Morgan Stanley 2015 Annual Report Download - page 180

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Credit Ratings of Reference Obligation and Maturities of Credit Protection Sold.
At December 31, 2015
Maximum Potential Payout/Notional
Fair Value
(Asset)/
Liability(1)
Years to Maturity
Less than 1 1-3 3-5 Over 5 Total
(dollars in millions)
Single name credit default swaps(2):
Investment grade ....................... $ 84,543 $ 138,467 $ 63,754 $ 12,906 $ 299,670 $ (1,831)
Non-investment grade ................... 38,054 56,261 24,432 2,389 121,136 3,811
Total ................................... $ 122,597 $ 194,728 $ 88,186 $ 15,295 $ 420,806 $ 1,980
Index and basket credit default swaps(2):
Investment grade ....................... $ 33,507 $ 59,403 $ 45,505 $ 5,327 $ 143,742 $ (1,977)
Non-investment grade ................... 52,590 43,899 15,480 13,002 124,971 782
Total ................................... $ 86,097 $ 103,302 $ 60,985 $ 18,329 $ 268,713 $ (1,195)
Total credit default swaps sold ............... $ 208,694 $ 298,030 $ 149,171 $ 33,624 $ 689,519 $ 785
Other credit contracts ...................... 19 107 2 332 460 (24)
Total credit derivatives and other credit
contracts .............................. $ 208,713 $ 298,137 $ 149,173 $ 33,956 $ 689,979 $ 761
At December 31, 2014
Maximum Potential Payout/Notional
Fair Value
(Asset)/
Liability(1)
Years to Maturity
Less than 1 1-3 3-5 Over 5 Total
(dollars in millions)
Single name credit default swaps(2):
Investment grade ........................ $ 82,873 $ 199,776 $ 103,628 $ 20,490 $ 406,767 $(4,252)
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(2):
Investment grade ........................ $ 49,877 $ 85,052 $ 78,276 $ 12,507 $ 225,712 $(4,624)
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 ...................... 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) In order to provide an indication of the current payment status or performance risk of the credit default swaps, a breakdown of credit default swaps based on the
Company’s internal credit ratings by investment grade and non-investment grade is provided. During 2015, the Company began utilizing its internal credit
ratings as compared with 2014 where external agency ratings, if available, were utilized. The change in the rating methodology did not have a significant impact
on investment grade versus non-investment grade classifications or the fair values.
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