Morgan Stanley 2010 Annual Report Download - page 161

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
(losses) for assets and liabilities within the Level 3 category presented in the tables below do not reflect the
related realized and unrealized gains (losses) on hedging instruments that have been classified by the Company
within the Level 1 and/or Level 2 categories.
Additionally, both observable and unobservable inputs may be used to determine the fair value of positions that
the Company has classified within the Level 3 category. As a result, the unrealized gains (losses) during the
period for assets and liabilities within the Level 3 category presented in the tables below may include changes in
fair value during the period that were attributable to both observable (e.g., changes in market interest rates) and
unobservable (e.g., changes in unobservable long-dated volatilities) inputs.
For assets and liabilities that were transferred into Level 3 during the period, gains (losses) are presented as if the
assets or liabilities had been transferred into Level 3 at the beginning of the period; similarly, for assets and
liabilities that were transferred out of Level 3 during the period, gains (losses) are presented as if the assets or
liabilities had been transferred out at the beginning of the period.
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for 2010
Beginning
Balance at
December 31,
2009
Total Realized
and Unrealized
Gains (Losses)(1)
Purchases,
Sales, Other
Settlements
and
Issuances, net
Net Transfers
In and/or
(Out) of
Level 3
Ending
Balance at
December 31,
2010
Unrealized
Gains (Losses)
for Level 3
Assets/
Liabilities
Outstanding at
December 31,
2010(2)
(dollars in millions)
Assets
Financial instruments owned:
U.S. agency securities ...... $ 36 $ (1) $ 13 $ (35) $ 13 $ (1)
Other sovereign government
obligations ............. 3 5 66 (1) 73 5
Corporate and other debt:
State and municipal
securities .......... 713 (11) (533) (59) 110 (12)
Residential mortgage-
backed securities .... 818 12 (607) 96 319 (2)
Commercial mortgage-
backed securities .... 1,573 35 (1,054) (366) 188 (61)
Asset-backed
securities .......... 591 10 (436) (152) 13 7
Corporate bonds ....... 1,038 (84) 403 11 1,368 41
Collateralized debt
obligations ......... 1,553 368 (259) (3) 1,659 189
Loans and lending
commitments ....... 12,506 203 (376) (667) 11,666 214
Other debt ............ 1,662 44 (92) (1,421) 193 49
Total corporate and
other debt ...... 20,454 577 (2,954) (2,561) 15,516 425
Corporate equities ......... 536 118 (189) 19 484 59
Net derivative and other
contracts:
Interest rate contracts . . . 387 238 (178) (23) 424 260
Credit contracts ....... 8,824 (1,179) 128 (1,179) 6,594 58
Foreign exchange
contracts ........... 254 (77) 33 (164) 46 (109)
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