Goldman Sachs 2012 Annual Report Download - page 136
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Notes to Consolidated Financial Statements
Fair Value of Derivatives by Level
The tables below present the fair value of derivatives on a
gross basis by level and major product type. Gross fair
values in the tables below exclude the effects of both netting
of receivable balances with payable balances under
enforceable netting agreements, and netting of cash
received or posted under credit support agreements both in
and across levels of the fair value hierarchy, and therefore
are not representative of the firm’s exposure.
Derivative Assets at Fair Value as of December 2012
in millions Level 1 Level 2 Level 3
Cross-Level
Netting Total
Interest rates $13 $ 608,151 $ 192 $ — $ 608,356
Credit — 74,907 10,909 — 85,816
Currencies — 71,157 992 — 72,149
Commodities — 22,697 623 — 23,320
Equities 43 48,698 742 — 49,483
Gross fair value of derivative assets 56 825,610 13,458 — 839,124
Counterparty netting 1— (662,798) (3,538) (2,124) 3(668,460)
Subtotal $56 $ 162,812 $ 9,920 $(2,124) $ 170,664
Cash collateral netting 2(99,488)
Fair value included in financial instruments owned $ 71,176
Derivative Liabilities at Fair Value as of December 2012
in millions Level 1 Level 2 Level 3
Cross-Level
Netting Total
Interest rates $14 $ 545,110 $ 547 $ — $ 545,671
Credit — 70,246 4,681 — 74,927
Currencies — 59,937 957 — 60,894
Commodities — 23,423 927 — 24,350
Equities 50 41,641 1,990 — 43,681
Gross fair value of derivative liabilities 64 740,357 9,102 — 749,523
Counterparty netting 1— (662,798) (3,538) (2,124) 3(668,460)
Subtotal $64 $ 77,559 $ 5,564 $(2,124) $ 81,063
Cash collateral netting 2(30,636)
Fair value included in financial instruments sold,
but not yet purchased $ 50,427
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.
3. Represents the netting of receivable balances with payable balances for the same counterparty across levels of the fair value hierarchy under enforceable netting
agreements.
134 Goldman Sachs 2012 Annual Report