Goldman Sachs 2009 Annual Report Download - page 77

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OTC Derivatives
(inmillions) As of November2008
0–12 1–5 5–10 10 Years
Assets Months Years Years or Greater Total
Product Type
Interest rates $10,530 $38,918 $35,196 $48,008 $ 132,652
Credit derivatives 19,866 30,235 27,410 8,907 86,418
Currencies 28,148 12,259 6,102 4,440 50,949
Commodities 14,857 12,404 1,177 618 29,056
Equities 10,520 7,614 5,083 3,901 27,118
Netting across product types (1) (4,736) (9,316) (5,864) (2,826) (22,742)
Subtotal $79,185 (4) $92,114 $69,104 $63,048 $ 303,451
Cross maturity netting (2) (42,118)
Cash collateral netting (3) (137,160)
Total $ 124,173
0–12 1–5 5–10 10 Years
Liabilities Months Years Years or Greater Total
Product Type
Interest rates $ 7,465 $15,150 $14,160 $27,908 $ 64,683
Credit derivatives 8,943 23,603 13,259 2,242 48,047
Currencies 29,233 13,911 4,244 2,411 49,799
Commodities 12,884 10,359 1,577 483 25,303
Equities 11,381 2,038 5,533 1,433 20,385
Netting across product types (1) (4,736) (9,316) (5,864) (2,826) (22,742)
Subtotal $65,170 (4) $55,745 $32,909 $31,651 $ 185,475
Cross maturity netting (2) (42,118)
Cash collateral netting (3) (34,009)
Total $ 109,348
(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 $54.68billion and $51.16billion, respectively.
Goldman Sachs 2009 Annual Report
75
Management’s Discussion and Analysis