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The following tables set forth the distribution, by credit rating, of our exposure with respect to OTC derivatives by tenor, both
before and after consideration of the effect of collateral and netting agreements. The categories shown re ect our internally
determined public rating agency equivalents:
OTC Derivative Credit Exposure
(inmillions) As of December2009
Exposure
Credit Rating 0–12 1–5 5–10 10 Years Net of
Equivalent Months Years Years or Greater Total Netting (2) Exposure Collateral
AAA/Aaa $ 2,020 $ 3,157 $ 3,507 $ 2,567 $ 11,251 $ (5,603) $ 5,648 $ 5,109
AA/Aa2 5,285 10,745 7,090 8,954 32,074 (19,653) 12,421 8,735
A/A2 22,707 47,891 30,267 31,203 132,068 (107,942) 24,126 20,111
BBB/Baa2 4,402 8,300 3,024 7,830 23,556 (11,064) 12,492 6,202
BB/Ba2 or lower 4,444 9,438 1,735 1,354 16,971 (4,914) 12,057 7,381
Unrated 484 977 284 41 1,786 (108) 1,678 1,161
Total $39,342 (1) $80,508 $45,907 $51,949 $217,706 $(149,284) $68,422 (3) $48,699
As of November2008
Exposure
Credit Rating 0–12 1–5 5–10 10 Years Net of
Equivalent Months Years Years or Greater Total Netting
(2) Exposure Collateral
AAA/Aaa $ 5,392 $ 3,792 $ 6,104 $ 4,652 $ 19,940 $ (6,583) $ 13,357 $12,269
AA/Aa2 24,736 32,470 30,244 19,388 106,838 (72,709) 34,129 29,857
A/A2 24,440 27,578 18,657 21,704 92,379 (58,700) 33,679 28,081
BBB/Baa2 11,609 16,601 8,464 14,525 51,199 (29,209) 21,990 15,955
BB/Ba2 or lower 12,264 10,857 4,718 2,563 30,402 (12,064) 18,338 11,755
Unrated 744 816 917 216 2,693 (13) 2,680 1,409
Total $79,185 (1) $92,114 $69,104 $63,048 $303,451 $(179,278) $124,173 $99,326
(1) Includes fair values of OTC derivative assets, maturing within six months, of $21.60billion and $54.68billion as of December2009 and November2008,
respectively.
(2) Represents the netting of receivable balances with payable balances for the same counterparty across tenor categories, pursuant to enforceable netting
agreements, and the netting of cash collateral received, pursuant to credit support agreements. Receivable and payable balances with the same counterparty
in the same tenor category are netted within such tenor category, where appropriate.
(3) The decrease in the fair value of our OTC derivative credit exposure from November2008 to December2009 primarily re ects increases in equity prices,
tightening credit spreads, and changes in interest and currency rates.
Derivative transactions may also involve legal risks including
the risk that they are not authorized or appropriate for a
counterparty, that documentation has not been properly
executed or that executed agreements may not be enforceable
against the counterparty. We attempt to minimize these
risks by obtaining advice of counsel on the enforceability of
agreements as well as on the authority of a counterparty to
effect the derivative transaction. In addition, certain derivative
transactions (e.g.,credit derivative contracts) involve the risk
that we may have dif culty obtaining, or be unable to obtain,
the underlying security or obligation in order to satisfy any
physical settlement requirement.
Liquidity and Funding Risk
Liquidity is of critical importance to companies in the
nancial services sector. Most failures of  nancial institutions
have occurred in large part due to insuf cient liquidity.
Accordingly, Goldman Sachs has in place a comprehensive set
of liquidity and funding policies that are intended to maintain
signi cant exibility to address both Goldman Sachs-speci c
and broader industry or market liquidity events. Our principal
objective is to be able to fund Goldman Sachs and to enable
our core businesses to continue to generate revenues, even
under adverse circumstances.
We manage liquidity risk according to the following framework:
▪ Excess Liquidity. We maintain substantial excess liquidity to
meet a broad range of potential cash out ows in a stressed
environment, including  nancing obligations. The amount
of our excess liquidity is based on an internal liquidity model
Goldman Sachs 2009 Annual Report
76
Management’s Discussion and Analysis