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Management’s Discussion and Analysis
instrument, the remaining contractual maturity is generally
classified based upon the maturity date of the underlying
derivative instrument. In those instances where the underlying
instrument does not have a maturity date or either counter-
party has the right to settle in cash, the remaining contractual
maturity is generally based upon the option expiration date.
We enter into certain OTC option transactions that provide
us or our counterparties with the right to extend the maturity
of the underlying contract. The fair value of these option
contracts is not material to the aggregate fair value of our OTC
derivative portfolio. In the tables above, for option contracts
that require settlement by delivery of an underlying derivative
The following table sets forth the distribution, by credit rating, of substantially all of our exposure with respect to OTC derivatives
as of November 2007, after taking into consideration the effect of netting agreements. The categories shown reflect our internally
determined public rating agency equivalents:
OTC Derivative Credit Exposure
($ in millions)
As of November
2007 2006
Exposure Percentage of Percentage of
Collateral Net of Total Exposure Total Exposure
Credit Rating Equivalent Exposure
(1) Held Collateral Net of Collateral Net of Collateral
AAA/Aaa $16,683 $ 2,087 $14,596 21% 12%
AA/Aa2 28,562 4,143 24,419 35 29
A/A2 20,742 4,553 16,189 23 29
BBB/Baa2 9,896 3,338 6,558 9 15
BB/Ba2 or lower 13,696 6,218 7,478 10 13
Unrated 2,494 1,325 1,169 2 2
Total $92,073 $21,664 $70,409 100% 100%
(1) Net of cash received pursuant to credit support agreements of $59.05 billion.
The following tables set forth our OTC derivative credit exposure, net of collateral, by remaining contractual maturity:
Exposure Net of Collateral
(in millions)
As of November 2007
0 – 6 6 – 12 1 – 5 5 – 10 10 Years
Credit Rating Equivalent Months Months Years Years or Greater Total
(1)
AAA/Aaa $ 3,669 $1,132 $ 2,453 $1,904 $ 5,438 $14,596
AA/Aa2 5,569 3,024 4,815 2,683 8,328 24,419
A/A2 5,913 1,242 4,288 1,544 3,202 16,189
BBB/Baa2 2,087 650 2,236 564 1,021 6,558
BB/Ba2 or lower 2,159 670 2,626 1,257 766 7,478
Unrated 271 321 422 90 65 1,169
Total $19,668 $7,039 $16,840 $8,042 $18,820 $70,409
0 – 6 6 – 12 1 – 5 5 – 10 10 Years
Contract Type Months Months Years Years or Greater Total
(1)
Interest rates
(2) $ 5,454 $3,291 $ 7,255 $5,788 $17,341 $39,129
Currencies 8,266 1,735 3,037 560 381 13,979
Commodities 2,757 1,352 5,619 778 586 11,092
Equities 3,191 661 929 916 512 6,209
Total $19,668 $7,039 $16,840 $8,042 $18,820 $70,409
(1)
Where we have obtained collateral from a counterparty under a master trading agreement that covers multiple products and transactions, we have allocated the collateral
ratably based on exposure before giving effect to such collateral.
(2) Includes credit derivatives.
75Goldman Sachs 2007 Annual Report