Morgan Stanley 2010 Annual Report Download - page 201

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Assets at
December 31, 2009
Liabilities at
December 31, 2009
Fair Value Notional Fair Value Notional
(dollars in millions)
Derivatives designated as accounting hedges:
Interest rate contracts .......................... $ 4,343 $ 69,026 $ 175 $ 12,248
Foreign exchange contracts ...................... 216 10,781 105 7,125
Total derivatives designated as accounting
hedges ................................ 4,559 79,807 280 19,373
Derivatives not designated as accounting hedges(1):
Interest rate contracts .......................... 622,786 16,285,375 599,291 16,123,706
Credit contracts ............................... 146,064 2,557,917 125,234 2,404,995
Foreign exchange contracts ...................... 52,312 1,174,815 51,369 1,107,989
Equity contracts .............................. 41,366 476,510 49,198 492,681
Commodity contracts .......................... 64,614 453,132 63,714 414,765
Other ....................................... 389 12,908 1,123 6,180
Total derivatives not designated as accounting
hedges ................................ 927,531 20,960,657 889,929 20,550,316
Total derivatives .................................. $932,090 $21,040,464 $ 890,209 $20,569,689
Cash collateral netting .............................. (62,738) — (31,729) —
Counterparty netting ............................... (820,271) — (820,271) —
Total derivatives .............................. $ 49,081 $21,040,464 $ 38,209 $20,569,689
(1) Notional amounts include net notionals related to long and short futures contracts of $434 billion and $696 billion, respectively. The
variation margin on these futures contracts (excluded from the table above) of $601 million and $27 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 2010 and 2009, 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:
Product Type 2010 2009
One Month Ended
December 31, 2008
(dollars in millions)
Gain (loss) recognized on derivatives .............................. $1,257 $(2,696) $ 1,237
Gain (loss) recognized on borrowings .............................. (604) 3,013 (1,231)
Total .................................................... $ 653 $ 317 $ 6
In addition, a gain of $17 million during fiscal 2008 was recognized in income related to hedge ineffectiveness.
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