SEC Info - Morgan Stanley - ‘10-K’ for 12/31/22

$ in millions

Level 1

Level 2

Level 3

Netting1

Total

Assets at fair value

Trading assets:

U.S. Treasury and agency securities

$

i 38,462

$

i 42,263

$

i 17

$

—

$

i 80,742

Other sovereign government obligations

i 24,644

i 4,769

i 169

—

i 29,582

State and municipal securities

i —

i 1,503

i 145

—

i 1,648

MABS

i —

i 1,774

i 416

—

i 2,190

Loans and lending commitments2

i —

i 6,380

i 2,017

—

i 8,397

Corporate and other debt

i —

i 23,351

i 2,096

—

i 25,447

Corporate equities3

i 97,869

i 1,019

i 116

—

i 99,004

Derivative and other contracts:

Interest rate

i 4,481

i 166,392

i 517

—

i 171,390

Credit

i —

i 7,876

i 425

—

i 8,301

Foreign exchange

i 49

i 115,766

i 183

—

i 115,998

Equity

i 2,778

i 40,171

i 406

—

i 43,355

Commodity and other

i 5,609

i 21,152

i 3,701

—

i 30,462

Netting1

( i 9,618)

( i 258,821)

( i 1,078)

( i 55,777)

( i 325,294)

Total derivative and other contracts

i 3,299

i 92,536

i 4,154

( i 55,777)

i 44,212

Investments4

i 652

i 685

i 923

—

i 2,260

Physical commodities

i —

i 2,379

i —

—

i 2,379

Total trading assets4

i 164,926

i 176,659

i 10,053

( i 55,777)

i 295,861

Investment securities —AFS

i 53,866

i 30,396

i 35

—

i 84,297

Securities purchased under agreements to resell

i —

i 8

i —

—

i 8

Total assets at fair value

$

i 218,792

$

i 207,063

$

i 10,088

$

( i 55,777)

$

i 380,166

/

$ in millions

Level 1

Level 2

Level 3

Netting1

Total

Liabilities at fair value

Deposits

$

i —

$

i 4,776

$

i 20

$

—

$

i 4,796

Trading liabilities:

U.S. Treasury and agency securities

i 20,776

i 228

i —

—

i 21,004

Other sovereign government obligations

i 23,235

i 2,688

i 3

—

i 25,926

Corporate and other debt

i —

i 8,786

i 29

—

i 8,815

Corporate equities3

i 59,998

i 518

i 42

—

i 60,558

Derivative and other contracts:

Interest rate

i 3,446

i 161,044

i 668

—

i 165,158

Credit

i —

i 7,987

i 315

—

i 8,302

Foreign exchange

i 89

i 113,383

i 117

—

i 113,589

Equity

i 3,266

i 46,923

i 1,142

—

i 51,331

Commodity and other

i 6,187

i 17,574

i 2,618

—

i 26,379

Netting1

( i 9,618)

( i 258,821)

( i 1,078)

( i 57,107)

( i 326,624)

Total derivative and other contracts

i 3,370

i 88,090

i 3,782

( i 57,107)

i 38,135

Total trading liabilities

i 107,379

i 100,310

i 3,856

( i 57,107)

i 154,438

Securities sold under agreements to repurchase

i —

i 352

i 512

—

i 864

Other secured financings

i —

i 4,459

i 91

—

i 4,550

Borrowings

i —

i 77,133

i 1,587

—

i 78,720

Total liabilities at fair value

$

i 107,379

$

i 187,030

$

i 6,066

$

( i 57,107)

$

i 243,368

$ in millions

Level 1

Level 2

Level 3

Netting1

Total

Assets at fair value

Trading assets:

U.S. Treasury and agency securities

$

i 45,970

$

i 29,749

$

i 2

$

—

$

i 75,721

Other sovereign government obligations

i 28,041

i 4,533

i 211

—

i 32,785

State and municipal securities

i —

i 1,905

i 13

—

i 1,918

MABS

i —

i 1,237

i 344

—

i 1,581

Loans and lending commitments2

i —

i 8,821

i 3,806

—

i 12,627

Corporate and other debt

i —

i 27,309

i 1,973

—

i 29,282

Corporate equities3

i 91,630

i 832

i 115

—

i 92,577

Derivative and other contracts:

Interest rate

i 1,364

i 153,048

i 1,153

—

i 155,565

Credit

i —

i 8,441

i 509

—

i 8,950

Foreign exchange

i 28

i 74,571

i 132

—

i 74,731

Equity

i 1,562

i 68,519

i 251

—

i 70,332

Commodity and other

i 4,462

i 20,194

i 3,057

—

i 27,713

Netting1

( i 5,696)

( i 241,814)

( i 794)

( i 50,833)

( i 299,137)

Total derivative and other contracts

i 1,720

i 82,959

i 4,308

( i 50,833)

i 38,154

Investments4

i 735

i 846

i 1,125

—

i 2,706

Physical commodities

i —

i 2,771

i —

—

i 2,771

Total trading assets4

i 168,096

i 160,962

i 11,897

( i 50,833)

i 290,122

Investment securities —AFS

i 59,021

i 43,809

i —

—

i 102,830

Securities purchased under agreements to resell

i —

i 7

i —

—

i 7

Total assets at fair value

$

i 227,117

$

i 204,778

$

i 11,897

$

( i 50,833)

$

i 392,959

$ in millions

Level 1

Level 2

Level 3

Netting1

Total

Liabilities at fair value

Deposits

$

i —

$

i 1,873

$

i 67

$

—

$

i 1,940

Trading liabilities:

U.S. Treasury and agency securities

i 16,433

i 319

i —

—

i 16,752

Other sovereign government obligations

i 20,771

i 2,062

i —

—

i 22,833

Corporate and other debt

i —

i 8,707

i 16

—

i 8,723

Corporate equities3

i 75,181

i 226

i 45

—

i 75,452

Derivative and other contracts:

Interest rate

i 1,087

i 145,670

i 445

—

i 147,202

Credit

i —

i 9,090

i 411

—

i 9,501

Foreign exchange

i 19

i 73,096

i 80

—

i 73,195

Equity

i 2,119

i 77,363

i 1,196

—

i 80,678

Commodity and other

i 4,563

i 16,837

i 1,528

—

i 22,928

Netting1

( i 5,696)

( i 241,814)

( i 794)

( i 50,632)

( i 298,936)

Total derivative and other contracts

i 2,092

i 80,242

i 2,866

( i 50,632)

i 34,568

Total trading liabilities

i 114,477

i 91,556

i 2,927

( i 50,632)

i 158,328

Securities sold under agreements to repurchase

i —

i 140

i 651

—

i 791

Other secured financings

i —

i 4,730

i 403

—

i 5,133

Borrowings

i —

i 74,183

i 2,157

—

i 76,340

Total liabilities at fair value

$

i 114,477

$

i 172,482

$

i 6,205

$

( i 50,632)

$

i 242,532

MABS—Mortgage- and asset-backed securities

1.For positions with the same counterparty that cross over the levels of the fair value hierarchy, both counterparty netting and cash collateral netting are included in the column titled “Netting.” Positions classified within the same level that are with the same counterparty are netted within that level. For further information on derivative instruments and hedging activities, see Note 7.

2.For a further breakdown by type, see the following Detail of Loans and Lending Commitments at Fair Value table.

3.For trading purposes, the Firm holds or sells short equity securities issued by entities in diverse industries and of varying sizes.

4.Amounts exclude certain investments that are measured based on NAV per share, which are not classified in the fair value hierarchy. For additional disclosure about such investments, see “Net Asset Value Measurements” herein.

i

Detail of Loans and Lending Commitments at Fair Value


$ in millions	At December 31, 2022		At December 31, 2021
Corporate	$	i —	$	i 8
Secured lending facilities	i 6		i —
Commercial real estate	i 528		i 863
Residential real estate	i 2,020		i 3,911
Securities-based lending and Other loans	i 5,843		i 7,845
Total	$	i 8,397	$	i 12,627

/ i

Unsettled Fair Value of Futures Contracts1


$ in millions	At December 31, 2022		At December 31, 2021
Customer and other receivables, net	$	i 1,219	$	i 948

1.These contracts are primarily Level 1, actively traded, valued based on quoted prices from the exchange and are excluded from the previous recurring fair value tables.

/

Valuation Techniques for Assets and Liabilities Measured at Fair Value on a Recurring Basis

U.S. Treasury and Agency Securities

U.S. Treasury Securities

Valuation Technique:

•Fair value is determined using quoted market prices.

Valuation Hierarchy Classification:

•Level 1—as inputs are observable and in an active market

U.S. Agency Securities

Valuation Techniques:

•Non-callable agency-issued debt securities are generally valued using quoted market prices, and callable agency-issued debt securities are valued by benchmarking model-derived prices to quoted market prices and trade data for comparable instruments.

•The fair value of agency mortgage pass-through pool securities is model-driven based on spreads of comparable to-be-announced securities.

•CMOs are generally valued using quoted market prices and trade data adjusted by subsequent changes in related indices for comparable instruments.

Valuation Hierarchy Classification:

•Level 1—on-the-run agency issued debt securities if actively traded and inputs are observable

•Level 2—all other agency issued debt securities, agency mortgage pass-through pool securities and CMOs if actively traded and inputs are observable

•Level 3—in instances where the trading activity is limited or inputs are unobservable

Other Sovereign Government Obligations

Valuation Techniques:

•Fair value is determined using quoted prices in active markets when available. When not available, quoted prices in less active markets are used. In the absence of position-specific quoted prices, fair value may be determined through benchmarking from comparable instruments.

Valuation Hierarchy Classification:

•Level 1—if actively traded and inputs are observable

•Level 2—if the market is less active or prices are dispersed

•Level 3—in instances where the prices are unobservable

State and Municipal Securities

Valuation Techniques:

•Fair value is determined using recently executed transactions, market price quotations or pricing models that factor in, where applicable, interest rates, bond or CDS spreads, adjusted for any basis difference between cash and derivative instruments.

Valuation Hierarchy Classification:

•Level 2—if value based on observable market data supported by market liquidity for comparable instruments

•Level 3—in instances where market data are not observable or supported by market liquidity

MABS

Valuation Techniques:

•Mortgage- and asset-backed securities may be valued based on price or spread data obtained from observed transactions or independent external parties such as vendors or brokers.

•When position-specific external price data are not observable, the fair value determination may require benchmarking to comparable instruments, and/or analyzing expected credit losses, default and recovery rates, and/or applying discounted cash flow techniques. When evaluating the comparable instruments for use in the valuation of each security, security collateral-specific attributes, including payment priority, credit enhancement levels, type of collateral, delinquency rates and loss severity, are considered. In addition, for RMBS borrowers, FICO scores and the level of documentation for the loan are considered.

•Market standard cash flow models may be utilized to model the specific collateral composition and cash flow structure of each transaction. Key inputs to these models are market spreads, forecasted credit losses, and default and prepayment rates for each asset category.

•Valuation levels of RMBS and CMBS indices are used as an additional data point for benchmarking purposes or to price outright index positions.

Valuation Hierarchy Classification:

•Level 2—if value based on observable market data supported by market liquidity for comparable instruments

•Level 3—if external prices or significant spread inputs are unobservable or not supported by market liquidity or if the comparability assessment involves significant subjectivity related to property type differences, cash flows, performance or other inputs

Loans and Lending Commitments

Valuation Techniques:

•Fair value of corporate loans is determined using recently executed transactions, market price quotations (where observable), implied yields from comparable debt, market observable CDS spread levels obtained from independent external parties adjusted for any basis difference between cash and derivative instruments, along with proprietary valuation models and default recovery analysis where such transactions and quotations are unobservable.

•Fair value of contingent corporate lending commitments is determined by using executed transactions on comparable loans and the anticipated market price based on pricing indications from syndicate banks and customers. The valuation of loans and lending commitments also takes into account fee income that is considered an attribute of the contract.

•Fair value of mortgage loans is determined using observable prices based on transactional data or third-party pricing for comparable instruments, when available.

•Where position-specific external prices are not observable, fair value is estimated based on benchmarking to prices and rates observed in the primary market for similar loan

or borrower types or based on the present value of expected future cash flows using the Firm’s best available estimates of the key assumptions, including forecasted credit losses, prepayment rates, forward yield curves and discount rates commensurate with the risks involved or a methodology that utilizes the capital structure and credit spreads of recent comparable securitization transactions.

•Fair value of equity margin loans is determined by discounting future interest cash flows, net of potential losses resulting from large downward price movements of the underlying margin loan collateral. The potential losses are modeled using the margin loan rate, which is calibrated from market observable CDS spreads, implied debt yields or volatility metrics of the loan collateral.

Valuation Hierarchy Classification:

•Level 2—if value based on observable market data supported by market liquidity for comparable instruments

•Level 3—in instances where prices or significant spread inputs are unobservable or not supported by market liquidity or if the comparability assessment involves significant subjectivity

Corporate and Other Debt

Corporate Bonds

Valuation Techniques:

•Fair value is determined using recently executed transactions, market price quotations, bond spreads and CDS spreads obtained from independent external parties, such as vendors and brokers, adjusted for any basis difference between cash and derivative instruments.

•The spread data used are for the same maturity as the bond. If the spread data do not reference the issuer, then data that reference comparable issuers are used. When position-specific external price data are not observable, fair value is determined based on either benchmarking to comparable instruments or cash flow models with yield curves, bond or single-name CDS spreads and recovery rates or loss given default as significant inputs.

Valuation Hierarchy Classification:

•Level 2—if value based on observable market data for comparable instruments

•Level 3—in instances where prices or significant spread inputs are unobservable or if the comparability assessment involves significant subjectivity

CDOs

Valuation Techniques:

•The Firm holds cash CDOs that typically reference a tranche of an underlying synthetic portfolio of single-name CDS spreads collateralized by corporate bonds (CLN) or cash portfolio of ABS/loans (“asset-backed CDOs”).

•Credit correlation, a primary input used to determine the fair value of CLNs, is usually unobservable and derived using a benchmarking technique. Other model inputs such as credit spreads, including collateral spreads and interest rates, are typically observable.

•Asset-backed CDOs are valued based on an evaluation of the market and model input parameters sourced from comparable instruments as indicated by market activity.

Each asset-backed CDO position is evaluated independently taking into consideration available comparable market levels, underlying collateral performance and pricing, deal structures and liquidity.

Valuation Hierarchy Classification:

•Level 2—when either comparable market transactions are observable or credit correlation input is insignificant

•Level 3—when either comparable market transactions are unobservable or the credit correlation input is significant

Equity Contracts with Financing Features

Valuation Techniques:

•Fair value of certain equity contracts, which are not classified as OTC derivatives because they do not meet the net investment criteria, is determined by discounting future interest cash flows, inclusive of the estimated value of the embedded optionality. The valuation uses the same derivative pricing models and valuation techniques as described under “OTC Derivative Contracts” herein.

Valuation Hierarchy Classification:

•Level 2—when the contract is valued using observable inputs or where the unobservable input is not deemed significant

•Level 3—when the contract is valued using an unobservable input that is deemed significant

Corporate Equities

Valuation Techniques:

•Exchange-traded equity securities are generally valued based on quoted prices from the exchange.

•Unlisted equity securities are generally valued based on an assessment of each security, considering rounds of financing and third-party transactions, discounted cash flow analyses and market-based information, including comparable transactions, trading multiples and changes in market outlook, among other factors.

•Listed fund units are generally marked to the exchange-traded price if actively traded, or to NAV if not. Unlisted fund units are generally marked to NAV.

Valuation Hierarchy Classification:

•Level 1—actively traded exchange-traded securities and fund units

•Level 2—if not actively traded, inputs are observable or if undergoing a recent M&A event or corporate action

•Level 3—if not actively traded, inputs are unobservable or if undergoing an aged M&A event or corporate action

Derivative and Other Contracts

Exchange-Traded Derivative Contracts

Valuation Techniques:

•Exchange-traded derivatives that are actively traded are valued based on quoted prices from the exchange.

•Exchange-traded derivatives that are not actively traded are valued using the same techniques as those applied to OTC derivatives as noted below.

Valuation Hierarchy Classification:

•Level 1—when actively traded

•Level 2—when not actively traded

OTC Derivative Contracts

Valuation Techniques:

•OTC derivative contracts include forward, swap and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices or commodity prices.

•Depending on the product and the terms of the transaction, the fair value of OTC derivative products can be modeled using a series of techniques, including closed-form analytic formulas, such as the Black-Scholes option-pricing model, simulation models or a combination thereof. Many pricing models do not entail material subjectivity as the methodologies employed do not necessitate significant judgment since model inputs may be observed from actively quoted markets, as is the case for generic interest rate swaps, many equity, commodity and foreign currency option contracts, and certain CDS. In the case of more established derivative products, the pricing models used by the Firm are widely accepted by the financial services industry.

•More complex OTC derivative products are typically less liquid and require more judgment in the implementation of the valuation technique since direct trading activity or quotes are unobservable. This includes certain types of interest rate derivatives with both volatility and correlation exposure, equity, commodity or foreign currency derivatives that are either longer-dated or include exposure to multiple underlyings, and credit derivatives, including CDS on certain mortgage- or asset-backed securities and basket CDS. Where required inputs are unobservable, relationships to observable data points, based on historical and/or implied observations, may be employed as a technique to estimate the model input values. For further information on the valuation techniques for OTC derivative products, see Note 2.

Valuation Hierarchy Classification:

•Level 2—when valued using observable inputs supported by market liquidity or where the unobservable input is not deemed significant

•Level 3—when valued using observable inputs with limited market liquidity or if an unobservable input is deemed significant

Investments

Valuation Techniques:

•Investments include direct investments in equity securities, as well as various investment management funds, which include investments made in connection with certain employee deferred compensation plans.

•Exchange-traded direct equity investments are generally valued based on quoted prices from the exchange.

•For direct investments, initially, the transaction price is generally considered by the Firm as the exit price and is its best estimate of fair value.

•After initial recognition, in determining the fair value of non-exchange-traded internally and externally managed funds, the Firm generally considers the NAV of the fund provided by the fund manager to be the best estimate of

fair value. These investments are included in the Fund Interests table in the “Net Asset Value Measurements” section herein.

•For non-exchange-traded investments either held directly or held within internally managed funds, fair value after initial recognition is based on an assessment of each underlying investment, considering rounds of financing and third-party transactions, discounted cash flow analyses and market-based information, including comparable Firm transactions, trading multiples and changes in market outlook, among other factors.

Valuation Hierarchy Classification:

•Level 1—if actively traded

•Level 2—when not actively traded and valued based on rounds of financing or third-party transactions

•Level 3—when not actively traded and rounds of financing or third-party transactions are not available

Physical Commodities

Valuation Techniques:.

•Fair value is determined using observable inputs, including broker quotations and published indices.

Valuation Hierarchy Classification:

•Level 2—valued using observable inputs

Investment Securities—AFS Securities

Valuation Techniques:

•AFS securities are composed of U.S. government and agency securities (e.g., U.S. Treasury securities, agency-issued debt, agency mortgage pass-through securities and CMOs), CMBS, ABS, state and municipal securities. For further information on the determination of fair value, refer to the corresponding asset/liability Valuation Technique described herein for the same instruments.

Valuation Hierarchy Classification:

•For further information on the determination of valuation hierarchy classification, see the corresponding Valuation Hierarchy Classification described herein.

Deposits

Valuation Techniques:

•The Firm issues FDIC-insured certificates of deposit that pay either fixed coupons or that have repayment terms linked to the performance of debt or equity securities, indices or currencies. The fair value of these certificates of deposit is determined using valuation models that incorporate observable inputs referencing identical or comparable securities, including prices to which the deposits are linked, interest rate yield curves, option volatility and currency rates, equity prices, and the impact of the Firm’s own credit spreads, adjusted for the impact of the FDIC insurance, which is based on vanilla deposit issuance rates.

Valuation Hierarchy Classification:

•Level 2—when valuation inputs are observable

•Level 3—in instances where an unobservable input is deemed significant

Securities Purchased under Agreements to Resell and Securities Sold under Agreements to Repurchase

Valuation Techniques:

•Fair value is computed using a standard cash flow discounting methodology.

•The inputs to the valuation include contractual cash flows and collateral funding spreads, which are the incremental spread over the OIS rate for a specific collateral rate (which refers to the rate applicable to a specific type of security pledged as collateral).

Valuation Hierarchy Classification:

•Level 2—when the valuation inputs are observable and supported by market liquidity

•Level 3—in instances where the valuation input is observable but not supported by market liquidity or if an unobservable input is deemed significant

Other Secured Financings

Valuation Techniques:

•Other secured financings are composed of short-dated notes secured by Corporate equities, agreements to repurchase Physical commodities, the liabilities related to sales of Loans and lending commitments accounted for as financings, and secured contracts that are not classified as OTC derivatives because they fail net investment criteria. For further information on the determination of fair value, refer to the Valuation Techniques described herein for the corresponding instruments, which are the collateral referenced by the other secured financing liability.

Valuation Hierarchy Classification:

•For further information on the determination of valuation hierarchy classification, see the Valuation Hierarchy Classification described herein for the corresponding instruments, which are the collateral referenced by the other secured financing liability.

Borrowings

Valuation Techniques:

•The Firm carries certain borrowings at fair value that are primarily composed of: instruments whose payments and redemption values are linked to the performance of a specific index, a basket of stocks, a specific equity security, a commodity, a credit exposure or basket of credit exposures; and instruments with various interest rate-related features, including step-ups, step-downs and zero coupons. Also included are unsecured contracts which are not classified as OTC derivatives because they fail net investment criteria.

•Fair value is determined using valuation models for the derivative and debt portions of the instruments. These models incorporate observable inputs referencing identical or comparable securities, including prices to which the instruments are linked, interest rate yield curves, option volatility and currency rates, and commodity or equity prices.

•Independent, external and traded prices are considered, as well as the impact of the Firm’s own credit spreads, which are based on observed secondary bond market spreads.

Valuation Hierarchy Classification:

•Level 2—when valued using observable inputs or where the unobservable input is not deemed significant

•Level 3—in instances where an unobservable input is deemed significant

i i

Rollforward of Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis


$ in millions	2022		2021		2020
U.S. Treasury and agency securities
Beginning balance	$	i 2	$	i 9	$	i 22
Realized and unrealized gains (losses)	( i 3)		i —		i 1
Purchases	i 14		i 2		i —
Sales	( i 1)		( i 9)		( i 22)

Net transfers	i 5		i —		i 8
Ending balance	$	i 17	$	i 2	$	i 9
Unrealized gains (losses)	$	( i 1)	$	i —	$	i —
Other sovereign government obligations
Beginning balance	$	i 211	$	i 268	$	i 5
Realized and unrealized gains (losses)	( i 5)		( i 1)		i —
Purchases	i 116		i 146		i 265
Sales	( i 107)		( i 192)		( i 2)

Net transfers	( i 46)		( i 10)		i —
Ending balance	$	i 169	$	i 211	$	i 268
Unrealized gains (losses)	$	( i 14)	$	i —	$	i —
State and municipal securities
Beginning balance	$	i 13	$	i —	$	i 1
Realized and unrealized gains (losses)	( i 4)		i —		i —
Purchases	i 91		i 4		i —
Sales	( i 82)		( i 4)		i —

Net transfers	i 127		i 13		( i 1)
Ending balance	$	i 145	$	i 13	$	i —
Unrealized gains (losses)	$	i —	$	i —	$	i —
MABS
Beginning balance	$	i 344	$	i 322	$	i 438
Realized and unrealized gains (losses)	( i 342)		i 51		( i 66)
Purchases	i 511		i 254		i 175
Sales	( i 130)		( i 215)		( i 244)

Net transfers	i 33		( i 68)		i 19
Ending balance	$	i 416	$	i 344	$	i 322
Unrealized gains (losses)	$	i 2	$	( i 10)	$	( i 49)
Loans and lending commitments
Beginning balance	$	i 3,806	$	i 5,759	$	i 5,073
Realized and unrealized gains (losses)	( i 80)		i 51		( i 65)
Purchases and originations	i 793		i 2,446		i 3,479
Sales	( i 740)		( i 2,609)		( i 957)
Settlements	( i 1,526)		( i 1,268)		( i 2,196)
Net transfers1	( i 236)		( i 573)		i 425
Ending balance	$	i 2,017	$	i 3,806	$	i 5,759
Unrealized gains (losses)	$	i 29	$	( i 7)	$	i 58
Corporate and other debt
Beginning balance	$	i 1,973	$	i 3,435	$	i 1,396
Realized and unrealized gains (losses)	i 456		( i 140)		i 318
Purchases and originations	i 1,165		i 1,355		i 2,623
Sales	( i 1,889)		( i 785)		( i 617)
Settlements	( i 27)		i —		( i 311)
Net transfers2	i 418		( i 1,892)		i 26
Ending balance	$	i 2,096	$	i 1,973	$	i 3,435
Unrealized gains (losses)	$	i 160	$	( i 25)	$	i 311

/ /


$ in millions	2022		2021		2020
Corporate equities
Beginning balance	$	i 115	$	i 86	$	i 97
Realized and unrealized gains (losses)	( i 97)		( i 8)		( i 55)
Purchases	i 73		i 121		i 36
Sales	( i 22)		( i 50)		( i 17)

Net transfers	i 47		( i 34)		i 25
Ending balance	$	i 116	$	i 115	$	i 86
Unrealized gains (losses)	$	i 11	$	( i 3)	$	( i 39)
Investments
Beginning balance	$	i 1,125	$	i 828	$	i 858
Realized and unrealized gains (losses)	( i 409)		i 382		i 32
Purchases	i 63		i 226		i 61
Sales	( i 107)		( i 115)		( i 106)

Net transfers	i 251		( i 196)		( i 17)
Ending balance	$	i 923	$	i 1,125	$	i 828
Unrealized gains (losses)	$	( i 397)	$	i 359	$	( i 45)
Investment securities—AFS
Beginning balance	$	i —	$	i 2,804	$	i —
Realized and unrealized gains (losses)	( i 3)		( i 4)		i 5
Purchases3	i —		i —		i 2,799
Sales	i —		( i 203)		i —

Net transfers3	i 38		( i 2,597)		i —
Ending balance	$	i 35	$	i —	$	i 2,804
Unrealized gains (losses)	$	( i 3)	$	i —	$	i 5
Securities purchased under agreements to resell
Beginning balance	$	i —	$	i 3	$	i —




Net transfers	i —		( i 3)		i 3
Ending balance	$	i —	$	i —	$	i 3

Net derivatives: Interest rate
Beginning balance	$	i 708	$	i 682	$	i 777
Realized and unrealized gains (losses)	( i 643)		i 284		( i 150)
Purchases	i 1		i 67		i 174
Issuances	i —		( i 52)		( i 44)
Settlements	( i 92)		i 14		i 40
Net transfers	( i 125)		( i 287)		( i 115)
Ending balance	$	( i 151)	$	i 708	$	i 682
Unrealized gains (losses)	$	( i 327)	$	i 292	$	( i 34)
Net derivatives: Credit
Beginning balance	$	i 98	$	i 49	$	i 124
Realized and unrealized gains (losses)	i 84		i 95		( i 91)
Purchases	i 5		i 18		i 98
Issuances	( i 10)		( i 46)		( i 112)
Settlements	( i 61)		i 58		i 94
Net transfers	( i 6)		( i 76)		( i 64)
Ending balance	$	i 110	$	i 98	$	i 49
Unrealized gains (losses)	$	i 70	$	i 122	$	( i 111)


$ in millions	2022		2021		2020
Net derivatives: Foreign exchange
Beginning balance	$	i 52	$	i 61	$	( i 31)
Realized and unrealized gains (losses)	( i 8)		( i 89)		i 156
Purchases	i 1		i 2		i 4
Issuances	i —		( i 15)		i —
Settlements	( i 46)		i 16		( i 17)
Net transfers	i 67		i 77		( i 51)
Ending balance	$	i 66	$	i 52	$	i 61
Unrealized gains (losses)	$	i 43	$	( i 62)	$	i 94
Net derivatives: Equity
Beginning balance	$	( i 945)	$	( i 2,231)	$	( i 1,684)
Realized and unrealized gains (losses)	i 201		i 344		i 72
Purchases	i 77		i 70		i 179
Issuances	( i 339)		( i 443)		( i 713)
Settlements	i 348		i 160		( i 354)
Net transfers2	( i 78)		i 1,155		i 269
Ending balance	$	( i 736)	$	( i 945)	$	( i 2,231)
Unrealized gains (losses)	$	i 328	$	( i 103)	$	( i 210)
Net derivatives: Commodity and other
Beginning balance	$	i 1,529	$	i 1,709	$	i 1,612
Realized and unrealized gains (losses)	i 315		i 529		i 251
Purchases	i 185		i 44		i 89
Issuances	( i 210)		( i 86)		( i 57)
Settlements	( i 510)		( i 599)		( i 183)
Net transfers	( i 226)		( i 68)		( i 3)
Ending balance	$	i 1,083	$	i 1,529	$	i 1,709
Unrealized gains (losses)	$	( i 935)	$	i 141	$	( i 309)
Deposits
Beginning balance	$	i 67	$	i 126	$	i 179
Realized and unrealized losses (gains)	i —		i —		i 15

Issuances	i 11		i —		i 21
Settlements	( i 3)		( i 10)		( i 17)
Net transfers	( i 55)		( i 49)		( i 72)
Ending balance	$	i 20	$	i 67	$	i 126
Unrealized losses (gains)	$	i —	$	i —	$	i 15
Nonderivative trading liabilities
Beginning balance	$	i 61	$	i 79	$	i 37
Realized and unrealized losses (gains)	( i 86)		( i 21)		( i 18)
Purchases	( i 35)		( i 30)		( i 35)
Sales	i 93		i 43		i 27
Settlements	i —		i —		i 3
Net transfers	i 41		( i 10)		i 65
Ending balance	$	i 74	$	i 61	$	i 79
Unrealized losses (gains)	$	i 17	$	( i 21)	$	( i 18)
Securities sold under agreements to repurchase
Beginning balance	$	i 651	$	i 444	$	i —
Realized and unrealized losses (gains)	( i 8)		i 1		( i 27)


Issuances	i 17		i —		i 470
Settlements	( i 22)		i —		i —
Net transfers	( i 126)		i 206		i 1
Ending balance	$	i 512	$	i 651	$	i 444
Unrealized losses (gains)	$	i —	$	i 1	$	( i 27)


$ in millions	2022		2021		2020
Other secured financings
Beginning balance	$	i 403	$	i 516	$	i 109
Realized and unrealized losses (gains)	( i 6)		( i 17)		i 21

Issuances	i 39		i 449		i 208
Settlements	( i 342)		( i 518)		( i 217)
Net transfers	( i 3)		( i 27)		i 395
Ending balance	$	i 91	$	i 403	$	i 516
Unrealized losses (gains)	$	( i 6)	$	( i 16)	$	i 21
Borrowings
Beginning balance	$	i 2,157	$	i 4,374	$	i 4,088
Realized and unrealized losses (gains)	( i 133)		( i 99)		i 204

Issuances	i 513		i 717		i 980
Settlements	( i 285)		( i 448)		( i 461)
Net transfers2	( i 665)		( i 2,387)		( i 437)
Ending balance	$	i 1,587	$	i 2,157	$	i 4,374
Unrealized losses (gains)	$	( i 138)	$	( i 114)	$	i 201
Portion of unrealized losses (gains) recorded in OCI—Change in net DVA	( i 35)		( i 17)		i 63

1.Net transfers in 2021 reflect the transfer in the third quarter of $ i 895 million of equity margin loans from Level 3 to Level 2 as a result of the reduced significance of the margin loan rate input. Net transfers in 2020 reflect the largely offsetting impacts of equity margin loan transfers of $ i 857 million into Level 3 in the first quarter and $ i 707 million out of Level 3 in the second quarter, both driven by changes in the significance level of the margin loan rate input based on changes in liquidity conditions.

2.Net transfers in 2021 reflect the transfer in the second quarter of $ i 2.0 billion of Corporate and other debt, $ i 1.0 billion of net Equity derivatives and $ i 2.2 billion of Borrowings from Level 3 to Level 2 as the unobservable inputs were not significant to the overall fair value measurements.

3.Net transfers in 2021 reflect the transfer in the first quarter of $ i 2.5 billion of AFS securities from Level 3 to Level 2 due to increased trading activity and observability of pricing inputs. Purchases of AFS investment securities in 2020 relate to securities acquired as part of the E*TRADE transaction. For additional information on the acquisition of E*TRADE, see Note 3.

Level 3 instruments may be hedged with instruments classified in Level 1 and Level 2. The realized and unrealized gains or losses for assets and liabilities within the Level 3 category presented in the previous tables do not reflect the related realized and unrealized gains or losses on hedging instruments that have been classified by the Firm within the Level 1 and/or Level 2 categories.

The unrealized gains (losses) during the period for assets and liabilities within the Level 3 category may include changes in fair value during the period that were attributable to both observable and unobservable inputs. Total realized and unrealized gains (losses) are primarily included in Trading revenues in the income statement.

Additionally, in the previous tables, consolidations of VIEs are included in Purchases, and deconsolidations of VIEs are included in Settlements.

Significant Unobservable Inputs Used in Recurring and Nonrecurring Level 3 Fair Value Measurements

i

Valuation Techniques and Unobservable Inputs


	Balance / Range (Average1)
$ in millions, except inputs	At December 31, 2022		At December 31, 2021
Assets at Fair Value on a Recurring Basis



Other sovereign government obligations	$	i 169	$	i 211
Comparable pricing:
Bond price	i 57 to i 124 points ( i 89 points)		i 100 points to i 140 points ( i 120 points)
State and municipal securities	$	i 145	$	i 13
Comparable pricing:
Bond price	i 86 to i 100 points ( i 97points)		N/M
MABS	$	i 416	$	i 344
Comparable pricing:
Bond price	i 0 to i 95 points ( i 68 points)		i 0 to i 86 points ( i 59 points)
Loans and lending commitments	$	i 2,017	$	i 3,806
Margin loan model:
Margin loan rate	i 2% to i 4% ( i 3%)		i 1% to i 4% ( i 3%)
Comparable pricing:
Loan price	i 87 to i 105 points ( i 99 points)		i 89 to i 101 points ( i 97 points)
Corporate and other debt	$	i 2,096	$	i 1,973
Comparable pricing:
Bond price	i 51 to i 132 points ( i 90 points)		i 50 to i 163 points ( i 99 points)
Discounted cash flow:
Loss given default	i 54% to i 84% ( i 62% / i 54%)		i 54% to i 84% ( i 62% / i 54%)



Corporate equities	$	i 116	$	i 115
Comparable pricing:
Equity price	i 100%		i 100%
Investments	$	i 923	$	i 1,125
Discounted cash flow:
WACC	i 15% to i 17% ( i 16%)		i 10% to i 16% ( i 15%)
Exit multiple	i 7 to i 17 times ( i 14 times)		i 8 to i 17 times ( i 12 times)
Market approach:
EBITDA multiple	i 7 to i 21 times ( i 11 times)		i 8 to i 25 times ( i 10 times)
Comparable pricing:
Equity price	i 24% to i 100% ( i 89%)		i 43% to i 100% ( i 99%)



Net derivative and other contracts:
Interest rate	$	( i 151)	$	i 708
Option model:
IR volatility skew	i 105% to i 130% ( i 113% / i 109%)		i 39% to i 79% ( i 64% / i 63%)
IR curve correlation	i 47% to i 100% ( i 80% / i 84%)		i 62% to i 98% ( i 83% / i 84%)
Bond volatility	N/M		i 5% to i 32% ( i 12% / i 9%)
Inflation volatility	i 22% to i 65% ( i 43% / i 38%)		i 24% to i 65% ( i 44% / i 40%)
IR curve	i 4% to i 5% ( i 5% / i 5%)		i 4% to i 4% ( i 4% / i 4%)

/


	Balance / Range (Average1)
$ in millions, except inputs	At December 31, 2022		At December 31, 2021
Credit	$	i 110	$	i 98
Credit default swap model:
Cash-synthetic basis	i 7 points		i 7 points
Bond price	i 0 to i 83 points ( i 43 points)		i 0 to i 83 points ( i 46 points)
Credit spread	i 10 to i 528 bps ( i 115 bps)		i 14 to i 477 bps ( i 68 bps)
Funding spread	i 18 to i 590 bps ( i 93 bps)		i 15 to i 433 bps ( i 55 bps)


Foreign exchange2	$	i 66	$	i 52
Option model:
IR - FX correlation	N/M		i 53% to i 56% ( i 55% / i 54%)
IR volatility skew	N/M		i 39% to i 79% ( i 64% / i 63%)
IR curve	- i 2% to i 38% ( i 8% / i 4%)		- i 1% to i 7% ( i 2% / i 0%)
Foreign exchange volatility skew	i 10% to i 10% ( i 10% / i 10% )		- i 4% to - i 2% (- i 3% / - i 3%)
Contingency probability	i 95% to i 95% ( i 95% / i 95%)		i 90% to i 95% ( i 94% / i 95%)
Equity2	$	( i 736)	$	( i 945)
Option model:
Equity volatility	i 5% to i 96% ( i 25%)		i 5% to i 99% ( i 24%)
Equity volatility skew	- i 4% to i 0% (- i 1%)		- i 4% to i 0% (- i 1%)
Equity correlation	i 10% to i 93% ( i 71%)		i 5% to i 99% ( i 73%)
FX correlation	- i 79% to i 65% (- i 26%)		- i 85% to i 37% (- i 42%)
IR correlation	i 10% to i 30% ( i 14)%		i 13% to i 30% ( i 15%)
Commodity and other	$	i 1,083	$	i 1,529
Option model:
Forward power price	$ i 1 to $ i 292 ($ i 43) per MWh		$ i 4 to $ i 263 ($ i 39) per MWh
Commodity volatility	i 12% to i 169% ( i 34%)		i 8% to i 385% ( i 22%)
Cross-commodity correlation	i 70% to i 100% ( i 94%)		i 43% to i 100% ( i 94%)
Liabilities at Fair Value on a Recurring Basis
Deposits	$	i 20	$	i 67
Option model:
Equity volatility	N/M		i 7%



Securities sold under agreements to repurchase	$	i 512	$	i 651
Discounted cash flow:
Funding spread	i 96 to i 165 bps ( i 131 bps)		i 112 to i 127 bps ( i 120 bps)
Other secured financings	$	i 91	$	i 403


Comparable pricing:
Loan price	i 23 to i 101 points ( i 75 points)		i 30 to i 100 points ( i 83 points)


	Balance / Range (Average1)
$ in millions, except inputs	At December 31, 2022		At December 31, 2021
Borrowings	$	i 1,587	$	i 2,157
Option model:
Equity volatility	i 7% to i 86% ( i 23%)		i 7% to i 85% ( i 20%)
Equity volatility skew	- i 2% to i 0% ( i 0%)		- i 1% to i 0% ( i 0%)
Equity correlation	i 39% to i 98% ( i 86%)		i 41% to i 95% ( i 81%)
Equity - FX correlation	- i 50% to i 0% (- i 21%)		- i 55% to i 25% (- i 30%)

IR - FX Correlation	N/M		- i 26% to i 8% (- i 5% / - i 5%)
IR - Volatility skew	i 47% to i 136% ( i 74% / i 59%)		N/M
Discounted cash flow:
Loss given default	i 54% to i 84% ( i 62% / i 54%)		i 54% to i 84% ( i 62% / i 54%)
Nonrecurring Fair Value Measurement
Loans	$	i 6,610	$	i 1,576
Corporate loan model:
Credit spread	i 91 to i 1276 bps ( i 776 bps)		i 108 to i 565 bps ( i 284 bps)
Comparable pricing:
Loan price	i 36 to i 80 points ( i 65 points)		i 40 to i 80 points ( i 61 points)
Warehouse model:
Credit spread	i 110 to i 319 bps ( i 245 bps)		i 182 to i 446 bps ( i 376 bps)

Points—Percentage of par

IR—Interest rate

FX—Foreign exchange

1.A single amount is disclosed for range and average when there is no significant difference between the minimum, maximum and average. Amounts represent weighted averages except where simple averages and the median of the inputs are more relevant.

2.Includes derivative contracts with multiple risks (i.e., hybrid products).

The previous table provides information on the valuation techniques, significant unobservable inputs, and the ranges and averages for each major category of assets and liabilities measured at fair value on a recurring and nonrecurring basis with a significant Level 3 balance. The level of aggregation and breadth of products cause the range of inputs to be wide and not evenly distributed across the inventory of financial instruments. Further, the range of unobservable inputs may differ across firms in the financial services industry because of diversity in the types of products included in each firm’s inventory. Generally, there are no predictable relationships between multiple significant unobservable inputs attributable to a given valuation technique.

During 2022, there were no significant revisions made to the descriptions of the Firm’s significant unobservable inputs.

An increase (decrease) to the following significant unobservable inputs would generally result in a higher (lower) fair value.

•Comparable Bond or Loan Price. A pricing input used when prices for the identical instrument are not available. Significant subjectivity may be involved when fair value is determined using pricing data available for comparable instruments. Valuation using comparable instruments can be done by calculating an implied yield (or spread over a liquid benchmark) from the price of a comparable bond or loan, then adjusting that yield (or spread) to derive a value for the bond or loan. The adjustment to yield (or spread) should account for relevant differences in the bonds or

loans such as maturity or credit quality. Alternatively, a price-to-price basis can be assumed between the comparable instrument and the bond or loan being valued in order to establish the value of the bond or loan.

•Comparable Equity Price. A price derived from equity raises, share buybacks and external bid levels, etc. A discount or premium may be included in the fair value estimate.

•Contingency Probability. Probability associated with the realization of an underlying event upon which the value of an asset is contingent.

•EBITDA Multiple/Exit Multiple. The ratio of Enterprise Value to EBITDA, where enterprise value is the aggregate value of equity and debt minus cash and cash equivalents. The EBITDA multiple reflects the value of a company in terms of its full-year EBITDA, whereas the exit multiple reflects the value of a company in terms of its full-year expected EBITDA at exit. Either multiple allows comparison between companies from an operational perspective as the effect of capital structure, taxation and depreciation/amortization is excluded.

An increase (decrease) to the following significant unobservable inputs would generally result in a lower (higher) fair value.

•Cash-Synthetic Basis. The measure of the price differential between cash financial instruments and their synthetic derivative-based equivalents. The range disclosed in the previous table signifies the number of points by which the synthetic bond equivalent price is higher than the quoted price of the underlying cash bonds.

•Funding Spread. The cost of borrowing defined as the incremental spread over the OIS rate for a specific collateral rate (which refers to the rate applicable to a specific type of security pledged as collateral).

•Loss Given Default. Amount expressed as a percentage of par that is the expected loss when a credit event occurs.

•Margin Loan Rate. The annualized rate that reflects the possibility of losses as a result of movements in the price of the underlying margin loan collateral. The rate is calibrated from the discount rate, credit spreads and/or volatility measures.

•WACC. WACC represents the theoretical rate of return required to debt and equity investors. The WACC is used in a discounted cash flow model that calculates the value of the equity. The model assumes that the cash flow assumptions, including projections, are fully reflected in the current equity value, while the debt to equity ratio is held constant.

An increase (decrease) to the following significant unobservable inputs would generally result in an impact to the

fair value, but the magnitude and direction of the impact would depend on whether the Firm is long or short the exposure.

•Correlation. A pricing input where the payoff is driven by more than one underlying risk. Correlation is a measure of the relationship between the movement of two variables (i.e., how the change in one variable influences a change in the other variable).

•Credit Spread. The credit spread reflects the additional net yield an investor can earn from a security with more credit risk relative to one with less credit risk. The credit spread of a particular security is often quoted in relation to the yield on a credit risk-free benchmark security or reference rate.

•Interest Rate Curve. The term structure of interest rates (relationship between interest rates and the time to maturity) and a market’s measure of future interest rates at the time of observation. An interest rate curve is used to set interest rate and foreign exchange derivative cash flows and is a pricing input used in the discounting of any OTC derivative cash flow.

•Volatility. The measure of variability in possible returns for an instrument given how much that instrument changes in value over time. Volatility is a pricing input for options, and, generally, the lower the volatility, the less risky the option. The level of volatility used in the valuation of a particular option depends on a number of factors, including the nature of the risk underlying that option, the tenor and the strike price of the option.

•Volatility Skew. The measure of the difference in implied volatility for options with identical underliers and expiry dates but with different strikes.

Net Asset Value Measurements

i

Fund Interests

$ in millions

Carrying
Value

Commitment

Carrying
Value

Commitment

Private equity

$

i 2,622

$

i 638

$

i 2,492

$

i 615

Real estate

i 2,642

i 239

i 2,064

i 248

Hedge1

i 190

i 3

i 191

i 2

Total

$

i 5,454

$

i 880

$

i 4,747

$

i 865

1.Investments in hedge funds may be subject to initial period lock-up or gate provisions, which restrict an investor from withdrawing from the fund during a certain initial period or restrict the redemption amount on any redemption date, respectively.

/

Amounts in the previous table represent the Firm’s carrying value of general and limited partnership interests in fund investments, as well as any related performance-based income in the form of carried interest. The carrying amounts are measured based on the NAV of the fund taking into account the distribution terms applicable to the interest held. This same measurement applies whether the fund investments are accounted for under the equity method or fair value.

Private Equity. Funds that pursue multiple strategies, including leveraged buyouts, venture capital, infrastructure growth capital, distressed investments and mezzanine capital. In addition, the funds may be structured with a focus on specific geographic regions.

Real Estate. Funds that invest in real estate assets such as commercial office buildings, retail properties, multi-family residential properties, developments or hotels. In addition, the funds may be structured with a focus on specific geographic regions.

Investments in private equity and real estate funds generally are not redeemable due to the closed-end nature of these funds. Instead, distributions from each fund will be received as the underlying investments of the funds are disposed and monetized.

Hedge. Funds that pursue various investment strategies, including long-short equity, fixed income/credit, event-driven and multi-strategy.

See Note 15 for information regarding general partner guarantees, which include potential obligations to return performance fee distributions previously received. See Note 23 for information regarding unrealized carried interest at risk of reversal.

Nonredeemable Funds by Contractual Maturity


	Carrying Value at December 31, 2022
$ in millions	Private Equity		Real Estate
Less than 5 years	$	i 1,086	$	i 1,013
5-10 years	i 1,051		i 1,598
Over 10 years	i 485		i 31
Total	$	i 2,622	$	i 2,642

Nonrecurring Fair Value Measurements

i

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis


	At December 31, 2022
$ in millions	Level 2		Level 31		Total
Assets
Loans	$	i 4,193	$	i 6,610	$	i 10,803
Other assets—Other investments	i —		i 7		i 7

Other assets—ROU assets	i 4		i —		i 4
Total	$	i 4,197	$	i 6,617	$	i 10,814
Liabilities
Other liabilities and accrued expenses—Lending commitments	$	i 275	$	i 153	$	i 428
Total	$	i 275	$	i 153	$	i 428


	At December 31, 2021
$ in millions	Level 2		Level 31		Total
Assets
Loans	$	i 4,035	$	i 1,576	$	i 5,611
Other assets—Other investments	i —		i 8		i 8
Other assets—ROU assets	i 16		i —		i 16
Total	$	i 4,051	$	i 1,584	$	i 5,635
Liabilities
Other liabilities and accrued expenses—Lending commitments	$	i 173	$	i 70	$	i 243
Total	$	i 173	$	i 70	$	i 243

1.For significant Level 3 balances, refer to “Significant Unobservable Inputs Used in Recurring and Nonrecurring Level 3 Fair Value Measurements” section herein for details of the significant unobservable inputs used for nonrecurring fair value measurement.

Gains (Losses) from Nonrecurring Fair Value Remeasurements1


$ in millions	2022		2021		2020
Assets
Loans2	$	( i 563)	$	( i 89)	$	( i 354)
Goodwill	i —		( i 8)		i —
Intangibles	i —		( i 3)		( i 2)
Other assets—Other investments3	( i 14)		( i 57)		( i 56)
Other assets—Premises, equipment and software4	( i 6)		( i 14)		( i 45)
Other assets—ROU assets5	( i 11)		( i 25)		( i 23)
Total	$	( i 594)	$	( i 196)	$	( i 480)
Liabilities
Other liabilities and accrued expenses—Lending commitments2	$	( i 137)	$	i 37	$	( i 5)
Total	$	( i 137)	$	i 37	$	( i 5)

1.Gains and losses for Loans and Other assets—Other investments are classified in Other revenues. For other items, gains and losses are recorded in Other revenues if the item is held for sale; otherwise, they are recorded in Other expenses.

2.Nonrecurring changes in the fair value of loans and lending commitments, which exclude the impact of related economic hedges, are calculated as follows: for the held-for-investment category, based on the value of the underlying collateral; and for the held-for-sale category, based on recently executed transactions, market price quotations, valuation models that incorporate market observable inputs where possible, such as comparable loan or debt prices and CDS spread levels adjusted for any basis difference between cash and derivative instruments, or default recovery analysis where such transactions and quotations are unobservable.

3.Losses related to Other assets—Other investments were determined using techniques that included discounted cash flow models, methodologies that incorporate multiples of certain comparable companies and recently executed transactions.

4.Losses related to Other assets—Premises, equipment and software generally include impairments as well as write-offs related to the disposal of certain assets.

5.Losses related to Other assets—ROU assets include impairments related to the discontinued use of certain leased properties.

/

i

Financial Instruments Not Measured at Fair Value

Carrying
Value

Fair Value

$ in millions

Level 1

Level 2

Level 3

Total

Financial assets

Cash and cash equivalents

$

i 128,127

$

i 128,127

$

i —

$

i —

$

i 128,127

Investment securities—HTM

i 75,634

i 26,754

i 37,218

i 1,034

i 65,006

Securities purchased

under agreements to resell

i 113,899

i —

i 111,188

i 2,681

i 113,869

Securities borrowed

i 133,374

i —

i 133,370

i —

i 133,370

Customer and other receivables

i 73,248

i —

i 69,268

i 3,664

i 72,932

Loans1

i 213,785

i —

i 24,153

i 181,561

i 205,714

Other assets

i 704

i —

i 704

i —

i 704

Financial liabilities

Deposits

$

i 351,850

$

i —

$

i 351,721

$

i —

$

i 351,721

Securities sold under agreements to repurchase

i 61,670

i —

i 61,620

i —

i 61,620

Securities loaned

i 15,679

i —

i 15,673

i —

i 15,673

Other secured financings

i 3,608

i —

i 3,608

i —

i 3,608

Customer and other payables

i 216,018

i —

i 216,018

i —

i 216,018

Borrowings

i 159,338

i —

i 157,780

i 4

i 157,784

Commitment
Amount

Lending commitments3

$

i 136,241

$

i —

$

i 1,789

$

i 1,077

$

i 2,866

Carrying
Value

Fair Value

$ in millions

Level 1

Level 2

Level 3

Total

Financial assets

Cash and cash equivalents

$

i 127,725

$

i 127,725

$

i —

$

i —

$

i 127,725

Investment securities—HTM

i 80,168

i 29,454

i 49,352

i 1,076

i 79,882

Securities purchased

under agreements to resell

i 119,992

i —

i 117,922

i 2,075

i 119,997

Securities borrowed

i 129,713

i —

i 129,713

i —

i 129,713

Customer and other receivables

i 91,664

i —

i 88,091

i 3,442

i 91,533

Loans1

i 188,134

i —

i 25,706

i 163,784

i 189,490

Other assets

i 528

i —

i 528

i —

i 528

Financial liabilities

Deposits

$

i 345,634

$

i —

$

i 345,911

$

i —

$

i 345,911

Securities sold under agreements to repurchase

i 61,397

i —

i 61,419

i —

i 61,419

Securities loaned

i 12,299

i —

i 12,296

i —

i 12,296

Other secured financings

i 4,908

i —

i 4,910

i —

i 4,910

Customer and other payables

i 228,631

i —

i 228,631

i —

i 228,631

Borrowings

i 156,787

i —

i 162,154

i 4

i 162,158

Commitment
Amount

Lending commitments2

$

i 133,519

$

i —

$

i 890

$

i 470

$

i 1,360

1.Amounts include loans measured at fair value on a nonrecurring basis.

2.Represents Lending commitments accounted for as Held for Investment and Held for Sale. For a further discussion on lending commitments, see Note 15.

/

The previous tables exclude all non-financial assets and liabilities, such as Goodwill and Intangible assets, and certain financial instruments, such as equity method investments and certain receivables.

6. i 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

i


$ in millions	At December 31, 2022		At December 31, 2021
Business Unit Responsible for Risk Management
Equity	$	i 38,945	$	i 37,046
Interest rates	i 26,077		i 28,638
Commodities	i 10,717		i 7,837
Credit	i 1,564		i 1,347
Foreign exchange	i 1,417		i 1,472
Total	$	i 78,720	$	i 76,340

/

Net Revenues from Borrowings under the Fair Value Option


$ in millions	2022		2021		2020
Trading revenues	$	i 12,370	$	i 899	$	( i 5,135)
Interest expense	i 293		i 305		i 341
Net revenues1	$	i 12,077	$	i 594	$	( i 5,476)

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


$ in millions	Trading Revenues		OCI
2022
Loans and other receivables1	$	( i 108)	$	i —
Lending commitments	( i 12)		i —
Deposits	i —		( i 24)
Borrowings	i —		i 2,006
2021
Loans and other receivables1	$	i 278	$	i —
Lending commitments	i 2		i —
Deposits	i —		i 17
Borrowings	( i 36)		i 901
2020
Loans and other receivables1	$	( i 116)	$	i —
Lending commitments	( i 3)		i —
Deposits	i —		( i 19)
Borrowings	( i 26)		( i 1,340)


$ in millions	At December 31, 2022		At December 31, 2021
Cumulative pre-tax DVA gain (loss) recognized in AOCI	$	( i 457)	$	( i 2,439)

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 Value1


$ in millions	At December 31, 2022		At December 31, 2021
Loans and other receivables2	$	i 11,916	$	i 12,633
Nonaccrual loans2	i 9,128		i 9,999
Borrowings3	i 5,203		( i 2,106)

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 millions	At December 31, 2022		At December 31, 2021
Nonaccrual loans	$	i 585	$	i 989
Nonaccrual loans 90 or more days past due	$	i 116	$	i 363

7. i Derivative Instruments and Hedging Activities

The Firm trades and makes markets globally in listed futures, OTC swaps, forwards, options and other derivatives referencing, among other things, interest rates, equities, currencies, investment grade and non-investment grade corporate credits, loans, bonds, U.S. and other sovereign securities, emerging market bonds and loans, credit indices, ABS indices, property indices, mortgage-related and other ABS, and real estate loan products. The Firm uses these instruments for market-making, managing foreign currency and credit exposure, and asset/liability management.

The Firm manages its market-making positions by employing a variety of risk mitigation strategies. These strategies include diversification of risk exposures and hedging. Hedging activities consist of the purchase or sale of positions in related securities and financial instruments, including a variety of derivative products (e.g., futures, forwards, swaps and options). The Firm manages the market risk associated with its market-making activities on a Firmwide basis, on a worldwide trading division level and on an individual product basis.

i

Fair Values of Derivative Contracts

Assets at December 31, 2022

$ in millions

Bilateral
OTC

Cleared
OTC

Exchange-
Traded

Total

Designated as accounting hedges

Interest rate

$

i 62

$

i 1

$

i —

$

i 63

Foreign exchange

i 15

i 44

i —

i 59

Total

i 77

i 45

i —

i 122

Not designated as accounting hedges

Economic hedges of loans

Credit

i 2

i 59

i —

i 61

Other derivatives

Interest rate

i 141,291

i 29,007

i 1,029

i 171,327

Credit

i 5,888

i 2,352

i —

i 8,240

Foreign exchange

i 113,540

i 2,337

i 62

i 115,939

Equity

i 16,505

i —

i 26,850

i 43,355

Commodity and other

i 24,298

i —

i 6,164

i 30,462

Total

i 301,524

i 33,755

i 34,105

i 369,384

Total gross derivatives

$

i 301,601

$

i 33,800

$

i 34,105

$

i 369,506

Amounts offset

Counterparty netting

( i 214,773)

( i 32,250)

( i 32,212)

( i 279,235)

Cash collateral netting

( i 44,711)

( i 1,348)

i —

( i 46,059)

Total in Trading assets

$

i 42,117

$

i 202

$

i 1,893

$

i 44,212

Amounts not offset1

Financial instruments collateral

( i 19,406)

i —

( i 19,406)

Net amounts

$

i 22,711

$

i 202

$

i 1,893

$

i 24,806

Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable

$

i 4,318

/

i

Liabilities at December 31, 2022

$ in millions

Bilateral
OTC

Cleared
OTC

Exchange-
Traded

Total

Designated as accounting hedges

Interest rate

$

i 457

$

i 4

$

i —

$

i 461

Foreign exchange

i 550

i 101

i —

i 651

Total

i 1,007

i 105

i —

i 1,112

Not designated as accounting hedges

Economic hedges of loans

Credit

i 9

i 368

i —

i 377

Other derivatives

Interest rate

i 135,661

i 28,581

i 455

i 164,697

Credit

i 5,535

i 2,390

i —

i 7,925

Foreign exchange

i 110,322

i 2,512

i 104

i 112,938

Equity

i 23,138

i —

i 28,193

i 51,331

Commodity and other

i 19,631

i —

i 6,748

i 26,379

Total

i 294,296

i 33,851

i 35,500

i 363,647

Total gross derivatives

$

i 295,303

$

i 33,956

$

i 35,500

$

i 364,759

Amounts offset

Counterparty netting

( i 214,773)

( i 32,250)

( i 32,212)

( i 279,235)

Cash collateral netting

( i 45,884)

( i 1,505)

i —

( i 47,389)

Total in Trading liabilities

$

i 34,646

$

i 201

$

i 3,288

$

i 38,135

Amounts not offset1

Financial instruments collateral

( i 2,545)

i —

( i 1,139)

( i 3,684)

Net amounts

$

i 32,101

$

i 201

$

i 2,149

$

i 34,451

Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable

$

i 6,430

/

Assets at December 31, 2021

$ in millions

Bilateral
OTC

Cleared
OTC

Exchange-
Traded

Total

Designated as accounting hedges

Interest rate

$

i 594

$

i 1

$

i —

$

i 595

Foreign exchange

i 191

i 6

i —

i 197

Total

i 785

i 7

i —

i 792

Not designated as accounting hedges

Economic hedges of loans

Credit

i —

i 15

i —

i 15

Other derivatives

Interest rate

i 147,585

i 7,002

i 383

i 154,970

Credit

i 5,749

i 3,186

i —

i 8,935

Foreign exchange

i 73,276

i 1,219

i 39

i 74,534

Equity

i 28,877

i —

i 41,455

i 70,332

Commodity and other

i 22,175

i —

i 5,538

i 27,713

Total

i 277,662

i 11,422

i 47,415

i 336,499

Total gross derivatives

$

i 278,447

$

i 11,429

$

i 47,415

$

i 337,291

Amounts offset

Counterparty netting

( i 201,729)

( i 9,818)

( i 42,883)

( i 254,430)

Cash collateral netting

( i 43,495)

( i 1,212)

i —

( i 44,707)

Total in Trading assets

$

i 33,223

$

i 399

$

i 4,532

$

i 38,154

Amounts not offset1

Financial instruments collateral

( i 10,457)

i —

( i 10,457)

Net amounts

$

i 22,766

$

i 399

$

i 4,532

$

i 27,697

Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable

$

i 6,725

Liabilities at December 31, 2021

$ in millions

Bilateral
OTC

Cleared
OTC

Exchange-
Traded

Total

Designated as accounting hedges

Interest rate

$

i 86

$

i 1

$

i —

$

i 87

Foreign exchange

i 57

i 50

i —

i 107

Total

i 143

i 51

i —

i 194

Not designated as accounting hedges

Economic hedges of loans

Credit

i 17

i 412

i —

i 429

Other derivatives

Interest rate

i 140,770

i 6,112

i 233

i 147,115

Credit

i 5,609

i 3,463

i —

i 9,072

Foreign exchange

i 71,851

i 1,196

i 41

i 73,088

Equity

i 39,597

i —

i 41,081

i 80,678

Commodity and other

i 17,188

i —

i 5,740

i 22,928

Total

i 275,032

i 11,183

i 47,095

i 333,310

Total gross derivatives

$

i 275,175

$

i 11,234

$

i 47,095

$

i 333,504

Amounts offset

Counterparty netting

( i 201,729)

( i 9,818)

( i 42,883)

( i 254,430)

Cash collateral netting

( i 43,305)

( i 1,201)

i —

( i 44,506)

Total in Trading liabilities

$

i 30,141

$

i 215

$

i 4,212

$

i 34,568

Amounts not offset1

Financial instruments collateral

( i 5,866)

( i 8)

( i 39)

( i 5,913)

Net amounts

$

i 24,275

$

i 207

$

i 4,173

$

i 28,655

Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable

$

i 6,194

1.Amounts relate to master netting agreements and collateral agreements that have been determined by the Firm to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance.

See Note 5 for information related to the unsettled fair value of futures contracts not designated as accounting hedges, which are excluded from the previous tables.

i

Notionals of Derivative Contracts

Assets at December 31, 2022

$ in billions

Bilateral
OTC

Cleared
OTC

Exchange-
Traded

Total

Designated as accounting hedges

Interest rate

$

i 2

$

i 62

$

i —

$

i 64

Foreign exchange

i 2

i —

i 4

Total

i 4

i 64

i —

i 68

Not designated as accounting hedges

Economic hedges of loans

Credit

i —

i 3

i —

i 3

Other derivatives

Interest rate

i 3,404

i 7,609

i 614

i 11,627

Credit

i 190

i 130

i —

i 320

Foreign exchange

i 3,477

i 126

i 15

i 3,618

Equity

i 488

i —

i 358

i 846

Commodity and other

i 141

i —

i 59

i 200

Total

i 7,700

i 7,868

i 1,046

i 16,614

Total gross derivatives

$

i 7,704

$

i 7,932

$

i 1,046

$

i 16,682

Liabilities at December 31, 2022

$ in billions

Bilateral
OTC

Cleared
OTC

Exchange-
Traded

Total

Designated as accounting hedges

Interest rate

$

i 3

$

i 187

$

i —

$

i 190

Foreign exchange

i 12

i 2

i —

i 14

Total

i 15

i 189

i —

i 204

Not designated as accounting hedges

Economic hedges of loans

Credit

i —

i 15

i —

i 15

Other derivatives

Interest rate

i 3,436

i 7,761

i 497

i 11,694

Credit

i 199

i 125

i —

i 324

Foreign exchange

i 3,516

i 123

i 35

i 3,674

Equity

i 488

i —

i 552

i 1,040

Commodity and other

i 101

i —

i 79

i 180

Total

i 7,740

i 8,024

i 1,163

i 16,927

Total gross derivatives

$

i 7,755

$

i 8,213

$

i 1,163

$

i 17,131

Assets at December 31, 2021

$ in billions

Bilateral
OTC

Cleared
OTC

Exchange-
Traded

Total

Designated as accounting hedges

Interest rate

$

i 4

$

i 104

$

i —

$

i 108

Foreign exchange

i 8

i 1

i —

i 9

Total

i 12

i 105

i —

i 117

Not designated as accounting hedges

Economic hedges of loans

Credit

i —

Other derivatives

Interest rate

i 3,488

i 7,082

i 570

i 11,140

Credit

i 216

i 105

i —

i 321

Foreign exchange

i 3,386

i 95

i 10

i 3,491

Equity

i 495

i —

i 407

i 902

Commodity and other

i 139

i —

i 73

i 212

Total

i 7,724

i 7,282

i 1,060

i 16,066

Total gross derivatives

$

i 7,736

$

i 7,387

$

i 1,060

$

i 16,183

/

Liabilities at December 31, 2021

$ in billions

Bilateral
OTC

Cleared
OTC

Exchange-
Traded

Total

Designated as accounting hedges

Interest rate

$

i —

$

i 99

$

i —

$

i 99

Foreign exchange

i 5

i 3

i —

i 8

Total

i 5

i 102

i —

i 107

Not designated as accounting hedges

Economic hedges of loans

Credit

i 1

i 12

i —

i 13

Other derivatives

Interest rate

i 3,827

i 6,965

i 445

i 11,237

Credit

i 225

i 106

i —

i 331

Foreign exchange

i 3,360

i 88

i 12

i 3,460

Equity

i 552

i —

i 735

i 1,287

Commodity and other

i 110

i —

i 81

i 191

Total

i 8,075

i 7,171

i 1,273

i 16,519

Total gross derivatives

$

i 8,080

$

i 7,273

$

i 1,273

$

i 16,626

The notional amounts of derivative contracts generally overstate the Firm’s exposure. In most circumstances, notional amounts are used only as a reference point from which to calculate amounts owed between the parties to the contract. Furthermore, notional amounts do not reflect the benefit of legally enforceable netting arrangements or risk mitigating transactions.

i

Gains (Losses) on Accounting Hedges


$ in millions	2022		2021		2020
Fair value hedges—Recognized in Interest income
Interest rate contracts	$	i 1,928	$	i 742	$	i 75
Investment Securities—AFS	( i 1,838)		( i 629)		( i 33)
Fair value hedges—Recognized in Interest expense
Interest rate contracts	$	( i 15,159)	$	( i 4,306)	$	i 4,678
Deposits	i 124		i 88		( i 100)
Borrowings	i 15,042		i 4,214		( i 4,692)
Net investment hedges—Foreign exchange contracts
Recognized in OCI	$	i 657	$	i 664	$	( i 366)
Forward points excluded from hedge effectiveness testing—Recognized in Interest income	( i 33)		( i 53)		i 16
Cash flow hedges—Interest rate contracts1
Recognized in OCI	$	( i 4)	$	i —	$	i —
Realized gains (losses) (pre-tax) reclassified from AOCI to interest income	i —		i —		i —
Net change in cash flow hedges included within AOCI	( i 4)		i —		i —

/

1.For the year ended 2022, there were no forecasted transactions that failed to occur. The net gains (losses) associated with cash flow hedges expected to be reclassified from AOCI within 12 months as of December 31, 2022 is approximately $ i 0.2 million. The maximum length of time over which forecasted cash flows are hedged is i 2 years.

i

Fair Value Hedges—Hedged Items


$ in millions	At December 31, 2022		At December 31, 2021
Investment securities—AFS
Amortized cost basis currently or previously hedged	$	i 34,073	$	i 17,902
Basis adjustments included in amortized cost1	$	( i 1,628)	$	( i 591)
Deposits
Carrying amount currently or previously hedged	$	i 3,735	$	i 6,279
Basis adjustments included in carrying amount1	$	( i 119)	$	i 5
Borrowings
Carrying amount currently or previously hedged	$	i 146,025	$	i 122,919
Basis adjustments included in carrying amount—Outstanding hedges	$	( i 12,748)	$	i 2,324
Basis adjustments included in carrying amount—Terminated hedges	$	( i 715)	$	( i 743)

1.Hedge accounting basis adjustments are primarily related to outstanding hedges.

/ i

Gains (Losses) on Economic Hedges of Loans


$ in millions	2022	2021	2020
Recognized in Other revenues
Credit contracts1	( i 62)	( i 285)	i 9

/

1.Amounts related to hedges of certain held-for-investment and held-for-sale loans.

Derivatives with Credit Risk-Related Contingencies

i

Net Derivative Liabilities and Collateral Posted


$ in millions	At December 31, 2022		At December 31, 2021
Net derivative liabilities with credit risk-related contingent features	$	i 20,287	$	i 20,548
Collateral posted	i 12,268		i 14,789

/

The previous table presents the aggregate fair value of certain derivative contracts that contain credit risk-related contingent features that are in a net liability position for which the Firm has posted collateral in the normal course of business.

Incremental Collateral and Termination Payments upon Potential Future Ratings Downgrade


$ in millions	At December 31, 2022
One-notch downgrade	$	i 577
Two-notch downgrade	i 412
Bilateral downgrade agreements included in the amounts above1	$	i 937

1.Amount represents arrangements between the Firm and other parties where upon the downgrade of one party, the downgraded party must deliver collateral to the other party. These bilateral downgrade arrangements are used by the Firm to manage the risk of counterparty downgrades.

The additional collateral or termination payments that may be called in the event of a future credit rating downgrade vary by contract and can be based on ratings by either or both of Moody’s Investors Service, Inc. and S&P Global Ratings. The previous table shows the future potential collateral amounts and termination payments that could be called or required by counterparties or exchange and clearing organizations in the

event of one-notch or two-notch downgrade scenarios based on the relevant contractual downgrade triggers.

i

Maximum Potential Payout/Notional of Credit Protection Sold1

Years to Maturity at December 31, 2022

$ in billions

< 1

1-3

3-5

Over 5

Total

Single-name CDS

Investment grade

$

i 12

$

i 29

$

i 29

$

i 9

$

i 79

Non-investment grade

i 5

i 13

i 16

i 2

i 36

Total

$

i 17

$

i 42

$

i 45

$

i 11

$

i 115

Index and basket CDS

Investment grade

$

i 3

$

i 13

$

i 37

$

i 3

$

i 56

Non-investment grade

i 8

i 17

i 108

i 19

i 152

Total

$

i 11

$

i 30

$

i 145

$

i 22

$

i 208

Total CDS sold

$

i 28

$

i 72

$

i 190

$

i 33

$

i 323

Other credit contracts

i —

Total credit protection sold

$

i 28

$

i 72

$

i 190

$

i 33

$

i 323

CDS protection sold with identical protection purchased

$

i 262

Years to Maturity at December 31, 2021

$ in billions

< 1

1-3

3-5

Over 5

Total

Single-name CDS

Investment grade

$

i 10

$

i 26

$

i 29

$

i 9

$

i 74

Non-investment grade

i 5

i 13

i 17

i 2

i 37

Total

$

i 15

$

i 39

$

i 46

$

i 11

$

i 111

Index and basket CDS

Investment grade

$

i 2

$

i 11

$

i 106

$

i 15

$

i 134

Non-investment grade

i 9

i 14

i 37

i 12

i 72

Total

$

i 11

$

i 25

$

i 143

$

i 27

$

i 206

Total CDS sold

$

i 26

$

i 64

$

i 189

$

i 38

$

i 317

Other credit contracts

i —

Total credit protection sold

$

i 26

$

i 64

$

i 189

$

i 38

$

i 317

CDS protection sold with identical protection purchased

$

i 278

/ i

Fair Value Asset (Liability) of Credit Protection Sold1


$ in millions	At December 31, 2022		At December 31, 2021
Single-name CDS
Investment grade	$	i 762	$	i 1,428
Non-investment grade	( i 808)		( i 370)
Total	$	( i 46)	$	i 1,058
Index and basket CDS
Investment grade	$	i 859	$	i 1,393
Non-investment grade	( i 1,812)		( i 650)
Total	$	( i 953)	$	i 743
Total CDS sold	$	( i 999)	$	i 1,801
Other credit contracts	( i 1)		( i 3)
Total credit protection sold	$	( i 1,000)	$	i 1,798

1.Investment grade/non-investment grade determination is based on the internal credit rating of the reference obligation. Internal credit ratings serve as the CRM’s assessment of credit risk and the basis for a comprehensive credit limits framework used to control credit risk. The Firm uses quantitative models and judgment to estimate the various risk parameters related to each obligor.

/

i

Protection Purchased with CDS


	Notional
$ in billions	At December 31, 2022		At December 31, 2021
Single name	$	i 140	$	i 126
Index and basket	i 173		i 204
Tranched index and basket	i 26		i 18
Total	$	i 339	$	i 348


	Fair Value Asset (Liability)
$ in millions	At December 31, 2022		At December 31, 2021
Single name	$	( i 33)	$	( i 1,338)
Index and basket	i 1,248		( i 563)
Tranched index and basket	( i 217)		( i 451)
Total	$	i 998	$	( i 2,352)

/

The Firm enters into credit derivatives, principally CDS, under which it receives or provides protection against the risk of default on a set of debt obligations issued by a specified reference entity or entities. A majority of the Firm’s counterparties for these derivatives are banks, broker-dealers, and insurance and other financial institutions.

The fair value amounts as shown in the previous tables are prior to cash collateral or counterparty netting.

The purchase of credit protection does not represent the sole manner in which the Firm risk manages its exposure to credit derivatives. The Firm manages its exposure to these derivative contracts through a variety of risk mitigation strategies, which include managing the credit and correlation risk across single-name, non-tranched indices and baskets, tranched indices and baskets, and cash positions. Aggregate market risk limits have been established for credit derivatives, and market risk measures are routinely monitored against these limits. The Firm may also recover amounts on the underlying reference obligation delivered to the Firm under CDS where credit protection was sold.

Single-Name CDS. A CDS protects the buyer against the loss of principal on a bond or loan in case of a default by the issuer. The protection buyer pays a periodic premium (generally quarterly) over the life of the contract and is protected for the period. The Firm, in turn, performs under a CDS if a credit event as defined under the contract occurs. Typical credit events include bankruptcy, dissolution or insolvency of the referenced entity, failure to pay and restructuring of the obligations of the referenced entity.

Index and Basket CDS. Index and basket CDS are products where credit protection is provided on a portfolio of single-name CDS. Generally, in the event of a default on one of the underlying names, the Firm pays a pro rata portion of the total notional amount of the CDS.

The Firm also enters into tranched index and basket CDS where credit protection is provided on a particular portion of the portfolio loss distribution. The most junior tranches cover initial defaults, and once losses exceed the notional of the

tranche, they are passed on to the next most senior tranche in the capital structure.

Other Credit Contracts. The Firm has invested in CLNs and CDOs, which are hybrid instruments containing embedded derivatives, in which credit protection has been sold to the issuer of the note. If there is a credit event of a reference entity underlying the instrument, the principal balance of the note may not be repaid in full to the Firm.

8. i Investment Securities

i

AFS and HTM Securities

$ in millions

Amortized

Cost1

Gross
Unrealized
Gains

Gross
Unrealized
Losses

Fair
Value

AFS securities

U.S. Treasury securities

$

i 56,103

$

i 17

$

i 2,254

i 53,866

U.S. agency securities2

i 23,926

i 1

i 2,753

i 21,174

Agency CMBS

i 5,998

i —

i 470

i 5,528

State and municipal securities

i 2,598

i 71

i 42

i 2,627

FFELP student loan ABS3

i 1,147

i —

i 45

i 1,102

Total AFS securities

i 89,772

i 89

i 5,564

i 84,297

HTM securities

U.S. Treasury securities

i 28,599

i —

i 1,845

i 26,754

U.S. agency securities2

i 44,038

i —

i 8,487

i 35,551

Agency CMBS

i 1,819

i —

i 152

i 1,667

Non-agency CMBS

i 1,178

i —

i 144

i 1,034

Total HTM securities

i 75,634

i —

i 10,628

i 65,006

Total investment securities

$

i 165,406

$

i 89

$

i 16,192

$

i 149,303

$ in millions

Amortized

Cost1

Gross
Unrealized
Gains

Gross
Unrealized
Losses

Fair
Value

AFS securities

U.S. Treasury securities

$

i 58,974

$

i 343

$

i 296

$

i 59,021

U.S. agency securities2

i 26,780

i 274

i 241

i 26,813

Agency CMBS

i 14,476

i 289

i 89

i 14,676

State and municipal securities

i 613

i 37

i 2

i 648

FFELP student loan ABS3

i 1,672

i 11

i 1,672

Total AFS securities

i 102,515

i 954

i 639

i 102,830

HTM securities

U.S. Treasury securities

i 28,653

i 882

i 81

i 29,454

U.S. agency securities2

i 48,195

i 169

i 1,228

i 47,136

Agency CMBS

i 2,267

i —

i 51

i 2,216

Non-agency CMBS

i 1,053

i 28

i 5

i 1,076

Total HTM securities

i 80,168

i 1,079

i 1,365

i 79,882

Total investment securities

$

i 182,683

$

i 2,033

$

i 2,004

$

i 182,712

1.Amounts are net of any ACL.

2.U.S. agency securities consist mainly of agency mortgage pass-through pool securities, CMOs and agency-issued debt.

3.Underlying loans are backed by a guarantee, ultimately from the U.S. Department of Education, of at least i i 95 / % of the principal balance and interest outstanding.

/

i

Investment Securities in an Unrealized Loss Position

At December 31,
2022

At December 31,
2021

$ in millions

Fair Value

Gross
Unrealized
Losses

Fair Value

Gross
Unrealized
Losses

U.S. Treasury securities

Less than12 months

$

i 42,144

$

i 1,711

$

i 31,459

$

i 296

12 months or longer

i 11,454

i 543

i —

Total

i 53,598

i 2,254

i 31,459

i 296

U.S. agency securities

Less than12 months

i 13,662

i 1,271

i 12,283

i 219

12 months or longer

i 7,060

i 1,482

i 1,167

i 22

Total

i 20,722

i 2,753

i 13,450

i 241

Agency CMBS

Less than12 months

i 5,343

i 448

i 2,872

i 89

12 months or longer

i 185

i 22

i 10

i —

Total

i 5,528

i 470

i 2,882

i 89

State and municipal securities

Less than12 months

i 2,106

i 40

i 21

i 2

12 months or longer

i 65

i 2

i 7

i —

Total

i 2,171

i 42

i 28

i 2

FFELP student loan ABS

Less than12 months

i 627

i 23

i 320

i 1

12 months or longer

i 476

i 22

i 591

i 10

Total

i 1,103

i 45

i 911

i 11

Total AFS securities in an unrealized loss position

Less than12 months

i 63,882

i 3,493

i 46,955

i 607

12 months or longer

i 19,240

i 2,071

i 1,775

i 32

Total

$

i 83,122

$

i 5,564

$

i 48,730

$

i 639

/

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, 2022 and December 31, 2021, the securities in an unrealized loss position are predominantly investment grade.

The HTM securities net carrying amounts at December 31, 2022 and December 31, 2021 reflect an ACL of $ i 34 million and $ i 33 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, 2022 and December 31, 2021, Non-Agency CMBS HTM securities were predominantly on accrual status and investment grade.

See Note 16 for additional information on securities issued by VIEs, including U.S. agency mortgage-backed securities, non-agency CMBS, and FFELP student loan ABS.

i

Investment Securities by Contractual Maturity


	At December 31, 2022
$ in millions	Amortized Cost1		Fair Value		Annualized Average Yield2,3
AFS securities
U.S. Treasury securities:
Due within 1 year	$	i 15,047	$	i 14,752	i 1.0	%
After 1 year through 5 years	i 38,454		i 36,529		i 1.3	%
After 5 years through 10 years	i 2,602		i 2,585		i 1.3	%

Total	i 56,103		i 53,866
U.S. agency securities:
Due within 1 year	i 6		i 7		i 1.0	%
After 1 year through 5 years	i 406		i 375		i 1.4	%
After 5 years through 10 years	i 852		i 777		i 1.8	%
After 10 years	i 22,662		i 20,015		i 2.7	%
Total	i 23,926		i 21,174
Agency CMBS:
Due within 1 year	i 7		i 7		i 1.7	%
After 1 year through 5 years	i 1,548		i 1,466		i 1.8	%
After 5 years through 10 years	i 3,170		i 2,983		i 2.0	%
After 10 years	i 1,273		i 1,072		i 1.3	%
Total	i 5,998		i 5,528












State and municipal securities:
Due within 1 year	i 40		i 40		i 3.4	%
After 1 year through 5 years	i 66		i 68		i 3.7	%
After 5 years through 10 years	i 148		i 152		i 3.7	%
After 10 years	i 2,344		i 2,367		i 3.7	%
Total	i 2,598		i 2,627
FFELP student loan ABS:

After 1 year through 5 years	i 115		i 109		i 5.1	%
After 5 years through 10 years	i 120		i 114		i 5.0	%
After 10 years	i 912		i 879		i 5.1	%
Total	i 1,147		i 1,102






Total AFS securities	i 89,772		i 84,297		i 1.8	%

/


	At December 31, 2022
$ in millions	Amortized Cost1		Fair Value		Annualized Average Yield2
HTM securities
U.S. Treasury securities:
Due within 1 year	$	i 5,437	$	i 5,328	i 1.7	%
After 1 year through 5 years	i 17,736		i 16,744		i 1.9	%
After 5 years through 10 years	i 3,866		i 3,528		i 2.4	%
After 10 years	i 1,560		i 1,154		i 2.3	%
Total	i 28,599		i 26,754
U.S. agency securities:


After 5 years through 10 years	i 378		i 348		i 2.1	%
After 10 years	i 43,660		i 35,203		i 1.8	%
Total	i 44,038		i 35,551
Agency CMBS:
Due within 1 year	i 68		i 67		i 0.9	%
After 1 year through 5 years	i 1,399		i 1,303		i 1.3	%
After 5 years through 10 years	i 220		i 189		i 1.4	%
After 10 years	i 132		i 108		i 1.6	%
Total	i 1,819		i 1,667
Non-agency CMBS:
Due within 1 year	i 198		i 197		i 4.0	%
After 1 year through 5 years	i 210		i 191		i 4.0	%
After 5 years through 10 years	i 735		i 616		i 3.8	%
After 10 years	i 35		i 30		i 3.6	%
Total	i 1,178		i 1,034
Total HTM securities	i 75,634		i 65,006		i 1.9	%
Total investment securities	$	i 165,406	$	i 149,303	i 1.8	%

1.Amounts are net of any ACL.

2.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.

3.At December 31, 2022, the annualized average yield, including the interest rate swap accrual of related hedges, was i 1.1% for AFS securities contractually maturing within 1 year and i 2.3% for all AFS securities.

i

Gross Realized Gains (Losses) on Sales of AFS Securities


$ in millions	2022		2021		2020
Gross realized gains	$	i 164	$	i 237	$	i 168
Gross realized (losses)	( i 94)		( i 27)		( i 31)
Total1	$	i 70	$	i 210	$	i 137

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

/

9. i Collateralized Transactions

The Firm enters into securities purchased under agreements to resell, securities sold under agreements to repurchase, securities borrowed and securities loaned transactions to, among other things, acquire securities to cover short positions and settle other securities obligations, to accommodate customers’ needs and to finance its inventory positions.

The Firm monitors the fair value of the underlying securities as compared with the related receivable or payable, including accrued interest, and, as necessary, requests additional collateral, as provided under the applicable agreement to ensure such transactions are adequately collateralized, or returns excess collateral.

The risk related to a decline in the market value of collateral pledged or received is managed by setting appropriate market-

based margin requirements. Increases in collateral margin calls on secured financing due to market value declines may be mitigated by increases in collateral margin calls on securities purchased under agreements to resell and securities borrowed transactions with similar quality collateral. Additionally, the Firm may request lower quality collateral pledged be replaced with higher quality collateral through collateral substitution rights in the underlying agreements.

The Firm actively manages its secured financings in a manner that reduces the potential refinancing risk of secured financings of less liquid assets and also considers the quality of collateral when negotiating collateral eligibility with counterparties. The Firm utilizes shorter term secured financing for highly liquid assets and has established longer tenor limits for less liquid assets, for which funding may be at risk in the event of a market disruption.

i

Offsetting of Certain Collateralized Transactions

$ in millions

Gross
Amounts

Amounts
Offset

Balance Sheet Net Amounts

Amounts

Not Offset1

Net
Amounts

Assets

Securities purchased under agreements to resell

$

i 240,355

$

( i 126,448)

$

i 113,907

$

( i 109,902)

$

i 4,005

Securities borrowed

i 145,340

( i 11,966)

i 133,374

( i 128,073)

i 5,301

Liabilities

Securities sold under agreements to repurchase

$

i 188,982

$

( i 126,448)

$

i 62,534

$

( i 57,395)

$

i 5,139

Securities loaned

i 27,645

( i 11,966)

i 15,679

( i 15,199)

i 480

Net amounts for which master netting agreements are not in place or may not be legally enforceable

Securities purchased under agreements to resell

$

i 1,696

Securities borrowed

i 624

Securities sold under agreements to repurchase

i 3,861

Securities loaned

i 250

$ in millions

Gross
Amounts

Amounts
Offset

Balance Sheet Net Amounts

Amounts

Not Offset1

Net
Amounts

Assets

Securities purchased under agreements to resell

$

i 197,486

$

( i 77,487)

$

i 119,999

$

( i 106,896)

$

i 13,103

Securities borrowed

i 139,395

( i 9,682)

i 129,713

( i 124,028)

i 5,685

Liabilities

Securities sold under agreements to repurchase

$

i 139,675

$

( i 77,487)

$

i 62,188

$

( i 53,692)

$

i 8,496

Securities loaned

i 21,981

( i 9,682)

i 12,299

( i 12,019)

i 280

Net amounts for which master netting agreements are not in place or may not be legally enforceable

Securities purchased under agreements to resell

$

i 12,514

Securities borrowed

i 1,041

Securities sold under agreements to repurchase

i 8,295

Securities loaned

i 139

1.Amounts relate to master netting agreements that have been determined by the Firm to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance.

/

For information related to offsetting of derivatives, see Note 7.

i

Gross Secured Financing Balances by Remaining Contractual Maturity

$ in millions

Overnight and Open

Less than 30 Days

30-90 Days

Over 90 Days

Total

Securities sold under agreements to repurchase

$

i 54,551

$

i 77,359

$

i 20,586

$

i 36,486

$

i 188,982

Securities loaned

i 15,150

i 882

i 1,984

i 9,629

i 27,645

Total included in the offsetting disclosure

$

i 69,701

$

i 78,241

$

i 22,570

$

i 46,115

$

i 216,627

Trading liabilities—Obligation to return securities received as collateral

i 22,880

i —

i 22,880

Total

$

i 92,581

$

i 78,241

$

i 22,570

$

i 46,115

$

i 239,507

$ in millions

Overnight and Open

Less than 30 Days

30-90 Days

Over 90 Days

Total

Securities sold under agreements to repurchase

$

i 29,271

$

i 53,987

$

i 17,099

$

i 39,318

$

i 139,675

Securities loaned

i 11,480

i 364

i 650

i 9,487

i 21,981

Total included in the offsetting disclosure

$

i 40,751

$

i 54,351

$

i 17,749

$

i 48,805

$

i 161,656

Trading liabilities—Obligation to return securities received as collateral

i 30,104

i —

i 30,104

Total

$

i 70,855

$

i 54,351

$

i 17,749

$

i 48,805

$

i 191,760

Gross Secured Financing Balances by Class of Collateral Pledged


$ in millions	At December 31, 2022		At December 31, 2021
Securities sold under agreements to repurchase
U.S. Treasury and agency securities	$	i 57,761	$	i 30,790
Other sovereign government obligations	i 98,839		i 73,063
Corporate equities	i 19,340		i 25,881
Other	i 13,042		i 9,941
Total	$	i 188,982	$	i 139,675
Securities loaned
Other sovereign government obligations	$	i 862	$	i 748
Corporate equities	i 26,289		i 20,656
Other	i 494		i 577
Total	$	i 27,645	$	i 21,981
Total included in the offsetting disclosure	$	i 216,627	$	i 161,656
Trading liabilities—Obligation to return securities received as collateral
Corporate equities	$	i 22,833	$	i 30,048
Other	i 47		i 56
Total	$	i 22,880	$	i 30,104
Total	$	i 239,507	$	i 191,760

/ i

Carrying Value of Assets Loaned or Pledged without Counterparty Right to Sell or Repledge


$ in millions	At December 31, 2022		At December 31, 2021
Trading assets	$	i 34,524	$	i 32,458

/

The Firm pledges certain of its trading assets to collateralize securities sold under agreements to repurchase, securities loaned, other secured financings and derivatives and to cover customer short sales. Counterparties may or may not have the right to sell or repledge the collateral.

Pledged financial instruments that can be sold or repledged by the secured party are identified as Trading assets (pledged to various parties) in the balance sheet.

i

Fair Value of Collateral Received with Right to Sell or Repledge


$ in millions	At December 31, 2022		At December 31, 2021
Collateral received with right to sell or repledge	$	i 637,941	$	i 672,104
Collateral that was sold or repledged1	i 486,820		i 510,000

1.Does not include securities used to meet federal regulations for the Firm’s U.S. broker-dealers.

/

The Firm receives collateral in the form of securities in connection with securities purchased under agreements to resell, securities borrowed, securities-for-securities transactions, derivative transactions, customer margin loans and securities-based lending. In many cases, the Firm is permitted to sell or repledge this collateral to secure securities sold under agreements to repurchase, to enter into securities lending and derivative transactions or to deliver to counterparties to cover short positions.

i

Securities Segregated for Regulatory Purposes


$ in millions	At December 31, 2022		At December 31, 2021
Segregated securities1	$	i 32,254	$	i 20,092

1.Securities segregated under federal regulations for the Firm’s U.S. broker-dealers are sourced from Securities purchased under agreements to resell and Trading assets in the balance sheet.

/ i

Concentration Based on the Firm’s Total Assets


	At December 31, 2022		At December 31, 2021
U.S. government and agency securities and other sovereign government obligations
Trading assets1	i 9	%	i 9	%
Off balance sheet—Collateral received2	i 12	%	i 12	%

1.Other sovereign government obligations included in Trading assets primarily consist of obligations of the U.K., Japan and Brazil.

2.Collateral received is primarily related to Securities purchased under agreements to resell and Securities borrowed.

/

The Firm is subject to concentration risk by holding large positions in certain types of securities, loans or commitments to purchase securities of a single issuer, including sovereign governments and other entities, issuers located in a particular country or geographic area, public and private issuers involving developing countries or issuers engaged in a particular industry.

Positions taken and underwriting and financing commitments, including those made in connection with the Firm’s private equity, principal investment and lending activities, often involve substantial amounts and significant exposure to individual issuers and businesses, including investment grade and non-investment grade issuers.

i

Customer Margin and Other Lending


$ in millions	At December 31, 2022		At December 31, 2021
Margin and other lending	$	i 38,524	$	i 71,532

/

The Firm provides margin lending arrangements that allow customers to borrow against the value of qualifying securities. Receivables from these arrangements are included within Customer and other receivables in the balance sheet. Under these arrangements, the Firm receives collateral, which includes U.S. government and agency securities, other sovereign government obligations, corporate and other debt, and corporate equities. Margin loans are collateralized by customer-owned securities held by the Firm. The Firm monitors required margin levels and established credit terms daily and, pursuant to such guidelines, requires customers to deposit additional collateral, or reduce positions, when necessary.

Margin loans are extended on a demand basis and generally are not committed facilities. Factors considered in the review of margin loans are the amount of the loan, the intended purpose, the degree of leverage being employed in the account and the amount of collateral, as well as an overall evaluation of the portfolio to ensure proper diversification or, in the case of concentrated positions, appropriate liquidity of the underlying collateral or potential hedging strategies to reduce risk. Underlying collateral for margin loans is reviewed with respect to the liquidity of the proposed collateral positions, valuation of securities, historic trading range, volatility analysis and an evaluation of industry concentrations. For these transactions, adherence to the Firm’s collateral policies significantly limits its credit exposure in the event of a customer default. The Firm may request additional margin collateral from customers, if appropriate, and, if necessary, may sell securities that have not been paid for or purchase securities sold but not delivered from customers.

Also included in the amounts in the previous table is non-purpose securities-based lending on non-bank entities in the Wealth Management business segment.

Other Secured Financings

Other secured financings include the liabilities related to transfers of financial assets that are accounted for as financings rather than sales, consolidated VIEs where the Firm is deemed to be the primary beneficiary, and certain ELNs and other secured borrowings. These liabilities are generally payable from the cash flows of the related assets, which are accounted for as Trading assets (see Notes 14 and 16).

10. i Loans, Lending Commitments and Related Allowance for Credit Losses

The Firm’s held-for-investment and held-for-sale loan portfolios consist of the following types of loans:

•Corporate. Corporate includes revolving lines of credit, term loans and bridge loans made to corporate entities for a variety of purposes.

•Secured Lending Facilities. Secured lending facilities include loans provided to clients, which are collateralized by various assets, including residential and commercial real estate mortgage loans, investor commitments for capital calls, corporate loans and other assets.

•Commercial Real Estate. Commercial real estate loans include owner-occupied loans and income-producing loans.

•Residential Real Estate. Residential real estate loans mainly include non-conforming loans and HELOC.

•Securities-based Lending and Other. Securities-based lending includes loans that allow clients to borrow money against the value of qualifying securities for any suitable purpose other than purchasing, trading, or carrying securities or refinancing margin debt. The majority of these loans are structured as revolving lines of credit. Other primarily includes certain loans originated in the tailored lending business within the Wealth Management business segment.

i

Loans by Type


	At December 31, 2022
$ in millions	HFI Loans		HFS Loans		Total Loans
Corporate	$	i 6,589	$	i 10,634	$	i 17,223
Secured lending facilities	i 35,606		i 3,176		i 38,782
Commercial real estate	i 8,515		i 926		i 9,441
Residential real estate	i 54,460		i 4		i 54,464
Securities-based lending and Other loans	i 94,666		i 48		i 94,714
Total loans	i 199,836		i 14,788		i 214,624
ACL	( i 839)				( i 839)
Total loans, net	$	i 198,997	$	i 14,788	$	i 213,785
Loans to non-U.S. borrowers, net					$	i 23,651


	At December 31, 2021
$ in millions	HFI Loans		HFS Loans		Total Loans
Corporate	$	i 5,567	$	i 8,107	$	i 13,674
Secured lending facilities	i 31,471		i 3,879		i 35,350
Commercial real estate	i 7,227		i 1,777		i 9,004
Residential real estate	i 44,251		i 7		i 44,258
Securities-based lending and Other loans	i 86,440		i 62		i 86,502
Total loans	i 174,956		i 13,832		i 188,788
ACL	( i 654)				( i 654)
Total loans, net	$	i 174,302	$	i 13,832	$	i 188,134
Loans to non-U.S. borrowers, net					$	i 24,322

/

i

Loans by Interest Rate Type

$ in millions

Fixed Rate

Floating or Adjustable Rate

Fixed Rate

Floating or Adjustable Rate

Corporate

$

i —

$

i 17,223

$

i —

$

i 13,674

Secured lending facilities

i —

i 38,782

i —

i 35,350

Commercial real estate

i 204

i 9,237

i 343

i 8,661

Residential real estate

i 24,903

i 29,561

i 18,966

i 25,292

Securities-based lending and Other loans

i 24,077

i 70,637

i 22,832

i 63,670

Total loans, before ACL

$

i 49,184

$

i 165,440

$

i 42,141

$

i 146,647

/

See Note 5 for further information regarding Loans and lending commitments held at fair value. See Note 15 for details of current commitments to lend in the future.

Credit Quality

The CRM evaluates new obligors before credit transactions are initially approved and at least annually thereafter for corporate and commercial real estate loans. For Corporate, Secured lending facilities and Other loans, credit evaluations typically involve the evaluation of financial statements, assessment of leverage, liquidity, capital strength, asset composition and quality, market capitalization and access to capital markets, cash flow projections and debt service requirements, and the adequacy of collateral, if applicable. The CRM also evaluates strategy, market position, industry dynamics, obligor’s management and other factors that could affect an obligor’s risk profile.

For Commercial real estate loans, the credit evaluation is focused on property and transaction metrics, including property type, LTV ratio, occupancy levels, debt service ratio, prevailing capitalization rates and market dynamics.

For Residential real estate and Securities-based loans, the initial credit evaluation typically includes, but is not limited to, review of the obligor’s income, net worth, liquidity, collateral, LTV ratio and credit bureau information. Subsequent credit monitoring for residential real estate loans is performed at the portfolio level. Securities-based loan collateral values are monitored on an ongoing basis.

For information related to credit quality indicators considered in developing the ACL, see Note 2.

i

Loans Held for Investment before Allowance by Origination Year

Corporate

$ in millions

IG

NIG

Total

IG

NIG

Total

Revolving

$

i 2,554

$

i 3,456

$

i 6,010

$

i 2,356

$

i 2,328

$

i 4,684

2022

i 6

i 107

i 113

2021

i —

i 139

i —

i 85

2020

i —

i 58

i 111

i 26

i 137

2019

i —

i 154

i —

i 176

2018

i —

i 196

i —

i 196

Prior

i 115

i —

i 115

i 229

i 60

i 289

Total

$

i 2,675

$

i 3,914

$

i 6,589

$

i 2,892

$

i 2,675

$

i 5,567

Secured Lending Facilities

$ in millions

IG

NIG

Total

IG

NIG

Total

Revolving

$

i 9,445

$

i 21,243

$

i 30,688

$

i 7,603

$

i 20,172

$

i 27,775

2022

i 1,135

i 1,336

i 2,471

2021

i 254

i 208

i 462

i 32

i 467

i 499

2020

i —

i 98

i 35

i 160

i 195

2019

i 60

i 486

i 546

i 43

i 819

i 862

2018

i —

i 274

i 297

i 703

i 1,000

Prior

i 215

i 852

i 1,067

i 144

i 996

i 1,140

Total

$

i 11,109

$

i 24,497

$

i 35,606

$

i 8,154

$

i 23,317

$

i 31,471

Commercial Real Estate

$ in millions

IG

NIG

Total

IG

NIG

Total

Revolving

$

i —

$

i 204

$

i 204

$

i 3

$

i 149

$

i 152

2022

i 379

i 2,201

i 2,580

2021

i 239

i 1,609

i 1,848

i 423

i 1,292

i 1,715

2020

i —

i 728

i 91

i 819

i 910

2019

i 659

i 1,152

i 1,811

i 976

i 1,266

i 2,242

2018

i 127

i 645

i 772

i 527

i 416

i 943

Prior

i 84

i 488

i 572

i 189

i 1,076

i 1,265

Total

$

i 1,488

$

i 7,027

$

i 8,515

$

i 2,209

$

i 5,018

$

i 7,227

Residential Real Estate

by FICO Scores

by LTV Ratio

Total

$ in millions

≥ 740

680-739

≤ 679

≤ 80%

> 80%

Revolving

$

i 90

$

i 29

$

i 5

$

i 124

$

i —

$

i 124

2022

i 11,481

i 2,533

i 411

i 13,276

i 1,149

i 14,425

2021

i 11,604

i 2,492

i 257

i 13,378

i 975

i 14,353

2020

i 7,292

i 1,501

i 115

i 8,452

i 456

i 8,908

2019

i 4,208

i 946

i 137

i 4,968

i 323

i 5,291

2018

i 1,635

i 447

i 52

i 1,965

i 169

i 2,134

Prior

i 6,853

i 2,072

i 300

i 8,492

i 733

i 9,225

Total

$

i 43,163

$

i 10,020

$

i 1,277

$

i 50,655

$

i 3,805

$

i 54,460

Residential Real Estate

by FICO Scores

by LTV Ratio

Total

$ in millions

≥ 740

680-739

≤ 679

≤ 80%

> 80%

Revolving

$

i 65

$

i 27

$

i 4

$

i 96

$

i —

$

i 96

2021

i 12,230

i 2,638

i 257

i 14,116

i 1,009

i 15,125

2020

i 7,941

i 1,648

i 131

i 9,210

i 510

i 9,720

2019

i 4,690

i 1,072

i 140

i 5,536

i 366

i 5,902

2018

i 1,865

i 497

i 55

i 2,231

i 186

i 2,417

Prior

i 8,130

i 2,477

i 384

i 10,073

i 918

i 10,991

Total

$

i 34,921

$

i 8,359

$

i 971

$

i 41,262

$

i 2,989

$

i 44,251

/

Securities-based Lending1

Other2

$ in millions

IG

NIG

Total

Revolving

$

i 77,115

$

i 5,760

$

i 1,480

$

i 84,355

2022

i 1,425

i 1,572

i 269

i 3,266

2021

i 725

i 525

i 223

i 1,473

2020

i —

i 580

i 418

i 998

2019

i 16

i 913

i 644

i 1,573

2018

i 202

i 268

i 304

i 774

Prior

i —

i 1,581

i 646

i 2,227

Total

$

i 79,483

$

i 11,199

$

i 3,984

$

i 94,666

Securities-based Lending1

Other2

$ in millions

IG

NIG

Total

Revolving

$

i 71,485

$

i 6,170

$

i 858

$

i 78,513

2021

i 807

i 708

i 103

i 1,618

2020

i —

i 651

i 626

i 1,277

2019

i 19

i 1,079

i 633

i 1,731

2018

i 232

i 273

i 375

i 880

Prior

i 16

i 1,825

i 580

i 2,421

Total

$

i 72,559

$

i 10,706

$

i 3,175

$

i 86,440

IG—Investment Grade

NIG—Non-investment Grade

1.Securities-based loans are subject to collateral maintenance provisions, and at December 31, 2022 and December 31, 2021, these loans are predominantly over-collateralized. For more information on the ACL methodology related to securities-based loans, see Note 2.

2. Other loans primarily include certain loans originated in the tailored lending business within the Wealth Management business segment.

Past Due Loans Held for Investment before Allowance1


$ in millions	At December 31, 2022		At December 31, 2021
Corporate	$	i 112	$	i —
Secured lending facilities	i 85		i —

Residential real estate	i 158		i 209
Securities-based lending and Other loans	i 1		i —
Total	$	i 356	$	i 209

1.The majority of the amounts are past due for a period of greater than 90 days as of December 31, 2022, and the majority of the amounts are past due for a period of less than 60 days as of December 31, 2021.

Nonaccrual Loans Held for Investment before Allowance


$ in millions	At December 31, 2022		At December 31, 2021
Corporate	$	i 71	$	i 34
Secured lending facilities	i 94		i 375
Commercial real estate	i 209		i 195
Residential real estate	i 118		i 138
Securities-based lending and Other loans	i 10		i 151
Total1	$	i 502	$	i 893
Nonaccrual loans without an ACL	$	i 117	$	i 356

1.Includes all loans held for investment that are 90 days or more past due as of December 31, 2022 and December 31, 2021.

i

Troubled Debt Restructurings


$ in millions	At December 31, 2022		At December 31, 2021
Loans, before ACL	$	i 29	$	i 49

Allowance for credit losses	i —		i 8

/

Troubled debt restructurings typically include modifications of interest rates, collateral requirements, other loan covenants and payment extensions. See Note 2 for further information on TDRs guidance.

i

Allowance for Credit Losses Rollforward and Allocation—Loans

$ in millions

Corporate

Secured Lending Facilities

CRE

Residential Real Estate

SBL and Other

Total

$

i 165

$

i 163

$

i 206

$

i 60

$

i 60

$

i 654

Gross charge-offs

i —

( i 3)

( i 7)

i —

( i 21)

( i 31)

Recoveries

i 6

i —

i 1

i —

i 7

Net (charge-offs) recoveries

i 6

( i 3)

( i 7)

i 1

( i 21)

( i 24)

Provision (release)

i 65

( i 6)

i 80

i 26

i 51

i 216

Other

( i 1)

( i 4)

i —

( i 1)

( i 7)

$

i 235

$

i 153

$

i 275

$

i 87

$

i 89

$

i 839

Percent of loans to total loans1

i 3

%

i 18

%

i 4

%

i 27

%

i 48

%

i 100

%

$ in millions

Corporate

Secured Lending Facilities

CRE

Residential Real Estate

SBL and Other

Total

$

i 309

$

i 198

$

i 211

$

i 59

$

i 58

$

i 835

Gross charge-offs

( i 23)

( i 67)

( i 27)

( i 1)

( i 8)

( i 126)

Provision (release)

( i 119)

i 34

i 25

i 1

i 11

( i 48)

Other

( i 2)

( i 3)

i 1

( i 1)

( i 7)

$

i 165

$

i 163

$

i 206

$

i 60

$

i 60

$

i 654

Percent of loans to total loans1

i 3

%

i 18

%

i 4

%

i 25

%

i 50

%

i 100

%

$ in millions

Corporate

Secured Lending Facilities

CRE

Residential Real Estate

SBL and Other

Total

December 31, 2019

$

i 115

$

i 101

$

i 75

$

i 25

$

i 33

$

i 349

Effect of CECL adoption

( i 2)

( i 42)

i 34

i 21

( i 2)

i 9

Gross charge-offs

( i 39)

i —

( i 64)

( i 1)

( i 105)

Recoveries

i 4

i —

i 4

i 8

Net (charge-offs) recoveries

( i 35)

i —

( i 64)

( i 1)

i 3

( i 97)

Provision (release)

i 224

i 136

i 197

i 14

( i 13)

i 558

Other

i 7

i 3

( i 31)

i —

i 37

i 16

$

i 309

$

i 198

$

i 211

$

i 59

$

i 58

$

i 835

Percent of loans to total loans1

i 4

%

i 19

%

i 5

%

i 26

%

i 46

%

i 100

%

CRE—Commercial real estate

SBL—Securities-based lending

1.Percent of loans to total loans represents loans held for investment by loan type to total loans held for investment.

Allowance for Credit Losses Rollforward—Lending Commitments

$ in millions

Corporate

Secured Lending Facilities

CRE

Residential Real Estate

SBL and Other

Total

$

i 356

$

i 41

$

i 20

$

i 1

$

i 26

$

i 444

Provision (release)

i 59

i 10

( i 5)

i 3

( i 3)

i 64

Other

( i 4)

i —

( i 4)

$

i 411

$

i 51

$

i 15

$

i 4

$

i 23

$

i 504

$ in millions

Corporate

Secured Lending Facilities

CRE

Residential Real Estate

SBL and Other

Total

$

i 323

$

i 38

$

i 11

$

i 1

$

i 23

$

i 396

Provision (release)

i 37

i 2

i 10

i —

i 3

i 52

Other

( i 4)

i 1

( i 1)

i —

( i 4)

$

i 356

$

i 41

$

i 20

$

i 1

$

i 26

$

i 444

/

$ in millions

Corporate

Secured Lending Facilities

CRE

Residential Real Estate

SBL and Other

Total

December 31, 2019

$

i 201

$

i 27

$

i 7

$

i —

$

i 6

$

i 241

Effect of CECL adoption

( i 41)

( i 11)

i 1

i 2

( i 1)

( i 50)

Provision (release)

i 161

i 22

i 7

( i 1)

i 14

i 203

Other

i 2

i —

( i 4)

i —

i 4

i 2

$

i 323

$

i 38

$

i 11

$

i 1

$

i 23

$

i 396

The aggregate allowance for credit losses for loans and lending commitments increased in 2022, reflecting the Provision for credit losses due to portfolio growth and deterioration in macroeconomic outlook. The base scenario used in our ACL models as of December 31, 2022 was generated using a combination of consensus economic forecasts, forward rates, and internally developed and validated models, and assumes weak economic growth over the forecast period. Given the nature of our lending portfolio, the most sensitive model input is U.S. gross domestic product.

See Note 2 for a description of the ACL calculated under the CECL methodology, including credit quality indicators, used for held-for-investment loans beginning in 2020 and for a summary of the differences compared with the Firm’s ACL methodology under the prior incurred loss model.

i

Selected Credit Ratios


	At December 31, 2022		At December 31, 2021
ACL for loans to total HFI loans	i 0.4	%	i 0.4	%
Nonaccrual HFI loans to total HFI loans1	i 0.3	%	i 0.5	%
ACL for loans to nonaccrual HFI loans	i 167.1	%	i 73.2	%

1.Nonaccrual HFI loans are loans that are 90 days or more past due.

/ i

Employee Loans


$ in millions	At December 31, 2022		At December 31, 2021
Currently employed by the Firm1	$	i 4,023	$	i 3,613
No longer employed by the Firm2	i 97		i 113
Employee loans	$	i 4,120	$	i 3,726
ACL	( i 139)		( i 153)
Employee loans, net of ACL	$	i 3,981	$	i 3,573
Remaining repayment term, weighted average in years	i 5.8		i 5.7

1.These loans are predominantly current.

2.These loans are predominantly past due for a period of 90 days or more.

/

Employee loans are granted in conjunction with a program established primarily to recruit certain Wealth Management representatives, are full recourse and generally require periodic repayments, and are due in full upon termination of employment with the Firm. These loans are recorded in Customer and other receivables in the balance sheet. See Note 2 for a description of the CECL allowance methodology, including credit quality indicators, for employee loans.

11. i Goodwill and Intangible Assets

i

Goodwill Rollforward

$ in millions

IS

WM

IM

Total

At December 31, 2020¹

$

i 476

$

i 10,278

$

i 881

$

i 11,635

Foreign currency and other

( i 1)

( i 68)

( i 3)

( i 72)

Acquired2

i —

i 115

i 5,155

i 5,270

At December 31, 2021¹

$

i 475

$

i 10,325

$

i 6,033

$

i 16,833

Foreign currency

( i 39)

( i 7)

( i 12)

( i 58)

Disposals

( i 7)

( i 116)

i —

( i 123)

At December 31, 2022¹

$

i 429

$

i 10,202

$

i 6,021

$

i 16,652

Accumulated impairments3

$

i 673

$

i —

$

i 27

$

i 700

1.Balances represent the amount of the Firm’s goodwill after accumulated impairments.

2.The Investment Management and Wealth Management business segments’ amounts reflect the impact of the Firm's acquisition of Eaton Vance on March 1, 2021.

3.There were i i i no / / impairments recorded in 2022, 2021 or 2020.

/ i

Intangible Assets Rollforward

$ in millions

IS

WM

IM

Total

At December 31, 2020

$

i 127

$

i 4,809

$

i 44

$

i 4,980

Acquired1

i —

i 134

i 3,844

i 3,978

Disposals

i —

( i 36)

i —

( i 36)

Amortization expense

( i 23)

( i 495)

( i 94)

( i 612)

Other

i —

i 51

( i 1)

i 50

$

i 104

$

i 4,463

$

i 3,793

$

i 8,360

Acquired

i 23

i 41

i —

i 64

Disposals

( i 75)

( i 106)

i —

( i 181)

Amortization expense

( i 16)

( i 483)

( i 111)

( i 610)

Other

i —

( i 4)

( i 11)

( i 15)

$

i 36

$

i 3,911

$

i 3,671

$

i 7,618

1.The Investment Management and Wealth Management amounts principally reflect the impact of the Firm's acquisition of Eaton Vance on March 1, 2021, which includes $ i 2.1 billion of non-amortizable intangible assets.

/ i

Intangible Assets by Type


	Non-amortizable		Amortizable
$ in millions	Gross Carrying Amount		Gross Carrying Amount		Accumulated Amortization
At December 31, 2022
Management contracts	$	i 2,110	$	i 245	$	i 51
Customer relationships	i —		i 8,766		i 4,046
Tradenames	i —		i 736		i 151
Other	i —		i 14		i 5
Total	$	i 2,110	$	i 9,761	$	i 4,253
At December 31, 2021
Management contracts	i 2,120		i 291		i 95
Customer relationships	i —		i 8,851		i 3,515
Tradenames	i —		i 737		i 117
Other	i —		i 180		i 92
Total	$	i 2,120	$	i 10,059	$	i 3,819

/ i

Intangible Assets Estimated Future Amortization Expense



$ in millions	At December 31, 2022

2023	$	i 599
2024	i 598
2025	i 449
2026	i 340
2027	i 337

/

The Firm’s annual goodwill and non-amortizable intangible asset impairment testing as of July 1, 2022 did not indicate any impairment. For more information, see Note 2.

12. i Other Assets—Equity Method Investments and Leases

i

Equity Method Investments


$ in millions	At December 31, 2022		At December 31, 2021
Investments	$	i 1,927	$	i 2,214


$ in millions	2022		2021		2020
Income (loss)	$	i 39	$	i 104	$	i —

/

Equity method investments, other than investments in certain fund interests, are summarized above and are included in Other assets in the balance sheet with related income or loss included in Other revenues in the income statement. See “Net Asset Value Measurements—Fund Interests” in Note 5 for the carrying value of certain of the Firm’s fund interests, which are composed of general and limited partnership interests, as well as any related carried interest.

i

Japanese Securities Joint Venture


$ in millions	2022		2021		2020
Income (loss) from investment in MUMSS	$	i 35	$	i 168	$	i 80

/

The Firm and Mitsubishi UFJ Financial Group, Inc. (“MUFG”) formed a joint venture in Japan comprising their respective investment banking and securities businesses by forming two joint venture companies, Mitsubishi UFJ Morgan Stanley Securities Co., Ltd. (“MUMSS”) and Morgan Stanley MUFG Securities Co., Ltd. (“MSMS”) (collectively, the “Joint Venture”). The Firm owns a i 40% economic interest in the Joint Venture, and MUFG owns the other i 60%.

The Firm’s i 40% voting interest in MUMSS is accounted for under the equity method within the Institutional Securities business segment and is included in the equity method investment balances above. The Firm consolidates MSMS into the Institutional Securities business segment, based on its i 51% voting interest.

The Firm engages in transactions in the ordinary course of business with MUFG and its affiliates; for example, investment banking, financial advisory, sales and trading, derivatives, investment management, lending, securitization and other financial services transactions. Such transactions are on substantially the same terms as those that would be available to unrelated third parties for comparable transactions.

Leases

The Firm’s leases are principally non-cancelable operating real estate leases.

i

Balance Sheet Amounts Related to Leases


$ in millions	At December 31, 2022			At December 31, 2021
Other assets—ROU assets	$	i 4,073		$	i 4,268
Other liabilities and accrued expenses—Lease liabilities	i 4,901			i 5,157
Weighted average:
Remaining lease term, in years	i 8.6			i 8.9
Discount rate	i 3.3		%	i 3.1		%

/ i

Lease Liabilities


$ in millions	At December 31, 2022		At December 31, 2021
2022			$	i 886
2023	$	i 870	i 834
2024	i 785		i 711
2025	i 673		i 593
2026	i 604		i 527
2027	i 548		i 465
Thereafter	i 2,209		i 1,922
Total undiscounted cash flows	i 5,689		i 5,938
Imputed interest	( i 788)		( i 781)
Amount on balance sheet	$	i 4,901	$	i 5,157
Committed leases not yet commenced	$	i 970	$	i 480

/ i

Lease Costs


$ in millions	2022		2021		2020
Fixed costs	$	i 841	$	i 852	$	i 762
Variable costs1	i 170		i 187		i 154
Less: Sublease income	( i 7)		( i 6)		( i 5)
Total lease cost, net	$	i 1,004	$	i 1,033	$	i 911

1.Includes common area maintenance charges and other variable costs not included in the measurement of ROU assets and lease liabilities.

/ i

Cash Flows Statement Supplemental Information


$ in millions	2022		2021		2020
Cash outflows—Lease liabilities	$	i 881	$	i 879	$	i 765
Non-cash—ROU assets recorded for new and modified leases	i 544		i 578		i 991

/

Occupancy lease agreements, in addition to base rentals, generally provide for rent and operating expense escalations resulting from increased assessments for real estate taxes and other charges.

13. i Deposits

i

Deposits


$ in millions	At December 31, 2022		At December 31, 2021
Savings and demand deposits	$	i 319,948	$	i 332,747
Time deposits	i 36,698		i 14,827
Total	$	i 356,646	$	i 347,574
Deposits subject to FDIC insurance	$	i 260,420	$	i 230,894
Deposits not subject to FDIC insurance	$	i 96,226	$	i 116,680

/

i

Time Deposit Maturities


$ in millions	At December 31, 2022
2023	$	i 22,871
2024	i 8,739
2025	i 2,432
2026	i 748
2027	i 1,343
Thereafter	i 565
Total	$	i 36,698

Uninsured Non-U.S. Time Deposit Maturities


$ in millions	At December 31, 2022
Less than 3 months	$	i 1,622
3 - 6 months	i 132
6 - 12 months	i 31
Over 12 months	i 186
Total	$	i 1,971

/

Deposits in U.S. Bank Subsidiaries from non-U.S. Depositors


$ in millions	At December 31, 2022		At December 31, 2021
Deposits in U.S. bank subsidiaries from non-U.S. depositors	$	i 1,220	$	i 963

14. i Borrowings and Other Secured Financings

i

Maturities and Terms of Borrowings

Parent Company

Subsidiaries

At

At

$ in millions

Fixed Rate1

Variable Rate2

Fixed Rate1

Variable Rate2

Original maturities of one year or less:

Next 12 months

$

i —

$

i —

$

i 343

$

i 3,848

$

i 4,191

$

i 5,764

Original maturities greater than one year:

2022

$

i 14,197

2023

$

i 10,541

$

i 466

$

i 421

$

i 7,482

$

i 18,910

i 23,786

2024

i 17,611

i 2,007

i 662

i 9,562

i 29,842

i 29,166

2025

i 18,499

i 2,963

i 1,435

i 7,338

i 30,235

i 25,561

2026

i 22,261

i 1,361

i 582

i 4,794

i 28,998

i 24,026

2027

i 16,724

i 348

i 1,319

i 5,170

i 23,561

i 21,647

Thereafter

i 74,048

i 2,807

i 7,639

i 17,827

i 102,321

i 88,980

Total

$

i 159,684

$

i 9,952

$

i 12,058

$

i 52,173

$

i 233,867

$

i 227,363

Total borrowings

$

i 159,684

$

i 9,952

$

i 12,401

$

i 56,021

$

i 238,058

$

i 233,127

Weighted average coupon at period end3

i i 3.1 /

%

i i 5.4 /

%

i i 3.4 /

%

N/M

i i 3.2 /

%

i i 2.7 /

%

1.Fixed rate borrowings include instruments with step-up, step-down and zero coupon features.

2.Variable rate borrowings include those that bear interest based on a variety of indices, including LIBOR, federal funds rates and SOFR, in addition to certain notes carried at fair value with various payment provisions, including notes linked to the performance of a specific index, a basket of stocks, a specific equity security, a commodity, a credit exposure or basket of credit exposures.

3.Only includes borrowings with original maturities greater than one year. Weighted average coupon is calculated utilizing U.S. and non-U.S. dollar interest rates and excludes financial instruments for which the fair value option was elected. Virtually all of the variable rate notes issued by subsidiaries are carried at fair value so a weighted average coupon is not meaningful.

/

i

Borrowings with Original Maturities Greater than One Year


$ in millions	At December 31, 2022		At December 31, 2021
Senior	$	i 221,667	$	i 213,776
Subordinated	i 12,200		i 13,587
Total	$	i 233,867	$	i 227,363
Weighted average stated maturity, in years	i 6.7		i 7.7

/

Certain senior debt securities are denominated in various non-U.S. dollar currencies and may be structured to provide a return that is linked to equity, credit, commodity or other indices (e.g., the consumer price index). Senior debt also may be structured to be callable by the Firm or extendible at the option of holders of the senior debt securities.

The Firm’s Borrowings include notes carried and managed on a fair value basis. These include instruments whose payments and redemption values are linked to the performance of a specific index, a basket of stocks, a specific equity security, a commodity, a credit exposure or basket of credit exposures; and instruments with various interest rate-related features, including step-ups, step-downs and zero coupons. Also included are unsecured contracts which are not classified as OTC derivatives because they fail net investment criteria. To minimize the exposure from such instruments, the Firm has entered into various swap contracts and purchased options that effectively convert the borrowing costs into floating rates. The swaps and purchased options used to economically hedge the embedded features are derivatives and also are carried at fair value. Changes in fair value related to the notes and economic hedges are reported in Trading revenues. See Notes 2 and 6 for further information on borrowings carried at fair value.

i

Senior Debt Subject to Put Options or Liquidity Obligations


$ in millions	At December 31, 2022		At December 31, 2021
Put options embedded in debt agreements	$	i 496	$	i 174
Liquidity obligations1	$	i 2,423	$	i 1,622

1.Includes obligations to support secondary market trading.

/ i

Subordinated Debt


	2022		2021
Contractual weighted average coupon	i 4.1	%	i 4.0	%

/

Subordinated debt generally is issued to meet the capital requirements of the Firm or its regulated subsidiaries and primarily is U.S. dollar denominated. Maturities of subordinated debt range from 2023 to 2037.

Rates for Borrowings with Original Maturities Greater than One Year


	At December 31,
	2022		2021		2020
Contractual weighted average coupon1	i 3.2	%	i 2.7	%	i 2.9	%
Weighted average coupon after swaps	i 5.1	%	i 1.6	%	i 1.7	%

1.Weighted average coupon was calculated utilizing U.S. and non-U.S. dollar interest rates and excludes financial instruments for which the fair value option was elected.

In general, other than securities inventories and customer balances financed by secured funding sources, the majority of the Firm’s assets are financed with a combination of deposits, short-term funding, floating rate long-term debt or fixed rate long-term debt swapped to a floating rate. The Firm uses interest rate swaps to more closely match these borrowings to the duration, holding period and interest rate characteristics of the assets being funded and to manage interest rate risk. These swaps effectively convert certain of the Firm’s fixed rate borrowings into floating rate obligations. In addition, for non-U.S. dollar currency borrowings that are not used to fund assets in the same currency, the Firm has entered into currency swaps that effectively convert the borrowings into U.S. dollar obligations.

The Firm’s use of swaps for asset and liability management affects its effective average borrowing rate.

i

Other Secured Financings


$ in millions	At December 31, 2022		At December 31, 2021
Original maturities:
One year or less	$	i 944	$	i 4,573
Greater than one year	i 7,214		i 5,468
Total	$	i 8,158	$	i 10,041
Transfers of assets accounted for as secured financings	i 1,119		i 1,556

Maturities and Terms of Other Secured Financings1

$ in millions

Fixed
Rate

Variable

Rate2

Total

Original maturities of one year or less:

Next 12 months

$

i —

$

i 501

$

i 501

$

i 3,754

Original maturities greater than one year:

2022

$

i 2,286

2023

$

i —

$

i 5,200

$

i 5,200

i 1,804

2024

i —

i 343

i 233

2025

i —

i 131

i 39

2026

i 2

i —

i 2

i —

2027

i —

Thereafter

i 9

i 853

i 862

i 369

Total

$

i 11

$

i 6,527

$

i 6,538

$

i 4,731

Weighted average coupon at period-end3

N/M

i 4.9

%

i 4.9

%

i 0.7

%

1.Excludes transfers of assets accounted for as secured financings. See subsequent table.

2.Variable rate other secured financings bear interest based on a variety of indices, including LIBOR and federal funds rates. Amounts include notes carried at fair value with various payment provisions, including notes linked to equity, credit, commodity or other indices.

3.Includes only other secured financings with original maturities greater than one year. Weighted average coupon is calculated utilizing U.S. and non-U.S. dollar interest rates and excludes other secured financings that are linked to non-interest indices and for which the fair value option was elected.

/

Other secured financings include the liabilities related to collateralized notes, transfers of financial assets that are accounted for as financings rather than sales and consolidated VIEs where the Firm is deemed to be the primary beneficiary. These liabilities are generally payable from the cash flows of the related assets accounted for as Trading assets. See Note 16

for further information on other secured financings related to VIEs and securitization activities.

Maturities of Transfers of Assets Accounted for as Secured Financings1


$ in millions	At December 31, 2022		At December 31, 2021
2022			$	i 846
2023	$	i 987	i 586
2024	i 4		i —
2025	i 60		i 7
2026	i 35		i 34
2027	i 21		i 14
Thereafter	i 12		i 69
Total	$	i 1,119	$	i 1,556

1.Excludes Securities sold under agreements to repurchase and Securities loaned.

For transfers of assets that fail to meet accounting criteria for a sale, the Firm continues to record the assets and recognizes the associated liabilities in the balance sheet.

15. i Commitments, Guarantees and Contingencies

i

Commitments

Years to Maturity at December 31, 2022

$ in millions

Less than 1

1-3

3-5

Over 5

Total

Lending:

Corporate

$

i 14,989

$

i 26,942

$

i 57,722

$

i 1,706

$

i 101,359

Secured lending facilities

i 7,376

i 5,280

i 2,485

i 1,095

i 16,236

Commercial and Residential real estate

i 129

i 247

i 18

i 325

i 719

Securities-based lending and Other

i 12,586

i 5,234

i 439

i 387

i 18,646

Forward-starting secured financing receivables1

i 60,852

i —

i 60,852

Central counterparty

i 300

i —

i 5,070

i 5,370

Underwriting

i 350

i —

i 350

Investment activities

i 1,292

i 208

i 91

i 361

i 1,952

Letters of credit and other financial guarantees

i 87

i 65

i —

i 17

i 169

Total

$

i 97,961

$

i 37,976

$

i 60,755

$

i 8,961

$

i 205,653

Lending commitments participated to third parties

$

i 8,060

1.Forward-starting secured financing receivables are generally settled within three business days.

/

Since commitments associated with these instruments may expire unused, the amounts shown do not necessarily reflect the actual future cash funding requirements.

Types of Commitments

Lending Commitments. Lending commitments primarily represent the notional amount of legally binding obligations to provide funding to clients for different types of loan transactions. For syndications that are led by the Firm, the lending commitments accepted by the borrower but not yet closed are net of the amounts agreed to by counterparties that will participate in the syndication. For syndications that the

Firm participates in and does not lead, lending commitments accepted by the borrower but not yet closed include only the amount that the Firm expects it will be allocated from the lead syndicate bank. Due to the nature of the Firm’s obligations under the commitments, these amounts include certain commitments participated to third parties.

Forward-Starting Secured Financing Receivables. This amount includes securities purchased under agreements to resell and securities borrowed that the Firm has entered into prior to the balance sheet date that will settle after the balance sheet date. These transactions are primarily secured by collateral from U.S. government agency securities and other sovereign government obligations when they are funded.

Central Counterparty. These commitments relate to the Firm’s membership in certain clearinghouses and are contingent upon the default of a clearinghouse member or other stress events.

Underwriting Commitments. The Firm provides underwriting commitments in connection with its capital raising sources to a diverse group of corporate and other institutional clients.

Investment Activities. The Firm sponsors several non-consolidated investment management funds for third-party investors where it typically acts as general partner of, and investment advisor to, these funds and typically commits to invest a minority of the capital of such funds, with subscribing third-party investors contributing the majority. The Firm has contractual capital commitments, guarantees and counterparty arrangements with respect to these investment management funds.

Letters of Credit and Other Financial Guarantees. The Firm has outstanding letters of credit and other financial guarantees issued by third-party banks to certain of the Firm’s counterparties. The Firm is contingently liable for these letters of credit and other financial guarantees, which are primarily used to provide collateral for securities and commodities traded and to satisfy various margin requirements in lieu of depositing cash or securities with these counterparties.

Guarantees

i

Maximum Potential Payout/Notional of Obligations by Years to Maturity

Carrying
Amount
Asset
(Liability)

$ in millions

Less than 1

1-3

3-5

Over 5

Non-credit derivatives1

i 1,112,671

i 923,893

i 341,579

i 789,300

( i 79,849)

Standby letters of credit and other financial guarantees issued2

i 1,470

i 736

i 1,249

i 2,663

i 2

Market value guarantees

i 2

i —

Liquidity facilities

i 3,200

i —

Whole loan sales guarantees

i —

i 24

i 63

i 23,079

i —

Securitization representations and warranties3

i —

i 78,966

( i 3)

General partner guarantees

i 357

i 30

i 143

i 35

( i 88)

Client clearing guarantees

i 40

i —

1.The carrying amounts of derivative contracts that meet the accounting definition of a guarantee are shown on a gross basis. For further information on derivative contracts, see Note 7.

2.These amounts include certain issued standby letters of credit participated to third parties, totaling $ i 0.6 billion of notional and collateral/recourse, due to the nature of the Firm’s obligations under these arrangements. As of December 31, 2022, the carrying amount of standby letters of credit and other financial guarantees issued includes an allowance for credit losses of $ i 79 million.

3.Related to commercial and residential mortgage securitizations.

/

Types of Guarantees

Non-Credit Derivatives. Certain derivative contracts meet the accounting definition of a guarantee, including certain written options, contingent forward contracts and CDS (see Note 7 regarding credit derivatives in which the Firm has sold credit protection to the counterparty which are excluded from the previous table). For non-credit derivative contracts that meet the accounting definition of a guarantee the notional amount is used as the maximum potential payout for certain derivative contracts, such as written interest rate caps and written foreign currency options. The Firm evaluates collateral requirements for all derivatives, including derivatives that do not meet the accounting definition of a guarantee. For the effects of cash collateral and counterparty netting, see Note 7.

In certain situations, collateral may be held by the Firm for those contracts that meet the definition of a guarantee. Generally, the Firm sets collateral requirements by counterparty so that the collateral covers various transactions and products and is not allocated specifically to individual contracts. Also, the Firm may recover amounts related to the underlying asset delivered to the Firm under the derivative contract.

Standby Letters of Credit and Other Financial Guarantees Issued. In connection with its corporate lending business and other corporate activities, the Firm provides standby letters of credit and other financial guarantees to counterparties. Such arrangements represent obligations to make payments to third parties if the counterparty fails to fulfill its obligation under a borrowing arrangement or other contractual obligation. A majority of the Firm’s standby letters of credit are provided on behalf of counterparties that are investment grade. If the counterparty fails to fulfill its contractual obligation, the Firm has access to collateral or recourse that would approximate its obligation.

Market Value Guarantees. Market value guarantees are issued to guarantee timely payment of a specified return to investors in certain affordable housing tax credit funds. These guarantees are designed to return an investor’s contribution to a fund and the investor’s share of tax losses and tax credits expected to be generated by a fund.

Liquidity Facilities. The Firm has entered into liquidity facilities with SPEs and other counterparties, whereby the Firm is required to make certain payments if losses or defaults occur. Primarily, the Firm acts as liquidity provider to municipal bond securitization SPEs and for standalone municipal bonds in which the holders of beneficial interests issued by these SPEs or the holders of the individual bonds, respectively, have the right to tender their interests for purchase by the Firm on specified dates at a specified price. The Firm often may have recourse to the underlying assets held by the SPEs in the event payments are required under such liquidity facilities, as well as make-whole or recourse provisions with the trust sponsors. The recourse amount often exceeds the maximum potential payout amount of the guarantee. Substantially all of the underlying assets in the SPEs are investment grade. Liquidity facilities provided to municipal tender option bond trusts are classified as derivatives.

Whole Loan Sales Guarantees. The Firm has provided, or otherwise agreed to be responsible for, representations and warranties regarding certain whole loan sales. Under certain circumstances, the Firm may be required to repurchase such assets or make other payments related to such assets if such representations and warranties are breached. The Firm’s maximum potential payout related to such representations and warranties is equal to the current UPB of such loans. Since the Firm no longer services these loans, it has no information on the current UPB of those loans, and, accordingly, the amount included in the previous table represents the UPB at the time of the whole loan sale or at the time when the Firm last serviced any of those loans. The current UPB balances could be substantially lower than the maximum potential payout amount included in the previous table. The related liability primarily relates to sales of loans to the federal mortgage agencies.

Securitization Representations and Warranties. As part of the Firm’s Institutional Securities business segment’s securitizations and related activities, the Firm has provided, or otherwise agreed to be responsible for, representations and warranties regarding certain assets transferred in securitization transactions sponsored by the Firm. The extent and nature of the representations and warranties, if any, vary among different securitizations. Under certain circumstances, the Firm may be required to repurchase certain assets or make other payments related to such assets if such representations and warranties are breached. The maximum potential amount of future payments the Firm could be required to make would be equal to the current outstanding balances of, or losses associated with, the assets subject to breaches of such representations and warranties. The amount included in the

previous table for the maximum potential payout includes the current UPB or historical losses where known and the UPB at the time of sale when the current UPB is not known.

General Partner Guarantees. As a general partner in certain investment management funds, the Firm receives certain distributions from the partnerships when the return exceeds specified performance targets according to the provisions of the partnership agreements. The Firm may be required to return all or a portion of such distributions to the limited partners in the event the limited partners do not achieve a certain return as specified in the various partnership agreements, subject to certain limitations.

Client Clearing Guarantees. The Firm is a sponsoring member of the Government Securities Division of the FICC's Sponsored Clearing Model. Clients of the Firm, as sponsored members, can transact in overnight and term securities repurchase and resale agreements, which are cleared through the FICC. As sponsoring member, the Firm guarantees to the FICC the prompt and full payment and performance of its clients’ obligations. In 2020, the FICC’s sponsored clearing model was updated such that the Firm could be responsible for liquidation of a sponsored member’s account and guarantees any resulting loss to the FICC in the event the sponsored member fails to fully pay any net liquidation amount due from the sponsored member to the FICC. Accordingly, the Firm’s maximum potential payout amount reflects the total of the estimated net liquidation amounts for sponsored member accounts. The Firm minimizes credit exposure under this guarantee by obtaining a security interest in its sponsored member clients’ collateral and their contractual rights under sponsored member transactions. Therefore, the Firm's exposure is estimated to be an amount substantially lower than the maximum potential payout amount. The collateral amount in which the Firm has a security interest is approximately equal to the maximum potential payout amount of the guarantee.

Other Guarantees and Indemnities

In the normal course of business, the Firm provides guarantees and indemnifications in a variety of transactions. These provisions generally are standard contractual terms. Certain of these guarantees and indemnifications are described below:

•Indemnities. The Firm provides standard indemnities to counterparties for certain contingent exposures and taxes, including U.S. and foreign withholding taxes, on interest and other payments made on derivatives, securities and stock lending transactions, certain annuity products and other financial arrangements. These indemnity payments could be required based on a change in the tax laws, a change in interpretation of applicable tax rulings or a change in factual circumstances. Certain contracts contain provisions that enable the Firm to terminate the agreement upon the occurrence of such events. The Firm may also provide indemnities when it sells a business or assets to a

third-party, pursuant to which it indemnifies the third-party for losses incurred on assets acquired or liabilities assumed or due to actions taken by the Firm prior to the sale of the business or assets. The Firm expects the risk of loss associated with indemnities related to the sale of businesses or assets to be remote. The maximum potential amount of future payments that the Firm could be required to make under these indemnifications cannot be estimated.

•Exchange/Clearinghouse Member Guarantees. The Firm is a member of various exchanges and clearinghouses that trade and clear securities and/or derivative contracts. Associated with its membership, the Firm may be required to pay a certain amount as determined by the exchange or the clearinghouse in case of a default of any of its members or pay a proportionate share of the financial obligations of another member that may default on its obligations to the exchange or the clearinghouse. While the rules governing different exchange or clearinghouse memberships and the forms of these guarantees may vary, in general the Firm’s obligations under these rules would arise only if the exchange or clearinghouse had previously exhausted its resources.

In addition, some clearinghouse rules require members to assume a proportionate share of losses resulting from the clearinghouse’s investment of guarantee fund contributions and initial margin and of other losses unrelated to the default of a clearing member, if such losses exceed the specified resources allocated for such purpose by the clearinghouse.

The maximum potential payout under these rules cannot be estimated. The Firm has not recorded any contingent liability in its financial statements for these agreements and believes that any potential requirement to make payments under these agreements is remote.

•Merger and Acquisition Guarantees. The Firm may, from time to time, in its role as investment banking advisor be required to provide guarantees in connection with certain European merger and acquisition transactions. If required by the regulating authorities, the Firm provides a guarantee that the acquirer in the transaction has or will have sufficient funds to complete the transaction and would then be required to make the acquisition payments in the event the acquirer’s funds are insufficient at the completion date of the transaction. These arrangements generally cover the time frame from the transaction offer date to its closing date and, therefore, are generally short term in nature. The Firm believes the likelihood of any payment by the Firm under these arrangements is remote given the level of its due diligence in its role as investment banking advisor.

In addition, in the ordinary course of business, the Firm guarantees the debt and/or certain trading obligations (including obligations associated with derivatives, foreign exchange contracts and the settlement of physical commodities) of certain subsidiaries. These guarantees

generally are entity or product specific and are required by investors or trading counterparties. The activities of the Firm’s subsidiaries covered by these guarantees (including any related debt or trading obligations) are included in the financial statements.

Finance Subsidiary

The Parent Company fully and unconditionally guarantees the securities issued by Morgan Stanley Finance LLC, a wholly owned finance subsidiary. No other subsidiary of the Parent Company guarantees these securities.

Contingencies

Legal

In addition to the matter described below, in the normal course of business, the Firm has been named, from time to time, as a defendant in various legal actions, including arbitrations, class actions and other litigation, arising in connection with its activities as a global diversified financial services institution. Certain of the actual or threatened legal actions include claims for substantial compensatory and/or punitive damages or claims for indeterminate amounts of damages. In some cases, the entities that would otherwise be the primary defendants in such cases are bankrupt or are in financial distress. These actions have included, but are not limited to, antitrust claims, claims under various false claims act statutes, and matters arising from our sales and trading businesses, and our activities in the capital markets.

The Firm is also involved, from time to time, in other reviews, investigations and proceedings (both formal and informal) by governmental and self-regulatory agencies regarding the Firm’s business, and involving, among other matters, sales, trading, financing, prime brokerage, market-making activities, investment banking advisory services, capital market activities, financial products or offerings sponsored, underwritten or sold by the Firm, wealth and investment management services, and accounting and operational matters, certain of which may result in adverse judgments, settlements, fines, penalties, injunctions, limitations on our ability to conduct certain business, or other relief.

While the Firm has identified below any individual proceedings or investigations where the Firm believes a material loss to be reasonably possible and reasonably estimable, there can be no assurance that material losses will not be incurred from claims that have not yet been asserted or those where potential losses have not yet been determined to be probable or possible and reasonably estimable.

The Firm contests liability and/or the amount of damages as appropriate in each pending matter. Where available information indicates that it is probable a liability had been incurred at the date of the financial statements and the Firm can reasonably estimate the amount of that loss, the Firm accrues the estimated loss by a charge to income.

i


$ in millions	2022		2021		2020
Legal expenses	$	i 443	$	i 157	$	i 336

/

The Firm’s legal expenses can, and may in the future, fluctuate from period to period, given the current environment regarding government investigations and private litigation affecting global financial services firms, including the Firm.

In many proceedings and investigations, however, it is inherently difficult to determine whether any loss is probable or even possible or to estimate the amount of any loss. In addition, even where a loss is possible or an exposure to loss exists in excess of the liability already accrued with respect to a previously recognized loss contingency, it is not always possible to reasonably estimate the size of the possible loss or range of loss, particularly for proceedings and investigations where the factual record is being developed or contested or where plaintiffs or government entities seek substantial or indeterminate damages, restitution, disgorgement or penalties. Numerous issues may need to be resolved before a loss or additional loss, or range of loss or additional range of loss, can be reasonably estimated for a proceeding or investigation, including through potentially lengthy discovery and determination of important factual matters, determination of issues related to class certification and the calculation of damages or other relief, and consideration of novel or unsettled legal questions relevant to the proceedings or investigations in question.

For certain other legal proceedings and investigations, the Firm can estimate reasonably possible losses, additional losses, ranges of loss or ranges of additional loss in excess of amounts accrued but does not believe, based on current knowledge and after consultation with counsel, that such losses could have a material adverse effect on the Firm’s financial statements as a whole, other than the matter referred to in the following paragraph.

Tax

In matters styled Case number 15/3637 and Case number 15/4353, the Dutch Tax Authority (“Dutch Authority”) is challenging in the Dutch courts the prior set-off by the Firm of approximately € i 124 million (approximately $ i 133 million) plus accrued interest of withholding tax credits against the Firm’s corporation tax liabilities for the tax years 2007 to 2012. The Dutch Authority alleges that the Firm was not entitled to receive the withholding tax credits on the basis, inter alia, that a Firm subsidiary did not hold legal title to certain securities subject to withholding tax on the relevant dates. The Dutch Authority has also alleged that the Firm failed to provide certain information to the Dutch Authority and to keep adequate books and records. On April 26, 2018, the District Court in Amsterdam issued a decision dismissing the Dutch Authority’s claims with respect to certain of the tax years in dispute. On May 12, 2020, the Court of Appeal in Amsterdam granted the Dutch Authority’s appeal in matters re-styled Case number 18/00318 and Case number 18/00319. On June 22, 2020, the Firm filed an appeal against the

decision of the Court of Appeal in Amsterdam before the Dutch High Court. On January 29, 2021, the Advocate General of the Dutch High Court issued an advisory opinion on the Firm’s appeal, which rejected the Firm’s principal grounds of appeal. On February 11, 2021, the Firm and the Dutch Authority each responded to this opinion. On June 22, 2021, Dutch criminal authorities sought various documents in connection with an investigation of the Firm related to the civil claims asserted by the Dutch Authority concerning the accuracy of the Firm subsidiary’s tax returns and the maintenance of its books and records for 2007 to 2012.

16. i Variable Interest Entities and Securitization Activities

Overview

The Firm is involved with various SPEs in the normal course of business. In most cases, these entities are deemed to be VIEs.

The Firm’s variable interests in VIEs include debt and equity interests, commitments, guarantees, derivative instruments and certain fees. The Firm’s involvement with VIEs arises primarily from:

•Interests purchased in connection with market-making activities, securities held in its Investment securities portfolio and retained interests held as a result of securitization activities, including re-securitization transactions.

•Guarantees issued and residual interests retained in connection with municipal bond securitizations.

•Loans made to and investments in VIEs that hold debt, equity, real estate or other assets.

•Derivatives entered into with VIEs.

•Structuring of CLNs or other asset-repackaging notes designed to meet the investment objectives of clients.

•Other structured transactions designed to provide tax-efficient yields to the Firm or its clients.

The Firm determines whether it is the primary beneficiary of a VIE upon its initial involvement with the VIE and reassesses whether it is the primary beneficiary on an ongoing basis as long as it has any continuing involvement with the VIE. This determination is based upon an analysis of the design of the VIE, including the VIE’s structure and activities, the power to make significant economic decisions held by the Firm and by other parties, and the variable interests owned by the Firm and other parties.

The power to make the most significant economic decisions may take a number of different forms in different types of VIEs. The Firm considers servicing or collateral management decisions as representing the power to make the most significant economic decisions in transactions such as securitizations or CDOs. As a result, the Firm does not consolidate securitizations or CDOs for which it does not act as the servicer or collateral manager unless it holds certain

other rights to replace the servicer or collateral manager or to require the liquidation of the entity. If the Firm serves as servicer or collateral manager, or has certain other rights described in the previous sentence, the Firm analyzes the interests in the VIE that it holds and consolidates only those VIEs for which it holds a potentially significant interest in the VIE.

For many transactions, such as re-securitization transactions, CLNs and other asset-repackaging notes, there are no significant economic decisions made on an ongoing basis. In these cases, the Firm focuses its analysis on decisions made prior to the initial closing of the transaction and at the termination of the transaction. The Firm concluded in most of these transactions that decisions made prior to the initial closing were shared between the Firm and the initial investors based upon the nature of the assets, including whether the assets were issued in a transaction sponsored by the Firm and the extent of the information available to the Firm and to investors, the number, nature and involvement of investors, other rights held by the Firm and investors, the standardization of the legal documentation and the level of continuing involvement by the Firm, including the amount and type of interests owned by the Firm and by other investors. The Firm focused its control decision on any right held by the Firm or investors related to the termination of the VIE. Most re-securitization transactions, CLNs and other asset-repackaging notes have no such termination rights.

i

Consolidated VIE Assets and Liabilities by Type of Activity

$ in millions

VIE Assets

VIE Liabilities

VIE Assets

VIE Liabilities

MABS1

$

i 1,153

$

i 520

$

i 1,177

$

i 409

Investment vehicles2

i 638

i 272

i 717

i 294

Operating entities

i 1

i —

i 508

i 39

Other

i 889

i 521

i 510

i 286

Total

$

i 2,681

$

i 1,313

$

i 2,912

$

i 1,028

1.Amounts include transactions backed by residential mortgage loans, commercial mortgage loans and other types of assets, including consumer or commercial assets and may be in loan or security form. The value of assets is determined based on the fair value of the liabilities and the interests owned by the Firm in such VIEs as the fair values for the liabilities and interests owned are more observable.

2.Amounts include investment funds and CLOs.

Consolidated VIE Assets and Liabilities by Balance Sheet Caption


$ in millions	At December 31, 2022		At December 31, 2021
Assets
Cash and cash equivalents	$	i 142	$	i 341


Trading assets at fair value	i 2,066		i 1,965
Investment securities	i 255		i 37
Securities purchased under agreements to resell	i 200		i 200
Customer and other receivables	i 16		i 31
Intangible assets	i —		i 85
Other assets	i 2		i 253
Total	$	i 2,681	$	i 2,912
Liabilities
Other secured financings	$	i 1,185	$	i 767
Other liabilities and accrued expenses	i 124		i 261
Borrowings	i 4		i —
Total	$	i 1,313	$	i 1,028
Noncontrolling interests	$	i 71	$	i 115

/

Consolidated VIE assets and liabilities are presented in the previous tables after intercompany eliminations. Generally, most assets owned by consolidated VIEs cannot be removed unilaterally by the Firm and are not available to the Firm while the related liabilities issued by consolidated VIEs are non-recourse to the Firm. However, in certain consolidated VIEs, the Firm either has the unilateral right to remove assets or provides additional recourse through derivatives such as total return swaps, guarantees or other forms of involvement.

In general, the Firm’s exposure to loss in consolidated VIEs is limited to losses that would be absorbed on the VIE net assets recognized in its financial statements, net of amounts absorbed by third-party variable interest holders.

i

Non-consolidated VIEs

$ in millions

MABS1

CDO

MTOB

OSF

Other2

VIE assets (UPB)

$

i 123,601

$

i 3,162

$

i 4,632

$

i 2,403

$

i 50,178

Maximum exposure to loss3

Debt and equity interests

$

i 13,104

$

i 274

$

i —

$

i 1,694

$

i 11,596

Derivative and other contracts

i —

i 3,200

i —

i 5,211

Commitments, guarantees and other

i 674

i —

i 1,410

Total

$

i 13,778

$

i 274

$

i 3,200

$

i 1,694

$

i 18,217

Carrying value of variable interests—Assets

Debt and equity interests

$

i 13,104

$

i 274

$

i —

$

i 1,577

$

i 11,596

Derivative and other contracts

i —

i 3

i —

i 1,564

Total

$

i 13,104

$

i 274

$

i 3

$

i 1,577

$

i 13,160

Additional VIE assets owned4

$

i 13,708

Carrying value of variable interests—Liabilities

Derivative and other contracts

$

i —

$

i —

$

i 3

$

i —

$

i 281

$ in millions

MABS1

CDO

MTOB

OSF

Other2

VIE assets (UPB)

$

i 146,071

$

i 667

$

i 6,089

$

i 2,086

$

i 52,111

Maximum exposure to loss3

Debt and equity interests

$

i 18,062

$

i 129

$

i —

$

i 1,459

$

i 10,339

Derivative and other contracts

i —

i 4,100

i —

i 5,599

Commitments, guarantees and other

i 771

i —

i 1,005

Total

$

i 18,833

$

i 129

$

i 4,100

$

i 1,459

$

i 16,943

Carrying value of variable interests—Assets

Debt and equity interests

$

i 18,062

$

i 129

$

i —

$

i 1,459

$

i 10,339

Derivative and other contracts

i —

i 5

i —

i 2,006

Total

$

i 18,062

$

i 129

$

i 5

$

i 1,459

$

i 12,345

Additional VIE assets owned4

$

i 15,392

Carrying value of variable interests—Liabilities

Derivative and other contracts

$

i —

$

i —

$

i —

$

i —

$

i 362

MTOB—Municipal tender option bonds

1.Amounts include transactions backed by residential mortgage loans, commercial mortgage loans and other types of assets, including consumer or commercial assets, and may be in loan or security form.

2.Other primarily includes exposures to commercial real estate property and investment funds.

3.Where notional amounts are utilized in quantifying the maximum exposure related to derivatives, such amounts do not reflect changes in fair value recorded by the Firm.

4.Additional VIE assets owned represents the carrying value of total exposure to non-consolidated VIEs for which the maximum exposure to loss is less than specific thresholds, primarily interests issued by securitization SPEs. The Firm’s maximum exposure to loss generally equals the fair value of the assets owned. These assets are primarily included in Trading assets and Investment securities and are measured at fair value (see Note 5). The Firm does not provide additional support in these transactions through contractual facilities, guarantees or similar derivatives.

/

The previous tables include VIEs sponsored by unrelated parties, as well as VIEs sponsored by the Firm; examples of the Firm’s involvement with these VIEs include its secondary market-making activities and the securities held in its Investment securities portfolio (see Note 8).

The Firm’s maximum exposure to loss is dependent on the nature of the Firm’s variable interest in the VIE and is limited to the notional amounts of certain liquidity facilities and other credit support, total return swaps and written put options, as well as the fair value of certain other derivatives and investments the Firm has made in the VIE.

The Firm’s maximum exposure to loss in the previous tables does not include the offsetting benefit of hedges or any reductions associated with the amount of collateral held as

part of a transaction with the VIE or any party to the VIE directly against a specific exposure to loss.

Liabilities issued by VIEs generally are non-recourse to the Firm.

i

Detail of Mortgage- and Asset-Backed Securitization Assets

$ in millions

UPB

Debt and
Equity
Interests

UPB

Debt and
Equity
Interests

Residential mortgages

$

i 20,428

$

i 2,570

$

i 15,216

$

i 2,182

Commercial mortgages

i 67,540

i 4,236

i 68,503

i 4,092

U.S. agency collateralized
mortgage obligations

i 32,567

i 4,729

i 57,972

i 9,835

Other consumer or commercial loans

i 3,066

i 1,569

i 4,380

i 1,953

Total

$

i 123,601

$

i 13,104

$

i 146,071

$

i 18,062

/

Securitization Activities

In a securitization transaction, the Firm transfers assets (generally commercial or residential mortgage loans or securities) to an SPE, sells to investors most of the beneficial interests, such as notes or certificates, issued by the SPE, and, in many cases, retains other beneficial interests. The purchase of the transferred assets by the SPE is financed through the sale of these interests.

In many securitization transactions involving commercial mortgage loans, the Firm transfers a portion of the assets to the SPE with unrelated parties transferring the remaining assets. In addition, mainly in securitization transactions involving residential mortgage loans, the Firm may also enter into derivative transactions, primarily interest rate swaps or interest rate caps, with the SPE.

Although not obligated, the Firm generally makes a market in the securities issued by SPEs in securitization transactions. As a market maker, the Firm offers to buy these securities from, and sell these securities to, investors. Securities purchased through these market-making activities are not considered to be retained interests; these beneficial interests generally are included in Trading assets—Corporate and other debt and are measured at fair value.

The Firm enters into derivatives, generally interest rate swaps and interest rate caps, with a senior payment priority in many securitization transactions. The risks associated with these and similar derivatives with SPEs are essentially the same as similar derivatives with non-SPE counterparties and are managed as part of the Firm’s overall exposure. See Note 7 for further information on derivative instruments and hedging activities.

Investment Securities

The Firm holds securities issued by VIEs within the Investment securities portfolio. These securities are composed of those related to transactions sponsored by the federal mortgage agencies and predominantly the most senior

securities issued by VIEs backed by student loans and commercial mortgage loans. Transactions sponsored by the federal mortgage agencies include an explicit or implicit guarantee provided by the U.S. government. Additionally, the Firm holds certain commercial mortgage-backed securities issued by VIEs retained as a result of the Firm's securitization activities. See Note 8 for further information on the Investment securities portfolio.

Municipal Tender Option Bond Trusts

In a municipal tender option bond trust transaction, the client transfers a municipal bond to a trust. The trust issues short-term securities that the Firm, as the remarketing agent, sells to investors. The client generally retains a residual interest. The short-term securities are supported by a liquidity facility pursuant to which the investors may put their short-term interests. In most programs, a third-party provider will provide such liquidity facility; in some programs, the Firm provides this liquidity facility.

The Firm may, in lieu of purchasing short-term securities for remarketing, decide to extend a temporary loan to the trust. The client can generally terminate the transaction at any time. The liquidity provider can generally terminate the transaction upon the occurrence of certain events. When the transaction is terminated, the municipal bond is generally sold or returned to the client. Any losses suffered by the liquidity provider upon the sale of the bond are the responsibility of the client. This obligation is generally collateralized. Liquidity facilities provided to municipal tender option bond trusts are classified as derivatives. The Firm consolidates any municipal tender option bond trusts in which it holds the residual interest.

Credit Protection Purchased through Credit-Linked Notes

CLN transactions are designed to provide investors with exposure to certain credit risk on referenced assets. In these transactions, the Firm transfers assets (generally high-quality securities or money market investments) to an SPE, enters into a derivative transaction in which the SPE sells protection on an unrelated referenced asset or group of assets, through a credit derivative, and sells the securities issued by the SPE to investors. In some transactions, the Firm may also enter into interest rate or currency swaps with the SPE. Depending on the structure, the assets and liabilities of the SPE may be consolidated and recognized in the Firm’s balance sheet or accounted for as a sale of assets.

Upon the occurrence of a credit event related to the referenced asset, the SPE will deliver securities collateral as payment to the Firm, which exposes the Firm to changes in the collateral’s value.

Derivative payments by the SPE are collateralized. The risks associated with these and similar derivatives with SPEs are essentially the same as those with non-SPE counterparties and are managed as part of the Firm’s overall exposure.

Other Structured Financings

The Firm invests in interests issued by entities that develop and own low-income communities (including low-income housing projects) and entities that construct and own facilities that will generate energy from renewable resources. The interests entitle the Firm to a share of tax credits and tax losses generated by these projects. In addition, the Firm has issued guarantees to investors in certain low-income housing funds. The guarantees are designed to return an investor’s contribution to a fund and the investor’s share of tax losses and tax credits expected to be generated by the fund. The Firm is also involved with entities designed to provide tax-efficient yields to the Firm or its clients.

Collateralized Loan and Debt Obligations

CLOs and CDOs are SPEs that purchase a pool of assets consisting of corporate loans, corporate bonds, ABS or synthetic exposures on similar assets through derivatives and issue multiple tranches of debt and equity securities to investors. The Firm underwrites the securities issued in certain CLO transactions on behalf of unaffiliated sponsors and provides advisory services to these unaffiliated sponsors. The Firm sells corporate loans to many of these SPEs, in some cases representing a significant portion of the total assets purchased. Although not obligated, the Firm generally makes a market in the securities issued by SPEs in these transactions and may retain unsold securities. These beneficial interests are included in Trading assets and are measured at fair value.

Equity-Linked Notes

ELN transactions are designed to provide investors with exposure to certain risks related to the specific equity security, equity index or other index. In an ELN transaction, the Firm typically transfers to an SPE either a note issued by the Firm, the payments on which are linked to the performance of a specific equity security, equity index or other index, or debt securities issued by other companies and a derivative contract, the terms of which will relate to the performance of a specific equity security, equity index or other index. These ELN transactions with SPEs were not consolidated at December 31, 2022 or December 31, 2021.

i

Transferred Assets with Continuing Involvement

$ in millions

RML

CML

U.S. Agency
CMO

CLN and

Other1

SPE assets (UPB)2, 3

$

i 3,732

$

i 73,069

$

i 6,448

$

i 10,928

Retained interests

Investment grade

$

i 137

$

i 927

$

i 367

$

i —

Non-investment grade

i 26

i 465

i 11

i 44

Total

$

i 163

$

i 1,392

$

i 378

$

i 44

Interests purchased in the secondary market3

Investment grade

$

i 82

$

i 51

$

i 10

$

i —

Non-investment grade

i 35

i 23

i —

Total

$

i 117

$

i 74

$

i 10

$

i —

Derivative assets

$

i —

$

i —

$

i —

$

i 1,114

Derivative liabilities

i —

i 201

$ in millions

RML

CML

U.S. Agency
CMO

CLN and

Other1

SPE assets (UPB)2, 4

$

i 6,802

$

i 94,276

$

i 28,697

$

i 13,121

Retained interests

Investment grade

$

i 72

$

i 638

$

i 465

$

i —

Non-investment grade

i 19

i 586

i —

i 69

Total

$

i 91

$

i 1,224

$

i 465

$

i 69

Interests purchased in the secondary market5

Investment grade

$

i 18

$

i 118

$

i 33

$

i —

Non-investment grade

i 38

i 53

i —

i 4

Total

$

i 56

$

i 171

$

i 33

$

i 4

Derivative assets

$

i —

$

i —

$

i —

$

i 891

Derivative liabilities

i —

i 284


	Fair Value at December 31, 2022
$ in millions	Level 2		Level 3		Total
Retained interests
Investment grade	$	i 489	$	i —	$	i 489
Non-investment grade	i 25		i 16		i 41
Total	$	i 514	$	i 16	$	i 530
Interests purchased in the secondary market3
Investment grade	$	i 140	$	i 3	$	i 143
Non-investment grade	i 42		i 16		i 58
Total	$	i 182	$	i 19	$	i 201
Derivative assets	$	i 1,114	$	i —	$	i 1,114
Derivative liabilities	i 153		i 48		i 201


	Fair Value at December 31, 2021
$ in millions	Level 2		Level 3		Total
Retained interests
Investment grade	$	i 536	$	i 2	$	i 538
Non-investment grade	i 40		i 40		i 80
Total	$	i 576	$	i 42	$	i 618
Interests purchased in the secondary market5
Investment grade	$	i 168	$	i 1	$	i 169
Non-investment grade	i 70		i 25		i 95
Total	$	i 238	$	i 26	$	i 264
Derivative assets	$	i 891	$	i —	$	i 891
Derivative liabilities	i 194		i 90		i 284

RML—Residential mortgage loans

CML—Commercial mortgage loans

1.Amounts include CLO transactions managed by unrelated third parties.

2.Amounts include assets transferred by unrelated transferors.

3.Amounts are only included for transactions where the Firm also holds retained interests as part of the transfer.

4.Amounts in aggregate include $ i 41 billion related to interests purchased in the secondary market where the Firm held no retained interest.

5.Amounts in aggregate include $ i 168 million of interests purchased in the secondary market where the Firm held no retained interest.

/

The previous tables include transactions with SPEs in which the Firm, acting as principal, transferred financial assets with continuing involvement and received sales treatment. The transferred assets are carried at fair value prior to securitization, and any changes in fair value are recognized in the income statement. The Firm may act as underwriter of the beneficial interests issued by these securitization vehicles, for which Investment banking revenues are recognized. The Firm may retain interests in the securitized financial assets as one or more tranches of the securitization. Certain retained interests are carried at fair value in the balance sheet with changes in fair value recognized in the income statement. Fair value for these interests is measured using techniques that are consistent with the valuation techniques applied to the Firm’s major categories of assets and liabilities as described in Notes 2 and 5. Further, as permitted by applicable guidance, certain transfers of assets where the Firm’s only continuing involvement is a derivative are only reported in the following Assets Sold with Retained Exposure table.

i

Proceeds from New Securitization Transactions and Sales of Loans


$ in millions	2022		2021		2020
New transactions1	$	i 22,136	$	i 57,528	$	i 51,814
Retained interests	i 4,862		i 8,822		i 9,346
Sales of corporate loans to CLO SPEs1, 2	i 62		i 169		i 763

1.Net gains on new transactions and sales of corporate loans to CLO entities at the time of the sale were not material for all periods presented.

2.Sponsored by non-affiliates.

/

The Firm has provided, or otherwise agreed to be responsible for, representations and warranties regarding certain assets transferred in securitization transactions sponsored by the Firm (see Note 15).

i

Assets Sold with Retained Exposure


$ in millions	At December 31, 2022		At December 31, 2021
Gross cash proceeds from sale of assets1	$	i 49,059	$	i 67,930
Fair value
Assets sold	$	i 47,281	$	i 68,992
Derivative assets recognized in the balance sheet	i 116		i 1,195
Derivative liabilities recognized in the balance sheet	i 1,893		i 132

1.The carrying value of assets derecognized at the time of sale approximates gross cash proceeds.

/

The Firm enters into transactions in which it sells securities, primarily equities, and contemporaneously enters into bilateral OTC derivatives with the purchasers of the securities, through which it retains exposure to the sold securities.

17. i Regulatory Requirements

Regulatory Capital Framework

The Firm is an FHC under the Bank Holding Company Act of 1956, as amended, and is subject to the regulation and oversight of the Board of Governors of the Federal Reserve System (“Federal Reserve”). The Federal Reserve establishes capital requirements for the Firm, including “well-capitalized” standards, and evaluates the Firm’s compliance with such capital requirements. The OCC establishes similar capital requirements and standards for the Firm’s U.S. bank subsidiaries, including, among others, MSBNA and MSPBNA (together, “U.S. Bank Subsidiaries”). The regulatory capital requirements are largely based on the Basel III capital standards established by the Basel Committee on Banking Supervision and also implement certain provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act. In addition, many of the Firm’s regulated subsidiaries are subject to regulatory capital requirements, including regulated subsidiaries provisionally registered as swap dealers with the CFTC or conditionally registered as security-based swap dealers with the SEC or registered as broker-dealers or futures commission merchants.

Regulatory Capital Requirements

The Firm is required to maintain minimum risk-based and leverage-based capital ratios under regulatory capital requirements. A summary of the calculations of regulatory capital and RWA follows.

Risk-Based Regulatory Capital. Risk-based capital ratio requirements apply to Common Equity Tier 1 capital, Tier 1 capital and Total capital (which includes Tier 2 capital), each as a percentage of RWA, and consist of regulatory minimum required ratios plus the Firm’s capital buffer requirement. Capital requirements require certain adjustments to, and deductions from, capital for purposes of determining these ratios.

CECL Deferral. As of December 31, 2021, the risk-based and leverage-based capital amounts and ratios, as well as RWA, adjusted average assets and supplementary leverage exposure were calculated excluding the effect of the adoption of CECL based on the Firm’s election to defer this effect over a five-year transition period that began on January 1, 2020. In 2022 the deferral impacts began to phase in at 25% per year and will become fully phased-in beginning in 2025.

i

Capital Buffer Requirements

At December 31, 2022 and December 31, 2021

Standardized

Advanced

Capital buffers

Capital conservation buffer

—

i i 2.5 / %

SCB

i 5.8%

i 5.7%

N/A

G-SIB capital surcharge

i 3.0%

i i 3.0 / %

CCyB1

i 0%

i i 0 / %

Capital buffer requirement

i 8.8%

i 8.7%

i i 5.5 / %

1.The CCyB can be set up to i 2.5% but is currently set by the Federal Reserve at i zero.

/

The capital buffer requirement represents the amount of Common Equity Tier 1 capital the Firm must maintain above the minimum risk-based capital requirements in order to avoid restrictions on the Firm’s ability to make capital distributions, including the payment of dividends and the repurchase of stock, and to pay discretionary bonuses to executive officers. The Firm’s capital buffer requirement computed under the standardized approaches for calculating credit risk and market risk RWA (“Standardized Approach”) is equal to the sum of the SCB, G-SIB capital surcharge and CCyB, and the capital buffer requirement computed under the applicable advanced approaches for calculating credit risk, market risk and opeational risk RWA (“Advanced Approach”) is equal to the i 2.5% capital conservation buffer, G-SIB capital surcharge and CCyB.

Risk-Based Regulatory Capital Ratio Requirements

At December 31, 2022 and December 31, 2021

Regulatory Minimum

Standardized

Advanced

Required ratios1

Common Equity Tier 1 capital ratio

i 4.5

%

i 13.3%

i 13.2%

i i 10.0 / %

Tier 1 capital ratio

i 6.0

%

i 14.8%

i 14.7%

i i 11.5 / %

Total capital ratio

i 8.0

%

i 16.8%

i 16.7%

i i 13.5 / %

1.Required ratios represent the regulatory minimum plus the capital buffer requirement.

Risk-Weighted Assets

RWA reflects both the Firm’s on- and off-balance sheet risk, as well as capital charges attributable to the risk of loss arising from the following:

•Credit Risk: The failure of a borrower, counterparty or issuer to meet its financial obligations to the Firm;

•Market Risk: Adverse changes in the level of one or more market prices, rates, indices, volatilities, correlations or other market factors, such as market liquidity; and

•Operational Risk: Inadequate or failed processes or systems from human factors or from external events (e.g., fraud, theft, legal and compliance risks, cyber attacks or damage to physical assets).

The Firm’s risk-based capital ratios are computed under both (i) the Standardized Approach and (ii) the Advanced Approach. The credit risk RWA calculations between the two approaches differ in that the Standardized Approach requires calculation of RWA using prescribed risk weights, whereas the Advanced Approach utilizes models to calculate exposure amounts and risk weights. At December 31, 2022 and December 31, 2021, the differences between the actual and required ratio were lower under the Standardized Approach.

Leverage-Based Regulatory Capital. Leverage-based capital requirements include a minimum Tier 1 leverage ratio of i 4%, a minimum SLR of i 3% and an enhanced SLR capital buffer of at least i 2%.

The Firm’s Regulatory Capital and Capital Ratios

$ in millions

Required
Ratio1

Required
Ratio1

Risk-based capital

Common Equity Tier 1 capital

$

i 68,670

$

i 75,742

Tier 1 capital

i 77,191

i 83,348

Total capital

i 86,575

i 93,166

Total RWA

i 447,849

i 471,921

Common Equity Tier 1 capital ratio

i 13.3

%

i 15.3

%

i 13.2

%

i 16.0

%

Tier 1 capital ratio

i 14.8

%

i 17.2

%

i 14.7

%

i 17.7

%

Total capital ratio

i 16.8

%

i 19.3

%

i 16.7

%

i 19.7

%

$ in millions

Required Ratio1

Leverage-based capital

Adjusted average assets2

$

i 1,150,772

$

i 1,169,939

Tier 1 leverage ratio

i 4.0

%

i 6.7

%

i 7.1

%

Supplementary leverage exposure3

$

i 1,399,403

$

i 1,476,962

SLR

i 5.0

%

i 5.5

%

i 5.6

%

1.Required ratios are inclusive of any buffers applicable as of the date presented.

2.Adjusted average assets represents the denominator of the Tier 1 leverage ratio and is composed of the average daily balance of consolidated on-balance sheet assets for the quarters ending on the respective balance sheet dates, reduced by disallowed goodwill, intangible assets, investments in covered funds, defined benefit pension plan assets, after-tax gain on sale from assets sold into securitizations, investments in the Firm’s own capital instruments, certain defined tax assets and other capital deductions.

3.Supplementary leverage exposure is the sum of Adjusted average assets used in the Tier 1 leverage ratio and other adjustments, primarily: (i) for derivatives, potential future exposure and the effective notional principal amount of sold credit protection, offset by qualifying purchased credit protection; (ii) the counterparty credit risk for repo-style transactions; and (iii) the credit equivalent amount for off-balance sheet exposures.

U.S. Bank Subsidiaries’ Regulatory Capital and Capital Ratios

The OCC establishes capital requirements for the U.S. Bank Subsidiaries, and evaluates their compliance with such capital requirements. Regulatory capital requirements for the U.S. Bank Subsidiaries are calculated in a similar manner to the Firm’s regulatory capital requirements, although G-SIB capital surcharge and SCB requirements do not apply to the U.S. Bank Subsidiaries.

The OCC’s regulatory capital framework includes Prompt Corrective Action (“PCA”) standards, including “well-capitalized” PCA standards that are based on specified regulatory capital ratio minimums. For the Firm to remain an

FHC, its U.S. Bank Subsidiaries must remain well-capitalized in accordance with the OCC’s PCA standards. In addition, failure by the U.S. Bank Subsidiaries to meet minimum capital requirements may result in certain mandatory and discretionary actions by regulators that, if undertaken, could have a direct material effect on the U.S. Bank Subsidiaries’ and the Firm’s financial statements.

At December 31, 2022 and December 31, 2021, MSBNA and MSPBNA risk-based capital ratios are based on the Standardized Approach rules. At December 31, 2021, the risk-based and leverage-based capital amounts and ratios, as well as RWA, adjusted average assets and supplementary leverage exposure were calculated excluding the effect of the adoption of CECL based on the Firm’s election to defer this effect over a five-year transition period that began on January 1, 2020. In 2022 the deferral impacts began to phase in at 25% per year and will become fully phased-in beginning in 2025.

i

MSBNA’s Regulatory Capital

Well-Capitalized
Requirement

Required

Ratio1

$ in millions

Amount

Ratio

Amount

Ratio

Risk-based capital

Common Equity Tier 1 capital

i 6.5

%

i 7.0

%

$

i 20,043

i 20.5

%

$

i 18,960

i 20.5

%

Tier 1 capital

i 8.0

%

i 8.5

%

i 20,043

i 20.5

%

i 18,960

i 20.5

%

Total capital

i 10.0

%

i 10.5

%

i 20,694

i 21.1

%

i 19,544

i 21.1

%

Leverage-based capital

Tier 1 leverage

i 5.0

%

i 4.0

%

$

i 20,043

i 10.1

%

$

i 18,960

i 10.2

%

SLR

i 6.0

%

i 3.0

%

i 20,043

i 8.1

%

i 18,960

i 8.1

%

/ i

MSPBNA’s Regulatory Capital

Well-Capitalized
Requirement

Required

Ratio1

At December 31, 20222

$ in millions

Amount

Ratio

Amount

Ratio

Risk-based capital

Common Equity Tier 1 capital

i 6.5

%

i 7.0

%

$

i 15,546

i 27.5

%

$

i 10,293

i 24.3

%

Tier 1 capital

i 8.0

%

i 8.5

%

i 15,546

i 27.5

%

i 10,293

i 24.3

%

Total capital

i 10.0

%

i 10.5

%

i 15,695

i 27.8

%

i 10,368

i 24.5

%

Leverage-based capital

Tier 1 leverage

i 5.0

%

i 4.0

%

$

i 15,546

i 7.6

%

$

i 10,293

i 6.9

%

SLR

i 6.0

%

i 3.0

%

i 15,546

i 7.4

%

i 10,293

i 6.7

%

1.Required ratios are inclusive of any buffers applicable as of the date presented. Failure to maintain the buffers would result in restrictions on the ability to make capital distributions, including the payment of dividends.

2.Regulatory capital amounts and ratios as of December 31, 2022 include the amounts from E*TRADE Bank (“ETB”) and E*TRADE Savings Bank (“ETSB”) as a result of the mergers described herein.

/

Additionally, MSBNA is conditionally registered with the SEC as a security-based swap dealer and is provisionally registered with the CFTC as a swap dealer. However, as MSBNA is prudentially regulated as a bank, its capital requirements continue to be determined by the OCC.

i

Other Regulatory Capital Requirements

MS&Co. Regulatory Capital


$ in millions	At December 31, 2022		At December 31, 2021
Net capital	$	i 17,224	$	i 18,383
Excess net capital	i 12,861		i 14,208

/

MS&Co. is registered as a broker-dealer and a futures commission merchant with the SEC and the CFTC, respectively, and provisionally registered as a swap dealer with the CFTC.

As an Alternative Net Capital broker-dealer, and in accordance with Securities Exchange Act of 1934 (“Exchange Act”) Rule 15c3-1, Appendix E, MS&Co. is subject to minimum net capital and tentative net capital requirements and operates with capital in excess of its regulatory capital requirements. As a futures commission merchant and provisionally-registered swap dealer, MS&Co. is subject to CFTC capital requirements. In addition, MS&Co. must notify the SEC if its tentative net capital falls below certain levels. At December 31, 2022 and December 31, 2021, MS&Co. exceeded its net capital requirement and had tentative net capital in excess of the minimum and notification requirements.

Other Regulated Subsidiaries

The following subsidiaries are also subject to various regulatory capital requirements and operated with capital in excess of their respective regulatory capital requirements as of December 31, 2022 and December 31, 2021, as applicable:

•MSSB, a registered U.S. broker-dealer and introducing broker for the futures business, is subject to, respectively, the minimum net capital requirements of the SEC and CFTC.

•MSIP, a London-based broker-dealer subsidiary, is subject to the capital requirements of the PRA. MSIP is also conditionally registered with the SEC as a security-based swap dealer and provisionally registered with the CFTC as a swap dealer, but is currently complying with home-country capital requirements in lieu of SEC and CFTC capital requirements pursuant to applicable substituted compliance rules and interim no-action relief.

•Morgan Stanley Europe Holdings SE Group (“MSEHSE Group”), including MSESE, a Germany-based broker-dealer, is subject to the capital requirements of the European Central Bank, BaFin and the German Central Bank. MSESE is also conditionally registered with the SEC as a security-based swap dealer and provisionally registered with the CFTC as a swap dealer. Pursuant to interim no-action relief, MSESE is currently complying with home-country capital requirements in lieu of CFTC capital requirements. Pursuant to interim no-action relief as of year end 2022 and then applicable substituted compliance rules with effect from January 1, 2023, MSESE has been complying with home-country capital requirements in lieu of SEC capital requirements.

•MSMS, a Tokyo-based broker-dealer subsidiary, is subject to the capital requirements of the Financial Services Agency. MSMS is also provisionally registered with the CFTC as a swap dealer but is currently complying with home-country capital requirements in lieu of CFTC capital requirements pursuant to interim no-action relief.

•MSCS, a U.S. entity and the Firm’s primary non-bank security-based swap dealer, is conditionally registered with the SEC as a security-based swap dealer, registered with the SEC as an OTC derivatives dealer and provisionally registered with the CFTC as a swap dealer. MSCS is subject to the capital requirements of both regulators.

•MSCG, a U.S. entity, is provisionally registered with the CFTC as a swap dealer and is subject to its capital requirements.

•E*TRADE Securities LLC, a registered broker-dealer, is subject to the minimum net capital requirements of the SEC.

ETB and ETSB were each previously subject to the capital requirements of the OCC until January 1, 2022, when ETSB merged with and into ETB, and subsequently ETB merged with and into MSPBNA, with MSPBNA as the surviving bank.

Certain other U.S. and non-U.S. subsidiaries of the Firm are subject to various securities, commodities and banking regulations, and capital adequacy requirements promulgated by the regulatory and exchange authorities of the countries in which they operate. These subsidiaries have also consistently operated with capital in excess of their local capital adequacy requirements.

Restrictions on Payments

The regulatory capital requirements referred to above, and certain covenants contained in various agreements governing indebtedness of the Firm, may restrict the Firm’s ability to withdraw capital from its subsidiaries. i The following table represents net assets of consolidated subsidiaries that may be restricted as to the payment of cash dividends and advances to the Parent Company.


$ in millions	At December 31, 2022		At December 31, 2021
Restricted net assets	$	i 45,896	$	i 49,516

18. i Total Equity

Morgan Stanley Shareholders’ Equity

i

Preferred Stock

Shares
Outstanding

Carrying Value

$ in millions, except per share data

Liquidation
Preference
per Share

Series

A

i 44,000

$

i 25,000

$

i 1,100

$

i 1,100

C1

i 519,882

i 1,000

i 408

E

i 34,500

i 25,000

i 862

F

i 34,000

i 25,000

i 850

I

i 40,000

i 25,000

i 1,000

K

i 40,000

i 25,000

i 1,000

L

i 20,000

i 25,000

i 500

M

i 400,000

i 1,000

i 430

N

i 3,000

i 100,000

i 300

O

i 52,000

i 25,000

i 1,300

P2

i 40,000

i 25,000

i 1,000

i —

Total

$

i 8,750

$

i 7,750

Shares authorized

i i 30,000,000 /

1.Series C preferred stock is held by MUFG.

2.The Firm issued Series P Preferred Stock on August 2, 2022.

/

The Firm’s preferred stock has a preference over its common stock upon liquidation. The Firm’s preferred stock qualifies as and is included in Tier 1 capital in accordance with regulatory capital requirements (see Note 17).

Description of Preferred Stock as of December 31, 2022

Depositary
Shares
per Share

Redemption

Series1, 2

Shares
Issued

Price

per Share3

Date4

A

i 44,000

i 1,000

$

i 25,000

Currently redeemable

C5

i 1,160,791

N/A

i 1,100

Currently redeemable

E

i 34,500

i 1,000

i 25,000

October 15, 2023

F

i 34,000

i 1,000

i 25,000

January 15, 2024

I

i 40,000

i 1,000

i 25,000

October 15, 2024

K

i 40,000

i 1,000

i 25,000

April 15, 2027

L

i 20,000

i 1,000

i 25,000

January 15, 2025

M6

i 400,000

N/A

i 1,000

September 15, 2026

N6

i 3,000

i 100

i 100,000

October 2, 2025

O7

i 52,000

i 1,000

i 25,000

January 15, 2027

P

i 40,000

i 1,000

i 25,000

October 15, 2027

1.All shares issued are non-cumulative. Each share has a par value of $ i 0.01, except Series C.

2.Dividends on Series A are based on a floating rate, and dividends on Series C, L and O are based on a fixed rate. Dividends on all other Series are based on a fixed-to-floating rate.

3.Series A and C are redeemable at the redemption price plus accrued and unpaid dividends, regardless of whether dividends are actually declared, up to but excluding the date of redemption. All other Series are redeemable at the redemption price plus any declared and unpaid dividends, up to but excluding the date fixed for redemption.

4.Series A and C are currently redeemable at the Firm’s option, in whole or in part, from time to time. All other Series are redeemable, at the Firm’s option (i) in whole or in part, from time to time, on any dividend payment date on or after the redemption date or (ii) in whole but not in part at any time within i 90 days following a regulatory capital treatment event (as described in the terms of that series).

5.Series C is non-voting perpetual preferred stock. Dividends on the Series C preferred stock are payable, on a non-cumulative basis, as and if declared by the Board of Directors, in cash, at the rate of i 10% per annum of the liquidation preference of $ i 1,000 per share.

6.Series M and N Preferred Stock were issued on October 2, 2020 as part of the acquisition of E*TRADE.

7.The Firm issued Series O Preferred Stock on October 25, 2021.

Common Stock

i

Rollforward of Common Stock Outstanding


in millions	2022	2021
Shares outstanding at beginning of period	i 1,772	i 1,810
Treasury stock purchases1	( i 124)	( i 134)
Issuance for the acquisition of Eaton Vance	i —	i 69
Other2	i 27	i 27
Shares outstanding at end of period	i 1,675	i 1,772

1.The Firm’s Board of Directors has authorized the repurchase of the Firm’s outstanding stock under a share repurchase program (“Share Repurchase Program”). In addition to the Firm’s Share Repurchase Program, Treasury stock purchases include repurchases of common stock for employee tax withholding.

2.Other includes net shares issued to and forfeited from employee stock trusts and issued for RSU conversions.

/ i

Share Repurchases


$ in millions	2022		2021
Repurchases of common stock under the Firm’s Share Repurchase Program	$	i 9,865	$	i 11,464

/

On June 27, 2022, the Firm announced that its Board of Directors approved a new multi-year repurchase authorization of up to $ i 20 billion of outstanding common stock, without a set expiration date, beginning in the third quarter of 2022, which will be exercised from time to time as conditions warrant.

Pursuant to the Share Repurchase Program, the Firm considers, among other things, business segment capital needs, as well as stock-based compensation and benefit plan requirements. Share repurchases under the program will be exercised from time to time at prices the Firm deems appropriate subject to various factors, including the Firm’s capital position and market conditions. The share repurchases may be effected through open market purchases or privately negotiated transactions, including through Rule 10b5-1 plans, and may be suspended at any time.

i

Common Shares Outstanding for Basic and Diluted EPS


in millions	2022	2021	2020
Weighted average common shares outstanding, basic	i 1,691	i 1,785	i 1,603
Effective of dilutive RSUs and PSUs	i 22	i 29	i 21
Weighted average common shares outstanding and common stock equivalents, diluted	i 1,713	i 1,814	i 1,624
Weighted average antidilutive common stock equivalents (excluded from the computation of diluted EPS)	i 3	i —	i 5

/

i

Dividends

$ in millions, except per share data

2022

2021

2020

Per

Share1

Total

Per

Share1

Total

Per

Share1

Total

Preferred Stock Series

A

$

i 1,061

$

i 47

$

i 1,022

$

i 44

$

i 1,017

$

i 44

C

i 100

i 52

i 100

i 52

i 100

i 52

E

i 1,781

i 60

i 1,781

i 60

i 1,781

i 60

F

i 1,719

i 59

i 1,719

i 60

i 1,719

i 60

H2

i —

i 719

i 38

i 1,143

i 60

I

i 1,594

i 64

i 1,594

i 64

i 1,594

i 64

J3

i —

i 253

i 15

i 1,213

i 74

K

i 1,463

i 59

i 1,463

i 59

i 1,463

i 59

L

i 1,219

i 24

i 1,219

i 24

i 1,219

i 23

M4

i 59

i 24

i 59

i 24

i —

N5

i 5,300

i 16

i 5,300

i 16

i —

O6

i 1,063

i 55

i 236

i 12

i —

P

i 736

i 29

i —

Total Preferred stock

$

i 489

$

i 468

$

i 496

Common stock

$

i 2.950

$

i 5,108

$

i 2.100

$

i 3,818

$

i 1.400

$

i 2,295

1.Common and Preferred Stock dividends are payable quarterly unless otherwise noted.

2.A notice of redemption was issued for Series H preferred stock on November 19, 2021. Dividends declared on Series H following the issuance of the notice of redemption were recognized as Interest expense and are excluded from the 2021 amounts.

3.Series J was payable semiannually until July 15, 2020, after which it was payable quarterly until its redemption.

4.Series M is payable semiannually until September 15, 2026 and thereafter will be payable quarterly.

5.Series N is payable semiannually until March 15, 2023 and thereafter will be payable quarterly.

/

6.Series O is payable semiannually until January 15, 2027 and thereafter will be payable quarterly.

i

Accumulated Other Comprehensive Income (Loss)1

$ in millions

CTA

AFS
Securities

Pension
and Other

DVA

Cash Flow Hedges

Total

December 31, 2019

$

( i 897)

$

i 207

$

( i 644)

$

( i 1,454)

$

i —

$

( i 2,788)

OCI during the period

i 102

i 1,580

i 146

( i 1,002)

i —

i 826

( i 795)

i 1,787

( i 498)

( i 2,456)

i —

( i 1,962)

OCI during the period

( i 207)

( i 1,542)

( i 53)

i 662

i —

( i 1,140)

( i 1,002)

i 245

( i 551)

( i 1,794)

i —

( i 3,102)

OCI during the period

( i 202)

( i 4,437)

i 43

i 1,449

( i 4)

( i 3,151)

$

( i 1,204)

$

( i 4,192)

$

( i 508)

$

( i 345)

$

( i 4)

$

( i 6,253)

CTA—Cumulative foreign currency translation adjustments

1.Amounts are net of tax and noncontrolling interests.

/

i

Components of Period Changes in OCI

2022

$ in millions

Pre-tax
Gain
(Loss)

Income Tax Benefit (Provision)

After-tax
Gain
(Loss)

Non-
controlling
Interests

Net

CTA

OCI activity

$

( i 179)

$

( i 217)

$

( i 396)

$

( i 135)

$

( i 261)

Reclassified to earnings

i —

i 59

i —

i 59

Net OCI

$

( i 179)

$

( i 158)

$

( i 337)

$

( i 135)

$

( i 202)

Change in net unrealized gains (losses) on AFS securities

OCI activity

$

( i 5,720)

$

i 1,337

$

( i 4,383)

$

i —

$

( i 4,383)

Reclassified to earnings

( i 70)

i 16

( i 54)

i —

( i 54)

Net OCI

$

( i 5,790)

$

i 1,353

$

( i 4,437)

$

i —

$

( i 4,437)

Pension and other

OCI activity

$

i 38

$

( i 13)

$

i 25

$

i —

$

i 25

Reclassified to earnings

i 22

( i 4)

i 18

i —

i 18

Net OCI

$

i 60

$

( i 17)

$

i 43

$

i —

$

i 43

Change in net DVA

OCI activity

$

i 1,982

$

( i 480)

$

i 1,502

$

i 53

$

i 1,449

Reclassified to earnings

i —

Net OCI

$

i 1,982

$

( i 480)

$

i 1,502

$

i 53

$

i 1,449

Change in fair value of cash flow hedge derivatives

OCI activity

$

( i 4)

$

i —

$

( i 4)

$

i —

$

( i 4)

Reclassified to earnings

i —

$

i —

Net OCI

$

( i 4)

$

i —

$

( i 4)

$

i —

$

( i 4)

2021

$ in millions

Pre-tax
Gain
(Loss)

Income Tax Benefit (Provision)

After-tax
Gain
(Loss)

Non-
controlling
Interests

Net

CTA

OCI activity

$

( i 140)

$

( i 191)

$

( i 331)

$

( i 124)

$

( i 207)

Reclassified to earnings

i —

Net OCI

$

( i 140)

$

( i 191)

$

( i 331)

$

( i 124)

$

( i 207)

Change in net unrealized gains (losses) on AFS securities

OCI activity

$

( i 1,803)

$

i 422

$

( i 1,381)

$

i —

$

( i 1,381)

Reclassified to earnings

( i 210)

i 49

( i 161)

i —

( i 161)

Net OCI

$

( i 2,013)

$

i 471

$

( i 1,542)

$

i —

$

( i 1,542)

Pension and other

OCI activity

$

( i 101)

$

i 26

$

( i 75)

$

i —

$

( i 75)

Reclassified to earnings

i 31

( i 9)

i 22

i —

i 22

Net OCI

$

( i 70)

$

i 17

$

( i 53)

$

i —

$

( i 53)

Change in net DVA

OCI activity

$

i 882

$

( i 213)

$

i 669

$

i 34

$

i 635

Reclassified to earnings

i 36

( i 9)

i 27

i —

i 27

Net OCI

$

i 918

$

( i 222)

$

i 696

$

i 34

$

i 662

/

2020

$ in millions

Pre-tax
Gain
(Loss)

Income Tax Benefit (Provision)

After-tax
Gain
(Loss)

Non-
controlling
Interests

Net

CTA

OCI activity

$

i 74

$

i 99

$

i 173

$

i 68

$

i 105

Reclassified to earnings

( i 3)

i —

( i 3)

i —

( i 3)

Net OCI

$

i 71

$

i 99

$

i 170

$

i 68

$

i 102

Change in net unrealized gains (losses) on AFS securities

OCI activity

$

i 2,194

$

( i 508)

$

i 1,686

$

i —

$

i 1,686

Reclassified to earnings

( i 137)

i 31

( i 106)

i —

( i 106)

Net OCI

$

i 2,057

$

( i 477)

$

i 1,580

$

i —

$

i 1,580

Pension and other

OCI activity

$

i 162

$

( i 34)

$

i 128

$

i —

$

i 128

Reclassified to earnings

i 23

( i 5)

i 18

i —

i 18

Net OCI

$

i 185

$

( i 39)

$

i 146

$

i —

$

i 146

Change in net DVA

OCI activity

$

( i 1,385)

$

i 337

$

( i 1,048)

$

( i 26)

$

( i 1,022)

Reclassified to earnings

i 26

( i 6)

i 20

i —

i 20

Net OCI

$

( i 1,359)

$

i 331

$

( i 1,028)

$

( i 26)

$

( i 1,002)

i

Cumulative Foreign Currency Translation Adjustments


$ in millions	At December 31, 2022		At December 31, 2021
Associated with net investments in subsidiaries with a non-U.S. dollar functional currency	$	( i 3,136)	$	( i 2,277)
Hedges, net of tax	i 1,932		i 1,275
Total	$	( i 1,204)	$	( i 1,002)
Carrying value of net investments in non-U.S. dollar functional currency subsidiaries subject to hedges	$	i 17,023	$	i 15,605

/

Cumulative foreign currency translation adjustments include gains or losses resulting from translating foreign currency financial statements from their respective functional currencies to U.S. dollars, net of hedge gains or losses and related tax effects. The Firm uses foreign currency contracts to manage the currency exposure relating to its net investments in non-U.S. dollar functional currency subsidiaries and determines the amount of exposure to hedge on a pre-tax basis. The Firm may also elect not to hedge its net investments in certain foreign operations due to market conditions or other reasons, including the availability of various currency contracts at acceptable costs. Information relating to the effects on cumulative foreign currency translation adjustments that resulted from the translation of foreign currency financial statements and from gains and losses from hedges of the Firm’s net investments in non-U.S. dollar functional currency subsidiaries is summarized in the previous table.

19. i Interest Income and Interest Expense

i


$ in millions	2022		2021		2020
Interest income
Investment securities	$	i 3,066	$	i 2,759	$	i 2,282
Loans	i 6,988		i 4,209		i 4,142
Securities purchased under agreements to resell1	i 2,188		( i 181)		i 458
Securities borrowed2	i 1,020		( i 1,017)		( i 652)
Trading assets, net of Trading liabilities	i 2,484		i 2,038		i 2,417
Customer receivables and Other3	i 5,849		i 1,603		i 1,515
Total interest income	$	i 21,595	$	i 9,411	$	i 10,162
Interest expense
Deposits	$	i 1,825	$	i 409	$	i 953
Borrowings	i 5,054		i 2,725		i 3,250
Securities sold under agreements to repurchase4	i 1,760		i 93		i 564
Securities loaned5	i 503		i 401		i 419
Customer payables and Other6	i 3,126		( i 2,262)		( i 1,337)
Total interest expense	$	i 12,268	$	i 1,366	$	i 3,849
Net interest	$	i 9,327	$	i 8,045	$	i 6,313

1.Includes interest paid on Securities purchased under agreements to resell.

2.Includes fees paid on Securities borrowed.

3.Includes interest from Cash and cash equivalents.

4.Includes interest received on Securities sold under agreements to repurchase.

5.Includes fees received on Securities loaned.

6.Includes fees received from Equity Financing customers related to their short transactions, which can be under either margin or securities lending arrangements.

/

Interest income and Interest expense are classified in the income statement based on the nature of the instrument and related market conventions. When included as a component of the instrument’s fair value, interest is included within Trading revenues or Investments revenues. Otherwise, it is included within Interest income or Interest expense.

i

Accrued Interest


$ in millions	At December 31, 2022		At December 31, 2021
Customer and other receivables	$	i 4,139	$	i 1,800
Customer and other payables	i 4,273		i 2,164

/

20. i Deferred Compensation Plans and Carried Interest Compensation

Stock-Based Compensation Plans

Certain current and former employees of the Firm participate in the Firm’s stock-based compensation plans. i These plans include RSUs, PSUs and an ESPP.

Stock-Based Compensation Expense


$ in millions	2022		2021		2020
RSUs	$	i 1,827	$	i 1,834	$	i 1,170
PSUs	i 40		i 251		i 142
ESPP	i 8		i —		i —
Total	$	i 1,875	$	i 2,085	$	i 1,312

Retirement-eligible awards1	$	i 176	$	i 192	$	i 157

1.Total expense includes stock-based compensation anticipated to be awarded in January of the following year that does not contain a future service requirement.

i

Tax Benefit Related to Stock-Based Compensation Expense


$ in millions	2022		2021		2020
Tax benefit1	$	i 427	$	i 432	$	i 270

1.Excludes income tax consequences related to employee share-based award conversions.

/ i

Unrecognized Compensation Cost Related to Stock-Based Awards Granted


$ in millions	At December 31, 20221
To be recognized in:
2023	$	i 643
2024	i 282
Thereafter	i 48
Total	$	i 973

1.Amounts do not include forfeitures, future adjustments to fair value for certain awards or 2022 performance year compensation awarded in January 2023, which will begin to be amortized in 2023.

/

In connection with awards under its stock-based compensation plans, the Firm is authorized to issue shares of common stock held in treasury or newly issued shares.

The Firm generally uses treasury shares, if available, to deliver shares to employees or employee stock trusts and has an ongoing repurchase authorization that includes repurchases in connection with awards under its stock-based compensation plans.

i

Common Shares Available for Future Awards under Stock-Based Compensation Plans


in millions			At December 31, 2022
Shares			i 134

/

See Note 18 for additional information on the Firm’s Share Repurchase Program.

Restricted Stock Units

RSUs are subject to vesting over time, generally one to i seven years from the date of award, contingent upon continued employment and subject to restrictions on sale, transfer or assignment until conversion to common stock. All or a portion of an award may be forfeited if employment is terminated before the end of the relevant vesting period or canceled after the relevant vesting period in certain situations. Recipients of RSUs may have voting rights, at the Firm’s discretion, and generally receive dividend equivalents if the awards vest.

i

Vested and Unvested RSU Activity


	2022
shares in millions	Number of Shares	Weighted Average Award Date Fair Value
RSUs at beginning of period	i 67	$	i 60.27
Awarded	i 23	i 96.61
Conversions to common stock	( i 25)	i 51.71
Forfeited	( i 2)	i 78.07
RSUs at end of period1	i 63	$	i 76.31
Aggregate intrinsic value of RSUs at end of period (dollars in millions)		$	i 5,366
Weighted average award date fair value
RSUs awarded in 2021		i 77.28
RSUs awarded in 2020		i 55.01

1.At December 31, 2022, the weighted average remaining term until delivery for the outstanding RSUs was approximately i 1.2 years.

/ i

Unvested RSU Activity


	2022
shares in millions	Number of Shares	Weighted Average Award Date Fair Value
Unvested RSUs at beginning of period	i 39	$	i 65.58
Awarded	i 23	i 96.61
Vested	( i 25)	i 68.38
Forfeited	( i 2)	i 78.07
Unvested RSUs at end of period1	i 35	$	i 83.41

1.Unvested RSUs represent awards where recipients have yet to satisfy either the explicit vesting terms or retirement-eligible requirements.

/ i

Fair Value of RSU Activity1


$ in millions	2022		2021		2020
Conversions to common stock	$	i 2,301	$	i 1,539	$	i 1,295
Vested	i 2,433		i 1,647		i 1,289

/

1. Fair value of converted stock is based on the share price at conversion. Fair value of vested stock is based on the share price at date of vesting.

Performance-Based Stock Units

PSUs will vest and convert to shares of common stock only if the Firm satisfies predetermined performance and market-based conditions over a i three-year performance period. The number of PSUs that will vest ranges from i 0% to i 150% of the target award, based on the extent to which the Firm achieves the specified performance goals. One-half of the award is earned based on either the Firm’s average return on equity, excluding certain adjustments (“MS Adjusted ROE”) or for awards granted beginning in 2021, the Firm’s average return on tangible common equity excluding certain adjustments (“MS Adjusted ROTCE”). The other half of the award will be earned based on the Firm’s total shareholder return, relative to the total shareholder return of the S&P 500 Financials Sector Index (“Relative MS TSR”). PSUs have vesting, restriction and cancellation provisions that are generally similar to those of RSUs. At December 31, 2022, approximately i 2.5 million PSUs were outstanding.

i

PSU Fair Value on Award Date


	2022		2021		2020
MS Adjusted ROTCE/ROE	$	i 100.12	$	i 74.87	$	i 57.05
Relative MS TSR	i 102.17		i 83.70		i 65.31

/

The Relative MS TSR fair values on the award date were estimated using a Monte Carlo simulation and the following assumptions.

i

Monte Carlo Simulation Assumptions


	Risk-Free Interest Rate		Expected Stock Price Volatility		Correlation Coefficient
Award year
2022	i 1.3	%	i 38.9	%	i 0.91
2021	i 0.2	%	i 39.0	%	i 0.92
2020	i 1.6	%	i 24.0	%	i 0.88

/

The risk-free interest rate was determined based on the yields available on U.S. Treasury zero-coupon issues. The expected stock price volatility was determined using historical volatility. The correlation coefficient was developed based on historical price data of the Firm and the S&P 500 Financials Sector Index. The model uses an expected dividend yield equivalent to reinvesting dividends.

Deferred Cash-Based Compensation Plans

Deferred cash-based compensation plans generally provide a return to the plan participants based upon the performance of each participant’s referenced investments.

i

Deferred Cash-Based Compensation Expense


$ in millions	2022		2021		2020
Deferred cash-based awards	$	i 761	$	i 810	$	i 1,263
Return on referenced investments	( i 716)		i 526		i 856
Total	$	i 45	$	i 1,336	$	i 2,119

Retirement-eligible awards1	$	i 264	$	i 253	$	i 194

1.Total expense includes deferred cash-based compensation anticipated to be awarded in January of the following year that does not contain a future service requirement.

/

Carried Interest Compensation

The Firm generally recognizes compensation expense for any portion of carried interest (both realized and unrealized) that is allocated to employees.

i

Carried Interest Compensation Expense


$ in millions	2022		2021		2020
Expense	$	i 225	$	i 346	$	i 215

/

21. i Employee Benefit Plans

Pension Plans

i

Components of Net Periodic Benefit Expense (Income)


	Pension Plans
$ in millions	2022		2021		2020
Service cost, benefits earned during the period	$	i 19	$	i 19	$	i 17
Interest cost on projected benefit obligation	i 111		i 104		i 121
Expected return on plan assets	( i 56)		( i 48)		( i 77)
Net amortization of prior service cost	i 1		i 1		i 1
Net amortization of actuarial loss	i 25		i 34		i 26
Net periodic benefit expense	$	i 100	$	i 110	$	i 88

/

Certain current and former U.S. employees of the Firm and its U.S. affiliates who were hired before July 1, 2007 are covered by the U.S. pension plan, a non-contributory defined benefit pension plan that is qualified under Section 401(a) of the Internal Revenue Code (“U.S. Qualified Plan”). The U.S. Qualified Plan has ceased future benefit accruals.

Unfunded supplementary plans (“Supplemental Plans”) cover certain executives. Liabilities for benefits payable under the Supplemental Plans are accrued by the Firm and are funded when paid. The Morgan Stanley Supplemental Executive Retirement and Excess Plan (“SEREP”), a non-contributory defined benefit plan that is not qualified under Section 401(a) of the Internal Revenue Code, has ceased future benefit accruals.

Certain of the Firm’s non-U.S. subsidiaries also have defined benefit pension plans covering their eligible current and former employees.

The Firm’s pension plans generally provide pension benefits that are based on each employee’s years of credited service and on compensation levels specified in the plans.

i

Rollforward of Pre-tax AOCI


	Pension Plans
$ in millions	2022		2021		2020
Beginning balance	$	( i 768)	$	( i 691)	$	( i 877)
Net gain (loss)	i 26		( i 112)		i 161
Prior service cost	i —		i —		( i 2)
Amortization of prior service cost	i 1		i 1		i 1
Amortization of net loss	i 25		i 34		i 26
Changes recognized in OCI	i 52		( i 77)		i 186
Ending balance	$	( i 716)	$	( i 768)	$	( i 691)

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The Firm generally amortizes into net periodic benefit expense (income) the unrecognized net gains and losses exceeding 10% of the greater of the projected benefit obligation or the market-related value of plan assets. The U.S. pension plans amortize the unrecognized net gains and losses over the average life expectancy of participants. The remaining plans generally amortize the unrecognized net gains and losses and prior service credit over the average remaining service period of active participants.

i

Weighted Average Assumptions Used to Determine Net Periodic Benefit Expense (Income)


	Pension Plans
	2022		2021		2020
Discount rate	i i 2.80 /	%	i 2.43	%	i 3.08 %
Expected long-term rate of return on plan assets	i 1.71	%	i 1.42	%	i 2.35 %
Rate of future compensation increases	i 3.36	%	i 3.25	%	i 3.28 %

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The accounting for pension plans involves certain assumptions and estimates. The expected long-term rate of return for the U.S. Qualified Plan was estimated by computing a weighted average of the underlying long-term expected returns based on the investment managers’ target allocations.

Benefit Obligation and Funded Status

i

Rollforward of the Projected Benefit Obligation and Fair Value of Plan Assets


	Pension Plans
$ in millions	2022		2021
Rollforward of projected benefit obligation
Benefit obligation at beginning of year	$	i 4,081	$	i 4,334
Service cost	i 19		i 19
Interest cost	i 111		i 104
Actuarial (gain) loss1	( i 1,064)		( i 122)
Plan amendments	i —		( i 1)
Plan settlements	( i 2)		( i 16)
Benefits paid	( i 196)		( i 217)
Other2	( i 42)		( i 20)
Projected benefit obligation at end of year	$	i 2,907	$	i 4,081
Rollforward of fair value of plan assets
Fair value of plan assets at beginning of year	$	i 3,605	$	i 3,985
Actual return on plan assets	( i 982)		( i 186)
Employer contributions	i 37		i 38
Benefits paid	( i 196)		( i 217)
Plan settlements	( i 2)		( i 15)
Other2	( i 46)		i —
Fair value of plan assets at end of year	$	i 2,416	$	i 3,605
Funded (unfunded) status	$	( i 491)	$	( i 476)
Amounts recognized in the balance sheet
Assets	$	i 75	$	i 117
Liabilities	( i 566)		( i 593)
Net amount recognized	$	( i 491)	$	( i 476)

1.Primarily reflects the impact of year-over-year discount rate fluctuations and changes in mortality assumptions.

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2.Includes the impact of foreign currency exchange rate changes and transfers into plan assets.

i

Accumulated Benefit Obligation


$ in millions	At December 31, 2022		At December 31, 2021
Pension plans	$	i 2,891	$	i 4,065

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i

Pension Plans with Projected Benefit Obligations in Excess of the Fair Value of Plan Assets


$ in millions	At December 31, 2022		At December 31, 2021
Projected benefit obligation	$	i 2,746	$	i 3,768
Accumulated benefit obligation	i 2,731		i 3,753
Fair value of plan assets	i 2,180		i 3,175

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The pension plans included in the table above may differ based on their funding status as of December 31 of each year.

i

Weighted Average Assumptions Used to Determine Projected Benefit Obligation


	Pension Plans
	At December 31, 2022		At December 31, 2021
Discount rate	i 4.93	%	i 2.80	%
Rate of future compensation increase	i 3.73	%	i 3.36	%

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The discount rates used to determine the benefit obligation were selected by the Firm, in consultation with its independent actuary. The U.S. pension plans use a pension discount yield curve based on the characteristics of the plans, each determined independently. The pension discount yield curve represents spot discount yields based on duration implicit in a representative broad-based Aa-rated corporate bond universe of high-quality fixed income investments. For all non-U.S. pension plans, the assumed discount rates are based on the nature of liabilities, local economic environments and available bond indices.

Plan Assets

i

Fair Value of Plan Assets

$ in millions

Level 1

Level 2

Level 3

Total

Assets

Cash and cash equivalents

$

i 4

$

i —

$

i —

$

i 4

U.S. government and agency securities

i 1,788

i 267

i —

i 2,055

Corporate and other debt—CDO

i —

Derivative contracts

i —

( i 2)

i —

( i 2)

Other investments

i —

i 64

Other receivables1

i —

i 21

i —

i 21

Total

$

i 1,792

$

i 286

$

i 64

$

i 2,142

Assets Measured at NAV

Commingled trust funds:

Money market

i 44

Foreign funds:

Fixed income

i 55

Liquidity

i 20

Targeted cash flow

i 158

Total

$

i 277

Liabilities

Other payables1

i —

( i 3)

i —

( i 3)

Total liabilities

$

i —

$

( i 3)

$

i —

$

( i 3)

Fair value of plan assets

$

i 2,416

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