Goldman Sachs 2009 Annual Report Download - page 107

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Goldman Sachs 2009 Annual Report
105
Notes to Consolidated Financial Statements
Financial Assets at Fair Value as of November2008
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 $ 5,205 $ 3,457 $ – $ – $ 8,662
Government and U.S. federal agency obligations 35,069 34,584 – – 69,653
Mortgage and other asset-backed loans and securities – 6,886 15,507 – 22,393
Bank loans and bridge loans – 9,882 11,957 – 21,839
Corporate debt securities and other debt obligations 14 20,269 7,596 – 27,879
Equities and convertible debentures 25,068 15,975 16,006
(5) – 57,049
Physical commodities – 513 – – 513
Cash instruments 65,356 91,566 51,066 – 207,988
Derivative contracts 24 256,412
(3) 15,124
(3) (141,223)
(6) 130,337
Trading assets, at fair value 65,380 347,978 66,190 (141,223) 338,325
Securities segregated for regulatory and other purposes 20,030
(2) 58,800
(4) – – 78,830
Securities purchased under agreements to resell – 116,671 – – 116,671
Securities borrowed – 59,810 – – 59,810
Receivables from customers and counterparties – 1,598 – – 1,598
Total  nancial assets at fair value $85,410 $584,857 $66,190 $(141,223) $595,234
Level3 assets for which the  rm does not bear
economic exposure
(1) (6,616)
Level3 assets for which the  rm bears economic exposure $59,574
(1) Consists of level3 assets which are  nanced by nonrecourse debt, attributable to minority investors or attributable to employee interests in certain consolidated funds.
(2) Consists of U.S. Treasury securities and money market instruments as well as insurance separate account assets measured at fair value.
(3) Includes $66.00billion and $8.32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.
(4) Principally consists of securities borrowed and resale agreements. The underlying securities have been segregated to satisfy certain regulatory requirements.
(5) Substantially all consists of private equity investments and real estate fund investments.
(6) 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.