-chaired by the firm’s international general counsel and the co-head of our Investment Management Division who are appointed by the Firmwide Client and Business Standards Committee chairperson.

Firmwide Risk Committee. The Firmwide Risk Committee is responsible for the ongoing monitoring and control of the firm’s global financial risks. Through both direct and delegated authority, the Firmwide Risk Committee approves firmwide, product, divisional and business-level limits for both market and credit risks, approves sovereign credit risk limits and reviews results of stress tests and scenario analyses. This committee is co-chaired by the firm’s chief financial officer and a senior managing director from the firm’s executive office, and reports to the Management Committee. The following four committees report to the Firmwide Risk Committee. The chairperson of the Securities Division Risk Committee is appointed by the chairpersons of the Firmwide Risk

Committee; the chairpersons of the Credit Policy and Firmwide Operational Risk Committees are appointed by the firm’s chief risk officer; and the chairpersons of the Firmwide Finance Committee are appointed by the Firmwide Risk Committee:

Ÿ Securities Division Risk Committee. The Securities Division Risk Committee sets market risk limits, subject to overall firmwide risk limits, for our Fixed Income, Currency and Commodities Client Execution and Equities Client Execution businesses based on a number of risk measures, including VaR, stress tests, scenario analyses, and inventory levels. This committee is chaired by the chief risk officer of our Securities Division.

Ÿ Credit Policy Committee. The Credit Policy Committee establishes and reviews broad credit policies and parameters that are implemented by our Credit Risk Management department (Credit Risk Management). This committee is chaired by the firm’s chief credit officer.

Ÿ Firmwide Operational Risk Committee. The Firmwide Operational Risk Committee provides oversight of the ongoing development and implementation of our operational risk policies, framework and methodologies, and monitors the effectiveness of operational risk management. This committee is chaired by a managing director in Credit Risk Management.

Ÿ Firmwide Finance Committee. The Firmwide Finance Committee has oversight of firmwide liquidity, the size and composition of our balance sheet and capital base, and our credit ratings. This committee regularly reviews our liquidity, balance sheet, funding position and capitalization, and makes adjustments in light of current events, risks and exposures, and regulatory requirements. This committee is also responsible for reviewing and approving balance sheet limits and the size of our GCE. This committee is co-chaired by the firm’s chief financial officer and the firm’s global treasurer.

Goldman Sachs September 2012 Form 10-Q 157

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

The following committees report jointly to the Firmwide Risk Committee and the Firmwide Client and Business Standards Committee:

Ÿ Firmwide Commitments Committee. The Firmwide Commitments Committee reviews the firm’s underwriting and distribution activities with respect to equity and equity-related product offerings, and sets and maintains policies and procedures designed to ensure that legal, reputational, regulatory and business standards are maintained on a global basis. In addition to reviewing specific transactions, this committee periodically conducts general strategic reviews of sectors and products and establishes policies in connection with transaction practices. This committee is co-chaired by the firm’s senior strategy officer and the head of Mergers & Acquisitions for Europe, Middle East, Africa and Asia Pacific for Investment Banking who are appointed by the Firmwide Client and Business Standards Committee chairperson.

Ÿ Firmwide Capital Committee. The Firmwide Capital Committee provides approval and oversight of debt-related transactions, including principal commitments of the firm’s capital. This committee aims to ensure that business and reputational standards for underwritings and capital commitments are maintained on a global basis. This committee is co-chaired by the firm’s global treasurer and the head of credit finance for Europe, Middle East and Africa who are appointed by the Firmwide Risk Committee chairpersons.

Investment Management Division Risk Committee. The Investment Management Division Risk Committee is responsible for the ongoing monitoring and control of global market, counterparty credit and liquidity risks associated with the activities of our investment management businesses. The head of Investment Management Division risk management is the chair of this committee. The Investment Management Division Risk Committee reports to the firm’s chief risk officer.

Conflicts Management

Conflicts of interest and the firm’s approach to dealing with them are fundamental to our client relationships, our reputation and our long-term success. The term “conflict of interest” does not have a universally accepted meaning, and conflicts can arise in many forms within a business or between businesses. The responsibility for identifying potential conflicts, as well as complying with the firm’s policies and procedures, is shared by the entire firm.

We have a multilayered approach to resolving conflicts and addressing reputational risk. The firm’s senior management oversees policies related to conflicts resolution. The firm’s senior management, the Business Selection and Conflicts Resolution Group, the Legal Department and Compliance Division, the Firmwide Client and Business Standards Committee and other internal committees all play roles in the formulation of policies, standards and principles and assist in making judgments regarding the appropriate resolution of particular conflicts. Resolving potential conflicts necessarily depends on the facts and circumstances of a particular situation and the application of experienced and informed judgment.

At the transaction level, various people and groups have roles. As a general matter, prior to businesses accepting mandates, or making new loans or investments, the Business Selection and Conflicts Resolution Group reviews the potential transaction. It reviews all financing and advisory assignments in Investment Banking and investing, lending and other activities of the firm. Various transaction oversight committees, such as the Firmwide Capital, Commitments and Suitability Committees and other committees across the firm, also review new underwritings, loans, investments and structured products. These committees work with internal and external lawyers and the Compliance Division to evaluate and address any actual or potential conflicts.

We regularly assess our policies and procedures that address conflicts of interest in an effort to conduct our business in accordance with the highest ethical standards and in compliance with all applicable laws, rules, and regulations.

158 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Liquidity Risk Management

Liquidity is of critical importance to financial institutions. Most of the recent failures of financial institutions have occurred in large part due to insufficient liquidity. Accordingly, the firm has in place a comprehensive and conservative set of liquidity and funding policies to address both firm-specific and broader industry or market liquidity events. Our principal objective is to be able to fund the firm and to enable our core businesses to continue to serve clients and generate revenues, even under adverse circumstances.

We manage liquidity risk according to the following principles:

Excess Liquidity. We maintain substantial excess liquidity to meet a broad range of potential cash outflows and collateral needs in a stressed environment.

Asset-Liability Management. We assess anticipated holding periods for our assets and their expected liquidity in a stressed environment. We manage the maturities and diversity of our funding across markets, products and counterparties, and seek to maintain liabilities of appropriate tenor relative to our asset base.

Contingency Funding Plan. We maintain a contingency funding plan to provide a framework for analyzing and responding to a liquidity crisis situation or periods of market stress. This framework sets forth the plan of action to fund normal business activity in emergency and stress situations. These principles are discussed in more detail below.

Excess Liquidity

Our most important liquidity policy is to pre-fund our estimated potential cash and collateral needs during a liquidity crisis and hold this excess liquidity in the form of unencumbered, highly liquid securities and cash. We believe that the securities held in our global core excess would be readily convertible to cash in a matter of days, through liquidation, by entering into repurchase agreements or from maturities of reverse repurchase agreements, and that this cash would allow us to meet immediate obligations without needing to sell other assets or depend on additional funding from credit-sensitive markets.

As of September 2012 and December 2011, the fair value of the securities and certain overnight cash deposits included in our GCE totaled $170.21 billion and $171.58 billion, respectively. Based on the results of our internal liquidity risk model, discussed below, as well as our consideration of other factors including, but not limited to, a qualitative assessment of the condition of the financial markets and the firm, we believe our liquidity position as of September 2012 was appropriate.

The table below presents the fair value of the securities and certain overnight cash deposits that are included in our GCE.

	Average for the
in millions		Three Months Ended September 2012	Year Ended December 2011
U.S. dollar-denominated		$126,873	$125,668
Non-U.S. dollar-denominated		47,989	40,291
Total		$174,862	$165,959

Goldman Sachs September 2012 Form 10-Q 159

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

The U.S. dollar-denominated excess is composed of (i) unencumbered U.S. government and federal agency obligations (including highly liquid U.S. federal agency mortgage-backed obligations), all of which are eligible as collateral in Federal Reserve open market operations and (ii) certain overnight U.S. dollar cash deposits. The non-U.S. dollar-denominated excess is composed of only unencumbered German, French, Japanese and United Kingdom government obligations and certain overnight cash deposits in highly liquid currencies. We strictly limit our excess liquidity to this narrowly defined list of securities and cash because they are highly liquid, even in a difficult funding environment. We do not include other potential sources of excess liquidity, such as less liquid unencumbered securities or committed credit facilities, in our GCE.

The table below presents the fair value of our GCE by asset class.

	Average for the
in millions		Three Months Ended September 2012	Year Ended December 2011
Overnight cash deposits		$  53,115	$  34,622
U.S. government obligations		72,791	88,528
U.S. federal agency obligations, including highly liquid U.S. federal agency mortgage-backed obligations		2,834	5,018
German, French, Japanese and United Kingdom government obligations		46,122	37,791
Total		$174,862	$165,959

The GCE is held at Group Inc. and our major broker-dealer and bank subsidiaries, as presented in the table below.

	Average for the
in millions		Three Months Ended September 2012	Year Ended December 2011
Group Inc.		$  37,063	$  49,548
Major broker-dealer subsidiaries		79,336	75,086
Major bank subsidiaries		58,463	41,325
Total		$174,862	$165,959

Our GCE reflects the following principles:

Ÿ The first days or weeks of a liquidity crisis are the most critical to a company’s survival.

Ÿ Focus must be maintained on all potential cash and collateral outflows, not just disruptions to financing flows. Our businesses are diverse, and our liquidity needs are determined by many factors, including market movements, collateral requirements and client commitments, all of which can change dramatically in a difficult funding environment.

Ÿ During a liquidity crisis, credit-sensitive funding, including unsecured debt and some types of secured financing agreements, may be unavailable, and the terms (e.g., interest rates, collateral provisions and tenor) or availability of other types of secured financing may change.

Ÿ As a result of our policy to pre-fund liquidity that we estimate may be needed in a crisis, we hold more unencumbered securities and have larger debt balances than our businesses would otherwise require. We believe that our liquidity is stronger with greater balances of highly liquid unencumbered securities, even though it increases our total assets and our funding costs.

We believe that our GCE provides us with a resilient source of funds that would be available in advance of potential cash and collateral outflows and gives us significant flexibility in managing through a difficult funding environment.

In order to determine the appropriate size of our GCE, we use an internal liquidity model, referred to as the Modeled Liquidity Outflow, which captures and quantifies the firm’s liquidity risks. We also consider other factors including, but not limited to, an assessment of our potential intraday liquidity needs and a qualitative assessment of the condition of the financial markets and the firm.

We distribute our GCE across entities, asset types, and clearing agents to provide us with sufficient operating liquidity to ensure timely settlement in all major markets, even in a difficult funding environment.

We maintain our GCE to enable us to meet current and potential liquidity requirements of our parent company, Group Inc., and our major broker-dealer and bank subsidiaries. The Modeled Liquidity Outflow incorporates a consolidated requirement as well as a standalone requirement for each of our major broker-dealer and bank subsidiaries. Liquidity held directly in each of these subsidiaries is intended for use only by that subsidiary to meet its liquidity requirements and is assumed not to be available to Group Inc. unless (i) legally provided for and (ii) there are no additional regulatory, tax or other restrictions. We hold a portion of our GCE directly at Group Inc. to support consolidated requirements not accounted for in the major subsidiaries. In addition to the GCE, we maintain operating cash balances in several of our other operating entities, primarily for use in specific currencies, entities, or jurisdictions where we do not have immediate access to parent company liquidity.

160 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

In addition to our GCE, we have a significant amount of other unencumbered cash and financial instruments, including other government obligations, high-grade money market securities, corporate obligations, marginable equities, loans and cash deposits not included in our GCE. The fair value of these assets averaged $87.71 billion and $83.32 billion for the three months ended September 2012 and year ended December 2011, respectively. We do not consider these assets liquid enough to be eligible for our GCE liquidity pool and therefore conservatively do not assume we will generate liquidity from these assets in our Modeled Liquidity Outflow.

Modeled Liquidity Outflow. Our Modeled Liquidity Outflow is based on a scenario that includes both a market-wide stress and a firm-specific stress, characterized by some or all of the following qualitative elements:

Ÿ Global recession, default by a medium-sized sovereign, low consumer and corporate confidence, and general financial instability.

Ÿ Severely challenged market environment with material declines in equity markets and widening of credit spreads.

Ÿ Damaging follow-on impacts to financial institutions leading to the failure of a large bank.

Ÿ A firm-specific crisis potentially triggered by material losses, reputational damage, litigation, executive departure, and/or a ratings downgrade.

The following are the critical modeling parameters of the Modeled Liquidity Outflow:

Ÿ Liquidity needs over a 30-day scenario.

Ÿ A two-notch downgrade of the firm’s long-term senior unsecured credit ratings.

Ÿ A combination of contractual outflows, such as upcoming maturities of unsecured debt, and contingent outflows (e.g., actions though not contractually required, we may deem necessary in a crisis). We assume that most contingent outflows will occur within the initial days and weeks of a crisis.

Ÿ No issuance of equity or unsecured debt.

Ÿ No support from government funding facilities. Although we have access to various central bank funding programs, we do not assume reliance on them as a source of funding in a liquidity crisis.

Ÿ No diversification benefit across liquidity risks. We assume that liquidity risks are additive.

Ÿ Maintenance of our normal business levels. We do not assume asset liquidation, other than the GCE.

The Modeled Liquidity Outflow is calculated and reported to senior management on a daily basis. We regularly refine our model to reflect changes in market or economic conditions and the firm’s business mix.

The potential contractual and contingent cash and collateral outflows covered in our Modeled Liquidity Outflow include:

Unsecured Funding

Ÿ Contractual: All upcoming maturities of unsecured long-term debt, commercial paper, promissory notes and other unsecured funding products. We assume that we will be unable to issue new unsecured debt or rollover any maturing debt.

Ÿ Contingent: Repurchases of our outstanding long-term debt, commercial paper and hybrid financial instruments in the ordinary course of business as a market maker.

Deposits

Ÿ Contractual: All upcoming maturities of term deposits. We assume that we will be unable to raise new term deposits or rollover any maturing term deposits.

Ÿ Contingent: Withdrawals of bank deposits that have no contractual maturity. The withdrawal assumptions reflect, among other factors, the type of deposit, whether the deposit is insured or uninsured, and the firm’s relationship with the depositor.

Secured Funding

Ÿ Contractual: A portion of upcoming contractual maturities of secured funding due to either the inability to refinance or the ability to refinance only at wider haircuts (i.e., on terms which require us to post additional collateral). Our assumptions reflect, among other factors, the quality of the underlying collateral and counterparty concentration.

Ÿ Contingent: A decline in value of financial assets pledged as collateral for financing transactions, which would necessitate additional collateral postings under those transactions.

Goldman Sachs September 2012 Form 10-Q 161

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

OTC Derivatives

Ÿ Contingent: Collateral postings to counterparties due to adverse changes in the value of our OTC derivatives.

Ÿ Contingent: Other outflows of cash or collateral related to OTC derivatives, including the impact of trade terminations, collateral substitutions, collateral disputes, collateral calls or termination payments required by a two-notch downgrade in our credit ratings, and collateral that has not been called by counterparties, but is available to them.

Exchange-Traded Derivatives

Ÿ Contingent: Variation margin postings required due to adverse changes in the value of our outstanding exchange-traded derivatives.

Ÿ Contingent: An increase in initial margin and guaranty fund requirements by derivative clearing houses.

Customer Cash and Securities

Ÿ Contingent: Liquidity outflows associated with our prime brokerage business, including withdrawals of customer credit balances, and a reduction in customer short positions, which serve as a funding source for long positions.

Unfunded Commitments

Ÿ Contingent: Draws on our unfunded commitments. Draw assumptions reflect, among other things, the type of commitment and counterparty.

Other

Ÿ Other upcoming large cash outflows, such as tax payments.

Asset-Liability Management

Our liquidity risk management policies are designed to ensure we have a sufficient amount of financing, even when funding markets experience persistent stress. We seek to maintain a long-dated and diversified funding profile, taking into consideration the characteristics and liquidity profile of our assets.

Our approach to asset-liability management includes:

Ÿ Conservatively managing the overall characteristics of our funding book, with a focus on maintaining long-term, diversified sources of funding in excess of our current requirements. See “Balance Sheet and Funding Sources — Funding Sources” for additional details.

Ÿ Actively managing and monitoring our asset base, with particular focus on the liquidity, holding period and our ability to fund assets on a secured basis. This enables us to determine the most appropriate funding products and tenors. See “Balance Sheet and Funding Sources — Balance Sheet Management” for more detail on our balance sheet management process.

Ÿ Raising secured and unsecured financing that has a long tenor relative to the liquidity profile of our assets. This reduces the risk that our liabilities will come due in advance of our ability to generate liquidity from the sale of our assets. Because we maintain a highly liquid balance sheet, the holding period of certain of our assets may be materially shorter than their contractual maturity dates.

Our goal is to ensure that the firm maintains sufficient liquidity to fund its assets and meet its contractual and contingent obligations in normal times as well as during periods of market stress. Through our dynamic balance sheet management process, (see “Balance Sheet and Funding Sources — Balance Sheet Management”), we use actual and projected asset balances to determine secured and unsecured funding requirements. Funding plans are reviewed and approved by the Firmwide Finance Committee on a quarterly basis. In addition, senior managers in our independent control and support functions regularly analyze, and the Firmwide Finance Committee reviews, our consolidated total capital position (unsecured long-term borrowings plus total shareholders’ equity) so that we maintain a level of long-term funding that is sufficient to meet our long-term financing requirements. In a liquidity crisis, we would first use our GCE in order to avoid reliance on asset sales (other than our GCE). However, we recognize that orderly asset sales may be prudent or necessary in a severe or persistent liquidity crisis.

162 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Subsidiary Funding Policies. The majority of our unsecured funding is raised by Group Inc. which lends the necessary funds to its subsidiaries, some of which are regulated, to meet their asset financing, liquidity and capital requirements. In addition, Group Inc. provides its regulated subsidiaries with the necessary capital to meet their regulatory requirements. The benefits of this approach to subsidiary funding are enhanced control and greater flexibility to meet the funding requirements of our subsidiaries. Funding is also raised at the subsidiary level through a variety of products, including secured funding, unsecured borrowings and deposits.

Our intercompany funding policies assume that, unless legally provided for, a subsidiary’s funds or securities are not freely available to its parent company or other subsidiaries. In particular, many of our subsidiaries are subject to laws that authorize regulatory bodies to block or reduce the flow of funds from those subsidiaries to Group Inc. Regulatory action of that kind could impede access to funds that Group Inc. needs to make payments on its obligations. Accordingly, we assume that the capital provided to our regulated subsidiaries is not available to Group Inc. or other subsidiaries and any other financing provided to our regulated subsidiaries is not available until the maturity of such financing.

Group Inc. has provided substantial amounts of equity and subordinated indebtedness, directly or indirectly, to its regulated subsidiaries. For example, as of September 2012, Group Inc. had $29.42 billion of equity and subordinated indebtedness invested in GS&Co., its principal U.S. registered broker-dealer; $29.12 billion invested in GSI, a regulated U.K. broker-dealer; $2.65 billion invested in GSEC, a U.S. registered broker-dealer; $4.21 billion invested in Goldman Sachs Japan Co., Ltd., a regulated Japanese broker-dealer; and $20.32 billion invested in GS Bank USA, a regulated New York State-chartered bank. Group Inc. also provided, directly or indirectly, $70.97 billion of unsubordinated loans and $12.10 billion of collateral to these entities, substantially all of which was to GS&Co., GSI and GS Bank USA, as of September 2012. In addition, as of September 2012, Group Inc. had significant amounts of capital invested in and loans to its other regulated subsidiaries.

Contingency Funding Plan

The Goldman Sachs contingency funding plan sets out the plan of action we would use to fund business activity in crisis situations and periods of market stress. The contingency funding plan outlines a list of potential risk factors, key reports and metrics that are reviewed on an ongoing basis to assist in assessing the severity of, and managing through, a liquidity crisis and/or market dislocation. The contingency funding plan also describes in detail the firm’s potential responses if our assessments indicate that the firm has entered a liquidity crisis, which include pre-funding for what we estimate will be our potential cash and collateral needs as well as utilizing secondary sources of liquidity. Mitigants and action items to address specific risks which may arise are also described and assigned to individuals responsible for execution.

The contingency funding plan identifies key groups of individuals to foster effective coordination, control and distribution of information, all of which are critical in the management of a crisis or period of market stress. The contingency funding plan also details the responsibilities of these groups and individuals, which include making and disseminating key decisions, coordinating all contingency activities throughout the duration of the crisis or period of market stress, implementing liquidity maintenance activities and managing internal and external communication.

Proposed Liquidity Framework

The Basel Committee on Banking Supervision’s international framework for liquidity risk measurement, standards and monitoring calls for imposition of a liquidity coverage ratio, designed to ensure that the banking entity maintains an adequate level of unencumbered high-quality liquid assets based on expected cash outflows under an acute liquidity stress scenario, and a net stable funding ratio, designed to promote more medium- and long-term funding of the assets and activities of banking entities over a one-year time horizon. The liquidity coverage ratio is not expected to be introduced as a requirement until January 1, 2015, and the net stable funding ratio is not expected to be introduced as a requirement until January 1, 2018. While the principles behind the new framework are broadly consistent with our current liquidity management framework, it is possible that the implementation of these standards could impact our liquidity and funding requirements and practices.

Goldman Sachs September 2012 Form 10-Q 163

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Credit Ratings

The table below presents the unsecured credit ratings and outlook of Group Inc.

As of September 2012

Short-Term Debt

Long-Term Debt

Subordinated Debt

Trust Preferred

1

Preferred Stock

Ratings Outlook

DBRS, Inc.

R-1 (middle

)

A (high

)

A

A

BBB

3

Stable

Fitch, Inc.

F1

A

2

A-

BBB-

BB+

4

Stable

Moody’s Investors Service (Moody’s)

P-2

A3

2

Baa1

Baa3

Ba2

3

Negative

5

Standard & Poor’s Ratings Services (S&P)

A-2

A-

2

BBB+

BB+

BB+

3

Negative

Rating and Investment Information, Inc.

a-1

A+

A

N/A

N/A

Negative

1. Trust preferred securities issued by Goldman Sachs Capital I.

2. Includes the senior guaranteed trust securities issued by Murray Street Investment Trust I and Vesey Street Investment Trust I.

3. Includes Group Inc.’s non-cumulative preferred stock and the APEX issued by Goldman Sachs Capital II and Goldman Sachs Capital III.

4. Includes Group Inc.’s non-cumulative preferred stock and the APEX issued by Goldman Sachs Capital II. The APEX issued by Goldman Sachs Capital III has been assigned a rating of BBB-. On October 3, 2012, Fitch, Inc. lowered the rating on the APEX issued by Goldman Sachs Capital III from BBB- to BB+.

5. The ratings outlook for trust preferred and preferred stock is stable.

The table below presents the unsecured credit ratings of GS Bank USA, GS&Co. and GSI.

	As of September 2012
		Short-Term Debt	Long-Term Debt	Short-Term Bank Deposits	Long-Term Bank Deposits
Fitch, Inc.
GS Bank USA		F1	A	F1	A+
GS&Co.		F1	A	N/A	N/A
Moody’s
GS Bank USA		P-1	A2	P-1	A2
S&P
GS Bank USA		A-1	A	N/A	N/A
GS&Co.		A-1	A	N/A	N/A
GSI		A-1	A	N/A	N/A

We rely on the short-term and long-term debt capital markets to fund a significant portion of our day-to-day operations and the cost and availability of debt financing is influenced by our credit ratings. Credit ratings are also important when we are competing in certain markets, such as OTC derivatives, and when we seek to engage in

longer-term transactions. See “Certain Risk Factors That May Affect Our Businesses” below and “Risk Factors” in Part I, Item 1A of our Annual Report on Form 10-K for a discussion of the risks associated with a reduction in our credit ratings.

164 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

We believe our credit ratings are primarily based on the credit rating agencies’ assessment of:

Ÿ our liquidity, market, credit and operational risk management practices;

Ÿ the level and variability of our earnings;

Ÿ our capital base;

Ÿ our franchise, reputation and management;

Ÿ our corporate governance; and

Ÿ the external operating environment, including the assumed level of government support.

Certain of the firm’s derivatives have been transacted under bilateral agreements with counterparties who may require us to post collateral or terminate the transactions based on changes in our credit ratings. We assess the impact of these bilateral agreements by determining the collateral or termination payments that would occur assuming a downgrade by all rating agencies. A downgrade by any one rating agency, depending on the agency’s relative ratings of the firm at the time of the downgrade, may have an impact which is comparable to the impact of a downgrade by all rating agencies. We allocate a portion of our GCE to ensure we would be able to make the additional collateral or termination payments that may be required in the event of a two-notch reduction in our long-term credit ratings, as well as collateral that has not been called by counterparties, but is available to them. The table below presents the additional collateral or termination payments that could have been called at the reporting date by counterparties in the event of a one-notch and two-notch downgrade in our credit ratings.

	As of
in millions		September 2012	December 2011
Additional collateral or termination payments for a one-notch downgrade		$1,397	$1,303
Additional collateral or termination payments for a two-notch downgrade		2,698	2,183

Cash Flows

As a global financial institution, our cash flows are complex and bear little relation to our net earnings and net assets. Consequently, we believe that traditional cash flow analysis is less meaningful in evaluating our liquidity position than the excess liquidity and asset-liability management policies described above. Cash flow analysis may, however, be helpful in highlighting certain macro trends and strategic initiatives in our businesses.

Nine Months Ended September 2012. Our cash and cash equivalents increased by $7.63 billion to $63.64 billion at the end of the third quarter of 2012. We generated $9.92 billion in net cash from operating activities. We used net cash of $2.29 billion for investing and financing activities, primarily for net repayments of secured and unsecured borrowings and repurchases of common stock, partially offset by an increase in bank deposits and proceeds from preferred stock issuances.

Nine Months Ended September 2011. Our cash and cash equivalents increased by $4.42 billion to $44.20 billion at the end of the third quarter of 2011. We generated $2.43 billion in net cash from operating activities. We generated net cash of $1.99 billion from investing and financing activities, primarily from the net issuances of unsecured and secured long-term borrowings, partially offset by repurchases of our Series G Preferred Stock and common stock.

Goldman Sachs September 2012 Form 10-Q 165

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Market Risk Management

Overview

Market risk is the risk of loss in the value of our inventory due to changes in market prices. We hold inventory primarily for market making for our clients and for our investing and lending activities. Our inventory therefore changes based on client demands and our investment opportunities. Our inventory is accounted for at fair value and therefore fluctuates on a daily basis. Categories of market risk include the following:

Ÿ Interest rate risk: results from exposures to changes in the level, slope and curvature of yield curves, the volatilities of interest rates, mortgage prepayment speeds and credit spreads.

Ÿ Equity price risk: results from exposures to changes in prices and volatilities of individual equities, baskets of equities and equity indices.

Ÿ Currency rate risk: results from exposures to changes in spot prices, forward prices and volatilities of currency rates.

Ÿ Commodity price risk: results from exposures to changes in spot prices, forward prices and volatilities of commodities, such as electricity, natural gas, crude oil, petroleum products, and precious and base metals.

Market Risk Management Process

We manage our market risk by diversifying exposures, controlling position sizes and establishing economic hedges in related securities or derivatives. This includes:

Ÿ accurate and timely exposure information incorporating multiple risk metrics;

Ÿ a dynamic limit setting framework; and

Ÿ constant communication among revenue-producing units, risk managers and senior management.

Market Risk Management, which is independent of the revenue-producing units and reports to the firm’s chief risk officer, has primary responsibility for assessing, monitoring and managing market risk at the firm. We monitor and control risks through strong firmwide oversight and independent control and support functions across the firm’s global businesses.

Managers in revenue-producing units are accountable for managing risk within prescribed limits. These managers have in-depth knowledge of their positions, markets and the instruments available to hedge their exposures.

Managers in revenue-producing units and Market Risk Management discuss market information, positions and estimated risk and loss scenarios on an ongoing basis.

Risk Measures

Market Risk Management produces risk measures and monitors them against market risk limits set by our firm’s risk committees. These measures reflect an extensive range of scenarios and the results are aggregated at trading desk, business and firmwide levels.

We use a variety of risk measures to estimate the size of potential losses for both moderate and more extreme market moves over both short-term and long-term time horizons. Risk measures used for shorter-term periods include VaR and sensitivity metrics. For longer-term horizons, our primary risk measures are stress tests. Our risk reports detail key risks, drivers and changes for each desk and business, and are distributed daily to senior management of both our revenue-producing units and our independent control and support functions.

Systems

We have made a significant investment in technology to monitor market risk including:

Ÿ an independent calculation of VaR and stress measures;

Ÿ risk measures calculated at individual position levels;

Ÿ attribution of risk measures to individual risk factors of each position;

Ÿ the ability to report many different views of the risk measures (e.g., by desk, business, product type or legal entity); and

Ÿ the ability to produce ad hoc analyses in a timely manner.

166 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Value-at-Risk

VaR is the potential loss in value of inventory positions due to adverse market movements over a defined time horizon with a specified confidence level. We typically employ a one-day time horizon with a 95% confidence level. We use a single VaR model which captures risks including interest rates, equity prices, currency rates and commodity prices. As such, VaR facilitates comparison across portfolios of different risk characteristics. VaR also captures the diversification of aggregated risk at the firmwide level.

We are aware of the inherent limitations to VaR and therefore use a variety of risk measures in our market risk management process. Inherent limitations to VaR include:

Ÿ VaR does not estimate potential losses over longer time horizons where moves may be extreme.

Ÿ VaR does not take account of the relative liquidity of different risk positions.

Ÿ Previous moves in market risk factors may not produce accurate predictions of all future market moves.

When calculating VaR, we use historical simulations with full valuation of approximately 70,000 market factors. The historical data used in our VaR calculation is weighted to give greater importance to more recent observations and reflect current asset volatilities. This improves the accuracy of our estimates of potential loss. As a result, even if our inventory positions were unchanged, our VaR would increase with increasing market volatility and vice versa.

Given its reliance on historical data, VaR is most effective in estimating risk exposures in markets in which there are no sudden fundamental changes or shifts in market conditions.

We evaluate the accuracy of our VaR model through daily backtesting (i.e., comparing daily trading net revenues to the VaR measure calculated as of the prior business day) at the firmwide level and for each of our businesses and major regulated subsidiaries. Our VaR model is regularly reviewed and enhanced in order to incorporate changes in the composition of inventory positions, as well as variations in market conditions. Prior to implementing significant changes to our VaR assumptions and/or model, we perform model validation and test runs. Significant changes to our VaR model are reviewed with the firm’s chief risk officer and chief financial officer, and approved by the Firmwide Risk Committee.

Our VaR measure does not include:

Ÿ positions that are best measured and monitored using sensitivity measures; and

Ÿ the impact of changes in counterparty and our own credit spreads on derivatives, as well as changes in our own credit spreads on unsecured borrowings for which the fair value option was elected.

Stress Testing

We use stress testing to examine risks of specific portfolios as well as the potential impact of significant risk exposures across the firm. We use a variety of scenarios to calculate the potential loss from a wide range of market moves on the firm’s portfolios. These scenarios include the default of single corporate or sovereign entities, the impact of a move in a single risk factor across all positions (e.g., equity prices or credit spreads) or a combination of two or more risk factors. For example, for sovereign stress testing we calculate potential direct exposure associated with our sovereign inventory as well as the corresponding debt, equity and currency exposures associated with our non-sovereign inventory that may be impacted by the sovereign distress.

Unlike VaR measures, which have an implied probability because they are calculated at a specified confidence level, there is generally no implied probability that our stress test scenarios will occur. Instead, stress tests are used to model both moderate and more extreme moves in underlying market factors. When estimating potential loss, we generally assume that our positions cannot be reduced or hedged (although experience demonstrates that we are generally able to do so).

Stress test scenarios are conducted on a regular basis as part of the firm’s routine risk management process and on an ad hoc basis in response to market events or concerns. Stress testing is an important part of the firm’s risk management process because it allows us to highlight potential loss concentrations, undertake risk/reward analysis, and assess and mitigate our risk positions.

Goldman Sachs September 2012 Form 10-Q 167

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Limits

We use risk limits at various levels in the firm (including firmwide, product and business) to govern risk appetite by controlling the size of our exposures to market risk. Limits are reviewed frequently and amended on a permanent or temporary basis to reflect changing market conditions, business conditions or tolerance for risk.

The Firmwide Risk Committee sets market risk limits at firmwide and product levels and our Securities Division Risk Committee sets sub-limits for market-making and investing activities at a business level. The purpose of the firmwide limits is to assist senior management in controlling the firm’s overall risk profile. Sub-limits set the desired maximum amount of exposure that may be managed by any particular business on a day-to-day basis without additional levels of senior management approval, effectively leaving day-to-day trading decisions to individual desk managers and traders. Accordingly, sub-limits are a management tool designed to ensure appropriate escalation rather than to establish maximum risk tolerance. Sub-limits also distribute risk among various businesses in a manner that is consistent with their level of activity and client demand, taking into account the relative performance of each area.

Our market risk limits are monitored daily by Market Risk Management, which is responsible for identifying and escalating, on a timely basis, instances where limits have been exceeded. The business-level limits that are set by the Securities Division Risk Committee are subject to the same scrutiny and limit escalation policy as the firmwide limits.

When a risk limit has been exceeded (e.g., due to changes in market conditions, such as increased volatilities or changes in correlations), it is reported to the appropriate risk committee and a discussion takes place with the relevant desk managers, after which either the risk position is reduced or the risk limit is temporarily or permanently increased.

Metrics

We analyze VaR at the firmwide level and a variety of more detailed levels, including by risk category, business, and region. The tables below present, by risk category, average daily VaR and period-end VaR, as well as the high and low VaR for the period. Diversification effect in the tables below represents the difference between total VaR and the sum of the VaRs for the four risk categories. This effect arises because the four market risk categories are not perfectly correlated.

Average Daily VaR

in millions Risk Categories	Three Months Ended September					Nine Months Ended September
		2012		2011			2012		2011
Interest rates		$ 73		$  90			$ 82		$  84
Equity prices		21		24			24		36
Currency rates		12		15			15		20
Commodity prices		22		25			22		34
Diversification effect		(47	)	(52	)		(54	)	(69)
Total		$ 81		$102			$ 89		$105

Our average daily VaR decreased to $81 million for the third quarter of 2012 from $102 million for the third quarter of 2011, primarily reflecting a decrease in the interest rates category, principally due to lower levels of volatility.

Our average daily VaR decreased to $89 million for the nine months ended September 2012 from $105 million for the nine months ended September 2011, primarily reflecting decreases in the equity prices, commodity prices and currency rates categories, principally due to reduced exposures. These decreases were partially offset by a decrease in the diversification benefit across risk categories.

Quarter-End VaR and High and Low VaR

in millions Risk Categories	As of					Three Months Ended September  2012
		September 2012		June 2012			High	Low
Interest rates		$ 71		$ 79			$  80	$64
Equity prices		19		17			92	14
Currency rates		10		15			19	9
Commodity prices		24		19			25	18
Diversification effect		(43	)	(45	)
Total		$ 81		$ 85			$122	$72

Our daily VaR decreased to $81 million as of September 2012 from $85 million as of June 2012, reflecting a decrease in the interest rates category, principally due to lower levels of volatility, and a decrease in the currency rates category due to reduced exposures. These decreases were partially offset by an increase in the commodity prices category, principally due to increased exposures.

During the third quarter of 2012, the firmwide VaR risk limit was not exceeded and was reduced on one occasion due to lower levels of volatility.

168 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

The chart below reflects the VaR over the last four quarters.

The chart below presents the frequency distribution of our daily trading net revenues for substantially all inventory

positions included in VaR for the quarter ended September 2012.

Daily trading net revenues are compared with VaR calculated as of the end of the prior business day. Trading losses incurred on a single day did not exceed our 95% one-day VaR during the third quarter of 2012.

During periods in which the firm has significantly more positive net revenue days than net revenue loss days, we expect to have fewer VaR exceptions because, under

normal conditions, our business model generally produces positive net revenues. In periods in which our franchise revenues are adversely affected, we generally have more loss days, resulting in more VaR exceptions. In addition, VaR backtesting is performed against total daily market-making revenues, including bid/offer net revenues, which are more likely than not to be positive by their nature.

Goldman Sachs September 2012 Form 10-Q 169

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Sensitivity Measures

Certain portfolios and individual positions are not included in VaR because VaR is not the most appropriate risk measure. The market risk of these positions is determined by estimating the potential reduction in net revenues of a 10% decline in the underlying asset value.

The table below presents market risk for positions that are not included in VaR. These measures do not reflect diversification benefits across asset categories and therefore have not been aggregated.

Asset Categories	10% Sensitivity
	Amount as of
in millions	September 2012	June 2012
ICBC	$   173	$   162
Equity (excluding ICBC) 1	2,404	2,413
Debt 2	1,700	1,522

1. Relates to private and restricted public equity securities, including interests in firm-sponsored funds that invest in corporate equities and real estate and interests in firm-sponsored hedge funds.

2. Primarily relates to interests in our firm-sponsored funds that invest in corporate mezzanine and senior debt instruments. Also includes loans backed by commercial and residential real estate, corporate bank loans and other corporate debt, including acquired portfolios of distressed loans.

The increase in our 10% sensitivity measure as of September 2012 from June 2012 for debt positions was primarily due to new investments.

VaR excludes the impact of changes in counterparty and our own credit spreads on derivatives as well as changes in our own credit spreads on unsecured borrowings for which the fair value option was elected. The estimated sensitivity to a one basis point increase in credit spreads (counterparty and our own) on derivatives was a $4 million gain (including hedges) as of September 2012. In addition, the estimated sensitivity to a one basis point increase in our own credit spreads on unsecured borrowings for which the fair value option was elected was a $7 million gain (including hedges) as of September 2012. However, the actual net impact of a change in our own credit spreads is also affected by the liquidity, duration and convexity (as the sensitivity is not linear to changes in yields) of those unsecured borrowings for which the fair value option was elected, as well as the relative performance of any hedges undertaken.

The firm engages in insurance activities where we reinsure and purchase portfolios of insurance risk and pension liabilities. The risks associated with these activities include, but are not limited to: equity price, interest rate, reinvestment and mortality risk. The firm mitigates risks associated with insurance activities through the use of reinsurance and hedging. Certain of the assets associated with the firm’s insurance activities are included in VaR. In addition to the positions included in VaR, we held $9.08 billion of securities accounted for as available-for-sale as of September 2012, substantially all of which support the firm’s insurance subsidiaries. As of September 2012, our available-for-sale securities primarily consisted of $4.15 billion of corporate debt securities with an average yield of 3%, the majority of which will mature after five years, $2.83 billion of mortgage and other asset-backed loans and securities with an average yield of 6%, the majority of which will mature after ten years, and $883 million of U.S. government and federal agency obligations with an average yield of 2%, the majority of which will mature after five years. As of June 2012, we held $6.96 billion of securities accounted for as available-for-sale, primarily consisting of $2.95 billion of corporate debt securities with an average yield of 4%, the majority of which will mature after five years, $2.08 billion of mortgage and other asset-backed loans and securities with an average yield of 7%, the majority of which will mature after ten years, and $1.01 billion of U.S. government and federal agency obligations with an average yield of 2%, the majority of which will mature after five years.

In addition, as of September 2012 and June 2012, we had commitments and held loans for which we have obtained credit loss protection from Sumitomo Mitsui Financial Group, Inc. See Note 18 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for further information about such lending commitments.

Additionally, we make investments accounted for under the equity method and we also make direct investments in real estate, both of which are included in “Other assets” in the condensed consolidated statements of financial condition. Direct investments in real estate are accounted for at cost less accumulated depreciation. See Note 12 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for information on “Other assets.”

170 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Credit Risk Management

Overview

Credit risk represents the potential for loss due to the default or deterioration in credit quality of a counterparty (e.g., an OTC derivatives counterparty or a borrower) or an issuer of securities or other instruments we hold. Our exposure to credit risk comes mostly from client transactions in OTC derivatives and loans and lending commitments. Credit risk also comes from cash placed with banks, securities financing transactions (i.e., resale and repurchase agreements and securities borrowing and lending activities) and receivables from brokers, dealers, clearing organizations, customers and counterparties.

Credit Risk Management, which is independent of the revenue-producing units and reports to the firm’s chief risk officer, has primary responsibility for assessing, monitoring and managing credit risk at the firm. The Credit Policy Committee and the Firmwide Risk Committee establish and review credit policies and parameters. In addition, we hold other positions that give rise to credit risk (e.g., bonds held in our inventory and secondary bank loans). These credit risks are captured as a component of market risk measures, which are monitored and managed by Market Risk Management, consistent with other inventory positions.

Policies authorized by the Firmwide Risk Committee and the Credit Policy Committee prescribe the level of formal approval required for the firm to assume credit exposure to a counterparty across all product areas, taking into account any enforceable netting provisions, collateral or other credit risk mitigants.

Credit Risk Management Process

Effective management of credit risk requires accurate and timely information, a high level of communication and knowledge of customers, countries, industries and products. Our process for managing credit risk includes:

Ÿ approving transactions and setting and communicating credit exposure limits;

Ÿ monitoring compliance with established credit exposure limits;

Ÿ assessing the likelihood that a counterparty will default on its payment obligations;

Ÿ measuring the firm’s current and potential credit exposure and losses resulting from counterparty default;

Ÿ reporting of credit exposures to senior management, the Board and regulators;

Ÿ use of credit risk mitigants, including collateral and hedging; and

Ÿ communication and collaboration with other independent control and support functions such as operations, legal and compliance.

As part of the risk assessment process, Credit Risk Management performs credit reviews which include initial and ongoing analyses of our counterparties. A credit review is an independent judgment about the capacity and willingness of a counterparty to meet its financial obligations. For substantially all of our credit exposures, the core of our process is an annual counterparty review. A counterparty review is a written analysis of a counterparty’s business profile and financial strength resulting in an internal credit rating which represents the probability of default on financial obligations to the firm. The determination of internal credit ratings incorporates assumptions with respect to the counterparty’s future business performance, the nature and outlook for the counterparty’s industry, and the economic environment. Senior personnel within Credit Risk Management, with expertise in specific industries, inspect and approve credit reviews and internal credit ratings.

Our global credit risk management systems capture credit exposure to individual counterparties and on an aggregate basis to counterparties and their subsidiaries (economic groups). These systems also provide management with comprehensive information on our aggregate credit risk by product, internal credit rating, industry, country and region.

Goldman Sachs September 2012 Form 10-Q 171

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Risk Measures and Limits

We measure our credit risk based on the potential loss in an event of non-payment by a counterparty. For derivatives and securities financing transactions, the primary measure is potential exposure, which is our estimate of the future exposure that could arise over the life of a transaction based on market movements within a specified confidence level. Potential exposure takes into account netting and collateral arrangements. For loans and lending commitments, the primary measure is a function of the notional amount of the position. We also monitor credit risk in terms of current exposure, which is the amount presently owed to the firm after taking into account applicable netting and collateral.

We use credit limits at various levels (counterparty, economic group, industry, country) to control the size of our credit exposures. Limits for counterparties and economic groups are reviewed regularly and revised to reflect changing appetites for a given counterparty or group of counterparties. Limits for industries and countries are based on the firm’s risk tolerance and are designed to allow for regular monitoring, review, escalation and management of credit risk concentrations.

Stress Tests/Scenario Analysis

We use regular stress tests to calculate the credit exposures, including potential concentrations that would result from applying shocks to counterparty credit ratings or credit risk factors (e.g., currency rates, interest rates, equity prices). These shocks include a wide range of moderate and more extreme market movements. Some of our stress tests include shocks to multiple risk factors, consistent with the occurrence of a severe market or economic event. In the case of sovereign default, we estimate the direct impact of the default on our sovereign credit exposures, changes to our credit exposures arising from potential market moves in response to the default, and the impact of credit market deterioration on corporate borrowers and counterparties that may result from the sovereign default. Unlike potential exposure, which is calculated within a specified confidence level, with a stress test there is generally no assumed probability of these events occurring.

We run stress tests on a regular basis as part of our routine risk management processes and conduct tailored stress tests on an ad hoc basis in response to market developments. Stress tests are regularly conducted jointly with the firm’s market and liquidity risk functions.

Risk Mitigants

To reduce our credit exposures on derivatives and securities financing transactions, we may enter into netting agreements with counterparties that permit us to offset receivables and payables with such counterparties. We may also reduce credit risk with counterparties by entering into agreements that enable us to obtain collateral from them on an upfront or contingent basis and/or to terminate transactions if the counterparty’s credit rating falls below a specified level.

For loans and lending commitments, we typically employ a variety of potential risk mitigants, depending on the credit quality of the borrower and other characteristics of the transaction. Risk mitigants include: collateral provisions, guarantees, covenants, structural seniority of the bank loan claims and, for certain lending commitments, provisions in the legal documentation that allow the firm to adjust loan amounts, pricing, structure and other terms as market conditions change. The type and structure of risk mitigants employed can significantly influence the degree of credit risk involved in a loan.

When we do not have sufficient visibility into a counterparty’s financial strength or when we believe a counterparty requires support from its parent company, we may obtain third-party guarantees of the counterparty’s obligations. We may also mitigate our credit risk using credit derivatives or participation agreements.

172 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Credit Exposures

The firm’s credit exposures are described further below.

Cash and Cash Equivalents. Cash and cash equivalents include both interest-bearing and non-interest-bearing deposits. To mitigate the risk of credit loss, we place substantially all of our deposits with highly rated banks and central banks.

OTC Derivatives. Derivatives are reported on a net-by-counterparty basis (i.e., the net payable or receivable for derivative assets and liabilities for a given counterparty) when a legal right of setoff exists under an enforceable netting agreement.

Derivatives are accounted for at fair value net of cash collateral received or posted under credit support agreements. As credit risk is an essential component of fair value, the firm includes a credit valuation adjustment (CVA) in the fair value of derivatives to reflect counterparty credit risk, as described in Note 7 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q. CVA is a function of the present value of expected exposure, the probability of counterparty default and the assumed recovery upon default.

The tables below present the distribution of our exposure to OTC derivatives by tenor, based on expected duration for mortgage-related credit derivatives and generally on remaining contractual maturity for other derivatives, both before and after the effect of collateral and netting agreements. Receivable and payable balances for the same counterparty across tenor categories are netted under enforceable netting agreements, and cash collateral received is netted under credit support agreements. Receivable and payable balances with the same counterparty in the same tenor category are netted within such tenor category. The categories shown reflect our internally determined public rating agency equivalents.

	As of September 2012
in millions Credit Rating Equivalent		0 - 12 Months	1 - 5 Years	5 Years or Greater	Total	Netting		Exposure	Exposure Net of Collateral
AAA/Aaa		$     398	$  1,883	$    2,682	$    4,963	$    (1,305	)	$  3,658	$  3,365
AA/Aa2		3,780	8,189	21,748	33,717	(16,032	)	17,685	11,486
A/A2		13,113	29,163	42,296	84,572	(62,262	)	22,310	14,241
BBB/Baa2		7,493	13,392	29,169	50,054	(35,236	)	14,818	5,099
BB/Ba2 or lower		2,970	4,665	9,837	17,472	(9,269	)	8,203	5,335
Unrated		456	815	262	1,533	(6	)	1,527	1,141
Total		$28,210	$58,107	$105,994	$192,311	$(124,110	)	$68,201	$40,667
	As of December 2011
in millions Credit Rating Equivalent		0 - 12 Months	1 - 5 Years	5 Years or Greater	Total	Netting		Exposure	Exposure Net of Collateral
AAA/Aaa		$     727	$     786	$    2,297	$    3,810	$       (729	)	$  3,081	$  2,770
AA/Aa2		4,661	10,198	28,094	42,953	(22,972	)	19,981	12,954
A/A2		17,704	36,553	50,787	105,044	(73,873	)	31,171	17,109
BBB/Baa2		7,376	14,222	25,612	47,210	(36,214	)	10,996	6,895
BB/Ba2 or lower		2,896	4,497	6,597	13,990	(6,729	)	7,261	4,527
Unrated		752	664	391	1,807	(149	)	1,658	1,064
Total		$34,116	$66,920	$113,778	$214,814	$(140,666	)	$74,148	$45,319

Goldman Sachs September 2012 Form 10-Q 173

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Lending Activities.We manage the firm’s traditional credit origination activities, including funded loans and lending commitments (both fair value and held for investment loans and lending commitments), using the credit risk process, measures and limits described above. Other lending positions, including secondary trading positions, are risk-managed as a component of market risk.

Other Credit Exposures.The firm is exposed to credit risk from its receivables from brokers, dealers and clearing organizations and customers and counterparties. Receivables from brokers, dealers and clearing organizations are primarily comprised of initial margin placed with clearing organizations and receivables related to sales of securities which have traded, but not yet settled. These receivables have minimal credit risk due to the low probability of clearing organization default and the short-term nature of receivables related to securities settlements. Receivables from customers and counterparties are generally comprised of collateralized receivables related to customer securities transactions and have minimal credit risk due to both the value of the collateral received and the short-term nature of these receivables.

Credit Exposures

As of September 2012, our credit exposures increased as compared with December 2011, reflecting an increase in cash and loans and lending commitments, partially offset by a decrease in OTC derivative exposures. The percentage of our credit exposure arising from non-investment-grade counterparties (based on our internally determined public rating agency equivalents) was essentially unchanged from December 2011. Counterparty defaults rose slightly during the nine months ended September 2012; however, the associated credit losses were lower as compared with the same prior year period.

The tables below present the firm’s credit exposures related to cash, OTC derivatives, and loans and lending commitments associated with traditional credit origination activities broken down by industry, region and internal credit rating.

174 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Credit Exposure by Industry

	Cash			OTC Derivatives			Loans and Lending Commitments 1
	As of			As of			As of
in millions		September 2012	December 2011		September 2012	December 2011	September 2012	December 2011
Asset Managers & Funds		$       —	$       64		$10,691	$10,582	$  1,895	$  1,290
Banks, Brokers & Other Financial Institutions		11,175	12,535		23,072	25,041	6,162	3,591
Consumer Products, Non-Durables & Retail		—	11		1,296	1,031	14,412	12,685
Government & Central Banks		52,464	43,389		13,733	16,642	1,490	1,828
Healthcare & Education		—	—		3,852	2,962	7,476	7,158
Insurance		—	—		3,200	2,828	3,456	2,891
Natural Resources & Utilities		—	—		4,901	4,803	15,633	14,795
Real Estate		—	—		383	327	2,918	2,695
Technology, Media, Telecommunications & Services		—	2		1,893	2,124	14,421	12,646
Transportation		—	—		1,078	1,104	6,348	5,753
Other		—	7		4,102	6,704	4,932	5,759
Total 2		$63,639	$56,008		$68,201	$74,148	$79,143	$71,091

Credit Exposure by Region

	Cash			OTC Derivatives			Loans and Lending Commitments 1
	As of			As of			As of
in millions		September 2012	December 2011		September 2012	December 2011		September 2012	December 2011
Americas		$56,182	$48,543		$34,484	$36,591		$58,698	$52,755
EMEA 3		1,277	1,800		26,625	29,549		18,841	16,989
Asia		6,180	5,665		7,092	8,008		1,604	1,347
Total 2		$63,639	$56,008		$68,201	$74,148		$79,143	$71,091

Credit Exposure by Credit Quality

	Cash			OTC Derivatives			Loans and Lending Commitments 1
	As of			As of			As of
in millions Credit Rating Equivalent		September 2012	December 2011		September 2012	December 2011		September 2012	December 2011
AAA/Aaa		$49,827	$40,559		$  3,658	$  3,081		$  2,170	$  2,192
AA/Aa2		5,467	7,463		17,685	19,981		7,551	7,026
A/A2		6,995	6,464		22,310	31,171		22,202	21,055
BBB/Baa2		217	195		14,818	10,996		26,136	22,937
BB/Ba2 or lower		1,133	1,209		8,203	7,261		21,084	17,820
Unrated		—	118		1,527	1,658		—	61
Total 2		$63,639	$56,008		$68,201	$74,148		$79,143	$71,091

1. Includes approximately $11 billion and $10 billion of loans as of September 2012 and December 2011, respectively, and approximately $68 billion and $61 billion of lending commitments as of September 2012 and December 2011, respectively. Excludes approximately $10 billion of loans as of both September 2012 and December 2011, and lending commitments with a total notional value of approximately $7 billion and $5 billion as of September 2012 and December 2011, respectively, that are risk managed as part of market risk using VaR and sensitivity measures.

2. The firm bears credit risk related to resale agreements and securities borrowed only to the extent that cash advanced to the counterparty exceeds the value of the collateral received. The firm also has credit exposure on repurchase agreements and securities loaned to the extent that the value of securities pledged or delivered to the counterparty for these transactions exceeds the amount of cash or collateral received. We had approximately $39 billion and $41 billion as of September 2012 and December 2011, respectively, in credit exposure related to securities financing transactions reflecting enforceable netting agreements.

3. EMEA (Europe, Middle East and Africa).

Goldman Sachs September 2012 Form 10-Q 175

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Selected Country Exposures

During 2011 and continuing into 2012, there have been concerns about European sovereign debt risk and its impact on the European banking system and a number of European member states have been experiencing significant credit deterioration. The most pronounced market concerns relate to Greece, Ireland, Italy, Portugal and Spain. The tables below present our credit exposure (both gross and net of hedges) to all sovereigns, financial institutions and corporate counterparties or borrowers in these countries. Credit exposure represents the potential for loss due to the default or deterioration in credit quality of a counterparty or borrower. In addition, the tables include the market

exposure of our long and short inventory for which the issuer or underlier is located in these countries. Market exposure represents the potential for loss in value of our inventory due to changes in market prices. There is no overlap between the credit and market exposures in the tables below.

The country of risk is determined by the location of the counterparty, issuer or underlier’s assets, where they generate revenue, the country in which they are headquartered, and/or the government whose policies affect their ability to repay their obligations.

	As of September 2012
	Credit Exposure												Market Exposure
in millions		Loans		OTC  Derivatives		Other	Gross  Funded	Hedges		Total Net Funded Credit Exposure	Unfunded Credit Exposure	Total Credit  Exposure		Debt		Equities and Other		Credit  Derivatives		Total Market  Exposure
Greece
Sovereign		$     —		$      —		$   —	$      —	$       —		$      —	$      —	$      —		$     43		$   —		$       —		$   43
Non-Sovereign		—		33		—	33	—		33	—	33		69		—		11		80
Total Greece		—		33		—	33	—		33	—	33		112		—		11		123
Ireland
Sovereign		—		1		107	108	—		108	—	108		92		—		(420	)	(328	)
Non-Sovereign		—		326		82	408	(22	)	386	—	386		480		74		178		732
Total Ireland		—		327		189	516	(22	)	494	—	494		572		74		(242	)	404
Italy
Sovereign		—		1,282		19	1,301	(1,235	)	66	—	66		(325	)	—		(338	)	(663	)
Non-Sovereign		32		499		105	636	(35	)	601	505	1,106		247		78		(1,104	)	(779	)
Total Italy		32		1,781		124	1,937	(1,270	)	667	505	1,172		(78	)	78		(1,442	)	(1,442	)
Portugal
Sovereign		—		127		96	223	—		223	—	223		9		—		(326	)	(317	)
Non-Sovereign		—		34		3	37	—		37	—	37		164		(3	)	(266	)	(105	)
Total Portugal		—		161		99	260	—		260	—	260		173		(3	)	(592	)	(422	)
Spain
Sovereign		—		71		—	71	—		71	—	71		481		—		(651	)	(170	)
Non-Sovereign		974		124		45	1,143	(83	)	1,060	681	1,741		1,190		270		(490	)	970
Total Spain		974		195		45	1,214	(83	)	1,131	681	1,812		1,671		270		(1,141	)	800
Subtotal		$1,006	1	$2,497	2	$457	$3,960	$(1,375	) 3	$2,585	$1,186	$3,771		$2,450		$419		$(3,406	) 3	$(537	)

1. Principally consists of collateralized loans.

2. Includes the benefit of $7.2 billion of cash and U.S. Treasury securities collateral and excludes non-U.S. government and agency obligations and corporate securities collateral of $357 million.

3. Includes written and purchased credit derivative notionals reduced by the fair values of such credit derivatives.

176 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

	As of December 2011
	Credit Exposure											Market Exposure
in millions		Loans	OTC Derivatives		Other	Gross Funded	Hedges		Total Net Funded Credit Exposure	Unfunded Credit Exposure	Total Credit Exposure		Debt		Equities and Other	Credit Derivatives		Total Market Exposure
Greece
Sovereign		$   —	$      —		$   —	$      —	$       —		$      —	$   —	$      —		$    329		$   —	$     (22	)	$307
Non-Sovereign		20	53		—	73	—		73	—	73		32		11	18		61
Total Greece		20	53		—	73	—		73	—	73		361		11	(4	)	368
Ireland
Sovereign		—	1		256	257	—		257	—	257		411		—	(352	)	59
Non-Sovereign		—	542		66	608	(8	)	600	57	657		412		85	115		612
Total Ireland		—	543		322	865	(8	)	857	57	914		823		85	(237	)	671
Italy
Sovereign		—	1,666		3	1,669	(1,410	)	259	—	259		210		—	200		410
Non-Sovereign		126	457		—	583	(25	)	558	408	966		190		297	(896	)	(409	)
Total Italy		126	2,123		3	2,252	(1,435	)	817	408	1,225		400		297	(696	)	1
Portugal
Sovereign		—	151		—	151	—		151	—	151		(98	)	—	23		(75	)
Non-Sovereign		—	53		2	55	—		55	—	55		230		13	(179	)	64
Total Portugal		—	204		2	206	—		206	—	206		132		13	(156	)	(11	)
Spain
Sovereign		—	88		—	88	—		88	—	88		151		—	(550	)	(399	)
Non-Sovereign		153	254		11	418	(141	)	277	146	423		345		239	(629	)	(45	)
Total Spain		153	342		11	506	(141	)	365	146	511		496		239	(1,179	)	(444	)
Subtotal		$299	$3,265	1	$338	$3,902	$(1,584	)	$2,318	$611	$2,929		$2,212		$645	$(2,272	) 2	$585

1. Includes the benefit of $6.5 billion of cash and U.S. Treasury securities collateral and excludes non-U.S. government and agency obligations and corporate securities collateral of $341 million.

2. Includes written and purchased credit derivative notionals reduced by the fair values of such credit derivatives.

We economically hedge our exposure to written credit derivatives by entering into offsetting purchased credit derivatives with identical underlyings. Where possible, we endeavor to match the tenor and credit default terms of such hedges to that of our written credit derivatives. Substantially all purchased credit derivatives included above are bought from investment-grade counterparties domiciled outside of these countries and are collateralized with cash or U.S. Treasury securities. The gross purchased and written credit derivative notionals across the above countries for single-name and index credit default swaps (included in Hedges and Credit Derivatives in the tables above) were $173.5 billion and $162.6 billion, respectively, as of September 2012, and $177.8 billion and $167.3 billion, respectively, as of December 2011. Including netting under legally enforceable netting agreements, within each and across all of the countries above, the purchased and written credit derivative notionals for single-name and index credit default swaps

were $25.0 billion and $14.1 billion, respectively, as of September 2012, and $28.2 billion and $17.7 billion, respectively, as of December 2011. These notionals are not representative of our exposure because they exclude available netting under legally enforceable netting agreements on other derivatives outside of these countries and collateral received or posted under credit support agreements.

In credit exposure above, ‘Other’ principally consists of deposits, secured lending transactions and other secured receivables. As of September 2012 and December 2011, $4.9 billion and $7.0 billion, respectively, of secured lending transactions and other secured receivables were fully collateralized.

For information about the nature of or payout under trigger events related to written and purchased credit protection contracts see Note 7 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q.

Goldman Sachs September 2012 Form 10-Q 177

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

We conduct stress tests intended to estimate the direct and indirect impact that might result from a variety of possible events involving the above countries, including sovereign defaults and the exit of one or more countries from the Euro area. In the stress tests, described in “Market Risk Management — Stress Testing” and “Credit Risk Management — Stress Tests/Scenario Analysis,” we estimate the direct impact of the event on our credit and market exposures resulting from shocks to risk factors including, but not limited to, currency rates, interest rates, and equity prices. The parameters of these shocks vary based on the scenario reflected in each stress test. We also estimate the indirect impact on our exposures arising from potential market moves in response to the event, such as the impact of credit market deterioration on corporate borrowers and counterparties along with the shocks to the risk factors described above. We review estimated losses produced by the stress tests in order to understand their magnitude, highlight potential loss concentrations, and assess and mitigate our exposures where necessary.

Euro area exit scenarios include analysis of the impacts on exposure that might result from the redenomination of assets in the exiting country or countries. Constructing stress tests for these scenarios requires many assumptions about how exposures might be directly impacted and how resulting secondary market moves would indirectly impact such exposures. Given the multiple parameters involved in such scenarios, losses from such events are inherently difficult to quantify and may materially differ from our estimates. In order to prepare for any market disruption that might result from a Euro area exit, we test our operational and risk management readiness and capability to respond to a redenomination event.

See “Liquidity Risk Management — Modeled Liquidity Outflow,” “Market Risk Management — Stress Testing” and “Credit Risk Management — Stress Tests/Scenario Analysis” for further discussion.

Credit events which occurred subsequent to September 2012 related to these countries did not have a material effect on our financial condition, results of operations, liquidity or capital resources.

Operational Risk Management

Overview

Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. Our exposure to operational risk arises from routine processing errors as well as extraordinary incidents, such as major systems failures. Potential types of loss events related to internal and external operational risk include:

Ÿ clients, products and business practices;

Ÿ execution, delivery and process management;

Ÿ business disruption and system failures;

Ÿ employment practices and workplace safety;

Ÿ damage to physical assets;

Ÿ internal fraud; and

Ÿ external fraud.

The firm maintains a comprehensive control framework designed to provide a well-controlled environment to minimize operational risks. The Firmwide Operational Risk Committee, along with the support of regional or entity-specific working groups or committees, provides oversight of the ongoing development and implementation of our operational risk policies and framework. Our Operational Risk Management department (Operational Risk Management) is a risk management function independent of our revenue-producing units, reports to the firm’s chief risk officer, and is responsible for developing and implementing policies, methodologies and a formalized framework for operational risk management with the goal of minimizing our exposure to operational risk.

178 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Operational Risk Management Process

Managing operational risk requires timely and accurate information as well as a strong control culture. We seek to manage our operational risk through:

Ÿ the training, supervision and development of our people;

Ÿ the active participation of senior management in identifying and mitigating key operational risks across the firm;

Ÿ independent control and support functions that monitor operational risk on a daily basis and have instituted extensive policies and procedures and implemented controls designed to prevent the occurrence of operational risk events;

Ÿ proactive communication between our revenue-producing units and our independent control and support functions; and

Ÿ a network of systems throughout the firm to facilitate the collection of data used to analyze and assess our operational risk exposure.

We combine top-down and bottom-up approaches to manage and measure operational risk. From a top-down perspective, the firm’s senior management assesses firmwide and business level operational risk profiles. From a bottom-up perspective, revenue-producing units and independent control and support functions are responsible for risk management on a day-to-day basis, including identifying, mitigating, and escalating operational risks to senior management.

Our operational risk framework is in part designed to comply with the operational risk measurement rules under Basel 2 and has evolved based on the changing needs of our businesses and regulatory guidance. Our framework includes the following practices:

Ÿ Risk identification and reporting;

Ÿ Risk measurement; and

Ÿ Risk monitoring.

Internal Audit performs a review of our operational risk framework, including our key controls, processes and applications, on an annual basis to ensure the effectiveness of our framework.

Risk Identification and Reporting

The core of our operational risk management framework is risk identification and reporting. We have a comprehensive data collection process, including firmwide policies and procedures, for operational risk events.

We have established policies that require managers in our revenue-producing units and our independent control and support functions to escalate operational risk events. When operational risk events are identified, our policies require that the events be documented and analyzed to determine whether changes are required in the firm’s systems and/or processes to further mitigate the risk of future events.

In addition, our firmwide systems capture internal operational risk event data, key metrics such as transaction volumes, and statistical information such as performance trends. We use an internally-developed operational risk management application to aggregate and organize this information. Managers from both revenue-producing units and independent control and support functions analyze the information to evaluate operational risk exposures and identify businesses, activities or products with heightened levels of operational risk. We also provide operational risk reports to senior management, risk committees and the Board periodically.

Goldman Sachs September 2012 Form 10-Q 179

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Risk Measurement

We measure the firm’s operational risk exposure over a twelve-month time horizon using both statistical modeling and scenario analyses, which involve qualitative assessments of the potential frequency and extent of potential operational risk losses, for each of the firm’s businesses. Operational risk measurement incorporates qualitative and quantitative assessments of factors including:

Ÿ internal and external operational risk event data;

Ÿ assessments of the firm’s internal controls;

Ÿ evaluations of the complexity of the firm’s business activities;

Ÿ the degree of and potential for automation in the firm’s processes;

Ÿ new product information;

Ÿ the legal and regulatory environment;

Ÿ changes in the markets for the firm’s products and services, including the diversity and sophistication of the firm’s customers and counterparties; and

Ÿ the liquidity of the capital markets and the reliability of the infrastructure that supports the capital markets.

The results from these scenario analyses are used to monitor changes in operational risk and to determine business lines that may have heightened exposure to operational risk. These analyses ultimately are used to determine the appropriate level of operational risk capital to hold.

Risk Monitoring

We evaluate changes in the operational risk profile of the firm and its businesses, including changes in business mix or jurisdictions in which the firm operates, by monitoring these factors at a firmwide, entity and business level. The firm has both detective and preventive internal controls, which are designed to reduce the frequency and severity of operational risk losses and the probability of operational risk events. We monitor the results of assessments and independent internal audits of these internal controls.

Recent Accounting Developments

See Note 3 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for information about Recent Accounting Developments.

180 Goldman Sachs September 2012 Form 10-Q

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Certain  Risk  Factors  That  May  Affect  Our

Businesses

We face a variety of risks that are substantial and inherent in our businesses, including market, liquidity, credit, operational, legal, regulatory and reputational risks. For a discussion of how management seeks to manage some of these risks, see “Overview and Structure of Risk Management.” A summary of the more important factors that could affect our businesses follows. For a further discussion of these and other important factors that could affect our businesses, financial condition, results of operations, cash flows and liquidity, see “Risk Factors” in Part I, Item 1A of our Annual Report on Form 10-K.

Ÿ Our businesses have been and may continue to be adversely affected by conditions in the global financial markets and economic conditions generally.

Ÿ Our businesses have been and may be adversely affected by declining asset values. This is particularly true for those businesses in which we have net “long” positions, receive fees based on the value of assets managed, or receive or post collateral.

Ÿ Our businesses have been and may be adversely affected by disruptions in the credit markets, including reduced access to credit and higher costs of obtaining credit.

Ÿ Our market-making activities have been and may be affected by changes in the levels of market volatility.

Ÿ Our investment banking, client execution and investment management businesses have been adversely affected and may continue to be adversely affected by market uncertainty or lack of confidence among investors and CEOs due to general declines in economic activity and other unfavorable economic, geopolitical or market conditions.

Ÿ Our investment management business may be affected by the poor investment performance of our investment products.

Ÿ We may incur losses as a result of ineffective risk management processes and strategies.

Ÿ Our liquidity, profitability and businesses may be adversely affected by an inability to access the debt capital markets or to sell assets or by a reduction in our credit ratings or by an increase in our credit spreads.

Ÿ Conflicts of interest are increasing and a failure to appropriately identify and address conflicts of interest could adversely affect our businesses.

Ÿ Group Inc. is a holding company and is dependent for liquidity on payments from its subsidiaries, many of which are subject to restrictions.

Ÿ Our businesses, profitability and liquidity may be adversely affected by deterioration in the credit quality of, or defaults by, third parties who owe us money, securities or other assets or whose securities or obligations we hold.

Ÿ Concentration of risk increases the potential for significant losses in our market-making, underwriting, investing and lending activities.

Ÿ The financial services industry is highly competitive.

Ÿ We face enhanced risks as new business initiatives lead us to transact with a broader array of clients and counterparties and expose us to new asset classes and new markets.

Ÿ Derivative transactions and delayed settlements may expose us to unexpected risk and potential losses.

Ÿ Our businesses may be adversely affected if we are unable to hire and retain qualified employees.

Ÿ Our businesses and those of our clients are subject to extensive and pervasive regulation around the world.

Ÿ We may be adversely affected by increased governmental and regulatory scrutiny or negative publicity.

Ÿ A failure in our operational systems or infrastructure, or those of third parties, could impair our liquidity, disrupt our businesses, result in the disclosure of confidential information, damage our reputation and cause losses.

Ÿ Substantial legal liability or significant regulatory action against us could have material adverse financial effects or cause us significant reputational harm, which in turn could seriously harm our business prospects.

Ÿ The growth of electronic trading and the introduction of new trading technology may adversely affect our business and may increase competition.

Ÿ Our commodities activities, particularly our power generation interests and our physical commodities activities, subject us to extensive regulation, potential catastrophic events and environmental, reputational and other risks that may expose us to significant liabilities and costs.

Ÿ In conducting our businesses around the world, we are subject to political, economic, legal, operational and other risks that are inherent in operating in many countries.

Ÿ We may incur losses as a result of unforeseen or catastrophic events, including the emergence of a pandemic, terrorist attacks or natural disasters.

Goldman Sachs September 2012 Form 10-Q 181

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

Management’s Discussion and Analysis

Cautionary Statement Pursuant to the U.S. Private Securities Litigation Reform Act of 1995

We have included or incorporated by reference in this Form 10-Q, and from time to time our management may make, statements that may constitute “forward-looking statements” within the meaning of the safe harbor provisions of the U.S. Private Securities Litigation Reform Act of 1995. Forward-looking statements are not historical facts, but instead represent only our beliefs regarding future events, many of which, by their nature, are inherently uncertain and outside our control. It is possible that our actual results and financial condition may differ, possibly materially, from the anticipated results and financial condition indicated in these forward-looking statements. For a discussion of some of the risks and important factors that could affect our future results and financial condition, see “Certain Risk Factors That May Affect Our Businesses” above, as well as “Risk Factors” in Part I, Item 1A of our Annual Report on Form 10-K.

Statements about our investment banking transaction backlog also may constitute forward-looking statements. Such statements are subject to the risk that the terms of these transactions may be modified or that they may not be completed at all; therefore, the net revenues, if any, that we actually earn from these transactions may differ, possibly materially, from those currently expected. Important factors that could result in a modification of the terms of a transaction or a transaction not being completed include, in the case of underwriting transactions, a decline or continued weakness in general economic conditions, outbreak of hostilities, volatility in the securities markets generally or an adverse development with respect to the issuer of the securities and, in the case of financial advisory transactions, a decline in the securities markets, an inability to obtain adequate financing, an adverse development with respect to a party to the transaction or a failure to obtain a required regulatory approval. For a discussion of other important factors that could adversely affect our investment banking transactions, see “Certain Risk Factors That May Affect Our Businesses” above, as well as “Risk Factors” in Part I, Item 1A of our Annual Report on Form 10-K.

182 Goldman Sachs September 2012 Form 10-Q

Item 3.    Quantitative and Qualitative Disclosures About Market Risk

Quantitative and qualitative disclosures about market risk are set forth under “Management’s Discussion and Analysis of Financial Condition and Results of Operations — Market Risk Management” in Part I, Item 2 above.

Item 4.    Controls and Procedures

As of the end of the period covered by this report, an evaluation was carried out by Goldman Sachs’ management, with the participation of our Chief Executive Officer and Chief Financial Officer, of the effectiveness of our disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934 (Exchange Act)). Based upon that evaluation, our Chief Executive Officer and Chief Financial Officer concluded that these disclosure controls and procedures were effective as of the end of the period covered by this report. In addition, no change in our internal control over financial reporting (as defined in Rule 13a-15(f) under the Exchange Act) occurred during our most recent quarter that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1.    Legal Proceedings

We are involved in a number of judicial, regulatory and arbitration proceedings concerning matters arising in connection with the conduct of our businesses. Many of these proceedings are at preliminary stages, and many of these cases seek an indeterminate amount of damages. However, we believe, based on currently available information, that the results of such proceedings, in the aggregate, will not have a material adverse effect on our financial condition, but may be material to our operating results for any particular period, depending, in part, upon the operating results for such period. Given the range of litigation and investigations presently under way, our litigation expenses can be expected to remain high. See “Management’s Discussion and Analysis of Financial Condition and Results of Operations — Use of Estimates” in Part I, Item 2 of this Form 10-Q. See Note 27 to the condensed consolidated financial statements in Part I, Item 1 of this Form 10-Q for information on certain judicial, regulatory and legal proceedings.

Goldman Sachs September 2012 Form 10-Q 183

Item 2.    Unregistered Sales of Equity Securities and Use of Proceeds

The table below sets forth the information with respect to purchases made by or on behalf of The Goldman Sachs Group, Inc. (Group Inc.) or any “affiliated purchaser” (as

defined in Rule 10b-18(a)(3) under the Securities Exchange Act of 1934) of our common stock during the three months ended September 30, 2012.

Period	Total Number of Shares Purchased	Average Price Paid per Share	Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs	1	Maximum Number of Shares That May Yet Be Purchased Under the Plans or Programs	1
Month #1 (July 1, 2012 to July 31, 2012)	2,522,545	$ 96.91	2,522,545		43,436,443
Month #2 (August 1, 2012 to August 31, 2012)	5,240,777	103.62	5,240,777		38,195,666
Month #3 (September 1, 2012 to September 30, 2012)	4,010,475	115.32	4,010,475		34,185,191
Total	11,773,797		11,773,797

1. On March 21, 2000, we announced that the Board of Directors of Group Inc. (Board) had approved a repurchase program, pursuant to which up to 15 million shares of our common stock may be repurchased. This repurchase program was increased by an aggregate of 325 million shares by resolutions of our Board adopted on June 18, 2001, March 18, 2002, November 20, 2002, January 30, 2004, January 25, 2005, September 16, 2005, September 11, 2006, December 17, 2007 and July 18, 2011. We use our share repurchase program to help maintain the appropriate level of common equity and to substantially offset increases in share count over time resulting from employee share-based compensation. The repurchase program is effected primarily through regular open-market purchases, the amounts and timing of which are determined primarily by the firm’s current and projected capital position (i.e., comparisons of our desired level and composition of capital to our actual level and composition of capital) and its issuance of shares resulting from employee share-based compensation, but which may also be influenced by general market conditions and the prevailing price and trading volumes of our common stock. The repurchase program has no set expiration or termination date. Any repurchase of our common stock requires approval by the Federal Reserve Board.

184 Goldman Sachs September 2012 Form 10-Q

Item 6.          Exhibits

Exhibits

3.1 and 4.1	Certificate of Designations of the Registrant relating to the Series I Preferred Stock, incorporated herein by reference to Exhibit 3 to the Registrant’s Registration Statement on Form 8-A, filed on October 24, 2012.
4.2	Form of Certificate representing the Series I Preferred Stock, incorporated herein by reference to Exhibit 5 to the Registrant’s Registration Statement on Form 8-A, filed on October 24, 2012.
12.1	Statement re: Computation of Ratios of Earnings to Fixed Charges and Ratios of Earnings to Combined Fixed Charges and Preferred Stock Dividends.
15.1	Letter re: Unaudited Interim Financial Information.
31.1	Rule 13a-14(a) Certifications.
32.1	Section 1350 Certifications.*
101	Interactive data files pursuant to Rule 405 of Regulation S-T: (i) the Condensed Consolidated Statements of Earnings for the three and nine months ended September 30, 2012 and September 30, 2011, (ii) the Condensed Consolidated Statements of Comprehensive Income for the three and nine months ended September 30, 2012 and September 30, 2011, (iii) the Condensed Consolidated Statements of Financial Condition as of September 30, 2012 and December 31, 2011, (iv) the Condensed Consolidated Statements of Changes in Shareholders’ Equity for the nine months ended September 30, 2012 and year ended December 31, 2011, (v) the Condensed Consolidated Statements of Cash Flows for the nine months ended September 30, 2012 and September 30, 2011, and (vi) the notes to the Condensed Consolidated Financial Statements.
	*     This information is furnished and not filed for purposes of Sections 11 and 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934.

Goldman Sachs September 2012 Form 10-Q 185

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

THE GOLDMAN SACHS GROUP, INC.
By:	/s/	David A. Viniar
	Name:	David A. Viniar
	Title:	Chief Financial Officer

By:	/s/	Sarah E. Smith
	Name:	Sarah E. Smith
	Title:	Principal Accounting Officer

Date: November 8, 2012

186 Goldman Sachs September 2012 Form 10-Q

EX-12.1

EXHIBIT 12.1

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES

COMPUTATION OF RATIOS OF EARNINGS TO FIXED CHARGES AND RATIOS OF EARNINGS

TO COMBINED FIXED CHARGES AND PREFERRED STOCK DIVIDENDS

	Nine  Months Ended September			Year Ended December									Year Ended November						One Month Ended December
$ in millions	2012			2011			2010			2009			2008			2007			2008
Net earnings/(loss)		$  4,583			$  4,442			$  8,354			$13,385			$  2,322			$11,599		$  (780)
Add:
Provision/(benefit) for taxes		2,311			1,727			4,538			6,444			14			6,005		(478)
Portion of rents representative of an interest factor		95			159			169			145			146			137		13
Interest expense on all indebtedness		5,610			7,982			6,806			6,500			31,357			41,981		1,002
Pre-tax earnings/(loss), as adjusted		$12,599			$14,310			$19,867			$26,474			$33,839			$59,722		$  (243)
Fixed charges 1:
Portion of rents representative of an interest factor		$       95			$     159			$     169			$     145			$     146			$     137		$     13
Interest expense on all indebtedness		5,616			7,987			6,810			6,570			31,444			42,051		1,008
Total fixed charges		$  5,711			$  8,146			$  6,979			$  6,715			$31,590			$42,188		$1,021
Preferred stock dividend requirements		187			2,683			989			1,767			283			291		400
Total combined fixed charges and preferred stock dividends		$  5,898			$10,829			$  7,968			$  8,482			$31,873			$42,479		$1,421
Ratio of earnings to fixed charges		2.21	x		1.76	x		2.85	x		3.94	x		1.07	x		1.42	x	N/A 2
Ratio of earnings to combined fixed charges and preferred stock dividends		2.14	x		1.32	x		2.49	x		3.12	x		1.06	x		1.41	x	N/A 2

1. Fixed charges include capitalized interest of $6 million, $5 million, $4 million, $70 million, $87 million, $70 million and $6 million for the nine months ended September 2012, years ended December 2011, December 2010, December 2009, November 2008, November 2007 and one month ended December 2008, respectively.

2. Earnings for the one month ended December 2008 were inadequate to cover total fixed charges and total combined fixed charges and preferred stock dividends. The coverage deficiencies for total fixed charges and total combined fixed charges and preferred stock dividends were $1.26 billion and $1.66 billion, respectively.

EX-15.1

EXHIBIT 15.1

November 8, 2012

Securities and Exchange Commission

100 F Street N.E.

Washington, D.C. 20549

Re: The Goldman Sachs Group, Inc.

Registration Statements on Form S-8

(No. 333-80839)

(No. 333-42068)

(No. 333-106430)

(No. 333-120802)

Registration Statements on Form S-3

(No. 333-176914)

Commissioners:

We are aware that our report dated November 8, 2012 on our review of the condensed consolidated statement of financial condition of The Goldman Sachs Group, Inc. and subsidiaries (the Company) as of September 30, 2012, the related condensed consolidated statements of earnings for the three and nine months ended September 30, 2012 and 2011, the condensed consolidated statements of comprehensive income for the three and nine months ended September 30, 2012 and 2011, the condensed consolidated statement of changes in shareholders’ equity for the nine months ended September 30, 2012, and the condensed consolidated statements of cash flows for the nine months ended September 30, 2012 and 2011 and included in the Company’s quarterly report on Form 10-Q for the quarter ended September 30, 2012 is incorporated by reference in the registration statements referred to above. Pursuant to Rule 436(c) under the Securities Act of 1933 (the “Act”), such report should not be considered a part of such registration statements, and is not a report within the meaning of Sections 7 and 11 of the Act.

Very truly yours,

/s/ PRICEWATERHOUSECOOPERS LLP

EX-31.1

EXHIBIT 31.1

CERTIFICATIONS

I, Lloyd C. Blankfein, certify that:

1.  I have reviewed this Quarterly Report on Form 10-Q for the quarter ended September 30, 2012 of The Goldman Sachs Group, Inc.;

2.  Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.  Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.  The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a)  Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)  Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)  Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d)  Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.  The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)  All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b)  Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

/s/	Lloyd C. Blankfein
Name:	Lloyd C. Blankfein
Title:	Chief Executive Officer

Date: November 8, 2012

CERTIFICATIONS

I, David A. Viniar, certify that:

1.  I have reviewed this Quarterly Report on Form 10-Q for the quarter ended September 30, 2012 of The Goldman Sachs Group, Inc.;

2.  Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.  Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.  The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a)  Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)  Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)  Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d)  Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.  The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)  All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b)  Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

/s/	David A. Viniar
Name:	David A. Viniar
Title:	Chief Financial Officer

Date: November 8, 2012

EX-32.1

EXHIBIT 32.1

Certification

Pursuant to 18 U.S.C. § 1350, the undersigned officer of The Goldman Sachs Group, Inc. (the “Company”) hereby certifies that the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2012 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Dated: November 8, 2012	/s/	Lloyd C. Blankfein
	Name:	Lloyd C. Blankfein
	Title:	Chief Executive Officer

The foregoing certification is being furnished solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Report or as a separate disclosure document.

Certification

Pursuant to 18 U.S.C. § 1350, the undersigned officer of The Goldman Sachs Group, Inc. (the “Company”) hereby certifies that the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2012 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Dated: November 8, 2012	/s/	David A. Viniar
	Name:	David A. Viniar
	Title:	Chief Financial Officer

The foregoing certification is being furnished solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Report or as a separate disclosure document.

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Cash Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Cash Instruments [Abstract]

Fair Value, Cash Instruments, Measurement Inputs, Disclosure

Level 3 Cash Instrument	Level 3 Assets as of      September 2012 (in millions)	Significant Unobservable Inputs by Valuation Technique	Range of Significant Unobservable Inputs as of September 2012
Loans and securities backed by commercial real estate •  Collateralized by a single commercial real estate     property or a portfolio of properties •  May include tranches of varying levels of subordination	$3,318	Discounted cash flows:
		•  Yield	3.9% to 30.1%
		•  Recovery rate 1	39.0% to 100.0%
		•  Duration (years) 2	0.7 to 8.5
Loans and securities backed by residential real estate •  Collateralized by portfolios of residential real estate •  May include tranches of varying levels of subordination	$1,288	Discounted cash flows:
		•  Yield	4.3% to 19.4%
		•  Cumulative loss rate	0.0% to 61.7%
		•  Duration (years) 2	1.3 to 4.1
Bank loans and bridge loans	$10,833	Discounted cash flows:
		•  Yield	0.4% to 32.7%
		•  Recovery rate 1	19.5% to 100.0%
		•  Duration (years) 2	0.4 to 4.7
Non-U.S. government and agency obligations Corporate debt securities State and municipal obligations Other debt obligations	$5,325	Discounted cash flows:
		•  Yield	1.4% to 34.5%
		•  Recovery rate 1	0.0% to 100.0%
		•  Duration (years) 2	0.3 to 16.5
Equities and convertible debentures (including private equity investments and investments in real estate entities)	$15,126  3	Comparable multiples:
		•  Multiples	0.7x to 23.4x
		Discounted cash flows:
		•  Yield/discount rate	10.0% to 25.0%
		•  Long-term growth rate/     compound annual growth rate	(3.2)% to 26.0%
		•  Capitalization rate	5.4% to 11.0%
		•  Recovery rate 1	42.1% to 100.0%
		•  Duration (years) 2	0.7 to 8.3

1. Recovery rate is a measure of expected future cash flows, expressed as a percentage of notional or face value of the instrument.

2. Duration is an estimate of the timing of future cash flows and, in certain cases, may incorporate the impact of other unobservable inputs (e.g., prepayment speeds).

3. The fair value of any one instrument may be determined using multiple valuation techniques. For example, market comparables and discounted cash flows may be used together to determine fair value. Therefore, the level 3 balance encompasses both of these techniques.

Cash Instruments by Level

	Cash Instrument Assets at Fair Value as of September 2012
in millions		Level 1		Level 2		Level 3		Total
Commercial paper, certificates of deposit, time deposits and other money market instruments		$    1,942		$    8,766		$       —		$  10,708
U.S. government and federal agency obligations		42,178		53,351		—		95,529
Non-U.S. government and agency obligations		46,864		16,075		13		62,952
Mortgage and other asset-backed loans and securities 1:
Loans and securities backed by commercial real estate		—		4,218		3,318		7,536
Loans and securities backed by residential real estate		—		8,314		1,288		9,602
Bank loans and bridge loans		—		10,178		10,833		21,011
Corporate debt securities 2		145		22,479		2,721		25,345
State and municipal obligations		—		2,713		583		3,296
Other debt obligations 2		—		2,481		2,008		4,489
Equities and convertible debentures		66,653	3	9,446	4	15,126	5	91,225
Commodities		—		10,771		—		10,771
Total		$157,782		$148,792		$35,890		$342,464
	Cash Instrument Liabilities at Fair Value as of September 2012
in millions		Level 1		Level 2		Level 3		Total
U.S. government and federal agency obligations		$  22,733		$       212		$       —		$  22,945
Non-U.S. government and agency obligations		35,337		1,293		—		36,630
Mortgage and other asset-backed loans and securities:
Loans and securities backed by residential real estate		—		6		2		8
Bank loans and bridge loans		—		1,526		617		2,143
Corporate debt securities 6		26		6,829		47		6,902
State and municipal obligations		—		2		—		2
Equities and convertible debentures		22,608	3	1,163	4	7		23,778
Total		$  80,704		$  11,031		$     673		$  92,408

1. Includes $645 million and $518 million of collateralized debt obligations (CDOs) backed by real estate in level 2 and level 3, respectively.

2. Includes $1.09 billion and $1.63 billion of CDOs and collateralized loan obligations (CLOs) backed by corporate obligations in level 2 and level 3, respectively.

3. Consists of listed equity securities.

4. Principally consists of restricted or less liquid listed securities.

5. Includes $13.03 billion of private equity investments, $1.45 billion of investments in real estate entities and $645 million of convertible debentures.

6. Includes $3 million of CDOs and CLOs backed by corporate obligations in level 3.

	Cash Instrument Assets at Fair Value as of December 2011
in millions		Level 1		Level 2		Level 3		Total
Commercial paper, certificates of deposit, time deposits and other money market instruments		$    3,255		$  10,185		$       —		$  13,440
U.S. government and federal agency obligations		29,263		57,777		—		87,040
Non-U.S. government and agency obligations		42,854		6,203		148		49,205
Mortgage and other asset-backed loans and securities 1:
Loans and securities backed by commercial real estate		—		3,353		3,346		6,699
Loans and securities backed by residential real estate		—		5,883		1,709		7,592
Bank loans and bridge loans		—		8,460		11,285		19,745
Corporate debt securities 2		133		19,518		2,480		22,131
State and municipal obligations		—		2,490		599		3,089
Other debt obligations 2		—		2,911		1,451		4,362
Equities and convertible debentures		39,955	3	11,491	4	13,667	5	65,113
Commodities		—		5,762		—		5,762
Total		$115,460		$134,033		$34,685		$284,178
	Cash Instrument Liabilities at Fair Value as of December 2011
in millions		Level 1		Level 2		Level 3		Total
U.S. government and federal agency obligations		$  20,940		$         66		$       —		$  21,006
Non-U.S. government and agency obligations		34,339		547		—		34,886
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		—		27		—		27
Loans and securities backed by residential real estate		—		3		—		3
Bank loans and bridge loans		—		1,891		865		2,756
Corporate debt securities 6		—		6,522		31		6,553
State and municipal obligations		—		3		—		3
Equities and convertible debentures		20,069	3	1,248	4	9		21,326
Total		$  75,348		$  10,307		$     905		$  86,560

1. Includes $213 million and $595 million of CDOs backed by real estate in level 2 and level 3, respectively.

2. Includes $403 million and $1.19 billion of CDOs and CLOs backed by corporate obligations in level 2 and level 3, respectively.

3. Consists of listed equity securities.

4. Principally consists of restricted or less liquid listed securities.

5. Includes $12.07 billion of private equity investments, $1.10 billion of investments in real estate entities and $497 million of convertible debentures.

6. Includes $27 million of CDOs and CLOs backed by corporate obligations in level 3.

Cash Instruments, Level 3 Rollforward

	Level 3 Cash Instrument Assets at Fair Value for the Three Months Ended September 2012
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Commercial paper, certificates of deposit, time deposits and other money market instruments		$         7	$  —		$     —		$     —		$       —		$       (7	)	$     —	$      —		$       —
Non-U.S. government and agency obligations		8	—		3		2		—		—		—	—		13
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		3,166	57		78		355		(362	)	(44	)	214	(146	)	3,318
Loans and securities backed by residential real estate		1,632	65		44		81		(266	)	(351	)	98	(15	)	1,288
Bank loans and bridge loans		10,461	151		150		1,535		(906	)	(805	)	691	(444	)	10,833
Corporate debt securities		2,367	106		140		462		(274	)	(120	)	240	(200	)	2,721
State and municipal obligations		547	4		5		36		(27	)	(2	)	20	—		583
Other debt obligations		1,757	5		51		197		(88	)	(25	)	118	(7	)	2,008
Equities and convertible debentures		14,420	31		632		513		(320	)	(108	)	798	(840	)	15,126
Total		$34,365	$419	2	$1,103	2	$3,181		$(2,243	)	$(1,462	)	$2,179	$(1,652	)	$35,890
	Level 3 Cash Instrument Liabilities at Fair Value for the Three Months Ended September 2012
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Total		$     739	$   (2	)	$       3		$  (105	)	$       65		$      16		$     46	$     (89	)	$     673

1. Includes both originations and secondary market purchases.

2. The aggregate amounts include approximately $340 million, $843 million and $339 million reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.

	Level 3 Cash Instrument Assets at Fair Value for the Nine Months Ended September 2012
in millions		Balance,  beginning of period	Net realized gains/  (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Non-U.S. government and agency obligations		$     148	$    (55	)	$       4		$       2		$       (8	)	$     (71	)	$       6	$     (13	)	$       13
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		3,346	143		227		1,337		(956	)	(859	)	218	(138	)	3,318
Loans and securities backed by residential real estate		1,709	128		239		345		(729	)	(471	)	77	(10	)	1,288
Bank loans and bridge loans		11,285	431		318		3,393		(2,754	)	(2,122	)	1,237	(955	)	10,833
Corporate debt securities		2,480	266		229		865		(851	)	(352	)	344	(260	)	2,721
State and municipal obligations		599	16		8		53		(80	)	(12	)	—	(1	)	583
Other debt obligations		1,451	52		50		645		(365	)	(41	)	222	(6	)	2,008
Equities and convertible debentures		13,667	60		1,158		2,166		(497	)	(640	)	866	(1,654	)	15,126
Total		$34,685	$1,041	2	$2,233	2	$8,806		$(6,240	)	$(4,568	)	$2,970	$(3,037	)	$35,890
	Level 3 Cash Instrument Liabilities at Fair Value for the Nine Months Ended September 2012
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Total		$     905	$    (35	)	$       9		$  (427	)	$    244		$      81		$     90	$   (194	)	$     673

1. Includes both originations and secondary market purchases.

2. The aggregate amounts include approximately $560 million, $1.77 billion and $945 million reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.

	Level 3 Cash Instrument Assets at Fair Value for the Three Months Ended September 2011
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		$  3,539	$  77		$   (149	)	$   226		$   (220	)	$   (367	)	$ 441		$  3,547
Loans and securities backed by residential real estate		2,829	38		(25	)	234		(226	)	(178	)	(989	)	1,683
Bank loans and bridge loans		10,183	162		(595	)	2,655		(413	)	(571	)	(410	)	11,011
Corporate debt securities		2,747	61		(221	)	316		(392	)	(80	)	149		2,580
State and municipal obligations		643	2		(6	)	17		(18	)	(2	)	52		688
Other debt obligations		1,472	(2	)	(27	)	153		(167	)	(68	)	260		1,621
Equities and convertible debentures		13,452	14		(191	)	294		(224	)	(166	)	394		13,573
Total		$34,865	$352	2	$(1,214	) 2	$3,895		$(1,660	)	$(1,432	)	$(103	)	$34,703
	Level 3 Cash Instrument Liabilities at Fair Value for the Three Months Ended September 2011
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Total		$     612	$ (12	)	$    328		$  (265	)	$    144		$    122		$     5		$     934

1. Includes both originations and secondary market purchases.

2. The aggregate amounts include approximately $(551) million, $(701) million and $390 million reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.

	Level 3 Cash Instrument Assets at Fair Value for the Nine Months Ended September 2011
in millions		Balance,  beginning of period	Net   realized gains/  (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Net  transfers in and/or (out) of level 3		Balance, end of period
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		$  3,976	$   139		$  92		$  1,049		$   (915	)	$   (726	)	$     (68	)	$  3,547
Loans and securities backed by residential real estate		2,501	137		57		688		(507	)	(509	)	(684	)	1,683
Bank loans and bridge loans		9,905	477		(96	)	4,732		(1,183	)	(1,521	)	(1,303	)	11,011
Corporate debt securities		2,737	164		(99	)	1,467		(1,002	)	(192	)	(495	)	2,580
State and municipal obligations		754	3		(3	)	72		(136	)	(2	)	—		688
Other debt obligations		1,274	116		(7	)	553		(552	)	(216	)	453		1,621
Equities and convertible debentures		11,060	160		473		2,658		(904	)	(657	)	783		13,573
Total		$32,207	$1,196	2	$417	2	$11,219		$(5,199	)	$(3,823	)	$(1,314	)	$34,703
	Level 3 Cash Instrument Liabilities at Fair Value for the Nine Months Ended September 2011
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Total		$     446	$    (32	)	$329		$    (363	)	$    429		$    132		$       (7	)	$     934

1. Includes both originations and secondary market purchases.

2. The aggregate amounts include approximately $(87) million, $629 million and $1.07 billion reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.

Investments in Funds that Calculate Net Asset Value Per Share

	As of September 2012			As of December 2011
in millions		Fair Value of Investments	Unfunded Commitments		Fair Value of Investments	Unfunded Commitments
Private equity funds 1		$  8,251	$2,829		$  8,074	$3,514
Private debt funds 2		3,700	3,023		3,596	3,568
Hedge funds 3		2,450	—		3,165	—
Real estate funds 4		1,799	1,004		1,531	1,613
Total		$16,200	$6,856		$16,366	$8,695

1. These funds primarily invest in a broad range of industries worldwide in a variety of situations, including leveraged buyouts, recapitalizations and growth investments.

2. These funds generally invest in loans and other fixed income instruments and are focused on providing private high-yield capital for mid- to large-sized leveraged and management buyout transactions, recapitalizations, financings, refinancings, acquisitions and restructurings for private equity firms, private family companies and corporate issuers.

3. These funds are primarily multi-disciplinary hedge funds that employ a fundamental bottom-up investment approach across various asset classes and strategies including long/short equity, credit, convertibles, risk arbitrage, special situations and capital structure arbitrage.

4. These funds invest globally, primarily in real estate companies, loan portfolios, debt recapitalizations and direct property.

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Earnings Per Common Share (Tables)

9 Months Ended

Sep. 30, 2012

Earnings Per Common Share [Abstract]

Earnings Per Common Share

	Three Months Ended September					Nine Months Ended September
in millions, except per share amounts		2012		2011			2012	2011
Numerator for basic and diluted EPS — net earnings/(loss) applicable to common shareholders	$	1,458	$	(428	)	$	4,459	$1,532
Denominator for basic EPS — weighted average number of common shares		491.2		518.2			501.1	530.1
Effect of dilutive securities:
RSUs		12.0		—			10.8	14.0
Stock options and warrants		7.7		—			8.2	22.5
Dilutive potential common shares		19.7		—			19.0	36.5
Denominator for diluted EPS — weighted average number of common shares and dilutive potential common shares		510.9		518.2			520.1	566.6
Basic EPS	$	2.95	$	(0.84	)	$	8.85	$2.84
Diluted EPS		2.85		(0.84	)		8.57	2.70

Effect of dilutive securities

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Number of antidilutive RSUs and common shares underlying antidilutive stock options and warrants		52.4	123.4		52.4	6.4

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Short-Term Borrowings (Tables)

9 Months Ended

Sep. 30, 2012

Short-Term Borrowings [Abstract]

Short-term borrowings

	As of
in millions		September 2012	December 2011
Other secured financings (short-term)		$21,050	$29,185
Unsecured short-term borrowings		47,271	49,038
Total		$68,321	$78,223

Unsecured Short -Term Borrowings

	As of
$ in millions		September 2012		December 2011
Current portion of unsecured long-term borrowings  1		$28,575		$28,836
Hybrid financial instruments		12,278		11,526
Promissory notes		151		1,328
Commercial paper		359		1,491
Other short-term borrowings		5,908		5,857
Total		$47,271		$49,038
Weighted average interest rate 2		1.63	%	1.89	%

1. As of September 2012, no borrowings guaranteed by the Federal Deposit Insurance Corporation (FDIC) under the Temporary Liquidity Guarantee Program (TLGP) were outstanding and the program had expired for new issuances. Includes $8.53 billion as of December 2011, guaranteed by the FDIC under the TLGP.

2. The weighted average interest rates for these borrowings include the effect of hedging activities and exclude financial instruments accounted for at fair value under the fair value option. See Note 7 for further information about hedging activities.

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Derivatives and Hedging Activities (Details 1) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012 Contract	Dec. 31, 2011 Contract
Fair Value of Derivatives on a Gross Basis
Gross Fair Value of Derivative Asset Contracts	$ 894,101	$ 985,865
Gross Fair Value of Derivative Liability Contracts	798,961	875,015
Number of Contracts	1,311,607	1,280,187
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	415,293	364,206
Financial instruments sold, but not yet purchased, at fair value	144,179	145,013
Counterparty Netting [Member]
Fair Value of Derivatives on a Gross Basis
Gross Fair Value of Derivative Asset Contracts	(717,563)	(787,733)
Gross Fair Value of Derivative Liability Contracts	(717,563)	(787,733)
Cash collateral netting [Member]
Fair Value of Derivatives on a Gross Basis
Gross Fair Value of Derivative Asset Contracts	(103,709)	(118,104)
Gross Fair Value of Derivative Liability Contracts	(29,627)	(28,829)
Derivative [Member]
Fair Value of Derivatives on a Gross Basis
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	72,829	80,028
Financial instruments sold, but not yet purchased, at fair value	51,771	58,453
Derivative Contracts Accounted for as Hedges [Member]
Fair Value of Derivatives on a Gross Basis
Gross Fair Value of Derivative Asset Contracts	23,730	22,105
Gross Fair Value of Derivative Liability Contracts	125	34
Number of Contracts	1,678	1,196
Derivative Contracts Accounted for as Hedges [Member] | Interest Rate Contract [Member]
Fair Value of Derivatives on a Gross Basis
Gross Fair Value of Derivative Asset Contracts	23,721	21,981
Gross Fair Value of Derivative Liability Contracts	65	13
Number of Contracts	1,605	1,125
Derivative Contracts Accounted for as Hedges [Member] | Foreign Exchange Contract [Member]
Fair Value of Derivatives on a Gross Basis
Gross Fair Value of Derivative Asset Contracts	9	124
Gross Fair Value of Derivative Liability Contracts	60	21
Number of Contracts	73	71
Derivative Contract not designated as hedges [Member]
Fair Value of Derivatives on a Gross Basis
Gross Fair Value of Derivative Asset Contracts	870,371	963,760
Gross Fair Value of Derivative Liability Contracts	798,836	874,981
Number of Contracts	1,309,929	1,278,991
Derivative Contract not designated as hedges [Member] | Interest Rate Contract [Member]
Fair Value of Derivatives on a Gross Basis
Gross Fair Value of Derivative Asset Contracts	614,949	624,189
Gross Fair Value of Derivative Liability Contracts	573,931	582,608
Number of Contracts	300,118	287,351
Derivative Contract not designated as hedges [Member] | Credit Risk Contract [Member]
Fair Value of Derivatives on a Gross Basis
Gross Fair Value of Derivative Asset Contracts	94,970	150,816
Gross Fair Value of Derivative Liability Contracts	81,829	130,659
Number of Contracts	355,728	362,407
Derivative Contract not designated as hedges [Member] | Foreign Exchange Contract [Member]
Fair Value of Derivatives on a Gross Basis
Gross Fair Value of Derivative Asset Contracts	73,246	88,654
Gross Fair Value of Derivative Liability Contracts	62,854	71,736
Number of Contracts	218,241	203,205
Derivative Contract not designated as hedges [Member] | Commodity Contract [Member]
Fair Value of Derivatives on a Gross Basis
Gross Fair Value of Derivative Asset Contracts	28,320	35,966
Gross Fair Value of Derivative Liability Contracts	29,125	38,050
Number of Contracts	89,291	93,755
Derivative Contract not designated as hedges [Member] | Equity Contract [Member]
Fair Value of Derivatives on a Gross Basis
Gross Fair Value of Derivative Asset Contracts	58,886	64,135
Gross Fair Value of Derivative Liability Contracts	$ 51,097	$ 51,928
Number of Contracts	346,551	332,273

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Transactions with Affiliated Funds (Tables)

9 Months Ended

Sep. 30, 2012

Transactions with Affiliated Funds [Abstract]

Fees earned from affiliated funds

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Fees earned from affiliated funds		$   602	$   663		$1,947	$2,104

Fees receivable from affiliated funds and the aggregate carrying value of the firm's interests in these funds

	As of
in millions		September 2012	December 2011
Fees receivable from funds		$     622	$     721
Aggregate carrying value of interests in funds		15,095	14,960

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Derivatives and Hedging Activities (Details 9) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Derivative Instruments, Gain (Loss) By Hedging Relationship [Abstract]
Gain (Loss) Recognized On Foreign Currency Denominated Debt Designated As Foreign Currency Hedge	$ (73)	$ (130)	$ 40	$ (142)
Net Investment Hedging [Member] | Foreign Exchange Contract [Member]
Derivative Instruments, Gain (Loss) By Hedging Relationship [Abstract]
Derivative Instruments, Gain (Loss) Recognized in Other Comprehensive Income, Effective Portion, Net	$ (192)	$ 513	$ (195)	$ 110

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Earnings Per Common Share (Details) (USD $) In Millions, except Per Share data, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Earnings per common share
Numerator for basic and diluted EPS - net earnings/(loss) applicable to common shareholders	$ 1,458	$ (428)	$ 4,459	$ 1,532
Denominator for basic EPS - weighted average number of common shares	491.2	518.2	501.1	530.1
Effect of dilutive securities:
RSUs	12.0		10.8	14.0
Stock options and warrants	7.7		8.2	22.5
Dilutive potential common shares	19.7		19.0	36.5
Denominator for diluted EPS - weighted average number of common shares and dilutive potential common shares	510.9	518.2	520.1	566.6
Basic EPS	$ 2.95	$ (0.84)	$ 8.85	$ 2.84
Diluted EPS	$ 2.85	$ (0.84)	$ 8.57	$ 2.70
Earnings per common share
Number of antidilutive RSUs and common shares underlying antidilutive stock options and warrants	52.4	123.4	52.4	6.4
Reduction per common share due to impact of applying the amended principles to basic earnings per common share	$ 0.02		$ 0.05	$ 0.05
Increase per common share due to impact of applying the amended principles to basic loss per common share		$ 0.01
Increase per common share due to impact of applying the amended principles to diluted loss per common share		$ 0.01

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Goodwill and Identifiable Intangible Assets (Tables)

9 Months Ended

Sep. 30, 2012

Goodwill and Intangible Assets Disclosure [Abstract]

Goodwill and intangible assets

	Goodwill
	As of
in millions	September 2012	December 2011
Investment Banking:
Financial Advisory	$     98	$   104
Underwriting	183	186
Institutional Client Services:
Fixed Income, Currency and Commodities Client Execution	269	284
Equities Client Execution	2,389	2,390
Securities Services	104	117
Investing & Lending	131	147
Investment Management	589	574
Total	$3,763	$3,802
	Identifiable Intangible Assets
	As of
in millions	September 2012	December 2011
Investment Banking:
Financial Advisory	$       1	$       4
Underwriting	—	1
Institutional Client Services:
Fixed Income, Currency and Commodities Client Execution	435	488
Equities Client Execution	655	677
Investing & Lending	308	369
Investment Management	134	127
Total	$1,533	$1,666

Intangible Assets Disclosure

		As of
$ in millions		September 2012			Weighted Average Remaining Lives (years)	December 2011
Customer lists	Gross carrying amount		$ 1,147				$ 1,119
	Accumulated amortization		(650	)			(593	)
	Net carrying amount		497		8		526
Commodities-related intangibles 1	Gross carrying amount		491				595
	Accumulated amortization		(204	)			(237	)
	Net carrying amount		287		9		358
Television broadcast royalties	Gross carrying amount		560				560
	Accumulated amortization		(170	)			(123	)
	Net carrying amount		390		6		437
Insurance-related intangibles 2	Gross carrying amount		339				292
	Accumulated amortization		(197	)			(146	)
	Net carrying amount		142		6		146
Other 3	Gross carrying amount		992				950
	Accumulated amortization		(775	)			(751	)
	Net carrying amount		217		11		199
Total	Gross carrying amount		3,529				3,516
	Accumulated amortization		(1,996	)			(1,850	)
	Net carrying amount		$ 1,533		8		$ 1,666

1. Primarily includes commodity-related customer contracts and relationships, permits and access rights.

2. Represents value of business acquired related to the firm’s insurance businesses.

3. Primarily includes the firm’s New York Stock Exchange (NYSE) Designated Market Maker (DMM) rights and exchange-traded fund lead market maker rights.

Amortization expense for identifiable intangible assets

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Amortization expense		$60	$84		$206	$207

Estimated future amortization for existing identifiable intangible assets through 2016

in millions	As of September 2012
Estimated future amortization expense:
Remainder of 2012	$  72
2013	247
2014	215
2015	181
2016	177
2017	173

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Credit Concentrations

9 Months Ended

Sep. 30, 2012

Credit Concentrations [Abstract]

Credit Concentrations

Note 26.

Credit Concentrations

Credit concentrations may arise from market making, client facilitation, investing, underwriting, lending and collateralized transactions and may be impacted by changes in economic, industry or political factors. The firm seeks to mitigate credit risk by actively monitoring exposures and obtaining collateral from counterparties as deemed appropriate.

While the firm’s activities expose it to many different industries and counterparties, the firm routinely executes a high volume of transactions with asset managers, investment funds, commercial banks, brokers and dealers, clearing houses and exchanges, which results in significant credit concentrations.

In the ordinary course of business, the firm may also be subject to a concentration of credit risk to a particular counterparty, borrower or issuer, including sovereign issuers, or to a particular clearing house or exchange.

The table below presents the credit concentrations in assets held by the firm. As of September 2012 and December 2011, the firm did not have credit exposure to any other counterparty that exceeded 2% of total assets.

	As of
$ in millions		September 2012		December 2011
U.S. government and federal agency obligations  1		$116,426		$103,468
% of total assets		12.3	%	11.2	%
Non-U.S. government and agency obligations  1, 2		$  62,952		$  49,025
% of total assets		6.6	%	5.3	%

1. Included in “Financial instruments owned, at fair value” and “Cash and securities segregated for regulatory and other purposes.”

2. Principally related to Germany, Japan and the United Kingdom as of both September 2012 and December 2011.

To reduce credit exposures, the firm may enter into agreements with counterparties that permit the firm to offset receivables and payables with such counterparties and/or enable the firm to obtain collateral on an upfront or contingent basis. Collateral obtained by the firm related to derivative assets is principally cash and is held by the firm or a third-party custodian. Collateral obtained by the firm related to resale agreements and securities borrowed transactions is primarily U.S. government and federal agency obligations and Non-U.S. government and agency obligations. See Note 9 for further information about collateralized agreements and financings.

The table below presents U.S. government and federal agency obligations, and Non-U.S. government and agency obligations that collateralize resale agreements and securities borrowed transactions (including those in “Cash and securities segregated for regulatory and other purposes”). Because the firm’s primary credit exposure on such transactions is to the counterparty to the transaction, the firm would be exposed to the collateral issuer only in the event of counterparty default.

	As of
in millions		September 2012	December 2011
U.S. government and federal agency obligations		$69,330	$  94,603
Non-U.S. government and agency obligations  1		90,930	110,178

1. Principally consisting of securities issued by the governments of Germany and France.

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Derivatives and Hedging Activities (Details 10) (USD $)	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011	Dec. 31, 2011
Derivative Instruments, Gain (Loss) By Hedging Relationship [Abstract]
Fair Value, Net Derivatives Measured on Recurring Basis, Gain (Loss) Included in Market Making Revenue	$ (625,000,000)	$ 1,320,000,000	$ (465,000,000)	$ 1,100,000,000
Fair Value, Net Derivatives Measured on Recurring Basis, Gain (Loss) Included in Other Principal Transactions Revenue	(152,000,000)	8,000,000	(104,000,000)	(7,000,000)
Gain (Loss) Recognized On Hedged Borrowings and Bank Deposits	102,000,000	(6,969,000,000)	(280,000,000)	(6,056,000,000)
Foreign Currency Denominated Debt Designated As Foreign Currency Hedge	3,070,000,000		3,070,000,000		3,110,000,000
Derivative, Net Hedge Ineffectiveness Gain (Loss)	(447,000,000)	(315,000,000)	(1,275,000,000)	(1,224,000,000)
Gain (Loss) from Components Excluded from Assessment of Fair Value Hedge Effectiveness	0	0	0	0
Foreign Currency Cash Flow Hedge Gain (Loss) Reclassified to Earnings, Net	0	151,000,000	0	169,000,000
Fair Value Hedging [Member] | Interest Rate Contract [Member]
Derivative Instruments, Gain (Loss) By Hedging Relationship [Abstract]
Derivative Instruments, Gain (Loss) Recognized in Income, Net	$ (549,000,000)	$ 6,654,000,000	$ (995,000,000)	$ 4,832,000,000

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Derivatives and Hedging Activities (Details 4) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Derivatives Credit Risk Gain Loss Quantitative Disclosure [Abstract]
Net Gains (Losses), Including Hedges, Attributable to the Impact of Changes in Credit Exposure and Credit Spreads on Derivative Contracts	$ (377)	$ 328	$ (716)	$ 459
Interest Rate Contract Net [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Beginning Balance	(353)	(192)	(371)	194
Net Realized Gains / (Losses)	(24)	(17)	(58)	(45)
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at period-end	49	(124)	(4)	(178)
Purchases	1	6	2	13
Sales	0	(4)	(11)	(6)
Settlements	(36)	7	(10)	59
Transfers Into Level 3	(147)		(44)
Transfers Out Of Level 3	27		13
Net transfers in and/or (out) of level 3		49		(312)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Ending Balance	(483)	(275)	(483)	(275)
Credit Risk Contract Net [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Beginning Balance	6,119	6,019	6,300	7,040
Net Realized Gains / (Losses)	72	117	273	123
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at period-end	(736)	1,281	(354)	1,632
Purchases	50	269	151	319
Sales	(58)	(671)	(159)	(873)
Settlements	(596)	(521)	(1,418)	(1,179)
Transfers Into Level 3	2,124		2,265
Transfers Out Of Level 3	4		(79)
Net transfers in and/or (out) of level 3		(479)		(1,047)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Ending Balance	6,979	6,015	6,979	6,015
Foreign Exchange Contract Net [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Beginning Balance	192	1,123	842	1,098
Net Realized Gains / (Losses)	(8)	10	(18)	(17)
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at period-end	27	30	(208)	(210)
Purchases	4	0	13	28
Sales	(7)	(14)	(10)	(18)
Settlements	75	27	(100)	6
Transfers Into Level 3	61		95
Transfers Out Of Level 3	7		(263)
Net transfers in and/or (out) of level 3		(46)		243
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Ending Balance	351	1,130	351	1,130
Commodity Contract Net [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Beginning Balance	(240)	184	(605)	220
Net Realized Gains / (Losses)	(38)	(13)	(75)	(222)
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at period-end	18	(637)	135	(785)
Purchases	74	13	266	129
Sales	(431)	(748)	(605)	(800)
Settlements	31	142	396	358
Transfers Into Level 3	(88)		(188)
Transfers Out Of Level 3	23		25
Net transfers in and/or (out) of level 3		(507)		(466)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Ending Balance	(651)	(1,566)	(651)	(1,566)
Equities Contract Net [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Beginning Balance	(548)	(903)	(432)	(990)
Net Realized Gains / (Losses)	(69)	44	16	65
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at period-end	(68)	636	(276)	734
Purchases	4	64	131	306
Sales	(63)	(302)	(240)	(519)
Settlements	146	(5)	186	(10)
Transfers Into Level 3	(38)		(15)
Transfers Out Of Level 3	59		53
Net transfers in and/or (out) of level 3		38		(14)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Ending Balance	(577)	(428)	(577)	(428)
Derivatives Net [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Beginning Balance	5,170	6,231	5,734	7,562
Net Realized Gains / (Losses)	(67)	141	138	(96)
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at period-end	(710)	1,186	(707)	1,193
Purchases	133	352	563	795
Sales	(559)	(1,739)	(1,025)	(2,216)
Settlements	(380)	(350)	(946)	(766)
Transfers Into Level 3	1,912		2,113
Transfers Out Of Level 3	120		(251)
Net transfers in and/or (out) of level 3		(945)		(1,596)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Ending Balance	5,619	4,876	5,619	4,876
Derivatives Credit Risk Gain Loss Quantitative Disclosure [Abstract]
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at year-end	$ (710)	$ 1,190	$ (707)	$ 1,190

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Goodwill and Identifiable Intangible Assets (Details 1) (USD $) In Millions, unless otherwise specified	9 Months Ended
	Sep. 30, 2012	Dec. 31, 2011
Identifiable Intangible Assets
Gross carrying amount	$ 3,529	$ 3,516
Accumulated amortization	(1,996)	(1,850)
Net carrying amount	1,533	1,666
Identifiable intangible assets approximate weighted average remaining life in years	8 years
Customer lists [Member]
Identifiable Intangible Assets
Gross carrying amount	1,147	1,119
Accumulated amortization	(650)	(593)
Net carrying amount	497	526
Identifiable intangible assets approximate weighted average remaining life in years	8 years
Commodities-related intangibles [Member]
Identifiable Intangible Assets
Gross carrying amount	491	595
Accumulated amortization	(204)	(237)
Net carrying amount	287	358
Identifiable intangible assets approximate weighted average remaining life in years	9 years
Broadcast royalties [Member]
Identifiable Intangible Assets
Gross carrying amount	560	560
Accumulated amortization	(170)	(123)
Net carrying amount	390	437
Identifiable intangible assets approximate weighted average remaining life in years	6 years
Insurance-related intangibles [Member]
Identifiable Intangible Assets
Gross carrying amount	339	292
Accumulated amortization	(197)	(146)
Net carrying amount	142	146
Identifiable intangible assets approximate weighted average remaining life in years	6 years
Other [Member]
Identifiable Intangible Assets
Gross carrying amount	992	950
Accumulated amortization	(775)	(751)
Net carrying amount	$ 217	$ 199
Identifiable intangible assets approximate weighted average remaining life in years	11 years

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Income Taxes (Tables)

9 Months Ended

Sep. 30, 2012

Income Taxes [Abstract]

Earliest tax years subject to examination by major jurisdiction

Jurisdiction	As of September 2012
U.S. Federal 1	2005
New York State and City 2	2004
United Kingdom	2007
Japan 3	2008
Hong Kong	2005
Korea	2008

1. IRS examination of fiscal 2008 through calendar 2010 began during 2011. IRS examination of fiscal 2005, 2006 and 2007 began during 2008. IRS examination of fiscal 2003 and 2004 has been completed, but the liabilities for those years are not yet final.

2. New York State and City examination of fiscal 2004, 2005 and 2006 began in 2008.

3. Japan National Tax Agency examination of fiscal 2005 through 2009 began during the first quarter of 2010. The examinations have been completed, but the liabilities for 2008 and 2009 are not yet final.

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Credit Concentrations (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
U.S. Government And Federal Agency Obligations Included In Financial Instruments Owned, At Fair Value And Cash And Securities Segregated For Regulatory And Other Purposes [Member]
Credit concentrations [Abstract]
Concentration Risk, Credit Risk, Financial Instrument, Maximum Exposure	$ 116,426	$ 103,468
Concentration Risk, Credit Risk, Financial Instrument, Maximum Exposure, As A Percentage of Total Assets	12.30%	11.20%
Non-U.S. Government and Agency Obligations Included In Financial Instruments Owned, At Fair Value And Cash And Securities Segregated For Regulatory And Other Purposes [Member]
Credit concentrations [Abstract]
Concentration Risk, Credit Risk, Financial Instrument, Maximum Exposure	62,952	49,025
Concentration Risk, Credit Risk, Financial Instrument, Maximum Exposure, As A Percentage of Total Assets	6.60%	5.30%
Securities Purchased Under Agreements To Resell And Securities Borrowed Collateralized By U.S. Government And Federal Agency Obligations Including Those In Cash And Securities Segregated For Regulatory And Other Purposes [Member]
Credit concentrations [Abstract]
Concentration Risk, Credit Risk, Financial Instrument, Maximum Exposure	69,330	94,603
Securities Purchased Under Agreements To Resell And Securities Borrowed Collateralized By Non-U.S. Government and Agency Obligations Including Those In Cash And Securities Segregated For Regulatory And Other Purposes [Member]
Credit concentrations [Abstract]
Concentration Risk, Credit Risk, Financial Instrument, Maximum Exposure	$ 90,930	$ 110,178

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Derivatives and Hedging Activities (Details 7) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Derivative, Credit Risk Related Contingent Features
Aggregate fair value of derivative contracts which are in net liability position	$ 29,731	$ 35,066
Aggregate fair value of assets as a collateral for derivative contracts	25,512	29,002
One-notch reduction [Member]
Derivative, Credit Risk Related Contingent Features
Additional collateral or termination payments pursuant to bilateral agreements with certain counterparties which could have been called by counterparties in the event of a reduction in the firm's long-term credit ratings	1,397	1,303
Two-notch reduction [Member]
Derivative, Credit Risk Related Contingent Features
Additional collateral or termination payments pursuant to bilateral agreements with certain counterparties which could have been called by counterparties in the event of a reduction in the firm's long-term credit ratings	$ 2,698	$ 2,183

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Variable Interest Entities (Details) (USD $)	Sep. 30, 2012	Dec. 31, 2011
Non-consolidated Variable Interest Entities [Abstract]
Assets in VIE	$ 123,691,000,000	$ 130,681,000,000
Carrying Value of the Firm's Variable Interests
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Assets	9,016,000,000	10,056,000,000
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Liabilities	64,000,000	92,000,000
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	18,125,000,000	20,949,000,000
Assets of Consolidated VIEs
Cash and cash equivalents	63,639,000,000	56,008,000,000
Cash and securities segregated for regulatory and other purposes	53,597,000,000	64,264,000,000
Receivables from brokers, dealers and clearing organizations	15,556,000,000	14,204,000,000
Receivables from customers and counterparties	64,787,000,000	60,261,000,000
Financial Instruments owned, at fair value	415,293,000,000	364,206,000,000
Other assets	23,724,000,000	23,152,000,000
Liabilities of Consolidated VIEs
Other secured financings	29,393,000,000	37,364,000,000
Payables to customers and counterparties	198,816,000,000	194,625,000,000
Financial instruments sold, but not yet purchased, at fair value	144,179,000,000	145,013,000,000
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings	47,271,000,000	49,038,000,000
Unsecured long-term borrowings	167,878,000,000	173,545,000,000
Other liabilities and accrued expenses	39,996,000,000	31,801,000,000
Non-Consolidated Variable Interest Entities (Textual) [Abstract]
Guarantees and derivative transactions with VIEs to which the firm transferred assets	3,590,000,000	4,170,000,000
Retained Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	3,969,000,000	5,777,000,000
Purchased Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	2,227,000,000	1,663,000,000
Commitments and Guarantees, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	402,000,000	420,000,000
Derivatives, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	9,457,000,000	11,219,000,000
Loans and Investments, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	2,070,000,000	1,870,000,000
Consolidated Variable Interest Entity, Total Carrying Amount [Member]
Assets of Consolidated VIEs
Cash and cash equivalents	286,000,000	712,000,000
Cash and securities segregated for regulatory and other purposes	204,000,000	139,000,000
Receivables from brokers, dealers and clearing organizations	3,000,000	4,000,000
Receivables from customers and counterparties		16,000,000
Financial Instruments owned, at fair value	3,321,000,000	2,833,000,000
Other assets	1,331,000,000	1,989,000,000
Total	5,145,000,000	5,693,000,000
Liabilities of Consolidated VIEs
Other secured financings	1,520,000,000	4,924,000,000
Payables to customers and counterparties		9,000,000
Financial instruments sold, but not yet purchased, at fair value	4,000,000	2,000,000
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings	1,963,000,000	2,126,000,000
Unsecured long-term borrowings	224,000,000	273,000,000
Other liabilities and accrued expenses	1,965,000,000	2,086,000,000
Total	5,676,000,000	9,420,000,000
Collateralized Mortgage Backed Securities [Member]
Non-consolidated Variable Interest Entities [Abstract]
Assets in VIE	85,380,000,000	94,047,000,000
Carrying Value of the Firm's Variable Interests
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Assets	5,533,000,000	7,004,000,000
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Liabilities	0	0
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	7,285,000,000	9,258,000,000
Collateralized Mortgage Backed Securities [Member] | Retained Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	3,932,000,000	5,745,000,000
Collateralized Mortgage Backed Securities [Member] | Purchased Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	1,317,000,000	962,000,000
Collateralized Mortgage Backed Securities [Member] | Commitments and Guarantees, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Collateralized Mortgage Backed Securities [Member] | Derivatives, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	1,994,000,000	2,469,000,000
Collateralized Mortgage Backed Securities [Member] | Loans and Investments, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	42,000,000	82,000,000
Corporate CDOs and CLOs [Member]
Non-consolidated Variable Interest Entities [Abstract]
Assets in VIE	22,363,000,000	20,340,000,000
Carrying Value of the Firm's Variable Interests
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Assets	1,206,000,000	911,000,000
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Liabilities	34,000,000	63,000,000
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	7,100,000,000	7,930,000,000
Corporate CDOs and CLOs [Member] | Retained Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	37,000,000	32,000,000
Corporate CDOs and CLOs [Member] | Purchased Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	680,000,000	368,000,000
Corporate CDOs and CLOs [Member] | Commitments and Guarantees, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	1,000,000	1,000,000
Corporate CDOs and CLOs [Member] | Derivatives, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	6,382,000,000	7,529,000,000
Corporate CDOs and CLOs [Member] | Loans and Investments, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Real estate, credit-related and other investing [Member]
Non-consolidated Variable Interest Entities [Abstract]
Assets in VIE	9,522,000,000	8,974,000,000
Carrying Value of the Firm's Variable Interests
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Assets	1,736,000,000	1,495,000,000
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Liabilities	0	3,000,000
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	2,134,000,000	1,868,000,000
Assets of Consolidated VIEs
Cash and cash equivalents	286,000,000	660,000,000
Cash and securities segregated for regulatory and other purposes	111,000,000	139,000,000
Receivables from brokers, dealers and clearing organizations	3,000,000	4,000,000
Receivables from customers and counterparties		0
Financial Instruments owned, at fair value	2,582,000,000	2,369,000,000
Other assets	1,331,000,000	1,552,000,000
Total	4,313,000,000	4,724,000,000
Liabilities of Consolidated VIEs
Other secured financings	665,000,000	1,418,000,000
Payables to customers and counterparties		0
Financial instruments sold, but not yet purchased, at fair value	0	0
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings	0	185,000,000
Unsecured long-term borrowings	4,000,000	4,000,000
Other liabilities and accrued expenses	1,965,000,000	2,046,000,000
Total	2,634,000,000	3,653,000,000
Real estate, credit-related and other investing [Member] | Retained Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Real estate, credit-related and other investing [Member] | Purchased Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Real estate, credit-related and other investing [Member] | Commitments and Guarantees, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	398,000,000	373,000,000
Real estate, credit-related and other investing [Member] | Derivatives, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Real estate, credit-related and other investing [Member] | Loans and Investments, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	1,736,000,000	1,495,000,000
Other asset-backed [Member]
Non-consolidated Variable Interest Entities [Abstract]
Assets in VIE	3,626,000,000	4,593,000,000
Carrying Value of the Firm's Variable Interests
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Assets	249,000,000	352,000,000
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Liabilities	30,000,000	24,000,000
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	1,311,000,000	1,554,000,000
Other asset-backed [Member] | Retained Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Other asset-backed [Member] | Purchased Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	230,000,000	333,000,000
Other asset-backed [Member] | Commitments and Guarantees, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Other asset-backed [Member] | Derivatives, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	1,081,000,000	1,221,000,000
Other asset-backed [Member] | Loans and Investments, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Power-related [Member]
Non-consolidated Variable Interest Entities [Abstract]
Assets in VIE	537,000,000	519,000,000
Carrying Value of the Firm's Variable Interests
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Assets	287,000,000	289,000,000
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Liabilities	0	2,000,000
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	289,000,000	334,000,000
Power-related [Member] | Retained Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Power-related [Member] | Purchased Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Power-related [Member] | Commitments and Guarantees, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	2,000,000	46,000,000
Power-related [Member] | Derivatives, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Power-related [Member] | Loans and Investments, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	287,000,000	288,000,000
Investment funds [Member]
Non-consolidated Variable Interest Entities [Abstract]
Assets in VIE	2,263,000,000	2,208,000,000
Carrying Value of the Firm's Variable Interests
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Assets	5,000,000	5,000,000
Carrying Value of the Firm's Variable Interests in Nonconsolidated VIEs - Liabilities	0	0
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	6,000,000	5,000,000
Investment funds [Member] | Retained Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Investment funds [Member] | Purchased Interests, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Investment funds [Member] | Commitments and Guarantees, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	1,000,000	0
Investment funds [Member] | Derivatives, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	0	0
Investment funds [Member] | Loans and Investments, Maximum Exposure to Loss [Member]
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	5,000,000	5,000,000
Principal-protected notes [Member]
Assets of Consolidated VIEs
Cash and cash equivalents	0	1,000,000
Cash and securities segregated for regulatory and other purposes	93,000,000	0
Receivables from brokers, dealers and clearing organizations	0	0
Receivables from customers and counterparties		0
Financial Instruments owned, at fair value	170,000,000	112,000,000
Other assets	0	0
Total	263,000,000	113,000,000
Liabilities of Consolidated VIEs
Other secured financings	289,000,000	3,208,000,000
Payables to customers and counterparties		0
Financial instruments sold, but not yet purchased, at fair value	4,000,000	2,000,000
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings	1,963,000,000	1,941,000,000
Unsecured long-term borrowings	220,000,000	269,000,000
Other liabilities and accrued expenses	0	0
Total	2,476,000,000	5,420,000,000
CDOs, mortgage-backed and other asset-backed [Member]
Assets of Consolidated VIEs
Cash and cash equivalents	0	51,000,000
Cash and securities segregated for regulatory and other purposes	0	0
Receivables from brokers, dealers and clearing organizations	0	0
Receivables from customers and counterparties		16,000,000
Financial Instruments owned, at fair value	569,000,000	352,000,000
Other assets	0	437,000,000
Total	569,000,000	856,000,000
Liabilities of Consolidated VIEs
Other secured financings	566,000,000	298,000,000
Payables to customers and counterparties		9,000,000
Financial instruments sold, but not yet purchased, at fair value	0	0
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings	0	0
Unsecured long-term borrowings	0	0
Other liabilities and accrued expenses	0	40,000,000
Total	566,000,000	347,000,000
CDOs backed by mortgage obligations [Member]
Non-consolidated Variable Interest Entities [Abstract]
Assets in VIE	7,110,000,000	6,150,000,000
Maximum Exposure to Loss, Non Consolidated VIE
Maximum Exposure to Loss in Nonconsolidated VIEs	$ 2,420,000,000	$ 2,620,000,000

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Fair Value Option (Details 1) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Other Financial Assets Measured on Recurring Basis, Gain (Loss) Included in Market Making Revenue	$ 20	$ (19)	$ 21	$ 2
Fair Value, Other Financial Assets Measured on Recurring Basis, Gain (Loss) Included in Other Principal Transactions Revenue				2
Fair Value, Other Financial Assets Measured on Recurring Basis, Gain (Loss) Included in Interest Income	1		8
Fair Value, Other Financial Liabilities Measured on Recurring Basis, Gain (Loss) Included in Market Making Revenue	(797)	298	(1,020)	(94)
Fair Value, Other Financial Liabilities Measured on Recurring Basis, Gain (Loss) Included in Other Principal Transactions Revenue	(65)	(25)	(103)	18
Fair Value, Other Financial Liabilities Measured on Recurring Basis, Gain (Loss) Included in Interest Expense	(3)		(10)	(8)
Cash Instruments [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	34,365	34,865	34,685	32,207
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Beginning Balance	739	612	905	446
Net Realized Gains / (Losses)	419	352	1,041	1,196
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at Period-End	1,103	(1,214)	2,233	417
Purchases	3,181	3,895	8,806	11,219
Sales	(2,243)	(1,660)	(6,240)	(5,199)
Sales	65	144	244	429
Settlements	(1,462)	(1,432)	(4,568)	(3,823)
Transfers Into Level 3	2,179		2,970
Transfers Into Level 3	46		90
Transfers Out Of Level 3	(1,652)		(3,037)
Transfers Out Of Level 3	(89)		(194)
Net transfers in and/or (out) of level 3		(103)		(1,314)
Net Realized (Gains) / Losses	(2)	(12)	(35)	(32)
Net Unrealized (Gains) / Losses Relating to Instruments Still Held at Period-End	3	328	9	329
Purchases	(105)	(265)	(427)	(363)
Settlements	16	122	81	132
Net transfers in and/or (out) of level 3		5		(7)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	35,890	34,703	35,890	34,703
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Ending Balance	673	934	673	934
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at the Reporting Date	1,100	(1,540)	2,220	88
Derivatives Net [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Beginning Balance	5,170	6,231	5,734	7,562
Net Realized Gains / (Losses)	(67)	141	138	(96)
Purchases	133	352	563	795
Settlements	(380)	(350)	(946)	(766)
Net transfers in and/or (out) of level 3		(945)		(1,596)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Ending Balance	5,619	4,876	5,619	4,876
Securities purchased under agreements to resell at fair value [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	1,023	299	557	100
Net Realized Gains / (Losses)	2		8	2
Purchases	41	232	51	477
Settlements	(52)	(46)	(431)	(94)
Transfers Out Of Level 3	(829)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	185	485	185	485
Deposits At Fair Value [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Beginning Balance	179		13
Transfers Into Level 3	16		16
Net Unrealized (Gains) / Losses Relating to Instruments Still Held at Period-End	4
Issues	102		272
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Ending Balance	301		301
Receivables from customers and counterparties at fair value [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	616	321	795	298
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at Period-End	19	(19)	21	2
Purchases		312	199	325
Settlements	(10)	(7)	(17)	(18)
Transfers Out Of Level 3			(373)
Net transfers in and/or (out) of level 3		176		176
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	625	783	625	783
Securities Sold Under Agreements To Repurchase At Fair Value [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Beginning Balance	2,055	2,076	2,181	2,060
Issues	64	52		246
Settlements			(62)	(178)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Ending Balance	2,119	2,128	2,119	2,128
Other Secured Financings At Fair Value [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Beginning Balance	1,182	5,297	1,752	8,349
Transfers Into Level 3	151
Transfers Out Of Level 3			(29)
Net Realized (Gains) / Losses	3		9	8
Net Unrealized (Gains) / Losses Relating to Instruments Still Held at Period-End		(1)		3
Issues	117		296	272
Settlements	(200)	(588)	(775)	(3,943)
Net transfers in and/or (out) of level 3		(3,054)		(3,035)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Ending Balance	1,253	1,654	1,253	1,654
Unsecured Short-Term Borrowings Including Current Portion Of Unsecured Long-Term Borrowings At Fair Value [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Beginning Balance	2,726	3,101	3,294	3,476
Sales		19		7
Transfers Into Level 3	76		194
Transfers Out Of Level 3	(216)		(698)
Net Realized (Gains) / Losses	7	(86)	(33)	69
Net Unrealized (Gains) / Losses Relating to Instruments Still Held at Period-End	171	(367)	204	(652)
Purchases			(13)	(3)
Issues	170	110	550	933
Settlements	(253)	(356)	(817)	(781)
Net transfers in and/or (out) of level 3		1,013		385
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Ending Balance	2,681	3,434	2,681	3,434
Unsecured Long-term Borrowings At Fair Value [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Beginning Balance	1,946	2,554	2,191	2,104
Transfers Into Level 3	33		213
Transfers Out Of Level 3	(4)		(671)
Net Realized (Gains) / Losses	7	4	23	14
Net Unrealized (Gains) / Losses Relating to Instruments Still Held at Period-End	80	(182)	190	(20)
Purchases		(22)		(72)
Issues	47	163	293	453
Settlements	(108)	(25)	(238)	(97)
Net transfers in and/or (out) of level 3		149		259
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Ending Balance	2,001	2,641	2,001	2,641
Other Liabilities And Accrued Expenses At Fair Value [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Beginning Balance	8,969	6,944	8,996	2,409
Sales		(32)		(32)
Net Realized (Gains) / Losses	(15)		(23)
Net Unrealized (Gains) / Losses Relating to Instruments Still Held at Period-End	608	359	764	662
Purchases		227		4,564
Settlements	(79)	(147)	(254)	(252)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Ending Balance	9,483	7,351	9,483	7,351
Other Financial Assets and Liabilities At Fair Value [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	1,639	620	1,352	398
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Beginning Balance	17,057	19,972	18,427	18,398
Net Realized Gains / (Losses)	2		8	2
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at Period-End	19	(19)	21	2
Purchases	41	544	250	802
Sales		(13)		(25)
Settlements	(62)	(53)	(448)	(112)
Transfers Into Level 3	276		423
Transfers Out Of Level 3	(829)		(373)
Transfers Out Of Level 3	(220)		(1,398)
Net transfers in and/or (out) of level 3		176		176
Net Realized (Gains) / Losses	2	(82)	(24)	91
Net Unrealized (Gains) / Losses Relating to Instruments Still Held at Period-End	863	(191)	1,158	(7)
Purchases		205	(13)	4,489
Issues	500	325	1,411	1,904
Settlements	(640)	(1,116)	(2,146)	(5,251)
Net transfers in and/or (out) of level 3		(1,892)		(2,391)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	810	1,268	810	1,268
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Ending Balance	$ 17,838	$ 17,208	$ 17,838	$ 17,208

XML

Other Assets (Details) (USD $)	3 Months Ended	9 Months Ended
	Mar. 31, 2011	Sep. 30, 2012	Dec. 31, 2011
Other Assets (Textuals) [Abstract]
Accumulated depreciation and amortization		$ 9,020,000,000	$ 8,460,000,000
Property, leasehold improvements and equipment used for operation		6,210,000,000	6,480,000,000
Investments accounted for at fair value excluded from Equity-method investments		4,710,000,000	4,170,000,000
Assets held for sale		460,000,000
Impairment charges related to consolidated investments recognized during the first nine months of 2012		252,000,000
Impairment charges related to other assets and commodity-related intangible assets recognized during the first nine months of 2012		83,000,000
Impairment charges related to property, leasehold improvements and equipment recognized during the first nine months of 2012		169,000,000
Impairment losses recognized on assets held for sale	220,000,000
Other Assets [Abstract]
Property, leasehold improvements and equipment		8,470,000,000	8,697,000,000
Goodwill and identifiable intangible assets		5,296,000,000	5,468,000,000
Income tax-related assets		5,426,000,000	5,017,000,000
Equity-method investments		518,000,000	664,000,000
Miscellaneous receivables and other		4,014,000,000	3,306,000,000
Total		$ 23,724,000,000	$ 23,152,000,000

XML

Derivatives and Hedging Activities (Details 8) (USD $)	Sep. 30, 2012	Dec. 31, 2011
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	$ 1,862,614,000,000	$ 1,959,892,000,000
Maximum Payout/Notional Amount of Purchased Credit Derivatives	1,980,000,000,000	2,080,000,000,000
Fair Value Asset of Written Credit Derivatives	31,081,000,000	22,739,000,000
Fair Value Liability of Written Credit Derivatives	52,364,000,000	110,316,000,000
Fair Value Net Asset/(Liability) of Written Credit Derivatives	(21,283,000,000)	(87,577,000,000)
Net purchased protection notional value of credit derivatives	115,240,000,000	116,930,000,000
0-250 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	1,450,428,000,000	1,218,732,000,000
Fair Value Asset of Written Credit Derivatives	25,629,000,000	17,572,000,000
Fair Value Liability of Written Credit Derivatives	10,001,000,000	16,907,000,000
Fair Value Net Asset/(Liability) of Written Credit Derivatives	15,628,000,000	665,000,000
251-500 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	235,979,000,000	382,233,000,000
Fair Value Asset of Written Credit Derivatives	3,870,000,000	4,517,000,000
Fair Value Liability of Written Credit Derivatives	12,055,000,000	20,810,000,000
Fair Value Net Asset/(Liability) of Written Credit Derivatives	(8,185,000,000)	(16,293,000,000)
501-1000 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	90,150,000,000	191,585,000,000
Fair Value Asset of Written Credit Derivatives	1,086,000,000	138,000,000
Fair Value Liability of Written Credit Derivatives	5,768,000,000	15,398,000,000
Fair Value Net Asset/(Liability) of Written Credit Derivatives	(4,682,000,000)	(15,260,000,000)
Greater than 1000 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	86,057,000,000	167,342,000,000
Fair Value Asset of Written Credit Derivatives	496,000,000	512,000,000
Fair Value Liability of Written Credit Derivatives	24,540,000,000	57,201,000,000
Fair Value Net Asset/(Liability) of Written Credit Derivatives	(24,044,000,000)	(56,689,000,000)
0-12 Months [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	425,314,000,000	385,154,000,000
0-12 Months [Member] | 0-250 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	378,059,000,000	282,851,000,000
0-12 Months [Member] | 251-500 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	17,581,000,000	42,682,000,000
0-12 Months [Member] | 501-1000 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	12,677,000,000	29,377,000,000
0-12 Months [Member] | Greater than 1000 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	16,997,000,000	30,244,000,000
1-5 Years [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	1,215,839,000,000	1,318,372,000,000
1-5 Years [Member] | 0-250 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	919,259,000,000	794,193,000,000
1-5 Years [Member] | 251-500 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	169,661,000,000	269,687,000,000
1-5 Years [Member] | 501-1000 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	65,288,000,000	140,389,000,000
1-5 Years [Member] | Greater than 1000 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	61,631,000,000	114,103,000,000
5 Years or Greater [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	221,461,000,000	256,366,000,000
5 Years or Greater [Member] | 0-250 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	153,110,000,000	141,688,000,000
5 Years or Greater [Member] | 251-500 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	48,737,000,000	69,864,000,000
5 Years or Greater [Member] | 501-1000 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	12,185,000,000	21,819,000,000
5 Years or Greater [Member] | Greater than 1000 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Written Credit Derivatives	7,429,000,000	22,995,000,000
Offsetting Purchased Credit Derivatives [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Purchased Credit Derivatives	1,730,680,000,000	1,796,855,000,000
Offsetting Purchased Credit Derivatives [Member] | 0-250 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Purchased Credit Derivatives	1,357,304,000,000	1,122,296,000,000
Offsetting Purchased Credit Derivatives [Member] | 251-500 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Purchased Credit Derivatives	214,043,000,000	345,942,000,000
Offsetting Purchased Credit Derivatives [Member] | 501-1000 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Purchased Credit Derivatives	86,341,000,000	181,003,000,000
Offsetting Purchased Credit Derivatives [Member] | Greater than 1000 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Purchased Credit Derivatives	72,992,000,000	147,614,000,000
Other Purchased Credit Derivatives [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Purchased Credit Derivatives	247,172,000,000	279,965,000,000
Other Purchased Credit Derivatives [Member] | 0-250 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Purchased Credit Derivatives	197,320,000,000	180,316,000,000
Other Purchased Credit Derivatives [Member] | 251-500 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Purchased Credit Derivatives	24,678,000,000	47,739,000,000
Other Purchased Credit Derivatives [Member] | 501-1000 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Purchased Credit Derivatives	6,510,000,000	23,176,000,000
Other Purchased Credit Derivatives [Member] | Greater than 1000 [Member]
Summary of Credit Derivatives [Abstract]
Maximum Payout/Notional Amount of Purchased Credit Derivatives	$ 18,664,000,000	$ 28,734,000,000

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Derivatives and Hedging Activities (Details 2) (USD $)	Sep. 30, 2012
Interest Rate Contract [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Ending Balance	$ (483,000,000)
Interest Rate Contract [Member] | Minimum [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value Unobservable Inputs, Correlation	49.00%
Fair Value Unobservable Inputs, Volatility	32.00%
Fair Value Unobservable Inputs, Basis	1 bps
Interest Rate Contract [Member] | Maximum [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value Unobservable Inputs, Correlation	87.00%
Fair Value Unobservable Inputs, Volatility	88.00%
Fair Value Unobservable Inputs, Basis	39 bps
Foreign Exchange Contract [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Ending Balance	351,000,000
Foreign Exchange Contract [Member] | Minimum [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value Unobservable Inputs, Correlation	65.00%
Foreign Exchange Contract [Member] | Maximum [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value Unobservable Inputs, Correlation	87.00%
Credit Risk Contract [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Ending Balance	6,979,000,000
Credit Risk Contract [Member] | Minimum [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value Unobservable Inputs, Correlation	5.00%
Fair Value Unobservable Inputs, Credit Spreads	68 bps
Fair Value Unobservable Inputs, Recovery Rates	0.00%
Fair Value Unobservable Inputs, Basis	1 point
Credit Risk Contract [Member] | Maximum [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value Unobservable Inputs, Correlation	94.00%
Fair Value Unobservable Inputs, Credit Spreads	1781 bps
Fair Value Unobservable Inputs, Recovery Rates	95.00%
Fair Value Unobservable Inputs, Basis	8 points
Equities Contract [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Ending Balance	(577,000,000)
Equities Contract [Member] | Minimum [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value Unobservable Inputs, Correlation	46.00%
Fair Value Unobservable Inputs, Volatility	11.00%
Equities Contract [Member] | Maximum [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value Unobservable Inputs, Correlation	99.00%
Fair Value Unobservable Inputs, Volatility	65.00%
Commodity Contract [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Derivative Contracts Net Value, Ending Balance	(651,000,000)
Commodity Contract [Member] | Minimum [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value Unobservable Inputs, Volatility	5.00%
Fair Value Unobservable Inputs, Spread Per Million British Thermal Units Of Natural Gas	(0.86)
Fair Value Unobservable Inputs, Price Per Megawatt Hour Of Power	13.37
Fair Value Unobservable Inputs, Price Per Barrel Of Oil	87.00
Commodity Contract [Member] | Maximum [Member]
Fair Value Unobservable Inputs Assets and Liabilities [Abstract]
Fair Value Unobservable Inputs, Volatility	66.00%
Fair Value Unobservable Inputs, Spread Per Million British Thermal Units Of Natural Gas	4.50
Fair Value Unobservable Inputs, Price Per Megawatt Hour Of Power	71.65
Fair Value Unobservable Inputs, Price Per Barrel Of Oil	$ 101.00

XML

Commitments, Contingencies and Guarantees

9 Months Ended

Sep. 30, 2012

Commitments, Contingencies and Guarantees [Abstract]

Commitments, Contingencies and Guarantees

Note 18.

Commitments, Contingencies and Guarantees

Commitments

The table below presents the firm’s commitments.

	Commitment Amount by Period of Expiration as of September 2012					Total Commitments as of
in millions		Remainder 2012	2013- 2014	2015- 2016	2017- Thereafter		September 2012	December 2011
Commitments to extend credit 1
Commercial lending: 2
Investment-grade		$  1,637	$11,834	$28,477	$12,460		$  54,408	$  51,281
Non-investment-grade		659	4,656	8,191	6,052		19,558	14,217
Warehouse financing		150	604	—	—		754	247
Total commitments to extend credit		2,446	17,094	36,668	18,512		74,720	65,745
Contingent and forward starting resale and securities borrowing agreements 3		56,275	324	—	—		56,599	54,522
Forward starting repurchase and secured lending agreements 3		12,727	—	—	—		12,727	17,964
Letters of credit 4		397	468	5	5		875	1,353
Investment commitments		921	4,364	143	2,433		7,861	9,118
Other		3,654	234	49	71		4,008	5,342
Total commitments		$76,420	$22,484	$36,865	$21,021		$156,790	$154,044

1. Commitments to extend credit are presented net of amounts syndicated to third parties.

2. Includes commitments associated with the former William Street credit extension program.

3. These agreements generally settle within three business days.

4. Consists of commitments under letters of credit issued by various banks which the firm provides to counterparties in lieu of securities or cash to satisfy various collateral and margin deposit requirements.

Commitments to Extend Credit

The firm’s commitments to extend credit are agreements to lend with fixed termination dates and depend on the satisfaction of all contractual conditions to borrowing. The total commitment amount does not necessarily reflect actual future cash flows because the firm may syndicate all or substantial portions of these commitments and commitments can expire unused or be reduced or cancelled at the counterparty’s request.

The firm generally accounts for commitments to extend credit at fair value. Losses, if any, are generally recorded, net of any fees in “Other principal transactions.”

Certain lending commitments, entered into during 2012, were held for investment and therefore were accounted for on an accrual basis. As of September 2012, approximately $13.45 billion of the firm’s lending commitments were held for investment. As of September 2012, the carrying value and the estimated fair value of such lending commitments were liabilities of $58 million and $406 million, respectively. As these lending commitments are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP, their fair value is not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these commitments been included in the firm’s fair value hierarchy, they would have primarily been classified in level 3 as of September 2012.

Commercial Lending. The firm’s commercial lending commitments are extended to investment-grade and non-investment-grade corporate borrowers. Commitments to investment-grade corporate borrowers are principally used for operating liquidity and general corporate purposes. The firm also extends lending commitments in connection with contingent acquisition financing and other types of corporate lending as well as commercial real estate financing. Commitments that are extended for contingent acquisition financing are often intended to be short-term in nature, as borrowers often seek to replace them with other funding sources.

Sumitomo Mitsui Financial Group, Inc. (SMFG) provides the firm with credit loss protection on certain approved loan commitments (primarily investment-grade commercial lending commitments). The notional amount of such loan commitments was $33.19 billion and $31.94 billion as of September 2012 and December 2011, respectively. The credit loss protection on loan commitments provided by SMFG is generally limited to 95% of the first loss the firm realizes on such commitments, up to a maximum of approximately $950 million. In addition, subject to the satisfaction of certain conditions, upon the firm’s request, SMFG will provide protection for 70% of additional losses on such commitments, up to a maximum of $1.13 billion, of which $300 million of protection had been provided as of both September 2012 and December 2011. The firm also uses other financial instruments to mitigate credit risks related to certain commitments not covered by SMFG. These instruments primarily include credit default swaps that reference the same or similar underlying instrument or entity or credit default swaps that reference a market index.

Warehouse Financing. The firm provides financing to clients who warehouse financial assets. These arrangements are secured by the warehoused assets, primarily consisting of commercial mortgage loans.

Contingent and Forward Starting Resale and Securities Borrowing Agreements/Forward Starting Repurchase and Secured Lending Agreements

The firm enters into resale and securities borrowing agreements and repurchase and secured lending agreements that settle at a future date. The firm also enters into commitments to provide contingent financing to its clients and counterparties through resale agreements. The firm’s funding of these commitments depends on the satisfaction of all contractual conditions to the resale agreement and these commitments can expire unused.

Investment Commitments

The firm’s investment commitments consist of commitments to invest in private equity, real estate and other assets directly and through funds that the firm raises and manages. These commitments include $1.01 billion and $1.62 billion as of September 2012 and December 2011, respectively, related to real estate private investments and $6.85 billion and $7.50 billion as of September 2012 and December 2011, respectively, related to corporate and other private investments. Of these amounts, $6.58 billion and $8.38 billion as of September 2012 and December 2011, respectively, relate to commitments to invest in funds managed by the firm, which will be funded at market value on the date of investment.

Leases

The firm has contractual obligations under long-term noncancelable lease agreements, principally for office space, expiring on various dates through 2069. Certain agreements are subject to periodic escalation provisions for increases in real estate taxes and other charges. The table below presents future minimum rental payments, net of minimum sublease rentals.

in millions	As of September 2012
Remainder of 2012	$   110
2013	432
2014	400
2015	358
2016	331
2017	319
2018 - thereafter	1,296
Total	$3,246

Operating leases include office space held in excess of current requirements. Rent expense relating to space held for growth is included in “Occupancy.” The firm records a liability, based on the fair value of the remaining lease rentals reduced by any potential or existing sublease rentals, for leases where the firm has ceased using the space and management has concluded that the firm will not derive any future economic benefits. Costs to terminate a lease before the end of its term are recognized and measured at fair value on termination.

Contingencies

Legal Proceedings. See Note 27 for information about legal proceedings, including certain mortgage-related matters.

Certain Mortgage-Related Contingencies. There are multiple areas of focus by regulators, governmental agencies and others within the mortgage market that may impact originators, issuers, servicers and investors. There remains significant uncertainty surrounding the nature and extent of any potential exposure for participants in this market.

Ÿ Representations and Warranties. The firm has not been a significant originator of residential mortgage loans. The firm did purchase loans originated by others and generally received loan-level representations of the type described below from the originators. During the period 2005 through 2008, the firm sold approximately $10 billion of loans to government-sponsored enterprises and approximately $11 billion of loans to other third parties. In addition, the firm transferred loans to trusts and other mortgage securitization vehicles. As of September 2012 and December 2011, the outstanding balance of the loans transferred to trusts and other mortgage securitization vehicles during the period 2005 through 2008 was approximately $36 billion and $42 billion, respectively. This amount reflects paydowns and cumulative losses of approximately $89 billion ($19 billion of which are cumulative losses) as of September 2012 and approximately $83 billion ($17 billion of which are cumulative losses) as of December 2011. A small number of these Goldman Sachs-issued securitizations with an outstanding principal balance of $560 million and total paydowns and cumulative losses of $1.49 billion ($499 million of which are cumulative losses) as of September 2012, and an outstanding principal balance of $635 million and total paydowns and cumulative losses of $1.42 billion ($465 million of which are cumulative losses) as of December 2011, were structured with credit protection obtained from monoline insurers. In connection with both sales of loans and securitizations, the firm provided loan level representations of the type described below and/or assigned the loan level representations from the party from whom the firm purchased the loans.

The loan level representations made in connection with the sale or securitization of mortgage loans varied among transactions but were generally detailed representations applicable to each loan in the portfolio and addressed matters relating to the property, the borrower and the note. These representations generally included, but were not limited to, the following: (i) certain attributes of the borrower’s financial status; (ii) loan-to-value ratios, owner occupancy status and certain other characteristics of the property; (iii) the lien position; (iv) the fact that the loan was originated in compliance with law; and (v) completeness of the loan documentation.

The firm has received repurchase claims for residential mortgage loans based on alleged breaches of representations, from government-sponsored enterprises, other third parties, trusts and other mortgage securitization vehicles, which have not been significant. During both the three and nine months ended September 2012 and September 2011, the firm repurchased loans with an unpaid principal balance of less than $10 million. The loss related to the repurchase of these loans was not material for both the three and nine months ended September 2012 and September 2011.

Ultimately, the firm’s exposure to claims for repurchase of residential mortgage loans based on alleged breaches of representations will depend on a number of factors including the following: (i) the extent to which these claims are actually made; (ii) the extent to which there are underlying breaches of representations that give rise to valid claims for repurchase; (iii) in the case of loans originated by others, the extent to which the firm could be held liable and, if it is, the firm’s ability to pursue and collect on any claims against the parties who made representations to the firm; (iv) macro-economic factors, including developments in the residential real estate market; and (v) legal and regulatory developments.

Based upon the large number of defaults in residential mortgages, including those sold or securitized by the firm, there is a potential for increasing claims for repurchases. However, the firm is not in a position to make a meaningful estimate of that exposure at this time.

Ÿ Foreclosure and Other Mortgage Loan Servicing Practices and Procedures. The firm had received a number of requests for information from regulators and other agencies, including state attorneys general and banking regulators, as part of an industry-wide focus on the practices of lenders and servicers in connection with foreclosure proceedings and other aspects of mortgage loan servicing practices and procedures. The requests sought information about the foreclosure and servicing protocols and activities of Litton, a residential mortgage servicing subsidiary sold by the firm to Ocwen Financial Corporation (Ocwen) in the third quarter of 2011. The firm is cooperating with the requests and these inquiries may result in the imposition of fines or other regulatory action. In the third quarter of 2010, prior to the firm’s sale of Litton, Litton had temporarily suspended evictions and foreclosure and real estate owned sales in a number of states, including those with judicial foreclosure procedures. Litton resumed these activities beginning in the fourth quarter of 2010.

In connection with the sale of Litton, the firm provided customary representations and warranties, and indemnities for breaches of these representations and warranties, to Ocwen. These indemnities are subject to various limitations, and are capped at approximately $50 million. The firm has not yet received any claims relating to these indemnities. The firm also agreed to provide specific indemnities to Ocwen related to claims made by third parties with respect to servicing activities during the period that Litton was owned by the firm and which are in excess of the related reserves accrued for such matters by Litton at the time of the sale. These indemnities are capped at approximately $125 million. The firm has recorded a reserve for the portion of these potential losses that it believes is probable and can be reasonably estimated. As of September 2012, the firm had not received material claims with respect to these indemnities and had not made material payments in connection with these claims.

The firm further agreed to provide indemnities to Ocwen not subject to a cap, which primarily relate to potential liabilities constituting fines or civil monetary penalties which could be imposed in settlements with certain terms with U.S. states attorneys general or in consent orders with certain terms with the Federal Reserve, the Office of Thrift Supervision, the Office of the Comptroller of the Currency, the FDIC or the New York State Department of Financial Services, in each case relating to Litton’s foreclosure and servicing practices while it was owned by the firm. Under the Litton sale agreement the firm also retained liabilities associated with claims related to Litton’s failure to maintain lender-placed mortgage insurance, obligations to repurchase certain loans from government-sponsored enterprises, subpoenas from one of Litton’s regulators, and fines or civil penalties imposed by the Federal Reserve or the New York State Department of Financial Services in connection with certain compliance matters. Management is unable to develop an estimate of the maximum potential amount of future payments under these indemnities because the firm has received no claims under these indemnities other than an immaterial amount with respect to government-sponsored enterprises. However, management does not believe, based on currently available information, that any payments under these indemnities will have a material adverse effect on the firm’s financial condition.

On September 1, 2011, Group Inc. and GS Bank USA entered into a Consent Order (the Order) with the Board of Governors of the Federal Reserve System (Federal Reserve Board) relating to the servicing of residential mortgage loans. The terms of the Order are substantially similar and, in many respects, identical to the orders entered into with the Federal Reserve Board by other large U.S. financial institutions. The Order sets forth various allegations of improper conduct in servicing by Litton, requires that Group Inc. and GS Bank USA cease and desist such conduct, and requires that Group Inc. and GS Bank USA, and their boards of directors, take various affirmative steps. The Order requires (i) Group Inc. and GS Bank USA to engage a third-party consultant to conduct a review of certain foreclosure actions or proceedings that occurred or were pending between January 1, 2009 and December 31, 2010; (ii) the adoption of policies and procedures related to management of third parties used to outsource residential mortgage servicing, loss mitigation or foreclosure; (iii) a “validation report” from an independent third-party consultant regarding compliance with the Order for the first year; and (iv) submission of quarterly progress reports as to compliance with the Order by the boards of directors (or committees thereof) of Group Inc. and GS Bank USA.

In addition, on September 1, 2011, GS Bank USA entered into an Agreement on Mortgage Servicing Practices with the New York State Department of Financial Services, Litton and Ocwen relating to the servicing of residential mortgage loans, and, in a related agreement with the New York State Department of Financial Services, Group Inc. agreed to forgive 25% of the unpaid principal balance on certain delinquent first lien residential mortgage loans owned by Group Inc. or a subsidiary, totaling approximately $13 million in principal forgiveness.

Guaranteed Minimum Death and Income Benefits. In connection with its insurance business, the firm is contingently liable to provide guaranteed minimum death and income benefits to certain contract holders and has established a reserve related to $5.45 billion and $5.52 billion of contract holder account balances as of September 2012 and December 2011, respectively, for such benefits. The weighted average attained age of these contract holders was 69 years for both September 2012 and December 2011.

The net amount at risk, representing guaranteed minimum death and income benefits in excess of contract holder account balances, was $1.25 billion and $1.51 billion as of September 2012 and December 2011, respectively. See Note 17 for further information about the reserves recorded in “Other liabilities and accrued expenses” related to guaranteed minimum death and income benefits.

Guarantees

The firm enters into various derivatives that meet the definition of a guarantee under U.S. GAAP, including written equity and commodity put options, written currency contracts and interest rate caps, floors and swaptions. Disclosures about derivatives are not required if they may be cash settled and the firm has no basis to conclude it is probable that the counterparties held the underlying instruments at inception of the contract. The firm has concluded that these conditions have been met for certain large, internationally active commercial and investment bank counterparties and certain other counterparties. Accordingly, the firm has not included such contracts in the table below.

The firm, in its capacity as an agency lender, indemnifies most of its securities lending customers against losses incurred in the event that borrowers do not return securities and the collateral held is insufficient to cover the market value of the securities borrowed.

In the ordinary course of business, the firm provides other financial guarantees of the obligations of third parties (e.g., standby letters of credit and other guarantees to enable clients to complete transactions and fund-related guarantees). These guarantees represent obligations to make payments to beneficiaries if the guaranteed party fails to fulfill its obligation under a contractual arrangement with that beneficiary.

The table below presents certain information about derivatives that meet the definition of a guarantee and certain other guarantees. The maximum payout in the table below is based on the notional amount of the contract and therefore does not represent anticipated losses. See Note 7 for further information about credit derivatives that meet the definition of a guarantee which are not included below.

Because derivatives are accounted for at fair value, the carrying value is considered the best indication of payment/performance risk for individual contracts. However, the carrying values below exclude the effect of a legal right of setoff that may exist under an enforceable netting agreement and the effect of netting of cash collateral posted under credit support agreements.

	As of September 2012
			Maximum Payout/Notional Amount by Period of Expiration
in millions		Carrying Value of Net Liability		Remainder of 2012	2013- 2014	2015- 2016	2017- Thereafter	Total
Derivatives 1		$10,380		$222,571	$389,958	$86,756	$69,552	$768,837
Securities lending indemnifications  2		—		29,932	—	—	—	29,932
Other financial guarantees 3		163		204	857	1,018	1,246	3,325

1. These derivatives are risk managed together with derivatives that do not meet the definition of a guarantee, and therefore these amounts do not reflect the firm’s overall risk related to its derivative activities. As of December 2011, the carrying value of the net liability related to derivative guarantees was $11.88 billion.

2. Collateral held by the lenders in connection with securities lending indemnifications was $30.82 billion as of September 2012. Because the contractual nature of these arrangements requires the firm to obtain collateral with a market value that exceeds the value of the securities lent to the borrower, there is minimal performance risk associated with these guarantees.

3. Other financial guarantees excludes certain commitments to issue standby letters of credit that are included in “Commitments to extend credit.” See table in “Commitments” above for a summary of the firm’s commitments. As of December 2011, the carrying value of the net liability related to other financial guarantees was $205 million.

Guarantees of Securities Issued by Trusts. The firm has established trusts, including Goldman Sachs Capital I, the APEX Trusts, the 2012 Trusts, and other entities for the limited purpose of issuing securities to third parties, lending the proceeds to the firm and entering into contractual arrangements with the firm and third parties related to this purpose. The firm does not consolidate these entities. See Note 16 for further information about the transactions involving Goldman Sachs Capital I, the APEX Trusts, and the 2012 Trusts.

The firm effectively provides for the full and unconditional guarantee of the securities issued by these entities. Timely payment by the firm of amounts due to these entities under the guarantee, borrowing, preferred stock and related contractual arrangements will be sufficient to cover payments due on the securities issued by these entities.

Management believes that it is unlikely that any circumstances will occur, such as nonperformance on the part of paying agents or other service providers, that would make it necessary for the firm to make payments related to these entities other than those required under the terms of the guarantee, borrowing, preferred stock and related contractual arrangements and in connection with certain expenses incurred by these entities.

Indemnities and Guarantees of Service Providers. In the ordinary course of business, the firm indemnifies and guarantees certain service providers, such as clearing and custody agents, trustees and administrators, against specified potential losses in connection with their acting as an agent of, or providing services to, the firm or its affiliates.

The firm may also be liable to some clients for losses caused by acts or omissions of third-party service providers, including sub-custodians and third-party brokers. In addition, the firm is a member of payment, clearing and settlement networks as well as securities exchanges around the world that may require the firm to meet the obligations of such networks and exchanges in the event of member defaults.

In connection with its prime brokerage and clearing businesses, the firm agrees to clear and settle on behalf of its clients the transactions entered into by them with other brokerage firms. The firm’s obligations in respect of such transactions are secured by the assets in the client’s account as well as any proceeds received from the transactions cleared and settled by the firm on behalf of the client. In connection with joint venture investments, the firm may issue loan guarantees under which it may be liable in the event of fraud, misappropriation, environmental liabilities and certain other matters involving the borrower.

The firm is unable to develop an estimate of the maximum payout under these guarantees and indemnifications. However, management believes that it is unlikely the firm will have to make any material payments under these arrangements, and no material liabilities related to these guarantees and indemnifications have been recognized in the condensed consolidated statements of financial condition as of September 2012 and December 2011.

Other Representations, Warranties and Indemnifications. The firm provides representations and warranties to counterparties in connection with a variety of commercial transactions and occasionally indemnifies them against potential losses caused by the breach of those representations and warranties. The firm may also provide indemnifications protecting against changes in or adverse application of certain U.S. tax laws in connection with ordinary-course transactions such as securities issuances, borrowings or derivatives.

In addition, the firm may provide indemnifications to some counterparties to protect them in the event additional taxes are owed or payments are withheld, due either to a change in or an adverse application of certain non-U.S. tax laws.

These indemnifications generally are standard contractual terms and are entered into in the ordinary course of business. Generally, there are no stated or notional amounts included in these indemnifications, and the contingencies triggering the obligation to indemnify are not expected to occur. The firm is unable to develop an estimate of the maximum payout under these guarantees and indemnifications. However, management believes that it is unlikely the firm will have to make any material payments under these arrangements, and no material liabilities related to these arrangements have been recognized in the condensed consolidated statements of financial condition as of September 2012 and December 2011.

Guarantees of Subsidiaries. Group Inc. fully and unconditionally guarantees the securities issued by GS Finance Corp., a wholly-owned finance subsidiary of the firm.

Group Inc. has guaranteed the payment obligations of Goldman, Sachs & Co. (GS&Co.), GS Bank USA, GS Bank Europe and Goldman Sachs Execution & Clearing, L.P. (GSEC), subject to certain exceptions.

In November 2008, the firm contributed subsidiaries into GS Bank USA, and Group Inc. agreed to guarantee the reimbursement of certain losses, including credit-related losses, relating to assets held by the contributed entities. In connection with this guarantee, Group Inc. also agreed to pledge to GS Bank USA certain collateral, including interests in subsidiaries and other illiquid assets.

In addition, Group Inc. guarantees many of the obligations of its other consolidated subsidiaries on a transaction-by-transaction basis, as negotiated with counterparties. Group Inc. is unable to develop an estimate of the maximum payout under its subsidiary guarantees; however, because these guaranteed obligations are also obligations of consolidated subsidiaries included in the table above, Group Inc.’s liabilities as guarantor are not separately disclosed.

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Other Liabilities and Accrued Expenses (Tables)

9 Months Ended

Sep. 30, 2012

Other Liabilities and Accrued Expenses [Abstract]

Other Liabilities

	As of
in millions		September 2012	December 2011
Compensation and benefits		$  7,930	$  5,701
Insurance-related liabilities		22,656	18,614
Noncontrolling interests 1		1,339	1,450
Income tax-related liabilities  2		2,103	533
Employee interests in consolidated funds		284	305
Subordinated liabilities issued by consolidated VIEs		1,046	1,090
Accrued expenses and other		4,638	4,108
Total		$39,996	$31,801

1. Includes $1.18 billion and $1.17 billion related to consolidated investment funds as of September 2012 and December 2011, respectively.

2. See Note 24 for further information about income taxes.

Insurance-related liabilities

	As of
in millions		September 2012	December 2011
Separate account liabilities		$  3,287	$  3,296
Liabilities for future benefits and unpaid claims		13,312	14,213
Contract holder account balances		5,793	835
Reserves for guaranteed minimum death and income benefits		264	270
Total 1		$22,656	$18,614

1. Increase primarily due to reinsurance transactions during 2012.

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Collateralized Agreements and Financings (Tables)

9 Months Ended

Sep. 30, 2012

Collateralized Agreements and Financings [Abstract]

Resale and repurchase agreements and securities borrowed and loaned transactions

	As of
in millions		September 2012	December 2011
Securities purchased under agreements to resell 1		$147,361	$187,789
Securities borrowed 2		165,250	153,341
Securities sold under agreements to repurchase 1		166,186	164,502
Securities loaned 2		13,640	7,182

1. Resale and repurchase agreements are carried at fair value under the fair value option. See Note 8 for further information about the valuation techniques and significant inputs used to determine fair value.

2. As of September 2012 and December 2011, $47.99 billion and $47.62 billion of securities borrowed, and $243 million and $107 million of securities loaned were at fair value, respectively.

Other secured financings

	As of September 2012						As of December 2011
$ in millions		U.S. Dollar		Non-U.S. Dollar		Total		U.S. Dollar		Non-U.S. Dollar		Total
Other secured financings (short-term):
At fair value		$13,392		$4,918		$18,310		$18,519		$  5,140		$23,659
At amortized cost		34		2,706		2,740		155		5,371		5,526
Interest rates 1		6.82	%	0.10	%			3.85	%	0.22	%
Other secured financings (long-term):
At fair value		5,462		1,407		6,869		4,305		2,055		6,360
At amortized cost		710		764		1,474		1,024		795		1,819
Interest rates 1		2.99	%	2.84	%			1.88	%	3.28	%
Total 2		$19,598		$9,795		$29,393		$24,003		$13,361		$37,364
Amount of other secured financings collateralized by:
Financial instruments 3		$18,990		$9,420		$28,410		$23,703		$12,169		$35,872
Other assets 4		608		375		983		300		1,192		1,492

1. The weighted average interest rates exclude secured financings at fair value and include the effect of hedging activities. See Note 7 for further information about hedging activities.

2. Includes $6.18 billion and $9.36 billion related to transfers of financial assets accounted for as financings rather than sales as of September 2012 and December 2011, respectively. Such financings were collateralized by financial assets included in “Financial instruments owned, at fair value” of $6.20 billion and $9.51 billion as of September 2012 and December 2011, respectively.

3. Includes $15.58 billion and $14.82 billion of other secured financings collateralized by financial instruments owned, at fair value as of September 2012 and December 2011, respectively, and includes $12.83 billion and $21.06 billion of other secured financings collateralized by financial instruments received as collateral and repledged as of September 2012 and December 2011, respectively.

4. Primarily real estate and cash.

Other Secured Financings by maturity date

in millions	As of September 2012
Other secured financings (short-term)	$21,050
Other secured financings (long-term):
2013	771
2014	4,046
2015	1,274
2016	571
2017	197
2018-thereafter	1,484
Total other secured financings (long-term)	8,343
Total other secured financings	$29,393

Financial Instruments Received As Collateral And Repledged

	As of
in millions		September 2012	December 2011
Collateral available to be delivered or repledged		$573,711	$622,926
Collateral that was delivered or repledged		431,090	454,604

Financial Instruments Owned, at fair value and Other Assets Pledged as Collateral

	As of
in millions		September 2012	December 2011
Financial instruments owned, at fair value pledged to counterparties that:
Had the right to deliver or repledge		$  66,753	$  53,989
Did not have the right to deliver or repledge		118,630	110,949
Other assets pledged to counterparties that:
Did not have the right to deliver or repledge		2,603	3,444

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Derivatives and Hedging Activities (Details 6) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
OTC Derivatives [Abstract]
OTC Derivative Assets	$ 68,201	$ 74,148
Gross Fair Value of Derivative Asset Contracts	894,101	985,865
OTC Derivative Liabilities	47,850	55,281
Gross Fair Value of Derivative Liability Contracts	798,961	875,015
Netting Across Product Types [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	(14,596)	(15,131)
OTC Derivative Liabilities	(14,596)	(15,131)
Cross Maturity Netting [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	(20,401)	(22,562)
OTC Derivative Liabilities	(20,401)	(22,562)
Cash collateral netting [Member]
OTC Derivatives [Abstract]
Gross Fair Value of Derivative Asset Contracts	(103,709)	(118,104)
Gross Fair Value of Derivative Liability Contracts	(29,627)	(28,829)
0-12 Months [Member] | Netting Across Product Types [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	(2,983)	(3,071)
OTC Derivative Liabilities	(2,983)	(3,071)
1-5 Years [Member] | Netting Across Product Types [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	(5,976)	(6,033)
OTC Derivative Liabilities	(5,976)	(6,033)
5 Years or Greater [Member] | Netting Across Product Types [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	(5,637)	(6,027)
OTC Derivative Liabilities	(5,637)	(6,027)
Interest Rate Contract [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	123,054	125,605
OTC Derivative Liabilities	58,399	62,133
Interest Rate Contract [Member] | 0-12 Months [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	11,466	10,931
OTC Derivative Liabilities	6,448	5,787
Interest Rate Contract [Member] | 1-5 Years [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	29,659	32,194
OTC Derivative Liabilities	18,382	18,607
Interest Rate Contract [Member] | 5 Years or Greater [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	81,929	82,480
OTC Derivative Liabilities	33,569	37,739
Credit Risk Contract [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	23,987	32,209
OTC Derivative Liabilities	10,847	12,051
Credit Risk Contract [Member] | 0-12 Months [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	1,692	3,054
OTC Derivative Liabilities	593	1,200
Credit Risk Contract [Member] | 1-5 Years [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	13,386	15,468
OTC Derivative Liabilities	7,030	6,957
Credit Risk Contract [Member] | 5 Years or Greater [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	8,909	13,687
OTC Derivative Liabilities	3,224	3,894
Foreign Exchange Contract [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	29,574	38,868
OTC Derivative Liabilities	19,211	21,842
Foreign Exchange Contract [Member] | 0-12 Months [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	8,116	11,253
OTC Derivative Liabilities	6,815	9,826
Foreign Exchange Contract [Member] | 1-5 Years [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	8,432	11,592
OTC Derivative Liabilities	5,254	5,514
Foreign Exchange Contract [Member] | 5 Years or Greater [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	13,026	16,023
OTC Derivative Liabilities	7,142	6,502
Commodity Contract [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	9,997	11,364
OTC Derivative Liabilities	11,149	14,223
Commodity Contract [Member] | 0-12 Months [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	5,012	5,286
OTC Derivative Liabilities	3,368	6,322
Commodity Contract [Member] | 1-5 Years [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	4,617	5,931
OTC Derivative Liabilities	5,552	5,174
Commodity Contract [Member] | 5 Years or Greater [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	368	147
OTC Derivative Liabilities	2,229	2,727
Equity Contract [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	20,295	21,899
OTC Derivative Liabilities	12,868	11,554
Equity Contract [Member] | 0-12 Months [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	4,907	6,663
OTC Derivative Liabilities	3,415	3,290
Equity Contract [Member] | 1-5 Years [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	7,989	7,768
OTC Derivative Liabilities	5,314	4,018
Equity Contract [Member] | 5 Years or Greater [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	7,399	7,468
OTC Derivative Liabilities	4,139	4,246
Derivatives Net of Counterparty Netting within Tenor Categories [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	192,311	214,814
OTC Derivative Liabilities	97,878	106,672
Derivatives Net of Counterparty Netting within Tenor Categories [Member] | 0-12 Months [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	28,210	34,116
OTC Derivative Liabilities	17,656	23,354
Derivatives Net of Counterparty Netting within Tenor Categories [Member] | 1-5 Years [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	58,107	66,920
OTC Derivative Liabilities	35,556	34,237
Derivatives Net of Counterparty Netting within Tenor Categories [Member] | 5 Years or Greater [Member]
OTC Derivatives [Abstract]
OTC Derivative Assets	105,994	113,778
OTC Derivative Liabilities	$ 44,666	$ 49,081

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Other Liabilities and Accrued Expenses (Details) (USD $)	Sep. 30, 2012	Dec. 31, 2011
Other Liabilities and Accrued Expenses (Textuals) [Abstract]
Receivables related to reinsurance provided by the firm to other insurers	$ 1,460,000,000	$ 1,300,000,000
Receivables related to risks ceded to reinsurers	234,000,000	648,000,000
Liabilities for future benefits and unpaid claims at fair value	9,260,000,000	8,750,000,000
Noncontrolling interests related to consolidated investment funds	1,180,000,000	1,170,000,000
Other Liabilities
Compensation and benefits	7,930,000,000	5,701,000,000
Insurance-related liabilities	22,656,000,000	18,614,000,000
Noncontrolling interests	1,339,000,000	1,450,000,000
Income tax-related liabilities	2,103,000,000	533,000,000
Employee interests in consolidated funds	284,000,000	305,000,000
Subordinated liabilities issued by consolidated VIEs	1,046,000,000	1,090,000,000
Accrued expenses and other	4,638,000,000	4,108,000,000
Total	39,996,000,000	31,801,000,000
Insurance related liabilities
Separate account liabilities	3,287,000,000	3,296,000,000
Liabilities for future benefits and unpaid claims	13,312,000,000	14,213,000,000
Contract holder account balances	5,793,000,000	835,000,000
Reserves for guaranteed minimum death and income benefits	264,000,000	270,000,000
Total insurance-related liabilities	$ 22,656,000,000	$ 18,614,000,000

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Financial Instruments Owned, at Fair Value and Financial Instruments Sold but not yet Purchased, at Fair Value (Tables)

9 Months Ended

Sep. 30, 2012

Financial Instruments Owned, at Fair Value and Financial Instruments Sold, But Not Yet Purchased, at Fair Value [Abstract]

Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased

	As of September 2012			As of December 2011
in millions	Financial Instruments Owned	Financial Instruments Sold, But Not Yet Purchased			Financial Instruments Owned	Financial Instruments Sold, But Not Yet Purchased
Commercial paper, certificates of deposit, time deposits and other money market instruments	$  10,708	$          —			$  13,440	$          —
U.S. government and federal agency obligations	95,529	22,945			87,040	21,006
Non-U.S. government and agency obligations	62,952	36,630			49,205	34,886
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate	7,536	—			6,699	27
Loans and securities backed by residential real estate	9,602	8			7,592	3
Bank loans and bridge loans	21,011	2,143	2		19,745	2,756	2
Corporate debt securities	25,345	6,902			22,131	6,553
State and municipal obligations	3,296	2			3,089	3
Other debt obligations	4,489	—			4,362	—
Equities and convertible debentures	91,225	23,778			65,113	21,326
Commodities	10,771	—			5,762	—
Derivatives 1	72,829	51,771			80,028	58,453
Total	$415,293	$144,179			$364,206	$145,013

1. Net of cash collateral received or posted under credit support agreements and reported on a net-by-counterparty basis when a legal right of setoff exists under an enforceable netting agreement.

2. Primarily relates to the fair value of unfunded lending commitments for which the fair value option was elected.

Gains and Losses from Market Making and Other Principal Transactions

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Interest rates		$1,833	$(1,674)		$  3,157	$1,766
Credit		1,190	213		4,365	3,193
Currencies		(698)	2,271		(646)	(319)
Equities		1,910	(1,998)		4,097	1,876
Commodities		(12)	218		564	1,104
Other		229	231		1,024	1,053
Total		$4,452	$   (739)		$12,561	$8,673

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Shareholders' Equity (Tables)

9 Months Ended

Sep. 30, 2012

Shareholders' Equity [Abstract]

Summary of perpetual preferred stock issued and outstanding

Series	Shares Authorized		Shares Issued		Shares Outstanding		Dividend Rate	Redemption Value (in millions)
A		50,000		30,000		29,999	3 month LIBOR + 0.75%, with floor of 3.75% per annum		$   750
B		50,000		32,000		32,000	6.20% per annum		800
C		25,000		8,000		8,000	3 month LIBOR + 0.75%, with floor of 4.00% per annum		200
D		60,000		54,000		53,999	3 month LIBOR + 0.67%, with floor of 4.00% per annum		1,350
E		17,500		17,500		17,500	3 month LIBOR + 0.77%, with floor of 4.00% per annum		1,750
F		5,000		5,000		5,000	3 month LIBOR + 0.77%, with floor of 4.00% per annum		500
		207,500		146,500		146,498			$5,350

Summary of preferred dividends declared on preferred stock issued

	Three Months Ended September						Nine Months Ended September
	2012			2011			2012			2011
		per share	in millions		per share	in millions		per share	in millions		per share	in millions
Series A		$   239.58	$  7		$239.58	$  7		$   718.74	$  21		$   710.93	$  21
Series B		387.50	13		387.50	12		1,162.50	37		1,162.50	37
Series C		255.56	2		255.56	2		766.68	6		758.34	6
Series D		255.56	14		255.56	14		766.68	42		758.34	41
Series E		1,055.56	18		—	—		1,055.56	18		—	—
Series G		—	—		—	—		—	—		2,500.00	125	1
Total			$54			$35			$124			$230

1. Excludes preferred dividends related to the redemption of the firm’s Series G Preferred Stock.

Accumulated Other Comprehensive Income

	As of September 2012
in millions		Currency translation adjustment, net of tax		Pension and postretirement liability adjustments, net of tax		Net unrealized gains/(losses) on available-for-sale securities, net of tax		Accumulated other comprehensive income/(loss), net of tax
Balance, beginning of year		$(225	)	$(374	)	$  83		$(516	)
Other comprehensive income/(loss)		(63	)	13		184		134
Balance, end of period		$(288	)	$(361	)	$267	1	$(382	)
	As of December 2011
in millions		Currency translation adjustment, net of tax		Pension and postretirement liability adjustments, net of tax		Net unrealized gains/(losses) on available-for-sale securities, net of tax		Accumulated other comprehensive income/(loss), net of tax
Balance, beginning of year		$(170	)	$(229	)	$113		$(286	)
Other comprehensive loss		(55	)	(145	)	(30	)	(230	)
Balance, end of year		$(225	)	$(374	)	$  83	1	$(516	)

1. Substantially all consists of net unrealized gains on securities held by the firm’s insurance subsidiaries as of both September 2012 and December 2011.

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Cash Instruments (Details 4) (USD $) In Millions, unless otherwise specified	9 Months Ended
	Sep. 30, 2012	Dec. 31, 2011
Fair Value, Investments, Entities that Calculate Net Asset Value per Share [Abstract]
Fair Value of Investments	$ 16,200	$ 16,366
Fair value, Investments, Entities that Calculate Net Asset Value Per Share, Unfunded Commitments	6,856	8,695
Fair Value, Investments Entities That Calculate Net Asset Value Per Share, Liquidating Investment, Remaining Period	7 years
Fair Value, Investments Entities That Calculate Net Asset Value Per Share, Investment Redemption Description	91
Fair Value, Investments Entities That Calculate Net Asset Value Per Share, Redemption Restriction, Description	0.25
Private Equity Funds [Member]
Fair Value, Investments, Entities that Calculate Net Asset Value per Share [Abstract]
Fair Value of Investments	8,251	8,074
Fair value, Investments, Entities that Calculate Net Asset Value Per Share, Unfunded Commitments	2,829	3,514
Private debt funds [Member]
Fair Value, Investments, Entities that Calculate Net Asset Value per Share [Abstract]
Fair Value of Investments	3,700	3,596
Fair value, Investments, Entities that Calculate Net Asset Value Per Share, Unfunded Commitments	3,023	3,568
Hedge Funds [Member]
Fair Value, Investments, Entities that Calculate Net Asset Value per Share [Abstract]
Fair Value of Investments	2,450	3,165
Fair value, Investments, Entities that Calculate Net Asset Value Per Share, Unfunded Commitments	0	0
Real estate and other funds [Member]
Fair Value, Investments, Entities that Calculate Net Asset Value per Share [Abstract]
Fair Value of Investments	1,799	1,531
Fair value, Investments, Entities that Calculate Net Asset Value Per Share, Unfunded Commitments	$ 1,004	$ 1,613

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Subsequent Event (Details) (USD $) In Millions, unless otherwise specified	9 Months Ended
	Sep. 30, 2012
Subsequent Event (Textual) [Abstract]
Approximate amount received from sale of hedge fund administration business to State Street Corporation	$ 515
Approximate amount of pre-tax gain recognized on sale of hedge fund administration business to State Street Corporation	$ 500

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Financial Instruments Owned, at Fair Value and Financial Instruments Sold, But Not Yet Purchased, at Fair Value (Details) (USD $)	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011	Dec. 31, 2011
Fair Value of Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	$ 415,293,000,000		$ 415,293,000,000		$ 364,206,000,000
Financial instruments sold, but not yet purchased, at fair value	144,179,000,000		144,179,000,000		145,013,000,000
Gains and Losses from Market Making and Other Principal Transactions
Trading Activity, Gains and Losses, Net	4,452,000,000	(739,000,000)	12,561,000,000	8,673,000,000
Trading Assets and Trading Liabilities (Textuals) [Abstract]
Available-for-sale securities substantially all of which is held within the firm's insurance subsidiaries included in Total Financial Instruments Owned, at Fair Value	9,080,000,000		9,080,000,000		4,860,000,000
Commercial paper, certificates of deposit, time deposits and other money market instruments [Member]
Fair Value of Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	10,708,000,000		10,708,000,000		13,440,000,000
Financial instruments sold, but not yet purchased, at fair value	0		0		0
U.S. government and federal agency obligations [Member]
Fair Value of Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	95,529,000,000		95,529,000,000		87,040,000,000
Financial instruments sold, but not yet purchased, at fair value	22,945,000,000		22,945,000,000		21,006,000,000
Non-U.S. government and agency obligations [Member]
Fair Value of Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	62,952,000,000		62,952,000,000		49,205,000,000
Financial instruments sold, but not yet purchased, at fair value	36,630,000,000		36,630,000,000		34,886,000,000
Loans and securities backed by commercial real estate [Member]
Fair Value of Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	7,536,000,000		7,536,000,000		6,699,000,000
Financial instruments sold, but not yet purchased, at fair value	0		0		27,000,000
Loans and securities backed by residential real estate [Member]
Fair Value of Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	9,602,000,000		9,602,000,000		7,592,000,000
Financial instruments sold, but not yet purchased, at fair value	8,000,000		8,000,000		3,000,000
Bank loans and bridge loans [Member]
Fair Value of Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	21,011,000,000		21,011,000,000		19,745,000,000
Financial instruments sold, but not yet purchased, at fair value	2,143,000,000		2,143,000,000		2,756,000,000
Corporate Debt Securities [Member]
Fair Value of Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	25,345,000,000		25,345,000,000		22,131,000,000
Financial instruments sold, but not yet purchased, at fair value	6,902,000,000		6,902,000,000		6,553,000,000
State and municipal obligations [Member]
Fair Value of Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	3,296,000,000		3,296,000,000		3,089,000,000
Financial instruments sold, but not yet purchased, at fair value	2,000,000		2,000,000		3,000,000
Other debt obligations [Member]
Fair Value of Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	4,489,000,000		4,489,000,000		4,362,000,000
Financial instruments sold, but not yet purchased, at fair value	0		0		0
Equities and convertible debentures [Member]
Fair Value of Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	91,225,000,000		91,225,000,000		65,113,000,000
Financial instruments sold, but not yet purchased, at fair value	23,778,000,000		23,778,000,000		21,326,000,000
Commodities [Member]
Fair Value of Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	10,771,000,000		10,771,000,000		5,762,000,000
Financial instruments sold, but not yet purchased, at fair value	0		0		0
Derivative [Member]
Fair Value of Financial Instruments Owned and Financial Instruments Sold, But Not Yet Purchased
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	72,829,000,000		72,829,000,000		80,028,000,000
Financial instruments sold, but not yet purchased, at fair value	51,771,000,000		51,771,000,000		58,453,000,000
Interest Rates [Member]
Gains and Losses from Market Making and Other Principal Transactions
Trading Activity, Gains and Losses, Net	1,833,000,000	(1,674,000,000)	3,157,000,000	1,766,000,000
Credit [Member]
Gains and Losses from Market Making and Other Principal Transactions
Trading Activity, Gains and Losses, Net	1,190,000,000	213,000,000	4,365,000,000	3,193,000,000
Foreign Exchange [Member]
Gains and Losses from Market Making and Other Principal Transactions
Trading Activity, Gains and Losses, Net	(698,000,000)	2,271,000,000	(646,000,000)	(319,000,000)
Equity [Member]
Gains and Losses from Market Making and Other Principal Transactions
Trading Activity, Gains and Losses, Net	1,910,000,000	(1,998,000,000)	4,097,000,000	1,876,000,000
Commodity [Member]
Gains and Losses from Market Making and Other Principal Transactions
Trading Activity, Gains and Losses, Net	(12,000,000)	218,000,000	564,000,000	1,104,000,000
Other Trading [Member]
Gains and Losses from Market Making and Other Principal Transactions
Trading Activity, Gains and Losses, Net	$ 229,000,000	$ 231,000,000	$ 1,024,000,000	$ 1,053,000,000

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Deposits (Tables)

9 Months Ended

Sep. 30, 2012

Deposits [ Abstract]

Deposits

	As of
in millions		September 2012		December 2011
U.S. offices		$53,643		$38,477
Non-U.S. offices		7,883		7,632
Total		$61,526	1	$46,109	1

Maturities of Time Deposits

	As of September 2012
in millions		U.S.		Non-U.S.		Total
Remainder of 2012		$     875		$1,649		$  2,524
2013		5,069		602		5,671
2014		3,363		—		3,363
2015		2,784		—		2,784
2016		1,435		—		1,435
2017		2,002		—		2,002
2018 - thereafter		4,483		—		4,483
Total		$20,011	2	$2,251	3	$22,262	1

1. Includes $5.67 billion and $4.53 billion as of September 2012 and December 2011, respectively, of time deposits accounted for at fair value under the fair value option.

2. Includes $48 million greater than $100,000, of which $6 million matures within three months, $6 million matures within three to six months, $29 million matures within six to twelve months, and $7 million matures after twelve months.

3. Substantially all were greater than $100,000.

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Basis of Presentation

9 Months Ended

Sep. 30, 2012

Description of Business and Basis of Presentation [Abstract]

Basis of Presentation

Note 2.

Basis of Presentation

These condensed consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States (U.S. GAAP) and include the accounts of Group Inc. and all other entities in which the firm has a controlling financial interest. Intercompany transactions and balances have been eliminated.

These condensed consolidated financial statements are unaudited and should be read in conjunction with the audited consolidated financial statements included in the firm’s Annual Report on Form 10-K for the year ended December 31, 2011. References to “the firm’s Annual Report on Form 10-K” are to the firm’s Annual Report on Form 10-K for the year ended December 31, 2011. The condensed consolidated financial information as of December 31, 2011 has been derived from audited consolidated financial statements not included herein.

These unaudited condensed consolidated financial statements reflect all adjustments that are, in the opinion of management, necessary for a fair statement of the results for the interim periods presented. These adjustments are of a normal, recurring nature. Interim period operating results may not be indicative of the operating results for a full year.

All references to September 2012 and September 2011 refer to the firm’s periods ended, or the dates, as the context requires, September 30, 2012 and September 30, 2011, respectively. All references to June 2012 and December 2011 refer to the dates June 30, 2012 and December 31, 2011, respectively. Any reference to a future year refers to a year ending on December 31 of that year. Certain reclassifications have been made to previously reported amounts to conform to the current presentation.

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Fair Value Measurements (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Jun. 30, 2012	Dec. 31, 2011	Sep. 30, 2011
Financial Assets Liabilities Summary
Total financial assets at fair value	$ 651,647	$ 651,160	$ 651,312
Total assets	949,207	948,638	923,225	948,909
Total level 3 assets as a percentage of Total assets	5.00%	4.90%	5.20%
Total level 3 assets as a percentage of Total financial assets at fair value	7.30%	7.10%	7.40%
Total financial liabilities at fair value	381,934	380,087	388,669
Percentage of level 3 liabilities of total financial liabilities at fair value	6.30%	6.10%	6.60%
Cash collateral and counterparty netting [Member] | Derivative [Member]
Financial Assets Liabilities Summary
Total financial assets at fair value	(106,282)	(111,139)	(120,821)
Total financial liabilities at fair value	(32,200)	(32,577)	(31,546)
Level 1 [Member]
Financial Assets Liabilities Summary
Total financial assets at fair value	183,205	163,712	136,780
Total financial liabilities at fair value	80,843	86,453	75,557
Level 2 [Member]
Financial Assets Liabilities Summary
Total financial assets at fair value	526,914	552,082	587,416
Total financial liabilities at fair value	309,289	303,084	319,160
Level 3 [Member]
Financial Assets Liabilities Summary
Total financial assets at fair value	47,810	46,505	47,937
Total financial liabilities at fair value	$ 24,002	$ 23,127	$ 25,498

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Securitization Activities (Tables)

9 Months Ended

Sep. 30, 2012

Securitization Activities [Abstract]

Amount of financial assets securitized and the cash flows received on retained interests

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Residential mortgages		$8,530	$10,091		$27,797	$31,642
Commercial mortgages		625	—		2,248	—
Other financial assets		—	153		—	234
Total		$9,155	$10,244		$30,045	$31,876
Cash flows on retained interests		$   161	$     239		$     333	$     594

Firms continuing involvement in securitization entities to which the firm sold assets

	As of September 2012				As of December 2011
in millions		Outstanding Principal Amount	Fair Value of Retained Interests	Fair Value of Purchased Interests		Outstanding Principal Amount	Fair Value of Retained Interests	Fair Value of Purchased Interests
U.S. government agency-issued collateralized mortgage obligations  1		$57,923	$3,809	$   —		$70,448	$5,038	$   —
Other residential mortgage-backed  2		3,769	105	—		4,459	101	3
Commercial mortgage-backed 3		3,186	18	46		3,398	606	331
CDOs, CLOs and other 4		9,259	37	266		9,972	32	211
Total 5		$74,137	$3,969	$312		$88,277	$5,777	$545

1. Outstanding principal amount and fair value of retained interests primarily relate to securitizations during 2012 and 2011 as of September 2012, and securitizations during 2011 and 2010 as of December 2011.

2. Outstanding principal amount and fair value of retained interests as of both September 2012 and December 2011 primarily relate to prime and Alt-A securitizations during 2007 and 2006.

3. As of September 2012, the outstanding principal amount and the fair value of retained interests primarily relate to securitizations during 2012. As of December 2011, the outstanding principal amount primarily relates to securitizations during 2010, 2007 and 2006 and the fair value of retained interests primarily relates to securitizations during 2010.

4. Outstanding principal amount and fair value of retained interests as of both September 2012 and December 2011 primarily relate to CDO and CLO securitizations during 2007 and 2006.

5. Outstanding principal amount includes $815 million and $774 million as of September 2012 and December 2011, respectively, related to securitization entities in which the firm’s only continuing involvement is retained servicing which is not a variable interest.

Weighted average key economic assumptions used in measuring the fair value of the firm's retained interests and the sensitivity of this fair value to immediate adverse changes

	As of September 2012					As of December 2011
	Type of Retained Interests					Type of Retained Interests
$ in millions		Mortgage-Backed		Other	1		Mortgage-Backed		Other	1
Fair value of retained interests		$3,932		$    37			$5,745		$    32
Weighted average life (years)		7.5		2.3			7.1		4.7
Constant prepayment rate 2		15.7	%	N.M.			14.1	%	N.M.
Impact of 10% adverse change 2		$    (68	)	N.M.			$    (55	)	N.M.
Impact of 20% adverse change 2		(128	)	N.M.			(108	)	N.M.
Discount rate 3		4.6	%	N.M.			5.4	%	N.M.
Impact of 10% adverse change		$    (83	)	N.M.			$  (125	)	N.M.
Impact of 20% adverse change		(155	)	N.M.			(240	)	N.M.

1. Due to the nature and current fair value of certain of these retained interests, the weighted average assumptions for constant prepayment and discount rates and the related sensitivity to adverse changes are not meaningful as of September 2012 and December 2011. The firm’s maximum exposure to adverse changes in the value of these interests is the carrying value of $37 million and $32 million as of September 2012 and December 2011, respectively.

2. Constant prepayment rate is included only for positions for which constant prepayment rate is a key assumption in the determination of fair value.

3. The majority of mortgage-backed retained interests are U.S. government agency-issued collateralized mortgage obligations, for which there is no anticipated credit loss. For the remainder of retained interests, the expected credit loss assumptions are reflected in the discount rate.

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Transactions with Affiliated Funds

9 Months Ended

Sep. 30, 2012

Transactions with Affiliated Funds [Abstract]

Transactions with Affiliated Funds

Note 22.

Transactions with Affiliated Funds

The firm has formed numerous nonconsolidated investment funds with third-party investors. As the firm generally acts as the investment manager for these funds, it is entitled to receive management fees and, in certain cases, advisory fees or incentive fees from these funds. Additionally, the firm invests alongside the third-party investors in certain funds.

The tables below present fees earned from affiliated funds, fees receivable from affiliated funds and the aggregate carrying value of the firm’s interests in affiliated funds.

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Fees earned from affiliated funds		$   602	$   663		$1,947	$2,104

	As of
in millions		September 2012	December 2011
Fees receivable from funds		$     622	$     721
Aggregate carrying value of interests in funds		15,095	14,960

As of September 2012 and December 2011, the firm had outstanding loans and guarantees to certain of its funds of $637 million and $289 million, respectively, which are collateralized by certain fund assets. These amounts relate primarily to certain real estate funds for which the firm voluntarily provided financial support to alleviate liquidity constraints during the financial crisis and, more recently, to enable them to fund investment opportunities. As of September 2012 and December 2011, the firm had no outstanding commitments to extend credit to these funds.

The Volcker Rule, as currently drafted, would restrict the firm from providing additional voluntary financial support to these funds after July 2014 (subject to extension by the Federal Reserve Board). As a general matter, in the ordinary course of business, the firm does not expect to provide additional voluntary financial support to these funds; however, in the event that such support is provided, the amount of any such support is not expected to be material. In addition, in the ordinary course of business, the firm may also engage in other activities with these funds, including, among others, securities lending, trade execution, market making, custody, and acquisition and bridge financing. See Note 18 for the firm’s investment commitments related to these funds.

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Earnings Per Common Share

9 Months Ended

Sep. 30, 2012

Earnings Per Common Share [Abstract]

Earnings Per Common Share

Note 21.

Earnings Per Common Share

Basic earnings/(loss) per common share (EPS) is calculated by dividing net earnings/(loss) applicable to common shareholders by the weighted average number of common shares outstanding. Common shares outstanding includes common stock and RSUs for which no future service is required as a condition to the delivery of the underlying common stock. Diluted EPS includes the determinants of basic EPS and, in addition reflects the dilutive effect of the common stock deliverable for stock warrants and options and for RSUs for which future service is required as a condition to the delivery of the underlying common stock.

The table below presents the computations of basic and diluted EPS.

	Three Months Ended September					Nine Months Ended September
in millions, except per share amounts		2012		2011			2012	2011
Numerator for basic and diluted EPS — net earnings/(loss) applicable to common shareholders	$	1,458	$	(428	)	$	4,459	$1,532
Denominator for basic EPS — weighted average number of common shares		491.2		518.2			501.1	530.1
Effect of dilutive securities:
RSUs		12.0		—			10.8	14.0
Stock options and warrants		7.7		—			8.2	22.5
Dilutive potential common shares		19.7		—			19.0	36.5
Denominator for diluted EPS — weighted average number of common shares and dilutive potential common shares		510.9		518.2			520.1	566.6
Basic EPS	$	2.95	$	(0.84	)	$	8.85	$2.84
Diluted EPS		2.85		(0.84	)		8.57	2.70

In the table above, unvested share-based payment awards that have non-forfeitable rights to dividends or dividend equivalents are treated as a separate class of securities in calculating EPS. The impact of applying this methodology was a reduction in basic EPS of $0.02 for the three months ended September 2012 and an increase in basic and diluted loss per common share of $0.01 for the three months ended September 2011, and a reduction in basic EPS of $0.05 for both the nine months ended September 2012 and September 2011.

The diluted EPS computations in the table above do not include the following:

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Number of antidilutive RSUs and common shares underlying antidilutive stock options and warrants		52.4	123.4		52.4	6.4

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Shareholders' Equity (Details 1) (USD $)	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Summary of preferred dividends declared on preferred stock issued
Total preferred stock dividends declared excluding series G	$ 54,000,000	$ 35,000,000	$ 124,000,000
Total preferred stock dividends declared				230,000,000
Series A Preferred Stock [Member]
Summary of preferred dividends declared on preferred stock issued
Preferred stock dividends declared	239.58	239.58	718.74	710.93
Total preferred stock dividends declared	7,000,000	7,000,000	21,000,000	21,000,000
Series B Preferred Stock [Member]
Summary of preferred dividends declared on preferred stock issued
Preferred stock dividends declared	387.50	387.50	1,162.50	1,162.50
Total preferred stock dividends declared	13,000,000	12,000,000	37,000,000	37,000,000
Series C Preferred Stock [Member]
Summary of preferred dividends declared on preferred stock issued
Preferred stock dividends declared	255.56	255.56	766.68	758.34
Total preferred stock dividends declared	2,000,000	2,000,000	6,000,000	6,000,000
Series D Preferred Stock [Member]
Summary of preferred dividends declared on preferred stock issued
Preferred stock dividends declared	255.56	255.56	766.68	758.34
Total preferred stock dividends declared	14,000,000	14,000,000	42,000,000	41,000,000
Series E Preferred Stock [Member]
Summary of preferred dividends declared on preferred stock issued
Preferred stock dividends declared	1,055.56		1,055.56
Total preferred stock dividends declared	18,000,000		18,000,000
Series G Preferred Stock [Member]
Summary of preferred dividends declared on preferred stock issued
Preferred stock dividends declared				2,500.00
Total preferred stock dividends declared				$ 125,000,000

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Interest Income and Interest Expense (Tables)

9 Months Ended

Sep. 30, 2012

Interest Income and Interest Expense [Abstract]

Interest Income and Interest Expense

	Three Months Ended September					Nine Months Ended September
in millions		2012			2011		2012		2011
Interest income
Deposits with banks	$	38		$	32	$	111		$88
Securities borrowed, securities purchased under agreements to resell and federal funds sold  1		(74	)		170		(49	)	572
Financial instruments owned, at fair value		2,324			2,755		7,334		8,218
Other interest 2		341			397		1,121		1,264
Total interest income		2,629			3,354		8,517		10,142
Interest expense
Deposits		106			65		292		205
Securities loaned and securities sold under agreements to repurchase		188			266		615		703
Financial instruments sold, but not yet purchased, at fair value		594			585		1,783		1,844
Short-term borrowings 3		133			150		453		401
Long-term borrowings 3		941			829		2,841		2,471
Other interest 4		(169	)		103		(374	)	391
Total interest expense		1,793			1,998		5,610		6,015
Net interest income	$	836		$	1,356	$	2,907		$4,127

1. Includes rebates paid and interest income on securities borrowed.

2. Includes interest income on customer debit balances and other interest-earning assets.

3. Includes interest on unsecured borrowings and other secured financings.

4. Includes rebates received and interest expense on customer credit balances and other interest-bearing liabilities.

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Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2012

Variable Interest Entities [Abstract]

Non-consolidated Variable Interest Entities

	Nonconsolidated VIEs
	As of September 2012
in millions		Mortgage- backed		Corporate CDOs and CLOs	Real estate, credit- related and other investing	Other asset- backed	Power- related	Investment funds	Total
Assets in VIE		$85,380	2	$22,363	$9,522	$3,626	$537	$2,263	$123,691
Carrying Value of the Firm’s Variable Interests
Assets		5,533		1,206	1,736	249	287	5	9,016
Liabilities		—		34	—	30	—	—	64
Maximum Exposure to Loss in Nonconsolidated VIEs
Retained interests		3,932		37	—	—	—	—	3,969
Purchased interests		1,317		680	—	230	—	—	2,227
Commitments and guarantees 1		—		1	398	—	2	1	402
Derivatives 1		1,994		6,382	—	1,081	—	—	9,457
Loans and investments		42		—	1,736	—	287	5	2,070
Total		$  7,285	2	$  7,100	$2,134	$1,311	$289	$       6	$  18,125
	Nonconsolidated VIEs
	As of December 2011
in millions		Mortgage- backed		Corporate CDOs and CLOs	Real estate, credit- related and other investing	Other asset- backed	Power- related	Investment funds	Total
Assets in VIE		$94,047	2	$20,340	$8,974	$4,593	$519	$2,208	$130,681
Carrying Value of the Firm’s Variable Interests
Assets		7,004		911	1,495	352	289	5	10,056
Liabilities		—		63	3	24	2	—	92
Maximum Exposure to Loss in Nonconsolidated VIEs
Retained interests		5,745		32	—	—	—	—	5,777
Purchased interests		962		368	—	333	—	—	1,663
Commitments and guarantees 1		—		1	373	—	46	—	420
Derivatives 1		2,469		7,529	—	1,221	—	—	11,219
Loans and investments		82		—	1,495	—	288	5	1,870
Total		$  9,258	2	$  7,930	$1,868	$1,554	$334	$       5	$  20,949

1. The aggregate amounts include $3.59 billion and $4.17 billion as of September 2012 and December 2011, respectively, related to guarantees and derivative transactions with VIEs to which the firm transferred assets.

2. Assets in VIE and maximum exposure to loss include $7.11 billion and $2.42 billion, respectively, as of September 2012, and $6.15 billion and $2.62 billion, respectively, as of December 2011, related to CDOs backed by mortgage obligations.

Consolidated variable interest entities

	Consolidated VIEs
	As of September 2012
in millions		Real estate, credit-related and other investing	CDOs, mortgage-backed and other asset-backed	Principal- protected notes	Total
Assets
Cash and cash equivalents		$   286	$  —	$     —	$   286
Cash and securities segregated for regulatory and other purposes		111	—	93	204
Receivables from brokers, dealers and clearing organizations		3	—	—	3
Financial instruments owned, at fair value		2,582	569	170	3,321
Other assets		1,331	—	—	1,331
Total		$4,313	$569	$   263	$5,145
Liabilities
Other secured financings		$   665	$566	$   289	$1,520
Financial instruments sold, but not yet purchased, at fair value		—	—	4	4
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings		—	—	1,963	1,963
Unsecured long-term borrowings		4	—	220	224
Other liabilities and accrued expenses		1,965	—	—	1,965
Total		$2,634	$566	$2,476	$5,676

	Consolidated VIEs
	As of December 2011
in millions		Real estate, credit-related and other investing	CDOs, mortgage-backed and other asset-backed	Principal- protected notes	Total
Assets
Cash and cash equivalents		$   660	$  51	$       1	$   712
Cash and securities segregated for regulatory and other purposes		139	—	—	139
Receivables from brokers, dealers and clearing organizations		4	—	—	4
Receivables from customers and counterparties		—	16	—	16
Financial instruments owned, at fair value		2,369	352	112	2,833
Other assets		1,552	437	—	1,989
Total		$4,724	$856	$   113	$5,693
Liabilities
Other secured financings		$1,418	$298	$3,208	$4,924
Payables to customers and counterparties		—	9	—	9
Financial instruments sold, but not yet purchased, at fair value		—	—	2	2
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings		185	—	1,941	2,126
Unsecured long-term borrowings		4	—	269	273
Other liabilities and accrued expenses		2,046	40	—	2,086
Total		$3,653	$347	$5,420	$9,420

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Interest Income and Interest Expense

9 Months Ended

Sep. 30, 2012

Interest Income and Interest Expense [Abstract]

Interest Income and Interest Expense

Note 23.

Interest Income and Interest Expense

Interest income is recorded on an accrual basis based on contractual interest rates. The table below presents the sources of interest income and interest expense.

	Three Months Ended September					Nine Months Ended September
in millions		2012			2011		2012		2011
Interest income
Deposits with banks	$	38		$	32	$	111		$88
Securities borrowed, securities purchased under agreements to resell and federal funds sold  1		(74	)		170		(49	)	572
Financial instruments owned, at fair value		2,324			2,755		7,334		8,218
Other interest 2		341			397		1,121		1,264
Total interest income		2,629			3,354		8,517		10,142
Interest expense
Deposits		106			65		292		205
Securities loaned and securities sold under agreements to repurchase		188			266		615		703
Financial instruments sold, but not yet purchased, at fair value		594			585		1,783		1,844
Short-term borrowings 3		133			150		453		401
Long-term borrowings 3		941			829		2,841		2,471
Other interest 4		(169	)		103		(374	)	391
Total interest expense		1,793			1,998		5,610		6,015
Net interest income	$	836		$	1,356	$	2,907		$4,127

1. Includes rebates paid and interest income on securities borrowed.

2. Includes interest income on customer debit balances and other interest-earning assets.

3. Includes interest on unsecured borrowings and other secured financings.

4. Includes rebates received and interest expense on customer credit balances and other interest-bearing liabilities.

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Income Taxes

9 Months Ended

Sep. 30, 2012

Income Taxes [Abstract]

Income Taxes

Note 24.

Income Taxes

Provision for Income Taxes

Income taxes are provided for using the asset and liability method under which deferred tax assets and liabilities are recognized for temporary differences between the financial reporting and tax bases of assets and liabilities. The firm reports interest expense related to income tax matters in “Provision for taxes” and income tax penalties in “Other expenses.”

Deferred Income Taxes

Deferred income taxes reflect the net tax effects of temporary differences between the financial reporting and tax bases of assets and liabilities. These temporary differences result in taxable or deductible amounts in future years and are measured using the tax rates and laws that will be in effect when such differences are expected to reverse. Valuation allowances are established to reduce deferred tax assets to the amount that more likely than not will be realized. Tax assets and liabilities are presented as a component of “Other assets” and “Other liabilities and accrued expenses,” respectively.

Unrecognized Tax Benefits

The firm recognizes tax positions in the financial statements only when it is more likely than not that the position will be sustained on examination by the relevant taxing authority based on the technical merits of the position. A position that meets this standard is measured at the largest amount of benefit that will more likely than not be realized on settlement. A liability is established for differences between positions taken in a tax return and amounts recognized in the financial statements.

Regulatory Tax Examinations

The firm is subject to examination by the U.S. Internal Revenue Service (IRS) and other taxing authorities in jurisdictions where the firm has significant business operations, such as the United Kingdom, Japan, Hong Kong, Korea and various states, such as New York. The tax years under examination vary by jurisdiction. The firm believes that during 2012, certain audits have a reasonable possibility of being completed. The firm does not expect completion of these audits to have a material impact on the firm’s financial condition but it may be material to operating results for a particular period, depending, in part, on the operating results for that period.

The table below presents the earliest tax years that remain subject to examination by major jurisdiction.

Jurisdiction	As of September 2012
U.S. Federal 1	2005
New York State and City 2	2004
United Kingdom	2007
Japan 3	2008
Hong Kong	2005
Korea	2008

1. IRS examination of fiscal 2008 through calendar 2010 began during 2011. IRS examination of fiscal 2005, 2006 and 2007 began during 2008. IRS examination of fiscal 2003 and 2004 has been completed, but the liabilities for those years are not yet final.

2. New York State and City examination of fiscal 2004, 2005 and 2006 began in 2008.

3. Japan National Tax Agency examination of fiscal 2005 through 2009 began during the first quarter of 2010. The examinations have been completed, but the liabilities for 2008 and 2009 are not yet final.

All years subsequent to the above remain open to examination by the taxing authorities. The firm believes that the liability for unrecognized tax benefits it has established is adequate in relation to the potential for additional assessments.

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Description of Business

9 Months Ended

Sep. 30, 2012

Description of Business and Basis of Presentation [Abstract]

Description of Business

Note 1.

Description of Business

The Goldman Sachs Group, Inc. (Group Inc.), a Delaware corporation, together with its consolidated subsidiaries (collectively, the firm), is a leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments and high-net-worth individuals. Founded in 1869, the firm is headquartered in New York and maintains offices in all major financial centers around the world.

The firm reports its activities in the following four business segments:

Investment Banking

The firm provides a broad range of investment banking services to a diverse group of corporations, financial institutions, investment funds and governments. Services include advisory assignments with respect to mergers and acquisitions, divestitures, corporate defense activities, risk management, restructurings and spin-offs, and debt and equity underwriting of public offerings and private placements, as well as derivative transactions directly related to these activities.

Institutional Client Services

The firm facilitates client transactions and makes markets in fixed income, equity, currency and commodity products, primarily with institutional clients such as corporations, financial institutions, investment funds and governments. The firm also makes markets and clears client transactions on major stock, options and futures exchanges worldwide and provides financing, securities lending and prime brokerage services to institutional clients.

Investing & Lending

The firm invests in and originates loans to provide financing to clients. These investments and loans are typically longer-term in nature. The firm makes investments, directly and indirectly through funds that the firm manages, in debt securities, loans, public and private equity securities, real estate, consolidated investment entities and power generation facilities.

Investment Management

The firm provides investment management services and offers investment products (primarily through separately managed accounts and commingled vehicles, such as mutual funds and private investment funds) across all major asset classes to a diverse set of institutional and individual clients. The firm also offers wealth advisory services, including portfolio management and financial counseling, and brokerage and other transaction services to high-net-worth individuals and families.

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Business Segments

9 Months Ended

Sep. 30, 2012

Business Segments [Abstract]

Business Segments

Note 25.

Business Segments

Basis of Presentation

In reporting segments, certain of the firm’s business lines have been aggregated where they have similar economic characteristics and are similar in each of the following areas: (i) the nature of the services they provide, (ii) their methods of distribution, (iii) the types of clients they serve and (iv) the regulatory environments in which they operate.

The cost drivers of the firm taken as a whole — compensation, headcount and levels of business activity — are broadly similar in each of the firm’s business segments. Compensation and benefits expenses in the firm’s segments reflect, among other factors, the overall performance of the firm as well as the performance of individual businesses. Consequently, pre-tax margins in one segment of the firm’s business may be significantly affected by the performance of the firm’s other business segments.

The firm allocates assets (including allocations of excess liquidity and cash, secured client financing and other assets), revenues and expenses among the four reportable business segments. Due to the integrated nature of these segments, estimates and judgments are made in allocating certain assets, revenues and expenses. Transactions between segments are based on specific criteria or approximate third-party rates. Total operating expenses include corporate items that have not been allocated to individual business segments. The allocation process is based on the manner in which management views the business of the firm.

Management believes that the following information provides a reasonable representation of each segment’s contribution to consolidated pre-tax earnings/(loss) and total assets.

		For the Three Months Ended or as of September				For the Nine Months Ended or as of September
in millions			2012	2011			2012	2011
Investment Banking	Net revenues		$    1,164	$       781			$    3,521	$    3,498
	Operating expenses		825	541			2,560	2,445
	Pre-tax earnings		$       339	$       240			$       961	$    1,053
	Segment assets		$    1,765	$    2,136			$    1,765	$    2,136
Institutional Client Services	Net revenues 1		$    4,184	$    4,062			$  13,782	$  14,224
	Operating expenses		3,186	2,631			10,016	10,255
	Pre-tax earnings		$       998	$    1,431			$    3,766	$    3,969
	Segment assets		$842,950	$845,055			$842,950	$845,055
Investing & Lending	Net revenues		$    1,804	$   (2,479	)		$    3,918	$    1,270
	Operating expenses		1,002	86			2,216	1,864
	Pre-tax earnings/(loss)		$       802	$   (2,565	)		$    1,702	$     (594)
	Segment assets		$  92,541	$  87,712			$  92,541	$  87,712
Investment Management	Net revenues		$    1,199	$    1,223			$    3,706	$    3,770
	Operating expenses		977	989			3,037	3,112
	Pre-tax earnings		$       222	$       234			$       669	$       658
	Segment assets		$  11,951	$  14,006			$  11,951	$  14,006
Total	Net revenues		$    8,351	$    3,587			$  24,927	$  22,762
	Operating expenses		6,053	4,317			18,033	17,840
	Pre-tax earnings/(loss)		$    2,298	$      (730	)		$    6,894	$    4,922
	Total assets		$949,207	$948,909			$949,207	$948,909

1. Includes $30 million and $31 million for the three months ended September 2012 and September 2011, respectively, and $81 million for both the nine months ended September 2012 and September 2011, of realized gains on available-for-sale securities held in the firm’s insurance subsidiaries.

Total operating expenses in the table above include the following expenses that have not been allocated to the firm’s segments:

Ÿ net provisions for a number of litigation and regulatory proceedings of $62 million and $59 million for the three months ended September 2012 and September 2011, respectively, and $188 million and $128 million for the nine months ended September 2012 and September 2011, respectively;

Ÿ charitable contributions of $12 million and $25 million for the nine months ended September 2012 and September 2011, respectively; and

Ÿ real estate-related exit costs of $1 million and $11 million for the three months ended September 2012 and September 2011, respectively, and $4 million and $11 million for the nine months ended September 2012 and September 2011, respectively. Real estate-related exit costs are included in “Depreciation and amortization” and “Occupancy” in the condensed consolidated statements of earnings.

The tables below present the amounts of net interest income or interest expense included in net revenues, and the amounts of depreciation and amortization expense included in pre-tax earnings.

	Three Months Ended September					Nine Months Ended September
in millions		2012			2011		2012		2011
Investment Banking	$	(4	)	$	—	$	(13	)	$      —
Institutional Client Services		813			1,243		2,799		3,375
Investing & Lending		2			60		9		595
Investment Management		25			53		112		157
Total net interest	$	836		$	1,356	$	2,907		$4,127
	Three Months Ended September					Nine Months Ended September
in millions		2012			2011		2012		2011
Investment Banking	$	36		$	44	$	117		$   133
Institutional Client Services		188			230		559		753
Investing & Lending		119			56		406		318
Investment Management		52			59		155		151
Total depreciation and amortization	$	396	1	$	389	$	1,238	1	$1,355

1. Includes real estate-related exit costs of $1 million for both the three and nine months ended September 2012 that have not been allocated to the firm’s segments.

Geographic Information

Due to the highly integrated nature of international financial markets, the firm manages its businesses based on the profitability of the enterprise as a whole. The methodology for allocating profitability to geographic regions is dependent on estimates and management judgment because a significant portion of the firm’s activities require cross-border coordination in order to facilitate the needs of the firm’s clients.

Geographic results are generally allocated as follows:

Ÿ Investment Banking: location of the client and investment banking team.

Ÿ Institutional Client Services: Fixed Income, Currency and Commodities Client Execution, and Equities (excluding Securities Services): location of the market-making desk; Securities Services: location of the primary market for the underlying security.

Ÿ Investing & Lending: Investing: location of the investment; Lending: location of the client.

Ÿ Investment Management: location of the sales team.

The table below presents the total net revenues and pre-tax earnings/(loss) of the firm by geographic region allocated based on the methodology referred to above, as well as the percentage of total net revenues and pre-tax earnings/(loss) (excluding Corporate) for each geographic region.

	Three Months Ended September									Nine Months Ended September
$ in millions		2012				2011					2012				2011
Net revenues
Americas 1		$5,114		61	%	$2,485		69	%		$14,807		59	%	$14,149		62	%
EMEA 2		2,160		26		1,349		38			6,660		27		5,974		26
Asia 3		1,077		13		(247	)	(7	)		3,460		14		2,639		12
Total net revenues		$8,351		100	%	$3,587		100	%		$24,927		100	%	$22,762		100	%
Pre-tax earnings/(loss)
Americas 1		$1,401		59	%	$     92		N.M.			$  3,943		56	%	$  3,567		70	%
EMEA 2		709		30		107		N.M.			2,279		32		1,678		33
Asia 3		251		11		(859	)	N.M.			876		12		(159	)	(3	)
Subtotal		2,361		100	%	(660	)	100	%		7,098		100	%	5,086		100	%
Corporate 4		(63	)			(70	)				(204	)			(164	)
Total pre-tax earnings/(loss)		$2,298				$  (730	)				$  6,894				$  4,922

1. Substantially all relates to the U.S.

2. EMEA (Europe, Middle East and Africa).

3. Asia also includes Australia and New Zealand.

4. Consists of net provisions for a number of litigation and regulatory proceedings of $62 million and $59 million for the three months ended September 2012 and September 2011, respectively, and $188 million and $128 million for the nine months ended September 2012 and September 2011, respectively; charitable contributions of $12 million and $25 million for the nine months ended September 2012 and September 2011, respectively; and real estate-related exit costs of $1 million and $11 million for the three months ended September 2012 and September 2011, respectively, and $4 million and $11 million for the nine months ended September 2012 and September 2011, respectively.

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Collateralized Agreements and Financings (Details) (USD $)	Sep. 30, 2012	Dec. 31, 2011
Repurchase agreements and securities borrowed and loaned transactions
Securities purchased under agreements to resell and federal funds sold (includes $147,361 and $187,789 at fair value as of September 2012 and December 2011, respectively)	$ 147,361,000,000	$ 187,789,000,000
Securities borrowed (includes $47,986 and $47,621 at fair value as of September 2012 and December 2011, respectively)	165,250,000,000	153,341,000,000
Securities sold under agreements to repurchase, at fair value	166,186,000,000	164,502,000,000
Securities loaned (includes $243 and $107 at fair value as of September 2012 and December 2011, respectively)	13,640,000,000	7,182,000,000
Other Secured Financings
Other Secured Financings Short Term At Fair Value	18,310,000,000	23,659,000,000
Other Secured Financings Short Term At Amortized Cost	2,740,000,000	5,526,000,000
Other Secured Financings Long Term At Fair Value	6,869,000,000	6,360,000,000
Other Secured Financings Long Term At Amortized Cost	1,474,000,000	1,819,000,000
Other secured financings	29,393,000,000	37,364,000,000
Other secured financings collateralized by financial instruments	28,410,000,000	35,872,000,000
Other secured financings collateralized by other assets (primarily real estate and cash)	983,000,000	1,492,000,000
Other Secured Financings by Maturity [Abstract]
Other secured financings, short-term	21,050,000,000	29,185,000,000
2013	771,000,000
2014	4,046,000,000
2015	1,274,000,000
2016	571,000,000
2017	197,000,000
2018-thereafter	1,484,000,000
Total other secured financings (long-term)	8,343,000,000	8,179,000,000
Other secured financings	29,393,000,000	37,364,000,000
Collateral Received And Pledged [Abstract]
Fair value of financial instruments received as collateral by the firm that it was permitted to deliver or repledge	573,711,000,000	622,926,000,000
Financial instruments received as collateral which the firm delivered or repledged	431,090,000,000	454,604,000,000
Financial instruments owned at fair value pledged in connection with repurchase agreements securities lending agreements and other secured financings to counterparties that had the right to deliver or repledge	66,753,000,000	53,989,000,000
Financial instruments owned at fair value pledged in connection with repurchase agreements securities lending agreements and other secured financings to counterparties that did not have right to deliver or repledge	118,630,000,000	110,949,000,000
Other assets (primarily real estate and cash) owned and pledged in connection with other secured financings to counterparties that did not have the right to deliver or repledge	2,603,000,000	3,444,000,000
Collateralized Agreements and Financings (Textuals) [Abstract]
Securities borrowed at fair value	47,986,000,000	47,621,000,000
Securities loaned at fair value	243,000,000	107,000,000
Securities received under resale agreements and securities borrowed transactions segregated to satisfy certain regulatory requirements.	8,210,000,000	20,220,000,000
Nonrecourse obligations included in other secured financings	1,940,000,000	3,140,000,000
Transfers of financial assets accounted for as financings included in other secured financings	6,180,000,000	9,360,000,000
Financial assets collateralizing other secured financings related to failed sales	6,200,000,000	9,510,000,000
Other secured financings collateralized by financial instruments owned	15,580,000,000	14,820,000,000
Other secured financings collateralized by financial instruments received as collateral and repledged	12,830,000,000	21,060,000,000
Long-term Other Secured Financings At Fair Value [Member]
Collateralized Agreements and Financings (Textuals) [Abstract]
Difference between aggregate contractual principal amount of long-term debt instruments for which the fair value option was elected and related fair value	188,000,000	239,000,000
U.S. Dollar [Member]
Other Secured Financings
Other Secured Financings Short Term At Fair Value	13,392,000,000	18,519,000,000
Other Secured Financings Short Term At Amortized Cost	34,000,000	155,000,000
Weighted average interest rate, after giving effect to hedging activities, on other secured financings at amortized cost (short-term)	6.82%	3.85%
Other Secured Financings Long Term At Fair Value	5,462,000,000	4,305,000,000
Other Secured Financings Long Term At Amortized Cost	710,000,000	1,024,000,000
Weighted average interest rate, after giving effect to hedging activities, on other secured financings at amortized cost (long-term)	2.99%	1.88%
Other secured financings	19,598,000,000	24,003,000,000
Other secured financings collateralized by financial instruments	18,990,000,000	23,703,000,000
Other secured financings collateralized by other assets (primarily real estate and cash)	608,000,000	300,000,000
Other Secured Financings by Maturity [Abstract]
Other secured financings	19,598,000,000	24,003,000,000
Non-U.S. Dollar [Member]
Other Secured Financings
Other Secured Financings Short Term At Fair Value	4,918,000,000	5,140,000,000
Other Secured Financings Short Term At Amortized Cost	2,706,000,000	5,371,000,000
Weighted average interest rate, after giving effect to hedging activities, on other secured financings at amortized cost (short-term)	0.10%	0.22%
Other Secured Financings Long Term At Fair Value	1,407,000,000	2,055,000,000
Other Secured Financings Long Term At Amortized Cost	764,000,000	795,000,000
Weighted average interest rate, after giving effect to hedging activities, on other secured financings at amortized cost (long-term)	2.84%	3.28%
Other secured financings	9,795,000,000	13,361,000,000
Other secured financings collateralized by financial instruments	9,420,000,000	12,169,000,000
Other secured financings collateralized by other assets (primarily real estate and cash)	375,000,000	1,192,000,000
Other Secured Financings by Maturity [Abstract]
Other secured financings	$ 9,795,000,000	$ 13,361,000,000

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Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2012

Derivatives and Hedging Activities [Abstract]

Exchange Traded and OTC Derivatives

	As of September 2012			As of December 2011
in millions		Derivative Assets	Derivative Liabilities		Derivative Assets	Derivative Liabilities
Exchange-traded		$  4,628	$  3,921		$  5,880	$  3,172
Over-the-counter		68,201	47,850		74,148	55,281
Total		$72,829	$51,771		$80,028	$58,453

Fair Value of Derivatives on a Gross Basis

	As of September 2012						As of December 2011
in millions, except number of contracts		Derivative Assets		Derivative Liabilities		Number of Contracts		Derivative Assets		Derivative Liabilities		Number of Contracts
Derivatives not accounted for as hedges
Interest rates		$ 614,949		$ 573,931		300,118		$ 624,189		$ 582,608		287,351
Credit		94,970		81,829		355,728		150,816		130,659		362,407
Currencies		73,246		62,854		218,241		88,654		71,736		203,205
Commodities		28,320		29,125		89,291		35,966		38,050		93,755
Equities		58,886		51,097		346,551		64,135		51,928		332,273
Subtotal		870,371		798,836		1,309,929		963,760		874,981		1,278,991
Derivatives accounted for as hedges
Interest rates		23,721		65		1,605		21,981		13		1,125
Currencies		9		60		73		124		21		71
Subtotal		23,730		125		1,678		22,105		34		1,196
Gross fair value of derivatives		$ 894,101		$ 798,961		1,311,607		$ 985,865		$ 875,015		1,280,187
Counterparty netting 1		(717,563	)	(717,563	)			(787,733	)	(787,733	)
Cash collateral netting 2		(103,709	)	(29,627	)			(118,104	)	(28,829	)
Fair value included in financial instruments owned		$   72,829						$   80,028
Fair value included in financial instruments sold, but not yet purchased				$   51,771						$   58,453

1. Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements.

2. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

Fair Value, Derivatives, Measurement Inputs, Disclosure

Level 3 Derivative Product Type	Net Level 3 Assets/(Liabilities)      as of September 2012 (in millions)	Significant Unobservable Inputs of Derivative Pricing Models	Range of Significant Unobservable Inputs as of September 2012
Interest rates	$(483)	Correlation 1 Volatility Basis	49% to 87% 32% to 88% 1 basis point to 39 basis points (bps)
Credit	$6,979	Correlation 1 Credit spreads Recovery rates Basis	5% to 94% 68 bps to 1,781 bps 0% to 95% 1 point to 8 points
Currencies	$351	Correlation 1	65% to 87%
Commodities	$(651)	Volatility Spread per million British Thermal units (MMBTU) of natural gas Price per megawatt hour of power Price per barrel of oil	5% to 66% $(0.86) to $4.50 $13.37 to $71.65 $87.00 to $101.00
Equities	$(577)	Correlation 1 Volatility	46% to 99% 11% to 65%

1. The range of unobservable inputs for correlation across derivative product types (i.e., cross-asset correlation) was (51)% to 66% as of September 2012.

Fair Value of Derivatives by Level

	Derivative Assets at Fair Value as of September 2012
in millions		Level 1	Level 2		Level 3		Cross-Level Netting		Total
Interest rates		$  15	$ 638,393		$     262		$       —		$ 638,670
Credit		—	83,310		11,660		—		94,970
Currencies		—	71,907		1,348		—		73,255
Commodities		—	27,617		703		—		28,320
Equities		62	57,781		1,043		—		58,886
Gross fair value of derivative assets		77	879,008		15,016		—		894,101
Counterparty netting 1		—	(711,084	)	(3,906	)	(2,573	) 3	(717,563	)
Subtotal		$  77	$ 167,924		$11,110		$(2,573	)	$ 176,538
Cash collateral netting 2									(103,709	)
Fair value included in financial instruments owned									$   72,829
	Derivative Liabilities at Fair Value as of September 2012
in millions		Level 1	Level 2		Level 3		Cross-Level Netting		Total
Interest rates		$  79	$ 573,172		$     745		$       —		$ 573,996
Credit		—	77,148		4,681		—		81,829
Currencies		—	61,917		997		—		62,914
Commodities		—	27,771		1,354		—		29,125
Equities		60	49,417		1,620		—		51,097
Gross fair value of derivative liabilities		139	789,425		9,397		—		798,961
Counterparty netting 1		—	(711,084	)	(3,906	)	(2,573	) 3	(717,563	)
Subtotal		$139	$   78,341		$  5,491		$(2,573	)	$   81,398
Cash collateral netting 2									(29,627	)
Fair value included in financial instruments sold, but not yet purchased									$   51,771

1. Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements.

2. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

3. Represents the netting of receivable balances with payable balances for the same counterparty across levels of the fair value hierarchy under enforceable netting agreements.

	Derivative Assets at Fair Value as of December 2011
in millions		Level 1	Level 2		Level 3		Cross-Level Netting		Total
Interest rates		$  33	$ 645,923		$     214		$      —		$ 646,170
Credit		—	137,110		13,706		—		150,816
Currencies		—	86,752		2,026		—		88,778
Commodities		—	35,062		904		—		35,966
Equities		24	62,684		1,427		—		64,135
Gross fair value of derivative assets		57	967,531		18,277		—		985,865
Counterparty netting 1		—	(778,639	)	(6,377	)	(2,717	) 3	(787,733	)
Subtotal		$  57	$ 188,892		$11,900		$(2,717	)	$ 198,132
Cash collateral netting 2									(118,104	)
Fair value included in financial instruments owned									$   80,028
	Derivative Liabilities at Fair Value as of December 2011
in millions		Level 1	Level 2		Level 3		Cross-Level Netting		Total
Interest rates		$  24	$ 582,012		$     585		$      —		$ 582,621
Credit		—	123,253		7,406		—		130,659
Currencies		—	70,573		1,184		—		71,757
Commodities		—	36,541		1,509		—		38,050
Equities		185	49,884		1,859		—		51,928
Gross fair value of derivative liabilities		209	862,263		12,543		—		875,015
Counterparty netting 1		—	(778,639	)	(6,377	)	(2,717	) 3	(787,733	)
Subtotal		$209	$   83,624		$  6,166		$(2,717	)	$   87,282
Cash collateral netting 2									(28,829	)
Fair value included in financial instruments sold, but not yet purchased									$   58,453

1. Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements.

2. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

3. Represents the netting of receivable balances with payable balances for the same counterparty across levels of the fair value hierarchy under enforceable netting agreements.

Fair Value of Derivatives, Level 3 Rollforward

	Level 3 Derivative Assets and Liabilities at Fair Value for the Three Months Ended September 2012
in millions		Asset/ (liability) balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales		Settlements		Transfers into level 3		Transfers out of level 3		Asset/ (liability) balance, end of period
Interest rates — net		$  (353	)	$(24	)	$   49		$    1	$    —		$  (36	)	$  (147	) 3	$  27	4	$  (483	)
Credit — net		6,119		72		(736	)	50	(58	)	(596	)	2,124		4	4	6,979
Currencies — net		192		(8	)	27		4	(7	)	75		61		7	4	351
Commodities — net		(240	)	(38	)	18		74	(431	)	31		(88	) 3	23	4	(651	)
Equities — net		(548	)	(69	)	(68	)	4	(63	)	146		(38	) 3	59	4	(577	)
Total derivatives — net		$5,170		$(67	) 1	$(710	) 1, 2	$133	$(559	)	$(380	)	$1,912		$120		$5,619

1. The aggregate amounts include approximately $(625) million and $(152) million reported in “Market making” and “Other principal transactions,” respectively.

2. Principally resulted from changes in level 2 inputs.

3. Reflects a net transfer to level 3 of derivative liabilities.

4. Reflects a net transfer to level 2 of derivative liabilities.

	Level 3 Derivative Assets and Liabilities at Fair Value for the Nine Months Ended September 2012
in millions		Asset/ (liability) balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales		Settlements		Transfers into level 3		Transfers out of level 3		Asset/ (liability) balance, end of period
Interest rates — net		$  (371	)	$ (58	)	$    (4	)	$    2	$     (11	)	$     (10	)	$    (44	) 3	$   13	4	$  (483	)
Credit — net		6,300		273		(354	)	151	(159	)	(1,418	)	2,265		(79	)	6,979
Currencies — net		842		(18	)	(208	)	13	(10	)	(100	)	95		(263	)	351
Commodities — net		(605	)	(75	)	135		266	(605	)	396		(188	) 3	25	4	(651	)
Equities — net		(432	)	16		(276	)	131	(240	)	186		(15	) 3	53	4	(577	)
Total derivatives — net		$5,734		$138	1	$(707	) 1, 2	$563	$(1,025	)	$   (946	)	$2,113		$(251	)	$5,619

1. The aggregate amounts include approximately $(465) million and $(104) million reported in “Market making” and “Other principal transactions,” respectively.

2. Principally resulted from changes in level 2 inputs.

3. Reflects a net transfer to level 3 of derivative liabilities.

4. Reflects a net transfer to level 2 of derivative liabilities.

	Level 3 Derivative Assets and Liabilities at Fair Value for the Three Months Ended September 2011
in millions		Asset/ (liability) balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Settlements		Net transfers in and/or (out) of level 3		Asset/ (liability) balance, end of period
Interest rates — net		$  (192	)	$ (17	)	$  (124	)	$    6	$       (4)	$     7		$   49		$  (275	)
Credit — net		6,019		117		1,281		269	(671)	(521	)	(479	)	6,015
Currencies — net		1,123		10		30		—	(14)	27		(46	)	1,130
Commodities — net		184		(13	)	(637	)	13	(748)	142		(507	)	(1,566	)
Equities — net		(903	)	44		636		64	(302)	(5	)	38		(428	)
Total derivatives — net		$6,231		$141	1	$1,186	1, 2	$352	$(1,739)	$(350	)	$(945	)	$4,876

1. The aggregate amounts include approximately $1.32 billion and $8 million reported in “Market making” and “Other principal transactions,” respectively.

2. Principally resulted from changes in level 2 inputs.

	Level 3 Derivative Assets and Liabilities at Fair Value for the Nine Months Ended September 2011
in millions		Asset/ (liability) balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales		Settlements		Net transfers in and/or (out) of level 3		Asset/ (liability) balance, end of period
Interest rates — net		$   194		$  (45	)	$  (178	)	$  13	$       (6	)	$      59		$   (312	)	$   (275	)
Credit — net		7,040		123		1,632		319	(873	)	(1,179	)	(1,047	)	6,015
Currencies — net		1,098		(17	)	(210	)	28	(18	)	6		243		1,130
Commodities — net		220		(222	)	(785	)	129	(800	)	358		(466	)	(1,566	)
Equities — net		(990	)	65		734		306	(519	)	(10	)	(14	)	(428	)
Total derivatives — net		$7,562		$  (96	) 1	$1,193	1, 2	$795	$(2,216	)	$   (766	)	$(1,596	)	$ 4,876

1. The aggregate amounts include approximately $1.10 billion and $(7) million reported in “Market making” and “Other principal transactions,” respectively.

2. Principally resulted from changes in level 2 inputs.

Bifurcated Embedded Derivatives

	As of
in millions, except number of contracts		September 2012		December 2011
Fair value of assets		$ 342		$422
Fair value of liabilities		490		304
Net asset/(liability)		$(148	)	$118
Number of contracts		399		333

OTC Derivatives by Product Type and Tenor

in millions	OTC Derivatives as of September 2012
Assets Product Type	0 - 12 Months		1 - 5 Years		5 Years or Greater		Total
Interest rates	$11,466		$29,659		$  81,929		$ 123,054
Credit	1,692		13,386		8,909		23,987
Currencies	8,116		8,432		13,026		29,574
Commodities	5,012		4,617		368		9,997
Equities	4,907		7,989		7,399		20,295
Netting across product types  1	(2,983	)	(5,976	)	(5,637	)	(14,596	)
Subtotal	$28,210		$58,107		$105,994		192,311
Cross maturity netting 2							(20,401	)
Cash collateral netting 3							(103,709	)
Total							$   68,201
Liabilities Product Type	0 - 12 Months		1 - 5 Years		5 Years or Greater		Total
Interest rates	$  6,448		$18,382		$  33,569		$   58,399
Credit	593		7,030		3,224		10,847
Currencies	6,815		5,254		7,142		19,211
Commodities	3,368		5,552		2,229		11,149
Equities	3,415		5,314		4,139		12,868
Netting across product types  1	(2,983	)	(5,976	)	(5,637	)	(14,596	)
Subtotal	$17,656		$35,556		$  44,666		97,878
Cross maturity netting 2							(20,401	)
Cash collateral netting 3							(29,627	)
Total							$   47,850

1. Represents the netting of receivable balances with payable balances for the same counterparty across product types within a tenor category under enforceable netting agreements. Receivable and payable balances with the same counterparty in the same product type and tenor category are netted within such product type and tenor category.

2. Represents the netting of receivable balances with payable balances for the same counterparty across tenor categories under enforceable netting agreements.

3. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

in millions	OTC Derivatives as of December 2011
Assets Product Type		0 - 12 Months		1 - 5 Years		5 Years or Greater		Total
Interest rates		$10,931		$32,194		$  82,480		$ 125,605
Credit		3,054		15,468		13,687		32,209
Currencies		11,253		11,592		16,023		38,868
Commodities		5,286		5,931		147		11,364
Equities		6,663		7,768		7,468		21,899
Netting across product types 1		(3,071	)	(6,033	)	(6,027	)	(15,131	)
Subtotal		$34,116		$66,920		$113,778		214,814
Cross maturity netting 2								(22,562	)
Cash collateral netting 3								(118,104	)
Total								$   74,148
Liabilities Product Type		0 - 12 Months		1 - 5 Years		5 Years or Greater		Total
Interest rates		$  5,787		$18,607		$  37,739		$   62,133
Credit		1,200		6,957		3,894		12,051
Currencies		9,826		5,514		6,502		21,842
Commodities		6,322		5,174		2,727		14,223
Equities		3,290		4,018		4,246		11,554
Netting across product types 1		(3,071	)	(6,033	)	(6,027	)	(15,131	)
Subtotal		$23,354		$34,237		$  49,081		106,672
Cross maturity netting 2								(22,562	)
Cash collateral netting 3								(28,829	)
Total								$   55,281

1. Represents the netting of receivable balances with payable balances for the same counterparty across product types within a tenor category under enforceable netting agreements. Receivable and payable balances with the same counterparty in the same product type and tenor category are netted within such product type and tenor category.

2. Represents the netting of receivable balances with payable balances for the same counterparty across tenor categories under enforceable netting agreements.

3. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

Derivatives with Credit-related Contingent Features

	As of
in millions		September 2012	December 2011
Net derivative liabilities under bilateral agreements		$29,731	$35,066
Collateral posted		25,512	29,002
Additional collateral or termination payments for a one-notch downgrade		1,397	1,303
Additional collateral or termination payments for a two-notch downgrade		2,698	2,183

Credit Derivatives

	Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor					Maximum Payout/Notional Amount of Purchased Credit Derivatives					Fair Value of Written Credit Derivatives
$ in millions		0 - 12 Months	1 - 5 Years	5 Years or Greater	Total		Offsetting Purchased Credit Derivatives	1	Other Purchased Credit Derivatives	2		Asset	Liability	Net Asset/ (Liability)
As of September 2012
Credit spread on underlying (basis points)
0-250		$378,059	$   919,259	$153,110	$1,450,428		$1,357,304		$197,320			$25,629	$  10,001	$ 15,628
251-500		17,581	169,661	48,737	235,979		214,043		24,678			3,870	12,055	(8,185	)
501-1,000		12,677	65,288	12,185	90,150		86,341		6,510			1,086	5,768	(4,682	)
Greater than 1,000		16,997	61,631	7,429	86,057		72,992		18,664			496	24,540	(24,044	)
Total		$425,314	$1,215,839	$221,461	$1,862,614		$1,730,680		$247,172			$31,081	$  52,364	$(21,283	)
As of December 2011
Credit spread on underlying (basis points)
0-250		$282,851	$   794,193	$141,688	$1,218,732		$1,122,296		$180,316			$17,572	$  16,907	$      665
251-500		42,682	269,687	69,864	382,233		345,942		47,739			4,517	20,810	(16,293	)
501-1,000		29,377	140,389	21,819	191,585		181,003		23,176			138	15,398	(15,260	)
Greater than 1,000		30,244	114,103	22,995	167,342		147,614		28,734			512	57,201	(56,689	)
Total		$385,154	$1,318,372	$256,366	$1,959,892		$1,796,855		$279,965			$22,739	$110,316	$(87,577	)

1. Offsetting purchased credit derivatives represent the notional amount of purchased credit derivatives to the extent they economically hedge written credit derivatives with identical underlyings.

2. This purchased protection represents the notional amount of purchased credit derivatives in excess of the notional amount included in “Offsetting Purchased Credit Derivatives.”

Gain (Loss) from interest rate hedges and related hedged borrowings and bank deposits

	Three Months Ended September					Nine Months Ended September
in millions		2012		2011			2012		2011
Interest rate hedges		$(549	)	$ 6,654			$   (995	)	$ 4,832
Hedged borrowings and bank deposits		102		(6,969	)		(280	)	(6,056	)
Hedge ineffectiveness 1		(447	)	(315	)		(1,275	)	(1,224	)

1. Primarily consisted of amortization of prepaid credit spreads resulting from the passage of time.

Gains and Losses on Net Investment Hedges

	Three Months Ended September					Nine Months Ended September
in millions		2012		2011			2012		2011
Currency hedges		$(192	)	$ 513			$(195	)	$ 110
Foreign currency-denominated debt		(73	)	(130	)		40		(142	)

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Regulation and Capital Adequacy (Tables)

9 Months Ended

Sep. 30, 2012

Regulation and Capital Adequacy [Abstract]

Capital Ratios

	As of
$ in millions		September 2012		December 2011
Tier 1 capital		$  65,230		$  63,262
Tier 2 capital		$  13,425		$  13,881
Total capital		$  78,655		$  77,143
Risk-weighted assets		$435,331		$457,027
Tier 1 capital ratio		15.0	%	13.8	%
Total capital ratio		18.1	%	16.9	%
Tier 1 leverage ratio		7.2	%	7.0	%

Capital Ratios - Bank

	As of
$ in millions		September 2012		December 2011
Tier 1 capital		$  20,333		$  19,251
Tier 2 capital		$         33		$           6
Total capital		$  20,366		$  19,257
Risk-weighted assets		$112,922		$112,824
Tier 1 capital ratio		18.0	%	17.1	%
Total capital ratio		18.0	%	17.1	%
Tier 1 leverage ratio		17.8	%	18.5	%

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Derivatives and Hedging Activities (Details 3) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Jun. 30, 2012	Dec. 31, 2011
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	$ 651,647	$ 651,160	$ 651,312
Total financial liabilities at fair value	381,934	380,087	388,669
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	415,293		364,206
Financial instruments sold, but not yet purchased, at fair value	144,179		145,013
Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	183,205	163,712	136,780
Total financial liabilities at fair value	80,843	86,453	75,557
Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	526,914	552,082	587,416
Total financial liabilities at fair value	309,289	303,084	319,160
Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	47,810	46,505	47,937
Total financial liabilities at fair value	24,002	23,127	25,498
Interest Rate Contract [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	638,670		646,170
Total financial liabilities at fair value	573,996		582,621
Interest Rate Contract [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	15		33
Total financial liabilities at fair value	79		24
Interest Rate Contract [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	638,393		645,923
Total financial liabilities at fair value	573,172		582,012
Interest Rate Contract [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	262		214
Total financial liabilities at fair value	745		585
Credit Risk Contract [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	94,970		150,816
Total financial liabilities at fair value	81,829		130,659
Credit Risk Contract [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Total financial liabilities at fair value	0		0
Credit Risk Contract [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	83,310		137,110
Total financial liabilities at fair value	77,148		123,253
Credit Risk Contract [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	11,660		13,706
Total financial liabilities at fair value	4,681		7,406
Foreign Exchange Contract [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	73,255		88,778
Total financial liabilities at fair value	62,914		71,757
Foreign Exchange Contract [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Total financial liabilities at fair value	0		0
Foreign Exchange Contract [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	71,907		86,752
Total financial liabilities at fair value	61,917		70,573
Foreign Exchange Contract [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	1,348		2,026
Total financial liabilities at fair value	997		1,184
Commodity Contract [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	28,320		35,966
Total financial liabilities at fair value	29,125		38,050
Commodity Contract [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Total financial liabilities at fair value	0		0
Commodity Contract [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	27,617		35,062
Total financial liabilities at fair value	27,771		36,541
Commodity Contract [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	703		904
Total financial liabilities at fair value	1,354		1,509
Equity Contract [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	58,886		64,135
Total financial liabilities at fair value	51,097		51,928
Equity Contract [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	62		24
Total financial liabilities at fair value	60		185
Equity Contract [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	57,781		62,684
Total financial liabilities at fair value	49,417		49,884
Equity Contract [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	1,043		1,427
Total financial liabilities at fair value	1,620		1,859
Gross Fair Value of Derivative [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	894,101		985,865
Total financial liabilities at fair value	798,961		875,015
Gross Fair Value of Derivative [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	77		57
Total financial liabilities at fair value	139		209
Gross Fair Value of Derivative [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	879,008		967,531
Total financial liabilities at fair value	789,425		862,263
Gross Fair Value of Derivative [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	15,016		18,277
Total financial liabilities at fair value	9,397		12,543
Derivative Net Of Counterparty Netting [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	176,538		198,132
Total financial liabilities at fair value	81,398		87,282
Derivative Net Of Counterparty Netting [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	77		57
Total financial liabilities at fair value	139		209
Derivative Net Of Counterparty Netting [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	167,924		188,892
Total financial liabilities at fair value	78,341		83,624
Derivative Net Of Counterparty Netting [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	11,110		11,900
Total financial liabilities at fair value	5,491		6,166
Cross-Level Netting [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	(2,573)		(2,717)
Total financial liabilities at fair value	(2,573)		(2,717)
Cash collateral netting [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	(103,709)		(118,104)
Total financial liabilities at fair value	(29,627)		(28,829)
Counterparty Netting [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	(717,563)		(787,733)
Total financial liabilities at fair value	(717,563)		(787,733)
Counterparty Netting [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Total financial liabilities at fair value	0		0
Counterparty Netting [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	(711,084)		(778,639)
Total financial liabilities at fair value	(711,084)		(778,639)
Counterparty Netting [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	(3,906)		(6,377)
Total financial liabilities at fair value	$ (3,906)		$ (6,377)

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Condensed Consolidated Statements of Earnings (Unaudited) (USD $) In Millions, except Per Share data, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Revenues
Investment banking	$ 1,168	$ 781	$ 3,534	$ 3,498
Investment management	1,147	1,133	3,518	3,495
Commissions and fees	748	1,056	2,407	2,969
Market making	2,650	1,800	8,652	7,998
Other principal transactions	1,802	(2,539)	3,909	675
Total non-interest revenues	7,515	2,231	22,020	18,635
Interest income	2,629	3,354	8,517	10,142
Interest expense	1,793	1,998	5,610	6,015
Net interest income	836	1,356	2,907	4,127
Net revenues, including net interest income	8,351	3,587	24,927	22,762
Operating expenses
Compensation and benefits	3,675	1,578	10,968	10,015
Brokerage, clearing, exchange and distribution fees	547	668	1,658	1,903
Market development	123	140	369	502
Communications and technology	190	209	588	617
Depreciation and amortization	396	389	1,238	1,351
Occupancy	217	262	643	781
Professional fees	205	253	652	749
Insurance reserves	153	197	431	402
Other expenses	547	621	1,486	1,520
Total non-compensation expenses	2,378	2,739	7,065	7,825
Total operating expenses	6,053	4,317	18,033	17,840
Pre-tax earnings/(loss)	2,298	(730)	6,894	4,922
Provision/(benefit) for taxes	786	(337)	2,311	1,493
Net earnings/(loss)	1,512	(393)	4,583	3,429
Preferred stock dividends	54	35	124	1,897
Net earnings/(loss) applicable to common shareholders	$ 1,458	$ (428)	$ 4,459	$ 1,532
Earnings/(loss) per common share
Basic	$ 2.95	$ (0.84)	$ 8.85	$ 2.84
Diluted	$ 2.85	$ (0.84)	$ 8.57	$ 2.70
Dividends declared per common share	$ 0.46	$ 0.35	$ 1.27	$ 1.05
Average common shares outstanding
Basic	491.2	518.2	501.1	530.1
Diluted	510.9	518.2	520.1	566.6

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Other Assets (Tables)

9 Months Ended

Sep. 30, 2012

Other Assets [ Abstract]

Other Assets

	As of
in millions		September 2012	December 2011
Property, leasehold improvements and equipment  1		$  8,470	$  8,697
Goodwill and identifiable intangible assets  2		5,296	5,468
Income tax-related assets 3		5,426	5,017
Equity-method investments 4		518	664
Miscellaneous receivables and other  5		4,014	3,306
Total		$23,724	$23,152

1. Net of accumulated depreciation and amortization of $9.02 billion and $8.46 billion as of September 2012 and December 2011, respectively.

2. See Note 13 for further information about goodwill and identifiable intangible assets.

3. See Note 24 for further information about income taxes.

4. Excludes investments accounted for at fair value under the fair value option where the firm would otherwise apply the equity method of accounting of $4.71 billion and $4.17 billion as of September 2012 and December 2011, respectively, which are included in “Financial instruments owned, at fair value.” The firm has generally elected the fair value option for such investments acquired after the fair value option became available.

5. Includes $460 million of assets held for sale as of September 2012.

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Long-Term Borrowings (Details 3) (USD $)	9 Months Ended	12 Months Ended
	Sep. 30, 2012	Dec. 31, 2011
Unsecured long term borrowings after hedging
Fixed rate obligations at fair value	$ 65,000,000	$ 76,000,000
Fixed rate obligations at amortized cost	25,981,000,000	28,773,000,000
Floating rate obligations at fair value	12,813,000,000	17,086,000,000
Floating rate obligations at amortized cost	129,019,000,000	127,610,000,000
Unsecured long-term borrowings	167,878,000,000	173,545,000,000
Subordinated Borrowings
Long-term subordinated debt outstanding, par amount	14,501,000,000	14,310,000,000
Long-term junior subordinated debt, par amount	2,835,000,000	5,085,000,000
Total subordinated Long-term Borrowings, par amount	17,336,000,000	19,395,000,000
Long-term subordinated debt outstanding	17,512,000,000	17,362,000,000
Long-term junior subordinated debt	4,284,000,000	6,533,000,000
Total subordinated Long-term Borrowings	21,796,000,000	23,895,000,000
Effective weighted average interest rate of long-term subordinated debt, after hedging	4.20%	4.39%
Effective weighted average interest rate of long-term junior subordinated debt, after hedging	2.81%	2.43%
Effective weighted average interest rate on long-term subordinated borrowings, after hedging	3.97%	3.87%
Long-term Borrowings (Textuals) [Abstract]
The latest year through which the firm's unsecured long-term borrowings extend	2061
Amount related to interest rate hedges on certain unsecured long-term borrowings	11,200,000,000
2013	102,000,000
2014	655,000,000
2015	594,000,000
2016	1,230,000,000
2017	1,380,000,000
2018 and thereafter	7,240,000,000
Percentage increase in the carrying value of total unsecured long-term borrowings for which the firm did not elect the fair value option due to the change in the firm's credit spreads	less than 1%
Percentage reduction in the carrying value of total unsecured long-term borrowings for which the firm did not elect the fair value option due to the change in the firm's credit spreads		less than 4%
Effective weighted average interest rates for unsecured long-term borrowings, after hedging - total	2.48%	2.59%
Effective weighted average interest rates for unsecured long-term borrowings, after hedging fixed rate obligations	5.12%	5.18%
Effective weighted average interest rates for unsecured long-term borrowings, after hedging - floating rate obligations	1.98%	2.03%
Maturity date range start for long-term other subordinated debt	2015	2017
Maturity date range end for long-term other subordinated debt	2038	2038
Junior subordinated debt issued to Goldman Sachs Capital II and Goldman Sachs Capital III (APEX Trusts)	2,250,000,000
Guaranteed perpetual Normal Automatic Preferred Enhanced Capital Securities (APEX) issued to third parties by the APEX Trusts	2,250,000,000
Contract between Group Inc and the APEX Trusts to sell Group Inc's Perpetual non-cumulative preferred stock	2,250,000,000
Unsecured Long-term Borrowings At Fair Value [Member]
Long-term Borrowings (Textuals) [Abstract]
Difference between aggregate contractual principal amount of long-term debt instruments for which the fair value option was elected and related fair value	(159,000,000)	693,000,000
Goldman Sachs Capital I [Member]
Long-term Borrowings (Textuals) [Abstract]
Junior subordinated debentures issued to Goldman Sachs Capital I (Trust)	2,840,000,000
Common beneficial interests issued to Group Inc.	85,000,000
Guaranteed preferred beneficial interests to third parties	2,750,000,000
Interest Rate of Junior Subordinated Debentures issued to Trust, Fixed	6.345%
Maturity date of Junior Subordinated Debentures issued to Trust	Feb. 15, 2034
Murray Street Investment Trust I [Member]
Long-term Borrowings (Textuals) [Abstract]
Junior subordinated debt sold to Murray Street Investment Trust I (Murray Street Trust) by Goldman Sachs Capital II	1,750,000,000
Interest Rate of Junior Subordinated Debt held by Murray Street Trust, Fixed	4.647%
Maturity date of Junior Subordinated Debt held by Murray Street Trust	Mar. 09, 2017
Vesey Street Investment Trust I [Member]
Long-term Borrowings (Textuals) [Abstract]
Junior subordinated debt sold to Vesey Street Investment Trust I (Vesey Street Trust) by Goldman Sachs Capital III	500,000,000
Interest Rate of Junior Subordinated Debt held by Vesey Street Investment Trust I (Vesey Street Trust), Fixed	4.404%
Maturity date of Junior Subordinated Debt held by Vesey Street Investment Trust I (Vesey Street Trust)	Sep. 01, 2016
The 2012 Trusts [Member]
Long-term Borrowings (Textuals) [Abstract]
Senior guaranteed trust securities issued by the Murray Street Trust and Vesey Street Trust (together, the 2012 Trusts)	2,250,000,000
Junior subordinated debt held by the 2012 Trusts	2,250,000,000
U.S. Dollar [Member]
Unsecured long term borrowings after hedging
Unsecured long-term borrowings	110,981,000,000	107,494,000,000
Long-term Borrowings (Textuals) [Abstract]
Fixed interest rate debt obligations interest rates range, minimum	0.20%	0.10%
Fixed interest rate debt obligations interest rates range, maximum	10.04%	10.04%
Weighted average interest rates for fixed rate unsecured long-term borrowings	5.54%	5.62%
Non-U.S. Dollar [Member]
Unsecured long term borrowings after hedging
Unsecured long-term borrowings	$ 56,897,000,000	$ 66,051,000,000
Long-term Borrowings (Textuals) [Abstract]
Fixed interest rate debt obligations interest rates range, minimum	0.10%	0.85%
Fixed interest rate debt obligations interest rates range, maximum	14.85%	14.85%
Weighted average interest rates for fixed rate unsecured long-term borrowings	4.71%	4.75%

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Condensed Consolidated Statements of Changes in Shareholders Equity (Unaudited) (USD $) In Millions	Total	Preferred stock	Common stock	Restricted stock units and employee stock options	Additional paid-in capital	Retained earnings	Accumulated other comprehensive income/(loss)	Stock held in treasury, at cost
Balance at Dec. 31, 2010		$ 6,957	$ 8	$ 7,706	$ 42,103	$ 57,163	$ (286)	$ (36,295)
Issued					103
Repurchased		(3,857)
Issuance and amortization of restricted stock units and employee stock options				2,863
Delivery of common stock underlying restricted stock units				(4,791)
Forfeiture of restricted stock units and employee stock options				(93)
Exercise of employee stock options				(4)
Delivery of common stock underlying share-based awards					5,160
Cancellation of restricted stock units in satisfaction of withholding tax requirements					(1,911)
Excess net tax benefit/(provision) related to share-based awards					138
Cash settlement of share-based compensation					(40)
Net earnings						4,442
Dividends and dividend equivalents declared on common stock and restricted stock units						(769)
Dividends on preferred stock						(2,002)
Other comprehensive income/(loss)	(230)						(230)
Repurchased								(6,051)
Reissued								65
Balance at Dec. 31, 2011	70,379	3,100	8	5,681	45,553	58,834	(516)	(42,281)
Issued		2,250			0
Repurchased		0
Issuance and amortization of restricted stock units and employee stock options				1,134
Delivery of common stock underlying restricted stock units				(2,624)
Forfeiture of restricted stock units and employee stock options				(81)
Exercise of employee stock options				(1)
Delivery of common stock underlying share-based awards					2,741
Cancellation of restricted stock units in satisfaction of withholding tax requirements					(947)
Excess net tax benefit/(provision) related to share-based awards					(48)
Cash settlement of share-based compensation					(1)
Net earnings	4,583					4,583
Dividends and dividend equivalents declared on common stock and restricted stock units						(655)
Dividends on preferred stock						(124)
Other comprehensive income/(loss)	134						134
Repurchased								(3,119)
Reissued								66
Balance at Sep. 30, 2012	$ 73,687	$ 5,350	$ 8	$ 4,109	$ 47,298	$ 62,638	$ (382)	$ (45,334)

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Long-Term Borrowings (Details 1) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Unsecured Long-Term Borrowings
Fixed rate obligations	$ 125,611	$ 122,627
Floating rate obligations	42,267	50,918
Unsecured long-term borrowings	167,878	173,545
U.S. Dollar [Member]
Unsecured Long-Term Borrowings
Fixed rate obligations	89,700	84,058
Floating rate obligations	21,281	23,436
Unsecured long-term borrowings	110,981	107,494
Non-U.S. Dollar [Member]
Unsecured Long-Term Borrowings
Fixed rate obligations	35,911	38,569
Floating rate obligations	20,986	27,482
Unsecured long-term borrowings	$ 56,897	$ 66,051

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Credit Concentrations (Tables)

9 Months Ended

Sep. 30, 2012

Credit Concentrations [Abstract]

Credit concentration, Government and Federal Agency Obligations

	As of
$ in millions		September 2012		December 2011
U.S. government and federal agency obligations  1		$116,426		$103,468
% of total assets		12.3	%	11.2	%
Non-U.S. government and agency obligations  1, 2		$  62,952		$  49,025
% of total assets		6.6	%	5.3	%

1. Included in “Financial instruments owned, at fair value” and “Cash and securities segregated for regulatory and other purposes.”

2. Principally related to Germany, Japan and the United Kingdom as of both September 2012 and December 2011.

Credit concentration, Resale Agreements and Securities Borrowed

	As of
in millions		September 2012	December 2011
U.S. government and federal agency obligations		$69,330	$  94,603
Non-U.S. government and agency obligations  1		90,930	110,178

1. Principally consisting of securities issued by the governments of Germany and France.

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Shareholders' Equity (Details) (USD $) In Millions, except Share data, unless otherwise specified	9 Months Ended
	Sep. 30, 2012
Summary of perpetual preferred stock issued and outstanding
Shares Issued	146,500
Shares Authorized	207,500
Stock Outstanding	146,498
Redemption Value	$ 5,350
Series A Preferred Stock [Member]
Summary of perpetual preferred stock issued and outstanding
Shares Issued	30,000
Shares Authorized	50,000
Stock Outstanding	29,999
Dividend Rate	3 month LIBOR + 0.75%, with floor of 3.75% per annum
Redemption Value	750
Series B Preferred Stock [Member]
Summary of perpetual preferred stock issued and outstanding
Shares Issued	32,000
Shares Authorized	50,000
Stock Outstanding	32,000
Dividend Rate	6.20% per annum
Redemption Value	800
Series C Preferred Stock [Member]
Summary of perpetual preferred stock issued and outstanding
Shares Issued	8,000
Shares Authorized	25,000
Stock Outstanding	8,000
Dividend Rate	3 month LIBOR + 0.75%, with floor of 4.00% per annum
Redemption Value	200
Series D Preferred Stock [Member]
Summary of perpetual preferred stock issued and outstanding
Shares Issued	54,000
Shares Authorized	60,000
Stock Outstanding	53,999
Dividend Rate	3 month LIBOR + 0.67%, with floor of 4.00% per annum
Redemption Value	1,350
Series E Preferred Stock [Member]
Summary of perpetual preferred stock issued and outstanding
Shares Issued	17,500
Shares Authorized	17,500
Stock Outstanding	17,500
Dividend Rate	3 month LIBOR + 0.77%, with floor of 4.00% per annum
Redemption Value	1,750
Series F Preferred Stock [Member]
Summary of perpetual preferred stock issued and outstanding
Shares Issued	5,000
Shares Authorized	5,000
Stock Outstanding	5,000
Dividend Rate	3 month LIBOR + 0.77%, with floor of 4.00% per annum
Redemption Value	$ 500

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Subsequent Event

9 Months Ended

Sep. 30, 2012

Subsequent Event [Abstract]

Subsequent Event

Note 28.

Subsequent Event

On October 15, 2012, the firm completed the sale of its hedge fund administration business to State Street Corporation for approximately $515 million and will recognize a pre-tax gain of approximately $500 million during the fourth quarter of 2012. The historical operating results of the hedge fund administration business were not material to the firm.

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Cash Instruments (Details 2) (USD $) In Millions, unless otherwise specified	3 Months Ended	9 Months Ended
	Sep. 30, 2012	Sep. 30, 2012
Fair Value, Assets and Liabilities, Transfers
Transfers of cash instruments from level 1 to level 2	$ 205	$ 2,020
Transfers of cash instruments from level 2 to level 1		427
Non-U.S. government and agency obligations [Member]
Fair Value, Assets and Liabilities, Transfers
Transfers of cash instruments from level 1 to level 2	118	1,190
Transfers of cash instruments from level 2 to level 1		225
Equities and convertible debentures [Member]
Fair Value, Assets and Liabilities, Transfers
Transfers of cash instruments from level 1 to level 2	87	832
Transfers of cash instruments from level 2 to level 1	$ 261	$ 182

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Short-Term Borrowings

9 Months Ended

Sep. 30, 2012

Short-Term Borrowings [Abstract]

Short-Term Borrowings

Note 15.

Short-Term Borrowings

Short-term borrowings were comprised of the following:

	As of
in millions		September 2012	December 2011
Other secured financings (short-term)		$21,050	$29,185
Unsecured short-term borrowings		47,271	49,038
Total		$68,321	$78,223

See Note 9 for further information about other secured financings.

Unsecured short-term borrowings include the portion of unsecured long-term borrowings maturing within one year of the financial statement date and unsecured long-term borrowings that are redeemable within one year of the financial statement date at the option of the holder.

The firm accounts for promissory notes, commercial paper and certain hybrid financial instruments at fair value under the fair value option. See Note 8 for further information about unsecured short-term borrowings that are accounted for at fair value. Short-term borrowings that are not recorded at fair value are recorded based on the amount of cash received plus accrued interest, and such amounts approximate fair value due to the short-term nature of the obligations. While these short-term borrowings are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these borrowings been included in the firm’s fair value hierarchy, substantially all would have been classified in level 2 as of September 2012.

The table below presents unsecured short-term borrowings.

	As of
$ in millions		September 2012		December 2011
Current portion of unsecured long-term borrowings  1		$28,575		$28,836
Hybrid financial instruments		12,278		11,526
Promissory notes		151		1,328
Commercial paper		359		1,491
Other short-term borrowings		5,908		5,857
Total		$47,271		$49,038
Weighted average interest rate 2		1.63	%	1.89	%

1. As of September 2012, no borrowings guaranteed by the Federal Deposit Insurance Corporation (FDIC) under the Temporary Liquidity Guarantee Program (TLGP) were outstanding and the program had expired for new issuances. Includes $8.53 billion as of December 2011, guaranteed by the FDIC under the TLGP.

2. The weighted average interest rates for these borrowings include the effect of hedging activities and exclude financial instruments accounted for at fair value under the fair value option. See Note 7 for further information about hedging activities.

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Significant Accounting Policies (Policies)

9 Months Ended

Sep. 30, 2012

Significant Accounting Policies [Abstract]

Consolidation, Policy

Consolidation

The firm consolidates entities in which the firm has a controlling financial interest. The firm determines whether it has a controlling financial interest in an entity by first evaluating whether the entity is a voting interest entity or a variable interest entity (VIE).

Voting Interest Entities. Voting interest entities are entities in which (i) the total equity investment at risk is sufficient to enable the entity to finance its activities independently and (ii) the equity holders have the power to direct the activities of the entity that most significantly impact its economic performance, the obligation to absorb the losses of the entity and the right to receive the residual returns of the entity. The usual condition for a controlling financial interest in a voting interest entity is ownership of a majority voting interest. If the firm has a majority voting interest in a voting interest entity, the entity is consolidated.

Variable Interest Entities. A VIE is an entity that lacks one or more of the characteristics of a voting interest entity. The firm has a controlling financial interest in a VIE when the firm has a variable interest or interests that provide it with (i) the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. See Note 11 for further information about VIEs.

Equity-Method Investments. When the firm does not have a controlling financial interest in an entity but can exert significant influence over the entity’s operating and financial policies, the investment is accounted for either (i) under the equity method of accounting or (ii) at fair value by electing the fair value option available under U.S. GAAP. Significant influence generally exists when the firm owns 20% to 50% of the entity’s common stock or in-substance common stock.

In general, the firm accounts for investments acquired subsequent to November 24, 2006, when the fair value option became available, at fair value. In certain cases, the firm applies the equity method of accounting to new investments that are strategic in nature or closely related to the firm’s principal business activities, when the firm has a significant degree of involvement in the cash flows or operations of the investee or when cost-benefit considerations are less significant. See Note 12 for further information about equity-method investments.

Investment Funds. The firm has formed numerous investment funds with third-party investors. These funds are typically organized as limited partnerships or limited liability companies for which the firm acts as general partner or manager. Generally, the firm does not hold a majority of the economic interests in these funds. These funds are usually voting interest entities and generally are not consolidated because third-party investors typically have rights to terminate the funds or to remove the firm as general partner or manager. Investments in these funds are included in “Financial instruments owned, at fair value.” See Notes 6, 18 and 22 for further information about investments in funds.

Consolidation, Variable Interest Entity, Policy

Variable Interest Entities. A VIE is an entity that lacks one or more of the characteristics of a voting interest entity. The firm has a controlling financial interest in a VIE when the firm has a variable interest or interests that provide it with (i) the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. See Note 11 for further information about VIEs.

The enterprise with a controlling financial interest in a VIE is known as the primary beneficiary and consolidates the VIE. The firm determines whether it is the primary beneficiary of a VIE by performing an analysis that principally considers:

Ÿ which variable interest holder has the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance;

Ÿ which variable interest holder has the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE;

Ÿ the VIE’s purpose and design, including the risks the VIE was designed to create and pass through to its variable interest holders;

Ÿ the VIE’s capital structure;

Ÿ the terms between the VIE and its variable interest holders and other parties involved with the VIE; and

Ÿ related-party relationships.

The firm reassesses its initial evaluation of whether an entity is a VIE when certain reconsideration events occur. The firm reassesses its determination of whether it is the primary beneficiary of a VIE on an ongoing basis based on current facts and circumstances.

Basis of Presentation

These condensed consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States (U.S. GAAP) and include the accounts of Group Inc. and all other entities in which the firm has a controlling financial interest. Intercompany transactions and balances have been eliminated.

These condensed consolidated financial statements are unaudited and should be read in conjunction with the audited consolidated financial statements included in the firm’s Annual Report on Form 10-K for the year ended December 31, 2011. References to “the firm’s Annual Report on Form 10-K” are to the firm’s Annual Report on Form 10-K for the year ended December 31, 2011. The condensed consolidated financial information as of December 31, 2011 has been derived from audited consolidated financial statements not included herein.

These unaudited condensed consolidated financial statements reflect all adjustments that are, in the opinion of management, necessary for a fair statement of the results for the interim periods presented. These adjustments are of a normal, recurring nature. Interim period operating results may not be indicative of the operating results for a full year.

All references to September 2012 and September 2011 refer to the firm’s periods ended, or the dates, as the context requires, September 30, 2012 and September 30, 2011, respectively. All references to June 2012 and December 2011 refer to the dates June 30, 2012 and December 31, 2011, respectively. Any reference to a future year refers to a year ending on December 31 of that year. Certain reclassifications have been made to previously reported amounts to conform to the current presentation.

Use of Estimates

Use of Estimates

Preparation of these condensed consolidated financial statements requires management to make certain estimates and assumptions, the most important of which relate to fair value measurements, accounting for goodwill and identifiable intangible assets, discretionary compensation accruals and the provision for losses that may arise from litigation, regulatory proceedings and tax audits. These estimates and assumptions are based on the best available information but actual results could be materially different.

Revenue Recognition, Policy

Revenue Recognition

Financial Assets and Financial Liabilities at Fair Value. Financial instruments owned, at fair value and Financial instruments sold, but not yet purchased, at fair value are recorded at fair value either under the fair value option or in accordance with other U.S. GAAP. In addition, the firm has elected to account for certain of its other financial assets and financial liabilities at fair value by electing the fair value option. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial assets are marked to bid prices and financial liabilities are marked to offer prices. Fair value measurements do not include transaction costs. Fair value gains or losses are generally included in “Market making” for positions in Institutional Client Services and “Other principal transactions” for positions in Investing & Lending. See Notes 5 through 8 for further information about fair value measurements.

Investment Banking. Fees from financial advisory assignments and underwriting revenues are recognized in earnings when the services related to the underlying transaction are completed under the terms of the assignment. Expenses associated with such transactions are deferred until the related revenue is recognized or the assignment is otherwise concluded. Expenses associated with financial advisory assignments are recorded as non-compensation expenses, net of client reimbursements. Underwriting revenues are presented net of related expenses.

Investment Management. The firm earns management fees and incentive fees for investment management services. Management fees are calculated as a percentage of net asset value, invested capital or commitments, and are recognized over the period that the related service is provided. Incentive fees are calculated as a percentage of a fund’s or separately managed account’s return, or excess return above a specified benchmark or other performance target. Incentive fees are generally based on investment performance over a 12-month period or over the life of a fund. Fees that are based on performance over a 12-month period are subject to adjustment prior to the end of the measurement period. For fees that are based on investment performance over the life of the fund, future investment underperformance may require fees previously distributed to the firm to be returned to the fund. Incentive fees are recognized only when all material contingencies have been resolved. Management and incentive fee revenues are included in “Investment management” revenues.

Commissions and Fees. The firm earns “Commissions and fees” from executing and clearing client transactions on stock, options and futures markets. Commissions and fees are recognized on the day the trade is executed.

Fair Value Option, Policy

In addition to all cash and derivative instruments included in “Financial instruments owned, at fair value” and “Financial instruments sold, but not yet purchased, at fair value,” the firm has elected to account for certain of its other financial assets and financial liabilities at fair value under the fair value option.

The primary reasons for electing the fair value option are to:

Ÿ reflect economic events in earnings on a timely basis;

Ÿ mitigate volatility in earnings from using different measurement attributes (e.g., transfers of financial instruments owned accounted for as financings are recorded at fair value whereas the related secured financing would be recorded on an accrual basis absent electing the fair value option); and

Ÿ address simplification and cost-benefit considerations (e.g., accounting for hybrid financial instruments at fair value in their entirety versus bifurcation of embedded derivatives and hedge accounting for debt hosts).

Hybrid financial instruments are instruments that contain bifurcatable embedded derivatives and do not require settlement by physical delivery of non-financial assets (e.g., physical commodities). If the firm elects to bifurcate the embedded derivative from the associated debt, the derivative is accounted for at fair value and the host contract is accounted for at amortized cost, adjusted for the effective portion of any fair value hedges. If the firm does not elect to bifurcate, the entire hybrid financial instrument is accounted for at fair value under the fair value option.

Other financial assets and financial liabilities accounted for at fair value under the fair value option include:

Ÿ resale and repurchase agreements;

Ÿ securities borrowed and loaned within Fixed Income, Currency and Commodities Client Execution;

Ÿ certain other secured financings, primarily transfers of assets accounted for as financings rather than sales and certain other nonrecourse financings;

Ÿ certain unsecured short-term borrowings, consisting of all promissory notes and commercial paper and certain hybrid financial instruments;

Ÿ certain unsecured long-term borrowings, including prepaid commodity transactions and certain hybrid financial instruments;

Ÿ certain receivables from customers and counterparties, including certain margin loans and transfers of assets accounted for as secured loans rather than purchases;

Ÿ certain insurance and reinsurance contract assets and liabilities and certain guarantees;

Ÿ certain subordinated liabilities issued by consolidated VIEs; and

Ÿ certain time deposits issued by the firm’s bank subsidiaries (deposits with no stated maturity are not eligible for a fair value option election), including structured certificates of deposit, which are hybrid financial instruments.

Fair Value Measurements, Policy

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial assets are marked to bid prices and financial liabilities are marked to offer prices. Fair value measurements do not include transaction costs. The firm measures certain financial assets and financial liabilities as a portfolio (i.e., based on its net exposure to market and/or credit risks).

The best evidence of fair value is a quoted price in an active market. If quoted prices in active markets are not available, fair value is determined by reference to prices for similar instruments, quoted prices or recent transactions in less active markets, or internally developed models that primarily use market-based or independently sourced parameters as inputs including, but not limited to, interest rates, volatilities, equity or debt prices, foreign exchange rates, commodity prices, credit spreads and funding spreads (i.e., the spread, or difference, between the interest rate at which a borrower could finance a given financial instrument relative to a benchmark interest rate).

U.S. GAAP has a three-level fair value hierarchy for disclosure of fair value measurements. The fair value hierarchy prioritizes inputs to the valuation techniques used to measure fair value, giving the highest priority to level 1 inputs and the lowest priority to level 3 inputs. A financial instrument’s level in the fair value hierarchy is based on the lowest level of input that is significant to its fair value measurement.

The fair value hierarchy is as follows:

Level 1. Inputs are unadjusted quoted prices in active markets to which the firm had access at the measurement date for identical, unrestricted assets or liabilities.

Level 2. Inputs to valuation techniques are observable, either directly or indirectly.

Level 3. One or more inputs to valuation techniques are significant and unobservable.

Cash instruments include U.S. government and federal agency obligations, non-U.S. government and agency obligations, bank loans and bridge loans, corporate debt securities, equities and convertible debentures, and other non-derivative financial instruments owned and financial instruments sold, but not yet purchased. See below for the types of cash instruments included in each level of the fair value hierarchy and the valuation techniques and significant inputs used to determine their fair values. See Note 5 for an overview of the firm’s fair value measurement policies.

Level 1 Cash Instruments

Level 1 cash instruments include U.S. government obligations and most non-U.S. government obligations, actively traded listed equities, certain government agency obligations and money market instruments. These instruments are valued using quoted prices for identical unrestricted instruments in active markets.

The firm defines active markets for equity instruments based on the average daily trading volume both in absolute terms and relative to the market capitalization for the instrument. The firm defines active markets for debt instruments based on both the average daily trading volume and the number of days with trading activity.

Level 2 Cash Instruments

Level 2 cash instruments include commercial paper, certificates of deposit, time deposits, most government agency obligations, certain non-U.S. government obligations, most corporate debt securities, commodities, certain mortgage-backed loans and securities, certain bank loans and bridge loans, restricted or less liquid listed equities, most state and municipal obligations and certain lending commitments.

Valuations of level 2 cash instruments can be verified to quoted prices, recent trading activity for identical or similar instruments, broker or dealer quotations or alternative pricing sources with reasonable levels of price transparency. Consideration is given to the nature of the quotations (e.g., indicative or firm) and the relationship of recent market activity to the prices provided from alternative pricing sources.

Valuation adjustments are typically made to level 2 cash instruments (i) if the cash instrument is subject to transfer restrictions and/or (ii) for other premiums and liquidity discounts that a market participant would require to arrive at fair value. Valuation adjustments are generally based on market evidence.

Level 3 Cash Instruments

Level 3 cash instruments have one or more significant valuation inputs that are not observable. Absent evidence to the contrary, level 3 cash instruments are initially valued at transaction price, which is considered to be the best initial estimate of fair value. Subsequently, the firm uses other methodologies to determine fair value, which vary based on the type of instrument. Valuation inputs and assumptions are changed when corroborated by substantive observable evidence, including values realized on sales of financial assets.

The table below presents the valuation techniques and the nature of significant inputs generally used to determine the fair values of each type of level 3 cash instrument.

Level 3 Cash Instrument	Valuation Techniques and Significant Inputs
Loans and securities backed by commercial real estate Ÿ     Collateralized by a single commercial real estate property or a portfolio of properties Ÿ     May include tranches of varying levels of subordination	Valuation techniques vary by instrument, but are generally based on discounted cash flow techniques.
	Significant inputs are generally determined based on relative value analyses and include:
	Ÿ    Transaction prices in both the underlying collateral and instruments with the same or similar underlying collateral
	Ÿ    Market yields implied by transactions of similar or related assets and/or current levels and changes in market indices such as the CMBX (an index that tracks the performance of commercial mortgage bonds)
	Ÿ    Recovery rates implied by the value of the underlying collateral, which is mainly driven by current performance of the underlying collateral, capitalization rates and multiples
	Ÿ     Timing of expected future cash flows (duration)
Loans and securities backed by residential real estate Ÿ     Collateralized by portfolios of residential real estate Ÿ     May include tranches of varying levels of subordination	Valuation techniques vary by instrument, but are generally based on discounted cash flow techniques.
	Significant inputs are generally determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices such as the ABX (an index that tracks the performance of subprime residential mortgage bonds). Significant inputs include:
	Ÿ    Transaction prices in both the underlying collateral and instruments with the same or similar underlying collateral
	Ÿ    Market yields implied by transactions of similar or related assets
	Ÿ    Cumulative loss expectations, driven by default rates, home price projections, residential property liquidation timelines and related costs
	Ÿ     Duration, driven by underlying loan prepayment speeds and residential property liquidation timelines
Bank loans and bridge loans	Valuation techniques vary by instrument, but are generally based on discounted cash flow techniques.
	Significant inputs are generally determined based on relative value analyses, which incorporate comparisons both to prices of credit default swaps that reference the same or similar underlying instrument or entity and to other debt instruments for the same issuer for which observable prices or broker quotations are available. Significant inputs include:
	Ÿ    Market yields implied by transactions of similar or related assets and/or current levels and trends of market indices such as CDX and LCDX (indices that track the performance of corporate credit and loans, respectively)
	Ÿ    Current performance and recovery assumptions and, where the firm uses credit default swaps to value the related cash instrument, the cost of borrowing the underlying reference obligation
	Ÿ     Duration
Non-U.S. government and agency obligations Corporate debt securities State and municipal obligations Other debt obligations	Valuation techniques vary by instrument, but are generally based on discounted cash flow techniques.
	Significant inputs are generally determined based on relative value analyses, which incorporate comparisons both to prices of credit default swaps that reference the same or similar underlying instrument or entity and to other debt instruments for the same issuer for which observable prices or broker quotations are available. Significant inputs include:
	Ÿ    Market yields implied by transactions of similar or related assets and/or current levels and trends of market indices such as CDX, LCDX and MCDX (an index that tracks the performance of municipal obligations)
	Ÿ    Current performance and recovery assumptions and, where the firm uses credit default swaps to value the related cash instrument, the cost of borrowing the underlying reference obligation
	Ÿ     Duration
Equities and convertible debentures (including private equity investments and investments in real estate entities)	Recent third-party completed or pending transactions (e.g., merger proposals, tender offers, debt restructurings) are considered to be the best evidence for any change in fair value. When these are not available, the following valuation methodologies are used, as appropriate:
	Ÿ    Industry multiples and public comparables
	Ÿ    Transactions in similar instruments
	Ÿ    Discounted cash flow techniques
	Ÿ    Third-party appraisals
	The firm also considers changes in the outlook for the relevant industry and financial performance of the issuer as compared to projected performance. Significant inputs include:
	Ÿ    Market and transaction multiples
	Ÿ    Discount rates, long-term growth rates, earnings compound annual growth rates and capitalization rates
	Ÿ     For equity instruments with debt-like features: market yields implied by transactions of similar or related assets, current performance and recovery assumptions, and duration

Transfers Between Levels of the Fair Value Hierarchy

Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur.

If a cash instrument asset or liability was transferred to level 3 during a reporting period, its entire gain or loss for the period is included in level 3.

Level 3 cash instruments are frequently economically hedged with level 1 and level 2 cash instruments and/or level 1, level 2 or level 3 derivatives. Accordingly, gains or losses that are reported in level 3 can be partially offset by gains or losses attributable to level 1 or level 2 cash instruments and/or level 1, level 2 or level 3 derivatives. As a result, gains or losses included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources.

The tables below present changes in fair value for all cash instrument assets and liabilities categorized as level 3 as of the end of the period.

Investments   in   Funds  That   Calculate  Net   Asset
Value Per Share

Cash instruments at fair value include investments in funds that are valued based on the net asset value per share (NAV) of the investment fund. The firm uses NAV as its measure of fair value for fund investments when (i) the fund investment does not have a readily determinable fair value and (ii) the NAV of the investment fund is calculated in a manner consistent with the measurement principles of investment company accounting, including measurement of the underlying investments at fair value.

Valuation Techniques for Derivatives

The firm’s level 2 and level 3 derivatives are valued using derivative pricing models (e.g., models that incorporate option pricing methodologies, Monte Carlo simulations and discounted cash flows). Price transparency of derivatives can generally be characterized by product type.

Interest Rate. In general, the prices and other inputs used to value interest rate derivatives are transparent, even for long-dated contracts. Interest rate swaps and options denominated in the currencies of leading industrialized nations are characterized by high trading volumes and tight bid/offer spreads. Interest rate derivatives that reference indices, such as an inflation index, or the shape of the yield curve (e.g., 10-year swap rate vs. 2-year swap rate) are more complex, but the prices and other inputs are generally observable.

Credit. Price transparency for credit default swaps, including both single names and baskets of credits, varies by market and underlying reference entity or obligation. Credit default swaps that reference indices, large corporates and major sovereigns generally exhibit the most price transparency. For credit default swaps with other underliers, price transparency varies based on credit rating, the cost of borrowing the underlying reference obligations, and the availability of the underlying reference obligations for delivery upon the default of the issuer. Credit default swaps that reference loans, asset-backed securities and emerging market debt instruments tend to have less price transparency than those that reference corporate bonds. In addition, more complex credit derivatives, such as those sensitive to the correlation between two or more underlying reference obligations, generally have less price transparency.

Currency. Prices for currency derivatives based on the exchange rates of leading industrialized nations, including those with longer tenors, are generally transparent. The primary difference between the price transparency of developed and emerging market currency derivatives is that emerging markets tend to be observable for contracts with shorter tenors.

Commodity. Commodity derivatives include transactions referenced to energy (e.g., oil and natural gas), metals (e.g., precious and base) and soft commodities (e.g., agricultural). Price transparency varies based on the underlying commodity, delivery location, tenor and product quality (e.g., diesel fuel compared to unleaded gasoline). In general, price transparency for commodity derivatives is greater for contracts with shorter tenors and contracts that are more closely aligned with major and/or benchmark commodity indices.

Equity. Price transparency for equity derivatives varies by market and underlier. Options on indices and the common stock of corporates included in major equity indices exhibit the most price transparency. Equity derivatives generally have observable market prices, except for contracts with long tenors or reference prices that differ significantly from current market prices. More complex equity derivatives, such as those sensitive to the correlation between two or more individual stocks, generally have less price transparency.

Liquidity is essential to observability of all product types. If transaction volumes decline, previously transparent prices and other inputs may become unobservable. Conversely, even highly structured products may at times have trading volumes large enough to provide observability of prices and other inputs. See Note 5 for an overview of the firm’s fair value measurement policies.

Level 1 Derivatives

Level 1 derivatives include short-term contracts for future delivery of securities when the underlying security is a level 1 instrument, and exchange-traded derivatives if they are actively traded and are valued at their quoted market price.

Level 2 Derivatives

Level 2 derivatives include exchange-traded derivatives that are not actively traded and OTC derivatives for which all significant valuation inputs are corroborated by market evidence. Level 2 exchange-traded derivatives are valued using models that calibrate to market-clearing levels of OTC derivatives.

The selection of a particular model to value a derivative depends on the contractual terms of and specific risks inherent in the instrument, as well as the availability of pricing information in the market. For derivatives that trade in liquid markets, model selection does not involve significant management judgment because outputs of models can be calibrated to market-clearing levels.

Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates, loss severity rates and correlations of such inputs. Inputs to the valuations of level 2 derivatives can be verified to market transactions, broker or dealer quotations or other alternative pricing sources with reasonable levels of price transparency. Consideration is given to the nature of the quotations (e.g., indicative or firm) and the relationship of recent market activity to the prices provided from alternative pricing sources.

Level 3 Derivatives

Level 3 derivatives are valued using models which utilize observable level 1 and/or level 2 inputs, as well as unobservable level 3 inputs.

Ÿ For the majority of the firm’s interest rate and currency derivatives classified within level 3, significant unobservable inputs include correlations of certain currencies and interest rates (e.g., the correlation between Euro inflation and Euro interest rates), specific interest rate volatilities and the basis, or difference, between benchmark interest rates and related indices.

Ÿ For level 3 credit derivatives, significant level 3 inputs include illiquid credit spreads, which are unique to specific reference obligations and reference entities, recovery rates, certain correlations required to value credit and mortgage derivatives (e.g., the likelihood of default of the underlying reference obligation relative to one another) and the basis, or price difference, between certain reference obligations and benchmark indices.

Ÿ For level 3 equity derivatives, significant level 3 inputs generally include equity volatility inputs for options that are very long-dated and/or have strike prices that differ significantly from current market prices. In addition, the valuation of certain structured trades requires the use of level 3 inputs for the correlation of the price performance of two or more individual stocks or the correlation of the price performance for a basket of stocks to another asset class such as commodities.

Ÿ For level 3 commodity derivatives, significant level 3 inputs include volatilities for options with strike prices that differ significantly from current market prices and prices or spreads for certain products for which the product quality or physical location of the commodity is not aligned with benchmark indices.

Subsequent to the initial valuation of a level 3 derivative, the firm updates the level 1 and level 2 inputs to reflect observable market changes and any resulting gains and losses are recorded in level 3. Level 3 inputs are changed when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations or other empirical market data. In circumstances where the firm cannot verify the model value by reference to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. See below for further information about unobservable inputs used in the valuation of level 3 derivatives.

Valuation Adjustments

Valuation adjustments are integral to determining the fair value of derivatives and are used to adjust the mid-market valuations, produced by derivative pricing models, to the appropriate exit price valuation. These adjustments incorporate bid/offer spreads, the cost of liquidity, credit valuation adjustments (CVA) and funding valuation adjustments, which account for the credit and funding risk inherent in derivative portfolios. Market-based inputs are generally used when calibrating valuation adjustments to market-clearing levels.

In addition, for derivatives that include significant unobservable inputs, the firm makes model or exit price adjustments to account for the valuation uncertainty present in the transaction.

Level 3 Rollforward

If a derivative was transferred to level 3 during a reporting period, its entire gain or loss for the period is included in level 3. Transfers between levels are reported at the beginning of the reporting period in which they occur.

Gains and losses on level 3 derivatives should be considered in the context of the following:

Ÿ A derivative with level 1 and/or level 2 inputs is classified in level 3 in its entirety if it has at least one significant level 3 input.

Ÿ If there is one significant level 3 input, the entire gain or loss from adjusting only observable inputs (i.e., level 1 and level 2 inputs) is classified as level 3.

Ÿ Gains or losses that have been reported in level 3 resulting from changes in level 1 or level 2 inputs are frequently offset by gains or losses attributable to level 1 or level 2 derivatives and/or level 1, level 2 and level 3 cash instruments. As a result, gains/(losses) included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources.

These financial assets and financial liabilities at fair value are generally valued based on discounted cash flow techniques, which incorporate inputs with reasonable levels of price transparency, and are generally classified as level 2 because the inputs are observable. Valuation adjustments may be made for liquidity and for counterparty and the firm’s credit quality.

Resale and Repurchase Agreements and Securities Borrowed and Loaned. The significant inputs to the valuation of resale and repurchase agreements and securities borrowed and loaned are collateral funding spreads, the amount and timing of expected future cash flows and interest rates.

Other Secured Financings. The significant inputs to the valuation of other secured financings at fair value are the amount and timing of expected future cash flows, interest rates, collateral funding spreads, the fair value of the collateral delivered by the firm (which is determined using the amount and timing of expected future cash flows, market prices, market yields and recovery assumptions) and the frequency of additional collateral calls.

Unsecured Short-term and Long-term Borrowings. The significant inputs to the valuation of unsecured short-term and long-term borrowings at fair value are the amount and timing of expected future cash flows, interest rates, the credit spreads of the firm, as well as commodity prices in the case of prepaid commodity transactions. The inputs used to value the embedded derivative component of hybrid financial instruments are consistent with the inputs used to value the firm’s other derivative instruments. See Note 7 for further information about derivatives. See Notes 15 and 16 for further information about unsecured short-term and long-term borrowings, respectively.

Certain of the firm’s unsecured short-term and long-term instruments are included in level 3, substantially all of which are hybrid financial instruments. As the significant unobservable inputs used to value hybrid financial instruments primarily relate to the embedded derivative component of these borrowings, these inputs are incorporated in the firm’s derivative disclosures related to unobservable inputs in Note 7.

Insurance and Reinsurance Contracts. Insurance and reinsurance contracts at fair value are included in “Receivables from customers and counterparties” and “Other liabilities and accrued expenses.” The insurance and reinsurance contracts for which the firm has elected the fair value option are contracts that can be settled only in cash and that qualify for the fair value option because they are recognized financial instruments. These contracts are valued using market transactions and other market evidence where possible, including market-based inputs to models, calibration to market-clearing transactions or other alternative pricing sources with reasonable levels of price transparency. Significant level 2 inputs are interest rates, inflation rates, volatilities, and policy lapse and projected mortality assumptions. Significant level 3 inputs are funding spreads. When unobservable inputs to a valuation model are significant to the fair value measurement of an instrument, the instrument is classified in level 3.

Receivables from Customers and Counterparties. Receivables from customers and counterparties at fair value, excluding insurance and reinsurance contracts, are primarily comprised of transfers of assets accounted for as secured loans rather than purchases. The significant inputs to the valuation of such receivables are commodity prices, interest rates, the amount and timing of expected future cash flows and funding spreads. The range of significant unobservable inputs used to value level 3 receivables from customers and counterparties as of September 2012 is as follows:

Ÿ Funding spreads: 112 bps to 157 bps

Generally, an increase in funding spreads would result in a lower fair value measurement.

Receivables from customers and counterparties not accounted for at fair value are accounted for at amortized cost net of estimated uncollectible amounts, which generally approximates fair value. Such receivables are primarily comprised of customer margin loans. While these margin loans are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these margin loans been included in the firm’s fair value hierarchy, substantially all would have been classified in level 2 as of September 2012.

Deposits. The significant inputs to the valuation of time deposits are interest rates and the amount and timing of future cash flows. The inputs used to value the embedded derivative component of hybrid financial instruments are consistent with the inputs used to value the firm’s other derivative instruments. See Note 7 for further information about derivatives. See Note 14 for further information about deposits.

Level 3 Rollforward

If a financial asset or financial liability was transferred to level 3 during a reporting period, its entire gain or loss for the period is included in level 3.

The tables below present changes in fair value for other financial assets and financial liabilities accounted for at fair value under the fair value option categorized as level 3 as of the end of the period. Level 3 other financial assets and liabilities are frequently economically hedged with cash instruments and derivatives. Accordingly, gains or losses that are reported in level 3 can be partially offset by gains or losses attributable to level 1, 2 or 3 cash instruments or derivatives. As a result, gains or losses included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources.

Share Based Compensation, Policy

Share-based Compensation

The cost of employee services received in exchange for a share-based award is generally measured based on the grant-date fair value of the award. Share-based awards that do not require future service (i.e., vested awards, including awards granted to retirement-eligible employees) are expensed immediately. Share-based awards that require future service are amortized over the relevant service period. Expected forfeitures are included in determining share-based employee compensation expense.

The firm pays cash dividend equivalents on outstanding restricted stock units (RSUs). Dividend equivalents paid on RSUs are generally charged to retained earnings. Dividend equivalents paid on RSUs expected to be forfeited are included in compensation expense. The firm accounts for the tax benefit related to dividend equivalents paid on RSUs as an increase to additional paid-in capital.

In certain cases, primarily related to conflicted employment (as outlined in the applicable award agreements), the firm may cash settle share-based compensation awards. For awards accounted for as equity instruments, additional paid-in capital is adjusted to the extent of the difference between the current value of the award and the grant-date value of the award.

Goodwill and Intangible Assets, Policy

Goodwill

Goodwill is the cost of acquired companies in excess of the fair value of net assets, including identifiable intangible assets, at the acquisition date.

Goodwill is assessed annually in the fourth quarter for impairment or more frequently if events occur or circumstances change that indicate an impairment may exist. Qualitative factors are assessed to determine whether it is more likely than not that the fair value of a reporting unit is less than its carrying amount. If results of the qualitative assessment are not conclusive, a quantitative goodwill impairment test is performed.

The quantitative goodwill impairment test consists of two steps.

Ÿ The first step compares the estimated fair value of each reporting unit with its estimated net book value (including goodwill and identified intangible assets). If the reporting unit’s fair value exceeds its estimated net book value, goodwill is not impaired.

Ÿ If the estimated fair value of a reporting unit is less than its estimated net book value, the second step of the goodwill impairment test is performed to measure the amount of impairment loss, if any. An impairment loss is equal to the excess of the carrying amount of goodwill over its fair value.

To estimate the fair value of each reporting unit, both relative value and residual income valuation techniques are used because the firm believes market participants would use these techniques to value the firm’s reporting units.

Relative value techniques apply average observable price-to-earnings multiples of comparable competitors to certain reporting units’ net earnings. For other reporting units, fair value is estimated using price-to-book multiples based on residual income techniques, which consider a reporting unit’s return on equity in excess of the firm’s cost of equity capital. The net book value of each reporting unit reflects the estimated amount of shareholders’ equity required to support the activities of the reporting unit under guidelines issued by the Basel Committee on Banking Supervision (Basel Committee) in December 2010.

Substantially all of the firm’s identifiable intangible assets are considered to have finite lives and are amortized (i) over their estimated lives, (ii) based on economic usage for certain commodity-related intangibles or (iii) in proportion to estimated gross profits or premium revenues. Amortization expense for identifiable intangible assets is included in “Depreciation and amortization.”

Identifiable intangible assets are tested for recoverability whenever events or changes in circumstances indicate that an asset’s or asset group’s carrying value may not be recoverable.

If a recoverability test is necessary, the carrying value of an asset or asset group is compared to the total of the undiscounted cash flows expected to be received over the remaining useful life and from the disposition of the asset or asset group.

Ÿ If the total of the undiscounted cash flows exceeds the carrying value, the asset or asset group is not impaired.

Ÿ If the total of the undiscounted cash flows is less than the carrying value, the asset or asset group is not fully recoverable and an impairment loss is recognized as the difference between the carrying amount of the asset or asset group and its estimated fair value.

Property, Plant and Equipment, Policy

Substantially all property and equipment are depreciated on a straight-line basis over the useful life of the asset. Leasehold improvements are amortized on a straight-line basis over the useful life of the improvement or the term of the lease, whichever is shorter. Certain costs of software developed or obtained for internal use are capitalized and amortized on a straight-line basis over the useful life of the software.

Property, leasehold improvements and equipment are tested for impairment whenever events or changes in circumstances suggest that an asset’s or asset group’s carrying value may not be fully recoverable. The firm’s policy for impairment testing of property, leasehold improvements and equipment is the same as is used for identifiable intangible assets with finite lives. See Note 13 for further information.

Property, Plant and Equipment, Operating Lease Policy

Operating leases include office space held in excess of current requirements. Rent expense relating to space held for growth is included in “Occupancy.” The firm records a liability, based on the fair value of the remaining lease rentals reduced by any potential or existing sublease rentals, for leases where the firm has ceased using the space and management has concluded that the firm will not derive any future economic benefits. Costs to terminate a lease before the end of its term are recognized and measured at fair value on termination.

Foreign Currency Transactions and Translations, Policy

Foreign Currency Translation

Assets and liabilities denominated in non-U.S. currencies are translated at rates of exchange prevailing on the date of the condensed consolidated statements of financial condition and revenues and expenses are translated at average rates of exchange for the period. Foreign currency remeasurement gains or losses on transactions in nonfunctional currencies are recognized in earnings. Gains or losses on translation of the financial statements of a non-U.S. operation, when the functional currency is other than the U.S. dollar, are included, net of hedges and taxes, in the condensed consolidated statements of comprehensive income.

Hedge Accounting, Policy

Hedge Accounting

The firm applies hedge accounting for (i) certain interest rate swaps used to manage the interest rate exposure of certain fixed-rate unsecured long-term and short-term borrowings and certain fixed-rate certificates of deposit and (ii) certain foreign currency forward contracts and foreign currency-denominated debt used to manage foreign currency exposures on the firm’s net investment in certain non-U.S. operations.

To qualify for hedge accounting, the derivative hedge must be highly effective at reducing the risk from the exposure being hedged. Additionally, the firm must formally document the hedging relationship at inception and test the hedging relationship at least on a quarterly basis to ensure the derivative hedge continues to be highly effective over the life of the hedging relationship.

Interest Rate Hedges

The firm designates certain interest rate swaps as fair value hedges. These interest rate swaps hedge changes in fair value attributable to the relevant benchmark interest rate (e.g., London Interbank Offered Rate (LIBOR)), effectively converting a substantial portion of fixed-rate obligations into floating-rate obligations.

The firm applies a statistical method that utilizes regression analysis when assessing the effectiveness of its fair value hedging relationships in achieving offsetting changes in the fair values of the hedging instrument and the risk being hedged (i.e., interest rate risk). An interest rate swap is considered highly effective in offsetting changes in fair value attributable to changes in the hedged risk when the regression analysis results in a coefficient of determination of 80% or greater and a slope between 80% and 125%.

For qualifying fair value hedges, gains or losses on derivatives are included in “Interest expense.” The change in fair value of the hedged item attributable to the risk being hedged is reported as an adjustment to its carrying value and is subsequently amortized into interest expense over its remaining life. Gains or losses resulting from hedge ineffectiveness are included in “Interest expense.” When a derivative is no longer designated as a hedge, any remaining difference between the carrying value and par value of the hedged item is amortized to interest expense over the remaining life of the hedged item using the effective interest method. See Note 23 for further information about interest income and interest expense.

Net Investment Hedges

The firm seeks to reduce the impact of fluctuations in foreign exchange rates on its net investment in certain non-U.S. operations through the use of foreign currency forward contracts and foreign currency-denominated debt. For foreign currency forward contracts designated as hedges, the effectiveness of the hedge is assessed based on the overall changes in the fair value of the forward contracts (i.e., based on  changes  in  forward  rates).  For  foreign currency-denominated debt designated as a hedge, the effectiveness of the hedge is assessed based on changes in spot rates.

For qualifying net investment hedges, the gains or losses on the hedging instruments, to the extent effective, are included in “Currency translation adjustment, net of tax” within the condensed consolidated statements of comprehensive income.

Income Tax, Policy

Provision for Income Taxes

Income taxes are provided for using the asset and liability method under which deferred tax assets and liabilities are recognized for temporary differences between the financial reporting and tax bases of assets and liabilities. The firm reports interest expense related to income tax matters in “Provision for taxes” and income tax penalties in “Other expenses.”

Deferred Income Taxes

Deferred income taxes reflect the net tax effects of temporary differences between the financial reporting and tax bases of assets and liabilities. These temporary differences result in taxable or deductible amounts in future years and are measured using the tax rates and laws that will be in effect when such differences are expected to reverse. Valuation allowances are established to reduce deferred tax assets to the amount that more likely than not will be realized. Tax assets and liabilities are presented as a component of “Other assets” and “Other liabilities and accrued expenses,” respectively.

Unrecognized Tax Benefits

The firm recognizes tax positions in the financial statements only when it is more likely than not that the position will be sustained on examination by the relevant taxing authority based on the technical merits of the position. A position that meets this standard is measured at the largest amount of benefit that will more likely than not be realized on settlement. A liability is established for differences between positions taken in a tax return and amounts recognized in the financial statements.

Earning Per Share Policy

Basic earnings/(loss) per common share (EPS) is calculated by dividing net earnings/(loss) applicable to common shareholders by the weighted average number of common shares outstanding. Common shares outstanding includes common stock and RSUs for which no future service is required as a condition to the delivery of the underlying common stock. Diluted EPS includes the determinants of basic EPS and, in addition reflects the dilutive effect of the common stock deliverable for stock warrants and options and for RSUs for which future service is required as a condition to the delivery of the underlying common stock.

Cash and Cash Equivalents, Policy

Cash and Cash Equivalents

The firm defines cash equivalents as highly liquid overnight deposits held in the ordinary course of business. As of September 2012 and December 2011, “Cash and cash equivalents” included $7.11 billion and $7.95 billion, respectively, of cash and due from banks, and $56.53 billion and $48.05 billion, respectively, of interest-bearing deposits with banks.

Recent Accounting Developments

Recent Accounting Developments

Reconsideration of Effective Control for Repurchase Agreements (ASC 860) . In April 2011, the FASB issued ASU No. 2011-03, “Transfers and Servicing (Topic 860) — Reconsideration of Effective Control for Repurchase Agreements.” ASU No. 2011-03 changes the assessment of effective control by removing (i) the criterion that requires the transferor to have the ability to repurchase or redeem financial assets on substantially the agreed terms, even in the event of default by the transferee, and (ii) the collateral maintenance implementation guidance related to that criterion. ASU No. 2011-03 is effective for periods beginning after December 15, 2011. The firm adopted the standard on January 1, 2012. Adoption of ASU No. 2011-03 did not affect the firm’s financial condition, results of operations or cash flows.

Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (ASC 820). In May 2011, the FASB issued ASU No. 2011-04, “Fair Value Measurements and Disclosures (Topic 820) — Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs.” ASU No. 2011-04 clarifies the application of existing fair value measurement and disclosure requirements, changes certain principles related to measuring fair value, and requires additional disclosures about fair value measurements. ASU No. 2011-04 is effective for periods beginning after December 15, 2011. The firm adopted the standard on January 1, 2012. Adoption of ASU No. 2011-04 did not materially affect the firm’s financial condition, results of operations or cash flows.

Derecognition of in Substance Real Estate (ASC 360). In December 2011, the FASB issued ASU No. 2011-10, “Property, Plant, and Equipment (Topic 360) — Derecognition of in Substance Real Estate — a Scope Clarification.” ASU No. 2011-10 clarifies that in order to deconsolidate a subsidiary (that is in substance real estate) as a result of a parent no longer controlling the subsidiary due to a default on the subsidiary’s nonrecourse debt, the parent also must satisfy the sale criteria in ASC 360-20, “Property, Plant, and Equipment — Real Estate Sales.” The ASU is effective for fiscal years beginning on or after June 15, 2012. The firm will apply the provisions of the ASU to such events occurring on or after January 1, 2013. Adoption is not expected to materially affect the firm’s financial condition, results of operations or cash flows.

Disclosures about Offsetting Assets and Liabilities (ASC 210). In December 2011, the FASB issued ASU No. 2011-11, “Balance Sheet (Topic 210) — Disclosures about Offsetting Assets and Liabilities.” ASU No. 2011-11 requires disclosure of the effect or potential effect of offsetting arrangements on the firm’s financial position as well as enhanced disclosure of the rights of setoff associated with the firm’s recognized assets and recognized liabilities. ASU No. 2011-11 is effective for periods beginning on or after January 1, 2013. Since these amended principles require only additional disclosures concerning offsetting and related arrangements, adoption will not affect the firm’s financial condition, results of operations or cash flows.

Equity Method Investments

Equity-Method Investments. When the firm does not have a controlling financial interest in an entity but can exert significant influence over the entity’s operating and financial policies, the investment is accounted for either (i) under the equity method of accounting or (ii) at fair value by electing the fair value option available under U.S. GAAP. Significant influence generally exists when the firm owns 20% to 50% of the entity’s common stock or in-substance common stock.

Transfers of Assets, Policy

Transfers of Assets

Transfers of assets are accounted for as sales when the firm has relinquished control over the assets transferred. For transfers of assets accounted for as sales, any related gains or losses are recognized in net revenues. Assets or liabilities that arise from the firm’s continuing involvement with transferred assets are measured at fair value. For transfers of assets that are not accounted for as sales, the assets remain in “Financial instruments owned, at fair value” and the transfer is accounted for as a collateralized financing, with the related interest expense recognized over the life of the transaction. See Note 9 for further information about transfers of assets accounted for as collateralized financings and Note 10 for further information about transfers of assets accounted for as sales.

The firm accounts for a securitization as a sale when it has relinquished control over the transferred assets. Prior to securitization, the firm accounts for assets pending transfer at fair value and therefore does not typically recognize significant gains or losses upon the transfer of assets. Net revenues from underwriting activities are recognized in connection with the sales of the underlying beneficial interests to investors.

For transfers of assets that are not accounted for as sales, the assets remain in “Financial instruments owned, at fair value” and the transfer is accounted for as a collateralized financing, with the related interest expense recognized over the life of the transaction. See Notes 9 and 23 for further information about collateralized financings and interest expense, respectively.

Receivables from Customers and Counterparties, Policy

Receivables from Customers and Counterparties

Receivables from customers and counterparties generally relate to collateralized transactions. Such receivables are primarily comprised of customer margin loans, transfers of assets accounted for as secured loans rather than purchases and collateral posted in connection with certain derivative transactions. Certain of the firm’s receivables from customers and counterparties are accounted for at fair value under the fair value option, with changes in fair value generally included in “Market making” revenues. See Note 8 for further information about the fair values of these receivables. Receivables from customers and counterparties not accounted for at fair value are accounted for at amortized cost net of estimated uncollectible amounts. Interest on receivables from customers and counterparties is recognized over the life of the transaction and included in “Interest income.”

Insurance activities, Policy

Insurance Activities

Certain of the firm’s insurance and reinsurance contracts are accounted for at fair value under the fair value option, with changes in fair value included in “Market making” revenues. See Note 8 for further information about the fair values of these insurance and reinsurance contracts.

Revenues from variable annuity and life insurance and reinsurance contracts not accounted for at fair value generally consist of fees assessed on contract holder account balances for mortality charges, policy administration fees and surrender charges. These revenues are recognized in earnings over the period that services are provided and are included in “Market making” revenues. Changes in reserves, including interest credited to policyholder account balances, are recognized in “Insurance reserves.”

Premiums earned for underwriting property catastrophe reinsurance are recognized in earnings over the coverage period, net of premiums ceded for the cost of reinsurance, and are included in “Market making” revenues. Expenses for liabilities related to property catastrophe reinsurance claims, including estimates of losses that have been incurred but not reported, are included in “Insurance reserves.”

Collateralized Agreements and Financings, Policy

Collateralized agreements and financings are presented on a net-by-counterparty basis when a legal right of setoff exists. Interest on collateralized agreements and collateralized financings is recognized over the life of the transaction and included in “Interest income” and “Interest expense,” respectively. See Note 23 for further information about interest income and interest expense.

Even though repurchase and resale agreements involve the legal transfer of ownership of financial instruments, they are accounted for as financing arrangements because they require the financial instruments to be repurchased or resold at the maturity of the agreement. However, “repos to maturity” are accounted for as sales. A repo to maturity is a transaction in which the firm transfers a security under an agreement to repurchase the security where the maturity date of the repurchase agreement matches the maturity date of the underlying security. Therefore, the firm effectively no longer has a repurchase obligation and has relinquished control over the underlying security and, accordingly, accounts for the transaction as a sale. The firm had no repos to maturity outstanding as of September 2012 or December 2011.

Securities borrowed and loaned within Securities Services are recorded based on the amount of cash collateral advanced or received plus accrued interest. As these arrangements generally can be terminated on demand, they exhibit little, if any, sensitivity to changes in interest rates. Therefore, the carrying value of such arrangements approximates fair value. While these arrangements are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these arrangements been included in the firm’s fair value hierarchy, they would have been classified in level 2 as of September 2012.

Other Secured Financings

In addition to repurchase agreements and securities lending transactions, the firm funds certain assets through the use of other secured financings and pledges financial instruments and other assets as collateral in these transactions. These other secured financings consist of:

Ÿ liabilities of consolidated VIEs;

Ÿ transfers of assets accounted for as financings rather than sales (primarily collateralized central bank financings, pledged commodities, bank loans and mortgage whole loans); and

Ÿ other structured financing arrangements.

The firm has elected to apply the fair value option to the following other secured financings because the use of fair value eliminates non-economic volatility in earnings that would arise from using different measurement attributes:

Ÿ transfers of assets accounted for as financings rather than sales; and

Ÿ certain other nonrecourse financings.

See Note 8 for further information about other secured financings that are accounted for at fair value. Other secured financings that are not recorded at fair value are generally short-term and recorded based on the amount of cash received plus accrued interest, which generally approximates fair value. While these financings are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these financings been included in the firm’s fair value hierarchy, they would have primarily been classified in level 2 as of September 2012.

Commitments to extend credit, Policy

The firm generally accounts for commitments to extend credit at fair value. Losses, if any, are generally recorded, net of any fees in “Other principal transactions.”

XML

Commitments, Contingencies and Guarantees (Details) (USD $)	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2012 Y	Sep. 30, 2011	Sep. 30, 2012 Y	Sep. 30, 2011	Dec. 31, 2011 Y
Commercial Lending [Abstract]
Commercial Lending - Investment Grade	$ 54,408,000,000		$ 54,408,000,000		$ 51,281,000,000
Commercial Lending - Non-Investment Grade	19,558,000,000		19,558,000,000		14,217,000,000
Warehouse financing	754,000,000		754,000,000		247,000,000
Total Commitments to Extend Credit	74,720,000,000		74,720,000,000		65,745,000,000
Contingent and forward starting resale and securities borrowing agreements	56,599,000,000		56,599,000,000		54,522,000,000
Forward starting repurchase and secured lending agreements	12,727,000,000		12,727,000,000		17,964,000,000
Letters of credit	875,000,000		875,000,000		1,353,000,000
Investment commitments	7,861,000,000		7,861,000,000		9,118,000,000
Other	4,008,000,000		4,008,000,000		5,342,000,000
Total commitments	156,790,000,000		156,790,000,000		154,044,000,000
Leases [Abstract]
Remainder of 2012	110,000,000		110,000,000
2013	432,000,000		432,000,000
2014	400,000,000		400,000,000
2015	358,000,000		358,000,000
2016	331,000,000		331,000,000
2017	319,000,000		319,000,000
2018-thereafter	1,296,000,000		1,296,000,000
Total	3,246,000,000		3,246,000,000
Guarantees [Abstract]
Collateral held by lenders in connection with securities lending indemnifications	30,820,000,000		30,820,000,000
Leases (Textual) [Abstract]
The latest year through which the firm's noncancelable lease agreements extend	2069		2069
Investment Commitments (Textual) [Abstract]
Commitments to invest in real estate private investments	1,010,000,000		1,010,000,000		1,620,000,000
Commitments to invest in corporate and other private investments	6,850,000,000		6,850,000,000		7,500,000,000
Commitments to invest in funds managed by the firm	6,580,000,000		6,580,000,000		8,380,000,000
Credit Extension Program (Textual) [Abstract]
Approximate amount Of lending commitments held for investment	13,450,000,000		13,450,000,000
Carrying value of the liabilities relating to lending commitments Held For Investment	58,000,000		58,000,000
Estimated fair value of the liabilities relating to lending commitments Held For Investment	406,000,000		406,000,000
Notional amount of loan commitments which are protected by SMFG against credit loss	33,190,000,000		33,190,000,000		31,940,000,000
Credit loss protection percentage of first loss on loan commitments provided by SMFG	95.00%		95.00%
Approximate amount of maximum protection of first loss on loan commitments provided by SMFG	950,000,000		950,000,000
SMFG credit loss protection for additional losses percentage	70.00%		70.00%
Maximum protection on additional losses on loan commitments provided by SMFG	1,130,000,000		1,130,000,000
Protection provided by SMFG for additional losses	300,000,000		300,000,000		300,000,000
Mortgage-Related Contingencies (Textual) [Abstract]
Amount of loans sold to government sponsored enterprises during the period 2005 through 2008			10,000,000,000
Amount of loans sold to other third parties during the period 2005 through 2008			11,000,000,000
Outstanding balance for loans transferred to trusts and other mortgage securitization vehicles during the period 2005 through 2008	36,000,000,000		36,000,000,000		42,000,000,000
Approximate amount of paydowns and cumulative losses of loans transferred by the firm to trusts and other mortgage securitization vehicles during the period 2005 through 2008			89,000,000,000		83,000,000,000
Cumulative losses incurred by trusts and other mortgage securitization vehicles during the period 2005 through 2008			19,000,000,000		17,000,000,000
Outstanding principal balance of loans relating to Goldman Sachs-issued securitizations that were transferred to trusts and other mortgage securitization vehicles during the period 2005 through 2008 and were structured with credit protection obtained from monoline insurers	560,000,000		560,000,000		635,000,000
Paydowns and cumulative losses of loans relating to Goldman Sachs-issued securitizations that were transferred to trusts and other mortgage securitization vehicles during the period 2005 through 2008 and were structured with credit protection obtained from monoline insurers			1,490,000,000		1,420,000,000
Cumulative losses incurred by trusts and other mortgage securitization vehicles relating to Goldman Sachs-issued securitizations during the period 2005 through 2008 that were structured with credit protection obtained from monoline insurers			499,000,000		465,000,000
Amount Group Inc. agreed to forgive of unpaid principal balance on certain delinquent first lien residential mortgage loans	13,000,000		13,000,000
Amount of unpaid principal balance of loans repurchased by the firm	Less than $10 million	Less than $10 million	Less than $10 million	Less than $10 million
Approximate capped amount of specific indemnities relating to Litton	125,000,000		125,000,000
Approximate capped amount of indemnities associated with certain customary representation and warranties relating to Litton	50,000,000		50,000,000
Guaranteed Minimum Death And Income Benefits (Textual) [Abstract]
Guaranteed minimum death and income benefits reserve	5,450,000,000		5,450,000,000		5,520,000,000
Weighted average age attained of contract holders	69		69		69
Net amount at risk representing guaranteed minimum death and income benefits in excess of contract holder account balances	1,250,000,000		1,250,000,000		1,510,000,000
Derivative Guarantee [Member]
Guarantees [Abstract]
Carrying Value of Net Liability	10,380,000,000		10,380,000,000		11,880,000,000
Maximum Payout/Notional Amount by Period of Expiration	768,837,000,000		768,837,000,000
Securities Lending Indemnification [Member]
Guarantees [Abstract]
Carrying Value of Net Liability	0		0
Maximum Payout/Notional Amount by Period of Expiration	29,932,000,000		29,932,000,000
Financial Guarantee [Member]
Guarantees [Abstract]
Carrying Value of Net Liability	163,000,000		163,000,000		205,000,000
Maximum Payout/Notional Amount by Period of Expiration	3,325,000,000		3,325,000,000
Maturities, Current Fiscal Year [Member]
Commercial Lending [Abstract]
Commercial Lending - Investment Grade	1,637,000,000		1,637,000,000
Commercial Lending - Non-Investment Grade	659,000,000		659,000,000
Warehouse financing	150,000,000		150,000,000
Total Commitments to Extend Credit	2,446,000,000		2,446,000,000
Contingent and forward starting resale and securities borrowing agreements	56,275,000,000		56,275,000,000
Forward starting repurchase and secured lending agreements	12,727,000,000		12,727,000,000
Letters of credit	397,000,000		397,000,000
Investment commitments	921,000,000		921,000,000
Other	3,654,000,000		3,654,000,000
Total commitments	76,420,000,000		76,420,000,000
Maturities, Current Fiscal Year [Member] | Derivative Guarantee [Member]
Guarantees [Abstract]
Maximum Payout/Notional Amount by Period of Expiration	222,571,000,000		222,571,000,000
Maturities, Current Fiscal Year [Member] | Securities Lending Indemnification [Member]
Guarantees [Abstract]
Maximum Payout/Notional Amount by Period of Expiration	29,932,000,000		29,932,000,000
Maturities, Current Fiscal Year [Member] | Financial Guarantee [Member]
Guarantees [Abstract]
Maximum Payout/Notional Amount by Period of Expiration	204,000,000		204,000,000
Maturities, Year 1 and Year 2 [Member]
Commercial Lending [Abstract]
Commercial Lending - Investment Grade	11,834,000,000		11,834,000,000
Commercial Lending - Non-Investment Grade	4,656,000,000		4,656,000,000
Warehouse financing	604,000,000		604,000,000
Total Commitments to Extend Credit	17,094,000,000		17,094,000,000
Contingent and forward starting resale and securities borrowing agreements	324,000,000		324,000,000
Forward starting repurchase and secured lending agreements	0		0
Letters of credit	468,000,000		468,000,000
Investment commitments	4,364,000,000		4,364,000,000
Other	234,000,000		234,000,000
Total commitments	22,484,000,000		22,484,000,000
Maturities, Year 1 and Year 2 [Member] | Derivative Guarantee [Member]
Guarantees [Abstract]
Maximum Payout/Notional Amount by Period of Expiration	389,958,000,000		389,958,000,000
Maturities, Year 1 and Year 2 [Member] | Securities Lending Indemnification [Member]
Guarantees [Abstract]
Maximum Payout/Notional Amount by Period of Expiration	0		0
Maturities, Year 1 and Year 2 [Member] | Financial Guarantee [Member]
Guarantees [Abstract]
Maximum Payout/Notional Amount by Period of Expiration	857,000,000		857,000,000
Maturities, Year 3 and Year 4 [Member]
Commercial Lending [Abstract]
Commercial Lending - Investment Grade	28,477,000,000		28,477,000,000
Commercial Lending - Non-Investment Grade	8,191,000,000		8,191,000,000
Warehouse financing	0		0
Total Commitments to Extend Credit	36,668,000,000		36,668,000,000
Contingent and forward starting resale and securities borrowing agreements	0		0
Forward starting repurchase and secured lending agreements	0		0
Letters of credit	5,000,000		5,000,000
Investment commitments	143,000,000		143,000,000
Other	49,000,000		49,000,000
Total commitments	36,865,000,000		36,865,000,000
Maturities, Year 3 and Year 4 [Member] | Derivative Guarantee [Member]
Guarantees [Abstract]
Maximum Payout/Notional Amount by Period of Expiration	86,756,000,000		86,756,000,000
Maturities, Year 3 and Year 4 [Member] | Securities Lending Indemnification [Member]
Guarantees [Abstract]
Maximum Payout/Notional Amount by Period of Expiration	0		0
Maturities, Year 3 and Year 4 [Member] | Financial Guarantee [Member]
Guarantees [Abstract]
Maximum Payout/Notional Amount by Period of Expiration	1,018,000,000		1,018,000,000
Maturities, Year 5 and Thereafter [Member]
Commercial Lending [Abstract]
Commercial Lending - Investment Grade	12,460,000,000		12,460,000,000
Commercial Lending - Non-Investment Grade	6,052,000,000		6,052,000,000
Warehouse financing	0		0
Total Commitments to Extend Credit	18,512,000,000		18,512,000,000
Contingent and forward starting resale and securities borrowing agreements	0		0
Forward starting repurchase and secured lending agreements	0		0
Letters of credit	5,000,000		5,000,000
Investment commitments	2,433,000,000		2,433,000,000
Other	71,000,000		71,000,000
Total commitments	21,021,000,000		21,021,000,000
Maturities, Year 5 and Thereafter [Member] | Derivative Guarantee [Member]
Guarantees [Abstract]
Maximum Payout/Notional Amount by Period of Expiration	69,552,000,000		69,552,000,000
Maturities, Year 5 and Thereafter [Member] | Securities Lending Indemnification [Member]
Guarantees [Abstract]
Maximum Payout/Notional Amount by Period of Expiration	0		0
Maturities, Year 5 and Thereafter [Member] | Financial Guarantee [Member]
Guarantees [Abstract]
Maximum Payout/Notional Amount by Period of Expiration	$ 1,246,000,000		$ 1,246,000,000

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Other Liabilities and Accrued Expenses

9 Months Ended

Sep. 30, 2012

Other Liabilities and Accrued Expenses [Abstract]

Other Liabilities and Accrued Expenses

Note 17.

Other Liabilities and Accrued Expenses

The table below presents other liabilities and accrued expenses by type.

	As of
in millions		September 2012	December 2011
Compensation and benefits		$  7,930	$  5,701
Insurance-related liabilities		22,656	18,614
Noncontrolling interests 1		1,339	1,450
Income tax-related liabilities  2		2,103	533
Employee interests in consolidated funds		284	305
Subordinated liabilities issued by consolidated VIEs		1,046	1,090
Accrued expenses and other		4,638	4,108
Total		$39,996	$31,801

1. Includes $1.18 billion and $1.17 billion related to consolidated investment funds as of September 2012 and December 2011, respectively.

2. See Note 24 for further information about income taxes.

The table below presents insurance-related liabilities by type.

	As of
in millions		September 2012	December 2011
Separate account liabilities		$  3,287	$  3,296
Liabilities for future benefits and unpaid claims		13,312	14,213
Contract holder account balances		5,793	835
Reserves for guaranteed minimum death and income benefits		264	270
Total 1		$22,656	$18,614

1. Increase primarily due to reinsurance transactions during 2012.

Separate account liabilities are supported by separate account assets, representing segregated contract holder funds under variable annuity and life insurance contracts. Separate account assets are included in “Cash and securities segregated for regulatory and other purposes.”

Liabilities for future benefits and unpaid claims include liabilities arising from reinsurance provided by the firm to other insurers. The firm had a receivable of $1.46 billion and $1.30 billion as of September 2012 and December 2011, respectively, related to such reinsurance contracts, which is reported in “Receivables from customers and counterparties.” In addition, the firm has ceded risks to reinsurers related to certain of its liabilities for future benefits and unpaid claims and had a receivable of $234 million and $648 million as of September 2012 and December 2011, respectively, related to such reinsurance contracts, which is reported in “Receivables from customers and counterparties.” Contracts to cede risks to reinsurers do not relieve the firm of its obligations to contract holders. Liabilities for future benefits and unpaid claims include $9.26 billion and $8.75 billion carried at fair value under the fair value option as of September 2012 and December 2011, respectively.

Contract holder account balances primarily include fixed annuities under reinsurance contracts.

Reserves for guaranteed minimum death and income benefits represent a liability for the expected value of guaranteed benefits in excess of projected annuity account balances. These reserves are based on total payments expected to be made less total fees expected to be assessed over the life of the contract.

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Cash Instruments (Details Textual) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011	Jun. 30, 2012	Dec. 31, 2011
Cash Instruments (Textuals) [Abstract]
Total financial assets at fair value	$ 651,647		$ 651,647		$ 651,160	$ 651,312
Total financial liabilities at fair value	381,934		381,934		380,087	388,669
Fair Value, Assets Measured on Recurring Basis, Gain (Loss) Included in Market Making Revenue	340	(551)	560	(87)
Fair Value, Assets Measured on Recurring Basis, Gain (Loss) Included in Other Principal Transactions Revenue	843	(701)	1,770	629
Fair Value, Assets Measured on Recurring Basis, Gain (Loss) Included in Interest Income	339	390	945	1,070
Fair Value, Investments Entities That Calculate Net Asset Value Per Share, Investment Redemption Amount In Certain Hedge Funds	300		800
Cash Instruments [Member]
Cash Instruments (Textuals) [Abstract]
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at the Reporting Date	1,100	(1,540)	2,220	88
Level 2 [Member]
Cash Instruments (Textuals) [Abstract]
Total financial assets at fair value	526,914		526,914		552,082	587,416
Total financial liabilities at fair value	309,289		309,289		303,084	319,160
Level 2 [Member] | CDOs backed by real estate assets [Member]
Cash Instruments (Textuals) [Abstract]
Total financial assets at fair value	645		645			213
Level 2 [Member] | CDOs and CLOs backed by corporate and other debt obligations assets [Member]
Cash Instruments (Textuals) [Abstract]
Total financial assets at fair value	1,090		1,090			403
Level 2 [Member] | Cash Instruments [Member]
Cash Instruments (Textuals) [Abstract]
Total financial assets at fair value	148,792		148,792			134,033
Total financial liabilities at fair value	11,031		11,031			10,307
Level 3 [Member]
Cash Instruments (Textuals) [Abstract]
Total financial assets at fair value	47,810		47,810		46,505	47,937
Total financial liabilities at fair value	24,002		24,002		23,127	25,498
Level 3 [Member] | CDOs backed by real estate assets [Member]
Cash Instruments (Textuals) [Abstract]
Total financial assets at fair value	518		518			595
Level 3 [Member] | CDOs and CLOs backed by corporate and other debt obligations assets [Member]
Cash Instruments (Textuals) [Abstract]
Total financial assets at fair value	1,630		1,630			1,190
Level 3 [Member] | Private equity investments [Member]
Cash Instruments (Textuals) [Abstract]
Total financial assets at fair value	13,030		13,030			12,070
Level 3 [Member] | Real Estate Investments [Member]
Cash Instruments (Textuals) [Abstract]
Total financial assets at fair value	1,450		1,450			1,100
Level 3 [Member] | Convertible Debt Securities [Member]
Cash Instruments (Textuals) [Abstract]
Total financial assets at fair value	645		645			497
Level 3 [Member] | CDOs and CLOs backed by corporate obligations liabilities [Member]
Cash Instruments (Textuals) [Abstract]
Total financial liabilities at fair value	3		3			27
Level 3 [Member] | Cash Instruments [Member]
Cash Instruments (Textuals) [Abstract]
Total financial assets at fair value	35,890		35,890			34,685
Total financial liabilities at fair value	$ 673		$ 673			$ 905

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Business Segments (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011	Jun. 30, 2012	Dec. 31, 2011
Business Segment (Textuals) [Abstract]
Realized Gains/(losses) on available-for-sale securities held within the firm's insurance subsidiaries	$ 30	$ 31	$ 81	$ 81
Net provisions for litigation and regulatory proceedings included in operating expenses	62	59	188	128
Charitable contributions included in operating expenses			12	25
Real estate-related exit costs included in operating expenses	1	11	4	11
Real estate-related exit costs included in depreciation and amortization and not allocated to the firm's segments	1		1
Segment Operating Results
Net revenues	8,351	3,587	24,927	22,762
Operating expenses	6,053	4,317	18,033	17,840
Pre-tax earnings/(loss)	2,298	(730)	6,894	4,922
Total assets	949,207	948,909	949,207	948,909	948,638	923,225
Net Interest Income
Total net interest	836	1,356	2,907	4,127
Depreciation and amortization
Depreciation and amortization	396	389	1,238	1,355
Net Revenues and Pre-tax Earnings/(Loss) for each geographic region
Net revenues	8,351	3,587	24,927	22,762
Pre-tax earnings/(loss) - subtotal	2,361	(660)	7,098	5,086
Pre-tax earnings/(loss)	2,298	(730)	6,894	4,922
Percentage of total net revenue	100.00%	100.00%	100.00%	100.00%
Percentage of total pre-tax earnings - subtotal	100.00%	100.00%	100.00%	100.00%
Investment Banking [Member]
Segment Operating Results
Net revenues	1,164	781	3,521	3,498
Operating expenses	825	541	2,560	2,445
Pre-tax earnings/(loss)	339	240	961	1,053
Total assets	1,765	2,136	1,765	2,136
Net Interest Income
Total net interest	(4)		(13)
Depreciation and amortization
Depreciation and amortization	36	44	117	133
Net Revenues and Pre-tax Earnings/(Loss) for each geographic region
Net revenues	1,164	781	3,521	3,498
Pre-tax earnings/(loss)	339	240	961	1,053
Institutional Client Services [Member]
Segment Operating Results
Net revenues	4,184	4,062	13,782	14,224
Operating expenses	3,186	2,631	10,016	10,255
Pre-tax earnings/(loss)	998	1,431	3,766	3,969
Total assets	842,950	845,055	842,950	845,055
Net Interest Income
Total net interest	813	1,243	2,799	3,375
Depreciation and amortization
Depreciation and amortization	188	230	559	753
Net Revenues and Pre-tax Earnings/(Loss) for each geographic region
Net revenues	4,184	4,062	13,782	14,224
Pre-tax earnings/(loss)	998	1,431	3,766	3,969
Investing and Lending [Member]
Segment Operating Results
Net revenues	1,804	(2,479)	3,918	1,270
Operating expenses	1,002	86	2,216	1,864
Pre-tax earnings/(loss)	802	(2,565)	1,702	(594)
Total assets	92,541	87,712	92,541	87,712
Net Interest Income
Total net interest	2	60	9	595
Depreciation and amortization
Depreciation and amortization	119	56	406	318
Net Revenues and Pre-tax Earnings/(Loss) for each geographic region
Net revenues	1,804	(2,479)	3,918	1,270
Pre-tax earnings/(loss)	802	(2,565)	1,702	(594)
Investment Management [Member]
Segment Operating Results
Net revenues	1,199	1,223	3,706	3,770
Operating expenses	977	989	3,037	3,112
Pre-tax earnings/(loss)	222	234	669	658
Total assets	11,951	14,006	11,951	14,006
Net Interest Income
Total net interest	25	53	112	157
Depreciation and amortization
Depreciation and amortization	52	59	155	151
Net Revenues and Pre-tax Earnings/(Loss) for each geographic region
Net revenues	1,199	1,223	3,706	3,770
Pre-tax earnings/(loss)	222	234	669	658
Asia
Segment Operating Results
Net revenues	1,077	(247)	3,460	2,639
Pre-tax earnings/(loss)	251	(859)	876	(159)
Net Revenues and Pre-tax Earnings/(Loss) for each geographic region
Net revenues	1,077	(247)	3,460	2,639
Pre-tax earnings/(loss)	251	(859)	876	(159)
Percentage of total net revenue	13.00%	(7.00%)	14.00%	12.00%
Percentage of total pre-tax earnings - subtotal	11.00%		12.00%	(3.00%)
Corporate [Member]
Segment Operating Results
Pre-tax earnings/(loss)	(63)	(70)	(204)	(164)
Net Revenues and Pre-tax Earnings/(Loss) for each geographic region
Pre-tax earnings/(loss)	(63)	(70)	(204)	(164)
Americas
Segment Operating Results
Net revenues	5,114	2,485	14,807	14,149
Pre-tax earnings/(loss)	1,401	92	3,943	3,567
Net Revenues and Pre-tax Earnings/(Loss) for each geographic region
Net revenues	5,114	2,485	14,807	14,149
Pre-tax earnings/(loss)	1,401	92	3,943	3,567
Percentage of total net revenue	61.00%	69.00%	59.00%	62.00%
Percentage of total pre-tax earnings - subtotal	59.00%		56.00%	70.00%
EMEA
Segment Operating Results
Net revenues	2,160	1,349	6,660	5,974
Pre-tax earnings/(loss)	709	107	2,279	1,678
Net Revenues and Pre-tax Earnings/(Loss) for each geographic region
Net revenues	2,160	1,349	6,660	5,974
Pre-tax earnings/(loss)	$ 709	$ 107	$ 2,279	$ 1,678
Percentage of total net revenue	26.00%	38.00%	27.00%	26.00%
Percentage of total pre-tax earnings - subtotal	30.00%		32.00%	33.00%

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Condensed Consolidated Statements of Cash Flows (Unaudited) (USD $) In Millions, unless otherwise specified	9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011
Cash flows from operating activities
Net earnings	$ 4,583	$ 3,429
Non-cash items included in net earnings
Depreciation and amortization	1,238	1,355
Share-based compensation	1,088	2,431
Changes in operating assets and liabilities
Cash and securities segregated for regulatory and other purposes	10,616	(23,691)
Net receivables from brokers, dealers and clearing organizations	1,617	(9,839)
Net payables to customers and counterparties	(244)	26,241
Securities borrowed, net of securities loaned	(5,451)	6,859
Securities sold under agreements to repurchase, net of securities purchased under agreements to resell and federal funds sold	42,112	(18,948)
Financial instruments owned, at fair value	(47,787)	(2,961)
Financial instruments sold, but not yet purchased, at fair value	(831)	21,367
Other, net	2,977	(3,813)
Net cash provided by operating activities	9,918	2,430
Cash flows from investing activities
Purchase of property, leasehold improvements and equipment	(707)	(979)
Proceeds from sales of property, leasehold improvements and equipment	38	53
Business acquisitions, net of cash acquired	(439)	(265)
Proceeds from sales of investments	424	1,985
Purchase of available-for-sale securities	(3,671)	(2,352)
Proceeds from sales of available-for-sale securities	2,838	2,546
Net cash provided by/(used for) investing activities	(1,517)	988
Cash flows from financing activities
Unsecured short-term borrowings, net	(1,691)	(190)
Other secured financings (short-term), net	(2,045)	2,657
Proceeds from issuance of other secured financings (long-term)	4,004	9,505
Repayment of other secured financings (long-term), including the current portion	(10,333)	(8,285)
Proceeds from issuance of unsecured long-term borrowings	22,020	23,908
Repayment of unsecured long-term borrowings, including the current portion	(27,873)	(19,438)
Derivative contracts with a financing element, net	1,145	661
Deposits, net	15,417	3,230
Preferred stock repurchased	0	(3,857)
Common stock repurchased	(3,116)	(5,140)
Dividends and dividend equivalents paid on common stock, preferred stock and restricted stock units	(779)	(2,549)
Proceeds from issuance of preferred stock, net of issuance costs	2,250
Proceeds from issuance of common stock, including stock option exercises	148	182
Excess tax benefit related to share-based compensation	84	353
Cash settlement of share-based compensation	(1)	(40)
Net cash provided by/(used for) financing activities	(770)	997
Net increase in cash and cash equivalents	7,631	4,415
Cash and cash equivalents, beginning of year	56,008	39,788
Cash and cash equivalents, end of period	63,639	44,203
SUPPLEMENTAL DISCLOSURES:
Cash payments for interest, net of capitalized interest	7,870	6,110
Cash payments for income taxes, net of refunds	1,090	1,640
Non-cash activities:
Debt assumed in connection with business acquisitions	77	2,090
Common stock issued in connection with business acquisitions		$ 103

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Condensed Consolidated Statements of Comprehensive Income (Unaudited) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Condensed Consolidated Statements of Comprehensive Income [Abstract]
Net earnings/(loss)	$ 1,512	$ (393)	$ 4,583	$ 3,429
Other comprehensive income/(loss), net of tax:
Currency translation adjustment, net of tax	(11)	(5)	(63)	(40)
Pension and postretirement liability adjustments, net of tax	6	1	13	4
Net unrealized gains/(losses) on available-for-sale securities, net of tax	129	37	184	8
Other comprehensive income/(loss)	124	33	134	(28)
Comprehensive income/(loss)	$ 1,636	$ (360)	$ 4,717	$ 3,401

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Securitization Activities

9 Months Ended

Sep. 30, 2012

Securitization Activities [Abstract]

Securitization Activities

Note 10.

Securitization Activities

The firm securitizes residential and commercial mortgages, corporate bonds, loans and other types of financial assets by selling these assets to securitization vehicles (e.g., trusts, corporate entities and limited liability companies) and acts as underwriter of the beneficial interests that are sold to investors. The firm’s residential mortgage securitizations are substantially all in connection with government agency securitizations.

Beneficial interests issued by securitization entities are debt or equity securities that give the investors rights to receive all or portions of specified cash inflows to a securitization vehicle and include senior and subordinated shares of principal, interest and/or other cash inflows. The proceeds from the sale of beneficial interests are used to pay the transferor for the financial assets sold to the securitization vehicle or to purchase securities which serve as collateral.

The firm accounts for a securitization as a sale when it has relinquished control over the transferred assets. Prior to securitization, the firm accounts for assets pending transfer at fair value and therefore does not typically recognize significant gains or losses upon the transfer of assets. Net revenues from underwriting activities are recognized in connection with the sales of the underlying beneficial interests to investors.

For transfers of assets that are not accounted for as sales, the assets remain in “Financial instruments owned, at fair value” and the transfer is accounted for as a collateralized financing, with the related interest expense recognized over the life of the transaction. See Notes 9 and 23 for further information about collateralized financings and interest expense, respectively.

The firm generally receives cash in exchange for the transferred assets but may also have continuing involvement with transferred assets, including ownership of beneficial interests in securitized financial assets, primarily in the form of senior or subordinated securities. The firm may also purchase senior or subordinated securities issued by securitization vehicles (which are typically VIEs) in connection with secondary market-making activities.

The primary risks included in beneficial interests and other interests from the firm’s continuing involvement with securitization vehicles are the performance of the underlying collateral, the position of the firm’s investment in the capital structure of the securitization vehicle and the market yield for the security. These interests are accounted for at fair value and are included in “Financial instruments owned, at fair value” and are generally classified in level 2 of the fair value hierarchy. See Notes 5 through 8 for further information about fair value measurements.

The table below presents the amount of financial assets securitized and the cash flows received on retained interests in securitization entities in which the firm had continuing involvement.

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Residential mortgages		$8,530	$10,091		$27,797	$31,642
Commercial mortgages		625	—		2,248	—
Other financial assets		—	153		—	234
Total		$9,155	$10,244		$30,045	$31,876
Cash flows on retained interests		$   161	$     239		$     333	$     594

The table below presents the firm’s continuing involvement in nonconsolidated securitization entities to which the firm sold assets, as well as the total outstanding principal amount of transferred assets in which the firm has continuing involvement. In this table:

Ÿ the outstanding principal amount is presented for the purpose of providing information about the size of the securitization entities in which the firm has continuing involvement and is not representative of the firm’s risk of loss;

Ÿ for retained or purchased interests, the firm’s risk of loss is limited to the fair value of these interests; and

Ÿ purchased interests represent senior and subordinated interests, purchased in connection with secondary market-making activities, in securitization entities in which the firm also holds retained interests.

	As of September 2012				As of December 2011
in millions		Outstanding Principal Amount	Fair Value of Retained Interests	Fair Value of Purchased Interests		Outstanding Principal Amount	Fair Value of Retained Interests	Fair Value of Purchased Interests
U.S. government agency-issued collateralized mortgage obligations  1		$57,923	$3,809	$   —		$70,448	$5,038	$   —
Other residential mortgage-backed  2		3,769	105	—		4,459	101	3
Commercial mortgage-backed 3		3,186	18	46		3,398	606	331
CDOs, CLOs and other 4		9,259	37	266		9,972	32	211
Total 5		$74,137	$3,969	$312		$88,277	$5,777	$545

1. Outstanding principal amount and fair value of retained interests primarily relate to securitizations during 2012 and 2011 as of September 2012, and securitizations during 2011 and 2010 as of December 2011.

2. Outstanding principal amount and fair value of retained interests as of both September 2012 and December 2011 primarily relate to prime and Alt-A securitizations during 2007 and 2006.

3. As of September 2012, the outstanding principal amount and the fair value of retained interests primarily relate to securitizations during 2012. As of December 2011, the outstanding principal amount primarily relates to securitizations during 2010, 2007 and 2006 and the fair value of retained interests primarily relates to securitizations during 2010.

4. Outstanding principal amount and fair value of retained interests as of both September 2012 and December 2011 primarily relate to CDO and CLO securitizations during 2007 and 2006.

5. Outstanding principal amount includes $815 million and $774 million as of September 2012 and December 2011, respectively, related to securitization entities in which the firm’s only continuing involvement is retained servicing which is not a variable interest.

In addition to the interests in the table above, the firm had other continuing involvement in the form of derivative transactions and guarantees with certain nonconsolidated VIEs. The carrying value of these derivatives and guarantees was a net liability of $3 million and $52 million as of September 2012 and December 2011, respectively. The notional amounts of these derivatives and guarantees are included in maximum exposure to loss in the nonconsolidated VIE tables in Note 11.

The table below presents the weighted average key economic assumptions used in measuring the fair value of retained interests and the sensitivity of this fair value to immediate adverse changes of 10% and 20% in those assumptions.

	As of September 2012					As of December 2011
	Type of Retained Interests					Type of Retained Interests
$ in millions		Mortgage-Backed		Other	1		Mortgage-Backed		Other	1
Fair value of retained interests		$3,932		$    37			$5,745		$    32
Weighted average life (years)		7.5		2.3			7.1		4.7
Constant prepayment rate 2		15.7	%	N.M.			14.1	%	N.M.
Impact of 10% adverse change 2		$    (68	)	N.M.			$    (55	)	N.M.
Impact of 20% adverse change 2		(128	)	N.M.			(108	)	N.M.
Discount rate 3		4.6	%	N.M.			5.4	%	N.M.
Impact of 10% adverse change		$    (83	)	N.M.			$  (125	)	N.M.
Impact of 20% adverse change		(155	)	N.M.			(240	)	N.M.

1. Due to the nature and current fair value of certain of these retained interests, the weighted average assumptions for constant prepayment and discount rates and the related sensitivity to adverse changes are not meaningful as of September 2012 and December 2011. The firm’s maximum exposure to adverse changes in the value of these interests is the carrying value of $37 million and $32 million as of September 2012 and December 2011, respectively.

2. Constant prepayment rate is included only for positions for which constant prepayment rate is a key assumption in the determination of fair value.

3. The majority of mortgage-backed retained interests are U.S. government agency-issued collateralized mortgage obligations, for which there is no anticipated credit loss. For the remainder of retained interests, the expected credit loss assumptions are reflected in the discount rate.

The preceding table does not give effect to the offsetting benefit of other financial instruments that are held to mitigate risks inherent in these retained interests. Changes in fair value based on an adverse variation in assumptions generally cannot be extrapolated because the relationship of the change in assumptions to the change in fair value is not usually linear. In addition, the impact of a change in a particular assumption in the preceding table is calculated independently of changes in any other assumption. In practice, simultaneous changes in assumptions might magnify or counteract the sensitivities disclosed above.

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Regulation and Capital Adequacy (Details) (USD $)	Sep. 30, 2012	Dec. 31, 2011
Regulation and Capital Adequacy (Textuals) [Abstract]
Minimum Tier 1 capital ratio	4.00%
Minimum total capital ratio	8.00%
Well-capitalized minimum Tier 1 capital ratio	6.00%
Well-capitalized minimum total capital ratio	10.00%
Minimum Tier 1 leverage ratio for bank holding companies with highest supervisory rating	3.00%
Minimum Tier 1 leverage ratio for other bank holding companies without highest supervisory ratings	4.00%
Additional Tier 1 common equity that the firm would be required to hold as a globally systemically important bank	1.50%
Tier 1 Capital	$ 65,230,000,000	$ 63,262,000,000
Tier 2 Capital	13,425,000,000	13,881,000,000
Total Capital	78,655,000,000	77,143,000,000
Risk-Weighted Assets	435,331,000,000	457,027,000,000
Tier 1 Capital Ratio	15.00%	13.80%
Total Capital Ratio	18.10%	16.90%
Tier 1 Leverage Ratio	7.20%	7.00%
Minimum equity capital that is required to be maintained in regulated subsidiaries	30,890,000,000	25,530,000,000
Additional Tier 1 common equity that may be required to be maintained by a bank that increases its systemic foot print	3.50%
Minimum [Member]
Regulation and Capital Adequacy (Textuals) [Abstract]
Initial Range of additional Tier 1 common equity that should be maintained by banking institutions deemed to be globally systemically important	1.00%
Maximum [Member]
Regulation and Capital Adequacy (Textuals) [Abstract]
Initial Range of additional Tier 1 common equity that should be maintained by banking institutions deemed to be globally systemically important	2.50%
GS&Co [Member]
Regulation and Capital Adequacy (Textuals) [Abstract]
Regulatory net capital as defined by Rule 15c3-1	13,240,000,000	11,240,000,000
Excess amount of regulatory net capital as defined by Rule 15c3-1	11,410,000,000	9,340,000,000
Amount of broker-dealer tentative net capital required to be held in accordance with Appendix E of Rule 15c3-1	1,000,000,000
Amount of broker-dealer net capital required to be held in accordance with Appendix E of Rule 15c3-1	500,000,000
Minimum tentative net capital required to be maintained by GS&Co or must notify the SEC	5,000,000,000
GSEC [Member]
Regulation and Capital Adequacy (Textuals) [Abstract]
Regulatory net capital as defined by Rule 15c3-1	2,210,000,000	2,100,000,000
Excess amount of regulatory net capital as defined by Rule 15c3-1	2,080,000,000	2,000,000,000
GS Bank USA [Member]
Regulation and Capital Adequacy (Textuals) [Abstract]
Well-capitalized minimum Tier 1 capital ratio	6.00%
Well-capitalized minimum total capital ratio	10.00%
Well-capitalized minimum Tier 1 leverage ratio	5.00%
Tier 1 capital ratio expected to be maintained by GS Bank USA for a period of time	8.00%
Total capital ratio expected to be maintained by GS Bank USA for a period of time	11.00%
Tier 1 leverage ratio expected to be maintained by GS Bank USA for a period of time	6.00%
Amount deposited by the firm's depository institution subsidiaries held at the Federal Reserve Bank	49,720,000,000	40,060,000,000
Excess amount deposited by the firm's depository institution subsidiaries held at the Federal Reserve Bank	49,420,000,000	39,510,000,000
Tier 1 Capital	20,333,000,000	19,251,000,000
Tier 2 Capital	33,000,000	6,000,000
Total Capital	20,366,000,000	19,257,000,000
Risk-Weighted Assets	$ 112,922,000,000	$ 112,824,000,000
Tier 1 Capital Ratio	18.00%	17.10%
Total Capital Ratio	18.00%	17.10%
Tier 1 Leverage Ratio	17.80%	18.50%

XML

Long-Term Borrowings (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Long-term borrowings
Other secured financings (long-term)	$ 8,343	$ 8,179
Unsecured long-term borrowings	167,878	173,545
Long-term borrowings	$ 176,221	$ 181,724

XML

Deposits (Details) (USD $)	Sep. 30, 2012	Dec. 31, 2011
Deposits [Abstract]
U.S. offices	$ 53,643,000,000	$ 38,477,000,000
Non-U.S. offices	7,883,000,000	7,632,000,000
Total Deposits	61,526,000,000	46,109,000,000
Maturities of Time Deposits [Abstract]
Remainder of 2012	2,524,000,000
2013	5,671,000,000
2014	3,363,000,000
2015	2,784,000,000
2016	1,435,000,000
2017	2,002,000,000
2018 - thereafter	4,483,000,000
Total time deposits	22,262,000,000
Deposits (Textuals) [Abstract]
Total domestic time deposits greater than $100,000	48,000,000
Domestic time deposits greater than $100,000 maturing within three months	6,000,000
Domestic time deposits greater than $100,000 maturing within three to six months	6,000,000
Domestic time deposits greater than $100,000 maturing within six to twelve months	29,000,000
Domestic time deposits greater than $100,000 maturing after twelve months	7,000,000
Total demand deposits	39,260,000,000
Time Deposits Not Accounted For At Fair Value Under the Fair Value Option	16,590,000,000
U.S.
Maturities of Time Deposits [Abstract]
Remainder of 2012	875,000,000
2013	5,069,000,000
2014	3,363,000,000
2015	2,784,000,000
2016	1,435,000,000
2017	2,002,000,000
2018 - thereafter	4,483,000,000
Total time deposits	20,011,000,000
Non-U.S.
Maturities of Time Deposits [Abstract]
Remainder of 2012	1,649,000,000
2013	602,000,000
2014	0
2015	0
2016	0
2017	0
2018 - thereafter	0
Total time deposits	$ 2,251,000,000

XML

Document and Entity Information	9 Months Ended
	Sep. 30, 2012	Oct. 26, 2012
Document and Entity Information [Abstract]
Entity Registrant Name	GOLDMAN SACHS GROUP INC
Entity Central Index Key	0000886982
Document Type	10-Q
Document Period End Date	Sep. 30, 2012
Amendment Flag	false
Document Fiscal Year Focus	2012
Document Fiscal Period Focus	Q3
Current Fiscal Year End Date	--12-31
Entity Filer Category	Large Accelerated Filer
Entity Common Stock, Shares Outstanding		469,943,620

XML

Variable Interest Entities

9 Months Ended

Sep. 30, 2012

Variable Interest Entities [Abstract]

Variable Interest Entities

Note 11.

Variable Interest Entities

VIEs generally finance the purchase of assets by issuing debt and equity securities that are either collateralized by or indexed to the assets held by the VIE. The debt and equity securities issued by a VIE may include tranches of varying levels of subordination. The firm’s involvement with VIEs includes securitization of financial assets, as described in Note 10, and investments in and loans to other types of VIEs, as described below. See Note 10 for additional information about securitization activities, including the definition of beneficial interests. See Note 3 for the firm’s consolidation policies, including the definition of a VIE.

The firm is principally involved with VIEs through the following business activities:

Mortgage-Backed VIEs and Corporate CDO and CLO VIEs. The firm sells residential and commercial mortgage loans and securities to mortgage-backed VIEs and corporate bonds and loans to corporate CDO and CLO VIEs and may retain beneficial interests in the assets sold to these VIEs. The firm purchases and sells beneficial interests issued by mortgage-backed and corporate CDO and CLO VIEs in connection with market-making activities. In addition, the firm may enter into derivatives with certain of these VIEs, primarily interest rate swaps, which are typically not variable interests. The firm generally enters into derivatives with other counterparties to mitigate its risk from derivatives with these VIEs.

Certain mortgage-backed and corporate CDO and CLO VIEs, usually referred to as synthetic CDOs or credit-linked note VIEs, synthetically create the exposure for the beneficial interests they issue by entering into credit derivatives, rather than purchasing the underlying assets. These credit derivatives may reference a single asset, an index, or a portfolio/basket of assets or indices. See Note 7 for further information about credit derivatives. These VIEs use the funds from the sale of beneficial interests and the premiums received from credit derivative counterparties to purchase securities which serve to collateralize the beneficial interest holders and/or the credit derivative counterparty. These VIEs may enter into other derivatives, primarily interest rate swaps, which are typically not variable interests. The firm may be a counterparty to derivatives with these VIEs and generally enters into derivatives with other counterparties to mitigate its risk.

Real Estate, Credit-Related and Other Investing VIEs. The firm purchases equity and debt securities issued by and makes loans to VIEs that hold real estate, performing and nonperforming debt, distressed loans and equity securities.

Other Asset-Backed VIEs. The firm structures VIEs that issue notes to clients and purchases and sells beneficial interests issued by other asset-backed VIEs in connection with market-making activities. In addition, the firm may enter into derivatives with certain other asset-backed VIEs, primarily total return swaps on the collateral assets held by these VIEs under which the firm pays the VIE the return due to the note holders and receives the return on the collateral assets owned by the VIE. The firm generally can be removed as the total return swap counterparty. The firm generally enters into derivatives with other counterparties to mitigate its risk from derivatives with these VIEs. The firm typically does not sell assets to the other asset-backed VIEs it structures.

Power-Related VIEs. The firm purchases debt and equity securities issued by and may provide guarantees to VIEs that hold power-related assets. The firm typically does not sell assets to or enter into derivatives with these VIEs.

Investment Funds. The firm purchases equity securities issued by and may provide guarantees to certain of the investment funds it manages. The firm typically does not sell assets to or enter into derivatives with these VIEs.

Principal-Protected Note VIEs. The firm structures VIEs that issue principal-protected notes to clients. These VIEs own portfolios of assets, principally with exposure to hedge funds. Substantially all of the principal protection on the notes issued by these VIEs is provided by the asset portfolio rebalancing that is required under the terms of the notes. The firm enters into total return swaps with these VIEs under which the firm pays the VIE the return due to the principal-protected note holders and receives the return on the assets owned by the VIE. The firm may enter into derivatives with other counterparties to mitigate the risk it has from the derivatives it enters into with these VIEs. The firm also obtains funding through these VIEs.

VIE Consolidation Analysis

A variable interest in a VIE is an investment (e.g., debt or equity securities) or other interest (e.g., derivatives or loans and lending commitments) in a VIE that will absorb portions of the VIE’s expected losses and/or receive portions of the VIE’s expected residual returns.

The firm’s variable interests in VIEs include senior and subordinated debt in residential and commercial mortgage-backed and other asset-backed securitization entities, CDOs and CLOs; loans and lending commitments; limited and general partnership interests; preferred and common equity; derivatives that may include foreign currency, equity and/or credit risk; guarantees; and certain of the fees the firm receives from investment funds. Certain interest rate, foreign currency and credit derivatives the firm enters into with VIEs are not variable interests because they create rather than absorb risk.

The enterprise with a controlling financial interest in a VIE is known as the primary beneficiary and consolidates the VIE. The firm determines whether it is the primary beneficiary of a VIE by performing an analysis that principally considers:

Ÿ which variable interest holder has the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance;

Ÿ which variable interest holder has the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE;

Ÿ the VIE’s purpose and design, including the risks the VIE was designed to create and pass through to its variable interest holders;

Ÿ the VIE’s capital structure;

Ÿ the terms between the VIE and its variable interest holders and other parties involved with the VIE; and

Ÿ related-party relationships.

The firm reassesses its initial evaluation of whether an entity is a VIE when certain reconsideration events occur. The firm reassesses its determination of whether it is the primary beneficiary of a VIE on an ongoing basis based on current facts and circumstances.

Nonconsolidated VIEs

The firm’s exposure to the obligations of VIEs is generally limited to its interests in these entities. In certain instances, the firm provides guarantees, including derivative guarantees, to VIEs or holders of variable interests in VIEs.

The tables below present information about nonconsolidated VIEs in which the firm holds variable interests. Nonconsolidated VIEs are aggregated based on principal business activity. The nature of the firm’s variable interests can take different forms, as described in the rows under maximum exposure to loss. In the tables below:

Ÿ The maximum exposure to loss excludes the benefit of offsetting financial instruments that are held to mitigate the risks associated with these variable interests.

Ÿ For retained and purchased interests and loans and investments, the maximum exposure to loss is the carrying value of these interests.

Ÿ For commitments and guarantees, and derivatives, the maximum exposure to loss is the notional amount, which does not represent anticipated losses and also has not been reduced by unrealized losses already recorded. As a result, the maximum exposure to loss exceeds liabilities recorded for commitments and guarantees, and derivatives provided to VIEs.

The carrying values of the firm’s variable interests in nonconsolidated VIEs are included in the consolidated statement of financial condition as follows:

Ÿ Substantially all assets held by the firm related to mortgage-backed, corporate CDO and CLO and other asset-backed VIEs and investment funds are included in “Financial instruments owned, at fair value.” Substantially all liabilities held by the firm related to corporate CDO and CLO and other asset-backed VIEs are included in “Financial instruments sold, but not yet purchased, at fair value.”

Ÿ Assets and liabilities held by the firm related to real estate, credit-related and other investing VIEs are primarily included in “Financial instruments owned, at fair value” and “Financial instruments sold, but not yet purchased, at fair value” and “Other liabilities and accrued expenses,” respectively.

Ÿ Assets and liabilities held by the firm related to power-related VIEs are primarily included in “Other assets” and “Other liabilities and accrued expenses,” respectively.

	Nonconsolidated VIEs
	As of September 2012
in millions		Mortgage- backed		Corporate CDOs and CLOs	Real estate, credit- related and other investing	Other asset- backed	Power- related	Investment funds	Total
Assets in VIE		$85,380	2	$22,363	$9,522	$3,626	$537	$2,263	$123,691
Carrying Value of the Firm’s Variable Interests
Assets		5,533		1,206	1,736	249	287	5	9,016
Liabilities		—		34	—	30	—	—	64
Maximum Exposure to Loss in Nonconsolidated VIEs
Retained interests		3,932		37	—	—	—	—	3,969
Purchased interests		1,317		680	—	230	—	—	2,227
Commitments and guarantees 1		—		1	398	—	2	1	402
Derivatives 1		1,994		6,382	—	1,081	—	—	9,457
Loans and investments		42		—	1,736	—	287	5	2,070
Total		$  7,285	2	$  7,100	$2,134	$1,311	$289	$       6	$  18,125
	Nonconsolidated VIEs
	As of December 2011
in millions		Mortgage- backed		Corporate CDOs and CLOs	Real estate, credit- related and other investing	Other asset- backed	Power- related	Investment funds	Total
Assets in VIE		$94,047	2	$20,340	$8,974	$4,593	$519	$2,208	$130,681
Carrying Value of the Firm’s Variable Interests
Assets		7,004		911	1,495	352	289	5	10,056
Liabilities		—		63	3	24	2	—	92
Maximum Exposure to Loss in Nonconsolidated VIEs
Retained interests		5,745		32	—	—	—	—	5,777
Purchased interests		962		368	—	333	—	—	1,663
Commitments and guarantees 1		—		1	373	—	46	—	420
Derivatives 1		2,469		7,529	—	1,221	—	—	11,219
Loans and investments		82		—	1,495	—	288	5	1,870
Total		$  9,258	2	$  7,930	$1,868	$1,554	$334	$       5	$  20,949

1. The aggregate amounts include $3.59 billion and $4.17 billion as of September 2012 and December 2011, respectively, related to guarantees and derivative transactions with VIEs to which the firm transferred assets.

2. Assets in VIE and maximum exposure to loss include $7.11 billion and $2.42 billion, respectively, as of September 2012, and $6.15 billion and $2.62 billion, respectively, as of December 2011, related to CDOs backed by mortgage obligations.

Consolidated VIEs

The tables below present the carrying amount and classification of assets and liabilities in consolidated VIEs, excluding the benefit of offsetting financial instruments that are held to mitigate the risks associated with the firm’s variable interests. Consolidated VIEs are aggregated based on principal business activity and their assets and liabilities are presented net of intercompany eliminations. The majority of the assets in principal-protected notes VIEs are intercompany and are eliminated in consolidation.

Substantially all the assets in consolidated VIEs can only be used to settle obligations of the VIE.

The tables below exclude VIEs in which the firm holds a majority voting interest if (i) the VIE meets the definition of a business and (ii) the VIE’s assets can be used for purposes other than the settlement of its obligations.

The liabilities of real estate, credit-related and other investing VIEs and CDOs, mortgage-backed and other asset-backed VIEs do not have recourse to the general credit of the firm.

	Consolidated VIEs
	As of September 2012
in millions		Real estate, credit-related and other investing	CDOs, mortgage-backed and other asset-backed	Principal- protected notes	Total
Assets
Cash and cash equivalents		$   286	$  —	$     —	$   286
Cash and securities segregated for regulatory and other purposes		111	—	93	204
Receivables from brokers, dealers and clearing organizations		3	—	—	3
Financial instruments owned, at fair value		2,582	569	170	3,321
Other assets		1,331	—	—	1,331
Total		$4,313	$569	$   263	$5,145
Liabilities
Other secured financings		$   665	$566	$   289	$1,520
Financial instruments sold, but not yet purchased, at fair value		—	—	4	4
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings		—	—	1,963	1,963
Unsecured long-term borrowings		4	—	220	224
Other liabilities and accrued expenses		1,965	—	—	1,965
Total		$2,634	$566	$2,476	$5,676

	Consolidated VIEs
	As of December 2011
in millions		Real estate, credit-related and other investing	CDOs, mortgage-backed and other asset-backed	Principal- protected notes	Total
Assets
Cash and cash equivalents		$   660	$  51	$       1	$   712
Cash and securities segregated for regulatory and other purposes		139	—	—	139
Receivables from brokers, dealers and clearing organizations		4	—	—	4
Receivables from customers and counterparties		—	16	—	16
Financial instruments owned, at fair value		2,369	352	112	2,833
Other assets		1,552	437	—	1,989
Total		$4,724	$856	$   113	$5,693
Liabilities
Other secured financings		$1,418	$298	$3,208	$4,924
Payables to customers and counterparties		—	9	—	9
Financial instruments sold, but not yet purchased, at fair value		—	—	2	2
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings		185	—	1,941	2,126
Unsecured long-term borrowings		4	—	269	273
Other liabilities and accrued expenses		2,046	40	—	2,086
Total		$3,653	$347	$5,420	$9,420

XML

Fair Value Option (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Jun. 30, 2012	Dec. 31, 2011
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	$ 651,647	$ 651,160	$ 651,312
Total financial liabilities at fair value	381,934	380,087	388,669
Securities segregated for regulatory and other purposes	34,087		42,014
Securities purchased under agreements to resell and federal funds sold at fair value	147,361		187,789
Securities Borrowed at Fair Value	47,986		47,621
Receivables from customers and counterparties at fair value	6,920		9,682
Deposits at fair value	5,674		4,526
Securities sold under agreements to repurchase, at fair value	166,186		164,502
Securities loaned at fair value	243		107
Other secured financings at fair value	25,179		30,019
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings, at fair value	17,620		17,854
Unsecured long-term borrowings at fair value	12,878		17,162
Other liabilities and accrued expenses at fair value	9,975		9,486
Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	183,205	163,712	136,780
Total financial liabilities at fair value	80,843	86,453	75,557
Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	526,914	552,082	587,416
Total financial liabilities at fair value	309,289	303,084	319,160
Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	47,810	46,505	47,937
Total financial liabilities at fair value	24,002	23,127	25,498
Securities segregated for regulatory and other purposes at fair value [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	25,346		21,263
Securities segregated for regulatory and other purposes at fair value [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	8,741		20,751
Securities segregated for regulatory and other purposes at fair value [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Securities purchased under agreements to resell at fair value [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Securities purchased under agreements to resell at fair value [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	147,176		187,232
Securities purchased under agreements to resell at fair value [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	185		557
Securities borrowed at fair value [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Securities borrowed at fair value [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	47,986		47,621
Securities borrowed at fair value [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Receivables from customers and counterparties at fair value [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Receivables from customers and counterparties at fair value [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	6,295		8,887
Receivables from customers and counterparties at fair value [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	625		795
Deposits At Fair Value [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	0		0
Deposits At Fair Value [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	5,373		4,513
Deposits At Fair Value [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	301		13
Securities Sold Under Agreements To Repurchase At Fair Value [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	0		0
Securities Sold Under Agreements To Repurchase At Fair Value [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	164,067		162,321
Securities Sold Under Agreements To Repurchase At Fair Value [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	2,119		2,181
Securities Loaned At Fair Value [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	0		0
Securities Loaned At Fair Value [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	243		107
Securities Loaned At Fair Value [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	0		0
Other Secured Financings At Fair Value [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	0		0
Other Secured Financings At Fair Value [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	23,926		28,267
Other Secured Financings At Fair Value [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	1,253		1,752
Unsecured Short-Term Borrowings Including Current Portion Of Unsecured Long-Term Borrowings At Fair Value [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	0		0
Unsecured Short-Term Borrowings Including Current Portion Of Unsecured Long-Term Borrowings At Fair Value [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	14,939		14,560
Unsecured Short-Term Borrowings Including Current Portion Of Unsecured Long-Term Borrowings At Fair Value [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	2,681		3,294
Unsecured Long-term Borrowings At Fair Value [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	0		0
Unsecured Long-term Borrowings At Fair Value [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	10,877		14,971
Unsecured Long-term Borrowings At Fair Value [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	2,001		2,191
Other Liabilities And Accrued Expenses At Fair Value [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	0		0
Other Liabilities And Accrued Expenses At Fair Value [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	492		490
Other Liabilities And Accrued Expenses At Fair Value [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial liabilities at fair value	9,483		8,996
Other Financial Assets and Liabilities At Fair Value [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	236,354		287,106
Total financial liabilities at fair value	237,755		243,656
Other Financial Assets and Liabilities At Fair Value [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	25,346		21,263
Total financial liabilities at fair value	0		0
Other Financial Assets and Liabilities At Fair Value [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	210,198		264,491
Total financial liabilities at fair value	219,917		225,229
Other Financial Assets and Liabilities At Fair Value [Member] | Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	810		1,352
Total financial liabilities at fair value	17,838		18,427
Securities segregated for regulatory and other purposes at fair value not under fair value option [Member] | Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	25,350		21,260
Securities segregated for regulatory and other purposes at fair value not under fair value option [Member] | Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	$ 531		$ 528

XML

Goodwill and Identifiable Intangible Assets (Details 2) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Amortization expense for identifiable intangible assets
Amortization related to identifiable intangible assets	$ 60	$ 84	$ 206	$ 207
Finite-Lived Intangible Assets, Future Amortization Expense
Remainder of 2012			72
Future amortization, 2013			247
Future amortization, 2014			215
Future amortization, 2015			181
Future amortization, 2016			177
Future amortization, 2017			$ 173

XML

Condensed Consolidated Statements of Financial Condition (Unaudited) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Assets
Cash and cash equivalents	$ 63,639	$ 56,008
Cash and securities segregated for regulatory and other purposes (includes $34,087 and $42,014 at fair value as of September 2012 and December 2011, respectively)	53,597	64,264
Collateralized agreements:
Securities purchased under agreements to resell and federal funds sold (includes $147,361 and $187,789 at fair value as of September 2012 and December 2011, respectively)	147,361	187,789
Securities borrowed (includes $47,986 and $47,621 at fair value as of September 2012 and December 2011, respectively)	165,250	153,341
Receivables from brokers, dealers and clearing organizations	15,556	14,204
Receivables from customers and counterparties (includes $6,920 and $9,682 at fair value as of September 2012 and December 2011, respectively)	64,787	60,261
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	415,293	364,206
Other assets	23,724	23,152
Total assets	949,207	923,225
Liabilities and shareholders' equity
Deposits (includes $5,674 and $4,526 at fair value as of September 2012 and December 2011, respectively)	61,526	46,109
Collateralized financings:
Securities sold under agreements to repurchase, at fair value	166,186	164,502
Securities loaned (includes $243 and $107 at fair value as of September 2012 and December 2011, respectively)	13,640	7,182
Other secured financings (includes $25,179 and $30,019 at fair value as of September 2012 and December 2011, respectively)	29,393	37,364
Payables to brokers, dealers and clearing organizations	6,635	3,667
Payables to customers and counterparties	198,816	194,625
Financial instruments sold, but not yet purchased, at fair value	144,179	145,013
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings (includes $17,620 and $17,854 at fair value as of September 2012 and December 2011, respectively)	47,271	49,038
Unsecured long-term borrowings (includes $12,878 and $17,162 at fair value as of September 2012 and December 2011, respectively)	167,878	173,545
Other liabilities and accrued expenses (includes $9,975 and $9,486 at fair value as of September 2012 and December 2011, respectively)	39,996	31,801
Total liabilities	875,520	852,846
Commitments, contingencies and guarantees
Shareholders' equity
Preferred stock, par value $0.01 per share; aggregate liquidation preference of $5,350 and $3,100 as of September 2012 and December 2011, respectively	5,350	3,100
Common stock, par value $0.01 per share; 4,000,000,000 shares authorized, 810,459,443 and 795,555,310 shares issued as of September 2012 and December 2011, respectively, and 471,430,795 and 485,467,565 shares outstanding as of September 2012 and December 2011, respectively	8	8
Restricted stock units and employee stock options	4,109	5,681
Nonvoting common stock, par value $0.01 per share; 200,000,000 shares authorized, no shares issued and outstanding
Additional paid-in capital	47,298	45,553
Retained earnings	62,638	58,834
Accumulated other comprehensive loss	(382)	(516)
Stock held in treasury, at cost, par value $0.01 per share; 339,028,650 and 310,087,747 shares as of September 2012 and December 2011, respectively	(45,334)	(42,281)
Total shareholders' equity	73,687	70,379
Total liabilities and shareholders' equity	$ 949,207	$ 923,225

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Fair Value Measurements

9 Months Ended

Sep. 30, 2012

Fair Value Measurements [Abstract]

Fair Value Measurements

Note 5.

Fair Value Measurements

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial assets are marked to bid prices and financial liabilities are marked to offer prices. Fair value measurements do not include transaction costs. The firm measures certain financial assets and financial liabilities as a portfolio (i.e., based on its net exposure to market and/or credit risks).

The best evidence of fair value is a quoted price in an active market. If quoted prices in active markets are not available, fair value is determined by reference to prices for similar instruments, quoted prices or recent transactions in less active markets, or internally developed models that primarily use market-based or independently sourced parameters as inputs including, but not limited to, interest rates, volatilities, equity or debt prices, foreign exchange rates, commodity prices, credit spreads and funding spreads (i.e., the spread, or difference, between the interest rate at which a borrower could finance a given financial instrument relative to a benchmark interest rate).

U.S. GAAP has a three-level fair value hierarchy for disclosure of fair value measurements. The fair value hierarchy prioritizes inputs to the valuation techniques used to measure fair value, giving the highest priority to level 1 inputs and the lowest priority to level 3 inputs. A financial instrument’s level in the fair value hierarchy is based on the lowest level of input that is significant to its fair value measurement.

The fair value hierarchy is as follows:

Level 1. Inputs are unadjusted quoted prices in active markets to which the firm had access at the measurement date for identical, unrestricted assets or liabilities.

Level 2. Inputs to valuation techniques are observable, either directly or indirectly.

Level 3. One or more inputs to valuation techniques are significant and unobservable.

The fair values for substantially all of the firm’s financial assets and financial liabilities are based on observable prices and inputs and are classified in levels 1 and 2 of the fair value hierarchy. Certain level 2 and level 3 financial assets and financial liabilities may require appropriate valuation adjustments that a market participant would require to arrive at fair value for factors such as counterparty and the firm’s credit quality, funding risk, transfer restrictions, liquidity and bid/offer spreads. Valuation adjustments are generally based on market evidence.

See Notes 6 and 7 for further information about fair value measurements of cash instruments and derivatives, respectively, included in “Financial instruments owned, at fair value” and “Financial instruments sold, but not yet purchased, at fair value,” and Note 8 for further information about fair value measurements of other financial assets and financial liabilities accounted for at fair value under the fair value option.

Financial assets and financial liabilities accounted for at fair value under the fair value option or in accordance with other U.S. GAAP are summarized below.

	As of
$ in millions		September 2012		June 2012		December 2011
Total level 1 financial assets		$ 183,205		$ 163,712		$ 136,780
Total level 2 financial assets		526,914		552,082		587,416
Total level 3 financial assets		47,810		46,505		47,937
Cash collateral and counterparty netting  1		(106,282	)	(111,139	)	(120,821	)
Total financial assets at fair value		$ 651,647		$ 651,160		$ 651,312
Total assets		$ 949,207		$ 948,638		$ 923,225
Total level 3 financial assets as a percentage of Total assets		5.0	%	4.9	%	5.2	%
Total level 3 financial assets as a percentage of Total financial assets at fair value		7.3	%	7.1	%	7.4	%
Total level 1 financial liabilities		$   80,843		$   86,453		$   75,557
Total level 2 financial liabilities		309,289		303,084		319,160
Total level 3 financial liabilities		24,002		23,127		25,498
Cash collateral and counterparty netting 1		(32,200	)	(32,577	)	(31,546	)
Total financial liabilities at fair value		$ 381,934		$ 380,087		$ 388,669
Total level 3 financial liabilities as a percentage of Total financial liabilities at fair value		6.3	%	6.1	%	6.6	%

1. Represents the impact on derivatives of cash collateral netting, and counterparty netting across levels of the fair value hierarchy. Netting among positions classified in the same level is included in that level.

Level 3 financial assets as of September 2012 increased compared with June 2012, primarily reflecting an increase in private equity investments and derivative assets. The increase in private equity investments primarily reflected transfers from level 2, unrealized gains and purchases, partially offset by transfers to level 2. The increase in derivative assets primarily reflected an increase in credit derivatives, principally due to transfers from level 2, partially offset by unrealized losses and settlements.

Level 3 financial assets as of September 2012 were essentially unchanged compared with December 2011.

See Notes 6, 7 and 8 for further information about level 3 cash instruments, derivatives and other financial assets and financial liabilities accounted for at fair value under the fair value option, respectively, including information about significant unrealized gains and losses, and transfers in and out of level 3.

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Financial Instruments Owned, at Fair Value and Financial Instruments Sold, But Not Yet Purchased, at Fair Value

9 Months Ended

Sep. 30, 2012

Financial Instruments Owned, at Fair Value and Financial Instruments Sold, But Not Yet Purchased, at Fair Value [Abstract]

Financial Instruments Owned, at Fair Value and Financial Instruments Sold, But Not Yet Purchased, at Fair Value

Note 4.

Financial Instruments Owned, at Fair
Value and Financial Instruments Sold, But
Not Yet Purchased, at Fair Value

Financial instruments owned, at fair value and financial instruments sold, but not yet purchased, at fair value are accounted for at fair value either under the fair value option or in accordance with other U.S. GAAP. See Note 8 for further information about the fair value option. The table below presents the firm’s financial instruments owned, at fair value, including those pledged as collateral, and financial instruments sold, but not yet purchased, at fair value. Financial instruments owned, at fair value included $9.08 billion and $4.86 billion as of September 2012 and December 2011, respectively, of securities accounted for as available-for-sale, substantially all of which are held in the firm’s insurance subsidiaries.

	As of September 2012			As of December 2011
in millions	Financial Instruments Owned	Financial Instruments Sold, But Not Yet Purchased			Financial Instruments Owned	Financial Instruments Sold, But Not Yet Purchased
Commercial paper, certificates of deposit, time deposits and other money market instruments	$  10,708	$          —			$  13,440	$          —
U.S. government and federal agency obligations	95,529	22,945			87,040	21,006
Non-U.S. government and agency obligations	62,952	36,630			49,205	34,886
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate	7,536	—			6,699	27
Loans and securities backed by residential real estate	9,602	8			7,592	3
Bank loans and bridge loans	21,011	2,143	2		19,745	2,756	2
Corporate debt securities	25,345	6,902			22,131	6,553
State and municipal obligations	3,296	2			3,089	3
Other debt obligations	4,489	—			4,362	—
Equities and convertible debentures	91,225	23,778			65,113	21,326
Commodities	10,771	—			5,762	—
Derivatives 1	72,829	51,771			80,028	58,453
Total	$415,293	$144,179			$364,206	$145,013

1. Net of cash collateral received or posted under credit support agreements and reported on a net-by-counterparty basis when a legal right of setoff exists under an enforceable netting agreement.

2. Primarily relates to the fair value of unfunded lending commitments for which the fair value option was elected.

Gains and Losses from Market Making and Other Principal Transactions

The table below presents, by major product type, the firm’s “Market making” and “Other principal transactions” revenues. These gains/(losses) are primarily related to the firm’s financial instruments owned, at fair value and financial instruments sold, but not yet purchased, at fair value, including both derivative and non-derivative financial instruments. These gains/(losses) exclude related interest income and interest expense. See Note 23 for further information about interest income and interest expense.

The gains/(losses) in the table are not representative of the manner in which the firm manages its business activities because many of the firm’s market-making, client facilitation, and investing and lending strategies utilize financial instruments across various product types. Accordingly, gains or losses in one product type frequently offset gains or losses in other product types. For example, most of the firm’s longer-term derivatives are sensitive to changes in interest rates and may be economically hedged with interest rate swaps. Similarly, a significant portion of the firm’s cash instruments and derivatives has exposure to foreign currencies and may be economically hedged with foreign currency contracts.

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Interest rates		$1,833	$(1,674)		$  3,157	$1,766
Credit		1,190	213		4,365	3,193
Currencies		(698)	2,271		(646)	(319)
Equities		1,910	(1,998)		4,097	1,876
Commodities		(12)	218		564	1,104
Other		229	231		1,024	1,053
Total		$4,452	$   (739)		$12,561	$8,673

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Long-Term Borrowings

9 Months Ended

Sep. 30, 2012

Long-Term Borrowings [Abstract]

Long-Term Borrowings

Note 16.

Long-Term Borrowings

Long-term borrowings were comprised of the following:

	As of
in millions		September 2012	December 2011
Other secured financings (long-term)		$    8,343	$    8,179
Unsecured long-term borrowings		167,878	173,545
Total		$176,221	$181,724

See Note 9 for further information about other secured financings. The table below presents unsecured long-term borrowings extending through 2061 and consisting principally of senior borrowings.

	As of September 2012				As of December 2011
in millions		U.S. Dollar	Non-U.S. Dollar	Total		U.S. Dollar	Non-U.S. Dollar	Total
Fixed-rate obligations 1		$  89,700	$35,911	$125,611		$  84,058	$38,569	$122,627
Floating-rate obligations 2		21,281	20,986	42,267		23,436	27,482	50,918
Total		$110,981	$56,897	$167,878		$107,494	$66,051	$173,545

1. Interest rates on U.S. dollar-denominated debt ranged from 0.20% to 10.04% (with a weighted average rate of 5.54%) and 0.10% to 10.04% (with a weighted average rate of 5.62%) as of September 2012 and December 2011, respectively. Interest rates on non-U.S. dollar-denominated debt ranged from 0.10% to 14.85% (with a weighted average rate of 4.71%) and 0.85% to 14.85% (with a weighted average rate of 4.75%) as of September 2012 and December 2011, respectively.

2. Floating interest rates generally are based on LIBOR or the federal funds target rate. Equity-linked and indexed instruments are included in floating-rate obligations.

The table below presents unsecured long-term borrowings by maturity date. In the table below:

Ÿ unsecured long-term borrowings maturing within one year of the financial statement date and unsecured long-term borrowings that are redeemable within one year of the financial statement date at the option of the holders are included as unsecured short-term borrowings;

Ÿ unsecured long-term borrowings that are repayable prior to maturity at the option of the firm are reflected at their contractual maturity dates; and

Ÿ unsecured long-term borrowings that are redeemable prior to maturity at the option of the holders are reflected at the dates such options become exercisable.

in millions	As of September 2012
2013	$    3,941
2014	21,653
2015	19,825
2016	21,929
2017	20,289
2018 - thereafter	80,241
Total 1	$167,878

1. Includes $11.20 billion related to interest rate hedges on certain unsecured long-term borrowings, by year of maturity as follows: $102 million in 2013, $655 million in 2014, $594 million in 2015, $1.23 billion in 2016, $1.38 billion in 2017 and $7.24 billion in 2018 and thereafter.

The fair value of unsecured long-term borrowings (principal and non-principal-protected) for which the fair value option was elected exceeded the related aggregate contractual principal amount by $159 million as of September 2012, whereas the aggregate contractual principal amount exceeded the related fair value by $693 million as of December 2011.

The firm designates certain derivatives as fair value hedges to effectively convert a substantial portion of its fixed-rate unsecured long-term borrowings which are not accounted for at fair value into floating-rate obligations. Accordingly, excluding the cumulative impact of changes in the firm’s credit spreads, the carrying value of unsecured long-term borrowings approximated fair value as of September 2012 and December 2011. While these unsecured long-term borrowings are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these borrowings been included in the firm’s fair value hierarchy, substantially all would have been classified in level 2 as of September 2012. For unsecured long-term borrowings for which the firm did not elect the fair value option, the cumulative impact due to changes in the firm’s own credit spreads would be an increase of less than 1% and a reduction of less than 4% in the carrying value of total unsecured long-term borrowings as of September 2012 and December 2011, respectively. See Note 7 for further information about hedging activities.

The table below presents unsecured long-term borrowings, after giving effect to hedging activities that converted a substantial portion of fixed-rate obligations to floating-rate obligations.

	As of
in millions		September 2012	December 2011
Fixed-rate obligations
At fair value		$         65	$         76
At amortized cost 1		25,981	28,773
Floating-rate obligations
At fair value		12,813	17,086
At amortized cost 1		129,019	127,610
Total		$167,878	$173,545

1. The weighted average interest rates on the aggregate amounts were 2.48% (5.12% related to fixed-rate obligations and 1.98% related to floating-rate obligations) and 2.59% (5.18% related to fixed-rate obligations and 2.03% related to floating-rate obligations) as of September 2012 and December 2011, respectively. These rates exclude financial instruments accounted for at fair value under the fair value option.

Subordinated Borrowings

Unsecured long-term borrowings include subordinated debt and junior subordinated debt. Junior subordinated debt is junior in right of payment to other subordinated borrowings, which are junior to senior borrowings. As of September 2012 and December 2011, subordinated debt had maturities ranging from 2015 to 2038 and 2017 to 2038, respectively. The table below presents subordinated borrowings.

	As of September 2012					As of December 2011
$ in millions		Par Amount	Carrying Amount	Rate	1		Par Amount	Carrying Amount	Rate	1
Subordinated debt		$14,501	$17,512	4.20	%		$14,310	$17,362	4.39	%
Junior subordinated debt		2,835	4,284	2.81	%		5,085	6,533	2.43	%
Total subordinated borrowings		$17,336	$21,796	3.97	%		$19,395	$23,895	3.87	%

1. Weighted average interest rate after giving effect to fair value hedges used to convert these fixed-rate obligations into floating-rate obligations. See Note 7 for further information about hedging activities. See below for information about interest rates on junior subordinated debt.

Junior Subordinated Debt

Junior Subordinated Debt Issued to APEX Trusts. In 2007, Group Inc. issued a total of $2.25 billion of remarketable junior subordinated debt to Goldman Sachs Capital II and Goldman Sachs Capital III (APEX Trusts), Delaware statutory trusts. The APEX Trusts issued $2.25 billion of guaranteed perpetual Normal Automatic Preferred Enhanced Capital Securities (APEX) to third parties and a de minimis amount of common securities to Group Inc. Group Inc. also entered into contracts with the APEX Trusts to sell $2.25 billion of Group Inc. perpetual non-cumulative preferred stock (the stock purchase contracts). See Note 19 for more information about the preferred stock that Group Inc. has issued in connection with the stock purchase contracts.

The firm accounted for the stock purchase contracts as equity instruments and, accordingly, recorded the cost of the stock purchase contracts as a reduction to additional paid-in capital.

During the first quarter of 2012, pursuant to a remarketing provided for by the initial terms of the junior subordinated debt, Goldman Sachs Capital II sold all of its $1.75 billion of junior subordinated debt to Murray Street Investment Trust I (Murray Street Trust), a new trust sponsored by the firm. On June 1, 2012, pursuant to the stock purchase contracts, Goldman Sachs Capital II used the proceeds of this sale to purchase shares of Group Inc.’s Perpetual Non-Cumulative Preferred Stock, Series E (Series E Preferred Stock).

During the third quarter of 2012, pursuant to a remarketing provided for by the initial terms of the junior subordinated debt, Goldman Sachs Capital III sold all of its $500 million of junior subordinated debt to Vesey Street Investment Trust I (Vesey Street Trust), a new trust sponsored by the firm. On September 4, 2012, pursuant to the stock purchase contracts, Goldman Sachs Capital III used the proceeds of this sale to purchase shares of Group Inc.’s Perpetual Non-Cumulative Preferred Stock, Series F (Series F Preferred Stock).

In connection with the remarketing of the junior subordinated debt to the Murray Street Trust and Vesey Street Trust (together, the 2012 Trusts), pursuant to the terms of the junior subordinated debt, the interest rate and other terms were modified. Following such sales, the firm pays interest semi-annually on the $1.75 billion of junior subordinated debt held by the Murray Street Trust at a fixed annual rate of 4.647% and the debt matures on March 9, 2017 and on the $500 million of junior subordinated debt held by the Vesey Street Trust at a fixed annual rate of 4.404% and the debt matures on September 1, 2016. To fund the purchase of the junior subordinated debt, the 2012 Trusts issued an aggregate of $2.25 billion of senior guaranteed trust securities. The 2012 Trusts are required to pay distributions on their senior guaranteed trust securities in the same amounts and on the same dates that they are scheduled to receive interest on the junior subordinated debt they hold, and are required to redeem their respective senior guaranteed trust securities upon the maturity or earlier redemption of the junior subordinated debt they hold. Group Inc. fully and unconditionally guarantees the payment of these distribution and redemption amounts when due on a senior basis and, as such, the $2.25 billion of junior subordinated debt held by the 2012 Trusts for the benefit of investors is no longer classified as junior subordinated debt.

The firm has the right to defer payments on the junior subordinated debt, subject to limitations. During any such extension period, the firm will not be permitted to, among other things, pay dividends on or make certain repurchases of its common or preferred stock. If the firm were to defer payment of interest on the junior subordinated debt and the 2012 Trusts were therefore unable to make scheduled distributions to the holders of the senior guaranteed trust securities, under the guarantee, Group Inc. would be obligated to make those payments to the holders of the senior guaranteed trust securities.

The APEX Trusts and the 2012 Trusts are wholly-owned finance subsidiaries of the firm for regulatory and legal purposes but are not consolidated for accounting purposes.

In connection with the APEX issuance, the firm covenanted in favor of certain of its debtholders, who were initially and are currently the holders of Group Inc.’s 6.345% Junior Subordinated Debentures due February 15, 2034, that, subject to certain exceptions, the firm would not redeem or purchase APEX or shares of Group Inc.’s Series E Preferred Stock or Series F Preferred Stock prior to the date that is ten years after the applicable stock purchase date, unless the applicable redemption or purchase price does not exceed a maximum amount determined by reference to the aggregate amount of net cash proceeds that the firm has received from the sale of qualifying securities.

Junior Subordinated Debt Issued in Connection with Trust Preferred Securities. Group Inc. issued $2.84 billion of junior subordinated debentures in 2004 to Goldman Sachs Capital I (Trust), a Delaware statutory trust. The Trust issued $2.75 billion of guaranteed preferred beneficial interests to third parties and $85 million of common beneficial interests to Group Inc. and used the proceeds from the issuances to purchase the junior subordinated debentures from Group Inc. The Trust is a wholly-owned finance subsidiary of the firm for regulatory and legal purposes but is not consolidated for accounting purposes.

The firm pays interest semi-annually on the debentures at an annual rate of 6.345% and the debentures mature on February 15, 2034. The coupon rate and the payment dates applicable to the beneficial interests are the same as the interest rate and payment dates for the debentures. The firm has the right, from time to time, to defer payment of interest on the debentures, and therefore cause payment on the Trust’s preferred beneficial interests to be deferred, in each case up to ten consecutive semi-annual periods. During any such extension period, the firm will not be permitted to, among other things, pay dividends on or make certain repurchases of its common stock. The Trust is not permitted to pay any distributions on the common beneficial interests held by Group Inc. unless all dividends payable on the preferred beneficial interests have been paid in full.

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Other Assets

9 Months Ended

Sep. 30, 2012

Other Assets [ Abstract]

Other Assets

Note 12.

Other Assets

Other assets are generally less liquid, non-financial assets. The table below presents other assets by type.

	As of
in millions		September 2012	December 2011
Property, leasehold improvements and equipment  1		$  8,470	$  8,697
Goodwill and identifiable intangible assets  2		5,296	5,468
Income tax-related assets 3		5,426	5,017
Equity-method investments 4		518	664
Miscellaneous receivables and other  5		4,014	3,306
Total		$23,724	$23,152

1. Net of accumulated depreciation and amortization of $9.02 billion and $8.46 billion as of September 2012 and December 2011, respectively.

2. See Note 13 for further information about goodwill and identifiable intangible assets.

3. See Note 24 for further information about income taxes.

4. Excludes investments accounted for at fair value under the fair value option where the firm would otherwise apply the equity method of accounting of $4.71 billion and $4.17 billion as of September 2012 and December 2011, respectively, which are included in “Financial instruments owned, at fair value.” The firm has generally elected the fair value option for such investments acquired after the fair value option became available.

5. Includes $460 million of assets held for sale as of September 2012.

Property, Leasehold Improvements and Equipment

Property, leasehold improvements and equipment included $6.21 billion and $6.48 billion as of September 2012 and December 2011, respectively, related to property, leasehold improvements and equipment that the firm uses in connection with its operations. The remainder is held by investment entities, including VIEs, consolidated by the firm.

Substantially all property and equipment are depreciated on a straight-line basis over the useful life of the asset. Leasehold improvements are amortized on a straight-line basis over the useful life of the improvement or the term of the lease, whichever is shorter. Certain costs of software developed or obtained for internal use are capitalized and amortized on a straight-line basis over the useful life of the software.

Property, leasehold improvements and equipment are tested for impairment whenever events or changes in circumstances suggest that an asset’s or asset group’s carrying value may not be fully recoverable. The firm’s policy for impairment testing of property, leasehold improvements and equipment is the same as is used for identifiable intangible assets with finite lives. See Note 13 for further information.

Impairments

As a result of a decline in the market conditions in which certain of the firm’s consolidated investments operate, during the first nine months of 2012 the firm tested certain property, leasehold improvements and equipment and commodity-related intangible assets and other assets for impairment in accordance with ASC 360. The carrying value of these assets exceeded the projected undiscounted cash flows over the estimated remaining useful lives of these assets; as such, the firm determined the assets were impaired and recorded impairment losses. In addition, the firm classified certain assets as held for sale during the first nine months of 2012 and recognized impairment losses related to these assets. Collectively, the impairment losses were $252 million during the nine months ended September 2012 ($169 million related to property, leasehold improvements and equipment and $83 million related to other assets and commodity-related intangible assets), substantially all of which were included in “Depreciation and amortization.” These impairment losses were included in the firm’s Investing & Lending segment and represented the excess of the carrying values of these assets over their estimated fair values, which are primarily level 3 measurements, using a combination of discounted cash flow analyses and relative value analyses, including the estimated cash flows expected to be received from the disposition of certain of these assets.

In the first quarter of 2011, the firm classified certain assets as held for sale, primarily related to Litton Loan Servicing LP (Litton) and recognized impairment losses of approximately $220 million, principally in the firm’s Institutional Client Services segment. These impairment losses, which were included in “Depreciation and amortization,” represented the excess of (i) the carrying value of these assets over (ii) their estimated fair value less estimated cost to sell. These assets were sold in the third quarter of 2011. The firm received total consideration that approximated the firm’s adjusted carrying value for Litton. See Note 18 for further information about the sale of Litton.

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Securitization Activities (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011	Dec. 31, 2011
Securitizations :
Securitization of residential mortgages	$ 8,530	$ 10,091	$ 27,797	$ 31,642
Securitization of commercial mortgages	625		2,248
Securitization of other financial assets		153		234
Securitization of financial assets	9,155	10,244	30,045	31,876
Cash flows received on retained interests	161	239	333	594
Firms continuing involvement in securitization entities to which the firm sold assets [Abstract]
Outstanding principal amount	74,137		74,137		88,277
Fair value of retained interests	3,969		3,969		5,777
Fair value of purchased interests	312		312		545
U.S. government agency-issued collateralized mortgage obligations [Member]
Firms continuing involvement in securitization entities to which the firm sold assets [Abstract]
Outstanding principal amount	57,923		57,923		70,448
Fair value of retained interests	3,809		3,809		5,038
Fair value of purchased interests	0		0		0
Other residential mortgage-backed [Member]
Firms continuing involvement in securitization entities to which the firm sold assets [Abstract]
Outstanding principal amount	3,769		3,769		4,459
Fair value of retained interests	105		105		101
Fair value of purchased interests	0		0		3
Commercial mortgage-backed [Member]
Firms continuing involvement in securitization entities to which the firm sold assets [Abstract]
Outstanding principal amount	3,186		3,186		3,398
Fair value of retained interests	18		18		606
Fair value of purchased interests	46		46		331
CDOs, CLOs and others [Member]
Firms continuing involvement in securitization entities to which the firm sold assets [Abstract]
Outstanding principal amount	9,259		9,259		9,972
Fair value of retained interests	37		37		32
Fair value of purchased interests	$ 266		$ 266		$ 211

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Fair Value Option

9 Months Ended

Sep. 30, 2012

Fair Value Option [Abstract]

Fair Value Option

Note 8.

Fair Value Option

Other Financial Assets and Financial Liabilities at
Fair Value

In addition to all cash and derivative instruments included in “Financial instruments owned, at fair value” and “Financial instruments sold, but not yet purchased, at fair value,” the firm has elected to account for certain of its other financial assets and financial liabilities at fair value under the fair value option.

The primary reasons for electing the fair value option are to:

Ÿ reflect economic events in earnings on a timely basis;

Ÿ mitigate volatility in earnings from using different measurement attributes (e.g., transfers of financial instruments owned accounted for as financings are recorded at fair value whereas the related secured financing would be recorded on an accrual basis absent electing the fair value option); and

Ÿ address simplification and cost-benefit considerations (e.g., accounting for hybrid financial instruments at fair value in their entirety versus bifurcation of embedded derivatives and hedge accounting for debt hosts).

Hybrid financial instruments are instruments that contain bifurcatable embedded derivatives and do not require settlement by physical delivery of non-financial assets (e.g., physical commodities). If the firm elects to bifurcate the embedded derivative from the associated debt, the derivative is accounted for at fair value and the host contract is accounted for at amortized cost, adjusted for the effective portion of any fair value hedges. If the firm does not elect to bifurcate, the entire hybrid financial instrument is accounted for at fair value under the fair value option.

Other financial assets and financial liabilities accounted for at fair value under the fair value option include:

Ÿ resale and repurchase agreements;

Ÿ securities borrowed and loaned within Fixed Income, Currency and Commodities Client Execution;

Ÿ certain other secured financings, primarily transfers of assets accounted for as financings rather than sales and certain other nonrecourse financings;

Ÿ certain unsecured short-term borrowings, consisting of all promissory notes and commercial paper and certain hybrid financial instruments;

Ÿ certain unsecured long-term borrowings, including prepaid commodity transactions and certain hybrid financial instruments;

Ÿ certain receivables from customers and counterparties, including certain margin loans and transfers of assets accounted for as secured loans rather than purchases;

Ÿ certain insurance and reinsurance contract assets and liabilities and certain guarantees;

Ÿ certain subordinated liabilities issued by consolidated VIEs; and

Ÿ certain time deposits issued by the firm’s bank subsidiaries (deposits with no stated maturity are not eligible for a fair value option election), including structured certificates of deposit, which are hybrid financial instruments.

These financial assets and financial liabilities at fair value are generally valued based on discounted cash flow techniques, which incorporate inputs with reasonable levels of price transparency, and are generally classified as level 2 because the inputs are observable. Valuation adjustments may be made for liquidity and for counterparty and the firm’s credit quality.

See below for information about the significant inputs used to value other financial assets and financial liabilities at fair value, including the ranges of significant unobservable inputs used to value the level 3 instruments within these categories. These ranges represent the significant unobservable inputs that were used in the valuation of each type of other financial assets and financial liabilities at fair value. The ranges of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one instrument. For example, the highest yield presented below for resale and repurchase agreements is appropriate for valuing a specific agreement in that category but may not be appropriate for valuing any other agreements in that category. Accordingly, the range of inputs presented below do not represent uncertainty in, or possible ranges of, fair value measurements of the firm’s level 3 other financial assets and financial liabilities.

Resale and Repurchase Agreements and Securities Borrowed and Loaned. The significant inputs to the valuation of resale and repurchase agreements and securities borrowed and loaned are collateral funding spreads, the amount and timing of expected future cash flows and interest rates. The ranges of significant unobservable inputs used to value level 3 resale and repurchase agreements as of September 2012 are as follows:

Ÿ Yield: 1.9% to 5.3%

Ÿ Duration: 0.4 to 4.8 years

Generally, increases in yield or duration, in isolation, would result in a lower fair value measurement. Due to the distinctive nature of each of the firm’s level 3 resale and repurchase agreements, the interrelationship of inputs is not necessarily uniform across such agreements.

See Note 9 for further information about collateralized agreements.

Other Secured Financings. The significant inputs to the valuation of other secured financings at fair value are the amount and timing of expected future cash flows, interest rates, collateral funding spreads, the fair value of the collateral delivered by the firm (which is determined using the amount and timing of expected future cash flows, market prices, market yields and recovery assumptions) and the frequency of additional collateral calls. The ranges of significant unobservable inputs used to value level 3 other secured financings as of September 2012 are as follows:

Ÿ Yield: 0.4% to 20.1%

Ÿ Duration: 0.2 to 10.0 years

Generally, increases in yield or duration, in isolation, would result in a lower fair value measurement. Due to the distinctive nature of each of the firm’s level 3 other secured financings, the interrelationship of inputs is not necessarily uniform across such financings.

See Note 9 for further information about collateralized financings.

Unsecured Short-term and Long-term Borrowings. The significant inputs to the valuation of unsecured short-term and long-term borrowings at fair value are the amount and timing of expected future cash flows, interest rates, the credit spreads of the firm, as well as commodity prices in the case of prepaid commodity transactions. The inputs used to value the embedded derivative component of hybrid financial instruments are consistent with the inputs used to value the firm’s other derivative instruments. See Note 7 for further information about derivatives. See Notes 15 and 16 for further information about unsecured short-term and long-term borrowings, respectively.

Certain of the firm’s unsecured short-term and long-term instruments are included in level 3, substantially all of which are hybrid financial instruments. As the significant unobservable inputs used to value hybrid financial instruments primarily relate to the embedded derivative component of these borrowings, these inputs are incorporated in the firm’s derivative disclosures related to unobservable inputs in Note 7.

Insurance and Reinsurance Contracts. Insurance and reinsurance contracts at fair value are included in “Receivables from customers and counterparties” and “Other liabilities and accrued expenses.” The insurance and reinsurance contracts for which the firm has elected the fair value option are contracts that can be settled only in cash and that qualify for the fair value option because they are recognized financial instruments. These contracts are valued using market transactions and other market evidence where possible, including market-based inputs to models, calibration to market-clearing transactions or other alternative pricing sources with reasonable levels of price transparency. Significant level 2 inputs are interest rates, inflation rates, volatilities, and policy lapse and projected mortality assumptions. Significant level 3 inputs are funding spreads. When unobservable inputs to a valuation model are significant to the fair value measurement of an instrument, the instrument is classified in level 3. The range of significant unobservable inputs used to value level 3 insurance and reinsurance contracts as of September 2012 is as follows:

Ÿ Funding spreads: 92 bps to 128 bps

Generally, an increase in funding spreads would result in a lower fair value measurement.

Receivables from Customers and Counterparties. Receivables from customers and counterparties at fair value, excluding insurance and reinsurance contracts, are primarily comprised of transfers of assets accounted for as secured loans rather than purchases. The significant inputs to the valuation of such receivables are commodity prices, interest rates, the amount and timing of expected future cash flows and funding spreads. The range of significant unobservable inputs used to value level 3 receivables from customers and counterparties as of September 2012 is as follows:

Ÿ Funding spreads: 112 bps to 157 bps

Generally, an increase in funding spreads would result in a lower fair value measurement.

Receivables from customers and counterparties not accounted for at fair value are accounted for at amortized cost net of estimated uncollectible amounts, which generally approximates fair value. Such receivables are primarily comprised of customer margin loans. While these margin loans are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these margin loans been included in the firm’s fair value hierarchy, substantially all would have been classified in level 2 as of September 2012.

Deposits. The significant inputs to the valuation of time deposits are interest rates and the amount and timing of future cash flows. The inputs used to value the embedded derivative component of hybrid financial instruments are consistent with the inputs used to value the firm’s other derivative instruments. See Note 7 for further information about derivatives. See Note 14 for further information about deposits.

The firm’s deposits that are included in level 3 are hybrid financial instruments. As the significant unobservable inputs used to value hybrid financial instruments primarily relate to the embedded derivative component of these deposits, these inputs are incorporated in the firm’s derivative disclosures related to unobservable inputs in Note 7.

Fair Value of Other Financial Assets and Financial Liabilities by Level

The tables below present, by level within the fair value hierarchy, other financial assets and financial liabilities accounted for at fair value under the fair value option.

	Other Financial Assets at Fair Value as of September 2012
in millions		Level 1	Level 2	Level 3	Total
Securities segregated for regulatory and other purposes 1		$25,346	$    8,741	$       —	$  34,087
Securities purchased under agreements to resell		—	147,176	185	147,361
Securities borrowed		—	47,986	—	47,986
Receivables from customers and counterparties		—	6,295	625	6,920
Total		$25,346	$210,198	$     810	$236,354
	Other Financial Liabilities at Fair Value as of September  2012
in millions		Level 1	Level 2	Level 3	Total
Deposits		$       —	$    5,373	$     301	$    5,674
Securities sold under agreements to repurchase		—	164,067	2,119	166,186
Securities loaned		—	243	—	243
Other secured financings		—	23,926	1,253	25,179
Unsecured short-term borrowings		—	14,939	2,681	17,620
Unsecured long-term borrowings		—	10,877	2,001	12,878
Other liabilities and accrued expenses		—	492	9,483	9,975
Total		$       —	$219,917	$17,838	$237,755

1. Includes securities segregated for regulatory and other purposes accounted for at fair value under the fair value option, which consists of securities borrowed and resale agreements. The table above includes $25.35 billion of level 1 and $531 million of level 2 securities segregated for regulatory and other purposes accounted for at fair value under other U.S. GAAP, principally consisting of U.S. Treasury securities, money market instruments and insurance separate account assets.

	Other Financial Assets at Fair Value as of December 2011
in millions		Level 1	Level 2	Level 3	Total
Securities segregated for regulatory and other purposes 1		$21,263	$  20,751	$        —	$  42,014
Securities purchased under agreements to resell		—	187,232	557	187,789
Securities borrowed		—	47,621	—	47,621
Receivables from customers and counterparties		—	8,887	795	9,682
Total		$21,263	$264,491	$  1,352	$287,106
	Other Financial Liabilities at Fair Value as of December  2011
in millions		Level 1	Level 2	Level 3	Total
Deposits		$        —	$    4,513	$       13	$    4,526
Securities sold under agreements to repurchase		—	162,321	2,181	164,502
Securities loaned		—	107	—	107
Other secured financings		—	28,267	1,752	30,019
Unsecured short-term borrowings		—	14,560	3,294	17,854
Unsecured long-term borrowings		—	14,971	2,191	17,162
Other liabilities and accrued expenses		—	490	8,996	9,486
Total		$        —	$225,229	$18,427	$243,656

1. Includes securities segregated for regulatory and other purposes accounted for at fair value under the fair value option, which consists of securities borrowed and resale agreements. The table above includes $21.26 billion of level 1 and $528 million of level 2 securities segregated for regulatory and other purposes accounted for at fair value under other U.S. GAAP, principally consisting of U.S. Treasury securities, money market instruments and insurance separate account assets.

Transfers Between Levels of the Fair Value Hierarchy

Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. There were no transfers of other financial assets and financial liabilities between level 1 and level 2 during the three and nine months ended September 2012. The tables below present information about transfers between level 2 and level 3.

Level 3 Rollforward

If a financial asset or financial liability was transferred to level 3 during a reporting period, its entire gain or loss for the period is included in level 3.

The tables below present changes in fair value for other financial assets and financial liabilities accounted for at fair value under the fair value option categorized as level 3 as of the end of the period. Level 3 other financial assets and liabilities are frequently economically hedged with cash instruments and derivatives. Accordingly, gains or losses that are reported in level 3 can be partially offset by gains or losses attributable to level 1, 2 or 3 cash instruments or derivatives. As a result, gains or losses included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources.

	Level 3 Other Financial Assets at Fair Value for the Three Months Ended September 2012
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Securities purchased under agreements to resell		$  1,023	$  2		$—		$41	$—	$   —	$  (52	)	$   —	$(829	)	$     185
Receivables from customers and counterparties		616	—		19		—	—	—	(10	)	—	—		625
Total		$  1,639	$  2	1	$19	1	$41	$—	$   —	$  (62	)	$   —	$(829	)	$     810

1. The aggregate amounts include gains of approximately $20 million and $1 million reported in “Market making” and “Interest income,” respectively.

	Level 3 Other Financial Liabilities at Fair Value for the Three Months Ended September 2012
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Deposits		$     179	$  —		$    4		$ —	$—	$102	$    —		$  16	$    —		$     301
Securities sold under agreements to repurchase, at fair value		2,055	—		—		—	—	64	—		—	—		2,119
Other secured financings		1,182	3		—		—	—	117	(200	)	151	—		1,253
Unsecured short-term borrowings		2,726	7		171		—	—	170	(253	)	76	(216	)	2,681
Unsecured long-term borrowings		1,946	7		80		—	—	47	(108	)	33	(4	)	2,001
Other liabilities and accrued expenses		8,969	(15	)	608		—	—	—	(79	)	—	—		9,483
Total		$17,057	$   2	1	$863	1	$ —	$—	$500	$(640	)	$276	$(220	)	$17,838

1. The aggregate amounts include losses of approximately $797 million, $65 million and $3 million reported in “Market making,” “Other principal transactions” and “Interest expense,” respectively.

The net unrealized loss on level 3 other financial liabilities of $863 million for the three months ended September 2012 primarily reflected the impact of tighter funding spreads and changes in foreign exchange rates on certain insurance liabilities, and an increase in global equity prices and tighter credit spreads on certain hybrid financial instruments.

Transfers out of level 3 of other financial assets during the three months ended September 2012 reflected transfers to level 2 of certain resale agreements, primarily due to increased transparency of funding spreads as a result of market activity in similar instruments.

Transfers into level 3 of other financial liabilities during the three months ended September 2012 primarily reflected transfers from level 2 of certain secured financings, primarily due to less market activity in these instruments.

Transfers out of level 3 of other financial liabilities during the three months ended September 2012 primarily reflected transfers to level 2 of certain hybrid financial instruments, principally due to increased transparency of the correlation and volatility inputs used to value certain instruments and unobservable inputs no longer being significant to the valuation of other instruments.

	Level 3 Other Financial Assets at Fair Value for the Nine Months Ended September 2012
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Securities purchased under agreements to resell		$     557	$   8		$—		$   51	$—	$      —	$   (431	)	$   —	$    —		$     185
Receivables from customers and counterparties		795	—		21		199	—	—	(17	)	—	(373	)	625
Total		$  1,352	$   8	1	$21	1	$250	$—	$      —	$   (448	)	$   —	$(373	)	$     810

1. The aggregate amounts include gains of approximately $21 million and $8 million reported in “Market making” and “Interest income,” respectively.

	Level 3 Other Financial Liabilities at Fair Value for the Nine Months Ended September 2012
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases		Sales	Issues	Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Deposits		$       13	$  —		$      —		$      —		$—	$   272	$       —		$   16	$       —		$     301
Securities sold under agreements to repurchase, at fair value		2,181	—		—		—		—	—	(62	)	—	—		2,119
Other secured financings		1,752	9		—		—		—	296	(775	)	—	(29	)	1,253
Unsecured short-term borrowings		3,294	(33	)	204		(13	)	—	550	(817	)	194	(698	)	2,681
Unsecured long-term borrowings		2,191	23		190		—		—	293	(238	)	213	(671	)	2,001
Other liabilities and accrued expenses		8,996	(23	)	764		—		—	—	(254	)	—	—		9,483
Total		$18,427	$(24	)1	$1,158	1	$    (13	)	$—	$1,411	$(2,146	)	$423	$(1,398	)	$17,838

1. The aggregate amounts include losses of approximately $1.02 billion, $103 million and $10 million reported in “Market making,” “Other principal transactions” and “Interest expense,” respectively.

The net unrealized loss on level 3 other financial liabilities of $1.16 billion for the nine months ended September 2012 primarily reflected the impact of tighter funding spreads and changes in foreign exchange rates on certain insurance liabilities, and an increase in global equity prices and tighter credit spreads on certain hybrid financial instruments.

Transfers out of level 3 of other financial assets during the nine months ended September 2012 reflected transfers to level 2 of certain insurance receivables, primarily due to increased transparency of the mortality inputs used to value these receivables.

Transfers into level 3 of other financial liabilities during the nine months ended September 2012 primarily reflected transfers from level 2 of certain hybrid financial instruments, principally due to decreased transparency of the correlation and volatility inputs used to value these instruments.

Transfers out of level 3 of other financial liabilities during the nine months ended September 2012 primarily reflected transfers to level 2 of certain hybrid financial instruments, principally due to increased transparency of the correlation and volatility inputs used to value certain instruments and unobservable inputs no longer being significant to the valuation of certain instruments.

	Level 3 Other Financial Assets at Fair Value for the Three Months Ended September 2011
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Net transfers in and/or (out) of level 3	Balance, end of period
Securities purchased under agreements to resell		$     299	$  —		$    —		$232	$  —	$   —	$     (46	)	$      —	$     485
Receivables from customers and counterparties		321	—		(19	)	312	—	—	(7	)	176	783
Total		$     620	$  —	1	$  (19	) 1	$544	$  —	$   —	$     (53	)	$    176	$  1,268

1. The aggregate amounts include losses of approximately $19 million reported in “Market making.”

	Level 3 Other Financial Liabilities at Fair Value for the Three Months Ended September 2011
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases		Sales		Issues	Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Securities sold under agreements to repurchase, at fair value		$  2,076	$  —		$    —		$   —		$  —		$  52	$      —		$      —		$  2,128
Other secured financings		5,297	—		(1	)	—		—		—	(588	)	(3,054	)	1,654
Unsecured short-term borrowings		3,101	(86	)	(367	)	—		19		110	(356	)	1,013		3,434
Unsecured long-term borrowings		2,554	4		(182	)	(22	)	—		163	(25	)	149		2,641
Other liabilities and accrued expenses		6,944	—		359		227		(32	)	—	(147	)	—		7,351
Total		$19,972	$(82	) 1	$(191	) 1	$205		$(13	)	$325	$(1,116	)	$(1,892	)	$17,208

1. The aggregate amounts include gains/(losses) of approximately $298 million and $(25) million reported in “Market making” and “Other principal transactions,” respectively.

Significant transfers in or out of level 3 during the three months ended September 2011 included:

Ÿ Other secured financings: net transfer out of level 3 of $3.05 billion, principally due to transfers to level 2 of certain borrowings as unobservable inputs were no longer significant to the valuation of these borrowings as they neared maturity.

Ÿ Unsecured short-term borrowings: net transfer into level 3 of $1.01 billion, principally due to transfers to level 3 of certain borrowings due to less transparency of market prices as a result of less activity in these financial instruments.

	Level 3 Other Financial Assets at Fair Value for the Nine Months Ended September 2011
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Net transfers in and/or (out) of level 3	Balance, end of period
Securities purchased under agreements to resell		$     100	$   2		$    —		$   477	$  —	$      —	$     (94	)	$       —	$     485
Receivables from customers and counterparties		298	—		2		325	—	—	(18	)	176	783
Total		$     398	$   2	1	$     2	1	$   802	$  —	$      —	$   (112	)	$    176	$  1,268

1. The aggregate amounts include gains of approximately $2 million and $2 million reported in “Market making” and “Other principal transactions,” respectively.

	Level 3 Other Financial Liabilities at Fair Value for the Nine Months Ended September 2011
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases		Sales		Issues	Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Securities sold under agreements to repurchase, at fair value		$  2,060	$  —		$    —		$      —		$  —		$   246	$   (178	)	$       —		$  2,128
Other secured financings		8,349	8		3		—		—		272	(3,943	)	(3,035	)	1,654
Unsecured short-term borrowings		3,476	69		(652	)	(3	)	7		933	(781	)	385		3,434
Unsecured long-term borrowings		2,104	14		(20	)	(72	)	—		453	(97	)	259		2,641
Other liabilities and accrued expenses		2,409	—		662		4,564		(32	)	—	(252	)	—		7,351
Total		$18,398	$ 91	1	$    (7	) 1	$4,489		$(25	)	$1,904	$(5,251	)	$(2,391	)	$17,208

1. The aggregate amounts include gains/(losses) of approximately $(94) million, $18 million and $(8) million reported in “Market making,” “Other principal transactions” and “Interest expense,” respectively.

The net unrealized loss on other liabilities and accrued expenses of $662 million was primarily attributable to the impact of a change in interest rates on certain insurance liabilities. The net unrealized gain on unsecured short-term borrowings of $652 million primarily reflected gains on certain equity-linked notes, principally due to a decline in global equity markets.

Significant transfers in or out of level 3 during the nine months ended September 2011 included:

Ÿ Other secured financings: net transfer out of level 3 of $3.04 billion, principally due to transfers to level 2 of certain borrowings as unobservable inputs were no longer significant to the valuation of these borrowings as they neared maturity.

Ÿ Unsecured short-term borrowings: net transfer into level 3 of $385 million, principally due to transfers to level 3 of certain borrowings due to less transparency of market prices as a result of less activity in these financial instruments, partially offset by transfers from level 3 unsecured short-term borrowings to level 3 unsecured long-term borrowings related to an extension in the tenor of certain borrowings.

Gains and Losses on Other Financial Assets and
Financial Liabilities at Fair Value

The “Fair Value Option” columns in the table below present the gains and losses recognized as a result of the firm electing to apply the fair value option to certain financial assets and financial liabilities. These gains and losses are included in “Market making” and “Other principal transactions.”

The amounts in the table exclude contractual interest, which is included in “Interest income” and “Interest expense,” for all instruments other than hybrid financial instruments. See Note 23 for further information about interest income and interest expense. The table also excludes gains and losses related to financial instruments owned, at fair value and financial instruments sold, but not yet purchased, at fair value.

Included in the “Other” columns in the table below are:

Ÿ Gains and losses on the embedded derivative component of hybrid financial instruments included in unsecured short-term borrowings and unsecured long-term borrowings. These gains and losses would have been recognized under other U.S. GAAP even if the firm had not elected to account for the entire hybrid instrument at fair value.

Ÿ Gains and losses on secured financings related to transfers of assets accounted for as financings rather than sales. These gains and losses are offset by gains and losses on the related instruments included in “Financial instruments owned, at fair value” and “Receivables from customers and counterparties.”

Ÿ Gains and losses on receivables from customers and counterparties related to transfers of assets accounted for as receivables rather than purchases. These gains and losses are offset by gains and losses on the related financial instruments included in “Other secured financings.”

Ÿ Gains and losses on subordinated liabilities issued by consolidated VIEs, which are included in “Other liabilities and accrued expenses.” These gains and losses are offset by gains and losses on the financial assets held by the consolidated VIEs.

	Gains/(Losses) on Other Financial Assets and Financial Liabilities at Fair Value
	Three Months Ended September										Nine Months Ended September
	2012					2011					2012					2011
in millions		Fair Value Option		Other			Fair Value Option		Other			Fair Value Option		Other			Fair Value Option		Other
Receivables from customers and counterparties 1		$       49		$    786			$  (24	)	$   380			$      58		$    847			$  (29	)	$    899
Other secured financings		(22	)	(1,267	)		104		(613	)		(33	)	(1,636	)		137		(1,538)
Unsecured short-term borrowings		(90	)	(479	)		83		2,125			(128	)	(573	)		114		2,228
Unsecured long-term borrowings		(313	)	(662	)		482		3,157			(495	)	(1,017	)		553		2,318
Other liabilities and accrued expenses 2		(595	)	(48	)		(307	)	60			(787	)	(6	)		(560	)	127
Other 3		(33	)	(5	)		46		—			(128	)	(2	)		91		—
Total		$(1,004	)	$(1,675	)		$ 384		$5,109			$(1,513	)	$(2,387	)		$ 306		$ 4,034

1. Primarily consists of gains/(losses) on certain transfers accounted for as receivables rather than purchases and certain reinsurance contracts.

2. Primarily consists of gains/(losses) on certain insurance contracts.

3. Primarily consists of gains/(losses) on resale and repurchase agreements, securities borrowed and loaned and deposits.

Excluding the gains and losses on the instruments accounted for under the fair value option described above, “Market making” and “Other principal transactions” primarily represents gains and losses on “Financial instruments owned, at fair value” and “Financial instruments sold, but not yet purchased, at fair value.”

Loans and Lending Commitments

The table below presents the difference between the aggregate fair value and the aggregate contractual principal amount for loans and long-term receivables for which the fair value option was elected.

	As of
in millions		September 2012	December 2011
Aggregate contractual principal amount of performing loans and long-term receivables in excess of the related fair value		$  2,704	$  3,826
Aggregate contractual principal amount of loans on nonaccrual status and/or more than 90 days past due in excess of the related fair value		24,017	23,034
Total 1		$26,721	$26,860
Aggregate fair value of loans on nonaccrual status and/or more than 90 days past due		$  2,262	$  3,174

1. The aggregate contractual principal exceeds the related fair value primarily because the firm regularly purchases loans, such as distressed loans, at values significantly below contractual principal amounts.

As of September 2012 and December 2011, the fair value of unfunded lending commitments for which the fair value option was elected was a liability of $2.04 billion and $2.82 billion, respectively, and the related total contractual amount of these lending commitments was $59.92 billion and $66.12 billion, respectively. See Note 18 for further information about lending commitments.

Long-term Debt Instruments

The aggregate contractual principal amount of long-term other secured financings for which the fair value option was elected exceeded the related fair value by $188 million and $239 million as of September 2012 and December 2011, respectively. The fair value of unsecured long-term borrowings for which the fair value option was elected exceeded the related aggregate contractual principal amount by $159 million as of September 2012, whereas the aggregate contractual principal amount exceeded the related fair value by $693 million as of December 2011. The amounts above include both principal and non-principal-protected long-term borrowings.

Impact of Credit Spreads on Loans and Lending Commitments

The estimated net gain/(loss) attributable to changes in instrument-specific credit spreads on loans and lending commitments for which the fair value option was elected was $1.10 billion and $(1.47) billion for the three months ended September 2012 and September 2011, respectively, and $2.35 billion and $(659) million for the nine months ended September 2012 and September 2011, respectively. Changes in the fair value of loans and lending commitments are primarily attributable to changes in instrument-specific credit spreads. Substantially all of the firm’s performing loans and lending commitments are floating-rate.

Impact of Credit Spreads on Borrowings

The table below presents the net gains/(losses) attributable to the impact of changes in the firm’s own credit spreads on borrowings for which the fair value option was elected. The firm calculates the fair value of borrowings by discounting future cash flows at a rate which incorporates the firm’s credit spreads.

	Three Months Ended September				Nine Months Ended September
in millions		2012		2011		2012		2011
Net gains/(losses) including hedges		$(370	)	$450		$(588	)	$576
Net gains/(losses) excluding hedges		(396	)	586		(628	)	705

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Significant Accounting Policies (Details) (USD $) In Billions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Significant Accounting Policies (Textual) [Abstract]
Cash and due from banks	$ 7.11	$ 7.95
Interest-bearing deposits with banks	$ 56.53	$ 48.05

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Legal Proceedings (Details)	Sep. 30, 2012 USD ($)	Sep. 30, 2012 EUR (€)
Legal Proceedings (Textual) [Abstract]
World Online Litigation. Approximate amount of the initial public offering of World Online		€ 2,900,000,000
World Online Litigation. Amount of shares underwritten by GSI in connection with the initial public offering of World Online	20,268,846	20,268,846
World Online Litigation. Amount of shares underwritten by GS&Co. in connection with the initial public offering of World Online	6,756,282	6,756,282
World Online Litigation. Approximate total offering price of shares underwritten by GS in connection with the initial public offering of World Online		1,160,000,000
Specialist Matters. Disgorgement and penalty amount related to SLKS settlement	45,300,000
Mortgage-Related Matters. Disgorgement and civil penalty amount related to settlement of SEC action	550,000,000
Mortgage-Related Matters. Amount of compensatory damages related to ACA Financial Guaranty Corp.	at least $30 million	at least $30 million
Mortgage-Related Matters. Amount of punitive damages related to ACA Financial Guaranty Corp.	at least $90 million	at least $90 million
Auction Product Matters. Amount of fine related to auction products matters settlement	22,500,000
Auction Product Matters. Amount of auction rate securities issued from 2004 through 2007	1,700,000,000
Auction Product Matters. Estimated cost of refinancing and conversion transactions related to auction products matters	90,000,000
Auction Product Matters. Amount of swap termination obligation related to auction products matters	8,000,000
IndyMac Pass-Through Certificates Litigation. Approximate principal amount of securities of Indy Mac-related entities underwritten by GS&Co.	751,000,000
Estimated aggregate amount of reasonably possible losses for legal proceedings	3,600,000,000
Mortgage-Related Matters. Approximate principal amount of certificates underwritten by GS&Co. to purchasers of various mortgage pass-through certificates and asset-backed certificates issued by various securitization trusts in 2007 at issue in the complaint	11,000,000,000
Mortgage-Related Matters. CIFG seeks the repurchase amount of allegedly non-conforming mortgages	24,700,000
Mortgage-Related Matters. Approximate principal amount of certificates underwritten by GS&Co. to purchasers of various mortgage pass-through certificates and asset-backed certificates issued by various securitization trusts in 2006 at issue in the complaint	698,000,000
Mortgage-Related Matters. Amount of notes issued in 2006 and 2007 by two synthetic CDOs	821,000,000
Mortgage-Related Matters. Approximate of aggregate notional amount of mortgage-related securities sold to plaintiffs in active cases brought against the firm where plaintiffs are seeking rescission of such securities	20,100,000,000
Mortgage-Related Matters. Approximate amount Group Inc. agreed to forgive of unpaid principal balance on certain delinquent first lien residential mortgage loans	13,000,000
World Online Litigation. Approximate amount of shares related to a claim filed by a shareholders' association		4,000,000
Adelphia Communications. Amount of alleged payments made to GS&Co.	62,900,000
Investment Management Services. Amount of losses allegedly caused by GSAMI's alleged negligence	in excess of €81 million	in excess of €81 million
RALI Pass-Through Certificates Litigation. Approximate principal amount of securities underwritten by GS&Co. to all purchasers in the offerings for which claims have not been dismissed	1,280,000,000
MF Global Securities Litigation. Approximate principal amount of MF Global Holdings Ltd. convertible notes offerings	575,000,000
MF Global Securities Litigation. Approximate principal amount of notes underwritten by GS&Co.	214,000,000
Financial Advisory Services. Amount of majority shareholders interest in Dragon Systems, Inc.	300,000,000
Financial Advisory Services. Amount of minority shareholders interest in Dragon Systems, Inc.	$ 49,000,000

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Cash Instruments

9 Months Ended

Sep. 30, 2012

Cash Instruments [Abstract]

Cash Instruments

Note 6.

Cash Instruments

Cash instruments include U.S. government and federal agency obligations, non-U.S. government and agency obligations, bank loans and bridge loans, corporate debt securities, equities and convertible debentures, and other non-derivative financial instruments owned and financial instruments sold, but not yet purchased. See below for the types of cash instruments included in each level of the fair value hierarchy and the valuation techniques and significant inputs used to determine their fair values. See Note 5 for an overview of the firm’s fair value measurement policies.

Level 1 Cash Instruments

Level 1 cash instruments include U.S. government obligations and most non-U.S. government obligations, actively traded listed equities, certain government agency obligations and money market instruments. These instruments are valued using quoted prices for identical unrestricted instruments in active markets.

The firm defines active markets for equity instruments based on the average daily trading volume both in absolute terms and relative to the market capitalization for the instrument. The firm defines active markets for debt instruments based on both the average daily trading volume and the number of days with trading activity.

Level 2 Cash Instruments

Level 2 cash instruments include commercial paper, certificates of deposit, time deposits, most government agency obligations, certain non-U.S. government obligations, most corporate debt securities, commodities, certain mortgage-backed loans and securities, certain bank loans and bridge loans, restricted or less liquid listed equities, most state and municipal obligations and certain lending commitments.

Valuations of level 2 cash instruments can be verified to quoted prices, recent trading activity for identical or similar instruments, broker or dealer quotations or alternative pricing sources with reasonable levels of price transparency. Consideration is given to the nature of the quotations (e.g., indicative or firm) and the relationship of recent market activity to the prices provided from alternative pricing sources.

Valuation adjustments are typically made to level 2 cash instruments (i) if the cash instrument is subject to transfer restrictions and/or (ii) for other premiums and liquidity discounts that a market participant would require to arrive at fair value. Valuation adjustments are generally based on market evidence.

Level 3 Cash Instruments

Level 3 cash instruments have one or more significant valuation inputs that are not observable. Absent evidence to the contrary, level 3 cash instruments are initially valued at transaction price, which is considered to be the best initial estimate of fair value. Subsequently, the firm uses other methodologies to determine fair value, which vary based on the type of instrument. Valuation inputs and assumptions are changed when corroborated by substantive observable evidence, including values realized on sales of financial assets.

The table below presents the valuation techniques and the nature of significant inputs generally used to determine the fair values of each type of level 3 cash instrument.

Level 3 Cash Instrument	Valuation Techniques and Significant Inputs
Loans and securities backed by commercial real estate Ÿ     Collateralized by a single commercial real estate property or a portfolio of properties Ÿ     May include tranches of varying levels of subordination	Valuation techniques vary by instrument, but are generally based on discounted cash flow techniques.
	Significant inputs are generally determined based on relative value analyses and include:
	Ÿ    Transaction prices in both the underlying collateral and instruments with the same or similar underlying collateral
	Ÿ    Market yields implied by transactions of similar or related assets and/or current levels and changes in market indices such as the CMBX (an index that tracks the performance of commercial mortgage bonds)
	Ÿ    Recovery rates implied by the value of the underlying collateral, which is mainly driven by current performance of the underlying collateral, capitalization rates and multiples
	Ÿ     Timing of expected future cash flows (duration)
Loans and securities backed by residential real estate Ÿ     Collateralized by portfolios of residential real estate Ÿ     May include tranches of varying levels of subordination	Valuation techniques vary by instrument, but are generally based on discounted cash flow techniques.
	Significant inputs are generally determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices such as the ABX (an index that tracks the performance of subprime residential mortgage bonds). Significant inputs include:
	Ÿ    Transaction prices in both the underlying collateral and instruments with the same or similar underlying collateral
	Ÿ    Market yields implied by transactions of similar or related assets
	Ÿ    Cumulative loss expectations, driven by default rates, home price projections, residential property liquidation timelines and related costs
	Ÿ     Duration, driven by underlying loan prepayment speeds and residential property liquidation timelines
Bank loans and bridge loans	Valuation techniques vary by instrument, but are generally based on discounted cash flow techniques.
	Significant inputs are generally determined based on relative value analyses, which incorporate comparisons both to prices of credit default swaps that reference the same or similar underlying instrument or entity and to other debt instruments for the same issuer for which observable prices or broker quotations are available. Significant inputs include:
	Ÿ    Market yields implied by transactions of similar or related assets and/or current levels and trends of market indices such as CDX and LCDX (indices that track the performance of corporate credit and loans, respectively)
	Ÿ    Current performance and recovery assumptions and, where the firm uses credit default swaps to value the related cash instrument, the cost of borrowing the underlying reference obligation
	Ÿ     Duration
Non-U.S. government and agency obligations Corporate debt securities State and municipal obligations Other debt obligations	Valuation techniques vary by instrument, but are generally based on discounted cash flow techniques.
	Significant inputs are generally determined based on relative value analyses, which incorporate comparisons both to prices of credit default swaps that reference the same or similar underlying instrument or entity and to other debt instruments for the same issuer for which observable prices or broker quotations are available. Significant inputs include:
	Ÿ    Market yields implied by transactions of similar or related assets and/or current levels and trends of market indices such as CDX, LCDX and MCDX (an index that tracks the performance of municipal obligations)
	Ÿ    Current performance and recovery assumptions and, where the firm uses credit default swaps to value the related cash instrument, the cost of borrowing the underlying reference obligation
	Ÿ     Duration
Equities and convertible debentures (including private equity investments and investments in real estate entities)	Recent third-party completed or pending transactions (e.g., merger proposals, tender offers, debt restructurings) are considered to be the best evidence for any change in fair value. When these are not available, the following valuation methodologies are used, as appropriate:
	Ÿ    Industry multiples and public comparables
	Ÿ    Transactions in similar instruments
	Ÿ    Discounted cash flow techniques
	Ÿ    Third-party appraisals
	The firm also considers changes in the outlook for the relevant industry and financial performance of the issuer as compared to projected performance. Significant inputs include:
	Ÿ    Market and transaction multiples
	Ÿ    Discount rates, long-term growth rates, earnings compound annual growth rates and capitalization rates
	Ÿ     For equity instruments with debt-like features: market yields implied by transactions of similar or related assets, current performance and recovery assumptions, and duration

Significant Unobservable Inputs

The table below presents the ranges of significant unobservable inputs used to value the firm’s level 3 cash instruments. These ranges represent the significant unobservable inputs that were used in the valuation of each type of cash instrument. The ranges of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one cash instrument. For example, the highest multiple presented in the table for private equity investments is appropriate for valuing a specific private equity investment but may not be appropriate for valuing any other private equity investment. Accordingly, the ranges of inputs presented below do not represent uncertainty in, or possible ranges of, fair value measurements of the firm’s level 3 cash instruments.

Level 3 Cash Instrument	Level 3 Assets as of      September 2012 (in millions)	Significant Unobservable Inputs by Valuation Technique	Range of Significant Unobservable Inputs as of September 2012
Loans and securities backed by commercial real estate •  Collateralized by a single commercial real estate     property or a portfolio of properties •  May include tranches of varying levels of subordination	$3,318	Discounted cash flows:
		•  Yield	3.9% to 30.1%
		•  Recovery rate 1	39.0% to 100.0%
		•  Duration (years) 2	0.7 to 8.5
Loans and securities backed by residential real estate •  Collateralized by portfolios of residential real estate •  May include tranches of varying levels of subordination	$1,288	Discounted cash flows:
		•  Yield	4.3% to 19.4%
		•  Cumulative loss rate	0.0% to 61.7%
		•  Duration (years) 2	1.3 to 4.1
Bank loans and bridge loans	$10,833	Discounted cash flows:
		•  Yield	0.4% to 32.7%
		•  Recovery rate 1	19.5% to 100.0%
		•  Duration (years) 2	0.4 to 4.7
Non-U.S. government and agency obligations Corporate debt securities State and municipal obligations Other debt obligations	$5,325	Discounted cash flows:
		•  Yield	1.4% to 34.5%
		•  Recovery rate 1	0.0% to 100.0%
		•  Duration (years) 2	0.3 to 16.5
Equities and convertible debentures (including private equity investments and investments in real estate entities)	$15,126  3	Comparable multiples:
		•  Multiples	0.7x to 23.4x
		Discounted cash flows:
		•  Yield/discount rate	10.0% to 25.0%
		•  Long-term growth rate/     compound annual growth rate	(3.2)% to 26.0%
		•  Capitalization rate	5.4% to 11.0%
		•  Recovery rate 1	42.1% to 100.0%
		•  Duration (years) 2	0.7 to 8.3

1. Recovery rate is a measure of expected future cash flows, expressed as a percentage of notional or face value of the instrument.

2. Duration is an estimate of the timing of future cash flows and, in certain cases, may incorporate the impact of other unobservable inputs (e.g., prepayment speeds).

3. The fair value of any one instrument may be determined using multiple valuation techniques. For example, market comparables and discounted cash flows may be used together to determine fair value. Therefore, the level 3 balance encompasses both of these techniques.

Increases in yield, discount rate, capitalization rate, duration or cumulative loss rate used in the valuation of the firm’s level 3 cash instruments would result in a lower fair value measurement, while increases in recovery rate, multiples, long-term growth rate or compound annual growth rate would result in a higher fair value measurement. Due to the distinctive nature of each of the firm’s level 3 cash instruments, the interrelationship of inputs is not necessarily uniform within each product type.

Fair Value of Cash Instruments by Level

The tables below present, by level within the fair value hierarchy, cash instrument assets and liabilities, at fair value. Cash instrument assets and liabilities are included in “Financial instruments owned, at fair value” and “Financial instruments sold, but not yet purchased, at fair value,” respectively.

	Cash Instrument Assets at Fair Value as of September 2012
in millions		Level 1		Level 2		Level 3		Total
Commercial paper, certificates of deposit, time deposits and other money market instruments		$    1,942		$    8,766		$       —		$  10,708
U.S. government and federal agency obligations		42,178		53,351		—		95,529
Non-U.S. government and agency obligations		46,864		16,075		13		62,952
Mortgage and other asset-backed loans and securities 1:
Loans and securities backed by commercial real estate		—		4,218		3,318		7,536
Loans and securities backed by residential real estate		—		8,314		1,288		9,602
Bank loans and bridge loans		—		10,178		10,833		21,011
Corporate debt securities 2		145		22,479		2,721		25,345
State and municipal obligations		—		2,713		583		3,296
Other debt obligations 2		—		2,481		2,008		4,489
Equities and convertible debentures		66,653	3	9,446	4	15,126	5	91,225
Commodities		—		10,771		—		10,771
Total		$157,782		$148,792		$35,890		$342,464
	Cash Instrument Liabilities at Fair Value as of September 2012
in millions		Level 1		Level 2		Level 3		Total
U.S. government and federal agency obligations		$  22,733		$       212		$       —		$  22,945
Non-U.S. government and agency obligations		35,337		1,293		—		36,630
Mortgage and other asset-backed loans and securities:
Loans and securities backed by residential real estate		—		6		2		8
Bank loans and bridge loans		—		1,526		617		2,143
Corporate debt securities 6		26		6,829		47		6,902
State and municipal obligations		—		2		—		2
Equities and convertible debentures		22,608	3	1,163	4	7		23,778
Total		$  80,704		$  11,031		$     673		$  92,408

1. Includes $645 million and $518 million of collateralized debt obligations (CDOs) backed by real estate in level 2 and level 3, respectively.

2. Includes $1.09 billion and $1.63 billion of CDOs and collateralized loan obligations (CLOs) backed by corporate obligations in level 2 and level 3, respectively.

3. Consists of listed equity securities.

4. Principally consists of restricted or less liquid listed securities.

5. Includes $13.03 billion of private equity investments, $1.45 billion of investments in real estate entities and $645 million of convertible debentures.

6. Includes $3 million of CDOs and CLOs backed by corporate obligations in level 3.

	Cash Instrument Assets at Fair Value as of December 2011
in millions		Level 1		Level 2		Level 3		Total
Commercial paper, certificates of deposit, time deposits and other money market instruments		$    3,255		$  10,185		$       —		$  13,440
U.S. government and federal agency obligations		29,263		57,777		—		87,040
Non-U.S. government and agency obligations		42,854		6,203		148		49,205
Mortgage and other asset-backed loans and securities 1:
Loans and securities backed by commercial real estate		—		3,353		3,346		6,699
Loans and securities backed by residential real estate		—		5,883		1,709		7,592
Bank loans and bridge loans		—		8,460		11,285		19,745
Corporate debt securities 2		133		19,518		2,480		22,131
State and municipal obligations		—		2,490		599		3,089
Other debt obligations 2		—		2,911		1,451		4,362
Equities and convertible debentures		39,955	3	11,491	4	13,667	5	65,113
Commodities		—		5,762		—		5,762
Total		$115,460		$134,033		$34,685		$284,178
	Cash Instrument Liabilities at Fair Value as of December 2011
in millions		Level 1		Level 2		Level 3		Total
U.S. government and federal agency obligations		$  20,940		$         66		$       —		$  21,006
Non-U.S. government and agency obligations		34,339		547		—		34,886
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		—		27		—		27
Loans and securities backed by residential real estate		—		3		—		3
Bank loans and bridge loans		—		1,891		865		2,756
Corporate debt securities 6		—		6,522		31		6,553
State and municipal obligations		—		3		—		3
Equities and convertible debentures		20,069	3	1,248	4	9		21,326
Total		$  75,348		$  10,307		$     905		$  86,560

1. Includes $213 million and $595 million of CDOs backed by real estate in level 2 and level 3, respectively.

2. Includes $403 million and $1.19 billion of CDOs and CLOs backed by corporate obligations in level 2 and level 3, respectively.

3. Consists of listed equity securities.

4. Principally consists of restricted or less liquid listed securities.

5. Includes $12.07 billion of private equity investments, $1.10 billion of investments in real estate entities and $497 million of convertible debentures.

6. Includes $27 million of CDOs and CLOs backed by corporate obligations in level 3.

Transfers Between Levels of the Fair Value Hierarchy

Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. During the three months ended September 2012, transfers into level 2 from level 1 of cash instruments were $205 million, including transfers of non-U.S. government obligations and equity securities of $118 million and $87 million, respectively, reflecting the level of market activity in these instruments. Transfers into level 1 from level 2 of cash instruments were $261 million, reflecting transfers of equity securities due to the level of market activity in these instruments.

During the nine months ended September 2012, transfers into level 2 from level 1 of cash instruments were $2.02 billion, including transfers of non-U.S. government obligations of $1.19 billion, reflecting the level of market activity in these instruments, and transfers of equity securities of $832 million, primarily reflecting the impact of transfer restrictions. Transfers into level 1 from level 2 of cash instruments were $427 million, including transfers of non-U.S. government obligations of $225 million, reflecting the level of market activity in these instruments, and transfers of equity securities of $182 million, where the firm was able to obtain quoted prices for certain instruments and due to the level of market activity for other instruments.

Level 3 Rollforward

If a cash instrument asset or liability was transferred to level 3 during a reporting period, its entire gain or loss for the period is included in level 3.

Level 3 cash instruments are frequently economically hedged with level 1 and level 2 cash instruments and/or level 1, level 2 or level 3 derivatives. Accordingly, gains or losses that are reported in level 3 can be partially offset by gains or losses attributable to level 1 or level 2 cash instruments and/or level 1, level 2 or level 3 derivatives. As a result, gains or losses included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources.

The tables below present changes in fair value for all cash instrument assets and liabilities categorized as level 3 as of the end of the period.

	Level 3 Cash Instrument Assets at Fair Value for the Three Months Ended September 2012
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Commercial paper, certificates of deposit, time deposits and other money market instruments		$         7	$  —		$     —		$     —		$       —		$       (7	)	$     —	$      —		$       —
Non-U.S. government and agency obligations		8	—		3		2		—		—		—	—		13
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		3,166	57		78		355		(362	)	(44	)	214	(146	)	3,318
Loans and securities backed by residential real estate		1,632	65		44		81		(266	)	(351	)	98	(15	)	1,288
Bank loans and bridge loans		10,461	151		150		1,535		(906	)	(805	)	691	(444	)	10,833
Corporate debt securities		2,367	106		140		462		(274	)	(120	)	240	(200	)	2,721
State and municipal obligations		547	4		5		36		(27	)	(2	)	20	—		583
Other debt obligations		1,757	5		51		197		(88	)	(25	)	118	(7	)	2,008
Equities and convertible debentures		14,420	31		632		513		(320	)	(108	)	798	(840	)	15,126
Total		$34,365	$419	2	$1,103	2	$3,181		$(2,243	)	$(1,462	)	$2,179	$(1,652	)	$35,890
	Level 3 Cash Instrument Liabilities at Fair Value for the Three Months Ended September 2012
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Total		$     739	$   (2	)	$       3		$  (105	)	$       65		$      16		$     46	$     (89	)	$     673

1. Includes both originations and secondary market purchases.

2. The aggregate amounts include approximately $340 million, $843 million and $339 million reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.

The net unrealized gain/(loss) on level 3 cash instruments of $1.10 billion (reflecting $1.10 billion on cash instrument assets and $(3) million on cash instrument liabilities) for the three months ended September 2012 primarily consisted of gains on private equity investments, bank loans and bridge loans, and corporate debt securities. Unrealized gains during the quarter primarily reflected the impact of an increase in global equity prices and tighter credit spreads.

Transfers into level 3 during the three months ended September 2012 primarily reflected transfers from level 2 of certain private equity investments and bank loans and bridge loans, principally due to less market activity in these instruments.

Transfers out of level 3 during the three months ended September 2012 primarily reflected transfers to level 2 of certain private equity investments and bank loans and bridge loans, principally due to improved transparency of market prices as a result of market transactions in these financial instruments.

	Level 3 Cash Instrument Assets at Fair Value for the Nine Months Ended September 2012
in millions		Balance,  beginning of period	Net realized gains/  (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Non-U.S. government and agency obligations		$     148	$    (55	)	$       4		$       2		$       (8	)	$     (71	)	$       6	$     (13	)	$       13
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		3,346	143		227		1,337		(956	)	(859	)	218	(138	)	3,318
Loans and securities backed by residential real estate		1,709	128		239		345		(729	)	(471	)	77	(10	)	1,288
Bank loans and bridge loans		11,285	431		318		3,393		(2,754	)	(2,122	)	1,237	(955	)	10,833
Corporate debt securities		2,480	266		229		865		(851	)	(352	)	344	(260	)	2,721
State and municipal obligations		599	16		8		53		(80	)	(12	)	—	(1	)	583
Other debt obligations		1,451	52		50		645		(365	)	(41	)	222	(6	)	2,008
Equities and convertible debentures		13,667	60		1,158		2,166		(497	)	(640	)	866	(1,654	)	15,126
Total		$34,685	$1,041	2	$2,233	2	$8,806		$(6,240	)	$(4,568	)	$2,970	$(3,037	)	$35,890
	Level 3 Cash Instrument Liabilities at Fair Value for the Nine Months Ended September 2012
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Total		$     905	$    (35	)	$       9		$  (427	)	$    244		$      81		$     90	$   (194	)	$     673

1. Includes both originations and secondary market purchases.

2. The aggregate amounts include approximately $560 million, $1.77 billion and $945 million reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.

The net unrealized gain/(loss) on level 3 cash instruments of $2.22 billion (reflecting $2.23 billion on cash instrument assets and $(9) million on cash instrument liabilities) for the nine months ended September 2012 primarily consisted of gains on private equity investments, mortgage and other asset-backed loans and securities, bank loans and bridge loans, and corporate debt securities. Unrealized gains during the nine months ended September 2012 primarily reflected the impact of an increase in global equity prices and generally tighter credit spreads.

Transfers into level 3 during the nine months ended September 2012 primarily reflected transfers from level 2 of certain bank loans and bridge loans, and private equity investments, principally due to less market activity in these instruments.

Transfers out of level 3 during the nine months ended September 2012 primarily reflected transfers to level 2 of certain private equity investments and bank loans and bridge loans. Transfers of private equity investments to level 2 were principally due to improved transparency of market prices as a result of market transactions in these financial instruments. Transfers of bank loans and bridge loans to level 2 were principally due to market transactions in these instruments and unobservable inputs no longer being significant to the valuation of certain loans.

	Level 3 Cash Instrument Assets at Fair Value for the Three Months Ended September 2011
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		$  3,539	$  77		$   (149	)	$   226		$   (220	)	$   (367	)	$ 441		$  3,547
Loans and securities backed by residential real estate		2,829	38		(25	)	234		(226	)	(178	)	(989	)	1,683
Bank loans and bridge loans		10,183	162		(595	)	2,655		(413	)	(571	)	(410	)	11,011
Corporate debt securities		2,747	61		(221	)	316		(392	)	(80	)	149		2,580
State and municipal obligations		643	2		(6	)	17		(18	)	(2	)	52		688
Other debt obligations		1,472	(2	)	(27	)	153		(167	)	(68	)	260		1,621
Equities and convertible debentures		13,452	14		(191	)	294		(224	)	(166	)	394		13,573
Total		$34,865	$352	2	$(1,214	) 2	$3,895		$(1,660	)	$(1,432	)	$(103	)	$34,703
	Level 3 Cash Instrument Liabilities at Fair Value for the Three Months Ended September 2011
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Total		$     612	$ (12	)	$    328		$  (265	)	$    144		$    122		$     5		$     934

1. Includes both originations and secondary market purchases.

2. The aggregate amounts include approximately $(551) million, $(701) million and $390 million reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.

The net unrealized loss on level 3 cash instruments of $1.54 billion (reflecting losses of $1.21 billion on cash instrument assets and $328 million on cash instrument liabilities) for the three months ended September 2011 primarily consisted of losses on bank loans and bridge loans, corporate debt securities and private equity investments. Losses during the third quarter of 2011 reflected unfavorable credit markets and a significant decline in global equity markets.

Significant transfers in or out of level 3 during the three months ended September 2011 included:

Ÿ Loans and securities backed by residential real estate: net transfer out of level 3 of $989 million, principally due to transfers to level 2 of certain loans due to improved transparency of market prices used to value these financial instruments, as well as unobservable inputs no longer being significant to the valuation of these instruments.

Ÿ Bank loans and bridge loans: net transfer out of level 3 of $410 million, principally due to transfers to level 2 of certain loans due to improved transparency of market prices as a result of market activity in these financial instruments, partially offset by transfers to level 3 of other loans due to reduced transparency of market prices as a result of less market activity in these financial instruments.

Ÿ Equities and convertible debentures: net transfer into level 3 of $394 million, principally due to transfers to level 3 of certain private equity investments due to reduced transparency of market prices as a result of less market activity in these financial instruments, partially offset by transfers to level 2 of other private equity investments due to improved transparency of market prices as a result of market activity and partial sales.

	Level 3 Cash Instrument Assets at Fair Value for the Nine Months Ended September 2011
in millions		Balance,  beginning of period	Net   realized gains/  (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Net  transfers in and/or (out) of level 3		Balance, end of period
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		$  3,976	$   139		$  92		$  1,049		$   (915	)	$   (726	)	$     (68	)	$  3,547
Loans and securities backed by residential real estate		2,501	137		57		688		(507	)	(509	)	(684	)	1,683
Bank loans and bridge loans		9,905	477		(96	)	4,732		(1,183	)	(1,521	)	(1,303	)	11,011
Corporate debt securities		2,737	164		(99	)	1,467		(1,002	)	(192	)	(495	)	2,580
State and municipal obligations		754	3		(3	)	72		(136	)	(2	)	—		688
Other debt obligations		1,274	116		(7	)	553		(552	)	(216	)	453		1,621
Equities and convertible debentures		11,060	160		473		2,658		(904	)	(657	)	783		13,573
Total		$32,207	$1,196	2	$417	2	$11,219		$(5,199	)	$(3,823	)	$(1,314	)	$34,703
	Level 3 Cash Instrument Liabilities at Fair Value for the Nine Months Ended September 2011
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	1	Sales		Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Total		$     446	$    (32	)	$329		$    (363	)	$    429		$    132		$       (7	)	$     934

1. Includes both originations and secondary market purchases.

2. The aggregate amounts include approximately $(87) million, $629 million and $1.07 billion reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.

The net unrealized gain/(loss) on level 3 cash instruments of $88 million (reflecting $417 million on cash instrument assets and $(329) million on cash instrument liabilities) for the nine months ended September 2011 primarily consisted of a net gain on private equity investments, where prices were generally corroborated through market transactions for similar assets during the period, partially offset by losses on bank loans and bridge loans, primarily reflecting the impact of unfavorable credit markets principally in the third quarter of 2011.

Significant transfers in or out of level 3 during the nine months ended September 2011 included:

Ÿ Bank loans and bridge loans: net transfer out of level 3 of $1.30 billion, principally due to transfers to level 2 of certain loans due to improved transparency of market prices as a result of market transactions in these financial instruments, partially offset by transfers to level 3 of other loans due to reduced transparency of market prices as a result of less market activity in these financial instruments.

Ÿ Equities and convertible debentures: net transfer into level 3 of $783 million, principally due to transfers to level 3 of certain private equity investments due to reduced transparency of market prices as a result of less market activity in these financial instruments, partially offset by transfers to level 2 of other private equity investments due to improved transparency of market prices as a result of market transactions in these financial instruments.

Ÿ Loans and securities backed by residential real estate: net transfer out of level 3 of $684 million, principally due to transfers to level 2 of certain loans due to improved transparency of market prices used to value these financial instruments, as well as unobservable inputs no longer being significant to the valuation of these instruments.

Ÿ Corporate debt securities: net transfer out of level 3 of $495 million, principally due to transfers to level 2 of certain corporate debt securities due to increased transparency of market prices as a result of market transactions in these financial instruments.

Investments   in   Funds  That   Calculate  Net   Asset
Value Per Share

Cash instruments at fair value include investments in funds that are valued based on the net asset value per share (NAV) of the investment fund. The firm uses NAV as its measure of fair value for fund investments when (i) the fund investment does not have a readily determinable fair value and (ii) the NAV of the investment fund is calculated in a manner consistent with the measurement principles of investment company accounting, including measurement of the underlying investments at fair value.

The firm’s investments in funds that calculate NAV primarily consist of investments in firm-sponsored funds where the firm co-invests with third-party investors. The private equity, private debt and real estate funds are primarily closed-end funds in which the firm’s investments are not eligible for redemption. Distributions will be received from these funds as the underlying assets are liquidated and it is estimated that substantially all of the underlying assets of existing funds will be liquidated over the next seven years. The firm continues to manage its existing funds taking into account the transition periods under the Volcker Rule of the U.S. Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act), although the rules have not yet been finalized.

The firm’s investments in hedge funds are generally redeemable on a quarterly basis with 91 days’ notice, subject to a maximum redemption level of 25% of the firm’s initial investments at any quarter-end. The firm currently plans to comply with the Volcker Rule by redeeming certain of its interests in hedge funds. The firm redeemed approximately $300 million and $800 million of these interests in hedge funds during the three and nine months ended September 2012, respectively.

The table below presents the fair value of the firm’s investments in, and unfunded commitments to, funds that calculate NAV.

	As of September 2012			As of December 2011
in millions		Fair Value of Investments	Unfunded Commitments		Fair Value of Investments	Unfunded Commitments
Private equity funds 1		$  8,251	$2,829		$  8,074	$3,514
Private debt funds 2		3,700	3,023		3,596	3,568
Hedge funds 3		2,450	—		3,165	—
Real estate funds 4		1,799	1,004		1,531	1,613
Total		$16,200	$6,856		$16,366	$8,695

1. These funds primarily invest in a broad range of industries worldwide in a variety of situations, including leveraged buyouts, recapitalizations and growth investments.

2. These funds generally invest in loans and other fixed income instruments and are focused on providing private high-yield capital for mid- to large-sized leveraged and management buyout transactions, recapitalizations, financings, refinancings, acquisitions and restructurings for private equity firms, private family companies and corporate issuers.

3. These funds are primarily multi-disciplinary hedge funds that employ a fundamental bottom-up investment approach across various asset classes and strategies including long/short equity, credit, convertibles, risk arbitrage, special situations and capital structure arbitrage.

4. These funds invest globally, primarily in real estate companies, loan portfolios, debt recapitalizations and direct property.

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Derivatives and Hedging Activities

9 Months Ended

Sep. 30, 2012

Derivatives and Hedging Activities [Abstract]

Derivatives and Hedging Activities

Note 7.

Derivatives and Hedging Activities

Derivative Activities

Derivatives are instruments that derive their value from underlying asset prices, indices, reference rates and other inputs, or a combination of these factors. Derivatives may be privately negotiated contracts, which are usually referred to as over-the-counter (OTC) derivatives, or they may be listed and traded on an exchange (exchange-traded).

Market-Making. As a market maker, the firm enters into derivative transactions to provide liquidity and to facilitate the transfer and hedging of risk. In this capacity, the firm typically acts as principal and is consequently required to commit capital to provide execution. As a market maker, it is essential to maintain an inventory of financial instruments sufficient to meet expected client and market demands.

Risk Management. The firm also enters into derivatives to actively manage risk exposures that arise from market-making and investing and lending activities in derivative and cash instruments. The firm’s holdings and exposures are hedged, in many cases, on either a portfolio or risk-specific basis, as opposed to an instrument-by-instrument basis. The offsetting impact of this economic hedging is reflected in the same business segment as the related revenues. In addition, the firm may enter into derivatives designated as hedges under U.S. GAAP. These derivatives are used to manage foreign currency exposure on the net investment in certain non-U.S. operations and to manage interest rate exposure in certain fixed-rate unsecured long-term and short-term borrowings, and deposits.

The firm enters into various types of derivatives, including:

Ÿ Futures and Forwards. Contracts that commit counterparties to purchase or sell financial instruments, commodities or currencies in the future.

Ÿ Swaps. Contracts that require counterparties to exchange cash flows such as currency or interest payment streams. The amounts exchanged are based on the specific terms of the contract with reference to specified rates, financial instruments, commodities, currencies or indices.

Ÿ Options. Contracts in which the option purchaser has the right, but not the obligation, to purchase from or sell to the option writer financial instruments, commodities or currencies within a defined time period for a specified price.

Derivatives are accounted for at fair value, net of cash collateral received or posted under credit support agreements. Derivatives are reported on a net-by-counterparty basis (i.e., the net payable or receivable for derivative assets and liabilities for a given counterparty) when a legal right of setoff exists under an enforceable netting agreement. Derivative assets and liabilities are included in “Financial instruments owned, at fair value” and “Financial instruments sold, but not yet purchased, at fair value,” respectively.

Substantially all gains and losses on derivatives not designated as hedges under ASC 815 are included in “Market making” and “Other principal transactions.”

The table below presents the fair value of derivatives on a net-by-counterparty basis.

	As of September 2012			As of December 2011
in millions		Derivative Assets	Derivative Liabilities		Derivative Assets	Derivative Liabilities
Exchange-traded		$  4,628	$  3,921		$  5,880	$  3,172
Over-the-counter		68,201	47,850		74,148	55,281
Total		$72,829	$51,771		$80,028	$58,453

The table below presents the fair value and the number of derivative contracts by major product type on a gross basis. Gross fair values in the table below exclude the effects of both netting of receivable balances with payable balances under enforceable netting agreements, and netting of cash collateral received or posted under credit support agreements, and therefore are not representative of the firm’s exposure.

	As of September 2012						As of December 2011
in millions, except number of contracts		Derivative Assets		Derivative Liabilities		Number of Contracts		Derivative Assets		Derivative Liabilities		Number of Contracts
Derivatives not accounted for as hedges
Interest rates		$ 614,949		$ 573,931		300,118		$ 624,189		$ 582,608		287,351
Credit		94,970		81,829		355,728		150,816		130,659		362,407
Currencies		73,246		62,854		218,241		88,654		71,736		203,205
Commodities		28,320		29,125		89,291		35,966		38,050		93,755
Equities		58,886		51,097		346,551		64,135		51,928		332,273
Subtotal		870,371		798,836		1,309,929		963,760		874,981		1,278,991
Derivatives accounted for as hedges
Interest rates		23,721		65		1,605		21,981		13		1,125
Currencies		9		60		73		124		21		71
Subtotal		23,730		125		1,678		22,105		34		1,196
Gross fair value of derivatives		$ 894,101		$ 798,961		1,311,607		$ 985,865		$ 875,015		1,280,187
Counterparty netting 1		(717,563	)	(717,563	)			(787,733	)	(787,733	)
Cash collateral netting 2		(103,709	)	(29,627	)			(118,104	)	(28,829	)
Fair value included in financial instruments owned		$   72,829						$   80,028
Fair value included in financial instruments sold, but not yet purchased				$   51,771						$   58,453

1. Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements.

2. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

Valuation Techniques for Derivatives

The firm’s level 2 and level 3 derivatives are valued using derivative pricing models (e.g., models that incorporate option pricing methodologies, Monte Carlo simulations and discounted cash flows). Price transparency of derivatives can generally be characterized by product type.

Interest Rate. In general, the prices and other inputs used to value interest rate derivatives are transparent, even for long-dated contracts. Interest rate swaps and options denominated in the currencies of leading industrialized nations are characterized by high trading volumes and tight bid/offer spreads. Interest rate derivatives that reference indices, such as an inflation index, or the shape of the yield curve (e.g., 10-year swap rate vs. 2-year swap rate) are more complex, but the prices and other inputs are generally observable.

Credit. Price transparency for credit default swaps, including both single names and baskets of credits, varies by market and underlying reference entity or obligation. Credit default swaps that reference indices, large corporates and major sovereigns generally exhibit the most price transparency. For credit default swaps with other underliers, price transparency varies based on credit rating, the cost of borrowing the underlying reference obligations, and the availability of the underlying reference obligations for delivery upon the default of the issuer. Credit default swaps that reference loans, asset-backed securities and emerging market debt instruments tend to have less price transparency than those that reference corporate bonds. In addition, more complex credit derivatives, such as those sensitive to the correlation between two or more underlying reference obligations, generally have less price transparency.

Currency. Prices for currency derivatives based on the exchange rates of leading industrialized nations, including those with longer tenors, are generally transparent. The primary difference between the price transparency of developed and emerging market currency derivatives is that emerging markets tend to be observable for contracts with shorter tenors.

Commodity. Commodity derivatives include transactions referenced to energy (e.g., oil and natural gas), metals (e.g., precious and base) and soft commodities (e.g., agricultural). Price transparency varies based on the underlying commodity, delivery location, tenor and product quality (e.g., diesel fuel compared to unleaded gasoline). In general, price transparency for commodity derivatives is greater for contracts with shorter tenors and contracts that are more closely aligned with major and/or benchmark commodity indices.

Equity. Price transparency for equity derivatives varies by market and underlier. Options on indices and the common stock of corporates included in major equity indices exhibit the most price transparency. Equity derivatives generally have observable market prices, except for contracts with long tenors or reference prices that differ significantly from current market prices. More complex equity derivatives, such as those sensitive to the correlation between two or more individual stocks, generally have less price transparency.

Liquidity is essential to observability of all product types. If transaction volumes decline, previously transparent prices and other inputs may become unobservable. Conversely, even highly structured products may at times have trading volumes large enough to provide observability of prices and other inputs. See Note 5 for an overview of the firm’s fair value measurement policies.

Level 1 Derivatives

Level 1 derivatives include short-term contracts for future delivery of securities when the underlying security is a level 1 instrument, and exchange-traded derivatives if they are actively traded and are valued at their quoted market price.

Level 2 Derivatives

Level 2 derivatives include exchange-traded derivatives that are not actively traded and OTC derivatives for which all significant valuation inputs are corroborated by market evidence. Level 2 exchange-traded derivatives are valued using models that calibrate to market-clearing levels of OTC derivatives.

The selection of a particular model to value a derivative depends on the contractual terms of and specific risks inherent in the instrument, as well as the availability of pricing information in the market. For derivatives that trade in liquid markets, model selection does not involve significant management judgment because outputs of models can be calibrated to market-clearing levels.

Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates, loss severity rates and correlations of such inputs. Inputs to the valuations of level 2 derivatives can be verified to market transactions, broker or dealer quotations or other alternative pricing sources with reasonable levels of price transparency. Consideration is given to the nature of the quotations (e.g., indicative or firm) and the relationship of recent market activity to the prices provided from alternative pricing sources.

Level 3 Derivatives

Level 3 derivatives are valued using models which utilize observable level 1 and/or level 2 inputs, as well as unobservable level 3 inputs.

Ÿ For the majority of the firm’s interest rate and currency derivatives classified within level 3, significant unobservable inputs include correlations of certain currencies and interest rates (e.g., the correlation between Euro inflation and Euro interest rates), specific interest rate volatilities and the basis, or difference, between benchmark interest rates and related indices.

Ÿ For level 3 credit derivatives, significant level 3 inputs include illiquid credit spreads, which are unique to specific reference obligations and reference entities, recovery rates, certain correlations required to value credit and mortgage derivatives (e.g., the likelihood of default of the underlying reference obligation relative to one another) and the basis, or price difference, between certain reference obligations and benchmark indices.

Ÿ For level 3 equity derivatives, significant level 3 inputs generally include equity volatility inputs for options that are very long-dated and/or have strike prices that differ significantly from current market prices. In addition, the valuation of certain structured trades requires the use of level 3 inputs for the correlation of the price performance of two or more individual stocks or the correlation of the price performance for a basket of stocks to another asset class such as commodities.

Ÿ For level 3 commodity derivatives, significant level 3 inputs include volatilities for options with strike prices that differ significantly from current market prices and prices or spreads for certain products for which the product quality or physical location of the commodity is not aligned with benchmark indices.

Subsequent to the initial valuation of a level 3 derivative, the firm updates the level 1 and level 2 inputs to reflect observable market changes and any resulting gains and losses are recorded in level 3. Level 3 inputs are changed when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations or other empirical market data. In circumstances where the firm cannot verify the model value by reference to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. See below for further information about unobservable inputs used in the valuation of level 3 derivatives.

Valuation Adjustments

Valuation adjustments are integral to determining the fair value of derivatives and are used to adjust the mid-market valuations, produced by derivative pricing models, to the appropriate exit price valuation. These adjustments incorporate bid/offer spreads, the cost of liquidity, credit valuation adjustments (CVA) and funding valuation adjustments, which account for the credit and funding risk inherent in derivative portfolios. Market-based inputs are generally used when calibrating valuation adjustments to market-clearing levels.

In addition, for derivatives that include significant unobservable inputs, the firm makes model or exit price adjustments to account for the valuation uncertainty present in the transaction.

Significant Unobservable Inputs

The table below presents the ranges of significant unobservable inputs used to value the firm’s level 3 derivatives. These ranges represent the significant unobservable inputs that were used in the valuation of each type of derivative. The ranges of these inputs are not representative of the appropriate inputs to use when calculating the fair value of any one derivative. For example, the highest correlation presented in the table for interest rate derivatives is appropriate for valuing a specific interest rate derivative but may not be appropriate for valuing any other interest rate derivative. Accordingly, the ranges of inputs presented below do not represent uncertainty in, or possible ranges of, fair value measurements of the firm’s level 3 derivatives.

Level 3 Derivative Product Type	Net Level 3 Assets/(Liabilities)      as of September 2012 (in millions)	Significant Unobservable Inputs of Derivative Pricing Models	Range of Significant Unobservable Inputs as of September 2012
Interest rates	$(483)	Correlation 1 Volatility Basis	49% to 87% 32% to 88% 1 basis point to 39 basis points (bps)
Credit	$6,979	Correlation 1 Credit spreads Recovery rates Basis	5% to 94% 68 bps to 1,781 bps 0% to 95% 1 point to 8 points
Currencies	$351	Correlation 1	65% to 87%
Commodities	$(651)	Volatility Spread per million British Thermal units (MMBTU) of natural gas Price per megawatt hour of power Price per barrel of oil	5% to 66% $(0.86) to $4.50 $13.37 to $71.65 $87.00 to $101.00
Equities	$(577)	Correlation 1 Volatility	46% to 99% 11% to 65%

1. The range of unobservable inputs for correlation across derivative product types (i.e., cross-asset correlation) was (51)% to 66% as of September 2012.

Sensitivity of Fair Value Measurement to Changes
in Significant Unobservable Inputs

The following provides a description of the directional sensitivity of the firm’s level 3 fair value measurements to changes in significant unobservable inputs, in isolation. Due to the distinctive nature of each of the firm’s level 3 derivatives, the interrelationship of inputs is not necessarily uniform within each product type.

Ÿ Correlation: For contracts where the holder benefits from the convergence of the underlying asset or index prices (e.g., interest rates, credit spreads, foreign exchange rates, inflation rates and equity prices), an increase in correlation generally results in a higher fair value measurement.

Ÿ Volatility: In general, for purchased options an increase in volatility results in a higher fair value measurement.

Ÿ Interest rate basis: For contracts where the holder is receiving the interest rate basis, a wider basis generally results in a higher fair value measurement.

Ÿ Credit spreads, recovery rates and basis: In general, the fair value of purchased credit protection increases as credit spreads increase, recovery rates decrease or basis widens. Credit spreads, recovery rates and basis are strongly related to distinctive risk factors of the underlying reference obligations, which include reference entity-specific factors such as leverage, volatility and industry, market-based risk factors, such as borrowing costs or liquidity of the underlying reference obligation, and macro-economic conditions.

Ÿ Commodity prices and spreads: For contracts where the holder is receiving a commodity, an increase in the spread (price difference from a benchmark index due to differences in quality or delivery location) or price generally results in a higher fair value measurement.

Fair Value of Derivatives by Level

The tables below present the fair value of derivatives on a gross basis by level and major product type. Gross fair values in the tables below exclude the effects of both netting of receivable balances with payable balances under enforceable netting agreements, and netting of cash received or posted under credit support agreements both in and across levels of the fair value hierarchy, and therefore are not representative of the firm’s exposure.

	Derivative Assets at Fair Value as of September 2012
in millions		Level 1	Level 2		Level 3		Cross-Level Netting		Total
Interest rates		$  15	$ 638,393		$     262		$       —		$ 638,670
Credit		—	83,310		11,660		—		94,970
Currencies		—	71,907		1,348		—		73,255
Commodities		—	27,617		703		—		28,320
Equities		62	57,781		1,043		—		58,886
Gross fair value of derivative assets		77	879,008		15,016		—		894,101
Counterparty netting 1		—	(711,084	)	(3,906	)	(2,573	) 3	(717,563	)
Subtotal		$  77	$ 167,924		$11,110		$(2,573	)	$ 176,538
Cash collateral netting 2									(103,709	)
Fair value included in financial instruments owned									$   72,829
	Derivative Liabilities at Fair Value as of September 2012
in millions		Level 1	Level 2		Level 3		Cross-Level Netting		Total
Interest rates		$  79	$ 573,172		$     745		$       —		$ 573,996
Credit		—	77,148		4,681		—		81,829
Currencies		—	61,917		997		—		62,914
Commodities		—	27,771		1,354		—		29,125
Equities		60	49,417		1,620		—		51,097
Gross fair value of derivative liabilities		139	789,425		9,397		—		798,961
Counterparty netting 1		—	(711,084	)	(3,906	)	(2,573	) 3	(717,563	)
Subtotal		$139	$   78,341		$  5,491		$(2,573	)	$   81,398
Cash collateral netting 2									(29,627	)
Fair value included in financial instruments sold, but not yet purchased									$   51,771

1. Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements.

2. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

3. Represents the netting of receivable balances with payable balances for the same counterparty across levels of the fair value hierarchy under enforceable netting agreements.

	Derivative Assets at Fair Value as of December 2011
in millions		Level 1	Level 2		Level 3		Cross-Level Netting		Total
Interest rates		$  33	$ 645,923		$     214		$      —		$ 646,170
Credit		—	137,110		13,706		—		150,816
Currencies		—	86,752		2,026		—		88,778
Commodities		—	35,062		904		—		35,966
Equities		24	62,684		1,427		—		64,135
Gross fair value of derivative assets		57	967,531		18,277		—		985,865
Counterparty netting 1		—	(778,639	)	(6,377	)	(2,717	) 3	(787,733	)
Subtotal		$  57	$ 188,892		$11,900		$(2,717	)	$ 198,132
Cash collateral netting 2									(118,104	)
Fair value included in financial instruments owned									$   80,028
	Derivative Liabilities at Fair Value as of December 2011
in millions		Level 1	Level 2		Level 3		Cross-Level Netting		Total
Interest rates		$  24	$ 582,012		$     585		$      —		$ 582,621
Credit		—	123,253		7,406		—		130,659
Currencies		—	70,573		1,184		—		71,757
Commodities		—	36,541		1,509		—		38,050
Equities		185	49,884		1,859		—		51,928
Gross fair value of derivative liabilities		209	862,263		12,543		—		875,015
Counterparty netting 1		—	(778,639	)	(6,377	)	(2,717	) 3	(787,733	)
Subtotal		$209	$   83,624		$  6,166		$(2,717	)	$   87,282
Cash collateral netting 2									(28,829	)
Fair value included in financial instruments sold, but not yet purchased									$   58,453

1. Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements.

2. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

3. Represents the netting of receivable balances with payable balances for the same counterparty across levels of the fair value hierarchy under enforceable netting agreements.

Level 3 Rollforward

If a derivative was transferred to level 3 during a reporting period, its entire gain or loss for the period is included in level 3. Transfers between levels are reported at the beginning of the reporting period in which they occur.

Gains and losses on level 3 derivatives should be considered in the context of the following:

Ÿ A derivative with level 1 and/or level 2 inputs is classified in level 3 in its entirety if it has at least one significant level 3 input.

Ÿ If there is one significant level 3 input, the entire gain or loss from adjusting only observable inputs (i.e., level 1 and level 2 inputs) is classified as level 3.

Ÿ Gains or losses that have been reported in level 3 resulting from changes in level 1 or level 2 inputs are frequently offset by gains or losses attributable to level 1 or level 2 derivatives and/or level 1, level 2 and level 3 cash instruments. As a result, gains/(losses) included in the level 3 rollforward below do not necessarily represent the overall impact on the firm’s results of operations, liquidity or capital resources.

The tables below present changes in fair value for all derivatives categorized as level 3 as of the end of the period.

	Level 3 Derivative Assets and Liabilities at Fair Value for the Three Months Ended September 2012
in millions		Asset/ (liability) balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales		Settlements		Transfers into level 3		Transfers out of level 3		Asset/ (liability) balance, end of period
Interest rates — net		$  (353	)	$(24	)	$   49		$    1	$    —		$  (36	)	$  (147	) 3	$  27	4	$  (483	)
Credit — net		6,119		72		(736	)	50	(58	)	(596	)	2,124		4	4	6,979
Currencies — net		192		(8	)	27		4	(7	)	75		61		7	4	351
Commodities — net		(240	)	(38	)	18		74	(431	)	31		(88	) 3	23	4	(651	)
Equities — net		(548	)	(69	)	(68	)	4	(63	)	146		(38	) 3	59	4	(577	)
Total derivatives — net		$5,170		$(67	) 1	$(710	) 1, 2	$133	$(559	)	$(380	)	$1,912		$120		$5,619

1. The aggregate amounts include approximately $(625) million and $(152) million reported in “Market making” and “Other principal transactions,” respectively.

2. Principally resulted from changes in level 2 inputs.

3. Reflects a net transfer to level 3 of derivative liabilities.

4. Reflects a net transfer to level 2 of derivative liabilities.

The net unrealized loss on level 3 derivatives of $710 million for the three months ended September 2012 was primarily attributable to the impact of tighter credit spreads and changes in foreign exchange rates on certain credit derivatives.

Transfers into level 3 derivatives during the three months ended September 2012 primarily reflected transfers from level 2 of certain credit derivative assets, primarily due to unobservable inputs becoming significant to the valuation of these derivatives, and transfers from level 2 of other credit derivative assets, primarily due to reduced transparency of correlation inputs used to value these derivatives.

	Level 3 Derivative Assets and Liabilities at Fair Value for the Nine Months Ended September 2012
in millions		Asset/ (liability) balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales		Settlements		Transfers into level 3		Transfers out of level 3		Asset/ (liability) balance, end of period
Interest rates — net		$  (371	)	$ (58	)	$    (4	)	$    2	$     (11	)	$     (10	)	$    (44	) 3	$   13	4	$  (483	)
Credit — net		6,300		273		(354	)	151	(159	)	(1,418	)	2,265		(79	)	6,979
Currencies — net		842		(18	)	(208	)	13	(10	)	(100	)	95		(263	)	351
Commodities — net		(605	)	(75	)	135		266	(605	)	396		(188	) 3	25	4	(651	)
Equities — net		(432	)	16		(276	)	131	(240	)	186		(15	) 3	53	4	(577	)
Total derivatives — net		$5,734		$138	1	$(707	) 1, 2	$563	$(1,025	)	$   (946	)	$2,113		$(251	)	$5,619

1. The aggregate amounts include approximately $(465) million and $(104) million reported in “Market making” and “Other principal transactions,” respectively.

2. Principally resulted from changes in level 2 inputs.

3. Reflects a net transfer to level 3 of derivative liabilities.

4. Reflects a net transfer to level 2 of derivative liabilities.

The net unrealized loss on level 3 derivatives of $707 million for the nine months ended September 2012 was primarily attributable to the impact of tighter credit spreads, an increase in global equity prices and changes in foreign exchange rates on certain derivatives.

Transfers into level 3 derivatives during the nine months ended September 2012 primarily reflected transfers from level 2 of certain credit derivative assets, primarily due to unobservable inputs becoming significant to the valuation of these derivatives, and transfers from level 2 of other credit derivative assets, primarily due to reduced transparency of correlation inputs used to value these derivatives.

Transfers out of level 3 derivatives during the nine months ended September 2012 primarily reflected transfers to level 2 of certain currency derivative assets, primarily due to unobservable correlation inputs no longer being significant to the valuation of these derivatives.

	Level 3 Derivative Assets and Liabilities at Fair Value for the Three Months Ended September 2011
in millions		Asset/ (liability) balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Settlements		Net transfers in and/or (out) of level 3		Asset/ (liability) balance, end of period
Interest rates — net		$  (192	)	$ (17	)	$  (124	)	$    6	$       (4)	$     7		$   49		$  (275	)
Credit — net		6,019		117		1,281		269	(671)	(521	)	(479	)	6,015
Currencies — net		1,123		10		30		—	(14)	27		(46	)	1,130
Commodities — net		184		(13	)	(637	)	13	(748)	142		(507	)	(1,566	)
Equities — net		(903	)	44		636		64	(302)	(5	)	38		(428	)
Total derivatives — net		$6,231		$141	1	$1,186	1, 2	$352	$(1,739)	$(350	)	$(945	)	$4,876

1. The aggregate amounts include approximately $1.32 billion and $8 million reported in “Market making” and “Other principal transactions,” respectively.

2. Principally resulted from changes in level 2 inputs.

The net unrealized gain on level 3 derivatives of $1.19 billion for the three months ended September 2011 was primarily attributable to the impact of changes in interest rates and exchange rates and wider credit spreads underlying certain credit derivatives, as well as the impact of a decline in global equity prices underlying certain equity derivatives. These gains were partially offset by the impact of a decline in certain commodity prices. Unrealized gains on level 3 derivatives were substantially offset by unrealized losses on derivatives classified within level 2 which economically hedge derivatives classified within level 3.

Significant transfers in or out of level 3 derivatives during the three months ended September 2011 included:

Ÿ Credit — net: net transfer out of level 3 of $479 million, principally due to unobservable inputs no longer being significant to the valuation of certain credit derivatives.

Ÿ Commodities — net: net transfer out of level 3 of $507 million, primarily reflecting transfers to level 2, due to increased transparency of market prices used to value certain commodity derivative assets as a result of market activity in similar instruments, and unobservable inputs becoming less significant to the valuation of other commodity derivative assets. In addition, certain commodity derivative liabilities were transferred into level 3 due to reduced transparency of volatility inputs used to value these derivatives.

	Level 3 Derivative Assets and Liabilities at Fair Value for the Nine Months Ended September 2011
in millions		Asset/ (liability) balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales		Settlements		Net transfers in and/or (out) of level 3		Asset/ (liability) balance, end of period
Interest rates — net		$   194		$  (45	)	$  (178	)	$  13	$       (6	)	$      59		$   (312	)	$   (275	)
Credit — net		7,040		123		1,632		319	(873	)	(1,179	)	(1,047	)	6,015
Currencies — net		1,098		(17	)	(210	)	28	(18	)	6		243		1,130
Commodities — net		220		(222	)	(785	)	129	(800	)	358		(466	)	(1,566	)
Equities — net		(990	)	65		734		306	(519	)	(10	)	(14	)	(428	)
Total derivatives — net		$7,562		$  (96	) 1	$1,193	1, 2	$795	$(2,216	)	$   (766	)	$(1,596	)	$ 4,876

1. The aggregate amounts include approximately $1.10 billion and $(7) million reported in “Market making” and “Other principal transactions,” respectively.

2. Principally resulted from changes in level 2 inputs.

The net unrealized gain on level 3 derivatives of $1.19 billion for the nine months ended September 2011 was primarily attributable to the impact of changes in interest rates and exchange rates and wider credit spreads underlying certain credit derivatives, and the impact of a decline in global equity prices underlying certain equity derivatives. These gains were partially offset by the impact of a decline in certain commodity prices. Unrealized gains on level 3 derivatives were substantially offset by unrealized losses on derivatives classified within level 2 which economically hedge derivatives classified within level 3.

Significant transfers in or out of level 3 derivatives during the nine months ended September 2011 included:

Ÿ Credit — net: net transfer out of level 3 of $1.05 billion, principally due to unobservable inputs no longer being significant to the valuation of certain credit derivatives.

Ÿ Commodities — net: net transfer out of level 3 of $466 million, primarily reflecting transfers to level 2, due to increased transparency of market prices used to value certain commodity derivative assets as a result of market activity in similar instruments, and unobservable inputs becoming less significant to the valuation of other commodity derivative assets. In addition, certain commodity derivative liabilities were transferred into level 3 due to reduced transparency of volatility inputs used to value these derivatives.

Impact of Credit Spreads on Derivatives

On an ongoing basis, the firm realizes gains or losses relating to changes in credit risk through the unwind of derivative contracts and changes in credit mitigants.

The net gain/(loss), including hedges, attributable to the impact of changes in credit exposure and credit spreads (counterparty and the firm’s) on derivatives was $(377) million and $328 million for the three months ended September 2012 and September 2011, respectively, and $(716) million and $459 million for the nine months ended September 2012 and September 2011, respectively.

Bifurcated Embedded Derivatives

The table below presents derivatives, primarily interest rate, equity and commodity products, that have been bifurcated from their related borrowings. These derivatives are recorded at fair value and included in “Unsecured short-term borrowings” and “Unsecured long-term borrowings.” See Note 8 for further information.

	As of
in millions, except number of contracts		September 2012		December 2011
Fair value of assets		$ 342		$422
Fair value of liabilities		490		304
Net asset/(liability)		$(148	)	$118
Number of contracts		399		333

OTC Derivatives

The tables below present the fair values of OTC derivative assets and liabilities by tenor and by product type. Tenor is based on expected duration for mortgage-related credit derivatives and generally on remaining contractual maturity for other derivatives.

in millions	OTC Derivatives as of September 2012
Assets Product Type	0 - 12 Months		1 - 5 Years		5 Years or Greater		Total
Interest rates	$11,466		$29,659		$  81,929		$ 123,054
Credit	1,692		13,386		8,909		23,987
Currencies	8,116		8,432		13,026		29,574
Commodities	5,012		4,617		368		9,997
Equities	4,907		7,989		7,399		20,295
Netting across product types  1	(2,983	)	(5,976	)	(5,637	)	(14,596	)
Subtotal	$28,210		$58,107		$105,994		192,311
Cross maturity netting 2							(20,401	)
Cash collateral netting 3							(103,709	)
Total							$   68,201
Liabilities Product Type	0 - 12 Months		1 - 5 Years		5 Years or Greater		Total
Interest rates	$  6,448		$18,382		$  33,569		$   58,399
Credit	593		7,030		3,224		10,847
Currencies	6,815		5,254		7,142		19,211
Commodities	3,368		5,552		2,229		11,149
Equities	3,415		5,314		4,139		12,868
Netting across product types  1	(2,983	)	(5,976	)	(5,637	)	(14,596	)
Subtotal	$17,656		$35,556		$  44,666		97,878
Cross maturity netting 2							(20,401	)
Cash collateral netting 3							(29,627	)
Total							$   47,850

1. Represents the netting of receivable balances with payable balances for the same counterparty across product types within a tenor category under enforceable netting agreements. Receivable and payable balances with the same counterparty in the same product type and tenor category are netted within such product type and tenor category.

2. Represents the netting of receivable balances with payable balances for the same counterparty across tenor categories under enforceable netting agreements.

3. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

in millions	OTC Derivatives as of December 2011
Assets Product Type		0 - 12 Months		1 - 5 Years		5 Years or Greater		Total
Interest rates		$10,931		$32,194		$  82,480		$ 125,605
Credit		3,054		15,468		13,687		32,209
Currencies		11,253		11,592		16,023		38,868
Commodities		5,286		5,931		147		11,364
Equities		6,663		7,768		7,468		21,899
Netting across product types 1		(3,071	)	(6,033	)	(6,027	)	(15,131	)
Subtotal		$34,116		$66,920		$113,778		214,814
Cross maturity netting 2								(22,562	)
Cash collateral netting 3								(118,104	)
Total								$   74,148
Liabilities Product Type		0 - 12 Months		1 - 5 Years		5 Years or Greater		Total
Interest rates		$  5,787		$18,607		$  37,739		$   62,133
Credit		1,200		6,957		3,894		12,051
Currencies		9,826		5,514		6,502		21,842
Commodities		6,322		5,174		2,727		14,223
Equities		3,290		4,018		4,246		11,554
Netting across product types 1		(3,071	)	(6,033	)	(6,027	)	(15,131	)
Subtotal		$23,354		$34,237		$  49,081		106,672
Cross maturity netting 2								(22,562	)
Cash collateral netting 3								(28,829	)
Total								$   55,281

1. Represents the netting of receivable balances with payable balances for the same counterparty across product types within a tenor category under enforceable netting agreements. Receivable and payable balances with the same counterparty in the same product type and tenor category are netted within such product type and tenor category.

2. Represents the netting of receivable balances with payable balances for the same counterparty across tenor categories under enforceable netting agreements.

3. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.

Derivatives with Credit-Related Contingent Features

Certain of the firm’s derivatives have been transacted under bilateral agreements with counterparties who may require the firm to post collateral or terminate the transactions based on changes in the firm’s credit ratings. The firm assesses the impact of these bilateral agreements by determining the collateral or termination payments that would occur assuming a downgrade by all rating agencies. A downgrade by any one rating agency, depending on the agency’s relative ratings of the firm at the time of the downgrade, may have an impact which is comparable to the impact of a downgrade by all rating agencies. The table below presents the aggregate fair value of net derivative liabilities under such agreements (excluding application of collateral posted to reduce these liabilities), the related aggregate fair value of the assets posted as collateral, and the additional collateral or termination payments that could have been called at the reporting date by counterparties in the event of a one-notch and two-notch downgrade in the firm’s credit ratings.

	As of
in millions		September 2012	December 2011
Net derivative liabilities under bilateral agreements		$29,731	$35,066
Collateral posted		25,512	29,002
Additional collateral or termination payments for a one-notch downgrade		1,397	1,303
Additional collateral or termination payments for a two-notch downgrade		2,698	2,183

Credit Derivatives

The firm enters into a broad array of credit derivatives in locations around the world to facilitate client transactions and to manage the credit risk associated with market-making and investing and lending activities. Credit derivatives are actively managed based on the firm’s net risk position.

Credit derivatives are individually negotiated contracts and can have various settlement and payment conventions. Credit events include failure to pay, bankruptcy, acceleration of indebtedness, restructuring, repudiation and dissolution of the reference entity.

Credit Default Swaps. Single-name credit default swaps protect the buyer against the loss of principal on one or more bonds, loans or mortgages (reference obligations) in the event the issuer (reference entity) of the reference obligations suffers a credit event. The buyer of protection pays an initial or periodic premium to the seller and receives protection for the period of the contract. If there is no credit event, as defined in the contract, the seller of protection makes no payments to the buyer of protection. However, if a credit event occurs, the seller of protection is required to make a payment to the buyer of protection, which is calculated in accordance with the terms of the contract.

Credit Indices, Baskets and Tranches. Credit derivatives may reference a basket of single-name credit default swaps or a broad-based index. If a credit event occurs in one of the underlying reference obligations, the protection seller pays the protection buyer. The payment is typically a pro-rata portion of the transaction’s total notional amount based on the underlying defaulted reference obligation. In certain transactions, the credit risk of a basket or index is separated into various portions (tranches), each having different levels of subordination. The most junior tranches cover initial defaults and once losses exceed the notional amount of these junior tranches, any excess loss is covered by the next most senior tranche in the capital structure.

Total Return Swaps. A total return swap transfers the risks relating to economic performance of a reference obligation from the protection buyer to the protection seller. Typically, the protection buyer receives from the protection seller a floating rate of interest and protection against any reduction in fair value of the reference obligation, and in return the protection seller receives the cash flows associated with the reference obligation, plus any increase in the fair value of the reference obligation.

Credit Options. In a credit option, the option writer assumes the obligation to purchase or sell a reference obligation at a specified price or credit spread. The option purchaser buys the right, but does not assume the obligation, to sell the reference obligation to, or purchase it from, the option writer. The payments on credit options depend either on a particular credit spread or the price of the reference obligation.

The firm economically hedges its exposure to written credit derivatives primarily by entering into offsetting purchased credit derivatives with identical underlyings. Substantially all of the firm’s purchased credit derivative transactions are with financial institutions and are subject to stringent collateral thresholds. In addition, upon the occurrence of a specified trigger event, the firm may take possession of the reference obligations underlying a particular written credit derivative, and consequently may, upon liquidation of the reference obligations, recover amounts on the underlying reference obligations in the event of default.

As of September 2012, written and purchased credit derivatives had total gross notional amounts of $1.86 trillion and $1.98 trillion, respectively, for total net notional purchased protection of $115.24 billion. As of December 2011, written and purchased credit derivatives had total gross notional amounts of $1.96 trillion and $2.08 trillion, respectively, for total net notional purchased protection of $116.93 billion.

The table below presents certain information about credit derivatives. In the table below:

Ÿ fair values exclude the effects of both netting of receivable balances with payable balances under enforceable netting agreements, and netting of cash received or posted under credit support agreements, and therefore are not representative of the firm’s credit exposure;

Ÿ tenor is based on expected duration for mortgage-related credit derivatives and on remaining contractual maturity for other credit derivatives; and

Ÿ the credit spread on the underlying, together with the tenor of the contract, are indicators of payment/performance risk. The firm is less likely to pay or otherwise be required to perform where the credit spread and the tenor are lower.

	Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor					Maximum Payout/Notional Amount of Purchased Credit Derivatives					Fair Value of Written Credit Derivatives
$ in millions		0 - 12 Months	1 - 5 Years	5 Years or Greater	Total		Offsetting Purchased Credit Derivatives	1	Other Purchased Credit Derivatives	2		Asset	Liability	Net Asset/ (Liability)
As of September 2012
Credit spread on underlying (basis points)
0-250		$378,059	$   919,259	$153,110	$1,450,428		$1,357,304		$197,320			$25,629	$  10,001	$ 15,628
251-500		17,581	169,661	48,737	235,979		214,043		24,678			3,870	12,055	(8,185	)
501-1,000		12,677	65,288	12,185	90,150		86,341		6,510			1,086	5,768	(4,682	)
Greater than 1,000		16,997	61,631	7,429	86,057		72,992		18,664			496	24,540	(24,044	)
Total		$425,314	$1,215,839	$221,461	$1,862,614		$1,730,680		$247,172			$31,081	$  52,364	$(21,283	)
As of December 2011
Credit spread on underlying (basis points)
0-250		$282,851	$   794,193	$141,688	$1,218,732		$1,122,296		$180,316			$17,572	$  16,907	$      665
251-500		42,682	269,687	69,864	382,233		345,942		47,739			4,517	20,810	(16,293	)
501-1,000		29,377	140,389	21,819	191,585		181,003		23,176			138	15,398	(15,260	)
Greater than 1,000		30,244	114,103	22,995	167,342		147,614		28,734			512	57,201	(56,689	)
Total		$385,154	$1,318,372	$256,366	$1,959,892		$1,796,855		$279,965			$22,739	$110,316	$(87,577	)

1. Offsetting purchased credit derivatives represent the notional amount of purchased credit derivatives to the extent they economically hedge written credit derivatives with identical underlyings.

2. This purchased protection represents the notional amount of purchased credit derivatives in excess of the notional amount included in “Offsetting Purchased Credit Derivatives.”

Hedge Accounting

The firm applies hedge accounting for (i) certain interest rate swaps used to manage the interest rate exposure of certain fixed-rate unsecured long-term and short-term borrowings and certain fixed-rate certificates of deposit and (ii) certain foreign currency forward contracts and foreign currency-denominated debt used to manage foreign currency exposures on the firm’s net investment in certain non-U.S. operations.

To qualify for hedge accounting, the derivative hedge must be highly effective at reducing the risk from the exposure being hedged. Additionally, the firm must formally document the hedging relationship at inception and test the hedging relationship at least on a quarterly basis to ensure the derivative hedge continues to be highly effective over the life of the hedging relationship.

Interest Rate Hedges

The firm designates certain interest rate swaps as fair value hedges. These interest rate swaps hedge changes in fair value attributable to the relevant benchmark interest rate (e.g., London Interbank Offered Rate (LIBOR)), effectively converting a substantial portion of fixed-rate obligations into floating-rate obligations.

The firm applies a statistical method that utilizes regression analysis when assessing the effectiveness of its fair value hedging relationships in achieving offsetting changes in the fair values of the hedging instrument and the risk being hedged (i.e., interest rate risk). An interest rate swap is considered highly effective in offsetting changes in fair value attributable to changes in the hedged risk when the regression analysis results in a coefficient of determination of 80% or greater and a slope between 80% and 125%.

For qualifying fair value hedges, gains or losses on derivatives are included in “Interest expense.” The change in fair value of the hedged item attributable to the risk being hedged is reported as an adjustment to its carrying value and is subsequently amortized into interest expense over its remaining life. Gains or losses resulting from hedge ineffectiveness are included in “Interest expense.” When a derivative is no longer designated as a hedge, any remaining difference between the carrying value and par value of the hedged item is amortized to interest expense over the remaining life of the hedged item using the effective interest method. See Note 23 for further information about interest income and interest expense.

The table below presents the gains/(losses) from interest rate derivatives accounted for as hedges, the related hedged borrowings and bank deposits, and the hedge ineffectiveness on these derivatives.

	Three Months Ended September					Nine Months Ended September
in millions		2012		2011			2012		2011
Interest rate hedges		$(549	)	$ 6,654			$   (995	)	$ 4,832
Hedged borrowings and bank deposits		102		(6,969	)		(280	)	(6,056	)
Hedge ineffectiveness 1		(447	)	(315	)		(1,275	)	(1,224	)

1. Primarily consisted of amortization of prepaid credit spreads resulting from the passage of time.

Net Investment Hedges

The firm seeks to reduce the impact of fluctuations in foreign exchange rates on its net investment in certain non-U.S. operations through the use of foreign currency forward contracts and foreign currency-denominated debt. For foreign currency forward contracts designated as hedges, the effectiveness of the hedge is assessed based on the overall changes in the fair value of the forward contracts (i.e., based on  changes  in  forward  rates).  For  foreign currency-denominated debt designated as a hedge, the effectiveness of the hedge is assessed based on changes in spot rates.

For qualifying net investment hedges, the gains or losses on the hedging instruments, to the extent effective, are included in “Currency translation adjustment, net of tax” within the condensed consolidated statements of comprehensive income.

The table below presents the gains/(losses) from net investment hedging.

	Three Months Ended September					Nine Months Ended September
in millions		2012		2011			2012		2011
Currency hedges		$(192	)	$ 513			$(195	)	$ 110
Foreign currency-denominated debt		(73	)	(130	)		40		(142	)

The gain/(loss) related to ineffectiveness was not material for the three and nine months ended September 2012 and September 2011, and the loss reclassified to earnings from accumulated other comprehensive income was not material for the three and nine months ended September 2012. The loss reclassified to earnings from accumulated other comprehensive income was $151 million and $169 million for the three and nine months ended September 2011, respectively.

As of September 2012 and December 2011, the firm had designated $3.07 billion and $3.11 billion, respectively, of foreign currency-denominated debt, included in “Unsecured   long-term   borrowings”   and   “Unsecured short-term  borrowings,”  as  hedges  of  net  investments in non-U.S. subsidiaries.

XML

Collateralized Agreements and Financings

9 Months Ended

Sep. 30, 2012

Collateralized Agreements and Financings [Abstract]

Collateralized Agreements and Financings

Note 9.

Collateralized Agreements and Financings

Collateralized agreements are securities purchased under agreements to resell (resale agreements or reverse repurchase agreements) and securities borrowed. Collateralized financings are securities sold under agreements to repurchase (repurchase agreements), securities loaned and other secured financings. The firm enters into these transactions in order to, among other things, facilitate client activities, invest excess cash, acquire securities to cover short positions and finance certain firm activities.

Collateralized agreements and financings are presented on a net-by-counterparty basis when a legal right of setoff exists. Interest on collateralized agreements and collateralized financings is recognized over the life of the transaction and included in “Interest income” and “Interest expense,” respectively. See Note 23 for further information about interest income and interest expense.

The table below presents the carrying value of resale and repurchase agreements and securities borrowed and loaned transactions.

	As of
in millions		September 2012	December 2011
Securities purchased under agreements to resell 1		$147,361	$187,789
Securities borrowed 2		165,250	153,341
Securities sold under agreements to repurchase 1		166,186	164,502
Securities loaned 2		13,640	7,182

1. Resale and repurchase agreements are carried at fair value under the fair value option. See Note 8 for further information about the valuation techniques and significant inputs used to determine fair value.

2. As of September 2012 and December 2011, $47.99 billion and $47.62 billion of securities borrowed, and $243 million and $107 million of securities loaned were at fair value, respectively.

Resale and Repurchase Agreements

A resale agreement is a transaction in which the firm purchases financial instruments from a seller, typically in exchange for cash, and simultaneously enters into an agreement to resell the same or substantially the same financial instruments to the seller at a stated price plus accrued interest at a future date.

A repurchase agreement is a transaction in which the firm sells financial instruments to a buyer, typically in exchange for cash, and simultaneously enters into an agreement to repurchase the same or substantially the same financial instruments from the buyer at a stated price plus accrued interest at a future date.

The financial instruments purchased or sold in resale and repurchase agreements typically include U.S. government and federal agency, and investment-grade sovereign obligations.

The firm receives financial instruments purchased under resale agreements, makes delivery of financial instruments sold under repurchase agreements, monitors the market value of these financial instruments on a daily basis, and delivers or obtains additional collateral due to changes in the market value of the financial instruments, as appropriate. For resale agreements, the firm typically requires delivery of collateral with a fair value approximately equal to the carrying value of the relevant assets in the condensed consolidated statements of financial condition.

Even though repurchase and resale agreements involve the legal transfer of ownership of financial instruments, they are accounted for as financing arrangements because they require the financial instruments to be repurchased or resold at the maturity of the agreement. However, “repos to maturity” are accounted for as sales. A repo to maturity is a transaction in which the firm transfers a security under an agreement to repurchase the security where the maturity date of the repurchase agreement matches the maturity date of the underlying security. Therefore, the firm effectively no longer has a repurchase obligation and has relinquished control over the underlying security and, accordingly, accounts for the transaction as a sale. The firm had no repos to maturity outstanding as of September 2012 or December 2011.

Securities Borrowed and Loaned Transactions

In a securities borrowed transaction, the firm borrows securities from a counterparty in exchange for cash. When the firm returns the securities, the counterparty returns the cash. Interest is generally paid periodically over the life of the transaction.

In a securities loaned transaction, the firm lends securities to a counterparty typically in exchange for cash or securities, or a letter of credit. When the counterparty returns the securities, the firm returns the cash or securities posted as collateral. Interest is generally paid periodically over the life of the transaction.

The firm receives securities borrowed, makes delivery of securities loaned, monitors the market value of these securities on a daily basis, and delivers or obtains additional collateral due to changes in the market value of the securities, as appropriate. For securities borrowed transactions, the firm typically requires collateral with a fair value approximately equal to the carrying value of the securities borrowed transaction.

Securities borrowed and loaned within Fixed Income, Currency and Commodities Client Execution are recorded at fair value under the fair value option.

Securities borrowed and loaned within Securities Services are recorded based on the amount of cash collateral advanced or received plus accrued interest. As these arrangements generally can be terminated on demand, they exhibit little, if any, sensitivity to changes in interest rates. Therefore, the carrying value of such arrangements approximates fair value. While these arrangements are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these arrangements been included in the firm’s fair value hierarchy, they would have been classified in level 2 as of September 2012.

As of September 2012 and December 2011, the firm had $8.21 billion and $20.22 billion, respectively, of securities received under resale agreements and securities borrowed transactions that were segregated to satisfy certain regulatory requirements. These securities are included in “Cash and securities segregated for regulatory and other purposes.”

Other Secured Financings

In addition to repurchase agreements and securities lending transactions, the firm funds certain assets through the use of other secured financings and pledges financial instruments and other assets as collateral in these transactions. These other secured financings consist of:

Ÿ liabilities of consolidated VIEs;

Ÿ transfers of assets accounted for as financings rather than sales (primarily collateralized central bank financings, pledged commodities, bank loans and mortgage whole loans); and

Ÿ other structured financing arrangements.

Other secured financings include arrangements that are nonrecourse. As of September 2012 and December 2011, nonrecourse other secured financings were $1.94 billion and $3.14 billion, respectively.

The firm has elected to apply the fair value option to the following other secured financings because the use of fair value eliminates non-economic volatility in earnings that would arise from using different measurement attributes:

Ÿ transfers of assets accounted for as financings rather than sales; and

Ÿ certain other nonrecourse financings.

See Note 8 for further information about other secured financings that are accounted for at fair value. Other secured financings that are not recorded at fair value are generally short-term and recorded based on the amount of cash received plus accrued interest, which generally approximates fair value. While these financings are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these financings been included in the firm’s fair value hierarchy, they would have primarily been classified in level 2 as of September 2012.

The table below presents information about other secured financings. In the table below:

Ÿ short-term secured financings include financings maturing within one year of the financial statement date and financings that are redeemable within one year of the financial statement date at the option of the holder;

Ÿ long-term secured financings that are repayable prior to maturity at the option of the firm are reflected at their contractual maturity dates; and

Ÿ long-term secured financings that are redeemable prior to maturity at the option of the holders are reflected at the dates such options become exercisable.

	As of September 2012						As of December 2011
$ in millions		U.S. Dollar		Non-U.S. Dollar		Total		U.S. Dollar		Non-U.S. Dollar		Total
Other secured financings (short-term):
At fair value		$13,392		$4,918		$18,310		$18,519		$  5,140		$23,659
At amortized cost		34		2,706		2,740		155		5,371		5,526
Interest rates 1		6.82	%	0.10	%			3.85	%	0.22	%
Other secured financings (long-term):
At fair value		5,462		1,407		6,869		4,305		2,055		6,360
At amortized cost		710		764		1,474		1,024		795		1,819
Interest rates 1		2.99	%	2.84	%			1.88	%	3.28	%
Total 2		$19,598		$9,795		$29,393		$24,003		$13,361		$37,364
Amount of other secured financings collateralized by:
Financial instruments 3		$18,990		$9,420		$28,410		$23,703		$12,169		$35,872
Other assets 4		608		375		983		300		1,192		1,492

1. The weighted average interest rates exclude secured financings at fair value and include the effect of hedging activities. See Note 7 for further information about hedging activities.

2. Includes $6.18 billion and $9.36 billion related to transfers of financial assets accounted for as financings rather than sales as of September 2012 and December 2011, respectively. Such financings were collateralized by financial assets included in “Financial instruments owned, at fair value” of $6.20 billion and $9.51 billion as of September 2012 and December 2011, respectively.

3. Includes $15.58 billion and $14.82 billion of other secured financings collateralized by financial instruments owned, at fair value as of September 2012 and December 2011, respectively, and includes $12.83 billion and $21.06 billion of other secured financings collateralized by financial instruments received as collateral and repledged as of September 2012 and December 2011, respectively.

4. Primarily real estate and cash.

The table below presents other secured financings by maturity.

in millions	As of September 2012
Other secured financings (short-term)	$21,050
Other secured financings (long-term):
2013	771
2014	4,046
2015	1,274
2016	571
2017	197
2018-thereafter	1,484
Total other secured financings (long-term)	8,343
Total other secured financings	$29,393

The aggregate contractual principal amount of other secured financings (long-term) for which the fair value option was elected exceeded the related fair value by $188 million and $239 million, as of September 2012 and December 2011, respectively.

Collateral Received and Pledged

The firm receives financial instruments (e.g., U.S. government and federal agency, other sovereign and corporate obligations, as well as equities and convertible debentures) as collateral, primarily in connection with resale agreements, securities borrowed, derivative transactions and customer margin loans.

In many cases, the firm is permitted to deliver or repledge these financial instruments when entering into repurchase agreements and securities lending agreements, primarily in connection with secured client financing activities. The firm is also permitted to deliver or repledge these financial instruments in connection with other secured financings, collateralizing derivative transactions and meeting firm or customer settlement requirements.

The table below presents financial instruments at fair value received as collateral that were available to be delivered or repledged and were delivered or repledged by the firm.

	As of
in millions		September 2012	December 2011
Collateral available to be delivered or repledged		$573,711	$622,926
Collateral that was delivered or repledged		431,090	454,604

The firm also pledges certain financial instruments owned, at fair value in connection with repurchase agreements, securities lending agreements and other secured financings, and other assets (primarily real estate and cash) in connection with other secured financings to counterparties who may or may not have the right to deliver or repledge them. The table below presents information about assets pledged by the firm.

	As of
in millions		September 2012	December 2011
Financial instruments owned, at fair value pledged to counterparties that:
Had the right to deliver or repledge		$  66,753	$  53,989
Did not have the right to deliver or repledge		118,630	110,949
Other assets pledged to counterparties that:
Did not have the right to deliver or repledge		2,603	3,444

XML

Cash Instruments (Details 1) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Jun. 30, 2012	Dec. 31, 2011
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	$ 651,647	$ 651,160	$ 651,312
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	415,293		364,206
Total financial liabilities at fair value	381,934	380,087	388,669
Financial instruments sold, but not yet purchased, at fair value	144,179		145,013
Commercial paper, certificates of deposit, time deposits and other money market instruments [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	10,708		13,440
Financial instruments sold, but not yet purchased, at fair value	0		0
U.S. government and federal agency obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	95,529		87,040
Financial instruments sold, but not yet purchased, at fair value	22,945		21,006
Non-U.S. government and agency obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	62,952		49,205
Financial instruments sold, but not yet purchased, at fair value	36,630		34,886
Loans and securities backed by commercial real estate [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	7,536		6,699
Financial instruments sold, but not yet purchased, at fair value	0		27
Loans and securities backed by residential real estate [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	9,602		7,592
Financial instruments sold, but not yet purchased, at fair value	8		3
Bank loans and bridge loans [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	21,011		19,745
Financial instruments sold, but not yet purchased, at fair value	2,143		2,756
Corporate Debt Securities [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	25,345		22,131
Financial instruments sold, but not yet purchased, at fair value	6,902		6,553
State and municipal obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	3,296		3,089
Financial instruments sold, but not yet purchased, at fair value	2		3
Other debt obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	4,489		4,362
Financial instruments sold, but not yet purchased, at fair value	0		0
Equities and convertible debentures [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	91,225		65,113
Financial instruments sold, but not yet purchased, at fair value	23,778		21,326
Commodities [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	10,771		5,762
Financial instruments sold, but not yet purchased, at fair value	0		0
Cash Instruments [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	342,464		284,178
Financial instruments sold, but not yet purchased, at fair value	92,408		86,560
Level 1 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	183,205	163,712	136,780
Total financial liabilities at fair value	80,843	86,453	75,557
Level 1 [Member] | Commercial paper, certificates of deposit, time deposits and other money market instruments [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	1,942		3,255
Level 1 [Member] | U.S. government and federal agency obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	42,178		29,263
Total financial liabilities at fair value	22,733		20,940
Level 1 [Member] | Non-U.S. government and agency obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	46,864		42,854
Total financial liabilities at fair value	35,337		34,339
Level 1 [Member] | Loans and securities backed by commercial real estate [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Total financial liabilities at fair value			0
Level 1 [Member] | Loans and securities backed by residential real estate [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Total financial liabilities at fair value	0		0
Level 1 [Member] | Bank loans and bridge loans [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Total financial liabilities at fair value	0		0
Level 1 [Member] | Corporate Debt Securities [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	145		133
Total financial liabilities at fair value	26		0
Level 1 [Member] | State and municipal obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Total financial liabilities at fair value	0		0
Level 1 [Member] | Other debt obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Level 1 [Member] | Equities and convertible debentures [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	66,653		39,955
Total financial liabilities at fair value	22,608		20,069
Level 1 [Member] | Commodities [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Level 1 [Member] | Cash Instruments [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	157,782		115,460
Total financial liabilities at fair value	80,704		75,348
Level 2 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	526,914	552,082	587,416
Total financial liabilities at fair value	309,289	303,084	319,160
Level 2 [Member] | Commercial paper, certificates of deposit, time deposits and other money market instruments [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	8,766		10,185
Level 2 [Member] | U.S. government and federal agency obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	53,351		57,777
Total financial liabilities at fair value	212		66
Level 2 [Member] | Non-U.S. government and agency obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	16,075		6,203
Total financial liabilities at fair value	1,293		547
Level 2 [Member] | Loans and securities backed by commercial real estate [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	4,218		3,353
Total financial liabilities at fair value			27
Level 2 [Member] | Loans and securities backed by residential real estate [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	8,314		5,883
Total financial liabilities at fair value	6		3
Level 2 [Member] | Bank loans and bridge loans [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	10,178		8,460
Total financial liabilities at fair value	1,526		1,891
Level 2 [Member] | Corporate Debt Securities [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	22,479		19,518
Total financial liabilities at fair value	6,829		6,522
Level 2 [Member] | State and municipal obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	2,713		2,490
Total financial liabilities at fair value	2		3
Level 2 [Member] | Other debt obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	2,481		2,911
Level 2 [Member] | Equities and convertible debentures [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	9,446		11,491
Total financial liabilities at fair value	1,163		1,248
Level 2 [Member] | Commodities [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	10,771		5,762
Level 2 [Member] | Cash Instruments [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	148,792		134,033
Total financial liabilities at fair value	11,031		10,307
Level 3 [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	47,810	46,505	47,937
Total financial liabilities at fair value	24,002	23,127	25,498
Level 3 [Member] | Commercial paper, certificates of deposit, time deposits and other money market instruments [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Level 3 [Member] | U.S. government and federal agency obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Total financial liabilities at fair value	0		0
Level 3 [Member] | Non-U.S. government and agency obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	13		148
Total financial liabilities at fair value	0		0
Level 3 [Member] | Loans and securities backed by commercial real estate [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	3,318		3,346
Total financial liabilities at fair value			0
Level 3 [Member] | Loans and securities backed by residential real estate [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	1,288		1,709
Total financial liabilities at fair value	2		0
Level 3 [Member] | Bank loans and bridge loans [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	10,833		11,285
Total financial liabilities at fair value	617		865
Level 3 [Member] | Corporate Debt Securities [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	2,721		2,480
Total financial liabilities at fair value	47		31
Level 3 [Member] | State and municipal obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	583		599
Total financial liabilities at fair value	0		0
Level 3 [Member] | Other debt obligations [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	2,008		1,451
Level 3 [Member] | Equities and convertible debentures [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	15,126		13,667
Total financial liabilities at fair value	7		9
Level 3 [Member] | Commodities [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	0		0
Level 3 [Member] | Cash Instruments [Member]
Fair Value, Assets and Liabilities Measured on A Recurring Basis
Total financial assets at fair value	35,890		34,685
Total financial liabilities at fair value	$ 673		$ 905

XML

Securitization Activities (Details 1) (USD $) In Millions, unless otherwise specified	9 Months Ended	12 Months Ended
	Sep. 30, 2012 Y	Dec. 31, 2011 Y
Weighted average key economic assumptions used in measuring the fair value of the firms retained interests [Abstract]
Fair value of retained interests	$ 3,969	$ 5,777
Securitization Activities (Textuals) [Abstract]
Net Liability related to Other Continuing Involvement	3	52
Outstanding principal amount related to securitization entities in which the firm's only continuing involvement is retained servicing	815	774
Maximum Exposure To Adverse Changes in the value of retained interests relating to Other Asset Backed Securities	37	32
CDOs, CLOs and others [Member]
Weighted average key economic assumptions used in measuring the fair value of the firms retained interests [Abstract]
Fair value of retained interests	37	32
Weighted average life years	2.3	4.7
Mortgage Backed Securities [Member]
Weighted average key economic assumptions used in measuring the fair value of the firms retained interests [Abstract]
Fair value of retained interests	3,932	5,745
Weighted average life years	7.5	7.1
Constant prepayment rate	15.70%	14.10%
Impact of 10% adverse change	(68)	(55)
Impact of 20% adverse change	(128)	(108)
Discount rate	4.60%	5.40%
Impact of 10% adverse change	(83)	(125)
Impact of 20% adverse change	$ (155)	$ (240)

XML

Cash Instruments (Details 3) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Commercial paper, certificates of deposit, time deposits and other money market instruments [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	$ 7
Settlements	(7)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	0		0
Non-U.S. government and agency obligations [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	8		148
Net Realized Gains / (Losses)			(55)
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at Period-End	3		4
Purchases	2		2
Sales			(8)
Settlements			(71)
Transfers Into Level 3			6
Transfers Out Of Level 3			(13)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	13		13
Loans and securities backed by commercial real estate [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	3,166	3,539	3,346	3,976
Net Realized Gains / (Losses)	57	77	143	139
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at Period-End	78	(149)	227	92
Purchases	355	226	1,337	1,049
Sales	(362)	(220)	(956)	(915)
Settlements	(44)	(367)	(859)	(726)
Transfers Into Level 3	214		218
Transfers Out Of Level 3	(146)		(138)
Net transfers in and/or (out) of level 3		441		(68)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	3,318	3,547	3,318	3,547
Loans and securities backed by residential real estate [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	1,632	2,829	1,709	2,501
Net Realized Gains / (Losses)	65	38	128	137
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at Period-End	44	(25)	239	57
Purchases	81	234	345	688
Sales	(266)	(226)	(729)	(507)
Settlements	(351)	(178)	(471)	(509)
Transfers Into Level 3	98		77
Transfers Out Of Level 3	(15)		(10)
Net transfers in and/or (out) of level 3		(989)		(684)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	1,288	1,683	1,288	1,683
Bank loans and bridge loans [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	10,461	10,183	11,285	9,905
Net Realized Gains / (Losses)	151	162	431	477
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at Period-End	150	(595)	318	(96)
Purchases	1,535	2,655	3,393	4,732
Sales	(906)	(413)	(2,754)	(1,183)
Settlements	(805)	(571)	(2,122)	(1,521)
Transfers Into Level 3	691		1,237
Transfers Out Of Level 3	(444)		(955)
Net transfers in and/or (out) of level 3		(410)		(1,303)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	10,833	11,011	10,833	11,011
Corporate Debt Securities [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	2,367	2,747	2,480	2,737
Net Realized Gains / (Losses)	106	61	266	164
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at Period-End	140	(221)	229	(99)
Purchases	462	316	865	1,467
Sales	(274)	(392)	(851)	(1,002)
Settlements	(120)	(80)	(352)	(192)
Transfers Into Level 3	240		344
Transfers Out Of Level 3	(200)		(260)
Net transfers in and/or (out) of level 3		149		(495)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	2,721	2,580	2,721	2,580
State and municipal obligations [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	547	643	599	754
Net Realized Gains / (Losses)	4	2	16	3
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at Period-End	5	(6)	8	(3)
Purchases	36	17	53	72
Sales	(27)	(18)	(80)	(136)
Settlements	(2)	(2)	(12)	(2)
Transfers Into Level 3	20
Transfers Out Of Level 3			(1)
Net transfers in and/or (out) of level 3		52
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	583	688	583	688
Other debt obligations [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	1,757	1,472	1,451	1,274
Net Realized Gains / (Losses)	5	(2)	52	116
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at Period-End	51	(27)	50	(7)
Purchases	197	153	645	553
Sales	(88)	(167)	(365)	(552)
Settlements	(25)	(68)	(41)	(216)
Transfers Into Level 3	118		222
Transfers Out Of Level 3	(7)		(6)
Net transfers in and/or (out) of level 3		260		453
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	2,008	1,621	2,008	1,621
Equities and convertible debentures [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	14,420	13,452	13,667	11,060
Net Realized Gains / (Losses)	31	14	60	160
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at Period-End	632	(191)	1,158	473
Purchases	513	294	2,166	2,658
Sales	(320)	(224)	(497)	(904)
Settlements	(108)	(166)	(640)	(657)
Transfers Into Level 3	798		866
Transfers Out Of Level 3	(840)		(1,654)
Net transfers in and/or (out) of level 3		394		783
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	15,126	13,573	15,126	13,573
Cash Instruments [Member]
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance	34,365	34,865	34,685	32,207
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Beginning Balance	739	612	905	446
Net Realized Gains / (Losses)	419	352	1,041	1,196
Net Realized (Gains) / Losses	(2)	(12)	(35)	(32)
Net Unrealized Gains / (Losses) Relating to Instruments Still Held at Period-End	1,103	(1,214)	2,233	417
Net Unrealized (Gains) / Losses Relating to Instruments Still Held at Period-End	3	328	9	329
Purchases	3,181	3,895	8,806	11,219
Sales	(2,243)	(1,660)	(6,240)	(5,199)
Settlements	(1,462)	(1,432)	(4,568)	(3,823)
Purchases	(105)	(265)	(427)	(363)
Sales	65	144	244	429
Settlements	16	122	81	132
Transfers Into Level 3	2,179		2,970
Transfers Into Level 3	46		90
Transfers Out Of Level 3	(1,652)		(3,037)
Transfers Out Of Level 3	(89)		(194)
Net transfers in and/or (out) of level 3		(103)		(1,314)
Net transfers in and/or (out) of level 3		5		(7)
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance	35,890	34,703	35,890	34,703
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value, Ending Balance	$ 673	$ 934	$ 673	$ 934

XML

Shareholders' Equity (Details 3) (USD $)	3 Months Ended		9 Months Ended				9 Months Ended					12 Months Ended		9 Months Ended	12 Months Ended		1 Months Ended	3 Months Ended		1 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011	Oct. 15, 2012	Dec. 31, 2011	Sep. 30, 2012 Series A Preferred Stock [Member]	Sep. 30, 2012 Series B Preferred Stock [Member]	Sep. 30, 2012 Series C Preferred Stock [Member]	Sep. 30, 2012 Series D Preferred Stock [Member]	Sep. 30, 2012 Series E Preferred Stock [Member]	Dec. 31, 2007 Series E Preferred Stock [Member]	Jun. 01, 2012 Series E Preferred Stock [Member]	Sep. 30, 2012 Series F Preferred Stock [Member]	Dec. 31, 2007 Series F Preferred Stock [Member]	Sep. 04, 2012 Series F Preferred Stock [Member]	Apr. 18, 2011 Series G Preferred Stock [Member]	Mar. 31, 2011 Series G Preferred Stock [Member]	Oct. 31, 2008 Series G Preferred Stock [Member]	Oct. 24, 2012 Series I Preferred Stock [Member]
Shareholders Equity (Textual) [Abstract]
Common Stock, Dividends, Per Share, Declared	$ 0.46	$ 0.35	$ 1.27	$ 1.05
Repurchased shares of common stock	11,800,000		29,400,000
Average cost per share	$ 106.17		$ 106.07
Total cost of repurchased shares	$ 1,250,000,000		$ 3,110,000,000
Shares remitted by employees to satisfy minimum statutory employee tax withholding			33,477
Remitted Shares, Total			3,000,000
Dividends payable date declared			Oct. 15, 2012
Dividends declared per common share	$ 0.46		$ 0.46		$ 0.50
Cancellation of RSUs to satisfy minimum statutory employee tax withholding			8,900,000
Cancelled RSUs, Total			947,000,000
Preferred stock	$ 0.01		$ 0.01			$ 0.01	$ 0.01	$ 0.01	$ 0.01	$ 0.01	$ 0.01			$ 0.01						$ 0.01
Liquidation preference	5,350,000,000		5,350,000,000			3,100,000,000
Depositary shares of non-cumulative preferred stock							1,000	1,000	1,000	1,000										1,000
Redemption price of redeemed series G preferred stock																		$ 110,000
Preferred dividend recognized upon notice of redemption of the Series G Preferred Stock.																		1,640,000,000
Shares Issued	146,500		146,500				30,000	32,000	8,000	54,000	17,500			5,000						34,000
Redeemed Value																		5,500,000,000
Exercise purchase price of common stocks, per share																			115.00
Redeemed Preferred Stock, Shares																		50,000
Redemption price							$25,000 plus declared and unpaid dividends	$25,000 plus declared and unpaid dividends	$25,000 plus declared and unpaid dividends	$25,000 plus declared and unpaid dividends										$25,000 plus accrued and unpaid dividends
Duration of warrant issued																			5 years
Issuance of five year warrant to purchase common stock																			43,500,000
Perpetual non-cumulative preferred stock, share authorized												17,500			5,000					34,500
Dividend Rate							3 month LIBOR + 0.75%, with floor of 3.75% per annum	6.20% per annum	3 month LIBOR + 0.75%, with floor of 4.00% per annum	3 month LIBOR + 0.67%, with floor of 4.00% per annum	3 month LIBOR + 0.77%, with floor of 4.00% per annum			3 month LIBOR + 0.77%, with floor of 4.00% per annum						0.0595
Preferred stock issued by Group Inc. to Goldman Sachs Capital II pursuant to the stock purchase contracts held by Goldman Sachs Capital II													17,500
Preferred stock issued by Group Inc. to Goldman Sachs Capital III pursuant to the stock purchase contracts held by Goldman Sachs Capital III																5,000
Liquidation preference of non-cumulative preferred stock							$ 25,000	$ 25,000	$ 25,000	$ 25,000	$ 100,000			$ 100,000						$ 25,000
Acceleration of preferred stock dividends																	$ 24,000,000

XML

Cash Instruments (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Jun. 30, 2012	Dec. 31, 2011
Fair Value, Cash Instruments, Unobservable Inputs
Total financial assets at fair value	$ 651,647	$ 651,160	$ 651,312
Level 3 [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Total financial assets at fair value	47,810	46,505	47,937
Level 3 [Member] | Loans and securities backed by commercial real estate [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Total financial assets at fair value	3,318		3,346
Level 3 [Member] | Loans and securities backed by residential real estate [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Total financial assets at fair value	1,288		1,709
Level 3 [Member] | Bank loans and bridge loans [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Total financial assets at fair value	10,833		11,285
Level 3 [Member] | Corporate Debt Securities, State and Municipal Obligations, Non-U.S. Government Obligations, Other Debt Obligations [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Total financial assets at fair value	5,325
Level 3 [Member] | Equities and convertible debentures [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Total financial assets at fair value	$ 15,126		$ 13,667
Minimum [Member] | Loans and securities backed by commercial real estate [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Fair Value Unobservable Inputs, Yield	3.90%
Fair Value Unobservable Inputs, Recovery Rate	39.00%
Fair Value Unobservable Inputs, Duration	0.7
Minimum [Member] | Loans and securities backed by residential real estate [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Fair Value Unobservable Inputs, Yield	4.30%
Fair Value Unobservable Inputs, Duration	1.3
Fair Value Unobservable Inputs, Cumulative Loss Rate	0.00%
Minimum [Member] | Bank loans and bridge loans [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Fair Value Unobservable Inputs, Yield	0.40%
Fair Value Unobservable Inputs, Recovery Rate	19.50%
Fair Value Unobservable Inputs, Duration	0.4
Minimum [Member] | Corporate Debt Securities, State and Municipal Obligations, Non-U.S. Government Obligations, Other Debt Obligations [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Fair Value Unobservable Inputs, Yield	1.40%
Fair Value Unobservable Inputs, Recovery Rate	0.00%
Fair Value Unobservable Inputs, Duration	0.3
Minimum [Member] | Equities and convertible debentures [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Fair Value Unobservable Inputs, Multiples	0.7
Fair Value Unobservable Inputs, Yield And Discount Rate	10.00%
Fair Value Unobservable Inputs, Long-term Growth Rate And Compound Annual Growth Rate	(3.20%)
Fair Value Unobservable Inputs, Capitalization Rates	5.40%
Fair Value Unobservable Inputs, Recovery Rate	42.10%
Fair Value Unobservable Inputs, Duration	0.7
Maximum [Member] | Loans and securities backed by commercial real estate [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Fair Value Unobservable Inputs, Yield	30.10%
Fair Value Unobservable Inputs, Recovery Rate	100.00%
Fair Value Unobservable Inputs, Duration	8.5
Maximum [Member] | Loans and securities backed by residential real estate [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Fair Value Unobservable Inputs, Yield	19.40%
Fair Value Unobservable Inputs, Duration	4.1
Fair Value Unobservable Inputs, Cumulative Loss Rate	61.70%
Maximum [Member] | Bank loans and bridge loans [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Fair Value Unobservable Inputs, Yield	32.70%
Fair Value Unobservable Inputs, Recovery Rate	100.00%
Fair Value Unobservable Inputs, Duration	4.7
Maximum [Member] | Corporate Debt Securities, State and Municipal Obligations, Non-U.S. Government Obligations, Other Debt Obligations [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Fair Value Unobservable Inputs, Yield	34.50%
Fair Value Unobservable Inputs, Recovery Rate	100.00%
Fair Value Unobservable Inputs, Duration	16.5
Maximum [Member] | Equities and convertible debentures [Member]
Fair Value, Cash Instruments, Unobservable Inputs
Fair Value Unobservable Inputs, Multiples	23.4
Fair Value Unobservable Inputs, Yield And Discount Rate	25.00%
Fair Value Unobservable Inputs, Long-term Growth Rate And Compound Annual Growth Rate	26.00%
Fair Value Unobservable Inputs, Capitalization Rates	11.00%
Fair Value Unobservable Inputs, Recovery Rate	100.00%
Fair Value Unobservable Inputs, Duration	8.3

XML

Short-Term Borrowings (Details) (USD $)	Sep. 30, 2012	Dec. 31, 2011
Short-Term Borrowings [Abstract]
Other secured financings, short-term	$ 21,050,000,000	$ 29,185,000,000
Total unsecured short-term borrowings	47,271,000,000	49,038,000,000
Short-term borrowings	68,321,000,000	78,223,000,000
Unsecured Short-term Borrowings [Abstract]
Current portion of unsecured long-term borrowings	28,575,000,000	28,836,000,000
Hybrid financial instruments	12,278,000,000	11,526,000,000
Promissory notes	151,000,000	1,328,000,000
Commercial paper	359,000,000	1,491,000,000
Other short-term borrowings	5,908,000,000	5,857,000,000
Total unsecured short-term borrowings	47,271,000,000	49,038,000,000
Unsecured short-term debt, weighted average interest rate, after giving effect to hedging activities	1.63%	1.89%
Short-Term Borrowing (Textual) [Abstract]
Current Portion of Unsecured Long-term Borrowings Guaranteed by the FDIC Under the Temporary Liquidity Guarantee Program (TLGP)	$ 0	$ 8,530,000,000

XML

Legal Proceedings

9 Months Ended

Sep. 30, 2012

Legal Proceedings [Abstract]

Legal Proceedings

Note 27.

Legal Proceedings

The firm is involved in a number of judicial, regulatory and arbitration proceedings (including those described below) concerning matters arising in connection with the conduct of the firm’s businesses. Many of these proceedings are in early stages, and many of these cases seek an indeterminate amount of damages.

Under ASC 450 an event is “reasonably possible” if “the chance of the future event or events occurring is more than remote but less than likely” and an event is “remote” if “the chance of the future event or events occurring is slight.” Thus, references to the upper end of the range of reasonably possible loss for cases in which the firm is able to estimate a range of reasonably possible loss mean the upper end of the range of loss for cases for which the firm believes the risk of loss is more than slight. The amounts reserved against such matters are not significant as compared to the upper end of the range of reasonably possible loss.

With respect to proceedings described below for which management has been able to estimate a range of reasonably possible loss where (i) plaintiffs have claimed an amount of money damages, (ii) the firm is being sued by purchasers in an underwriting and is not being indemnified by a party that the firm believes will pay any judgment, or (iii) the purchasers are demanding that the firm repurchase securities, management has estimated the upper end of the range of reasonably possible loss as being equal to (a) in the case of (i), the amount of money damages claimed, (b) in the case of (ii), the amount of securities that the firm sold in the underwritings and (c) in the case of (iii), the price that purchasers paid for the securities less the estimated value, if any, as of September 2012 of the relevant securities, in each of cases (i), (ii) and (iii), taking into account any factors believed to be relevant to the particular proceeding or proceedings of that type. As of the date hereof, the firm has estimated the upper end of the range of reasonably possible aggregate loss for such proceedings and for any other proceedings described below where management has been able to estimate a range of reasonably possible aggregate loss to be approximately $3.6 billion.

Management is generally unable to estimate a range of reasonably possible loss for proceedings other than those included in the estimate above, including where (i) plaintiffs have not claimed an amount of money damages, unless management can otherwise determine an appropriate amount, (ii) the proceedings are in early stages, (iii) there is uncertainty as to the likelihood of a class being certified or the ultimate size of the class, (iv) there is uncertainty as to the outcome of pending appeals or motions, (v) there are significant factual issues to be resolved, and/or (vi) there are novel legal issues presented. However, for these cases, management does not believe, based on currently available information, that the outcomes of such proceedings will have a material adverse effect on the firm’s financial condition, though the outcomes could be material to the firm’s operating results for any particular period, depending, in part, upon the operating results for such period.

IPO Process Matters. Group Inc. and GS&Co. are among the numerous financial services companies that have been named as defendants in a variety of lawsuits alleging improprieties in the process by which those companies participated in the underwriting of public offerings.

GS&Co. has been named as a defendant in an action commenced on May 15, 2002 in New York Supreme Court, New York County, by an official committee of unsecured creditors on behalf of eToys, Inc., alleging that the firm intentionally underpriced eToys, Inc.’s initial public offering. The action seeks, among other things, unspecified compensatory damages resulting from the alleged lower amount of offering proceeds. On appeal from rulings on GS&Co.’s motion to dismiss, the New York Court of Appeals dismissed claims for breach of contract, professional malpractice and unjust enrichment, but permitted claims for breach of fiduciary duty and fraud to continue. On remand, the lower court granted GS&Co.’s motion for summary judgment and, on December 8, 2011, the appellate court affirmed the lower court’s decision. On September 6, 2012, the New York Court of Appeals granted the creditors’ motion for leave to appeal.

Group Inc. and certain of its affiliates have, together with various underwriters in certain offerings, received subpoenas and requests for documents and information from various governmental agencies and self-regulatory organizations in connection with investigations relating to the public offering process. Goldman Sachs has cooperated with these investigations.

World Online Litigation. In March 2001, a Dutch shareholders’ association initiated legal proceedings for an unspecified amount of damages against GSI and others in Amsterdam District Court in connection with the initial public offering of World Online in March 2000, alleging misstatements and omissions in the offering materials and that the market was artificially inflated by improper public statements and stabilization activities. Goldman Sachs and ABN AMRO Rothschild served as joint global coordinators of the approximately €2.9 billion offering. GSI underwrote 20,268,846 shares and GS&Co. underwrote 6,756,282 shares for a total offering price of approximately €1.16 billion.

The district court rejected the claims against GSI and ABN AMRO, but found World Online liable in an amount to be determined. On appeal, the Netherlands Court of Appeals affirmed in part and reversed in part the decision of the district court, holding that certain of the alleged disclosure deficiencies were actionable as to GSI and ABN AMRO. On further appeal, the Netherlands Supreme Court affirmed the rulings of the Court of Appeals, except that it found certain additional aspects of the offering materials actionable and held that individual investors could potentially hold GSI and ABN AMRO responsible for certain public statements and press releases by World Online and its former CEO. The parties entered into a definitive settlement agreement, dated July 15, 2011, and GSI has paid the full amount of its proposed contribution. In the first quarter of 2012, GSI entered into a settlement agreement, subject to certain conditions, with respect to a claim filed by another shareholders’ association relating to approximately €4 million of World Online shares. Other shareholders have made demands for compensation of alleged damages, and GSI and other syndicate members are discussing the possibility of settlement with certain of these shareholders.

Research Matters. Group Inc. and certain of its affiliates are subject to a number of investigations and reviews by   various  governmental   and   regulatory   bodies and self-regulatory organizations relating to research practices, including, among other things, research analysts’ methods for obtaining receipt and distribution of information and communications among research analysts, sales and trading personnel and clients.

Adelphia Communications Fraudulent Conveyance Litigation. GS&Co. is named as a defendant in two proceedings commenced in the U.S. Bankruptcy Court for the Southern District of New York, one on July 6, 2003 by a creditors committee, and the second on or about July 31, 2003 by an equity committee of Adelphia Communications, Inc. Those proceedings were consolidated in a single amended complaint filed by the Adelphia Recovery Trust on October 31, 2007. The complaint seeks, among other things, to recover, as fraudulent conveyances, approximately $62.9 million allegedly paid to GS&Co. by Adelphia Communications, Inc. and its affiliates in respect of margin calls made in the ordinary course of business on accounts owned by members of the family that formerly controlled Adelphia Communications, Inc. The district court assumed jurisdiction over the action and, on April 8, 2011, granted GS&Co.’s motion for summary judgment. The plaintiff appealed on May 6, 2011.

Specialist Matters. Spear, Leeds & Kellogg Specialists LLC (SLKS) and certain affiliates have received requests for information from various governmental agencies and self-regulatory organizations as part of an industry-wide investigation relating to activities of floor specialists in recent years. Goldman Sachs has cooperated with the requests.

On March 30, 2004, certain specialist firms on the NYSE, including SLKS, without admitting or denying the allegations, entered into a final global settlement with the SEC and the NYSE covering certain activities during the years 1999 through 2003. The SLKS settlement involves, among other things, (i) findings by the SEC and the NYSE that SLKS violated certain federal securities laws and NYSE rules, and in some cases failed to supervise certain individual specialists, in connection with trades that allegedly disadvantaged customer orders, (ii) a cease and desist order against SLKS, (iii) a censure of SLKS, (iv) SLKS’ agreement to pay an aggregate of $45.3 million in disgorgement and a penalty to be used to compensate customers, (v) certain undertakings with respect to SLKS’ systems and procedures, and (vi) SLKS’ retention of an independent consultant to review and evaluate certain of SLKS’ compliance systems, policies and procedures. Comparable findings were made and sanctions imposed in the settlements with other specialist firms. The settlement did not resolve the related private civil actions against SLKS and other firms or regulatory investigations involving individuals or conduct on other exchanges. On May 26, 2011, the SEC issued an order directing the undistributed settlement funds to be transferred to the U.S. Treasury; the funds will accordingly not be allocated to any settlement fund for the civil actions described below.

SLKS, Spear, Leeds & Kellogg, L.P. and Group Inc. are among numerous defendants named in purported class actions brought beginning in October 2003 on behalf of investors in the U.S. District Court for the Southern District of New York alleging violations of the federal securities laws and state common law in connection with NYSE floor specialist activities. The actions, which have been consolidated, seek unspecified compensatory damages, restitution and disgorgement on behalf of purchasers and sellers of unspecified securities between October 17, 1998 and October 15, 2003. By a decision dated March 14, 2009, the district court granted plaintiffs’ motion for class certification. The defendants’ petition with the U.S. Court of Appeals for the Second Circuit seeking review of the certification ruling was denied, and the specialist defendants’ petition for a rehearing and/or rehearing en banc was denied on February 24, 2010. On October 24, 2012, the parties entered into a definitive settlement agreement, subject to court approval. The firm has reserved the full amount of its proposed contribution to the settlement.

Fannie Mae Litigation. GS&Co. was added as a defendant in an amended complaint filed on August 14, 2006 in a purported class action pending in the U.S. District Court for the District of Columbia. The complaint asserts violations of the federal securities laws generally arising from allegations concerning Fannie Mae’s accounting practices in connection with certain Fannie Mae-sponsored REMIC transactions that were allegedly arranged by GS&Co. The complaint does not specify a dollar amount of damages. The other defendants include Fannie Mae, certain of its past and present officers and directors, and accountants. By a decision dated May 8, 2007, the district court granted GS&Co.’s motion to dismiss the claim against it. The time for an appeal will not begin to run until disposition of the claims against other defendants. A motion to stay the action filed by the Federal Housing Finance Agency (FHFA), which took control of the foregoing action following Fannie Mae’s conservatorship, was denied on November 14, 2011.

Compensation-Related Litigation. On January 17, 2008, Group Inc., its Board, executive officers and members of its management committee were named as defendants in a purported shareholder derivative action in the U.S. District Court for the Eastern District of New York predicting that the firm’s 2008 Proxy Statement would violate the federal securities laws by undervaluing certain stock option awards and alleging that senior management received excessive compensation for 2007. The complaint seeks, among other things, an equitable accounting for the allegedly excessive compensation. Plaintiff’s motion for a preliminary injunction to prevent the 2008 Proxy Statement from using options valuations that the plaintiff alleges are incorrect and to require the amendment of SEC Form 4s filed by certain of the executive officers named in the complaint to reflect the stock option valuations alleged by the plaintiff was denied, and plaintiff’s appeal from this denial was dismissed. On February 13, 2009, the plaintiff filed an amended complaint, which added purported direct (i.e., non-derivative) claims based on substantially the same theory. The plaintiff filed a further amended complaint on March 24, 2010, and the defendants’ motion to dismiss this further amended complaint was granted on the ground that dismissal of the shareholder plaintiff’s prior action relating to the firm’s 2007 Proxy Statement based on the failure to make a demand to the Board precluded relitigation of demand futility. On December 19, 2011, the appellate court vacated the order of dismissal, holding only that preclusion principles did not mandate dismissal and remanding for consideration of the alternative grounds for dismissal. On April 18, 2012, plaintiff disclosed that he no longer is a Group Inc. shareholder and thus lacks standing to continue to prosecute the action, as well as the New York state action described below.

On March 24, 2009, the same plaintiff filed an action in New York Supreme Court, New York County against Group Inc., its directors and certain senior executives alleging violation of Delaware statutory and common law in connection with substantively similar allegations regarding stock option awards. On January 7, 2011, the plaintiff filed an amended complaint. Defendants moved to dismiss the amended complaint, and the parties subsequently agreed to stay the state court action pending the final resolution of the appeal from the dismissal of the federal court action in respect of the firm’s 2008 Proxy Statement described above, as well as any remanded proceedings further adjudicating defendants’ motion to dismiss.

Mortgage-Related Matters. On April 16, 2010, the SEC brought an action (SEC Action) under the U.S. federal securities laws in the U.S. District Court for the Southern District of New York against GS&Co. and Fabrice Tourre, one of its employees, in connection with a CDO offering made in early 2007 (ABACUS 2007-AC1 transaction), alleging that the defendants made materially false and misleading statements to investors and seeking, among other things, unspecified monetary penalties. Investigations of GS&Co. by FINRA and of GSI by the FSA were subsequently initiated, and Group Inc. and certain of its affiliates have received subpoenas and requests for information from other regulators, regarding CDO offerings, including the ABACUS 2007-AC1 transaction, and related matters.

On July 14, 2010, GS&Co. entered into a consent agreement with the SEC, settling all claims made against GS&Co. in the SEC Action (SEC Settlement), pursuant to which GS&Co. paid $550 million of disgorgement and civil penalties, and which was approved by the U.S. District Court for the Southern District of New York on July 20, 2010.

On January 6, 2011, ACA Financial Guaranty Corp. filed an action against GS&Co. in respect of the ABACUS 2007-AC1 transaction in New York Supreme Court, New York County. The complaint includes allegations of fraudulent inducement, fraudulent concealment and unjust enrichment and seeks at least $30 million in compensatory damages, at least $90 million in punitive damages and unspecified disgorgement. On April 25, 2011, the plaintiff filed an amended complaint and, on June 3, 2011, GS&Co. moved to dismiss the amended complaint. By a decision dated April 23, 2012, the court granted the motion to dismiss as to the unjust enrichment claim and denied the motion as to the other claims, and on May 29, 2012, GS&Co. appealed the decision to the extent that its motion was denied and filed counterclaims for breach of contract and fraudulent inducement, and third-party claims against ACA Management, LLC for breach of contract, unjust enrichment and indemnification. ACA Financial Guaranty Corp. and ACA Management, LLC moved to dismiss GS&Co.’s counterclaims and third-party claims on August 31, 2012.

Since July 1, 2011, two putative shareholder derivative actions have been filed in the U.S. District Court for the Southern District of New York against Group Inc., the Board and certain officers and employees of Group Inc. and Litton in connection with the servicing of residential mortgage loans and other mortgage-related activities beginning in January 2009. The complaints generally include allegations of breach of fiduciary duty, waste, abuse of control, and mismanagement and seek, among other things, declaratory relief, unspecified damages and certain governance reforms. The district court consolidated the actions, and, on December 20, 2011, the plaintiffs filed a consolidated amended complaint. On August 14, 2012, the district court dismissed all of the plaintiffs’ claims and the time to appeal has run.

In addition, the Board has received books and records demands from several shareholders for materials relating to, among other subjects, the firm’s mortgage servicing and foreclosure activities, participation in federal programs providing assistance to financial institutions and homeowners, loan sales to Fannie Mae and Freddie Mac, mortgage-related activities and conflicts management.

Since April 23, 2010, the Board has received letters from shareholders demanding that the Board take action to address alleged misconduct by GS&Co., the Board and certain officers and employees of Group Inc. and its affiliates. These demands, which the Board has rejected, generally alleged misconduct in connection with the firm’s securitization practices, including the ABACUS 2007-AC1 transaction, the alleged failure by Group Inc. to adequately disclose the SEC investigation that led to the SEC Action, and Group Inc.’s 2009 compensation practices. An additional demand that the Board investigate and take action was received from another shareholder in June 2012, relating to the firm’s mortgage-related activities and to stock sales by certain directors and executives of the firm.

In addition, beginning April 26, 2010, a number of purported securities law class actions have been filed in the U.S. District Court for the Southern District of New York challenging the adequacy of Group Inc.’s public disclosure of, among other things, the firm’s activities in the CDO market and the SEC investigation that led to the SEC Action. The purported class action complaints, which name as defendants Group Inc. and certain officers and employees of Group Inc. and its affiliates, have been consolidated, generally allege violations of Sections 10(b) and 20(a) of the Exchange Act and seek unspecified damages. Plaintiffs filed a consolidated amended complaint on July 25, 2011. On October 6, 2011, the defendants moved to dismiss, and by a decision dated June 21, 2012, the district court dismissed the claims based on Group Inc.’s not disclosing that it had received a “Wells” notice from the staff of the SEC related to the ABACUS 2007-AC1 transaction, but permitted the plaintiffs’ other claims to proceed.

GS&Co., Goldman Sachs Mortgage Company (GSMC) and GS Mortgage Securities Corp. (GSMSC) and three current or former Goldman Sachs employees are defendants in a putative class action commenced on December 11, 2008 in the U.S. District Court for the Southern District of New York brought on behalf of purchasers of various mortgage pass-through certificates and asset-backed certificates issued by various securitization trusts established by the firm and underwritten by GS&Co. in 2007. The complaint generally alleges that the registration statement and prospectus supplements for the certificates violated the federal securities laws, and seeks unspecified compensatory damages and rescission or rescissionary damages. The defendants’ motion to dismiss the second amended complaint was granted with leave to replead certain claims. On March 31, 2010, the plaintiff filed a third amended complaint relating to two offerings, which the defendants moved to dismiss. This motion to dismiss was denied as to the plaintiff’s Section 12(a)(2) claims and granted as to the plaintiff’s Section 11 claims, and the plaintiff’s motion for reconsideration was denied. The plaintiff filed a motion for entry of final judgment or certification of an interlocutory appeal as to plaintiff’s Section 11 claims, which was denied. The plaintiff then filed a motion for leave to amend to reinstate the damages claims based on allegations that it had sold its securities, which was denied. On May 5, 2011, the court granted plaintiff’s motion for entry of a final judgment dismissing all its claims. The plaintiff appealed from the dismissal with respect to all 17 of the offerings included in its original complaint. By a decision dated September 6, 2012, the U.S. Court of Appeals for the Second Circuit affirmed the district court’s dismissal of plaintiff’s claims with respect to 10 of the offerings included in plaintiff’s original complaint but vacated the dismissal and remanded the case to the district court with instructions to reinstate the plaintiff’s claims with respect to the other seven offerings. On October 26, 2012, the defendants filed a petition for certiorari with the U.S. Supreme Court seeking review of the Second Circuit decision. On October 31, 2012, the plaintiff served defendants with a fourth amended complaint relating to those seven offerings, plus seven additional offerings. On June 3, 2010, another investor (who had unsuccessfully sought to intervene in the action) filed a separate putative class action asserting substantively similar allegations relating to an additional offering pursuant to the 2007 registration statement. The district court twice granted defendants’ motions to dismiss this separate action, both times with leave to replead. On July 9, 2012, that separate plaintiff filed a second amended complaint, and the defendants moved to dismiss on September 21, 2012. The securitization trusts issued, and GS&Co. underwrote, approximately $11 billion principal amount of certificates to all purchasers in the fourteen offerings at issue in the initial plaintiff’s fourth amended complaint and the one offering at issue in the separate plaintiff’s second amended complaint.

Group Inc., GS&Co., GSMC and GSMSC are among the defendants in a separate putative class action commenced on February 6, 2009 in the U.S. District Court for the Southern District of New York brought on behalf of purchasers of various mortgage pass-through certificates and asset-backed certificates issued by various securitization trusts established by the firm and underwritten by GS&Co. in 2006. The other original defendants include three current or former Goldman Sachs employees and various rating agencies. The second amended complaint generally alleges that the registration statement and prospectus supplements for the certificates violated the federal securities laws, and seeks unspecified compensatory and rescissionary damages. Defendants moved to dismiss the second amended complaint. On January 12, 2011, the district court granted the motion to dismiss with respect to offerings in which plaintiff had not purchased securities as well as all claims against the rating agencies, but denied the motion to dismiss with respect to a single offering in which the plaintiff allegedly purchased securities. These trusts issued, and GS&Co. underwrote, approximately $698 million principal amount of certificates to all purchasers in the offerings at issue in the complaint (excluding those offerings for which the claims have been dismissed). On February 2, 2012, the district court granted the plaintiff’s motion for class certification and on June 13, 2012, the U.S. Court of Appeals for the Second Circuit granted defendants’ petition to review that ruling. On July 31, 2012, the parties reached a settlement, subject to court approval. The firm has paid the full amount of the proposed settlement into an escrow account.

On September 30, 2010, a putative class action was filed in the U.S. District Court for the Southern District of New York against GS&Co., Group Inc. and two former GS&Co. employees on behalf of investors in $821 million of notes issued in 2006 and 2007 by two synthetic CDOs (Hudson Mezzanine 2006-1 and 2006-2). The complaint, which was amended on February 4, 2011, asserts federal securities law and common law claims, and seeks unspecified compensatory, punitive and other damages. The defendants moved to dismiss on April 5, 2011, and the motion was granted as to plaintiff’s claim of market manipulation and denied as to the remainder of plaintiff’s claims by a decision dated March 21, 2012. On May 21, 2012, the defendants counterclaimed for breach of contract and fraud.

GS&Co., GSMC and GSMSC are among the defendants in a lawsuit filed in August 2011 by CIFG Assurance of North America, Inc. (CIFG) in the New York Supreme Court. The complaint alleges that CIFG was fraudulently induced to provide credit enhancement for a 2007 securitization sponsored by GSMC, and seeks, among other things, the repurchase of $24.7 million in aggregate principal amount of mortgages that CIFG had previously stated to be non-conforming, an accounting for any proceeds associated with mortgages discharged from the securitization and unspecified compensatory damages. On October 17, 2011, the Goldman Sachs defendants moved to dismiss. By a decision dated May 1, 2012, the court dismissed the fraud and accounting claims but denied the motion as to certain breach of contract claims that were also alleged. On June 6, 2012, the Goldman Sachs defendants filed counterclaims for breach of contract. In addition, the parties have each appealed the court’s May 1, 2012 decision to the extent adverse. The parties have been ordered to mediate, and proceedings in the trial court have been stayed pending mediation.

Various alleged purchasers of, and counterparties involved in transactions relating to, mortgage pass-through certificates, CDOs and other mortgage-related products (including certain Allstate affiliates, Basis Yield Alpha Fund (Master), Bayerische Landesbank, Cambridge Place Investment Management Inc., the Charles Schwab Corporation, Deutsche Zentral-Genossenschaftbank, the FDIC (as receiver for Guaranty Bank), the Federal Home Loan Banks of Boston, Chicago, Indianapolis and Seattle, the FHFA (as conservator for Fannie Mae and Freddie Mac), Heungkuk Life Insurance Co. Limited (Heungkuk), HSH Nordbank, IKB Deutsche Industriebank AG, Landesbank Baden-Württemberg, Massachusetts Mutual Life Insurance Company, MoneyGram Payment Systems, Inc., the National Credit Union Administration, Phoenix Light SF Limited and related parties, Prudential Insurance Company of America and related parties, Sealink Funding Limited, Stichting Pensioenfonds ABP, The Union Central Life Insurance Company, Ameritas Life Insurance Corp., Acacia Life Insurance Company, Watertown Savings Bank, The Western and Southern Life Insurance Co., John Hancock and related parties, and Royal Park Investments SA/NV) have filed complaints in state and federal court or initiated arbitration proceedings against firm affiliates, generally alleging that the offering documents for the securities that they purchased contained untrue statements of material facts and material omissions and generally seeking rescission and/or damages. Certain of these complaints allege fraud and seek punitive damages. Certain of these complaints also name other firms as defendants.

A number of other entities (including American International Group, Inc. (AIG), Deutsche Bank National Trust Company, John Hancock and related parties, M&T Bank and Norges Bank Investment Management) have threatened to assert claims of various types against the firm in connection with various mortgage-related transactions, and the firm has entered into agreements with a number of these entities to toll the relevant statute of limitations.

As of the date hereof, the aggregate notional amount of mortgage-related securities sold to plaintiffs in active cases brought against the firm where those plaintiffs are seeking rescission of such securities was approximately $20.1 billion (which does not reflect adjustment for any subsequent paydowns or distributions or any residual value of such securities, statutory interest or any other adjustments that may be claimed). This amount does not include the threatened claims noted above, potential claims by these or other purchasers in the same or other mortgage-related offerings that have not actually been brought against the firm, or claims that have been dismissed.

In June 2011, Heungkuk filed a criminal complaint against certain past and present employees of the firm in South Korea relating to its purchase of a CDO securitization from Goldman Sachs. The filing does not represent any judgment by a governmental entity, but starts a process whereby the prosecutor investigates the complaint and determines whether to take action.

On September 1, 2011, Group Inc. and GS Bank USA entered into a Consent Order with the Federal Reserve Board relating to the servicing of residential mortgage loans. In addition, on September 1, 2011, GS Bank USA entered into an Agreement on Mortgage Servicing Practices with the New York State Department of Financial Services, Litton and Ocwen, in connection with which Group Inc. agreed to forgive 25% of the unpaid principal balance on certain delinquent first lien residential mortgage loans owned by Group Inc. or a subsidiary, totaling approximately $13 million in principal forgiveness. See Note 18 for further information about these settlements.

Group Inc., GS&Co. and GSMC are among the numerous financial services firms named as defendants in a qui tam action originally filed by a relator on April 7, 2010 purportedly on behalf of the City of Chicago and State of Illinois in Cook County, Illinois Circuit Court asserting claims under the Illinois Whistleblower Reward and Protection Act and Chicago False Claims Act, based on allegations that defendants had falsely certified compliance with various Illinois laws, which were purportedly violated in connection with mortgage origination and servicing activities. The complaint, which was originally filed under seal, seeks treble damages and civil penalties. Plaintiff filed an amended complaint on December 28, 2011, naming GS&Co. and GSMC, among others, as additional defendants and a second amended complaint on February 8, 2012. On March 12, 2012, the action was removed to the U.S. District Court for the Northern District of Illinois, and on September 17, 2012 the district court granted the plaintiff’s motion to remand the action to state court.

The firm has also received, and continues to receive, requests for information and/or subpoenas from federal, state and local regulators and law enforcement authorities, relating to the mortgage-related securitization process, subprime mortgages, CDOs, synthetic mortgage-related products, particular transactions involving these products, and servicing and foreclosure activities, and is cooperating with these regulators and other authorities, including in some cases agreeing to the tolling of the relevant statute of limitations. See also “Financial Crisis-Related Matters” below.

The firm expects to be the subject of additional putative shareholder derivative actions, purported class actions, rescission and “put back” claims and other litigation, additional investor and shareholder demands, and additional regulatory and other investigations and actions with respect to mortgage-related offerings, loan sales, CDOs, and servicing and foreclosure activities. See Note 18 for further information regarding mortgage-related contingencies.

Private Equity-Sponsored Acquisitions Litigation. Group Inc. and “GS Capital Partners” are among numerous private equity firms and investment banks named as defendants in a federal antitrust action filed in the U.S. District Court for the District of Massachusetts in December 2007. As amended, the complaint generally alleges that the defendants have colluded to limit competition in bidding for private equity-sponsored acquisitions of public companies, thereby resulting in lower prevailing bids and, by extension, less consideration for shareholders of those companies in violation of Section 1 of the U.S. Sherman Antitrust Act and common law. The complaint seeks, among other things, treble damages in an unspecified amount. Defendants moved to dismiss on August 27, 2008. The district court dismissed claims relating to certain transactions that were the subject of releases as part of the settlement of shareholder actions challenging such transactions, and by an order dated December 15, 2008 otherwise denied the motion to dismiss. On April 26, 2010, the plaintiffs moved for leave to proceed with a second phase of discovery encompassing additional transactions. On August 18, 2010, the court permitted discovery on eight additional transactions, and the plaintiffs filed a fourth amended complaint on October 7, 2010. On January 13, 2011, the court granted defendants’ motion to dismiss certain aspects of the fourth amended complaint. On March 1, 2011, the court granted the motion filed by certain defendants, including Group Inc., to dismiss another claim of the fourth amended complaint on the grounds that the transaction was the subject of a release as part of the settlement of a shareholder action challenging the transaction. On June 14, 2012, the plaintiffs filed a fifth amended complaint encompassing additional transactions. On July 18, 2012, the court granted defendants’ motion to dismiss certain newly asserted claims on the grounds that certain transactions are subject to releases as part of settlements of shareholder actions challenging those transactions, and denied defendants’ motion to dismiss certain additional claims as time-barred. On July 23, 2012, the defendants filed motions for summary judgment.

IndyMac Pass-Through Certificates Litigation. GS&Co. is among numerous underwriters named as defendants in a putative securities class action filed on May 14, 2009 in the U.S. District Court for the Southern District of New York. As to the underwriters, plaintiffs allege that the offering documents in connection with various securitizations of mortgage-related assets violated the disclosure requirements of the federal securities laws. The defendants include IndyMac-related entities formed in connection with the securitizations, the underwriters of the offerings, certain ratings agencies which evaluated the credit quality of the securities, and certain former officers and directors of IndyMac affiliates. On November 2, 2009, the underwriters moved to dismiss the complaint. The motion was granted in part on February 17, 2010 to the extent of dismissing claims based on offerings in which no plaintiff purchased, and the court reserved judgment as to the other aspects of the motion. By a decision dated June 21, 2010, the district court formally dismissed all claims relating to offerings in which no named plaintiff purchased certificates (including all offerings underwritten by GS&Co.), and both granted and denied the defendants’ motions to dismiss in various other respects. On October 12, 2012, the plaintiffs filed a motion seeking reinstatement of claims relating to 42 offerings previously dismissed for lack of standing. GS&Co. was a co-underwriter for one of the 42 offerings; however, the plaintiffs’ motion does not seek to add GS&Co. as a defendant. On May 17, 2010, four additional investors filed a motion seeking to intervene in order to assert claims based on additional offerings (including two underwritten by GS&Co.). The defendants opposed the motion on the ground that the putative intervenors’ claims were time-barred and, on June 21, 2011, the court denied the motion to intervene with respect to, among others, the claims based on the offerings underwritten by GS&Co. Certain of the putative intervenors (including those seeking to assert claims based on two offerings underwritten by GS&Co.) have appealed.

GS&Co. underwrote approximately $751 million principal amount of securities to all purchasers in the offerings at issue in the May 2010 motion to intervene. On July 11, 2008, IndyMac Bank was placed under an FDIC receivership, and on July 31, 2008, IndyMac Bancorp, Inc. filed for Chapter 7 bankruptcy in the U.S. Bankruptcy Court in Los Angeles, California.

RALI Pass-Through Certificates Litigation. GS&Co. is among numerous underwriters named as defendants in a putative securities class action initially filed in September 2008 in New York Supreme Court, and subsequently removed to the U.S. District Court for the Southern District of New York. As to the underwriters, plaintiffs allege that the offering documents in connection with various offerings of mortgage-backed pass-through certificates violated the disclosure requirements of the federal securities laws. In addition to the underwriters, the defendants include Residential Capital, LLC (ResCap), Residential Accredit Loans, Inc. (RALI), Residential Funding Corporation (RFC), Residential Funding Securities Corporation (RFSC), and certain of their officers and directors. On March 31, 2010, the defendants’ motion to dismiss was granted in part and denied in part by the district court, resulting in dismissal on the basis of standing of all claims relating to offerings in which no plaintiff purchased securities. In June and July 2010, the lead plaintiff and five additional investors moved to intervene in order to assert claims based on additional offerings (including two underwritten by GS&Co.). On April 28, 2011, the court granted defendants’ motion to dismiss as to certain of these claims (including those relating to one offering underwritten by GS&Co. based on a release in an unrelated settlement), but otherwise permitted the intervenor case to proceed. Class certification of the claims based on the pre-intervention offerings was initially denied by the district court, and that denial was upheld on appeal; however, following remand, on October 15, 2012, the district court certified a class in connection with the pre-intervention offerings. The certified class consists of investors “who bought the securities on the date of offering directly from the issuers.” On November 5, 2012, the defendants sought leave from the U.S. Court of Appeals to appeal the certification order.

GS&Co. underwrote approximately $1.28 billion principal amount of securities to all purchasers in the offerings for which claims have not been dismissed. On May 14, 2012, ResCap, RALI and RFC filed for Chapter 11 bankruptcy in the U.S. Bankruptcy Court for the Southern District of New York and the action has been stayed with respect to them, RFSC and certain of their officers and directors.

MF Global Securities Litigation. GS&Co. is among numerous underwriters named as defendants in class action complaints filed in the U.S. District Court for the Southern District of New York commencing November 18, 2011. These complaints generally allege that the offering materials for two offerings of MF Global Holdings Ltd. convertible notes (aggregating approximately $575 million in principal amount) in February 2011 and July 2011, among other things, failed to describe adequately the nature, scope and risks of MF Global’s exposure to European sovereign debt, in violation of the disclosure requirements of the federal securities laws. On August 20, 2012, the plaintiffs filed a consolidated amended complaint and on October 19, 2012, the defendants filed a motion to dismiss the amended complaint. GS&Co. underwrote an aggregate principal amount of approximately $214 million of the notes. On October 31, 2011, MF Global Holdings Ltd. filed for Chapter 11 bankruptcy in the U.S. Bankruptcy Court in Manhattan, New York.

GS&Co. has also received inquiries from various governmental and regulatory bodies and self-regulatory organizations concerning certain transactions with MF Global prior to its bankruptcy filing. Goldman Sachs is cooperating with all such inquiries.

Employment-Related Matters. On September 15, 2010, a putative class action was filed in the U.S. District for the Southern District of New York by three former female employees alleging that Group Inc. and GS&Co. have systematically discriminated against female employees in respect of compensation, promotion, assignments, mentoring and performance evaluations. The complaint alleges a class consisting of all female employees employed at specified levels by Group Inc. and GS&Co. since July 2002, and asserts claims under federal and New York City discrimination laws. The complaint seeks class action status, injunctive relief and unspecified amounts of compensatory, punitive and other damages. Group Inc. and GS&Co. filed a motion to stay the claims of one of the named plaintiffs and to compel individual arbitration with that individual, based on an arbitration provision contained in an employment agreement between Group Inc. and the individual. On April 28, 2011, the magistrate judge to whom the district judge assigned the motion denied the motion. On July 7, 2011, the magistrate judge denied Group Inc.’s and GS&Co.’s motion for reconsideration of the magistrate judge’s decision, and on July 21, 2011 Group Inc. and GS&Co. appealed the magistrate judge’s decision to the district court, which affirmed the decision on November 15, 2011. Group Inc. and GS&Co. have appealed that decision to the U.S. Court of Appeals for the Second Circuit. On June 13, 2011, Group Inc. and GS&Co. moved to strike the class allegations of one of the three named plaintiffs based on her failure to exhaust administrative remedies. On September 29, 2011, the magistrate judge recommended denial of the motion to strike and Group Inc. and GS&Co. filed their objections to that recommendation with the district judge presiding over the case on October 11, 2011. By a decision dated January 10, 2012, the district court denied the motion to strike. On July 22, 2011, Group Inc. and GS&Co. moved to strike all of the plaintiffs’ class allegations, and for partial summary judgment as to plaintiffs’ disparate impact claims. By a decision dated January 19, 2012, the magistrate judge recommended that defendants’ motion be denied as premature. The defendants filed objections to that recommendation with the district judge and on July 17, 2012, the district court issued a decision granting in part Group Inc.’s and GS&Co.’s motion to strike plaintiffs’ class allegations on the ground that plaintiffs lacked standing to pursue certain equitable remedies and denying in part Group Inc.’s and GS&Co.’s motion to strike plaintiffs’ class allegations in their entirety as premature.

Hellenic Republic (Greece) Matters. Group Inc. and certain of its affiliates have been subject to a number of investigations and reviews by various governmental and regulatory bodies and self-regulatory organizations in connection with the firm’s transactions with the Hellenic Republic (Greece), including financing and swap transactions, as well as trading and research activities with respect to Greek sovereign debt. Goldman Sachs has cooperated with the investigations and reviews.

Investment Management Services. Group Inc. and certain of its affiliates are parties to various civil litigation and arbitration proceedings and other disputes with clients relating to losses allegedly sustained as a result of the firm’s investment management services. These claims generally seek, among other things, restitution or other compensatory damages and, in some cases, punitive damages. In addition, Group Inc. and its affiliates are subject from time to time to investigations and reviews by various governmental and regulatory bodies and self-regulatory organizations in connection with the firm’s investment management services. Goldman Sachs is cooperating with all such investigations and reviews.

Goldman Sachs Asset Management International (GSAMI) is the defendant in an action filed on July 9, 2012 with the High Court of Justice in London by certain entities representing Vervoer, a Dutch pension fund, alleging that GSAMI was negligent in performing its duties as investment manager in connection with the allocation of the plaintiffs’ funds among asset managers in accordance with asset allocations provided by plaintiffs and that GSAMI breached its contractual and common law duties to the plaintiffs. Specifically, plaintiffs allege that GSAMI provided inadequate disclosure, caused their assets to be invested in unsuitable products for an extended period, thereby causing in excess of €81 million in losses, and caused them to be under-exposed for a period of time to certain other investments that performed well, thereby resulting in foregone potential gains. The plaintiffs are seeking unspecified monetary damages. On November 2, 2012, GSAMI served its defense to the allegations.

Financial Advisory Services. Group Inc. and certain of its affiliates are parties to various civil litigation and arbitration proceedings and other disputes with clients and third parties relating to the firm’s financial advisory activities. These claims generally seek, among other things, compensatory damages and, in some cases, punitive damages, and in certain cases allege that the firm did not appropriately disclose or deal with conflicts of interest. In addition, Group Inc. and its affiliates are subject from time to time to investigations and reviews by various governmental and regulatory bodies and self-regulatory organizations in connection with conflicts of interest. Goldman Sachs is cooperating with all such investigations and reviews.

Group Inc., GS&Co. and The Goldman, Sachs & Co. L.L.C. are defendants in an action brought by the founders and former majority shareholders of Dragon Systems, Inc. (Dragon) on November 18, 2008, alleging that the plaintiffs incurred losses due to GS&Co.’s financial advisory services provided in connection with the plaintiffs’ exchange of their purported $300 million interest in Dragon for stock of Lernout & Hauspie Speech Products, N.V. (L&H) in 2000. L&H filed for Chapter 11 bankruptcy in the U.S. Bankruptcy Court in Wilmington, Delaware on November 29, 2000. The action is pending in the United States District Court for the District of Massachusetts. The complaint, which was amended in November 2011 following the 2009 dismissal of certain of the plaintiffs’ initial claims, seeks unspecified compensatory, punitive and other damages, and alleges breach of fiduciary duty, breach of contract, breach of implied covenant of good faith and fair dealing, violation of state unfair trade practices laws, negligence, negligent and intentional misrepresentation, gross negligence, willful misconduct and bad faith. Former minority shareholders of Dragon have brought a similar action against GS&Co. with respect to their purported $49 million interest in Dragon, and this action has been consolidated with the action described above. All parties moved for summary judgment. By an order dated October 31, 2012, the court granted summary judgment with respect to certain counterclaims and an indemnification claim brought by the Goldman Sachs defendants against one of the shareholders, but denied summary judgment with respect to all other claims.

Sales, Trading and Clearance Practices. Group Inc. and certain of its affiliates are subject to a number of investigations and reviews, certain of which are industry-wide, by   various   governmental   and   regulatory   bodies   and self-regulatory organizations relating to the sales, trading and clearance of corporate and government securities and other financial products, including compliance with the SEC’s short sale rule, algorithmic and quantitative trading, futures trading, transaction reporting, securities lending practices, trading and clearance of credit derivative instruments, commodities trading, private placement practices and compliance with the U.S. Foreign Corrupt Practices Act.

The European Commission announced in April 2011 that it is initiating proceedings to investigate further numerous financial services companies, including Group Inc., in connection with the supply of data related to credit default swaps and in connection with profit sharing and fee arrangements for clearing of credit default swaps, including potential anti-competitive practices. The proceedings in connection with the supply of data related to credit default swaps are ongoing but the proceedings related to profit sharing and fee arrangements for clearing of credit default swaps have been suspended indefinitely. The firm has received civil investigative demands from the U.S. Department of Justice (DOJ) for information on similar matters. Goldman Sachs is cooperating with the investigations and reviews.

Insider Trading Investigations. From time to time, the firm and its employees are the subject of or otherwise involved in regulatory investigations relating to insider trading, the potential misuse of material nonpublic information and the effectiveness of the firm’s insider trading controls and information barriers. It is the firm’s practice to cooperate fully with any such investigations.

EU Price-Fixing Matter. On July 5, 2011, the European Commission issued a Statement of Objections to Group Inc. raising allegations of an industry-wide conspiracy to fix prices for power cables including by an Italian cable company in which certain Goldman Sachs-affiliated investment funds held ownership interests from 2005 to 2009. The Statement of Objections proposes to hold Group Inc. jointly and severally liable for some or all of any fine levied against the cable company under the concept of parental liability under EU competition law.

Municipal Securities Matters. Group Inc. and certain of its affiliates are subject to a number of investigations and reviews by various governmental and regulatory bodies and self-regulatory organizations relating to transactions involving municipal securities, including wall-cross procedures and conflict of interest disclosure with respect to state and municipal clients, the trading and structuring of municipal derivative instruments in connection with municipal offerings, political contribution rules, underwriting of Build America Bonds and the possible impact of credit default swap transactions on municipal issuers. Goldman Sachs is cooperating with the investigations and reviews.

Group Inc., Goldman Sachs Mitsui Marine Derivative Products, L.P. (GSMMDP) and GS Bank USA are among numerous financial services firms that have been named as defendants in numerous substantially identical individual antitrust actions filed beginning on November 12, 2009 that have been coordinated with related antitrust class action litigation and individual actions, in which no Goldman Sachs affiliate is named, for pre-trial proceedings in the U.S. District Court for the Southern District of New York. The plaintiffs include individual California municipal entities and three New York non-profit entities. All of these complaints against Group Inc., GSMMDP and GS Bank USA generally allege that the Goldman Sachs defendants participated in a conspiracy to arrange bids, fix prices and divide up the market for derivatives used by municipalities in refinancing and hedging transactions from 1992 to 2008. The complaints assert claims under the federal antitrust laws and either California’s Cartwright Act or New York’s Donnelly Act, and seek, among other things, treble damages under the antitrust laws in an unspecified amount and injunctive relief. On April 26, 2010, the Goldman Sachs defendants’ motion to dismiss complaints filed by several individual California municipal plaintiffs was denied. On August 19, 2011, Group Inc., GSMMDP and GS Bank USA were voluntarily dismissed without prejudice from all actions except one brought by a California municipal entity.

On August 21, 2008, GS&Co. entered into a settlement in principle with the Office of the Attorney General of the State of New York and the Illinois Securities Department (on behalf of the North American Securities Administrators Association) regarding auction rate securities. Under the agreement, Goldman Sachs agreed, among other things, (i) to offer to repurchase at par the outstanding auction rate securities that its private wealth management clients purchased through the firm prior to February 11, 2008, with the exception of those auction rate securities where auctions were clearing, (ii) to continue to work with issuers and other interested parties, including regulatory and governmental entities, to expeditiously provide liquidity solutions for institutional investors, and (iii) to pay a $22.5 million fine. The settlement is subject to approval by the various states. GS&Co. has entered into consent orders with New York, Illinois and most other states and is in the process of doing so with the remaining states.

On September 4, 2008, Group Inc. was named as a defendant, together with numerous other financial services firms, in two complaints filed in the U.S. District Court for the Southern District of New York alleging that the defendants engaged in a conspiracy to manipulate the auction securities market in violation of federal antitrust laws. The actions were filed, respectively, on behalf of putative classes of issuers of and investors in auction rate securities and seek, among other things, treble damages in an unspecified amount. Defendants’ motion to dismiss was granted on January 26, 2010. On March 1, 2010, the plaintiffs appealed from the dismissal of their complaints.

Beginning in February 2012, GS&Co. was named as respondent in three FINRA arbitrations filed, respectively, by the cities of Houston, Texas and Reno, Nevada and a California school district, based on GS&Co.’s role as underwriter and broker-dealer of the claimants’ issuances of an aggregate of over $1.7 billion of auction rate securities from 2004 through 2007 (in the Houston arbitration, two other financial services firms were named as respondents as well). Each claimant alleges that GS&Co. failed to disclose that it had a practice of placing cover bids on auctions, and failed to offer the claimant the option of a formulaic maximum rate (rather than a fixed maximum rate), and that, as a result, the claimant was forced to engage in a series of expensive refinancing and conversion transactions after the failure of the auction market (at an estimated cost, in the case of Houston, of approximately $90 million). Houston and Reno also allege that GS&Co. advised them to enter into interest rate swaps in connection with their auction rate securities issuances, causing them to incur additional losses (including, in the case of Reno, a swap termination obligation of over $8 million). The claimants assert claims for breach of fiduciary duty, fraudulent concealment, negligent misrepresentation, breach of contract, violations of the Exchange Act and state securities laws, and breach of duties under the rules of the Municipal Securities Rulemaking Board and the NASD, and seek unspecified damages. GS&Co. has moved in federal court to enjoin the Reno and California school district arbitrations pursuant to an exclusive forum selection clause in the transaction documents.

Financial Crisis-Related Matters. Group Inc. and certain of its affiliates are subject to a number of investigations and reviews by various governmental and regulatory bodies and self-regulatory organizations and litigation relating to the 2008 financial crisis, including the establishment and unwind of credit default swaps between Goldman Sachs and AIG and other transactions with, and in the securities of, AIG, The Bear Stearns Companies Inc., Lehman Brothers Holdings Inc. and other firms. Goldman Sachs is cooperating with the investigations and reviews.

In the second quarter of 2011, a Staff Report of the Senate Permanent Subcommittee on Investigations concerning the key causes of the financial crisis was issued. Goldman Sachs and another financial institution were used as case studies with respect to the role of investment banks. The report was referred to the DOJ and the SEC for review. The firm has cooperated with the investigations arising from this referral. On August 9, 2012, the DOJ announced that it had concluded its investigation and would not be bringing criminal charges against the firm or any of its current or former employees in connection with this matter.

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Commitments, Contingencies and Guarantees (Tables)

9 Months Ended

Sep. 30, 2012

Commitments, Contingencies and Guarantees [Abstract]

Commitments

	Commitment Amount by Period of Expiration as of September 2012					Total Commitments as of
in millions		Remainder 2012	2013- 2014	2015- 2016	2017- Thereafter		September 2012	December 2011
Commitments to extend credit 1
Commercial lending: 2
Investment-grade		$  1,637	$11,834	$28,477	$12,460		$  54,408	$  51,281
Non-investment-grade		659	4,656	8,191	6,052		19,558	14,217
Warehouse financing		150	604	—	—		754	247
Total commitments to extend credit		2,446	17,094	36,668	18,512		74,720	65,745
Contingent and forward starting resale and securities borrowing agreements 3		56,275	324	—	—		56,599	54,522
Forward starting repurchase and secured lending agreements 3		12,727	—	—	—		12,727	17,964
Letters of credit 4		397	468	5	5		875	1,353
Investment commitments		921	4,364	143	2,433		7,861	9,118
Other		3,654	234	49	71		4,008	5,342
Total commitments		$76,420	$22,484	$36,865	$21,021		$156,790	$154,044

1. Commitments to extend credit are presented net of amounts syndicated to third parties.

2. Includes commitments associated with the former William Street credit extension program.

3. These agreements generally settle within three business days.

4. Consists of commitments under letters of credit issued by various banks which the firm provides to counterparties in lieu of securities or cash to satisfy various collateral and margin deposit requirements.

Leases

in millions	As of September 2012
Remainder of 2012	$   110
2013	432
2014	400
2015	358
2016	331
2017	319
2018 - thereafter	1,296
Total	$3,246

Guarantees

	As of September 2012
			Maximum Payout/Notional Amount by Period of Expiration
in millions		Carrying Value of Net Liability		Remainder of 2012	2013- 2014	2015- 2016	2017- Thereafter	Total
Derivatives 1		$10,380		$222,571	$389,958	$86,756	$69,552	$768,837
Securities lending indemnifications  2		—		29,932	—	—	—	29,932
Other financial guarantees 3		163		204	857	1,018	1,246	3,325

1. These derivatives are risk managed together with derivatives that do not meet the definition of a guarantee, and therefore these amounts do not reflect the firm’s overall risk related to its derivative activities. As of December 2011, the carrying value of the net liability related to derivative guarantees was $11.88 billion.

2. Collateral held by the lenders in connection with securities lending indemnifications was $30.82 billion as of September 2012. Because the contractual nature of these arrangements requires the firm to obtain collateral with a market value that exceeds the value of the securities lent to the borrower, there is minimal performance risk associated with these guarantees.

3. Other financial guarantees excludes certain commitments to issue standby letters of credit that are included in “Commitments to extend credit.” See table in “Commitments” above for a summary of the firm’s commitments. As of December 2011, the carrying value of the net liability related to other financial guarantees was $205 million.

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Deposits

9 Months Ended

Sep. 30, 2012

Deposits [ Abstract]

Deposits

Note 14.

Deposits

The table below presents deposits held in U.S. and non-U.S. offices. Substantially all U.S. deposits were held at Goldman Sachs Bank USA (GS Bank USA) and were interest-bearing and substantially all non-U.S. deposits were held at Goldman Sachs Bank (Europe) plc (GS Bank Europe) and Goldman Sachs International Bank (GSIB) and were interest-bearing.

	As of
in millions		September 2012		December 2011
U.S. offices		$53,643		$38,477
Non-U.S. offices		7,883		7,632
Total		$61,526	1	$46,109	1

The table below presents maturities of time deposits held in U.S. and non-U.S. offices.

	As of September 2012
in millions		U.S.		Non-U.S.		Total
Remainder of 2012		$     875		$1,649		$  2,524
2013		5,069		602		5,671
2014		3,363		—		3,363
2015		2,784		—		2,784
2016		1,435		—		1,435
2017		2,002		—		2,002
2018 - thereafter		4,483		—		4,483
Total		$20,011	2	$2,251	3	$22,262	1

1. Includes $5.67 billion and $4.53 billion as of September 2012 and December 2011, respectively, of time deposits accounted for at fair value under the fair value option.

2. Includes $48 million greater than $100,000, of which $6 million matures within three months, $6 million matures within three to six months, $29 million matures within six to twelve months, and $7 million matures after twelve months.

3. Substantially all were greater than $100,000.

As of September 2012, demand deposits were $39.26 billion, which were recorded based on the amount of cash received plus accrued interest, which approximates fair value. In addition, the firm designates certain derivatives as fair value hedges on substantially all of its time deposits for which it has not elected the fair value option. Accordingly, $16.59 billion of time deposits were effectively converted from fixed-rate obligations to floating-rate obligations and were recorded at amounts that generally approximate fair value. While these demand deposits and time deposits are carried at amounts that approximate fair value, they are not accounted for at fair value under the fair value option or at fair value in accordance with other U.S. GAAP and therefore are not included in the firm’s fair value hierarchy in Notes 6, 7 and 8. Had these deposits been included in the firm’s fair value hierarchy, they would have been classified in level 2.

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Shareholders' Equity

9 Months Ended

Sep. 30, 2012

Shareholders' Equity [Abstract]

Shareholders' Equity

Note 19.

Shareholders’ Equity

Common Equity

On October 15, 2012, the Board of Directors of Group Inc. (Board) increased the firm’s quarterly dividend to $0.50 per common share from $0.46 per common share. The dividend will be paid on December 28, 2012 to common shareholders of record on November 30, 2012.

The firm’s share repurchase program is intended to help maintain the appropriate level of common equity and to substantially offset increases in share count over time resulting from employee share-based compensation. The repurchase program is effected primarily through regular open-market purchases, the amounts and timing of which are determined primarily by the firm’s current and projected capital positions (i.e., comparisons of the firm’s desired level and composition of capital to its actual level and composition of capital) and the issuance of shares resulting from employee share-based compensation, but which may also be influenced by general market conditions and the prevailing price and trading volumes of the firm’s common stock. Any repurchase of the firm’s common stock requires approval by the Federal Reserve Board.

During the three and nine months ended September 2012, the firm repurchased 11.8 million and 29.4 million shares of its common stock at an average cost per share of $106.17 and $106.07, for a total cost of $1.25 billion and $3.11 billion, respectively, under the share repurchase program. In addition, pursuant to the terms of certain share-based compensation plans, employees may remit shares to the firm or the firm may cancel RSUs to satisfy minimum statutory employee tax withholding requirements. Under these plans, during the nine months ended September 2012, employees remitted 33,477 shares with a total value of $3 million and the firm cancelled 8.9 million of RSUs with a total value of $947 million.

Preferred Equity

The table below presents perpetual preferred stock issued and outstanding as of September 2012.

Series	Shares Authorized		Shares Issued		Shares Outstanding		Dividend Rate	Redemption Value (in millions)
A		50,000		30,000		29,999	3 month LIBOR + 0.75%, with floor of 3.75% per annum		$   750
B		50,000		32,000		32,000	6.20% per annum		800
C		25,000		8,000		8,000	3 month LIBOR + 0.75%, with floor of 4.00% per annum		200
D		60,000		54,000		53,999	3 month LIBOR + 0.67%, with floor of 4.00% per annum		1,350
E		17,500		17,500		17,500	3 month LIBOR + 0.77%, with floor of 4.00% per annum		1,750
F		5,000		5,000		5,000	3 month LIBOR + 0.77%, with floor of 4.00% per annum		500
		207,500		146,500		146,498			$5,350

Each share of non-cumulative Series A Preferred Stock, Series B Preferred Stock, Series C Preferred Stock and Series D Preferred Stock issued and outstanding has a par value of $0.01, has a liquidation preference of $25,000, is represented by 1,000 depositary shares and is redeemable at the firm’s option, subject to the approval of the Federal Reserve Board, at a redemption price equal to $25,000 plus declared and unpaid dividends.

All series of preferred stock are pari passu and have a preference over the firm’s common stock on liquidation. Dividends on each series of preferred stock, if declared, are payable quarterly in arrears. The firm’s ability to declare or pay dividends on, or purchase, redeem or otherwise acquire, its common stock is subject to certain restrictions in the event that the firm fails to pay or set aside full dividends on the preferred stock for the latest completed dividend period.

In 2007, the Board authorized 17,500 shares of Series E Preferred Stock, and 5,000 shares of Series F Preferred Stock, in connection with the APEX Trusts. On June 1, 2012, Group Inc. issued 17,500 shares of Series E Preferred Stock to Goldman Sachs Capital II pursuant to the stock purchase contracts held by Goldman Sachs Capital II. On September 4, 2012, Group Inc. issued 5,000 shares of Series F Preferred Stock to Goldman Sachs Capital III pursuant to the stock purchase contracts held by Goldman Sachs Capital III. Each share of Series E and Series F Preferred Stock issued and outstanding has a par value of $0.01, has a liquidation preference of $100,000 and is redeemable at the option of the firm at any time subject to approval from the Federal Reserve Board and to certain covenant restrictions governing the firm’s ability to redeem or purchase the preferred stock without issuing common stock or other instruments with equity-like characteristics. See Note 16 for further information about the APEX Trusts.

On October 24, 2012, Group Inc. issued 34,000 shares of perpetual 5.95% Non-Cumulative Preferred Stock, Series I, par value $0.01 per share (Series I Preferred Stock), out of a total of 34,500 shares of Series I Preferred Stock authorized for issuance. Each share of Series I Preferred Stock issued and outstanding has a liquidation preference of $25,000, is represented by 1,000 depositary shares and is redeemable at the firm’s option beginning November 10, 2017, subject to the approval of the Federal Reserve Board, at a redemption price equal to $25,000 plus accrued and unpaid dividends.

In March 2011, the firm provided notice to Berkshire Hathaway Inc. and certain of its subsidiaries (collectively, Berkshire Hathaway) that it would redeem in full the 50,000 shares of the firm’s 10% Cumulative Perpetual Preferred Stock, Series G (Series G Preferred Stock) held by Berkshire Hathaway for the stated redemption price of $5.50 billion ($110,000 per share), plus accrued and unpaid dividends. In connection with this notice, the firm recognized a preferred dividend of $1.64 billion (calculated as the difference between the carrying value and the redemption value of the preferred stock), which was recorded as a reduction to earnings applicable to common shareholders for the first quarter of 2011. The redemption also resulted in the acceleration of $24 million of preferred dividends related to the period from April 1, 2011 to the redemption date, which was included in the firm’s results during the three months ended March 2011. The Series G Preferred Stock was redeemed on April 18, 2011. Berkshire Hathaway continues to hold a five-year warrant, issued in October 2008, to purchase up to 43.5 million shares of common stock at an exercise price of $115.00 per share.

The table below presents preferred dividends declared on preferred stock.

	Three Months Ended September						Nine Months Ended September
	2012			2011			2012			2011
		per share	in millions		per share	in millions		per share	in millions		per share	in millions
Series A		$   239.58	$  7		$239.58	$  7		$   718.74	$  21		$   710.93	$  21
Series B		387.50	13		387.50	12		1,162.50	37		1,162.50	37
Series C		255.56	2		255.56	2		766.68	6		758.34	6
Series D		255.56	14		255.56	14		766.68	42		758.34	41
Series E		1,055.56	18		—	—		1,055.56	18		—	—
Series G		—	—		—	—		—	—		2,500.00	125	1
Total			$54			$35			$124			$230

1. Excludes preferred dividends related to the redemption of the firm’s Series G Preferred Stock.

Accumulated Other Comprehensive Income/(Loss)

The tables below present accumulated other comprehensive income/(loss) by type.

	As of September 2012
in millions		Currency translation adjustment, net of tax		Pension and postretirement liability adjustments, net of tax		Net unrealized gains/(losses) on available-for-sale securities, net of tax		Accumulated other comprehensive income/(loss), net of tax
Balance, beginning of year		$(225	)	$(374	)	$  83		$(516	)
Other comprehensive income/(loss)		(63	)	13		184		134
Balance, end of period		$(288	)	$(361	)	$267	1	$(382	)
	As of December 2011
in millions		Currency translation adjustment, net of tax		Pension and postretirement liability adjustments, net of tax		Net unrealized gains/(losses) on available-for-sale securities, net of tax		Accumulated other comprehensive income/(loss), net of tax
Balance, beginning of year		$(170	)	$(229	)	$113		$(286	)
Other comprehensive loss		(55	)	(145	)	(30	)	(230	)
Balance, end of year		$(225	)	$(374	)	$  83	1	$(516	)

1. Substantially all consists of net unrealized gains on securities held by the firm’s insurance subsidiaries as of both September 2012 and December 2011.

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Long-Term Borrowings (Details 2) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Unsecured long-term borrowings by maturity date
2013	$ 3,941
2014	21,653
2015	19,825
2016	21,929
2017	20,289
2018-thereafter	80,241
Unsecured long-term borrowings	$ 167,878	$ 173,545

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Long-Term Borrowings (Tables)

9 Months Ended

Sep. 30, 2012

Long-Term Borrowings [Abstract]

Long-term borrowings

	As of
in millions		September 2012	December 2011
Other secured financings (long-term)		$    8,343	$    8,179
Unsecured long-term borrowings		167,878	173,545
Total		$176,221	$181,724

Unsecured long-term borrowings

	As of September 2012				As of December 2011
in millions		U.S. Dollar	Non-U.S. Dollar	Total		U.S. Dollar	Non-U.S. Dollar	Total
Fixed-rate obligations 1		$  89,700	$35,911	$125,611		$  84,058	$38,569	$122,627
Floating-rate obligations 2		21,281	20,986	42,267		23,436	27,482	50,918
Total		$110,981	$56,897	$167,878		$107,494	$66,051	$173,545

1. Interest rates on U.S. dollar-denominated debt ranged from 0.20% to 10.04% (with a weighted average rate of 5.54%) and 0.10% to 10.04% (with a weighted average rate of 5.62%) as of September 2012 and December 2011, respectively. Interest rates on non-U.S. dollar-denominated debt ranged from 0.10% to 14.85% (with a weighted average rate of 4.71%) and 0.85% to 14.85% (with a weighted average rate of 4.75%) as of September 2012 and December 2011, respectively.

2. Floating interest rates generally are based on LIBOR or the federal funds target rate. Equity-linked and indexed instruments are included in floating-rate obligations.

Unsecured long-term borrowings by maturity date

in millions	As of September 2012
2013	$    3,941
2014	21,653
2015	19,825
2016	21,929
2017	20,289
2018 - thereafter	80,241
Total 1	$167,878

1. Includes $11.20 billion related to interest rate hedges on certain unsecured long-term borrowings, by year of maturity as follows: $102 million in 2013, $655 million in 2014, $594 million in 2015, $1.23 billion in 2016, $1.38 billion in 2017 and $7.24 billion in 2018 and thereafter.

Unsecured long-term borrowings after hedging

	As of
in millions		September 2012	December 2011
Fixed-rate obligations
At fair value		$         65	$         76
At amortized cost 1		25,981	28,773
Floating-rate obligations
At fair value		12,813	17,086
At amortized cost 1		129,019	127,610
Total		$167,878	$173,545

1. The weighted average interest rates on the aggregate amounts were 2.48% (5.12% related to fixed-rate obligations and 1.98% related to floating-rate obligations) and 2.59% (5.18% related to fixed-rate obligations and 2.03% related to floating-rate obligations) as of September 2012 and December 2011, respectively. These rates exclude financial instruments accounted for at fair value under the fair value option.

Subordinated long-term borrowings

	As of September 2012					As of December 2011
$ in millions		Par Amount	Carrying Amount	Rate	1		Par Amount	Carrying Amount	Rate	1
Subordinated debt		$14,501	$17,512	4.20	%		$14,310	$17,362	4.39	%
Junior subordinated debt		2,835	4,284	2.81	%		5,085	6,533	2.43	%
Total subordinated borrowings		$17,336	$21,796	3.97	%		$19,395	$23,895	3.87	%

1. Weighted average interest rate after giving effect to fair value hedges used to convert these fixed-rate obligations into floating-rate obligations. See Note 7 for further information about hedging activities. See below for information about interest rates on junior subordinated debt.

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Transactions with Affiliated Funds (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011	Dec. 31, 2011
Fees earned from affiliated funds [Abstract]
Fees earned from affiliated funds	$ 602	$ 663	$ 1,947	$ 2,104
Fees receivable from affiliated funds and the aggregate carrying value of the firm's interests in these funds [Abstract]
Fees receivable from funds	622		622		721
Aggregate carrying value of interests in funds	15,095		15,095		14,960
Transactions with Affiliated Funds (Textuals) [Abstract]
Outstanding loans and guarantees to certain nonconsolidated investment funds	637		637		289
Commitments to extend credit to nonconsolidated investment funds	$ 0		$ 0		$ 0

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Fair Value Option (Tables)

9 Months Ended

Sep. 30, 2012

Fair Value Option [Abstract]

Financial Assets and Financial Liabilities by Level

	Other Financial Assets at Fair Value as of September 2012
in millions		Level 1	Level 2	Level 3	Total
Securities segregated for regulatory and other purposes 1		$25,346	$    8,741	$       —	$  34,087
Securities purchased under agreements to resell		—	147,176	185	147,361
Securities borrowed		—	47,986	—	47,986
Receivables from customers and counterparties		—	6,295	625	6,920
Total		$25,346	$210,198	$     810	$236,354
	Other Financial Liabilities at Fair Value as of September  2012
in millions		Level 1	Level 2	Level 3	Total
Deposits		$       —	$    5,373	$     301	$    5,674
Securities sold under agreements to repurchase		—	164,067	2,119	166,186
Securities loaned		—	243	—	243
Other secured financings		—	23,926	1,253	25,179
Unsecured short-term borrowings		—	14,939	2,681	17,620
Unsecured long-term borrowings		—	10,877	2,001	12,878
Other liabilities and accrued expenses		—	492	9,483	9,975
Total		$       —	$219,917	$17,838	$237,755

1. Includes securities segregated for regulatory and other purposes accounted for at fair value under the fair value option, which consists of securities borrowed and resale agreements. The table above includes $25.35 billion of level 1 and $531 million of level 2 securities segregated for regulatory and other purposes accounted for at fair value under other U.S. GAAP, principally consisting of U.S. Treasury securities, money market instruments and insurance separate account assets.

	Other Financial Assets at Fair Value as of December 2011
in millions		Level 1	Level 2	Level 3	Total
Securities segregated for regulatory and other purposes 1		$21,263	$  20,751	$        —	$  42,014
Securities purchased under agreements to resell		—	187,232	557	187,789
Securities borrowed		—	47,621	—	47,621
Receivables from customers and counterparties		—	8,887	795	9,682
Total		$21,263	$264,491	$  1,352	$287,106
	Other Financial Liabilities at Fair Value as of December  2011
in millions		Level 1	Level 2	Level 3	Total
Deposits		$        —	$    4,513	$       13	$    4,526
Securities sold under agreements to repurchase		—	162,321	2,181	164,502
Securities loaned		—	107	—	107
Other secured financings		—	28,267	1,752	30,019
Unsecured short-term borrowings		—	14,560	3,294	17,854
Unsecured long-term borrowings		—	14,971	2,191	17,162
Other liabilities and accrued expenses		—	490	8,996	9,486
Total		$        —	$225,229	$18,427	$243,656

1. Includes securities segregated for regulatory and other purposes accounted for at fair value under the fair value option, which consists of securities borrowed and resale agreements. The table above includes $21.26 billion of level 1 and $528 million of level 2 securities segregated for regulatory and other purposes accounted for at fair value under other U.S. GAAP, principally consisting of U.S. Treasury securities, money market instruments and insurance separate account assets.

Level 3 Rollforward

	Level 3 Other Financial Assets at Fair Value for the Three Months Ended September 2012
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Securities purchased under agreements to resell		$  1,023	$  2		$—		$41	$—	$   —	$  (52	)	$   —	$(829	)	$     185
Receivables from customers and counterparties		616	—		19		—	—	—	(10	)	—	—		625
Total		$  1,639	$  2	1	$19	1	$41	$—	$   —	$  (62	)	$   —	$(829	)	$     810

1. The aggregate amounts include gains of approximately $20 million and $1 million reported in “Market making” and “Interest income,” respectively.

	Level 3 Other Financial Liabilities at Fair Value for the Three Months Ended September 2012
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Deposits		$     179	$  —		$    4		$ —	$—	$102	$    —		$  16	$    —		$     301
Securities sold under agreements to repurchase, at fair value		2,055	—		—		—	—	64	—		—	—		2,119
Other secured financings		1,182	3		—		—	—	117	(200	)	151	—		1,253
Unsecured short-term borrowings		2,726	7		171		—	—	170	(253	)	76	(216	)	2,681
Unsecured long-term borrowings		1,946	7		80		—	—	47	(108	)	33	(4	)	2,001
Other liabilities and accrued expenses		8,969	(15	)	608		—	—	—	(79	)	—	—		9,483
Total		$17,057	$   2	1	$863	1	$ —	$—	$500	$(640	)	$276	$(220	)	$17,838

1. The aggregate amounts include losses of approximately $797 million, $65 million and $3 million reported in “Market making,” “Other principal transactions” and “Interest expense,” respectively.

	Level 3 Other Financial Assets at Fair Value for the Nine Months Ended September 2012
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Securities purchased under agreements to resell		$     557	$   8		$—		$   51	$—	$      —	$   (431	)	$   —	$    —		$     185
Receivables from customers and counterparties		795	—		21		199	—	—	(17	)	—	(373	)	625
Total		$  1,352	$   8	1	$21	1	$250	$—	$      —	$   (448	)	$   —	$(373	)	$     810

1. The aggregate amounts include gains of approximately $21 million and $8 million reported in “Market making” and “Interest income,” respectively.

	Level 3 Other Financial Liabilities at Fair Value for the Nine Months Ended September 2012
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases		Sales	Issues	Settlements		Transfers into level 3	Transfers out of level 3		Balance, end of period
Deposits		$       13	$  —		$      —		$      —		$—	$   272	$       —		$   16	$       —		$     301
Securities sold under agreements to repurchase, at fair value		2,181	—		—		—		—	—	(62	)	—	—		2,119
Other secured financings		1,752	9		—		—		—	296	(775	)	—	(29	)	1,253
Unsecured short-term borrowings		3,294	(33	)	204		(13	)	—	550	(817	)	194	(698	)	2,681
Unsecured long-term borrowings		2,191	23		190		—		—	293	(238	)	213	(671	)	2,001
Other liabilities and accrued expenses		8,996	(23	)	764		—		—	—	(254	)	—	—		9,483
Total		$18,427	$(24	)1	$1,158	1	$    (13	)	$—	$1,411	$(2,146	)	$423	$(1,398	)	$17,838

1. The aggregate amounts include losses of approximately $1.02 billion, $103 million and $10 million reported in “Market making,” “Other principal transactions” and “Interest expense,” respectively.

	Level 3 Other Financial Assets at Fair Value for the Three Months Ended September 2011
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Net transfers in and/or (out) of level 3	Balance, end of period
Securities purchased under agreements to resell		$     299	$  —		$    —		$232	$  —	$   —	$     (46	)	$      —	$     485
Receivables from customers and counterparties		321	—		(19	)	312	—	—	(7	)	176	783
Total		$     620	$  —	1	$  (19	) 1	$544	$  —	$   —	$     (53	)	$    176	$  1,268

1. The aggregate amounts include losses of approximately $19 million reported in “Market making.”

	Level 3 Other Financial Liabilities at Fair Value for the Three Months Ended September 2011
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases		Sales		Issues	Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Securities sold under agreements to repurchase, at fair value		$  2,076	$  —		$    —		$   —		$  —		$  52	$      —		$      —		$  2,128
Other secured financings		5,297	—		(1	)	—		—		—	(588	)	(3,054	)	1,654
Unsecured short-term borrowings		3,101	(86	)	(367	)	—		19		110	(356	)	1,013		3,434
Unsecured long-term borrowings		2,554	4		(182	)	(22	)	—		163	(25	)	149		2,641
Other liabilities and accrued expenses		6,944	—		359		227		(32	)	—	(147	)	—		7,351
Total		$19,972	$(82	) 1	$(191	) 1	$205		$(13	)	$325	$(1,116	)	$(1,892	)	$17,208

1. The aggregate amounts include gains/(losses) of approximately $298 million and $(25) million reported in “Market making” and “Other principal transactions,” respectively.

	Level 3 Other Financial Assets at Fair Value for the Nine Months Ended September 2011
in millions		Balance, beginning of period	Net realized gains/ (losses)		Net unrealized gains/(losses) relating to instruments still held at period-end		Purchases	Sales	Issues	Settlements		Net transfers in and/or (out) of level 3	Balance, end of period
Securities purchased under agreements to resell		$     100	$   2		$    —		$   477	$  —	$      —	$     (94	)	$       —	$     485
Receivables from customers and counterparties		298	—		2		325	—	—	(18	)	176	783
Total		$     398	$   2	1	$     2	1	$   802	$  —	$      —	$   (112	)	$    176	$  1,268

1. The aggregate amounts include gains of approximately $2 million and $2 million reported in “Market making” and “Other principal transactions,” respectively.

	Level 3 Other Financial Liabilities at Fair Value for the Nine Months Ended September 2011
in millions		Balance, beginning of period	Net realized (gains)/ losses		Net unrealized (gains)/losses relating to instruments still held at period-end		Purchases		Sales		Issues	Settlements		Net transfers in and/or (out) of level 3		Balance, end of period
Securities sold under agreements to repurchase, at fair value		$  2,060	$  —		$    —		$      —		$  —		$   246	$   (178	)	$       —		$  2,128
Other secured financings		8,349	8		3		—		—		272	(3,943	)	(3,035	)	1,654
Unsecured short-term borrowings		3,476	69		(652	)	(3	)	7		933	(781	)	385		3,434
Unsecured long-term borrowings		2,104	14		(20	)	(72	)	—		453	(97	)	259		2,641
Other liabilities and accrued expenses		2,409	—		662		4,564		(32	)	—	(252	)	—		7,351
Total		$18,398	$ 91	1	$    (7	) 1	$4,489		$(25	)	$1,904	$(5,251	)	$(2,391	)	$17,208

1. The aggregate amounts include gains/(losses) of approximately $(94) million, $18 million and $(8) million reported in “Market making,” “Other principal transactions” and “Interest expense,” respectively.

Gains and Losses on Other Financial Assets and Financial Liabilities at Fair Value

	Gains/(Losses) on Other Financial Assets and Financial Liabilities at Fair Value
	Three Months Ended September										Nine Months Ended September
	2012					2011					2012					2011
in millions		Fair Value Option		Other			Fair Value Option		Other			Fair Value Option		Other			Fair Value Option		Other
Receivables from customers and counterparties 1		$       49		$    786			$  (24	)	$   380			$      58		$    847			$  (29	)	$    899
Other secured financings		(22	)	(1,267	)		104		(613	)		(33	)	(1,636	)		137		(1,538)
Unsecured short-term borrowings		(90	)	(479	)		83		2,125			(128	)	(573	)		114		2,228
Unsecured long-term borrowings		(313	)	(662	)		482		3,157			(495	)	(1,017	)		553		2,318
Other liabilities and accrued expenses 2		(595	)	(48	)		(307	)	60			(787	)	(6	)		(560	)	127
Other 3		(33	)	(5	)		46		—			(128	)	(2	)		91		—
Total		$(1,004	)	$(1,675	)		$ 384		$5,109			$(1,513	)	$(2,387	)		$ 306		$ 4,034

1. Primarily consists of gains/(losses) on certain transfers accounted for as receivables rather than purchases and certain reinsurance contracts.

2. Primarily consists of gains/(losses) on certain insurance contracts.

3. Primarily consists of gains/(losses) on resale and repurchase agreements, securities borrowed and loaned and deposits.

Loans and Lending Commitments

	As of
in millions		September 2012	December 2011
Aggregate contractual principal amount of performing loans and long-term receivables in excess of the related fair value		$  2,704	$  3,826
Aggregate contractual principal amount of loans on nonaccrual status and/or more than 90 days past due in excess of the related fair value		24,017	23,034
Total 1		$26,721	$26,860
Aggregate fair value of loans on nonaccrual status and/or more than 90 days past due		$  2,262	$  3,174

1. The aggregate contractual principal exceeds the related fair value primarily because the firm regularly purchases loans, such as distressed loans, at values significantly below contractual principal amounts.

Impact of Credit Spreads on Borrowings

	Three Months Ended September				Nine Months Ended September
in millions		2012		2011		2012		2011
Net gains/(losses) including hedges		$(370	)	$450		$(588	)	$576
Net gains/(losses) excluding hedges		(396	)	586		(628	)	705

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Income Taxes (Details)	9 Months Ended
	Sep. 30, 2012
U.S. Federal
Earliest tax years that remain subject to examination by major jurisdiction
Open Tax Years by Major Tax Jurisdiction	2005
New York State and City
Earliest tax years that remain subject to examination by major jurisdiction
Open Tax Years by Major Tax Jurisdiction	2004
United Kingdom
Earliest tax years that remain subject to examination by major jurisdiction
Open Tax Years by Major Tax Jurisdiction	2007
Japan
Earliest tax years that remain subject to examination by major jurisdiction
Open Tax Years by Major Tax Jurisdiction	2008
Hong Kong
Earliest tax years that remain subject to examination by major jurisdiction
Open Tax Years by Major Tax Jurisdiction	2005
Korea
Earliest tax years that remain subject to examination by major jurisdiction
Open Tax Years by Major Tax Jurisdiction	2008

XML

Condensed Consolidated Statements of Financial Condition (Unaudited) (Parenthetical) (USD $) In Millions, except Share data, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Condensed Consolidated Statements of Financial Condition [Abstract]
Securities segregated for regulatory and other purposes	$ 34,087	$ 42,014
Securities purchased under agreements to resell and federal funds sold at fair value	147,361	187,789
Securities borrowed at fair value	47,986	47,621
Receivables from customers and counterparties at fair value	6,920	9,682
Financial instruments owned, at fair value pledged as collateral	66,753	53,989
Deposits at fair value	5,674	4,526
Securities loaned at fair value	243	107
Other secured financings at fair value	25,179	30,019
Unsecured short-term borrowings, including the current portion of unsecured long-term borrowings, at fair value	17,620	17,854
Unsecured long-term borrowings at fair value	12,878	17,162
Other liabilities and accrued expenses at fair value	9,975	9,486
Preferred stock, par value	$ 0.01	$ 0.01
Preferred stock, liquidation preference	$ 5,350	$ 3,100
Common stock, par value	$ 0.01	$ 0.01
Common stock, shares authorized	4,000,000,000	4,000,000,000
Common stock, shares issued	810,459,443	795,555,310
Common stock, shares outstanding	471,430,795	485,467,565
Nonvoting common stock, par value	$ 0.01	$ 0.01
Nonvoting common stock, shares authorized	200,000,000	200,000,000
Treasury stock, par value	$ 0.01	$ 0.01
Treasury stock, shares	339,028,650	310,087,747

XML

Goodwill and Identifiable Intangible Assets (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Goodwill and intangible assets
Goodwill	$ 3,763	$ 3,802
Identifiable Intangible Assets	1,533	1,666
Investment Banking - Financial Advisory [Member]
Goodwill and intangible assets
Goodwill	98	104
Identifiable Intangible Assets	1	4
Investment Banking - Underwriting [Member]
Goodwill and intangible assets
Goodwill	183	186
Identifiable Intangible Assets	0	1
Institutional Client Services - Fixed Income, Currency and Commodities Client Execution [Member]
Goodwill and intangible assets
Goodwill	269	284
Identifiable Intangible Assets	435	488
Institutional Client Services - Equities Client Execution [Member]
Goodwill and intangible assets
Goodwill	2,389	2,390
Identifiable Intangible Assets	655	677
Institutional Client Services - Securities Services [Member]
Goodwill and intangible assets
Goodwill	104	117
Investing and Lending [Member]
Goodwill and intangible assets
Goodwill	131	147
Identifiable Intangible Assets	308	369
Investment Management [Member]
Goodwill and intangible assets
Goodwill	589	574
Identifiable Intangible Assets	$ 134	$ 127

XML

Significant Accounting Policies

9 Months Ended

Sep. 30, 2012

Significant Accounting Policies [Abstract]

Significant Accounting Policies

Note 3.

Significant Accounting Policies

The firm’s significant accounting policies include when and how to measure the fair value of assets and liabilities, accounting for goodwill and identifiable intangible assets, and when to consolidate an entity. See Notes 5 through 8 for policies on fair value measurements, Note 13 for policies on goodwill and identifiable intangible assets, and below and Note 11 for policies on consolidation accounting. All other significant accounting policies are either discussed below or included in the following footnotes:

Financial Instruments Owned, at Fair Value and Financial Instruments Sold, But Not Yet Purchased, at Fair Value	Note 4
Fair Value Measurements	Note 5
Cash Instruments	Note 6
Derivatives and Hedging Activities	Note 7
Fair Value Option	Note 8
Collateralized Agreements and Financings	Note 9
Securitization Activities	Note 10
Variable Interest Entities	Note 11
Other Assets	Note 12
Goodwill and Identifiable Intangible Assets	Note 13
Deposits	Note 14
Short-Term Borrowings	Note 15
Long-Term Borrowings	Note 16
Other Liabilities and Accrued Expenses	Note 17
Commitments, Contingencies and Guarantees	Note 18
Shareholders’ Equity	Note 19
Regulation and Capital Adequacy	Note 20
Earnings Per Common Share	Note 21
Transactions with Affiliated Funds	Note 22
Interest Income and Interest Expense	Note 23
Income Taxes	Note 24
Business Segments	Note 25
Credit Concentrations	Note 26
Legal Proceedings	Note 27
Subsequent Event	Note 28

Consolidation

The firm consolidates entities in which the firm has a controlling financial interest. The firm determines whether it has a controlling financial interest in an entity by first evaluating whether the entity is a voting interest entity or a variable interest entity (VIE).

Voting Interest Entities. Voting interest entities are entities in which (i) the total equity investment at risk is sufficient to enable the entity to finance its activities independently and (ii) the equity holders have the power to direct the activities of the entity that most significantly impact its economic performance, the obligation to absorb the losses of the entity and the right to receive the residual returns of the entity. The usual condition for a controlling financial interest in a voting interest entity is ownership of a majority voting interest. If the firm has a majority voting interest in a voting interest entity, the entity is consolidated.

Variable Interest Entities. A VIE is an entity that lacks one or more of the characteristics of a voting interest entity. The firm has a controlling financial interest in a VIE when the firm has a variable interest or interests that provide it with (i) the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. See Note 11 for further information about VIEs.

Equity-Method Investments. When the firm does not have a controlling financial interest in an entity but can exert significant influence over the entity’s operating and financial policies, the investment is accounted for either (i) under the equity method of accounting or (ii) at fair value by electing the fair value option available under U.S. GAAP. Significant influence generally exists when the firm owns 20% to 50% of the entity’s common stock or in-substance common stock.

In general, the firm accounts for investments acquired subsequent to November 24, 2006, when the fair value option became available, at fair value. In certain cases, the firm applies the equity method of accounting to new investments that are strategic in nature or closely related to the firm’s principal business activities, when the firm has a significant degree of involvement in the cash flows or operations of the investee or when cost-benefit considerations are less significant. See Note 12 for further information about equity-method investments.

Investment Funds. The firm has formed numerous investment funds with third-party investors. These funds are typically organized as limited partnerships or limited liability companies for which the firm acts as general partner or manager. Generally, the firm does not hold a majority of the economic interests in these funds. These funds are usually voting interest entities and generally are not consolidated because third-party investors typically have rights to terminate the funds or to remove the firm as general partner or manager. Investments in these funds are included in “Financial instruments owned, at fair value.” See Notes 6, 18 and 22 for further information about investments in funds.

Use of Estimates

Preparation of these condensed consolidated financial statements requires management to make certain estimates and assumptions, the most important of which relate to fair value measurements, accounting for goodwill and identifiable intangible assets, discretionary compensation accruals and the provision for losses that may arise from litigation, regulatory proceedings and tax audits. These estimates and assumptions are based on the best available information but actual results could be materially different.

Revenue Recognition

Financial Assets and Financial Liabilities at Fair Value. Financial instruments owned, at fair value and Financial instruments sold, but not yet purchased, at fair value are recorded at fair value either under the fair value option or in accordance with other U.S. GAAP. In addition, the firm has elected to account for certain of its other financial assets and financial liabilities at fair value by electing the fair value option. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial assets are marked to bid prices and financial liabilities are marked to offer prices. Fair value measurements do not include transaction costs. Fair value gains or losses are generally included in “Market making” for positions in Institutional Client Services and “Other principal transactions” for positions in Investing & Lending. See Notes 5 through 8 for further information about fair value measurements.

Investment Banking. Fees from financial advisory assignments and underwriting revenues are recognized in earnings when the services related to the underlying transaction are completed under the terms of the assignment. Expenses associated with such transactions are deferred until the related revenue is recognized or the assignment is otherwise concluded. Expenses associated with financial advisory assignments are recorded as non-compensation expenses, net of client reimbursements. Underwriting revenues are presented net of related expenses.

Investment Management. The firm earns management fees and incentive fees for investment management services. Management fees are calculated as a percentage of net asset value, invested capital or commitments, and are recognized over the period that the related service is provided. Incentive fees are calculated as a percentage of a fund’s or separately managed account’s return, or excess return above a specified benchmark or other performance target. Incentive fees are generally based on investment performance over a 12-month period or over the life of a fund. Fees that are based on performance over a 12-month period are subject to adjustment prior to the end of the measurement period. For fees that are based on investment performance over the life of the fund, future investment underperformance may require fees previously distributed to the firm to be returned to the fund. Incentive fees are recognized only when all material contingencies have been resolved. Management and incentive fee revenues are included in “Investment management” revenues.

Commissions and Fees. The firm earns “Commissions and fees” from executing and clearing client transactions on stock, options and futures markets. Commissions and fees are recognized on the day the trade is executed.

Transfers of Assets

Transfers of assets are accounted for as sales when the firm has relinquished control over the assets transferred. For transfers of assets accounted for as sales, any related gains or losses are recognized in net revenues. Assets or liabilities that arise from the firm’s continuing involvement with transferred assets are measured at fair value. For transfers of assets that are not accounted for as sales, the assets remain in “Financial instruments owned, at fair value” and the transfer is accounted for as a collateralized financing, with the related interest expense recognized over the life of the transaction. See Note 9 for further information about transfers of assets accounted for as collateralized financings and Note 10 for further information about transfers of assets accounted for as sales.

Receivables from Customers and Counterparties

Receivables from customers and counterparties generally relate to collateralized transactions. Such receivables are primarily comprised of customer margin loans, transfers of assets accounted for as secured loans rather than purchases and collateral posted in connection with certain derivative transactions. Certain of the firm’s receivables from customers and counterparties are accounted for at fair value under the fair value option, with changes in fair value generally included in “Market making” revenues. See Note 8 for further information about the fair values of these receivables. Receivables from customers and counterparties not accounted for at fair value are accounted for at amortized cost net of estimated uncollectible amounts. Interest on receivables from customers and counterparties is recognized over the life of the transaction and included in “Interest income.”

Insurance Activities

Certain of the firm’s insurance and reinsurance contracts are accounted for at fair value under the fair value option, with changes in fair value included in “Market making” revenues. See Note 8 for further information about the fair values of these insurance and reinsurance contracts.

Revenues from variable annuity and life insurance and reinsurance contracts not accounted for at fair value generally consist of fees assessed on contract holder account balances for mortality charges, policy administration fees and surrender charges. These revenues are recognized in earnings over the period that services are provided and are included in “Market making” revenues. Changes in reserves, including interest credited to policyholder account balances, are recognized in “Insurance reserves.”

Premiums earned for underwriting property catastrophe reinsurance are recognized in earnings over the coverage period, net of premiums ceded for the cost of reinsurance, and are included in “Market making” revenues. Expenses for liabilities related to property catastrophe reinsurance claims, including estimates of losses that have been incurred but not reported, are included in “Insurance reserves.”

Share-based Compensation

The cost of employee services received in exchange for a share-based award is generally measured based on the grant-date fair value of the award. Share-based awards that do not require future service (i.e., vested awards, including awards granted to retirement-eligible employees) are expensed immediately. Share-based awards that require future service are amortized over the relevant service period. Expected forfeitures are included in determining share-based employee compensation expense.

The firm pays cash dividend equivalents on outstanding restricted stock units (RSUs). Dividend equivalents paid on RSUs are generally charged to retained earnings. Dividend equivalents paid on RSUs expected to be forfeited are included in compensation expense. The firm accounts for the tax benefit related to dividend equivalents paid on RSUs as an increase to additional paid-in capital.

In certain cases, primarily related to conflicted employment (as outlined in the applicable award agreements), the firm may cash settle share-based compensation awards. For awards accounted for as equity instruments, additional paid-in capital is adjusted to the extent of the difference between the current value of the award and the grant-date value of the award.

Foreign Currency Translation

Assets and liabilities denominated in non-U.S. currencies are translated at rates of exchange prevailing on the date of the condensed consolidated statements of financial condition and revenues and expenses are translated at average rates of exchange for the period. Foreign currency remeasurement gains or losses on transactions in nonfunctional currencies are recognized in earnings. Gains or losses on translation of the financial statements of a non-U.S. operation, when the functional currency is other than the U.S. dollar, are included, net of hedges and taxes, in the condensed consolidated statements of comprehensive income.

Cash and Cash Equivalents

The firm defines cash equivalents as highly liquid overnight deposits held in the ordinary course of business. As of September 2012 and December 2011, “Cash and cash equivalents” included $7.11 billion and $7.95 billion, respectively, of cash and due from banks, and $56.53 billion and $48.05 billion, respectively, of interest-bearing deposits with banks.

Recent Accounting Developments

Reconsideration of Effective Control for Repurchase Agreements (ASC 860) . In April 2011, the FASB issued ASU No. 2011-03, “Transfers and Servicing (Topic 860) — Reconsideration of Effective Control for Repurchase Agreements.” ASU No. 2011-03 changes the assessment of effective control by removing (i) the criterion that requires the transferor to have the ability to repurchase or redeem financial assets on substantially the agreed terms, even in the event of default by the transferee, and (ii) the collateral maintenance implementation guidance related to that criterion. ASU No. 2011-03 is effective for periods beginning after December 15, 2011. The firm adopted the standard on January 1, 2012. Adoption of ASU No. 2011-03 did not affect the firm’s financial condition, results of operations or cash flows.

Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (ASC 820). In May 2011, the FASB issued ASU No. 2011-04, “Fair Value Measurements and Disclosures (Topic 820) — Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs.” ASU No. 2011-04 clarifies the application of existing fair value measurement and disclosure requirements, changes certain principles related to measuring fair value, and requires additional disclosures about fair value measurements. ASU No. 2011-04 is effective for periods beginning after December 15, 2011. The firm adopted the standard on January 1, 2012. Adoption of ASU No. 2011-04 did not materially affect the firm’s financial condition, results of operations or cash flows.

Derecognition of in Substance Real Estate (ASC 360). In December 2011, the FASB issued ASU No. 2011-10, “Property, Plant, and Equipment (Topic 360) — Derecognition of in Substance Real Estate — a Scope Clarification.” ASU No. 2011-10 clarifies that in order to deconsolidate a subsidiary (that is in substance real estate) as a result of a parent no longer controlling the subsidiary due to a default on the subsidiary’s nonrecourse debt, the parent also must satisfy the sale criteria in ASC 360-20, “Property, Plant, and Equipment — Real Estate Sales.” The ASU is effective for fiscal years beginning on or after June 15, 2012. The firm will apply the provisions of the ASU to such events occurring on or after January 1, 2013. Adoption is not expected to materially affect the firm’s financial condition, results of operations or cash flows.

Disclosures about Offsetting Assets and Liabilities (ASC 210). In December 2011, the FASB issued ASU No. 2011-11, “Balance Sheet (Topic 210) — Disclosures about Offsetting Assets and Liabilities.” ASU No. 2011-11 requires disclosure of the effect or potential effect of offsetting arrangements on the firm’s financial position as well as enhanced disclosure of the rights of setoff associated with the firm’s recognized assets and recognized liabilities. ASU No. 2011-11 is effective for periods beginning on or after January 1, 2013. Since these amended principles require only additional disclosures concerning offsetting and related arrangements, adoption will not affect the firm’s financial condition, results of operations or cash flows.

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Business Segments (Tables)

9 Months Ended

Sep. 30, 2012

Business Segments [Abstract]

Segment Operating Results

		For the Three Months Ended or as of September				For the Nine Months Ended or as of September
in millions			2012	2011			2012	2011
Investment Banking	Net revenues		$    1,164	$       781			$    3,521	$    3,498
	Operating expenses		825	541			2,560	2,445
	Pre-tax earnings		$       339	$       240			$       961	$    1,053
	Segment assets		$    1,765	$    2,136			$    1,765	$    2,136
Institutional Client Services	Net revenues 1		$    4,184	$    4,062			$  13,782	$  14,224
	Operating expenses		3,186	2,631			10,016	10,255
	Pre-tax earnings		$       998	$    1,431			$    3,766	$    3,969
	Segment assets		$842,950	$845,055			$842,950	$845,055
Investing & Lending	Net revenues		$    1,804	$   (2,479	)		$    3,918	$    1,270
	Operating expenses		1,002	86			2,216	1,864
	Pre-tax earnings/(loss)		$       802	$   (2,565	)		$    1,702	$     (594)
	Segment assets		$  92,541	$  87,712			$  92,541	$  87,712
Investment Management	Net revenues		$    1,199	$    1,223			$    3,706	$    3,770
	Operating expenses		977	989			3,037	3,112
	Pre-tax earnings		$       222	$       234			$       669	$       658
	Segment assets		$  11,951	$  14,006			$  11,951	$  14,006
Total	Net revenues		$    8,351	$    3,587			$  24,927	$  22,762
	Operating expenses		6,053	4,317			18,033	17,840
	Pre-tax earnings/(loss)		$    2,298	$      (730	)		$    6,894	$    4,922
	Total assets		$949,207	$948,909			$949,207	$948,909

1. Includes $30 million and $31 million for the three months ended September 2012 and September 2011, respectively, and $81 million for both the nine months ended September 2012 and September 2011, of realized gains on available-for-sale securities held in the firm’s insurance subsidiaries.

Net Interest Income

	Three Months Ended September					Nine Months Ended September
in millions		2012			2011		2012		2011
Investment Banking	$	(4	)	$	—	$	(13	)	$      —
Institutional Client Services		813			1,243		2,799		3,375
Investing & Lending		2			60		9		595
Investment Management		25			53		112		157

Depreciation and amortization

Total net interest	$	836		$	1,356	$	2,907		$4,127
	Three Months Ended September					Nine Months Ended September
in millions		2012			2011		2012		2011
Investment Banking	$	36		$	44	$	117		$   133
Institutional Client Services		188			230		559		753
Investing & Lending		119			56		406		318
Investment Management		52			59		155		151
Total depreciation and amortization	$	396	1	$	389	$	1,238	1	$1,355

1. Includes real estate-related exit costs of $1 million for both the three and nine months ended September 2012 that have not been allocated to the firm’s segments.

Net Revenues and Pre-tax Earnings for each geographic region

	Three Months Ended September									Nine Months Ended September
$ in millions		2012				2011					2012				2011
Net revenues
Americas 1		$5,114		61	%	$2,485		69	%		$14,807		59	%	$14,149		62	%
EMEA 2		2,160		26		1,349		38			6,660		27		5,974		26
Asia 3		1,077		13		(247	)	(7	)		3,460		14		2,639		12
Total net revenues		$8,351		100	%	$3,587		100	%		$24,927		100	%	$22,762		100	%
Pre-tax earnings/(loss)
Americas 1		$1,401		59	%	$     92		N.M.			$  3,943		56	%	$  3,567		70	%
EMEA 2		709		30		107		N.M.			2,279		32		1,678		33
Asia 3		251		11		(859	)	N.M.			876		12		(159	)	(3	)
Subtotal		2,361		100	%	(660	)	100	%		7,098		100	%	5,086		100	%
Corporate 4		(63	)			(70	)				(204	)			(164	)
Total pre-tax earnings/(loss)		$2,298				$  (730	)				$  6,894				$  4,922

1. Substantially all relates to the U.S.

2. EMEA (Europe, Middle East and Africa).

3. Asia also includes Australia and New Zealand.

4. Consists of net provisions for a number of litigation and regulatory proceedings of $62 million and $59 million for the three months ended September 2012 and September 2011, respectively, and $188 million and $128 million for the nine months ended September 2012 and September 2011, respectively; charitable contributions of $12 million and $25 million for the nine months ended September 2012 and September 2011, respectively; and real estate-related exit costs of $1 million and $11 million for the three months ended September 2012 and September 2011, respectively, and $4 million and $11 million for the nine months ended September 2012 and September 2011, respectively.

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Fair Value Option (Details 2) (USD $)	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011	Dec. 31, 2011
Fair Value Option
Fair Value Option Gains/(Losses)	$ (1,004,000,000)	$ 384,000,000	$ (1,513,000,000)	$ 306,000,000
Total gains/(losses) excluded from fair value option	(1,675,000,000)	5,109,000,000	(2,387,000,000)	4,034,000,000
Fair Value Option Loans and Lending Commitments
Difference between aggregate contractual principal amount of performing loans and long-term receivable for which the fair value option was elected and related fair value	2,704,000,000		2,704,000,000		3,826,000,000
Fair value of loans on nonaccrual status for which the fair value option was elected	2,262,000,000		2,262,000,000		3,174,000,000
Difference between aggregate contractual principal amount of loans and long-term receivable for which the fair value option was elected and related fair value	26,721,000,000		26,721,000,000		26,860,000,000
Difference between aggregate contractual principal amount of loans on nonaccrual status for which the fair value option was elected and related fair value	24,017,000,000		24,017,000,000		23,034,000,000
Total contractual amount of unfunded commitments for which the fair value option was elected	59,920,000,000		59,920,000,000		66,120,000,000
Fair value of unfunded commitments for which the fair value option was elected	2,040,000,000		2,040,000,000		2,820,000,000
Fair Value, Option, Credit Risk, Gain (Loss) Quantitative Disclosures [Abstract]
Net Gains (Losses), Including Hedges, Attributable to the Impact of Changes in Own Credit Spreads on Borrowings For Which the Fair Value Option Was Elected	(370,000,000)	450,000,000	(588,000,000)	576,000,000
Net Gains (Losses), Excluding Hedges, Attributable to the Impact of Changes in Own Credit Spreads on Borrowings For Which the Fair Value Option Was Elected	(396,000,000)	586,000,000	(628,000,000)	705,000,000
Net Gains (Losses) Attributable to the Impact of Changes in Instrument-Specific Credit Spreads on Loans and Loan Commitments For Which the Fair Value Option Was Elected	1,100,000,000	(1,470,000,000)	2,350,000,000	(659,000,000)
Resale and Repurchase Agreements and Securities Borrowed and Loaned at Fair Value [Member] | Minimum [Member]
Fair Value, Other Financial Assets And Liabilities, Unobservable Inputs [Abstract]
Fair Value Unobservable Inputs, Yield	1.90%		1.90%
Fair Value Unobservable Inputs, Duration	0.4		0.4
Resale and Repurchase Agreements and Securities Borrowed and Loaned at Fair Value [Member] | Maximum [Member]
Fair Value, Other Financial Assets And Liabilities, Unobservable Inputs [Abstract]
Fair Value Unobservable Inputs, Yield	5.30%		5.30%
Fair Value Unobservable Inputs, Duration	4.8		4.8
Insurance and Reinsurance Contracts at Fair Value [Member] | Minimum [Member]
Fair Value, Other Financial Assets And Liabilities, Unobservable Inputs [Abstract]
Fair Value Unobservable Inputs, Funding Spreads	92 bps		92 bps
Insurance and Reinsurance Contracts at Fair Value [Member] | Maximum [Member]
Fair Value, Other Financial Assets And Liabilities, Unobservable Inputs [Abstract]
Fair Value Unobservable Inputs, Funding Spreads	128 bps		128 bps
Receivables from customers and counterparties at fair value [Member]
Fair Value Option
Fair Value Option Gains/(Losses)	49,000,000	(24,000,000)	58,000,000	(29,000,000)
Gains (losses) excluded from fair value option gains (losses) on receivables from customers and counterparties related to certain transfers accounted for as receivables rather than purchases	786,000,000	380,000,000	847,000,000	899,000,000
Receivables from customers and counterparties at fair value [Member] | Minimum [Member]
Fair Value, Other Financial Assets And Liabilities, Unobservable Inputs [Abstract]
Fair Value Unobservable Inputs, Funding Spreads	112 bps		112 bps
Receivables from customers and counterparties at fair value [Member] | Maximum [Member]
Fair Value, Other Financial Assets And Liabilities, Unobservable Inputs [Abstract]
Fair Value Unobservable Inputs, Funding Spreads	157 bps		157 bps
Other Secured Financings At Fair Value [Member]
Fair Value Option
Fair Value Option Gains/(Losses)	(22,000,000)	104,000,000	(33,000,000)	137,000,000
Gains (losses) excluded from fair value option gains (losses) on other secured financings related to financings recorded as a result of transactions that were accounted for as secured financings rather than sales	(1,267,000,000)	(613,000,000)	(1,636,000,000)	(1,538,000,000)
Other Secured Financings At Fair Value [Member] | Minimum [Member]
Fair Value, Other Financial Assets And Liabilities, Unobservable Inputs [Abstract]
Fair Value Unobservable Inputs, Yield	0.40%		0.40%
Fair Value Unobservable Inputs, Duration	0.2		0.2
Other Secured Financings At Fair Value [Member] | Maximum [Member]
Fair Value, Other Financial Assets And Liabilities, Unobservable Inputs [Abstract]
Fair Value Unobservable Inputs, Yield	20.10%		20.10%
Fair Value Unobservable Inputs, Duration	10.0		10.0
Unsecured Short-Term Borrowings Including Current Portion Of Unsecured Long-Term Borrowings At Fair Value [Member]
Fair Value Option
Fair Value Option Gains/(Losses)	(90,000,000)	83,000,000	(128,000,000)	114,000,000
Gains/(losses) excluded from fair value option gains/(losses) on unsecured short-term borrowings related to the embedded derivative component of hybrid financial instruments	(479,000,000)	2,125,000,000	(573,000,000)	2,228,000,000
Unsecured Long-term Borrowings At Fair Value [Member]
Fair Value Option
Fair Value Option Gains/(Losses)	(313,000,000)	482,000,000	(495,000,000)	553,000,000
Gains/(losses) excluded from fair value option gains/(losses) on unsecured long-term borrowings related to the embedded derivative component of hybrid financial instruments	(662,000,000)	3,157,000,000	(1,017,000,000)	2,318,000,000
Fair Value Option Long Term Debt Instruments
Difference between aggregate contractual principal amount of long-term debt instruments for which the fair value option was elected and related fair value	(159,000,000)		(159,000,000)		693,000,000
Other Liabilities And Accrued Expenses At Fair Value [Member]
Fair Value Option
Fair Value Option Gains/(Losses)	(595,000,000)	(307,000,000)	(787,000,000)	(560,000,000)
Gains/(losses) excluded from fair value option gains/(losses) on other liabilities and accrued expenses related to subordinated liabilities issued by consolidated VIEs	(48,000,000)	60,000,000	(6,000,000)	127,000,000
Fair Value Option Other [Member]
Fair Value Option
Fair Value Option Gains/(Losses)	(33,000,000)	46,000,000	(128,000,000)	91,000,000
Total gains/(losses) excluded from fair value option	(5,000,000)		(2,000,000)
Long-term Other Secured Financings At Fair Value [Member]
Fair Value Option Long Term Debt Instruments
Difference between aggregate contractual principal amount of long-term debt instruments for which the fair value option was elected and related fair value	$ 188,000,000		$ 188,000,000		$ 239,000,000

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Interest Income and Interest Expense (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011
Interest income
Deposits with banks	$ 38	$ 32	$ 111	$ 88
Securities borrowed, securities purchased under agreements to resell and federal funds sold	(74)	170	(49)	572
Financial instruments owned, at fair value	2,324	2,755	7,334	8,218
Other interest	341	397	1,121	1,264
Total interest income	2,629	3,354	8,517	10,142
Interest expense
Deposits	106	65	292	205
Securities loaned and securities sold under agreements to repurchase	188	266	615	703
Financial instruments sold, but not yet purchased, at fair value	594	585	1,783	1,844
Short-term borrowings	133	150	453	401
Long-term borrowings	941	829	2,841	2,471
Other interest	(169)	103	(374)	391
Total interest expense	1,793	1,998	5,610	6,015
Net interest income	$ 836	$ 1,356	$ 2,907	$ 4,127

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Derivatives and Hedging Activities (Details) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012	Dec. 31, 2011
Net Derivatives
Exchange-traded Derivative Assets	$ 4,628	$ 5,880
Exchange-traded Derivative Liabilities	3,921	3,172
OTC Derivative Assets	68,201	74,148
OTC Derivative Liabilities	47,850	55,281
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	415,293	364,206
Financial instruments sold, but not yet purchased, at fair value	144,179	145,013
Derivative [Member]
Net Derivatives
Financial instruments owned, at fair value (includes $66,753 and $53,989 pledged as collateral as of September 2012 and December 2011, respectively)	72,829	80,028
Financial instruments sold, but not yet purchased, at fair value	$ 51,771	$ 58,453

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Regulation and Capital Adequacy

9 Months Ended

Sep. 30, 2012

Regulation and Capital Adequacy [Abstract]

Regulation and Capital Adequacy

Note 20.

Regulation and Capital Adequacy

The Federal Reserve Board is the primary regulator of Group Inc., a bank holding company and a financial holding company under the U.S. Bank Holding Company Act of 1956. As a bank holding company, the firm is subject to consolidated regulatory capital requirements that are computed in accordance with the Federal Reserve Board’s risk-based capital requirements (which are based on the ‘Basel 1’ Capital Accord of the Basel Committee). These capital requirements are expressed as capital ratios that compare measures of capital to risk-weighted assets (RWAs). The firm’s U.S. bank depository institution subsidiaries, including GS Bank USA, are subject to similar capital requirements.

Under the Federal Reserve Board’s capital adequacy requirements and the regulatory framework for prompt corrective action that is applicable to GS Bank USA, the firm and its U.S. bank depository institution subsidiaries must meet specific capital requirements that involve quantitative measures of assets, liabilities and certain off-balance-sheet items as calculated under regulatory reporting practices. The firm and its U.S. bank depository institution subsidiaries’ capital amounts, as well as GS Bank USA’s prompt corrective action classification, are also subject to qualitative judgments by the regulators about components, risk weightings and other factors.

Many of the firm’s subsidiaries, including GS&Co. and the firm’s other broker-dealer subsidiaries, are subject to separate regulation and capital requirements as described below.

Group Inc.

Federal Reserve Board regulations require bank holding companies to maintain a minimum Tier 1 capital ratio of 4% and a minimum total capital ratio of 8%. The required minimum Tier 1 capital ratio and total capital ratio in order to be considered a “well-capitalized” bank holding company under the Federal Reserve Board guidelines are 6% and 10%, respectively. Bank holding companies may be expected to maintain ratios well above the minimum levels, depending on their particular condition, risk profile and growth plans. The minimum Tier 1 leverage ratio is 3% for bank holding companies that have received the highest supervisory rating under Federal Reserve Board guidelines or that have implemented the Federal Reserve Board’s risk-based capital measure for market risk. Other bank holding companies must have a minimum Tier 1 leverage ratio of 4%.

The table below presents information regarding Group Inc.’s regulatory capital ratios.

	As of
$ in millions		September 2012		December 2011
Tier 1 capital		$  65,230		$  63,262
Tier 2 capital		$  13,425		$  13,881
Total capital		$  78,655		$  77,143
Risk-weighted assets		$435,331		$457,027
Tier 1 capital ratio		15.0	%	13.8	%
Total capital ratio		18.1	%	16.9	%
Tier 1 leverage ratio		7.2	%	7.0	%

RWAs under the Federal Reserve Board’s risk-based capital requirements are calculated based on the amount of market risk and credit risk. RWAs for market risk are determined by reference to the firm’s Value-at-Risk (VaR) model, supplemented by other measures to capture risks not reflected in the firm’s VaR model. Credit risk for on-balance sheet assets is based on the balance sheet value. For off-balance sheet exposures, including OTC derivatives and commitments, a credit equivalent amount is calculated based on the notional amount of each trade. All such assets and amounts are then assigned a risk weight depending on, among other things, whether the counterparty is a sovereign, bank or qualifying securities firm or other entity (or if collateral is held, depending on the nature of the collateral).

Tier 1 leverage ratio is defined as Tier 1 capital under Basel 1 divided by average adjusted total assets (which includes adjustments for disallowed goodwill and intangible assets, and the carrying value of equity investments in non-financial companies that are subject to deductions from Tier 1 capital).

Regulatory Reform

The firm is currently working to implement the requirements set out in the Federal Reserve Board’s Risk-Based Capital Standards: Advanced Capital Adequacy Framework — Basel 2, as applicable to Group Inc. as a bank holding company (Basel 2), which are based on the advanced approaches under the Revised Framework for the International Convergence of Capital Measurement and Capital Standards issued by the Basel Committee. U.S. banking regulators have incorporated the Basel 2 framework into the existing risk-based capital requirements by requiring that internationally active banking organizations, such as Group Inc., adopt Basel 2, once approved to do so by regulators. The firm’s capital adequacy ratio will also be impacted by the further changes outlined below under the Basel 2.5 framework, provisions of the Dodd-Frank Act, and the Basel 3 framework.

In June 2012, the U.S. federal bank regulatory agencies (the Agencies) issued revised rules which modify their market risk regulatory capital requirements for banking organizations that have significant trading activities. These modifications are designed to address the adjustments to the market risk regulatory capital framework that were announced by the Basel Committee in June 2010 (Basel 2.5), as well as the prohibition on the use of external credit ratings, as required by the Dodd-Frank Act. These changes will be implemented in January 2013 and will result in increased regulatory capital requirements for market risk.

In addition, in June 2012, the Agencies proposed further modifications to their capital adequacy regulations to address aspects of both the Dodd-Frank Act and the guidelines issued by the Basel Committee in December 2010 (Basel 3). If enacted as proposed, the most significant changes that would impact the firm include (i) revisions to the definition of Tier 1 capital, including new deductions from Tier 1 capital, (ii) higher minimum capital and leverage ratios, (iii) the introduction of a new minimum ratio of Tier 1 common equity to RWAs, (iv) new capital conservation and counter-cyclical capital buffers, (v) an additional leverage ratio, which includes measures of off-balance sheet exposures, and (vi) revisions to the methodology for calculating RWAs, particularly for credit risk capital requirements on derivatives. Among the consequences of these proposals would be the phase out of Tier 1 capital treatment for the firm’s junior subordinated debt issued to trusts over a three-year period beginning on January 1, 2013.

In accordance with the “Collins Amendment” of the Dodd-Frank Act, the Agencies have proposed risk-based capital floors for the capital ratios. Furthermore, the June 2012 proposals include provisions which, if enacted as proposed, would modify these risk-based capital floors.

The Basel Committee has published its final provisions for assessing the global systemic importance of banking institutions and the range of additional Tier 1 common equity that should be maintained by banking institutions deemed to be globally systemically important. The additional capital for these institutions would initially range from 1% to 2.5% of Tier 1 common equity and could be as much as 3.5% for a bank that increases its systemic footprint (e.g., by increasing total assets). In November 2012, the Financial Stability Board (established at the direction of the leaders of the Group of 20) indicated that the firm would be required to hold an additional 1.5% of Tier 1 common equity as a globally systemically important bank under the Basel Committee’s methodology. Therefore, depending upon any future revisions to this provisional additional Tier 1 common equity requirement and the manner and timing of the U.S. banking regulators’ implementation of the Basel Committee’s methodology, the firm expects that the minimum Tier 1 common ratio requirement applicable to the firm will include this additional capital assessment. The firm expects that globally systemically important banking institutions will be required to meet the capital surcharges on a phased-in basis from 2016 through 2019.

The Basel Committee also published its final provisions for calculating incremental capital requirements for domestic systemically important banks. The provisions are complementary to the framework outlined above for global systemically important banks, but are more principles-based in order to provide an appropriate degree of national discretion. These provisions may impact the regulatory capital requirements of GS Bank USA, but the exact impact will depend on how they are implemented by the U.S. banking regulators.

In May 2012, the Basel Committee released a consultation paper proposing a “Fundamental Review of the Trading Book.” The paper proposes a series of comprehensive changes to the regulatory capital requirements for market risk which, if enacted by the U.S. banking regulators, would likely replace the Basel 2.5 requirements that, as outlined above, become effective in January 2013.

The Dodd-Frank Act contains provisions that require the registration of all swap dealers, major swap participants, security-based swap dealers, and/or major security-based swap participants. Entities that register under these provisions will be subject to regulatory capital requirements, which have not yet been finalized by the CFTC and SEC. Nevertheless, the firm expects that this will result in modifications to the regulatory capital requirements of some of its entities, and will result in some of its other entities becoming subject to regulatory capital requirements for the first time.

The interaction among the Dodd-Frank Act, the Basel Committee’s proposed changes and other proposed or announced changes from other governmental entities and regulators (including the European Union (EU) and the U.K.’s Financial Services Authority (FSA)) adds further uncertainty to the firm’s future capital and liquidity requirements and those of the firm’s subsidiaries.

Bank Subsidiaries

GS Bank USA, an FDIC-insured, New York State-chartered bank and a member of the Federal Reserve System, is supervised and regulated by the Federal Reserve Board, the FDIC, the New York State Department of Financial Services and the Bureau of Consumer Financial Protection, and is subject to minimum capital requirements (described below) that are calculated in a manner similar to those applicable to bank holding companies. GS Bank USA computes its capital ratios in accordance with the regulatory capital guidelines currently applicable to state member banks, which are based on Basel 1 as implemented by the Federal Reserve Board, for purposes of assessing the adequacy of its capital. Under the regulatory framework for prompt corrective action that is applicable to GS Bank USA, in order to be considered a “well-capitalized” depository institution, GS Bank USA must maintain a Tier 1 capital ratio of at least 6%, a total capital ratio of at least 10% and a Tier 1 leverage ratio of at least 5%. GS Bank USA has agreed with the Federal Reserve Board to maintain minimum capital ratios in excess of these “well-capitalized” levels. Accordingly, for a period of time, GS Bank USA is expected to maintain a Tier 1 capital ratio of at least 8%, a total capital ratio of at least 11% and a Tier 1 leverage ratio of at least 6%. As noted in the table below, GS Bank USA was in compliance with these minimum capital requirements as of September 2012 and December 2011.

The table below presents information regarding GS Bank USA’s regulatory capital ratios under Basel 1 as implemented by the Federal Reserve Board.

	As of
$ in millions		September 2012		December 2011
Tier 1 capital		$  20,333		$  19,251
Tier 2 capital		$         33		$           6
Total capital		$  20,366		$  19,257
Risk-weighted assets		$112,922		$112,824
Tier 1 capital ratio		18.0	%	17.1	%
Total capital ratio		18.0	%	17.1	%
Tier 1 leverage ratio		17.8	%	18.5	%

GS Bank USA is currently working to implement the Basel 2 framework, as implemented by the Federal Reserve Board. Similar to the firm’s requirement as a bank holding company, GS Bank USA is required to adopt Basel 2, once approved to do so by regulators. GS Bank USA will also be impacted by the modified market risk regulatory capital framework outlined above, which will be implemented in January 2013. In addition, the capital requirements for GS Bank USA are expected to be impacted by the June 2012 proposed modifications to the Agencies’ capital adequacy regulations outlined above. If enacted as proposed, these proposals would also change the regulatory framework for prompt corrective action that is applicable to GS Bank USA. The firm also expects that GS Bank USA will be impacted by aspects of the Dodd-Frank Act, including new stress tests.

The deposits of GS Bank USA are insured by the FDIC to the extent provided by law. The Federal Reserve Board requires depository institutions to maintain cash reserves with a Federal Reserve Bank. The amount deposited by the firm’s depository institution held at the Federal Reserve Bank was approximately $49.72 billion and $40.06 billion as of September 2012 and December 2011, respectively, which exceeded required reserve amounts by $49.42 billion and $39.51 billion as of September 2012 and December 2011, respectively.

Transactions between GS Bank USA and its subsidiaries and Group Inc. and its subsidiaries and affiliates (other than, generally, subsidiaries of GS Bank USA) are regulated by the Federal Reserve Board. These regulations generally limit the types and amounts of transactions (including loans to and borrowings from GS Bank USA) that may take place and generally require those transactions to be on an arm’s-length basis.

GSIB, a wholly-owned credit institution, regulated by the FSA, and GS Bank Europe, a wholly-owned credit institution, regulated by the Central Bank of Ireland, are both subject to minimum capital requirements. As of September 2012 and December 2011, GSIB and GS Bank Europe were in compliance with all regulatory capital requirements.

Broker-Dealer Subsidiaries

The firm’s U.S. regulated broker-dealer subsidiaries include GS&Co. and GSEC. GS&Co. and GSEC are registered U.S. broker-dealers and futures commission merchants, and are subject to regulatory capital requirements, including those imposed by the SEC, the U.S. Commodity Futures Trading Commission (CFTC), Chicago Mercantile Exchange, the Financial Industry Regulatory Authority, Inc. (FINRA) and the National Futures Association. Rule 15c3-1 of the SEC and Rule 1.17 of the CFTC specify uniform minimum net capital requirements, as defined, for their registrants, and also effectively require that a significant part of the registrants’ assets be kept in relatively liquid form. GS&Co. and GSEC have elected to compute their minimum capital requirements in accordance with the “Alternative Net Capital Requirement” as permitted by Rule 15c3-1.

As of September 2012 and December 2011, GS&Co. had regulatory net capital, as defined by Rule 15c3-1, of $13.24 billion and $11.24 billion, respectively, which exceeded the amount required by $11.41 billion and $9.34 billion, respectively. As of September 2012 and December 2011, GSEC had regulatory net capital, as defined by Rule 15c3-1, of $2.21 billion and $2.10 billion, respectively, which exceeded the amount required by $2.08 billion and $2.00 billion, respectively.

In addition to its alternative minimum net capital requirements, GS&Co. is also required to hold tentative net capital in excess of $1 billion and net capital in excess of $500 million in accordance with the market and credit risk standards of Appendix E of Rule 15c3-1. GS&Co. is also required to notify the SEC in the event that its tentative net capital is less than $5 billion. As of September 2012 and December 2011, GS&Co. had tentative net capital and net capital in excess of both the minimum and the notification requirements.

Insurance Subsidiaries

The firm has U.S. insurance subsidiaries that are subject to state insurance regulation and oversight in the states in which they are domiciled and in the other states in which they are licensed. In addition, certain of the firm’s insurance subsidiaries outside of the U.S. are regulated by the FSA and certain are regulated by the Bermuda Monetary Authority. The firm’s insurance subsidiaries were in compliance with all regulatory capital requirements as of September 2012 and December 2011.

Other Non-U.S. Regulated Subsidiaries

The firm’s principal non-U.S. regulated subsidiaries include Goldman Sachs International (GSI) and Goldman Sachs Japan Co., Ltd. (GSJCL). GSI, the firm’s regulated U.K. broker-dealer, is subject to the capital requirements imposed by the FSA. GSJCL, the firm’s regulated Japanese broker-dealer, is subject to the capital requirements imposed by Japan’s Financial Services Agency. As of September 2012 and December 2011, GSI and GSJCL were in compliance with their local capital adequacy requirements. Certain other non-U.S. subsidiaries of the firm are also subject to capital adequacy requirements promulgated by authorities of the countries in which they operate. As of September 2012 and December 2011, these subsidiaries were in compliance with their local capital adequacy requirements.

Restrictions on Payments

The regulatory requirements referred to above restrict Group Inc.’s ability to withdraw capital from its regulated subsidiaries. As of September 2012 and December 2011, Group Inc. was required to maintain approximately $30.89 billion and $25.53 billion, respectively, of minimum equity capital in these regulated subsidiaries. This minimum equity capital requirement includes certain restrictions imposed by federal and state laws as to the payment of dividends to Group Inc. by its regulated subsidiaries. In addition to limitations on the payment of dividends imposed by federal and state laws, the Federal Reserve Board, the FDIC and the New York State Department of Financial Services have authority to prohibit or to limit the payment of dividends by the banking organizations they supervise (including GS Bank USA) if, in the relevant regulator’s opinion, payment of a dividend would constitute an unsafe or unsound practice in the light of the financial condition of the banking organization.

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Derivatives and Hedging Activities (Details 5) (USD $) In Millions, unless otherwise specified	Sep. 30, 2012 Contract	Dec. 31, 2011 Contract
Bifurcated Embedded Derivatives [Abstract]
Embedded Derivative, Fair Value of Embedded Derivative Asset	$ 342	$ 422
Embedded Derivative, Fair Value of Embedded Derivative Liability	490	304
Embedded Derivative, Fair Value of Embedded Derivative, Net, Total	$ (148)	$ 118
Number of Contracts	1,311,607	1,280,187
Embedded Derivatives Classified In Debt [Member]
Bifurcated Embedded Derivatives [Abstract]
Number of Contracts	399	333

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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2012

Fair Value Measurements [Abstract]

Financial Assets Liabilities Summary

	As of
$ in millions		September 2012		June 2012		December 2011
Total level 1 financial assets		$ 183,205		$ 163,712		$ 136,780
Total level 2 financial assets		526,914		552,082		587,416
Total level 3 financial assets		47,810		46,505		47,937
Cash collateral and counterparty netting  1		(106,282	)	(111,139	)	(120,821	)
Total financial assets at fair value		$ 651,647		$ 651,160		$ 651,312
Total assets		$ 949,207		$ 948,638		$ 923,225
Total level 3 financial assets as a percentage of Total assets		5.0	%	4.9	%	5.2	%
Total level 3 financial assets as a percentage of Total financial assets at fair value		7.3	%	7.1	%	7.4	%
Total level 1 financial liabilities		$   80,843		$   86,453		$   75,557
Total level 2 financial liabilities		309,289		303,084		319,160
Total level 3 financial liabilities		24,002		23,127		25,498
Cash collateral and counterparty netting 1		(32,200	)	(32,577	)	(31,546	)
Total financial liabilities at fair value		$ 381,934		$ 380,087		$ 388,669
Total level 3 financial liabilities as a percentage of Total financial liabilities at fair value		6.3	%	6.1	%	6.6	%

1. Represents the impact on derivatives of cash collateral netting, and counterparty netting across levels of the fair value hierarchy. Netting among positions classified in the same level is included in that level.

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Goodwill and Identifiable Intangible Assets

9 Months Ended

Sep. 30, 2012

Goodwill and Intangible Assets Disclosure [Abstract]

Goodwill and Identifiable Intangible Assets

Note 13.

Goodwill and Identifiable Intangible Assets

The tables below present the carrying values of goodwill and identifiable intangible assets, which are included in “Other assets.”

	Goodwill
	As of
in millions	September 2012	December 2011
Investment Banking:
Financial Advisory	$     98	$   104
Underwriting	183	186
Institutional Client Services:
Fixed Income, Currency and Commodities Client Execution	269	284
Equities Client Execution	2,389	2,390
Securities Services	104	117
Investing & Lending	131	147
Investment Management	589	574
Total	$3,763	$3,802
	Identifiable Intangible Assets
	As of
in millions	September 2012	December 2011
Investment Banking:
Financial Advisory	$       1	$       4
Underwriting	—	1
Institutional Client Services:
Fixed Income, Currency and Commodities Client Execution	435	488
Equities Client Execution	655	677
Investing & Lending	308	369
Investment Management	134	127
Total	$1,533	$1,666

Goodwill

Goodwill is the cost of acquired companies in excess of the fair value of net assets, including identifiable intangible assets, at the acquisition date.

Goodwill is assessed annually in the fourth quarter for impairment or more frequently if events occur or circumstances change that indicate an impairment may exist. Qualitative factors are assessed to determine whether it is more likely than not that the fair value of a reporting unit is less than its carrying amount. If results of the qualitative assessment are not conclusive, a quantitative goodwill impairment test is performed.

The quantitative goodwill impairment test consists of two steps.

Ÿ The first step compares the estimated fair value of each reporting unit with its estimated net book value (including goodwill and identified intangible assets). If the reporting unit’s fair value exceeds its estimated net book value, goodwill is not impaired.

Ÿ If the estimated fair value of a reporting unit is less than its estimated net book value, the second step of the goodwill impairment test is performed to measure the amount of impairment loss, if any. An impairment loss is equal to the excess of the carrying amount of goodwill over its fair value.

To estimate the fair value of each reporting unit, both relative value and residual income valuation techniques are used because the firm believes market participants would use these techniques to value the firm’s reporting units.

Relative value techniques apply average observable price-to-earnings multiples of comparable competitors to certain reporting units’ net earnings. For other reporting units, fair value is estimated using price-to-book multiples based on residual income techniques, which consider a reporting unit’s return on equity in excess of the firm’s cost of equity capital. The net book value of each reporting unit reflects the estimated amount of shareholders’ equity required to support the activities of the reporting unit under guidelines issued by the Basel Committee on Banking Supervision (Basel Committee) in December 2010.

Identifiable Intangible Assets

The table below presents the gross carrying amount, accumulated amortization and net carrying amount of identifiable intangible assets and their weighted average remaining lives.

		As of
$ in millions		September 2012			Weighted Average Remaining Lives (years)	December 2011
Customer lists	Gross carrying amount		$ 1,147				$ 1,119
	Accumulated amortization		(650	)			(593	)
	Net carrying amount		497		8		526
Commodities-related intangibles 1	Gross carrying amount		491				595
	Accumulated amortization		(204	)			(237	)
	Net carrying amount		287		9		358
Television broadcast royalties	Gross carrying amount		560				560
	Accumulated amortization		(170	)			(123	)
	Net carrying amount		390		6		437
Insurance-related intangibles 2	Gross carrying amount		339				292
	Accumulated amortization		(197	)			(146	)
	Net carrying amount		142		6		146
Other 3	Gross carrying amount		992				950
	Accumulated amortization		(775	)			(751	)
	Net carrying amount		217		11		199
Total	Gross carrying amount		3,529				3,516
	Accumulated amortization		(1,996	)			(1,850	)
	Net carrying amount		$ 1,533		8		$ 1,666

1. Primarily includes commodity-related customer contracts and relationships, permits and access rights.

2. Represents value of business acquired related to the firm’s insurance businesses.

3. Primarily includes the firm’s New York Stock Exchange (NYSE) Designated Market Maker (DMM) rights and exchange-traded fund lead market maker rights.

Substantially all of the firm’s identifiable intangible assets are considered to have finite lives and are amortized (i) over their estimated lives, (ii) based on economic usage for certain commodity-related intangibles or (iii) in proportion to estimated gross profits or premium revenues. Amortization expense for identifiable intangible assets is included in “Depreciation and amortization.”

The tables below present amortization expense for identifiable intangible assets for the three and nine months ended September 2012 and September 2011, and the estimated future amortization expense through 2017 for identifiable intangible assets as of September 2012.

	Three Months Ended September			Nine Months Ended September
in millions		2012	2011		2012	2011
Amortization expense		$60	$84		$206	$207

in millions	As of September 2012
Estimated future amortization expense:
Remainder of 2012	$  72
2013	247
2014	215
2015	181
2016	177
2017	173

Identifiable intangible assets are tested for recoverability whenever events or changes in circumstances indicate that an asset’s or asset group’s carrying value may not be recoverable.

If a recoverability test is necessary, the carrying value of an asset or asset group is compared to the total of the undiscounted cash flows expected to be received over the remaining useful life and from the disposition of the asset or asset group.

Ÿ If the total of the undiscounted cash flows exceeds the carrying value, the asset or asset group is not impaired.

Ÿ If the total of the undiscounted cash flows is less than the carrying value, the asset or asset group is not fully recoverable and an impairment loss is recognized as the difference between the carrying amount of the asset or asset group and its estimated fair value.

See Note 12 for information about impairments of the firm’s identifiable intangible assets.

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Shareholders' Equity (Details 2) (USD $) In Millions, unless otherwise specified	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2012	Sep. 30, 2011	Sep. 30, 2012	Sep. 30, 2011	Dec. 31, 2011
Other Comprehensive Income/(Loss)
Currency translation adjustment, net of tax, Beginning Balance			$ (225)	$ (170)	$ (170)
Pension and postretirement liability adjustments, net of tax, Beginning Balance			(374)	(229)	(229)
Net unrealized gains/(losses) on available-for-sale securities, net of tax, Beginning Balance			83	113	113
Total accumulated other comprehensive income/(loss), net of tax, Beginning Balance			(516)	(286)	(286)
Currency translation adjustment, net of tax	(11)	(5)	(63)	(40)	(55)
Pension and postretirement liability adjustments, net of tax	6	1	13	4	(145)
Net unrealized gains/(losses) on available-for-sale securities, net of tax	129	37	184	8	(30)
Other comprehensive income/(loss)	124	33	134	(28)	(230)
Currency translation adjustment, net of tax, Ending Balance	(288)		(288)		(225)
Pension and postretirement liability adjustments, net of tax, Ending Balance	(361)		(361)		(374)
Net unrealized gains/(losses) on available-for-sale securities, net of tax, Ending Balance	267		267		83
Total accumulated other comprehensive income/(loss), net of tax, Ending Balance	$ (382)		$ (382)		$ (516)