Goldman Sachs 2015 Annual Report Download - page 107

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Management’s Discussion and Analysis
The table below presents the fair value of the securities and
certain overnight cash deposits that are included in our
GCLA.
Average for the
Year Ended December
$ in millions 2015 2014
U.S. dollar-denominated $132,415 $134,223
Non-U.S. dollar-denominated 55,333 45,410
Total $187,748 $179,633
The U.S. dollar-denominated GCLA is composed of
(i) unencumbered U.S. government and federal agency
obligations (including highly liquid U.S. federal agency
mortgage-backed obligations), all of which are eligible as
collateral in Federal Reserve open market operations and
(ii) certain overnight U.S. dollar cash deposits. The non-
U.S. dollar-denominated GCLA is composed of only
unencumbered German, French, Japanese and United
Kingdom government obligations and certain overnight
cash deposits in highly liquid currencies. We strictly limit
our GCLA to this narrowly defined list of securities and
cash because they are highly liquid, even in a difficult
funding environment. We do not include other potential
sources of excess liquidity in our GCLA, such as less liquid
unencumbered securities or committed credit facilities.
The table below presents the fair value of our GCLA by
asset class.
Average for the
Year Ended December
$ in millions 2015 2014
Overnight cash deposits $ 61,407 $ 57,177
U.S. government obligations 69,562 62,838
U.S. federal agency obligations, including
highly liquid U.S. federal agency
mortgage-backed obligations 11,413 16,722
German, French, Japanese and United
Kingdom government obligations 45,366 42,896
Total $187,748 $179,633
We maintain our GCLA to enable us to meet current and
potential liquidity requirements of our parent company,
Group Inc., and its subsidiaries. Our Modeled Liquidity
Outflow and Intraday Liquidity Model incorporate a
consolidated requirement for Group Inc. as well as a
standalone requirement for each of our major broker-dealer
and bank subsidiaries. Liquidity held directly in each of
these major subsidiaries is intended for use only by that
subsidiary to meet its liquidity requirements and is assumed
not to be available to Group Inc. unless (i) legally provided
for and (ii) there are no additional regulatory, tax or other
restrictions. In addition, the Modeled Liquidity Outflow
and Intraday Liquidity Model also incorporate a broader
assessment of standalone liquidity requirements for other
subsidiaries and we hold a portion of our GCLA directly at
Group Inc. to support such requirements.
The table below presents the GCLA of Group Inc. and our
major broker-dealer and bank subsidiaries.
Average for the
Year Ended December
$ in millions 2015 2014
Group Inc. $ 41,284 $ 37,699
Major broker-dealer subsidiaries 89,510 89,549
Major bank subsidiaries 56,954 52,385
Total $187,748 $179,633
Other Unencumbered Assets. In addition to our GCLA,
we have a significant amount of other unencumbered cash
and “Financial instruments owned, at fair value,” including
other government obligations, high-grade money market
securities, corporate obligations, marginable equities, loans
and cash deposits not included in our GCLA. The fair value
of these assets averaged $90.36 billion for 2015 and
$94.52 billion for 2014. We do not consider these assets
liquid enough to be eligible for our GCLA.
Goldman Sachs 2015 Form 10-K 95