Morgan Stanley 2009 Annual Report Download - page 108

OTC Derivative Products—Financial Instruments Owned at December 31, 2008(1)
Years to Maturity
Cross-Maturity
and
Cash Collateral
Netting(3)
Net Exposure
Post-Cash
Collateral
Net Exposure
Post-
CollateralCredit Rating(2) Less than 1 1-3 3-5 Over 5
(dollars in millions)
AAA .............. $ 1,928 $ 3,588 $ 6,235 $16,623 $ (11,060) $17,314 $15,849
AA ............... 10,447 13,133 16,589 40,423 (63,498) 17,094 15,018
A ................. 7,150 7,514 7,805 21,752 (31,025) 13,196 12,034
BBB .............. 4,666 7,414 4,980 8,614 (6,571) 19,103 14,101
Non-investment
grade ............ 8,219 8,163 5,416 7,341 (12,597) 16,542 12,131
Total .......... $32,410 $39,812 $41,025 $94,753 $(124,751) $83,249 $69,133
(1) Fair values shown represent the Company’s net exposure to counterparties related to the Company’s OTC derivative products. The table
does not include listed derivatives and the effect of any related hedges utilized by the Company. The table also excludes fair values
corresponding to other credit exposures, such as those arising from the Company’s lending activities.
(2) Obligor credit ratings are determined by Credit Risk Management using methodologies generally consistent with those employed by
external rating agencies.
(3) Amounts represent the netting of receivable balances with payable balances for the same counterparty across maturity categories.
Receivable and payable balances with the same counterparty in the same maturity category are netted within such maturity category,
where appropriate. Cash collateral received is netted on a counterparty basis, provided legal right of offset exists.
The following tables summarize the fair values of the Company’s OTC derivative products recorded in Financial
instruments owned and Financial instruments sold, not yet purchased by product category and maturity as of
December 31, 2009, including on a net basis, where applicable, reflecting the fair value of related non-cash
collateral for financial instruments owned:
OTC Derivative Products—Financial Instruments Owned at December 31, 2009
Years to Maturity
Cross-Maturity
and
Cash Collateral
Netting(1)
Net Exposure
Post-Cash
Collateral
Net Exposure
Post-
CollateralProduct Type Less than 1 1-3 3-5 Over 5
(dollars in millions)
Interest rate and currency
swaps, interest rate options,
credit derivatives and other
fixed income securities
contracts ................ $11,958 $19,556 $20,564 $57,240 $(76,255) $33,063 $29,444
Foreign exchange forward
contracts and options ...... 3,859 916 201 40 (1,994) 3,022 2,699
Equity securities contracts
(including equity swaps,
warrants and options) ...... 1,987 1,023 441 697 (2,065) 2,083 1,109
Commodity forwards, options
and swaps ............... 3,340 6,622 2,320 1,119 (4,354) 9,047 6,123
Total ................. $21,144 $28,117 $23,526 $59,096 $(84,668) $47,215 $39,375
(1) Amounts represent the netting of receivable balances with payable balances for the same counterparty across maturity and product
categories. Receivable and payable balances with the same counterparty in the same maturity category are netted within the maturity
category, where appropriate. Cash collateral received is netted on a counterparty basis, provided legal right of offset exists.
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