Morgan Stanley 2009 Annual Report Download - page 177

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
The tables below present a summary by counterparty credit rating and remaining contract maturity of the fair
value of OTC derivatives in a gain position as of December 31, 2009 and December 31, 2008, respectively. Fair
value is presented in the final column net of collateral received (principally cash and U.S. government and
agency securities):
OTC Derivative Products—Financial Instruments Owned at December 31, 2009(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 .............. $ 852 $ 2,026 $ 3,876 $ 9,331 $ (6,616) $ 9,469 $ 9,082
AA ............... 6,469 7,855 6,600 15,071 (25,576) 10,419 8,614
A ................. 8,018 10,712 7,990 22,739 (38,971) 10,488 9,252
BBB .............. 3,032 4,193 2,947 7,524 (8,971) 8,725 5,902
Non-investment
grade ............ 2,773 3,331 2,113 4,431 (4,534) 8,114 6,525
Total .......... $21,144 $28,117 $23,526 $59,096 $(84,668) $47,215 $39,375
(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 the Credit Risk Management Department 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.
OTC Derivative Products—Financial Instruments Owned at December 31, 2008(1)
Credit Rating(2)
Years to Maturity
Cross-Maturity
and
Cash Collateral
Netting(3)
Net Exposure
Post-Cash
Collateral
Net Exposure
Post-
CollateralLess 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 the Credit Risk Management Department 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.
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