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Management’s Discussion and Analysis
38 GOLDMAN SACHS 2003 ANNUAL REPORT
The following tables set forth the fair values of our OTC derivative assets and liabilities by product and by remaining
contractual maturity:
OTC DERIVATIVES
(IN MILLIONS)
AS OF NOVEMBER 2003
0–6 6–12 1–5 5–10 10 YEARS
ASSETS MONTHS MONTHS YEARS YEARS OR GREATER TOTAL
Contract type
Interest rates $1,470 $ 160 $ 4,017 $4,332 $ 9,541 $19,520
Currencies 5,486 1,230 4,069 1,842 897 13,524
Commodities 1,538 645 1,648 473 159 4,463
Equities 1,276 637 675 329 127 3,044
Total $9,770 $2,672 $10,409 $6,976 $10,724 $40,551
0–6 6–12 1–5 5–10 10 YEARS
LIABILITIES MONTHS MONTHS YEARS YEARS OR GREATER TOTAL
Contract type
Interest rates $ 2,026 $ 381 $3,896 $2,894 $2,475 $11,672
Currencies 5,993 1,121 2,951 2,949 828 13,842
Commodities 2,059 921 1,461 232 183 4,856
Equities 3,267 669 1,027 182 32 5,177
Total $13,345 $3,092 $9,335 $6,257 $3,518 $35,547
AS OF NOVEMBER 2002
0–6 6–12 1–5 5–10 10 YEARS
ASSETS MONTHS MONTHS YEARS YEARS OR GREATER TOTAL
Contract type
Interest rates $ 864 $ 536 $6,266 $4,983 $9,281 $21,930
Currencies 2,955 917 1,007 486 211 5,576
Commodities 1,200 632 1,145 185 11 3,173
Equities 1,386 492 673 63 1 2,615
Total $6,405 $2,577 $9,091 $5,717 $9,504 $33,294
0–6 6–12 1–5 5–10 10 YEARS
LIABILITIES MONTHS MONTHS YEARS YEARS OR GREATER TOTAL
Contract type
Interest rates $1,084 $ 393 $ 6,870 $5,556 $2,291 $16,194
Currencies 3,134 751 1,478 935 603 6,901
Commodities 1,432 836 977 62 2 3,309
Equities 1,958 938 844 147 — 3,887
Total $7,608 $2,918 $10,169 $6,700 $2,896 $30,291
Price transparency for OTC derivative model inputs varies
depending on, among other factors, product type, matur-
ity and the complexity of the contract. Price transparency
for interest rate and currency contracts varies by the
underlying currencies, with the currencies of the leading
industrialized nations having the most price transparency.
Price transparency for commodity contracts varies by type
of underlying commodity. Price transparency for equity
contracts varies by market, with the equity markets of the
leading industrialized nations having the most price trans-
parency. For more complex structures, price transparency
is inherently more limited because they often combine one
or more product types, requiring additional inputs such as
correlations and volatilities.