Morgan Stanley 2014 Annual Report Download - page 285

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
The following table presents the fair value of the net pension plan assets at December 31, 2014. There were no
transfers between levels during 2014:
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
Significant
Observable Inputs
(Level 2)
Significant
Unobservable
Inputs (Level 3) Total
(dollars in millions)
Assets:
Investments:
Cash and cash equivalents(1) ................... $ 63 $ — $— $ 63
U.S. government and agency securities:
U.S. Treasury securities ................... 1,332 — — 1,332
U.S. agency securities .................... — 265 — 265
Total U.S. government and agency securities . . 1,332 265 — 1,597
Corporate and other debt:
State and municipal securities .............. — 2 — 2
Collateralized debt obligations ............. — 62 — 62
Total corporate and other debt .............. — 64 — 64
Derivative contracts(2) ....................... — 292 — 292
Derivative-related cash collateral receivable ....... — 2 — 2
Commingled trust funds(3) .................... — 1,432 — 1,432
Foreign funds(4) ............................ — 347 — 347
Other investments ........................... — — 36 36
Total investments ........................ 1,395 2,402 36 3,833
Receivables:
Other receivables(1) .......................... — 27 — 27
Total receivables ........................ — 27 — 27
Total assets ..................................... $1,395 $2,429 $ 36 $3,860
Liabilities:
Derivative contracts(5) ........................... $ — $ 33 $— $ 33
Derivative-related cash collateral payable ............. — 2 — 2
Other liabilities(1) ............................... — 120 — 120
Total liabilities .................................. $ — $ 155 $— $ 155
Net pension assets ........................... $1,395 $2,274 $ 36 $3,705
(1) Cash and cash equivalents, other receivables and other liabilities are valued at their carrying value, which approximates fair value.
(2) Derivative contracts in an asset position consist of investments in interest rate swaps of $292 million.
(3) Commingled trust funds consist of investments in fixed income funds and money market funds of $1,280 million and $152 million,
respectively.
(4) Foreign funds include investments in fixed income funds, targeted cash flow funds and liquidity funds of $158 million, $136 million and
$53 million, respectively.
(5) Derivative contracts in a liability position consist of investments in interest rate swaps of $33 million.
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