Morgan Stanley 2010 Annual Report Download - page 115

“Event-Driven” Loans and Lending Commitments at December 31, 2010 and December 31, 2009.
Included in the total corporate lending exposure amounts in the table above at December 31, 2010 is “event-
driven” exposure of $5.4 billion composed of funded loans of $1.3 billion and lending commitments of $4.1
billion. Included in the $5.4 billion of “event-driven” exposure at December 31, 2010 were $4.9 billion of loans
and lending commitments to non-investment grade borrowers that were closed.
Included in the total corporate lending exposure amounts in the table above at December 31, 2009 is “event-
driven” exposure of $5.6 billion composed of funded loans of $2.8 billion and lending commitments of $2.8
billion. Included in the $5.6 billion of “event-driven” exposure at December 31, 2009 were $3.7 billion of loans
and lending commitments to non-investment grade borrowers that were closed.
Activity associated with the corporate “event-driven” lending exposure during 2010 was as follows (dollars in
millions):
“Event-driven” lending exposures at December 31, 2009 ..................................... $5,621
Closed commitments .................................................................. 3,636
Net reductions, primarily through distributions ............................................. (3,720)
Mark-to-market adjustments ............................................................ (128)
“Event-driven” lending exposures at December 31, 2010 ..................................... $5,409
Credit Exposure—Derivatives. 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 at December 31, 2010 and
December 31, 2009. 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, 2010(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 .................. $ 802 $ 2,005 $ 1,242 $ 8,823 $ (5,906) $ 6,966 $ 6,683
AA.................... 6,601 6,760 5,589 17,844 (27,801) 8,993 7,877
A ..................... 8,655 8,710 6,507 26,492 (36,397) 13,967 12,383
BBB................... 2,982 4,109 2,124 7,347 (9,034) 7,528 6,001
Non-investment grade ..... 2,628 3,231 1,779 4,456 (4,355) 7,739 5,348
Total .............. $21,668 $ 24,815 $17,241 $64,962 $(83,493) $45,193 $38,292
(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 Company’s Credit Risk Management Department.
(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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