Goldman Sachs 2015 Annual Report Download - page 147

THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES
Notes to Consolidated Financial Statements
Level 3 Cash Instrument Assets and Liabilities at Fair Value
$ in millions
Balance,
beginning
of year
Net
realized
gains/
(losses)
Net
unrealized
gains/
(losses) Purchases Sales Settlements
Transfers
into
level 3
Transfers
out of
level 3
Balance,
end of
year
Year Ended December 2015
Non-U.S. government and agency obligations $ 136 $ 7 $ — $ 11 $ (35) $ (23) $ — $ (84) $ 12
Loans and securities backed by commercial
real estate 3,275 120 44 566 (598) (1,569) 351 (265) 1,924
Loans and securities backed by residential real estate 2,545 150 34 564 (609) (327) 188 (780) 1,765
Bank loans and bridge loans 6,973 198 (156) 663 (1,027) (2,170) 516 (1,847) 3,150
Corporate debt securities 3,633 208 (78) 616 (641) (982) 236 (900) 2,092
State and municipal obligations 110 3 3 9 (24) (2) 24 (22) 101
Other debt obligations 870 20 10 116 (164) (206) 17 (125) 538
Equities and convertible debentures 11,108 251 844 1,295 (744) (1,193) 466 (3,478) 8,549
Total cash instrument assets $28,650 $ 957 $ 701 $ 3,840 $(3,842) $(6,472) $1,798 $(7,501) $18,131
Total cash instrument liabilities $ (244) $ (28) $ (21) $ 205 $ (38) $ (14) $ (116) $ 63 $ (193)
Year Ended December 2014
Non-U.S. government and agency obligations $ 40 $ 7 $ 3 $ 103 $ (20) $ (5) $ 8 $ — $ 136
Loans and securities backed by commercial
real estate 2,515 173 49 1,877 (436) (890) 176 (189) 3,275
Loans and securities backed by residential real estate 1,961 123 224 1,008 (363) (497) 235 (146) 2,545
Bank loans and bridge loans 6,071 611 (222) 4,512 (709) (3,166) 294 (418) 6,973
Corporate debt securities 2,744 254 (16) 2,635 (1,023) (929) 384 (416) 3,633
State and municipal obligations 257 4 3 12 (112) (2) 25 (77) 110
Other debt obligations 807 24 41 448 (212) (164) 21 (95) 870
Equities and convertible debentures 8,671 132 1,788 2,670 (1,128) (1,016) 1,250 (1,259) 11,108
Total cash instrument assets $23,066 $1,328 $1,870 $13,265 $(4,003) $(6,669) $2,393 $(2,600) $28,650
Total cash instrument liabilities $ (297) $ 12 $ (1) $ 223 $ (121) $ (23) $ (49) $ 12 $ (244)
Level 3 Rollforward Commentary
Year Ended December 2015. The net unrealized gain on
level 3 cash instruments of $680 million (reflecting a
$701 million gain on cash instrument assets and a
$21 million loss on cash instrument liabilities) for 2015
primarily reflected gains on private equity investments,
principally driven by company-specific events and strong
corporate performance.
Transfers into level 3 during 2015 primarily reflected transfers
of certain bank loans and bridge loans, private equity
investments and loans and securities backed by commercial
real estate from level 2, principally due to reduced price
transparency as a result of a lack of market evidence, including
fewer market transactions in these instruments.
Transfers out of level 3 during 2015 primarily reflected
transfers of certain private equity investments, corporate
debt securities and loans and securities backed by
residential real estate to level 2, principally due to increased
price transparency as a result of market evidence, including
market transactions in these instruments, and transfers of
certain bank loans and bridge loans to level 2 principally
due to certain unobservable yield and duration inputs not
being significant to the valuation of these instruments.
Year Ended December 2014. The net unrealized gain on
level 3 cash instruments of $1.87 billion (reflecting a
$1.87 billion gain on cash instrument assets and a
$1 million loss on cash instrument liabilities) for 2014
primarily reflected gains on private equity investments
principally driven by company-specific events and strong
corporate performance.
Transfers into level 3 during 2014 primarily reflected
transfers of certain private equity investments and
corporate debt securities from level 2 principally due to
reduced price transparency as a result of a lack of market
evidence, including fewer market transactions in these
instruments.
Transfers out of level 3 during 2014 primarily reflected
transfers of certain private equity investments, bank loan
and bridge loans and corporate debt securities to level 2
principally due to increased price transparency as a result of
market evidence, including market transactions in these
instruments.
Goldman Sachs 2015 Form 10-K 135