Morgan Stanley 2009 Annual Report Download - page 180

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Assets at December 31, 2008 Liabilities at December 31, 2008
Fair Value Notional Fair Value Notional
(dollars in millions)
Derivatives designated as accounting hedges:
Interest rate contracts .................... $ 5,840 $ 60,980 $ 112 $ 3,631
Foreign exchange contracts ............... 422 4,796 162 4,303
Total derivatives designated as
accounting hedges ................ 6,262 65,776 274 7,934
Debt instruments designated as net investment
hedges(1) ............................... — — 4,077 4,077
Total derivatives and non-derivatives
designated as accounting hedges ..... 6,262 65,776 4,351 12,011
Derivatives not designated as accounting
hedges(2):
Interest rate contracts .................... 843,295 13,531,925 820,697 13,616,244
Credit contracts ........................ 470,548 3,688,445 442,118 3,594,335
Foreign exchange contracts ............... 98,345 1,077,928 99,219 1,027,042
Equity contracts ........................ 66,763 595,918 66,946 607,349
Commodity contracts .................... 116,213 883,441 112,836 639,555
Other ................................ 1,520 17,797 2,804 25,131
Total derivatives not designated as
accounting hedges ................ 1,596,684 19,795,454 1,544,620 19,509,656
Total derivatives ............................ $1,602,946 $19,861,230 $ 1,544,894 $19,517,590
Cash collateral netting ....................... (88,134) — (50,946) —
Counterparty netting ........................ (1,425,394) — (1,425,394) —
Total derivatives .................... $ 89,418 $19,861,230 $ 68,554 $19,517,590
(1) The notional amount for foreign currency debt instruments designated as net investment hedges represents the principal amount at
current exchange rates.
(2) Notional amounts include net notionals related to long and short futures contracts of $247 billion and $717 billion, respectively. The
variation margin on these futures contracts (excluded from the table above) of $1,927 million and $77 million is included in
Receivables—brokers, dealers and clearing organizations and Payables—brokers, dealers and clearing organizations, respectively, on the
consolidated statements of financial condition.
The following tables summarize the gains or losses reported on derivative instruments designated and qualifying
as accounting hedges for 2009 and the one month ended December 31, 2008, respectively.
Derivatives Designated as Fair Value Hedges.
The following table presents gains (losses) reported on derivative instruments and the related hedge item as well
as the hedge ineffectiveness included in Interest expense in the consolidated statements of income from interest
rate contracts:
2009
One Month Ended
December 31, 2008
(dollars in millions)
(Loss) gain recognized on derivatives ..................................... $(2,696) $ 1,237
Gain (loss) recognized on borrowings ..................................... 3,013 (1,231)
Total ........................................................... $ 317 $ 6
In addition, a gain of $17 million during fiscal 2008 and a gain of $132 million during fiscal 2007 were
recognized in income related to hedge ineffectiveness.
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