Morgan Stanley 2014 Annual Report Download - page 211

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Less than 12 Months 12 Months or Longer Total
At December 31, 2013 Fair Value
Gross
Unrealized
Losses Fair Value
Gross
Unrealized
Losses Fair Value
Gross
Unrealized
Losses
(dollars in millions)
AFS debt securities:
U.S. government and agency securities:
U.S. Treasury securities ........... $13,266 $139 $ — $— $13,266 $139
U.S. agency securities ............. 8,438 211 651 23 9,089 234
Total U.S. government and agency
securities ................... 21,704 350 651 23 22,355 373
Corporate and other debt:
Commercial mortgage-backed
securities:
Agency ...................... 958 15 1,270 69 2,228 84
Non-agency ................... 841 16 86 2 927 18
Auto loan asset-backed securities .... 557 1 85 — 642 1
Corporate bonds ................. 2,350 52 383 9 2,733 61
Collateralized loan obligations ...... 1,067 20 — — 1,067 20
FFELP student loan asset-backed
securities ..................... 1,388 7 76 1 1,464 8
Total corporate and other debt .... 7,161 111 1,900 81 9,061 192
Total AFS debt securities .............. 28,865 461 2,551 104 31,416 565
AFS equity securities ................. 13 2 — — 13 2
Total Investment securities ............. $28,878 $463 $2,551 $104 $31,429 $567
As discussed in Note 2, AFS securities and HTM securities with a current fair value less than their amortized cost
are analyzed as part of the Company’s ongoing assessment of temporary versus other-than-temporarily impaired
at the individual security level. The unrealized losses on AFS debt securities reported above are primarily due to
rising long-term interest rates since those securities were purchased. While the securities in an unrealized loss
position greater than twelve months have increased in 2014, the risk of credit loss is considered minimal because
all of the Company’s agency securities as well as the Company’s ABS, CMBS and CLOs are highly rated and
because the Company’s corporate bonds are all investment grade. The Company does not intend to sell and is not
likely to be required to sell its AFS debt securities prior to recovery of its amortized cost basis. The Company
does not expect to experience a credit loss on its AFS debt securities or HTM securities based on consideration of
the relevant information (as discussed in Note 2), including for U.S. government and agency securities, the
existence of the explicit and implicit guarantee provided by the U.S. government. The Company believes that its
AFS debt securities with an unrealized loss position were not other-than-temporarily impaired at December 31,
2014 and December 31, 2013.
For AFS equity securities in an unrealized loss position, the Company does not intend to sell these securities or
expect to be required to sell these securities prior to the recovery of the amortized cost basis. The Company
believes that the equity securities with an unrealized loss in AOCI were not other-than-temporarily impaired at
December 31, 2014 and December 31, 2013.
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