Morgan Stanley 2010 Annual Report Download - page 238

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
(1) Cash and cash equivalents, securities purchased under agreements to resell, other receivables and other liabilities are valued at cost,
which approximates fair value.
(2) Derivative and other contracts in an asset position include investments in interest rate swaps of $71 million.
(3) Commingled trust funds include investments in cash funds and fixed income funds of $58 million and $619 million, respectively.
(4) Foreign funds include investments in equity funds, bond funds and targeted cash flow funds of $19 million, $92 million and $95 million,
respectively.
(5) Derivative and other contracts in a liability position include investments in listed derivatives and interest rate swaps of $1 million and
$156 million, respectively.
The following table presents the fair value of the net pension plan assets at December 31, 2009:
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
Significant
Observable Inputs
(Level 2)
Significant
Unobservable
Inputs (Level 3) Total
(dollars in millions)
Assets:
Investments:
Cash and cash equivalents(1) ................. $ 9 $ — $— $ 9
U.S. government and agency securities:
U.S. Treasury securities ................. 720 — — 720
U.S. agency securities .................. 12 318 — 330
Total U.S. government and agency
securities .......................... 732 318 — 1,050
Other sovereign government obligations ........ 10 7 — 17
Corporate and other debt:
State and municipal securities ............ — 5 — 5
Asset-backed securities ................. — 6 — 6
Corporate bonds ....................... — 419 — 419
Collateralized debt obligations ........... — 12 — 12
Total corporate and other debt ............ — 442 — 442
Corporate equities ......................... 44 — — 44
Derivative and other contracts(2) ............. 2 32 — 34
Derivative-related cash collateral ............. — 103 — 103
Commingled trust funds(3) .................. — 647 12 659
Foreign funds(4) .......................... — 184 — 184
Other investments ......................... — 10 2 12
Total investments ...................... 797 1,743 14 2,554
Receivables:
Securities purchased under agreements to
resell(1) ............................... — 29 — 29
Other receivables(1) ........................ — 43 — 43
Total receivables ...................... — 72 — 72
Total assets ................................... $797 $1,815 $ 14 $2,626
Liabilities:
Derivative and other contracts(5) ................. $ 15 $ 160 $— $ 175
Other liabilities(1) ............................. — 45 — 45
Total liabilities ................................ 15 205 — 220
Net pension assets ......................... $782 $1,610 $ 14 $2,406
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