Goldman Sachs 2013 Annual Report Download - page 143

Notes to Consolidated Financial Statements
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 as well as the
impact of netting. The gross fair values exclude the effects
of both counterparty netting and collateral netting, and
therefore are not representative of the firm’s exposure.
Counterparty netting is reflected in each level to the extent
that receivable and payable balances are netted within the
same level. Where the netting of receivable and payable
balances is across levels, the counterparty netting is
reflected in “Cross-level netting.” Cash collateral netting is
reflected in “Cash collateral.”
Derivative Assets at Fair Value as of December 2013
in millions Level 1 Level 2 Level 3
Cross-Level
Netting Total
Interest rates $91 $ 652,104 $ 394 $ — $ 652,589
Credit — 52,834 7,917 — 60,751
Currencies — 70,481 350 — 70,831
Commodities — 17,517 526 — 18,043
Equities 3 55,826 890 — 56,719
Gross fair value of derivative assets 94 848,762 10,077 — 858,933
Counterparty netting — (702,703) (3,001) (1,707) (707,411)
Subtotal $94 $ 146,059 $ 7,076 $(1,707) $ 151,522
Cash collateral (93,643)
Fair value included in financial instruments owned $ 57,879
Derivative Liabilities at Fair Value as of December 2013
in millions Level 1 Level 2 Level 3
Cross-Level
Netting Total
Interest rates $93 $ 586,966 $ 480 $ — $ 587,539
Credit — 52,599 3,741 — 56,340
Currencies — 63,165 550 — 63,715
Commodities — 17,762 466 — 18,228
Equities 6 53,617 1,849 — 55,472
Gross fair value of derivative liabilities 99 774,109 7,086 — 781,294
Counterparty netting — (702,703) (3,001) (1,707) (707,411)
Subtotal $99 $ 71,406 $ 4,085 $(1,707) $ 73,883
Cash collateral (24,161)
Fair value included in financial instruments sold,
but not yet purchased $ 49,722
Goldman Sachs 2013 Annual Report 141