Morgan Stanley 2015 Annual Report Download - page 175

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Derivative Assets
at December 31, 2014
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 ................................ $ 3,947 $ 1,053 $ — $ 5,000 $ 44,324 $ 27,692 $ — $ 72,016
Foreign exchange contracts ............................ 498 6 — 504 9,362 261 — 9,623
Total derivatives designated as accounting hedges ....... 4,445 1,059 — 5,504 53,686 27,953 — 81,639
Derivatives not designated as accounting hedges(2):
Interest rate contracts ................................ 281,214 211,552 407 493,173 4,854,953 9,187,454 1,467,056 15,509,463
Credit contracts ..................................... 27,776 4,406 — 32,182 806,441 167,390 — 973,831
Foreign exchange contracts ............................ 72,362 152 83 72,597 1,955,343 11,538 9,663 1,976,544
Equity contracts .................................... 23,208 — 24,916 48,124 299,363 — 271,164 570,527
Commodity contracts ................................ 17,698 — 6,717 24,415 115,792 — 156,440 272,232
Other ............................................. 376 — — 376 5,179 — — 5,179
Total derivatives not designated as accounting hedges .... 422,634 216,110 32,123 670,867 8,037,071 9,366,382 1,904,323 19,307,776
Total derivatives ....................................... $ 427,079 $ 217,169 $ 32,123 $ 676,371 $ 8,090,757 $ 9,394,335 $ 1,904,323 $ 19,389,415
Cash collateral netting .................................. (58,541) (4,654) — (63,195) — — — —
Counterparty netting .................................... (338,041) (210,922) (27,819) (576,782) — — — —
Total derivative assets ................................ $ 30,497 $ 1,593 $ 4,304 $ 36,394 $ 8,090,757 $ 9,394,335 $ 1,904,323 $ 19,389,415
Derivative Liabilities
at December 31, 2014
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 ................................ $ 125 $ 99 $ — $ 224 $ 2,024 $ 7,588 $ — $ 9,612
Foreign exchange contracts ............................ 5 1 — 6 1,491 121 — 1,612
Total derivatives designated as accounting hedges ....... 130 100 — 230 3,515 7,709 — 11,224
Derivatives not designated as accounting hedges(2):
Interest rate contracts ................................ 264,579 207,482 293 472,354 4,615,886 9,138,417 1,714,021 15,468,324
Credit contracts ..................................... 28,165 3,944 — 32,109 714,181 154,054 — 868,235
Foreign exchange contracts ............................ 72,156 169 21 72,346 1,947,178 11,477 1,761 1,960,416
Equity contracts .................................... 30,061 — 25,511 55,572 339,884 — 302,205 642,089
Commodity contracts ................................ 14,740 — 6,783 21,523 93,019 — 132,136 225,155
Other ............................................. 172 — — 172 5,478 — — 5,478
Total derivatives not designated as accounting hedges .... 409,873 211,595 32,608 654,076 7,715,626 9,303,948 2,150,123 19,169,697
Total derivatives ....................................... $ 410,003 $ 211,695 $ 32,608 $ 654,306 $ 7,719,141 $ 9,311,657 $ 2,150,123 $ 19,180,921
Cash collateral netting .................................. (37,054) (258) — (37,312) — — — —
Counterparty netting .................................... (338,041) (210,922) (27,819) (576,782) — — — —
Total derivative liabilities ............................. $ 34,908 $ 515 $ 4,789 $ 40,212 $ 7,719,141 $ 9,311,657 $ 2,150,123 $ 19,180,921
(1) Notional amounts include gross notionals related to open long and short futures contracts of $1,009.5 billion and $653.0 billion, respectively. The unsettled fair
value on these futures contracts (excluded from the table above) of $1,145 million and $437 million is included in Customer and other receivables and Customer
and other payables, respectively, in the consolidated statements of financial condition.
(2) Notional amounts include gross notionals related to open long and short futures contracts of $685.3 billion and $1,122.3 billion, respectively. The unsettled fair
value on these futures contracts (excluded from the table above) of $472 million and $21 million is included in Customer and other receivables and Customer
and other payables, respectively, in the consolidated statements of financial condition.
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