Morgan Stanley 2014 Annual Report Download - page 196

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
At December 31, 2013.
Balance at
December 31,
2013
(dollars in
millions)
Valuation
Technique(s)
Significant Unobservable Input(s) /
Sensitivity of the Fair Value to Changes
in the Unobservable Inputs Range(1) Averages(2)
Assets
Trading assets:
Corporate and other debt:
Commercial mortgage-backed
securities $ 108 Comparable pricing Comparable bond price / (A) 40 to 93 points 78 points
Asset-backed securities 103 Discounted cash flow Discount rate / (C) 18% 18%
Corporate bonds 522 Comparable pricing Comparable bond price / (A) 1 to 159 points 85 points
Collateralized debt and loan
obligations
1,468 Comparable pricing(3) Comparable bond price / (A) 18 to 99 points 73 points
Correlation model Credit correlation / (B) 29 to 59% 43%
Loans and lending commitments 5,129 Corporate loan model Credit spread / (C) 28 to 487 basis points 249 basis points
Margin loan model Credit spread / (C)(D) 10 to 265 basis points 135 basis points
Volatility skew / (C)(D) 3 to 40% 14%
Comparable bond price / (A)(D) 80 to 120 points 100 points
Option model Volatility skew / (C) -1 to 0% 0%
Comparable pricing(3) Comparable loan price / (A) 10 to 100 points 76 points
Corporate equities(4) 190 Net asset value(3) Discount to net asset value / (C) 0 to 85% 43%
Comparable pricing Comparable equity price / (A) 100% 100%
Comparable pricing Comparable price / (A) 100% 100%
Market approach EBITDA multiple / (A)(D) 5 to 9 times 6 times
Price / Book ratio / (A)(D) 0 to 1 times 1 times
Net derivative and other contracts(5):
Interest rate contracts 113 Option model Interest rate volatility concentration
liquidity multiple / (C)(D)
0 to 6 times 2 times
Comparable bond price / (A)(D) 5 to 100 points 58 points / 65 points(6)
Interest rate—Foreign exchange
correlation / (A)(D) 3 to 63% 43% / 48 %(6)
Interest rate volatility skew / (A)(D) 24 to 50% 33% / 28%(6)
Interest rate quanto correlation / (A)(D) -11 to 34% 8% / 5%(6)
Interest rate curve correlation / (A)(D) 46 to 92% 74% / 80%(6)
Inflation volatility / (A)(D) 77 to 86% 81% / 80%(6)
Credit contracts (147) Comparable pricing Cash synthetic basis / (C)(D) 2 to 5 points 4 points
Comparable bond price / (C)(D) 0 to 75 points 27 points
Correlation model(3) Credit correlation / (B) 19 to 96% 56%
Foreign exchange contracts(7) 68 Option model Comparable bond price / (A)(D) 5 to 100 points 58 points / 65 points(6)
Interest rate quanto correlation / (A)(D) -11 to 34% 8% / 5%(6)
Interest rate curve correlation / (A)(D) 46 to 92% 74% / 80%(6)
Interest rate—Foreign exchange
correlation / (A)(D)
3 to 63% 43% / 48%(6)
Interest rate volatility skew / (A)(D) 24 to 50% 33% / 28%(6)
Interest rate curve / (A)(D) 0 to 1% 1% / 0%(6)
Equity contracts(7) (831) Option model At the money volatility / (A)(D) 20 to 53% 31%
Volatility skew / (A)(D) -3 to 0% -1%
Equity—Equity correlation / (C)(D) 40 to 99% 69%
Equity—Foreign exchange
correlation / (C)(D)
-50 to 9% -20%
Equity—Interest rate
correlation / (C)(D)
-4 to 70% 39% / 40%(6)
Commodity contracts 880 Option model Forward power price / (C)(D) $14 to $91 per $40 per
Megawatt hour Megawatt hour
Commodity volatility / (A)(D) 11 to 30% 14%
Cross commodity correlation / (C)(D) 34 to 99% 93%
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