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As Of Filer Filing For·On·As Docs:Size 2/27/20 Morgan Stanley 10-K 12/31/19 214:53M |
Document/Exhibit Description Pages Size 1: 10-K Annual Report HTML 7.19M 2: EX-3.1 Articles of Incorporation/Organization or Bylaws HTML 1.04M 3: EX-4.1 Instrument Defining the Rights of Security Holders HTML 283K 4: EX-10.4 Material Contract HTML 74K 5: EX-21 Subsidiaries List HTML 68K 6: EX-23.1 Consent of Experts or Counsel HTML 75K 7: EX-31.1 Certification -- §302 - SOA'02 HTML 67K 8: EX-31.2 Certification -- §302 - SOA'02 HTML 67K 9: EX-32.1 Certification -- §906 - SOA'02 HTML 62K 10: EX-32.2 Certification -- §906 - SOA'02 HTML 62K 29: R1 Cover Page HTML 153K 137: R2 Consolidated Income Statements HTML 190K 168: R3 Consolidated Comprehensive Income Statements HTML 96K 93: R4 Consolidated Balance Sheets HTML 165K 26: R5 Consolidated Balance Sheets (Parenthetical) HTML 94K 136: R6 Consolidated Statements of Changes in Total Equity HTML 115K 167: R7 Consolidated Cash Flow Statements HTML 176K 96: R8 Introduction and Basis of Presentation HTML 74K 22: R9 Significant Accounting Policies HTML 157K 144: R10 Fair Values HTML 940K 169: R11 Fair Value Option HTML 122K 88: R12 Derivative Instruments and Hedging Activities HTML 494K 16: R13 Investment Securities HTML 378K 147: R14 Collateralized Transactions HTML 213K 172: R15 Loans, Lending Commitments and Allowance for HTML 385K Credit Losses 91: R16 Goodwill and Intangible Assets HTML 134K 19: R17 Other Assets - Equity Method Investments and HTML 113K Leases 142: R18 Deposits HTML 79K 173: R19 Borrowings and Other Secured Financings HTML 185K 81: R20 Commitments, Guarantees and Contingencies HTML 186K 61: R21 Variable Interest Entities and Securitization HTML 331K Activities 129: R22 Regulatory Requirements HTML 187K 207: R23 Total Equity HTML 389K 85: R24 Interest Income and Interest Expense HTML 91K 64: R25 Deferred Compensation Plans and Carried Interest HTML 153K Compensation 132: R26 Employee Benefit Plans HTML 323K 210: R27 Income Taxes HTML 174K 86: R28 Segment, Geographic and Revenue Information HTML 345K 59: R29 Parent Company HTML 231K 24: R30 Quarterly Results (Unaudited) HTML 170K 99: R31 Subsequent Event HTML 63K 166: R32 Significant Accounting Policies (Policies) HTML 219K 141: R33 Significant Accounting Policies (Tables) HTML 66K 20: R34 Fair Values (Tables) HTML 1.22M 95: R35 Fair Value Option (Tables) HTML 118K 163: R36 Derivative Instruments and Hedging Activities HTML 497K (Tables) 138: R37 Investment Securities (Tables) HTML 381K 28: R38 Collateralized Transactions (Tables) HTML 218K 94: R39 Loans, Lending Commitments and Allowance for HTML 385K Credit Losses (Tables) 45: R40 Goodwill and Intangible Assets (Tables) HTML 138K 69: R41 Other Assets - Equity Method Investments and HTML 122K Leases (Tables) 205: R42 Deposits (Tables) HTML 79K 127: R43 Borrowings and Other Secured Financings (Tables) HTML 191K 44: R44 Commitments, Guarantees and Contingencies (Tables) HTML 112K 68: R45 Variable Interest Entities and Securitization HTML 320K Activities (Tables) 204: R46 Regulatory Requirements (Tables) HTML 180K 126: R47 Total Equity (Tables) HTML 397K 47: R48 Interest Income and Interest Expense (Tables) HTML 90K 65: R49 Deferred Compensation Plans and Carried Interest HTML 170K Compensation (Tables) 101: R50 Employee Benefit Plans (Tables) HTML 334K 33: R51 Income Taxes (Tables) HTML 177K 159: R52 Segment, Geographic and Revenue Information HTML 358K (Tables) 187: R53 Parent Company (Tables) HTML 229K 102: R54 Quarterly Results (Unaudited) (Tables) HTML 170K 34: R55 Significant Accounting Policies - Narrative HTML 105K (Details) 160: R56 Fair Values - Assets and Liabilities Measured at HTML 251K Fair Value on a Recurring Basis (Details) 188: R57 Fair Values - Breakdown of Loans and Lending HTML 77K Commitments at Fair Value and Unsettled Fair Value of Futures Contracts (Details) 105: R58 Fair Values - Activity of Level 3 Assets and HTML 194K Liabilities Measured at Fair Value on a Recurring Basis (Details) 31: R59 Fair Values - Valuation Techniques and Sensitivity HTML 352K of Unobservable Inputs Used in Level 3 Fair Value Measurements (Details) 120: R60 Fair Values - Fund Interests Measured Based on Net HTML 83K Asset Value (Details) 192: R61 Fair Values - Assets and Liabilities Measured at HTML 98K Fair Value on a Nonrecurring Basis (Details) 73: R62 Fair Values - Financial Instruments Not Measured HTML 149K at Fair Value (Details) 52: R63 Fair Value Option - Borrowings Measured at Fair HTML 74K Value on a Recurring Basis (Details) 121: R64 Fair Value Option - Net Revenues from Borrowings HTML 68K under the Fair Value Option (Details) 195: R65 Fair Value Option - Gains (Losses) Due to Changes HTML 80K in Instrument-Specific Credit Risk (Details) 76: R66 Fair Value Option - Difference Between Contractual HTML 67K Principal and Fair Value (Details) 53: R67 Fair Value Option - Fair Value Loans on Nonaccrual HTML 65K Status (Details) 116: R68 Derivative Instruments and Hedging Activities - HTML 209K Fair Values of Derivative Contracts (Details) 201: R69 Derivative Instruments and Hedging Activities - HTML 131K Notionals of Derivative Contracts (Details) 183: R70 Derivative Instruments and Hedging Activities - HTML 105K Gains (Losses) on Accounting Hedges and Fair Value Hedges (Details) 151: R71 Derivative Instruments and Hedging Activities - HTML 75K Credit Risk-Related Contingencies (Details) 39: R72 Derivative Instruments and Hedging Activities - HTML 123K Maximum Potential Payout/Notional of Credit Protection Sold (Details) 110: R73 Derivative Instruments and Hedging Activities - HTML 79K Fair Value Asset/(Liability) of Credit Protection Sold (Details) 180: R74 Derivative Instruments and Hedging Activities - HTML 75K Protection Purchased with CDS (Details) 150: R75 Investment Securities - AFS and HTM Securities HTML 132K (Details) 38: R76 Investment Securities - Investment Securities in HTML 154K an Unrealized Loss Position (Details) 108: R77 Investment Securities - Investment Securities by HTML 209K Contractual Maturity (Details) 175: R78 Investment Securities - Gross Realized Gains and HTML 67K Losses on Sales of AFS Securities (Details) 155: R79 Collateralized Transactions - Offsetting of HTML 140K Certain Collateralized Transactions (Details) 184: R80 Collateralized Transactions - Gross Secured HTML 106K Financing Balances (Details) 154: R81 Collateralized Transactions - Assets Loaned or HTML 68K Pledged (Details) 42: R82 Collateralized Transactions - Collateral Received HTML 65K (Details) 111: R83 Collateralized Transactions - Restricted Cash and HTML 67K Segregated Securities (Details) 179: R84 Collateralized Transactions - Concentration Based HTML 69K on the Firm's Total Assets (Details) 148: R85 Collateralized Transactions - Customer Margin HTML 61K Lending (Details) 36: R86 Loans, Lending Commitments and Allowance for HTML 114K Credit Losses - Loans by Type (Details) 107: R87 Loans, Lending Commitments and Allowance for HTML 97K Credit Losses - Loans Held for Investment before Allowance by Credit Quality (Details) 176: R88 Loans, Lending Commitments and Allowance for HTML 95K Credit Losses - Impaired Loans and Lending Commitments before Allowance (Details) 157: R89 Loans, Lending Commitments and Allowance for HTML 74K Credit Losses - Impaired Loans and Total Allowance by Region (Details) 117: R90 Loans, Lending Commitments and Allowance for HTML 66K Credit Losses - Troubled Debt Restructurings (Details) 191: R91 Loans, Lending Commitments and Allowance for HTML 129K Credit Losses - Activity of Allowance for Loan Losses and Lending Commitments (Details) 72: R92 Loans, Lending Commitments and Allowance for HTML 69K Credit Losses - Employee Loans (Details) 49: R93 Goodwill and Intangible Assets - Goodwill HTML 84K Rollforward (Details) 124: R94 Goodwill and Intangible Assets - Net Amortizable HTML 83K Intangible Assets Rollforward (Details) 196: R95 Goodwill and Intangible Assets - Gross Amortizable HTML 79K Intangible Assets by Type (Details) 77: R96 Other Assets - Equity Method Investments and HTML 73K Leases - Equity Method Investments (Details) 56: R97 Other Assets - Equity Method Investments and HTML 67K Leases - Investees (Details) 113: R98 Other Assets - Equity Method Investments and HTML 70K Leases - Narrative (Details) 200: R99 Other Assets - Equity Method Investments and HTML 70K Leases - Balance Sheet Amounts Related to Leases (Details) 145: R100 Other Assets - Equity Method Investments and HTML 81K Leases - Lease Liabilities (Details) 170: R101 Other Assets - Equity Method Investments and HTML 69K Leases - Lease Costs (Details) 89: R102 Other Assets - Equity Method Investments and HTML 65K Leases - Cash Flows Statement Supplemental Information (Details) 17: R103 Other Assets - Equity Method Investments and HTML 84K Leases - Minimum Future Lease Commitments (Details) 146: R104 Other Assets - Equity Method Investments and HTML 64K Leases - Rent Expense (Details) 171: R105 Deposits - Summary (Details) HTML 87K 90: R106 Borrowings and Other Secured Financings - HTML 118K Maturities and Terms of Borrowings (Details) 18: R107 Borrowings and Other Secured Financings - HTML 73K Borrowings with Maturities Greater than One Year (Details) 143: R108 Borrowings and Other Secured Financings - Senior HTML 65K Debt Subject to Put Options or Liquidity Obligations (Details) 174: R109 Borrowings and Other Secured Financings - HTML 63K Subordinated Debt (Details) 213: R110 Borrowings and Other Secured Financings - Rates HTML 64K for Long-Term Borrowings (Details) 134: R111 Borrowings and Other Secured Financings - Other HTML 68K Secured Financings (Details) 58: R112 Borrowings and Other Secured Financings - HTML 106K Maturities and Terms of Secured Financings (Details) 80: R113 Borrowings and Other Secured Financings - Failed HTML 77K Sales by Maturity (Details) 212: R114 Commitments, Guarantees and Contingencies - HTML 96K Commitments (Details) 133: R115 Commitments, Guarantees and Contingencies - HTML 135K Obligations under Guarantee Arrangements (Details) 57: R116 Commitments, Guarantees and Contingencies - Legal HTML 62K Expenses (Details) 79: R117 Commitments, Guarantees and Contingencies - HTML 92K Narrative (Details) 211: R118 Variable Interest Entities and Securitization HTML 72K Activities - Assets and Liabilities by Type of Activity (Details) 135: R119 Variable Interest Entities and Securitization HTML 98K Activities - Assets and Liabilities by Balance Sheet Caption (Details) 23: R120 Variable Interest Entities and Securitization HTML 126K Activities - Non-Consolidated VIEs (Details) 98: R121 Variable Interest Entities and Securitization HTML 81K Activities - Mortgage and Asset Backed Securitization Assets (Details) 165: R122 Variable Interest Entities and Securitization HTML 105K Activities - Transfers of Assets with Continuing Involvement (Details) 140: R123 Variable Interest Entities and Securitization HTML 104K Activities - Fair Value of Transfers of Assets with Continuing Involvement (Details) 21: R124 Variable Interest Entities and Securitization HTML 72K Activities - Proceeds from New Securitization Transactions and Sales of Loans (Details) 97: R125 Variable Interest Entities and Securitization HTML 78K Activities - Assets Sold with Retained Exposure (Details) 164: R126 Regulatory Requirements - Narrative (Details) HTML 70K 139: R127 Regulatory Requirements - The Firm's Regulatory HTML 108K Capital and Capital Ratios (Details) 27: R128 Regulatory Requirements - U.S. Bank Subsidiaries' HTML 117K Regulatory Capital and Capital Ratios (Details) 92: R129 Regulatory Requirements - U.S. Broker-Dealer HTML 69K Regulatory Capital Requirements (Details) 82: R130 Regulatory Requirements - Restrictions on Payments HTML 62K (Details) 62: R131 Total Equity - Rollforward of Common Stock HTML 70K Outstanding (Details) 130: R132 Total Equity - Share Repurchases (Details) HTML 64K 208: R133 Total Equity - Narrative (Details) HTML 76K 83: R134 Total Equity - Common Stock Dividends Per Share HTML 65K (Details) 63: R135 Total Equity - Reconciliation of Common Shares HTML 71K Outstanding for Diluted EPS (Details) 131: R136 Total Equity - Preferred Stock Outstanding HTML 121K (Details) 209: R137 Total Equity - Preferred Stock Issuance HTML 96K Description (Details) 87: R138 Total Equity - Preferred Stock Dividends (Details) HTML 90K 60: R139 Total Equity - Accumulated Other Comprehensive HTML 94K Income (Loss) (Details) 100: R140 Total Equity - Components of Period Changes in OCI HTML 138K (Details) 32: R141 Total Equity - Cumulative Adjustments to Retained HTML 87K Earnings Related to the Adoption of Accounting Updates (Details) 158: R142 Total Equity - Cumulative Foreign Currency HTML 71K Translation Adjustments (Details) 186: R143 Interest Income and Interest Expense - Summary HTML 96K (Details) 103: R144 Deferred Compensation Plans and Carried Interest HTML 70K Compensation - Stock-based Compensation Plans (Details) 35: R145 Deferred Compensation Plans and Carried Interest HTML 63K Compensation - Tax Benefit Related to Stock-Based Compensation Expense (Details) 161: R146 Deferred Compensation Plans and Carried Interest HTML 69K Compensation - Unrecognized Compensation Cost Related to Stock-Based Awards Granted (Details) 189: R147 Deferred Compensation Plans and Carried Interest HTML 62K Compensation - Common Shares Available for Future Awards under Stock-Based Compensation Plans (Details) 104: R148 Deferred Compensation Plans and Carried Interest HTML 99K Compensation - Vested and Unvested RSU Activity (Details) 30: R149 Deferred Compensation Plans and Carried Interest HTML 87K Compensation - Unvested RSU Activity (Details) 46: R150 Deferred Compensation Plans and Carried Interest HTML 67K Compensation - Fair Value of RSU Activity (Details) 70: R151 Deferred Compensation Plans and Carried Interest HTML 69K Compensation - Narrative (Details) 206: R152 Deferred Compensation Plans and Carried Interest HTML 69K Compensation - PSU Fair Value on Award Date (Details) 128: R153 Deferred Compensation Plans and Carried Interest HTML 74K Compensation - Monte Carlo Simulation Assumptions (Details) 43: R154 Deferred Compensation Plans and Carried Interest HTML 69K Compensation - Deferred Cash-Based Compensation Expense (Details) 67: R155 Deferred Compensation Plans and Carried Interest HTML 62K Compensation - Carried Interest Compensation Expense (Details) 203: R156 Employee Benefit Plans - Net Periodic Benefit HTML 84K Expense (Income) (Details) 125: R157 Employee Benefit Plans - Rollforward of Pre-tax HTML 88K AOCI (Details) 48: R158 Employee Benefit Plans - Weighted Average HTML 72K Assumptions Used to Determine Net Periodic Benefit Expense (Income) (Details) 66: R159 Employee Benefit Plans - Rollforward of the HTML 132K Benefit Obligation and Fair Value of Plan Assets (Details) 185: R160 Employee Benefit Plans - Accumulated Benefit HTML 64K Obligation (Details) 153: R161 Employee Benefit Plans - Pension Plans with HTML 70K Benefit Obligations in Excess of the Fair Value of Plan Assets (Details) 41: R162 Employee Benefit Plans - Weighted Average HTML 69K Assumptions Used to Determine Benefit Obligation (Details) 112: R163 Employee Benefit Plans - Assumed Health Care Cost HTML 71K Trend Rates Used to Determine the U.S. Postretirement Benefit Obligation (Details) 178: R164 Employee Benefit Plans - Fair Value of Plan Assets HTML 155K (Details) 149: R165 Rollforward of Level 3 Plan Assets (Details) HTML 74K 37: R166 Employee Benefit Plans - Narrative (Details) HTML 75K 106: R167 Expected Future Benefit Payments (Details) HTML 79K 177: R168 Employee Benefit Plans - 401(k) and Defined HTML 66K Contribution Pension Plans (Details) 156: R169 Income Taxes - Components of Provision for HTML 118K (Benefit from) Income Taxes (Details) 118: R170 Income Taxes - Effective Income Tax Rate (Details) HTML 89K 190: R171 Income Taxes - Narrative (Details) HTML 66K 71: R172 Income Taxes - Deferred Tax Assets and Liabilities HTML 90K (Details) 50: R173 Income Taxes - Rollforward of Unrecognized Tax HTML 78K Benefits (Details) 123: R174 Income Taxes - Interest Expense (Benefit), Net of HTML 64K Federal and State Income Tax Benefits (Details) 197: R175 Segment, Geographic and Revenue Information - HTML 194K Selected Financial Information by Business Segment (Details) 78: R176 Segment, Geographic and Revenue Information - HTML 76K Institutional Securities - Investment Banking Revenues (Details) 55: R177 Segment, Geographic and Revenue Information - HTML 75K Trading Revenues by Product Type (Details) 114: R178 Segment, Geographic and Revenue Information - HTML 62K Investment Management Investments Revenues - Net Unrealized Carried Interest (Details) 199: R179 Segment, Geographic and Revenue Information - HTML 62K Investment Management Asset Management Revenues - Reduction of Fees due to Fee Waivers (Details) 119: R180 Segment, Geographic and Revenue Information - HTML 74K Income from Continuing Operations before Income Tax Expense (Benefit) (Details) 193: R181 Segment, Geographic and Revenue Information - Net HTML 107K Discrete Tax Provisions (Benefits) by Segment (Details) 74: R182 Segment, Geographic and Revenue Information - Net HTML 74K Revenues by Region (Details) 51: R183 Segment, Geographic and Revenue Information - HTML 62K Revenue Recognized from Prior Services (Details) 122: R184 Segment, Geographic and Revenue Information - HTML 63K Receivables from Contracts with Customers (Details) 194: R185 Segment, Geographic and Revenue Information - HTML 70K Assets by Business Segment (Details) 75: R186 Segment, Geographic and Revenue Information - HTML 69K Assets by Region (Details) 54: R187 Parent Company - Condensed Income Statements and HTML 147K Comprehensive Income Statements (Details) 115: R188 Parent Company - Condensed Balance Sheets HTML 181K (Details) 202: R189 Parent Company - Condensed Cash Flow Statements HTML 143K (Details) 182: R190 Parent Company - Narrative (Details) HTML 63K 152: R191 Parent Company - Parent Company's Borrowings with HTML 73K Original Maturities Greater than One Year (Details) 40: R192 Parent Company - Guarantees (Details) HTML 67K 109: R193 Quarterly Results (Unaudited) - Summary (Details) HTML 181K 181: R194 Subsequent Event - Narrative (Details) HTML 69K 84: XML IDEA XML File -- Filing Summary XML 426K 198: XML XBRL Instance -- msq4201910k_htm XML 17.76M 162: EXCEL IDEA Workbook of Financial Reports XLSX 337K 12: EX-101.CAL XBRL Calculations -- ms-20191231_cal XML 640K 13: EX-101.DEF XBRL Definitions -- ms-20191231_def XML 2.57M 14: EX-101.LAB XBRL Labels -- ms-20191231_lab XML 5.00M 15: EX-101.PRE XBRL Presentations -- ms-20191231_pre XML 3.44M 11: EX-101.SCH XBRL Schema -- ms-20191231 XSD 580K 214: JSON XBRL Instance as JSON Data -- MetaLinks 1,001± 1.62M 25: ZIP XBRL Zipped Folder -- 0000895421-20-000265-xbrl Zip 1.83M
Document |
Securities registered pursuant to Section 12(b) of the Act: | ||
Title
of each class | Trading Symbol(s) | Name of exchange on which registered |
i Common Stock, $0.01 par value | i MS | i New
York Stock Exchange |
Depositary Shares, each representing 1/1,000th interest in a share of Floating Rate | i MS/PA | i New
York Stock Exchange |
i Non-Cumulative Preferred Stock, Series A, $0.01 par value | ||
Depositary Shares, each representing 1/1,000th interest in a share of Fixed-to-Floating Rate | i MS/PE | i New
York Stock Exchange |
i Non-Cumulative Preferred Stock, Series E, $0.01 par value | ||
Depositary Shares, each representing 1/1,000th interest in a share of Fixed-to-Floating Rate | i MS/PF | i New
York Stock Exchange |
i Non-Cumulative Preferred Stock, Series F, $0.01 par value | ||
Depositary Shares, each representing 1/1,000th interest in a share of Fixed-to-Floating Rate | i MS/PI | i New
York Stock Exchange |
i Non-Cumulative Preferred Stock, Series I, $0.01 par value | ||
Depositary Shares, each representing 1/1,000th interest in a share of Fixed-to-Floating Rate | i MS/PK | i New
York Stock Exchange |
i Non-Cumulative Preferred Stock, Series K, $0.01 par value | ||
Depositary Shares, each representing 1/1,000th interest in a share of 4.875% | i MS/PL | i New
York Stock Exchange |
i Non-Cumulative Preferred Stock, Series L, $0.01 par value | ||
i Global Medium-Term Notes, Series A, Fixed Rate Step-Up Senior
Notes Due 2026 | i MS/26C | i New York Stock
Exchange |
of Morgan Stanley Finance LLC (and Registrant’s guarantee with respect thereto) | ||
i Market Vectors ETNs due March 31, 2020 (two issuances) | i URR/DDR | i NYSE
Arca, Inc. |
i Market Vectors ETNs due April 30, 2020 (two issuances) | i CNY/INR | i NYSE
Arca, Inc. |
i Morgan Stanley Cushing® MLP High Income Index ETNs due March 21, 2031 | i MLPY | i NYSE
Arca, Inc. |
i Large accelerated filer | ý | Accelerated filer | ¨ | Non-accelerated filer | ¨ | Smaller reporting company | ¨ | Emerging growth company | ¨ |
Part | Item | Page | |
I | 1 | ||
1A | |||
6 | |||
II | 7 | ||
7A | |||
8 | |||
Part | Item | Page | |
9 | |||
9A | |||
9B | |||
I | 1B | ||
2 | |||
3 | |||
4 | |||
II | 5 | ||
III | 10 | ||
11 | |||
12 | |||
13 | |||
14 | |||
IV | 15 | ||
16 | |||
• | the effect of market conditions, particularly in the global equity, fixed income, currency, credit and commodities markets, including corporate and mortgage (commercial and residential) lending and commercial real estate and energy markets; |
• | the level of individual investor participation in the global markets as well as the level of client assets; |
• | the
flow of investment capital into or from assets under management or supervision; |
• | the level and volatility of equity, fixed income and commodity prices, interest rates, inflation and currency values and other market indices; |
• | the availability and cost of both credit and capital as well as the credit ratings assigned to our unsecured short-term and long-term debt; |
• | technological
changes instituted by us, our competitors or counterparties and technological risks, business continuity and related operational risks, including breaches or other disruptions of our or a third party’s (or third parties thereof) operations or systems; |
• | risk associated with cybersecurity threats, including data protection and cybersecurity risk management; |
• | our ability to manage effectively our capital and liquidity, including non-objections to our capital plans by our banking regulators; |
• | the
impact of current, pending and future legislation or changes thereto, regulation (including capital, leverage, funding, liquidity and recovery and resolution requirements) and our ability to address such requirements; |
• | uncertainty concerning fiscal or monetary policies established by central banks and financial regulators, government shutdowns, debt ceilings or funding; |
• | changes to global trade policies, tariffs, interest rates, reforms of LIBOR and other interest rate benchmarks; |
• | legal
and regulatory actions, including litigation and enforcement, in the U.S. and worldwide; |
• | changes in tax laws and regulations globally; |
• | the effectiveness of our risk management processes; |
• | our ability to effectively respond to an economic downturn, or other market disruptions; |
• | the
effect of social, economic and political conditions and geopolitical events, including the U.K.’s withdrawal from the E.U. ("Brexit"), and sovereign risk; |
• | the actions and initiatives of current and potential competitors as well as governments, central banks, regulators and self-regulatory organizations; |
• | our ability to provide innovative products and services and execute our strategic initiatives, and costs related thereto, including with respect to the operational or technological integration related to
such innovative and strategic initiatives; |
• | the performance and results of our acquisitions, divestitures, joint ventures, strategic alliances, or other strategic arrangements and related integrations; |
• | investor, consumer and business sentiment and confidence in the financial markets; |
• | our
reputation and the general perception of the financial services industry; |
• | climate-related incidents, pandemics and acts of war or terrorism; and |
• | other risks and uncertainties detailed under “Business—Competition”, “Business—Supervision and Regulation”, “Risk Factors” and elsewhere throughout this report. |
• | Amended and Restated Certificate of Incorporation; |
• | Amended and Restated Bylaws; |
• | Charters
for our Audit Committee, Compensation, Management Development and Succession Committee, Nominating and Governance Committee, Operations and Technology Committee, and Risk Committee; |
• | Corporate Governance Policies; |
• | Policy Regarding Corporate Political Activities; |
• | Policy Regarding Shareholder
Rights Plan; |
• | Equity Ownership Commitment; |
• | Code of Ethics and Business Conduct; |
• | Code of Conduct; |
• | Integrity
Hotline Information; |
• | Environmental and Social Policies; and |
• | Sustainability Report. |
1 | December 2019 Form 10-K |
December 2019 Form 10-K | 2 |
3 | December 2019 Form 10-K |
December
2019 Form 10-K | 4 |
5 | December 2019 Form 10-K |
December
2019 Form 10-K | 6 |
7 | December 2019 Form 10-K |
December 2019 Form 10-K | 8 |
9 | December 2019 Form 10-K |
December 2019 Form 10-K | 10 |
11 | December 2019 Form 10-K |
December 2019 Form 10-K | 12 |
13 | December 2019 Form 10-K |
December 2019 Form 10-K | 14 |
15 | December 2019 Form 10-K |
December 2019 Form 10-K | 16 |
17 | December 2019 Form 10-K |
December 2019 Form 10-K | 18 |
• | Adversely impact the pricing, liquidity,
value of, return on and trading for a broad array of financial products, including any IBOR-linked securities, loans and derivatives that are included in our financial assets and liabilities; |
19 | December 2019 Form 10-K |
• | Require extensive changes to documentation that governs or references IBOR or IBOR-based products, including, for example, pursuant to time-consuming renegotiations of existing documentation to modify the terms of outstanding securities and related hedging transactions; |
• | Result
in a population of products with documentation that governs or references IBOR or IBOR-based products but that cannot be amended due to an inability to obtain sufficient consent from counterparties or product owners; |
• | Result in inquiries or other actions from regulators in respect of our (or the market’s) preparation and readiness for the replacement of an IBOR with one or more alternative reference rates; |
• | Result in disputes, litigation or other actions with clients, counterparties and investors, in various scenarios,
such as regarding the interpretation and enforceability of provisions in IBOR-based products such as fallback language or other related provisions, including in the case of fallbacks to the alternative reference rates, any economic, legal, operational or other impact resulting from the fundamental differences between the IBORs and the various alternative reference rates; |
• | Require the transition and/or development of appropriate systems and analytics to effectively transition our risk management processes from IBORs to those based on one or more alternative reference rates in a timely manner, including by quantifying value and risk for various alternative reference rates, which may prove challenging given the limited history of the proposed alternative
reference rates; and |
• | Cause us to incur additional costs in relation to any of the above factors. |
December 2019 Form 10-K | 20 |
21 | December 2019 Form 10-K |
December
2019 Form 10-K | 22 |
$ in millions | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||
Revenues | |||||||||||||||
Total
non-interest revenues1 | $ | 36,725 | $ | 36,301 | $ | 34,645 | $ | 30,933 | $ | 32,062 | |||||
Interest
income | 17,098 | 13,892 | 8,997 | 7,016 | 5,835 | ||||||||||
Interest expense | 12,404 | 10,086 | 5,697 | 3,318 | 2,742 | ||||||||||
Net
interest | 4,694 | 3,806 | 3,300 | 3,698 | 3,093 | ||||||||||
Net revenues | 41,419 | 40,107 | 37,945 | 34,631 | 35,155 | ||||||||||
Non-interest
expenses | |||||||||||||||
Compensation and benefits | 18,837 | 17,632 | 17,166 | 15,878 | 16,016 | ||||||||||
Non-compensation
expenses1 | 11,281 | 11,238 | 10,376 | 9,905 | 10,644 | ||||||||||
Total non-interest expenses | 30,118 | 28,870 | 27,542 | 25,783 | 26,660 | ||||||||||
Income
from continuing operations before income taxes | 11,301 | 11,237 | 10,403 | 8,848 | 8,495 | ||||||||||
Provision for (benefit from) income taxes | 2,064 | 2,350 | 4,168 | 2,726 | 2,200 | ||||||||||
Income
from continuing operations | 9,237 | 8,887 | 6,235 | 6,122 | 6,295 | ||||||||||
Income (loss) from discontinued operations, net of income taxes | — | (4 | ) | (19 | ) | 1 | (16 | ) | |||||||
Net
income | $ | 9,237 | $ | 8,883 | $ | 6,216 | $ | 6,123 | $ | 6,279 | |||||
Net
income applicable to noncontrolling interests | 195 | 135 | 105 | 144 | 152 | ||||||||||
Net income applicable to Morgan Stanley | $ | 9,042 | $ | 8,748 | $ | 6,111 | $ | 5,979 | $ | 6,127 | |||||
Preferred
stock dividends and other | 530 | 526 | 523 | 471 | 456 | ||||||||||
Earnings applicable to Morgan Stanley common shareholders | $ | 8,512 | $ | 8,222 | $ | 5,588 | $ | 5,508 | $ | 5,671 | |||||
Amounts
applicable to Morgan Stanley | |||||||||||||||
Income from continuing operations | $ | 9,042 | $ | 8,752 | $ | 6,130 | $ | 5,978 | $ | 6,143 | |||||
Income
(loss) from discontinued operations | — | (4 | ) | (19 | ) | 1 | (16 | ) | |||||||
Net income applicable to Morgan Stanley | $ | 9,042 | $ | 8,748 | $ | 6,111 | $ | 5,979 | $ | 6,127 | |||||
Effective
income tax rate from continuing operations | 18.3 | % | 20.9 | % | 40.1 | % | 30.8 | % | 25.9 | % |
2019 | 2018 | 2017 | 2016 | 2015 | ||||||
ROE2 | 11.7 | % | 11.8 | % | 8.0 | % | 8.0 | % | 8.5 | % |
ROTCE2,
3 | 13.4 | % | 13.5 | % | 9.2 | % | 9.3 | % | 9.9 | % |
2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||
Per
common share | |||||||||||||||
Earnings (basic)4 | $ | 5.26 | $ | 4.81 | $ | 3.14 | $ | 2.98 | $ | 2.97 | |||||
Earnings
(diluted)4 | 5.19 | 4.73 | 3.07 | 2.92 | 2.90 | ||||||||||
Book value5 | 45.82 | 42.20 | 38.52 | 36.99 | 35.24 | ||||||||||
Tangible
book value3, 5 | 40.01 | 36.99 | 33.46 | 31.98 | 30.26 | ||||||||||
Dividends declared | 1.30 | 1.10 | 0.90 | 0.70 | 0.55 | ||||||||||
Common
shares outstanding | |||||||||||||||
in millions | |||||||||||||||
At December 31 | 1,594 | 1,700 | 1,788 | 1,852 | 1,920 | ||||||||||
Annual
average: | |||||||||||||||
Basic | 1,617 | 1,708 | 1,780 | 1,849 | 1,909 | ||||||||||
Diluted | 1,640 | 1,738 | 1,821 | 1,887 | 1,953 |
$ in millions | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||
GLR6 | $ | 217,457 | $ | 249,735 | $ | 192,660 | $ | 202,297 | $ | 203,264 | |||||
Loans7 | 130,637 | 115,579 | 104,126 | 94,248 | 85,759 | ||||||||||
Total
assets | 895,429 | 853,531 | 851,733 | 814,949 | 787,465 | ||||||||||
Deposits | 190,356 | 187,820 | 159,436 | 155,863 | 156,034 | ||||||||||
Borrowings | 192,627 | 189,662 | 192,582 | 165,716 | 155,941 | ||||||||||
Morgan
Stanley shareholders’ equity | 81,549 | 80,246 | 77,391 | 76,050 | 75,182 | ||||||||||
Common shareholders’ equity | 73,029 | 71,726 | 68,871 | 68,530 | 67,662 | ||||||||||
Tangible
common shareholders’ equity3 | 63,780 | 62,879 | 59,829 | 59,234 | 58,098 |
1. | Effective
January 1, 2018, the Firm adopted new accounting guidance related to Revenue from Contracts with Customers, which, among other things, requires a gross presentation of certain costs that were previously netted against net revenues. Prior period results have not been restated pursuant to this guidance. |
2. | ROE and ROTCE represent earnings applicable to Morgan Stanley common shareholders as a percentage of average common equity and average tangible common equity, respectively. |
3. | Represents
a non-GAAP measure. See “Executive Summary—Selected Non-GAAP Financial Information.” |
4. | For further information on basic and diluted earnings (loss) per common share, see Note 16 to the financial statements. |
5. | Book value per common share and tangible book value per common share equal common shareholders’ equity and tangible common shareholders’ equity, respectively, divided by common shares outstanding. |
6. | For
a discussion of the GLR, see “Liquidity and Capital Resources—Liquidity Risk Management Framework—Global Liquidity Reserve” herein. |
7. | Amounts include loans held for investment (net of allowance) and loans held for sale but exclude loans at fair value, which are included in Trading assets in the balance sheets (see Note 8 to the financial statements). |
23 | December 2019 Form 10-K |
December 2019 Form 10-K | 24 |
Management's Discussion and Analysis |
$
in millions, except per share data | 2019 | 2018 | 2017 | ||||||
Net income applicable to Morgan Stanley | |||||||||
U.S. GAAP | $ | 9,042 | $ | 8,748 | $ | 6,111 | |||
Adjusted—Non-GAAP3 | 8,694 | 8,545 | 7,079 | ||||||
Earnings
per diluted common share | |||||||||
U.S. GAAP2 | $ | 5.19 | $ | 4.73 | $ | 3.07 | |||
Adjusted—Non-GAAP3 | 4.98 | 4.61 | 3.60 |
1. | Effective
January 1, 2018, the Firm adopted new accounting guidance related to Revenue from Contracts with Customers, which among other things, requires a gross presentation of certain costs that were previously netted against net revenues. 2017 results have not been restated pursuant to this guidance. |
2. | For further information on basic and diluted EPS, see Note 16 to the financial statements. |
3. | Represents
a non-GAAP measure, see “Selected Non-GAAP Financial Information” herein. Adjusted amounts exclude net discrete tax provisions (benefits) that are intermittent and include those that are recurring. Provisions (benefits) related to conversion of employee share-based awards are expected to occur every year and, as such, are considered recurring discrete tax items. For further information on the net discrete tax provisions (benefits), see “Supplemental Financial Information—Income Tax Matters” herein. |
• | We
reported net revenues of $41,419 million in 2019 compared with $40,107 million in 2018. For 2019, net income applicable to Morgan Stanley was $9,042 million, or $5.19 per diluted common share, compared with $8,748 million, or $4.73 per diluted common share, in 2018. |
• | Results for 2019
and 2018 include intermittent net discrete tax benefits of $348 million and $203 million or $0.21 and $0.12 per diluted common share, respectively, primarily associated with remeasurement of reserves and related interest as a result of new information pertaining to the resolution of multi-jurisdiction tax examinations. |
• | Excluding the intermittent net discrete tax items, net income applicable to Morgan Stanley was $8,694 million,
or $4.98 per diluted common share in 2019, compared with $8,545 million, or $4.61 per diluted common share, in 2018 (see “Selected Non-GAAP Financial Information” herein). |
25 | December 2019 Form 10-K |
Management's Discussion and Analysis |
1. | The
percentages on the bars in the chart represent the contribution of compensation and benefits expenses and non-compensation expenses to the total. |
2. | Effective January 1, 2018, the Firm adopted new accounting guidance related to Revenue from Contracts with Customers, which among other things, requires a gross presentation of certain costs that were previously netted against net revenues. 2017 results have not been restated pursuant to this guidance. |
• | Compensation and benefits expenses of $18,837 million in 2019 increased 7% from $17,632 million in 2018. The 2019 results reflect increases in the fair value of investments to which certain deferred compensation plans are referenced, carried interest, salaries, and severance-related costs. These increases were partially offset by decreases in discretionary incentive compensation and the roll-off of certain acquisition-related employee retention loans. |
• | Non-compensation
expenses of $11,281 million in 2019 were relatively unchanged from $11,238 million in 2018, with increased investment in technology offset by lower professional services expenses. |
1. | The percentages on the bars in the charts represent the contribution of each business segment to the total of the applicable financial category and may not total to 100% due to intersegment eliminations. See Note 21 to the financial statements for details of intersegment eliminations. |
2. | Effective
January 1, 2018, the Firm adopted new accounting guidance related to Revenue from Contracts with Customers, which among other things, requires a gross presentation of certain costs that were previously netted against net revenues. This new guidance had the effect of increasing revenues reported in the Institutional Securities and Investment Management business segments. 2017 results have not been restated pursuant to this guidance. |
December 2019 Form 10-K |
26 |
Management's Discussion and Analysis |
• | Institutional
Securities net revenues of $20,386 million in 2019 were relatively unchanged from 2018, reflecting a mixed market backdrop, with lower revenues from Equity sales and trading and Investment banking offset by higher Fixed income and Other sales and trading revenues. |
• | Wealth Management net revenues of $17,737 million in 2019 increased 3% from 2018, primarily reflecting higher Transactional
revenues due to gains related to investments associated with certain deferred compensation plans. |
• | Investment Management net revenues of $3,763 million in 2019 increased 37% from 2018, primarily reflecting higher Investments revenues, principally driven by an underlying investment's initial public offering within an Asia private equity fund. |
1. | The percentages on the bars in the charts represent the contribution of each region to the total. |
2. | For a discussion of how the geographic breakdown for net revenues is determined, see Note 21 to the financial statements. |
2019 | 2018 | 2017 | ||||
Consolidated financial measures | ||||||
ROE | 11.7 | % | 11.8 | % | 8.0 | % |
Adjusted
ROE1, 2 | 11.2 | % | 11.5 | % | 9.4 | % |
ROTCE1 | 13.4 | % | 13.5 | % | 9.2 | % |
Adjusted
ROTCE1, 2 | 12.9 | % | 13.2 | % | 10.8 | % |
Expense efficiency ratio3 | 72.7 | % | 72.0 | % | 72.6 | % |
Pre-tax
margin4 | 27.3 | % | 28.0 | % | 27.4 | % |
Worldwide employees | 60,431 | 60,348 | 57,633 | |||
Pre-tax
margin by segment4 | ||||||
Institutional Securities | 27 | % | 30 | % | 30 | % |
Wealth Management | 27 | % | 26 | % | 26 | % |
Investment
Management | 26 | % | 17 | % | 18 | % |
Capital ratios5 | ||||
Common Equity Tier 1 capital | 16.4 | % | 16.9 | % |
Tier 1 capital | 18.6 | % | 19.2 | % |
Total
capital | 21.0 | % | 21.8 | % |
Tier 1 leverage | 8.3 | % | 8.4 | % |
SLR | 6.4 | % | 6.5 | % |
1. | Represents
a non-GAAP measure. See “Selected Non-GAAP Financial Information” herein. |
2. | Adjusted amounts exclude net discrete tax provisions (benefits) that are intermittent and include those that are recurring. Provisions (benefits) related to conversion of employee share-based awards are expected to occur every year and, as such, are considered recurring discrete tax items. For further information on the net discrete tax provisions (benefits), see “Supplemental Financial Information—Income Tax Matters” herein. |
3. | The
expense efficiency ratio represents total non-interest expenses as a percentage of net revenues. |
4. | Pre-tax margin represents income from continuing operations before income taxes as a percentage of net revenues. |
5. | At December 31, 2019 and 2018, our risk-based capital ratios are based on the Standardized Approach rules. For
a discussion of our capital ratios, see "Liquidity and Capital Resources—Regulatory Requirements" herein. |
27 | December 2019 Form 10-K |
Management's Discussion and Analysis |
$
in millions, except per share data | 2019 | 2018 | 2017 | ||||||
Net income applicable to Morgan Stanley | $ | 9,042 | $ | 8,748 | $ | 6,111 | |||
Impact
of adjustments | (348 | ) | (203 | ) | 968 | ||||
Adjusted net income applicable to Morgan Stanley—non-GAAP1 | $ | 8,694 | $ | 8,545 | $ | 7,079 | |||
Earnings
per diluted common share | $ | 5.19 | $ | 4.73 | $ | 3.07 | |||
Impact of adjustments | (0.21 | ) | (0.12 | ) | 0.53 | ||||
Adjusted
earnings per diluted common share —non-GAAP1 | $ | 4.98 | $ | 4.61 | $ | 3.60 | |||
Effective income tax rate | 18.3 | % | 20.9 | % | 40.1 | % | |||
Impact
of adjustments | 3.0 | % | 1.8 | % | (9.3 | )% | |||
Adjusted effective income tax rate—non-GAAP1 | 21.3 | % | 22.7 | % | 30.8 | % |
Average
Monthly Balance | |||||||||
$ in millions | 2019 | 2018 | 2017 | ||||||
Tangible equity | |||||||||
Morgan Stanley shareholders’ equity | $ | 81,240 | $ | 78,497 | $ | 78,230 | |||
Less:
Goodwill and net intangible assets | (9,140 | ) | (8,985 | ) | (9,158 | ) | |||
Tangible Morgan Stanley shareholders’ equity | $ | 72,100 | $ | 69,512 | $ | 69,072 | |||
Common
shareholders' equity | $ | 72,720 | $ | 69,977 | $ | 69,787 | |||
Less: Goodwill and net intangible assets | (9,140 | ) | (8,985 | ) | (9,158 | ) | |||
Tangible
common shareholders' equity | $ | 63,580 | $ | 60,992 | $ | 60,629 |
$
in billions | 2019 | 2018 | 2017 | ||||||
Average common equity | |||||||||
Unadjusted—GAAP | $ | 72.7 | $ | 70.0 | $ | 69.8 | |||
Adjusted1—Non-GAAP | 72.6 | 69.9 | 69.9 | ||||||
ROE2 | |||||||||
Unadjusted—GAAP | 11.7 | % | 11.8 | % | 8.0 | % | |||
Adjusted1,
3—Non-GAAP | 11.2 | % | 11.5 | % | 9.4 | % | |||
Average tangible common equity—Non-GAAP | |||||||||
Unadjusted | $ | 63.6 | $ | 61.0 | $ | 60.6 | |||
Adjusted1 | 63.5 | 60.9 | 60.7 | ||||||
ROTCE2—Non-GAAP | |||||||||
Unadjusted | 13.4 | % | 13.5 | % | 9.2 | % | |||
Adjusted1,
3 | 12.9 | % | 13.2 | % | 10.8 | % |
$
in billions | 2019 | 2018 | 2017 | ||||||
Average common equity4, 5 | |||||||||
Institutional Securities | $ | 40.4 | $ | 40.8 | $ | 40.2 | |||
Wealth
Management | 18.2 | 16.8 | 17.2 | ||||||
Investment Management | 2.5 | 2.6 | 2.4 | ||||||
Average
tangible common equity4, 5 | |||||||||
Institutional Securities | $ | 39.9 | $ | 40.1 | $ | 39.6 | |||
Wealth
Management | 10.2 | 9.2 | 9.3 | ||||||
Investment Management | 1.5 | 1.7 | 1.6 | ||||||
ROE6 | |||||||||
Institutional
Securities | 10.4 | % | 11.0 | % | 7.8 | % | |||
Wealth Management | 19.8 | % | 20.0 | % | 12.9 | % | |||
Investment
Management | 28.9 | % | 14.2 | % | 10.1 | % | |||
ROTCE6 | |||||||||
Institutional Securities | 10.5 | % | 11.2 | % | 7.9 | % | |||
Wealth
Management | 35.6 | % | 36.6 | % | 23.8 | % | |||
Investment Management | 46.6 | % | 22.2 | % | 14.8 | % |
1. | Adjusted
amounts exclude net discrete tax provisions (benefits) that are intermittent and include those that are recurring. Provisions (benefits) related to conversion of employee share-based awards are expected to occur every year and, as such, are considered recurring discrete tax items. For further information on the net discrete tax provisions (benefits), see “Supplemental Financial Information—Income Tax Matters” herein. |
2. | ROE and ROTCE represent earnings applicable to Morgan Stanley common shareholders as a percentage of average common equity and average tangible common equity, respectively. When excluding
intermittent net discrete tax provisions (benefits), both the numerator and average denominator are adjusted. |
3. | The calculations used in determining our “ROE and ROTCE Targets” referred to in the following section are the Adjusted ROE and Adjusted ROTCE amounts shown in this table. |
4. | Average common equity and average tangible common equity for each business segment is determined using our Required Capital framework (see "Liquidity and Capital Resources—Regulatory Requirements—Attribution
of Average Common Equity According to the Required Capital Framework” herein). |
5. | The sums of the segments' Average common equity and Average tangible common equity do not equal the Consolidated measures due to Parent equity. |
6. | The calculation of ROE and ROTCE by segment uses net income applicable to Morgan Stanley by segment less preferred dividends allocated to each segment as a percentage of average common equity and average tangible common equity, respectively, allocated to each segment. |
December
2019 Form 10-K | 28 |
Management's Discussion and Analysis |
• | taking positions in anticipation of, and in response to, customer demand to buy or sell and—depending on the liquidity of the relevant market and the size of the position—to hold those positions for a period of time; |
• | building, maintaining and rebalancing inventory through trades with other market participants; |
• | managing
and assuming basis risk (risk associated with imperfect hedging) between customized customer risks and the standardized products available in the market to hedge those risks; |
• | trading in the market to remain current on pricing and trends; and |
• | engaging in other activities to provide efficiency and liquidity for markets. |
29 | December 2019 Form 10-K |
Management's Discussion and Analysis |
December
2019 Form 10-K | 30 |
Management's Discussion and Analysis |
• | Global macro products. We make markets for our clients in interest rate, foreign exchange and emerging market products, including exchange-traded and OTC securities and derivative instruments. The results of this market-making activity are primarily driven by gains and losses from buying and selling positions to stand ready for and satisfy client
demand and are recorded in Trading revenues. |
• | Credit products. We make markets in credit-sensitive products, such as corporate bonds and mortgage securities and other securitized products, and related derivative instruments. The values of positions in this business are sensitive to changes in credit spreads and interest rates, which result in gains and losses reflected in Trading revenues. We undertake lending activities, which include commercial mortgage lending, asset-backed lending and financing extended to customers. Due to the amount and type of the interest-bearing securities and loans making up this business, a significant portion of the results is also reflected in Net interest revenues. |
• | Commodities
products and Other. We make markets in various commodity products related primarily to electricity, natural gas, oil and metals. Other activities primarily include results from the centralized management of our fixed income derivative counterparty exposures and managing derivative counterparty risk on behalf of clients. These activities are primarily recorded in Trading revenues. |
31 | December 2019 Form 10-K |
Management's Discussion and Analysis |
%
Change | |||||||||||||
$ in millions | 2019 | 2018 | 2017 | 2019 | 2018 | ||||||||
Revenues | |||||||||||||
Investment
banking | $ | 5,734 | $ | 6,088 | $ | 5,537 | (6 | )% | 10 | % | |||
Trading | 10,318 | 11,191 | 10,295 | (8 | )% | 9 | % | ||||||
Investments | 325 | 182 | 368 | 79 | % | (51 | )% | ||||||
Commissions
and fees | 2,484 | 2,671 | 2,433 | (7 | )% | 10 | % | ||||||
Asset management | 413 | 421 | 359 | (2 | )% | 17 | % | ||||||
Other | 632 | 535 | 630 | 18 | % | (15 | )% | ||||||
Total
non-interest revenues | 19,906 | 21,088 | 19,622 | (6 | )% | 7 | % | ||||||
Interest income | 12,193 | 9,271 | 5,377 | 32 | % | 72 | % | ||||||
Interest
expense | 11,713 | 9,777 | 6,186 | 20 | % | 58 | % | ||||||
Net interest | 480 | (506 | ) | (809 | ) | 195 | % | 37 | % | ||||
Net
revenues | 20,386 | 20,582 | 18,813 | (1 | )% | 9 | % | ||||||
Compensation and benefits | 7,433 | 6,958 | 6,625 | 7 | % | 5 | % | ||||||
Non-compensation expenses | 7,463 | 7,364 | 6,544 | 1 | % | 13 | % | ||||||
Total
non-interest expenses | 14,896 | 14,322 | 13,169 | 4 | % | 9 | % | ||||||
Income from continuing operations before income
taxes | 5,490 | 6,260 | 5,644 | (12 | )% | 11 | % | ||||||
Provision for income taxes | 769 | 1,230 | 1,993 | (37 | )% | (38 | )% | ||||||
Income
from continuing operations | 4,721 | 5,030 | 3,651 | (6 | )% | 38 | % | ||||||
Income (loss) from discontinued operations, net
of income taxes | — | (6 | ) | (19 | ) | 100 | % | 68 | % | ||||
Net income | 4,721 | 5,024 | 3,632 | (6 | )% | 38 | % | ||||||
Net
income applicable to noncontrolling interests | 122 | 118 | 96 | 3 | % | 23 | % | ||||||
Net income applicable to Morgan Stanley | $ | 4,599 | $ | 4,906 | $ | 3,536 | (6 | )% | 39 | % |
% Change | |||||||||||||
$ in millions | 2019 | 2018 | 2017 | 2019 | 2018 | ||||||||
Advisory | $ | 2,116 | $ | 2,436 | $ | 2,077 | (13 | )% | 17 | % | |||
Underwriting: | |||||||||||||
Equity | 1,708 | 1,726 | 1,484 | (1 | )% | 16 | % | ||||||
Fixed
Income | 1,910 | 1,926 | 1,976 | (1 | )% | (3 | )% | ||||||
Total Underwriting | 3,618 | 3,652 | 3,460 | (1 | )% | 6 | % | ||||||
Total
Investment banking | $ | 5,734 | $ | 6,088 | $ | 5,537 | (6 | )% | 10 | % |
$ in billions | 2019 | 2018 | 2017 | ||||||
Completed mergers and acquisitions1 | $ | 818 | $ | 1,114 | $ | 753 | |||
Equity
and equity-related offerings2, 3 | 61 | 64 | 65 | ||||||
Fixed income offerings2, 4 | 270 | 241 | 307 |
1. | Includes transactions of $100 million or more. Based on full credit to each of the advisors in a transaction. |
2. | Based
on full credit for single book managers and equal credit for joint book managers. |
3. | Includes Rule 144A issuances and registered public offerings of common stock, convertible securities and rights offerings. |
4. | Includes Rule 144A and publicly registered issuances, non-convertible preferred stock, mortgage-backed and asset-backed securities, and taxable municipal debt. Excludes leveraged loans and self-led issuances. |
• | Advisory revenues decreased primarily as a result of lower volumes of completed M&A activity. |
• | Equity underwriting revenues were relatively unchanged as lower revenues in initial public offerings were offset
by higher revenues in secondary block share trades. |
• | Fixed income underwriting revenues were essentially unchanged as lower non-investment grade loan issuance fees were offset by higher fees from bond and investment grade loan issuances. |
December 2019 Form 10-K |
32 |
Management's Discussion and Analysis |
% Change | |||||||||||||
$ in millions | 2019 | 2018 | 2017 | 2019 | 2018 | ||||||||
Trading | $ | 10,318 | $ | 11,191 | $ | 10,295 | (8 | )% | 9 | % | |||
Commissions
and fees | 2,484 | 2,671 | 2,433 | (7 | )% | 10 | % | ||||||
Asset management | 413 | 421 | 359 | (2 | )% | 17 | % | ||||||
Net
interest | 480 | (506 | ) | (809 | ) | 195 | % | 37 | % | ||||
Total | $ | 13,695 | $ | 13,777 | $ | 12,278 | (1 | )% | 12 | % |
% Change | |||||||||||||
$ in millions | 2019 | 2018 | 2017 | 2019 | 2018 | ||||||||
Equity | $ | 8,056 | $ | 8,976 | $ | 7,982 | (10 | )% | 12 | % | |||
Fixed
income | 5,546 | 5,005 | 4,928 | 11 | % | 2 | % | ||||||
Other | 93 | (204 | ) | (632 | ) | 146 | % | 68 | % | ||||
Total | $ | 13,695 | $ | 13,777 | $ | 12,278 | (1 | )% | 12 | % |
2019 | ||||||||||||
$ in millions | Trading | Fees1 | Net Interest2 | Total | ||||||||
Financing | $ | 4,225 | $ | 372 | $ | (514 | ) | $ | 4,083 | |||
Execution
services | 1,986 | 2,202 | (215 | ) | 3,973 | |||||||
Total Equity | $ | 6,211 | $ | 2,574 | $ | (729 | ) | $ | 8,056 | |||
Total
Fixed income | $ | 5,171 | $ | 324 | $ | 51 | $ | 5,546 |
2018 | ||||||||||||
$ in millions | Trading | Fees1 | Net Interest2 | Total | ||||||||
Financing | $ | 4,841 | $ | 394 | $ | (661 | ) | $ | 4,574 | |||
Execution
services | 2,362 | 2,376 | (336 | ) | 4,402 | |||||||
Total Equity | $ | 7,203 | $ | 2,770 | $ | (997 | ) | $ | 8,976 | |||
Total
Fixed income | $ | 4,793 | $ | 322 | $ | (110 | ) | $ | 5,005 |
2017 | ||||||||||||
$ in millions | Trading | Fees1 | Net Interest2 | Total | ||||||||
Financing | $ | 4,140 | $ | 363 | $ | (762 | ) | $ | 3,741 | |||
Execution
services | 2,294 | 2,191 | (244 | ) | 4,241 | |||||||
Total Equity | $ | 6,434 | $ | 2,554 | $ | (1,006 | ) | $ | 7,982 | |||
Total
Fixed income | $ | 4,453 | $ | 238 | $ | 237 | $ | 4,928 |
1. | Includes
Commissions and fees and Asset management revenues. |
2. | Includes funding costs, which are allocated to the businesses based on funding usage. |
• | Financing
decreased from 2018, primarily due to lower realized spreads and commissions, reflected in lower Trading revenues. |
• | Execution services decreased from 2018, reflecting lower Trading revenues as a result of less favorable inventory management in derivatives products due to lower levels of volatility. In addition, Commissions and fees decreased driven by changes in market volumes and commission mix in cash equities products. |
• | Global macro products Trading revenues decreased primarily due to inventory management losses in certain foreign exchange and rates products as a result of movements in foreign exchange volatility and a decline in interest rates. |
• | Credit products Trading revenues increased, primarily due to improved inventory management in corporate credit and securitized products and higher client activity in securitized
products. |
• | Commodities products and Other Trading revenues increased as gains from counterparty risk management were offset by lower client activity in commodities. |
• | Other sales and trading revenues of $93
million in 2019 increased from 2018, reflecting an increase in the fair value of investments to which certain deferred compensation plans are referenced and changes in funding mix, partially offset by higher losses on hedges associated with corporate loans. |
33 | December 2019 Form 10-K |
Management's Discussion and Analysis |
• | In
2019, net investment gains of $325 million were higher compared with 2018, primarily as a result of realized gains associated with an investment's initial public offering in 2019. |
• | Other revenues of $632 million in 2019 increased from 2018, primarily as a result of mark-to-market gains in 2019 compared with losses in 2018 on loans held for sale. This increase was partially offset by a higher provision for loan losses, which in 2018 included the recovery of a previously charged off loan, and lower results
in our Japanese joint venture Mitsubishi UFJ Morgan Stanley Securities Co., Ltd. (“MUMSS”). |
• | Compensation and benefits expenses increased in 2019, primarily due to an increase
in the fair value of investments to which certain deferred compensation plans are referenced, higher salaries and severance-related costs, partially offset by decreases in discretionary incentive compensation. |
• | Non-compensation expenses increased in 2019, reflecting higher investments in technology, partially offset by lower professional services expenses. |
December 2019 Form 10-K | 34 |
Management's Discussion and Analysis |
% Change | |||||||||||||
$ in millions | 2019 | 2018 | 2017 | 2019 | 2018 | ||||||||
Revenues | |||||||||||||
Investment
banking | $ | 509 | $ | 475 | $ | 533 | 7 | % | (11 | )% | |||
Trading | 734 | 279 | 848 | 163 | % | (67 | )% | ||||||
Investments | 2 | 1 | 3 | 100 | % | (67 | )% | ||||||
Commissions
and fees | 1,726 | 1,804 | 1,737 | (4 | )% | 4 | % | ||||||
Asset management | 10,199 | 10,158 | 9,342 | — | % | 9 | % | ||||||
Other | 345 | 248 | 268 | 39 | % | (7 | )% | ||||||
Total
non-interest revenues | 13,515 | 12,965 | 12,731 | 4 | % | 2 | % | ||||||
Interest income | 5,467 | 5,498 | 4,591 | (1 | )% | 20 | % | ||||||
Interest
expense | 1,245 | 1,221 | 486 | 2 | % | 151 | % | ||||||
Net interest | 4,222 | 4,277 | 4,105 | (1 | )% | 4 | % | ||||||
Net
revenues | 17,737 | 17,242 | 16,836 | 3 | % | 2 | % | ||||||
Compensation and benefits | 9,774 | 9,507 | 9,360 | 3 | % | 2 | % | ||||||
Non-compensation
expenses | 3,131 | 3,214 | 3,177 | (3 | )% | 1 | % | ||||||
Total non-interest expenses | 12,905 | 12,721 | 12,537 | 1 | % | 1 | % | ||||||
Income
from continuing operations before income taxes | 4,832 | 4,521 | 4,299 | 7 | % | 5 | % | ||||||
Provision for income taxes | 1,104 | 1,049 | 1,974 | 5 | % | (47 | )% | ||||||
Net
income applicable to Morgan Stanley | $ | 3,728 | $ | 3,472 | $ | 2,325 | 7 | % | 49 | % |
$ in billions, except employee data | ||||||
Client assets | $ | 2,700 | $ | 2,303 | ||
Fee-based
client assets1 | $ | 1,267 | $ | 1,046 | ||
Fee-based client assets as a percentage of total client assets | 47 | % | 45 | % | ||
Client
liabilities2 | $ | 90 | $ | 83 | ||
Investment securities portfolio | $ | 67.2 | $ | 68.6 | ||
Loans
and lending commitments | $ | 93.2 | $ | 82.9 | ||
Wealth Management representatives | 15,468 | 15,694 |
2019 | 2018 | 2017 | |||||||
Per
representative: | |||||||||
Revenues ($ in thousands)3 | $ | 1,136 | $ | 1,100 | $ | 1,068 | |||
Client
assets ($ in millions)4 | $ | 175 | $ | 147 | $ | 151 | |||
Fee-based asset flows ($ in billions)5 | $ | 64.9 | $ | 65.9 | $ | 75.4 |
1. | Fee-based
client assets represent the amount of assets in client accounts where the fee for services is calculated based on those assets. |
2. | Client liabilities include securities-based and tailored lending, residential real estate loans and margin lending. |
3. | Revenues per representative equal Wealth Management’s net revenues divided by the average number of representatives. |
4. | Client
assets per representative equal total period-end client assets divided by period-end number of representatives. |
5. | For a description of the Inflows and Outflows included in Fee-based asset flows, see Fee-based client assets herein. Excludes institutional cash management-related activity. |
% Change | |||||||||||||
$ in millions | 2019 | 2018 | 2017 | 2019 | 2018 | ||||||||
Investment
banking | $ | 509 | $ | 475 | $ | 533 | 7 | % | (11 | )% | |||
Trading | 734 | 279 | 848 | 163 | % | (67 | )% | ||||||
Commissions
and fees | 1,726 | 1,804 | 1,737 | (4 | )% | 4 | % | ||||||
Total | $ | 2,969 | $ | 2,558 | $ | 3,118 | 16 | % | (18 | )% | |||
Transactional
revenues as a % of Net revenues | 17 | % | 15 | % | 19 | % |
• | Investment banking revenues increased in 2019, primarily due to higher revenues from closed-end fund issuances. |
• | Trading revenues increased
in 2019, primarily due to gains related to investments associated with certain employee deferred compensation plans, partially offset by lower fixed income revenues driven by product mix. |
• | Commissions and fees decreased in 2019, primarily due to changes in the mix of client activity in equities, partially offset by increased client activity in alternative products. |
35 | December 2019 Form 10-K |
Management's Discussion and Analysis |
• | Compensation and benefits expenses increased in 2019, primarily due to increases in the fair value of investments to which certain deferred compensation plans are referenced and salaries, partially offset by the roll-off of certain acquisition-related employee retention loans. |
• | Non-compensation
expenses decreased in 2019, primarily as a result of lower professional services expenses and lower deposit insurance expense. |
$ in billions | Inflows | Outflows | Market Impact | ||||||||||||
Separately managed1 | $ | 279 | $ | 53 | $ | (19 | ) | $ | 9 | $ | 322 | ||||
Unified
managed2 | 257 | 48 | (39 | ) | 47 | 313 | |||||||||
Advisor | 137 | 27 | (32 | ) | 23 | 155 | |||||||||
Portfolio
manager | 353 | 75 | (48 | ) | 55 | 435 | |||||||||
Subtotal | $ | 1,026 | $ | 203 | $ | (138 | ) | $ | 134 | $ | 1,225 | ||||
Cash
management | 20 | 36 | (14 | ) | — | 42 | |||||||||
Total fee-based client assets | $ | 1,046 | $ | 239 | $ | (152 | ) | $ | 134 | $ | 1,267 |
$
in billions | Inflows | Outflows | Market Impact | ||||||||||||
Separately managed1 | $ | 252 | $ | 40 | $ | (18 | ) | $ | 5 | $ | 279 | ||||
Unified
managed2 | 271 | 48 | (34 | ) | (28 | ) | 257 | ||||||||
Advisor | 149 | 29 | (28 | ) | (13 | ) | 137 | ||||||||
Portfolio
manager | 353 | 71 | (42 | ) | (29 | ) | 353 | ||||||||
Subtotal | $ | 1,025 | $ | 188 | $ | (122 | ) | $ | (65 | ) | $ | 1,026 | |||
Cash
management | 20 | 16 | (16 | ) | — | 20 | |||||||||
Total fee-based client assets | $ | 1,045 | $ | 204 | $ | (138 | ) | $ | (65 | ) | $ | 1,046 |
$
in billions | Inflows | Outflows | Market Impact | ||||||||||||
Separately managed1 | $ | 222 | $ | 39 | $ | (21 | ) | $ | 12 | $ | 252 | ||||
Unified
managed2 | 225 | 49 | (34 | ) | 31 | 271 | |||||||||
Advisor | 125 | 34 | (25 | ) | 15 | 149 | |||||||||
Portfolio
manager | 285 | 74 | (41 | ) | 35 | 353 | |||||||||
Subtotal | $ | 857 | $ | 196 | $ | (121 | ) | $ | 93 | $ | 1,025 | ||||
Cash
management | 20 | 13 | (13 | ) | — | 20 | |||||||||
Total fee-based client assets | $ | 877 | $ | 209 | $ | (134 | ) | $ | 93 | $ | 1,045 |
Fee rate in bps | 2019 | 2018 | 2017 | |||
Separately managed | 15 | 16 | 17 | |||
Unified
managed2 | 100 | 99 | 101 | |||
Advisor | 86 | 84 | 86 | |||
Portfolio
manager | 95 | 95 | 97 | |||
Subtotal | 74 | 76 | 77 | |||
Cash
management | 6 | 6 | 6 | |||
Total fee-based client assets | 73 | 74 | 76 |
1. | Includes
non-custody account values reflecting prior quarter-end balances due to a lag in the reporting of asset values by third-party custodians. |
2. | Prior periods have been recast to conform to current period presentation. |
• | Inflows—include new accounts, account transfers, deposits, dividends and interest. |
• | Outflows—include
closed or terminated accounts, account transfers, withdrawals and client fees. |
• | Market impact—includes realized and unrealized gains and losses on portfolio investments. |
• | Separately managed—accounts by which third-party and affiliated asset managers are engaged to manage clients’ assets with investment decisions made by the asset manager. Only one third-party asset manager strategy can be held per account. |
• | Unified
managed—accounts that provide the client with the ability to combine separately managed accounts, mutual funds and exchange-traded funds all in one aggregate account. Investment decisions and discretionary authority may be exercised by the client, financial advisor or portfolio manager. Also includes accounts that give the client the ability to systematically allocate assets across a wide range of mutual funds, for which the investment decisions are made by the client. |
• | Advisor—accounts where the investment decisions must be approved by the client and the financial advisor must obtain approval each time a change is made to the account or its investments. |
December
2019 Form 10-K | 36 |
Management's Discussion and Analysis |
• | Portfolio
manager—accounts where a financial advisor has discretion (contractually approved by the client) to make ongoing investment decisions without the client’s approval for each individual change. |
• | Cash management—accounts where the financial advisor provides discretionary cash management services to institutional clients, whereby securities or proceeds are invested and reinvested in accordance with the client’s investment criteria. Generally, the portfolio will be invested in short-term fixed income and cash equivalent investments. |
37 | December 2019 Form 10-K |
Management's Discussion and Analysis |
% Change | |||||||||||||
$ in millions | 2019 | 2018 | 2017 | 2019 | 2018 | ||||||||
Revenues | |||||||||||||
Trading | $ | (8 | ) | $ | 25 | $ | (22 | ) | (132 | )% | N/M | ||
Investments | 1,213 | 254 | 449 | N/M | (43 | )% | |||||||
Commissions
and fees | 1 | — | — | N/M | — | % | |||||||
Asset management | 2,629 | 2,468 | 2,196 | 7 | % | 12 | % | ||||||
Other | (46 | ) | (30 | ) | (37 | ) | (53 | )% | 19 | % | |||
Total
non-interest revenues | 3,789 | 2,717 | 2,586 | 39 | % | 5 | % | ||||||
Interest income | 20 | 57 | 4 | (65 | )% | N/M | |||||||
Interest
expense | 46 | 28 | 4 | 64 | % | N/M | |||||||
Net interest | (26 | ) | 29 | — | (190 | )% | N/M | ||||||
Net
revenues | 3,763 | 2,746 | 2,586 | 37 | % | 6 | % | ||||||
Compensation and benefits | 1,630 | 1,167 | 1,181 | 40 | % | (1 | )% | ||||||
Non-compensation expenses | 1,148 | 1,115 | 949 | 3 | % | 17 | % | ||||||
Total
non-interest expenses | 2,778 | 2,282 | 2,130 | 22 | % | 7 | % | ||||||
Income from continuing operations before income taxes | 985 | 464 | 456 | 112 | % | 2 | % | ||||||
Provision
for income taxes | 193 | 73 | 201 | 164 | % | (64 | )% | ||||||
Income from continuing operations | 792 | 391 | 255 | 103 | % | 53 | % | ||||||
Income
from discontinued operations, net of income taxes | — | 2 | — | (100)% | N/M | ||||||||
Net income | 792 | 393 | 255 | 102 | % | 54 | % | ||||||
Net
income applicable to noncontrolling interests | 73 | 17 | 9 | N/M | 89 | % | |||||||
Net income applicable to Morgan Stanley | $ | 719 | $ | 376 | $ | 246 | 91 | % | 53 | % |
• | Compensation and benefits expenses increased in 2019, primarily due to higher compensation associated
with carried interest. |
• | Non-compensation expenses increased in 2019, primarily as a result of higher fee sharing driven by higher average AUM. |
December 2019 Form 10-K | 38 |
Management's Discussion and Analysis |
$
in billions | Inflows | Outflows | Market Impact | Other | ||||||||||||||
Equity | $ | 103 | $ | 39 | $ | (31 | ) | $ | 28 | $ | (1 | ) | $ | 138 | ||||
Fixed
income | 68 | 25 | (20 | ) | 5 | 1 | 79 | |||||||||||
Alternative/ Other | 128 | 22 | (17 | ) | 10 | (4 | ) | 139 | ||||||||||
Long-term
AUM subtotal | 299 | 86 | (68 | ) | 43 | (4 | ) | 356 | ||||||||||
Liquidity | 164 | 1,315 | (1,283 | ) | 2 | (2 | ) | 196 | ||||||||||
Total
AUM | $ | 463 | $ | 1,401 | $ | (1,351 | ) | $ | 45 | $ | (6 | ) | $ | 552 | ||||
Shares
of minority stake assets | 7 | 6 |
$
in billions | Inflows | Outflows | Market Impact | Other | ||||||||||||||
Equity | $ | 105 | $ | 38 | $ | (32 | ) | $ | (8 | ) | $ | — | $ | 103 | ||||
Fixed
income | 73 | 25 | (27 | ) | (2 | ) | (1 | ) | 68 | |||||||||
Alternative/ Other | 128 | 22 | (19 | ) | (1 | ) | (2 | ) | 128 | |||||||||
Long-term
AUM subtotal | 306 | 85 | (78 | ) | (11 | ) | (3 | ) | 299 | |||||||||
Liquidity1 | 176 | 1,351 | (1,362 | ) | 2 | (3 | ) | 164 | ||||||||||
Total
AUM | $ | 482 | $ | 1,436 | $ | (1,440 | ) | $ | (9 | ) | $ | (6 | ) | $ | 463 | |||
Shares
of minority stake assets | 7 | 7 |
$
in billions | Inflows | Outflows | Market Impact | Other | ||||||||||||||
Equity | $ | 79 | $ | 23 | $ | (21 | ) | $ | 23 | $ | 1 | $ | 105 | |||||
Fixed
income | 60 | 27 | (21 | ) | 4 | 3 | 73 | |||||||||||
Alternative/ Other | 115 | 24 | (18 | ) | 8 | (1 | ) | 128 | ||||||||||
Long-term
AUM subtotal | 254 | 74 | (60 | ) | 35 | 3 | 306 | |||||||||||
Liquidity | 163 | 1,239 | (1,227 | ) | 1 | — | 176 | |||||||||||
Total
AUM | $ | 417 | $ | 1,313 | $ | (1,287 | ) | $ | 36 | $ | 3 | $ | 482 | |||||
Shares
of minority stake assets | 8 | 7 |
1. | Included in Liquidity products outflows in 2018 is $18 billion related to the redesign of our brokerage sweep
deposits program. |
$ in billions | 2019 | 2018 | 2017 | ||||||
Equity | $ | 124 | $ | 111 | $ | 93 | |||
Fixed
income | 71 | 71 | 66 | ||||||
Alternative/Other | 134 | 131 | 122 | ||||||
Long-term
AUM subtotal | 329 | 313 | 281 | ||||||
Liquidity | 171 | 158 | 157 | ||||||
Total
AUM | $ | 500 | $ | 471 | $ | 438 | |||
Shares of minority stake assets | 6 | 7 | 7 |
Fee rate in bps | 2019 | 2018 | 2017 | |||
Equity | 76 | 76 | 73 | |||
Fixed
income | 32 | 33 | 33 | |||
Alternative/Other | 64 | 66 | 70 | |||
Long-term
AUM | 61 | 62 | 62 | |||
Liquidity | 17 | 17 | 17 | |||
Total
AUM | 46 | 47 | 46 |
• | Inflows—represent investments or commitments from new and existing clients in new or existing investment products, including reinvestments of client dividends and increases in invested capital. Inflows exclude the impact of exchanges, whereby a client
changes positions within the same asset class. |
• | Outflows—represent redemptions from clients’ funds, transition of funds from the committed capital period to the invested capital period and decreases in invested capital. Outflows exclude the impact of exchanges, whereby a client changes positions within the same asset class. |
• | Market impact—includes realized and unrealized gains and losses on portfolio investments. This excludes any funds where market impact does not impact
management fees. |
• | Other—contains both distributions and foreign currency impact for all periods and the impact of the Mesa West Capital, LLC acquisition in 2018. Distributions represent decreases in invested capital due to returns of capital after the investment period of a fund. It also includes fund dividends that the client has not reinvested. Foreign currency impact reflects foreign currency changes for non-U.S. dollar dominated funds. |
• | Alternative/Other—includes
products in fund of funds, real assets, private equity and credit strategies, as well as multi-asset portfolios. |
• | Shares of minority stake assets—represent the Investment Management business segment’s proportional share of assets managed by third-party asset managers in which we hold investments accounted for under the equity method. |
• | Average fee rate—based on Asset management revenues, net of waivers, excluding performance-based fees and other non-management fees. For
certain non-U.S. funds, it includes the portion of advisory fees that the advisor collects on behalf of third-party distributors. The payment of those fees to the distributor is included in Non-compensation expenses in the income statements. |
39 | December 2019 Form 10-K |
Management's Discussion and Analysis |
$
in millions | 2019 | 2018 | 2017 | |||
U.S. GAAP | 18.3 | % | 20.9 | % | 40.1 | % |
Adjusted effective income tax rate—non-GAAP1 | 21.3 | % | 22.7 | % | 30.8 | % |
Net
discrete tax provisions/(benefits) | ||||||
Recurring2 | (127 | ) | (165 | ) | (155 | ) |
Intermittent3 | (348 | ) | (203 | ) | 968 |
1. | The
adjusted effective income tax rate is a non-GAAP measure that excludes net discrete tax provisions (benefits) that are intermittent and includes those that are recurring. For further information on non-GAAP measures, see “Selected Non-GAAP Financial Information” herein. |
2. | Provisions (benefits) related to conversion of employee share-based awards are expected to occur every year and, as such, are considered recurring discrete tax items. |
3. | Includes
all tax provisions (benefits) that have been determined to be discrete, other than Recurring items as defined above. |
$ in billions | ||||||
Assets | $ | 219.6 | $ | 216.9 | ||
Investment
securities portfolio: | ||||||
Investment securities—AFS | 42.4 | 45.5 | ||||
Investment securities—HTM | 26.1 | 23.7 | ||||
Total
investment securities | $ | 68.5 | $ | 69.2 | ||
Deposits2 | $ | 189.3 | $ | 187.1 | ||
Wealth
Management Loans | ||||||
Securities-based lending and other3 | $ | 49.9 | $ | 44.7 | ||
Residential real estate | 30.2 | 27.5 | ||||
Total | $ | 80.1 | $ | 72.2 | ||
Institutional
Securities Loans4 | ||||||
Corporate5: | ||||||
Corporate relationship and event-driven lending | $ | 5.6 | $ | 7.4 | ||
Secured
lending facilities | 26.8 | 17.5 | ||||
Securities-based lending and other | 5.4 | 6.0 | ||||
Commercial and residential real estate | 12.0 | 10.5 | ||||
Total | $ | 49.8 | $ | 41.4 |
1. | Amounts
exclude transactions between the bank subsidiaries, as well as deposits from the Parent Company and affiliates. |
2. | For further information on deposits, see “Liquidity and Capital Resources—Funding Management—Unsecured Financing” herein. |
3. | Other loans primarily include tailored lending. |
4. | Prior
periods have been conformed to the current presentation. |
5. | For a further discussion of corporate loans in the Institutional Securities business segment, see “Credit Risk—Institutional Securities Corporate Loans” herein. |
December
2019 Form 10-K | 40 |
Management's Discussion and Analysis |
$ in millions | 2019 | 2018 | 2017 | ||||||
Deferred
cash-based awards | $ | 1,233 | $ | 1,174 | $ | 1,039 | |||
Return on referenced investments | 645 | (48 | ) | 499 | |||||
Total
recognized in compensation expense | $ | 1,878 | $ | 1,126 | $ | 1,538 |
$
in millions | 2019 | 2018 | 2017 | ||||||
Institutional Securities | $ | 916 | $ | 611 | $ | 771 | |||
Wealth
Management | 760 | 346 | 564 | ||||||
Investment Management | 202 | 169 | 203 | ||||||
Total
recognized in compensation expense | $ | 1,878 | $ | 1,126 | $ | 1,538 |
$ in millions | |||
Award liabilities at December 31, 20191, 2 | $ | 5,376 | |
Fully vested amounts to be distributed by the end of February 20203 | (1,042 | ) | |
Unrecognized
portion of prior awards at December 31, 20192 | 1,092 | ||
2019 performance year awards granted in 20202 | 1,050 | ||
Total4 | $ | 6,476 |
1. | Balance
is reflected in Other liabilities and accrued expenses in the balance sheet as of December 31, 2019. |
2. | Amounts do not include assumptions regarding forfeitures, cancellations, accelerations or assumptions about future market conditions with respect to referenced investments. |
3. | Distributions after February of each year are generally immaterial. |
4. | Of
the total projected future compensation obligation, approximately 40% relates to Institutional Securities, approximately 50% relates to Wealth Management and approximately 10% relates to Investment Management. |
$ in millions | |||
Estimated to be recognized in: | |||
2020 | $ | 1,169 | |
2021 | 469 | ||
Thereafter | 504 | ||
Total1 | $ | 2,142 |
1. | Amounts
do not include assumptions regarding forfeitures, cancellations, accelerations or assumptions about future market conditions with respect to referenced investments. |
41 | December 2019 Form 10-K |
Management's Discussion and Analysis |
• | Financial
Instruments—Credit Losses. This accounting update impacts the impairment model for certain financial assets measured at amortized cost by requiring a CECL methodology to estimate expected credit losses over the entire life of the financial asset, recorded at inception or purchase. CECL replaces the loss model currently applicable to loans held for investment, HTM securities and other receivables carried at amortized cost, such as employee loans. |
• | Trading assets and Trading liabilities; |
• | Investment Securities—AFS securities; |
• | Certain
Securities purchased under agreements to resell; |
• | Certain Deposits, primarily certificates of deposit; |
• | Certain Securities sold under agreements to repurchase; |
• | Certain Other secured financings; and |
• | Certain
Borrowings. |
December
2019 Form 10-K | 42 |
Management's Discussion and Analysis |
43 | December 2019 Form 10-K |
Management's Discussion and Analysis |
$ in millions | IS | WM | IM | Total | ||||||||
Assets | ||||||||||||
Cash and cash equivalents1 | $ | 67,657 | $ | 14,247 | $ | 267 | $ | 82,171 | ||||
Trading
assets at fair value | 293,477 | 47 | 3,586 | 297,110 | ||||||||
Investment securities | 38,524 | 67,201 | — | 105,725 | ||||||||
Securities
purchased under agreements to resell | 80,744 | 7,480 | — | 88,224 | ||||||||
Securities borrowed | 106,199 | 350 | — | 106,549 | ||||||||
Customer
and other receivables | 39,743 | 15,190 | 713 | 55,646 | ||||||||
Loans, net of allowance2 | 50,557 | 80,075 | 5 | 130,637 | ||||||||
Other
assets3 | 14,300 | 13,092 | 1,975 | 29,367 | ||||||||
Total assets | $ | 691,201 | $ | 197,682 | $ | 6,546 | $ | 895,429 |
December
2019 Form 10-K | 44 |
Management's Discussion and Analysis |
$ in millions | IS | WM | IM | Total | ||||||||
Assets | ||||||||||||
Cash and cash equivalents1 | $ | 69,526 | $ | 17,621 | $ | 49 | $ | 87,196 | ||||
Trading
assets at fair value | 263,870 | 60 | 2,369 | 266,299 | ||||||||
Investment securities | 23,273 | 68,559 | — | 91,832 | ||||||||
Securities
purchased under agreements to resell | 80,660 | 17,862 | — | 98,522 | ||||||||
Securities borrowed | 116,207 | 106 | — | 116,313 | ||||||||
Customer
and other receivables | 35,777 | 16,865 | 656 | 53,298 | ||||||||
Loans, net of allowance2 | 43,380 | 72,194 | 5 | 115,579 | ||||||||
Other
assets3 | 13,734 | 9,125 | 1,633 | 24,492 | ||||||||
Total assets | $ | 646,427 | $ | 202,392 | $ | 4,712 | $ | 853,531 |
1. | Cash and cash equivalents includes Cash and due from banks, Interest bearing deposits with banks and Restricted cash. |
2. | Amounts include loans held for investment (net of allowance) and loans held for sale but exclude loans at fair value, which are included in Trading assets in the balance sheets (see Note 8 to the financial statements). |
3. | Other
assets primarily includes Goodwill and Intangible assets, premises, equipment and software, ROU assets related to leases, other investments and deferred tax assets. |
• | Sufficient
liquid assets should be maintained to cover maturing liabilities and other planned and contingent outflows; |
• | Maturity profile of assets and liabilities should be aligned, with limited reliance on short-term funding; |
• | Source, counterparty, currency, region and term of funding should be diversified; and |
• | Liquidity
Stress Tests should anticipate, and account for, periods of limited access to funding. |
• | No government support; |
• | No
access to equity and unsecured debt markets; |
• | Repayment of all unsecured debt maturing within the stress horizon; |
• | Higher haircuts for and significantly lower availability of secured funding; |
• | Additional collateral that would be required by trading counterparties, certain exchanges and clearing
organizations related to credit rating downgrades; |
• | Additional collateral that would be required due to collateral substitutions, collateral disputes and uncalled collateral; |
• | Discretionary unsecured debt buybacks; |
• | Drawdowns on lending commitments provided to third parties; and |
45 | December 2019 Form 10-K |
Management's Discussion and Analysis |
• | Client
cash withdrawals and reduction in customer short positions that fund long positions. |
$ in millions | ||||||
Cash deposits with banks1 | $ | 9,856 | $ | 10,441 | ||
Cash deposits with central banks1 | 34,922 | 36,109 | ||||
Unencumbered
highly liquid securities: | ||||||
U.S. government obligations | 88,665 | 119,138 | ||||
U.S. agency and agency mortgage- backed securities | 50,054 | 41,473 | ||||
Non-U.S.
sovereign obligations2 | 31,460 | 39,869 | ||||
Other investment grade securities | 2,500 | 2,705 | ||||
Total | $ | 217,457 | $ | 249,735 |
1. | Included
in Cash and due from banks and Interest bearing deposits with banks in the balance sheets. |
2. | Primarily composed of unencumbered U.K., Japanese, French, German and Brazilian government obligations. |
$
in millions | Average Daily Balance Three Months Ended | ||||||||
Bank legal entities | |||||||||
Domestic | $ | 75,565 | $ | 88,809 | $ | 73,107 | |||
Foreign | 5,317 | 4,896 | 5,661 | ||||||
Total
Bank legal entities | 80,882 | 93,705 | 78,768 | ||||||
Non-Bank legal entities | |||||||||
Domestic: | |||||||||
Parent
Company | 53,042 | 64,262 | 58,955 | ||||||
Non-Parent Company | 29,656 | 40,936 | 31,188 | ||||||
Total
Domestic | 82,698 | 105,198 | 90,143 | ||||||
Foreign | 53,877 | 50,832 | 54,654 | ||||||
Total
Non-Bank legal entities | 136,575 | 156,030 | 144,797 | ||||||
Total | $ | 217,457 | $ | 249,735 | $ | 223,565 |
December 2019 Form 10-K | 46 |
Management's Discussion and Analysis |
Average Daily Balance Three Months Ended | ||||||
$ in millions | ||||||
HQLA | ||||||
Cash deposits with central banks | $ | 29,597 | $ | 33,053 | ||
Securities1 | 148,221 | 141,806 | ||||
Total | $ | 177,818 | $ | 174,859 | ||
LCR | 134 | % | 140 | % |
1. | Primarily
includes U.S. Treasuries, U.S. agency mortgage-backed securities, sovereign bonds and investment grade corporate bonds. |
$ in millions | ||||||
Securities purchased under agreements to resell and Securities borrowed | $ | 194,773 | $ | 214,835 | ||
Securities
sold under agreements to repurchase and Securities loaned | $ | 62,706 | $ | 61,667 | ||
Securities received as collateral1 | $ | 13,022 | $ | 7,668 |
Average
Daily Balance Three Months Ended | ||||||
$ in millions | ||||||
Securities purchased under agreements to resell and Securities borrowed | $ | 210,257 | $ | 213,974 | ||
Securities
sold under agreements to repurchase and Securities loaned | $ | 64,870 | $ | 57,677 |
1. | Securities received as collateral are included in Trading assets in the balance sheets. |
47 | December 2019 Form 10-K |
Management's Discussion and Analysis |
$
in millions | ||||||
Savings and demand deposits: | ||||||
Brokerage sweep deposits1 | $ | 121,077 | $ | 141,255 | ||
Savings
and other | 28,388 | 13,642 | ||||
Total Savings and demand deposits | 149,465 | 154,897 | ||||
Time deposits | 40,891 | 32,923 | ||||
Total | $ | 190,356 | $ | 187,820 |
1. | Amounts
represent balances swept from client brokerage accounts. |
$ in millions | Parent Company | Total | |||||||
Original
maturities of one year or less | $ | 500 | $ | 2,067 | $ | 2,567 | |||
Original maturities greater than one year | |||||||||
2020 | $ | 15,228 | $ | 5,174 | $ | 20,402 | |||
2021 | 21,439 | 4,646 | 26,085 | ||||||
2022 | 16,084 | 3,804 | 19,888 | ||||||
2023 | 11,779 | 2,836 | 14,615 | ||||||
2024 | 15,388 | 5,718 | 21,106 | ||||||
Thereafter | 67,377 | 20,587 | 87,964 | ||||||
Total | $ | 147,295 | $ | 42,765 | $ | 190,060 | |||
Total
Borrowings | $ | 147,795 | $ | 44,832 | $ | 192,627 |
1. | Original maturity in the table is generally based on contractual final maturity. For borrowings
with put options, remaining maturity represents the earliest put date. |
Parent Company | |||
Short-Term Debt | Long-Term Debt | Rating Outlook | |
DBRS, Inc. | R-1 (middle) | A (high) | Stable |
Fitch
Ratings, Inc. | F1 | A | Stable |
Moody’s Investors Service, Inc. | P-2 | A3 | Positive |
Rating and Investment Information, Inc. | a-1 | A | Stable |
S&P Global Ratings | A-2 | BBB+ | Stable |
MSBNA | |||
Short-Term Debt | Long-Term Debt | Rating Outlook | |
Fitch
Ratings, Inc. | F1 | A+ | Stable |
Moody’s Investors Service, Inc. | P-1 | A1 | Positive |
S&P Global Ratings | A-1 | A+ | Stable |
December
2019 Form 10-K | 48 |
Management's Discussion and Analysis |
MSPBNA | |||
Short-Term Debt | Long-Term Debt | Rating Outlook | |
Moody’s
Investors Service, Inc. | P-1 | A1 | Positive |
S&P Global Ratings | A-1 | A+ | Stable |
in millions, except for per share data | 2019 | 2018 | 2017 | ||||||
Number
of shares | 121 | 97 | 80 | ||||||
Average price per share | $ | 44.23 | $ | 50.08 | $ | 47.01 | |||
Total | $ | 5,360 | $ | 4,860 | $ | 3,750 |
Announcement date | |
Amount per share | $0.35 |
Date
paid | |
Shareholders of record as of |
Announcement date | |
Date paid | |
Shareholders of record as of |
49 | December 2019 Form 10-K |
Management's Discussion and Analysis |
Payments Due in: | |||||||||||||||
$ in millions | 2020 | 2021-2022 | 2023-2024 | Thereafter | Total | ||||||||||
Borrowings1 | $ | 20,402 | $ | 45,973 | $ | 35,721 | $ | 87,964 | $ | 190,060 | |||||
Other
secured financings1 | 1,663 | 1,337 | 2,667 | 813 | 6,480 | ||||||||||
Contractual interest payments2 | 4,252 | 6,872 | 5,128 | 14,541 | 30,793 | ||||||||||
Time
deposits—principal and interest payments | 20,762 | 14,082 | 5,708 | 622 | 41,174 | ||||||||||
Operating leases— premises3 | 763 | 1,349 | 1,117 | 2,845 | 6,074 | ||||||||||
Purchase
obligations4 | 662 | 659 | 225 | 288 | 1,834 | ||||||||||
Total5 | $ | 48,504 | $ | 70,272 | $ | 50,566 | $ | 107,073 | $ | 276,415 |
1. | Amounts
presented for Borrowings and Other secured financings are financings with original maturities greater than one year. For further information on Borrowings and Other secured financings, see Note 12 to the financial statements. |
2. | Amounts represent estimated future contractual interest payments related to certain unsecured borrowings with original maturities greater than one year based on applicable interest rates at December 31, 2019. These amounts exclude borrowings carried at fair value. For additional information on borrowings carried at fair value, see Note 12
to the financial statements. |
3. | For further information on operating leases covering premises and equipment, see Note 10 to the financial statements. |
4. | Purchase obligations for goods and services include payments for, among other things, consulting, outsourcing, computer and telecommunications maintenance agreements, and certain transmission, transportation and storage contracts
related to the commodities business. |
5. | Amounts exclude unrecognized tax benefits, as the timing and amount of future cash payments are not determinable at this time (see Note 20 to the financial statements for further information). |
• | A greater than 2.5% Common Equity Tier 1 capital conservation buffer; |
• | The Common Equity Tier 1 G-SIB capital surcharge, currently at 3%; and |
• | Up
to a 2.5% Common Equity Tier 1 CCyB, currently set by U.S. banking agencies at zero. |
• | Credit risk: The failure of a borrower, counterparty or issuer to meet its financial obligations to us; |
• | 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). |
December 2019 Form 10-K | 50 |
Management's Discussion and Analysis |
Required Ratio1 | ||||||||
$ in millions | Standardized | Advanced | ||||||
Risk-based capital | ||||||||
Common
Equity Tier 1 capital | $ | 64,751 | $ | 64,751 | ||||
Tier 1 capital | 73,443 | 73,443 | ||||||
Total
capital | 82,708 | 82,423 | ||||||
Total RWA | 394,177 | 382,496 | ||||||
Common Equity Tier 1 capital ratio | 10.0 | % | 16.4 | % | 16.9 | % | ||
Tier
1 capital ratio | 11.5 | % | 18.6 | % | 19.2 | % | ||
Total capital ratio | 13.5 | % | 21.0 | % | 21.5 | % | ||
$ in millions | Required Ratio1 | |||||||
Leverage-based capital | ||||||||
Adjusted average assets2 | $ | 889,195 | ||||||
Tier 1 leverage ratio | 4.0 | % | 8.3 | % | ||||
Supplementary
leverage exposure3 | $ | 1,155,177 | ||||||
SLR | 5.0 | % | 6.4 | % |
Required Ratio1 | ||||||||
$ in millions | Standardized | Advanced | ||||||
Risk-based capital | ||||||||
Common
Equity Tier 1 capital | $ | 62,086 | $ | 62,086 | ||||
Tier 1 capital | 70,619 | 70,619 | ||||||
Total
capital | 80,052 | 79,814 | ||||||
Total RWA | 367,309 | 363,054 | ||||||
Common Equity Tier 1 capital ratio | 8.6 | % | 16.9 | % | 17.1 | % | ||
Tier
1 capital ratio | 10.1 | % | 19.2 | % | 19.5 | % | ||
Total capital ratio | 12.1 | % | 21.8 | % | 22.0 | % | ||
$ in millions | Required Ratio1 | |||||||
Leverage-based capital | ||||||||
Adjusted average assets2 | $ | 843,074 | ||||||
Tier 1 leverage ratio | 4.0 | % | 8.4 | % | ||||
Supplementary
leverage exposure3 | $ | 1,092,672 | ||||||
SLR | 5.0 | % | 6.5 | % |
1. | Required
ratios are inclusive of any buffers applicable as of the date presented. For 2018, the required regulatory capital ratios for risk-based capital are under the transitional rules. Failure to maintain the buffers would result in restrictions on our ability to make capital distributions, including the payment of dividends and the repurchase of stock, and to pay discretionary bonuses to executive officers. |
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 our own capital instruments, certain deferred 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. |
51 | December 2019 Form 10-K |
Management's Discussion and Analysis |
$ in millions | Change | ||||||||
Common Equity Tier 1 capital | |||||||||
Common stock and surplus | $ | 5,228 | $ | 9,843 | $ | (4,615 | ) | ||
Retained
earnings | 70,589 | 64,175 | 6,414 | ||||||
AOCI | (2,788 | ) | (2,292 | ) | (496 | ) | |||
Regulatory adjustments and
deductions: | |||||||||
Net goodwill | (7,081 | ) | (6,661 | ) | (420 | ) | |||
Net intangible assets | (2,012 | ) | (2,158 | ) | 146 | ||||
Other
adjustments and deductions1 | 815 | (821 | ) | 1,636 | |||||
Total Common Equity Tier 1 capital | $ | 64,751 | $ | 62,086 | $ | 2,665 | |||
Additional
Tier 1 capital | |||||||||
Preferred stock | $ | 8,520 | $ | 8,520 | $ | — | |||
Noncontrolling
interests | 607 | 454 | 153 | ||||||
Additional Tier 1 capital | $ | 9,127 | $ | 8,974 | $ | 153 | |||
Deduction
for investments in covered funds | (435 | ) | (441 | ) | 6 | ||||
Total Tier 1 capital | $ | 73,443 | $ | 70,619 | $ | 2,824 | |||
Standardized
Tier 2 capital | |||||||||
Subordinated debt | $ | 8,538 | $ | 8,923 | $ | (385 | ) | ||
Noncontrolling interests | 143 | 107 | 36 | ||||||
Eligible
allowance for credit losses | 590 | 440 | 150 | ||||||
Other adjustments and deductions | (6 | ) | (37 | ) | 31 | ||||
Total
Standardized Tier 2 capital | $ | 9,265 | $ | 9,433 | $ | (168 | ) | ||
Total Standardized capital | $ | 82,708 | $ | 80,052 | $ | 2,656 | |||
Advanced
Tier 2 capital | |||||||||
Subordinated debt | $ | 8,538 | $ | 8,923 | $ | (385 | ) | ||
Noncontrolling
interests | 143 | 107 | 36 | ||||||
Eligible credit reserves | 305 | 202 | 103 | ||||||
Other
adjustments and deductions | (6 | ) | (37 | ) | 31 | ||||
Total Advanced Tier 2 capital | $ | 8,980 | $ | 9,195 | $ | (215 | ) | ||
Total
Advanced capital | $ | 82,423 | $ | 79,814 | $ | 2,609 |
1. | Other adjustments and deductions used in the
calculation of Common Equity Tier 1 capital primarily includes net after-tax DVA, the credit spread premium over risk-free rate for derivative liabilities, defined benefit pension plan assets, after-tax gain on sale from assets sold into securitizations, investments in our own capital instruments and certain deferred tax assets. |
2019 | ||||||
$ in millions | Standardized | Advanced | ||||
Credit
risk RWA | ||||||
Balance at December 31, 2018 | $ | 305,531 | $ | 190,595 | ||
Change related to the following items: | ||||||
Derivatives | 7,526 | 17,008 | ||||
Securities
financing transactions | 10,631 | (844 | ) | |||
Securitizations | 469 | 722 | ||||
Investment securities | 2,115 | 5,217 | ||||
Commitments,
guarantees and loans | 12,423 | 11,859 | ||||
Cash | (753 | ) | (141 | ) | ||
Equity investments | 2,352 | 2,484 | ||||
Other
credit risk2 | 2,390 | 2,027 | ||||
Total change in credit risk RWA | $ | 37,153 | $ | 38,332 | ||
Balance at December
31, 2019 | $ | 342,684 | $ | 228,927 | ||
Market risk RWA | ||||||
Balance at December 31, 2018 | $ | 61,778 | $ | 61,857 | ||
Change
related to the following items: | ||||||
Regulatory VaR | (1,100 | ) | (1,100 | ) | ||
Regulatory stressed VaR | (6,947 | ) | (6,947 | ) | ||
Incremental
risk charge | (6,125 | ) | (6,125 | ) | ||
Comprehensive risk measure | (243 | ) | (218 | ) | ||
Specific risk: | ||||||
Non-securitizations | 1,609 | 1,609 | ||||
Securitizations | 2,521 | 2,521 | ||||
Total
change in market risk RWA | $ | (10,285 | ) | $ | (10,260 | ) |
Balance at December 31, 2019 | $ | 51,493 | $ | 51,597 | ||
Operational
risk RWA | ||||||
Balance at December 31, 2018 | N/A | $ | 110,602 | |||
Change in operational risk RWA | N/A | (8,630 | ) | |||
Balance
at December 31, 2019 | N/A | $ | 101,972 | |||
Total RWA | $ | 394,177 | $ | 382,496 |
1. | The RWA for each category reflects both on- and off-balance sheet exposures, where appropriate. |
2. | Amounts reflect assets not in a defined category, non-material portfolios of exposures and unsettled transactions, as applicable. |
December
2019 Form 10-K | 52 |
Management's Discussion and Analysis |
$ in millions | Regulatory Minimum | Required Ratio1 | Actual Amount/Ratio | ||||
External TLAC2 | $ | 196,888 | |||||
External
TLAC as a % of RWA | 18.0 | % | 21.5 | % | 49.9 | % | |
External TLAC as a % of leverage exposure | 7.5 | % | 9.5 | % | 17.0 | % | |
Eligible
LTD3 | $ | 113,624 | |||||
Eligible LTD as a % of RWA | 9.0 | % | 9.0 | % | 28.8 | % | |
Eligible
LTD as a % of leverage exposure | 4.5 | % | 4.5 | % | 9.8 | % |
1. | Required ratios are inclusive of applicable buffers. The final rule imposes TLAC buffer requirements on top of both the risk-based and leverage exposure-based external TLAC minimum requirements. The risk-based TLAC buffer is equal to the sum
of 2.5%, the covered BHC's Method 1 G-SIB surcharge and the CCyB, if any, as a percentage of total RWA. The leverage exposure-based TLAC buffer is equal to 2% of the covered BHC's total leverage exposure. Failure to maintain the buffers would result in restrictions on our ability to make capital distributions, including the payment of dividends and the repurchase of stock, and to pay discretionary bonuses to executive officers. |
2. | External TLAC consists of Common Equity Tier 1 capital and Additional Tier 1 capital (each excluding any noncontrolling minority interests), as well as eligible LTD. |
3. | Consists
of TLAC-eligible LTD reduced by 50% for amounts of unpaid principal due to be paid in more than one year but less than two years from December 31, 2019. |
53 | December 2019 Form 10-K |
Management's
Discussion and Analysis |
$ in billions | 2019 | 2018 | 2017 | ||||||
Institutional
Securities | $ | 40.4 | $ | 40.8 | $ | 40.2 | |||
Wealth Management | 18.2 | 16.8 | 17.2 | ||||||
Investment
Management | 2.5 | 2.6 | 2.4 | ||||||
Parent | 11.6 | 9.8 | 10.0 | ||||||
Total | $ | 72.7 | $ | 70.0 | $ | 69.8 |
1. | The
attribution of average common equity to the business segments is a non-GAAP financial measure. See "Selected Non-GAAP Financial Information" herein. |
December 2019 Form 10-K | 54 |
Management's Discussion and Analysis |
55 | December 2019 Form 10-K |
Management's Discussion and Analysis |
December 2019 Form 10-K |
56 |
Management's Discussion and Analysis |
57 | December 2019 Form 10-K |
1. | Committees include the Capital Commitment Committee, Global Large Loan Committee, Equity Underwriting Committee, Leveraged Finance Underwriting Committee and Municipal Capital Commitment Committee. |
2. | Committees include the Securities Risk Committee, Wealth Management Risk Committee and Investment Management Risk Committee. |
December
2019 Form 10-K | 58 |
Risk Disclosures |
59 | December 2019 Form 10-K |
Risk Disclosures |
December 2019 Form 10-K | 60 |
Risk Disclosures |
61 | December 2019 Form 10-K |
Risk Disclosures |
December 2019 Form 10-K | 62 |
Risk Disclosures |
2019 | ||||||||||||
$ in millions | Period End | Average | High2 | Low2 | ||||||||
Interest
rate and credit spread | $ | 26 | $ | 29 | $ | 43 | $ | 24 | ||||
Equity price | 11 | 15 | 22 | 11 | ||||||||
Foreign
exchange rate | 10 | 13 | 20 | 6 | ||||||||
Commodity price | 10 | 14 | 22 | 10 | ||||||||
Less:
Diversification benefit1 | (27 | ) | (35 | ) | N/A | N/A | ||||||
Primary Risk Categories | $ | 30 | $ | 36 | $ | 47 | $ | 30 | ||||
Credit
Portfolio | 15 | 16 | 19 | 13 | ||||||||
Less: Diversification benefit1 | (10 | ) | (11 | ) | N/A
| N/A | ||||||
Total Management VaR | $ | 35 | $ | 41 | $ | 51 | $ | 33 |
20183 | ||||||||||||
$
in millions | Period End | Average | High2 | Low2 | ||||||||
Interest rate and credit spread | $ | 44 | $ | 34 | $ | 53 | $ | 25 | ||||
Equity
price | 12 | 14 | 18 | 9 | ||||||||
Foreign exchange rate | 11 | 10 | 16 | 6 | ||||||||
Commodity
price | 13 | 10 | 18 | 6 | ||||||||
Less: Diversification benefit1 | (27 | ) | (29 | ) | N/A | N/A | ||||||
Primary
Risk Categories | $ | 53 | $ | 39 | $ | 64 | $ | 31 | ||||
Credit Portfolio | 14 | 11 | 16 | 8 | ||||||||
Less:
Diversification benefit1 | (12 | ) | (8 | ) | N/A | N/A | ||||||
Total Management VaR | $ | 55 | $ | 42 | $ | 62 | $ | 34 |
1. | Diversification
benefit equals the difference between the total Management VaR and the sum of the component VaRs. This benefit arises because the simulated one-day losses for each of the components occur on different days; similar diversification benefits also are taken into account within each component. |
2. | The high and low VaR values for the total Management VaR and each of the component VaRs might have occurred on different days during the quarter, and therefore, the diversification benefit is not an applicable measure. |
3. | 2018
amounts have been revised to present the results of the new VaR model, in conformance with the 2019 presentation. The difference between the VaR measures produced by the new and old models was not significant. |
63 | December 2019 Form 10-K |
Risk
Disclosures |
$ in millions | ||||||
Derivatives | $ | 6 | $ | 6 | ||
Funding liabilities2 | 42 | 34 |
1. | Amounts
represent the potential gain for each 1 bps widening of our credit spread. |
2. | Relates to Borrowings carried at fair value. |
$ in millions | ||||||
Basis point change | ||||||
+100 | $ | 151 | $ | 182 | ||
-100 | (642 | ) | (428 | ) |
December 2019 Form 10-K | 64 |
Risk Disclosures |
Loss from 10% Decline | ||||||
$
in millions | ||||||
Investments related to Investment Management activities | $ | 367 | $ | 298 | ||
Other
investments: | ||||||
MUMSS | 169 | 165 | ||||
Other Firm investments | 195 | 179 |
• | extending credit to clients through loans and lending commitments; |
• | entering
into swap or other derivative contracts under which counterparties may have obligations to make payments to us; |
• | providing short- or long-term funding that is secured by physical or financial collateral whose value may at times be insufficient to fully cover the repayment amount; |
• | posting margin and/or collateral to clearinghouses, clearing agencies, exchanges, banks, securities firms
and other financial counterparties; |
• | placing funds on deposit at other financial institutions to support our clearing and settlement obligations; and |
• | investing or trading in securities and loan pools, whereby the value of these assets may fluctuate based on realized or expected defaults on the underlying obligations or loans. |
• | margin loans collateralized by securities; |
• | securities-based lending and other forms of secured loans, including tailored lending, to high net worth clients; |
• | single-family residential mortgage loans in conforming, non-conforming or HELOC form, primarily to existing Wealth
Management clients; and |
• | employee loans granted primarily to recruit certain Wealth Management representatives. |
65 | December 2019 Form 10-K |
Risk Disclosures |
$ in millions | IS | WM | IM1 | Total | ||||||||
Corporate | $ | 30,431 | $ | 18,320 | $ | 5 | $ | 48,756 | ||||
Consumer | — | 31,610 | — | 31,610 | ||||||||
Residential
real estate | — | 30,184 | — | 30,184 | ||||||||
Commercial real estate | 7,859 | — | — | 7,859 | ||||||||
Loans
held for investment, gross of allowance | 38,290 | 80,114 | 5 | 118,409 | ||||||||
Allowance for loan losses | (297 | ) | (52 | ) | — | (349 | ) | |||||
Loans
held for investment, net of allowance | 37,993 | 80,062 | 5 | 118,060 | ||||||||
Corporate | 10,515 | — | — | 10,515 | ||||||||
Residential
real estate | — | 13 | — | 13 | ||||||||
Commercial real estate | 2,049 | — | — | 2,049 | ||||||||
Loans
held for sale | 12,564 | 13 | — | 12,577 | ||||||||
Corporate | 7,785 | — | 251 | 8,036 | ||||||||
Residential
real estate | 1,192 | — | — | 1,192 | ||||||||
Commercial real estate | 2,098 | — | — | 2,098 | ||||||||
Loans
held at fair value | 11,075 | — | 251 | 11,326 | ||||||||
Total loans | 61,632 | 80,075 | 256 | 141,963 | ||||||||
Lending
commitments2 | 106,886 | 13,161 | 21 | 120,068 | ||||||||
Total loans and lending commitments2 | $ | 168,518 | $ | 93,236 | $ | 277 | $ | 262,031 |
December
2019 Form 10-K | 66 |
Risk Disclosures |
$ in millions | IS | WM | IM1 | Total | ||||||||
Corporate | $ | 20,020 | $ | 16,884 | $ | 5 | $ | 36,909 | ||||
Consumer | — | 27,868 | — | 27,868 | ||||||||
Residential
real estate | — | 27,466 | — | 27,466 | ||||||||
Commercial real estate3 | 7,810 | — | — | 7,810 | ||||||||
Loans
held for investment, gross of allowance | 27,830 | 72,218 | 5 | 100,053 | ||||||||
Allowance for loan losses | (193 | ) | (45 | ) | — | (238 | ) | |||||
Loans
held for investment, net of allowance | 27,637 | 72,173 | 5 | 99,815 | ||||||||
Corporate | 13,886 | — | — | 13,886 | ||||||||
Residential
real estate | 1 | 21 | — | 22 | ||||||||
Commercial real estate3 | 1,856 | — | — | 1,856 | ||||||||
Loans
held for sale | 15,743 | 21 | — | 15,764 | ||||||||
Corporate | 9,150 | — | 21 | 9,171 | ||||||||
Residential
real estate | 1,153 | — | — | 1,153 | ||||||||
Commercial real estate3 | 601 | — | — | 601 | ||||||||
Loans
held at fair value | 10,904 | — | 21 | 10,925 | ||||||||
Total loans | 54,284 | 72,194 | 26 | 126,504 | ||||||||
Lending
commitments2 | 95,065 | 10,663 | — | 105,728 | ||||||||
Total loans and lending commitments2 | $ | 149,349 | $ | 82,857 | $ | 26 | $ | 232,232 |
1. | Investment
Management business segment loans are related to certain of our activities as an investment advisor and manager. At December 31, 2019, loans held at fair value are the result of the consolidation of a CLO, managed by Investment Management, composed primarily of senior secured corporate loans. |
2. | Lending commitments represent the notional amount of legally binding obligations to provide funding to clients for lending transactions. Since commitments associated with these business activities may expire unused or may not be utilized to full capacity, they do not necessarily reflect the actual future cash funding requirements. |
3. | Beginning
in 2019, loans previously referred to as Wholesale real estate are referred to as Commercial real estate. |
$ in millions | ||||||
Loans | $ | 349 | $ | 238 | ||
Lending commitments | 241 | 203 | ||||
Total
allowance for loans and lending commitments | $ | 590 | $ | 441 |
IS | WM | IS | WM | |||||
Current | 99.0 | % | 99.9 | % | 99.8 | % | 99.9 | % |
Nonaccrual1 | 1.0 | % | 0.1 | % | 0.2 | % | 0.1 | % |
1. | These
loans are on nonaccrual status because the loans were past due for a period of 90 days or more or payment of principal or interest was in doubt. |
Contractual
Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Loans | |||||||||||||||
AA | $ | 7 | $ | 50 | $ | — | $ | 5 | $ | 62 | |||||
A | 955 | 923 | 516 | 277 | 2,671 | ||||||||||
BBB | 2,297 | 5,589 | 3,592 | 949 | 12,427 | ||||||||||
NIG | 13,051 | 16,824 | 12,047 | 2,592 | 44,514 | ||||||||||
Unrated2 | 117 | 82 | 131 | 1,628 | 1,958 | ||||||||||
Total
loans | 16,427 | 23,468 | 16,286 | 5,451 | 61,632 | ||||||||||
Lending commitments | |||||||||||||||
AAA | — | 50 | — | — | 50 | ||||||||||
AA | 2,838 | 908 | 2,509 | — | 6,255 | ||||||||||
A | 6,461 | 7,287 | 9,371 | 298 | 23,417 | ||||||||||
BBB | 7,548 | 13,780 | 20,560 | 753 | 42,641 | ||||||||||
NIG | 4,657 | 10,351 | 15,395 | 3,997 | 34,400 | ||||||||||
Unrated2 | — | 9 | 107 | 7 | 123 | ||||||||||
Total
lending commitments | 21,504 | 32,385 | 47,942 | 5,055 | 106,886 | ||||||||||
Total exposure | $ | 37,931 | $ | 55,853 | $ | 64,228 | $ | 10,506 | $ | 168,518 |
67 | December 2019 Form 10-K |
Risk Disclosures |
Contractual Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Loans | |||||||||||||||
AA | $ | 7 | $ | 430 | $ | — | $ | 19 | $ | 456 | |||||
A | 565 | 1,580 | 858 | 267 | 3,270 | ||||||||||
BBB | 3,775 | 4,697 | 4,251 | 495 | 13,218 | ||||||||||
NIG | 7,151 | 12,882 | 9,313 | 5,889 | 35,235 | ||||||||||
Unrated2 | 88 | 95 | 160 | 1,762 | 2,105 | ||||||||||
Total
loans | 11,586 | 19,684 | 14,582 | 8,432 | 54,284 | ||||||||||
Lending commitments | |||||||||||||||
AAA | 90 | 75 | — | — | 165 | ||||||||||
AA | 2,491 | 1,177 | 2,863 | — | 6,531 | ||||||||||
A | 2,892 | 6,006 | 9,895 | 502 | 19,295 | ||||||||||
BBB | 2,993 | 11,825 | 19,461 | 638 | 34,917 | ||||||||||
NIG | 1,681 | 10,604 | 16,075 | 5,751 | 34,111 | ||||||||||
Unrated2 | 8 | — | 38 | — | 46 | ||||||||||
Total
lending commitments | 10,155 | 29,687 | 48,332 | 6,891 | 95,065 | ||||||||||
Total exposure | $ | 21,741 | $ | 49,371 | $ | 62,914 | $ | 15,323 | $ | 149,349 |
1. | Counterparty credit ratings are internally determined by CRM. |
2. | Unrated loans and lending commitments are primarily trading positions that are measured at fair value and risk managed as a component of market risk. For a further discussion of our market risk, see “Quantitative and Qualitative Disclosures about Risk—Market Risk” herein. |
$
in millions | ||||||
Financials | $ | 40,992 | $ | 32,655 | ||
Real estate | 28,348 | 24,133 | ||||
Healthcare | 14,113 | 10,158 | ||||
Industrials | 13,136 | 13,701 | ||||
Communications
services | 12,165 | 11,244 | ||||
Utilities | 9,905 | 9,856 | ||||
Consumer staples | 9,724 | 7,921 | ||||
Consumer
discretionary | 9,589 | 8,314 | ||||
Energy | 9,461 | 9,847 | ||||
Information technology | 9,201 | 9,896 | ||||
Materials | 5,577 | 5,969 | ||||
Insurance | 3,755 | 3,744 | ||||
Other | 2,552 | 1,911 | ||||
Total | $ | 168,518 | $ | 149,349 |
$ in millions | ||||||
Corporate relationship and event-driven lending2 | $ | 11,638 | $ | 13,317 | ||
Secured lending facilities3 | 29,654 | 21,408 | ||||
Securities-based
lending and other4 | 7,439 | 8,331 | ||||
Total Corporate | $ | 48,731 | $ | 43,056 |
1. | Amounts
include loans held for investment, gross of allowance, loans held for sale and loans measured at fair value. Loans at fair value are included in Trading assets in the balance sheets. |
2. | Relationship and event-driven loans typically consist of revolving lines of credit, term loans and bridge loans. For additional information on event-driven loans, see “Institutional Securities Event-Driven Loans and Lending Commitments” herein. |
3. | Secured lending facilities includes loans provided to clients to warehouse loans
secured by underlying real estate and other assets. |
4. | Securities-based lending and other includes financing extended to sales and trading customers and corporate loans purchased in the secondary market. |
Contractual Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Loans | $ | 1,194 | $ | 1,024 | $ | 839 | $ | 390 | $ | 3,447 | |||||
Lending
commitments | 7,921 | 5,012 | 2,285 | 3,090 | 18,308 | ||||||||||
Total loans and lending commitments | $ | 9,115 | $ | 6,036 | $ | 3,124 | $ | 3,480 | $ | 21,755 |
Contractual Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Loans | $ | 2,582 | $ | 287 | $ | 656 | $ | 1,618 | $ | 5,143 | |||||
Lending
commitments | 1,506 | 2,456 | 2,877 | 3,658 | 10,497 | ||||||||||
Total loans and lending commitments | $ | 4,088 | $ | 2,743 | $ | 3,533 | $ | 5,276 | $ | 15,640 |
December 2019 Form 10-K | 68 |
Risk Disclosures |
Contractual Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Securities-based lending and other loans | $ | 41,863 | $ | 3,972 | $ | 2,783 | $ | 1,284 | $ | 49,902 | |||||
Residential
real estate loans | 13 | 11 | — | 30,149 | 30,173 | ||||||||||
Total loans | $ | 41,876 | $ | 3,983 | $ | 2,783 | $ | 31,433 | $ | 80,075 | |||||
Lending
commitments | 10,219 | 2,564 | 71 | 307 | 13,161 | ||||||||||
Total loans and lending commitments | $ | 52,095 | $ | 6,547 | $ | 2,854 | $ | 31,740 | $ | 93,236 |
Contractual Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Securities-based lending and other loans | $ | 38,144 | $ | 3,573 | $ | 2,004 | $ | 1,006 | $ | 44,727 | |||||
Residential
real estate loans | — | 30 | 1 | 27,436 | 27,467 | ||||||||||
Total loans | $ | 38,144 | $ | 3,603 | $ | 2,005 | $ | 28,442 | $ | 72,194 | |||||
Lending
commitments | 9,197 | 1,151 | 42 | 273 | 10,663 | ||||||||||
Total loans and lending commitments | $ | 47,341 | $ | 4,754 | $ | 2,047 | $ | 28,715 | $ | 82,857 |
$ in millions | IS | WM | Total | ||||||
Customer
receivables representing margin loans | $ | 22,216 | $ | 9,700 | $ | 31,916 |
$ in millions | IS | WM | Total | ||||||
Customer receivables representing margin loans | $ | 14,842 | $ | 11,383 | $ | 26,225 |
$ in millions | ||||||
Balance | $ | 2,980 | $ | 3,415 | ||
Allowance for loan losses | (61 | ) | (63 | ) | ||
Balance,
net | $ | 2,919 | $ | 3,352 | ||
Remaining repayment term, weighted average in years | 4.8 | 4.3 |
69 | December 2019 Form 10-K |
Risk Disclosures |
Counterparty
Credit Rating1 | ||||||||||||||||||
$ in millions | AAA | AA | A | BBB | NIG | Total | ||||||||||||
<1
year | $ | 371 | $ | 9,195 | $ | 31,789 | $ | 22,757 | $ | 6,328 | $ | 70,440 | ||||||
1-3
years | 378 | 5,150 | 17,707 | 11,495 | 9,016 | 43,746 | ||||||||||||
3-5
years | 502 | 4,448 | 9,903 | 6,881 | 3,421 | 25,155 | ||||||||||||
Over
5 years | 3,689 | 24,675 | 70,765 | 40,542 | 14,587 | 154,258 | ||||||||||||
Total,
gross | $ | 4,940 | $ | 43,468 | $ | 130,164 | $ | 81,675 | $ | 33,352 | $ | 293,599 | ||||||
Counterparty
netting | (2,172 | ) | (33,521 | ) | (103,452 | ) | (62,345 | ) | (19,514 | ) | (221,004 | ) | ||||||
Cash
and securities collateral | (2,641 | ) | (8,134 | ) | (22,319 | ) | (14,570 | ) | (10,475 | ) | (58,139 | ) | ||||||
Total,
net | $ | 127 | $ | 1,813 | $ | 4,393 | $ | 4,760 | $ | 3,363 | $ | 14,456 |
Counterparty
Credit Rating1 | ||||||||||||||||||
$ in millions | AAA | AA | A | BBB | NIG | Total | ||||||||||||
<1
year | $ | 878 | $ | 7,430 | $ | 38,718 | $ | 15,009 | $ | 7,183 | $ | 69,218 | ||||||
1-3
years | 664 | 2,362 | 22,239 | 10,255 | 7,097 | 42,617 | ||||||||||||
3-5
years | 621 | 2,096 | 11,673 | 6,014 | 2,751 | 23,155 | ||||||||||||
Over
5 years | 3,535 | 9,725 | 67,166 | 36,087 | 11,112 | 127,625 | ||||||||||||
Total,
gross | $ | 5,698 | $ | 21,613 | $ | 139,796 | $ | 67,365 | $ | 28,143 | $ | 262,615 | ||||||
Counterparty
netting | (2,325 | ) | (13,771 | ) | (113,045 | ) | (49,658 | ) | (16,681 | ) | (195,480 | ) | ||||||
Cash
and securities collateral | (3,214 | ) | (5,766 | ) | (21,931 | ) | (12,702 | ) | (8,269 | ) | (51,882 | ) | ||||||
Total,
net | $ | 159 | $ | 2,076 | $ | 4,820 | $ | 5,005 | $ | 3,193 | $ | 15,253 |
$
in millions | ||||||
Industry | ||||||
Utilities | $ | 4,275 | $ | 4,324 | ||
Financials | 3,448 | 4,480 | ||||
Healthcare | 991 | 787 | ||||
Industrials | 914 | 1,335 | ||||
Regional
governments | 791 | 779 | ||||
Information technology | 659 | 695 | ||||
Not-for-profit organizations | 657 | 583 | ||||
Energy | 524 | 199 | ||||
Sovereign
governments | 403 | 385 | ||||
Communications services | 381 | 373 | ||||
Consumer discretionary | 370 | 188 | ||||
Materials | 325 | 275 | ||||
Real
estate | 315 | 283 | ||||
Insurance | 214 | 235 | ||||
Consumer staples | 129 | 216 | ||||
Other | 60 | 116 | ||||
Total | $ | 14,456 | $ | 15,253 |
1. | Counterparty
credit ratings are determined internally by CRM. |
December
2019 Form 10-K | 70 |
Risk Disclosures |
United Kingdom | |||||||||
$ in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net
inventory1 | $ | (1,106 | ) | $ | 1,958 | $ | 852 | ||
Net counterparty exposure2 | — | 10,583 | 10,583 | ||||||
Loans | — | 2,845 | 2,845 | ||||||
Lending
commitments | — | 5,452 | 5,452 | ||||||
Exposure before hedges | (1,106 | ) | 20,838 | 19,732 | |||||
Hedges3 | (312 | ) | (1,350 | ) | (1,662 | ) | |||
Net
exposure | $ | (1,418 | ) | $ | 19,488 | $ | 18,070 |
Japan | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 2,175 | $ | 776 | $ | 2,951 | |||
Net
counterparty exposure2 | 26 | 3,657 | 3,683 | ||||||
Loans | — | 730 | 730 | ||||||
Lending
commitments | — | 2 | 2 | ||||||
Exposure before hedges | 2,201 | 5,165 | 7,366 | ||||||
Hedges3 | (93 | ) | (131 | ) | (224 | ) | |||
Net
exposure | $ | 2,108 | $ | 5,034 | $ | 7,142 |
Germany | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (352 | ) | $ | 228 | $ | (124 | ) | |
Net
counterparty exposure2 | 100 | 2,383 | 2,483 | ||||||
Loans | — | 1,610 | 1,610 | ||||||
Lending
commitments | — | 3,685 | 3,685 | ||||||
Exposure before hedges | (252 | ) | 7,906 | 7,654 | |||||
Hedges3 | (230 | ) | (869 | ) | (1,099 | ) | |||
Net
exposure | $ | (482 | ) | $ | 7,037 | $ | 6,555 |
Spain | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 182 | $ | (80 | ) | $ | 102 | ||
Net
counterparty exposure2 | — | 270 | 270 | ||||||
Loans | — | 3,828 | 3,828 | ||||||
Lending
commitments | — | 745 | 745 | ||||||
Exposure before hedges | 182 | 4,763 | 4,945 | ||||||
Hedges3 | — | (137 | ) | (137 | ) | ||||
Net
exposure | $ | 182 | $ | 4,626 | $ | 4,808 |
China | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (637 | ) | $ | 1,007 | $ | 370 | ||
Net
counterparty exposure2 | 47 | 200 | 247 | ||||||
Loans | — | 1,950 | 1,950 | ||||||
Lending
commitments | — | 1,716 | 1,716 | ||||||
Exposure before hedges | (590 | ) | 4,873 | 4,283 | |||||
Hedges3 | (82 | ) | (80 | ) | (162 | ) | |||
Net
exposure | $ | (672 | ) | $ | 4,793 | $ | 4,121 |
France | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (1,720 | ) | $ | 181 | $ | (1,539 | ) | |
Net
counterparty exposure2 | — | 2,070 | 2,070 | ||||||
Loans | — | 620 | 620 | ||||||
Lending
commitments | — | 3,375 | 3,375 | ||||||
Exposure before hedges | (1,720 | ) | 6,246 | 4,526 | |||||
Hedges3 | (6 | ) | (600 | ) | (606 | ) | |||
Net
exposure | $ | (1,726 | ) | $ | 5,646 | $ | 3,920 |
Canada | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (490 | ) | $ | 236 | $ | (254 | ) | |
Net
counterparty exposure2 | 109 | 2,000 | 2,109 | ||||||
Loans | — | 182 | 182 | ||||||
Lending
commitments | — | 1,439 | 1,439 | ||||||
Exposure before hedges | (381 | ) | 3,857 | 3,476 | |||||
Hedges3 | — | (152 | ) | (152 | ) | ||||
Net
exposure | $ | (381 | ) | $ | 3,705 | $ | 3,324 |
71 | December 2019 Form 10-K |
Risk Disclosures |
Netherlands | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 46 | $ | 545 | $ | 591 | |||
Net
counterparty exposure2 | — | 748 | 748 | ||||||
Loans | — | 946 | 946 | ||||||
Lending
commitments | — | 1,103 | 1,103 | ||||||
Exposure before hedges | 46 | 3,342 | 3,388 | ||||||
Hedges3 | (32 | ) | (158 | ) | (190 | ) | |||
Net
exposure | $ | 14 | $ | 3,184 | $ | 3,198 |
Australia | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 761 | $ | 293 | $ | 1,054 | |||
Net
counterparty exposure2 | 17 | 632 | 649 | ||||||
Loans | — | 291 | 291 | ||||||
Lending
commitments | — | 978 | 978 | ||||||
Exposure before hedges | 778 | 2,194 | 2,972 | ||||||
Hedges3 | — | (103 | ) | (103 | ) | ||||
Net
exposure | $ | 778 | $ | 2,091 | $ | 2,869 |
India | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 1,273 | $ | 556 | $ | 1,829 | |||
Net
counterparty exposure2 | — | 518 | 518 | ||||||
Loans | — | 247 | 247 | ||||||
Exposure
before hedges | 1,273 | 1,321 | 2,594 | ||||||
Net exposure | $ | 1,273 | $ | 1,321 | $ | 2,594 |
1. | Net
inventory represents exposure to both long and short single-name and index positions (i.e., bonds and equities at fair value and CDS based on a notional amount assuming zero recovery adjusted for the fair value of any receivable or payable). |
2. | Net counterparty exposure (e.g., repurchase transactions, securities lending and OTC derivatives) is net of the benefit of collateral received and also is net by counterparty when legally enforceable master netting agreements are in place. For more information, see “Additional Information—Top 10 Non-U.S. Country Exposures” herein. |
3. | Amounts
represent net CDS hedges (purchased and sold) on net counterparty exposure and lending executed by trading desks responsible for hedging counterparty and lending credit risk exposures. Amounts are based on the CDS notional amount assuming zero recovery adjusted for any fair value receivable or payable. For further description of the contractual terms for purchased credit protection and whether they may limit the effectiveness of our hedges, see “Quantitative and Qualitative Disclosures about Risk—Credit Risk—Derivatives" herein. |
$
in millions | ||||
Counterparty credit exposure | Collateral2 | |||
Germany | Italy and Germany | $ | 11,478 | |
United
Kingdom | U.K., U.S. and Spain | 9,374 | ||
Other | Japan, U.S. and France | 17,312 |
1. | The benefit of collateral received is reflected in the Top 10 Non-U.S. Country Exposures at December
31, 2019. |
2. | Collateral primarily consists of cash and government obligations. |
December 2019 Form 10-K | 72 |
Risk Disclosures |
73 | December 2019 Form 10-K |
Risk
Disclosures |
December 2019 Form 10-K |
74 |
75 | December 2019 Form 10-K |
• | We tested the design and operating effectiveness of the Firm’s valuation controls, including model review and price verification for the appropriateness of valuation methodology including inputs and assumptions used. |
• | We
independently evaluated the appropriateness of management’s significant valuation methodologies, including the input assumptions, considering the expected assumptions of other market participants, and external data, when available. |
• | We developed independent valuation estimates for certain financial instrument selections, using externally sourced inputs and independent valuation models, and used such estimates to further evaluate management’s fair value measurement by investigating the differences exceeding established thresholds between our estimate and that of the Firm, including; comparing the fair value estimate with similar transactions; and, evaluating the Firm’s assumptions inclusive of the inputs. |
• | We
tested the revenues arising from the valuation estimate on trade date for certain structured transactions involving Level 3 financial instruments. In performing such procedures, we also developed independent valuation estimates for certain structured transaction selections, as well as tested the valuation assumptions and methodologies used by the Company. Those procedures also included evaluating whether the methods were consistent with relevant Company valuation policies and agreeing relevant cash flows to underlying support. |
• | We assessed the consistency by which management has applied significant and unobservable valuation assumptions. |
• | We
performed a retrospective assessment of management’s valuation estimates for a sample of financial instrument selections by comparing such estimates to relevant transactions. |
December
2019 Form 10-K | 76 |
Consolidated Income Statements |
in
millions, except per share data | 2019 | 2018 | 2017 | ||||||
Revenues | |||||||||
Investment banking | $ | i 6,163 | $ | i 6,482 | $ | i 6,003 | |||
Trading | i 11,095 | i 11,551 | i 11,116 | ||||||
Investments | i 1,540 | i 437 | i 820 | ||||||
Commissions
and fees | i 3,919 | i 4,190 | i 4,061 | ||||||
Asset
management | i 13,083 | i 12,898 | i 11,797 | ||||||
Other | i 925 | i 743 | i 848 | ||||||
Total
non-interest revenues | i 36,725 | i 36,301 | i 34,645 | ||||||
Interest
income | i 17,098 | i 13,892 | i 8,997 | ||||||
Interest
expense | i 12,404 | i 10,086 | i 5,697 | ||||||
Net
interest | i 4,694 | i 3,806 | i 3,300 | ||||||
Net
revenues | i 41,419 | i 40,107 | i 37,945 | ||||||
Non-interest
expenses | |||||||||
Compensation and benefits | i 18,837 | i 17,632 | i 17,166 | ||||||
Occupancy
and equipment | i 1,428 | i 1,391 | i 1,329 | ||||||
Brokerage,
clearing and exchange fees | i 2,493 | i 2,393 | i 2,093 | ||||||
Information
processing and communications | i 2,194 | i 2,016 | i 1,791 | ||||||
Marketing
and business development | i 660 | i 691 | i 609 | ||||||
Professional
services | i 2,137 | i 2,265 | i 2,169 | ||||||
Other | i 2,369 | i 2,482 | i 2,385 | ||||||
Total
non-interest expenses | i 30,118 | i 28,870 | i 27,542 | ||||||
Income
from continuing operations before income taxes | i 11,301 | i 11,237 | i 10,403 | ||||||
Provision
for income taxes | i 2,064 | i 2,350 | i 4,168 | ||||||
Income
from continuing operations | i 9,237 | i 8,887 | i 6,235 | ||||||
Income
(loss) from discontinued operations, net of income taxes | i — | ( i 4 | ) | ( i 19 | ) | ||||
Net
income | $ | i 9,237 | $ | i 8,883 | $ | i 6,216 | |||
Net
income applicable to noncontrolling interests | i 195 | i 135 | i 105 | ||||||
Net
income applicable to Morgan Stanley | $ | i 9,042 | $ | i 8,748 | $ | i 6,111 | |||
Preferred
stock dividends and other | i 530 | i 526 | i 523 | ||||||
Earnings
applicable to Morgan Stanley common shareholders | $ | i 8,512 | $ | i 8,222 | $ | i 5,588 | |||
Earnings
per basic common share | |||||||||
Income from continuing operations | $ | i 5.26 | $ | i 4.81 | $ | i 3.15 | |||
Income
(loss) from discontinued operations | i — | i — | ( i 0.01 | ) | |||||
Earnings
per basic common share | $ | i 5.26 | $ | i 4.81 | $ | i 3.14 | |||
Earnings
per diluted common share | |||||||||
Income from continuing operations | $ | i 5.19 | $ | i 4.73 | $ | i 3.08 | |||
Income
(loss) from discontinued operations | i — | i — | ( i 0.01 | ) | |||||
Earnings
per diluted common share | $ | i 5.19 | $ | i 4.73 | $ | i 3.07 | |||
Average
common shares outstanding | |||||||||
Basic | i 1,617 | i 1,708 | i 1,780 | ||||||
Diluted | i 1,640 | i 1,738 | i 1,821 |
See
Notes to Consolidated Financial Statements | 77 | December 2019 Form 10-K |
Consolidated Comprehensive Income Statements |
$
in millions | 2019 | 2018 | 2017 | ||||||
Net income | $ | i 9,237 | $ | i 8,883 | $ | i 6,216 | |||
Other
comprehensive income (loss), net of tax: | |||||||||
Foreign currency translation adjustments | $ | i 3 | $ | ( i 90 | ) | $ | i 251 | ||
Change
in net unrealized gains (losses) on available-for-sale securities | i 1,137 | ( i 272 | ) | i 41 | |||||
Pension,
postretirement and other | ( i 66 | ) | i 137 | ( i 117 | ) | ||||
Change
in net debt valuation adjustment | ( i 1,639 | ) | i 1,517 | ( i 588 | ) | ||||
Total
other comprehensive income (loss) | $ | ( i 565 | ) | $ | i 1,292 | $ | ( i 413 | ) | |
Comprehensive
income | $ | i 8,672 | $ | i 10,175 | $ | i 5,803 | |||
Net
income applicable to noncontrolling interests | i 195 | i 135 | i 105 | ||||||
Other
comprehensive income (loss) applicable to noncontrolling interests | ( i 69 | ) | i 87 | i 4 | |||||
Comprehensive
income applicable to Morgan Stanley | $ | i 8,546 | $ | i 9,953 | $ | i 5,694 |
December
2019 Form 10-K | 78 | See Notes to Consolidated Financial Statements |
Consolidated Balance Sheets |
$
in millions, except share data | ||||||
Assets | ||||||
Cash and cash equivalents: | ||||||
Cash and due from banks | $ | i 4,293 | $ | i 30,541 | ||
Interest
bearing deposits with banks | i 45,366 | i 21,299 | ||||
Restricted
cash | i 32,512 | i 35,356 | ||||
Trading
assets at fair value ($128,386 and $120,437 were pledged to various parties) | i 297,110 | i 266,299 | ||||
Investment
securities (includes $62,223 and $61,061 at fair value) | i 105,725 | i 91,832 | ||||
Securities
purchased under agreements to resell (includes $4 and $— at fair value) | i 88,224 | i 98,522 | ||||
Securities
borrowed | i 106,549 | i 116,313 | ||||
Customer
and other receivables | i 55,646 | i 53,298 | ||||
Loans: | ||||||
Held
for investment (net of allowance of $349 and $238) | i 118,060 | i 99,815 | ||||
Held
for sale | i 12,577 | i 15,764 | ||||
Goodwill | i 7,143 | i 6,688 | ||||
Intangible
assets (net of accumulated amortization of $3,204 and $2,877) | i 2,107 | i 2,163 | ||||
Other
assets | i 20,117 | i 15,641 | ||||
Total
assets | $ | i 895,429 | $ | i 853,531 | ||
Liabilities | ||||||
Deposits
(includes $2,099 and $442 at fair value) | $ | i 190,356 | $ | i 187,820 | ||
Trading
liabilities at fair value | i 133,356 | i 126,747 | ||||
Securities
sold under agreements to repurchase (includes $733 and $812 at fair value) | i 54,200 | i 49,759 | ||||
Securities
loaned | i 8,506 | i 11,908 | ||||
Other
secured financings (includes $7,809 and $5,245 at fair value) | i 14,698 | i 9,466 | ||||
Customer
and other payables | i 197,834 | i 179,559 | ||||
Other
liabilities and accrued expenses | i 21,155 | i 17,204 | ||||
Borrowings
(includes $64,461 and $51,184 at fair value) | i 192,627 | i 189,662 | ||||
Total
liabilities | i 812,732 | i 772,125 | ||||
Commitments
and contingent liabilities (see Note 13) | i | i | ||||
Equity | ||||||
Morgan
Stanley shareholders’ equity: | ||||||
Preferred stock | i 8,520 | i 8,520 | ||||
Common
stock, $0.01 par value: | ||||||
Shares authorized: 3,500,000,000; Shares issued: 2,038,893,979; Shares outstanding: 1,593,973,680 and 1,699,828,943 | i 20 | i 20 | ||||
Additional
paid-in capital | i 23,935 | i 23,794 | ||||
Retained
earnings | i 70,589 | i 64,175 | ||||
Employee
stock trusts | i 2,918 | i 2,836 | ||||
Accumulated
other comprehensive income (loss) | ( i 2,788 | ) | ( i 2,292 | ) | ||
Common
stock held in treasury at cost, $0.01 par value (444,920,299 and 339,065,036 shares) | ( i 18,727 | ) | ( i 13,971 | ) | ||
Common
stock issued to employee stock trusts | ( i 2,918 | ) | ( i 2,836 | ) | ||
Total
Morgan Stanley shareholders’ equity | i 81,549 | i 80,246 | ||||
Noncontrolling
interests | i 1,148 | i 1,160 | ||||
Total
equity | i 82,697 | i 81,406 | ||||
Total
liabilities and equity | $ | i 895,429 | $ | i 853,531 |
See
Notes to Consolidated Financial Statements | 79 | December 2019 Form 10-K |
Consolidated Statements of Changes in Total Equity |
$
in millions | 2019 | 2018 | 2017 | ||||||
Preferred Stock | |||||||||
Beginning Balance | $ | i 8,520 | $ | i 8,520 | $ | i 7,520 | |||
Issuance
of preferred stock | i 500 | i — | i 1,000 | ||||||
Redemption
of preferred stock1 | ( i 500 | ) | i — | i — | |||||
Ending
balance | i 8,520 | i 8,520 | i 8,520 | ||||||
Common
Stock | |||||||||
Beginning and ending balance | i 20 | i 20 | i 20 | ||||||
Additional
Paid-in Capital | |||||||||
Beginning balance | i 23,794 | i 23,545 | i 23,271 | ||||||
Cumulative
adjustments for accounting changes2 | i — | i — | i 45 | ||||||
Share-based
award activity | i 131 | i 249 | i 306 | ||||||
Issuance
of preferred stock | ( i 3 | ) | i — | ( i 6 | ) | ||||
Other
net increases (decreases) | i 13 | i — | ( i 71 | ) | |||||
Ending
balance | i 23,935 | i 23,794 | i 23,545 | ||||||
Retained
Earnings | |||||||||
Beginning balance | i 64,175 | i 57,577 | i 53,679 | ||||||
Cumulative
adjustments for accounting changes2 | i 63 | i 306 | ( i 35 | ) | |||||
Net
income applicable to Morgan Stanley | i 9,042 | i 8,748 | i 6,111 | ||||||
Preferred
stock dividends3 | ( i 524 | ) | ( i 526 | ) | ( i 523 | ) | |||
Common
stock dividends3 | ( i 2,161 | ) | ( i 1,930 | ) | ( i 1,655 | ) | |||
Other
net increases (decreases) | ( i 6 | ) | i — | i — | |||||
Ending
balance | i 70,589 | i 64,175 | i 57,577 | ||||||
Employee
Stock Trusts | |||||||||
Beginning balance | i 2,836 | i 2,907 | i 2,851 | ||||||
Share-based
award activity | i 82 | ( i 71 | ) | i 56 | |||||
Ending
balance | i 2,918 | i 2,836 | i 2,907 | ||||||
Accumulated
Other Comprehensive Income (Loss) | |||||||||
Beginning balance | ( i 2,292 | ) | ( i 3,060 | ) | ( i 2,643 | ) | |||
Cumulative
adjustments for accounting changes2 | i — | ( i 437 | ) | i — | |||||
Net
change in Accumulated other comprehensive income (loss) | ( i 496 | ) | i 1,205 | ( i 417 | ) | ||||
Ending
balance | ( i 2,788 | ) | ( i 2,292 | ) | ( i 3,060 | ) | |||
Common
Stock Held In Treasury at Cost | |||||||||
Beginning balance | ( i 13,971 | ) | ( i 9,211 | ) | ( i 5,797 | ) | |||
Share-based
award activity | i 1,198 | i 806 | i 878 | ||||||
Repurchases
of common stock and employee tax withholdings | ( i 5,954 | ) | ( i 5,566 | ) | ( i 4,292 | ) | |||
Ending
balance | ( i 18,727 | ) | ( i 13,971 | ) | ( i 9,211 | ) | |||
Common
Stock Issued to Employee Stock Trusts | |||||||||
Beginning balance | ( i 2,836 | ) | ( i 2,907 | ) | ( i 2,851 | ) | |||
Share-based
award activity | ( i 82 | ) | i 71 | ( i 56 | ) | ||||
Ending
balance | ( i 2,918 | ) | ( i 2,836 | ) | ( i 2,907 | ) | |||
Noncontrolling
Interests | |||||||||
Beginning balance | i 1,160 | i 1,075 | i 1,127 | ||||||
Net
income applicable to noncontrolling interests | i 195 | i 135 | i 105 | ||||||
Net
change in Accumulated other comprehensive income (loss) | ( i 69 | ) | i 87 | i 4 | |||||
Other
net increases (decreases) | ( i 138 | ) | ( i 137 | ) | ( i 161 | ) | |||
Ending
balance | i 1,148 | i 1,160 | i 1,075 | ||||||
Total
Equity | $ | i 82,697 | $ | i 81,406 | $ | i 78,466 |
1. | See
Note 16 for information regarding the notice of redemption and reclassification of Series G Preferred Stock. |
2. | See Notes 2 and 16 for further information regarding cumulative adjustments for accounting changes. |
3. | See Note 16 for information regarding dividends per share for each class of stock. |
December
2019 Form 10-K | 80 | See Notes to Consolidated Financial Statements |
Consolidated Cash Flow Statements |
$
in millions | 2019 | 2018 | 2017 | ||||||
Cash flows from operating activities | |||||||||
Net income | $ | i 9,237 | $ | i 8,883 | $ | i 6,216 | |||
Adjustments
to reconcile net income to net cash provided by (used for) operating activities: | |||||||||
Deferred income taxes | i 165 | i 449 | i 2,747 | ||||||
Stock-based
compensation expense | i 1,153 | i 920 | i 1,026 | ||||||
Depreciation
and amortization | i 2,643 | i 1,844 | i 1,753 | ||||||
Provision
for (Release of) credit losses on lending activities | i 162 | ( i 15 | ) | i 29 | |||||
Other
operating adjustments | ( i 195 | ) | i 199 | i 153 | |||||
Changes
in assets and liabilities: | |||||||||
Trading assets, net of Trading liabilities | ( i 13,668 | ) | i 23,732 | ( i 27,588 | ) | ||||
Securities
borrowed | i 9,764 | i 7,697 | i 1,226 | ||||||
Securities
loaned | ( i 3,402 | ) | ( i 1,684 | ) | ( i 2,252 | ) | |||
Customer
and other receivables and other assets | i 233 | ( i 728 | ) | ( i 9,315 | ) | ||||
Customer
and other payables and other liabilities | i 19,942 | ( i 13,063 | ) | i 2,007 | |||||
Securities
purchased under agreements to resell | i 10,298 | ( i 14,264 | ) | i 17,697 | |||||
Securities
sold under agreements to repurchase | i 4,441 | ( i 6,665 | ) | i 1,796 | |||||
Net
cash provided by (used for) operating activities | i 40,773 | i 7,305 | ( i 4,505 | ) | |||||
Cash
flows from investing activities | |||||||||
Proceeds from (payments for): | |||||||||
Other assets—Premises, equipment and software, net | ( i 1,826 | ) | ( i 1,865 | ) | ( i 1,629 | ) | |||
Changes
in loans, net | ( i 17,359 | ) | ( i 8,794 | ) | ( i 12,125 | ) | |||
Investment
securities: | |||||||||
Purchases | ( i 42,586 | ) | ( i 27,800 | ) | ( i 23,962 | ) | |||
Proceeds
from sales | i 17,151 | i 3,208 | i 18,131 | ||||||
Proceeds
from paydowns and maturities | i 12,012 | i 12,668 | i 7,445 | ||||||
Other
investing activities | ( i 953 | ) | ( i 298 | ) | ( i 251 | ) | |||
Net
cash provided by (used for) investing activities | ( i 33,561 | ) | ( i 22,881 | ) | ( i 12,391 | ) | |||
Cash
flows from financing activities | |||||||||
Net proceeds from (payments for): | |||||||||
Other secured financings | i 3,695 | ( i 1,226 | ) | ( i 1,573 | ) | ||||
Deposits | i 2,513 | i 28,384 | i 3,573 | ||||||
Proceeds
from: | |||||||||
Issuance of preferred stock, net of issuance costs | i 497 | i — | i 994 | ||||||
Issuance
of Borrowings | i 30,605 | i 40,059 | i 55,416 | ||||||
Payments
for: | |||||||||
Borrowings | ( i 40,548 | ) | ( i 34,781 | ) | ( i 35,825 | ) | |||
Repurchases
of common stock and employee tax withholdings | ( i 5,954 | ) | ( i 5,566 | ) | ( i 4,292 | ) | |||
Cash
dividends | ( i 2,627 | ) | ( i 2,375 | ) | ( i 2,085 | ) | |||
Other
financing activities | ( i 147 | ) | ( i 290 | ) | i 53 | ||||
Net
cash provided by (used for) financing activities | ( i 11,966 | ) | i 24,205 | i 16,261 | |||||
Effect
of exchange rate changes on cash and cash equivalents | ( i 271 | ) | ( i 1,828 | ) | i 3,670 | ||||
Net
increase (decrease) in cash and cash equivalents | ( i 5,025 | ) | i 6,801 | i 3,035 | |||||
Cash
and cash equivalents, at beginning of period | i 87,196 | i 80,395 | i 77,360 | ||||||
Cash
and cash equivalents, at end of period | $ | i 82,171 | $ | i 87,196 | $ | i 80,395 | |||
Cash
and cash equivalents: | |||||||||
Cash and due from banks | $ | i 4,293 | $ | i 30,541 | $ | i 24,816 | |||
Interest
bearing deposits with banks | i 45,366 | i 21,299 | i 21,348 | ||||||
Restricted
cash | i 32,512 | i 35,356 | i 34,231 | ||||||
Cash
and cash equivalents, at end of period | $ | i 82,171 | $ | i 87,196 | $ | i 80,395 | |||
Supplemental
Disclosure of Cash Flow Information | |||||||||
Cash payments for: | |||||||||
Interest | $ | i 12,511 | $ | i 9,977 | $ | i 5,377 | |||
Income
taxes, net of refunds | i 1,908 | i 1,377 | i 1,390 |
See
Notes to Consolidated Financial Statements | 81 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
December 2019 Form 10-K | 82 |
Notes
to Consolidated Financial Statements |
83 | December 2019 Form 10-K |
Notes
to Consolidated Financial Statements |
December
2019 Form 10-K | 84 |
Notes to Consolidated Financial Statements |
85 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
December 2019 Form 10-K | 86 |
Notes to Consolidated Financial Statements |
• | the length
of time and the extent to which the fair value has been less than the amortized cost basis; |
• | adverse conditions specifically related to the security, its industry or geographic area; |
• | changes in the financial condition of the issuer of the security, the presence of explicit or implicit guarantees of repayment by the U.S. Government for U.S. Government and Agency securities or, in the case of an asset-backed debt security, changes in the financial condition of the underlying loan obligors; |
• | the
historical and implied volatility of the fair value of the security; |
• | the payment structure of the debt security and the likelihood of the issuer being able to make payments that increase in the future; |
• | failure of the issuer of the security to make scheduled interest or principal payments; |
• | the
current rating and any changes to the rating of the security by a rating agency; |
• | recoveries or additional declines in fair value after the balance sheet date. |
87 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
December 2019 Form 10-K | 88 |
Notes to Consolidated Financial Statements |
89 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
in years | Estimated Useful Life |
Buildings | i 39 |
Leasehold improvements—Building | term
of lease to 25 |
Leasehold improvements—Other | term of lease to 15 |
Furniture and fixtures | i 7 |
Computer and communications equipment | 3 to 9 |
Power
generation assets | 15 to 29 |
Software costs | 2 to 10 |
December
2019 Form 10-K | 90 |
Notes to Consolidated Financial Statements |
91 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
December
2019 Form 10-K | 92 |
Notes to Consolidated Financial Statements |
$ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | ||||||||||
Assets
at fair value | |||||||||||||||
Trading assets: | |||||||||||||||
U.S. Treasury and agency securities | $ | i 36,866 | $ | i 28,992 | $ | i 22 | $ | — | $ | i 65,880 | |||||
Other sovereign
government obligations | i 23,402 | i 4,347 | i 5 | — | i 27,754 | ||||||||||
State
and municipal securities | i — | i 2,790 | i 1 | — | i 2,791 | ||||||||||
MABS | i — | i 1,690 | i 438 | — | i 2,128 | ||||||||||
Loans
and lending commitments2 | i — | i 6,253 | i 5,073 | — | i 11,326 | ||||||||||
Corporate
and other debt | i — | i 22,124 | i 1,396 | — | i 23,520 | ||||||||||
Corporate
equities3 | i 123,942 | i 652 | i 97 | — | i 124,691 | ||||||||||
Derivative
and other contracts: | |||||||||||||||
Interest rate | i 1,265 | i 182,977 | i 1,239 | — | i 185,481 | ||||||||||
Credit | i — | i 6,658 | i 654 | — | i 7,312 | ||||||||||
Foreign
exchange | i 15 | i 64,260 | i 145 | — | i 64,420 | ||||||||||
Equity | i 1,219 | i 48,927 | i 922 | — | i 51,068 | ||||||||||
Commodity
and other | i 1,079 | i 7,255 | i 2,924 | — | i 11,258 | ||||||||||
Netting1 | ( i 2,794 | ) | ( i 235,947 | ) | ( i 993 | ) | ( i 47,804 | ) | ( i 287,538 | ) | |||||
Total
derivative and other contracts | i 784 | i 74,130 | i 4,891 | ( i 47,804 | ) | i 32,001 | |||||||||
Investments4 | i 481 | i 252 | i 858 | — | i 1,591 | ||||||||||
Physical
commodities | i — | i 1,907 | i — | — | i 1,907 | ||||||||||
Total
trading assets4 | i 185,475 | i 143,137 | i 12,781 | ( i 47,804 | ) | i 293,589 | |||||||||
Investment
securities —AFS | i 32,902 | i 29,321 | i — | — | i 62,223 | ||||||||||
Securities
purchased under agreements to resell | i — | i 4 | i — | — | i 4 | ||||||||||
Total
assets at fair value | $ | i 218,377 | $ | i 172,462 | $ | i 12,781 | $ | ( i 47,804 | ) | $ | i 355,816 |
$ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | ||||||||||
Liabilities
at fair value | |||||||||||||||
Deposits | $ | i — | $ | i 1,920 | $ | i 179 | $ | — | $ | i 2,099 | |||||
Trading
liabilities: | |||||||||||||||
U.S. Treasury and agency securities | i 11,191 | i 34 | i — | — | i 11,225 | ||||||||||
Other sovereign
government obligations | i 21,837 | i 1,332 | i 1 | — | i 23,170 | ||||||||||
Corporate
and other debt | i — | i 7,410 | i — | — | i 7,410 | ||||||||||
Corporate
equities3 | i 63,002 | i 79 | i 36 | — | i 63,117 | ||||||||||
Derivative
and other contracts: | |||||||||||||||
Interest rate | i 1,144 | i 171,025 | i 462 | — | i 172,631 | ||||||||||
Credit | i — | i 7,391 | i 530 | — | i 7,921 | ||||||||||
Foreign
exchange | i 6 | i 67,473 | i 176 | — | i 67,655 | ||||||||||
Equity | i 1,200 | i 49,062 | i 2,606 | — | i 52,868 | ||||||||||
Commodity
and other | i 1,194 | i 7,118 | i 1,312 | — | i 9,624 | ||||||||||
Netting1 | ( i 2,794 | ) | ( i 235,947 | ) | ( i 993 | ) | ( i 42,531 | ) | ( i 282,265 | ) | |||||
Total
derivative and other contracts | i 750 | i 66,122 | i 4,093 | ( i 42,531 | ) | i 28,434 | |||||||||
Total
trading liabilities | i 96,780 | i 74,977 | i 4,130 | ( i 42,531 | ) | i 133,356 | |||||||||
Securities
sold under agreements to repurchase | i — | i 733 | i — | — | i 733 | ||||||||||
Other
secured financings | i — | i 7,700 | i 109 | — | i 7,809 | ||||||||||
Borrowings | i — | i 60,373 | i 4,088 | — | i 64,461 | ||||||||||
Total
liabilities at fair value | $ | i 96,780 | $ | i 145,703 | $ | i 8,506 | $ | ( i 42,531 | ) | $ | i 208,458 |
93 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
$ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | ||||||||||
Assets at fair value | |||||||||||||||
Trading
assets: | |||||||||||||||
U.S. Treasury and agency securities | $ | i 38,767 | $ | i 29,594 | $ | i 54 | $ | — | $ | i 68,415 | |||||
Other sovereign
government obligations | i 28,395 | i 5,529 | i 17 | — | i 33,941 | ||||||||||
State
and municipal securities | i — | i 3,161 | i 148 | — | i 3,309 | ||||||||||
MABS | i — | i 2,154 | i 354 | — | i 2,508 | ||||||||||
Loans
and lending commitments2 | i — | i 4,055 | i 6,870 | — | i 10,925 | ||||||||||
Corporate
and other debt | i — | i 18,129 | i 1,076 | — | i 19,205 | ||||||||||
Corporate
equities3 | i 93,626 | i 522 | i 95 | — | i 94,243 | ||||||||||
Derivative
and other contracts: | |||||||||||||||
Interest rate | i 2,793 | i 155,027 | i 1,045 | — | i 158,865 | ||||||||||
Credit | i — | i 5,707 | i 421 | — | i 6,128 | ||||||||||
Foreign
exchange | i 62 | i 63,023 | i 161 | — | i 63,246 | ||||||||||
Equity | i 1,256 | i 45,596 | i 1,022 | — | i 47,874 | ||||||||||
Commodity
and other | i 963 | i 8,517 | i 2,992 | — | i 12,472 | ||||||||||
Netting1 | ( i 4,151 | ) | ( i 210,190 | ) | ( i 896 | ) | ( i 44,175 | ) | ( i 259,412 | ) | |||||
Total
derivative and other contracts | i 923 | i 67,680 | i 4,745 | ( i 44,175 | ) | i 29,173 | |||||||||
Investments4 | i 412 | i 293 | i 757 | — | i 1,462 | ||||||||||
Physical
commodities | i — | i 536 | i — | — | i 536 | ||||||||||
Total
trading assets4 | i 162,123 | i 131,653 | i 14,116 | ( i 44,175 | ) | i 263,717 | |||||||||
Investment
securities —AFS | i 36,399 | i 24,662 | i — | — | i 61,061 | ||||||||||
Intangible
assets | i — | i 5 | i — | — | i 5 | ||||||||||
Total
assets at fair value | $ | i 198,522 | $ | i 156,320 | $ | i 14,116 | $ | ( i 44,175 | ) | $ | i 324,783 |
$ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | ||||||||||
Liabilities at fair value | |||||||||||||||
Deposits | $ | i — | $ | i 415 | $ | i 27 | $ | — | $ | i 442 | |||||
Trading
liabilities: | |||||||||||||||
U.S. Treasury and agency securities | i 11,272 | i 543 | i — | — | i 11,815 | ||||||||||
Other sovereign
government obligations | i 21,391 | i 1,454 | i — | — | i 22,845 | ||||||||||
Corporate
and other debt | i — | i 8,550 | i 1 | — | i 8,551 | ||||||||||
Corporate
equities3 | i 56,064 | i 199 | i 15 | — | i 56,278 | ||||||||||
Derivative
and other contracts: | |||||||||||||||
Interest rate | i 2,927 | i 142,746 | i 427 | — | i 146,100 | ||||||||||
Credit | i — | i 5,772 | i 381 | — | i 6,153 | ||||||||||
Foreign
exchange | i 41 | i 63,379 | i 86 | — | i 63,506 | ||||||||||
Equity | i 1,042 | i 47,091 | i 2,507 | — | i 50,640 | ||||||||||
Commodity
and other | i 1,228 | i 6,872 | i 940 | — | i 9,040 | ||||||||||
Netting1 | ( i 4,151 | ) | ( i 210,190 | ) | ( i 896 | ) | ( i 32,944 | ) | ( i 248,181 | ) | |||||
Total
derivative and other contracts | i 1,087 | i 55,670 | i 3,445 | ( i 32,944 | ) | i 27,258 | |||||||||
Total
trading liabilities | i 89,814 | i 66,416 | i 3,461 | ( i 32,944 | ) | i 126,747 | |||||||||
Securities
sold under agreements to repurchase | i — | i 812 | i — | — | i 812 | ||||||||||
Other
secured financings | i — | i 5,037 | i 208 | — | i 5,245 | ||||||||||
Borrowings | i — | i 47,378 | i 3,806 | — | i 51,184 | ||||||||||
Total
liabilities at fair value | $ | i 89,814 | $ | i 120,058 | $ | i 7,502 | $ | ( i 32,944 | ) | $ | i 184,430 |
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 5. |
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. |
$ in millions | ||||||
Corporate | $ | i 8,036 | $ | i 9,171 | ||
Residential
real estate | i 1,192 | i 1,153 | ||||
Commercial
real estate | i 2,098 | i 601 | ||||
Total | $ | i 11,326 | $ | i 10,925 |
$ in millions | ||||||
Customer and other receivables, net | $ | i 365 | $ | i 615 |
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. |
December 2019 Form 10-K | 94 |
Notes to Consolidated Financial Statements |
Asset and Liability/Valuation Technique | Valuation Hierarchy Classification |
U.S. Treasury
and Agency Securities | |
U.S. Treasury Securities | • Level 1 |
• Fair value is determined using quoted market prices. | |
U.S. Agency Securities | • Level 1 - on-the-run agency issued debt securities if actively traded and inputs are observable • Generally 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 |
• 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. | |
Other
Sovereign Government Obligations | • Generally Level 1 • Level 2 - if the market is less active or prices are dispersed • Level 3 - in instances where the prices are unobservable |
• 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. | |
State and Municipal Securities | • Generally Level 2 - if value based on observable market data for comparable instruments •
Level 3 in instances where market data is not observable |
• 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. | |
RMBS, CMBS, ABS (collectively known as Mortgage- and Asset-backed securities (“MABS”)) | • Generally Level 2 - if value based on observable market data for comparable instruments • Level 3 - if external prices or significant spread inputs are unobservable, or if the comparability assessment involves significant subjectivity related to property type differences, cash flows, performance or other inputs |
•
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. | |
Loans and Lending Commitments | • Level 2 - if value based on observable market data for comparable instruments • Level 3 - in instances where prices or significant spread inputs are unobservable |
• 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 estimated credit losses. The estimated credit losses are derived by benchmarking to market observable CDS spreads, implied debt yields or volatility metrics of the loan collateral. | |
Corporate
and Other Debt | |
Corporate Bonds | • Generally Level 2 - if value based on observable market data for comparable instruments • Level 3 - in instances where prices or significant spread inputs are unobservable |
• 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 as significant inputs. | |
95 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
Asset and Liability/Valuation Technique | Valuation Hierarchy Classification |
CDO | • 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 |
• 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. | |
Corporate Equities | • Generally Level 1 - exchange-traded securities and fund units if actively traded • Level 2 - exchange-traded securities if not actively traded, or if undergoing a recent M&A event or corporate action • Level 3 - exchange-traded securities if not actively traded, or if undergoing an aged M&A event or corporate action |
• Exchange-traded equity securities
are generally valued based on quoted prices from the exchange. To the extent these securities are actively traded, valuation adjustments are not applied. • 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 NAV if not. Unlisted fund units are generally marked to NAV. | |
Derivative and Other Contracts | |
Listed
Derivative Contracts | • Level 1 - listed derivatives that are actively traded • Level 2 - listed derivatives that are not actively traded |
• Listed derivatives that are actively traded are valued based on quoted prices from the exchange. • Listed derivatives that are not actively traded are valued using the same techniques as those applied to OTC derivatives as noted below. | |
OTC Derivative Contracts | •
Generally Level 2 - OTC derivative products valued using observable inputs, or where the unobservable input is not deemed significant • Level 3 - OTC derivative products for which the unobservable input is deemed significant |
• 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. | |
Investments | • Level 1 - exchange-traded direct equity investments in an active market • Level 2 - non-exchange-traded direct equity investments and investments in various investment management funds if valued based on rounds of financing or third-party
transactions; exchange-traded direct equity investments if not actively traded • Level 3 - non-exchange-traded direct equity investments and investments in various investment management funds where rounds of financing or third-party transactions are not available |
• 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. | |
Physical Commodities | •
Level 2 |
• The Firm trades various physical commodities, including natural gas and precious metals. • Fair value is determined using observable inputs, including broker quotations and published indices. | |
December 2019 Form 10-K | 96 |
Notes to Consolidated Financial Statements |
Asset and Liability/Valuation Technique | Valuation Hierarchy Classification |
Investment Securities—AFS Securities | • For further information on the determination
of valuation hierarchy classification, see the corresponding Valuation Hierarchy Classification described herein. |
• 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, and corporate bonds. For further information on the determination of fair value, refer to the corresponding asset/liability Valuation Technique described herein for the same instruments. | |
Deposits | • Generally Level 2 • Level 3 - in instances
where the unobservable input is deemed significant |
Certificates of Deposit | |
• 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. | |
Securities Purchased under Agreements to Resell
and Securities Sold under Agreements to Repurchase | • Generally Level 2 |
• 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). | |
Other Secured Financings | • For further information on the determination of valuation hierarchy classification, see the corresponding Valuation Hierarchy Classification described herein. |
•
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 contracts which are not classified as OTC derivatives because they fail net investment criteria. For further information on the determination of valuation hierarchy classification, see the corresponding Valuation Hierarchy Classification described herein. | |
Borrowings | • Generally Level 2 • Level 3 - in instances where the unobservable inputs are deemed significant |
•
The Firm carries certain borrowings at fair value which 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. • 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. |
97 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
$ in millions | 2019 | 2018 | 2017 | ||||||
U.S. Treasury and agency securities | |||||||||
Beginning
balance | $ | i 54 | $ | i — | $ | i 74 | |||
Realized
and unrealized gains (losses) | i 4 | i 1 | ( i 1 | ) | |||||
Purchases | i 17 | i 53 | i — | ||||||
Sales | ( i 54 | ) | i — | ( i 240 | ) | ||||
Net
transfers | i 1 | i — | i 167 | ||||||
Ending
balance | $ | i 22 | $ | i 54 | $ | i — | |||
Unrealized
gains (losses) | $ | i 4 | $ | i 1 | $ | i — | |||
Other
sovereign government obligations | |||||||||
Beginning balance | $ | i 17 | $ | i 1 | $ | i 6 | |||
Realized
and unrealized gains (losses) | ( i 3 | ) | i — | i — | |||||
Purchases | i 7 | i 41 | i — | ||||||
Sales | ( i 6 | ) | ( i 26 | ) | ( i 5 | ) | |||
Net
transfers | ( i 10 | ) | i 1 | i — | |||||
Ending
balance | $ | i 5 | $ | i 17 | $ | i 1 | |||
Unrealized
gains (losses) | $ | ( i 3 | ) | $ | i — | $ | i — | ||
State
and municipal securities | |||||||||
Beginning balance | $ | i 148 | $ | i 8 | $ | i 250 | |||
Realized
and unrealized gains (losses) | i — | i — | i 3 | ||||||
Purchases | i — | i 147 | i 6 | ||||||
Sales | ( i 147 | ) | ( i 9 | ) | ( i 83 | ) | |||
Net
transfers | i — | i 2 | ( i 168 | ) | |||||
Ending
balance | $ | i 1 | $ | i 148 | $ | i 8 | |||
Unrealized
gains (losses) | $ | i — | $ | i — | $ | i — | |||
MABS | |||||||||
Beginning
balance | $ | i 354 | $ | i 423 | $ | i 217 | |||
Realized
and unrealized gains (losses) | ( i 16 | ) | i 82 | i 47 | |||||
Purchases | i 132 | i 177 | i 289 | ||||||
Sales | ( i 175 | ) | ( i 338 | ) | ( i 158 | ) | |||
Settlements | ( i 44 | ) | ( i 17 | ) | ( i 37 | ) | |||
Net
transfers | i 187 | i 27 | i 65 | ||||||
Ending
balance | $ | i 438 | $ | i 354 | $ | i 423 | |||
Unrealized
gains (losses) | $ | ( i 57 | ) | $ | ( i 9 | ) | $ | ( i 7 | ) |
Loans
and lending commitments | |||||||||
Beginning balance | $ | i 6,870 | $ | i 5,945 | $ | i 5,122 | |||
Realized
and unrealized gains (losses) | i 38 | ( i 100 | ) | i 182 | |||||
Purchases | i 2,337 | i 5,746 | i 3,616 | ||||||
Sales | ( i 1,268 | ) | ( i 2,529 | ) | ( i 1,561 | ) | |||
Settlements | ( i 2,291 | ) | ( i 2,281 | ) | ( i 1,463 | ) | |||
Net
transfers | ( i 613 | ) | i 89 | i 49 | |||||
Ending
balance | $ | i 5,073 | $ | i 6,870 | $ | i 5,945 | |||
Unrealized
gains (losses) | $ | ( i 9 | ) | $ | ( i 137 | ) | $ | i 131 | |
Corporate
and other debt | |||||||||
Beginning balance | $ | i 1,076 | $ | i 701 | $ | i 475 | |||
Realized
and unrealized gains (losses) | i 418 | i 106 | i 82 | ||||||
Purchases | i 650 | i 734 | i 487 | ||||||
Sales | ( i 729 | ) | ( i 251 | ) | ( i 420 | ) | |||
Settlements | ( i 7 | ) | ( i 11 | ) | ( i 9 | ) | |||
Net
transfers | ( i 12 | ) | ( i 203 | ) | i 86 | ||||
Ending
balance | $ | i 1,396 | $ | i 1,076 | $ | i 701 | |||
Unrealized
gains (losses) | $ | i 361 | $ | i 70 | $ | i 23 | |||
$
in millions | 2019 | 2018 | 2017 | ||||||
Corporate equities | |||||||||
Beginning balance | $ | i 95 | $ | i 166 | $ | i 446 | |||
Realized
and unrealized gains (losses) | ( i 8 | ) | i 29 | ( i 54 | ) | ||||
Purchases | i 32 | i 13 | i 173 | ||||||
Sales | ( i 271 | ) | ( i 161 | ) | ( i 632 | ) | |||
Net
transfers | i 249 | i 48 | i 233 | ||||||
Ending
balance | $ | i 97 | $ | i 95 | $ | i 166 | |||
Unrealized
gains (losses) | $ | i 1 | $ | i 17 | $ | ( i 6 | ) | ||
Investments | |||||||||
Beginning
balance | $ | i 757 | $ | i 1,020 | $ | i 958 | |||
Realized
and unrealized gains (losses) | i 78 | ( i 25 | ) | i 96 | |||||
Purchases | i 40 | i 149 | i 102 | ||||||
Sales | ( i 41 | ) | ( i 212 | ) | ( i 57 | ) | |||
Settlements | i — | i — | ( i 78 | ) | |||||
Net
transfers | i 24 | ( i 175 | ) | ( i 1 | ) | ||||
Ending
balance | $ | i 858 | $ | i 757 | $ | i 1,020 | |||
Unrealized
gains (losses) | $ | i 67 | $ | ( i 27 | ) | $ | i 88 | ||
Net
derivatives: Interest rate | |||||||||
Beginning balance | $ | i 618 | $ | i 1,218 | $ | i 420 | |||
Realized
and unrealized gains (losses) | i 17 | i 111 | i 322 | ||||||
Purchases | i 98 | i 63 | i 29 | ||||||
Issuances | ( i 16 | ) | ( i 19 | ) | ( i 18 | ) | |||
Settlements | i 1 | ( i 172 | ) | i 608 | |||||
Net
transfers | i 59 | ( i 583 | ) | ( i 143 | ) | ||||
Ending
balance | $ | i 777 | $ | i 618 | $ | i 1,218 | |||
Unrealized
gains (losses) | $ | i 87 | $ | i 140 | $ | i 341 | |||
Net
derivatives: Credit | |||||||||
Beginning balance | $ | i 40 | $ | i 41 | $ | ( i 373 | ) | ||
Realized
and unrealized gains (losses) | ( i 24 | ) | i 33 | ( i 43 | ) | ||||
Purchases | i 144 | i 13 | i — | ||||||
Issuances | ( i 190 | ) | ( i 95 | ) | ( i 1 | ) | |||
Settlements | i 111 | i 56 | i 455 | ||||||
Net
transfers | i 43 | ( i 8 | ) | i 3 | |||||
Ending
balance | $ | i 124 | $ | i 40 | $ | i 41 | |||
Unrealized
gains (losses) | $ | ( i 17 | ) | $ | i 23 | $ | ( i 18 | ) | |
Net
derivatives: Foreign exchange | |||||||||
Beginning balance | $ | i 75 | $ | ( i 112 | ) | $ | ( i 43 | ) | |
Realized
and unrealized gains (losses) | ( i 295 | ) | i 179 | ( i 108 | ) | ||||
Purchases | i 2 | i 3 | i — | ||||||
Issuances | i — | ( i 1 | ) | ( i 1 | ) | ||||
Settlements | i 7 | i 2 | i 31 | ||||||
Net
transfers | i 180 | i 4 | i 9 | ||||||
Ending
balance | $ | ( i 31 | ) | $ | i 75 | $ | ( i 112 | ) | |
Unrealized
gains (losses) | $ | ( i 187 | ) | $ | i 118 | $ | ( i 89 | ) | |
Net
derivatives: Equity | |||||||||
Beginning balance | $ | ( i 1,485 | ) | $ | i 1,208 | $ | i 184 | ||
Realized
and unrealized gains (losses) | ( i 260 | ) | i 305 | i 136 | |||||
Purchases | i 155 | i 122 | i 988 | ||||||
Issuances | ( i 643 | ) | ( i 1,179 | ) | ( i 524 | ) | |||
Settlements | i 242 | i 314 | i 396 | ||||||
Net
transfers1 | i 307 | ( i 2,255 | ) | i 28 | |||||
Ending
balance | $ | ( i 1,684 | ) | $ | ( i 1,485 | ) | $ | i 1,208 | |
Unrealized
gains (losses) | $ | ( i 194 | ) | $ | i 211 | $ | i 159 | ||
December
2019 Form 10-K | 98 |
Notes to Consolidated Financial Statements |
$
in millions | 2019 | 2018 | 2017 | ||||||
Net derivatives: Commodity and other | |||||||||
Beginning balance | $ | i 2,052 | $ | i 1,446 | $ | i 1,600 | |||
Realized
and unrealized gains (losses) | i 73 | i 500 | i 515 | ||||||
Purchases | i 152 | i 34 | i 24 | ||||||
Issuances | ( i 92 | ) | ( i 18 | ) | ( i 57 | ) | |||
Settlements | ( i 611 | ) | ( i 81 | ) | ( i 343 | ) | |||
Net
transfers | i 38 | i 171 | ( i 293 | ) | |||||
Ending
balance | $ | i 1,612 | $ | i 2,052 | $ | i 1,446 | |||
Unrealized
gains (losses) | $ | ( i 113 | ) | $ | i 272 | $ | i 20 | ||
Deposits | |||||||||
Beginning
balance | $ | i 27 | $ | i 47 | $ | i 42 | |||
Realized
and unrealized losses (gains) | i 20 | ( i 1 | ) | i 3 | |||||
Issuances | i 101 | i 9 | i 12 | ||||||
Settlements | ( i 15 | ) | ( i 2 | ) | ( i 3 | ) | |||
Net
transfers | i 46 | ( i 26 | ) | ( i 7 | ) | ||||
Ending
balance | $ | i 179 | $ | i 27 | $ | i 47 | |||
Unrealized
losses (gains) | $ | i 20 | $ | ( i 1 | ) | $ | i 3 | ||
Nonderivative
trading liabilities | |||||||||
Beginning balance | $ | i 16 | $ | i 25 | $ | i 71 | |||
Realized
and unrealized losses (gains) | ( i 21 | ) | ( i 6 | ) | ( i 1 | ) | |||
Purchases | ( i 65 | ) | ( i 18 | ) | ( i 139 | ) | |||
Sales | i 38 | i 9 | i 20 | ||||||
Net
transfers | i 69 | i 6 | i 74 | ||||||
Ending
balance | $ | i 37 | $ | i 16 | $ | i 25 | |||
Unrealized
losses (gains) | $ | ( i 21 | ) | $ | ( i 7 | ) | $ | i — | |
Securities
sold under agreements to repurchase | |||||||||
Beginning balance | $ | i — | $ | i 150 | $ | i 149 | |||
Issuances | i — | i — | i 1 | ||||||
Net
transfers | i — | ( i 150 | ) | i — | |||||
Ending
balance | $ | i — | $ | i — | $ | i 150 | |||
Unrealized
losses (gains) | $ | i — | $ | i — | $ | i — | |||
Other
secured financings | |||||||||
Beginning balance | $ | i 208 | $ | i 239 | $ | i 434 | |||
Realized
and unrealized losses (gains) | i 5 | ( i 39 | ) | i 35 | |||||
Issuances | i — | i 8 | i 64 | ||||||
Settlements | ( i 8 | ) | ( i 17 | ) | ( i 251 | ) | |||
Net
transfers | ( i 96 | ) | i 17 | ( i 43 | ) | ||||
Ending
balance | $ | i 109 | $ | i 208 | $ | i 239 | |||
Unrealized
losses (gains) | $ | i 5 | $ | ( i 39 | ) | $ | i 28 | ||
Borrowings | |||||||||
Beginning
balance | $ | i 3,806 | $ | i 2,984 | $ | i 2,014 | |||
Realized
and unrealized losses (gains) | i 728 | ( i 385 | ) | i 196 | |||||
Issuances | i 1,181 | i 1,554 | i 1,968 | ||||||
Settlements | ( i 950 | ) | ( i 274 | ) | ( i 424 | ) | |||
Net
transfers | ( i 677 | ) | ( i 73 | ) | ( i 770 | ) | |||
Ending
balance | $ | i 4,088 | $ | i 3,806 | $ | i 2,984 | |||
Unrealized
losses (gains) | $ | i 600 | $ | ( i 379 | ) | $ | i 173 | ||
Portion
of Unrealized losses (gains) recorded in OCI—Change in net DVA | i 182 | ( i 184 | ) | i 76 |
1. | During
2018, the Firm transferred from Level 3 to Level 2 $ i 2.4 billion of Equity Derivatives due to a reduction in the significance of the unobservable inputs relating to volatility. |
Balance
/ Range (Average1) | ||||||
$ in millions,except inputs | ||||||
Assets at Fair Value on a Recurring Basis | ||||||
U.S. Treasury and agency securities | $ | i 22 | $ | i 54 | ||
Comparable
pricing: | ||||||
Bond price | N/M | 100 to 104 points (100 points) | ||||
State and municipal securities | $ | i 1 | $ | i 148 | ||
Comparable
pricing: | ||||||
Bond price | N/M | 94 to 100 points (96 points) | ||||
MABS | $ | i 438 | $ | i 354 | ||
Comparable
pricing: | ||||||
Bond price | 0 to 96 points (47 points) | 0 to 97 points (38 points) | ||||
Loans and lending commitments | $ | i 5,073 | $ | i 6,870 | ||
Margin
loan model: | ||||||
Discount rate | 1% to 9% (2%) | 1% to 7% (2%) | ||||
Volatility skew | 15% to 80% (28%) | 19% to 56% (28%) | ||||
Credit
Spread | 9 to 39 bps (19 bps) | 14 to 90 bps (36 bps) | ||||
Comparable pricing: | ||||||
Loan price | 69 to 100 points (93 points) | 60 to 101 points (95 points) | ||||
Corporate
and other debt | $ | i 1,396 | $ | i 1,076 | ||
Comparable
pricing: | ||||||
Bond price | 11 to 108 points (84 points) | 12 to 100 points (72 points) | ||||
Discounted cash flow: | ||||||
Recovery rate | i 35 | % | i 20 | % | ||
Discount
rate | N/M | 15% to 21% (16%) | ||||
Option model: | ||||||
At the money volatility | i 21 | % | 24%
to 78% (50%) | |||
99 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
Balance
/ Range (Average1) | ||||||
$ in millions,except inputs | ||||||
Corporate equities | $ | i 97 | $ | i 95 | ||
Comparable
pricing: | ||||||
Equity price | i 100 | % | i 100 | % | ||
Investments | $ | i 858 | $ | i 757 | ||
Discounted
cash flow: | ||||||
WACC | 8% to 17% (15%) | 9% to 15% (10%) | ||||
Exit multiple | 7 to 16 times (11 times) | 7 to 10 times (10 times) | ||||
Market
approach: | ||||||
EBITDA multiple | 7 to 24 times (11 times) | 6 to 24 times (12 times) | ||||
Comparable pricing: | ||||||
Equity price | 75%
to 100% (99%) | 75% to 100% (96%) | ||||
Net derivative and other contracts: | ||||||
Interest rate | $ | i 777 | $ | i 618 | ||
Option
model: | ||||||
IR volatility skew | 24% to 156% (63% / 59%) | 22% to 95% (48% / 51%) | ||||
IR curve correlation | 47% to 90% (72% / 72%) | N/M | ||||
Bond
volatility | 4% to 15% (13% / 14%) | N/M | ||||
Inflation volatility | 24% to 63% (44% / 41%) | 23% to 65% (44% / 40%) | ||||
IR curve | i 1 | % | i 1 | % | ||
Credit | $ | i 124 | $ | i 40 | ||
Credit
default swap model: | ||||||
Cash-synthetic basis | 6 points | 8 to 9 points (9 points) | ||||
Bond price | 0 to 104 points (45 points) | 0 to 75 points (26 points) | ||||
Credit
spread | 9 to 469 bps (81 bps) | 246 to 499 bps (380 bps) | ||||
Funding spread | 47 to 117 bps (84 bps) | 47 to 98 bps (93 bps) | ||||
Correlation model: | ||||||
Credit
correlation | 29% to 62% (36%) | 36% to 69% (44%) | ||||
Foreign exchange2 | $ | ( i 31 | ) | $ | i 75 | |
Option
model: | ||||||
IR - FX correlation | 32% to 56% (46% / 46%) | 53% to 56% (55% / 55%) | ||||
IR volatility skew | 24% to 156% (63% / 59%) | 22% to 95% (48% / 51%) | ||||
IR
curve | 10% to 11% (10% / 10%) | N/M | ||||
Contingency probability | 85% to 95% (94% / 95%) | 90% to 95% (93% / 95%) | ||||
Equity2 | $ | ( i 1,684 | ) | $ | ( i 1,485 | ) |
Option
model: | ||||||
At the money volatility | 9% to 90% (36%) | 17% to 63% (38%) | ||||
Volatility skew | -2% to 0% (-1%) | -2% to 0% (-1%) | ||||
Equity
correlation | 5% to 98% (70%) | 5% to 96% (71%) | ||||
FX correlation | -79% to 60% (-37%) | -60% to 55% (-26%) | ||||
IR correlation | -11% to 44% (18% / 16%) | -7%
to 45% (15% / 12%) | ||||
Commodity and other | $ | i 1,612 | $ | i 2,052 | ||
Option
model: | ||||||
Forward power price | $3 to $182 ($28) per MWh | $3 to $185 ($31) per MWh | ||||
Commodity volatility | 7% to 183% (18%) | 7% to 187% (17%) | ||||
Cross-commodity
correlation | 43% to 99% (93%) | 5% to 99% (93%) | ||||
Balance
/ Range (Average1) | ||||||
$ in millions,except inputs | ||||||
Liabilities Measured at Fair Value on a Recurring Basis | ||||||
Deposits | $ | i 179 | $ | i 27 | ||
Option
model: | ||||||
At the money volatility | 16% to 37% (20%) | N/M | ||||
Other secured financings | $ | i 109 | $ | i 208 | ||
Discounted
cash flow: | ||||||
Funding spread | 111 to 124 bps (117 bps) | 103 to 193 bps (148 bps) | ||||
Option model: | ||||||
Volatility skew | N/M | - i 1 | % | |||
At
the money volatility | N/M | 10% to 40% (25%) | ||||
Borrowings | $ | i 4,088 | $ | i 3,806 | ||
Option
model: | ||||||
At the money volatility | 5% to 44% (21%) | 5% to 35% (22%) | ||||
Volatility skew | -2% to 0% (0%) | -2% to 0% (0%) | ||||
Equity
correlation | 38% to 94% (78%) | 45% to 98% (85%) | ||||
Equity - FX correlation | -75% to 26% (-25%) | -75% to 50% (-27%) | ||||
IR Correlation | N/M | 58%
to 97% (85% / 91%) | ||||
IR FX Correlation | -26% to 10% (-7% / -7%) | 28% to 58% (44% / 44%) | ||||
Nonrecurring Fair Value Measurement | ||||||
Loans | $ | i 1,500 | $ | i 1,380 | ||
Corporate
loan model: | ||||||
Credit spread | 69 to 446 bps (225 bps) | 97 to 434 bps (181 bps) | ||||
Warehouse model: | ||||||
Credit spread | 287 to 318 bps (297 bps) | 223
to 313 bps (247 bps) |
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. |
• | 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 |
December 2019 Form 10-K |
100 |
Notes to Consolidated Financial Statements |
• | 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 the company in terms of its full-year EBITDA, whereas the exit multiple reflects the value of the 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. |
• | Recovery rate: Amount expressed as a percentage of par that is expected to be received when a credit event occurs. |
• | 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. |
• | 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, typically either U.S. Treasury or LIBOR. |
• | 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). |
• | 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 |
• | 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). |
• | 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. |
$ in millions | Carrying Value | Commitment | Carrying Value | Commitment | ||||||||
Private
equity | $ | i 2,078 | $ | i 450 | $ | i 1,374 | $ | i 316 | ||||
Real
estate | i 1,349 | i 150 | i 1,105 | i 161 | ||||||||
Hedge1 | i 94 | i 4 | i 103 | i 4 | ||||||||
Total | $ | i 3,521 | $ | i 604 | $ | i 2,582 | $ | i 481 |
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. |
101 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
Carrying Value at December 31,
2019 | ||||||
$ in millions | Private Equity | Real Estate | ||||
Less than 5 years | $ | i 1,205 | $ | i 1,041 | ||
5-10
years | i 842 | i 202 | ||||
Over
10 years | i 31 | i 106 | ||||
Total | $ | i 2,078 | $ | i 1,349 |
$ in millions | Level 2 | Level 31 | Total | ||||||
Assets | |||||||||
Loans | $ | i 1,543 | $ | i 1,500 | $ | i 3,043 | |||
Other
assets—Other investments | i — | i 113 | i 113 | ||||||
Total | $ | i 1,543 | $ | i 1,613 | $ | i 3,156 | |||
Liabilities | |||||||||
Other
liabilities and accrued expenses—Lending commitments | $ | i 132 | $ | i 69 | $ | i 201 | |||
Total | $ | i 132 | $ | i 69 | $ | i 201 |
$ in millions | Level 2 | Level 31 | Total | ||||||
Assets | |||||||||
Loans | $ | i 2,307 | $ | i 1,380 | $ | i 3,687 | |||
Other
assets—Other investments | i 14 | i 100 | i 114 | ||||||
Total | $ | i 2,321 | $ | i 1,480 | $ | i 3,801 | |||
Liabilities | |||||||||
Other
liabilities and accrued expenses—Lending commitments | $ | i 292 | $ | i 65 | $ | i 357 | |||
Total | $ | i 292 | $ | i 65 | $ | i 357 |
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. |
$ in millions | 2019 | 2018 | 2017 | ||||||
Assets | |||||||||
Loans2 | $ | i 18 | $ | ( i 68 | ) | $ | i 18 | ||
Other
assets—Other investments3 | ( i 56 | ) | ( i 56 | ) | ( i 66 | ) | |||
Other
assets—Premises, equipment and software4 | ( i 22 | ) | ( i 46 | ) | ( i 25 | ) | |||
Total | $ | ( i 60 | ) | $ | ( i 170 | ) | $ | ( i 73 | ) |
Liabilities | |||||||||
Other
liabilities and accrued expenses—Lending commitments2 | $ | i 87 | $ | ( i 48 | ) | $ | i 75 | ||
Total | $ | i 87 | $ | ( i 48 | ) | $ | i 75 |
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 were 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 write-offs related to the disposal of certain assets. |
December
2019 Form 10-K | 102 |
Notes to Consolidated Financial Statements |
Carrying Value | Fair
Value | ||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Financial assets | |||||||||||||||
Cash and cash equivalents: | |||||||||||||||
Cash
and due from banks | $ | i 4,293 | $ | i 4,293 | $ | i — | $ | i — | $ | i 4,293 | |||||
Interest
bearing deposits with banks | i 45,366 | i 45,366 | i — | i — | i 45,366 | ||||||||||
Restricted
cash | i 32,512 | i 32,512 | i — | i — | i 32,512 | ||||||||||
Investment
securities—HTM | i 43,502 | i 30,661 | i 12,683 | i 789 | i 44,133 | ||||||||||
Securities
purchased under agreements to resell | i 88,220 | i — | i 86,794 | i 1,442 | i 88,236 | ||||||||||
Securities
borrowed | i 106,549 | i — | i 106,551 | i — | i 106,551 | ||||||||||
Customer and other
receivables1 | i 51,134 | i — | i 48,215 | i 2,872 | i 51,087 | ||||||||||
Loans2 | i 130,637 | i — | i 22,293 | i 108,059 | i 130,352 | ||||||||||
Other
assets | i 495 | i — | i 495 | i — | i 495 | ||||||||||
Financial
liabilities | |||||||||||||||
Deposits | $ | i 188,257 | $ | i — | $ | i 188,639 | $ | i — | $ | i 188,639 | |||||
Securities sold
under agreements to repurchase | i 53,467 | i — | i 53,486 | i — | i 53,486 | ||||||||||
Securities
loaned | i 8,506 | i — | i 8,506 | i — | i 8,506 | ||||||||||
Other
secured financings | i 6,889 | i — | i 6,800 | i 92 | i 6,892 | ||||||||||
Customer
and other payables1 | i 195,035 | i — | i 195,035 | i — | i 195,035 | ||||||||||
Borrowings | i 128,166 | i — | i 133,563 | i 10 | i 133,573 | ||||||||||
Commitment Amount | |||||||||||||||
Lending commitments3 | $ | i 119,004 | $ | i — | $ | i 748 | $ | i 338 | $ | i 1,086 |
Carrying Value | Fair Value | ||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Financial assets | |||||||||||||||
Cash
and cash equivalents: | |||||||||||||||
Cash and due from banks | $ | i 30,541 | $ | i 30,541 | $ | i — | $ | i — | $ | i 30,541 | |||||
Interest
bearing deposits with banks | i 21,299 | i 21,299 | i — | i — | i 21,299 | ||||||||||
Restricted
cash | i 35,356 | i 35,356 | i — | i — | i 35,356 | ||||||||||
Investment
securities—HTM | i 30,771 | i 17,473 | i 12,018 | i 474 | i 29,965 | ||||||||||
Securities
purchased under agreements to resell | i 98,522 | i — | i 97,611 | i 866 | i 98,477 | ||||||||||
Securities
borrowed | i 116,313 | i — | i 116,312 | i — | i 116,312 | ||||||||||
Customer and other
receivables1 | i 47,972 | i — | i 44,620 | i 3,219 | i 47,839 | ||||||||||
Loans2 | i 115,579 | i — | i 25,604 | i 90,121 | i 115,725 | ||||||||||
Other
assets | i 461 | i — | i 461 | i — | i 461 | ||||||||||
Financial
liabilities | |||||||||||||||
Deposits | $ | i 187,378 | $ | i — | $ | i 187,372 | $ | i — | $ | i 187,372 | |||||
Securities sold under
agreements to repurchase | i 48,947 | i — | i 48,385 | i 525 | i 48,910 | ||||||||||
Securities
loaned | i 11,908 | i — | i 11,906 | i — | i 11,906 | ||||||||||
Other
secured financings | i 4,221 | i — | i 3,233 | i 994 | i 4,227 | ||||||||||
Customer
and other payables1 | i 176,561 | i — | i 176,561 | i — | i 176,561 | ||||||||||
Borrowings | i 138,478 | i — | i 140,085 | i 30 | i 140,115 | ||||||||||
Commitment Amount | |||||||||||||||
Lending
commitments3 | $ | i 104,844 | $ | i — | $ | i 1,249 | $ | i 321 | $ | i 1,570 |
1. | Accrued
interest and dividend receivables and payables have been excluded. Carrying value approximates fair value for these receivables and payables. |
2. | Amounts include loans measured at fair value on a nonrecurring basis. |
3. | Represents Lending commitments accounted for as Held for Investment and Held for Sale. For a further discussion on lending commitments, see Note 13. |
103 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
$
in millions | ||||||
Business Unit Responsible for Risk Management | ||||||
Equity | $ | i 30,214 | $ | i 24,494 | ||
Interest
rates | i 27,298 | i 22,343 | ||||
Commodities | i 4,501 | i 2,735 | ||||
Credit | i 1,246 | i 856 | ||||
Foreign
exchange | i 1,202 | i 756 | ||||
Total | $ | i 64,461 | $ | i 51,184 |
$ in millions | 2019 | 2018 | 2017 | ||||||
Trading revenues | $ | ( i 6,932 | ) | $ | i 2,679 | $ | ( i 4,507 | ) | |
Interest
expense | i 375 | i 321 | i 443 | ||||||
Net
revenues1 | $ | ( i 7,307 | ) | $ | i 2,358 | $ | ( i 4,950 | ) |
1. | Amounts
do not reflect any gains or losses from related economic hedges. |
$ in millions | Trading Revenues | OCI | ||||
2019 | ||||||
Borrowings | $ | ( i 11 | ) | $ | ( i 2,140 | ) |
Loans
and other debt1 | i 223 | i — | ||||
Lending
commitments | ( i 2 | ) | i — | |||
Other | i — | ( i 30 | ) | |||
2018 | ||||||
Borrowings | $ | ( i 24 | ) | $ | i 1,962 | |
Loans
and other debt1 | i 165 | i — | ||||
Lending
commitments | ( i 3 | ) | i — | |||
Other | ( i 32 | ) | i 41 | |||
2017 | ||||||
Borrowings | $ | ( i 12 | ) | $ | ( i 903 | ) |
Loans
and other debt1 | i 159 | i — | ||||
Lending
commitments | ( i 2 | ) | i — | |||
Other | i — | ( i 7 | ) |
$
in millions | ||||||
Cumulative pre-tax DVA gain (loss) recognized in AOCI | $ | ( i 1,998 | ) | $ | i 172 |
1. | Loans
and other debt instrument-specific credit gains (losses) were determined by excluding the non-credit components of gains and losses. |
$ in millions | ||||||
Loans
and other debt2 | $ | i 13,037 | $ | i 13,094 | ||
Nonaccrual
loans2 | i 10,849 | i 10,831 | ||||
Borrowings3 | ( i 1,665 | ) | i 2,657 |
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 debt 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. |
$ in millions | ||||||
Nonaccrual loans | $ | i 1,100 | $ | i 1,497 | ||
Nonaccrual
loans 90 or more days past due | $ | i 330 | $ | i 812 |
December
2019 Form 10-K | 104 |
Notes to Consolidated Financial Statements |
Assets | ||||||||||||
$ in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated
as accounting hedges | ||||||||||||
Interest rate | $ | i 673 | $ | i — | $ | i — | $ | i 673 | ||||
Foreign exchange | i 41 | i 1 | i — | i 42 | ||||||||
Total | i 714 | i 1 | i — | i 715 | ||||||||
Not
designated as accounting hedges | ||||||||||||
Interest rate | i 179,450 | i 4,839 | i 519 | i 184,808 | ||||||||
Credit | i 4,895 | i 2,417 | i — | i 7,312 | ||||||||
Foreign
exchange | i 62,957 | i 1,399 | i 22 | i 64,378 | ||||||||
Equity | i 27,621 | i — | i 23,447 | i 51,068 | ||||||||
Commodity and other | i 9,306 | i — | i 1,952 | i 11,258 | ||||||||
Total | i 284,229 | i 8,655 | i 25,940 | i 318,824 | ||||||||
Total
gross derivatives | $ | i 284,943 | $ | i 8,656 | $ | i 25,940 | $ | i 319,539 | ||||
Amounts
offset | ||||||||||||
Counterparty netting | ( i 213,710 | ) | ( i 7,294 | ) | ( i 24,037 | ) | ( i 245,041 | ) | ||||
Cash
collateral netting | ( i 41,222 | ) | ( i 1,275 | ) | i — | ( i 42,497 | ) | |||||
Total
in Trading assets | $ | i 30,011 | $ | i 87 | $ | i 1,903 | $ | i 32,001 | ||||
Amounts
not offset1 | ||||||||||||
Financial instruments collateral | ( i 15,596 | ) | i — | i — | ( i 15,596 | ) | ||||||
Other
cash collateral | ( i 46 | ) | i — | i — | ( i 46 | ) | ||||||
Net
amounts | $ | i 14,369 | $ | i 87 | $ | i 1,903 | $ | i 16,359 | ||||
Net
amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | $ | i 1,900 |
Liabilities | ||||||||||||
$
in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | i 1 | $ | i — | $ | i — | $ | i 1 | ||||
Foreign
exchange | i 121 | i 38 | i — | i 159 | ||||||||
Total | i 122 | i 38 | i — | i 160 | ||||||||
Not
designated as accounting hedges | ||||||||||||
Interest rate | i 168,597 | i 3,597 | i 436 | i 172,630 | ||||||||
Credit | i 4,798 | i 3,123 | i — | i 7,921 | ||||||||
Foreign
exchange | i 65,965 | i 1,492 | i 39 | i 67,496 | ||||||||
Equity | i 30,135 | i — | i 22,733 | i 52,868 | ||||||||
Commodity
and other | i 7,713 | i — | i 1,911 | i 9,624 | ||||||||
Total | i 277,208 | i 8,212 | i 25,119 | i 310,539 | ||||||||
Total
gross derivatives | $ | i 277,330 | $ | i 8,250 | $ | i 25,119 | $ | i 310,699 | ||||
Amounts
offset | ||||||||||||
Counterparty netting | ( i 213,710 | ) | ( i 7,294 | ) | ( i 24,037 | ) | ( i 245,041 | ) | ||||
Cash
collateral netting | ( i 36,392 | ) | ( i 832 | ) | i — | ( i 37,224 | ) | |||||
Total in Trading liabilities | $ | i 27,228 | $ | i 124 | $ | i 1,082 | $ | i 28,434 | ||||
Amounts
not offset1 | ||||||||||||
Financial instruments collateral | ( i 7,747 | ) | i — | ( i 287 | ) | ( i 8,034 | ) | |||||
Other
cash collateral | ( i 14 | ) | i — | i — | ( i 14 | ) | ||||||
Net
amounts | $ | i 19,467 | $ | i 124 | $ | i 795 | $ | i 20,386 | ||||
Net
amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | $ | i 3,680 |
Assets | ||||||||||||
$ in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated
as accounting hedges | ||||||||||||
Interest rate | $ | i 512 | $ | i 1 | $ | i — | $ | i 513 | ||||
Foreign
exchange | i 27 | i 8 | i — | i 35 | ||||||||
Total | i 539 | i 9 | i — | i 548 | ||||||||
Not
designated as accounting hedges | ||||||||||||
Interest rate | i 153,768 | i 3,887 | i 697 | i 158,352 | ||||||||
Credit | i 4,630 | i 1,498 | i — | i 6,128 | ||||||||
Foreign
exchange | i 61,846 | i 1,310 | i 55 | i 63,211 | ||||||||
Equity | i 24,590 | i — | i 23,284 | i 47,874 | ||||||||
Commodity
and other | i 10,538 | i — | i 1,934 | i 12,472 | ||||||||
Total | i 255,372 | i 6,695 | i 25,970 | i 288,037 | ||||||||
Total
gross derivatives | $ | i 255,911 | $ | i 6,704 | $ | i 25,970 | $ | i 288,585 | ||||
Amounts
offset | ||||||||||||
Counterparty netting | ( i 190,220 | ) | ( i 5,260 | ) | ( i 24,548 | ) | ( i 220,028 | ) | ||||
Cash
collateral netting | ( i 38,204 | ) | ( i 1,180 | ) | i — | ( i 39,384 | ) | |||||
Total
in Trading assets | $ | i 27,487 | $ | i 264 | $ | i 1,422 | $ | i 29,173 | ||||
Amounts
not offset1 | ||||||||||||
Financial instruments collateral | ( i 12,467 | ) | i — | i — | ( i 12,467 | ) | ||||||
Other
cash collateral | ( i 31 | ) | i — | i — | ( i 31 | ) | ||||||
Net
amounts | $ | i 14,989 | $ | i 264 | $ | i 1,422 | $ | i 16,675 | ||||
Net
amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | $ | i 2,206 |
Liabilities | ||||||||||||
$
in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | i 176 | $ | i — | $ | i — | $ | i 176 | ||||
Foreign
exchange | i 62 | i 24 | i — | i 86 | ||||||||
Total | i 238 | i 24 | i — | i 262 | ||||||||
Not
designated as accounting hedges | ||||||||||||
Interest rate | i 142,592 | i 2,669 | i 663 | i 145,924 | ||||||||
Credit | i 4,545 | i 1,608 | i — | i 6,153 | ||||||||
Foreign
exchange | i 62,099 | i 1,302 | i 19 | i 63,420 | ||||||||
Equity | i 27,119 | i — | i 23,521 | i 50,640 | ||||||||
Commodity
and other | i 6,983 | i — | i 2,057 | i 9,040 | ||||||||
Total | i 243,338 | i 5,579 | i 26,260 | i 275,177 | ||||||||
Total
gross derivatives | $ | i 243,576 | $ | i 5,603 | $ | i 26,260 | $ | i 275,439 | ||||
Amounts
offset | ||||||||||||
Counterparty netting | ( i 190,220 | ) | ( i 5,260 | ) | ( i 24,548 | ) | ( i 220,028 | ) | ||||
Cash
collateral netting | ( i 27,860 | ) | ( i 293 | ) | i — | ( i 28,153 | ) | |||||
Total
in Trading liabilities | $ | i 25,496 | $ | i 50 | $ | i 1,712 | $ | i 27,258 | ||||
Amounts
not offset1 | ||||||||||||
Financial instruments collateral | ( i 4,709 | ) | i — | ( i 766 | ) | ( i 5,475 | ) | |||||
Other
cash collateral | ( i 53 | ) | ( i 1 | ) | i — | ( i 54 | ) | |||||
Net
amounts | $ | i 20,734 | $ | i 49 | $ | i 946 | $ | i 21,729 | ||||
Net
amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | $ | i 4,773 |
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. |
105 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
Assets | ||||||||||||
$ in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated
as accounting hedges | ||||||||||||
Interest rate | $ | i 14 | $ | i 94 | $ | i — | $ | i 108 | ||||
Foreign
exchange | i 2 | i — | i — | i 2 | ||||||||
Total | i 16 | i 94 | i — | i 110 | ||||||||
Not
designated as accounting hedges | ||||||||||||
Interest rate | i 4,230 | i 7,398 | i 732 | i 12,360 | ||||||||
Credit | i 136 | i 79 | i — | i 215 | ||||||||
Foreign
exchange | i 2,667 | i 91 | i 10 | i 2,768 | ||||||||
Equity | i 429 | i — | i 419 | i 848 | ||||||||
Commodity
and other | i 99 | i — | i 61 | i 160 | ||||||||
Total | i 7,561 | i 7,568 | i 1,222 | i 16,351 | ||||||||
Total
gross derivatives | $ | i 7,577 | $ | i 7,662 | $ | i 1,222 | $ | i 16,461 |
Liabilities | ||||||||||||
$
in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | i — | $ | i 71 | $ | i — | $ | i 71 | ||||
Foreign
exchange | i 9 | i 2 | i — | i 11 | ||||||||
Total | i 9 | i 73 | i — | i 82 | ||||||||
Not
designated as accounting hedges | ||||||||||||
Interest rate | i 4,185 | i 6,866 | i 666 | i 11,717 | ||||||||
Credit | i 153 | i 84 | i — | i 237 | ||||||||
Foreign
exchange | i 2,841 | i 91 | i 14 | i 2,946 | ||||||||
Equity | i 455 | i — | i 515 | i 970 | ||||||||
Commodity
and other | i 85 | i — | i 61 | i 146 | ||||||||
Total | i 7,719 | i 7,041 | i 1,256 | i 16,016 | ||||||||
Total
gross derivatives | $ | i 7,728 | $ | i 7,114 | $ | i 1,256 | $ | i 16,098 |
Assets | ||||||||||||
$ in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated
as accounting hedges | ||||||||||||
Interest rate | $ | i 15 | $ | i 52 | $ | i — | $ | i 67 | ||||
Foreign
exchange | i 5 | i 1 | i — | i 6 | ||||||||
Total | i 20 | i 53 | i — | i 73 | ||||||||
Not
designated as accounting hedges | ||||||||||||
Interest rate | i 4,807 | i 6,708 | i 1,157 | i 12,672 | ||||||||
Credit | i 162 | i 74 | i — | i 236 | ||||||||
Foreign
exchange | i 2,436 | i 118 | i 14 | i 2,568 | ||||||||
Equity | i 373 | i — | i 371 | i 744 | ||||||||
Commodity
and other | i 97 | i — | i 67 | i 164 | ||||||||
Total | i 7,875 | i 6,900 | i 1,609 | i 16,384 | ||||||||
Total
gross derivatives | $ | i 7,895 | $ | i 6,953 | $ | i 1,609 | $ | i 16,457 |
Liabilities | ||||||||||||
$
in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | i 2 | $ | i 107 | $ | i — | $ | i 109 | ||||
Foreign
exchange | i 5 | i 1 | i — | i 6 | ||||||||
Total | i 7 | i 108 | i — | i 115 | ||||||||
Not
designated as accounting hedges | ||||||||||||
Interest rate | i 4,946 | i 5,735 | i 781 | i 11,462 | ||||||||
Credit | i 162 | i 73 | i — | i 235 | ||||||||
Foreign
exchange | i 2,451 | i 114 | i 17 | i 2,582 | ||||||||
Equity | i 389 | i — | i 602 | i 991 | ||||||||
Commodity
and other | i 72 | i — | i 65 | i 137 | ||||||||
Total | i 8,020 | i 5,922 | i 1,465 | i 15,407 | ||||||||
Total
gross derivatives | $ | i 8,027 | $ | i 6,030 | $ | i 1,465 | $ | i 15,522 |
$ in millions | 2019 | 2018 | 2017 | ||||||
Fair value hedges—Recognized in Interest income1 | |||||||||
Interest rate contracts | $ | ( i 10 | ) | $ | ( i 4 | ) | $ | i — | |
Investment
Securities—AFS | i 10 | i 4 | i — | ||||||
Fair
value hedges—Recognized in Interest expense | |||||||||
Interest rate contracts | $ | i 4,212 | $ | ( i 1,529 | ) | $ | ( i 1,591 | ) | |
Deposits2 | i 7 | i — | i — | ||||||
Borrowings | ( i 4,288 | ) | i 1,511 | i 1,393 | |||||
Net
investment hedges—Foreign exchange contracts | |||||||||
Recognized in OCI | $ | i 14 | $ | i 295 | $ | ( i 365 | ) | ||
Forward
points excluded from hedge effectiveness testing—Recognized in Interest income | i 136 | i 68 | ( i 20 | ) |
December
2019 Form 10-K | 106 |
Notes to Consolidated Financial Statements |
$ in millions | ||||||
Investment securities—AFS1 | ||||||
Carrying
amount3 currently or previously hedged | $ | i 917 | $ | i 201 | ||
Basis
adjustments included in carrying amount4 | $ | i 14 | $ | i 4 | ||
Deposits2 | ||||||
Carrying
amount3 currently or previously hedged | $ | i 5,435 | $ | i — | ||
Basis
adjustments included in carrying amount4 | $ | ( i 7 | ) | $ | i — | |
Borrowings | ||||||
Carrying
amount3 currently or previously hedged | $ | i 102,456 | $ | i 102,899 | ||
Basis
adjustments included in carrying amount4 | $ | i 2,593 | $ | ( i 1,689 | ) |
1. | The
Firm began designating interest rate swaps as fair value hedges of certain AFS securities in the third quarter of 2018. |
2. | The Firm began designating interest rate swaps as fair value hedges of certain Deposits in the fourth quarter of 2019. |
3. | Carrying amount represents amortized cost basis. |
4. | Hedge
accounting basis adjustments for AFS securities, Deposits and Borrowings are primarily related to outstanding hedges. |
$ in millions | ||||||
Net derivative liabilities with credit risk- related contingent features | $ | i 21,620 | $ | i 16,403 | ||
Collateral
posted | i 17,392 | i 11,981 |
$
in millions | |||
One-notch downgrade | $ | i 254 | |
Two-notch
downgrade | i 328 | ||
Bilateral downgrade agreements included in the amounts above1 | $ | i 498 |
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. |
Years
to Maturity at December 31, 2019 | |||||||||||||||
$ in billions | < 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Single-name CDS | |||||||||||||||
Investment grade | $ | i 16 | $ | i 17 | $ | i 33 | $ | i 9 | $ | i 75 | |||||
Non-investment
grade | i 9 | i 9 | i 16 | i 1 | i 35 | ||||||||||
Total | $ | i 25 | $ | i 26 | $ | i 49 | $ | i 10 | $ | i 110 | |||||
Index
and basket CDS | |||||||||||||||
Investment grade | $ | i 4 | $ | i 7 | $ | i 46 | $ | i 11 | $ | i 68 | |||||
Non-investment
grade | i 7 | i 4 | i 17 | i 10 | i 38 | ||||||||||
Total | $ | i 11 | $ | i 11 | $ | i 63 | $ | i 21 | $ | i 106 | |||||
Total
CDS sold | $ | i 36 | $ | i 37 | $ | i 112 | $ | i 31 | $ | i 216 | |||||
Other
credit contracts | i — | i — | i — | i — | i — | ||||||||||
Total
credit protection sold | $ | i 36 | $ | i 37 | $ | i 112 | $ | i 31 | $ | i 216 | |||||
CDS
protection sold with identical protection purchased | $ | i 187 |
Years
to Maturity at December 31, 2018 | |||||||||||||||
$ in billions | < 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Single-name CDS | |||||||||||||||
Investment grade | $ | i 22 | $ | i 24 | $ | i 19 | $ | i 8 | $ | i 73 | |||||
Non-investment
grade | i 10 | i 11 | i 9 | i 1 | i 31 | ||||||||||
Total | $ | i 32 | $ | i 35 | $ | i 28 | $ | i 9 | $ | i 104 | |||||
Index
and basket CDS | |||||||||||||||
Investment grade | $ | i 5 | $ | i 10 | $ | i 61 | $ | i 7 | $ | i 83 | |||||
Non-investment
grade | i 5 | i 6 | i 13 | i 13 | i 37 | ||||||||||
Total | $ | i 10 | $ | i 16 | $ | i 74 | $ | i 20 | $ | i 120 | |||||
Total
CDS sold | $ | i 42 | $ | i 51 | $ | i 102 | $ | i 29 | $ | i 224 | |||||
Other
credit contracts | i — | i — | i — | i — | i — | ||||||||||
Total
credit protection sold | $ | i 42 | $ | i 51 | $ | i 102 | $ | i 29 | $ | i 224 | |||||
CDS
protection sold with identical protection purchased | $ | i 210 |
$ in millions | ||||||
Single-name CDS | ||||||
Investment
grade | $ | i 1,057 | $ | i 118 | ||
Non-investment
grade | ( i 540 | ) | ( i 403 | ) | ||
Total | $ | i 517 | $ | ( i 285 | ) | |
Index
and basket CDS | ||||||
Investment grade | $ | i 1,052 | $ | i 314 | ||
Non-investment
grade | i 134 | ( i 1,413 | ) | |||
Total | $ | i 1,186 | $ | ( i 1,099 | ) | |
Total
CDS sold | $ | i 1,703 | $ | ( i 1,384 | ) | |
Other
credit contracts | ( i 17 | ) | ( i 14 | ) | ||
Total
credit protection sold | $ | i 1,686 | $ | ( i 1,398 | ) |
1. | Investment
grade/non-investment grade determination is based on the internal credit rating of the reference obligation. Internal credit ratings serve as the Credit Risk Management Department’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. |
107 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
Notional | ||||||
$
in billions | ||||||
Single name | $ | i 118 | $ | i 116 | ||
Index
and basket | i 103 | i 117 | ||||
Tranched
index and basket | i 15 | i 14 | ||||
Total | $ | i 236 | $ | i 247 |
Fair
Value Asset (Liability) | ||||||
$ in millions | ||||||
Single name | $ | ( i 723 | ) | $ | i 277 | |
Index
and basket | ( i 1,139 | ) | i 1,333 | |||
Tranched
index and basket | ( i 450 | ) | ( i 251 | ) | ||
Total | $ | ( i 2,312 | ) | $ | i 1,359 |
December 2019 Form 10-K | 108 |
Notes to Consolidated Financial Statements |
$ in millions | Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||
AFS securities | ||||||||||||
U.S.
government and agency securities: | ||||||||||||
U.S. Treasury securities | $ | i 32,465 | $ | i 224 | $ | i 111 | $ | i 32,578 | ||||
U.S. agency securities1 | i 20,725 | i 249 | i 100 | i 20,874 | ||||||||
Total U.S. government and
agency securities | i 53,190 | i 473 | i 211 | i 53,452 | ||||||||
Corporate
and other debt: | ||||||||||||
Agency CMBS | i 4,810 | i 55 | i 57 | i 4,808 | ||||||||
Corporate
bonds | i 1,891 | i 17 | i 1 | i 1,907 | ||||||||
State
and municipal securities | i 481 | i 22 | i — | i 503 | ||||||||
FFELP student loan ABS2 | i 1,580 | i 1 | i 28 | i 1,553 | ||||||||
Total corporate and other debt | i 8,762 | i 95 | i 86 | i 8,771 | ||||||||
Total
AFS securities | i 61,952 | i 568 | i 297 | i 62,223 | ||||||||
HTM
securities | ||||||||||||
U.S. government and agency securities: | ||||||||||||
U.S. Treasury securities | i 30,145 | i 568 | i 52 | i 30,661 | ||||||||
U.S.
agency securities1 | i 12,589 | i 151 | i 57 | i 12,683 | ||||||||
Total
U.S. government and agency securities | i 42,734 | i 719 | i 109 | i 43,344 | ||||||||
Corporate
and other debt: | ||||||||||||
Non-agency CMBS | i 768 | i 22 | i 1 | i 789 | ||||||||
Total
HTM securities | i 43,502 | i 741 | i 110 | i 44,133 | ||||||||
Total
investment securities | $ | i 105,454 | $ | i 1,309 | $ | i 407 | $ | i 106,356 |
$ in millions | Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||
AFS securities | ||||||||||||
U.S.
government and agency securities: | ||||||||||||
U.S. Treasury securities | $ | i 36,268 | $ | i 40 | $ | i 656 | $ | i 35,652 | ||||
U.S.
agency securities1 | i 20,740 | i 10 | i 497 | i 20,253 | ||||||||
Total U.S. government and agency
securities | i 57,008 | i 50 | i 1,153 | i 55,905 | ||||||||
Corporate
and other debt: | ||||||||||||
Agency CMBS | i 1,054 | i — | i 62 | i 992 | ||||||||
Non-agency
CMBS | i 461 | i — | i 14 | i 447 | ||||||||
Corporate
bonds | i 1,585 | i — | i 32 | i 1,553 | ||||||||
State
and municipal securities | i 200 | i 2 | i — | i 202 | ||||||||
FFELP student loan ABS2 | i 1,967 | i 10 | i 15 | i 1,962 | ||||||||
Total corporate and other debt | i 5,267 | i 12 | i 123 | i 5,156 | ||||||||
Total
AFS securities | i 62,275 | i 62 | i 1,276 | i 61,061 | ||||||||
HTM
securities | ||||||||||||
U.S. government and agency securities: | ||||||||||||
U.S. Treasury securities | i 17,832 | i 44 | i 403 | i 17,473 | ||||||||
U.S.
agency securities1 | i 12,456 | i 8 | i 446 | i 12,018 | ||||||||
Total
U.S. government and agency securities | i 30,288 | i 52 | i 849 | i 29,491 | ||||||||
Corporate
and other debt: | ||||||||||||
Non-agency CMBS | i 483 | i — | i 9 | i 474 | ||||||||
Total
HTM securities | i 30,771 | i 52 | i 858 | i 29,965 | ||||||||
Total
investment securities | $ | i 93,046 | $ | i 114 | $ | i 2,134 | $ | i 91,026 |
1. | U.S.
agency securities consist mainly of agency-issued debt, agency mortgage pass-through pool securities and CMOs. |
2. | Underlying loans are backed by a guarantee, ultimately from the U.S. Department of Education, of at least i 95%
of the principal balance and interest outstanding. |
109 | December 2019 Form 10-K |
Notes
to Consolidated Financial Statements |
Less than 12 Months | 12 Months or Longer | Total | ||||||||||||||||
$ in millions | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair
Value | Gross Unrealized Losses | ||||||||||||
AFS securities | ||||||||||||||||||
U.S. government and agency securities: | ||||||||||||||||||
U.S.
Treasury securities | $ | i 4,793 | $ | i 28 | $ | i 7,904 | $ | i 83 | $ | i 12,697 | $ | i 111 | ||||||
U.S.
agency securities | i 2,641 | i 20 | i 7,697 | i 80 | i 10,338 | i 100 | ||||||||||||
Total
U.S. government and agency securities | i 7,434 | i 48 | i 15,601 | i 163 | i 23,035 | i 211 | ||||||||||||
Corporate
and other debt: | ||||||||||||||||||
Agency CMBS | i 2,294 | i 26 | i 681 | i 31 | i 2,975 | i 57 | ||||||||||||
Corporate
bonds | i 194 | i 1 | i 44 | i — | i 238 | i 1 | ||||||||||||
FFELP
student loan ABS | i 91 | i — | i 1,165 | i 28 | i 1,256 | i 28 | ||||||||||||
Total
corporate and other debt | i 2,579 | i 27 | i 1,890 | i 59 | i 4,469 | i 86 | ||||||||||||
Total
AFS securities | i 10,013 | i 75 | i 17,491 | i 222 | i 27,504 | i 297 | ||||||||||||
HTM
securities | ||||||||||||||||||
U.S. government and agency securities: | ||||||||||||||||||
U.S.
Treasury securities | i 6,042 | i 52 | i 651 | i — | i 6,693 | i 52 | ||||||||||||
U.S.
agency securities | i 2,524 | i 18 | i 2,420 | i 39 | i 4,944 | i 57 | ||||||||||||
Total
U.S. government and agency securities | i 8,566 | i 70 | i 3,071 | i 39 | i 11,637 | i 109 | ||||||||||||
Corporate
and other debt: | ||||||||||||||||||
Non-agency CMBS | i 167 | i 1 | i 65 | i — | i 232 | i 1 | ||||||||||||
Total
HTM securities | i 8,733 | i 71 | i 3,136 | i 39 | i 11,869 | i 110 | ||||||||||||
Total
investment securities | $ | i 18,746 | $ | i 146 | $ | i 20,627 | $ | i 261 | $ | i 39,373 | $ | i 407 | ||||||
Less than 12 Months | 12 Months or Longer | Total | ||||||||||||||||
$ in millions | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair
Value | Gross Unrealized Losses | ||||||||||||
AFS securities | ||||||||||||||||||
U.S. government and agency securities: | ||||||||||||||||||
U.S.
Treasury securities | $ | i 19,937 | $ | i 541 | $ | i 5,994 | $ | i 115 | $ | i 25,931 | $ | i 656 | ||||||
U.S.
agency securities | i 12,904 | i 383 | i 4,142 | i 114 | i 17,046 | i 497 | ||||||||||||
Total
U.S. government and agency securities | i 32,841 | i 924 | i 10,136 | i 229 | i 42,977 | i 1,153 | ||||||||||||
Corporate
and other debt: | ||||||||||||||||||
Agency CMBS | i 808 | i 62 | i — | i — | i 808 | i 62 | ||||||||||||
Non-agency
CMBS | i — | i — | i 446 | i 14 | i 446 | i 14 | ||||||||||||
Corporate
bonds | i 470 | i 7 | i 1,010 | i 25 | i 1,480 | i 32 | ||||||||||||
FFELP
student loan ABS | i 1,366 | i 15 | i — | i — | i 1,366 | i 15 | ||||||||||||
Total
corporate and other debt | i 2,644 | i 84 | i 1,456 | i 39 | i 4,100 | i 123 | ||||||||||||
Total
AFS securities | i 35,485 | i 1,008 | i 11,592 | i 268 | i 47,077 | i 1,276 | ||||||||||||
HTM
securities | ||||||||||||||||||
U.S. government and agency securities: | ||||||||||||||||||
U.S.
Treasury securities | i — | i — | i 11,161 | i 403 | i 11,161 | i 403 | ||||||||||||
U.S.
agency securities | i 410 | i 1 | i 10,004 | i 445 | i 10,414 | i 446 | ||||||||||||
Total
U.S. government and agency securities | i 410 | i 1 | i 21,165 | i 848 | i 21,575 | i 849 | ||||||||||||
Corporate
and other debt: | ||||||||||||||||||
Non-agency CMBS | i 206 | i 1 | i 216 | i 8 | i 422 | i 9 | ||||||||||||
Total
HTM securities | i 616 | i 2 | i 21,381 | i 856 | i 21,997 | i 858 | ||||||||||||
Total
investment securities | $ | i 36,101 | $ | i 1,010 | $ | i 32,973 | $ | i 1,124 | $ | i 69,074 | $ | i 2,134 |
December
2019 Form 10-K | 110 |
Notes to Consolidated Financial Statements |
$ in millions | Amortized Cost | Fair Value | Annualized Average Yield | |||||
AFS
securities | ||||||||
U.S. government and agency securities: | ||||||||
U.S. Treasury securities: | ||||||||
Due within 1 year | $ | i 2,293 | $ | i 2,302 | i 2.2 | % | ||
After
1 year through 5 years | i 25,919 | i 26,037 | i 1.8 | % | ||||
After
5 years through 10 years | i 4,253 | i 4,239 | i 1.7 | % | ||||
Total | i 32,465 | i 32,578 | ||||||
U.S.
agency securities: | ||||||||
Due within 1 year | i 310 | i 310 | i 1.0 | % | ||||
After
1 year through 5 years | i 362 | i 359 | i 1.4 | % | ||||
After
5 years through 10 years | i 1,380 | i 1,373 | i 1.8 | % | ||||
After
10 years | i 18,673 | i 18,832 | i 2.4 | % | ||||
Total | i 20,725 | i 20,874 | ||||||
Total
U.S. government and agency securities | i 53,190 | i 53,452 | i 2.0 | % | ||||
Corporate
and other debt: | ||||||||
Agency CMBS: | ||||||||
After 1 year through 5 years | i 606 | i 603 | i 1.8 | % | ||||
After
5 years through 10 years | i 3,280 | i 3,305 | i 2.5 | % | ||||
After
10 years | i 924 | i 900 | i 2.0 | % | ||||
Total | i 4,810 | i 4,808 | ||||||
Corporate
bonds: | ||||||||
Due within 1 year | i 43 | i 43 | i 1.7 | % | ||||
After
1 year through 5 years | i 1,448 | i 1,462 | i 2.6 | % | ||||
After
5 years through 10 years | i 400 | i 402 | i 2.9 | % | ||||
Total | i 1,891 | i 1,907 | ||||||
State
and municipal securities: | ||||||||
After 1 year through 5 years | i 36 | i 37 | i 3.1 | % | ||||
After
5 years through 10 years | i 71 | i 72 | i 2.2 | % | ||||
After
10 years | i 374 | i 394 | i 4.7 | % | ||||
Total | i 481 | i 503 | ||||||
FFELP
student loan ABS: | ||||||||
After 1 year through 5 years | i 71 | i 69 | i 0.8 | % | ||||
After
5 years through 10 years | i 377 | i 367 | i 0.8 | % | ||||
After
10 years | i 1,132 | i 1,117 | i 1.2 | % | ||||
Total | i 1,580 | i 1,553 | ||||||
Total
corporate and other debt | i 8,762 | i 8,771 | i 2.2 | % | ||||
Total
AFS securities | i 61,952 | i 62,223 | i 2.0 | % | ||||
$ in millions | Amortized Cost | Fair Value | Annualized Average Yield | |||||
HTM securities | ||||||||
U.S. government and agency securities: | ||||||||
U.S.
Treasury securities: | ||||||||
Due within 1 year | $ | i 2,436 | $ | i 2,452 | i 2.5 | % | ||
After
1 year through 5 years | i 18,026 | i 18,254 | i 2.1 | % | ||||
After
5 years through 10 years | i 8,600 | i 8,842 | i 2.2 | % | ||||
After
10 years | i 1,083 | i 1,113 | i 2.5 | % | ||||
Total | i 30,145 | i 30,661 | ||||||
U.S.
agency securities: | ||||||||
After 5 years through 10 years | i 46 | i 45 | i 1.8 | % | ||||
After
10 years | i 12,543 | i 12,638 | i 2.6 | % | ||||
Total | i 12,589 | i 12,683 | ||||||
Total
U.S. government and agency securities | i 42,734 | i 43,344 | i 2.3 | % | ||||
Corporate
and other debt: | ||||||||
Non-agency CMBS: | ||||||||
Due within 1 year | i 91 | i 91 | i 4.9 | % | ||||
After
1 year through 5 years | i 125 | i 125 | i 5.5 | % | ||||
After
5 years through 10 years | i 514 | i 532 | i 5.3 | % | ||||
After
10 years | i 38 | i 41 | i 2.1 | % | ||||
Total
corporate and other debt | i 768 | i 789 | i 4.0 | % | ||||
Total
HTM securities | i 43,502 | i 44,133 | i 2.3 | % | ||||
Total
investment securities | $ | i 105,454 | $ | i 106,356 | i 2.2 | % |
$ in millions | 2019 | 2018 | 2017 | ||||||
Gross realized gains | $ | i 113 | $ | i 12 | $ | i 46 | |||
Gross
realized (losses) | ( i 10 | ) | ( i 4 | ) | ( i 11 | ) | |||
Total1 | $ | i 103 | $ | i 8 | $ | i 35 |
1. | Realized
gains and losses are recognized in Other revenues in the income statements. |
111 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
$ in millions | Gross Amounts | Amounts Offset | Balance
Sheet Net Amounts | Amounts Not Offset1 | Net Amounts | ||||||||||
Assets | |||||||||||||||
Securities purchased under agreements to resell | $ | i 247,545 | $ | ( i 159,321 | ) | $ | i 88,224 | $ | ( i 85,200 | ) | $ | i 3,024 | |||
Securities
borrowed | i 109,528 | ( i 2,979 | ) | i 106,549 | ( i 101,850 | ) | i 4,699 | ||||||||
Liabilities | |||||||||||||||
Securities
sold under agreements to repurchase | $ | i 213,519 | $ | ( i 159,319 | ) | $ | i 54,200 | $ | ( i 44,549 | ) | $ | i 9,651 | |||
Securities
loaned | i 11,487 | ( i 2,981 | ) | i 8,506 | ( i 8,324 | ) | i 182 | ||||||||
Net
amounts for which master netting agreements are not in place or may not be legally enforceable | |||||||||||||||
Securities purchased under agreements to resell | $ | i 2,255 | |||||||||||||
Securities
borrowed | i 1,181 | ||||||||||||||
Securities sold under agreements to repurchase | i 8,033 | ||||||||||||||
Securities
loaned | i 101 | ||||||||||||||
$
in millions | Gross Amounts | Amounts Offset | Balance Sheet Net Amounts | Amounts Not Offset1 | Net Amounts | ||||||||||
Assets | |||||||||||||||
Securities
purchased under agreements to resell | $ | i 262,976 | $ | ( i 164,454 | ) | $ | i 98,522 | $ | ( i 95,610 | ) | $ | i 2,912 | |||
Securities
borrowed | i 134,711 | ( i 18,398 | ) | i 116,313 | ( i 112,551 | ) | i 3,762 | ||||||||
Liabilities | |||||||||||||||
Securities
sold under agreements to repurchase | $ | i 214,213 | $ | ( i 164,454 | ) | $ | i 49,759 | $ | ( i 41,095 | ) | $ | i 8,664 | |||
Securities
loaned | i 30,306 | ( i 18,398 | ) | i 11,908 | ( i 11,677 | ) | i 231 | ||||||||
Net
amounts for which master netting agreements are not in place or may not be legally enforceable | |||||||||||||||
Securities purchased under agreements to resell | $ | i 2,579 | |||||||||||||
Securities
borrowed | i 724 | ||||||||||||||
Securities sold under agreements to repurchase | i 6,762 | ||||||||||||||
Securities
loaned | i 191 |
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. |
December 2019 Form 10-K | 112 |
Notes to Consolidated Financial Statements |
$ in millions | Overnight and Open | Less than 30 Days | 30-90 Days | Over 90 Days | Total | ||||||||||
Securities sold under agreements to repurchase | $ | i 67,158 | $ | i 81,300 | $ | i 26,904 | $ | i 38,157 | $ | i 213,519 | |||||
Securities
loaned | i 2,378 | i 3,286 | i 516 | i 5,307 | i 11,487 | ||||||||||
Total
included in the offsetting disclosure | $ | i 69,536 | $ | i 84,586 | $ | i 27,420 | $ | i 43,464 | $ | i 225,006 | |||||
Trading
liabilities— Obligation to return securities received as collateral | i 23,877 | i — | i — | i — | i 23,877 | ||||||||||
Total | $ | i 93,413 | $ | i 84,586 | $ | i 27,420 | $ | i 43,464 | $ | i 248,883 | |||||
$ in millions | Overnight and Open | Less than 30 Days | 30-90 Days | Over 90 Days | Total | ||||||||||
Securities sold under agreements to repurchase | $ | i 56,503 | $ | i 93,427 | $ | i 35,692 | $ | i 28,591 | $ | i 214,213 | |||||
Securities
loaned | i 18,397 | i 3,609 | i 1,985 | i 6,315 | i 30,306 | ||||||||||
Total
included in the offsetting disclosure | $ | i 74,900 | $ | i 97,036 | $ | i 37,677 | $ | i 34,906 | $ | i 244,519 | |||||
Trading
liabilities— Obligation to return securities received as collateral | i 17,594 | i — | i — | i — | i 17,594 | ||||||||||
Total | $ | i 92,494 | $ | i 97,036 | $ | i 37,677 | $ | i 34,906 | $ | i 262,113 |
$ in millions | ||||||
Securities sold under agreements to repurchase | ||||||
U.S. Treasury and agency securities | $ | i 68,895 | $ | i 68,487 | ||
State
and municipal securities | i 905 | i 925 | ||||
Other
sovereign government obligations | i 109,414 | i 120,432 | ||||
ABS | i 2,218 | i 3,017 | ||||
Corporate
and other debt | i 6,066 | i 8,719 | ||||
Corporate
equities | i 25,563 | i 12,079 | ||||
Other | i 458 | i 554 | ||||
Total | $ | i 213,519 | $ | i 214,213 | ||
Securities
loaned | ||||||
Other sovereign government obligations | $ | i 3,026 | $ | i 19,021 | ||
Corporate
equities | i 8,422 | i 10,800 | ||||
Other | i 39 | i 485 | ||||
Total | $ | i 11,487 | $ | i 30,306 | ||
Total
included in the offsetting disclosure | $ | i 225,006 | $ | i 244,519 | ||
Trading
liabilities—Obligation to return securities received as collateral | ||||||
Corporate equities | $ | i 23,873 | $ | i 17,594 | ||
Other | i 4 | i — | ||||
Total | $ | i 23,877 | $ | i 17,594 | ||
Total | $ | i 248,883 | $ | i 262,113 |
$ in millions | ||||||
Trading assets | $ | i 41,201 | $ | i 39,430 | ||
Loans
(gross of allowance for loan losses) | i 750 | i — | ||||
Total | $ | i 41,951 | $ | i 39,430 |
$ in millions | ||||||
Collateral received with right to sell or repledge | $ | i 679,280 | $ | i 639,610 | ||
Collateral
that was sold or repledged1 | i 539,412 | i 487,983 |
1. | Does
not include securities used to meet federal regulations for the Firm’s U.S. broker-dealers. |
$
in millions | ||||||
Restricted cash | $ | i 32,512 | $ | i 35,356 | ||
Segregated
securities1 | i 25,061 | i 26,877 | ||||
Total | $ | i 57,573 | $ | i 62,233 |
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 sheets. |
113 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
U.S. government and agency securities and other sovereign government obligations | ||||
Trading
assets1 | i 10 | % | i 12 | % |
Off
balance sheet—Collateral received2 | i 12 | % | i 17 | % |
1. | Other
sovereign government obligations included in Trading assets primarily consist of the U.K., Japan and Australia at December 31, 2019, and UK., Japan and Brazil at December 31, 2018. |
2. | Collateral received is primarily related to Securities purchased under agreements to resell and Securities borrowed. |
$ in millions | ||||||
Customer receivables representing margin loans | $ | i 31,916 | $ | i 26,225 |
• | Corporate. Corporate loans primarily include commercial and industrial lending used for general corporate purposes, working capital and liquidity, event-driven loans, secured lending facilities, and securities-based lending. Event-driven loans support client merger, acquisition, recapitalization or project finance activities. Corporate loans are structured as revolving lines of credit, letter of credit facilities, term loans and bridge loans. Risk factors considered in determining the allowance for corporate loans include the borrower’s financial
strength, industry, facility structure, collateral and covenants along with other qualitative factors. |
• | Consumer. Consumer loans include unsecured loans and securities-based lending, which allows 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 consumer loans are structured as revolving lines of credit. The allowance methodology for unsecured loans considers the specific attributes of the loan, as well as the borrower’s source of repayment. The allowance methodology for securities-based lending considers the collateral type underlying the loan (e.g.,
diversified securities, concentrated securities or restricted stock). |
• | Residential Real Estate. Residential real estate loans mainly include non-conforming loans and HELOC. The allowance methodology for non-conforming residential mortgage loans considers several factors, including, but not limited to, loan-to-value ratio, FICO score, home price index and delinquency status. The methodology for HELOC considers credit limits |
December
2019 Form 10-K | 114 |
Notes to Consolidated Financial Statements |
• | Commercial Real Estate. Commercial real estate loans include owner-occupied loans and income-producing loans. The principal risk factors for determining the allowance for commercial real estate loans are the underlying collateral type, loan-to-value ratio and debt service ratio. |
$ in millions | Loans Held for Investment | Loans Held for Sale | Total Loans | ||||||
Corporate | $ | i 48,756 | $ | i 10,515 | $ | i 59,271 | |||
Consumer | i 31,610 | i — | i 31,610 | ||||||
Residential
real estate | i 30,184 | i 13 | i 30,197 | ||||||
Commercial
real estate1 | i 7,859 | i 2,049 | i 9,908 | ||||||
Total
loans, gross | i 118,409 | i 12,577 | i 130,986 | ||||||
Allowance
for loan losses | ( i 349 | ) | i — | ( i 349 | ) | ||||
Total
loans, net | $ | i 118,060 | $ | i 12,577 | $ | i 130,637 | |||
Fixed
rate loans, net | $ | i 22,716 | |||||||
Floating or adjustable rate loans, net | i 107,921 | ||||||||
Loans
to non-U.S. borrowers, net | i 21,617 |
$ in millions | Loans Held for Investment | Loans Held for Sale | Total Loans | ||||||
Corporate | $ | i 36,909 | $ | i 13,886 | $ | i 50,795 | |||
Consumer | i 27,868 | i — | i 27,868 | ||||||
Residential
real estate | i 27,466 | i 22 | i 27,488 | ||||||
Commercial
real estate1 | i 7,810 | i 1,856 | i 9,666 | ||||||
Total
loans, gross | i 100,053 | i 15,764 | i 115,817 | ||||||
Allowance
for loan losses | ( i 238 | ) | i — | ( i 238 | ) | ||||
Total
loans, net | $ | i 99,815 | $ | i 15,764 | $ | i 115,579 | |||
Fixed
rate loans, net | $ | i 15,632 | |||||||
Floating or adjustable rate loans, net | i 99,947 | ||||||||
Loans
to non-U.S. borrowers, net | i 17,568 |
1. | Beginning
in 2019, loans previously referred to as Wholesale real estate are referred to as Commercial real estate. |
• | Pass. A credit exposure rated Pass has a continued expectation of timely repayment, all obligations of the borrower are current, and the obligor complies with material terms and conditions of the lending agreement. |
• | Special Mention. Extensions of credit that have
potential weakness that deserve management’s close attention and, if left uncorrected, may, at some future date, result in the deterioration of the repayment prospects or collateral position. |
• | Substandard. Obligor has a well-defined weakness that jeopardizes the repayment of the debt and has a high probability of payment default with the distinct possibility that the Firm will sustain some loss if noted deficiencies are not corrected. |
• | Doubtful. Inherent weakness
in the exposure makes the collection or repayment in full, based on existing facts, conditions and circumstances, highly improbable, and the amount of loss is uncertain. |
• | Loss. Extensions of credit classified as loss are considered uncollectible and are charged off. |
115 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
$ in millions | Corporate | Consumer | Residential Real Estate | Commercial Real Estate | Total | ||||||||||
Pass | $ | i 47,681 | $ | i 31,605 | $ | i 30,060 | $ | i 7,664 | $ | i 117,010 | |||||
Special
mention | i 464 | i — | i 28 | i 3 | i 495 | ||||||||||
Substandard | i 605 | i 5 | i 96 | i 192 | i 898 | ||||||||||
Doubtful | i 6 | i — | i — | i — | i 6 | ||||||||||
Total | $ | i 48,756 | $ | i 31,610 | $ | i 30,184 | $ | i 7,859 | $ | i 118,409 | |||||
$ in millions | Corporate | Consumer | Residential Real Estate | Commercial Real Estate | Total | ||||||||||
Pass | $ | i 36,217 | $ | i 27,863 | $ | i 27,387 | $ | i 7,378 | $ | i 98,845 | |||||
Special
mention | i 492 | i 5 | i — | i 312 | i 809 | ||||||||||
Substandard | i 200 | i — | i 79 | i 120 | i 399 | ||||||||||
Doubtful | i — | i — | i — | i — | i — | ||||||||||
Total | $ | i 36,909 | $ | i 27,868 | $ | i 27,466 | $ | i 7,810 | $ | i 100,053 |
1. | There
were no loans held for investment considered Loss as of December 31, 2019 and 2018. |
$ in millions | Corporate | Consumer | Residential Real Estate | Commercial Real Estate | Total | ||||||||||
Loans | |||||||||||||||
With
allowance | $ | i 268 | $ | i — | $ | i — | $ | i 85 | $ | i 353 | |||||
Without
allowance1 | i 32 | i 5 | i 87 | i — | i 124 | ||||||||||
Total
impaired loans | $ | i 300 | $ | i 5 | $ | i 87 | $ | i 85 | $ | i 477 | |||||
UPB | i 309 | i 5 | i 90 | i 85 | i 489 | ||||||||||
Lending
commitments | |||||||||||||||
With allowance | $ | i 4 | $ | i — | $ | i — | $ | i 14 | $ | i 18 | |||||
Without
allowance1 | i 32 | i — | i — | i — | i 32 | ||||||||||
Total
impaired lending commitments | $ | i 36 | $ | i — | $ | i — | $ | i 14 | $ | i 50 |
$ in millions | Corporate | Consumer | Residential Real Estate | Commercial Real Estate | Total | ||||||||||
Loans | |||||||||||||||
With
allowance | $ | i 24 | $ | i — | $ | i — | $ | i — | $ | i 24 | |||||
Without
allowance1 | i 32 | i — | i 69 | i — | i 101 | ||||||||||
Total
impaired loans | $ | i 56 | $ | i — | $ | i 69 | $ | i — | $ | i 125 | |||||
UPB | i 63 | i — | i 70 | i — | i 133 | ||||||||||
Lending
commitments | |||||||||||||||
With allowance | $ | i 19 | $ | i — | $ | i — | $ | i — | $ | i 19 | |||||
Without
allowance1 | i 34 | i — | i — | i — | i 34 | ||||||||||
Total
impaired lending commitments | $ | i 53 | $ | i — | $ | i — | $ | i — | $ | i 53 |
1. | At
December 31, 2019 and December 31, 2018, no allowance was recorded for these loans and lending commitments as the present value of the expected future cash flows or value of the collateral held equaled or exceeded the carrying value. |
$ in millions | Americas | EMEA | Asia | Total | ||||||||
Impaired
loans | $ | i 392 | $ | i 85 | $ | i — | $ | i 477 | ||||
Total
Allowance for loan losses | i 270 | i 76 | i 3 | i 349 | ||||||||
$ in millions | Americas | EMEA | Asia | Total | ||||||||
Impaired loans | $ | i 125 | $ | i — | $ | i — | $ | i 125 | ||||
Total
Allowance for loan losses | i 193 | i 42 | i 3 | i 238 |
$ in millions | ||||||
Loans | $ | i 92 | $ | i 38 | ||
Lending
commitments | i 32 | i 45 | ||||
Allowance
for loan losses and lending commitments | i 16 | i 4 |
December 2019 Form 10-K | 116 |
Notes to Consolidated Financial Statements |
$
in millions | Corporate | Consumer | Residential Real Estate | Commercial Real Estate | Total | ||||||||||
$ | i 144 | $ | i 7 | $ | i 20 | $ | i 67 | $ | i 238 | ||||||
Gross
charge-offs | i — | i — | ( i 2 | ) | i — | ( i 2 | ) | ||||||||
Recoveries | i — | i — | i — | i — | i — | ||||||||||
Net
recoveries (charge-offs) | i — | i — | ( i 2 | ) | i — | ( i 2 | ) | ||||||||
Provision
(release) | i 104 | i 1 | i 7 | i 8 | i 120 | ||||||||||
Other | ( i 7 | ) | i — | i — | i — | ( i 7 | ) | ||||||||
$ | i 241 | $ | i 8 | $ | i 25 | $ | i 75 | $ | i 349 | ||||||
Inherent | $ | i 212 | $ | i 8 | $ | i 25 | $ | i 73 | $ | i 318 | |||||
Specific | i 29 | i — | i — | i 2 | i 31 | ||||||||||
$
in millions | Corporate | Consumer | Residential Real Estate | Commercial Real Estate | Total | ||||||||||
$ | i 126 | $ | i 4 | $ | i 24 | $ | i 70 | $ | i 224 | ||||||
Gross
charge-offs | ( i 5 | ) | i — | ( i 1 | ) | i — | ( i 6 | ) | |||||||
Recoveries | i 54 | i — | i — | i — | i 54 | ||||||||||
Net
recoveries (charge-offs) | i 49 | i — | ( i 1 | ) | i — | i 48 | |||||||||
Provision
(release)1 | ( i 29 | ) | i 3 | ( i 3 | ) | i 5 | ( i 24 | ) | |||||||
Other | ( i 2 | ) | i — | i — | ( i 8 | ) | ( i 10 | ) | |||||||
$ | i 144 | $ | i 7 | $ | i 20 | $ | i 67 | $ | i 238 | ||||||
Inherent | $ | i 139 | $ | i 7 | $ | i 20 | $ | i 67 | $ | i 233 | |||||
Specific | i 5 | i — | i — | i — | i 5 |
$
in millions | Corporate | Consumer | Residential Real Estate | Commercial Real Estate | Total | ||||||||||
$ | i 195 | $ | i 4 | $ | i 20 | $ | i 55 | $ | i 274 | ||||||
Gross
charge-offs | ( i 75 | ) | i — | i — | i — | ( i 75 | ) | ||||||||
Recoveries | i 1 | i — | i — | i — | i 1 | ||||||||||
Net
recoveries (charge-offs) | ( i 74 | ) | i — | i — | i — | ( i 74 | ) | ||||||||
Provision
(release) | i 5 | i — | i 4 | i 13 | i 22 | ||||||||||
Other | i — | i — | i — | i 2 | i 2 | ||||||||||
$ | i 126 | $ | i 4 | $ | i 24 | $ | i 70 | $ | i 224 | ||||||
Inherent | $ | i 119 | $ | i 4 | $ | i 24 | $ | i 70 | $ | i 217 | |||||
Specific | i 7 | i — | i — | i — | i 7 |
1. | During
2018, the release was primarily due to the recovery of an energy industry related loan charged off in 2017. |
$
in millions | Corporate | Consumer | Residential Real Estate | Commercial Real Estate | Total | ||||||||||
$ | i 198 | $ | i 2 | $ | i — | $ | i 3 | $ | i 203 | ||||||
Provision
(release) | i 38 | i — | i — | i 4 | i 42 | ||||||||||
Other | ( i 4 | ) | i — | i — | i — | ( i 4 | ) | ||||||||
$ | i 232 | $ | i 2 | $ | i — | $ | i 7 | $ | i 241 | ||||||
Inherent | $ | i 230 | $ | i 2 | $ | i — | $ | i 7 | $ | i 239 | |||||
Specific | i 2 | i — | i — | i — | i 2 | ||||||||||
$
in millions | Corporate | Consumer | Residential Real Estate | Commercial Real Estate | Total | ||||||||||
$ | i 194 | $ | i 1 | $ | i — | $ | i 3 | $ | i 198 | ||||||
Provision
(release) | i 7 | i 1 | i — | i 1 | i 9 | ||||||||||
Other | ( i 3 | ) | i — | i — | ( i 1 | ) | ( i 4 | ) | |||||||
$ | i 198 | $ | i 2 | $ | i — | $ | i 3 | $ | i 203 | ||||||
Inherent | $ | i 193 | $ | i 2 | $ | i — | $ | i 3 | $ | i 198 | |||||
Specific | i 5 | i — | i — | i — | i 5 | ||||||||||
$
in millions | Corporate | Consumer | Residential Real Estate | Commercial Real Estate | Total | ||||||||||
$ | i 185 | $ | i 1 | $ | i — | $ | i 4 | $ | i 190 | ||||||
Provision
(release) | i 8 | i — | i — | ( i 1 | ) | i 7 | |||||||||
Other | i 1 | i — | i — | i — | i 1 | ||||||||||
$ | i 194 | $ | i 1 | $ | i — | $ | i 3 | $ | i 198 | ||||||
Inherent | $ | i 192 | $ | i 1 | $ | i — | $ | i 3 | $ | i 196 | |||||
Specific | i 2 | i — | i — | i — | i 2 |
$ in millions | ||||||
Balance | $ | i 2,980 | $ | i 3,415 | ||
Allowance
for loan losses | ( i 61 | ) | ( i 63 | ) | ||
Balance,
net | $ | i 2,919 | $ | i 3,352 | ||
Remaining
repayment term, weighted average in years | i 4.8 | i 4.3 |
117 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
$ in millions | IS | WM | IM | Total | ||||||||
$ | i 295 | $ | i 5,533 | $ | i 769 | $ | i 6,597 | |||||
Foreign
currency and other | ( i 21 | ) | i — | i — | ( i 21 | ) | ||||||
Acquired | i — | i — | i 112 | i 112 | ||||||||
$ | i 274 | $ | i 5,533 | $ | i 881 | $ | i 6,688 | |||||
Foreign
currency and other | ( i 13 | ) | ( i 1 | ) | i — | ( i 14 | ) | |||||
Acquired2 | i — | i 469 | i — | i 469 | ||||||||
$ | i 261 | $ | i 6,001 | $ | i 881 | $ | i 7,143 | |||||
Accumulated
impairments3 | $ | i 673 | $ | i — | $ | i 27 | $ | i 700 |
1. | Balances represent the amount of the Firm’s goodwill after accumulated impairments. |
2. | Amounts reflect the impact of the Firm's acquisition of Solium Capital Inc. in the second quarter of 2019. |
3. | Accumulated
impairments were recorded prior to the periods shown. There were no impairments recorded in 2019, 2018 or 2017. |
$ in millions | IS | WM | IM | Total | ||||||||
$ | i 349 | $ | i 2,092 | $ | i 4 | $ | i 2,445 | |||||
Acquired | i — | i — | i 66 | i 66 | ||||||||
Disposals | ( i 6 | ) | i — | i — | ( i 6 | ) | ||||||
Amortization
expense | ( i 70 | ) | ( i 264 | ) | ( i 10 | ) | ( i 344 | ) | ||||
Other | ( i 3 | ) | i — | i — | ( i 3 | ) | ||||||
$ | i 270 | $ | i 1,828 | $ | i 60 | $ | i 2,158 | |||||
Acquired2 | i 3 | i 270 | i — | i 273 | ||||||||
Disposals | ( i 29 | ) | i — | i — | ( i 29 | ) | ||||||
Amortization
expense | ( i 35 | ) | ( i 271 | ) | ( i 8 | ) | ( i 314 | ) | ||||
Other | i 18 | i 1 | i — | i 19 | ||||||||
$ | i 227 | $ | i 1,828 | $ | i 52 | $ | i 2,107 |
$ in millions | Gross Carrying Amount | Accumulated Amortization | Gross Carrying Amount | Accumulated Amortization | ||||||||
Tradenames | $ | i 291 | $ | i 71 | $ | i 286 | $ | i 60 | ||||
Customer
relationships | i 4,321 | i 2,703 | i 4,067 | i 2,446 | ||||||||
Management
contracts | i 482 | i 327 | i 507 | i 311 | ||||||||
Other | i 217 | i 103 | i 175 | i 60 | ||||||||
Total | $ | i 5,311 | $ | i 3,204 | $ | i 5,035 | $ | i 2,877 | ||||
Estimated
annual amortization expense for the next five years | $ | i 307 |
1. | Amounts
exclude $ i 5 million of mortgage servicing rights in 2018. |
2. | Amounts principally reflect the impact of the Firm's acquisition of Solium Capital Inc. in the second quarter of 2019. |
$
in millions | ||||||
Investments | $ | i 2,363 | $ | i 2,432 |
$
in millions | 2019 | 2018 | 2017 | ||||||
Income (loss)1 | $ | ( i 81 | ) | $ | i 20 | $ | ( i 34 | ) |
1. | Includes
impairments of the Investment Management business segment’s equity method investments as follows: in 2019, $ i 41 million related to a third-party asset manager; in 2018 and 2017, $ i 46
million and $ i 53 million, respectively, related to a separate third-party asset manager. |
$
in millions | 2019 | 2018 | 2017 | ||||||
Income from investment in MUMSS | $ | i 17 | $ | i 105 | $ | i 123 |
December 2019 Form 10-K | 118 |
Notes to Consolidated Financial Statements |
$ in millions | |||
Other assets—ROU assets | $ | i 3,998 | |
Other
liabilities and accrued expenses—Lease liabilities | i 4,778 | ||
Weighted average: | |||
Remaining lease term, in years | i 9.7 | ||
Discount
rate | i 3.6 | % |
$ in millions | |||
2020 | $ | i 763 | |
2021 | i 703 | ||
2022 | i 646 | ||
2023 | i 593 | ||
2024 | i 524 | ||
Thereafter | i 2,845 | ||
Total
undiscounted cash flows | i 6,074 | ||
Imputed interest | ( i 1,296 | ) | |
Amount
on balance sheet | $ | i 4,778 | |
Committed leases not yet commenced | $ | i 55 |
$ in millions | 2019 | ||
Fixed costs | $ | i 670 | |
Variable
costs1 | i 152 | ||
Less: Sublease income | ( i 6 | ) | |
Total
lease cost, net | $ | i 816 |
1. | Includes common area maintenance charges and other variable costs not included in the measurement of ROU assets and
lease liabilities. |
$ in millions | 2019 | ||
Cash outflows—Lease liabilities | $ | i 685 | |
Non-cash—ROU
assets recorded for new and modified leases | i 514 |
$ in millions | |||
2019 | $ | i 677 | |
2020 | i 657 | ||
2021 | i 602 | ||
2022 | i 555 | ||
2023 | i 507 | ||
Thereafter | i 2,639 | ||
Total | $ | i 5,637 | |
Total
minimum rental income to be received in the future under non-cancelable operating subleases | $ | i 7 |
$
in millions | 2018 | 2017 | ||
Rent expense | i 753 | i 704 |
$
in millions | ||||||
Savings and demand deposits | $ | i 149,465 | $ | i 154,897 | ||
Time
deposits | i 40,891 | i 32,923 | ||||
Total | $ | i 190,356 | $ | i 187,820 | ||
Deposits
subject to FDIC insurance | $ | i 149,966 | $ | i 144,515 | ||
Time
deposits that equal or exceed the FDIC insurance limit | $ | i 12 | $ | i 11 |
$ in millions | |||
2020 | $ | i 20,481 | |
2021 | i 10,567 | ||
2022 | i 3,507 | ||
2023 | i 3,231 | ||
2024 | i 2,465 | ||
Thereafter | i 640 | ||
Total | $ | i 40,891 |
119 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
Parent
Company | ||||||||||||||||||
$ in millions | Fixed Rate | Variable Rate1 | Fixed
Rate | Variable Rate1 | ||||||||||||||
Original maturities of one year or less: | ||||||||||||||||||
Next 12 months2 | $ | i 500 | $ | i — | $ | i — | $ | i 2,067 | $ | i 2,567 | $ | i 1,545 | ||||||
Original
maturities greater than one year: | ||||||||||||||||||
2019 | $ | i — | $ | i — | $ | i — | $ | i — | $ | i — | $ | i 24,694 | ||||||
2020 | i 10,909 | i 4,319 | i 14 | i 5,160 | i 20,402 | i 21,280 | ||||||||||||
2021 | i 13,616 | i 7,823 | i 18 | i 4,628 | i 26,085 | i 24,642 | ||||||||||||
2022 | i 6,576 | i 9,508 | i 16 | i 3,788 | i 19,888 | i 16,785 | ||||||||||||
2023 | i 8,632 | i 3,147 | i 14 | i 2,822 | i 14,615 | i 13,938 | ||||||||||||
2024 | i 13,360 | i 2,028 | i 14 | i 5,704 | i 21,106 | i 16,405 | ||||||||||||
Thereafter | i 52,941 | i 14,436 | i 125 | i 20,462 | i 87,964 | i 70,373 | ||||||||||||
Total | $ | i 106,034 | $ | i 41,261 | $ | i 201 | $ | i 42,564 | $ | i 190,060 | $ | i 188,117 | ||||||
Total
borrowings | $ | i 106,534 | $ | i 41,261 | $ | i 201 | $ | i 44,631 | $ | i 192,627 | $ | i 189,662 | ||||||
Weighted
average coupon at period end3 | i 3.6 | % | i 2.1 | % | i 6.6 | % | N/M | i 3.4 | % | i 3.5 | % |
1. | Variable
rate borrowings bear interest based on a variety of indices, including LIBOR, federal funds rates and SOFR. Amounts include 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, and instruments with various interest-rate-related features, including step-ups, step-downs and zero coupons. |
2. | The amount shown for the Parent Company represents amounts due to holders of the Firm's Series G preferred stock for which a notice of redemption was issued. See Note 16 for further information. |
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. |
$
in millions | ||||||
Senior | $ | i 179,519 | $ | i 178,027 | ||
Subordinated | i 10,541 | i 10,090 | ||||
Total | $ | i 190,060 | $ | i 188,117 | ||
Weighted
average stated maturity, in years | i 6.9 | i 6.5 |
$ in millions | ||||||
Put options embedded in debt agreements | $ | i 290 | $ | i 520 | ||
Liquidity
obligations1 | $ | i 1,344 | $ | i 1,284 |
1. | Includes
obligations to support secondary market trading. |
2019 | 2018 | |||
Contractual weighted average
coupon | i 4.5 | % | i 4.5 | % |
At
December 31, | ||||||
2019 | 2018 | 2017 | ||||
Contractual weighted average coupon1 | i 3.4 | % | i 3.5 | % | i 3.3 | % |
Effective
weighted average coupon after swaps | i 2.9 | % | i 3.6 | % | i 2.5 | % |
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. |
December 2019 Form 10-K | 120 |
Notes to Consolidated Financial Statements |
$
in millions | ||||||
Original maturities: | ||||||
One year or less | i 7,103 | i 2,036 | ||||
Greater
than one year | i 6,480 | i 6,772 | ||||
Transfers
of assets accounted for as secured financings | i 1,115 | i 658 | ||||
Total | $ | i 14,698 | $ | i 9,466 |
$ in millions | Fixed Rate | Variable Rate1 | Total | |||||||||
Original
maturities of one year or less: | ||||||||||||
Next 12 months | $ | i 2,785 | $ | i 4,318 | $ | i 7,103 | $ | i 2,036 | ||||
Original
maturities greater than one year: | ||||||||||||
2019 | $ | i — | $ | i — | $ | i — | $ | i 5,900 | ||||
2020 | i 764 | i 899 | i 1,663 | i 599 | ||||||||
2021 | i 698 | i 412 | i 1,110 | i 1 | ||||||||
2022 | i 227 | i — | i 227 | i 86 | ||||||||
2023 | i — | i 2,655 | i 2,655 | i 26 | ||||||||
2024 | i — | i 12 | i 12 | i 12 | ||||||||
Thereafter | i 356 | i 457 | i 813 | i 148 | ||||||||
Total | $ | i 2,045 | $ | i 4,435 | $ | i 6,480 | $ | i 6,772 | ||||
Weighted average coupon
at period-end2 | i 0.8 | % | i 2.5 | % | i 2.4 | % | i 2.5 | % |
1. | 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. |
2. | 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. |
$
in millions | ||||||
2019 | $ | i — | $ | i 40 | ||
2020 | i 208 | i 62 | ||||
2021 | i 225 | i 29 | ||||
2022 | i 46 | i 33 | ||||
2023 | i 334 | i — | ||||
2024 | i — | i — | ||||
Thereafter | i 302 | i 494 | ||||
Total | $ | i 1,115 | $ | i 658 |
1. | Excludes
Securities sold under agreements to repurchase and Securities loaned. |
Years to Maturity at December 31, 2019 | |||||||||||||||
$
in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Lending: | |||||||||||||||
Corporate | $ | i 23,507 | $ | i 34,542 | $ | i 47,924 | $ | i 5,110 | $ | i 111,083 | |||||
Consumer | i 7,835 | i 28 | i 4 | i — | i 7,867 | ||||||||||
Residential and
Commercial real estate | i 379 | i 378 | i 88 | i 273 | i 1,118 | ||||||||||
Forward-starting
secured financing receivables | i 63,313 | i 223 | i — | i 11,601 | i 75,137 | ||||||||||
Underwriting | i 637 | i — | i — | i — | i 637 | ||||||||||
Investment activities | i 706 | i 275 | i 60 | i 262 | i 1,303 | ||||||||||
Letters
of credit and other financial guarantees | i 186 | i 2 | i — | i 2 | i 190 | ||||||||||
Total | $ | i 96,563 | $ | i 35,448 | $ | i 48,076 | $ | i 17,248 | $ | i 197,335 | |||||
Corporate
lending commitments participated to third parties | $ | i 8,003 | |||||||||||||
Forward-starting secured financing receivables settled within three business days of the balance sheet date | $ | i 52,438 |
121 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
Maximum Potential Payout/Notional | |||||||||||||||
Years to Maturity | |||||||||||||||
$
in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Credit derivatives | $ | i 36,334 | $ | i 37,080 | $ | i 111,758 | $ | i 30,547 | $ | i 215,719 | |||||
Other credit
contracts | i — | i — | i — | i 117 | i 117 | ||||||||||
Non-credit
derivatives | i 1,590,947 | i 1,240,195 | i 393,248 | i 699,043 | i 3,923,433 | ||||||||||
Standby letters of credit
and other financial guarantees issued1 | i 1,282 | i 836 | i 1,386 | i 4,201 | i 7,705 | ||||||||||
Market
value guarantees | i 76 | i 82 | i — | i — | i 158 | ||||||||||
Liquidity
facilities | i 4,599 | i — | i — | i — | i 4,599 | ||||||||||
Whole
loan sales guarantees | i — | i — | i — | i 23,196 | i 23,196 | ||||||||||
Securitization
representations and warranties | i — | i — | i — | i 67,928 | i 67,928 | ||||||||||
General
partner guarantees | i 59 | i 128 | i 12 | i 71 | i 270 | ||||||||||
Client
clearing guarantees | i 18,565 | i — | i — | i — | i 18,565 |
$
in millions | Carrying Amount Asset (Liability) | ||
Credit derivatives2 | $ | i 1,703 | |
Other
credit contracts | ( i 17 | ) | |
Non-credit derivatives2 | ( i 45,794 | ) | |
Standby
letters of credit and other financial guarantees issued1 | i 226 | ||
Market value guarantees | i — | ||
Liquidity
facilities | i 6 | ||
Whole loan sales guarantees | i — | ||
Securitization
representations and warranties3 | ( i 42 | ) | |
General partner guarantees | ( i 42 | ) | |
Client
clearing guarantees | i — |
1. | These amounts include certain issued standby letters of credit participated to third parties,
totaling $ i 0.7 billion of notional and collateral/recourse, due to the nature of the Firm’s obligations under these arrangements. |
2. | The carrying amounts of derivative contracts that meet
the accounting definition of a guarantee are shown on a gross basis. |
3. | Primarily related to residential mortgage securitizations. |
December 2019 Form 10-K | 122 |
Notes to Consolidated Financial Statements |
123 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
• | 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 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. |
• | 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 merger and acquisition 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 |
$
in millions | 2019 | 2018 | 2017 | ||||||
Legal expenses | $ | i 221 | $ | i 206 | $ | i 342 |
December 2019 Form 10-K | 124 |
Notes to Consolidated Financial Statements |
125 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
• | 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-repackaged notes designed to meet the
investment objectives of clients. |
• | Other structured transactions designed to provide tax-efficient yields to the Firm or its clients. |
December 2019 Form 10-K | 126 |
Notes to Consolidated Financial Statements |
$ in millions | VIE Assets | VIE Liabilities | VIE Assets | VIE Liabilities | ||||||||
OSF | $ | i 696 | $ | i 391 | $ | i 267 | $ | i — | ||||
MABS1 | i 265 | i 4 | i 59 | i 38 | ||||||||
Other2 | i 987 | i 66 | i 809 | i 48 | ||||||||
Total | $ | i 1,948 | $ | i 461 | $ | i 1,135 | $ | i 86 |
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. | Other primarily includes operating entities, investment funds and structured transactions. |
$ in millions | ||||||
Assets | ||||||
Cash
and cash equivalents: | ||||||
Cash and due from banks | $ | i 315 | $ | i 77 | ||
Restricted
cash | i 173 | i 171 | ||||
Trading
assets at fair value | i 943 | i 314 | ||||
Customer
and other receivables | i 18 | i 25 | ||||
Goodwill | i — | i 18 | ||||
Intangible
assets | i 111 | i 128 | ||||
Other
assets | i 388 | i 402 | ||||
Total | $ | i 1,948 | $ | i 1,135 | ||
Liabilities | ||||||
Other
secured financings | $ | i 422 | $ | i 64 | ||
Other
liabilities and accrued expenses | i 39 | i 22 | ||||
Total | $ | i 461 | $ | i 86 | ||
Noncontrolling
interests | $ | i 192 | $ | i 106 |
$ in millions | MABS1 | CDO | MTOB | OSF | Other2 | ||||||||||
VIE
assets (UPB) | $ | i 125,603 | $ | i 2,976 | $ | i 6,965 | $ | i 2,288 | $ | i 51,305 | |||||
Maximum
exposure to loss3 | |||||||||||||||
Debt and equity interests | $ | i 16,314 | $ | i 240 | $ | i — | $ | i 1,009 | $ | i 11,977 | |||||
Derivative
and other contracts | i — | i — | i 4,599 | i — | i 2,995 | ||||||||||
Commitments,
guarantees and other | i 631 | i — | i — | i — | i 266 | ||||||||||
Total | $ | i 16,945 | $ | i 240 | $ | i 4,599 | $ | i 1,009 | $ | i 15,238 | |||||
Carrying
value of variable interests—Assets | |||||||||||||||
Debt and equity interests | $ | i 16,314 | $ | i 240 | $ | i — | $ | i 1,008 | $ | i 11,977 | |||||
Derivative
and other contracts | i — | i — | i 6 | i — | i 388 | ||||||||||
Total | $ | i 16,314 | $ | i 240 | $ | i 6 | $ | i 1,008 | $ | i 12,365 | |||||
Additional
VIE assets owned4 | $ | i 11,453 | |||||||||||||
Carrying value of variable interests—Liabilities | |||||||||||||||
Derivative
and other contracts | $ | i — | $ | i — | $ | i — | $ | i — | $ | i 444 |
127 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
$ in millions | MABS1 | CDO | MTOB | OSF | Other2 | ||||||||||
VIE assets (UPB) | $ | i 106,197 | $ | i 10,848 | $ | i 7,014 | $ | i 3,314 | $ | i 38,603 | |||||
Maximum
exposure to loss3 | |||||||||||||||
Debt and equity interests | $ | i 15,671 | $ | i 1,169 | $ | i — | $ | i 1,622 | $ | i 7,967 | |||||
Derivative
and other contracts | i — | i — | i 4,449 | i — | i 1,768 | ||||||||||
Commitments,
guarantees and other | i 1,073 | i 3 | i — | i 235 | i 509 | ||||||||||
Total | $ | i 16,744 | $ | i 1,172 | $ | i 4,449 | $ | i 1,857 | $ | i 10,244 | |||||
Carrying
value of variable interests—Assets | |||||||||||||||
Debt and equity interests | $ | i 15,671 | $ | i 1,169 | $ | i — | $ | i 1,205 | $ | i 7,967 | |||||
Derivative
and other contracts | i — | i — | i 6 | i — | i 87 | ||||||||||
Total | $ | i 15,671 | $ | i 1,169 | $ | i 6 | $ | i 1,205 | $ | i 8,054 | |||||
Additional
VIE assets owned4 | $ | i 12,059 | |||||||||||||
Carrying value of variable interests—Liabilities | |||||||||||||||
Derivative
and other contracts | $ | i — | $ | i — | $ | i — | $ | i — | $ | i 185 |
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 primary risk exposure is to the most subordinate class of beneficial interest and 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 3). The Firm does not
provide additional support in these transactions through contractual facilities, guarantees or similar derivatives. |
5. | The carrying value and maximum exposure to loss of variable interests related to MABS and Other have been revised to reflect the addition of approximately $ i 11
billion in loans to VIEs that were previously excluded. The VIE asset (UPB) amounts have also been revised by approximately $ i 54 billion. This disclosure-only revision did not impact the Firm's balance sheets. |
$ in millions | UPB | Debt and Equity Interests | UPB | Debt and Equity Interests | ||||||||
Residential mortgages | $ | i 30,353 | $ | i 3,993 | $ | i 27,594 | $ | i 4,581 | ||||
Commercial
mortgages | i 53,892 | i 3,881 | i 55,501 | i 4,327 | ||||||||
U.S.
agency collateralized mortgage obligations | i 36,366 | i 6,365 | i 14,969 | i 3,443 | ||||||||
Other
consumer or commercial loans | i 4,992 | i 2,075 | i 8,133 | i 3,320 | ||||||||
Total | $ | i 125,603 | $ | i 16,314 | $ | i 106,197 | $ | i 15,671 |
1. | The
balances as of December 31, 2018 were revised as noted in the Non-consolidated VIEs table herein. |
December 2019 Form 10-K | 128 |
Notes to Consolidated Financial Statements |
129 | December
2019 Form 10-K |
Notes to Consolidated Financial Statements |
$ in millions | RML | CML | U.S. Agency CMO | CLN and Other3 | ||||||||
SPE
assets (UPB)4 | $ | i 9,850 | $ | i 86,203 | $ | i 19,132 | $ | i 8,410 | ||||
Retained
interests | ||||||||||||
Investment grade | $ | i 29 | $ | i 720 | $ | i 2,376 | $ | i 1 | ||||
Non-investment
grade | i 17 | i 254 | i — | i 92 | ||||||||
Total | $ | i 46 | $ | i 974 | $ | i 2,376 | $ | i 93 | ||||
Interests
purchased in the secondary market | ||||||||||||
Investment grade | $ | i 6 | $ | i 197 | $ | i 77 | $ | i — | ||||
Non-investment
grade | i 75 | i 51 | i — | i — | ||||||||
Total | $ | i 81 | $ | i 248 | $ | i 77 | $ | i — | ||||
Derivative
assets | $ | i — | $ | i — | $ | i — | $ | i 339 | ||||
Derivative
liabilities | i — | i — | i — | i 145 |
$ in millions | RML | CML | U.S. Agency CMO | CLN and Other3 | ||||||||
SPE assets (UPB)4 | $ | i 14,376 | $ | i 68,593 | $ | i 16,594 | $ | i 14,608 | ||||
Retained
interests | ||||||||||||
Investment grade | $ | i 17 | $ | i 483 | $ | i 1,573 | $ | i 3 | ||||
Non-investment
grade | i 4 | i 212 | i — | i 210 | ||||||||
Total | $ | i 21 | $ | i 695 | $ | i 1,573 | $ | i 213 | ||||
Interests
purchased in the secondary market | ||||||||||||
Investment grade | $ | i 7 | $ | i 91 | $ | i 102 | $ | i — | ||||
Non-investment
grade | i 28 | i 71 | i — | i — | ||||||||
Total | $ | i 35 | $ | i 162 | $ | i 102 | $ | i — | ||||
Derivative
assets | $ | i — | $ | i — | $ | i — | $ | i 216 | ||||
Derivative
liabilities | i — | i — | i — | i 178 |
Fair
Value at December 31, 2019 | |||||||||
$ in millions | Level 2 | Level 3 | Total | ||||||
Retained interests | |||||||||
Investment grade | $ | i 2,401 | $ | i 4 | $ | i 2,405 | |||
Non-investment
grade | i 6 | i 97 | i 103 | ||||||
Total | $ | i 2,407 | $ | i 101 | $ | i 2,508 | |||
Interests
purchased in the secondary market | |||||||||
Investment grade | $ | i 278 | $ | i 2 | $ | i 280 | |||
Non-investment
grade | i 68 | i 58 | i 126 | ||||||
Total | $ | i 346 | $ | i 60 | $ | i 406 | |||
Derivative
assets | $ | i 337 | $ | i 2 | $ | i 339 | |||
Derivative
liabilities | i 144 | i 1 | i 145 |
Fair
Value at December 31, 2018 | |||||||||
$ in millions | Level 2 | Level 3 | Total | ||||||
Retained interests | |||||||||
Investment grade | $ | i 1,580 | $ | i 13 | $ | i 1,593 | |||
Non-investment
grade | i 174 | i 252 | i 426 | ||||||
Total | $ | i 1,754 | $ | i 265 | $ | i 2,019 | |||
Interests
purchased in the secondary market | |||||||||
Investment grade | $ | i 193 | $ | i 7 | $ | i 200 | |||
Non-investment
grade | i 83 | i 16 | i 99 | ||||||
Total | $ | i 276 | $ | i 23 | $ | i 299 | |||
Derivative
assets | $ | i 121 | $ | i 95 | $ | i 216 | |||
Derivative
liabilities | i 175 | i 3 | i 178 |
1. | The Transferred Assets with Continuing Involvement tables include transactions with SPEs in which the Firm, acting as principal, transferred financial assets with continuing involvement and received sales treatment. See Note 12 for information on certain other transfers of assets to SPEs which are accounted for as financings. |
2. | 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, and are no longer also included in this table. At December 31, 2018 these transactions were included in CLN and Other and comprised approximately $ i 8
billion in UPB, $ i 20 million in Derivative assets and $ i 119
million in Derivative liabilities. |
3. | Amounts include CLO transactions managed by unrelated third parties. |
4. | Amounts include assets transferred by unrelated transferors. |
$ in millions | 2019 | 2018 | 2017 | ||||||
New transactions1 | $ | i 34,464 | $ | i 23,821 | $ | i 23,939 | |||
Retained
interests | i 7,403 | i 2,904 | i 2,337 | ||||||
Sales
of corporate loans to CLO SPEs1, 2 | i 2 | i 317 | i 191 |
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. |
December
2019 Form 10-K | 130 |
Notes to Consolidated Financial Statements |
$ in millions | ||||||
Gross cash proceeds from sale of assets1 | $ | i 38,661 | $ | i 27,121 | ||
Fair
value | ||||||
Assets sold | $ | i 39,137 | $ | i 26,524 | ||
Derivative
assets recognized in the balance sheets | i 647 | i 164 | ||||
Derivative
liabilities recognized in the balance sheets | i 152 | i 763 |
1. | The
carrying value of assets derecognized at the time of sale approximates gross cash proceeds. |
• | A
greater than i 2.5% Common Equity Tier 1 capital conservation buffer; |
• | The Common Equity Tier 1 G-SIB capital surcharge, currently at i 3%;
and |
• | Up to a i 2.5% Common Equity Tier 1 CCyB, currently set by U.S. banking agencies at zero. |
• | 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). |
$ in millions | Required Ratio1 | Amount | Ratio | ||||
Risk-based
capital | |||||||
Common Equity Tier 1 capital | i 10.0 | % | $ | i 64,751 | i 16.4 | % | |
Tier
1 capital | i 11.5 | % | i 73,443 | i 18.6 | % | ||
Total
capital | i 13.5 | % | i 82,708 | i 21.0 | % | ||
Total
RWA | i 394,177 | ||||||
Leverage-based capital | |||||||
Tier
1 leverage | i 4.0 | % | $ | i 73,443 | i 8.3 | % | |
Adjusted
average assets2 | i 889,195 | ||||||
SLR | i 5.0 | % | i 73,443 | i 6.4 | % | ||
Supplementary
leverage exposure3 | i 1,155,177 |
131 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
$ in millions | Required Ratio1 | Amount | Ratio | ||||
Risk-based capital | |||||||
Common Equity Tier 1 capital | i 8.6 | % | $ | i 62,086 | i 16.9 | % | |
Tier
1 capital | i 10.1 | % | i 70,619 | i 19.2 | % | ||
Total
capital | i 12.1 | % | i 80,052 | i 21.8 | % | ||
Total
RWA | i 367,309 | ||||||
Leverage-based capital | |||||||
Tier
1 leverage | i 4.0 | % | $ | i 70,619 | i 8.4 | % | |
Adjusted
average assets2 | i 843,074 | ||||||
SLR | i 5.0 | % | i 70,619 | i 6.5 | % | ||
Supplementary
leverage exposure3 | i 1,092,672 |
1. | Required
ratios are inclusive of any buffers applicable as of the date presented. For 2018, the required regulatory capital ratios for risk-based capital are under the transitional rules. Failure to maintain the buffers would result in 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. |
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. |
$ in millions | Required Ratio1 | Amount | Ratio | ||||
Risk-based capital | |||||||
Common Equity Tier 1 capital | i 6.5 | % | $ | i 15,919 | i 18.5 | % | |
Tier
1 capital | i 8.0 | % | i 15,919 | i 18.5 | % | ||
Total
capital | i 10.0 | % | i 16,282 | i 18.9 | % | ||
Leverage-based
capital | |||||||
Tier 1 leverage | i 5.0 | % | $ | i 15,919 | i 11.3 | % | |
SLR | i 6.0 | % | i 15,919 | i 8.7 | % |
$ in millions | Required Ratio1 | Amount | Ratio | ||||
Risk-based capital | |||||||
Common Equity Tier 1 capital | i 6.5 | % | $ | i 15,221 | i 19.5 | % | |
Tier
1 capital | i 8.0 | % | i 15,221 | i 19.5 | % | ||
Total
capital | i 10.0 | % | i 15,484 | i 19.8 | % | ||
Leverage-based
capital | |||||||
Tier 1 leverage | i 5.0 | % | $ | i 15,221 | i 10.5 | % | |
SLR | i 6.0 | % | i 15,221 | i 8.2 | % |
$ in millions | Required Ratio1 | Amount | Ratio | ||||
Risk-based capital | |||||||
Common
Equity Tier 1 capital | i 6.5 | % | $ | i 7,962 | i 24.8 | % | |
Tier
1 capital | i 8.0 | % | i 7,962 | i 24.8 | % | ||
Total
capital | i 10.0 | % | i 8,016 | i 25.0 | % | ||
Leverage-based
capital | |||||||
Tier 1 leverage | i 5.0 | % | $ | i 7,962 | i 9.9 | % | |
SLR | i 6.0 | % | i 7,962 | i 9.4 | % |
$ in millions | Required Ratio1 | Amount | Ratio | ||||
Risk-based capital | |||||||
Common Equity Tier 1 capital | i 6.5 | % | $ | i 7,183 | i 25.2 | % | |
Tier
1 capital | i 8.0 | % | i 7,183 | i 25.2 | % | ||
Total
capital | i 10.0 | % | i 7,229 | i 25.4 | % | ||
Leverage-based
capital | |||||||
Tier 1 leverage | i 5.0 | % | $ | i 7,183 | i 10.0 | % | |
SLR | i 6.0 | % | i 7,183 | i 9.6 | % |
1. | Ratios
that are required in order to be considered well-capitalized for U.S. regulatory purposes. |
$ in millions | ||||||
Net capital | $ | i 13,708 | $ | i 13,797 | ||
Excess
net capital | i 10,686 | i 11,333 |
December 2019 Form 10-K | 132 |
Notes
to Consolidated Financial Statements |
$ in millions | ||||||
Net capital | $ | i 3,387 | $ | i 3,455 | ||
Excess
net capital | i 3,238 | i 3,313 |
$ in millions | ||||||
Restricted net assets | $ | i 33,213 | $ | i 29,222 |
in millions | 2019 | 2018 | ||
Shares outstanding at beginning of period | i 1,700 | i 1,788 | ||
Treasury
stock purchases1 | ( i 135 | ) | ( i 110 | ) |
Other2 | i 29 | i 22 | ||
Shares
outstanding at end of period | i 1,594 | i 1,700 |
1. | The
Firm’s Board 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. |
$ in millions | 2019 | 2018 | ||||
Repurchases of common stock under the Firm’s Share Repurchase Program | $ | i 5,360 | $ | i 4,860 |
2019 | 2018 | 2017 | |||||||
Dividends declared per common share | $ | i 1.30 | $ | i 1.10 | $ | i 0.90 |
133 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
in millions | 2019 | 2018 | 2017 | |||
Weighted average common shares outstanding, basic | i 1,617 | i 1,708 | i 1,780 | |||
Effect
of dilutive Stock options, RSUs and PSUs | i 23 | i 30 | i 41 | |||
Weighted
average common shares outstanding and common stock equivalents, diluted | i 1,640 | i 1,738 | i 1,821 | |||
Weighted
average antidilutive common stock equivalents (excluded from the computation of diluted EPS) | i 2 | i 1 | i — |
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 | i 408 | |||||||
E | i 34,500 | i 25,000 | i 862 | i 862 | |||||||
F | i 34,000 | i 25,000 | i 850 | i 850 | |||||||
G | i — | i — | i — | i 500 | |||||||
H | i 52,000 | i 25,000 | i 1,300 | i 1,300 | |||||||
I | i 40,000 | i 25,000 | i 1,000 | i 1,000 | |||||||
J | i 60,000 | i 25,000 | i 1,500 | i 1,500 | |||||||
K | i 40,000 | i 25,000 | i 1,000 | i 1,000 | |||||||
L | i 20,000 | i 25,000 | i 500 | i — | |||||||
Total | $ | i 8,520 | $ | i 8,520 |
1. | Series
C is composed of the issuance of i 1,160,791 shares of Series C Preferred Stock to MUFG for an aggregate purchase price of $ i 911
million, less the redemption of i 640,909 shares of Series C Preferred Stock of $ i 503
million, which were converted to common shares of approximately $ i 705 million in 2009. |
Depositary Shares per
Share | Redemption | ||||||||
Series1, 2 | Shares Issued | Price per Share3 | Date4 | ||||||
A | i 44,000 | i 1,000 | $ | i 25,000 | |||||
C5 | i 1,160,791 | N/A | i 1,100 | ||||||
E | i 34,500 | i 1,000 | i 25,000 | ||||||
F | i 34,000 | i 1,000 | i 25,000 | ||||||
H | i 52,000 | i 25 | i 25,000 | ||||||
I | i 40,000 | i 1,000 | i 25,000 | ||||||
J | i 60,000 | i 25 | i 25,000 | ||||||
K | i 40,000 | i 1,000 | i 25,000 | ||||||
L6 | i 20,000 | i 1,000 | i 25,000 |
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 and L 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 redeemable at the Firm’s option, in whole or in part, on or after the redemption date. 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, in cash, at the rate of i 10% per annum of the liquidation preference of $1,000 per share. |
6. | Series L Preferred Stock was issued on November
25, 2019. |
$ in millions, except per share data | 2019 | 2018 | 2017 | |||||||||||||||||
Per
Share1 | Total | Per Share1 | Total | Per Share1 | Total | |||||||||||||||
Series | ||||||||||||||||||||
A | $ | i 1,014 | $ | i 44 | $ | i 1,011 | $ | i 45 | $ | i 1,014 | $ | i 45 | ||||||||
C | i 100 | i 52 | i 100 | i 52 | i 100 | i 52 | ||||||||||||||
E | i 1,781 | i 60 | i 1,781 | i 61 | i 1,781 | i 61 | ||||||||||||||
F | i 1,719 | i 60 | i 1,719 | i 58 | i 1,719 | i 58 | ||||||||||||||
G2 | i 1,242 | i 24 | i 1,656 | i 33 | i 1,656 | i 33 | ||||||||||||||
H3 | i 1,418 | i 74 | i 1,363 | i 71 | i 1,363 | i 71 | ||||||||||||||
I | i 1,594 | i 64 | i 1,594 | i 64 | i 1,594 | i 64 | ||||||||||||||
J4 | i 1,388 | i 84 | i 1,388 | i 83 | i 1,388 | i 83 | ||||||||||||||
K | i 1,463 | i 59 | i 1,463 | i 59 | i 1,402 | i 56 | ||||||||||||||
L | i 169 | i 3 | i — | i — | i — | i — | ||||||||||||||
Total | $ | i 524 | $ | i 526 | $ | i 523 |
1. | Dividends
on all series are payable quarterly, unless otherwise noted. |
2. | Dividends declared on Series G following the issuance of the notice of redemption were recognized as Interest expense and are excluded from 2019 amounts. |
3. | Series H was payable semiannually until July 15, 2019, and is now payable quarterly. |
4. | Series
J is payable semiannually until July 15, 2020, and then quarterly thereafter. |
December 2019 Form 10-K | 134 |
Notes to Consolidated Financial Statements |
$ in millions | Foreign Currency Translation Adjustments | AFS Securities | Pensions, Postretirement and
Other | DVA | Total | ||||||||||
$ | ( i 986 | ) | $ | ( i 588 | ) | $ | ( i 474 | ) | $ | ( i 595 | ) | $ | ( i 2,643 | ) | |
OCI
during the period | i 219 | i 41 | ( i 117 | ) | ( i 560 | ) | ( i 417 | ) | |||||||
( i 767 | ) | ( i 547 | ) | ( i 591 | ) | ( i 1,155 | ) | ( i 3,060 | ) | ||||||
Cumulative
adjustment for accounting change2 | ( i 8 | ) | ( i 111 | ) | ( i 124 | ) | ( i 194 | ) | ( i 437 | ) | |||||
OCI
during the period | ( i 114 | ) | ( i 272 | ) | i 137 | i 1,454 | i 1,205 | ||||||||
( i 889 | ) | ( i 930 | ) | ( i 578 | ) | i 105 | ( i 2,292 | ) | |||||||
OCI
during the period | ( i 8 | ) | i 1,137 | ( i 66 | ) | ( i 1,559 | ) | ( i 496 | ) | ||||||
$ | ( i 897 | ) | $ | i 207 | $ | ( i 644 | ) | $ | ( i 1,454 | ) | $ | ( i 2,788 | ) |
1. | Amounts
are net of tax and noncontrolling interests. |
2. | The cumulative adjustment for accounting changes is primarily the effect of the adoption of the accounting update Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income. This adjustment was recorded as of January 1, 2018 to reclassify certain income tax effects related to the enactment of the Tax Act from AOCI to Retained earnings, primarily related to the remeasurement of deferred tax assets and liabilities
resulting from the reduction in the corporate income tax rate to 21%. See Note 2 for further information. |
2019 | |||||||||||||||
$
in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||
Foreign currency translation adjustments | |||||||||||||||
OCI activity | $ | i 6 | $ | ( i 3 | ) | $ | i 3 | $ | i 11 | $ | ( i 8 | ) | |||
Reclassified
to earnings | i — | i — | i — | i — | i — | ||||||||||
Net
OCI | $ | i 6 | $ | ( i 3 | ) | $ | i 3 | $ | i 11 | $ | ( i 8 | ) | |||
Change
in net unrealized gains (losses) on AFS securities | |||||||||||||||
OCI activity | $ | i 1,588 | $ | ( i 373 | ) | $ | i 1,215 | $ | i — | $ | i 1,215 | ||||
Reclassified
to earnings | ( i 103 | ) | i 25 | ( i 78 | ) | i — | ( i 78 | ) | |||||||
Net
OCI | $ | i 1,485 | $ | ( i 348 | ) | $ | i 1,137 | $ | i — | $ | i 1,137 | ||||
Pension,
postretirement and other | |||||||||||||||
OCI activity | $ | ( i 98 | ) | $ | i 25 | $ | ( i 73 | ) | $ | i — | $ | ( i 73 | ) | ||
Reclassified
to earnings | i 12 | ( i 5 | ) | i 7 | i — | i 7 | |||||||||
Net
OCI | $ | ( i 86 | ) | $ | i 20 | $ | ( i 66 | ) | $ | i — | $ | ( i 66 | ) | ||
Change
in net DVA | |||||||||||||||
OCI activity | $ | ( i 2,181 | ) | $ | i 533 | $ | ( i 1,648 | ) | $ | ( i 80 | ) | $ | ( i 1,568 | ) | |
Reclassified
to earnings | i 11 | ( i 2 | ) | i 9 | i — | i 9 | |||||||||
Net
OCI | $ | ( i 2,170 | ) | $ | i 531 | $ | ( i 1,639 | ) | $ | ( i 80 | ) | $ | ( i 1,559 | ) |
20181 | |||||||||||||||
$
in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||
Foreign currency translation adjustments | |||||||||||||||
OCI activity | $ | ( i 11 | ) | $ | ( i 79 | ) | $ | ( i 90 | ) | $ | i 24 | $ | ( i 114 | ) | |
Reclassified
to earnings | i — | i — | i — | i — | i — | ||||||||||
Net
OCI | $ | ( i 11 | ) | $ | ( i 79 | ) | $ | ( i 90 | ) | $ | i 24 | $ | ( i 114 | ) | |
Change
in net unrealized gains (losses) on AFS securities | |||||||||||||||
OCI activity | $ | ( i 346 | ) | $ | i 80 | $ | ( i 266 | ) | $ | i — | $ | ( i 266 | ) | ||
Reclassified
to earnings | ( i 8 | ) | i 2 | ( i 6 | ) | i — | ( i 6 | ) | |||||||
Net
OCI | $ | ( i 354 | ) | $ | i 82 | $ | ( i 272 | ) | $ | i — | $ | ( i 272 | ) | ||
Pension,
postretirement and other | |||||||||||||||
OCI activity | $ | i 156 | $ | ( i 37 | ) | $ | i 119 | $ | i — | $ | i 119 | ||||
Reclassified
to earnings | i 26 | ( i 8 | ) | i 18 | i — | i 18 | |||||||||
Net
OCI | $ | i 182 | $ | ( i 45 | ) | $ | i 137 | $ | i — | $ | i 137 | ||||
Change
in net DVA | |||||||||||||||
OCI activity | $ | i 1,947 | $ | ( i 472 | ) | $ | i 1,475 | $ | i 63 | $ | i 1,412 | ||||
Reclassified
to earnings | i 56 | ( i 14 | ) | i 42 | i — | i 42 | |||||||||
Net
OCI | $ | i 2,003 | $ | ( i 486 | ) | $ | i 1,517 | $ | i 63 | $ | i 1,454 |
2017 | |||||||||||||||
$
in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||
Foreign currency translation adjustments | |||||||||||||||
OCI activity | $ | i 64 | $ | i 187 | $ | i 251 | $ | i 32 | $ | i 219 | |||||
Reclassified
to earnings | i — | i — | i — | i — | i — | ||||||||||
Net
OCI | $ | i 64 | $ | i 187 | $ | i 251 | $ | i 32 | $ | i 219 | |||||
Change
in net unrealized gains (losses) on AFS securities | |||||||||||||||
OCI activity | $ | i 100 | $ | ( i 36 | ) | $ | i 64 | $ | i — | $ | i 64 | ||||
Reclassified
to earnings | ( i 35 | ) | i 12 | ( i 23 | ) | i — | ( i 23 | ) | |||||||
Net
OCI | $ | i 65 | $ | ( i 24 | ) | $ | i 41 | $ | i — | $ | i 41 | ||||
Pension,
postretirement and other | |||||||||||||||
OCI activity | $ | ( i 193 | ) | $ | i 75 | $ | ( i 118 | ) | $ | i — | $ | ( i 118 | ) | ||
Reclassified
to earnings | i 2 | ( i 1 | ) | i 1 | i — | i 1 | |||||||||
Net
OCI | $ | ( i 191 | ) | $ | i 74 | $ | ( i 117 | ) | $ | i — | $ | ( i 117 | ) | ||
Change
in net DVA | |||||||||||||||
OCI activity | $ | ( i 922 | ) | $ | i 325 | $ | ( i 597 | ) | $ | ( i 28 | ) | $ | ( i 569 | ) | |
Reclassified
to earnings | i 12 | ( i 3 | ) | i 9 | i — | i 9 | |||||||||
Net
OCI | $ | ( i 910 | ) | $ | i 322 | $ | ( i 588 | ) | $ | ( i 28 | ) | $ | ( i 560 | ) |
1. | Exclusive
of cumulative adjustments related to the adoption of certain accounting updates in 2018. Refer to the table below and Note 2 for further information. |
135 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
$
in millions | 2019 | ||
Leases | $ | i 63 |
$
in millions | 2018 | ||
Revenues from contracts with customers | $ | ( i 32 | ) |
Derivatives
and hedging—targeted improvements to accounting for hedging activities | ( i 99 | ) | |
Reclassification of certain tax effects
from AOCI | i 443 | ||
Other1 | ( i 6 | ) | |
Total | $ | i 306 |
$
in millions | 2017 | ||
Improvements to employee share-based payment accounting2 | $ | ( i 30 | ) |
Intra-entity
transfers of assets other than inventory | ( i 5 | ) | |
Total | $ | ( i 35 | ) |
1. | Other
includes the adoption of accounting updates related to Recognition and Measurement of Financial Assets and Financial Liabilities (other than the provision around presenting unrealized DVA in OCI, which the Firm previously adopted) and Derecognition of Nonfinancial Assets. The impact of these adoptions on Retained earnings was not significant. |
2. | In addition to the Retained earnings impact, this adoption also resulted in a $ i 45
million increase to Additional paid-in capital. |
$
in millions | ||||||
Associated with net investments in subsidiaries with a non-U.S. dollar functional currency | $ | ( i 1,874 | ) | $ | ( i 1,851 | ) |
Hedges,
net of tax | i 977 | i 962 | ||||
Total | $ | ( i 897 | ) | $ | ( i 889 | ) |
Carrying
value of net investments in non-U.S. dollar functional currency subsidiaries subject to hedges | $ | i 13,440 | $ | i 11,608 |
$ in millions | 2019 | 2018 | 2017 | ||||||
Interest
income | |||||||||
Investment securities | $ | i 2,175 | $ | i 1,744 | $ | i 1,334 | |||
Loans | i 4,783 | i 4,249 | i 3,298 | ||||||
Securities
purchased under agreements to resell and Securities borrowed1 | i 3,485 | i 1,976 | i 169 | ||||||
Trading
assets, net of Trading liabilities | i 2,899 | i 2,392 | i 2,029 | ||||||
Customer
receivables and Other2 | i 3,756 | i 3,531 | i 2,167 | ||||||
Total
interest income | $ | i 17,098 | $ | i 13,892 | $ | i 8,997 | |||
Interest
expense | |||||||||
Deposits | $ | i 1,885 | $ | i 1,255 | $ | i 187 | |||
Borrowings | i 5,052 | i 5,031 | i 4,285 | ||||||
Securities
sold under agreements to repurchase and Securities loaned3 | i 2,609 | i 1,898 | i 1,237 | ||||||
Customer
payables and Other4 | i 2,858 | i 1,902 | ( i 12 | ) | |||||
Total
interest expense | $ | i 12,404 | $ | i 10,086 | $ | i 5,697 | |||
Net
interest | $ | i 4,694 | $ | i 3,806 | $ | i 3,300 |
1. | Includes
fees paid on Securities borrowed. |
2. | Includes interest from Cash and cash equivalents. |
3. | Includes fees received on Securities loaned. |
4. | Includes
fees received from prime brokerage customers for stock loan transactions entered into to cover customers’ short positions. |
$
in millions | 2019 | 2018 | 2017 | ||||||
RSUs | $ | i 1,064 | $ | i 892 | $ | i 951 | |||
PSUs | i 89 | i 28 | i 75 | ||||||
Total1 | $ | i 1,153 | $ | i 920 | $ | i 1,026 | |||
Includes: | |||||||||
Retirement-eligible
awards2 | $ | i 111 | $ | i 110 | $ | i 85 |
1. | Net
of forfeitures. |
2. | Relates to stock-based compensation anticipated to be awarded in January of the following year that does not contain a future service requirement. |
$
in millions | 2019 | 2018 | 2017 | ||||||
Tax benefit1 | $ | i 243 | $ | i 193 | $ | i 225 |
1. | Excludes
income tax consequences related to employee share-based award conversions. |
December 2019 Form 10-K | 136 |
Notes
to Consolidated Financial Statements |
$
in millions | At 20191 | ||
To be recognized in: | |||
2020 | $ | i 394 | |
2021 | i 168 | ||
Thereafter | i 30 | ||
Total | $ | i 592 |
1. | Amounts
do not include forfeitures, cancellations, accelerations, future adjustments to fair value for certain awards, or 2019 performance year compensation awarded in January 2020, which will begin to be amortized in 2020. |
in millions | ||
Shares | i 123 |
2019 | |||||
shares in millions | Number of Shares | Weighted Average Award Date Fair Value | |||
RSUs at beginning of period | i 74 | $ | i 37.59 | ||
Awarded | i 27 | i 43.05 | |||
Conversions
to common stock | ( i 35 | ) | i 28.95 | ||
Forfeited | ( i 1 | ) | i 43.66 | ||
RSUs
at end of period1 | i 65 | $ | i 44.38 | ||
Aggregate
intrinsic value of RSUs at end of period (dollars in millions) | $ | i 3,294 | |||
Weighted
average award date fair value | |||||
RSUs awarded in 2018 | $ | i 55.40 | |||
RSUs
awarded in 2017 | i 42.98 |
1. | At
December 31, 2019, the weighted average remaining term until delivery for the outstanding RSUs was approximately i 1.2 years. |
2019 | |||||
shares in millions | Number of Shares | Weighted Average Award Date Fair Value | |||
Unvested RSUs at beginning of period | i 41 | $ | i 40.65 | ||
Awarded | i 27 | i 43.05 | |||
Vested | ( i 30 | ) | i 37.80 | ||
Forfeited | ( i 1 | ) | i 43.66 | ||
Unvested
RSUs at end of period1 | i 37 | $ | i 44.58 |
1. | Unvested
RSUs represent awards where recipients have yet to satisfy either the explicit vesting terms or retirement-eligible requirements. |
$
in millions | 2019 | 2018 | 2017 | ||||||
Conversions to common stock | $ | i 1,497 | $ | i 1,790 | $ | i 1,333 | |||
Vested | i 1,292 | i 1,504 | i 1,470 |
137 | December 2019 Form 10-K |
Notes
to Consolidated Financial Statements |
2019 | 2018 | 2017 | |||||||
MS
Adjusted ROE | $ | i 43.29 | $ | i 56.84 | $ | i 42.64 | |||
Relative
MS TSR | i 48.28 | i 65.81 | i 48.02 |
Award Year | Risk-Free Interest Rate | Expected Stock Price Volatility | Correlation Coefficient | |||
2019 | i 2.6 | % | i 26.5 | % | i 0.89 | |
2018 | i 2.2 | % | i 26.8 | % | i 0.89 | |
2017 | i 1.5 | % | i 27.0 | % | i 0.89 |
$ in millions | 2019 | 2018 | 2017 | ||||||
Deferred cash-based awards | $ | i 1,233 | $ | i 1,174 | $ | i 1,039 | |||
Return
on referenced investments | i 645 | ( i 48 | ) | i 499 | |||||
Total1 | $ | i 1,878 | $ | i 1,126 | $ | i 1,538 | |||
Includes: | |||||||||
Retirement-eligible
awards2 | $ | i 195 | $ | i 193 | $ | i 176 |
1. | Net
of forfeitures. |
2. | Relates to deferred cash-based compensation anticipated to be awarded in January of the following year that does not contain a future service requirement. |
$ in millions | 2019 | 2018 | 2017 | ||||||
Expense | $ | i 534 | $ | i 156 | $ | i 197 |
Pension Plans | |||||||||
$ in millions | 2019 | 2018 | 2017 | ||||||
Service cost, benefits earned during the period | $ | i 16 | $ | i 16 | $ | i 16 | |||
Interest
cost on projected benefit obligation | i 139 | i 134 | i 146 | ||||||
Expected
return on plan assets | ( i 114 | ) | ( i 112 | ) | ( i 117 | ) | |||
Net
amortization of prior service cost (credit) | i 1 | ( i 1 | ) | i — | |||||
Net
amortization of actuarial loss | i 13 | i 26 | i 17 | ||||||
Net periodic benefit expense | $ | i 55 | $ | i 63 | $ | i 62 |
Other Postretirement Plans | |||||||||
$
in millions | 2019 | 2018 | 2017 | ||||||
Service cost, benefits earned during the period | $ | i 1 | $ | i 1 | $ | i 1 | |||
Interest
cost on projected benefit obligation | i 2 | i 3 | i 3 | ||||||
Net
amortization of prior service credit | i — | ( i 1 | ) | ( i 16 | ) | ||||
Net periodic benefit expense (income) | $ | i 3 | $ | i 3 | $ | ( i 12 | ) |
December 2019 Form 10-K | 138 |
Notes to Consolidated Financial Statements |
Pension
Plans | |||||||||
$ in millions | 2019 | 2018 | 2017 | ||||||
Beginning balance | $ | ( i 779 | ) | $ | ( i 947 | ) | $ | ( i 761 | ) |
Net
gain (loss) | ( i 112 | ) | i 158 | ( i 205 | ) | ||||
Prior
service credit (cost) | i — | ( i 15 | ) | i 2 | |||||
Amortization
of prior service cost (credit) | i 1 | ( i 1 | ) | i — | |||||
Amortization
of net loss | i 13 | i 26 | i 17 | ||||||
Changes
recognized in OCI | ( i 98 | ) | i 168 | ( i 186 | ) | ||||
Ending
balance | $ | ( i 877 | ) | $ | ( i 779 | ) | $ | ( i 947 | ) |
Other
Postretirement Plans | |||||||||
$ in millions | 2019 | 2018 | 2017 | ||||||
Beginning balance | $ | i 13 | $ | i 1 | $ | i 17 | |||
Net
gain | i 13 | i 13 | i — | ||||||
Amortization
of prior service credit | i — | ( i 1 | ) | ( i 16 | ) | ||||
Changes
recognized in OCI | i 13 | i 12 | ( i 16 | ) | |||||
Ending
balance | $ | i 26 | $ | i 13 | $ | i 1 |
Pension Plans | ||||||
2019 | 2018 | 2017 | ||||
Discount rate | i 4.01 | % | i 3.46 | % | i 4.01 | % |
Expected
long-term rate of return on plan assets | i 3.52 | % | i 3.50 | % | i 3.52 | % |
Rate
of future compensation increases | i 3.34 | % | i 3.38 | % | i 3.10 | % |
Other Postretirement Plans | ||||||
2019 | 2018 | 2017 | ||||
Discount
rate | i 4.07 | % | i 3.44 | % | i 4.01 | % |
Pension Plans | Other Post-retirement Plans | |||||||||||
$ in millions | 2019 | 2018 | 2019 | 2018 | ||||||||
Rollforward
of benefit obligation | ||||||||||||
Benefit obligation at beginning of year | $ | i 3,563 | $ | i 3,966 | $ | i 71 | $ | i 86 | ||||
Service
cost | i 16 | i 16 | i 1 | i 1 | ||||||||
Interest
cost | i 139 | i 134 | i 2 | i 3 | ||||||||
Actuarial
loss (gain)1 | i 497 | ( i 340 | ) | ( i 13 | ) | ( i 13 | ) | |||||
Plan
amendments | i — | i 15 | i — | i — | ||||||||
Plan
settlements | ( i 9 | ) | ( i 11 | ) | i — | i — | ||||||
Benefits
paid | ( i 191 | ) | ( i 195 | ) | ( i 5 | ) | ( i 6 | ) | ||||
Other2 | i 11 | ( i 22 | ) | i — | i — | |||||||
Benefit
obligation at end of year | $ | i 4,026 | $ | i 3,563 | $ | i 56 | $ | i 71 | ||||
Rollforward
of fair value of plan assets | ||||||||||||
Fair value of plan assets at beginning of year | $ | i 3,203 | $ | i 3,468 | $ | i — | $ | i — | ||||
Actual return on plan assets | i 499 | ( i 69 | ) | i — | i — | |||||||
Employer
contributions | i 36 | i 34 | i 5 | i 6 | ||||||||
Benefits
paid | ( i 191 | ) | ( i 195 | ) | ( i 5 | ) | ( i 6 | ) | ||||
Plan
settlements | ( i 9 | ) | ( i 11 | ) | i — | i — | ||||||
Other2 | i 15 | ( i 24 | ) | i — | i — | |||||||
Fair
value of plan assets at end of year | $ | i 3,553 | $ | i 3,203 | $ | i — | $ | i — | ||||
Funded
(unfunded) status | $ | ( i 473 | ) | $ | ( i 360 | ) | $ | ( i 56 | ) | $ | ( i 71 | ) |
Amounts
recognized in the balance sheets | ||||||||||||
Assets | $ | i 98 | $ | i 151 | $ | i — | $ | i — | ||||
Liabilities | ( i 571 | ) | ( i 511 | ) | ( i 56 | ) | ( i 71 | ) | ||||
Net
amount recognized | $ | ( i 473 | ) | $ | ( i 360 | ) | $ | ( i 56 | ) | $ | ( i 71 | ) |
1. | Primarily
reflects the impact of year-over-year discount rate fluctuations. |
2. | Includes foreign currency exchange rate changes. |
$ in millions | ||||||
Pension plans | $ | i 4,013 | $ | i 3,546 |
$ in millions | ||||||
Projected benefit obligation | $ | i 637 | $ | i 575 | ||
Accumulated
benefit obligation | i 624 | i 559 | ||||
Fair
value of plan assets | i 66 | i 64 |
139 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
Pension
Plans | Other Postretirement Plans | |||||||
Discount rate | i 3.08 | % | i 4.01 | % | i 3.11 | % | i 4.07 | % |
Rate
of future compensation increase | i 3.28 | % | i 3.34 | % | N/A | N/A |
Health care cost trend rate assumed for next year | ||||
Medical | i 5.48 | % | i 5.66 | % |
Prescription | i 8.00 | % | i 7.66 | % |
Rate to which the cost trend rate is assumed
to decline (ultimate trend rate) | i 4.41 | % | i 4.50 | % |
Year
that the rate reaches the ultimate trend rate | 2029 | 2038 |
$ in millions | Level 1 | Level 2 | Level 3 | Total | ||||||||
Assets | ||||||||||||
Cash
and cash equivalents1 | $ | i 3 | $ | i — | $ | i — | $ | i 3 | ||||
U.S.
government and agency securities: | ||||||||||||
U.S. Treasury securities | i 2,658 | i — | i — | i 2,658 | ||||||||
U.S.
agency securities | i — | i 292 | i — | i 292 | ||||||||
Total
U.S. government and agency securities | i 2,658 | i 292 | i — | i 2,950 | ||||||||
Corporate
and other debt—CDO | i — | i 9 | i — | i 9 | ||||||||
Other
investments | i — | i — | i 53 | i 53 | ||||||||
Other
receivables1 | i — | i 48 | i — | i 48 | ||||||||
Total | $ | i 2,661 | $ | i 349 | $ | i 53 | $ | i 3,063 | ||||
Assets
Measured at NAV | ||||||||||||
Commingled trust funds: | ||||||||||||
Money market | i 137 | |||||||||||
Foreign
funds: | ||||||||||||
Fixed income | i 136 | |||||||||||
Liquidity | i 30 | |||||||||||
Targeted
cash flow | i 240 | |||||||||||
Total | $ | i 543 | ||||||||||
Liabilities | ||||||||||||
Derivative
contracts | i — | ( i 1 | ) | i — | ( i 1 | ) | ||||||
Other
payables1 | i — | ( i 52 | ) | i — | ( i 52 | ) | ||||||
Total
liabilities | $ | i — | $ | ( i 53 | ) | $ | i — | $ | ( i 53 | ) | ||
Fair
value of plan assets | $ | i 3,553 |
$ in millions | Level 1 | Level 2 | Level 3 | Total | ||||||||
Assets | ||||||||||||
Cash and cash equivalents1 | $ | i 3 | $ | i — | $ | i — | $ | i 3 | ||||
U.S.
government and agency securities: | ||||||||||||
U.S. Treasury securities | i 2,197 | i — | i — | i 2,197 | ||||||||
U.S.
agency securities | i — | i 317 | i — | i 317 | ||||||||
Total
U.S. government and agency securities | i 2,197 | i 317 | i — | i 2,514 | ||||||||
Corporate
and other debt—CDO | i — | i 11 | i — | i 11 | ||||||||
Derivative
contracts | i — | i 22 | i — | i 22 | ||||||||
Other
investments | i — | i — | i 48 | i 48 | ||||||||
Total | $ | i 2,200 | $ | i 350 | $ | i 48 | $ | i 2,598 | ||||
Assets
Measured at NAV | ||||||||||||
Commingled trust funds: | ||||||||||||
Money market | i 252 | |||||||||||
Foreign
funds: | ||||||||||||
Fixed income | i 134 | |||||||||||
Liquidity | i 12 | |||||||||||
Targeted
cash flow | i 207 | |||||||||||
Total | $ | i 605 | ||||||||||
Fair
value of plan assets | $ | i 3,203 |
1. | Cash
and cash equivalents, other receivables and other payables are valued at their carrying value, which approximates fair value. |
December 2019 Form 10-K | 140 |
Notes
to Consolidated Financial Statements |
$
in millions | 2019 | 2018 | ||||
Balance at beginning of period | $ | i 48 | $ | i 47 | ||
Actual
return on plan assets related to assets held at end of period | i 3 | i — | ||||
Purchases,
sales, other settlements and issuances, net | i 2 | i 1 | ||||
Balance
at end of period | $ | i 53 | $ | i 48 |
$ in millions | Pension Plans | Other Postretirement Plans | ||
2020 | i 149 | i 4 | ||
2021 | i 151 | i 4 | ||
2022 | i 153 | i 5 | ||
2023 | i 159 | i 5 | ||
2024 | i 163 | i 5 | ||
2025-2029 | i 911 | i 18 |
$ in millions | 2019 | 2018 | 2017 | ||||||
Expense | $ | i 280 | $ | i 272 | $ | i 258 |
141 | December 2019 Form 10-K |
Notes
to Consolidated Financial Statements |
$ in millions | 2019 | 2018 | 2017 | ||||||
Expense | $ | i 121 | $ | i 116 | $ | i 106 |
$ in millions | 2019 | 2018 | 2017 | ||||||
Current | |||||||||
U.S.: | |||||||||
Federal | $ | i 873 | $ | i 686 | $ | i 476 | |||
State
and local | i 260 | i 207 | i 125 | ||||||
Non-U.S.: | |||||||||
U.K. | i 166 | i 328 | i 401 | ||||||
Japan | i 177 | i 268 | i 56 | ||||||
Hong
Kong | i 82 | i 94 | i 48 | ||||||
Other1 | i 341 | i 318 | i 308 | ||||||
Total | $ | i 1,899 | $ | i 1,901 | $ | i 1,414 | |||
Deferred | |||||||||
U.S.: | |||||||||
Federal | $ | i 185 | $ | i 330 | $ | i 2,656 | |||
State
and local | i 46 | i 56 | i 84 | ||||||
Non-U.S.: | |||||||||
U.K. | i 5 | i 54 | i 18 | ||||||
Japan | i 11 | ( i 10 | ) | ( i 17 | ) | ||||
Hong
Kong | i — | ( i 3 | ) | ( i 2 | ) | ||||
Other1 | ( i 82 | ) | i 22 | i 15 | |||||
Total | $ | i 165 | $ | i 449 | $ | i 2,754 | |||
Provision
for income taxes from continuing operations | $ | i 2,064 | $ | i 2,350 | $ | i 4,168 | |||
Provision
for (benefit from) income taxes from discontinued operations | $ | i — | $ | ( i 1 | ) | $ | ( i 7 | ) |
1. | Other Non-U.S. tax provisions for 2019, 2018 and 2017 primarily include Brazil, India and Canada. |
2019 | 2018 | 2017 | ||||
U.S. federal statutory income tax rate | i 21.0 | % | i 21.0 | % | i 35.0 | % |
U.S.
state and local income taxes, net of U.S. federal income tax benefits | i 2.2 | i 2.0 | i 1.4 | |||
Domestic
tax credits | ( i 1.5 | ) | ( i 0.9 | ) | ( i 1.6 | ) |
Tax
exempt income | ( i 0.1 | ) | ( i 0.4 | ) | ( i 0.1 | ) |
Non-U.S.
earnings | ( i 0.8 | ) | i 1.3 | ( i 5.0 | ) | |
Tax
Act enactment | i — | i — | i 11.5 | |||
Employee
share-based awards | ( i 1.1 | ) | ( i 1.5 | ) | ( i 1.5 | ) |
Other | ( i 1.4 | ) | ( i 0.6 | ) | i 0.4 | |
Effective
income tax rate | i 18.3 | % | i 20.9 | % | i 40.1 | % |
December 2019 Form
10-K | 142 |
Notes to Consolidated Financial Statements |
$ in millions | ||||||
Gross deferred tax assets | ||||||
Net
operating loss and tax credit carryforwards | $ | i 287 | $ | i 264 | ||
Employee
compensation and benefit plans | i 2,075 | i 2,053 | ||||
Valuation
and liability allowances | i 318 | i 318 | ||||
Valuation
of inventory, investments and receivables | i 368 | i 242 | ||||
Total
deferred tax assets | i 3,048 | i 2,877 | ||||
Deferred
tax assets valuation allowance | i 156 | i 143 | ||||
Deferred
tax assets after valuation allowance | $ | i 2,892 | $ | i 2,734 | ||
Gross
deferred tax liabilities | ||||||
Fixed assets | i 983 | i 825 | ||||
Other | i 411 | i 236 | ||||
Total
deferred tax liabilities | $ | i 1,394 | $ | i 1,061 | ||
Net
deferred tax assets | $ | i 1,498 | $ | i 1,673 |
$
in millions | 2019 | 2018 | 2017 | ||||||
Balance at beginning of period | $ | i 1,080 | $ | i 1,594 | $ | i 1,851 | |||
Increase
based on tax positions related to the current period | i 57 | i 83 | i 63 | ||||||
Increase
based on tax positions related to prior periods | i 61 | i 34 | i 170 | ||||||
Decrease
based on tax positions related to prior periods | ( i 419 | ) | ( i 404 | ) | ( i 312 | ) | |||
Decreases
related to settlements with taxing authorities | ( i 17 | ) | ( i 139 | ) | ( i 155 | ) | |||
Decreases
related to lapse of statute of limitations | ( i 7 | ) | ( i 88 | ) | ( i 23 | ) | |||
Balance
at end of period | $ | i 755 | $ | i 1,080 | $ | i 1,594 | |||
Net
unrecognized tax benefits1 | $ | i 549 | $ | i 746 | $ | i 873 |
1. | Represent
ending unrecognized tax benefits adjusted for the impact of the federal benefit of state issues, competent authority arrangements and foreign tax credit offsets. If recognized, these net benefits would favorably impact the effective tax rate in future periods. |
$
in millions | 2019 | 2018 | 2017 | ||||||
Recognized in income statements | $ | i 8 | $ | ( i 40 | ) | $ | ( i 3 | ) | |
Accrued
at end of period | i 92 | i 91 | i 147 |
Jurisdiction | Tax Year |
U.S. | 2013 |
New
York State and New York City | 2007 |
Hong Kong | 2013 |
U.K. | 2011 |
Japan | 2015 |
143 | December
2019 Form 10-K |
Notes to Consolidated Financial Statements |
2019 | |||||||||||||||
$ in millions | IS | WM | IM | I/E | Total | ||||||||||
Investment
banking | $ | i 5,734 | $ | i 509 | $ | i — | $ | ( i 80 | ) | $ | i 6,163 | ||||
Trading | i 10,318 | i 734 | ( i 8 | ) | i 51 | i 11,095 | |||||||||
Investments | i 325 | i 2 | i 1,213 | i — | i 1,540 | ||||||||||
Commissions
and fees1 | i 2,484 | i 1,726 | i 1 | ( i 292 | ) | i 3,919 | |||||||||
Asset
management1 | i 413 | i 10,199 | i 2,629 | ( i 158 | ) | i 13,083 | |||||||||
Other | i 632 | i 345 | ( i 46 | ) | ( i 6 | ) | i 925 | ||||||||
Total
non-interest revenues | i 19,906 | i 13,515 | i 3,789 | ( i 485 | ) | i 36,725 | |||||||||
Interest
income | i 12,193 | i 5,467 | i 20 | ( i 582 | ) | i 17,098 | |||||||||
Interest
expense | i 11,713 | i 1,245 | i 46 | ( i 600 | ) | i 12,404 | |||||||||
Net
interest | i 480 | i 4,222 | ( i 26 | ) | i 18 | i 4,694 | |||||||||
Net
revenues | $ | i 20,386 | $ | i 17,737 | $ | i 3,763 | $ | ( i 467 | ) | $ | i 41,419 | ||||
Income
from continuing operations before income taxes | $ | i 5,490 | $ | i 4,832 | $ | i 985 | $ | ( i 6 | ) | $ | i 11,301 | ||||
Provision
for income taxes | i 769 | i 1,104 | i 193 | ( i 2 | ) | i 2,064 | |||||||||
Income
from continuing operations | i 4,721 | i 3,728 | i 792 | ( i 4 | ) | i 9,237 | |||||||||
Income
(loss) from discontinued operations, net of income taxes | i — | i — | i — | i — | i — | ||||||||||
Net
income | i 4,721 | i 3,728 | i 792 | ( i 4 | ) | i 9,237 | |||||||||
Net
income applicable to noncontrolling interests | i 122 | i — | i 73 | i — | i 195 | ||||||||||
Net
income applicable to Morgan Stanley | $ | i 4,599 | $ | i 3,728 | $ | i 719 | $ | ( i 4 | ) | $ | i 9,042 |
2018 | |||||||||||||||
$
in millions | IS | WM | IM | I/E | Total | ||||||||||
Investment banking | $ | i 6,088 | $ | i 475 | $ | i — | $ | ( i 81 | ) | $ | i 6,482 | ||||
Trading | i 11,191 | i 279 | i 25 | i 56 | i 11,551 | ||||||||||
Investments | i 182 | i 1 | i 254 | i — | i 437 | ||||||||||
Commissions
and fees1 | i 2,671 | i 1,804 | i — | ( i 285 | ) | i 4,190 | |||||||||
Asset
management1 | i 421 | i 10,158 | i 2,468 | ( i 149 | ) | i 12,898 | |||||||||
Other | i 535 | i 248 | ( i 30 | ) | ( i 10 | ) | i 743 | ||||||||
Total
non-interest revenues | i 21,088 | i 12,965 | i 2,717 | ( i 469 | ) | i 36,301 | |||||||||
Interest
income | i 9,271 | i 5,498 | i 57 | ( i 934 | ) | i 13,892 | |||||||||
Interest
expense | i 9,777 | i 1,221 | i 28 | ( i 940 | ) | i 10,086 | |||||||||
Net
interest | ( i 506 | ) | i 4,277 | i 29 | i 6 | i 3,806 | |||||||||
Net
revenues | $ | i 20,582 | $ | i 17,242 | $ | i 2,746 | $ | ( i 463 | ) | $ | i 40,107 | ||||
Income
from continuing operations before income taxes | $ | i 6,260 | $ | i 4,521 | $ | i 464 | $ | ( i 8 | ) | $ | i 11,237 | ||||
Provision
for income taxes | i 1,230 | i 1,049 | i 73 | ( i 2 | ) | i 2,350 | |||||||||
Income
from continuing operations | i 5,030 | i 3,472 | i 391 | ( i 6 | ) | i 8,887 | |||||||||
Income
(loss) from discontinued operations, net of income taxes | ( i 6 | ) | i — | i 2 | i — | ( i 4 | ) | ||||||||
Net
income | i 5,024 | i 3,472 | i 393 | ( i 6 | ) | i 8,883 | |||||||||
Net
income applicable to noncontrolling interests | i 118 | i — | i 17 | i — | i 135 | ||||||||||
Net
income applicable to Morgan Stanley | $ | i 4,906 | $ | i 3,472 | $ | i 376 | $ | ( i 6 | ) | $ | i 8,748 |
2017 | |||||||||||||||
$
in millions | IS | WM | IM | I/E | Total | ||||||||||
Investment banking | $ | i 5,537 | $ | i 533 | $ | i — | $ | ( i 67 | ) | $ | i 6,003 | ||||
Trading | i 10,295 | i 848 | ( i 22 | ) | ( i 5 | ) | i 11,116 | ||||||||
Investments | i 368 | i 3 | i 449 | i — | i 820 | ||||||||||
Commissions
and fees | i 2,433 | i 1,737 | i — | ( i 109 | ) | i 4,061 | |||||||||
Asset
management | i 359 | i 9,342 | i 2,196 | ( i 100 | ) | i 11,797 | |||||||||
Other | i 630 | i 268 | ( i 37 | ) | ( i 13 | ) | i 848 | ||||||||
Total
non-interest revenues | i 19,622 | i 12,731 | i 2,586 | ( i 294 | ) | i 34,645 | |||||||||
Interest
income | i 5,377 | i 4,591 | i 4 | ( i 975 | ) | i 8,997 | |||||||||
Interest
expense | i 6,186 | i 486 | i 4 | ( i 979 | ) | i 5,697 | |||||||||
Net
interest | ( i 809 | ) | i 4,105 | i — | i 4 | i 3,300 | |||||||||
Net
revenues | $ | i 18,813 | $ | i 16,836 | $ | i 2,586 | $ | ( i 290 | ) | $ | i 37,945 | ||||
Income
from continuing operations before income taxes | $ | i 5,644 | $ | i 4,299 | $ | i 456 | $ | i 4 | $ | i 10,403 | |||||
Provision
for income taxes | i 1,993 | i 1,974 | i 201 | i — | i 4,168 | ||||||||||
Income
from continuing operations | i 3,651 | i 2,325 | i 255 | i 4 | i 6,235 | ||||||||||
Income
(loss) from discontinued operations, net of income taxes | ( i 19 | ) | i — | i — | i — | ( i 19 | ) | ||||||||
Net
income | i 3,632 | i 2,325 | i 255 | i 4 | i 6,216 | ||||||||||
Net
income applicable to noncontrolling interests | i 96 | i — | i 9 | i — | i 105 | ||||||||||
Net income applicable to
Morgan Stanley | $ | i 3,536 | $ | i 2,325 | $ | i 246 | $ | i 4 | $ | i 6,111 |
1. | Substantially all of the of revenues for these line items are recognized under the Revenues from Contracts with Customers accounting update. |
December 2019 Form 10-K | 144 |
Notes to Consolidated Financial Statements |
$
in millions | 2019 | 2018 | 2017 | ||||||
Institutional Securities—Advisory | $ | i 2,116 | $ | i 2,436 | $ | i 2,077 | |||
Institutional
Securities—Underwriting | i 3,618 | i 3,652 | i 3,460 | ||||||
Firm
Investment banking revenues from contracts with customers1 | i 90 | % | i 86 | % | N/A |
1. | Represents
the approximate amount of Investment banking revenues accounted for under this accounting update. |
$
in millions | 2019 | 2018 | 2017 | ||||||
Interest rate | $ | i 2,773 | $ | i 2,696 | $ | i 2,091 | |||
Foreign
exchange | i 395 | i 914 | i 647 | ||||||
Equity
security and index1 | i 5,246 | i 6,157 | i 6,291 | ||||||
Commodity
and other | i 1,438 | i 1,174 | i 740 | ||||||
Credit | i 1,243 | i 610 | i 1,347 | ||||||
Total | $ | i 11,095 | $ | i 11,551 | $ | i 11,116 |
1. | Dividend
income is included within equity security and index contracts. |
$
in millions | ||||||
Net cumulative unrealized performance-based fees at risk of reversing | $ | i 774 | $ | i 434 |
$
in millions | 2019 | 2018 | 2017 | ||||||
Fee waivers | $ | i 43 | $ | i 56 | $ | i 86 |
$ in millions | 2019 | 2018 | 2017 | ||||||
U.S. | $ | i 9,464 | $ | i 7,804 | $ | i 5,686 | |||
Non-U.S.1 | i 1,837 | i 3,433 | i 4,717 | ||||||
Total | $ | i 11,301 | $ | i 11,237 | $ | i 10,403 |
1. | Non-U.S.
income is defined as income generated from operations located outside the U.S. |
$
in millions | IS | WM | IM | Total | ||||||||
2019 | ||||||||||||
Intermittent net discrete tax provision (benefit) | $ | ( i 317 | ) | $ | ( i 13 | ) | $ | ( i 18 | ) | $ | ( i 348 | ) |
Recurring: | ||||||||||||
Employee
share-based awards1 | ( i 83 | ) | ( i 37 | ) | ( i 7 | ) | ( i 127 | ) | ||||
Total | $ | ( i 400 | ) | $ | ( i 50 | ) | $ | ( i 25 | ) | $ | ( i 475 | ) |
2018 | ||||||||||||
Intermittent
net discrete tax provision (benefit) | $ | ( i 182 | ) | $ | i — | $ | ( i 21 | ) | $ | ( i 203 | ) | |
Recurring: | ||||||||||||
Employee
share-based awards1 | ( i 104 | ) | ( i 50 | ) | ( i 11 | ) | ( i 165 | ) | ||||
Total | $ | ( i 286 | ) | $ | ( i 50 | ) | $ | ( i 32 | ) | $ | ( i 368 | ) |
2017 | ||||||||||||
Intermittent: | ||||||||||||
Tax
Act enactment2 | $ | i 705 | $ | i 402 | $ | i 94 | $ | i 1,201 | ||||
Remeasurement
of reserves and related interest | ( i 168 | ) | i — | i — | ( i 168 | ) | ||||||
Other | ( i 66 | ) | i 9 | ( i 8 | ) | ( i 65 | ) | |||||
Total
intermittent net discrete tax provision (benefit) | $ | i 471 | $ | i 411 | $ | i 86 | $ | i 968 | ||||
Recurring: | ||||||||||||
Employee
share-based awards1 | ( i 93 | ) | ( i 54 | ) | ( i 8 | ) | ( i 155 | ) | ||||
Total | $ | i 378 | $ | i 357 | $ | i 78 | $ | i 813 |
1. | We
consider these employee share-based award related provisions (benefits) to be recurring-type (“Recurring”) discrete tax items, as we anticipate some level of conversion activity each year. |
2. | For further discussion on the Tax Act, see Note 20. |
$ in millions | 2019 | 2018 | 2017 | ||||||
Americas | $ | i 30,226 | $ | i 29,301 | $ | i 27,817 | |||
EMEA | i 6,061 | i 6,092 | i 5,714 | ||||||
Asia | i 5,132 | i 4,714 | i 4,414 | ||||||
Total | $ | i 41,419 | $ | i 40,107 | $ | i 37,945 |
145 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
$ in millions | 2019 | 2018 | ||||
Non-interest
revenues | $ | i 2,705 | $ | i 2,821 |
$
in millions | ||||||
Customer and other receivables | $ | i 2,916 | $ | i 2,308 |
$
in millions | ||||||
Institutional Securities | $ | i 691,201 | $ | i 646,427 | ||
Wealth
Management | i 197,682 | i 202,392 | ||||
Investment
Management | i 6,546 | i 4,712 | ||||
Total1 | $ | i 895,429 | $ | i 853,531 |
$ in millions | ||||||
Americas | $ | i 622,979 | $ | i 576,532 | ||
EMEA | i 185,093 | i 200,194 | ||||
Asia | i 87,357 | i 76,805 | ||||
Total | $ | i 895,429 | $ | i 853,531 |
$ in millions | 2019 | 2018 | 2017 | ||||||
Revenues | |||||||||
Dividends
from subsidiaries1 | $ | i 5,529 | $ | i 4,973 | $ | i 2,567 | |||
Trading | ( i 54 | ) | i 54 | ( i 260 | ) | ||||
Other | i 80 | ( i 5 | ) | i 64 | |||||
Total
non-interest revenues | i 5,555 | i 5,022 | i 2,371 | ||||||
Interest
income | i 5,121 | i 5,172 | i 3,783 | ||||||
Interest
expense | i 4,661 | i 4,816 | i 4,079 | ||||||
Net
interest | i 460 | i 356 | ( i 296 | ) | |||||
Net
revenues | i 6,015 | i 5,378 | i 2,075 | ||||||
Non-interest
expenses | i 300 | i 225 | i 240 | ||||||
Income
before income taxes | i 5,715 | i 5,153 | i 1,835 | ||||||
Provision
for (benefit from) income taxes | ( i 73 | ) | i 22 | ( i 206 | ) | ||||
Net
income before undistributed gain of subsidiaries | i 5,788 | i 5,131 | i 2,041 | ||||||
Undistributed
gain of subsidiaries | i 3,254 | i 3,617 | i 4,070 | ||||||
Net
income | i 9,042 | i 8,748 | i 6,111 | ||||||
Other
comprehensive income (loss), net of tax: | |||||||||
Foreign currency translation adjustments | ( i 8 | ) | ( i 114 | ) | i 219 | ||||
Change
in net unrealized gains (losses) on available-for-sale securities | i 1,137 | ( i 272 | ) | i 41 | |||||
Pensions,
postretirement and other | ( i 66 | ) | i 137 | ( i 117 | ) | ||||
Change
in net debt valuation adjustment | ( i 1,559 | ) | i 1,454 | ( i 560 | ) | ||||
Comprehensive
income | $ | i 8,546 | $ | i 9,953 | $ | i 5,694 | |||
Net
income | $ | i 9,042 | $ | i 8,748 | $ | i 6,111 | |||
Preferred
stock dividends and other | i 530 | i 526 | i 523 | ||||||
Earnings
applicable to Morgan Stanley common shareholders | $ | i 8,512 | $ | i 8,222 | $ | i 5,588 |
1. | In
2019 and 2018, the Parent Company recorded approximately $ i 4 billion and $ i 3
billion, respectively, of dividends from bank subsidiaries. |
December 2019 Form 10-K | 146 |
Notes to Consolidated Financial Statements |
$
in millions, except share data | ||||||
Assets | ||||||
Cash and cash equivalents: | ||||||
Cash and due from banks | $ | i 9 | $ | i 6 | ||
Deposits
with bank subsidiaries | i 8,001 | i 7,476 | ||||
Trading
assets at fair value | i 5,747 | i 10,039 | ||||
Investment
securities (includes $19,824 and $15,500 at fair value and $4,606 and $— were pledged to various parties) | i 37,253 | i 22,588 | ||||
Securities
purchased under agreement to resell with affiliates | i 10,114 | i 25,535 | ||||
Advances
to subsidiaries: | ||||||
Bank and BHC | i 27,667 | i 30,954 | ||||
Non-bank | i 104,345 | i 97,405 | ||||
Equity
investments in subsidiaries: | ||||||
Bank and BHC | i 36,093 | i 42,848 | ||||
Non-bank | i 43,667 | i 32,418 | ||||
Other
assets | i 244 | i 1,244 | ||||
Total
assets | $ | i 273,140 | $ | i 270,513 | ||
Liabilities | ||||||
Trading
liabilities at fair value | $ | i 1,130 | $ | i 276 | ||
Securities
sold under agreements to repurchase with affiliates | i 4,631 | i — | ||||
Payables
to and advances from subsidiaries | i 35,470 | i 30,861 | ||||
Other
liabilities and accrued expenses | i 2,153 | i 2,548 | ||||
Borrowings
(includes $20,461 and $18,599 at fair value) | i 148,207 | i 156,582 | ||||
Total
liabilities | i 191,591 | i 190,267 | ||||
Commitments
and contingent liabilities (see Note 13) | ||||||
Equity | ||||||
Preferred stock | i 8,520 | i 8,520 | ||||
Common
stock, $0.01 par value: | ||||||
Shares authorized: 3,500,000,000; Shares issued: 2,038,893,979; Shares outstanding: 1,593,973,680 and 1,699,828,943 | i 20 | i 20 | ||||
Additional
paid-in capital | i 23,935 | i 23,794 | ||||
Retained
earnings | i 70,589 | i 64,175 | ||||
Employee
stock trusts | i 2,918 | i 2,836 | ||||
Accumulated
other comprehensive income (loss) | ( i 2,788 | ) | ( i 2,292 | ) | ||
Common
stock held in treasury at cost, $0.01 par value (444,920,299 and 339,065,036 shares) | ( i 18,727 | ) | ( i 13,971 | ) | ||
Common
stock issued to employee stock trusts | ( i 2,918 | ) | ( i 2,836 | ) | ||
Total
shareholders’ equity | i 81,549 | i 80,246 | ||||
Total
liabilities and equity | $ | i 273,140 | $ | i 270,513 |
$ in millions | 2019 | 2018 | 2017 | ||||||
Net cash provided by (used for) operating activities | $ | i 24,175 | $ | ( i 1,136 | ) | $ | i 3,747 | ||
Cash
flows from investing activities | |||||||||
Proceeds from (payments for): | |||||||||
Investment securities: | |||||||||
Purchases | ( i 22,408 | ) | ( i 8,155 | ) | ( i 5,263 | ) | |||
Proceeds
from sales | i 4,671 | i 1,252 | i 3,620 | ||||||
Proceeds
from paydowns and maturities | i 3,157 | i 3,729 | i 1,038 | ||||||
Securities
purchased under agreements to resell with affiliates | i 15,422 | i 13,057 | i 19,314 | ||||||
Securities
sold under agreements to repurchase with affiliates | i 4,631 | ( i 8,753 | ) | i 8,753 | |||||
Advances
to and investments in subsidiaries | ( i 9,210 | ) | i 11,841 | ( i 35,686 | ) | ||||
Net
cash provided by (used for) investing activities | ( i 3,737 | ) | i 12,971 | ( i 8,224 | ) | ||||
Cash
flows from financing activities | |||||||||
Proceeds from: | |||||||||
Issuance of preferred stock, net of issuance costs | i 497 | i — | i 994 | ||||||
Issuance
of Borrowings | i 8,337 | i 14,918 | i 36,833 | ||||||
Payments
for: | |||||||||
Borrowings | ( i 24,282 | ) | ( i 21,418 | ) | ( i 24,668 | ) | |||
Repurchases
of common stock and employee tax withholdings | ( i 5,954 | ) | ( i 5,566 | ) | ( i 4,292 | ) | |||
Cash
dividends | ( i 2,627 | ) | ( i 2,375 | ) | ( i 2,085 | ) | |||
Net
change in advances from subsidiaries | i 4,378 | i 2,122 | i 1,861 | ||||||
Other
financing activities | i 12 | i — | i 26 | ||||||
Net
cash provided by (used for) financing activities | ( i 19,639 | ) | ( i 12,319 | ) | i 8,669 | ||||
Effect
of exchange rate changes on cash and cash equivalents | ( i 271 | ) | ( i 166 | ) | i 221 | ||||
Net
increase (decrease) in cash and cash equivalents | i 528 | ( i 650 | ) | i 4,413 | |||||
Cash
and cash equivalents, at beginning of period | i 7,482 | i 8,132 | i 3,719 | ||||||
Cash
and cash equivalents, at end of period | $ | i 8,010 | $ | i 7,482 | $ | i 8,132 | |||
Cash
and cash equivalents: | |||||||||
Cash and due from banks | $ | i 9 | $ | i 6 | $ | i 11 | |||
Deposits
with bank subsidiaries | i 8,001 | i 7,476 | i 8,120 | ||||||
Restricted
cash | i — | i — | i 1 | ||||||
Cash
and cash equivalents, at end of period | $ | i 8,010 | $ | i 7,482 | $ | i 8,132 | |||
Supplemental
Disclosure of Cash Flow Information | |||||||||
Cash payments for: | |||||||||
Interest | $ | i 4,677 | $ | i 4,798 | $ | i 3,570 | |||
Income
taxes, net of refunds1 | i 1,186 | i 437 | i 201 |
147 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
$ in millions | ||||||
Senior | $ | i 137,138 | $ | i 146,492 | ||
Subordinated | i 10,570 | i 10,090 | ||||
Total | $ | i 147,708 | $ | i 156,582 |
$ in millions | ||||||
Aggregate balance | $ | i 32,996 | $ | i 24,286 |
$ in millions | ||||||
Aggregate balance1 | $ | i 925 | $ | i 1,003 |
1. | Amounts
primarily relate to the U.K. |
December 2019 Form 10-K | 148 |
Notes to Consolidated Financial Statements |
2019
Quarter | ||||||||||||
$ in millions, except per share data | First | Second | Third | Fourth1, 2, 3 | ||||||||
Total non-interest revenues | $ | i 9,272 | $ | i 9,215 | $ | i 8,814 | $ | i 9,424 | ||||
Net
interest | i 1,014 | i 1,029 | i 1,218 | i 1,433 | ||||||||
Net
revenues | i 10,286 | i 10,244 | i 10,032 | i 10,857 | ||||||||
Total
non-interest expenses | i 7,331 | i 7,341 | i 7,322 | i 8,124 | ||||||||
Income
from continuing operations before income taxes | i 2,955 | i 2,903 | i 2,710 | i 2,733 | ||||||||
Provision
for income taxes | i 487 | i 657 | i 492 | i 428 | ||||||||
Income
from continuing operations | i 2,468 | i 2,246 | i 2,218 | i 2,305 | ||||||||
Net
income | i 2,468 | i 2,246 | i 2,218 | i 2,305 | ||||||||
Net
income applicable to noncontrolling interests | i 39 | i 45 | i 45 | i 66 | ||||||||
Net
income applicable to Morgan Stanley | $ | i 2,429 | $ | i 2,201 | $ | i 2,173 | $ | i 2,239 | ||||
Preferred
stock dividends and other | i 93 | i 170 | i 113 | i 154 | ||||||||
Earnings
applicable to Morgan Stanley common shareholders | $ | i 2,336 | $ | i 2,031 | $ | i 2,060 | $ | i 2,085 | ||||
Earnings
(loss) per basic common share4: | ||||||||||||
Income from continuing operations | $ | i 1.41 | $ | i 1.24 | $ | i 1.28 | $ | i 1.33 | ||||
Earnings
per basic common share | $ | i 1.41 | $ | i 1.24 | $ | i 1.28 | $ | i 1.33 | ||||
Earnings
(loss) per diluted common share4: | ||||||||||||
Income from continuing operations | $ | i 1.39 | $ | i 1.23 | $ | i 1.27 | $ | i 1.30 | ||||
Earnings
per diluted common share | $ | i 1.39 | $ | i 1.23 | $ | i 1.27 | $ | i 1.30 | ||||
Dividends
declared per common share | $ | i 0.30 | $ | i 0.30 | $ | i 0.35 | $ | i 0.35 | ||||
Book
value per common share | $ | i 42.83 | $ | i 44.13 | $ | i 45.49 | $ | i 45.82 |
2018
Quarter | ||||||||||||
$ in millions, except per share data | First | Second | Third | Fourth1, 2 | ||||||||
Total non-interest revenues | $ | i 10,102 | $ | i 9,704 | $ | i 8,936 | $ | i 7,559 | ||||
Net
interest | i 975 | i 906 | i 936 | i 989 | ||||||||
Net
revenues | i 11,077 | i 10,610 | i 9,872 | i 8,548 | ||||||||
Total
non-interest expenses | i 7,657 | i 7,501 | i 7,021 | i 6,691 | ||||||||
Income
from continuing operations before income taxes | i 3,420 | i 3,109 | i 2,851 | i 1,857 | ||||||||
Provision
for income taxes | i 714 | i 640 | i 696 | i 300 | ||||||||
Income
from continuing operations | i 2,706 | i 2,469 | i 2,155 | i 1,557 | ||||||||
Income
(loss) from discontinued operations | ( i 2 | ) | ( i 2 | ) | ( i 1 | ) | i 1 | |||||
Net
income | i 2,704 | i 2,467 | i 2,154 | i 1,558 | ||||||||
Net
income applicable to noncontrolling interests | i 36 | i 30 | i 42 | i 27 | ||||||||
Net
income applicable to Morgan Stanley | $ | i 2,668 | $ | i 2,437 | $ | i 2,112 | $ | i 1,531 | ||||
Preferred
stock dividends | i 93 | i 170 | i 93 | i 170 | ||||||||
Earnings
applicable to Morgan Stanley common shareholders | $ | i 2,575 | $ | i 2,267 | $ | i 2,019 | $ | i 1,361 | ||||
Earnings
(loss) per basic common share4: | ||||||||||||
Income from continuing operations | $ | i 1.48 | $ | i 1.32 | $ | i 1.19 | $ | i 0.81 | ||||
Income
(loss) from discontinued operations | i — | i — | i — | i — | ||||||||
Earnings
per basic common share | $ | i 1.48 | $ | i 1.32 | $ | i 1.19 | $ | i 0.81 | ||||
Earnings
(loss) per diluted common share4: | ||||||||||||
Income from continuing operations | $ | i 1.46 | $ | i 1.30 | $ | i 1.17 | $ | i 0.80 | ||||
Income
(loss) from discontinued operations | ( i 0.01 | ) | i — | i — | i — | |||||||
Earnings
per diluted common share | $ | i 1.45 | $ | i 1.30 | $ | i 1.17 | $ | i 0.80 | ||||
Dividends
declared per common share | $ | i 0.25 | $ | i 0.25 | $ | i 0.30 | $ | i 0.30 | ||||
Book
value per common share | $ | i 39.19 | $ | i 40.34 | $ | i 40.67 | $ | i 42.20 |
1. | The
fourth quarters of 2019 and 2018 included intermittent net discrete tax benefits of $ i 158 million and $ i 111
million, respectively, primarily associated with remeasurement of reserves and related interest as a result of new information pertaining to the resolution of multi-jurisdiction tax examinations. |
2. | Total non-interest revenues includes impairments of the Investment Management business segment’s interests in two distinct equity method investments in third-party asset managers of $ i 41
million in 2019 and $ i 46 million in 2018. |
3. | The fourth quarter
of 2019 included specific severance-related costs of approximately $ i 172 million, which are included in Compensation and benefits expenses in the Income statement. These costs were recorded in the business segments approximately as follows: Institutional Securities $ i 124
million, Wealth Management $ i 37 million and Investment Management $ i 11
million. |
4. | The sum of the quarters’ earnings per common share may not equal the annual amounts due to the averaging effect of the number of shares and share equivalents throughout the year. |
149 | December 2019 Form 10-K |
Notes to Consolidated Financial Statements |
December 2019 Form 10-K | 150 |
Financial Data Supplement (Unaudited) |
2019 | 2018 | |||||||||||||||
$
in millions | Average Daily Balance | Interest | Average Rate | Average Daily Balance | Interest | Average Rate | ||||||||||
Interest earning assets | ||||||||||||||||
Investment
securities1 | $ | 101,696 | $ | 2,175 | 2.1 | % | $ | 81,977 | $ | 1,744 | 2.1 | % | ||||
Loans1 | 121,002 | 4,783 | 4.0 | 109,681 | 4,249 | 3.9 | ||||||||||
Securities
purchased under agreements to resell and Securities borrowed2: | ||||||||||||||||
U.S. | 142,089 | 3,378 | 2.4 | 134,223 | 2,262 | 1.7 | ||||||||||
Non-U.S. | 76,577 | 107 | 0.1 | 86,430 | (286 | ) | (0.3 | ) | ||||||||
Trading
assets, net of Trading liabilities3: | ||||||||||||||||
U.S. | 77,481 | 2,531 | 3.3 | 57,780 | 2,144 | 3.7 | ||||||||||
Non-U.S. | 14,654 | 368 | 2.5 | 9,014 | 248 | 2.8 | ||||||||||
Customer
receivables and Other4: | ||||||||||||||||
U.S. | 61,501 | 2,697 | 4.4 | 73,695 | 2,592 | 3.5 | ||||||||||
Non-U.S. | 58,601 | 1,059 | 1.8 | 54,396 | 939 | 1.7 | ||||||||||
Total | $ | 653,601 | $ | 17,098 | 2.6 | % | $ | 607,196 | $ | 13,892 | 2.3 | % | ||||
Interest
bearing liabilities | ||||||||||||||||
Deposits1 | $ | 180,116 | $ | 1,885 | 1.0 | % | $ | 169,226 | $ | 1,255 | 0.7 | % | ||||
Borrowings1,
5 | 192,770 | 5,052 | 2.6 | 191,692 | 5,031 | 2.6 | ||||||||||
Securities
sold under agreements to repurchase and Securities loaned6: | ||||||||||||||||
U.S. | 32,437 | 1,916 | 5.9 | 24,426 | 1,408 | 5.8 | ||||||||||
Non-U.S. | 31,808 | 693 | 2.2 | 37,319 | 490 | 1.3 | ||||||||||
Customer
payables and Other7: | ||||||||||||||||
U.S. | 118,775 | 1,792 | 1.5 | 120,228 | 1,061 | 0.9 | ||||||||||
Non-U.S. | 65,196 | 1,066 | 1.6 | 70,855 | 841 | 1.2 | ||||||||||
Total | $ | 621,102 | $ | 12,404 | 2.0 | % | $ | 613,746 | $ | 10,086 | 1.6 | % | ||||
Net
interest income and net interest rate spread | $ | 4,694 | 0.6 | % | $ | 3,806 | 0.7 | % |
2019 versus 2018 | |||||||||
Increase (Decrease) Due to Change in: | |||||||||
$ in millions | Volume | Rate | Net Change | ||||||
Interest
earning assets | |||||||||
Investment securities1 | $ | 420 | $ | 11 | $ | 431 | |||
Loans1 | 439 | 95 | 534 | ||||||
Securities
purchased under agreements to resell and Securities borrowed2: | |||||||||
U.S. | 133 | 983 | 1,116 | ||||||
Non-U.S. | 33 | 360 | 393 | ||||||
Trading
assets, net of Trading liabilities3: | |||||||||
U.S. | 731 | (344 | ) | 387 | |||||
Non-U.S. | 155 | (35 | ) | 120 | |||||
Customer
receivables and Other4: | |||||||||
U.S. | (429 | ) | 534 | 105 | |||||
Non-U.S. | 73 | 47 | 120 | ||||||
Change
in interest income | $ | 1,555 | $ | 1,651 | $ | 3,206 | |||
Interest bearing liabilities | |||||||||
Deposits1 | $ | 81 | $ | 549 | $ | 630 | |||
Borrowings1,
5 | 28 | (7 | ) | 21 | |||||
Securities sold under agreements to repurchase and Securities loaned6: | |||||||||
U.S. | 462 | 46 | 508 | ||||||
Non-U.S. | (72 | ) | 275 | 203 | |||||
Customer
payables and Other7: | |||||||||
U.S. | (13 | ) | 744 | 731 | |||||
Non-U.S. | (67 | ) | 292 | 225 | |||||
Change
in interest expense | $ | 419 | $ | 1,899 | $ | 2,318 | |||
Change in net interest income | $ | 1,136 | $ | (248 | ) | $ | 888 |
151 | December 2019 Form 10-K |
Financial Data Supplement (Unaudited) |
2017 | ||||||||
$ in millions | Average Daily Balance | Interest | Average Rate | |||||
Interest
earning assets | ||||||||
Investment securities1 | $ | 76,746 | $ | 1,334 | 1.7 | % | ||
Loans1 | 98,727 | 3,298 | 3.3 | |||||
Securities
purchased under agreements to resell and Securities borrowed2: | ||||||||
U.S. | 125,453 | 606 | 0.5 | |||||
Non-U.S. | 95,478 | (437 | ) | (0.5 | ) | |||
Trading
assets, net of Trading liabilities3: | ||||||||
U.S. | 59,335 | 1,876 | 3.2 | |||||
Non-U.S. | 4,326 | 153 | 3.5 | |||||
Customer
receivables and Other4: | ||||||||
U.S. | 72,440 | 1,614 | 2.2 | |||||
Non-U.S. | 40,179 | 553 | 1.4 | |||||
Total | $ | 572,684 | $ | 8,997 | 1.6 | % | ||
Interest
bearing liabilities | ||||||||
Deposits1 | $ | 151,442 | $ | 187 | 0.1 | % | ||
Borrowings1,
5 | 184,453 | 4,285 | 2.3 | |||||
Securities sold under agreements to repurchase and Securities loaned6: | ||||||||
U.S. | 30,866 | 900 | 2.9 | |||||
Non-U.S. | 39,396 | 337 | 0.9 | |||||
Customer
payables and Other7: | ||||||||
U.S. | 128,274 | (213 | ) | (0.2 | ) | |||
Non-U.S. | 65,496 | 201 | 0.3 | |||||
Total | $ | 599,927 | $ | 5,697 | 0.9 | % | ||
Net
interest income and net interest rate spread | $ | 3,300 | 0.7 | % |
2018
versus 2017 | |||||||||
Increase (Decrease) Due to Change in: | |||||||||
$ in millions | Volume | Rate | Net Change | ||||||
Interest earning assets | |||||||||
Investment
securities1 | $ | 91 | $ | 319 | $ | 410 | |||
Loans1 | 366 | 585 | 951 | ||||||
Securities
purchased under agreements to resell and Securities borrowed2: | |||||||||
U.S. | 42 | 1,614 | 1,656 | ||||||
Non-U.S. | 41 | 110 | 151 | ||||||
Trading
assets, net of Trading liabilities3: | |||||||||
U.S. | (49 | ) | 317 | 268 | |||||
Non-U.S. | 166 | (71 | ) | 95 | |||||
Customer
receivables and Other4: | |||||||||
U.S. | 28 | 950 | 978 | ||||||
Non-U.S. | 196 | 190 | 386 | ||||||
Change
in interest income | $ | 881 | $ | 4,014 | $ | 4,895 | |||
Interest bearing liabilities | |||||||||
Deposits1 | $ | 22 | $ | 1,046 | $ | 1,068 | |||
Borrowings1,5 | 168 | 578 | 746 | ||||||
Securities
sold under agreements to repurchase and Securities loaned6: | |||||||||
U.S. | (188 | ) | 696 | 508 | |||||
Non-U.S. | (18 | ) | 171 | 153 | |||||
Customer
payables and Other7: | |||||||||
U.S. | 13 | 1,261 | 1,274 | ||||||
Non-U.S. | 16 | 624 | 640 | ||||||
Change
in interest expense | $ | 13 | $ | 4,376 | $ | 4,389 | |||
Change in net interest income | $ | 868 | $ | (362 | ) | $ | 506 |
1. | Amounts
include primarily U.S. balances. |
2. | Includes fees paid on Securities borrowed. |
3. | Excludes non-interest earning assets and non-interest bearing liabilities, such as equity securities. |
4. | Includes Cash and cash equivalents. |
5. | Includes
structured notes, whose interest expense is considered part of its value and therefore is recorded within Trading revenues. |
6. | Includes fees received on Securities loaned. The annualized average rate was calculated using (a) interest expense incurred on all securities sold under agreements to repurchase and securities loaned transactions, whether or not such transactions were reported in the balance sheets and (b) net average on-balance sheet balances, which exclude certain securities-for-securities transactions. |
7. | Includes
fees received from prime brokerage customers for stock loan transactions entered into to cover customers’ short positions. |
Average Daily Deposits | |||||||||||||||
2019 | 2018 | 2017 | |||||||||||||
$
in millions | Average Amount | Average Rate | Average Amount | Average Rate | Average Amount | Average Rate | |||||||||
Deposits1: | |||||||||||||||
Savings | $ | 144,017 | 0.6 | % | $ | 142,753 | 0.4 | % | $ | 144,870 | 0.1 | % | |||
Time | 36,099 | 2.8 | % | 26,473 | 2.4 | % | 6,572 | 1.6 | % | ||||||
Total | $ | 180,116 | 1.0 | % | $ | 169,226 | 0.7 | % | $ | 151,442 | 0.1 | % |
1. | The
Firm’s deposits were primarily held in U.S. offices. |
December 2019 Form 10-K | 152 |
Financial
Data Supplement (Unaudited) |
2019 | 2018 | 2017 | ||||
Net income to average total assets | 1.0 | % | 1.0 | % | 0.7 | % |
ROE1 | 11.7 | % | 11.8 | % | 8.0 | % |
Return
on total equity2 | 11.1 | % | 11.1 | % | 7.8 | % |
Dividend payout ratio3 | 25.0 | % | 23.3 | % | 29.3 | % |
Total average common equity to average
total assets | 8.2 | % | 8.1 | % | 8.2 | % |
Total average equity to average total assets | 9.2 | % | 9.1 | % | 9.2 | % |
1. | ROE
represents Earnings applicable to Morgan Stanley common shareholders as a percentage of average common equity. |
2. | Return on total equity represents Net income applicable to Morgan Stanley as a percentage of average total equity. |
3. | Dividend payout ratio represents dividends declared per common share as a percentage of earnings per diluted common share. |
$
in millions | 2019 | 2018 | 2017 | ||||||
Period-end balance | $ | 62,706 | $ | 61,667 | $ | 70,016 | |||
Average
balance1 | 64,245 | 61,745 | 70,262 | ||||||
Maximum balance at any month-end | 78,327 | 72,161 | 77,063 | ||||||
Weighted
average interest rate during the period2 | 4.1 | % | 3.1 | % | 1.8 | % | |||
Weighted average interest rate on period-end balance2 | 4.0 | % | 4.1 | % | 1.5 | % |
1. | The
Firm calculated its average balances based upon daily amounts. |
2. | The weighted average interest rate was calculated using (a) interest expense incurred on all securities sold under agreements to repurchase and securities loaned transactions, whether or not such transactions were reported in the balance sheets and (b) net average or period-end balances excluding certain securities-for-securities transactions. |
$ in millions | Banks | Governments | Non-banking Financial Institutions | Other | Total | ||||||
Japan | 18,282 | 7,146 | 20,376 | 11,565 | $ | 57,369 | |||||
U.K. | 6,021 | 11,515 | 15,623 | 10,431 | 43,590 | ||||||
Cayman
Islands | 12 | — | 24,693 | 5,987 | 30,692 | ||||||
France | 4,454 | 1,927 | 9,447 | 6,363 | 22,191 | ||||||
Canada | 6,794 | 1,205 | 2,606 | 4,163 | 14,768 | ||||||
Ireland | 274 | 126 | 9,161 | 4,410 | 13,971 | ||||||
European Central
Bank | — | 11,464 | — | — | 11,464 | ||||||
China | 1,451 | 168 | 1,320 | 7,907 | 10,846 | ||||||
Brazil | 2,765 | 2,116 | 1,287 | 4,509 | 10,677 | ||||||
Luxembourg | 82 | 27 | 7,596 | 1,947 | 9,652 | ||||||
Australia | 2,265 | 2,366 | 2,481 | 2,486 | 9,598 | ||||||
Netherlands | 2,149 | 107 | 2,163 | 4,788 | 9,207 | ||||||
Germany | 1,210 | 838 | 2,444 | 4,471 | 8,963 |
$ in millions | Banks | Governments | Non-banking Financial Institutions | Other | Total | ||||||||||
Japan | $ | 16,130 | $ | 14,974 | $ | 30,301 | $ | 9,951 | $ | 71,356 | |||||
U.K. | 3,978 | 7,683 | 20,168 | 11,083 | 42,912 | ||||||||||
Cayman
Islands | 14 | — | 28,164 | 5,342 | 33,520 | ||||||||||
France | 3,750 | 1,420 | 17,343 | 6,584 | 29,097 | ||||||||||
Canada | 6,808 | 2,153 | 2,005 | 2,455 | 13,421 | ||||||||||
Ireland | 664 | 24 | 8,466 | 4,191 | 13,345 | ||||||||||
European Central
Bank | — | 12,008 | — | — | 12,008 | ||||||||||
Brazil | 2,464 | 5,074 | 579 | 2,133 | 10,250 | ||||||||||
Germany | 822 | 1,499 | 4,137 | 3,022 | 9,480 | ||||||||||
Luxembourg | 101 | 291 | 7,139 | 1,289 | 8,820 |
$ in millions | Banks | Governments | Non-banking Financial Institutions | Other | Total | ||||||||||
Japan | $ | 12,239 | $ | 18,103 | $ | 18,125 | $ | 10,874 | $ | 59,341 | |||||
U.K. | 4,870 | 6,741 | 24,731 | 13,992 | 50,334 | ||||||||||
France | 3,401 | 900 | 12,781 | 8,445 | 25,527 | ||||||||||
Cayman
Islands | 17 | 1 | 16,041 | 4,999 | 21,058 | ||||||||||
Ireland | 391 | 52 | 8,577 | 4,601 | 13,621 | ||||||||||
Germany | 1,045 | 1,191 | 6,286 | 3,765 | 12,287 | ||||||||||
Canada | 4,225 | 621 | 3,072 | 3,695 | 11,613 | ||||||||||
Brazil | 2,761 | 3,470 | 315 | 3,809 | 10,355 | ||||||||||
China | 902 | 1,713 | 940 | 5,852 | 9,407 | ||||||||||
Republic
of Korea | 447 | 2,871 | 1,020 | 4,922 | 9,260 | ||||||||||
Netherlands | 313 | 982 | 2,446 | 4,377 | 8,118 |
153 | December 2019 Form 10-K |
Financial Data Supplement (Unaudited) |
$ in millions | Cross-Border Exposure1 | ||
Switzerland, Republic of Korea and Taiwan | $ | 21,947 | |
Netherlands | $ | 7,338 | |
Australia, European Central Bank, Luxembourg and India | $ | 29,257 |
1. | Cross-border
exposure, including derivative contracts, that exceeds 0.75% but does not exceed 1% of the Firm’s consolidated assets. |
December 2019 Form 10-K | 154 |
Glossary of Common Terms and Acronyms |
2018 Form 10-K | Annual report on Form 10-K for year ended December 31, 2018 filed with the SEC |
2019 Form 10-K | Annual
report on Form 10-K for year ended December 31, 2019 filed with the SEC |
ABS | Asset-backed securities |
AFS | Available-for-sale |
AML | Anti-money
laundering |
AOCI | Accumulated other comprehensive income (loss) |
AUM | Assets under management or supervision |
Balance sheets | Consolidated balance sheets |
BEAT | Base
erosion and anti-abuse tax |
BHC | Bank holding company |
bps | Basis points; one basis point equals 1/100th of 1% |
Cash flow statements | Consolidated cash flow statements |
CCAR | Comprehensive
Capital Analysis and Review |
CCyB | Countercyclical capital buffer |
CDO | Collateralized debt obligation(s), including Collateralized loan obligation(s) |
CDS | Credit
default swaps |
CECL | Current expected credit loss |
CFTC | U.S. Commodity Futures Trading Commission |
CLN | Credit-linked note(s) |
CLO | Collateralized
loan obligation(s) |
CMBS | Commercial mortgage-backed securities |
CMO | Collateralized mortgage obligation(s) |
CVA | Credit valuation adjustment |
DVA | Debt
valuation adjustment |
EBITDA | Earnings before interest, taxes, depreciation and amortization |
ELN | Equity-linked note(s) |
EMEA | Europe,
Middle East and Africa |
EPS | Earnings per common share |
E.U. | European Union |
FDIC | Federal Deposit Insurance Corporation |
FFELP | Federal
Family Education Loan Program |
FFIEC | Federal Financial Institutions Examination Council |
FHC | Financial Holding Company |
FICC | Fixed Income Clearing Corporation |
FICO | Fair
Isaac Corporation |
Financial statements | Consolidated financial statements |
FVA | Funding valuation adjustment |
GILTI | Global Intangible Low-Taxed Income |
GLR | Global
liquidity reserve |
G-SIB | Global systemically important banks |
HELOC | Home Equity Line of Credit |
HQLA | High-quality liquid assets |
HTM | Held-to-maturity |
I/E | Intersegment
eliminations |
IHC | Intermediate holding company |
IM | Investment Management |
Income statements | Consolidated income statements |
IRS | Internal
Revenue Service |
IS | Institutional Securities |
LCR | Liquidity coverage ratio, as adopted by the U.S. banking agencies |
LIBOR | London Interbank Offered Rate |
M&A | Merger,
acquisition and restructuring transaction |
MSBNA | Morgan Stanley Bank, N.A. |
155 | December 2019 Form 10-K |
Glossary of Common Terms and Acronyms |
MS&Co. | Morgan Stanley & Co. LLC |
MSIP | Morgan
Stanley & Co. International plc |
MSMS | Morgan Stanley MUFG Securities Co., Ltd. |
MSPBNA | Morgan Stanley Private Bank, National Association |
MSSB | Morgan Stanley
Smith Barney LLC |
MUFG | Mitsubishi UFJ Financial Group, Inc. |
MUMSS | Mitsubishi UFJ Morgan Stanley Securities Co., Ltd. |
MWh | Megawatt hour |
N/A | Not
Applicable |
NAV | Net asset value |
N/M | Not Meaningful |
Non-GAAP | Non-generally accepted accounting principles |
NSFR | Net
stable funding ratio, as proposed by the U.S. banking agencies |
OCC | Office of the Comptroller of the Currency |
OCI | Other comprehensive income (loss) |
OIS | Overnight
index swap |
OTC | Over-the-counter |
OTTI | Other-than-temporary impairment |
PRA | Prudential Regulation Authority |
PSU | Performance-based
stock unit |
RMBS | Residential mortgage-backed securities |
ROE | Return on average common equity |
ROTCE | Return
on average tangible common equity |
ROU | Right-of-use |
RSU | Restricted stock unit |
RWA | Risk-weighted assets |
SEC | U.S.
Securities and Exchange Commission |
SLR | Supplementary leverage ratio |
SOFR | Secured Overnight Financing Rate |
S&P | Standard & Poor’s |
SPE | Special
purpose entity |
SPOE | Single point of entry |
TDR | Troubled debt restructuring |
TLAC | Total loss-absorbing capacity |
U.K. | United
Kingdom |
UPB | Unpaid principal balance |
U.S. | United States of America |
U.S. GAAP | Accounting principles generally accepted in the United States of America |
VaR | Value-at-Risk |
VIE | Variable
interest entity |
WACC | Implied weighted average cost of capital |
WM | Wealth Management |
December
2019 Form 10-K | 156 |
• | Pertain
to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Firm; |
• | Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with U.S. GAAP, and that receipts and expenditures are being made only in accordance with authorizations of the Firm’s management and directors; and |
• | Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition,
use or disposition of Firm assets that could have a material effect on the Firm’s financial statements. |
157 | December
2019 Form 10-K |
December
2019 Form 10-K | 158 |
159 | December 2019 Form 10-K |
December 2019 Form 10-K | 160 |
161 | December 2019 Form 10-K |
December 2019 Form 10-K | 162 |
163 | December 2019 Form 10-K |
$ in millions, except per share data | Total Number of Shares Purchased1 | Average Price Paid Per Share | Total Shares Purchased as Part of Share Repurchase Program2,3 | Dollar Value of Remaining Authorized Repurchase | ||||||
October | 5,888,009 | $ | 45.59 | 5,851,110 | $ | 4,233 | ||||
November | 11,221,315 | $ | 48.53 | 11,212,000 | $ | 3,689 | ||||
December | 13,998,018 | $ | 49.67 | 13,872,271 | $ | 3,000 | ||||
Total | 31,107,342 | $ | 48.48 | 30,935,381 |
1. | Includes
171,961 shares acquired by the Firm in satisfaction of the tax withholding obligations on stock-based awards granted under the Firm’s stock-based compensation plans during the three months ended December 31, 2019. |
2. | Share purchases under publicly announced programs are made pursuant to open-market purchases, Rule 10b5-1 plans or privately negotiated transactions (including with employee benefit plans) as market conditions warrant and at prices the Firm deems appropriate and may be suspended at any time. On April 18, 2018, the Firm entered into a sales plan with Mitsubishi UFJ Financial Group, Inc.
(“MUFG”). See Note 16 to the financial statements for further information on the sales plan. |
3. | The Firm’s Board of Directors has authorized the repurchase of the Firm’s outstanding stock under a share repurchase program (the “Share Repurchase Program”). The Share Repurchase Program is a program for capital management purposes that considers, among other things, business segment capital needs, as well as equity-based compensation and benefit plan requirements. The Share Repurchase Program has no set expiration or termination date. |
At
December 31, | ||||||||||||||||||
2014 | 2015 | 2016 | 2017 | 2018 | 2019 | |||||||||||||
Morgan Stanley | $ | 100.00 | $ | 83.25 | $ | 113.27 | $ | 143.42 | $ | 110.77 | $ | 146.94 | ||||||
S&P
500 Stock Index | 100.00 | 101.37 | 113.49 | 138.26 | 132.19 | 173.44 | ||||||||||||
S&P
500 Financials Sector Index | 100.00 | 98.44 | 120.83 | 146.37 | 127.28 | 168.13 |
December 2019 Form 10-K |
164 |
(a) | (b) | (c) | ||||||
plan category | Number of securities to be issued upon exercise of outstanding options, warrants and rights1 | Weighted-average exercise price of outstanding options, warrants and rights | Number of
securities remaining available for future issuance under equity compensation plans (excluding securities reflected in column (a)) | |||||
Equity compensation plans approved by security holders | 70,446,083 | $ | — | 122,853,162 | 2 | |||
Equity
compensation plans not approved by security holders | — | — | — | |||||
Total | 70,446,083 | $ | — | 122,853,162 |
1. | Includes
outstanding restricted stock unit and performance stock unit awards. The number of outstanding performance stock unit awards is based on the target number of units granted to senior executives. |
2. | Includes the following: |
(a) | 39,182,870 shares available under the Employee Stock Purchase Plan (“ESPP”). Pursuant to this plan, which is qualified under Section 423 of the Internal Revenue Code, eligible employees were permitted to purchase shares of common stock at a discount to market price through regular payroll
deduction. The Compensation, Management Development and Succession Committee of the Board (“CMDS Committee”) approved the discontinuation of the ESPP, effective June 1, 2009, such that no further contributions to the plan will be permitted following such date, until such time as the CMDS Committee determines to recommence contributions under the plan. |
(b) | 67,453,320 shares available under the Equity Incentive Compensation Plan. Awards may consist of stock options, stock appreciation rights, restricted stock, restricted stock units to be settled by the delivery of shares of common stock (or the value thereof), performance-based units, other awards that are valued by reference to or otherwise
based on the fair market value of common stock, and other equity-based or equity-related awards approved by the CMDS Committee. |
(c) | 14,869,924 shares available under the Employee Equity Accumulation Plan, which includes 733,757 shares available for awards of restricted stock and restricted stock units. Awards may consist of stock options, stock appreciation rights, restricted stock, restricted stock units to be settled by the delivery of shares of common stock (or the value thereof), other awards that are valued by reference to or otherwise based on the fair market value of common stock, and other equity-based or equity-related awards approved by the CMDS Committee. |
(d) | 355,243
shares available under the Tax Deferred Equity Participation Plan. Awards consist of restricted stock units, which are settled by the delivery of shares of common stock. |
(e) | 991,805 shares available under the Directors’ Equity Capital Accumulation Plan. This plan provides for periodic awards of shares of common stock and stock units to non-employee directors and also allows non-employee directors to defer the cash fees they earn for services as a director in the form of stock units. |
• | The financial statements required to be filed in this annual report on Form 10-K are included in the section titled “Financial Statements and Supplementary Data.” |
Exhibit No. | Description |
3.1* | |
3.2 | Amended and Restated Bylaws of Morgan Stanley, as amended to date (Exhibit 3.1 to Morgan Stanley’s current report on Form 8-K dated October 29, 2015). |
4.1* | |
4.2 | Amended and Restated Senior Indenture dated as of May 1, 1999 between Morgan Stanley and The Bank of New York, as trustee (Exhibit 4-e to Morgan Stanley’s Registration Statement on Form S-3/A (No. 333-75289) as amended by Fourth Supplemental Senior Indenture
dated as of October 8, 2007 (Exhibit 4.3 to Morgan Stanley’s annual report on Form 10-K for the fiscal year ended November 30, 2007). |
165 | December 2019 Form 10-K |
Exhibit No. | Description |
4.3 | Senior Indenture dated as of November 1,
2004 between Morgan Stanley and The Bank of New York, as trustee (Exhibit 4-f to Morgan Stanley’s Registration Statement on Form S-3/A (No. 333-117752), as amended by First Supplemental Senior Indenture dated as of September 4, 2007 (Exhibit 4.5 to Morgan Stanley’s annual report on Form 10-K for the fiscal year ended November 30, 2007),
Second Supplemental Senior Indenture dated as of January 4, 2008 (Exhibit 4.1 to Morgan Stanley’s current report on Form 8-K dated January 4, 2008), Third Supplemental Senior Indenture dated as of September 10, 2008 (Exhibit 4 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended
August 31, 2008), Fourth Supplemental Senior Indenture dated as of December 1, 2008 (Exhibit 4.1 to Morgan Stanley’s current report on Form 8-K dated December 1, 2008), Fifth Supplemental Senior Indenture dated as of April 1, 2009 (Exhibit 4 to
Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended March 31, 2009), Sixth Supplemental Senior Indenture dated as of September 16, 2011 (Exhibit 4.1 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended September 30, 2011), Seventh Supplemental Senior Indenture dated as of November 21, 2011 (Exhibit
4.4 to Morgan Stanley’s annual report on Form 10-K for the year ended December 31, 2011), Eighth Supplemental Senior Indenture dated as of May 4, 2012 (Exhibit 4.1 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended June 30, 2012), Ninth Supplemental Senior Indenture dated as of March 10, 2014 (Exhibit
4.1 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended March 31, 2014) and Tenth Supplemental Senior Indenture dated as of January 11, 2017 (Exhibit 4.1 to Morgan Stanley’s current report on Form 8-K dated January 11, 2017). |
4.4 | |
4.5 | |
4.6 |
Exhibit No. | Description |
4.7 | |
4.8 | |
4.9 | |
4.10 | |
4.11 | |
4.12 | |
4.13 | |
4.14 | |
4.15 | |
4.16 | |
4.17 |
December 2019 Form 10-K | 166 |
Exhibit No. | Description |
4.18 | |
4.19 | |
4.20 | |
4.21 | |
4.22 | |
4.23 | |
10.1 | |
10.2 | Amended and Restated Investor Agreement dated as of June 30, 2011 by and between Morgan Stanley and Mitsubishi UFJ Financial Group, Inc. (Exhibit 10.1 to Morgan Stanley’s current report on Form 8-K dated June 30, 2011), as amended by Third Amendment, dated October 3, 2013
(Exhibit 10.1 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended September 30, 2013) and Fourth Amendment, dated April 6, 2016 (Exhibit 10.1 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended March 31, 2016). |
Exhibit No. | Description |
10.3† | Morgan
Stanley 401(k) Plan, amended and restated as of January 1, 2013 (Exhibit 10.6 to Morgan Stanley annual report on Form 10-K for the year ended December 31, 2012), as amended by Amendment (Exhibit 10.5 to Morgan Stanley’s annual report on Form 10-K for the year ended December 31, 2013), Amendment (Exhibit 10.6 to
Morgan Stanley’s annual report on Form 10-K for the year ended December 31, 2013), Amendment (Exhibit 10.5 to Morgan Stanley’s annual report on Form 10-K for the year ended December 31, 2014), Amendment (Exhibit 10.5 to Morgan Stanley’s annual report on Form 10-K for the year ended December 31, 2015), Amendment (Exhibit
10.4 to Morgan Stanley’s annual report on Form 10-K for the year ended December 31, 2016), Amendment (Exhibit 10.4 to Morgan Stanley’s annual report on Form 10-K for the year ended December 31, 2017), Amendment (Exhibit 10.5 to Morgan Stanley’s annual report on Form 10-K for the year ended December 31, 2017) and Amendment (Exhibit
10.4 to Morgan Stanley’s annual report on Form 10-K for the year ended December 31, 2018). |
10.4†* | |
10.5† | Tax Deferred Equity Participation Plan as amended and restated as of November 26, 2007 (Exhibit 10.9 to Morgan Stanley’s
annual report on Form 10-K for the fiscal year ended November 30, 2007). |
10.6† | Directors’ Equity Capital Accumulation Plan as amended and restated as of November 1, 2018 (Exhibit 10.6 to Morgan Stanley’s annual report on Form 10-K for the fiscal year ended December 31, 2018). |
10.7† | Employees’ Equity Accumulation Plan as amended and restated as of November 26,
2007 (Exhibit 10.12 to Morgan Stanley’s annual report on Form 10-K for the fiscal year ended November 30, 2007). |
10.8† | Employee Stock Purchase Plan as amended and restated as of February 1, 2009 (Exhibit 10.20 to Morgan Stanley’s annual report on Form 10-K for the fiscal year ended November 30, 2008). |
10.9† | Morgan
Stanley Supplemental Executive Retirement and Excess Plan, amended and restated effective December 31, 2008 (Exhibit 10.2 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended March 31, 2009) as amended by Amendment (Exhibit 10.5 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended June 30, 2009), Amendment (Exhibit
10.19 to Morgan Stanley’s annual report on Form 10-K for the year ended December 31, 2010), Amendment (Exhibit 10.3 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended June 30, 2011) and Amendment (Exhibit 10.1 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended September 30, 2014). |
167 | December 2019 Form 10-K |
Exhibit No. | Description |
10.10† | 1995
Equity Incentive Compensation Plan (Annex A to MSG’s proxy statement for its 1996 Annual Meeting of Stockholders) as amended by Amendment (Exhibit 10.39 to Morgan Stanley’s annual report on Form 10-K for the fiscal year ended November 30, 2000), Amendment (Exhibit 10.5 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended August 31, 2005), Amendment (Exhibit
10.3 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended February 28, 2006), Amendment (Exhibit 10.24 to Morgan Stanley’s annual report on Form 10-K for the fiscal year ended November 30, 2006) and Amendment (Exhibit 10.22 to Morgan Stanley’s annual report on Form 10-K for the fiscal year ended November 30, 2007). |
10.11† | Form
of Deferred Compensation Agreement under the Pre-Tax Incentive Program 2 (Exhibit 10.12 to MSG’s annual report for the fiscal year ended November 30, 1996). |
10.12† | Key Employee Private Equity Recognition Plan (Exhibit 10.43 to Morgan Stanley’s annual report on Form 10-K for the fiscal year ended November 30, 2000). |
10.13† | Morgan
Stanley UK Share Ownership Plan (Exhibit 4.1 to Morgan Stanley’s Registration Statement on Form S-8 (No. 333-146954)). |
10.14† | Supplementary Deed of Participation for the Morgan Stanley UK Share Ownership Plan, dated as of November 5, 2009 (Exhibit 10.36 to Morgan Stanley’s annual report on Form 10-K for the year ended December 31,
2009). |
10.15† | Aircraft Time Sharing Agreement, dated as of January 1, 2010, by and between Corporate Services Support Corp. and James P. Gorman (Exhibit 10.1 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended March 31, 2010). |
10.16† | Agreement between Morgan Stanley and James
P. Gorman, dated August 16, 2005, and amendment dated December 17, 2008 (Exhibit 10.2 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended March 31, 2010), as amended by Amendment (Exhibit 10.25 to Morgan Stanley’s annual report on Form 10-K for the year ended December 31, 2013). |
10.17† | Form
of Restrictive Covenant Agreement (Exhibit 10 to Morgan Stanley’s current report on Form 8-K dated November 22, 2005). |
10.18† | Equity Incentive Compensation Plan, as amended and restated as of March 30, 2017 (Exhibit 10.1 to Morgan Stanley’s current report on Form 8-K dated May 22, 2017). |
10.19† | Morgan
Stanley 2006 Notional Leveraged Co-Investment Plan, as amended and restated as of November 28, 2008 (Exhibit 10.47 to Morgan Stanley’s annual report on Form 10-K for the fiscal year ended November 30, 2008). |
Exhibit No. | Description |
10.20† | Form
of Award Certificate under the 2006 Notional Leveraged Co-Investment Plan (Exhibit 10.7 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended February 29, 2008). |
10.21† | Morgan Stanley 2007 Notional Leveraged Co-Investment Plan, amended as of June 4, 2009 (Exhibit 10.6 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended June 30,
2009). |
10.22† | Form of Award Certificate under the 2007 Notional Leveraged Co-Investment Plan for Certain Management Committee Members (Exhibit 10.8 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended February 29, 2008). |
10.23† | Morgan Stanley Compensation Incentive Plan (Exhibit 10.54 to
Morgan Stanley’s annual report on Form 10-K for the fiscal year ended November 30, 2008). |
10.24† | Morgan Stanley Schedule of Non-Employee Directors Annual Compensation, effective as of November 1, 2018 (Exhibit 10.24 to Morgan Stanley’s annual report on Form 10-K for the fiscal year ended December 31, 2018). |
10.25† | Morgan Stanley UK Limited Alternative Retirement Plan, dated
as of October 8, 2009 (Exhibit 10.2 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended March 31, 2013). |
10.26† | Agreement between Morgan Stanley and Colm Kelleher, dated January 5, 2015 (Exhibit 10.1 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended March 31,
2015). |
10.27† | Description of Operating Committee Medical Coverage (Exhibit 10.2 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended March 31, 2015). |
10.28† | Form of Award Certificate for Discretionary Retention Awards of Stock Units. (Exhibit 10.33 to Morgan Stanley’s
annual report on Form 10-K for the year ended December 31, 2017). |
10.29† | Form of Award Certificate for Discretionary Retention Awards under the Morgan Stanley Compensation Incentive Plan. (Exhibit 10.34 to Morgan Stanley’s annual report on Form 10-K for the year ended December 31, 2017). |
10.30† | Form of Award Certificate for Long-Term Incentive Program Awards (Exhibit
10.30 to Morgan Stanley’s annual report on Form 10-K for the fiscal year ended December 31, 2018). |
10.31† | Memorandum to Colm Kelleher Regarding Relocation to New York, dated February 25, 2016 (Exhibit 10.2 to Morgan Stanley’s quarterly report on Form 10-Q for the quarter ended March 31, 2016). |
21* | |
23.1* | |
24 | |
31.1* |
December
2019 Form 10-K | 168 |
Exhibit No. | Description |
31.2* | |
32.1** | |
32.2** | |
101 | Interactive Data Files pursuant to Rule 405 of Regulation S-T formatted in Inline eXtensible Business Reporting Language (“Inline XBRL”). |
104 | Cover
Page Interactive Data File (formatted in Inline XBRL and contained in Exhibit 101). |
1. | For purposes of this Exhibit Index, references to “The Bank of New York” mean in some instances the entity successor to JPMorgan Chase Bank, N.A. or J.P. Morgan Trust Company, National Association; references to “JPMorgan Chase Bank, N.A.” mean the entity formerly known as The Chase Manhattan Bank, in some instances as the successor to Chemical Bank; references to “J.P. Morgan Trust Company, N.A.” mean the entity formerly known as Bank One Trust Company, N.A., as successor to The First National Bank of Chicago. |
* | |
** | Furnished herewith. |
† | Management contract or compensatory plan or arrangement required to be filed as an exhibit to this Form 10-K pursuant to Item 15(b). |
169 | December 2019 Form 10-K |
MORGAN STANLEY (REGISTRANT) | |
By: | /s/ JAMES
P. GORMAN |
Chairman of the Board and Chief Executive Officer |
Signature | Title |
/s/ JAMES
P. GORMAN | Chairman of the Board and Chief Executive Officer |
(Principal Executive Officer) | |
/s/ JONATHAN PRUZAN | Executive Vice President and Chief Financial Officer |
(Principal Financial Officer) | |
/s/ PAUL C. WIRTH | Deputy Chief Financial Officer |
(Principal Accounting Officer) | |
/s/ ELIZABETH
CORLEY | Director |
/s/ ALISTAIR DARLING | Director |
Signature | Title |
/s/ THOMAS
H. GLOCER | Director |
/s/ ROBERT H. HERZ | Director |
/s/ NOBUYUKI
HIRANO | Director |
/s/ STEPHEN J. LUCZO | Director |
/s/ JAMI
MISCIK | Director |
/s/ DENNIS M. NALLY | Director |
Director | |
/s/ HUTHAM S. OLAYAN | Director |
/s/ MARY
L. SCHAPIRO | Director |
Director | |
Director | |
December 2019 Form 10-K | S-1 |
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 2/22/24 Morgan Stanley 10-K 12/31/23 224:45M 2/24/23 Morgan Stanley 10-K 12/31/22 227:50M 2/24/22 Morgan Stanley 10-K 12/31/21 225:51M 2/26/21 Morgan Stanley 10-K 12/31/20 225:50M 1/29/21 Mirror Merger Sub 2, LLC 8-K:7,9 1/29/21 11:4.2M Broadridge Fin’l So… Inc 1/29/21 Morgan Stanley 424B3 1:3.5M Broadridge Fin’l So… Inc 1/19/21 Morgan Stanley S-4/A 9:4.2M Broadridge Fin’l So… Inc 12/04/20 Morgan Stanley S-4 7:3.7M Broadridge Fin’l So… Inc |