MORGAN STANLEY

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

Sep 30, 2024 · Filed Nov 4, 2024

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

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Contents

7. Investment Securities

Investment Securities

AFS and HTM Securities

	At September 30, 2024
$ in millions	Amortized Cost1	Gross Unrealized Gains	Gross Unrealized Losses	Fair Value
AFS securities
U.S. Treasury securities	$68,369	$117	$500	$67,986
U.S. agency securities2	24,227	6	2,098	22,135
Agency CMBS	5,828	—	365	5,463
State and municipal securities	1,620	4	13	1,611
FFELP student loan ABS3	641	—	8	633
Total AFS securities	100,685	127	2,984	97,828
HTM securities
U.S. Treasury securities	18,169	—	877	17,292
U.S. agency securities2	42,067	82	6,992	35,157
Agency CMBS	1,245	—	81	1,164
Non-agency CMBS	1,375	6	100	1,281
Total HTM securities	62,856	88	8,050	54,894
Total investment securities	$163,541	$215	$11,034	$152,722

	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

	AtSeptember 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	$21,410	$30	$14,295	$22
12 months or longer	23,865	470	33,458	1,081
Total	45,275	500	47,753	1,103
U.S. agency securities
Less than 12 months	638	1	4,297	43
12 months or longer	20,163	2,097	18,459	2,485
Total	20,801	2,098	22,756	2,528
Agency CMBS
Less than 12 months	25	—	—	—
12 months or longer	5,105	365	5,415	456
Total	5,130	365	5,415	456
State and municipal securities
Less than 12 months	620	11	524	3
12 months or longer	36	2	35	2
Total	656	13	559	5
FFELP student loan ABS
Less than 12 months	24	—	56	1
12 months or longer	484	8	616	17
Total	508	8	672	18
Total AFS securities in an unrealized loss position
Less than 12 months	22,717	42	19,172	69
12 months or longer	49,653	2,942	57,983	4,041
Total	$72,370	$2,984	$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 September 30, 2024 and December 31, 2023, the securities in an unrealized loss position are predominantly investment grade.

The HTM securities net carrying amounts at September 30, 2024 and December 31, 2023 reflect an ACL of $54 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 September 30, 2024 and December 31, 2023,98% of the Firm’s portfolio of HTM securities were investment grade U.S. agency securities, U.S. Treasury securities and Agency CMBS which were on accrual status and for which there is an underlying assumption ofzero credit losses. Non-investment grade HTM securities primarily consisted of certain Non-agency CMBS securities, for which the expected credit losses were insignificant and were predominantly on accrual status at September 30, 2024 and December 31, 2023.

September 2024 Form 10-Q	56

Table of Contents

Notes to Consolidated Financial Statements(Unaudited)

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 September 30, 2024
$ in millions	Amortized Cost1	Fair Value	Annualized Average Yield2,3
AFS securities
U.S. Treasury securities:
Due within 1 year	$18,132	$17,928	2.0%
After 1 year through 5 years	44,001	43,834	3.5%
After 5 years through 10 years	6,236	6,224	4.1%
Total	68,369	67,986
U.S. agency securities:
Due within 1 year	10	10	0.7%
After 1 year through 5 years	277	268	1.6%
After 5 years through 10 years	448	420	1.8%
After 10 years	23,492	21,437	3.7%
Total	24,227	22,135
Agency CMBS:
After 1 year through 5 years	3,874	3,740	1.9%
After 5 years through 10 years	832	797	1.7%
After 10 years	1,122	926	1.4%
Total	5,828	5,463
State and municipal securities:
Due within 1 year	861	861	5.1%
After 1 year through 5 years	305	304	4.6%
After 5 years through 10 years	95	94	4.7%
After 10 Years	359	352	4.0%
Total	1,620	1,611
FFELP student loan ABS:
Due within 1 year	12	12	5.8%
After 1 year through 5 years	116	113	6.1%
After 5 years through 10 years	25	24	5.9%
After 10 years	488	484	6.3%
Total	641	633
Total AFS securities	$100,685	$97,828	3.2%

	At September 30, 2024
$ in millions	Amortized Cost1	Fair Value	Annualized Average Yield2
HTM securities
U.S. Treasury securities:
Due within 1 year	$4,596	$4,524	1.4%
After 1 year through 5 years	11,514	11,177	2.2%
After 5 years through 10 years	503	431	1.1%
After 10 years	1,556	1,160	2.3%
Total	18,169	17,292
U.S. agency securities:
After 1 year through 5 years	4	4	1.8%
After 5 years through 10 years	243	232	2.1%
After 10 years	41,820	34,921	2.1%
Total	42,067	35,157
Agency CMBS:
Due within 1 year	320	314	1.9%
After 1 year through 5 years	695	655	1.2%
After 5 years through 10 years	125	109	1.5%
After 10 years	105	86	1.5%
Total	1,245	1,164
Non-agency CMBS:
Due within 1 year	130	108	3.9%
After 1 year through 5 years	476	464	5.0%
After 5 years through 10 years	607	548	3.7%
After 10 years	162	161	5.5%
Total	1,375	1,281
Total HTM securities	$62,856	$54,894	2.1%
Total investment securities	$163,541	$152,722	2.8%

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 September 30, 2024, the annualized average yield, including the interest rate swap accrual of related hedges, was 2.7% for AFS securities contractually maturing within 1 year and 3.9% for all AFS securities.

Gross Realized Gains (Losses) on Sales of AFS Securities

	Three Months EndedSeptember 30,		Nine Months EndedSeptember 30,
$ in millions	2024	2023	2024	2023
Gross realized gains	$—	$15	$50	$66
Gross realized (losses)	—	(1)	—	(21)
Total1	$—	$14	$50	$45

Realized gains and losses are recognized in Other revenues in the income statement.

57	September 2024 Form 10-Q

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