Goldman Sachs 2015 Annual Report Download - page 156

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Notes to Consolidated Financial Statements
Level 3 Rollforward
The table below presents changes in fair value for all
derivatives categorized as level 3 as of the end of the year. In
the table below:
‰If a derivative was transferred to level 3 during a
reporting period, its entire gain or loss for the period is
included in level 3. Transfers between levels are reported
at the beginning of the reporting period in which they
occur.
‰Positive amounts for transfers into level 3 and negative
amounts for transfers out of level 3 represent net transfers
of derivative assets. Negative amounts for transfers into
level 3 and positive amounts for transfers out of level 3
represent net transfers of derivative liabilities.
‰A derivative with level 1 and/or level 2 inputs is classified
in level 3 in its entirety if it has at least one significant
level 3 input.
‰If there is one significant level 3 input, the entire gain or
loss from adjusting only observable inputs (i.e., level 1
and level 2 inputs) is classified as level 3.
‰Gains or losses that have been reported in level 3 resulting
from changes in level 1 or level 2 inputs are frequently
offset by gains or losses attributable to level 1 or level 2
derivatives and/or level 1, level 2 and level 3 cash
instruments. As a result, gains/(losses) included in the
level 3 rollforward below do not necessarily represent the
overall impact on the firm’s results of operations,
liquidity or capital resources.
‰Net unrealized gains/(losses) relate to instruments that
were still held at year-end.
‰For the year ended December 2015, the net realized and
unrealized gains on level 3 derivative assets and liabilities
of $746 million (reflecting $67 million of realized gains
and $679 million of unrealized gains) include gains of
approximately $518 million and $228 million reported in
“Market making” and “Other principal transactions”
respectively.
‰For the year ended December 2014, the net realized and
unrealized losses on level 3 derivative assets and liabilities
of $306 million (reflecting $123 million of realized losses
and $183 million of unrealized losses) include losses of
approximately $276 million and $30 million reported in
“Market making” and “Other principal transactions”
respectively.
‰See “Level 3 Rollforward Commentary” below for an
explanation of the net unrealized gains/(losses) on level 3
derivative assets and liabilities and the activity related to
transfers into and out of level 3.
Level 3 Derivative Assets and Liabilities at Fair Value
$ in millions
Asset/
(liability)
balance,
beginning
of year
Net
realized
gains/
(losses)
Net
unrealized
gains/
(losses) Purchases Sales Settlements
Transfers
into
level 3
Transfers
out of
level 3
Asset/
(liability)
balance,
end of
year
Year Ended December 2015
Interest rates — net $ (40) $ (53) $ 66 $ 3 $ (31) $ (144) $(149) $ (50) $ (398)
Credit — net 3,530 92 804 80 (237) (640) 206 (1,042) 2,793
Currencies — net (267) (49) 40 32 (10) 162 (1) 59 (34)
Commodities — net (1,142) 34 (52) — (234) 1,034 (35) 133 (262)
Equities — net (1,375) 43 (179) 125 (1,352) 1,086 (25) 73 (1,604)
Total derivatives — net $ 706 $ 67 $ 679 $240 $(1,864) $ 1,498 $ (4) $ (827) $ 495
Year Ended December 2014
Interest rates — net $ (86) $ (50) $ (101) $ 97 $ (2) $ 92 $ 14 $ (4) $ (40)
Credit — net 4,176 64 1,625 151 (138) (1,693) (194) (461) 3,530
Currencies — net (200) (70) (175) 19 — 172 (9) (4) (267)
Commodities — net 60 (19) (1,096) 38 (272) 95 84 (32) (1,142)
Equities — net (959) (48) (436) 344 (979) 270 (115) 548 (1,375)
Total derivatives — net $ 2,991 $(123) $ (183) $649 $(1,391) $(1,064) $(220) $ 47 $ 706
144 Goldman Sachs 2015 Form 10-K