Morgan Stanley 2014 Annual Report Download - page 193

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
At December 31, 2014.
Balance at
December 31,
2014
(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:
Residential mortgage-backed
securities $ 175 Comparable pricing Comparable bond price / (A) 3 to 90 points 15 points
Commercial mortgage-backed
securities 96 Comparable pricing Comparable bond price / (A) 0 to 7 points 1 points
Asset-backed securities 76 Comparable pricing Comparable bond price / (A) 0 to 62 points 23 points
Corporate bonds 386 Comparable pricing Comparable bond price / (A) 1 to 160 points 90 points
Collateralized debt and loan
obligations 1,152 Comparable pricing(3) Comparable bond price / (A) 20 to 100 points 66 points
Correlation model Credit correlation / (B) 47 to 65% 56%
Loans and lending
commitments 5,874 Corporate loan model Credit spread / (C) 36 to 753 basis points 373 basis points
Margin loan model Credit spread / (C)(D) 150 to 451 basis points 216 basis points
Volatility skew / (C)(D) 3 to 37% 21%
Discount rate / (C)(D) 2 to 3% 3%
Option model Volatility skew / (C) -1% -1%
Comparable pricing(3) Comparable loan price / (A) 15 to 105 points 89 points
Other debt 285 Comparable pricing(3) Comparable loan price / (A) 0 to 75 points 39 points
Comparable pricing Comparable bond price / (A) 15 points 15 points
Option model At the money volatility / (A) 15 to 54% 15%
Corporate equities(4) 272 Net asset value Discount to net asset value / (C) 0 to 71% 36%
Comparable pricing Comparable price / (A) 83 to 96% 85%
Comparable pricing(3) Comparable equity price / (A) 100% 100%
Market approach EBITDA multiple / (A)(D) 6 to 9 times 8 times
Price / Book ratio / (A)(D) 0 times 0 times
Net derivative and other
contracts(5):
Interest rate contracts (173) Option model Interest rate volatility concentration
liquidity multiple / (C)(D) 0 to 3 times 2 times
Interest rate—Foreign exchange
correlation / (A)(D)
28 to 62% 44% / 42%(6)
Interest rate volatility skew / (A)(D) 38 to 104% 86% / 60%(6)
Interest rate quanto
correlation / (A)(D)
-9 to 35%
6% / -6%(6)
Interest rate curve
correlation / (A)(D) 44 to 87% 73% / 80%(6)
Inflation volatility / (A)(D) 69 to 71% 70% / 71%(6)
Interest rate—Inflation
correlation / (A)(D) -44 to -40% -42% / -43%(6)
Credit contracts (743) Comparable pricing Cash synthetic basis / (C)(D) 5 to 13 points 9 points
Comparable bond price / (C)(D) 0 to 55 points 18 points
Correlation model(3) Credit correlation / (B) 42 to 95% 63%
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