Goldman Sachs 2012 Annual Report Download - page 137
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Notes to Consolidated Financial Statements
Derivative Assets at Fair Value as of December 2011
in millions Level 1 Level 2 Level 3
Cross-Level
Netting Total
Interest rates $ 33 $ 645,923 $ 214 $ — $ 646,170
Credit — 137,110 13,706 — 150,816
Currencies — 86,752 2,026 — 88,778
Commodities — 35,062 904 — 35,966
Equities 24 62,684 1,427 — 64,135
Gross fair value of derivative assets 57 967,531 18,277 — 985,865
Counterparty netting 1— (778,639) (6,377) (2,717) 3(787,733)
Subtotal $ 57 $ 188,892 $11,900 $(2,717) $ 198,132
Cash collateral netting 2(118,104)
Fair value included in financial instruments owned $ 80,028
Derivative Liabilities at Fair Value as of December 2011
in millions Level 1 Level 2 Level 3
Cross-Level
Netting Total
Interest rates $ 24 $ 582,012 $ 585 $ — $ 582,621
Credit — 123,253 7,406 — 130,659
Currencies — 70,573 1,184 — 71,757
Commodities — 36,541 1,509 — 38,050
Equities 185 49,884 1,859 — 51,928
Gross fair value of derivative liabilities 209 862,263 12,543 — 875,015
Counterparty netting 1— (778,639) (6,377) (2,717) 3(787,733)
Subtotal $209 $ 83,624 $ 6,166 $(2,717) $ 87,282
Cash collateral netting 2(28,829)
Fair value included in financial instruments sold,
but not yet purchased $ 58,453
1. Represents the netting of receivable balances with payable balances for the same counterparty under enforceable netting agreements.
2. Represents the netting of cash collateral received and posted on a counterparty basis under credit support agreements.
3. Represents the netting of receivable balances with payable balances for the same counterparty across levels of the fair value hierarchy under enforceable netting
agreements.
Goldman Sachs 2012 Annual Report 135