Morgan Stanley 2015 Annual Report Download - page 215

MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
At December 31, 2014
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)(3) ........................................... $ 174,548 $ 26,567 $ 3,449 $ 2,040 $ 19,237
Maximum exposure to loss:
Debt and equity interests(4) .............................. $ 15,028 $ 3,062 $ 13 $ 1,158 $ 3,884
Derivative and other contracts ............................ 15 2 2,212 — 164
Commitments, guarantees and other ....................... 1,054 432 — 617 429
Total maximum exposure to loss ........................ $ 16,097 $ 3,496 $ 2,225 $ 1,775 $ 4,477
Carrying value of exposure to loss—Assets:
Debt and equity interests(4) .............................. $ 15,028 $ 3,062 $ 13 $ 741 $ 3,884
Derivative and other contracts ............................ 15 2 4 — 74
Total carrying value of exposure to loss—Assets ........... $ 15,043 $ 3,064 $ 17 $ 741 $ 3,958
Carrying value of exposure to loss—Liabilities:
Derivative and other contracts ............................ $ — $ — $ — $ — $ 57
Commitments, guarantees and other ....................... — — — 5 —
Total carrying value of exposure to loss—Liabilities ........ $ — $ — $ — $ 5 $ 57
(1) Mortgage- and asset-backed securitizations include VIE assets as follows: $13.8 billion of residential mortgages; $57.3 billion of commercial mortgages; $13.2
billion of U.S. agency collateralized mortgage obligations; and $42.5 billion of other consumer or commercial loans.
(2) Mortgage- and asset-backed securitizations include VIE debt and equity interests as follows: $1.0 billion of residential mortgages; $2.9 billion of commercial
mortgages; $2.8 billion of U.S. agency collateralized mortgage obligations; and $6.7 billion of other consumer or commercial loans.
(3) Mortgage- and asset-backed securitizations include VIE assets as follows: $30.8 billion of residential mortgages; $71.9 billion of commercial mortgages; $20.6
billion of U.S. agency collateralized mortgage obligations; and $51.2 billion of other consumer or commercial loans.
(4) Mortgage- and asset-backed securitizations include VIE debt and equity interests as follows: $1.9 billion of residential mortgages; $2.4 billion of commercial
mortgages; $4.0 billion of U.S. agency collateralized mortgage obligations; and $6.8 billion of other consumer or commercial loans.
The Company’s maximum exposure to loss often differs from the carrying value of the variable interests held by the
Company. The maximum exposure to loss is dependent on the nature of the Company’s variable interest in the VIEs and is
limited to the notional amounts of certain liquidity facilities, other credit support, total return swaps, written put options, and
the fair value of certain other derivatives and investments the Company has made in the VIEs. Liabilities issued by VIEs
generally are non-recourse to the Company. Where notional amounts are utilized in quantifying maximum exposure related
to derivatives, such amounts do not reflect fair value write-downs already recorded by the Company.
The Company’s maximum exposure to loss does not include the offsetting benefit of any financial instruments that the
Company may utilize to hedge these risks associated with its variable interests. In addition, the Company’s maximum
exposure to loss is not reduced by the amount of collateral held as part of a transaction with the VIE or any party to the VIE
directly against a specific exposure to loss.
Securitization transactions generally involve VIEs. Primarily as a result of its secondary market-making activities, the
Company owned additional securities issued by securitization SPEs for which the maximum exposure to loss is less than
specific thresholds. These additional securities totaled $12.9 billion and $14.0 billion at December 31, 2015 and
December 31, 2014, respectively. These securities were either retained in connection with transfers of assets by the
Company, acquired in connection with secondary market-making activities or held as AFS securities in its Investment
securities portfolio (see Note 5). At December 31, 2015 and December 31, 2014, these securities consisted of securities
backed by residential mortgage loans, commercial mortgage loans or other consumer loans, such as credit card receivables,
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