Goldman Sachs 2013 Annual Report Download - page 98

Management’s Discussion and Analysis
Financial Statement Linkages to Market Risk
Measures
The firm employs a variety of risk measures, each described
in the respective sections above, to monitor market risk
across the consolidated statements of financial condition
and consolidated statements of earnings. The related gains
and losses on these positions are included in “Market
making,” “Other principal transactions,” “Interest
income” and “Interest expense.” The table below presents
certain categories in our consolidated statement of financial
condition and the market risk measures used to assess those
assets and liabilities. Certain categories on the consolidated
statement of financial condition are incorporated in more
than one risk measure.
Categories on the
Consolidated Statement of
Financial Condition Included
in Market Risk Measure Market Risk Measure
Securities segregated for
regulatory and other purposes,
at fair value
‰VaR
Collateralized agreements
‰Securities purchased under
agreements to resell, at
fair value
‰Securities borrowed, at
fair value
‰VaR
Receivables from customers and
counterparties
‰Certain secured loans, at
fair value
‰VaR
‰Loans held for investment,
at amortized cost ‰Interest Rate Sensitivity
Financial instruments owned,
at fair value
‰VaR
‰10% Sensitivity Measures
‰Credit Spread
Sensitivity — Derivatives
Collateralized financings
‰Securities sold under
agreements to repurchase,
at fair value
‰Securities loaned, at
fair value
‰Other secured financings,
at fair value
‰VaR
Financial instruments sold, but
not yet purchased, at fair value
‰VaR
‰Credit Spread
Sensitivity — Derivatives
Unsecured short-term
borrowings and unsecured
long-term borrowings,
at fair value
‰VaR
‰Credit Spread
Sensitivity — Borrowings
Other Market Risk Considerations
In addition, as of December 2013 and December 2012, we
had commitments and held loans for which we have
obtained credit loss protection from Sumitomo Mitsui
Financial Group, Inc. See Note 18 to the consolidated
financial statements for further information about such
lending commitments.
Additionally, we make investments accounted for under the
equity method and we also make direct investments in real
estate, both of which are included in “Other assets” in the
consolidated statements of financial condition. Direct
investments in real estate are accounted for at cost less
accumulated depreciation. See Note 12 to the consolidated
financial statements for information on “Other assets.”
96 Goldman Sachs 2013 Annual Report