Goldman Sachs 2015 Annual Report Download - page 172

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Notes to Consolidated Financial Statements
Securities Borrowed and Loaned Transactions
In a securities borrowed transaction, the firm borrows
securities from a counterparty in exchange for cash or
securities. When the firm returns the securities, the
counterparty returns the cash or securities. Interest is
generally paid periodically over the life of the transaction.
In a securities loaned transaction, the firm lends securities
to a counterparty in exchange for cash or securities. When
the counterparty returns the securities, the firm returns the
cash or securities posted as collateral. Interest is generally
paid periodically over the life of the transaction.
The firm receives securities borrowed and makes delivery of
securities loaned. To mitigate credit exposure, the firm
monitors the market value of these securities on a daily
basis, and delivers or obtains additional collateral due to
changes in the market value of the securities, as
appropriate. For securities borrowed transactions, the firm
typically requires collateral with a fair value approximately
equal to the carrying value of the securities borrowed
transaction.
Securities borrowed and loaned within Fixed Income,
Currency and Commodities Client Execution are recorded
at fair value under the fair value option. See Note 8 for
further information about securities borrowed and loaned
accounted for at fair value.
Securities borrowed and loaned within Securities Services
are recorded based on the amount of cash collateral
advanced or received plus accrued interest. As these
arrangements generally can be terminated on demand, they
exhibit little, if any, sensitivity to changes in interest rates.
Therefore, the carrying value of such arrangements
approximates fair value. While these arrangements are
carried at amounts that approximate fair value, they are not
accounted for at fair value under the fair value option or at
fair value in accordance with other U.S. GAAP and
therefore are not included in the firm’s fair value hierarchy
in Notes 6 through 8. Had these arrangements been
included in the firm’s fair value hierarchy, they would have
been classified in level 2 as of December 2015 and
December 2014.
Offsetting Arrangements
The tables below present the gross and net resale and
repurchase agreements and securities borrowed and loaned
transactions, and the related amount of counterparty
netting included in the consolidated statements of financial
condition. The tables below also present the amounts not
offset in the consolidated statements of financial condition,
including counterparty netting that does not meet the
criteria for netting under U.S. GAAP and the fair value of
cash or securities collateral received or posted subject to
enforceable credit support agreements.
As of December 2015
Assets Liabilities
$ in millions
Resale
agreements
Securities
borrowed
Repurchase
agreements
Securities
loaned
Amounts included in
the consolidated
statements of
financial condition
Gross carrying value $ 163,199 $ 180,203 $114,960 $ 6,179
Counterparty netting (28,891) (2,565) (28,891) (2,565)
Total 134,308 1177,638 186,069 3,614
Amounts not offset in
the consolidated
statements of
financial condition
Counterparty netting (4,979) (1,732) (4,979) (1,732)
Collateral (125,561) (167,061) (78,958) (1,721)
Total $ 3,768 $ 8,845 $ 2,132 $ 161
As of December 2014
Assets Liabilities
$ in millions
Resale
agreements
Securities
borrowed
Repurchase
agreements
Securities
loaned
Amounts included in
the consolidated
statements of
financial condition
Gross carrying value $ 160,644 $ 171,384 $114,879 $ 9,150
Counterparty netting (26,664) (3,580) (26,664) (3,580)
Total 133,980 1167,804 188,215 5,570
Amounts not offset in
the consolidated
statements of
financial condition
Counterparty netting (3,834) (641) (3,834) (641)
Collateral (124,528) (154,058) (78,457) (4,882)
Total $ 5,618 $ 13,105 $ 5,924 $ 47
1. As of December 2015 and December 2014, the firm had $13.40 billion and
$6.04 billion, respectively, of securities received under resale agreements,
and $5.54 billion and $7.08 billion, respectively, of securities borrowed
transactions that were segregated to satisfy certain regulatory requirements.
These securities are included in “Cash and securities segregated for
regulatory and other purposes.”
160 Goldman Sachs 2015 Form 10-K