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GoldmanSachs 2009 Annual Report
103
Notes to Consolidated Financial Statements
The following tables set forth by level within the fair value hierarchy trading assets, at fair value, trading liabilities, at fair value,
and other  nancial assets and  nancial liabilities accounted for at fair value under the fair value option as of December2009 and
November2008. See Note2 for further information on the fair value hierarchy. Assets and liabilities are classi ed in their entirety
based on the lowest level of input that is signi cant to the fair value measurement.
Financial Assets at Fair Value as of December2009
Netting and
(inmillions) Level1 Level2 Level3 Collateral Total
Commercial paper, certi cates of deposit, time deposits
and other money market instruments $ 5,026 $ 4,085 $ – $ – $ 9,111
U.S. government and federal agency obligations 36,391 41,945 – – 78,336
Non-U.S. government obligations 33,881 4,977 – – 38,858
Mortgage and other asset-backed loans and securities
(1):
Loans and securities backed by commercial real estate – 1,583 4,620 – 6,203
Loans and securities backed by residential real estate – 4,824 1,880 – 6,704
Loan portfolios
(2) – 6 1,364 – 1,370
Bank loans and bridge loans – 9,785 9,560 – 19,345
Corporate debt securities
(3) 164 23,969 2,235 – 26,368
State and municipal obligations – 1,645 1,114 – 2,759
Other debt obligations – 679 2,235 – 2,914
Equities and convertible debentures 37,103 (5) 22,500 (7) 11,871 (10) – 71,474
Physical commodities – 3,707 – – 3,707
Cash instruments 112,565 119,705 34,879 – 267,149
Derivative contracts 161 190,816 (8) 11,596 (8) (127,320) (11) 75,253
Trading assets, at fair value 112,726 310,521 46,475 (127,320) 342,402
Securities segregated for regulatory and other purposes 14,381 (6) 4,472 (9) – – 18,853
Securities purchased under agreements to resell – 144,279 – – 144,279
Securities borrowed – 66,329 – – 66,329
Receivables from customers and counterparties – 1,925 – – 1,925
Total  nancial assets at fair value $127,107 $527,526 $46,475 $(127,320) $573,788
Level3 assets for which the  rm does not bear
economic exposure
(4) (3,127)
Level3 assets for which the  rm bears economic exposure $43,348
(1) Includes $291million and $311million of CDOs and collateralized loan obligations (CLOs) backed by real estate within level2 and level3, respectively, of the
fair value hierarchy.
(2) Consists of acquired portfolios of distressed loans, primarily backed by commercial and residential real estate collateral.
(3) Includes $338million and $741million of CDOs and CLOs backed by corporate obligations within level2 and level3, respectively, of the fair value hierarchy.
(4) Consists of level3 assets which are  nanced by nonrecourse debt, attributable to minority investors or attributable to employee interests in certain
consolidated funds.
(5) Consists of publicly listed equity securities.
(6) Principally consists of U.S. Department of the Treasury (U.S. Treasury) securities and money market instruments as well as insurance separate account assets
measured at fair value.
(7) Substantially all of the  rm’s level2 equities and convertible debentures are less liquid publicly listed securities.
(8) Includes $31.44billion and $9.58billion of credit derivative assets within level2 and level3, respectively, of the fair value hierarchy. These amounts exclude
the effects of netting under enforceable netting agreements across other derivative product types.
(9) Principally consists of securities borrowed and resale agreements. The underlying securities have been segregated to satisfy certain regulatory requirements.
(10) Substantially all consists of private equity investments and real estate fund investments. Includes $10.56billion of private equity investments, $1.23billion of
real estate investments and $79million of convertible debentures.
(11) Represents cash collateral and the impact of netting across the levels of the fair value hierarchy. Netting among positions classi ed within the same level is
included in that level.