MORGAN STANLEY
For the period ended Mar 31, 2024. Filed May 3, 2024.
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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Mar 31, 2024 · Filed May 3, 2024
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5. Fair Value Option
- Fair Value Option
The Firm has elected the fair value option for certain eligible instruments that are risk managed on a fair value basis to mitigate income statement volatility caused by measurement basis differences between the elected instruments and their associated risk management transactions or to eliminate complexities of applying certain accounting models.
Borrowings Measured at Fair Value on a Recurring Basis
| $ in millions | AtMarch 31,2024 | AtDecember 31,2023 |
|---|---|---|
| Business Unit Responsible for Risk Management | ||
| Equity | $47,086 | $46,073 |
| Interest rates | 30,553 | 31,055 |
| Commodities | 13,480 | 12,798 |
| Credit | 2,384 | 2,400 |
| Foreign exchange | 1,601 | 1,574 |
| Total | $95,104 | $93,900 |
| 47 | March 2024 Form 10-Q |
Table of Contents
Notes to Consolidated Financial Statements(Unaudited)
Net Revenues from Borrowings under the Fair Value Option
| Three Months EndedMarch 31, | ||
|---|---|---|
| $ in millions | 2024 | 2023 |
| Trading revenues | $(114) | $(4,378) |
| Interest expense | 144 | 108 |
| Net revenues1 | $(258) | $(4,486) |
- Amounts do not reflect any gains or losses from related economic hedges.
Gains (losses) from changes in fair value are recorded in Trading revenues and are mainly attributable to movements in the reference price or index, interest rates or foreign exchange rates.
Gains (Losses) Due to Changes in Instrument-Specific Credit Risk
| Three Months Ended March 31, | ||||
|---|---|---|---|---|
| 2024 | 2023 | |||
| $ in millions | Trading Revenues | OCI | Trading Revenues | OCI |
| Loans and other receivables1 | $26 | $— | $(43) | $— |
| Lending commitments | (3) | — | 11 | — |
| Deposits | — | (4) | — | 93 |
| Borrowings | (10) | (737) | (6) | (117) |
| $ in millions | AtMarch 31,2024 | AtDecember 31,2023 |
|---|---|---|
| Cumulative pre-tax DVA gain (loss) recognized in AOCI | $(2,907) | $(2,166) |
- Loans and other receivables-specific credit gains (losses) were determined by excluding the non-credit components of gains and losses.
Difference Between Contractual Principal and Fair Value 1
| $ in millions | AtMarch 31,2024 | AtDecember 31,2023 |
|---|---|---|
| Loans and other receivables2 | $10,667 | $11,086 |
| Nonaccrual loans2 | 8,101 | 8,566 |
| Borrowings3 | 3,085 | 3,030 |
Amounts indicate contractual principal greater than or (less than) fair value.
The majority of the difference between principal and fair value amounts for loans and other receivables relates to distressed debt positions purchased at amounts well below par.
Excludes borrowings where the repayment of the initial principal amount fluctuates based on changes in a reference price or index.
The previous tables exclude non-recourse debt from consolidated VIEs, liabilities related to transfers of financial assets treated as collateralized financings, pledged commodities and other liabilities that have specified assets attributable to them.
Fair Value Loans on Nonaccrual Status
| $ in millions | AtMarch 31,2024 | AtDecember 31,2023 |
|---|---|---|
| Nonaccrual loans | $568 | $440 |
| Nonaccrual loans 90 or more days past due | 176 | 75 |
The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.