Goldman Sachs 2009 Annual Report Download - page 112
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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 $572million,
$(137)million, $86million and $(188)million for the years ended December2009, November2008 and November2007 and one
month ended December2008, 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
(inmillions) 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 December2009
and November2008 and one month ended December2008, respectively. Such gains/(losses) were not material for the year
ended November2007. 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.