Morgan Stanley 2009 Annual Report Download - page 161

Download and view the complete annual report

Please find page 161 of the 2009 Morgan Stanley annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.

Page out of 260

  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • 14
  • 15
  • 16
  • 17
  • 18
  • 19
  • 20
  • 21
  • 22
  • 23
  • 24
  • 25
  • 26
  • 27
  • 28
  • 29
  • 30
  • 31
  • 32
  • 33
  • 34
  • 35
  • 36
  • 37
  • 38
  • 39
  • 40
  • 41
  • 42
  • 43
  • 44
  • 45
  • 46
  • 47
  • 48
  • 49
  • 50
  • 51
  • 52
  • 53
  • 54
  • 55
  • 56
  • 57
  • 58
  • 59
  • 60
  • 61
  • 62
  • 63
  • 64
  • 65
  • 66
  • 67
  • 68
  • 69
  • 70
  • 71
  • 72
  • 73
  • 74
  • 75
  • 76
  • 77
  • 78
  • 79
  • 80
  • 81
  • 82
  • 83
  • 84
  • 85
  • 86
  • 87
  • 88
  • 89
  • 90
  • 91
  • 92
  • 93
  • 94
  • 95
  • 96
  • 97
  • 98
  • 99
  • 100
  • 101
  • 102
  • 103
  • 104
  • 105
  • 106
  • 107
  • 108
  • 109
  • 110
  • 111
  • 112
  • 113
  • 114
  • 115
  • 116
  • 117
  • 118
  • 119
  • 120
  • 121
  • 122
  • 123
  • 124
  • 125
  • 126
  • 127
  • 128
  • 129
  • 130
  • 131
  • 132
  • 133
  • 134
  • 135
  • 136
  • 137
  • 138
  • 139
  • 140
  • 141
  • 142
  • 143
  • 144
  • 145
  • 146
  • 147
  • 148
  • 149
  • 150
  • 151
  • 152
  • 153
  • 154
  • 155
  • 156
  • 157
  • 158
  • 159
  • 160
  • 161
  • 162
  • 163
  • 164
  • 165
  • 166
  • 167
  • 168
  • 169
  • 170
  • 171
  • 172
  • 173
  • 174
  • 175
  • 176
  • 177
  • 178
  • 179
  • 180
  • 181
  • 182
  • 183
  • 184
  • 185
  • 186
  • 187
  • 188
  • 189
  • 190
  • 191
  • 192
  • 193
  • 194
  • 195
  • 196
  • 197
  • 198
  • 199
  • 200
  • 201
  • 202
  • 203
  • 204
  • 205
  • 206
  • 207
  • 208
  • 209
  • 210
  • 211
  • 212
  • 213
  • 214
  • 215
  • 216
  • 217
  • 218
  • 219
  • 220
  • 221
  • 222
  • 223
  • 224
  • 225
  • 226
  • 227
  • 228
  • 229
  • 230
  • 231
  • 232
  • 233
  • 234
  • 235
  • 236
  • 237
  • 238
  • 239
  • 240
  • 241
  • 242
  • 243
  • 244
  • 245
  • 246
  • 247
  • 248
  • 249
  • 250
  • 251
  • 252
  • 253
  • 254
  • 255
  • 256
  • 257
  • 258
  • 259
  • 260

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
The Company enters into derivatives, generally interest rate swaps and interest rate caps with a senior payment
priority in many securitization transactions. The risks associated with these and similar derivatives with SPEs are
essentially the same as similar derivatives with non-SPE counterparties and are managed as part of the
Company’s overall exposure.
See Note 10 for further information on derivative instruments and hedging activities.
QSPEs. The following tables present information as of December 31, 2009 and December 31, 2008 regarding
QSPEs to which the Company, acting as principal, had transferred assets and received sales treatment, and
QSPEs sponsored by the Company to which the Company had not transferred assets (dollars in millions):
At December 31, 2009
Residential
Mortgage
Loans
Commercial
Mortgage
Loans
U.S. Agency
Collateralized
Mortgage
Obligations Other
QSPE assets (unpaid principal balance)(1) ................. $54,504 $115,223 $64,824 $2,753
Retained interests (fair value):
Investment grade ................................. $ 55 $ 364 $ 1,090 $ —
Non-investment grade ............................. 62 467 — —
Total retained interests (fair value) ............... $ 117 $ 831 $ 1,090 $ —
Interests purchased in the secondary market (fair value):
Investment grade ................................. $ 139 $ 430 $ 18 $ 3
Non-investment grade ............................. 178 52 — 43
Total interests purchased in the secondary market
(fair value) ................................ $ 317 $ 482 $ 18 $ 46
Derivatives (fair value) ................................ $ 192 $ 303 $ — $ 765
Assets serviced (unpaid principal balance) ................. $18,902 $ 10,901 $ — $ —
(1) Amounts include $56.6 billion of assets transferred to the QSPEs by unrelated transferors.
At December 31, 2008
Residential
Mortgage
Loans
Commercial
Mortgage
Loans
U.S. Agency
Collateralized
Mortgage
Obligations Other
QSPE assets (unpaid principal balance)(1) ................. $65,344 $112,557 $73,136 $2,684
Retained interests (fair value):
Investment grade ................................. $ 500 $ 482 $ 102 $ —
Non-investment grade ............................. 33 100 — —
Total retained interests (fair value) ............... $ 533 $ 582 $ 102 $ —
Interests purchased in the secondary market (fair value):
Investment grade ................................. $ 42 $ 156 $ 8 $ 23
Non-investment grade ............................. 49 14 — 12
Total interests purchased in the secondary market
(fair value) ................................ $ 91 $ 170 $ 8 $ 35
Derivatives (fair value) ................................ $ 488 $ 515 $ — $1,156
Assets serviced (unpaid principal balance) ................. $23,211 $ 8,196 $ — $ —
(1) Amounts include $57.8 billion of assets transferred to the QSPEs by unrelated transferors.
156