Goldman Sachs 2015 Annual Report Download - page 173

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Notes to Consolidated Financial Statements
In the tables above:
‰Substantially all of the gross carrying values of these
arrangements are subject to enforceable netting
agreements.
‰Where the firm has received or posted collateral under
credit support agreements, but has not yet determined
such agreements are enforceable, the related collateral has
not been netted.
Gross Carrying Value of Repurchase Agreements and
Securities Loaned
The tables below present the gross carrying value of
repurchase agreements and securities loaned by class of
collateral pledged.
As of December 2015
$ in millions
Repurchase
agreements
Securities
loaned
Commercial paper, certificates of deposit, time
deposits and other money market instruments $ 806 $ —
U.S. government and federal agency obligations 54,856 101
Non-U.S. government and agency obligations 31,547 2,465
Securities backed by commercial real estate 269 —
Securities backed by residential real estate 2,059 —
Corporate debt securities 6,877 30
State and municipal obligations 609 —
Other debt obligations 101 —
Equities and convertible debentures 17,836 3,583
Total $114,960 $6,179
As of December 2014
$ in millions
Repurchase
agreements
Securities
loaned
Commercial paper, certificates of deposit, time
deposits and other money market instruments $ 900 $ —
U.S. government and federal agency obligations 56,788 123
Non-U.S. government and agency obligations 27,169 3,463
Securities backed by commercial real estate 419 —
Securities backed by residential real estate 1,574 —
Corporate debt securities 8,028 26
State and municipal obligations 984 —
Other debt obligations 562 —
Equities and convertible debentures 18,455 5,538
Total $114,879 $9,150
The table below presents the gross carrying value of
repurchase agreements and securities loaned by maturity
date.
As of December 2015
$ in millions
Repurchase
agreements
Securities
loaned
No stated maturity and overnight $ 30,901 $4,275
2 - 30 days 35,686 1,437
31 - 90 days 16,035 —
91 days - 1 year 25,691 467
Greater than 1 year 6,647 —
Total $114,960 $6,179
In the table above:
‰Repurchase agreements and securities loaned that are
repayable prior to maturity at the option of the firm are
reflected at their contractual maturity dates.
‰Repurchase agreements and securities loaned that are
redeemable prior to maturity at the option of the holders
are reflected at the earliest dates such options become
exercisable.
Other Secured Financings
In addition to repurchase agreements and securities loaned
transactions, the firm funds certain assets through the use of
other secured financings and pledges financial instruments
and other assets as collateral in these transactions. These
other secured financings consist of:
‰Liabilities of consolidated VIEs;
‰Transfers of assets accounted for as financings rather than
sales (primarily collateralized central bank financings,
pledged commodities, bank loans and mortgage whole
loans); and
‰Other structured financing arrangements.
Other secured financings include arrangements that are
nonrecourse. As of December 2015 and December 2014,
nonrecourse other secured financings were $2.20 billion
and $1.94 billion, respectively.
The firm has elected to apply the fair value option to
substantially all other secured financings because the use of
fair value eliminates non-economic volatility in earnings
that would arise from using different measurement
attributes. See Note 8 for further information about other
secured financings that are accounted for at fair value.
Goldman Sachs 2015 Form 10-K 161