Goldman Sachs 2009 Annual Report Download - page 76

The following tables set forth the fair values of our OTC derivative assets and liabilities by tenor and by product type or credit
rating. Tenor is based on expected duration for mortgage-related credit derivatives and generally on remaining contractual
maturity for other derivatives. For option contracts that require settlement by delivery of an underlying derivative instrument,
the tenor is generally classi ed 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 counterparty has the right to settle in cash, the tenor is generally
based upon the option expiration date.
The following tables set forth the fair values of our OTC derivative assets and liabilities by product type and by tenor.
OTC Derivatives
(inmillions) As of December2009
0–12 1–5 5–10 10 Years
Assets Months Years Years or Greater Total
Product Type
Interest rates $14,266 $37,146 $25,608 $37,721 $ 114,741
Credit derivatives 5,743 20,465 11,497 6,281 43,986
Currencies 9,870 12,789 6,408 6,955 36,022
Commodities 6,201 7,546 521 41 14,309
Equities 6,742 8,818 4,920 2,350 22,830
Netting across product types (1) (3,480) (6,256) (3,047) (1,399) (14,182)
Subtotal $39,342 (4) $80,508 $45,907 $51,949 $ 217,706
Cross maturity netting (2) (24,681)
Cash collateral netting (3) (124,603)
Total $ 68,422
0–12 1–5 5–10 10 Years
Liabilities Months Years Years or Greater Total
Product Type
Interest rates $ 7,042 $12,831 $11,421 $12,518 $ 43,812
Credit derivatives 2,487 7,168 2,356 2,116 14,127
Currencies 12,202 4,003 2,789 2,132 21,126
Commodities 6,922 7,161 1,157 846 16,086
Equities 4,213 3,746 3,371 586 11,916
Netting across product types (1) (3,480) (6,256) (3,047) (1,399) (14,182)
Subtotal $29,386 (4) $28,653 $18,047 $16,799 $ 92,885
Cross maturity netting (2) (24,681)
Cash collateral netting (3) (14,743)
Total $ 53,461
(1) Represents the netting of receivable balances with payable balances for the same counterparty across product types within a tenor category, pursuant to
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, where appropriate.
(2) Represents the netting of receivable balances with payable balances for the same counterparty across tenor categories, pursuant to enforceable
netting agreements.
(3) Represents the netting of cash collateral received and posted on a counterparty basis pursuant to credit support agreements.
(4) Includes fair values of OTC derivative assets and liabilities, maturing within six months, of $21.60billion and $18.08billion, respectively.
Goldman Sachs 2009 Annual Report
74
Management’s Discussion and Analysis