Goldman Sachs 2015 Annual Report Download - page 150

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Notes to Consolidated Financial Statements
The table below presents the gross fair value and the
notional amount of derivative contracts by major product
type, the amounts of counterparty and cash collateral
netting in the consolidated statements of financial
condition, as well as cash and securities collateral posted
and received under enforceable credit support agreements
that do not meet the criteria for netting under U.S. GAAP.
In the table below:
‰Gross fair values exclude the effects of both counterparty
netting and collateral, and therefore are not
representative of the firm’s exposure.
‰Where the firm has received or posted collateral under
credit support agreements, but has not yet determined
such agreements are enforceable, the related collateral has
not been netted.
‰Notional amounts, which represent the sum of gross long
and short derivative contracts, provide an indication of
the volume of the firm’s derivative activity and do not
represent anticipated losses.
As of December 2015 As of December 2014
$ in millions
Derivative
Assets
Derivative
Liabilities
Notional
Amount
Derivative
Assets
Derivative
Liabilities
Notional
Amount
Derivatives not accounted for as hedges
Exchange-traded $ 310 $ 280 $ 4,402,843 $ 228 $ 238 $ 3,151,865
OTC-cleared 211,272 192,401 20,738,687 351,801 330,298 30,408,636
Bilateral OTC 345,516 321,458 12,953,830 434,333 409,071 13,552,017
Total interest rates 557,098 514,139 38,095,360 786,362 739,607 47,112,518
OTC-cleared 5,203 5,596 339,244 5,812 5,663 378,099
Bilateral OTC 35,679 31,179 1,552,806 49,036 44,491 2,122,859
Total credit 40,882 36,775 1,892,050 54,848 50,154 2,500,958
Exchange-traded 183 204 13,073 69 69 17,214
OTC-cleared 165 128 14,617 100 96 13,304
Bilateral OTC 96,660 99,235 5,461,940 109,747 108,442 5,535,685
Total currencies 97,008 99,567 5,489,630 109,916 108,607 5,566,203
Exchange-traded 2,997 3,623 203,465 7,683 7,166 321,378
OTC-cleared 232 233 2,839 313 315 3,036
Bilateral OTC 17,445 17,215 230,750 20,994 21,065 345,065
Total commodities 20,674 21,071 437,054 28,990 28,546 669,479
Exchange-traded 9,372 7,908 528,419 9,592 9,636 541,711
Bilateral OTC 37,788 38,290 927,078 49,339 49,013 983,784
Total equities 47,160 46,198 1,455,497 58,931 58,649 1,525,495
Subtotal 762,822 717,750 47,369,591 1,039,047 985,563 57,374,653
Derivatives accounted for as hedges
OTC-cleared 4,567 85 51,446 2,713 228 31,109
Bilateral OTC 6,660 20 62,022 11,559 34 95,389
Total interest rates 11,227 105 113,468 14,272 262 126,498
OTC-cleared 24 6 1,333 12 3 1,205
Bilateral OTC 116 27 8,615 113 13 8,431
Total currencies 140 33 9,948 125 16 9,636
Subtotal 11,367 138 123,416 14,397 278 136,134
Total gross fair value/notional amount of derivatives $ 774,189 1$ 717,888 1$47,493,007 $1,053,444 1$ 985,841 1$57,510,787
Amounts that have been offset in the consolidated
statements of financial condition
Exchange-traded $ (9,398) $ (9,398) $ (15,039) $ (15,039)
OTC-cleared (194,928) (194,928) (335,792) (335,792)
Bilateral OTC (426,841) (426,841) (535,839) (535,839)
Total counterparty netting (631,167) (631,167) (886,670) (886,670)
OTC-cleared (26,151) (3,305) (24,801) (738)
Bilateral OTC (62,981) (36,645) (78,703) (35,417)
Total cash collateral netting (89,132) (39,950) (103,504) (36,155)
Total counterparty and cash collateral netting $(720,299) $(671,117) $ (990,174) $(922,825)
Amounts included in financial instruments owned/financial
instruments sold, but not yet purchased
Exchange-traded $ 3,464 $ 2,617 $ 2,533 $ 2,070
OTC-cleared 384 216 158 73
Bilateral OTC 50,042 43,938 60,579 60,873
Total amounts included in the consolidated statements
of financial condition $ 53,890 $ 46,771 $ 63,270 $ 63,016
Amounts that have not been offset in the consolidated
statements of financial condition
Cash collateral received/posted $ (498) $ (1,935) $ (980) $ (2,940)
Securities collateral received/posted (14,008) (10,044) (14,742) (18,159)
Total $ 39,384 $ 34,792 $ 47,548 $ 41,917
1. Includes derivative assets and derivative liabilities of $17.09 billion and $18.16 billion, respectively, as of December 2015, and derivative assets and derivative
liabilities of $25.93 billion and $26.19 billion, respectively, as of December 2014, which are not subject to an enforceable netting agreement or are subject to a
netting agreement that the firm has not yet determined to be enforceable.
138 Goldman Sachs 2015 Form 10-K