Goldman Sachs 2013 Annual Report Download - page 162

Notes to Consolidated Financial Statements
Long-Term Debt Instruments
The aggregate contractual principal amount of long-term
other secured financings for which the fair value option was
elected exceeded the related fair value by $154 million and
$115 million as of December 2013 and December 2012,
respectively. The aggregate contractual principal amount of
unsecured long-term borrowings for which the fair value
option was elected exceeded the related fair value by
$92 million as of December 2013, whereas the fair value
exceeded the related aggregate contractual principal
amount by $379 million as of December 2012. The
amounts above include both principal and non-principal-
protected long-term borrowings.
Impact of Credit Spreads on Loans and Lending
Commitments
The estimated net gain/(loss) attributable to changes in
instrument-specific credit spreads on loans and lending
commitments for which the fair value option was elected
was $2.69 billion for 2013, $3.07 billion for 2012 and
$(805) million for 2011. Changes in the fair value of loans
and lending commitments are primarily attributable to
changes in instrument-specific credit spreads. Substantially
all of the firm’s performing loans and lending commitments
are floating-rate.
Impact of Credit Spreads on Borrowings
The table below presents the net gains/(losses) attributable
to the impact of changes in the firm’s own credit spreads on
borrowings for which the fair value option was elected. The
firm calculates the fair value of borrowings by discounting
future cash flows at a rate which incorporates the firm’s
credit spreads.
Year Ended December
in millions 2013 2012 2011
Net gains/(losses) including hedges $(296) $(714) $596
Net gains/(losses) excluding hedges (317) (800) 714
Note 9.
Collateralized Agreements and Financings
Collateralized agreements are securities purchased under
agreements to resell (resale agreements) and securities
borrowed. Collateralized financings are securities sold
under agreements to repurchase (repurchase agreements),
securities loaned and other secured financings. The firm
enters into these transactions in order to, among other
things, facilitate client activities, invest excess cash, acquire
securities to cover short positions and finance certain
firm activities.
Collateralized agreements and financings are presented on a
net-by-counterparty basis when a legal right of setoff exists.
Interest on collateralized agreements and collateralized
financings is recognized over the life of the transaction and
included in “Interest income” and “Interest expense,”
respectively. See Note 23 for further information about
interest income and interest expense.
The table below presents the carrying value of resale and
repurchase agreements and securities borrowed and
loaned transactions.
As of December
in millions 2013 2012
Securities purchased under agreements
to resell 1$161,732 $141,334
Securities borrowed 2164,566 136,893
Securities sold under agreements
to repurchase 1164,782 171,807
Securities loaned 218,745 13,765
1. Substantially all resale agreements and all repurchase agreements are carried
at fair value under the fair value option. See Note 8 for further information
about the valuation techniques and significant inputs used to determine
fair value.
2. As of December 2013 and December 2012, $60.38 billion and $38.40 billion
of securities borrowed and $973 million and $1.56 billion of securities loaned
were at fair value, respectively.
160 Goldman Sachs 2013 Annual Report