Goldman Sachs 2012 Annual Report Download - page 131

Notes to Consolidated Financial Statements
The table below presents the fair value of derivatives on a net-by-counterparty basis.
As of December 2012 As of December 2011
in millions
Derivative
Assets
Derivative
Liabilities
Derivative
Assets
Derivative
Liabilities
Exchange-traded $ 3,772 $ 2,937 $ 5,880 $ 3,172
Over-the-counter 67,404 47,490 74,148 55,281
Total $71,176 $50,427 $80,028 $58,453
The table below presents the fair value and the notional
amount of derivative contracts by major product type on a
gross basis. Gross fair values in the table below exclude the
effects of both netting of receivable balances with payable
balances under enforceable netting agreements, and netting
of cash collateral received or posted under credit support
agreements, and therefore are not representative of the
firm’s exposure. Notional amounts, which represent the
sum of gross long and short derivative contracts, provide an
indication of the volume of the firm’s derivative activity;
however, they do not represent anticipated losses.
As of December 2012 As of December 2011
in millions
Derivative
Assets
Derivative
Liabilities
Notional
Amount
Derivative
Assets
Derivative
Liabilities
Notional
Amount
Derivatives not accounted for as hedges
Interest rates $ 584,584 $ 545,605 $34,891,763 $ 624,189 $ 582,608 $38,111,097
Credit 85,816 74,927 3,615,757 150,816 130,659 4,032,330
Currencies 72,128 60,808 3,833,114 88,654 71,736 3,919,525
Commodities 23,320 24,350 774,115 35,966 38,050 799,925
Equities 49,483 43,681 1,202,181 64,135 51,928 1,433,087
Subtotal 815,331 749,371 44,316,930 963,760 874,981 48,295,964
Derivatives accounted for as hedges
Interest rates 23,772 66 128,302 21,981 13 109,860
Currencies 21 86 8,452 124 21 8,307
Subtotal 23,793 152 136,754 22,105 34 118,167
Gross fair value/notional amount of derivatives $ 839,124 $ 749,523 $44,453,684 $ 985,865 $ 875,015 $48,414,131
Counterparty netting 1(668,460) (668,460) (787,733) (787,733)
Cash collateral netting 2(99,488) (30,636) (118,104) (28,829)
Fair value included in financial instruments owned $ 71,176 $ 80,028
Fair value included in financial instruments sold,
but not yet purchased $ 50,427 $ 58,453
1. Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements.
2. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.
Goldman Sachs 2012 Annual Report 129