Morgan Stanley 2014 Annual Report Download - page 250

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
The tables below summarize the credit ratings and maturities of protection sold through credit default swaps and
other credit contracts at December 31, 2014 and December 31, 2013:
At December 31, 2014
Maximum Potential Payout/Notional
Fair Value
(Asset)/
Liability(1)(2)
Years to Maturity
Credit Ratings of the Reference Obligation Less than 1 1-3 3-5 Over 5 Total
(dollars in millions)
Single name credit default swaps:
AAA ........................ $ 2,385 $ 9,400 $ 6,147 $ 692 $ 18,624 $ (113)
AA.......................... 9,080 23,701 14,769 3,318 50,868 (688)
A ........................... 22,861 52,291 22,083 2,944 100,179 (1,962)
BBB ........................ 48,547 114,384 60,629 13,536 237,096 (1,489)
Non-investment grade ........... 29,857 66,066 29,011 3,714 128,648 1,773
Total ............................ 112,730 265,842 132,639 24,204 535,415 (2,479)
Index and basket credit default
swaps(3):
AAA ........................ 17,625 31,124 7,265 1,883 57,897 (985)
AA.......................... 704 6,512 716 2,864 10,796 (270)
A ........................... 1,283 6,841 10,154 30 18,308 (465)
BBB ........................ 30,265 40,575 60,141 7,730 138,711 (2,904)
Non-investment grade ........... 25,750 88,105 22,971 10,109 146,935 492
Total ............................ 75,627 173,157 101,247 22,616 372,647 (4,132)
Total credit default swaps sold ........ $188,357 $438,999 $233,886 $46,820 $908,062 $(6,611)
Other credit contracts(4)(5) .......... $ 51 $ 539 $ 1 $ 620 $ 1,211 $ (500)
Total credit derivatives and other credit
contracts ....................... $188,408 $439,538 $233,887 $47,440 $909,273 $(7,111)
(1) Fair value amounts are shown on a gross basis prior to cash collateral or counterparty netting.
(2) Fair value amounts of certain credit default swaps where the Company sold protection have an asset carrying value because credit
spreads of the underlying reference entity or entities tightened during the term of the contracts.
(3) Credit ratings are calculated internally.
(4) Other credit contracts include CLNs, CDOs and credit default swaps that are considered hybrid instruments.
(5) Fair value amounts shown represent the fair value of the hybrid instruments.
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