Goldman Sachs 2012 Annual Report Download - page 181

Notes to Consolidated Financial Statements
The table below presents certain information about
derivatives that meet the definition of a guarantee and
certain other guarantees. The maximum payout in the table
below is based on the notional amount of the contract and
therefore does not represent anticipated losses. See Note 7
for further information about credit derivatives that meet
the definition of a guarantee which are not included below.
Because derivatives are accounted for at fair value, the
carrying value is considered the best indication of payment/
performance risk for individual contracts. However, the
carrying values below exclude the effect of a legal right of
setoff that may exist under an enforceable netting
agreement and the effect of netting of cash collateral posted
under credit support agreements.
As of December 2012
Maximum Payout/Notional Amount by Period of Expiration
in millions
Carrying
Value of
Net Liability 2013
2014-
2015
2016-
2017
2018-
Thereafter Total
Derivatives 1$8,581 $339,460 $213,012 $49,413 $61,264 $663,149
Securities lending indemnifications 2— 27,123 — — — 27,123
Other financial guarantees 3152 904 442 1,195 938 3,479
1. These derivatives are risk managed together with derivatives that do not meet the definition of a guarantee, and therefore these amounts do not reflect the firm’s
overall risk related to its derivative activities. As of December 2011, the carrying value of the net liability related to derivative guarantees was $11.88 billion.
2. Collateral held by the lenders in connection with securities lending indemnifications was $27.89 billion as of December 2012. Because the contractual nature of
these arrangements requires the firm to obtain collateral with a market value that exceeds the value of the securities lent to the borrower, there is minimal
performance risk associated with these guarantees.
3. Other financial guarantees excludes certain commitments to issue standby letters of credit that are included in “Commitments to extend credit.” See table in
“Commitments” above for a summary of the firm’s commitments. As of December 2011, the carrying value of the net liability related to other financial guarantees
was $205 million.
Goldman Sachs 2012 Annual Report 179