July 7 (Bloomberg) -- Goldman Sachs Group Inc., the securities firm that generates more trading revenue than any of its U.S. rivals, lost money on 20 days last quarter, more than the prior period, as the value of credit products fell.

The New York-based investment bank lost at least $100 million on nine trading days in the three months to May 30, compared with six days in the previous quarter, according to a filing with the U.S. Securities and Exchange Commission today. The firm lost money on 17 days during the first quarter. The days when Goldman earned more than $100 million by trading fell to 27 from 28, the filing showed.

Chief Executive Officer Lloyd Blankfein's strategy of wagering more capital than rivals resulted in more money-losing days in the first quarter than either Morgan Stanley or Lehman Brothers Holdings Inc. reported at the time. They haven't filed second-quarter daily trading figures yet. Goldman still managed to deliver almost double the trading revenue Morgan Stanley produced in the period, when Lehman posted a loss.

Goldman's traders are ``successful, but they're successful by taking these larger bets,'' said Brad Hintz, an analyst at Sanford C. Bernstein & Co. in New York. ``Goldman seems very willing to have a wide distribution in terms of their trading days.''

The biggest U.S. securities firm by market value dropped $9.07, or 5 percent, to $169.82 in New York Stock Exchange composite trading. The 11-company Amex Securities Broker/Dealer Index fell 2.7 percent, led by Lehman Brothers.

Value-at-Risk

Goldman's total trading revenue in the second quarter fell 17 percent to $4.87 billion, as ``significantly lower results in credit products'' offset higher revenue from trading mortgages, currencies, commodities and interest-rate products, Goldman said on June 17. Morgan Stanley's trading revenue in the period dropped to $2.5 billion, while Lehman lost $2.98 billion from fixed-income trading alone.

Goldman's average value-at-risk, a measure of how much the firm estimates it could lose in a single day, rose to $184 million in the second quarter from $157 million in the previous period. Losses exceeded the value-at-risk forecast three times in the quarter, compared with two times in the first quarter.

While Goldman's value-at-risk was higher in the quarter than Morgan Stanley or Lehman's, it represented a smaller percentage of shareholder equity than at Lehman, according to company data.

Level 3 Assets

Goldman's average VaR of $184 million was about 0.41 percent of the firm's shareholder equity. Lehman's $123 million was 0.47 percent of stockholders' equity, and Morgan Stanley's VaR of $112 million amounted to 0.32 percent.

Critics of value-at-risk as a technique for gauging losses say that because it's derived from historical trading patterns, VaR fails to account for fallout from unprecedented market disruptions. The method didn't predict the record losses at Morgan Stanley, Merrill Lynch & Co. and Citigroup Inc. during the last 12 months.

Goldman's hard-to-value Level 3 assets shrank 19 percent to $78.1 billion at the end of May from $96.4 billion in February, today's filing showed. They totaled $69.2 billion in November. The ratio of these so-called Level 3 assets to the firm's total assets fell to 7 percent from 8.1 percent in the first-quarter.

Separately, Goldman lost Driss Ben-Brahim, a London-based managing director in its proprietary-trading group, to GLG Partners Inc., the hedge-fund company said in a statement today. Ben-Brahim, 42, will develop a ``special situations platform'' at GLG, the statement said. Ben-Brahim joined Goldman more than a decade ago and helped run foreign exchange proprietary trading.

``There's no shortage of talent at Goldman Sachs,'' Hintz said about Ben-Brahim's departure. Still ``I think it's particularly good for GLG.''

To contact the reporters on this story: Joyce Moullakis in London at jmoullakis@bloomberg.net; Christine Harper in New York at charper@bloomberg.net.

Last Updated: July 7, 2008 17:07 EDT