March 12, 2013 / 6:11 PM / in 5 years

SEC asked Goldman to disclose more about illiquid assets-filings

NEW YORK, March 12 (Reuters) - Goldman Sachs Group Inc began disclosing more information about the way it values illiquid assets after staff from the U.S. Securities and Exchange Commission pressured the bank to do so, according to documents released on Tuesday.

The Wall Street bank and SEC staff corresponded for five months about how Goldman treats its so-called “Level 3” assets, which change hands so infrequently that the bank determines values using its own internal models.

The SEC asked Goldman to disclose the effect of how it accounted for offsetting trades with derivatives trading counterparties, known as “counterparty netting.” It also requested information on cash collateral, as well as a weighted average of its “unobservable inputs” and additional “qualitative information” about the range of the data.

Goldman eventually changed its reporting to disclose what kind of inputs it uses in valuation models - such as bond yields, loss rates and durations of securities - to satisfy the SEC’s requests.

The letters involving Level 3 assets were sent from the fall of last year through February, but disclosed on Tuesday. The SEC also made public other correspondence in which it requested that Goldman provide more information on how it calculates its exposure to risky European countries.

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