Morgan Stanley 2015 Annual Report Download - page 187

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
At December 31, 2015
Amortized Cost Fair Value
Annualized
Average Yield
(dollars in millions)
FFELP student loan asset-backed securities:
After 1 year through 5 years ..................................... $ 88 $ 88 0.6%
After 5 years through 10 years ................................... 776 759 0.9%
After 10 years ................................................ 2,768 2,670 0.9%
Total ..................................................... 3,632 3,517
Total corporate and other debt ............................... 14,596 14,359 1.4%
Total AFS debt securities ................................... 67,254 66,752 1.3%
AFS equity securities .................................................. 15 7 — %
Total AFS securities ................................................... 67,269 66,759 1.3%
HTM securities:
U.S. government securities:
U.S. Treasury securities:
After 1 year through 5 years ..................................... 1,001 998 1.0%
Total ..................................................... 1,001 998
U.S. agency securities:
After 10 years ................................................ 4,223 4,190 2.3%
Total ..................................................... 4,223 4,190
Total HTM securities .................................................. 5,224 5,188 2.1%
Total Investment securities ............................................. $ 72,493 $71,947 1.3%
See Note 13 for additional information on securities issued by VIEs, including U.S. agency mortgage-backed securities, non-
agency CMBS, auto loan ABS, CLO and FFELP student loan ABS.
Gross Realized Gains and Gross Realized (Losses) on Sales of AFS Securities.
2015 2014 2013
(dollars in millions)
Gross realized gains ................................................................. $116 $41 $49
Gross realized (losses) ............................................................... (32) (1) (4)
Total ......................................................................... $ 84 $40 $45
Gross realized gains and losses are recognized in Other revenues in the consolidated statements of income.
6. Collateralized Transactions.
The Company enters into reverse repurchase agreements, repurchase agreements, securities borrowed and securities loaned
transactions to, among other things, acquire securities to cover short positions and settle other securities obligations, to
accommodate customers’ needs and to finance its inventory positions.
The Company manages credit exposure arising from such transactions by, in appropriate circumstances, entering into master
netting agreements and collateral agreements with counterparties that provide the Company, in the event of a counterparty
default (such as bankruptcy or a counterparty’s failure to pay or perform), with the right to net a counterparty’s rights and
obligations under such agreement and liquidate and set off collateral held by the Company against the net amount owed by
the counterparty.
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