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Midas Edge

MORGAN STANLEY

For the period ended Dec 31, 2023. Filed Feb 22, 2024.

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About this filing

A company's yearly report to the SEC, with audited financial statements. It is the fullest account a company gives of its business, its finances and the risks it sees.

FY2023 · Filed Feb 22, 2024

MS$187.56+0.2%Stored close · as of Nov 10, 2026

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Contents

7. Investment Securities

  1. Investment Securities

AFS and HTM Securities

At December 31, 2023
$ in millionsAmortizedCost1GrossUnrealizedGainsGrossUnrealizedLossesFairValue
AFS securities
U.S. Treasury securities$58,484$24$1,10357,405
U.S. agency securities225,85242,52823,328
Agency CMBS5,871—4565,415
State and municipal securities1,1324651,173
FFELP student loan ABS3810—18792
Total AFS securities92,149744,11088,113
HTM securities
U.S. Treasury securities23,222—1,28521,937
U.S. agency securities240,894—7,69933,195
Agency CMBS1,337—1211,216
Non-agency CMBS1,24121381,105
Total HTM securities66,69429,24357,453
Total investment securities$158,843$76$13,353$145,566
At December 31, 2022
$ in millionsAmortizedCost1GrossUnrealizedGainsGrossUnrealizedLossesFairValue
AFS securities
U.S. Treasury securities$56,103$17$2,254$53,866
U.S. agency securities223,92612,75321,174
Agency CMBS5,998—4705,528
State and municipal securities2,59871422,627
FFELP student loan ABS31,147—451,102
Total AFS securities89,772895,56484,297
HTM securities
U.S. Treasury securities28,599—1,84526,754
U.S. agency securities244,038—8,48735,551
Agency CMBS1,819—1521,667
Non-agency CMBS1,178—1441,034
Total HTM securities75,634—10,62865,006
Total investment securities$165,406$89$16,192$149,303

  1. Amounts are net of any ACL.

  2. U.S. agency securities consist mainly of agency mortgage pass-through pool securities, CMOs and agency-issued debt.

  3. Underlying loans are backed by a guarantee, ultimately from the U.S. Department of Education, of at least 95% of the principal balance and interest outstanding.

Investment Securities in an Unrealized Loss Position

At December 31,2023At December 31,2022
$ in millionsFair ValueGrossUnrealizedLossesFair ValueGrossUnrealizedLosses
U.S. Treasury securities
Less than12 months$14,295$22$42,144$1,711
12 months or longer33,4581,08111,454543
Total47,7531,10353,5982,254
U.S. agency securities
Less than12 months4,2974313,6621,271
12 months or longer18,4592,4857,0601,482
Total22,7562,52820,7222,753
Agency CMBS
Less than12 months——5,343448
12 months or longer5,41545618522
Total5,4154565,528470
State and municipal securities
Less than12 months52432,10640
12 months or longer352652
Total55952,17142
FFELP student loan ABS
Less than12 months56162723
12 months or longer6161747622
Total672181,10345
Total AFS securities in an unrealized loss position
Less than12 months19,1726963,8823,493
12 months or longer57,9834,04119,2402,071
Total$77,155$4,110$83,122$5,564

For AFS securities, the Firm believes there are no securities in an unrealized loss position that have credit losses after performing the analysis described in Note 2. Additionally, the Firm does not intend to sell these securities and is not likely to be required to sell these securities prior to recovery of the amortized cost basis. As of December 31, 2023 and December 31, 2022, the securities in an unrealized loss position are predominantly investment grade.

The HTM securities net carrying amounts at December 31, 2023 and December 31, 2022 reflect an ACL of $44 million and $34 million, respectively, predominantly related to Non-agency CMBS. See Note 2 for a description of the ACL methodology used for HTM Securities. As of December 31, 2023 and December 31, 2022, Non-Agency CMBS HTM securities were predominantly on accrual status and investment grade.

See Note 15 for additional information on securities issued by VIEs, including U.S. agency mortgage-backed securities, non-agency CMBS, and FFELP student loan ABS.

Table of Contents

Notes to Consolidated Financial Statements

Investment Securities by Contractual Maturity

At December 31, 2023
$ in millionsAmortizedCost1FairValueAnnualized Average Yield2,3
AFS securities
U.S. Treasury securities:
Due within 1 year$16,311$16,0301.2%
After 1 year through 5 years40,41239,6202.6%
After 5 years through 10 years1,7611,7554.0%
Total58,48457,405
U.S. agency securities:
Due within 1 year2323(0.6)%
After 1 year through 5 years3973751.6%
After 5 years through 10 years5475041.8%
After 10 years24,88522,4263.6%
Total25,85223,328
Agency CMBS:
Due within 1 year11(2.2)%
After 1 year through 5 years2,4912,3921.8%
After 5 years through 10 years2,1762,0432.0%
After 10 years1,2039791.4%
Total5,8715,415
State and municipal securities:
Due within 1 year27285.2%
After 1 year through 5 years1851844.7%
After 5 years through 10 years694.1%
After 10 years9149524.2%
Total1,1321,173
FFELP student loan ABS:
After 1 year through 5 years96916.1%
After 5 years through 10 years99956.0%
After 10 years6156066.2%
Total810792
Total AFS securities92,14988,1132.6%
At December 31, 2023
$ in millionsAmortizedCost1FairValueAnnualized Average Yield2
HTM securities
U.S. Treasury securities:
Due within 1 year$6,403$6,3172.1%
After 1 year through 5 years12,05911,4971.8%
After 5 years through 10 years3,2022,9652.4%
After 10 years1,5581,1582.3%
Total23,22221,937
U.S. agency securities:
After 1 year through 5 years661.8%
After 5 years through 10 years2942762.1%
After 10 years40,59432,9131.8%
Total40,89433,195
Agency CMBS:
Due within 1 year30302.5%
After 1 year through 5 years1,0639851.4%
After 5 years through 10 years117991.4%
After 10 years1271021.6%
Total1,3371,216
Non-agency CMBS:
Due within 1 year2081854.0%
After 1 year through 5 years3433214.6%
After 5 years through 10 years6415513.7%
After 10 years49485.7%
Total1,2411,105
Total HTM securities66,69457,4531.9%
Total investment securities$158,843$145,5662.3%

  1. Amounts are net of any ACL.

  2. Annualized average yield is computed using the effective yield, weighted based on the amortized cost of each security. The effective yield is shown pre-tax and excludes the effect of related hedging derivatives.

  3. At December 31, 2023, the annualized average yield, including the interest rate swap accrual of related hedges, was 1.6% for AFS securities contractually maturing within 1 year and 3.6% for all AFS securities.

Gross Realized Gains (Losses) on Sales of AFS Securities

$ in millions202320222021
Gross realized gains$70$164$237
Gross realized (losses)(21)(94)(27)
Total1$49$70$210
  1. Realized gains and losses are recognized in Other revenues in the income statement.
ContentsView on SEC.gov

The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.