MORGAN STANLEY

For the period ended Dec 31, 2024. Filed Feb 21, 2025.

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FY2024 · Filed Feb 21, 2025

MS$187.56+0.2%Stored close · as of Nov 10, 2026

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Contents

7. Investment Securities

Investment Securities

AFS and HTM Securities

	At December 31, 2024
$ in millions	AmortizedCost1	GrossUnrealizedGains	GrossUnrealizedLosses	FairValue
AFS securities
U.S. Treasury securities	$70,160	$62	$388	69,834
U.S. agency securities2	24,113	6	2,652	21,467
Agency CMBS	5,704	—	388	5,316
State and municipal securities	1,373	18	4	1,387
FFELP student loan ABS3	612	1	9	604
Unallocated basis adjustment4	(2)	2	—	—
Total AFS securities	101,960	89	3,441	98,608
HTM securities
U.S. Treasury securities	16,885	—	1,082	15,803
U.S. agency securities2	41,582	4	8,592	32,994
Agency CMBS	1,154	—	88	1,066
Non-agency CMBS	1,450	3	113	1,340
Total HTM securities	61,071	7	9,875	51,203
Total investment securities	$163,031	$96	$13,316	$149,811

	At December 31, 2023
$ in millions	AmortizedCost1	GrossUnrealizedGains	GrossUnrealizedLosses	FairValue
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.
Represents the amount of unallocated portfolio layer method basis adjustments related to AFS securities hedged in a closed portfolio. Portfolio layer method basis adjustments are not allocated to individual securities. Refer to Note 2 and Note 6 for additional information.

Investment Securities in an Unrealized Loss Position

	At December 31,2024		At December 31,2023
$ in millions	Fair Value	GrossUnrealizedLosses	Fair Value	GrossUnrealizedLosses
U.S. Treasury securities
Less than12 months	$18,338	$65	$14,295	$22
12 months or longer	19,629	323	33,458	1,081
Total	37,967	388	47,753	1,103
U.S. agency securities
Less than12 months	765	11	4,297	43
12 months or longer	18,996	2,641	18,459	2,485
Total	19,761	2,652	22,756	2,528
Agency CMBS
12 months or longer	5,018	388	5,415	456
Total	5,018	388	5,415	456
State and municipal securities
Less than12 months	242	2	524	3
12 months or longer	62	2	35	2
Total	304	4	559	5
FFELP student loan ABS
Less than12 months	—	—	56	1
12 months or longer	442	9	616	17
Total	442	9	672	18
Total AFS securities in an unrealized loss position
Less than12 months	19,345	78	19,172	69
12 months or longer	44,147	3,363	57,983	4,041
Total	$63,492	$3,441	$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. 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 December 31, 2024 and December 31, 2023, the securities in an unrealized loss position are predominantly investment grade.

The HTM securities net carrying amounts at December 31, 2024 and December 31, 2023 reflect an ACL of $52 million and $44 million, respectively, predominantly related to Non-agency CMBS. See Note 2 for a description of the ACL methodology used for HTM Securities.

As of December 31, 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 December 31, 2024 and December 31, 2023.

See Note 15 for additional information on securities issued by VIEs, including U.S. agency mortgage-backed securities, non-agency CMBS, and FFELP student loan ABS.

Table of Contents

Notes to Consolidated Financial Statements

Investment Securities by Contractual Maturity

	At December 31, 2024
$ in millions	AmortizedCost1	FairValue	Annualized Average Yield2,3
AFS securities
U.S. Treasury securities:
Due within 1 year	$18,575	$18,393	2.2%
After 1 year through 5 years	46,529	46,395	3.7%
After 5 years through 10 years	5,056	5,046	4.2%
Total	70,160	69,834
U.S. agency securities:
Due within 1 year	11	11	1.0%
After 1 year through 5 years	254	241	1.6%
After 5 years through 10 years	414	380	1.8%
After 10 years	23,434	20,835	3.4%
Total	24,113	21,467
Agency CMBS:
After 1 year through 5 years	4,054	3,899	2.0%
After 5 years through 10 years	547	535	1.6%
After 10 years	1,103	882	1.5%
Total	5,704	5,316
State and municipal securities:
Due within 1 year	852	852	4.9%
After 1 year through 5 years	215	214	4.7%
After 5 years through 10 years	49	48	5.8%
After 10 years	257	273	4.6%
Total	1,373	1,387
FFELP student loan ABS:
Due within 1 year	12	11	5.3%
After 1 year through 5 years	113	110	5.6%
After 5 years through 10 years	24	23	5.4%
After 10 years	463	460	5.8%
Total	612	604
Unallocated basis adjustment4:	(2)	—	—
Total AFS securities	101,960	98,608	3.3%

	At December 31, 2024
$ in millions	AmortizedCost1	FairValue	Annualized Average Yield2
HTM securities
U.S. Treasury securities:
Due within 1 year	$4,635	$4,558	1.2%
After 1 year through 5 years	10,191	9,777	2.3%
After 5 years through 10 years	503	414	1.1%
After 10 years	1,556	1,054	2.3%
Total	16,885	15,803
U.S. agency securities:
After 1 year through 5 years	8	8	1.8%
After 5 years through 10 years	223	208	2.1%
After 10 years	41,351	32,778	2.1%
Total	41,582	32,994
Agency CMBS:
Due within 1 year	294	289	1.5%
After 1 year through 5 years	632	591	1.2%
After 5 years through 10 years	176	144	1.6%
After 10 years	52	42	1.3%
Total	1,154	1,066
Non-agency CMBS:
Due within 1 year	146	124	3.9%
After 1 year through 5 years	648	618	4.5%
After 5 years through 10 years	455	403	4.0%
After 10 years	201	195	7.4%
Total	1,450	1,340
Total HTM securities	61,071	51,203	2.1%
Total investment securities	$163,031	$149,811	2.9%

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 December 31, 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 3.8% for all AFS securities.
Represents the amount of unallocated portfolio layer method basis adjustments related to AFS securities hedged in a closed portfolio. Portfolio layer method basis adjustments are not allocated to individual securities. Refer to Note 2 and Note 6 for additional information.

Gross Realized Gains (Losses) on Sales of AFS Securities

$ in millions	2024	2023	2022
Gross realized gains	$52	$70	$164
Gross realized (losses)	—	(21)	(94)
Total1	$52	$49	$70

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

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