Morgan Stanley 2015 Annual Report Download - page 185

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
At December 31, 2014
Less than 12 Months 12 Months or Longer Total
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 ....................... $11,410 $ 14 $ 5,924 $ 53 $17,334 $ 67
U.S. agency securities ........................ 2,739 6 4,133 66 6,872 72
Total U.S. government and agency securities .... 14,149 20 10,057 119 24,206 139
Corporate and other debt:
Commercial mortgage-backed securities:
Agency .................................. 42 — 1,822 76 1,864 76
Non-agency .............................. 706 3 346 3 1,052 6
Auto loan asset-backed securities ............... 2,034 5 — — 2,034 5
Corporate bonds ............................. 905 6 1,299 16 2,204 22
Collateralized loan obligations ................. — — 1,067 20 1,067 20
FFELP student loan asset-backed securities ....... 1,523 6 393 2 1,916 8
Total corporate and other debt ................ 5,210 20 4,927 117 10,137 137
Total AFS debt securities .......................... 19,359 40 14,984 236 34,343 276
AFS equity securities ............................. 11 4 — — 11 4
Total Investment securities ........................ $19,370 $ 44 $14,984 $ 236 $34,354 $ 280
The Company believes that there are no securities in an unrealized loss position that are deemed to be other-than-
temporarily-impaired at December 31, 2015 and December 31, 2014 for the reasons discussed below.
For AFS debt securities, the Company does not intend to sell the securities and is not likely to be required to sell the
securities prior to recovery of amortized cost basis. For AFS and HTM debt securities, the securities have not experienced
credit losses as the net unrealized losses reported in the table above are primarily due to higher interest rates since those
securities were purchased. Additionally, the Company does not expect to experience a credit loss based on consideration of
the relevant information (as discussed in Note 2), including for U.S. government and agency securities, the existence of an
explicit and implicit guarantee provided by the U.S. government. The risk of credit loss on securities in an unrealized loss
position is considered minimal because all of the Company’s agency securities as well as the Company’s asset-backed
securities, CMBS and CLOs are highly rated and because the Company’s corporate bonds are all investment grade.
For AFS equity securities, the Company has the intent and ability to hold these securities for a period of time sufficient to
allow for any anticipated recovery in market value.
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