Morgan Stanley 2010 Annual Report Download - page 116

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 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.
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 at
December 31, 2010 and 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, 2010
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 . . . $10,308 $17,447 $15,571 $62,224 $(73,708) $31,842 $28,158
Foreign exchange forward
contracts and options ........ 5,703 754 185 64 (2,984) 3,722 3,051
Equity securities contracts
(including equity swaps,
warrants and options) ....... 2,416 1,201 247 1,604 (2,587) 2,881 1,613
Commodity forwards, options
and swaps ................ 3,241 5,413 1,238 1,070 (4,214) 6,748 5,470
Total .................. $21,668 $24,815 $17,241 $64,962 $(83,493) $45,193 $38,292
(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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