Goldman Sachs 2015 Annual Report Download - page 155

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Notes to Consolidated Financial Statements
Fair Value of Derivatives by Level
The tables below present the fair value of derivatives on a
gross basis by level and major product type as well as the
impact of netting. In the tables below:
‰The gross fair values exclude the effects of both
counterparty netting and collateral netting, and therefore
are not representative of the firm’s exposure.
‰Counterparty netting is reflected in each level to the
extent that receivable and payable balances are netted
within the same level and is included in “Counterparty
netting within levels.” Where the counterparty netting is
across levels, the netting is reflected in “Cross-level
counterparty netting.”
‰Derivative assets are shown as positive amounts and
derivative liabilities are shown as negative amounts.
Derivatives at Fair Value as of December 2015
$ in millions Level 1 Level 2 Level 3 Total
Assets
Interest rates $ 4 $ 567,761 $ 560 $ 568,325
Credit — 34,832 6,050 40,882
Currencies — 96,959 189 97,148
Commodities — 20,087 587 20,674
Equities 46 46,491 623 47,160
Gross fair value of
derivative assets 50 766,130 8,009 774,189
Counterparty netting
within levels — (627,548) (2,139) (629,687)
Subtotal $ 50 $ 138,582 $ 5,870 $ 144,502
Cross-level counterparty
netting (1,480)
Cash collateral netting (89,132)
Fair value included in
financial instruments
owned $ 53,890
Liabilities
Interest rates $(11) $(513,275) $ (958) $(514,244)
Credit — (33,518) (3,257) (36,775)
Currencies — (99,377) (223) (99,600)
Commodities — (20,222) (849) (21,071)
Equities (18) (43,953) (2,227) (46,198)
Gross fair value of
derivative liabilities (29) (710,345) (7,514) (717,888)
Counterparty netting
within levels — 627,548 2,139 629,687
Subtotal $(29) $ (82,797) $(5,375) $ (88,201)
Cross-level counterparty
netting 1,480
Cash collateral netting 39,950
Fair value included in
financial instruments sold,
but not yet purchased $ (46,771)
Derivatives at Fair Value as of December 2014
$ in millions Level 1 Level 2 Level 3 Total
Assets
Interest rates $ 123 $ 800,028 $ 483 $ 800,634
Credit — 47,190 7,658 54,848
Currencies — 109,891 150 110,041
Commodities — 28,124 866 28,990
Equities 175 58,122 634 58,931
Gross fair value of
derivative assets 298 1,043,355 9,791 1,053,444
Counterparty netting within
levels — (882,841) (2,717) (885,558)
Subtotal $ 298 $ 160,514 $ 7,074 $ 167,886
Cross-level counterparty
netting (1,112)
Cash collateral netting (103,504)
Fair value included in
financial instruments
owned $ 63,270
Liabilities
Interest rates $ (14) $ (739,332) $ (523) $ (739,869)
Credit — (46,026) (4,128) (50,154)
Currencies — (108,206) (417) (108,623)
Commodities — (26,538) (2,008) (28,546)
Equities (94) (56,546) (2,009) (58,649)
Gross fair value of
derivative liabilities (108) (976,648) (9,085) (985,841)
Counterparty netting
within levels — 882,841 2,717 885,558
Subtotal $(108) $ (93,807) $(6,368) $ (100,283)
Cross-level counterparty
netting 1,112
Cash collateral netting 36,155
Fair value included in
financial instruments sold,
but not yet purchased $ (63,016)
Goldman Sachs 2015 Form 10-K 143