Morgan Stanley 2015 Annual Report Download - page 214

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Non-consolidated VIEs.
The tables below include all VIEs in which the Company has determined that its maximum exposure to loss is greater than
specific thresholds or meets certain other criteria. Most of the VIEs included in the tables below are sponsored by unrelated
parties; the Company’s involvement generally is the result of its secondary market-making activities and securities held in its
Investment securities portfolio (see Note 5):
At December 31, 2015
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) ................... $ 126,872 $ 8,805 $ 4,654 $ 2,201 $ 20,775
Maximum exposure to loss:
Debt and equity interests(2) .................... $ 13,361 $ 1,259 $ 1 $ 1,129 $ 3,854
Derivative and other contracts .................. — — 2,834 — 67
Commitments, guarantees and other .............. 494 231 — 361 222
Total maximum exposure to loss .............. $ 13,855 $ 1,490 $ 2,835 $ 1,490 $ 4,143
Carrying value of exposure to loss—Assets:
Debt and equity interests(2) .................... $ 13,361 $ 1,259 $ 1 $ 685 $ 3,854
Derivative and other contracts .................. — — 5 — 13
Total carrying value of exposure to
loss—Assets ............................ $ 13,361 $ 1,259 $ 6 $ 685 $ 3,867
Carrying value of exposure to loss—Liabilities:
Derivative and other contracts .................. $ — $ — $ — $ — $ 15
Commitments, guarantees and other .............. — — — 3 —
Total carrying value of exposure to loss—
Liabilities .............................. $ — $ — $ — $ 3 $ 15
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