Morgan Stanley 2015 Annual Report Download - page 97

Roll-forward of RWAs Calculated under the U.S. Basel III Advanced Approach Transitional Rules.
2015(1)
(dollars in millions)
Credit risk RWAs:
Balance at December 31, 2014 ............................................................. $ 184,645
Change related to the following items:
Derivatives ......................................................................... (6,509)
Securities financing transactions ........................................................ 1,486
Other counterparty credit risk .......................................................... (39)
Securitizations ...................................................................... 4,071
Credit valuation adjustment ............................................................ (3,303)
Investment securities ................................................................. 1,402
Loans ............................................................................. (247)
Cash .............................................................................. (682)
Equity investments .................................................................. (4,794)
Other credit risk(2) .................................................................. (2,444)
Total change in credit risk RWAs ........................................................... $ (11,059)
Balance at December 31, 2015 ............................................................. $ 173,586
Market risk RWAs:
Balance at December 31, 2014 ............................................................. $ 121,363
Change related to the following items:
Regulatory VaR ..................................................................... (1,575)
Regulatory stressed VaR .............................................................. (16,256)
Incremental risk charge ............................................................... (9,826)
Comprehensive risk measure ........................................................... (2,750)
Specific risk:
Non-securitizations .............................................................. (3,848)
Securitizations .................................................................. (15,632)
Total change in market risk RWAs .......................................................... $ (49,887)
Balance at December 31, 2015 ............................................................. $ 71,476
Operational risk RWAs:
Balance at December 31, 2014 ............................................................. $ 150,000
Change in operational risk RWAs(3) .................................................... (10,900)
Balance at December 31, 2015 ............................................................. $ 139,100
VaR—Value-at-Risk.
(1) The RWAs for each category in the table reflect both on- and off-balance sheet exposures, where appropriate.
(2) Amount reflects assets not in a defined category, non-material portfolios of exposures and unsettled transactions.
(3) Amount primarily reflects model recalibration related to residential mortgage litigation expense recorded in 2014.
Pro Forma Regulatory Capital Ratios.
Pro Forma Estimates under the Fully Phased-in U.S. Basel III Advanced and Standardized Approaches.
At December 31, 2015
U.S. Basel III
Advanced Approach
U.S. Basel III
Standardized Approach
(dollars in millions)
Common Equity Tier 1 capital ........................................... $ 55,441 $ 55,441
Total RWAs .......................................................... 395,277 373,421
Common Equity Tier 1 ratio ............................................. 14.0% 14.8%
Required Common Equity Tier 1 ratio at January 1, 2019(1) .................... 10.0% 10.0%
(1) Includes the applicable minimum risk-based capital ratio and capital conservation buffer and assumes that: (1) the G-SIB capital surcharge for the Company
remains at 3% as calculated by the Federal Reserve in July 2015; and (2) no countercyclical buffer has been deployed.
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