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Notes to Consolidated Financial Statements
Total financial assets at fair value classified within level 3 were
$69.15 billion or 6% of “Total assets” on the consolidated
statement of financial condition as of November 2007. This
includes $14.44 billion of financial assets at fair value classified
within level 3 for which the firm does not bear economic
exposure. Excluding assets for which the firm does not bear
economic exposure, level 3 assets were 5% of “Total assets”
as of November 2007.
Fair Value Hierarchy
The following tables set forth by level within the fair value
hierarchy “Financial instruments owned, at fair value,” “Financial
instruments sold, but not yet purchased, at fair value” and
financial assets and liabilities accounted for at fair value under
SFAS No. 155 and SFAS No. 159 as of November 2007 (see
Note 2 for further information on the fair value hierarchy). As
required by SFAS No. 157, assets and liabilities are classified
in their entirety based on the lowest level of input that is
significant to the fair value measurement.
NOTE 3
Financial Instruments
Fair Value of Financial Instruments
The following table sets forth the firm’s financial instruments owned, at fair value, including those pledged as collateral, and
financial instruments sold, but not yet purchased, at fair value. At any point in time, the firm may use cash instruments as well
as derivatives to manage a long or short risk position.
As of November
2007 2006
(in millions) Assets Liabilities Assets Liabilities
Commercial paper, certificates of deposit, time deposits and
other money market instruments $ 8,985
(1) $ —
$ 14,723
(1) $ —
U.S. government, federal agency and sovereign obligations 70,774 58,637 68,071 51,200
Mortgage and other asset-backed loans and securities 54,073
(2) —
41,017 253
Bank loans 49,154 3,563 28,196 1,154
Corporate debt securities and other debt obligations 39,219 8,280 29,806 7,050
Equities and convertible debentures 122,205 45,130 83,282 30,441
Physical commodities 2,571 35 1,923 211
Derivative contracts 105,614
(3) 99,378
(5) 67,543
(3) 65,496
(5)
Total $452,595
(4) $215,023 $334,561
(4) $155,805
(1) Includes $6.17 billion and $6.93 billion as of November 2007 and November 2006, respectively, of money market instruments held by William Street Funding Corporation
to support the William Street credit extension program (see Note 6 for further information regarding the William Street program).
(2)
Includes $7.64 billion of mortgage whole loans that were transferred to securitization vehicles where such transfers were accounted for as secured financings rather
than sales under SFAS No. 140. The firm distributed to investors the securities that were issued by the securitization vehicles and therefore does not bear economic
exposure to the underlying mortgage whole loans.
(3) Net of cash received pursuant to credit support agreements of $59.05 billion and $24.06 billion as of November 2007 and November 2006, respectively.
(4)
Includes $1.17 billion of securities held within the firm’s insurance subsidiaries which are accounted for as available-for-sale under SFAS No. 115, “Accounting for Certain
Investments in Debt and Equity Securities” as of November 2007. Includes $9.95 billion of securities held within GS Bank USA and the firm’s insurance subsidiaries
which were accounted for as available-for-sale as of November 2006.
(5) Net of cash paid pursuant to credit support agreements of $27.76 billion and $16.00 billion as of November 2007 and November 2006, respectively.
99Goldman Sachs 2007 Annual Report