You are a credit analyst at Morgan Stanley (MS). You have been asked to perform a Credit Value Adjustment for the following two option trades with Goldman Sachs (GS).

A market risk analyst has already estimated the counter party Expected Exposures in Bloomberg. Use the information on your company, MS, your counterparty, GS, and the trades to estimate the values below.

CVA---------------------

DVA-------------------

Accounting value of the transactions with Goldman Sachs?

Long APPL Call option on 108,000 shares.

The expected exposure is $5,000,399.92

Short MSFT Put option on 74,500 shares

Your market risk analyst estimates the value to Morgan Stanley to be -$2,495,705.

Goldman Sachs Bond Morgan Stanley Bond Reference Treasury