Morgan Stanley 2015 Annual Report Download - page 154

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Assets and Liabilities Measured at Fair Value on a Recurring Basis.
Level 1 Level 2 Level 3
Counterparty
and Cash
Collateral
Netting
Balance at
December 31,
2015
(dollars in millions)
Assets at Fair Value
Trading assets:
U.S. government and agency securities:
U.S. Treasury securities .................................... $ 17,658 $ — $ — $ — $ 17,658
U.S. agency securities ..................................... 797 17,886 — — 18,683
Total U.S. government and agency securities ................. 18,455 17,886 — — 36,341
Other sovereign government obligations .......................... 13,559 7,400 4 — 20,963
Corporate and other debt:
State and municipal securities ............................... — 1,651 19 — 1,670
Residential mortgage-backed securities ........................ — 1,456 341 — 1,797
Commercial mortgage-backed securities ....................... — 1,520 72 — 1,592
Asset-backed securities .................................... — 494 25 — 519
Corporate bonds .......................................... — 9,959 267 — 10,226
Collateralized debt and loan obligations ....................... — 284 430 — 714
Loans and lending commitments(1) ........................... — 4,682 5,936 — 10,618
Other debt ............................................... — 2,263 448 — 2,711
Total corporate and other debt ............................ — 22,309 7,538 — 29,847
Corporate equities(2) ......................................... 106,296 379 433 — 107,108
Derivative and other contracts:
Interest rate contracts ...................................... 406 323,586 2,052 — 326,044
Credit contracts .......................................... — 22,258 661 — 22,919
Foreign exchange contracts ................................. 55 64,608 292 — 64,955
Equity contracts .......................................... 653 38,552 1,084 — 40,289
Commodity contracts ...................................... 3,140 10,654 3,358 — 17,152
Other ................................................... — 219 — — 219
Netting(3) ............................................... (3,840) (380,443) (3,120) (55,562) (442,965)
Total derivative and other contracts ........................ 414 79,434 4,327 (55,562) 28,613
Investments(4):
Principal investments ...................................... 20 44 486 — 550
Other ................................................... 163 310 221 — 694
Total investments ...................................... 183 354 707 — 1,244
Physical commodities ........................................ — 321 — — 321
Total trading assets(4) ..................................... 138,907 128,083 13,009 (55,562) 224,437
AFS securities ................................................. 34,351 32,408 — — 66,759
Securities received as collateral ................................... 11,221 3 1 — 11,225
Securities purchased under agreements to resell ...................... — 806 — — 806
Intangible assets ............................................... — — 5 — 5
Total assets measured at fair value ................................. $ 184,479 $ 161,300 $ 13,015 $ (55,562) $ 303,232
Liabilities at Fair Value
Deposits ...................................................... $ — $ 106 $ 19 $ — $ 125
Short-term borrowings .......................................... — 1,647 1 — 1,648
Trading liabilities:
U.S. government and agency securities:
U.S. Treasury securities .................................... 12,932 — — — 12,932
U.S. agency securities ..................................... 854 127 — — 981
Total U.S. government and agency securities ................. 13,786 127 — — 13,913
Other sovereign government obligations .......................... 10,970 2,558 — — 13,528
Corporate and other debt:
Commercial mortgage-backed securities ....................... — 2 — — 2
Corporate bonds .......................................... — 5,035 — — 5,035
Lending commitments ..................................... — 3 — — 3
Other debt ............................................... — 5 4 — 9
Total corporate and other debt ............................ — 5,045 4 — 5,049
Corporate equities(2) ......................................... 47,123 35 17 — 47,175
Derivative and other contracts:
Interest rate contracts ...................................... 466 305,151 1,792 — 307,409
Credit contracts .......................................... — 22,160 1,505 — 23,665
Foreign exchange contracts ................................. 22 65,177 151 — 65,350
Equity contracts .......................................... 570 42,447 3,115 — 46,132
Commodity contracts ...................................... 3,012 9,431 2,308 — 14,751
Other ................................................... — 43——43
Netting(3) ............................................... (3,840) (380,443) (3,120) (40,473) (427,876)
Total derivative and other contracts ........................ 230 63,966 5,751 (40,473) 29,474
Total trading liabilities ..................................... 72,109 71,731 5,772 (40,473) 109,139
Obligation to return securities received as collateral ................... 19,312 3 1 — 19,316
Securities sold under agreements to repurchase ....................... — 532 151 — 683
Other secured financings ......................................... — 2,393 461 — 2,854
Long-term borrowings .......................................... — 31,058 1,987 — 33,045
Total liabilities measured at fair value .............................. $ 91,421 $ 107,470 $ 8,392 $ (40,473) $ 166,810
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