Goldman Sachs 2007 Annual Report Download - page 102

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Notes to Consolidated Financial Statements
Assets at Fair Value as of November 2007
Netting and
(in millions)
Level 1 Level 2 Level 3 Collateral Total
Commercial paper, certificates of
deposit, time deposits and other
money market instruments $ 6,237 $ 2,748 $ — $ — $ 8,985
U.S. government, federal agency and
sovereign obligations 37,966 32,808 — — 70,774
Mortgage and other asset-backed loans
and securities — 38,073 16,000 — 54,073
Bank loans — 35,820 13,334 — 49,154
Corporate debt securities and other
debt obligations 915 32,193 6,111 — 39,219
Equities and convertible debentures 68,727 35,472 18,006
(6) — 122,205
Physical commodities — 2,571 — — 2,571
Cash instruments 113,845 179,685 53,451 — 346,981
Derivative contracts 286 153,065 15,700 (63,437)
(7) 105,614
Financial instruments owned, at fair value 114,131 332,750 69,151 (63,437) 452,595
Securities segregated for regulatory
and other purposes 24,078
(4) 69,940
(5) — — 94,018
Receivables from customers and counterparties
(1) — 1,950 — — 1,950
Securities borrowed
(2)
— 83,277 — — 83,277
Financial instruments purchased under
agreements to resell, at fair value — 85,717 — — 85,717
Total assets at fair value $138,209 $573,634 $ 69,151 $(63,437) $717,557
Level 3 assets for which the firm
does not bear economic exposure
(3) (14,437)
Level 3 assets for which the firm
bears economic exposure $ 54,714
(1) Consists of transfers accounted for as secured loans rather than purchases under SFAS No. 140 and prepaid variable share forwards.
(2) Reflects securities borrowed within Trading and Principal Investments. Excludes securities borrowed within Securities Services, which are accounted for based on the
amount of cash collateral advanced plus accrued interest.
(3) Consists of level 3 assets which are financed by nonrecourse debt, attributable to minority investors or attributable to employee interests in certain consolidated
funds.
(4) Consists of U.S. Treasury securities and money market instruments as well as insurance separate account assets measured at fair value under AICPA SOP 03-1,
“Accounting and Reporting by Insurance Enterprises for Certain Nontraditional Long-Duration Contracts and for Separate Accounts.”
(5) Principally consists of securities borrowed and resale agreements. The underlying securities have been segregated to satisfy certain regulatory requirements.
(6) Consists of private equity and real estate fund investments.
(7) Represents cash collateral and the impact of netting across the levels of the fair value hierarchy. Netting among positions classified within the same level is included in
that level.
100 Goldman Sachs 2007 Annual Report