Goldman Sachs 2009 Annual Report Download - page 106

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Goldman Sachs 2009 Annual Report
104
Notes to Consolidated Financial Statements
. Financial Liabilities at Fair Value as of December2009
Netting and
(inmillions) Level1 Level2 Level3 Collateral Total
U.S. government and federal agency obligations $20,940 $ 42 $ – $ – $ 20,982
Non-U.S. government obligations 23,306 537 – – 23,843
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate – 29 – – 29
Loans and securities backed by residential real estate – 74 – – 74
Bank loans and bridge loans – 1,128 413 – 1,541
Corporate debt securities
(1) 65 6,018 146 – 6,229
State and municipal obligations – 36 – – 36
Equities and convertible debentures
(2) 19,072 1,168 13 – 20,253
Physical commodities – 23 – – 23
Cash instruments 63,383 9,055 572 – 73,010
Derivative contracts 126 66,943 (3) 6,400 (3) (17,460) (5) 56,009
Trading liabilities, at fair value 63,509 75,998 6,972 (17,460) 129,019
Deposits – 1,947 – – 1,947
Securities sold under agreements to repurchase, at fair value – 127,966 394 – 128,360
Securities loaned – 6,194 – – 6,194
Other secured  nancings 118 8,354 6,756 – 15,228
Unsecured short-term borrowings – 16,093 2,310 – 18,403
Unsecured long-term borrowings – 18,315 3,077 – 21,392
Other liabilities and accrued expenses – 141 1,913 – 2,054
Total  nancial liabilities at fair value $63,627 $255,008 $21,422 (4) $(17,460) $322,597
(1) Includes $45million of CDOs and CLOs backed by corporate obligations within level3 of the fair value hierarchy.
(2) Substantially all consists of publicly listed equity securities.
(3) Includes $7.96billion and $3.20billion of credit derivative liabilities 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.
(4) Level3 liabilities were 6.6% of Total  nancial liabilities at fair value.
(5) 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.