Morgan Stanley 2015 Annual Report Download - page 218

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MORGAN STANLEY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
(2) debt securities issued by other companies and a derivative contract, the terms of which will relate to the performance of a
specific equity security, equity index or other index. These transactions are designed to provide investors with exposure to
certain risks related to the specific equity security, equity index or other index. ELN transactions with SPEs were not
consolidated at December 31, 2015 and at December 31, 2014.
Managed Real Estate Partnerships.
The Company sponsors funds that invest in real estate assets. Certain of these funds are classified as VIEs, primarily because
the Company has provided financial support through lending facilities and other means. The Company also serves as the
general partner for these funds and owns limited partnership interests in them. These funds were consolidated at
December 31, 2015 and December 31, 2014.
Transfers of Assets with Continuing Involvement.
Transactions with SPEs in which the Company, acting as principal, transferred financial assets with continuing involvement
and received sales treatment are shown below.
At December 31, 2015
Residential
Mortgage
Loans
Commercial
Mortgage
Loans
U.S. Agency
Collateralized
Mortgage
Obligations
Credit-
Linked
Notes
and Other(1)
(dollars in millions)
SPE assets (unpaid principal balance)(2) .......................... $ 22,440 $ 72,760 $ 17,978 $ 12,235
Retained interests (fair value):
Investment grade ........................................... $ — $ 238 $ 649 $ —
Non-investment grade ....................................... 160 63 — 1,136
Total retained interests (fair value) ........................... $ 160 $ 301 $ 649 $ 1,136
Interests purchased in the secondary market (fair value):
Investment grade ........................................... $ — $ 88 $ 99 $ —
Non-investment grade ....................................... 60 63 — 10
Total interests purchased in the secondary market (fair value) ..... $ 60 $ 151 $ 99 $ 10
Derivative assets (fair value) ................................... $ — $ 343 $ — $ 151
Derivative liabilities (fair value) ................................ — — — 449
At December 31, 2014
Residential
Mortgage
Loans
Commercial
Mortgage
Loans
U.S. Agency
Collateralized
Mortgage
Obligations
Credit-
Linked
Notes
and Other(1)
(dollars in millions)
SPE assets (unpaid principal balance)(2) .......................... $ 26,549 $ 58,660 $ 20,826 $ 24,011
Retained interests (fair value):
Investment grade ........................................... $ 10 $ 117 $ 1,019 $ 57
Non-investment grade ....................................... 98 120 — 1,264
Total retained interests (fair value) ........................... $ 108 $ 237 $ 1,019 $ 1,321
Interests purchased in the secondary market (fair value):
Investment grade ........................................... $ 32 $ 129 $ 61 $ 423
Non-investment grade ....................................... 32 72 — 59
Total interests purchased in the secondary market (fair value) ..... $ 64 $ 201 $ 61 $ 482
Derivative assets (fair value) ................................... $ — $ 495 $ — $ 138
Derivative liabilities (fair value) ................................ — — — 86
212