Morgan Stanley 2015 Annual Report Download - page 174

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
The Company manages the market risk associated with its trading activities on a Company-wide basis, on a worldwide
trading division level and on an individual product basis.
Fair Value and Notional of Derivative Instruments.
Fair Value and Notional of Derivative Assets and Liabilities.
Derivative Assets
at December 31, 2015
Fair Value Notional
Bilateral
OTC
Cleared
OTC
Exchange
Traded Total
Bilateral
OTC
Cleared
OTC
Exchange
Traded Total
(dollars in millions)
Derivatives designated as accounting hedges:
Interest rate contracts ................................ $ 2,825 $ 1,442 $ — $ 4,267 $ 36,999 $ 35,362 $ — $ 72,361
Foreign exchange contracts ............................ 166 1 — 167 5,996 167 — 6,163
Total derivatives designated as accounting hedges ....... 2,991 1,443 — 4,434 42,995 35,529 — 78,524
Derivatives not designated as accounting hedges(1):
Interest rate contracts ................................ 220,289 101,276 212 321,777 4,348,002 5,748,525 1,218,645 11,315,172
Credit contracts ..................................... 19,310 3,609 — 22,919 585,731 139,301 — 725,032
Foreign exchange contracts ............................ 64,438 295 55 64,788 1,907,290 13,402 7,715 1,928,407
Equity contracts .................................... 20,212 — 20,077 40,289 316,770 — 229,859 546,629
Commodity contracts ................................ 13,114 — 4,038 17,152 67,449 — 82,313 149,762
Other ............................................. 219 — — 219 5,684 — — 5,684
Total derivatives not designated as accounting hedges .... 337,582 105,180 24,382 467,144 7,230,926 5,901,228 1,538,532 14,670,686
Total derivatives ....................................... $ 340,573 $ 106,623 $ 24,382 $ 471,578 $ 7,273,921 $ 5,936,757 $ 1,538,532 $ 14,749,210
Cash collateral netting .................................. (50,335) (1,037) — (51,372) — — — —
Counterparty netting .................................... (265,707) (104,294) (21,592) (391,593) — — — —
Total derivative assets ................................ $ 24,531 $ 1,292 $ 2,790 $ 28,613 $ 7,273,921 $ 5,936,757 $ 1,538,532 $ 14,749,210
Derivative Liabilities
at December 31, 2015
Fair Value Notional
Bilateral
OTC
Cleared
OTC
Exchange
Traded Total
Bilateral
OTC
Cleared
OTC
Exchange
Traded Total
(dollars in millions)
Derivatives designated as accounting hedges:
Interest rate contracts ................................ $ 20 $ 250 $ — $ 270 $ 3,560 $ 9,869 $ — $ 13,429
Foreign exchange contracts ............................ 56 6 — 62 4,604 455 — 5,059
Total derivatives designated as accounting hedges ....... 76 256 — 332 8,164 10,324 — 18,488
Derivatives not designated as accounting hedges(1):
Interest rate contracts ................................ 203,004 103,852 283 307,139 4,030,039 5,682,322 1,077,710 10,790,071
Credit contracts ..................................... 19,942 3,723 — 23,665 562,027 131,388 — 693,415
Foreign exchange contracts ............................ 65,034 232 22 65,288 1,868,015 13,322 2,655 1,883,992
Equity contracts .................................... 25,708 — 20,424 46,132 332,734 — 229,266 562,000
Commodity contracts ................................ 10,864 — 3,887 14,751 59,169 — 62,974 122,143
Other ............................................. 43 — — 43 4,114 — — 4,114
Total derivatives not designated as accounting hedges .... 324,595 107,807 24,616 457,018 6,856,098 5,827,032 1,372,605 14,055,735
Total derivatives ....................................... $ 324,671 $ 108,063 $ 24,616 $ 457,350 $6,864,262 $ 5,837,356 $ 1,372,605 $ 14,074,223
Cash collateral netting .................................. (33,332) (2,951) — (36,283) — — — —
Counterparty netting .................................... (265,707) (104,294) (21,592) (391,593) — — — —
Total derivative liabilities ............................. $ 25,632 $ 818 $ 3,024 $ 29,474 $ 6,864,262 $ 5,837,356 $ 1,372,605 $ 14,074,223
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