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Management’s Discussion and Analysis
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 2007
0 – 6 6 – 12 1 – 5 5 – 10 10 Years
Assets Months Months Years Years or Greater Total
Contract Type
Interest rates
(1) $ 5,970 $4,301 $10,417 $ 7,402 $20,614 $48,704
Currencies 10,614 2,342 3,623 901 405 17,885
Commodities 3,335 1,538 8,464 1,299 657 15,293
Equities 4,616 1,329 1,560 2,114 572 10,191
Total $24,535 $9,510 $24,064 $11,716 $22,248 $92,073
0 – 6 6 – 12 1 – 5 5 – 10 10 Years
Liabilities Months Months Years Years or Greater Total
Contract Type
Interest rates
(1) $ 6,980 $1,212 $11,675 $ 6,614 $11,579 $38,060
Currencies 9,662 1,977 3,641 680 657 16,617
Commodities 3,912 2,082 5,827 1,304 338 13,463
Equities 7,526 3,804 3,823 3,393 412 18,958
Total $28,080 $9,075 $24,966 $11,991 $12,986 $87,098
As of November 2006
0 – 6 6 – 12 1 – 5 5 – 10 10 Years
Assets Months Months Years Years or Greater Total
Contract Type
Interest rates
(1) $ 2,432 $1,706 $ 5,617 $ 5,217 $6,201 $21,173
Currencies 5,578 943 3,103 1,669 966 12,259
Commodities 3,892 1,215 5,836 1,258 231 12,432
Equities 1,430 1,134 1,329 2,144 1,235 7,272
Total $13,332 $4,998 $15,885 $10,288 $8,633 $53,136
0 – 6 6 – 12 1 – 5 5 – 10 10 Years
Liabilities Months Months Years Years or Greater Total
Contract Type
Interest rates
(1) $ 2,807 $1,242 $ 6,064 $ 3,582 $5,138 $18,833
Currencies 6,859 1,290 2,582 494 634 11,859
Commodities 3,078 658 4,253 1,643 273 9,905
Equities 3,235 1,682 2,615 3,239 277 11,048
Total $15,979 $4,872 $15,514 $ 8,958 $6,322 $51,645
(1) Includes credit derivatives.
74 Goldman Sachs 2007 Annual Report