Morgan Stanley 2014 Annual Report Download - page 242

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
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, 2014 and December 31, 2013. Fair value is
presented in the final column, net of collateral received (principally cash and U.S. government and agency
securities):
OTC Derivative Products—Trading Assets at December 31, 2014(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 ................ $ 499 $ 246 $ 1,313 $ 4,281 $ (5,009) $ 1,330 $ 1,035
AA ................. 2,679 2,811 2,704 14,137 (15,415) 6,916 4,719
A ................... 11,733 10,833 7,585 23,968 (43,644) 10,475 6,520
BBB ................ 5,119 3,753 2,592 13,132 (15,844) 8,752 6,035
Non-investment grade . . 3,196 3,089 1,541 2,499 (5,727) 4,598 3,918
Total ............ $23,226 $20,732 $15,735 $58,017 $(85,639) $32,071 $22,227
(1) Fair values shown represent the Company’s net exposure to counterparties related to the Company’s OTC derivative products. Amounts
include centrally cleared OTC derivatives. The table does not include exchange-traded derivatives and the effect of any related hedges
utilized by the Company.
(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.
OTC Derivative Products—Trading Assets at December 31, 2013(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 ................. $ 300 $ 752 $ 1,073 $ 3,664 $ (3,721) $ 2,068 $ 1,673
AA .................. 2,687 3,145 3,377 9,791 (13,515) 5,485 3,927
A.................... 7,382 8,428 9,643 17,184 (35,644) 6,993 4,970
BBB ................. 2,617 3,916 3,228 13,693 (16,191) 7,263 4,870
Non-investment grade . . . 2,053 2,980 1,372 2,922 (4,737) 4,590 2,174
Total ............. $15,039 $19,221 $18,693 $47,254 $(73,808) $26,399 $17,614
(1) Fair values shown represent the Company’s net exposure to counterparties related to the Company’s OTC derivative products. Amounts
include centrally cleared OTC derivatives. The table does not include exchange-traded derivatives and the effect of any related hedges
utilized by the Company.
(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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