Morgan Stanley 2015 Annual Report Download - page 170

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
(2) Loans and other debt instrument-specific credit gains (losses) were determined by excluding the non-credit components of gains and losses, such as those due to
changes in interest rates.
(3) Gains (losses) on lending commitments were generally determined based on the differential between estimated expected client yields and contractual yields at
each respective period-end.
Net Difference of Contractual Principal Amount Over Fair Value.
At December 31, 2015 At December 31, 2014
(dollars in millions)
Loans and other debt(1) ................................................. $ 14,095 $ 14,990
Loans 90 or more days past due and/or on nonaccrual status(1)(2) ............... 11,651 12,916
Short-term and long-term borrowings(3) .................................... 508 (670)
(1) The majority of the difference between principal and fair value amounts for loans and other debt emanates from the distressed debt trading business, which
purchases distressed debt at amounts well below par.
(2) The aggregate fair value of loans that were in nonaccrual status, which includes all loans 90 or more days past due, was $1,853 million and $1,367 million at
December 31, 2015 and December 31, 2014, respectively. The aggregate fair value of loans that were 90 or more days past due was $885 million and $643
million at December 31, 2015 and December 31, 2014, respectively.
(3) Short-term and long-term borrowings do not include structured notes where the repayment of the initial principal amount fluctuates based on changes in the
reference price or index.
The tables above exclude non-recourse debt from consolidated VIEs, liabilities related to failed sales of financial assets,
pledged commodities and other liabilities that have specified assets attributable to them.
Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis.
Certain assets and liabilities were measured at fair value on a non-recurring basis and are not included in the tables above.
Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis.
Carrying Value
at December 31,
2015
Fair Value Measurements Using: Total Gains
(Losses) for
2015(1)Level 1 Level 2 Level 3
(dollars in millions)
Assets:
Loans(2) ...................................... $ 5,850 $ — $ 3,400 $ 2,450 $ (220)
Other investments(3) ............................ — — — — (3)
Premises, equipment and software costs(4) ........... — — — — (44)
Other assets(4) ................................. 31 — 31 — (22)
Total assets ..................................... $ 5,881 $ — $ 3,431 $ 2,450 $ (289)
Liabilities:
Other liabilities and accrued expenses(2) ............ $ 476 $ — $ 418 $ 58 $ (207)
Total liabilities ................................... $ 476 $ — $ 418 $ 58 $ (207)
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