Morgan Stanley 2014 Annual Report Download - page 220

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
At December 31, 2013
Mortgage- and
Asset-Backed
Securitizations
Collateralized
Debt
Obligations
Municipal
Tender
Option
Bonds
Other
Structured
Financings Other
(dollars in millions)
VIE assets that the Company does not consolidate
(unpaid principal balance)(1) .................. $177,153 $29,513 $3,079 $1,874 $10,119
Maximum exposure to loss:
Debt and equity interests(2) ................. $ 13,514 $ 2,498 $ 31 $1,142 $ 3,693
Derivative and other contracts ............... 15 23 1,935 — 146
Commitments, guarantees and other .......... — 272 — 649 527
Total maximum exposure to loss ......... $ 13,529 $ 2,793 $1,966 $1,791 $ 4,366
Carrying value of exposure to loss—Assets:
Debt and equity interests(2) ................. $ 13,514 $ 2,498 $ 31 $ 731 $ 3,693
Derivative and other contracts ............... 15 3 4 — 53
Total carrying value of exposure to loss—
Assets ............................ $ 13,529 $ 2,501 $ 35 $ 731 $ 3,746
Carrying value of exposure to loss—Liabilities:
Derivative and other contracts ............... $ — $ 2 $ — $ — $ 57
Commitments, guarantees and other .......... — — — 7 —
Total carrying value of exposure to loss—
Liabilities ......................... $ — $ 2 $ — $ 7 $ 57
(1) Mortgage- and asset-backed securitizations include VIE assets as follows: $16.9 billion of residential mortgages; $78.4 billion of
commercial mortgages; $31.5 billion of U.S. agency collateralized mortgage obligations; and $50.4 billion of other consumer or
commercial loans.
(2) Mortgage- and asset-backed securitizations include VIE debt and equity interests as follows: $1.3 billion of residential mortgages;
$2.0 billion of commercial mortgages; $5.3 billion of U.S. agency collateralized mortgage obligations; and $4.9 billion of other
consumer or commercial loans.
The Company’s maximum exposure to loss often differs from the carrying value of the variable interests held by
the Company. The maximum exposure to loss is dependent on the nature of the Company’s variable interest in
the VIEs and is limited to the notional amounts of certain liquidity facilities, other credit support, total return
swaps, written put options, and the fair value of certain other derivatives and investments the Company has made
in the VIEs. Liabilities issued by VIEs generally are non-recourse to the Company. Where notional amounts are
utilized in quantifying maximum exposure related to derivatives, such amounts do not reflect fair value write-
downs already recorded by the Company.
The Company’s maximum exposure to loss does not include the offsetting benefit of any financial instruments
that the Company may utilize to hedge these risks associated with the Company’s variable interests. In addition,
the Company’s maximum exposure to loss is not reduced by the amount of collateral held as part of a transaction
with the VIE or any party to the VIE directly against a specific exposure to loss.
Securitization transactions generally involve VIEs. Primarily as a result of its secondary market-making
activities, the Company owned additional securities issued by securitization SPEs for which the maximum
exposure to loss is less than specific thresholds. These additional securities totaled $14.0 billion and $12.5 billion
at December 31, 2014 and December 31, 2013, respectively. These securities were either retained in connection
with transfers of assets by the Company, acquired in connection with secondary market-making activities or held
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