Goldman Sachs 2013 Annual Report Download - page 137

Notes to Consolidated Financial Statements
The table below presents the fair value and the notional
amount of derivative contracts by major product type on a
gross basis. Gross fair values exclude the effects of both
counterparty netting and collateral, and therefore are not
representative of the firm’s exposure. The table below also
presents the amounts of counterparty netting and cash
collateral that have been offset in the consolidated statements
of financial condition, as well as cash and securities collateral
posted and received under enforceable credit support
agreements that do not meet the criteria for netting under
U.S. GAAP. Where the firm has received or posted collateral
under credit support agreements, but has not yet determined
such agreements are enforceable, the related collateral has
not been netted in the table below. Notional amounts, which
represent the sum of gross long and short derivative
contracts, provide an indication of the volume of the firm’s
derivative activity and do not represent anticipated losses.
As of December 2013 As of December 2012
in millions
Derivative
Assets
Derivative
Liabilities
Notional
Amount
Derivative
Assets Derivative Liabilities Notional Amount
Derivatives not accounted for as hedges
Interest rates $ 641,186 $ 587,110 $44,110,483 $ 584,584 $ 545,605 $34,891,763
Exchange-traded 157 271 2,366,448 47 26 2,502,867
OTC-cleared 1266,230 252,596 24,888,301 8,847 11,011 14,678,349
Bilateral OTC 374,799 334,243 16,855,734 575,690 534,568 17,710,547
Credit 60,751 56,340 2,946,376 85,816 74,927 3,615,757
OTC-cleared 3,943 4,482 348,848 3,359 2,638 304,100
Bilateral OTC 56,808 51,858 2,597,528 82,457 72,289 3,311,657
Currencies 70,757 63,659 4,311,971 72,128 60,808 3,833,114
Exchange-traded 98 122 23,908 31 82 12,341
OTC-cleared 88 97 11,319 14 14 5,487
Bilateral OTC 70,571 63,440 4,276,744 72,083 60,712 3,815,286
Commodities 18,007 18,228 701,101 23,320 24,350 774,115
Exchange-traded 4,323 3,661 346,057 5,360 5,040 344,823
OTC-cleared 11 12 135 26 23 327
Bilateral OTC 13,673 14,555 354,909 17,934 19,287 428,965
Equities 56,719 55,472 1,406,499 49,483 43,681 1,202,181
Exchange-traded 10,544 13,157 534,840 9,409 8,864 441,494
Bilateral OTC 46,175 42,315 871,659 40,074 34,817 760,687
Subtotal 847,420 780,809 53,476,430 815,331 749,371 44,316,930
Derivatives accounted for as hedges
Interest rates 11,403 429 132,879 23,772 66 128,302
OTC-cleared 11,327 27 10,637 —— —
Bilateral OTC 10,076 402 122,242 23,772 66 128,302
Currencies 74 56 9,296 21 86 8,452
OTC-cleared 1 10 869 —— 3
Bilateral OTC 73 46 8,427 21 86 8,449
Commodities 36 — 335 —— —
Exchange-traded — — 23 —— —
Bilateral OTC 36 — 312 —— —
Subtotal 11,513 485 142,510 23,793 152 136,754
Gross fair value/notional amount of derivatives $ 858,933 2$ 781,294 2$53,618,940 $ 839,124 2$ 749,523 2$44,453,684
Amounts that have been offset in the consolidated statements of
financial condition
Counterparty netting (707,411) (707,411) (668,460) (668,460)
Exchange-traded (10,845) (10,845) (11,075) (11,075)
OTC-cleared 1(254,756) (254,756) (11,507) (11,507)
Bilateral OTC (441,810) (441,810) (645,878) (645,878)
Cash collateral (93,643) (24,161) (99,488) (30,636)
OTC-cleared 1(16,353) (2,515) (468) (2,160)
Bilateral OTC (77,290) (21,646) (99,020) (28,476)
Fair value included in financial instruments owned/financial
instruments sold, but not yet purchased $ 57,879 $ 49,722 $ 71,176 $ 50,427
Amounts that have not been offset in the consolidated statements of
financial condition
Cash collateral received/posted (636) (2,806) (812) (2,994)
Securities collateral received/posted (13,225) (10,521) (17,225) (14,262)
Total $ 44,018 $ 36,395 $ 53,139 $ 33,171
1. Pursuant to the rule changes at a clearing organization, effective December 31, 2013, transactions with this clearing organization are no longer considered settled
each day. This change resulted in an increase of gross interest rate derivative assets and liabilities of $251.76 billion and $235.07 billion, respectively, as of
December 2013, and a corresponding increase in counterparty netting and cash collateral with no impact to the consolidated statements of financial condition. The
impact of reflecting transactions with this clearing organization as settled as of December 2012 resulted in a reduction of gross interest rate derivative assets and
liabilities of $315.40 billion and $298.69 billion, respectively.
2. Includes derivative assets and derivative liabilities of $23.18 billion and $23.46 billion, respectively, as of December 2013, and derivative assets and derivative
liabilities of $24.62 billion and $25.73 billion, respectively, as of December 2012, which are not subject to an enforceable netting agreement or are subject to a
netting agreement that the firm has not yet determined to be enforceable.
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