Goldman Sachs 2000 Annual Report Download - page 61

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Note 6/Long-Term Borrowings
The firm’s long-term borrowings are set forth below:
As of November
(in millions) 2000 1999
Fixed Rate Obligations(1)
U.S. dollar $11,825 $ 8,236
Non-U.S. dollar 3,238 1,980
Floating Rate Obligations(2)
U.S. dollar 13,873 9,697
Non-U.S. dollar 2,459 1,039
Total(3) $31,395 $20,952
(1) During 2000 and 1999, interest rates on U.S. dollar fixed rate obligations ranged from 5.75% to 12.00%, and from 5.56% to 12.00%,
respectively. During 2000 and 1999, non-U.S. dollar fixed rate obligations interest rates ranged from 0.55% to 8.88%, and from 0.85%
to 9.51%, respectively.
(2) Floating interest rates generally are based on LIBOR, the U.S. treasury bill rate or the federal funds rate. Certain equity-linked and indexed
instruments are included in floating rate obligations.
(3) Long-term borrowings have maturities that range from one to 30 years from the date of issue.
Long-term borrowings by maturity date are set forth below:
As of November
2000 1999
U.S. Non-U.S. U.S. Non-U.S.
(in millions) Dollar Dollar Total Dollar Dollar Total
Maturity Dates
2000 $— $—$—$ 2,527 $ 114 $ 2,641
2001 3,506 — 3,506 3,145 327 3,472
2002 6,041 804 6,845 1,638 594 2,232
2003 2,853 341 3,194 1,522 404 1,926
2004 2,011 116 2,127 1,857 134 1,991
2005 4,256 2,562 6,818 1,421 172 1,593
2006–Thereafter 7,031 1,874 8,905 5,823 1,274 7,097
Total $25,698 $5,697 $31,395 $17,933 $3,019 $20,952
59
The firm enters into nontrading derivative contracts, such as
interest rate and currency swap agreements, to effectively
convert a substantial portion of its fixed rate long-term
borrowings into U.S. dollar-based floating rate obligations.
The effective weighted average interest rates for long-term borrowings, after hedging activities, are set forth below:
As of November
2000 1999
($ in millions) Amount Rate Amount Rate
Fixed rate obligations $ 852 10.41% $ 650 10.17%
Floating rate obligations 30,543 6.96 20,302 6.03
Total $31,395 7.06 $20,952 6.16
Accordingly, the aggregate carrying value of these long-
term borrowings and related hedges approximates fair
value.