MORGAN STANLEY

For the period ended Mar 31, 2024. Filed May 3, 2024.

About this filing

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

MS$187.10+3.1%Stored close · as of Nov 9, 2026

Extracted filing text, with the paragraph anchors used by the comparison.

See the whole filing, with its images and exhibits

Contents

7. Investment Securities

Investment Securities

AFS and HTM Securities

	At March 31, 2024
$ in millions	Amortized Cost1	Gross Unrealized Gains	Gross Unrealized Losses	Fair Value
AFS securities
U.S. Treasury securities	$59,035	$49	$860	$58,224
U.S. agency securities2	25,232	4	2,726	22,510
Agency CMBS	5,762	—	420	5,342
State and municipal securities	476	18	2	492
FFELP student loan ABS3	755	1	11	745
Total AFS securities	91,260	72	4,019	87,313
HTM securities
U.S. Treasury securities	21,138	—	1,370	19,768
U.S. agency securities2	41,698	6	8,524	33,180
Agency CMBS	1,297	—	122	1,175
Non-agency CMBS	1,287	1	128	1,160
Total HTM securities	65,420	7	10,144	55,283
Total investment securities	$156,680	$79	$14,163	$142,596

51	March 2024 Form 10-Q

Table of Contents

Notes to Consolidated Financial Statements(Unaudited)

	At December 31, 2023
$ in millions	Amortized Cost1	Gross Unrealized Gains	Gross Unrealized Losses	Fair Value
AFS securities
U.S. Treasury securities	$58,484	$24	$1,103	$57,405
U.S. agency securities2	25,852	4	2,528	23,328
Agency CMBS	5,871	—	456	5,415
State and municipal securities	1,132	46	5	1,173
FFELP student loan ABS3	810	—	18	792
Total AFS securities	92,149	74	4,110	88,113
HTM securities
U.S. Treasury securities	23,222	—	1,285	21,937
U.S. agency securities2	40,894	—	7,699	33,195
Agency CMBS	1,337	—	121	1,216
Non-agency CMBS	1,241	2	138	1,105
Total HTM securities	66,694	2	9,243	57,453
Total investment securities	$158,843	$76	$13,353	$145,566

Amounts are net of any ACL.
U.S. agency securities consist mainly of agency mortgage pass-through pool securities, CMOs and agency-issued debt.
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.

AFS Securities in an Unrealized Loss Position

	AtMarch 31,2024		AtDecember 31,2023
$ in millions	Fair Value	Gross Unrealized Losses	Fair Value	Gross Unrealized Losses
U.S. Treasury securities
Less than 12 months	$4,377	$17	$14,295	$22
12 months or longer	30,024	843	33,458	1,081
Total	34,401	860	47,753	1,103
U.S. agency securities
Less than 12 months	2,332	9	4,297	43
12 months or longer	19,050	2,717	18,459	2,485
Total	21,382	2,726	22,756	2,528
Agency CMBS
Less than 12 months	—	—	—	—
12 months or longer	5,102	420	5,415	456
Total	5,102	420	5,415	456
State and municipal securities
Less than 12 months	180	1	524	3
12 months or longer	34	1	35	2
Total	214	2	559	5
FFELP student loan ABS
Less than 12 months	40	1	56	1
12 months or longer	558	10	616	17
Total	598	11	672	18
Total AFS securities in an unrealized loss position
Less than 12 months	6,929	28	19,172	69
12 months or longer	54,768	3,991	57,983	4,041
Total	$61,697	$4,019	$77,155	$4,110

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 in the 2023 Form 10-K and the Firm expects to recover the amortized cost basis of these securities. 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 March 31, 2024 and December 31, 2023, the securities in an unrealized loss position are predominantly investment grade.

The HTM securities net carrying amounts at March 31, 2024 and December 31, 2023 reflect an ACL of $41 million and $44 million, respectively, predominantly related to Non-agency CMBS. See Note 2 in the 2023 Form 10-K for a description of the ACL methodology used for HTM Securities. As of March 31, 2024 and December 31, 2023, Non-Agency CMBS HTM securities were predominantly on accrual status and investment grade.

See Note 14 for additional information on securities issued by VIEs, including U.S. agency mortgage-backed securities, non-agency CMBS, and FFELP student loan ABS.

Investment Securities by Contractual Maturity

	At March 31, 2024
$ in millions	Amortized Cost1	Fair Value	Annualized Average Yield2,3
AFS securities
U.S. Treasury securities:
Due within 1 year	$16,765	$16,508	1.4%
After 1 year through 5 years	37,649	37,087	2.9%
After 5 years through 10 years	4,621	4,629	4.0%
Total	59,035	58,224
U.S. agency securities:
Due within 1 year	10	9	(0.5)%
After 1 year through 5 years	349	327	1.6%
After 5 years through 10 years	509	464	1.8%
After 10 years	24,364	21,710	3.7%
Total	25,232	22,510
Agency CMBS:
Due within 1 year	1	1	(2.2)%
After 1 year through 5 years	2,969	2,861	2.0%
After 5 years through 10 years	1,615	1,531	1.9%
After 10 years	1,177	949	1.4%
Total	5,762	5,342
State and municipal securities:
Due within 1 year	27	27	5.1%
After 1 year through 5 years	178	179	4.8%
After 5 years through 10 years	3	5	4.7%
After 10 Years	268	281	4.5%
Total	476	492
FFELP student loan ABS:
Due within 1 year	15	14	6.0%
After 1 year through 5 years	135	131	6.1%
After 5 years through 10 years	31	31	5.9%
After 10 years	574	569	6.3%
Total	755	745
Total AFS securities	91,260	87,313	2.9%

March 2024 Form 10-Q	52

Table of Contents

Notes to Consolidated Financial Statements(Unaudited)

	At March 31, 2024
$ in millions	Amortized Cost1	Fair Value	Annualized Average Yield2
HTM securities
U.S. Treasury securities:
Due within 1 year	5,252	5,179	2.1%
After 1 year through 5 years	13,826	13,063	2.0%
After 5 years through 10 years	503	412	1.1%
After 10 years	1,557	1,114	2.3%
Total	21,138	19,768
U.S. agency securities:
After 1 year through 5 years	5	5	1.8%
After 5 years through 10 years	277	258	2.1%
After 10 years	41,416	32,917	1.9%
Total	41,698	33,180
Agency CMBS:
Due within 1 year	113	110	1.9%
After 1 year through 5 years	942	867	1.3%
After 5 years through 10 years	116	97	1.4%
After 10 years	126	101	1.6%
Total	1,297	1,175
Non-agency CMBS:
Due within 1 year	194	175	4.1%
After 1 year through 5 years	391	369	4.7%
After 5 years through 10 years	621	538	3.7%
After 10 years	81	78	6.4%
Total	1,287	1,160
Total HTM securities	65,420	55,283	2.0%
Total investment securities	156,680	142,596	2.5%

Amounts are net of any ACL.
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.
At March 31, 2024, the annualized average yield, including the interest rate swap accrual of related hedges, was 2.1% for AFS securities contractually maturing within 1 year and 3.8% for all AFS securities.

Gross Realized Gains (Losses) on Sales of AFS Securities

	Three Months EndedMarch 31,
$ in millions	2024	2023
Gross realized gains	$43	$44
Gross realized (losses)	—	(3)
Total1	$43	$41

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.