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management’s฀discussion฀and฀analysis
38฀฀฀G O L D M A N ฀ S A C H S ฀ 2004฀ ANNUAL฀REPO RT
38฀฀฀G O L D M A N ฀ S A C H S ฀ 2 004฀ A N N U A L ฀ R E P O RT
Where we cannot verify all of the significant model inputs to
observable market data and verify the model to market transac-
tions, we value the contract at the transaction price at inception
and, consequently, record no day one gain or loss in accordance
with Emerging Issues Task Force (EITF) Issue No. 02-3, “Issues
Involved in Accounting for Derivative Contracts Held for
Trading Purposes and Contracts Involved in Energy Trading
and Risk Management Activities.”
Following day one, we adjust the inputs to our valuation
models only to the extent that changes in such inputs can be
verified by similar market transactions, third-party pricing ser-
vices and/or broker quotes or can be derived from other sub-
stantive evidence such as empirical market data. In circumstances
where we cannot verify the model to market transactions, it is
possible that a different valuation model could produce a mate-
rially different estimate of fair value.
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฀2004
฀ ฀ ฀ 0฀–฀6฀ 6฀–฀12฀ 1฀–฀5฀ 5฀–฀10฀ 10฀YEARS
ASSETS฀ MONTHS฀ MONTHS฀ YEARS฀ YEARS฀ OR฀GREATER฀ TOTAL
Contract Type
Interest rates $฀ 1,475฀ $฀฀฀451฀ $฀฀5,682฀ $฀฀4,250฀ $12,743฀ $24,601
Currencies 9,570฀ 1,499฀ 3,670฀ 2,320฀ 1,198฀ 18,257
Commodities 2,943฀ 1,164฀ 5,581฀ 1,108฀ 160฀ 10,956
Equities 1,311฀ 813฀ 457฀ 634฀ 2฀ 3,217
Total $15,299฀ $3,927฀ $15,390฀ $฀฀8,312฀ $14,103฀ $57,031
฀ ฀ ฀ 0฀–฀6฀ 6฀–฀12฀ 1฀–฀5฀ 5฀–฀10฀ 10฀YEARS
LIABILITIES฀ MONTHS฀ MONTHS฀ YEARS฀ YEARS฀ OR฀GREATER฀ TOTAL
Contract Type
Interest rates $฀ 1,854฀ $฀฀฀789฀ $฀฀7,366฀ $฀฀7,136฀ $฀ 5,658฀ $22,803
Currencies 9,577฀ 1,580฀ 4,456฀ 2,755฀ 1,184฀ 19,552
Commodities 3,791฀ 1,425฀ 4,522฀ 814฀ 107฀ 10,659
Equities 1,409฀ 1,304฀ 1,114฀ 1,084฀ 171฀ 5,082
Total $16,631฀ $5,098฀ $17,458฀ $11,789฀ $฀ 7,120฀ $58,096
฀ ฀ 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
BES฀•฀Phone฀(201)฀635-5240฀฀•฀FAX฀(201)฀635-5199
BPX/S10829฀•฀Flow฀16฀•฀Proof฀12฀•฀2/4/05฀•฀RUSH