Goldman Sachs 2012 Annual Report Download - page 126

Notes to Consolidated Financial Statements
Cash Instrument Assets at Fair Value as of December 2011
in millions Level 1 Level 2 Level 3 Total
Commercial paper, certificates of deposit, time deposits and other
money market instruments $ 3,255 $ 10,185 $ — $ 13,440
U.S. government and federal agency obligations 29,263 57,777 — 87,040
Non-U.S. government and agency obligations 42,854 6,203 148 49,205
Mortgage and other asset-backed loans and securities 1:
Loans and securities backed by commercial real estate — 3,353 3,346 6,699
Loans and securities backed by residential real estate — 5,883 1,709 7,592
Bank loans and bridge loans — 8,460 11,285 19,745
Corporate debt securities 2133 19,518 2,480 22,131
State and municipal obligations — 2,490 599 3,089
Other debt obligations 2— 2,911 1,451 4,362
Equities and convertible debentures 39,955 11,491 13,667 365,113
Commodities — 5,762 — 5,762
Total $115,460 $134,033 $34,685 $284,178
Cash Instrument Liabilities at Fair Value as of December 2011
in millions Level 1 Level 2 Level 3 Total
U.S. government and federal agency obligations $ 20,940 $ 66 $ — $ 21,006
Non-U.S. government and agency obligations 34,339 547 — 34,886
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate — 27 — 27
Loans and securities backed by residential real estate — 3 — 3
Bank loans and bridge loans — 1,891 865 2,756
Corporate debt securities 4— 6,522 31 6,553
State and municipal obligations — 3 — 3
Equities and convertible debentures 20,069 1,248 9 21,326
Total $ 75,348 $ 10,307 $ 905 $ 86,560
1. Includes $213 million and $595 million of CDOs backed by real estate in level 2 and level 3, respectively.
2. Includes $403 million and $1.19 billion of CDOs and CLOs backed by corporate obligations in level 2 and level 3, respectively.
3. Includes $12.07 billion of private equity investments, $1.10 billion of investments in real estate entities and $497 million of convertible debentures.
4. Includes $27 million of CDOs and CLOs backed by corporate obligations in level 3.
Transfers Between Levels of the Fair Value Hierarchy
Transfers between levels of the fair value hierarchy are
reported at the beginning of the reporting period in which
they occur. During the year ended December 2012,
transfers into level 2 from level 1 of cash instruments were
$1.85 billion, including transfers of non-U.S. government
obligations of $1.05 billion, reflecting the level of market
activity in these instruments, and transfers of equity
securities of $806 million, primarily reflecting the impact of
transfer restrictions. Transfers into level 1 from level 2 of
cash instruments were $302 million, including transfers of
non-U.S. government obligations of $180 million, reflecting
the level of market activity in these instruments, and
transfers of equity securities of $102 million, where the firm
was able to obtain quoted prices for certain actively
traded instruments.
124 Goldman Sachs 2012 Annual Report