Goldman Sachs 2012 Annual Report Download - page 140

Notes to Consolidated Financial Statements
OTC Derivatives
The tables below present the fair values of OTC derivative
assets and liabilities by tenor and by product type. Tenor is
based on expected duration for mortgage-related credit
derivatives and generally on remaining contractual
maturity for other derivatives.
in millions OTC Derivatives as of December 2012
Assets
Product Type
0 -12
Months
1-5
Years
5 Years or
Greater Total
Interest rates $10,318 $28,445 $ 80,449 $119,212
Credit 2,190 12,244 7,970 22,404
Currencies 11,100 8,379 11,044 30,523
Commodities 3,840 3,862 304 8,006
Equities 3,757 7,730 6,957 18,444
Netting across product types 1(2,811) (5,831) (5,082) (13,724)
Subtotal $28,394 $54,829 $101,642 184,865
Cross maturity netting 2(17,973)
Cash collateral netting 3(99,488)
Total $ 67,404
Liabilities
Product Type
0-12
Months
1-5
Years
5 Years or
Greater Total
Interest rates $ 6,266 $17,860 $ 32,422 $ 56,548
Credit 809 7,537 3,168 11,514
Currencies 8,586 4,849 5,782 19,217
Commodities 3,970 3,119 2,267 9,356
Equities 3,775 5,476 3,937 13,188
Netting across product types 1(2,811) (5,831) (5,082) (13,724)
Subtotal $20,595 $33,010 $ 42,494 96,099
Cross maturity netting 2(17,973)
Cash collateral netting 3(30,636)
Total $ 47,490
1. Represents the netting of receivable balances with payable balances for the same counterparty across product types within a tenor category under enforceable
netting agreements. Receivable and payable balances with the same counterparty in the same product type and tenor category are netted within such product type
and tenor category.
2. Represents the netting of receivable balances with payable balances for the same counterparty across tenor categories under enforceable netting agreements.
3. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.
138 Goldman Sachs 2012 Annual Report