Goldman Sachs 2013 Annual Report Download - page 141

Notes to Consolidated Financial Statements
Level 3 Derivative
Product Type
Net Level 3
Assets/(Liabilities)
as of December 2012
(in millions)
Valuation Techniques and
Significant Unobservable Inputs
Range of Significant Unobservable
Inputs (Average / Median) as of
December 2012
Interest rates $(355) Option pricing models:
Correlation 2
Volatility
22% to 97% (67% / 68%)
37 bpa to 59 bpa (48 bpa / 47 bpa)
Credit $6,228 1Option pricing models, correlation models and
discounted cash flows models:
Correlation 2
Credit spreads
Recovery rates
5% to 95% (50% / 50%)
9 bps to 2,341 bps
(225 bps / 140 bps) 3
15% to 85% (54% / 53%)
Currencies $35 Option pricing models:
Correlation 265% to 87% (76% / 79%)
Commodities $(304) 1Option pricing models and discounted cash
flows models:
Volatility
Spread per MMBTU of natural gas
Price per megawatt hour of power
Price per barrel of oil
13% to 53% (30% / 29%)
$(0.61) to $6.07 ($0.02 / $0.00)
$17.30 to $57.39 ($33.17 / $32.80)
$86.64 to $98.43 ($92.76 / $93.62)
Equities $(1,248) Option pricing models:
Correlation 2
Volatility
48% to 98% (68% / 67%)
15% to 73% (31% / 30%)
1. The fair value of any one instrument may be determined using multiple valuation techniques. For example, option pricing models and discounted cash flows models
are typically used together to determine fair value. Therefore, the level 3 balance encompasses both of these techniques.
2. The range of unobservable inputs for correlation across derivative product types (i.e., cross-asset correlation) was (51)% to 66% (Average: 30% / Median: 35%) as of
December 2012.
3. The difference between the average and the median for the credit spreads input indicates that the majority of the inputs fall in the lower end of the range.
Goldman Sachs 2013 Annual Report 139