GOLDMAN SACHS GROUP INC | 2013 | FY | 3


                                                     
    As of December 2013         As of December 2012  
in millions    
 
Derivative
Assets
  
  
   
 
Derivative
Liabilities
  
  
   
 
Notional
Amount
  
  
       
 
Derivative
Assets
  
  
   
 
Derivative
Liabilities
  
  
   
 
Notional
Amount
  
  

Derivatives not accounted for as hedges

                                                   

Interest rates

    $ 641,186       $ 587,110       $44,110,483           $ 584,584       $ 545,605       $34,891,763  
   

Exchange-traded

    157       271       2,366,448           47       26       2,502,867  
   

OTC-cleared 1

    266,230       252,596       24,888,301           8,847       11,011       14,678,349  
   

Bilateral OTC

    374,799       334,243       16,855,734           575,690       534,568       17,710,547  
   

Credit

    60,751       56,340       2,946,376           85,816       74,927       3,615,757  
   

OTC-cleared

    3,943       4,482       348,848           3,359       2,638       304,100  
   

Bilateral OTC

    56,808       51,858       2,597,528           82,457       72,289       3,311,657  
   

Currencies

    70,757       63,659       4,311,971           72,128       60,808       3,833,114  
   

Exchange-traded

    98       122       23,908           31       82       12,341  
   

OTC-cleared

    88       97       11,319           14       14       5,487  
   

Bilateral OTC

    70,571       63,440       4,276,744           72,083       60,712       3,815,286  
   

Commodities

    18,007       18,228       701,101           23,320       24,350       774,115  
   

Exchange-traded

    4,323       3,661       346,057           5,360       5,040       344,823  
   

OTC-cleared

    11       12       135           26       23       327  
   

Bilateral OTC

    13,673       14,555       354,909           17,934       19,287       428,965  
   

Equities

    56,719       55,472       1,406,499           49,483       43,681       1,202,181  
   

Exchange-traded

    10,544       13,157       534,840           9,409       8,864       441,494  
   

Bilateral OTC

    46,175       42,315       871,659           40,074       34,817       760,687  

Subtotal

    847,420       780,809       53,476,430           815,331       749,371       44,316,930  

Derivatives accounted for as hedges

                                                   

Interest rates

    11,403       429       132,879           23,772       66       128,302  
   

OTC-cleared 1

    1,327       27       10,637                        
   

Bilateral OTC

    10,076       402       122,242           23,772       66       128,302  
   

Currencies

    74       56       9,296           21       86       8,452  
   

OTC-cleared

    1       10       869                       3  
   

Bilateral OTC

    73       46       8,427           21       86       8,449  
   

Commodities

    36             335                        
   

Exchange-traded

                23                        
   

Bilateral OTC

    36             312                        

Subtotal

    11,513       485       142,510           23,793       152       136,754  

Gross fair value/notional amount of derivatives

    $ 858,933  2      $ 781,294  2      $53,618,940           $ 839,124  2      $ 749,523  2      $44,453,684  

Amounts that have been offset in the consolidated statements of financial condition

                                                   

Counterparty netting

    (707,411     (707,411                 (668,460     (668,460        
   

Exchange-traded

    (10,845     (10,845                 (11,075     (11,075        
   

OTC-cleared 1

    (254,756     (254,756                 (11,507     (11,507        
   

Bilateral OTC

    (441,810     (441,810                 (645,878     (645,878        
   

Cash collateral

    (93,643     (24,161                 (99,488     (30,636        
   

OTC-cleared 1

    (16,353     (2,515                 (468     (2,160        
   

Bilateral OTC

    (77,290     (21,646                 (99,020     (28,476        

Fair value included in financial instruments owned/financial instruments sold, but not yet purchased

    $   57,879       $   49,722                   $   71,176       $   50,427          

Amounts that have not been offset in the consolidated statements of financial condition

                                                   

Cash collateral received/posted

    (636     (2,806                 (812     (2,994        
   

Securities collateral received/posted

    (13,225     (10,521                 (17,225     (14,262        

Total

    $   44,018       $   36,395                   $   53,139       $   33,171          

 

1.

Pursuant to the rule changes at a clearing organization, effective December 31, 2013, transactions with this clearing organization are no longer considered settled each day. This change resulted in an increase of gross interest rate derivative assets and liabilities of $251.76 billion and $235.07 billion, respectively, as of December 2013, and a corresponding increase in counterparty netting and cash collateral with no impact to the consolidated statements of financial condition. The impact of reflecting transactions with this clearing organization as settled as of December 2012 resulted in a reduction of gross interest rate derivative assets and liabilities of $315.40 billion and $298.69 billion, respectively.

 

2.

Includes derivative assets and derivative liabilities of $23.18 billion and $23.46 billion, respectively, as of December 2013, and derivative assets and derivative liabilities of $24.62 billion and $25.73 billion, respectively, as of December 2012, which are not subject to an enforceable netting agreement or are subject to a netting agreement that the firm has not yet determined to be enforceable.


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