Goldman Sachs 2015 Annual Report Download - page 157

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Notes to Consolidated Financial Statements
Level 3 Rollforward Commentary
Year Ended December 2015. The net unrealized gain on
level 3 derivatives of $679 million for 2015 was primarily
attributable to gains on certain credit derivatives, reflecting
the impact of wider credit spreads, and changes in foreign
exchange and interest rates.
Transfers into level 3 derivatives during 2015 primarily
reflected transfers of certain credit derivative assets from
level 2, primarily due to unobservable credit spread inputs
becoming significant to the valuations of these derivatives,
and transfers of certain interest rate derivative liabilities
from level 2, primarily due to certain unobservable inputs
becoming significant to the valuations of these derivatives.
Transfers out of level 3 derivatives during 2015 primarily
reflected transfers of certain credit derivative assets to
level 2, principally due to increased transparency and
reduced significance of certain unobservable credit spread
inputs used to value these derivatives.
Year Ended December 2014. The net unrealized loss on
level 3 derivatives of $183 million for 2014 was primarily
attributable to the impact of a decrease in commodity prices
on certain commodity derivatives, a decrease in equity
prices on certain equity derivatives, and the impact of
changes in foreign exchange rates on certain currency
derivatives, largely offset by the impact of tighter credit
spreads and a decrease in interest rates on certain credit
derivatives.
Transfers into level 3 derivatives during 2014 primarily
reflected transfers of certain credit derivative liabilities from
level 2, principally due to unobservable credit spread inputs
becoming significant to the valuation of these derivatives
and transfers of certain equity derivative liabilities from
level 2, primarily due to reduced transparency of volatility
inputs used to value these derivatives.
Transfers out of level 3 derivatives during 2014 primarily
reflected transfers of certain equity derivative liabilities to
level 2, principally due to unobservable correlation inputs
no longer being significant to the valuation of these
derivatives, and transfers of certain credit derivative assets
to level 2, principally due to unobservable credit spread
inputs no longer being significant to the net risk of certain
portfolios.
OTC Derivatives
The tables below present the fair values of OTC derivative
assets and liabilities by tenor and major product type.
OTC Derivatives as of December 2015
$ in millions
Less than
1 Year
1-5
Years
Greater than
5 Years Total
Assets
Interest rates $ 4,231 $23,278 $ 81,401 $ 108,910
Credit 1,664 4,547 5,842 12,053
Currencies 14,646 8,936 6,353 29,935
Commodities 6,228 3,897 231 10,356
Equities 4,806 7,091 1,550 13,447
Counterparty netting
within tenors (3,660) (5,751) (5,270) (14,681)
Subtotal $27,915 $41,998 $ 90,107 $ 160,020
Cross-tenor counterparty
netting (20,462)
Cash collateral netting (89,132)
Total $ 50,426
Liabilities
Interest rates $ 5,323 $13,945 $ 35,592 $ 54,860
Credit 1,804 4,704 1,437 7,945
Currencies 12,378 9,940 10,048 32,366
Commodities 4,464 3,136 2,526 10,126
Equities 5,154 5,802 2,994 13,950
Counterparty netting
within tenors (3,660) (5,751) (5,270) (14,681)
Subtotal $25,463 $31,776 $ 47,327 $ 104,566
Cross-tenor counterparty
netting (20,462)
Cash collateral netting (39,950)
Total $ 44,154
OTC Derivatives as of December 2014
$ in millions
Less than
1 Year
1-5
Years
Greater than
5 Years Total
Assets
Interest rates $ 7,064 $25,049 $ 90,553 $ 122,666
Credit 1,696 6,093 5,707 13,496
Currencies 17,835 9,897 6,386 34,118
Commodities 8,298 4,068 161 12,527
Equities 4,771 9,285 3,750 17,806
Counterparty netting
within tenors (4,479) (7,016) (4,058) (15,553)
Subtotal $35,185 $47,376 $102,499 $ 185,060
Cross-tenor counterparty
netting (20,819)
Cash collateral netting (103,504)
Total $ 60,737
Liabilities
Interest rates $ 7,001 $17,649 $ 37,242 $ 61,892
Credit 2,154 4,942 1,706 8,802
Currencies 18,549 7,667 6,482 32,698
Commodities 5,686 4,105 2,810 12,601
Equities 7,064 6,845 3,571 17,480
Counterparty netting
within tenors (4,479) (7,016) (4,058) (15,553)
Subtotal $35,975 $34,192 $ 47,753 $ 117,920
Cross-tenor counterparty
netting (20,819)
Cash collateral netting (36,155)
Total $ 60,946
Goldman Sachs 2015 Form 10-K 145