Goldman Sachs 2013 Annual Report Download - page 154

Notes to Consolidated Financial Statements
See below for information about the significant inputs used
to value other financial assets and financial liabilities at fair
value, including the ranges of significant unobservable
inputs used to value the level 3 instruments within these
categories. These ranges represent the significant
unobservable inputs that were used in the valuation of each
type of other financial assets and financial liabilities at fair
value. The ranges and weighted averages of these inputs are
not representative of the appropriate inputs to use when
calculating the fair value of any one instrument. For
example, the highest yield presented below for resale and
repurchase agreements is appropriate for valuing a specific
agreement in that category but may not be appropriate for
valuing any other agreements in that category. Accordingly,
the ranges of inputs presented below do not represent
uncertainty in, or possible ranges of, fair value
measurements of the firm’s level 3 other financial assets and
financial liabilities.
Resale and Repurchase Agreements and Securities
Borrowed and Loaned. The significant inputs to the
valuation of resale and repurchase agreements and
securities borrowed and loaned are funding spreads, the
amount and timing of expected future cash flows and
interest rates. The ranges of significant unobservable inputs
used to value level 3 resale and repurchase agreements are
as follows:
As of December 2013:
‰Yield: 1.3% to 3.9% (weighted average: 1.4%)
‰Duration: 0.2 to 2.7 years (weighted average: 2.5 years)
As of December 2012:
‰Yield: 1.7% to 5.4% (weighted average: 1.9%)
‰Duration: 0.4 to 4.5 years (weighted average: 4.1 years)
Generally, increases in yield or duration, in isolation, would
result in a lower fair value measurement. Due to the
distinctive nature of each of the firm’s level 3 resale and
repurchase agreements, the interrelationship of inputs is not
necessarily uniform across such agreements.
See Note 9 for further information about
collateralized agreements.
Other Secured Financings. The significant inputs to the
valuation of other secured financings at fair value are the
amount and timing of expected future cash flows, interest
rates, funding spreads, the fair value of the collateral
delivered by the firm (which is determined using the
amount and timing of expected future cash flows, market
prices, market yields and recovery assumptions) and the
frequency of additional collateral calls. The ranges of
significant unobservable inputs used to value level 3 other
secured financings are as follows:
As of December 2013:
‰Funding spreads: 40 bps to 250 bps (weighted average:
162 bps)
‰Yield: 0.9% to 14.3% (weighted average: 5.0%)
‰Duration: 0.8 to 16.1 years (weighted average: 3.7 years)
As of December 2012:
‰Yield: 0.3% to 20.0% (weighted average: 4.2%)
‰Duration: 0.3 to 10.8 years (weighted average: 2.4 years)
Generally, increases in funding spreads, yield or duration,
in isolation, would result in a lower fair value
measurement. Due to the distinctive nature of each of the
firm’s level 3 other secured financings, the interrelationship
of inputs is not necessarily uniform across such financings.
See Note 9 for further information about
collateralized financings.
152 Goldman Sachs 2013 Annual Report