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MORGAN STANLEY

For the period ended Sep 30, 2024. Filed Nov 4, 2024.

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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.

Sep 30, 2024 · Filed Nov 4, 2024

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

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Contents

5. Fair Value Option

  1. 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 millionsAtSeptember 30,2024AtDecember 31,2023
Business Unit Responsible for Risk Management
Equity$53,530$46,073
Interest rates35,23931,055
Commodities14,07112,798
Credit3,0472,400
Foreign exchange1,6601,574
Total$107,547$93,900
51September 2024 Form 10-Q

Table of Contents

Notes to Consolidated Financial Statements(Unaudited)

Net Revenues from Borrowings under the Fair Value Option

Three Months EndedSeptember 30,Nine Months EndedSeptember 30,
$ in millions2024202320242023
Trading revenues$(6,993)$3,479$(6,158)$(1,412)
Interest expense175124474351
Net revenues1$(7,168)$3,355$(6,632)$(1,763)
  1. 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 September 30,
20242023
$ in millionsTrading RevenuesOCITrading RevenuesOCI
Loans and other receivables1$(15)$—$(8)$—
Lending commitments(3)———
Deposits—(3)—4
Borrowings(4)(227)(6)(547)
Nine Months Ended September 30,
20242023
$ in millionsTradingRevenuesOCITradingRevenuesOCI
Loans and other receivables1$(13)$—$(112)$—
Lending commitments(4)—11—
Deposits—8—21
Borrowings(21)(617)(15)(1,289)
$ in millionsAtSeptember 30,2024AtDecember 31,2023
Cumulative pre-tax DVA gain (loss) recognized in AOCI$(2,775)$(2,166)
  1. 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 millionsAtSeptember 30,2024AtDecember 31,2023
Loans and other receivables2$10,943$11,086
Nonaccrual loans28,4098,566
Borrowings31,9733,030
  1. Amounts indicate contractual principal greater than or (less than) fair value.

  2. 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.

  3. 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 millionsAtSeptember 30,2024AtDecember 31,2023
Nonaccrual loans$824$440
Nonaccrual loans 90 or more days past due2075
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The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.