Goldman Sachs 2012 Annual Report Download - page 125
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Notes to Consolidated Financial Statements
Fair Value of Cash Instruments by Level
The tables below present, by level within the fair value
hierarchy, cash instrument assets and liabilities, at fair
value. Cash instrument assets and liabilities are included in
“Financial instruments owned, at fair value” and
“Financial instruments sold, but not yet purchased, at fair
value,” respectively.
Cash Instrument Assets at Fair Value as of December 2012
in millions Level 1 Level 2 Level 3 Total
Commercial paper, certificates of deposit, time deposits and other
money market instruments $ 2,155 $ 3,902 $ — $ 6,057
U.S. government and federal agency obligations 42,856 50,385 — 93,241
Non-U.S. government and agency obligations 46,715 15,509 26 62,250
Mortgage and other asset-backed loans and securities 1:
Loans and securities backed by commercial real estate — 6,416 3,389 9,805
Loans and securities backed by residential real estate — 6,597 1,619 8,216
Bank loans and bridge loans — 11,172 11,235 22,407
Corporate debt securities 2111 18,049 2,821 20,981
State and municipal obligations — 1,858 619 2,477
Other debt obligations 2— 1,066 1,185 2,251
Equities and convertible debentures 72,875 8,724 14,855 396,454
Commodities — 11,696 — 11,696
Total $164,712 $135,374 $35,749 $335,835
Cash Instrument Liabilities at Fair Value as of December 2012
in millions Level 1 Level 2 Level 3 Total
U.S. government and federal agency obligations $ 15,475 $ 430 $ — $ 15,905
Non-U.S. government and agency obligations 31,011 1,350 — 32,361
Mortgage and other asset-backed loans and securities:
Loans and securities backed by residential real estate —4—4
Bank loans and bridge loans — 1,143 636 1,779
Corporate debt securities 28 5,731 2 5,761
State and municipal obligations —1—1
Equities and convertible debentures 19,416 986 4 20,406
Total $ 65,930 $ 9,645 $ 642 $ 76,217
1. Includes $489 million and $446 million of collateralized debt obligations (CDOs) backed by real estate in level 2 and level 3, respectively.
2. Includes $284 million and $1.76 billion of CDOs and collateralized loan obligations (CLOs) backed by corporate obligations in level 2 and level 3, respectively.
3. Includes $12.67 billion of private equity investments, $1.58 billion of investments in real estate entities and $600 million of convertible debentures.
Goldman Sachs 2012 Annual Report 123