Goldman Sachs 2015 Annual Report Download - page 159

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Notes to Consolidated Financial Statements
The tables below present certain information about credit
derivatives. In the tables below:
‰Fair values exclude the effects of both netting of
receivable balances with payable balances under
enforceable netting agreements, and netting of cash
received or posted under enforceable credit support
agreements, and therefore are not representative of the
firm’s credit exposure.
‰Tenor is based on expected duration for mortgage-related
credit derivatives and on remaining contractual maturity
for other credit derivatives.
‰The credit spread on the underlier, together with the tenor
of the contract, are indicators of payment/performance
risk. The firm is less likely to pay or otherwise be required
to perform where the credit spread and the tenor are lower.
‰Offsetting purchased credit derivatives represent the
notional amount of purchased credit derivatives that
economically hedge written credit derivatives with
identical underliers and are included in “Offsetting.”
‰Other purchased credit derivatives represent the notional
amount of all other purchased credit derivatives not
included in “Offsetting.”
As of December 2015
Credit Spread on Underlier (basis points)
$ in millions 0 - 250
251 -
500
501 -
1,000
Greater
than
1,000 Total
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
Less than 1 year $ 240,468 $ 2,859 $ 2,881 $ 10,533 $ 256,741
1 – 5 years 514,986 42,399 16,327 26,271 599,983
Greater than 5 years 57,054 6,481 1,567 1,651 66,753
Total $ 812,508 $51,739 $20,775 $ 38,455 $ 923,477
Maximum Payout/Notional Amount of Purchased Credit Derivatives
Offsetting $ 722,436 $46,313 $19,556 $ 33,266 $ 821,571
Other 132,757 6,383 3,372 4,598 147,110
Fair Value of Written Credit Derivatives
Asset $ 17,110 $ 924 $108 $190 $ 18,332
Liability 2,756 2,596 1,942 12,485 19,779
Net asset/(liability) $ 14,354 $ (1,672) $ (1,834) $(12,295) $ (1,447)
As of December 2014
Credit Spread on Underlier (basis points)
$ in millions 0 - 250
251 -
500
501 -
1,000
Greater
than
1,000 Total
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
Less than 1 year $ 261,591 $ 7,726 $ 8,449 $ 8,728 $ 286,494
1 – 5 years 775,784 37,255 18,046 26,834 857,919
Greater than 5 years 68,830 5,042 1,309 1,279 76,460
Total $1,106,205 $50,023 $27,804 $ 36,841 $1,220,873
Maximum Payout/Notional Amount of Purchased Credit Derivatives
Offsetting $1,012,874 $41,657 $26,240 $ 33,112 $1,113,883
Other 152,465 8,426 1,949 3,499 166,339
Fair Value of Written Credit Derivatives
Asset $ 28,004 $ 1,542 $ 112 $ 82 $ 29,740
Liability 3,629 2,266 1,909 13,943 21,747
Net asset/(liability) $ 24,375 $ (724) $ (1,797) $(13,861) $ 7,993
Impact of Credit Spreads on Derivatives
On an ongoing basis, the firm realizes gains or losses
relating to changes in credit risk through the unwind of
derivative contracts and changes in credit mitigants.
The net gain/(loss), including hedges, attributable to the
impact of changes in credit exposure and credit spreads
(counterparty and the firm’s) on derivatives was $9 million
for 2015, $135 million for 2014 and $(66) million for
2013.
Bifurcated Embedded Derivatives
The table below presents the fair value and the notional
amount of derivatives that have been bifurcated from their
related borrowings. These derivatives, which are recorded
at fair value, primarily consist of interest rate, equity and
commodity products and are included in “Unsecured short-
term borrowings” and “Unsecured long-term borrowings”
with the related borrowings. See Note 8 for further
information.
As of December
$ in millions 2015 2014
Fair value of assets $ 466 $ 390
Fair value of liabilities 794 690
Net liability $ 328 $ 300
Notional amount $7,869 $7,735
Goldman Sachs 2015 Form 10-K 147