Goldman Sachs 2009 Annual Report Download - page 112

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Goldman Sachs 2009 Annual Report
110
Notes to Consolidated Financial Statements
Impact of Credit Spreads
On an ongoing basis, the  rm realizes gains or losses relating to changes in credit risk on derivative contracts through changes in
credit mitigants or the sale or unwind of the contracts. The net gain/(loss) attributable to the impact of changes in credit exposure
and credit spreads on derivative contracts (including derivative assets and liabilities and related hedges) was $572million,
$(137)million, $86million and $(188)million for the years ended December2009, November2008 and November2007 and one
month ended December2008, respectively.
The following table sets forth the net gains/(losses) attributable to the impact of changes in the  rm’s own credit spreads on
borrowings for which the fair value option was elected. The  rm calculates the fair value of borrowings by discounting future
cash ows at a rate which incorporates the  rm’s observable credit spreads.
Year Ended One Month Ended
December November November December
(inmillions) 2009 2008 2007 2008
Net gains/(losses) including hedges $(1,103) $1,127 $203 $(113)
Net gains/(losses) excluding hedges (1,116) 1,196 216 (114)
The net gain/(loss) attributable to changes in instrument-speci c credit spreads on loans and loan commitments for which
the fair value option was elected was $1.65billion, $(4.61)billion and $(2.06)billion for the years ended December2009
and November2008 and one month ended December2008, respectively. Such gains/(losses) were not material for the year
ended November2007. The  rm attributes changes in the fair value of  oating rate loans and loan commitments to changes in
instrument-speci c credit spreads. For  xed rate loans and loan commitments, the  rm allocates changes in fair value between
interest rate-related changes and credit spread-related changes based on changes in interest rates. See below for additional details
regarding the fair value option.