Morgan Stanley 2015 Annual Report Download - page 219

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
(1) Amounts include CLO transactions managed by unrelated third parties.
(2) Amounts include assets transferred by unrelated transferors.
At December 31, 2015
Level 1 Level 2 Level 3 Total
(dollars in millions)
Retained interests (fair value):
Investment grade ............................................... $ — $ 886 $ 1 $ 887
Non-investment grade ........................................... — 17 1,342 1,359
Total retained interests (fair value) ............................... $ — $ 903 $ 1,343 $ 2,246
Interests purchased in the secondary market (fair value):
Investment grade ............................................... $ — $ 187 $ — $ 187
Non-investment grade ........................................... — 112 21 133
Total interests purchased in the secondary market (fair value) .......... $ — $ 299 $ 21 $ 320
Derivative assets (fair value) ........................................ $ — $ 466 $ 28 $ 494
Derivative liabilities (fair value) ..................................... — 110 339 449
At December 31, 2014
Level 1 Level 2 Level 3 Total
(dollars in millions)
Retained interests (fair value):
Investment grade ............................................. $ — $ 1,166 $ 37 $ 1,203
Non-investment grade ......................................... — 123 1,359 1,482
Total retained interests (fair value) ........................... $ — $ 1,289 $ 1,396 $ 2,685
Interests purchased in the secondary market (fair value):
Investment grade ............................................. $ — $ 644 $ 1 $ 645
Non-investment grade ......................................... — 129 34 163
Total interests purchased in the secondary market (fair value) ...... $ — $ 773 $ 35 $ 808
Derivative assets (fair value) ........................................ $ — $ 559 $ 74 $ 633
Derivative liabilities (fair value) ..................................... — 82 4 86
Transferred assets are carried at fair value prior to securitization, and any changes in fair value are recognized in the
consolidated statements of income. The Company may act as underwriter of the beneficial interests issued by these
securitization vehicles. Investment banking underwriting net revenues are recognized in connection with these transactions.
The Company may retain interests in the securitized financial assets as one or more tranches of the securitization. These
retained interests are included in the consolidated statements of financial condition at fair value. Any changes in the fair
value of such retained interests are recognized in the consolidated statements of income.
Net gains on sale of assets in securitization transactions at the time of the sale were not material in 2015, 2014 and 2013.
Proceeds from New Securitization Transactions and Retained Interests in Securitization Transactions.
2015 2014 2013
(dollars in millions)
Proceeds received from new securitization transactions ......................... $ 21,243 $ 20,553 $ 24,889
Proceeds from retained interests in securitization transactions .................... 3,062 3,041 4,614
The Company has provided, or otherwise agreed to be responsible for, representations and warranties regarding certain assets
transferred in securitization transactions sponsored by the Company (see Note 12).
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