MORGAN STANLEY

For the period ended Mar 31, 2026. Filed May 5, 2026.

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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.

Mar 31, 2026 · Filed May 5, 2026

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 March 31, 2026
$ in millions	Amortized Cost1	Gross Unrealized Gains	Gross Unrealized Losses	Fair Value
AFS securities
U.S. Treasury securities	$80,724	$77	$63	$80,738
U.S. agency securities2	24,022	24	1,966	22,080
Agency CMBS	5,326	1	276	5,051
State and municipal securities	1,535	1	25	1,511
FFELP student loan ABS3	443	1	7	437
Unallocated basis adjustment4	—	—	—	—
Total AFS securities	112,050	104	2,337	109,817
HTM securities
U.S. Treasury securities	10,457	—	689	9,768
U.S. agency securities2	37,602	51	6,811	30,842
Agency CMBS	619	—	41	578
Non-agency CMBS	1,868	9	72	1,805
Total HTM securities	50,546	60	7,613	42,993
Total investment securities	$162,596	$164	$9,950	$152,810

	At December 31, 2025
$ in millions	Amortized Cost1	Gross Unrealized Gains	Gross Unrealized Losses	Fair Value
AFS securities
U.S. Treasury securities	$80,745	$187	$25	$80,907
U.S. agency securities2	24,031	24	1,943	22,112
Agency CMBS	5,504	1	286	5,219
State and municipal securities	1,754	10	17	1,747
FFELP student loan ABS3	486	1	6	481
Unallocated basis adjustment4	2	—	2	—
Total AFS securities	112,522	223	2,279	110,466
HTM securities
U.S. Treasury securities	12,299	—	663	11,636
U.S. agency securities2	38,303	67	6,785	31,585
Agency CMBS	709	—	43	666
Non-agency CMBS	1,779	12	63	1,728
Total HTM securities	53,090	79	7,554	45,615
Total investment securities	$165,612	$302	$9,833	$156,081

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 herein for additional information.

55	March 2026 Form 10-Q

Table of Contents

Notes to Consolidated Financial Statements(Unaudited)

AFS Securities in an Unrealized Loss Position

	AtMarch 31,2026		AtDecember 31,2025
$ in millions	Fair Value	Gross Unrealized Losses	Fair Value	Gross Unrealized Losses
U.S. Treasury securities
Less than 12 months	$22,092	$57	$47	$—
12 months or longer	3,183	6	7,440	25
Total	25,275	63	7,487	25
U.S. agency securities
Less than 12 months	1,031	3	75	—
12 months or longer	15,873	1,963	17,290	1,943
Total	16,904	1,966	17,365	1,943
Agency CMBS
Less than 12 months	58	—	133	—
12 months or longer	4,440	276	4,675	286
Total	4,498	276	4,808	286
State and municipal securities
Less than 12 months	786	11	360	4
12 months or longer	355	14	382	13
Total	1,141	25	742	17
FFELP student loan ABS
Less than 12 months	1	—	—	—
12 months or longer	359	7	383	6
Total	360	7	383	6
Unallocated basis adjustment	—	—	—	2
Total AFS securities in an unrealized loss position
Less than 12 months	23,968	71	615	4
12 months or longer	24,210	2,266	30,170	2,273
Unallocated basis adjustment	—	—	—	2
Total	$48,178	$2,337	$30,785	$2,279

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 2025 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, 2026 and December 31, 2025, the securities in an unrealized loss position are predominantly investment grade.

The HTM securities net carrying amounts at March 31, 2026 and December 31, 2025 reflect an ACL of $62 million and $60 million, respectively, predominantly related to Non-agency CMBS. See Note 2 in the 2025 Form 10-K for a description of the ACL methodology used for HTM Securities.

As of March 31, 2026 and December 31, 2025,96% and 97%, respectively, 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 March 31, 2026 and December 31, 2025.

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, 2026
$ in millions	Amortized Cost1	Fair Value	Annualized Average Yield2,3
AFS securities
U.S. Treasury securities:
Due within 1 year	$31,053	$31,084	3.9%
After 1 year through 5 years	49,308	49,291	3.9%
After 5 years through 10 years	363	363	4.0%
Total	80,724	80,738
U.S. agency securities:
Due within 1 year	9	9	1.5%
After 1 year through 5 years	200	190	1.9%
After 5 years through 10 years	333	308	1.6%
After 10 years	23,480	21,573	3.2%
Total	24,022	22,080
Agency CMBS:
Due within 1 year	538	534	2.1%
After 1 year through 5 years	3,673	3,594	1.9%
After 5 years through 10 years	176	172	1.5%
After 10 years	939	751	1.6%
Total	5,326	5,051
State and municipal securities:
Due within 1 year	81	81	4.8%
After 1 year through 5 years	228	225	3.6%
After 5 years through 10 years	160	158	4.5%
After 10 Years	1,066	1,047	4.6%
Total	1,535	1,511
FFELP student loan ABS:
Due within 1 year	57	55	4.7%
After 1 year through 5 years	46	44	4.7%
After 5 years through 10 years	24	24	3.9%
After 10 years	316	314	4.8%
Total	443	437
Total AFS securities	$112,050	$109,817	3.6%

March 2026 Form 10-Q	56

Table of Contents

Notes to Consolidated Financial Statements(Unaudited)

	At March 31, 2026
$ in millions	Amortized Cost1	Fair Value	Annualized Average Yield2
HTM securities
U.S. Treasury securities:
Due within 1 year	$3,045	$3,033	2.3%
After 1 year through 5 years	5,656	5,489	2.6%
After 5 years through 10 years	203	178	1.3%
After 10 years	1,553	1,068	2.3%
Total	10,457	9,768
U.S. agency securities:
After 1 year through 5 years	141	135	2.0%
After 5 years through 10 years	13	13	2.4%
After 10 years	37,448	30,694	2.1%
Total	37,602	30,842
Agency CMBS:
Due within 1 year	167	164	1.2%
After 1 year through 5 years	310	295	1.4%
After 5 years through 10 years	119	100	1.6%
After 10 years	23	19	1.3%
Total	619	578
Non-agency CMBS:
Due within 1 year	128	127	4.8%
After 1 year through 5 years	871	841	4.4%
After 5 years through 10 years	312	288	4.6%
After 10 years	557	549	6.8%
Total	1,868	1,805
Total HTM securities	$50,546	$42,993	2.3%
Total investment securities	$162,596	$152,810	3.2%

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, 2026, the annualized average yield, including the interest rate swap accrual of related hedges, was 3.8% for AFS securities contractually maturing within 1 year and 3.6% 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 herein for additional information.

Gross Realized Gains (Losses) on Sales of AFS Securities

	Three Months EndedMarch 31,
$ in millions	2026	2025
Gross realized gains	$8	$21
Gross realized (losses)	(3)	—
Total1	$5	$21

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

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