MORGAN STANLEY
For the period ended Jun 30, 2024. Filed Aug 5, 2024.
View on SEC.govAbout 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.
Jun 30, 2024 · Filed Aug 5, 2024
Extracted filing text, with the paragraph anchors used by the comparison.
See the whole filing, with its images and exhibitsContents
7. Investment Securities
- Investment Securities
AFS and HTM Securities
| At June 30, 2024 | ||||
|---|---|---|---|---|
| $ in millions | Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value |
| AFS securities | ||||
| U.S. Treasury securities | $63,439 | $24 | $686 | $62,777 |
| U.S. agency securities2 | 24,436 | 4 | 2,733 | 21,707 |
| Agency CMBS | 5,724 | — | 418 | 5,306 |
| State and municipal securities | 747 | 16 | 3 | 760 |
| FFELP student loan ABS3 | 696 | 1 | 9 | 688 |
| Total AFS securities | 95,042 | 45 | 3,849 | 91,238 |
| HTM securities | ||||
| U.S. Treasury securities | 19,103 | — | 1,326 | 17,777 |
| U.S. agency securities2 | 42,471 | 6 | 8,675 | 33,802 |
| Agency CMBS | 1,270 | — | 115 | 1,155 |
| Non-agency CMBS | 1,349 | 2 | 125 | 1,226 |
| Total HTM securities | 64,193 | 8 | 10,241 | 53,960 |
| Total investment securities | $159,235 | $53 | $14,090 | $145,198 |
| 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
| AtJune 30,2024 | AtDecember 31,2023 | |||
|---|---|---|---|---|
| $ in millions | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses |
| U.S. Treasury securities | ||||
| Less than 12 months | $13,972 | $29 | $14,295 | $22 |
| 12 months or longer | 27,444 | 657 | 33,458 | 1,081 |
| Total | 41,416 | 686 | 47,753 | 1,103 |
| U.S. agency securities | ||||
| Less than 12 months | 357 | 1 | 4,297 | 43 |
| 12 months or longer | 20,415 | 2,732 | 18,459 | 2,485 |
| Total | 20,772 | 2,733 | 22,756 | 2,528 |
| Agency CMBS | ||||
| 12 months or longer | 5,282 | 418 | 5,415 | 456 |
| Total | 5,282 | 418 | 5,415 | 456 |
| State and municipal securities | ||||
| Less than 12 months | 419 | 2 | 524 | 3 |
| 12 months or longer | 35 | 1 | 35 | 2 |
| Total | 454 | 3 | 559 | 5 |
| FFELP student loan ABS | ||||
| Less than 12 months | 26 | — | 56 | 1 |
| 12 months or longer | 526 | 9 | 616 | 17 |
| Total | 552 | 9 | 672 | 18 |
| Total AFS securities in an unrealized loss position | ||||
| Less than 12 months | 14,774 | 32 | 19,172 | 69 |
| 12 months or longer | 53,702 | 3,817 | 57,983 | 4,041 |
| Total | $68,476 | $3,849 | $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 June 30, 2024 and December 31, 2023, the securities in an unrealized loss position are predominantly investment grade.
The HTM securities net carrying amounts at June 30, 2024 and December 31, 2023 reflect an ACL of $47 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 June 30, 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.
| June 2024 Form 10-Q | 56 |
|---|
Table of Contents
Notes to Consolidated Financial Statements(Unaudited)
Investment Securities by Contractual Maturity
| At June 30, 2024 | |||
|---|---|---|---|
| $ in millions | Amortized Cost1 | Fair Value | Annualized Average Yield2,3 |
| AFS securities | |||
| U.S. Treasury securities: | |||
| Due within 1 year | $16,131 | $15,928 | 1.7% |
| After 1 year through 5 years | 39,883 | 39,427 | 3.2% |
| After 5 years through 10 years | 7,425 | 7,422 | 4.2% |
| Total | 63,439 | 62,777 | |
| U.S. agency securities: | |||
| Due within 1 year | 10 | 10 | (0.4)% |
| After 1 year through 5 years | 313 | 296 | 1.6% |
| After 5 years through 10 years | 481 | 439 | 1.8% |
| After 10 years | 23,632 | 20,962 | 3.7% |
| Total | 24,436 | 21,707 | |
| Agency CMBS: | |||
| Due within 1 year | 1 | 1 | (2.2)% |
| After 1 year through 5 years | 3,534 | 3,405 | 2.0% |
| After 5 years through 10 years | 1,053 | 991 | 2.0% |
| After 10 years | 1,136 | 909 | 1.4% |
| Total | 5,724 | 5,306 | |
| State and municipal securities: | |||
| Due within 1 year | 29 | 29 | 5.1% |
| After 1 year through 5 years | 307 | 306 | 4.8% |
| After 5 years through 10 years | 90 | 90 | 5.3% |
| After 10 Years | 321 | 335 | 4.3% |
| Total | 747 | 760 | |
| FFELP student loan ABS: | |||
| Due within 1 year | 13 | 13 | 6.0% |
| After 1 year through 5 years | 126 | 122 | 6.3% |
| After 5 years through 10 years | 28 | 28 | 6.3% |
| After 10 years | 529 | 525 | 6.4% |
| Total | 696 | 688 | |
| Total AFS securities | $95,042 | $91,238 | 3.1% |
| At June 30, 2024 | |||
|---|---|---|---|
| $ in millions | Amortized Cost1 | Fair Value | Annualized Average Yield2 |
| HTM securities | |||
| U.S. Treasury securities: | |||
| Due within 1 year | $4,896 | $4,788 | 1.6% |
| After 1 year through 5 years | 12,147 | 11,488 | 2.1% |
| After 5 years through 10 years | 503 | 411 | 1.1% |
| After 10 years | 1,557 | 1,090 | 2.3% |
| Total | 19,103 | 17,777 | |
| U.S. agency securities: | |||
| After 1 year through 5 years | 5 | 5 | 1.8% |
| After 5 years through 10 years | 259 | 242 | 2.1% |
| After 10 years | 42,207 | 33,555 | 2.0% |
| Total | 42,471 | 33,802 | |
| Agency CMBS: | |||
| Due within 1 year | 144 | 140 | 1.6% |
| After 1 year through 5 years | 894 | 826 | 1.4% |
| After 5 years through 10 years | 120 | 101 | 1.5% |
| After 10 years | 112 | 88 | 1.5% |
| Total | 1,270 | 1,155 | |
| Non-agency CMBS: | |||
| Due within 1 year | 169 | 151 | 4.1% |
| After 1 year through 5 years | 464 | 440 | 4.9% |
| After 5 years through 10 years | 592 | 515 | 3.6% |
| After 10 years | 124 | 120 | 7.0% |
| Total | 1,349 | 1,226 | |
| Total HTM securities | $64,193 | $53,960 | 2.1% |
| Total investment securities | $159,235 | $145,198 | 2.7% |
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 June 30, 2024, the annualized average yield, including the interest rate swap accrual of related hedges, was 2.5% for AFS securities contractually maturing within 1 year and 4.1% for all AFS securities.
Gross Realized Gains (Losses) on Sales of AFS Securities
| Three Months EndedJune 30, | Six Months EndedJune 30, | |||
|---|---|---|---|---|
| $ in millions | 2024 | 2023 | 2024 | 2023 |
| Gross realized gains | $7 | $7 | $50 | $51 |
| Gross realized (losses) | — | (17) | — | (20) |
| Total1 | $7 | $(10) | $50 | $31 |
- Realized gains and losses are recognized in Other revenues in the income statement.
| 57 | June 2024 Form 10-Q |
The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.