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As Of Filer Filing For·On·As Docs:Size 11/03/20 Morgan Stanley 10-Q 9/30/20 144:41M |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 5.43M 2: EX-3.1 Articles of Incorporation/Organization or Bylaws HTML 1.10M 3: EX-10.1 Material Contract HTML 71K 4: EX-15 Letter re: Unaudited Interim Financial Info HTML 49K 5: EX-31.1 Certification -- §302 - SOA'02 HTML 46K 6: EX-31.2 Certification -- §302 - SOA'02 HTML 46K 7: EX-32.1 Certification -- §906 - SOA'02 HTML 42K 8: EX-32.2 Certification -- §906 - SOA'02 HTML 42K 15: R1 Cover Page HTML 117K 16: R2 Consolidated Income Statements (Unaudited) HTML 125K 17: R3 Consolidated Comprehensive Income Statements HTML 71K (Unaudited) 18: R4 Consolidated Balance Sheets HTML 125K 19: R5 Consolidated Balance Sheets (Parenthetical) HTML 71K 20: R6 Consolidated Statements of Changes in Total Equity HTML 94K (Unaudited) 21: R7 Consolidated Cash Flow Statements (Unaudited) HTML 129K 22: R8 Introduction and Basis of Presentation HTML 50K 23: R9 Significant Accounting Policies HTML 73K 24: R10 Acquisitions HTML 45K 25: R11 Cash and Cash Equivalents HTML 50K 26: R12 Fair Values HTML 912K 27: R13 Fair Value Option HTML 112K 28: R14 Derivative Instruments and Hedging Activities HTML 469K 29: R15 Investment Securities HTML 308K 30: R16 Collateralized Transactions HTML 174K 31: R17 Loans, Lending Commitments and Related Allowance HTML 338K for Credit Losses 32: R18 Other Assets - Equity Method Investments HTML 59K 33: R19 Deposits HTML 58K 34: R20 Borrowings and Other Secured Financings HTML 63K 35: R21 Commitments, Guarantees and Contingencies HTML 139K 36: R22 Variable Interest Entities and Securitization HTML 285K Activities 37: R23 Regulatory Requirements HTML 172K 38: R24 Total Equity HTML 363K 39: R25 Interest Income and Interest Expense HTML 84K 40: R26 Income Taxes HTML 53K 41: R27 Segment, Geographic and Revenue Information HTML 307K 42: R28 Significant Accounting Policies (Policies) HTML 84K 43: R29 Cash and Cash Equivalents (Tables) HTML 48K 44: R30 Fair Values (Tables) HTML 1.25M 45: R31 Fair Value Option (Tables) HTML 105K 46: R32 Derivative Instruments and Hedging Activities HTML 479K (Tables) 47: R33 Investment Securities (Tables) HTML 309K 48: R34 Collateralized Transactions (Tables) HTML 180K 49: R35 Loans, Lending Commitments and Related Allowance HTML 337K for Credit Losses (Tables) 50: R36 Other Assets - Equity Method Investments (Tables) HTML 58K 51: R37 Deposits (Tables) HTML 58K 52: R38 Borrowings and Other Secured Financings (Tables) HTML 63K 53: R39 Commitments, Guarantees and Contingencies (Tables) HTML 120K 54: R40 Variable Interest Entities and Securitization HTML 291K Activities (Tables) 55: R41 Regulatory Requirements (Tables) HTML 168K 56: R42 Total Equity (Tables) HTML 432K 57: R43 Interest Income and Interest Expense (Tables) HTML 85K 58: R44 Income Taxes (Tables) HTML 51K 59: R45 Segment, Geographic and Revenue Information HTML 316K (Tables) 60: R46 Significant Accounting Policies - Narrative HTML 62K (Details) 61: R47 Acquisitions - Narrative (Details) HTML 73K 62: R48 Cash and Cash Equivalents - Summary (Details) HTML 51K 63: R49 Fair Values - Assets and Liabilities Measured at HTML 222K Fair Value on a Recurring Basis (Details) 64: R50 Fair Values - Detail of Loans and Lending HTML 61K Commitments at Fair Value and Unsettled Fair Value of Futures Contracts (Details) 65: R51 Fair Values - Activity of Level 3 Assets and HTML 190K Liabilities Measured at Fair Value on a Recurring Basis (Details) 66: R52 Fair Values - Valuation Techniques and Sensitivity HTML 346K of Unobservable Inputs Used in Level 3 Fair Value Measurements (Details) 67: R53 Fair Values - Fund Interests Measured Based on Net HTML 63K Asset Value (Details) 68: R54 Fair Values - Assets and Liabilities Measured at HTML 82K Fair Value on a Nonrecurring Basis (Details) 69: R55 Fair Values - Financial Instruments Not Measured HTML 110K at Fair Value (Details) 70: R56 Fair Value Option - Borrowings Measured at Fair HTML 55K Value on a Recurring Basis (Details) 71: R57 Fair Value Option - Net Revenues from Borrowings HTML 48K under the Fair Value Option (Details) 72: R58 Fair Value Option - Gains (Losses) Due to Changes HTML 61K in Instrument-Specific Credit Risk (Details) 73: R59 Fair Value Option - Difference Between Contractual HTML 46K Principal and Fair Value (Details) 74: R60 Fair Value Option - Fair Value Loans on Nonaccrual HTML 44K Status (Details) 75: R61 Derivative Instruments and Hedging Activities - HTML 178K Fair Values of Derivative Contracts (Details) 76: R62 Derivative Instruments and Hedging Activities - HTML 109K Notionals of Derivative Contracts (Details) 77: R63 Derivative Instruments and Hedging Activities - HTML 83K Gains (Losses) on Accounting Hedges and Fair Value Hedges (Details) 78: R64 Derivative Instruments and Hedging Activities - HTML 54K Credit Risk-Related Contingencies (Details) 79: R65 Derivative Instruments and Hedging Activities - HTML 102K Maximum Potential Payout/Notional of Credit Protection Sold (Details) 80: R66 Derivative Instruments and Hedging Activities - HTML 58K Fair Value Asset/(Liability) of Credit Protection Sold (Details) 81: R67 Derivative Instruments and Hedging Activities - HTML 54K Protection Purchased with CDS (Details) 82: R68 Investment Securities - AFS and HTM Securities HTML 109K (Details) 83: R69 Investment Securities - Narrative (Details) HTML 49K 84: R70 Investment Securities - Investment Securities in HTML 89K an Unrealized Loss Position (Details) 85: R71 Investment Securities - Investment Securities by HTML 185K Contractual Maturity (Details) 86: R72 Investment Securities - Gross Realized Gains HTML 46K (Losses) on Sales of AFS Securities (Details) 87: R73 Collateralized Transactions - Offsetting of HTML 108K Certain Collateralized Transactions (Details) 88: R74 Collateralized Transactions - Gross Secured HTML 85K Financing Balances (Details) 89: R75 Collateralized Transactions - Assets Loaned or HTML 47K Pledged (Details) 90: R76 Collateralized Transactions - Collateral Received HTML 44K (Details) 91: R77 Collateralized Transactions - Securities HTML 41K Segregated for Regulatory Purposes (Details) 92: R78 Collateralized Transactions - Customer Margin HTML 41K Lending (Details) 93: R79 Loans, Lending Commitments and Related Allowance HTML 94K for Credit Losses - Loans by Type (Details) 94: R80 Loans, Lending Commitments and Related Allowance HTML 136K for Credit Losses - Loans Held for Investment before Allowance by Origination Year (Details) 95: R81 Loans, Lending Commitments and Related Allowance HTML 76K for Credit Losses - Past Due Status of Loans Held for Investment before Allowance (Details) 96: R82 Loans, Lending Commitments and Related Allowance HTML 53K for Credit Losses - Nonaccrual Loans Held for Investment before Allowance (Details) 97: R83 Loans, Lending Commitments and Related Allowance HTML 45K for Credit Losses - Troubled Debt Restructurings (Details) 98: R84 Loans, Lending Commitments and Related Allowance HTML 108K for Credit Losses - Allowance for Credit Losses Rollforward - Loans and Lending Commitments (Details) 99: R85 Loans, Lending Commitments and Related Allowance HTML 60K for Credit Losses - Employee Loans (Details) 100: R86 Other Assets - Equity Method Investments - HTML 48K Balances (Details) 101: R87 Other Assets - Equity Method Investments - Joint HTML 45K Ventures (Details) 102: R88 Deposits - Summary (Details) HTML 49K 103: R89 Deposits - Time Deposit Maturities (Details) HTML 54K 104: R90 Borrowings and Other Secured Financings - HTML 55K Borrowings (Details) 105: R91 Borrowings and Other Secured Financings - Other HTML 47K Secured Financings (Details) 106: R92 Commitments, Guarantees and Contingencies - HTML 82K Commitments (Details) 107: R93 Commitments, Guarantees and Contingencies - HTML 116K Obligations under Guarantee Arrangements (Details) 108: R94 Commitments, Guarantees and Contingencies - HTML 68K Narrative (Details) 109: R95 Variable Interest Entities and Securitization HTML 54K Activities - Assets and Liabilities by Type of Activity (Details) 110: R96 Variable Interest Entities and Securitization HTML 68K Activities - Assets and Liabilities by Balance Sheet Caption (Details) 111: R97 Variable Interest Entities and Securitization HTML 105K Activities - 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U.S. Broker-Dealer HTML 49K Regulatory Capital Requirements (Details) 121: R107 Total Equity - Preferred Stock Outstanding HTML 74K (Details) 122: R108 Total Equity - Common Shares Outstanding for Basic HTML 50K and Diluted EPS (Details) 123: R109 Total Equity - Common Stock Repurchases (Details) HTML 43K 124: R110 Total Equity - Narrative (Details) HTML 42K 125: R111 Total Equity - Dividends (Details) HTML 76K 126: R112 Total Equity - Cumulative Adjustments to Beginning HTML 56K Retained Earnings Related to the Adoption of Accounting Updates (Details) 127: R113 Total Equity - Accumulated Other Comprehensive HTML 63K Income (Loss) (Details) 128: R114 Total Equity - Components of Period Changes in OCI HTML 116K (Details) 129: R115 Interest Income and Interest Expense - Summary HTML 68K (Details) 130: R116 Interest Income and Interest Expense - Accrued HTML 44K Interest (Details) 131: R117 Income Taxes - Summary (Details) HTML 44K 132: R118 Segment, Geographic and Revenue Information - HTML 119K Selected Financial Information by Business Segment (Details) 133: R119 Segment, Geographic and Revenue Information - HTML 55K Institutional Securities - Investment Banking Revenues (Details) 134: R120 Segment, Geographic and Revenue Information - HTML 55K Trading Revenues by Product Type (Details) 135: R121 Segment, Geographic and Revenue Information - HTML 41K Investment Management Investments Revenues - Net Unrealized Carried Interest (Details) 136: R122 Segment, Geographic and Revenue Information - HTML 41K Investment Management Asset Management Revenues - Reduction of Fees due to Fee Waivers (Details) 137: R123 Segment, Geographic and Revenue Information - Net HTML 49K Revenues by Region (Details) 138: R124 Segment, Geographic and Revenue Information - HTML 42K Revenue Recognized from Prior Services (Details) 139: R125 Segment, Geographic and Revenue Information - HTML 42K Receivables from Contracts with Customers (Details) 140: R126 Segment, Geographic and Revenue Information - HTML 49K Assets by Business Segment (Details) 142: XML IDEA XML File -- Filing Summary XML 280K 14: XML XBRL Instance -- msq3202010q_htm XML 14.62M 141: EXCEL IDEA Workbook of Financial Reports XLSX 248K 10: EX-101.CAL XBRL Calculations -- ms-20200930_cal XML 425K 11: EX-101.DEF XBRL Definitions -- ms-20200930_def XML 1.72M 12: EX-101.LAB XBRL Labels -- ms-20200930_lab XML 3.44M 13: EX-101.PRE XBRL Presentations -- ms-20200930_pre XML 2.26M 9: EX-101.SCH XBRL Schema -- ms-20200930 XSD 393K 143: JSON XBRL Instance as JSON Data -- MetaLinks 684± 1.10M 144: ZIP XBRL Zipped Folder -- 0000895421-20-000527-xbrl Zip 1.36M
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 | ||
Depository Shares, each representing 1/1000th 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 Morgan Stanley Cushing® MLP High Income Index ETNs due March 21, 2031 | i MLPY | i NYSE
Arca, Inc. |
i Large
accelerated filer | ☒ | Accelerated filer | ☐ | Non-accelerated filer | ☐ | Smaller reporting company | i ☐ | Emerging growth company | i ☐ |
Part | Item | Page | |||
II | 1A | ||||
I | |||||
I | 2 | ||||
I | 3 | ||||
I | 1 | ||||
II | |||||
II | 1 | ||||
II | 2 | ||||
I | 4 | ||||
II | 6 | ||||
S-1 |
• | 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 | September 2020 Form 10-Q |
September
2020 Form 10-Q | 2 |
Management’s Discussion and Analysis |
• | Firm Net revenues were up 16% and Net income applicable to Morgan Stanley was up 25%, reflecting strength across all business segments, and resulting in an annualized ROTCE of 15.0% (see “Non-GAAP Financial Measures” herein). |
• | Institutional
Securities Net revenues of $6,062 million increased as a result of higher sales and trading and strength in equity underwriting. |
• | Wealth Management delivered pre-tax income of $1.1 billion with a pre-tax profit margin of 24%, reflecting strong fee-based flows and increased loan and deposit balances. |
• | Investment Management reported long-term net flows of $10.4 billion and AUM of $715
billion driving revenue growth of 38%. |
• | Our provision for credit losses on loans and lending commitments was $111 million. |
• |
• | On October 2, 2020, we completed the acquisition of E*TRADE Financial Corporation (“E*TRADE”). For further information, see “Business Segments—Wealth Management.” |
• | On October 8, 2020, we entered into a definitive agreement under which we will acquire Eaton Vance Corp. (“Eaton Vance”), subject to customary closing conditions. For further information, see “Business
Segments—Investment Management.” |
3 | September 2020 Form 10-Q |
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. |
• | Compensation and benefits expenses of $5,086 million in the current quarter increased 15% from the prior year quarter, primarily as a result of increases in discretionary incentive compensation and the formulaic payout to Wealth Management representatives, driven by higher revenues, and higher expenses related to certain deferred compensation plans linked to investment performance. |
• | Non-compensation
expenses of $3,084 million in the current quarter increased 7% from the prior year quarter, primarily as a result of higher volume-related expenses and increased information processing and communication expenses, partially offset by a decrease in marketing and business development expenses. |
• | Compensation and benefits expenses of $15,404 million in the current year period increased 13%
from the prior year period, primarily as a result of increases in discretionary incentive compensation and the formulaic payout to Wealth Management representatives, driven by higher revenues, partially offset by lower compensation associated with carried interest and certain deferred compensation plans linked to investment performance. |
• | Non-compensation expenses of $9,166 million in the current year period increased 9% from the prior year period, primarily as a result of higher volume-related expenses, an increase in the provision for credit
losses for lending commitments and off-balance sheet instruments, and increased information processing and communication expenses. These increases were partially offset by a decrease in marketing and business development expenses. |
September
2020 Form 10-Q | 4 |
Management’s Discussion and Analysis |
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 sum to 100% due to intersegment eliminations. See Note 20 to the financial statements for details of intersegment eliminations. |
• | Institutional Securities net revenues of $6,062 million in the current quarter increased 21% from the prior year quarter primarily
due to higher sales and trading and equity underwriting revenues. |
• | Wealth Management net revenues of $4,657 million in the current quarter increased 7% principally due to gains from investments associated with certain employee deferred compensation plans. Excluding these investment gains, revenues increased modestly, reflecting higher Asset management revenues on positive net flows, partially offset by lower Net interest. |
• | Investment
Management net revenues of $1,056 million in the current quarter increased 38% from the prior year quarter, primarily due to higher Investments revenues, driven by accrued carried interest and investment gains in an Asia private equity fund, and higher Asset management revenues as a result of higher average AUM. |
5 | September 2020 Form 10-Q |
Management’s Discussion and Analysis |
• | Institutional Securities net revenues of $18,944 million in the current year period increased 24% from the
prior year period. The increase is primarily due to higher sales and trading and underwriting revenues, partially offset by losses on loans and lending commitments held for sale, an increase in the provision for credit losses on loans held for investment, and a decrease in advisory revenues. |
• | Wealth Management net revenues of $13,374 million in the current year period increased 2% from the prior year period, primarily due to higher Asset management revenues, largely as a result of market appreciation, and higher Commissions and fees, partially offset by lower Net
interest. |
• | Investment Management net revenues of $2,634 million in the current year period increased 9% from the prior year period primarily due to higher Asset management revenues as a result of higher average AUM. |
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 of net revenues is determined, see Note 20 to the financial statements in the 2019 Form 10-K. |
September
2020 Form 10-Q | 6 |
Management’s Discussion and Analysis |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Net
income applicable to Morgan Stanley | $ | 2,717 | $ | 2,173 | $ | 7,611 | $ | 6,803 | ||||
Preferred stock dividends | 120 | 113 | 377 | 376 | ||||||||
Earnings
applicable to Morgan Stanley common shareholders | $ | 2,597 | $ | 2,060 | $ | 7,234 | $ | 6,427 | ||||
Expense
efficiency ratio1 | 70.1 | % | 73.0 | % | 71.1 | % | 72.0 | % | ||||
ROE2 | 13.2 | % | 11.2 | % | 12.6 | % | 11.8 | % | ||||
Adjusted
ROE3 | 12.6 | % | 10.7 | % | 12.5 | % | 11.5 | % | ||||
ROTCE2,3 | 15.0 | % | 12.9 | % | 14.3 | % | 13.5 | % | ||||
Adjusted
ROTCE3 | 14.3 | % | 12.3 | % | 14.2 | % | 13.1 | % | ||||
Pre-tax profit margin4 | 29.9 | % | 27.0 | % | 28.9 | % | 28.0 | % | ||||
Pre-tax
profit margin by segment4 | ||||||||||||
Institutional Securities | 34 | % | 26 | % | 32 | % | 28 | % | ||||
Wealth
Management | 24 | % | 28 | % | 25 | % | 28 | % | ||||
Investment Management | 30 | % | 22 | % | 26 | % | 22 | % |
in
millions, except per share and employee data | ||||||
Liquidity resources5 | $ | 267,292 | $ | 215,868 | ||
Loans6 | $ | 146,237 | $ | 130,637 | ||
Total
assets | $ | 955,940 | $ | 895,429 | ||
Deposits | $ | 239,253 | $ | 190,356 | ||
Borrowings | $ | 203,444 | $ | 192,627 | ||
Common
shares outstanding | 1,576 | 1,594 | ||||
Common shareholders' equity | $ | 79,874 | $ | 73,029 | ||
Tangible common shareholders’ equity3 | $ | 70,646 | $ | 63,780 | ||
Book
value per common share7 | $ | 50.67 | $ | 45.82 | ||
Tangible book value per common share3,7 | $ | 44.81 | $ | 40.01 | ||
Worldwide
employees | 63,051 | 60,431 | ||||
Capital ratios8 | ||||||
Common Equity Tier 1 capital—Advanced | 16.9 | % | 16.9 | % | ||
Common
Equity Tier 1 capital—Standardized | 17.4 | % | 16.4 | % | ||
Tier 1 capital—Advanced | 19.0 | % | 19.2 | % | ||
Tier 1 capital—Standardized | 19.5 | % | 18.6 | % | ||
Tier
1 leverage | 8.3 | % | 8.3 | % | ||
SLR9 | 7.4 | % | 6.4 | % |
1. | The expense efficiency
ratio represents total non-interest expenses as a percentage of net revenues. |
2. | ROE and ROTCE represent annualized 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 financial measure. See “Selected Non-GAAP Financial Information” herein. |
4. | Pre-tax
profit margin represents income before income taxes as a percentage of net revenues. |
5. | For a discussion of Liquidity resources, see “Liquidity and Capital Resources—Liquidity Risk Management Framework—Liquidity Resources” herein. |
6. | 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 10 to
the financial statements). |
7. | 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. |
8. | At September 30, 2020 and December 31, 2019, our risk-based capital ratios are based on the Advanced
Approach and the Standardized Approach rules, respectively. For a discussion of our capital ratios, see “Liquidity and Capital Resources—Regulatory Requirements” herein. |
9. | At September 30, 2020, our SLR reflects the impact of a Federal Reserve interim final rule in effect until March 31, 2021. For further information, see “Liquidity and Capital Resources—Regulatory Requirements—Regulatory Developments” herein. |
7 | September
2020 Form 10-Q |
Management’s Discussion and Analysis |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions, except per share data | 2020 | 2019 | 2020 | 2019 | ||||||||
Earnings applicable to Morgan Stanley common shareholders | $ | 2,597 | $ | 2,060 | $ | 7,234 | $ | 6,427 | ||||
Impact
of adjustments | (113 | ) | (89 | ) | (10 | ) | (190 | ) | ||||
Adjusted earnings applicable to Morgan Stanley common shareholders—non-GAAP1 | $ | 2,484 | $ | 1,971 | $ | 7,224 | $ | 6,237 | ||||
Earnings
per diluted common share | $ | 1.66 | $ | 1.27 | $ | 4.62 | $ | 3.89 | ||||
Impact of adjustments | (0.07 | ) | (0.06 | ) | — | (0.12 | ) | |||||
Adjusted
earnings per diluted common share—non-GAAP1 | $ | 1.59 | $ | 1.21 | $ | 4.62 | $ | 3.77 | ||||
Effective
income tax rate | 21.1 | % | 18.2 | % | 22.2 | % | 19.1 | % | ||||
Impact of adjustments | 3.2 | % | 3.2 | % | 0.1 | % | 2.2 | % | ||||
Adjusted
effective income tax rate—non-GAAP1 | 24.3 | % | 21.4 | % | 22.3 | % | 21.3 | % |
Average
Monthly Balance | ||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Tangible equity | ||||||||||||
Morgan
Stanley shareholders' equity | $ | 87,210 | $ | 81,912 | $ | 85,378 | $ | 81,028 | ||||
Less: Goodwill and net intangible assets | (9,260 | ) | (9,389 | ) | (9,248 | ) | (9,097 | ) | ||||
Tangible
Morgan Stanley shareholders' equity—Non-GAAP | $ | 77,950 | $ | 72,523 | $ | 76,130 | $ | 71,931 | ||||
Common shareholders' equity | $ | 78,690 | $ | 73,392 | $ | 76,858 | $ | 72,508 | ||||
Less:
Goodwill and net intangible assets | (9,260 | ) | (9,389 | ) | (9,248 | ) | (9,097 | ) | ||||
Tangible common shareholders' equity—Non-GAAP | $ | 69,430 | $ | 64,003 | $ | 67,610 | $ | 63,411 |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in billions | 2020 | 2019 | 2020 | 2019 | ||||||||
Average common equity | ||||||||||||
Unadjusted—GAAP | $ | 78.7 | $ | 73.4 | $ | 76.9 | $ | 72.5 | ||||
Adjusted1—Non-GAAP | 78.7 | 73.4 | 76.9 | 72.4 | ||||||||
ROE2 | ||||||||||||
Unadjusted—GAAP | 13.2 | % | 11.2 | % | 12.6 | % | 11.8 | % | ||||
Adjusted—Non-GAAP1,
3 | 12.6 | % | 10.7 | % | 12.5 | % | 11.5 | % | ||||
Average tangible common equity—Non-GAAP | ||||||||||||
Unadjusted | $ | 69.4 | $ | 64.0 | $ | 67.6 | $ | 63.4 | ||||
Adjusted1 | 69.4 | 64.0 | 67.6 | 63.3 | ||||||||
ROTCE2—Non-GAAP | ||||||||||||
Unadjusted | 15.0 | % | 12.9 | % | 14.3 | % | 13.5 | % | ||||
Adjusted1,
3 | 14.3 | % | 12.3 | % | 14.2 | % | 13.1 | % |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in billions | 2020 | 2019 | 2020 | 2019 | ||||||||
Average common equity4, 5 | ||||||||||||
Institutional
Securities | $ | 42.8 | $ | 40.4 | $ | 42.8 | $ | 40.4 | ||||
Wealth Management | 18.2 | 18.2 | 18.2 | 18.2 | ||||||||
Investment
Management | 2.6 | 2.5 | 2.6 | 2.5 | ||||||||
Average tangible common equity4, 5 | ||||||||||||
Institutional
Securities | $ | 42.3 | $ | 39.9 | $ | 42.3 | $ | 39.9 | ||||
Wealth Management | 10.4 | 10.2 | 10.4 | 10.2 | ||||||||
Investment
Management | 1.7 | 1.5 | 1.7 | 1.5 | ||||||||
ROE6 | ||||||||||||
Institutional
Securities | 14.5 | % | 9.8 | % | 13.4 | % | 10.8 | % | ||||
Wealth Management | 17.9 | % | 20.6 | % | 18.2 | % | 20.2 | % | ||||
Investment
Management | 34.0 | % | 22.1 | % | 23.0 | % | 21.5 | % | ||||
ROTCE6 | ||||||||||||
Institutional
Securities | 14.7 | % | 9.9 | % | 13.5 | % | 10.9 | % | ||||
Wealth Management | 31.4 | % | 36.9 | % | 31.7 | % | 36.2 | % | ||||
Investment
Management | 52.6 | % | 35.6 | % | 35.6 | % | 34.7 | % |
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 net discrete tax provisions (benefits), see “Supplemental Financial Information—Income Tax Matters” herein. |
2. | ROE and ROTCE represent annualized 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 annualized 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. |
September
2020 Form 10-Q | 8 |
Management’s Discussion and Analysis |
9 | September 2020 Form 10-Q |
Management’s Discussion and Analysis |
Three
Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Revenues | ||||||||
Investment banking | $ | 1,707 | $ | 1,535 | 11 | % | ||
Trading | 2,807 | 2,533 | 11 | % | ||||
Investments | 87 | (18 | ) | N/M | ||||
Commissions
and fees | 639 | 643 | (1 | )% | ||||
Asset management | 114 | 100 | 14 | % | ||||
Other | 114 | 51 | 124 | % | ||||
Total
non-interest revenues | 5,468 | 4,844 | 13 | % | ||||
Interest income | 1,086 | 3,112 | (65 | )% | ||||
Interest
expense | 492 | 2,933 | (83 | )% | ||||
Net interest | 594 | 179 | N/M | |||||
Net
revenues | 6,062 | 5,023 | 21 | % | ||||
Compensation and benefits | 2,001 | 1,768 | 13 | % | ||||
Non-compensation
expenses | 2,013 | 1,948 | 3 | % | ||||
Total non-interest expenses | 4,014 | 3,716 | 8 | % | ||||
Income
before provision for income taxes | 2,048 | 1,307 | 57 | % | ||||
Provision for income taxes | 385 | 189 | 104 | % | ||||
Net
income | 1,663 | 1,118 | 49 | % | ||||
Net income applicable to noncontrolling interests | 16 | 45 | (64 | )% | ||||
Net
income applicable to Morgan Stanley | $ | 1,647 | $ | 1,073 | 53 | % |
Nine
Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Revenues | ||||||||
Investment banking | $ | 4,902 | $ | 4,158 | 18 | % | ||
Trading | 10,375 | 8,221 | 26 | % | ||||
Investments | 98 | 257 | (62 | )% | ||||
Commissions
and fees | 2,230 | 1,889 | 18 | % | ||||
Asset management | 342 | 310 | 10 | % | ||||
Other | (628 | ) | 416 | N/M | ||||
Total
non-interest revenues | 17,319 | 15,251 | 14 | % | ||||
Interest income | 4,809 | 9,457 | (49 | )% | ||||
Interest
expense | 3,184 | 9,376 | (66 | )% | ||||
Net interest | 1,625 | 81 | N/M | |||||
Net
revenues | 18,944 | 15,332 | 24 | % | ||||
Compensation and benefits | 6,767 | 5,376 | 26 | % | ||||
Non-compensation
expenses | 6,186 | 5,591 | 11 | % | ||||
Total non-interest expenses | 12,953 | 10,967 | 18 | % | ||||
Income
before provision for income taxes | 5,991 | 4,365 | 37 | % | ||||
Provision for income taxes | 1,326 | 703 | 89 | % | ||||
Net
income | 4,665 | 3,662 | 27 | % | ||||
Net income applicable to noncontrolling interests | 75 | 97 | (23 | )% | ||||
Net
income applicable to Morgan Stanley | $ | 4,590 | $ | 3,565 | 29 | % |
Three
Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Advisory | $ | 357 | $ | 550 | (35 | )% | ||
Underwriting: | ||||||||
Equity | 874 | 401 | 118 | % | ||||
Fixed
income | 476 | 584 | (18 | )% | ||||
Total Underwriting | 1,350 | 985 | 37 | % | ||||
Total
Investment banking | $ | 1,707 | $ | 1,535 | 11 | % |
Nine
Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Advisory | $ | 1,181 | $ | 1,462 | (19 | )% | ||
Underwriting: | ||||||||
Equity | 2,092 | 1,286 | 63 | % | ||||
Fixed
income | 1,629 | 1,410 | 16 | % | ||||
Total Underwriting | 3,721 | 2,696 | 38 | % | ||||
Total
Investment banking | $ | 4,902 | $ | 4,158 | 18 | % |
September 2020 Form 10-Q | 10 |
Management’s Discussion and Analysis |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in billions | 2020 | 2019 | 2020 | 2019 | ||||||||
Completed mergers and acquisitions1 | $ | 88 | $ | 215 | $ | 633 | $ | 582 | ||||
Equity
and equity-related offerings2, 3 | 25 | 17 | 74 | 47 | ||||||||
Fixed income offerings2, 4 | 91 | 90 | 304 | 211 |
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 in the current quarter primarily as a result of lower volumes of completed M&A activity. |
• | Equity
underwriting revenues increased, primarily in initial public offerings, follow-on offerings and secondary block share trades, on overall higher volumes in the current quarter. |
• | Fixed income underwriting revenues decreased in the current quarter primarily in non-investment grade and investment grade loan issuances, reflecting lower event-driven activity. |
• | Advisory revenues decreased in the current year period as there were fewer completed transactions. |
• | Equity underwriting revenues increased,
primarily in follow-on offerings, secondary block share trades, initial public offerings and convertible issuances, on overall higher volumes in the current year period. |
• | Fixed income underwriting revenues increased, primarily in investment grade and non-investment grade bond issuances, partially offset by investment grade loan issuances, on overall higher volumes. |
Three Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Trading | $ | 2,807 | $ | 2,533 | 11 | % | ||
Commissions
and fees | 639 | 643 | (1 | )% | ||||
Asset management | 114 | 100 | 14 | % | ||||
Net
interest | 594 | 179 | N/M | |||||
Total | $ | 4,154 | $ | 3,455 | 20 | % |
Nine
Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Trading | $ | 10,375 | $ | 8,221 | 26 | % | ||
Commissions
and fees | 2,230 | 1,889 | 18 | % | ||||
Asset management | 342 | 310 | 10 | % | ||||
Net
interest | 1,625 | 81 | N/M | |||||
Total | $ | 14,572 | $ | 10,501 | 39 | % |
Three Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Equity | $ | 2,262 | $ | 1,991 | 14 | % | ||
Fixed
Income | 1,924 | 1,430 | 35 | % | ||||
Other | (32 | ) | 34 | (194 | )% | |||
Total | $ | 4,154 | $ | 3,455 | 20 | % |
Nine
Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Equity | $ | 7,303 | $ | 6,136 | 19 | % | ||
Fixed
Income | 7,160 | 4,273 | 68 | % | ||||
Other | 109 | 92 | 18 | % | ||||
Total | $ | 14,572 | $ | 10,501 | 39 | % |
11 | September
2020 Form 10-Q |
Management’s Discussion and Analysis |
Three
Months Ended September 30, 2020 | ||||||||||||
Net | ||||||||||||
$ in millions | Trading | Fees1 | Interest2 | Total | ||||||||
Financing | $ | 929 | $ | 108 | $ | 116 | $ | 1,153 | ||||
Execution
services | 606 | 580 | (77 | ) | 1,109 | |||||||
Total Equity | $ | 1,535 | $ | 688 | $ | 39 | $ | 2,262 | ||||
Total
Fixed Income | $ | 1,420 | $ | 65 | $ | 439 | $ | 1,924 |
Three
Months Ended September 30, 2019 | ||||||||||||
Net | ||||||||||||
$ in millions | Trading | Fees1 | Interest2 | Total | ||||||||
Financing | $ | 1,049 | $ | 88 | $ | (90 | ) | $ | 1,047 | |||
Execution
services | 446 | 564 | (66 | ) | 944 | |||||||
Total Equity | $ | 1,495 | $ | 652 | $ | (156 | ) | $ | 1,991 | |||
Total
Fixed Income | $ | 1,329 | $ | 90 | $ | 11 | $ | 1,430 |
Nine
Months Ended September 30, 2020 | ||||||||||||
Net | ||||||||||||
$ in millions | Trading | Fees1 | Interest2 | Total | ||||||||
Financing | $ | 2,847 | $ | 325 | $ | 172 | $ | 3,344 | ||||
Execution
services | 2,134 | 2,014 | (189 | ) | 3,959 | |||||||
Total Equity | $ | 4,981 | $ | 2,339 | $ | (17 | ) | $ | 7,303 | |||
Total
Fixed Income | $ | 5,661 | $ | 234 | $ | 1,265 | $ | 7,160 |
Nine
Months Ended September 30, 2019 | ||||||||||||
Net | ||||||||||||
$ in millions | Trading | Fees1 | Interest2 | Total | ||||||||
Financing | $ | 3,249 | $ | 280 | $ | (500 | ) | $ | 3,029 | |||
Execution
services | 1,597 | 1,671 | (161 | ) | 3,107 | |||||||
Total Equity | $ | 4,846 | $ | 1,951 | $ | (661 | ) | $ | 6,136 | |||
Total
Fixed Income | $ | 4,200 | $ | 249 | $ | (176 | ) | $ | 4,273 |
1. | Includes
Commissions and fees and Asset management revenues. |
2. | Includes funding costs, which are allocated to the businesses based on funding usage. |
• | Financing
revenues increased from the prior year quarter, primarily driven by client activity. The effect of lower interest rates was an increase in Net interest driven by lower funding costs, partially offset by reduced Trading revenues. |
• | Execution services revenues increased from the prior year quarter primarily due to higher Trading revenues reflecting |
• | Global macro products revenues increased primarily due to improved inventory management in rates and foreign exchange products, partially offset by lower levels of client activity across all products. |
• | Credit products revenues increased primarily driven by improved inventory management and higher client activity, which benefited from an active primary market in the current
quarter. Net interest revenues increased reflecting lower funding costs. |
• | Commodities products and Other revenues increased primarily due to favorable inventory management in Commodities, mainly in precious metals products. |
• | Other sales and trading losses of $32 million in the current quarter primarily reflect losses on economic hedges related to certain Borrowings and corporate lending activity, partially offset by gains
from investments associated with certain employee deferred compensation plans. |
• | Financing revenues increased from the prior year period, primarily driven by client activity. The effect of lower interest rates was
an increase in Net interest driven by lower funding costs, partially offset by reduced Trading revenues. |
• | Execution services revenues increased from the prior year period, reflecting higher client activity and favorable inventory management results in cash equities and derivatives, partially offset by the impact of counterparty exposure losses. |
September 2020 Form 10-Q | 12 |
Management’s Discussion and Analysis |
• | Global
macro products revenues increased primarily due to higher client activity in both rates and foreign exchange products and improved inventory management results. |
• | Credit products revenues increased primarily due to higher client activity in corporate credit and securitized products from higher volumes and wider bid-offer spreads, partially offset by the effect of widening credit spreads on inventory. Net interest revenues increased reflecting lower funding costs and higher average balances in secured lending facilities. |
• | Commodities
products and Other revenues increased primarily reflecting favorable inventory management and higher client activity in commodities, partially offset by lower client structuring activity within derivatives counterparty credit risk management. |
• | Other sales and trading revenues of $109 million in the current year period increased from the prior year period reflecting gains on hedges associated with corporate lending activity, partially offset by lower yields on liquidity investments, lower gains from investments associated with certain employee deferred compensation plans and losses on economic hedges related to certain Borrowings. |
• | Net investments gains of $87 million in the current quarter include gains on certain business-related investments compared with losses in the prior year quarter. |
• | Net investments gains of $98 million in the current year period include gains on certain business-related investments. The prior year period included gains associated
with an investment’s initial public offering. |
• | Other revenues of $114 million in the current quarter increased compared to the prior year quarter primarily as a result of mark-to-market gains on loans and lending commitments held for sale as credit spreads tightened, partially offset by an increase in the provision for credit losses on loans held for investment. |
• | Other net losses of $628 million
in the current year period were primarily as a result of mark-to-market losses on loans |
• | Compensation
and benefits expenses increased in the current quarter primarily due to increases in discretionary incentive compensation, driven by higher revenues, and higher expenses related to certain deferred compensation plans linked to investment performance. |
• | Non-compensation expenses increased in the current quarter primarily due to higher volume-related expenses and information processing and communications expenses, partially offset by lower litigation costs. |
• | Compensation and benefits expenses increased in the current year period primarily due to increases in discretionary incentive compensation, driven by higher revenues, partially offset by lower expenses related to certain deferred compensation plans linked to investment performance. |
• | Non-compensation
expenses increased in the current year period primarily due to higher volume-related expenses, an increase in the provision for credit losses for lending commitments held for investment and off-balance sheet instruments, and higher information processing and communications expenses. Partially offsetting these increases were lower marketing and business development expenses. |
• | The current quarter and prior year quarter included intermittent net discrete tax benefits of $115 million and $67 million, respectively. |
• | The
current year period and prior year period included intermittent net discrete tax benefits of $17 million and $168 million, respectively. |
13 | September 2020 Form 10-Q |
Management’s Discussion and Analysis |
Three
Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Revenues | ||||||||
Investment banking | $ | 135 | $ | 118 | 14 | % | ||
Trading
| 268 | 61 | N/M | |||||
Investments | 1 | — | N/M | |||||
Commissions
and fees | 477 | 416 | 15 | % | ||||
Asset management | 2,793 | 2,639 | 6 | % | ||||
Other
| 94 | 81 | 16 | % | ||||
Total non-interest revenues | 3,768 | 3,315 | 14 | % | ||||
Interest
income | 1,065 | 1,378 | (23 | )% | ||||
Interest expense | 176 | 335 | (47 | )% | ||||
Net
interest | 889 | 1,043 | (15 | )% | ||||
Net revenues | 4,657 | 4,358 | 7 | % | ||||
Compensation
and benefits | 2,684 | 2,340 | 15 | % | ||||
Non-compensation expenses | 853 | 780 | 9 | % | ||||
Total
non-interest expenses | 3,537 | 3,120 | 13 | % | ||||
Income before provision for income taxes | $ | 1,120 | $ | 1,238 | (10 | )% | ||
Provision
for income taxes | 278 | 276 | 1 | % | ||||
Net income applicable to Morgan Stanley | $ | 842 | $ | 962 | (12 | )% |
Nine
Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Revenues | ||||||||
Investment banking | $ | 403 | $ | 365 | 10 | % | ||
Trading | 413 | 525 | (21 | )% | ||||
Investments | 9 | 1 | N/M | |||||
Commissions
and fees | 1,538 | 1,250 | 23 | % | ||||
Asset management | 7,980 | 7,544 | 6 | % | ||||
Other | 216 | 281 | (23 | )% | ||||
Total
non-interest revenues | 10,559 | 9,966 | 6 | % | ||||
Interest income | 3,468 | 4,139 | (16 | )% | ||||
Interest
expense | 653 | 950 | (31 | )% | ||||
Net interest | 2,815 | 3,189 | (12 | )% | ||||
Net
revenues | 13,374 | 13,155 | 2 | % | ||||
Compensation and benefits | 7,625 | 7,184 | 6 | % | ||||
Non-compensation
expenses | 2,432 | 2,302 | 6 | % | ||||
Total non-interest expenses | 10,057 | 9,486 | 6 | % | ||||
Income
before provision for income taxes | $ | 3,317 | $ | 3,669 | (10 | )% | ||
Provision for income taxes | 758 | 830 | (9 | )% | ||||
Net
income applicable to Morgan Stanley | $ | 2,559 | $ | 2,839 | (10 | )% |
$ in billions, except employee data | ||||||
Client assets | $ | 2,852 | $ | 2,700 | ||
Fee-based client assets1 | $ | 1,333 | $ | 1,267 | ||
Fee-based
client assets as a percentage of total client assets | 47 | % | 47 | % | ||
Client liabilities2 | $ | 100 | $ | 90 | ||
Investment securities | $ | 88.6 | $ | 67.2 | ||
Loans
and lending commitments | $ | 105.9 | $ | 93.2 | ||
Wealth Management representatives | 15,469 | 15,468 |
Three
Months Ended September 30, | ||||||
2020 | 2019 | |||||
Per representative: | ||||||
Annualized revenues ($ in thousands)3 | $ | 1,207 | $ | 1,118 | ||
Client
assets ($ in millions)4 | $ | 184 | $ | 165 | ||
Fee-based asset flows ($ in billions)5 | $ | 23.8 | $ | 15.5 |
Nine
Months Ended September 30, | ||||||
2020 | 2019 | |||||
Per representative: | ||||||
Annualized revenues ($ in thousands)3 | $ | 1,155 | $ | 1,121 | ||
Client
assets ($ in millions)4 | $ | 184 | $ | 165 | ||
Fee-based asset flows ($ in billions)5 | $ | 53.3 | $ | 40.1 |
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 other loans (including tailored lending), residential real estate loans and margin lending. |
3. | Revenues per representative equals Wealth Management’s annualized net revenues divided by the average number of representatives. |
4. | Client
assets per representative equals total period-end client assets divided by period-end number of representatives. |
5. | Excludes institutional cash management-related activity. For a description of the Inflows and Outflows included within Fee-based asset flows, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Business Segments—Wealth Management” in the 2019 Form 10-K. |
September
2020 Form 10-Q | 14 |
Management’s Discussion and Analysis |
Three Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Investment banking | $ | 135 | $ | 118 | 14 | % | ||
Trading | 268 | 61 | N/M | |||||
Commissions
and fees | 477 | 416 | 15 | % | ||||
Total | $ | 880 | $ | 595 | 48 | % | ||
Transactional
revenues as a % of Net revenues | 19 | % | 14 | % |
Nine Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Investment
banking | $ | 403 | $ | 365 | 10 | % | ||
Trading | 413 | 525 | (21 | )% | ||||
Commissions
and fees | 1,538 | 1,250 | 23 | % | ||||
Total | $ | 2,354 | $ | 2,140 | 10 | % | ||
Transactional
revenues as a % of Net revenues | 18 | % | 16 | % |
• | Trading
revenues increased in the current quarter primarily due to gains from investments associated with certain employee deferred compensation plans, partially offset by lower fixed income revenues. |
• | Commissions and fees increased in the current quarter primarily due to increased client activity in equities. |
• | Trading revenues decreased in the current year period primarily due to lower fixed income revenues. |
• | Commissions and fees increased in the current year period primarily due to increased client activity in equities. |
• | Compensation and benefits expenses increased in the current quarter, primarily due to higher expenses related to certain deferred compensation plans linked
to investment performance and an increase in the formulaic payout to Wealth Management representatives, driven by higher compensable revenues. |
• | Non-compensation expenses increased in the current quarter, reflecting a regulatory charge, as well as expenses associated with the E*TRADE acquisition, partially offset by lower marketing and business development expenses. |
• | Compensation and benefits expenses increased in the current year period primarily due to an increase in the formulaic payout to Wealth Management representatives, driven by higher compensable revenues, as well as higher salaries. |
• | Non-compensation expenses increased in the current year period, reflecting a regulatory charge, as well as expenses associated with the E*TRADE acquisition and incremental expenses
related to Solium Capital, Inc., partially offset by lower marketing and business development expenses. |
15 | September 2020 Form 10-Q |
Management’s
Discussion and Analysis |
$ in billions | Inflows | Outflows | Market Impact | ||||||||||||
Separately managed1 | $ | 313 | $ | 19 | $ | (4 | ) | $ | 14 | $ | 342 | ||||
Unified
managed | 305 | 16 | (12 | ) | 18 | 327 | |||||||||
Advisor | 149 | 8 | (8 | ) | 9 | 158 | |||||||||
Portfolio
manager | 431 | 21 | (16 | ) | 23 | 459 | |||||||||
Subtotal | $ | 1,198 | $ | 64 | $ | (40 | ) | $ | 64 | $ | 1,286 | ||||
Cash
management | 38 | 12 | (3 | ) | — | 47 | |||||||||
Total fee-based client assets | $ | 1,236 | $ | 76 | $ | (43 | ) | $ | 64 | $ | 1,333 |
$
in billions | Inflows | Outflows | Market Impact | ||||||||||||
Separately managed1 | $ | 296 | $ | 15 | $ | (5 | ) | $ | 6 | $ | 312 | ||||
Unified
managed | 292 | 12 | (10 | ) | 1 | 295 | |||||||||
Advisor | 149 | 7 | (8 | ) | — | 148 | |||||||||
Portfolio
manager | 400 | 19 | (14 | ) | 2 | 407 | |||||||||
Subtotal | $ | 1,137 | $ | 53 | $ | (37 | ) | $ | 9 | $ | 1,162 | ||||
Cash
management | 22 | 4 | (3 | ) | 1 | 24 | |||||||||
Total fee-based client assets | $ | 1,159 | $ | 57 | $ | (40 | ) | $ | 10 | $ | 1,186 |
$
in billions | Inflows | Outflows | Market Impact | ||||||||||||
Separately managed1 | $ | 322 | $ | 37 | $ | (14 | ) | $ | (3 | ) | $ | 342 | |||
Unified
managed | 313 | 43 | (33 | ) | 4 | 327 | |||||||||
Advisor | 155 | 22 | (21 | ) | 2 | 158 | |||||||||
Portfolio
manager | 435 | 62 | (43 | ) | 5 | 459 | |||||||||
Subtotal | $ | 1,225 | $ | 164 | $ | (111 | ) | $ | 8 | $ | 1,286 | ||||
Cash
management | 42 | 21 | (16 | ) | — | 47 | |||||||||
Total fee-based client assets | $ | 1,267 | $ | 185 | $ | (127 | ) | $ | 8 | $ | 1,333 |
$
in billions | Inflows | Outflows | Market Impact | ||||||||||||
Separately managed1 | $ | 279 | $ | 38 | $ | (15 | ) | $ | 10 | $ | 312 | ||||
Unified
managed | 257 | 35 | (30 | ) | 33 | 295 | |||||||||
Advisor | 137 | 20 | (24 | ) | 15 | 148 | |||||||||
Portfolio
manager | 353 | 54 | (38 | ) | 38 | 407 | |||||||||
Subtotal | $ | 1,026 | $ | 147 | $ | (107 | ) | $ | 96 | $ | 1,162 | ||||
Cash
management | 20 | 12 | (12 | ) | 4 | 24 | |||||||||
Total fee-based client assets | $ | 1,046 | $ | 159 | $ | (119 | ) | $ | 100 | $ | 1,186 |
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. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||
Fee
rate in bps | 2020 | 2019 | 2020 | 2019 | ||||
Separately managed | 15 | 15 | 14 | 15 | ||||
Unified
managed | 99 | 99 | 99 | 100 | ||||
Advisor | 85 | 86 | 85 | 87 | ||||
Portfolio
manager | 94 | 96 | 94 | 95 | ||||
Subtotal | 73 | 74 | 72 | 74 | ||||
Cash
management | 5 | 6 | 5 | 6 | ||||
Total fee-based client assets | 71 | 73 | 70 | 73 |
E*TRADE Revenues | Morgan Stanley Revenues |
Net interest income | Net interest |
Fees and service charges | Commissions and fees1 Asset
management |
Commissions | Commissions and fees |
1. | The primary element of this mapping is revenues from order flow payments. |
September
2020 Form 10-Q | 16 |
Management’s Discussion and Analysis |
Three Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Revenues | ||||||||
Trading | $ | 2 | $ | 2 | — | % | ||
Investments
| 258 | 105 | 146 | % | ||||
Commissions and fees | 1 | 1 | — | % | ||||
Asset
management | 795 | 664 | 20 | % | ||||
Other | 1 | — | N/M | |||||
Total
non-interest revenues | 1,057 | 772 | 37 | % | ||||
Interest income | 7 | 4 | 75 | % | ||||
Interest
expense | 8 | 12 | (33 | )% | ||||
Net interest | (1 | ) | (8 | ) | 88 | % | ||
Net
revenues | 1,056 | 764 | 38 | % | ||||
Compensation and benefits | 401 | 319 | 26 | % | ||||
Non-compensation
expenses | 340 | 280 | 21 | % | ||||
Total non-interest expenses | 741 | 599 | 24 | % | ||||
Income
before provision for income taxes | 315 | 165 | 91 | % | ||||
Provision for income taxes | 72 | 27 | 167 | % | ||||
Net
income | 243 | 138 | 76 | % | ||||
Net income applicable to noncontrolling interests | 18 | — | N/M | |||||
Net
income applicable to Morgan Stanley | $ | 225 | $ | 138 | 63 | % |
Nine
Months Ended September 30, | ||||||||
$ in millions | 2020 | 2019 | % Change | |||||
Revenues | ||||||||
Investment banking | $ | — | $ | (1 | ) | 100 | % | |
Trading | (13 | ) | (2 | ) | N/M | |||
Investments | 552 | 543 | 2 | % | ||||
Commissions
and fees | 1 | 1 | — | % | ||||
Asset management | 2,144 | 1,893 | 13 | % | ||||
Other | (39 | ) | (6 | ) | N/M | |||
Total
non-interest revenues | 2,645 | 2,428 | 9 | % | ||||
Interest income | 22 | 14 | 57 | % | ||||
Interest
expense | 33 | 35 | (6 | )% | ||||
Net interest | (11 | ) | (21 | ) | 48 | % | ||
Net
revenues | 2,634 | 2,407 | 9 | % | ||||
Compensation and benefits | 1,012 | 1,049 | (4 | )% | ||||
Non-compensation
expenses | 948 | 820 | 16 | % | ||||
Total non-interest expenses | 1,960 | 1,869 | 5 | % | ||||
Income
before provision for income taxes | 674 | 538 | 25 | % | ||||
Provision for income taxes | 136 | 104 | 31 | % | ||||
Net
income | 538 | 434 | 24 | % | ||||
Net income applicable to noncontrolling interests | 81 | 32 | 153 | % | ||||
Net
income applicable to Morgan Stanley | $ | 457 | $ | 402 | 14 | % |
17 | September 2020 Form 10-Q |
Management’s Discussion and Analysis |
• | Compensation and benefits expenses increased in the current quarter primarily as a result of higher expenses related to certain deferred compensation plans linked to investment performance, increases in discretionary incentive compensation driven by higher Asset management revenues, and higher compensation associated with carried interest. |
• | Non-compensation
expenses in the current quarter increased from the prior year quarter primarily as a result of higher fee sharing paid to intermediaries on higher average AUM. |
• | Compensation and benefits expenses decreased in the current year period primarily as a result of lower compensation associated with carried interest partially
offset by higher expenses related to certain deferred compensation plans linked to investment performance, and increases in discretionary incentive compensation driven by higher Asset management revenues. |
• | Non-compensation expenses in the current year period increased from the prior year period primarily as a result of higher fee sharing paid to intermediaries on higher average AUM. |
$
in billions | Inflows | Outflows | Market Impact | Other | ||||||||||||||
Equity | $ | 168 | $ | 24 | $ | (14 | ) | $ | 23 | $ | 1 | $ | 202 | |||||
Fixed
income | 84 | 8 | (5 | ) | 1 | 4 | 92 | |||||||||||
Alternative/Other | 145 | 6 | (7 | ) | 4 | 2 | 150 | |||||||||||
Long-term
AUM subtotal | 397 | 38 | (26 | ) | 28 | 7 | 444 | |||||||||||
Liquidity | 268 | 319 | (317 | ) | — | 1 | 271 | |||||||||||
Total
AUM | $ | 665 | $ | 357 | $ | (343 | ) | $ | 28 | $ | 8 | $ | 715 |
$
in billions | Inflows | Outflows | Market Impact | Other | ||||||||||||||
Equity | $ | 128 | $ | 10 | $ | (8 | ) | $ | (4 | ) | $ | — | $ | 126 | ||||
Fixed
income | 71 | 6 | (4 | ) | 2 | (1 | ) | 74 | ||||||||||
Alternative/Other | 135 | 5 | (4 | ) | 2 | (3 | ) | 135 | ||||||||||
Long-term
AUM subtotal | 334 | 21 | (16 | ) | — | (4 | ) | 335 | ||||||||||
Liquidity | 163 | 311 | (301 | ) | (1 | ) | — | 172 | ||||||||||
Total
AUM | $ | 497 | $ | 332 | $ | (317 | ) | $ | (1 | ) | $ | (4 | ) | $ | 507 |
$
in billions | Inflows | Outflows | Market Impact | Other | ||||||||||||||
Equity | $ | 138 | $ | 56 | $ | (35 | ) | $ | 42 | $ | 1 | $ | 202 | |||||
Fixed
income | 79 | 29 | (20 | ) | 1 | 3 | 92 | |||||||||||
Alternative/Other | 139 | 21 | (15 | ) | (1 | ) | 6 | 150 | ||||||||||
Long-term
AUM subtotal | 356 | 106 | (70 | ) | 42 | 10 | 444 | |||||||||||
Liquidity | 196 | 1,174 | (1,100 | ) | 1 | — | 271 | |||||||||||
Total
AUM | $ | 552 | $ | 1,280 | $ | (1,170 | ) | $ | 43 | $ | 10 | $ | 715 |
$
in billions | Inflows | Outflows | Market Impact | Other | ||||||||||||||
Equity | $ | 103 | $ | 28 | $ | (23 | ) | $ | 18 | $ | — | $ | 126 | |||||
Fixed
income | 68 | 17 | (15 | ) | 5 | (1 | ) | 74 | ||||||||||
Alternative/Other | 128 | 17 | (14 | ) | 8 | (4 | ) | 135 | ||||||||||
Long-term
AUM subtotal | 299 | 62 | (52 | ) | 31 | (5 | ) | 335 | ||||||||||
Liquidity | 164 | 965 | (956 | ) | 1 | (2 | ) | 172 | ||||||||||
Total
AUM | $ | 463 | $ | 1,027 | $ | (1,008 | ) | $ | 32 | $ | (7 | ) | $ | 507 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in billions | 2020 | 2019 | 2020 | 2019 | ||||||||
Equity
| $ | 190 | $ | 127 | $ | 159 | $ | 120 | ||||
Fixed income | 90 | 73 | 84 | 70 | ||||||||
Alternative/Other | 148 | 135 | 143 | 133 | ||||||||
Long-term
AUM subtotal | 428 | 335 | 386 | 323 | ||||||||
Liquidity | 267 | 169 | 244 | 166 | ||||||||
Total
AUM | $ | 695 | 504 | $ | 630 | $ | 489 |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||
Fee rate in bps | 2020 | 2019 | 2020 | 2019 | ||
Equity | 76 | 76 | 75 | 76 | ||
Fixed
income | 29 | 32 | 29 | 32 | ||
Alternative/Other | 58 | 62 | 59 | 65 | ||
Long-term
AUM | 60 | 61 | 59 | 62 | ||
Liquidity | 15 | 17 | 16 | 17 | ||
Total
AUM | 43 | 46 | 42 | 47 |
September
2020 Form 10-Q | 18 |
Management’s Discussion and Analysis |
19 | September 2020 Form 10-Q |
Management’s Discussion and Analysis |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
U.S. GAAP | 21.1 | % | 18.2 | % | 22.2 | % | 19.1 | % | ||||
Adjusted
effective income tax rate—non-GAAP1 | 24.3 | % | 21.4 | % | 22.3 | % | 21.3 | % | ||||
Net discrete tax provisions (benefits) | ||||||||||||
Recurring2 | $ | — | $ | — | $ | (94 | ) | $ | (127 | ) | ||
Intermittent3 | (113 | ) | (89 | ) | (10 | ) | (190 | ) |
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 | $ | 266.2 | $ | 219.6 | ||
Investment securities portfolio: | ||||||
Investment securities—AFS | 62.9 | 42.4 | ||||
Investment
securities—HTM | 28.2 | 26.1 | ||||
Total investment securities | $ | 91.1 | $ | 68.5 | ||
Deposits2 | $ | 238.0 | $ | 189.3 | ||
Wealth
Management Loans3 | ||||||
Residential real estate | $ | 33.6 | $ | 30.2 | ||
Securities-based lending and Other4 | 57.7 | 49.9 | ||||
Total | $ | 91.3 | $ | 80.1 | ||
Institutional
Securities Loans3 | ||||||
Corporate | $ | 7.8 | $ | 5.6 | ||
Secured lending facilities | 28.2 | 26.8 | ||||
Commercial
and Residential real estate | 8.6 | 12.0 | ||||
Securities-based lending and Other | 4.7 | 5.4 | ||||
Total | $ | 49.3 | $ | 49.8 |
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. | For a further discussion of loans in the Wealth Management and Institutional Securities business
segments, see “Quantitative and Qualitative Disclosures about Risk—Credit Risk” herein. |
4. | Other loans primarily include tailored lending. |
September
2020 Form 10-Q | 20 |
Management’s Discussion and Analysis |
$ in millions | IS | WM | IM | Total | ||||||||
Assets | ||||||||||||
Cash and cash equivalents | $ | 72,592 | $ | 22,018 | $ | 162 | $ | 94,772 | ||||
Trading
assets at fair value | 289,528 | 298 | 4,142 | 293,968 | ||||||||
Investment securities | 42,149 | 88,556 | — | 130,705 | ||||||||
Securities
purchased under agreements to resell | 73,637 | 14,646 | — | 88,283 | ||||||||
Securities borrowed | 100,175 | 628 | — | 100,803 | ||||||||
Customer
and other receivables | 57,593 | 14,067 | 877 | 72,537 | ||||||||
Loans1 | 54,918 | 91,302 | 17 | 146,237 | ||||||||
Other
assets2 | 13,731 | 12,910 | 1,994 | 28,635 | ||||||||
Total assets | $ | 704,323 | $ | 244,425 | $ | 7,192 | $ | 955,940 |
$ in millions | IS | WM | IM | Total | ||||||||
Assets | ||||||||||||
Cash and cash equivalents | $ | 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 | ||||||||
Loans1 | 50,557 | 80,075 | 5 | 130,637 | ||||||||
Other
assets2 | 14,300 | 13,092 | 1,975 | 29,367 | ||||||||
Total assets | $ | 691,201 | $ | 197,682 | $ | 6,546 | $ | 895,429 |
1. | 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 10 to the financial statements). |
2. | Other assets primarily
includes Goodwill and Intangible assets, premises, equipment and software, ROU assets related to leases, other investments, and deferred tax assets. |
21 | September
2020 Form 10-Q |
Management’s Discussion and Analysis |
$ in millions | ||||||
Cash deposits with central banks | $ | 41,639 | $ | 35,025 | ||
Unencumbered
HQLA Securities2: | ||||||
U.S. government obligations | 113,058 | 88,754 | ||||
U.S. agency and agency mortgage-backed securities | 63,961 | 50,732 | ||||
Non-U.S.
sovereign obligations3 | 37,470 | 29,909 | ||||
Other investment grade securities | 1,398 | 1,591 | ||||
Total HQLA2 | $ | 257,526 | $ | 206,011 | ||
Cash
deposits with banks (non-HQLA) | 9,766 | 9,857 | ||||
Total Liquidity Resources | $ | 267,292 | $ | 215,868 |
1. | In
the first quarter of 2020, we changed our internal measure of liquidity from the Global Liquidity Reserve to Liquidity Resources, which is more closely aligned with the regulatory definition of HQLA. Prior periods have been recast to conform to the current presentation. |
2. | HQLA is presented prior to applying weightings and includes all HQLA held in subsidiaries. |
3. | Primarily composed of unencumbered Japanese,
UK, French, German and Dutch government obligations. |
4. |
$ in millions | Average Daily Balance Three Months Ended September 30, 2020 | ||||||||
Bank legal entities | |||||||||
Domestic | $ | 115,821 | $ | 75,894 | $ | 113,991 | |||
Foreign | 5,384 | 4,049 | 5,624 | ||||||
Total
Bank legal entities | 121,205 | 79,943 | 119,615 | ||||||
Non-Bank legal entities | |||||||||
Domestic: | |||||||||
Parent
Company | 62,561 | 53,128 | 74,587 | ||||||
Non-Parent Company | 30,215 | 28,905 | 34,341 | ||||||
Total
Domestic | 92,776 | 82,033 | 108,928 | ||||||
Foreign | 53,311 | 53,892 | 55,933 | ||||||
Total
Non-Bank legal entities | 146,087 | 135,925 | 164,861 | ||||||
Total Liquidity Resources | $ | 267,292 | $ | 215,868 | $ | 284,476 |
1. | In
the first quarter of 2020, we changed our internal measure of liquidity from the Global Liquidity Reserve to Liquidity Resources, which is more closely aligned with the regulatory definition of HQLA. Prior periods have been recast to conform to the current presentation. |
September
2020 Form 10-Q | 22 |
Management’s Discussion and Analysis |
Average Daily Balance Three Months Ended | ||||||
$ in millions | ||||||
Eligible HQLA1 | ||||||
Cash
deposits with central banks | $ | 36,481 | $ | 52,369 | ||
Securities2 | 170,817 | 155,251 | ||||
Total Eligible HQLA1 | $ | 207,298 | $ | 207,620 | ||
LCR | 136 | % | 147 | % |
1. | Under
the LCR rule, Eligible HQLA is calculated using weightings and excluding certain HQLA held in subsidiaries. |
2. | 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 | $ | 189,086 | $ | 194,773 | ||
Securities sold under
agreements to repurchase and Securities loaned | $ | 49,300 | $ | 62,706 | ||
Securities received as collateral1 | $ | 8,799 | $ | 13,022 |
Average
Daily Balance Three Months Ended | ||||||
$ in millions | ||||||
Securities purchased under agreements to resell and Securities borrowed | $ | 182,181 | $ | 210,257 | ||
Securities
sold under agreements to repurchase and Securities loaned | $ | 58,474 | $ | 64,870 |
1. | Included within Trading assets in the balance sheets. |
23 | September
2020 Form 10-Q |
Management’s Discussion and Analysis |
$
in millions | ||||||
Savings and demand deposits: | ||||||
Brokerage sweep deposits1 | $ | 164,146 | $ | 121,077 | ||
Savings
and other | 38,431 | 28,388 | ||||
Total Savings and demand deposits | 202,577 | 149,465 | ||||
Time deposits | 36,676 | 40,891 | ||||
Total | $ | 239,253 | $ | 190,356 |
1. | Amounts
represent balances swept from client brokerage accounts. |
$ in millions | Parent
Company | Total | |||||||
Original maturities of one year or less | $ | — | $ | 4,553 | $ | 4,553 | |||
Original
maturities greater than one year | |||||||||
2020 | $ | 641 | $ | 828 | $ | 1,469 | |||
2021 | 19,964 | 6,186 | 26,150 | ||||||
2022 | 16,418 | 4,011 | 20,429 | ||||||
2023 | 15,316 | 4,657 | 19,973 | ||||||
2024 | 15,938 | 5,436 | 21,374 | ||||||
Thereafter
| 83,172 | 26,324 | 109,496 | ||||||
Total | $ | 151,449 | $ | 47,442 | $ | 198,891 | |||
Total
Borrowings | $ | 151,449 | $ | 51,995 | $ | 203,444 | |||
Maturities over next 12 months2 | $ | 20,247 |
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. |
2. | Includes only borrowings with original maturities greater than one year. |
Parent Company | |||
Short-Term Debt | Long-Term Debt | Rating Outlook | |
DBRS,
Inc. | R-1 (middle) | A (high) | Stable |
Fitch Ratings, Inc. | F1 | A | Negative |
Moody’s Investors Service, Inc. | P-1 | A2 | Rating Under Review |
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+ | Negative |
Moody’s Investors Service, Inc. | P-1 | Aa3 | Stable |
S&P Global Ratings | A-1 | A+ | Stable |
MSPBNA | |||
Short-Term Debt | Long-Term Debt | Rating Outlook | |
Moody’s
Investors Service, Inc. | P-1 | Aa3 | Stable |
S&P Global Ratings | A-1 | A+ | Stable |
September 2020 Form 10-Q | 24 |
Management’s Discussion and Analysis |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
in millions, except for per share data | 2020 | 2019 | 2020 | 2019 | ||||||||
Number of shares | — | 36 | 29 | 90 | ||||||||
Average
price per share | $ | — | $ | 41.92 | $ | 46.01 | $ | 42.77 | ||||
Total | $ | — | $ | 1,500 | $ | 1,347 | $ | 3,860 |
Announcement date | |||
Amount per share | $0.35 | ||
Date
to be paid | |||
Shareholders of record as of |
Announcement date | |
Date paid | |
Shareholders
of record as of |
25 | September
2020 Form 10-Q |
Management’s Discussion and Analysis |
At | Beginning | |||||||
Standardized and Advanced | Standardized | Advanced | ||||||
Capital buffers | ||||||||
Capital
conservation buffer | 2.5 | % | — | 2.5 | % | |||
Stress capital buffer (“SCB”)1 | N/A | 5.7 | % | N/A | ||||
G-SIB
capital surcharge2 | 3 | % | 3 | % | 3 | % | ||
CCyB3 | 0 | % | 0 | % | 0 | % | ||
Capital
buffer requirement4 | 5.5 | % | 8.7 | % | 5.5 | % | ||
At | Beginning | |||||||
Regulatory Minimum | Standardized and Advanced | Standardized | Advanced | |||||
Required ratios5 | ||||||||
Common Equity Tier 1 capital
ratio | 4.5 | % | 10.0 | % | 13.2 | % | 10.0 | % |
Tier 1 capital ratio | 6.0 | % | 11.5 | % | 14.7 | % | 11.5 | % |
Total
capital ratio | 8.0 | % | 13.5 | % | 16.7 | % | 13.5 | % |
1. | For additional information on the SCB, see “Capital Plans and Stress Tests” and “Regulatory Developments—Stress Capital Buffer Final Rule” herein. |
2. | For
a further discussion of the G-SIB capital surcharge, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Regulatory Requirements—G-SIB Capital Surcharge” in the 2019 Form 10-K. |
3. | The CCyB can be set up to 2.5%, but is currently set by the U.S. banking agencies at zero. |
4. | The capital buffer requirement represents the amount of Common Equity Tier 1 capital
we must maintain above the minimum risk-based capital requirements in order to avoid 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. Beginning October 1, 2020, our Standardized Approach capital buffer requirement is equal to the sum of our SCB, G-SIB capital surcharge and CCyB, and our Advanced Approach capital buffer requirement is equal to our 2.5% capital conservation buffer, G-SIB capital surcharge and CCyB. |
5. | Required ratios represent the regulatory minimum plus the capital buffer requirement. |
September 2020 Form 10-Q | 26 |
Management’s Discussion and Analysis |
$ in millions | Required Ratio1 | Standardized | Advanced | |||||
Risk-based capital | ||||||||
Common Equity Tier 1 capital | $ | 71,157 | $ | 71,157 | ||||
Tier
1 capital | 79,905 | 79,905 | ||||||
Total capital | 90,018 | 89,763 | ||||||
Total RWA | 408,850 | 420,081 | ||||||
Common
Equity Tier 1 capital ratio | 10.0 | % | 17.4 | % | 16.9 | % | ||
Tier 1 capital ratio | 11.5 | % | 19.5 | % | 19.0 | % | ||
Total
capital ratio | 13.5 | % | 22.0 | % | 21.4 | % | ||
$ in millions | Required Ratio1 | |||||||
Leverage-based capital | ||||||||
Adjusted average assets2 | $ | 962,435 | ||||||
Tier 1 leverage ratio | 4.0 | % | 8.3 | % | ||||
Supplementary
leverage exposure3,4 | $ | 1,084,348 | ||||||
SLR4 | 5.0 | % | 7.4 | % |
$ in millions | Required Ratio1 | 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 | % |
1. | Required
ratios are inclusive of any buffers applicable as of the date presented. 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. |
4. | Based
on a Federal Reserve interim final rule in effect until March 31, 2021, our SLR and Supplementary leverage exposure as of September 30, 2020 reflect the exclusion of U.S. Treasury securities and deposits at Federal Reserve Banks. As of September 30, 2020, the impact of the interim final rule on our SLR was an improvement of 87 bps. For further information, see “Liquidity and Capital Resources—Regulatory Requirements—Regulatory Developments” herein. |
27 | September
2020 Form 10-Q |
Management’s Discussion and Analysis |
$ in millions | Change | ||||||||
Common Equity Tier 1 capital | |||||||||
Common stock and surplus | $ | 4,350 | $ | 5,228 | $ | (878 | ) | ||
Retained
earnings | 76,353 | 70,589 | 5,764 | ||||||
AOCI | (537 | ) | (2,788 | ) | 2,251 | ||||
Regulatory
adjustments and deductions: | |||||||||
Net goodwill | (7,242 | ) | (7,081 | ) | (161 | ) | |||
Net intangible assets | (1,776 | ) | (2,012 | ) | 236 | ||||
Other
adjustments and deductions1 | 9 | 815 | (806 | ) | |||||
Total Common Equity Tier 1 capital | $ | 71,157 | $ | 64,751 | $ | 6,406 | |||
Additional
Tier 1 capital | |||||||||
Preferred stock | $ | 8,520 | $ | 8,520 | $ | — | |||
Noncontrolling
interests | 625 | 607 | 18 | ||||||
Additional Tier 1 capital | $ | 9,145 | $ | 9,127 | $ | 18 | |||
Deduction
for investments in covered funds | (397 | ) | (435 | ) | 38 | ||||
Total Tier 1 capital | $ | 79,905 | $ | 73,443 | $ | 6,462 | |||
Standardized
Tier 2 capital | |||||||||
Subordinated debt | $ | 8,681 | $ | 8,538 | $ | 143 | |||
Noncontrolling
interests | 147 | 143 | 4 | ||||||
Eligible ACL | 1,287 | 590 | 697 | ||||||
Other
adjustments and deductions | (2 | ) | (6 | ) | 4 | ||||
Total Standardized Tier 2 capital | $ | 10,113 | $ | 9,265 | $ | 848 | |||
Total
Standardized capital | $ | 90,018 | $ | 82,708 | $ | 7,310 | |||
Advanced Tier 2 capital | |||||||||
Subordinated
debt | $ | 8,681 | $ | 8,538 | $ | 143 | |||
Noncontrolling interests | 147 | 143 | 4 | ||||||
Eligible
credit reserves | 1,032 | 305 | 727 | ||||||
Other adjustments and deductions | (2 | ) | (6 | ) | 4 | ||||
Total
Advanced Tier 2 capital | $ | 9,858 | $ | 8,980 | $ | 878 | |||
Total Advanced capital | $ | 89,763 | $ | 82,423 | $ | 7,340 |
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. |
Nine Months Ended September 30, 2020 | ||||||
$
in millions | Standardized | Advanced | ||||
Credit risk RWA | ||||||
Balance at December 31, 2019 | $ | 342,684 | $ | 228,927 | ||
Change
related to the following items: | ||||||
Derivatives | 4,622 | 24,322 | ||||
Securities financing transactions | (9,314 | ) | 514 | |||
Securitizations | (1,595 | ) | (3,016 | ) | ||
Investment
securities | 2,468 | 3,904 | ||||
Commitments, guarantees and loans | 5,017 | 1,776 | ||||
Cash | 718 | 1,838 | ||||
Equity
investments | 3,027 | 3,207 | ||||
Other credit risk1 | (601 | ) | (762 | ) | ||
Total change in credit risk RWA | $ | 4,342 | $ | 31,783 | ||
Balance
at September 30, 2020 | $ | 347,026 | $ | 260,710 | ||
Market risk RWA | ||||||
Balance at December 31, 2019 | $ | 51,493 | $ | 51,597 | ||
Change
related to the following items: | ||||||
Regulatory VaR | 9,673 | 9,673 | ||||
Regulatory stressed VaR | 1,987 | 1,987 | ||||
Incremental
risk charge | 180 | 180 | ||||
Comprehensive risk measure | 210 | 106 | ||||
Specific risk: | ||||||
Non-securitization | (99 | ) | (99 | ) | ||
Securitization | (1,620 | ) | (1,620 | ) | ||
Total
change in market risk RWA | $ | 10,331 | $ | 10,227 | ||
Balance at September 30, 2020 | $ | 61,824 | $ | 61,824 | ||
Operational
risk RWA | ||||||
Balance at December 31, 2019 | N/A | $ | 101,972 | |||
Change in operational risk RWA | N/A | (4,425 | ) | |||
Balance
at September 30, 2020 | N/A | $ | 97,547 | |||
Total RWA | $ | 408,850 | $ | 420,081 |
1. | Amounts reflect assets not in a defined category, non-material portfolios of exposures and unsettled transactions, as applicable. |
September 2020 Form 10-Q | 28 |
Management’s Discussion and Analysis |
Actual Amount/Ratio | ||||||||||
$ in millions | Regulatory
Minimum | Required Ratio1 | ||||||||
External TLAC2 | $ | 202,472 | $ | 196,888 | ||||||
External
TLAC as a % of RWA | 18.0 | % | 21.5 | % | 48.2 | % | 49.9 | % | ||
External TLAC as a % of leverage exposure | 7.5 | % | 9.5 | % | 18.7 | % | 17.0 | % | ||
Eligible
LTD3 | $ | 114,952 | $ | 113,624 | ||||||
Eligible LTD as a % of RWA | 9.0 | % | 9.0 | % | 27.4 | % | 28.8 | % | ||
Eligible
LTD as a % of leverage exposure | 4.5 | % | 4.5 | % | 10.6 | % | 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%, our 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 our 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 each respective balance sheet date. |
29 | September 2020 Form 10-Q |
Management’s Discussion and Analysis |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in billions | 2020 | 2019 | 2020 | 2019 | ||||||||
Institutional Securities | $ | 42.8 | $ | 40.4 | $ | 42.8 | $ | 40.4 | ||||
Wealth
Management | 18.2 | 18.2 | 18.2 | 18.2 | ||||||||
Investment Management | 2.6 | 2.5 | 2.6 | 2.5 | ||||||||
Parent | 15.1 | 12.3 | 13.3 | 11.4 | ||||||||
Total | $ | 78.7 | $ | 73.4 | $ | 76.9 | $ | 72.5 |
1. | The
attribution of average common equity to the business segments is a non-GAAP financial measure. See “Selected Non-GAAP Financial Information” herein. |
September 2020 Form 10-Q | 30 |
Management’s Discussion and Analysis |
• | Supplementary Leverage Ratio Interim Final Rules. The Federal Reserve has adopted an interim final rule that excludes, on a temporary basis, U.S. Treasury securities and deposits at Federal Reserve Banks from our supplementary leverage exposure from April 1, 2020 to March 31, 2021. |
31 | September 2020 Form 10-Q |
Management’s Discussion and Analysis |
• | Revisions to Definition of Eligible Retained Income. The U.S. banking agencies have adopted as final an interim
final rule, which was effective March 20, 2020, amending the definition of eligible retained income in their respective capital rules. As amended, eligible retained income is defined by the U.S. banking agencies as the greater of (i) net income for the four preceding calendar quarters, net of any distributions and associated tax effects not already reflected in net income, and (ii) the average of net income over the preceding four quarters. This definition applies with respect to any payout restrictions applicable in the event of a breach of any regulatory capital buffers, including any applicable CCyB, G-SIB capital surcharge, capital conservation buffer, the enhanced SLR and, once effective, SCB, which replaces the capital conservation buffer under the Standardized Approach. |
• | Regulatory Capital and Stress Testing Developments Related to Implementation of CECL. The U.S. banking agencies have adopted a final rule, consistent with an interim final rule which was effective March 31, 2020, altering, for purposes of the regulatory capital and TLAC requirements, the required adoption time period for CECL. We have elected to apply a transition method provided by the rule, under which the
effects of CECL on our regulatory capital and TLAC requirements are deferred for two years, followed by a three-year phase-in of the aggregate capital effects of the two-year deferral. |
September
2020 Form 10-Q | 32 |
Management’s Discussion and Analysis |
33 | September
2020 Form 10-Q |
Three
Months Ended | ||||||||||||
$ in millions | Period End | Average | High2 | Low2 | ||||||||
Interest rate and credit spread | $ | 32 | $ | 38 | $ | 49 | $ | 29 | ||||
Equity
price | 27 | 30 | 39 | 19 | ||||||||
Foreign exchange rate | 11 | 9 | 12 | 7 | ||||||||
Commodity
price | 17 | 22 | 29 | 16 | ||||||||
Less: Diversification benefit1 | (38 | ) | (53 | ) | N/A | N/A | ||||||
Primary
Risk Categories | $ | 49 | $ | 46 | $ | 57 | $ | 37 | ||||
Credit Portfolio | 21 | 25 | 31 | 20 | ||||||||
Less:
Diversification benefit1 | (8 | ) | (13 | ) | N/A | N/A | ||||||
Total Management VaR | $ | 62 | $ | 58 | $ | 78 | $ | 45 |
Three
Months Ended | ||||||||||||
$ in millions | Period End | Average | High2 | Low2 | ||||||||
Interest rate and credit spread | $ | 42 | $ | 47 | $ | 59 | $ | 36 | ||||
Equity
price | 38 | 25 | 38 | 20 | ||||||||
Foreign exchange rate | 10 | 11 | 15 | 8 | ||||||||
Commodity
price | 25 | 16 | 25 | 11 | ||||||||
Less: Diversification benefit1 | (68 | ) | (49 | ) | N/A | N/A | ||||||
Primary
Risk Categories | $ | 47 | $ | 50 | $ | 62 | $ | 44 | ||||
Credit Portfolio | 26 | 25 | 30 | 23 | ||||||||
Less:
Diversification benefit1 | (1 | ) | (15 | ) | N/A | N/A | ||||||
Total Management VaR | $ | 72 | $ | 60 | $ | 78 | $ | 47 |
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. |
September 2020 Form 10-Q | 34 |
Risk Disclosures |
$
in millions | ||||||
Derivatives | $ | 7 | $ | 7 | ||
Funding liabilities2 | 46 | 45 |
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 | $ | 1,014 | $ | 599 | ||
-100 | (338 | ) | (351 | ) |
35 | September
2020 Form 10-Q |
Risk Disclosures |
Loss
from 10% Decline | ||||||
$ in millions | ||||||
Investments related to Investment Management activities | $ | 349 | $ | 329 | ||
Other
investments: | ||||||
MUMSS | 176 | 170 | ||||
Other Firm investments | 203 | 188 |
$ in millions | HFI | HFS | FVO | Total | ||||||||
Institutional Securities: | ||||||||||||
Corporate | $ | 7,628 | $ | 8,552 | $ | 14 | $ | 16,194 | ||||
Secured
lending facilities | 26,496 | 3,521 | 445 | 30,462 | ||||||||
Commercial and Residential real estate | 7,265 | 928 | 1,593 | 9,786 | ||||||||
Securities-based
lending and Other | 1,277 | 57 | 5,729 | 7,063 | ||||||||
Total Institutional Securities | 42,666 | 13,058 | 7,781 | 63,505 | ||||||||
Wealth
Management: | ||||||||||||
Residential real estate | 33,674 | 12 | — | 33,686 | ||||||||
Securities-based
lending and Other | 57,723 | — | — | 57,723 | ||||||||
Total Wealth Management | 91,397 | 12 | — | 91,409 | ||||||||
Total
Investment Management1 | 6 | 11 | 552 | 569 | ||||||||
Total loans | 134,069 | 13,081 | 8,333 | 155,483 | ||||||||
ACL | (913 | ) | (913 | ) | ||||||||
Total
loans, net of ACL | $ | 133,156 | $ | 13,081 | $ | 8,333 | $ | 154,570 | ||||
Lending commitments2 | $ | 120,098 | ||||||||||
Total
exposure | $ | 274,668 |
$ in millions | HFI | HFS | FVO | Total | ||||||||
Institutional Securities: | ||||||||||||
Corporate | $ | 5,426 | $ | 6,192 | $ | 20 | $ | 11,638 | ||||
Secured
lending facilities | 24,502 | 4,200 | 951 | 29,653 | ||||||||
Commercial and Residential real estate | 7,859 | 2,049 | 3,290 | 13,198 | ||||||||
Securities-based
lending and Other | 503 | 123 | 6,814 | 7,440 | ||||||||
Total Institutional Securities | 38,290 | 12,564 | 11,075 | 61,929 | ||||||||
Wealth
Management: | ||||||||||||
Residential real estate | 30,184 | 13 | — | 30,197 | ||||||||
Securities-based
lending and Other | 49,930 | — | — | 49,930 | ||||||||
Total Wealth Management | 80,114 | 13 | — | 80,127 | ||||||||
Total
Investment Management1 | 5 | — | 251 | 256 | ||||||||
Total loans | 118,409 | 12,577 | 11,326 | 142,312 | ||||||||
ACL | (349 | ) | (349 | ) | ||||||||
Total
loans, net of ACL | $ | 118,060 | $ | 12,577 | $ | 11,326 | $ | 141,963 | ||||
Lending commitments2 | $ | 120,068 | ||||||||||
Total
exposure | $ | 262,031 |
1. | Investment
Management business segment loans are related to certain of our activities as an investment advisor and manager. At September 30, 2020 and December 31, 2019, loans held at fair value are predominantly the result of the consolidation of CLO vehicles, managed by Investment Management, composed primarily of senior secured loans to corporations. |
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. |
September 2020 Form 10-Q | 36 |
Risk Disclosures |
$ in millions | |||
$ | 590 | ||
Effect
of CECL adoption | (41 | ) | |
Gross charge-offs | (59 | ) | |
Recoveries | 5 | ||
Net (charge-offs) recoveries | (54 | ) | |
Provision2 | 757 | ||
Other | 8 | ||
$ | 1,260 | ||
ACL—Loans | $ | 913 | |
ACL—Lending commitments | 347 |
1. | At
December 31, 2019, the ACL for Loans and Lending commitments was $349 million and $241 million, respectively. |
2. | In the current quarter, the provision for loan losses was $63 million and the provision for losses on lending commitments was $48 million. In the current year period, the provision for loan losses was $601 million and the provision for losses on lending commitments was $156 million. |
37 | September 2020 Form 10-Q |
Risk Disclosures |
IS | WM | IS | WM | |||||
Accrual | 99.1 | % | 99.8 | % | 99.0 | % | 99.9 | % |
Nonaccrual1 | 0.9 | % | 0.2 | % | 1.0 | % | 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 | $ | 274 | $ | — | $ | — | $ | — | $ | 274 | |||||
A | 874 | 1,062 | 39 | 229 | 2,204 | ||||||||||
BBB | 3,958 | 5,726 | 3,314 | 295 | 13,293 | ||||||||||
BB | 12,683 | 7,920 | 6,273 | 491 | 27,367 | ||||||||||
Other
NIG | 5,403 | 6,519 | 3,791 | 2,423 | 18,136 | ||||||||||
Unrated2 | 63 | 151 | 155 | 1,056 | 1,425 | ||||||||||
Total
loans, net of ACL | 23,255 | 21,378 | 13,572 | 4,494 | 62,699 | ||||||||||
Lending commitments | |||||||||||||||
AAA | — | 50 | — | — | 50 | ||||||||||
AA | 4,157 | 1,267 | 1,878 | — | 7,302 | ||||||||||
A | 6,310 | 8,290 | 7,901 | 564 | 23,065 | ||||||||||
BBB | 5,422 | 15,408 | 15,761 | 310 | 36,901 | ||||||||||
BB | 4,150 | 7,154 | 7,291 | 1,311 | 19,906 | ||||||||||
Other
NIG | 979 | 8,491 | 5,533 | 3,193 | 18,196 | ||||||||||
Unrated2 | 4 | 1 | 21 | 20 | 46 | ||||||||||
Total
lending commitments | 21,022 | 40,661 | 38,385 | 5,398 | 105,466 | ||||||||||
Total exposure | $ | 44,277 | $ | 62,039 | $ | 51,957 | $ | 9,892 | $ | 168,165 |
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 | ||||||||||
BB | 9,031 | 11,189 | 9,452 | 1,449 | 31,121 | ||||||||||
Other
NIG | 4,020 | 5,635 | 2,595 | 1,143 | 13,393 | ||||||||||
Unrated2 | 117 | 82 | 131 | 1,628 | 1,958 | ||||||||||
Total
loans, net of ACL | 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 | ||||||||||
BB | 2,464 | 5,610 | 8,333 | 1,526 | 17,933 | ||||||||||
Other
NIG | 2,193 | 4,741 | 7,062 | 2,471 | 16,467 | ||||||||||
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 |
1. | Counterparty credit ratings are internally determined by the Credit Risk Management Department (“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 “Market Risk” herein. |
$ in millions | ||||||
Industry | ||||||
Financials | $ | 41,916 | $ | 40,992 | ||
Real
estate | 24,827 | 28,348 | ||||
Industrials | 15,650 | 13,136 | ||||
Communications services | 12,529 | 12,165 | ||||
Consumer
discretionary | 11,253 | 9,589 | ||||
Healthcare | 10,788 | 14,113 | ||||
Energy | 10,088 | 9,461 | ||||
Utilities | 9,994 | 9,905 | ||||
Information
technology | 9,808 | 9,201 | ||||
Consumer staples | 8,476 | 9,724 | ||||
Materials | 5,626 | 5,577 | ||||
Insurance | 3,975 | 3,755 | ||||
Other | 3,235 | 2,552 | ||||
Total
exposure | $ | 168,165 | $ | 168,518 |
September
2020 Form 10-Q | 38 |
Risk Disclosures |
Contractual
Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Loans, net of ACL | $ | 1,891 | $ | 1,185 | $ | 710 | $ | 1,216 | $ | 5,002 | |||||
Lending
commitments | 2,346 | 5,088 | 2,257 | 3,697 | 13,388 | ||||||||||
Total exposure | $ | 4,237 | $ | 6,273 | $ | 2,967 | $ | 4,913 | $ | 18,390 |
Contractual Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Loans, net of ACL | $ | 1,194 | $ | 1,024 | $ | 839 | $ | 390 | $ | 3,447 | |||||
Lending
commitments | 7,921 | 5,012 | 2,285 | 3,090 | 18,308 | ||||||||||
Total exposure | $ | 9,115 | $ | 6,036 | $ | 3,124 | $ | 3,480 | $ | 21,755 |
$
in millions | Loans | Lending Commitments | Total | ||||||
Corporate | $ | 7,628 | $ | 65,358 | $ | 72,986 | |||
Secured
lending facilities | 26,496 | 8,122 | 34,618 | ||||||
Commercial real estate | 7,265 | 286 | 7,551 | ||||||
Other | 1,277 | 1,178 | 2,455 | ||||||
Total,
before ACL | $ | 42,666 | $ | 74,944 | $ | 117,610 | |||
ACL | $ | (806 | ) | $ | (342 | ) | $ | (1,148 | ) |
$ in millions | Loans | Lending Commitments | Total | ||||||
Corporate | $ | 5,426 | $ | 61,716 | $ | 67,142 | |||
Secured
lending facilities | 24,502 | 6,105 | 30,607 | ||||||
Commercial real estate | 7,859 | 425 | 8,284 | ||||||
Other | 503 | 832 | 1,335 | ||||||
Total,
before ACL | $ | 38,290 | $ | 69,078 | $ | 107,368 | |||
ACL | $ | (297 | ) | $ | (236 | ) | $ | (533 | ) |
39 | September
2020 Form 10-Q |
Risk Disclosures |
$
in millions | Corporate | Secured lending facilities | Commercial real estate | Other | Total | ||||||||||
ACL—Loans | $ | 115 | $ | 101 | $ | 75 | $ | 6 | $ | 297 | |||||
ACL—Lending
commitments | $ | 201 | $ | 27 | $ | 7 | $ | 1 | $ | 236 | |||||
Total | $ | 316 | $ | 128 | $ | 82 | $ | 7 | $ | 533 | |||||
Effect
of CECL adoption | (43 | ) | (53 | ) | 35 | 3 | (58 | ) | |||||||
Gross charge-offs | (33 | ) | — | (26 | ) | — | (59 | ) | |||||||
Recoveries | 3 | — | — | 2 | 5 | ||||||||||
Net
(charge-offs) recoveries | (30 | ) | — | (26 | ) | 2 | (54 | ) | |||||||
Provision (release)1 | 400 | 155 | 180 | (16 | ) | 719 | |||||||||
Other | 3 | 1 | (38 | ) | 42 | 8 | |||||||||
Total
at | $ | 646 | $ | 231 | $ | 233 | $ | 38 | $ | 1,148 | |||||
ACL—Loans | $ | 367 | $ | 191 | $ | 222 | $ | 26 | $ | 806 | |||||
ACL—Lending
commitments | 279 | 40 | 11 | 12 | 342 |
1. | In
the current quarter, the provision for loan losses was $66 million and the provision for losses on lending commitments was $47 million. In the current year period, the provision for loan losses was $562 million and the provision for losses on lending commitments was $157 million. |
Corporate | 4.8 | % | 2.1 | % |
Secured
lending facilities | 0.7 | % | 0.4 | % |
Commercial real estate | 3.1 | % | 1.0 | % |
Other | 2.0 | % | 1.2 | % |
Total
Institutional Securities loans | 1.9 | % | 0.8 | % |
Contractual Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Securities-based lending and Other | $ | 49,714 | $ | 4,411 | $ | 1,869 | $ | 1,680 | $ | 57,674 | |||||
Residential
real estate | 11 | 4 | 1 | 33,612 | 33,628 | ||||||||||
Total loans, net of ACL | $ | 49,725 | $ | 4,415 | $ | 1,870 | $ | 35,292 | $ | 91,302 | |||||
Lending
commitments | 11,797 | 2,240 | 326 | 269 | 14,632 | ||||||||||
Total exposure | $ | 61,522 | $ | 6,655 | $ | 2,196 | $ | 35,561 | $ | 105,934 |
Contractual Years to Maturity | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Securities-based lending and Other | $ | 41,863 | $ | 3,972 | $ | 2,783 | $ | 1,284 | $ | 49,902 | |||||
Residential
real estate | 13 | 11 | — | 30,149 | 30,173 | ||||||||||
Total loans, net of ACL | $ | 41,876 | $ | 3,983 | $ | 2,783 | $ | 31,433 | $ | 80,075 | |||||
Lending
commitments | 10,219 | 2,564 | 71 | 307 | 13,161 | ||||||||||
Total exposure | $ | 52,095 | $ | 6,547 | $ | 2,854 | $ | 31,740 | $ | 93,236 |
$ in millions | |||
$ | 57 | ||
Effect of CECL adoption | 17 | ||
Provision2 | 38 | ||
$ | 112 | ||
ACL—Loans | $ | 107 | |
ACL—Lending commitments | 5 |
1. | At
December 31, 2019, the total ACL for Loans and Lending commitments was $52 million and $5 million, respectively. |
2. | In the current quarter, the release for loan losses was $3 million and the provision for losses on lending commitments was $1 million. In the current year period the provision for loan losses was $39 million and the release for losses on lending commitments was $1 million. |
$ in millions | IS | WM | Total | ||||||
Customer receivables representing margin loans | $ | 35,604 | $ | 9,054 | $ | 44,658 |
$ in millions | IS | WM | Total | ||||||
Customer receivables representing margin loans | $ | 22,216 | $ | 9,700 | $ | 31,916 |
September 2020 Form 10-Q | 40 |
Risk Disclosures |
$
in millions | ||||||
Currently employed by the Firm | $ | 2,940 | N/A | |||
No longer employed by the Firm | 142 | N/A | ||||
Employee
loans | $ | 3,082 | $ | 2,980 | ||
ACL1 | (165 | ) | (61 | ) | ||
Employee loans, net of ACL | $ | 2,917 | $ | 2,919 | ||
Remaining
repayment term, weighted average in years | 5.1 | 4.8 |
1. | The change in ACL includes a $124 million increase due to the adoption of CECL on January 1, 2020. |
Counterparty
Credit Rating1 | ||||||||||||||||||
$ in millions | AAA | AA | A | BBB | NIG | Total | ||||||||||||
Less
than 1 year | $ | 667 | $ | 10,653 | $ | 36,327 | $ | 23,017 | $ | 10,481 | $ | 81,145 | ||||||
1-3
years | 641 | 5,332 | 17,817 | 13,616 | 7,196 | 44,602 | ||||||||||||
3-5
years | 389 | 5,091 | 11,562 | 8,447 | 3,648 | 29,137 | ||||||||||||
Over
5 years | 4,496 | 34,274 | 87,181 | 64,958 | 16,119 | 207,028 | ||||||||||||
Total,
gross | $ | 6,193 | $ | 55,350 | $ | 152,887 | $ | 110,038 | $ | 37,444 | $ | 361,912 | ||||||
Counterparty
netting | (3,107 | ) | (42,447 | ) | (122,838 | ) | (83,836 | ) | (22,686 | ) | (274,914 | ) | ||||||
Cash
and securities collateral | (2,897 | ) | (10,830 | ) | (25,423 | ) | (20,621 | ) | (8,865 | ) | (68,636 | ) | ||||||
Total,
net | $ | 189 | $ | 2,073 | $ | 4,626 | $ | 5,581 | $ | 5,893 | $ | 18,362 |
Counterparty
Credit Rating1 | ||||||||||||||||||
$ in millions | AAA | AA | A | BBB | NIG | Total | ||||||||||||
Less
than 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 |
$
in millions | ||||||
Industry | ||||||
Utilities | $ | 4,407 | $ | 4,275 | ||
Financials | 4,394 | 3,448 | ||||
Industrials | 1,796 | 914 | ||||
Healthcare | 1,442 | 991 | ||||
Regional
governments | 966 | 791 | ||||
Information technology | 901 | 659 | ||||
Not-for-profit organizations | 796 | 657 | ||||
Energy | 775 | 524 | ||||
Materials | 590 | 325 | ||||
Sovereign
governments | 549 | 403 | ||||
Consumer staples | 385 | 129 | ||||
Consumer discretionary | 371 | 370 | ||||
Communications
services | 325 | 381 | ||||
Insurance | 302 | 214 | ||||
Real estate | 287 | 315 | ||||
Other | 76 | 60 | ||||
Total | $ | 18,362 | $ | 14,456 |
1. | Counterparty
credit ratings are determined internally by CRM. |
41 | September
2020 Form 10-Q |
Risk Disclosures |
United
Kingdom | |||||||||
$ in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 1,145 | $ | 928 | $ | 2,073 | |||
Net
counterparty exposure2 | 69 | 11,183 | 11,252 | ||||||
Loans | — | 2,831 | 2,831 | ||||||
Lending
commitments | — | 6,607 | 6,607 | ||||||
Exposure before hedges | 1,214 | 21,549 | 22,763 | ||||||
Hedges3 | (311 | ) | (1,470 | ) | (1,781 | ) | |||
Net
exposure | $ | 903 | $ | 20,079 | $ | 20,982 |
Germany | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (1,168 | ) | $ | (14 | ) | $ | (1,182 | ) |
Net
counterparty exposure2 | 214 | 3,280 | 3,494 | ||||||
Loans | — | 2,092 | 2,092 | ||||||
Lending
commitments | (1 | ) | 4,428 | 4,427 | |||||
Exposure before hedges | (955 | ) | 9,786 | 8,831 | |||||
Hedges3 | (286 | ) | (867 | ) | (1,153 | ) | |||
Net
exposure | $ | (1,241 | ) | $ | 8,919 | $ | 7,678 |
Japan | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 2,182 | $ | 512 | $ | 2,694 | |||
Net
counterparty exposure2 | 57 | 4,505 | 4,562 | ||||||
Loans | — | 562 | 562 | ||||||
Exposure
before hedges | 2,239 | 5,579 | 7,818 | ||||||
Hedges3 | (96 | ) | (228 | ) | (324 | ) | |||
Net
exposure | $ | 2,143 | $ | 5,351 | $ | 7,494 |
France | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 1,214 | $ | (334 | ) | $ | 880 | ||
Net
counterparty exposure2 | 18 | 3,444 | 3,462 | ||||||
Loans | — | 525 | 525 | ||||||
Lending
commitments | — | 3,047 | 3,047 | ||||||
Exposure before hedges | 1,232 | 6,682 | 7,914 | ||||||
Hedges3 | (6 | ) | (815 | ) | (821 | ) | |||
Net
exposure | $ | 1,226 | $ | 5,867 | $ | 7,093 |
Spain | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (809 | ) | $ | 28 | $ | (781 | ) | |
Net
counterparty exposure2 | 7 | 284 | 291 | ||||||
Loans | — | 4,061 | 4,061 | ||||||
Lending
commitments | — | 620 | 620 | ||||||
Exposure before hedges | (802 | ) | 4,993 | 4,191 | |||||
Hedges3 | — | (123 | ) | (123 | ) | ||||
Net
exposure | $ | (802 | ) | $ | 4,870 | $ | 4,068 |
Australia | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 1,893 | $ | 261 | $ | 2,154 | |||
Net
counterparty exposure2 | 6 | 637 | 643 | ||||||
Loans | — | 392 | 392 | ||||||
Lending
commitments | — | 798 | 798 | ||||||
Exposure before hedges | 1,899 | 2,088 | 3,987 | ||||||
Hedges3 | — | (174 | ) | (174 | ) | ||||
Net
exposure | $ | 1,899 | $ | 1,914 | $ | 3,813 |
India | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | 1,795 | $ | 595 | $ | 2,390 | |||
Net
counterparty exposure2 | — | 821 | 821 | ||||||
Loans | — | 205 | 205 | ||||||
Exposure
before hedges | 1,795 | 1,621 | 3,416 | ||||||
Net exposure | $ | 1,795 | $ | 1,621 | $ | 3,416 |
September
2020 Form 10-Q | 42 |
Risk Disclosures |
China | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (184 | ) | $ | 1,506 | $ | 1,322 | ||
Net
counterparty exposure2 | 103 | 481 | 584 | ||||||
Loans | — | 772 | 772 | ||||||
Lending
commitments | — | 765 | 765 | ||||||
Exposure before hedges | (81 | ) | 3,524 | 3,443 | |||||
Hedges3 | (82 | ) | (122 | ) | (204 | ) | |||
Net
exposure | $ | (163 | ) | $ | 3,402 | $ | 3,239 |
Canada | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (66 | ) | $ | 330 | $ | 264 | ||
Net
counterparty exposure2 | 60 | 1,477 | 1,537 | ||||||
Loans | — | 155 | 155 | ||||||
Lending
commitments | — | 1,380 | 1,380 | ||||||
Exposure before hedges | (6 | ) | 3,342 | 3,336 | |||||
Hedges3 | — | (108 | ) | (108 | ) | ||||
Net
exposure | $ | (6 | ) | $ | 3,234 | $ | 3,228 |
Netherlands | |||||||||
$
in millions | Sovereigns | Non-sovereigns | Total | ||||||
Net inventory1 | $ | (5 | ) | $ | 280 | $ | 275 | ||
Net
counterparty exposure2 | — | 760 | 760 | ||||||
Loans | — | 420 | 420 | ||||||
Lending
commitments | — | 1,768 | 1,768 | ||||||
Exposure before hedges | (5 | ) | 3,228 | 3,223 | |||||
Hedges3 | (32 | ) | (210 | ) | (242 | ) | |||
Net
exposure | $ | (37 | ) | $ | 3,018 | $ | 2,981 |
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” in the 2019 Form 10-K. |
$ in millions | ||||
Country of Risk | Collateral2 | |||
Germany | Japan
and France | $ | 13,464 | |
United Kingdom | U.K., U.S. and Spain | 12,093 | ||
Other | Japan, U.S. and Canada | 23,884 |
1. | The
benefit of collateral received is reflected in the Top 10 Non-U.S. Country Exposures at September 30, 2020. |
2. | Primarily consists of cash as well as government obligations of the countries listed. |
43 | September
2020 Form 10-Q |
Risk Disclosures |
September 2020 Form 10-Q | 44 |
New
York, New York |
45 | September 2020 Form 10-Q |
Consolidated Income Statements (Unaudited) |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
in millions, except per share data | 2020 | 2019 | 2020 | 2019 | ||||||||
Revenues | ||||||||||||
Investment
banking | $ | i 1,826 | $ | i 1,635 | $ | i 5,239 | $ | i 4,467 | ||||
Trading | i 3,092 | i 2,608 | i 10,831 | i 8,781 | ||||||||
Investments | i 346 | i 87 | i 659 | i 801 | ||||||||
Commissions
and fees | i 1,037 | i 990 | i 3,499 | i 2,935 | ||||||||
Asset
management | i 3,664 | i 3,363 | i 10,346 | i 9,632 | ||||||||
Other | i 206 | i 131 | ( i 458 | ) | i 685 | |||||||
Total
non-interest revenues | i 10,171 | i 8,814 | i 30,116 | i 27,301 | ||||||||
Interest
income | i 2,056 | i 4,350 | i 7,917 | i 13,146 | ||||||||
Interest
expense | i 570 | i 3,132 | i 3,475 | i 9,885 | ||||||||
Net
interest | i 1,486 | i 1,218 | i 4,442 | i 3,261 | ||||||||
Net
revenues | i 11,657 | i 10,032 | i 34,558 | i 30,562 | ||||||||
Non-interest
expenses | ||||||||||||
Compensation and benefits | i 5,086 | i 4,427 | i 15,404 | i 13,609 | ||||||||
Brokerage,
clearing and exchange fees | i 697 | i 637 | i 2,153 | i 1,860 | ||||||||
Information
processing and communications | i 616 | i 557 | i 1,768 | i 1,627 | ||||||||
Professional
services | i 542 | i 531 | i 1,526 | i 1,582 | ||||||||
Occupancy
and equipment | i 373 | i 353 | i 1,103 | i 1,053 | ||||||||
Marketing
and business development | i 78 | i 157 | i 273 | i 460 | ||||||||
Other | i 778 | i 660 | i 2,343 | i 1,803 | ||||||||
Total
non-interest expenses | i 8,170 | i 7,322 | i 24,570 | i 21,994 | ||||||||
Income
before provision for income taxes | i 3,487 | i 2,710 | i 9,988 | i 8,568 | ||||||||
Provision
for income taxes | i 736 | i 492 | i 2,221 | i 1,636 | ||||||||
Net
income | $ | i 2,751 | $ | i 2,218 | $ | i 7,767 | $ | i 6,932 | ||||
Net
income applicable to noncontrolling interests | i 34 | i 45 | i 156 | i 129 | ||||||||
Net
income applicable to Morgan Stanley | $ | i 2,717 | $ | i 2,173 | $ | i 7,611 | $ | i 6,803 | ||||
Preferred
stock dividends | i 120 | i 113 | i 377 | i 376 | ||||||||
Earnings
applicable to Morgan Stanley common shareholders | $ | i 2,597 | $ | i 2,060 | $ | i 7,234 | $ | i 6,427 | ||||
Earnings
per common share | ||||||||||||
Basic | $ | i 1.68 | $ | i 1.28 | $ | i 4.68 | $ | i 3.94 | ||||
Diluted | $ | i 1.66 | $ | i 1.27 | $ | i 4.62 | $ | i 3.89 | ||||
Average
common shares outstanding | ||||||||||||
Basic | i 1,542 | i 1,604 | i 1,546 | i 1,632 | ||||||||
Diluted | i 1,566 | i 1,627 | i 1,565 | i 1,653 |
September
2020 Form 10-Q | 46 | See Notes to Consolidated Financial Statements |
Consolidated Comprehensive Income Statements (Unaudited) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Net
income | $ | i 2,751 | $ | i 2,218 | $ | i 7,767 | $ | i 6,932 | ||||
Other
comprehensive income (loss), net of tax: | ||||||||||||
Foreign currency translation adjustments | i 110 | ( i 99 | ) | ( i 1 | ) | ( i 56 | ) | |||||
Change
in net unrealized gains (losses) on available-for-sale securities | ( i 62 | ) | i 214 | i 1,558 | i 1,252 | |||||||
Pension,
postretirement and other | i 5 | i 3 | i 29 | i 7 | ||||||||
Change
in net debt valuation adjustment | ( i 563 | ) | i 337 | i 744 | ( i 529 | ) | ||||||
Total
other comprehensive income (loss) | $ | ( i 510 | ) | $ | i 455 | $ | i 2,330 | $ | i 674 | |||
Comprehensive
income | $ | i 2,241 | $ | i 2,673 | $ | i 10,097 | $ | i 7,606 | ||||
Net
income applicable to noncontrolling interests | i 34 | i 45 | i 156 | i 129 | ||||||||
Other
comprehensive income (loss) applicable to noncontrolling interests | i 28 | i 2 | i 79 | ( i 20 | ) | |||||||
Comprehensive
income applicable to Morgan Stanley | $ | i 2,179 | $ | i 2,626 | $ | i 9,862 | $ | i 7,497 |
See
Notes to Consolidated Financial Statements | 47 | September 2020 Form 10-Q |
Consolidated Balance Sheets |
$
in millions, except share data | (Unaudited) At September 30, 2020 | |||||
Assets | ||||||
Cash and cash equivalents | $ | i 94,772 | $ | i 82,171 | ||
Trading
assets at fair value ($122,933 and $128,386 were pledged to various parties) | i 293,968 | i 297,110 | ||||
Investment
securities (includes $84,536 and $62,223 at fair value) | i 130,705 | i 105,725 | ||||
Securities
purchased under agreements to resell (includes $15 and $4 at fair value) | i 88,283 | i 88,224 | ||||
Securities
borrowed | i 100,803 | i 106,549 | ||||
Customer
and other receivables | i 72,537 | i 55,646 | ||||
Loans: | ||||||
Held
for investment (net of allowance of $913 and $349) | i 133,156 | i 118,060 | ||||
Held
for sale | i 13,081 | i 12,577 | ||||
Goodwill | i 7,348 | i 7,143 | ||||
Intangible
assets (net of accumulated amortization of $3,442 and $3,204) | i 1,880 | i 2,107 | ||||
Other
assets | i 19,407 | i 20,117 | ||||
Total
assets | $ | i 955,940 | $ | i 895,429 | ||
Liabilities | ||||||
Deposits
(includes $3,679 and $2,099 at fair value) | $ | i 239,253 | $ | i 190,356 | ||
Trading
liabilities at fair value | i 145,016 | i 133,356 | ||||
Securities
sold under agreements to repurchase (includes $1,166 and $733 at fair value) | i 41,376 | i 54,200 | ||||
Securities
loaned | i 7,924 | i 8,506 | ||||
Other
secured financings (includes $10,185 and $7,809 at fair value) | i 13,857 | i 14,698 | ||||
Customer
and other payables | i 192,300 | i 197,834 | ||||
Other
liabilities and accrued expenses | i 22,952 | i 21,155 | ||||
Borrowings
(includes $69,144 and $64,461 at fair value) | i 203,444 | i 192,627 | ||||
Total
liabilities | i 866,122 | i 812,732 | ||||
Commitments
and contingent liabilities (see Note 14) | 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: 1,576,447,988 and 1,593,973,680 | i 20 | i 20 | ||||
Additional
paid-in capital | i 24,015 | i 23,935 | ||||
Retained
earnings | i 76,061 | i 70,589 | ||||
Employee
stock trusts | i 2,992 | i 2,918 | ||||
Accumulated
other comprehensive income (loss) | ( i 537 | ) | ( i 2,788 | ) | ||
Common
stock held in treasury at cost, $0.01 par value (462,445,991 and 444,920,299 shares) | ( i 19,685 | ) | ( i 18,727 | ) | ||
Common
stock issued to employee stock trusts | ( i 2,992 | ) | ( i 2,918 | ) | ||
Total
Morgan Stanley shareholders’ equity | i 88,394 | i 81,549 | ||||
Noncontrolling
interests | i 1,424 | i 1,148 | ||||
Total
equity | i 89,818 | i 82,697 | ||||
Total
liabilities and equity | $ | i 955,940 | $ | i 895,429 |
September
2020 Form 10-Q | 48 | See Notes to Consolidated Financial Statements |
Consolidated Statements of Changes in Total Equity (Unaudited) |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Preferred Stock | ||||||||||||
Beginning
and ending balance | $ | i 8,520 | $ | i 8,520 | $ | i 8,520 | $ | i 8,520 | ||||
Common
Stock | ||||||||||||
Beginning and ending balance | i 20 | i 20 | i 20 | i 20 | ||||||||
Additional
Paid-in Capital | ||||||||||||
Beginning balance | i 23,782 | i 23,446 | i 23,935 | i 23,794 | ||||||||
Share-based
award activity | i 232 | i 196 | i 79 | ( i 154 | ) | |||||||
Other
net increases | i 1 | i 7 | i 1 | i 9 | ||||||||
Ending
balance | i 24,015 | i 23,649 | i 24,015 | i 23,649 | ||||||||
Retained
Earnings | ||||||||||||
Beginning balance | i 74,015 | i 67,588 | i 70,589 | i 64,175 | ||||||||
Cumulative
adjustments for accounting changes1 | i — | i — | ( i 100 | ) | i 63 | |||||||
Net
income applicable to Morgan Stanley | i 2,717 | i 2,173 | i 7,611 | i 6,803 | ||||||||
Preferred
stock dividends2 | ( i 120 | ) | ( i 113 | ) | ( i 377 | ) | ( i 376 | ) | ||||
Common
stock dividends2 | ( i 551 | ) | ( i 577 | ) | ( i 1,662 | ) | ( i 1,594 | ) | ||||
Ending
balance | i 76,061 | i 69,071 | i 76,061 | i 69,071 | ||||||||
Employee
Stock Trusts | ||||||||||||
Beginning balance | i 3,018 | i 2,889 | i 2,918 | i 2,836 | ||||||||
Share-based
award activity | ( i 26 | ) | ( i 24 | ) | i 74 | i 29 | ||||||
Ending
balance | i 2,992 | i 2,865 | i 2,992 | i 2,865 | ||||||||
Accumulated
Other Comprehensive Income (Loss) | ||||||||||||
Beginning balance | i 1 | ( i 2,051 | ) | ( i 2,788 | ) | ( i 2,292 | ) | |||||
Net
change in Accumulated other comprehensive income (loss) | ( i 538 | ) | i 453 | i 2,251 | i 694 | |||||||
Ending
balance | ( i 537 | ) | ( i 1,598 | ) | ( i 537 | ) | ( i 1,598 | ) | ||||
Common
Stock Held In Treasury at Cost | ||||||||||||
Beginning balance | ( i 19,693 | ) | ( i 15,799 | ) | ( i 18,727 | ) | ( i 13,971 | ) | ||||
Share-based
award activity | i 38 | i 57 | i 882 | i 1,138 | ||||||||
Repurchases
of common stock and employee tax withholdings | ( i 30 | ) | ( i 1,538 | ) | ( i 1,840 | ) | ( i 4,447 | ) | ||||
Ending
balance | ( i 19,685 | ) | ( i 17,280 | ) | ( i 19,685 | ) | ( i 17,280 | ) | ||||
Common
Stock Issued to Employee Stock Trusts | ||||||||||||
Beginning balance | ( i 3,018 | ) | ( i 2,889 | ) | ( i 2,918 | ) | ( i 2,836 | ) | ||||
Share-based
award activity | i 26 | i 24 | ( i 74 | ) | ( i 29 | ) | ||||||
Ending
balance | ( i 2,992 | ) | ( i 2,865 | ) | ( i 2,992 | ) | ( i 2,865 | ) | ||||
Non-Controlling
Interests | ||||||||||||
Beginning balance | i 1,364 | i 1,121 | i 1,148 | i 1,160 | ||||||||
Net
income applicable to non-controlling interests | i 34 | i 45 | i 156 | i 129 | ||||||||
Net
change in Accumulated other comprehensive income (loss) applicable to non-controlling interests | i 28 | i 2 | i 79 | ( i 20 | ) | |||||||
Other
net increases (decreases) | ( i 2 | ) | i — | i 41 | ( i 101 | ) | ||||||
Ending
balance | i 1,424 | i 1,168 | i 1,424 | i 1,168 | ||||||||
Total
Equity | $ | i 89,818 | $ | i 83,550 | $ | i 89,818 | $ | i 83,550 |
1. | See
Notes 2 and 17 for further information regarding cumulative adjustments for accounting changes. |
2. | See Note 17 for information regarding dividends per share for each class of stock. |
See
Notes to Consolidated Financial Statements | 49 | September 2020 Form 10-Q |
Consolidated Cash Flow Statements (Unaudited) |
Nine
Months Ended September 30, | ||||||
$ in millions | 2020 | 2019 | ||||
Cash flows from operating activities | ||||||
Net income | $ | i 7,767 | $ | i 6,932 | ||
Adjustments
to reconcile net income to net cash provided by (used for) operating activities: | ||||||
Stock-based compensation expense | i 802 | i 825 | ||||
Depreciation
and amortization | i 2,363 | i 1,987 | ||||
Provision
for (Release of) credit losses on lending activities | i 757 | i 104 | ||||
Other
operating adjustments | i 663 | ( i 114 | ) | |||
Changes
in assets and liabilities: | ||||||
Trading assets, net of Trading liabilities | i 18,442 | i 17,036 | ||||
Securities
borrowed | i 5,746 | ( i 16,088 | ) | |||
Securities
loaned | ( i 582 | ) | ( i 2,217 | ) | ||
Customer
and other receivables and other assets | ( i 17,098 | ) | ( i 5,135 | ) | ||
Customer
and other payables and other liabilities | ( i 5,818 | ) | i 22,721 | |||
Securities
purchased under agreements to resell | ( i 59 | ) | i 5,155 | |||
Securities
sold under agreements to repurchase | ( i 12,824 | ) | i 9,703 | |||
Net
cash provided by (used for) operating activities | i 159 | i 40,909 | ||||
Cash
flows from investing activities | ||||||
Proceeds from (payments for): | ||||||
Other assets—Premises, equipment and software, net | ( i 905 | ) | ( i 1,460 | ) | ||
Changes
in loans, net | ( i 13,592 | ) | ( i 10,079 | ) | ||
Investment
securities: | ||||||
Purchases | ( i 41,147 | ) | ( i 35,078 | ) | ||
Proceeds
from sales | i 7,220 | i 13,561 | ||||
Proceeds
from paydowns and maturities | i 11,240 | i 8,183 | ||||
Other
investing activities | ( i 254 | ) | ( i 848 | ) | ||
Net
cash provided by (used for) investing activities | ( i 37,438 | ) | ( i 25,721 | ) | ||
Cash
flows from financing activities | ||||||
Net proceeds from (payments for): | ||||||
Other secured financings | i 229 | ( i 587 | ) | |||
Deposits | i 48,734 | ( i 7,084 | ) | |||
Proceeds
from issuance of Borrowings | i 42,169 | i 23,697 | ||||
Payments
for: | ||||||
Borrowings | ( i 38,151 | ) | ( i 30,391 | ) | ||
Repurchases
of common stock and employee tax withholdings | ( i 1,840 | ) | ( i 4,447 | ) | ||
Cash
dividends | ( i 2,008 | ) | ( i 2,082 | ) | ||
Other
financing activities | ( i 208 | ) | ( i 286 | ) | ||
Net
cash provided by (used for) financing activities | i 48,925 | ( i 21,180 | ) | |||
Effect
of exchange rate changes on cash and cash equivalents | i 955 | ( i 1,548 | ) | |||
Net
increase (decrease) in cash and cash equivalents | i 12,601 | ( i 7,540 | ) | |||
Cash
and cash equivalents, at beginning of period | i 82,171 | i 87,196 | ||||
Cash
and cash equivalents, at end of period | $ | i 94,772 | $ | i 79,656 | ||
Supplemental
Disclosure of Cash Flow Information | ||||||
Cash payments for: | ||||||
Interest | $ | i 3,747 | $ | i 9,760 | ||
Income
taxes, net of refunds | i 1,675 | i 1,603 |
September
2020 Form 10-Q | 50 | See Notes to Consolidated Financial Statements |
Notes to Consolidated Financial Statements (Unaudited) |
51 | September 2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
September 2020 Form 10-Q | 52 |
Notes to Consolidated Financial Statements (Unaudited) |
• | Corporate loans, Secured lending facilities, Commercial real estate loans and securities, and Other loans: Internal risk ratings developed by the Credit Risk Management Department which are refreshed at least annually, and more frequently as necessary. These ratings generally correspond to external ratings published by S&P. The Firm also considers transaction structure, including type of collateral, collateral terms, and position of the obligation within the capital structure. In addition, for Commercial real estate, the Firm considers property type and location, net operating income, LTV ratios, among others, as well as commercial real estate price and credit spread indices and capitalization rates. |
• | Residential
real estate loans: Loan origination Fair Isaac Corporation (“FICO”) credit scores as determined by independent credit agencies in the United States and loan-to-value (“LTV”) ratios. |
• | Employee loans: Employment status, which includes those currently employed by the Firm and for which the Firm can deduct any unpaid amounts due to it through certain compensation arrangements; and those no longer employed by the Firm where such compensation arrangements are no longer applicable. |
ACL | Provision for credit losses | |
Instruments measured at amortized cost (e.g., HFI loans,
HTM securities and customer and other receivables) | Contra asset | Other revenue |
Employee loans | Contra asset | Compensation and benefits expense |
Off-balance sheet instruments (e.g., HFI lending commitments and certain guarantees) | Other liabilities and accrued expenses | Other expense |
53 | September
2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
ACL | Provision for credit losses | |
AFS securities | Contra Investment securities | Other revenue |
September
2020 Form 10-Q | 54 |
Notes to Consolidated Financial Statements (Unaudited) |
$
in millions | ||||||
Cash and due from banks | $ | i 13,840 | $ | i 6,763 | ||
Interest
bearing deposits with banks | i 80,932 | i 75,408 | ||||
Total
Cash and cash equivalents | $ | i 94,772 | $ | i 82,171 | ||
Restricted
cash | $ | i 37,186 | $ | i 32,512 |
$ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | ||||||||||
Assets at fair value | |||||||||||||||
Trading
assets: | |||||||||||||||
U.S. Treasury and agency securities | $ | i 41,488 | $ | i 27,033 | $ | i 122 | $ | — | $ | i 68,643 | |||||
Other
sovereign government obligations | i 31,171 | i 5,909 | i 10 | — | i 37,090 | ||||||||||
State
and municipal securities | i — | i 1,479 | i — | — | i 1,479 | ||||||||||
MABS | i — | i 999 | i 443 | — | i 1,442 | ||||||||||
Loans
and lending commitments2 | i — | i 3,982 | i 4,351 | — | i 8,333 | ||||||||||
Corporate
and other debt | i — | i 27,158 | i 2,727 | — | i 29,885 | ||||||||||
Corporate
equities3 | i 102,975 | i 655 | i 135 | — | i 103,765 | ||||||||||
Derivative and other contracts: | |||||||||||||||
Interest
rate | i 2,784 | i 239,900 | i 1,114 | — | i 243,798 | ||||||||||
Credit | i — | i 9,138 | i 768 | — | i 9,906 | ||||||||||
Foreign
exchange | i 16 | i 67,016 | i 152 | — | i 67,184 | ||||||||||
Equity | i 1,244 | i 65,115 | i 1,127 | — | i 67,486 | ||||||||||
Commodity
and other | i 3,022 | i 12,031 | i 3,480 | — | i 18,533 | ||||||||||
Netting1 | ( i 5,913 | ) | ( i 304,977 | ) | ( i 1,060 | ) | ( i 59,715 | ) | ( i 371,665 | ) | |||||
Total
derivative and other contracts | i 1,153 | i 88,223 | i 5,581 | ( i 59,715 | ) | i 35,242 | |||||||||
Investments4 | i 664 | i 144 | i 821 | — | i 1,629 | ||||||||||
Physical
commodities | i — | i 2,615 | i — | — | i 2,615 | ||||||||||
Total
trading assets4 | i 177,451 | i 158,197 | i 14,190 | ( i 59,715 | ) | i 290,123 | |||||||||
Investment
securities—AFS | i 46,946 | i 37,590 | i — | — | i 84,536 | ||||||||||
Securities
purchased under agreements to resell | i — | i 15 | i — | — | i 15 | ||||||||||
Total
assets at fair value | $ | i 224,397 | $ | i 195,802 | $ | i 14,190 | $ | ( i 59,715 | ) | $ | i 374,674 |
$ in millions | Level 1 | Level 2 | Level 3 | Netting1 | Total | ||||||||||
Liabilities at fair value | |||||||||||||||
Deposits | $ | i — | $ | i 3,574 | $ | i 105 | $ | — | $ | i 3,679 | |||||
Trading
liabilities: | |||||||||||||||
U.S. Treasury and agency securities | i 11,311 | i 462 | i 1 | — | i 11,774 | ||||||||||
Other
sovereign government obligations | i 25,589 | i 1,513 | i — | — | i 27,102 | ||||||||||
Corporate
and other debt | i — | i 8,623 | i 2 | — | i 8,625 | ||||||||||
Corporate
equities3 | i 59,950 | i 344 | i 57 | — | i 60,351 | ||||||||||
Derivative
and other contracts: | |||||||||||||||
Interest rate | i 2,942 | i 226,788 | i 478 | — | i 230,208 | ||||||||||
Credit | i — | i 9,602 | i 652 | — | i 10,254 | ||||||||||
Foreign
exchange | i 17 | i 65,390 | i 53 | — | i 65,460 | ||||||||||
Equity | i 1,219 | i 75,900 | i 3,272 | — | i 80,391 | ||||||||||
Commodity
and other | i 3,025 | i 10,304 | i 1,676 | — | i 15,005 | ||||||||||
Netting1 | ( i 5,913 | ) | ( i 304,977 | ) | ( i 1,060 | ) | ( i 52,204 | ) | ( i 364,154 | ) | |||||
Total
derivative and other contracts | i 1,290 | i 83,007 | i 5,071 | ( i 52,204 | ) | i 37,164 | |||||||||
Total
trading liabilities | i 98,140 | i 93,949 | i 5,131 | ( i 52,204 | ) | i 145,016 | |||||||||
Securities
sold under agreements to repurchase | i — | i 718 | i 448 | — | i 1,166 | ||||||||||
Other
secured financings | i — | i 9,876 | i 309 | — | i 10,185 | ||||||||||
Borrowings | i — | i 65,063 | i 4,081 | — | i 69,144 | ||||||||||
Total
liabilities at fair value | $ | i 98,140 | $ | i 173,180 | $ | i 10,074 | $ | ( i 52,204 | ) | $ | i 229,190 |
$ 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 |
September
2020 Form 10-Q | 55 |
Notes to Consolidated Financial Statements (Unaudited) |
$ 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 |
1. | For positions with the same counterparty that cross over the levels of the fair value hierarchy, both counterparty netting and cash collateral netting are included in the column titled “Netting.” Positions classified within the same level that are with the same counterparty are netted within that level. For further information on derivative instruments and hedging activities, see Note 7. |
2. | For a further
breakdown by type, see the following Detail of Loans and Lending Commitments at Fair Value table. |
3. | For trading purposes, the Firm holds or sells short equity securities issued by entities in diverse industries and of varying sizes. |
4. | Amounts exclude certain investments that are measured based on NAV per share, which are not classified in the fair value hierarchy. For additional disclosure about such investments, see “Net Asset Value Measurements” herein.
|
$ in millions | ||||||
Corporate | $ | i 14 | $ | i 20 | ||
Secured
lending facilities | i 445 | i 951 | ||||
Commercial
Real Estate | i 769 | i 2,098 | ||||
Residential
Real Estate | i 824 | i 1,192 | ||||
Securities-based
lending and Other loans | i 6,281 | i 7,065 | ||||
Total | $ | i 8,333 | $ | i 11,326 |
1. | Loans
previously classified as corporate have been further disaggregated; prior period balances have been revised to conform with current period presentation. |
$
in millions | ||||||
Customer and other receivables, net | $ | i 589 | $ | i 365 |
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. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
U.S.
Treasury and agency securities | ||||||||||||
Beginning balance | $ | i 97 | $ | i 5 | $ | i 22 | $ | i 54 | ||||
Realized
and unrealized gains (losses) | ( i 1 | ) | i — | i — | i — | |||||||
Purchases | i 109 | i 11 | i 133 | i 18 | ||||||||
Sales | ( i 36 | ) | i — | ( i 42 | ) | ( i 54 | ) | |||||
Net
transfers | ( i 47 | ) | i 2 | i 9 | i — | |||||||
Ending
balance | $ | i 122 | $ | i 18 | $ | i 122 | $ | i 18 | ||||
Unrealized
gains (losses) | $ | ( i 1 | ) | $ | i — | $ | i — | $ | i — | |||
Other
sovereign government obligations | ||||||||||||
Beginning balance | $ | i 11 | $ | i 10 | $ | i 5 | $ | i 17 | ||||
Realized
and unrealized gains (losses) | ( i 1 | ) | ( i 3 | ) | i — | ( i 2 | ) | |||||
Purchases | i 1 | i 2 | i 8 | i 13 | ||||||||
Sales | ( i 1 | ) | ( i 2 | ) | ( i 3 | ) | ( i 6 | ) | ||||
Net
transfers | i — | i 5 | i — | ( i 10 | ) | |||||||
Ending
balance | $ | i 10 | $ | i 12 | $ | i 10 | $ | i 12 | ||||
Unrealized
gains (losses) | $ | i — | $ | ( i 3 | ) | $ | i — | $ | ( i 2 | ) | ||
State
and municipal securities | ||||||||||||
Beginning balance | $ | i — | $ | i 16 | $ | i 1 | $ | i 148 | ||||
Sales | i — | ( i 2 | ) | i — | ( i 43 | ) | ||||||
Net
transfers | i — | ( i 13 | ) | ( i 1 | ) | ( i 104 | ) | |||||
Ending
balance | $ | i — | $ | i 1 | $ | i — | $ | i 1 | ||||
Unrealized
gains (losses) | $ | i — | $ | i — | $ | i — | $ | i — | ||||
MABS | ||||||||||||
Beginning
balance | $ | i 379 | $ | i 480 | $ | i 438 | $ | i 354 | ||||
Realized
and unrealized gains (losses) | i 13 | ( i 10 | ) | ( i 60 | ) | ( i 9 | ) | |||||
Purchases | i 13 | i 5 | i 172 | i 66 | ||||||||
Sales | ( i 54 | ) | ( i 58 | ) | ( i 162 | ) | ( i 157 | ) | ||||
Settlements | i — | i — | i — | ( i 39 | ) | |||||||
Net
transfers | i 92 | ( i 16 | ) | i 55 | i 186 | |||||||
Ending
balance | $ | i 443 | $ | i 401 | $ | i 443 | $ | i 401 | ||||
Unrealized
gains (losses) | $ | i 8 | $ | ( i 8 | ) | $ | ( i 35 | ) | $ | ( i 38 | ) | |
Loans
and lending commitments | ||||||||||||
Beginning balance | $ | i 4,068 | $ | i 5,604 | $ | i 5,073 | $ | i 6,870 | ||||
Realized
and unrealized gains (losses) | i 20 | ( i 51 | ) | ( i 161 | ) | i 3 | ||||||
Purchases
and originations | i 846 | i 852 | i 1,926 | i 1,934 | ||||||||
Sales | ( i 725 | ) | ( i 464 | ) | ( i 1,139 | ) | ( i 1,541 | ) | ||||
Settlements | ( i 285 | ) | ( i 811 | ) | ( i 1,907 | ) | ( i 2,130 | ) | ||||
Net
transfers1 | i 427 | ( i 261 | ) | i 559 | ( i 267 | ) | ||||||
Ending
balance | $ | i 4,351 | $ | i 4,869 | $ | i 4,351 | $ | i 4,869 | ||||
Unrealized
gains (losses) | $ | i 27 | $ | ( i 55 | ) | $ | ( i 137 | ) | $ | i 283 |
September
2020 Form 10-Q | 56 |
Notes to Consolidated Financial Statements (Unaudited) |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Corporate and other debt | ||||||||||||
Beginning balance | $ | i 2,686 | $ | i 1,364 | $ | i 1,396 | $ | i 1,076 | ||||
Realized
and unrealized gains (losses) | ( i 107 | ) | i 157 | ( i 184 | ) | i 269 | ||||||
Purchases | i 451 | i 341 | i 2,217 | i 632 | ||||||||
Sales | ( i 325 | ) | ( i 474 | ) | ( i 425 | ) | ( i 587 | ) | ||||
Settlements | i — | i — | ( i 311 | ) | ( i 7 | ) | ||||||
Net
transfers | i 22 | i 2 | i 34 | i 7 | ||||||||
Ending
balance | $ | i 2,727 | $ | i 1,390 | $ | i 2,727 | $ | i 1,390 | ||||
Unrealized
gains (losses) | $ | ( i 96 | ) | $ | i 114 | $ | ( i 186 | ) | $ | i 217 | ||
Corporate
equities | ||||||||||||
Beginning balance | $ | i 83 | $ | i 98 | $ | i 97 | $ | i 95 | ||||
Realized
and unrealized gains (losses) | i 32 | i 1 | i — | ( i 41 | ) | |||||||
Purchases | i 32 | i 5 | i 42 | i 44 | ||||||||
Sales | ( i 27 | ) | ( i 16 | ) | ( i 27 | ) | ( i 268 | ) | ||||
Net
transfers | i 15 | i 15 | i 23 | i 273 | ||||||||
Ending
balance | $ | i 135 | $ | i 103 | $ | i 135 | $ | i 103 | ||||
Unrealized
gains (losses) | $ | i 39 | $ | i 7 | $ | i 14 | $ | ( i 38 | ) | |||
Investments | ||||||||||||
Beginning
balance | $ | i 759 | $ | i 785 | $ | i 858 | $ | i 757 | ||||
Realized
and unrealized gains (losses) | i 55 | ( i 15 | ) | ( i 6 | ) | i 19 | ||||||
Purchases | i 7 | i 7 | i 37 | i 28 | ||||||||
Sales | ( i 16 | ) | ( i 7 | ) | ( i 37 | ) | ( i 43 | ) | ||||
Net
transfers | i 16 | i 15 | ( i 31 | ) | i 24 | |||||||
Ending
balance | $ | i 821 | $ | i 785 | $ | i 821 | $ | i 785 | ||||
Unrealized
gains (losses) | $ | i 44 | $ | ( i 12 | ) | $ | ( i 19 | ) | $ | i 22 | ||
Net
derivatives: Interest rate | ||||||||||||
Beginning balance | $ | i 760 | $ | i 816 | $ | i 777 | $ | i 618 | ||||
Realized
and unrealized gains (losses) | ( i 147 | ) | ( i 40 | ) | ( i 95 | ) | i 143 | |||||
Purchases | i 36 | i 69 | i 153 | i 132 | ||||||||
Issuances | ( i 15 | ) | ( i 11 | ) | ( i 41 | ) | ( i 22 | ) | ||||
Settlements | ( i 31 | ) | i 2 | i 36 | i 16 | |||||||
Net
transfers | i 33 | ( i 48 | ) | ( i 194 | ) | ( i 99 | ) | |||||
Ending
balance | $ | i 636 | $ | i 788 | $ | i 636 | $ | i 788 | ||||
Unrealized
gains (losses) | $ | ( i 139 | ) | $ | i 120 | $ | ( i 37 | ) | $ | i 214 | ||
Net
derivatives: Credit | ||||||||||||
Beginning balance | $ | i 131 | $ | ( i 138 | ) | $ | i 124 | $ | i 40 | |||
Realized
and unrealized gains (losses) | ( i 16 | ) | ( i 183 | ) | i 11 | i 36 | ||||||
Purchases | i 17 | i 44 | i 66 | i 103 | ||||||||
Issuances | ( i 51 | ) | ( i 19 | ) | ( i 101 | ) | ( i 162 | ) | ||||
Settlements | i 10 | i 389 | i 61 | i 90 | ||||||||
Net
transfers | i 25 | i 12 | ( i 45 | ) | ( i 2 | ) | ||||||
Ending
balance | $ | i 116 | $ | i 105 | $ | i 116 | $ | i 105 | ||||
Unrealized
gains (losses) | $ | ( i 16 | ) | $ | i 20 | $ | i 2 | $ | i 41 | |||
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Net derivatives: Foreign exchange | ||||||||||||
Beginning balance | $ | i 17 | $ | ( i 29 | ) | $ | ( i 31 | ) | $ | i 75 | ||
Realized
and unrealized gains (losses) | i 86 | i 67 | i 202 | ( i 83 | ) | |||||||
Purchases | i — | i — | i 3 | i — | ||||||||
Issuances | ( i 4 | ) | i — | ( i 5 | ) | i — | ||||||
Settlements | ( i 9 | ) | i 5 | ( i 27 | ) | i — | ||||||
Net
transfers | i 9 | i 9 | ( i 43 | ) | i 60 | |||||||
Ending
balance | $ | i 99 | $ | i 52 | $ | i 99 | $ | i 52 | ||||
Unrealized
gains (losses) | $ | i 75 | $ | i 79 | $ | i 136 | $ | i 26 | ||||
Net
derivatives: Equity | ||||||||||||
Beginning balance | $ | ( i 1,884 | ) | $ | ( i 1,715 | ) | $ | ( i 1,684 | ) | $ | ( i 1,485 | ) |
Realized
and unrealized gains (losses) | i 3 | ( i 61 | ) | i 75 | i 59 | |||||||
Purchases | i 19 | i 36 | i 192 | i 75 | ||||||||
Issuances | ( i 181 | ) | ( i 207 | ) | ( i 706 | ) | ( i 227 | ) | ||||
Settlements | ( i 151 | ) | ( i 56 | ) | ( i 167 | ) | ( i 173 | ) | ||||
Net
transfers | i 49 | i 622 | i 145 | i 370 | ||||||||
Ending
balance | $ | ( i 2,145 | ) | $ | ( i 1,381 | ) | $ | ( i 2,145 | ) | $ | ( i 1,381 | ) |
Unrealized
gains (losses) | $ | i 32 | $ | ( i 86 | ) | $ | ( i 143 | ) | $ | i 81 | ||
Net
derivatives: Commodity and other | ||||||||||||
Beginning balance | $ | i 2,087 | $ | i 1,861 | $ | i 1,612 | $ | i 2,052 | ||||
Realized
and unrealized gains (losses) | ( i 29 | ) | i 120 | i 373 | i 35 | |||||||
Purchases | i 1 | i 126 | i 26 | i 145 | ||||||||
Issuances | ( i 40 | ) | ( i 36 | ) | ( i 65 | ) | ( i 71 | ) | ||||
Settlements | ( i 181 | ) | ( i 107 | ) | ( i 101 | ) | ( i 307 | ) | ||||
Net
transfers | ( i 34 | ) | i 10 | ( i 41 | ) | i 120 | ||||||
Ending
balance | $ | i 1,804 | $ | i 1,974 | $ | i 1,804 | $ | i 1,974 | ||||
Unrealized
gains (losses) | $ | ( i 251 | ) | $ | i 33 | $ | ( i 6 | ) | $ | ( i 89 | ) | |
Deposits | ||||||||||||
Beginning
balance | $ | i 90 | $ | i 138 | $ | i 179 | $ | i 27 | ||||
Realized
and unrealized losses (gains) | i 4 | i 5 | i 8 | i 16 | ||||||||
Issuances | i — | i 23 | i — | i 70 | ||||||||
Settlements | ( i 2 | ) | ( i 8 | ) | ( i 13 | ) | ( i 12 | ) | ||||
Net
transfers | i 13 | ( i 13 | ) | ( i 69 | ) | i 44 | ||||||
Ending
balance | $ | i 105 | $ | i 145 | $ | i 105 | $ | i 145 | ||||
Unrealized
losses (gains) | $ | i 4 | $ | i 5 | $ | i 8 | $ | i 16 | ||||
Nonderivative
trading liabilities | ||||||||||||
Beginning balance | $ | i 74 | $ | i 36 | $ | i 37 | $ | i 16 | ||||
Realized
and unrealized losses (gains) | ( i 6 | ) | ( i 7 | ) | ( i 21 | ) | ( i 37 | ) | ||||
Purchases | ( i 7 | ) | ( i 13 | ) | ( i 23 | ) | ( i 31 | ) | ||||
Sales | i 5 | i 6 | i 23 | i 36 | ||||||||
Settlements | i — | i — | i 3 | i — | ||||||||
Net
transfers | ( i 6 | ) | i 18 | i 41 | i 56 | |||||||
Ending
balance | $ | i 60 | $ | i 40 | $ | i 60 | $ | i 40 | ||||
Unrealized
losses (gains) | $ | ( i 4 | ) | $ | ( i 7 | ) | $ | ( i 21 | ) | $ | ( i 37 | ) |
57 | September
2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Securities sold under agreements to repurchase | ||||||||||||
Beginning balance | $ | i 440 | $ | i — | $ | i — | $ | i — | ||||
Realized
and unrealized losses (gains) | i 8 | i — | ( i 22 | ) | i — | |||||||
Issuances | i — | i — | i 470 | i — | ||||||||
Ending
balance | $ | i 448 | $ | i — | $ | i 448 | $ | i — | ||||
Unrealized
losses (gains) | $ | i 8 | $ | i — | $ | ( i 22 | ) | $ | i — | |||
Other
secured financings | ||||||||||||
Beginning balance | $ | i 300 | $ | i 154 | $ | i 109 | $ | i 208 | ||||
Realized
and unrealized losses (gains) | i 11 | ( i 1 | ) | ( i 1 | ) | i 5 | ||||||
Issuances | i 3 | i — | i 10 | i — | ||||||||
Settlements | ( i 5 | ) | i — | ( i 208 | ) | ( i 8 | ) | |||||
Net
transfers | i — | ( i 43 | ) | i 399 | ( i 95 | ) | ||||||
Ending
balance | $ | i 309 | $ | i 110 | $ | i 309 | $ | i 110 | ||||
Unrealized
losses (gains) | $ | i 11 | $ | ( i 1 | ) | $ | ( i 1 | ) | $ | i 5 | ||
Borrowings | ||||||||||||
Beginning
balance | $ | i 4,135 | $ | i 3,939 | $ | i 4,088 | $ | i 3,806 | ||||
Realized
and unrealized losses (gains) | ( i 32 | ) | i 88 | ( i 284 | ) | i 498 | ||||||
Issuances | i 194 | i 201 | i 992 | i 610 | ||||||||
Settlements | ( i 70 | ) | ( i 260 | ) | ( i 346 | ) | ( i 438 | ) | ||||
Net
transfers | ( i 146 | ) | ( i 430 | ) | ( i 369 | ) | ( i 938 | ) | ||||
Ending
balance | $ | i 4,081 | $ | i 3,538 | $ | i 4,081 | $ | i 3,538 | ||||
Unrealized
losses (gains) | $ | ( i 33 | ) | $ | i 91 | $ | ( i 282 | ) | $ | i 459 | ||
Portion
of Unrealized losses (gains) recorded in OCI—Change in net DVA | i 22 | ( i 23 | ) | ( i 124 | ) | i 68 |
1. | Net
transfers in the current year period reflect the largely offsetting impacts of transfers in of $ i 857 million of equity margin loans and transfers out of $ i 707
million of equity margin loans. The loans were transferred into Level 3 in the first quarter as the significance of the margin loan rate input increased as a result of reduced liquidity, and transferred out of Level 3 in the second quarter as liquidity conditions improved reducing the significance of the input. |
Balance / Range (Average)1 | ||||||
$ in millions, except inputs | ||||||
Assets
Measured at Fair Value on a Recurring Basis | ||||||
U.S. Treasury and agency securities | $ | i 122 | $ | i 22 | ||
Comparable
pricing: | ||||||
Bond price | 102 to 108 points (104 points) | N/M | ||||
MABS | $ | i 443 | $ | i 438 | ||
Comparable
pricing: | ||||||
Bond price | 0 to 80 points (47 points) | 0 to 96 points (47 points) | ||||
Loans and lending commitments | $ | i 4,351 | $ | i 5,073 | ||
Margin
loan model: | ||||||
Discount rate | N/A | 1% to 9% (2%) | ||||
Volatility skew | N/A | 15% to 80% (28%) | ||||
Credit
Spread | N/A | 9 to 39 bps (19 bps) | ||||
Margin loan rate | 1% to 5% (3%) | N/A | ||||
Comparable pricing: | ||||||
Loan price | 70
to 103 points (96 points) | 69 to 100 points (93 points) | ||||
Corporate and other debt | $ | i 2,727 | $ | i 1,396 | ||
Comparable
pricing: | ||||||
Bond price | 10 to 103 points (94 points) | 11 to 108 points (84 points) | ||||
Discounted cash flow: | ||||||
Recovery rate | 51% to 62% (53% / 51%) | i 35 | % | |||
Option
model: | ||||||
At the money volatility | i 21 | % | i 21 | % | ||
Corporate
equities | $ | i 135 | $ | i 97 | ||
Comparable
pricing: | ||||||
Equity price | i 100 | % | i 100 | % | ||
Investments | $ | i 821 | $ | i 858 | ||
Discounted
cash flow: | ||||||
WACC | 10% to 21% (15%) | 8% to 17% (15%) | ||||
Exit multiple | 7 to 17 times (11 times) | 7 to 16 times (11 times) | ||||
Market
approach: | ||||||
EBITDA multiple | 8 to 29 times (11 times) | 7 to 24 times (11 times) | ||||
Comparable pricing: | ||||||
Equity price | 50% to 100% (98%) | 75%
to 100% (99%) | ||||
Net derivative and other contracts: | ||||||
Interest rate | $ | i 636 | $ | i 777 | ||
Option
model: | ||||||
IR volatility skew | 0% to 162% (62% / 75%) | 24% to 156% (63% / 59%) | ||||
IR curve correlation | 59% to 97% (87% / 92%) | 47% to 90% (72% / 72%) | ||||
Bond
volatility | 4% to 32% (13% / 8%) | 4% to 15% (13% / 14%) | ||||
Inflation volatility | 25% to 64% (44% / 42%) | 24% to 63% (44% / 41%) | ||||
IR curve | i 1 | % | i 1 | % | ||
September
2020 Form 10-Q | 58 |
Notes to Consolidated Financial Statements (Unaudited) |
Balance
/ Range (Average)1 | ||||||
$ in millions, except inputs | ||||||
Credit | $ | i 116 | $ | i 124 | ||
Credit
default swap model: | ||||||
Cash-synthetic basis | 6 points | 6 points | ||||
Bond price | 0 to 95 points (52 points) | 0 to 104 points (45 points) | ||||
Credit
spread | 20 to 435 bps (79 bps) | 9 to 469 bps (81 bps) | ||||
Funding spread | 71 to 138 bps (116 bps) | 47 to 117 bps (84 bps) | ||||
Correlation model: | ||||||
Credit
correlation | 29% to 56% (35%) | 29% to 62% (36%) | ||||
Foreign exchange2 | $ | i 99 | $ | ( i 31 | ) | |
Option
model: | ||||||
IR - FX correlation | 13% to 59% (37% / 37%) | 32% to 56% (46% / 46%) | ||||
IR volatility skew | 0% to 162% (62% / 75%) | 24% to 156% (63% / 59%) | ||||
IR
curve | 8% to 9% (8% / 8%) | 10% to 11% (10% / 10%) | ||||
Foreign exchange volatility skew | -7% to -5% (-6% / -6%) | N/A | ||||
Contingency probability | 95% (95%) | 85%
to 95% (94% / 95%) | ||||
Equity2 | $ | ( i 2,145 | ) | $ | ( i 1,684 | ) |
Option
model: | ||||||
At the money volatility | 16% to 92% (42%) | 9% to 90% (36%) | ||||
Volatility skew | -2% to 0% (-1%) | -2% to 0% (-1%) | ||||
Equity
correlation | 5% to 96% (70%) | 5% to 98% (70%) | ||||
FX correlation | -60% to 60% (-17%) | -79% to 60% (-37%) | ||||
IR correlation | -7% to 44% (20% / 18%) | -11%
to 44% (18% / 16%) | ||||
Commodity and other | $ | i 1,804 | $ | i 1,612 | ||
Option
model: | ||||||
Forward power price | $-1 to $116 ($28) per MWh | $3 to $182 ($28) per MWh | ||||
Commodity volatility | 8% to 95% (19%) | 7% to 183% (18%) | ||||
Cross-commodity
correlation | 43% to 99% (92%) | 43% to 99% (93%) | ||||
Liabilities Measured at Fair Value on a Recurring Basis | ||||||
Deposits | $ | i 105 | $ | i 179 | ||
Option
Model: | ||||||
Equity at the money volatility | 7% to 23% (7%) | 16% to 37% (20%) | ||||
Corporate equities | $ | i 57 | $ | i 36 | ||
Comparable
pricing: | ||||||
Equity price | 100% (100%) | N/M | ||||
Securities sold under agreements to repurchase | $ | i 448 | $ | i — | ||
Discounted
cash flow: | ||||||
Funding spread | 105 to 130 bps (114 bps) | N/A | ||||
Other secured financings | $ | i 309 | $ | i 109 | ||
Discounted
cash flow: | ||||||
Funding spread | 110 bps (110 bps) | 111 to 124 bps (117 bps) | ||||
Comparable pricing: | ||||||
Loan price | 25 to 101 points (68 points) | N/A | ||||
Balance
/ Range (Average)1 | ||||||
$ in millions, except inputs | ||||||
Borrowings | $ | i 4,081 | $ | i 4,088 | ||
Option
model: | ||||||
At the money volatility | 6% to 70% (23%) | 5% to 44% (21%) | ||||
Volatility skew | -2% to 0% (0%) | -2% to 0% (0%) | ||||
Equity
correlation | 37% to 98% (81%) | 38% to 94% (78%) | ||||
Equity - FX correlation | -72% to 13% (-28%) | -75% to 26% (-25%) | ||||
IR - FX Correlation | -28% to 6% (-6% / -6%) | -26%
to 10% (-7% / -7%) | ||||
Nonrecurring Fair Value Measurement | ||||||
Loans | $ | i 2,088 | $ | i 1,500 | ||
Corporate
loan model: | ||||||
Credit spread | 52 bps to 668 bps (380 bps) | 69 to 446 bps (225 bps) | ||||
Warehouse model: | ||||||
Credit spread | 191 bps to 580 bps (379 bps) | 287
to 318 bps (297 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. |
59 | September
2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | Carrying Value | Commitment | Carrying Value | Commitment | ||||||||
Private
equity | $ | i 2,400 | $ | i 614 | $ | i 2,078 | $ | i 450 | ||||
Real
estate | i 1,383 | i 140 | i 1,349 | i 150 | ||||||||
Hedge1 | i 62 | i — | i 94 | i 4 | ||||||||
Total | $ | i 3,845 | $ | i 754 | $ | i 3,521 | $ | i 604 |
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. |
Carrying
Value at September 30, 2020 | ||||||
$ in millions | Private Equity | Real Estate | ||||
Less than 5 years | $ | i 1,551 | $ | i 415 | ||
5-10
years | i 765 | i 374 | ||||
Over
10 years | i 84 | i 594 | ||||
Total | $ | i 2,400 | $ | i 1,383 |
Fair Value | |||||||||
$ in millions | Level 2 | Level 31 | Total | ||||||
Assets | |||||||||
Loans | $ | i 4,827 | $ | i 2,088 | $ | i 6,915 | |||
Other
assets—Other investments | i — | i 18 | i 18 | ||||||
Total | $ | i 4,827 | $ | i 2,106 | $ | i 6,933 | |||
Liabilities | |||||||||
Other
liabilities and accrued expenses—Lending commitments | $ | i 221 | $ | i 69 | $ | i 290 | |||
Total | $ | i 221 | $ | i 69 | $ | i 290 |
Fair Value | |||||||||
$ 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 |
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. |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Assets | ||||||||||||
Loans2 | $ | ( i 43 | ) | $ | ( i 27 | ) | $ | ( i 467 | ) | $ | ( i 12 | ) |
Intangibles | ( i 1 | ) | i — | ( i 1 | ) | i — | ||||||
Other
assets—Other investments3 | ( i 2 | ) | ( i 3 | ) | ( i 54 | ) | ( i 8 | ) | ||||
Other
assets—Premises, equipment and software4 | ( i 29 | ) | ( i 4 | ) | ( i 35 | ) | ( i 8 | ) | ||||
Total | $ | ( i 75 | ) | $ | ( i 34 | ) | $ | ( i 557 | ) | $ | ( i 28 | ) |
Liabilities | ||||||||||||
Other
liabilities and accrued expenses—Lending commitments2 | $ | i 25 | $ | ( i 19 | ) | $ | ( i 54 | ) | $ | i 82 | ||
Total | $ | i 25 | $ | ( i 19 | ) | $ | ( i 54 | ) | $ | i 82 |
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 impairments as well as write-offs related to the disposal of certain assets.
|
September 2020 Form 10-Q | 60 |
Notes to Consolidated
Financial Statements (Unaudited) |
Carrying Value | Fair Value | ||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Financial assets | |||||||||||||||
Cash
and cash equivalents | $ | i 94,772 | $ | i 94,772 | $ | i — | $ | i — | $ | i 94,772 | |||||
Investment
securities—HTM | i 46,169 | i 30,893 | i 17,200 | i 861 | i 48,954 | ||||||||||
Securities
purchased under agreements to resell | i 88,268 | i — | i 86,756 | i 1,538 | i 88,294 | ||||||||||
Securities
borrowed | i 100,803 | i — | i 100,804 | i — | i 100,804 | ||||||||||
Customer
and other receivables1 | i 68,541 | i — | i 65,624 | i 2,903 | i 68,527 | ||||||||||
Loans2 | i 146,237 | i — | i 25,942 | i 121,217 | i 147,159 | ||||||||||
Other
assets | i 466 | i — | i 466 | i — | i 466 | ||||||||||
Financial
liabilities | |||||||||||||||
Deposits | $ | i 235,574 | $ | i — | $ | i 235,924 | $ | i — | $ | i 235,924 | |||||
Securities
sold under agreements to repurchase | i 40,210 | i — | i 39,876 | i 375 | i 40,251 | ||||||||||
Securities
loaned | i 7,924 | i — | i 7,921 | i — | i 7,921 | ||||||||||
Other
secured financings | i 3,672 | i — | i 3,672 | i — | i 3,672 | ||||||||||
Customer
and other payables1 | i 189,754 | i — | i 189,754 | i — | i 189,754 | ||||||||||
Borrowings | i 134,300 | i — | i 138,925 | i 5 | i 138,930 | ||||||||||
Commitment Amount | |||||||||||||||
Lending
commitments3 | $ | i 118,966 | $ | i — | $ | i 965 | $ | i 406 | $ | i 1,371 |
Carrying Value | Fair
Value | ||||||||||||||
$ in millions | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Financial assets | |||||||||||||||
Cash and cash equivalents | $ | i 82,171 | $ | i 82,171 | $ | i — | $ | i — | $ | i 82,171 | |||||
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 |
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 14. |
61 | September 2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | ||||||
Business Unit Responsible for Risk Management | ||||||
Equity | $ | i 31,673 | $ | i 30,214 | ||
Interest
rates | i 28,986 | i 27,298 | ||||
Commodities | i 5,097 | i 4,501 | ||||
Credit | i 1,257 | i 1,246 | ||||
Foreign
exchange | i 2,131 | i 1,202 | ||||
Total | $ | i 69,144 | $ | i 64,461 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Trading
revenues | $ | ( i 1,455 | ) | $ | ( i 795 | ) | $ | ( i 1,447 | ) | $ | ( i 5,888 | ) |
Interest
expense | i 77 | i 93 | i 241 | i 280 | ||||||||
Net
revenues1 | $ | ( i 1,532 | ) | $ | ( i 888 | ) | $ | ( i 1,688 | ) | $ | ( i 6,168 | ) |
1. | Amounts
do not reflect any gains or losses from related economic hedges. |
Three
Months Ended September 30, | ||||||||||||
2020 | 2019 | |||||||||||
$ in millions | Trading Revenues | OCI | Trading Revenues | OCI | ||||||||
Loans and other debt1 | $ | i 56 | $ | i — | $ | ( i 3 | ) | $ | i — | |||
Lending
commitments | ( i 3 | ) | i — | i — | i — | |||||||
Deposits | i — | ( i 19 | ) | i — | i 1 | |||||||
Borrowings | ( i 8 | ) | ( i 720 | ) | ( i 2 | ) | i 442 |
Nine
Months Ended September 30, | ||||||||||||
2020 | 2019 | |||||||||||
$ in millions | Trading Revenues | OCI | Trading Revenues | OCI | ||||||||
Loans and other debt1 | $ | ( i 183 | ) | $ | i — | $ | i 148 | $ | i — | |||
Lending
commitments | ( i 2 | ) | i — | ( i 2 | ) | i — | ||||||
Deposits | i — | ( i 10 | ) | i — | ( i 2 | ) | ||||||
Borrowings | ( i 14 | ) | i 991 | ( i 9 | ) | ( i 702 | ) |
$
in millions | ||||||
Cumulative pre-tax DVA gain (loss) recognized in AOCI | $ | ( i 1,017 | ) | $ | ( i 1,998 | ) |
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 13,552 | $ | i 13,037 | ||
Nonaccrual
loans2 | i 11,411 | i 10,849 | ||||
Borrowings3 | ( i 2,103 | ) | ( i 1,665 | ) |
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 1,119 | $ | i 1,100 | ||
Nonaccrual
loans 90 or more days past due | $ | i 238 | $ | i 330 |
September
2020 Form 10-Q | 62 |
Notes to Consolidated Financial Statements (Unaudited) |
Assets | ||||||||||||
$
in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | i 1,109 | $ | i 4 | $ | i — | $ | i 1,113 | ||||
Foreign
exchange | i 63 | i 9 | i — | i 72 | ||||||||
Total | i 1,172 | i 13 | i — | i 1,185 | ||||||||
Not
designated as accounting hedges | ||||||||||||
Interest rate | i 232,894 | i 9,261 | i 530 | i 242,685 | ||||||||
Credit | i 6,889 | i 3,017 | i — | i 9,906 | ||||||||
Foreign
exchange | i 65,734 | i 1,299 | i 79 | i 67,112 | ||||||||
Equity | i 28,255 | i — | i 39,231 | i 67,486 | ||||||||
Commodity
and other | i 13,378 | i — | i 5,155 | i 18,533 | ||||||||
Total | i 347,150 | i 13,577 | i 44,995 | i 405,722 | ||||||||
Total
gross derivatives | $ | i 348,322 | $ | i 13,590 | $ | i 44,995 | $ | i 406,907 | ||||
Amounts
offset | ||||||||||||
Counterparty netting | ( i 263,488 | ) | ( i 11,426 | ) | ( i 42,320 | ) | ( i 317,234 | ) | ||||
Cash
collateral netting | ( i 52,608 | ) | ( i 1,823 | ) | i — | ( i 54,431 | ) | |||||
Total
in Trading assets | $ | i 32,226 | $ | i 341 | $ | i 2,675 | $ | i 35,242 | ||||
Amounts
not offset1 | ||||||||||||
Financial instruments collateral | ( i 14,117 | ) | i — | i — | ( i 14,117 | ) | ||||||
Other
cash collateral | ( i 88 | ) | i — | i — | ( i 88 | ) | ||||||
Net
amounts | $ | i 18,021 | $ | i 341 | $ | i 2,675 | $ | i 21,037 | ||||
Net
amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | $ | i 2,848 |
Liabilities | ||||||||||||
$
in millions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | i — | $ | i — | $ | i — | $ | i — | ||||
Foreign
exchange | i 92 | i 40 | i — | i 132 | ||||||||
Total | i 92 | i 40 | i — | i 132 | ||||||||
Not
designated as accounting hedges | ||||||||||||
Interest rate | i 222,102 | i 7,258 | i 848 | i 230,208 | ||||||||
Credit | i 6,638 | i 3,616 | i — | i 10,254 | ||||||||
Foreign
exchange | i 63,885 | i 1,405 | i 38 | i 65,328 | ||||||||
Equity | i 38,518 | i — | i 41,873 | i 80,391 | ||||||||
Commodity
and other | i 9,910 | i — | i 5,095 | i 15,005 | ||||||||
Total | i 341,053 | i 12,279 | i 47,854 | i 401,186 | ||||||||
Total
gross derivatives | $ | i 341,145 | $ | i 12,319 | $ | i 47,854 | $ | i 401,318 | ||||
Amounts
offset | ||||||||||||
Counterparty netting | ( i 263,488 | ) | ( i 11,426 | ) | ( i 42,320 | ) | ( i 317,234 | ) | ||||
Cash
collateral netting | ( i 46,148 | ) | ( i 772 | ) | i — | ( i 46,920 | ) | |||||
Total
in Trading liabilities | $ | i 31,509 | $ | i 121 | $ | i 5,534 | $ | i 37,164 | ||||
Amounts
not offset1 | ||||||||||||
Financial instruments collateral | ( i 9,085 | ) | i — | ( i 2,240 | ) | ( i 11,325 | ) | |||||
Other
cash collateral | ( i 62 | ) | ( i 3 | ) | i — | ( i 65 | ) | |||||
Net
amounts | $ | i 22,362 | $ | i 118 | $ | i 3,294 | $ | i 25,774 | ||||
Net
amounts for which master netting or collateral agreements are not in place or may not be legally enforceable | i 5,282 |
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 |
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. |
63 | September 2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
Assets | ||||||||||||
$ in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated
as accounting hedges | ||||||||||||
Interest rate | $ | i 6 | $ | i 120 | $ | i — | $ | i 126 | ||||
Foreign
exchange | i 6 | i 1 | i — | i 7 | ||||||||
Total | i 12 | i 121 | i — | i 133 | ||||||||
Not
designated as accounting hedges | ||||||||||||
Interest rate | i 4,234 | i 6,726 | i 409 | i 11,369 | ||||||||
Credit | i 136 | i 124 | i — | i 260 | ||||||||
Foreign
exchange | i 2,941 | i 102 | i 10 | i 3,053 | ||||||||
Equity | i 466 | i — | i 416 | i 882 | ||||||||
Commodity
and other | i 118 | i — | i 79 | i 197 | ||||||||
Total | i 7,895 | i 6,952 | i 914 | i 15,761 | ||||||||
Total
gross derivatives | $ | i 7,907 | $ | i 7,073 | $ | i 914 | $ | i 15,894 |
Liabilities | ||||||||||||
$
in billions | Bilateral OTC | Cleared OTC | Exchange- Traded | Total | ||||||||
Designated as accounting hedges | ||||||||||||
Interest rate | $ | i — | $ | i 64 | $ | i — | $ | i 64 | ||||
Foreign
exchange | i 6 | i 2 | i — | i 8 | ||||||||
Total | i 6 | i 66 | i — | i 72 | ||||||||
Not
designated as accounting hedges | ||||||||||||
Interest rate | i 4,108 | i 6,596 | i 668 | i 11,372 | ||||||||
Credit | i 143 | i 128 | i — | i 271 | ||||||||
Foreign
exchange | i 2,943 | i 100 | i 8 | i 3,051 | ||||||||
Equity | i 473 | i — | i 579 | i 1,052 | ||||||||
Commodity
and other | i 91 | i — | i 76 | i 167 | ||||||||
Total | i 7,758 | i 6,824 | i 1,331 | i 15,913 | ||||||||
Total
gross derivatives | $ | i 7,764 | $ | i 6,890 | $ | i 1,331 | $ | i 15,985 |
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 |
September
2020 Form 10-Q | 64 |
Notes to Consolidated Financial Statements (Unaudited) |
Three Months Ended | Nine Months Ended | |||||||||||
September 30, | September 30, | |||||||||||
$
in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Fair value hedges—Recognized in Interest income | ||||||||||||
Interest rate contracts | $ | i 12 | $ | ( i 7 | ) | $ | ( i 68 | ) | $ | ( i 26 | ) | |
Investment
Securities—AFS | ( i 11 | ) | i 8 | i 78 | i 27 | |||||||
Fair
value hedges—Recognized in Interest expense | ||||||||||||
Interest rate contracts | $ | ( i 1,004 | ) | $ | i 1,999 | $ | i 5,908 | $ | i 6,046 | |||
Deposits1 | i 62 | i — | ( i 153 | ) | i — | |||||||
Borrowings | i 915 | ( i 1,996 | ) | ( i 5,844 | ) | ( i 6,111 | ) | |||||
Net
investment hedges—Foreign exchange contracts | ||||||||||||
Recognized in OCI | $ | ( i 260 | ) | $ | i 251 | $ | i 54 | $ | i 201 | |||
Forward
points excluded from hedge effectiveness testing—Recognized in Interest income | ( i 6 | ) | i 30 | i 19 | i 107 |
$ in millions | ||||||
Investment Securities—AFS | ||||||
Amortized
cost basis currently or previously hedged | $ | i 2,146 | $ | i 917 | ||
Basis
adjustments included in amortized cost2 | $ | i 74 | $ | i 14 | ||
Deposits1 | ||||||
Carrying
amount currently or previously hedged | $ | i 18,241 | $ | i 5,435 | ||
Basis
adjustments included in carrying amount2 | $ | i 146 | $ | ( i 7 | ) | |
Borrowings | ||||||
Carrying
amount currently or previously hedged | $ | i 107,653 | $ | i 102,456 | ||
Basis
adjustments included in carrying amount—Outstanding hedges | $ | i 7,697 | $ | i 2,593 | ||
Basis
adjustments included in carrying amount—Terminated hedges | $ | ( i 762 | ) | $ | i — |
1. | The
Firm began designating interest rate swaps as fair value hedges of certain Deposits in the fourth quarter of 2019. |
2. | Hedge accounting basis adjustments are primarily related to outstanding hedges. |
$ in millions | ||||||
Net derivative liabilities with credit risk-related contingent features | $ | i 27,659 | $ | i 21,620 | ||
Collateral
posted | i 23,426 | i 17,392 |
$
in millions | |||
One-notch downgrade | $ | i 246 | |
Two-notch
downgrade | i 315 | ||
Bilateral downgrade agreements included in the amounts above1 | $ | i 487 |
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 September 30, 2020 | |||||||||||||||
$ in billions | < 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Single-name CDS | |||||||||||||||
Investment
grade | $ | i 10 | $ | i 16 | $ | i 31 | $ | i 13 | $ | i 70 | |||||
Non-investment
grade | i 6 | i 10 | i 15 | i 4 | i 35 | ||||||||||
Total | $ | i 16 | $ | i 26 | $ | i 46 | $ | i 17 | $ | i 105 | |||||
Index
and basket CDS | |||||||||||||||
Investment grade | $ | i 3 | $ | i 11 | $ | i 44 | $ | i 35 | $ | i 93 | |||||
Non-investment
grade | i 6 | i 6 | i 25 | i 20 | i 57 | ||||||||||
Total | $ | i 9 | $ | i 17 | $ | i 69 | $ | i 55 | $ | i 150 | |||||
Total
CDS sold | $ | i 25 | $ | i 43 | $ | i 115 | $ | i 72 | $ | i 255 | |||||
Other
credit contracts | i — | i — | i — | i — | i — | ||||||||||
Total
credit protection sold | $ | i 25 | $ | i 43 | $ | i 115 | $ | i 72 | $ | i 255 | |||||
CDS
protection sold with identical protection purchased | $ | i 222 |
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 |
65 | September
2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
$
in millions | ||||||
Single-name CDS | ||||||
Investment grade | $ | i 764 | $ | i 1,057 | ||
Non-investment
grade | ( i 969 | ) | ( i 540 | ) | ||
Total | $ | ( i 205 | ) | $ | i 517 | |
Index
and basket CDS | ||||||
Investment grade | $ | i 994 | $ | i 1,052 | ||
Non-investment
grade | ( i 2,546 | ) | i 134 | |||
Total | $ | ( i 1,552 | ) | $ | i 1,186 | |
Total
CDS sold | $ | ( i 1,757 | ) | $ | i 1,703 | |
Other
credit contracts | ( i 4 | ) | ( i 17 | ) | ||
Total
credit protection sold | $ | ( i 1,761 | ) | $ | i 1,686 |
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. |
Notional | ||||||
$
in billions | ||||||
Single name | $ | i 115 | $ | i 118 | ||
Index
and basket | i 143 | i 103 | ||||
Tranched
index and basket | i 18 | i 15 | ||||
Total | $ | i 276 | $ | i 236 |
Fair
Value Asset (Liability) | ||||||
$ in millions | ||||||
Single name | $ | i 72 | $ | ( i 723 | ) | |
Index
and basket | i 1,276 | ( i 1,139 | ) | |||
Tranched
index and basket | i 61 | ( i 450 | ) | |||
Total | $ | i 1,409 | $ | ( i 2,312 | ) |
$ in millions | Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||
AFS
securities | ||||||||||||
U.S. government and agency securities: | ||||||||||||
U.S. Treasury securities | $ | i 45,796 | $ | i 1,150 | $ | i — | $ | i 46,946 | ||||
U.S.
agency securities2 | i 26,887 | i 769 | i 6 | i 27,650 | ||||||||
Total
U.S. government and agency securities | i 72,683 | i 1,919 | i 6 | i 74,596 | ||||||||
Corporate
and other debt: | ||||||||||||
Agency CMBS | i 4,653 | i 355 | i 1 | i 5,007 | ||||||||
Corporate
bonds | i 1,756 | i 43 | i 1 | i 1,798 | ||||||||
State
and municipal securities | i 1,682 | i 60 | i 18 | i 1,724 | ||||||||
FFELP
student loan ABS3 | i 1,455 | i — | i 44 | i 1,411 | ||||||||
Total
corporate and other debt | i 9,546 | i 458 | i 64 | i 9,940 | ||||||||
Total
AFS securities | i 82,229 | i 2,377 | i 70 | i 84,536 | ||||||||
HTM
securities | ||||||||||||
U.S. government and agency securities: | ||||||||||||
U.S. Treasury securities | i 28,754 | i 2,138 | i — | i 30,892 | ||||||||
U.S.
agency securities2 | i 16,598 | i 610 | i 7 | i 17,201 | ||||||||
Total
U.S. government and agency securities | i 45,352 | i 2,748 | i 7 | i 48,093 | ||||||||
Corporate
and other debt: | ||||||||||||
Non-agency CMBS | i 817 | i 45 | i 1 | i 861 | ||||||||
Total
HTM securities | i 46,169 | i 2,793 | i 8 | i 48,954 | ||||||||
Total
investment securities | $ | i 128,398 | $ | i 5,170 | $ | i 78 | $ | i 133,490 |
September
2020 Form 10-Q | 66 |
Notes to Consolidated Financial Statements (Unaudited) |
$ 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 securities2 | 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 ABS3 | 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 securities2 | 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 |
1. | Amounts
are net of any ACL. |
2. | U.S. agency securities consist mainly of agency-issued debt, agency mortgage pass-through pool securities and CMOs. |
3. | 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. |
$ in millions | Fair Value | Gross Unrealized Losses | Fair
Value | Gross Unrealized Losses | ||||||||
U.S. government and agency securities: | ||||||||||||
U.S. Treasury securities | ||||||||||||
Less than12 months | $ | i — | $ | i — | $ | i 4,793 | $ | i 28 | ||||
12
months or longer | i — | i — | i 7,904 | i 83 | ||||||||
Total | i — | i — | i 12,697 | i 111 | ||||||||
U.S.
agency securities | ||||||||||||
Less than12 months | i 1,198 | i 3 | i 2,641 | i 20 | ||||||||
12
months or longer | i 1,294 | i 3 | i 7,697 | i 80 | ||||||||
Total | i 2,492 | i 6 | i 10,338 | i 100 | ||||||||
Total
U.S. government and agency securities: | ||||||||||||
Less than12 months | i 1,198 | i 3 | i 7,434 | i 48 | ||||||||
12
months or longer | i 1,294 | i 3 | i 15,601 | i 163 | ||||||||
Total | i 2,492 | i 6 | i 23,035 | i 211 | ||||||||
Corporate
and other debt: | ||||||||||||
Agency CMBS | ||||||||||||
Less than12 months | i 17 | i — | i 2,294 | i 26 | ||||||||
12
months or longer | i 189 | i 1 | i 681 | i 31 | ||||||||
Total | i 206 | i 1 | i 2,975 | i 57 | ||||||||
Corporate
bonds | ||||||||||||
Less than12 months | i 127 | i — | i 194 | i 1 | ||||||||
12
months or longer | i 21 | i 1 | i 44 | i — | ||||||||
Total | i 148 | i 1 | i 238 | i 1 | ||||||||
State
and municipal securities | ||||||||||||
Less than12 months | i 606 | i 18 | i — | i — | ||||||||
Total | i 606 | i 18 | i — | i — | ||||||||
FFELP
student loan ABS | ||||||||||||
Less than12 months | i 322 | i 1 | i 91 | i — | ||||||||
12
months or longer | i 1,089 | i 43 | i 1,165 | i 28 | ||||||||
Total | i 1,411 | i 44 | i 1,256 | i 28 | ||||||||
Total Corporate
and other debt: | ||||||||||||
Less than12 months | i 1,072 | i 19 | i 2,579 | i 27 | ||||||||
12
months or longer | i 1,299 | i 45 | i 1,890 | i 59 | ||||||||
Total | i 2,371 | i 64 | i 4,469 | i 86 | ||||||||
Total
AFS securities in an unrealized loss position | ||||||||||||
Less than12 months | i 2,270 | i 22 | i 10,013 | i 75 | ||||||||
12
months or longer | i 2,593 | i 48 | i 17,491 | i 222 | ||||||||
Total | $ | i 4,863 | $ | i 70 | $ | i 27,504 | $ | i 297 |
67 | September 2020 Form 10-Q |
Notes
to Consolidated Financial Statements (Unaudited) |
$ in millions | Amortized Cost1 | Fair Value | Annualized Average Yield | |||||
AFS
securities | ||||||||
U.S. government and agency securities: | ||||||||
U.S. Treasury securities: | ||||||||
Due within 1 year | $ | i 15,671 | $ | i 15,741 | i 0.9 | % | ||
After
1 year through 5 years | i 27,523 | i 28,399 | i 1.5 | % | ||||
After
5 years through 10 years | i 2,602 | i 2,806 | i 1.7 | % | ||||
Total | i 45,796 | i 46,946 | ||||||
U.S.
agency securities: | ||||||||
Due within 1 year | i 215 | i 215 | i 0.8 | % | ||||
After
1 year through 5 years | i 70 | i 71 | i 1.6 | % | ||||
After
5 years through 10 years | i 1,235 | i 1,274 | i 1.8 | % | ||||
After
10 years | i 25,367 | i 26,090 | i 1.9 | % | ||||
Total | i 26,887 | i 27,650 | ||||||
Total
U.S. government and agency securities | i 72,683 | i 74,596 | i 1.5 | % | ||||
Corporate
and other debt: | ||||||||
Agency CMBS: | ||||||||
Due within 1 year | i 44 | i 45 | i 2.5 | % | ||||
After
1 year through 5 years | i 535 | i 547 | i 1.8 | % | ||||
After
5 years through 10 years | i 3,399 | i 3,728 | i 2.5 | % | ||||
After
10 years | i 675 | i 687 | i 1.8 | % | ||||
Total | i 4,653 | i 5,007 | ||||||
Corporate
bonds: | ||||||||
Due within 1 year | i 210 | i 213 | i 2.5 | % | ||||
After
1 year through 5 years | i 1,269 | i 1,301 | i 2.6 | % | ||||
After
5 years through 10 years | i 266 | i 273 | i 2.7 | % | ||||
After
10 years | i 11 | i 11 | i 1.7 | % | ||||
Total | i 1,756 | i 1,798 | ||||||
State
and municipal securities: | ||||||||
Due within 1 year | i 3 | i 3 | i 1.8 | % | ||||
After
1 year through 5 years | i 16 | i 16 | i 2.2 | % | ||||
After
5 years through 10 years | i 103 | i 109 | i 2.6 | % | ||||
After
10 Years | i 1,560 | i 1,596 | i 2.7 | % | ||||
Total | i 1,682 | i 1,724 | ||||||
$ in millions | Amortized Cost1 | Fair Value | Annualized Average Yield | |||||
FFELP student loan ABS: | ||||||||
After 1 year through 5 years | i 93 | i 88 | i 0.8 | % | ||||
After
5 years through 10 years | i 257 | i 241 | i 0.8 | % | ||||
After
10 years | i 1,105 | i 1,082 | i 1.2 | % | ||||
Total | i 1,455 | i 1,411 | ||||||
Total
corporate and other debt | i 9,546 | i 9,940 | i 2.3 | % | ||||
Total
AFS securities | i 82,229 | i 84,536 | i 1.6 | % | ||||
HTM
securities | ||||||||
U.S. government and agency securities: | ||||||||
U.S. Treasury securities: | ||||||||
Due within 1 year | $ | i 3,065 | $ | i 3,095 | i 2.6 | % | ||
After
1 year through 5 years | i 16,991 | i 17,880 | i 2.0 | % | ||||
After
5 years through 10 years | i 7,616 | i 8,572 | i 2.2 | % | ||||
After
10 years | i 1,082 | i 1,345 | i 2.5 | % | ||||
Total | i 28,754 | i 30,892 | ||||||
U.S.
agency securities: | ||||||||
After 5 years through 10 years | i 279 | i 288 | i 1.9 | % | ||||
After
10 years | i 16,319 | i 16,913 | i 2.0 | % | ||||
Total | i 16,598 | i 17,201 | ||||||
Total
U.S. government and agency securities | i 45,352 | i 48,093 | i 2.2 | % | ||||
Corporate
and other debt: | ||||||||
Non-agency CMBS: | ||||||||
Due within 1 year | i 110 | i 109 | i 4.6 | % | ||||
After
1 year through 5 years | i 77 | i 78 | i 3.7 | % | ||||
After
5 years through 10 years | i 576 | i 616 | i 3.8 | % | ||||
After
10 years | i 54 | i 58 | i 3.8 | % | ||||
Total
corporate and other debt | i 817 | i 861 | i 3.9 | % | ||||
Total
HTM securities | i 46,169 | i 48,954 | i 2.2 | % | ||||
Total
investment securities | $ | i 128,398 | $ | i 133,490 | i 1.8 | % |
1. | Amounts
are net of any ACL. |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Gross realized gains | $ | i 55 | $ | i 27 | $ | i 120 | $ | i 99 | ||||
Gross
realized (losses) | i — | ( i 1 | ) | ( i 14 | ) | ( i 10 | ) | |||||
Total1 | $ | i 55 | $ | i 26 | $ | i 106 | $ | i 89 |
1. | Realized
gains and losses are recognized in Other revenues in the income statements. |
September 2020 Form 10-Q | 68 |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | Gross Amounts | Amounts Offset | Net Amounts Presented | Amounts Not Offset1 | Net Amounts | ||||||||||
Assets | |||||||||||||||
Securities
purchased under agreements to resell | $ | i 199,725 | $ | ( i 111,442 | ) | $ | i 88,283 | $ | ( i 86,057 | ) | $ | i 2,226 | |||
Securities
borrowed | i 104,642 | ( i 3,839 | ) | i 100,803 | ( i 97,169 | ) | i 3,634 | ||||||||
Liabilities | |||||||||||||||
Securities
sold under agreements to repurchase | $ | i 152,760 | $ | ( i 111,384 | ) | $ | i 41,376 | $ | ( i 35,742 | ) | $ | i 5,634 | |||
Securities
loaned | i 11,821 | ( i 3,897 | ) | i 7,924 | ( i 7,725 | ) | i 199 | ||||||||
Net
amounts for which master netting agreements are not in place or may not be legally enforceable | |||||||||||||||
Securities purchased under agreements to resell | $ | i 2,117 | |||||||||||||
Securities
borrowed | i 601 | ||||||||||||||
Securities sold under agreements to repurchase | i 4,698 | ||||||||||||||
Securities
loaned | i 149 |
$ in millions | Gross Amounts | Amounts Offset | Net Amounts Presented | 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 |
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. |
$ in millions | Overnight and Open | Less than 30
Days | 30-90 Days | Over 90 Days | Total | ||||||||||
Securities sold under agreements to repurchase | $ | i 69,210 | $ | i 37,965 | $ | i 13,144 | $ | i 32,441 | $ | i 152,760 | |||||
Securities
loaned | i 5,752 | i 278 | i 1,169 | i 4,622 | i 11,821 | ||||||||||
Total
included in the offsetting disclosure | $ | i 74,962 | $ | i 38,243 | $ | i 14,313 | $ | i 37,063 | $ | i 164,581 | |||||
Trading
liabilities— Obligation to return securities received as collateral | i 21,753 | i — | i — | i — | i 21,753 | ||||||||||
Total | $ | i 96,715 | $ | i 38,243 | $ | i 14,313 | $ | i 37,063 | $ | i 186,334 |
$ 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 | ||||||
Securities sold under agreements to repurchase | ||||||
U.S. Treasury and agency securities | $ | i 55,759 | $ | i 68,895 | ||
State
and municipal securities | i 864 | i 905 | ||||
Other
sovereign government obligations | i 70,281 | i 109,414 | ||||
ABS | i 1,945 | i 2,218 | ||||
Corporate
and other debt | i 4,923 | i 6,066 | ||||
Corporate
equities | i 18,256 | i 25,563 | ||||
Other | i 732 | i 458 | ||||
Total | $ | i 152,760 | $ | i 213,519 | ||
Securities
loaned | ||||||
Other sovereign government obligations | $ | i 4,254 | $ | i 3,026 | ||
Corporate
equities | i 7,034 | i 8,422 | ||||
Other | i 533 | i 39 | ||||
Total | $ | i 11,821 | $ | i 11,487 | ||
Total
included in the offsetting disclosure | $ | i 164,581 | $ | i 225,006 | ||
Trading
liabilities—Obligation to return securities received as collateral | ||||||
Corporate equities | $ | i 21,724 | $ | i 23,873 | ||
Other | i 29 | i 4 | ||||
Total | $ | i 21,753 | $ | i 23,877 | ||
Total | $ | i 186,334 | $ | i 248,883 |
69 | September
2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | ||||||
Trading assets | $ | i 34,952 | $ | i 41,201 | ||
Loans,
before ACL | i — | i 750 | ||||
Total
| $ | i 34,952 | $ | i 41,951 |
$ in millions | ||||||
Collateral received with right to sell or repledge | $ | i 609,445 | $ | i 679,280 | ||
Collateral
that was sold or repledged1 | i 455,883 | i 539,412 |
1. | Does
not include securities used to meet federal regulations for the Firm’s U.S. broker-dealers. |
$
in millions | ||||||
Segregated securities1 | $ | i 27,679 | $ | i 25,061 |
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. |
$ in millions | ||||||
Customer receivables representing margin loans | $ | i 44,658 | $ | i 31,916 |
• | Corporate. Corporate includes revolving lines of credit, term loans and bridge loans made to corporate entities for a variety of purposes. |
• | Secured lending facilities. Secured lending facilities include loans
provided to clients, which are collateralized by various assets including residential and commercial real estate mortgage loans, corporate loans, and other assets. |
• | Residential Real Estate. Residential real estate loans mainly include non-conforming loans and HELOC. |
• | Commercial Real Estate. Commercial real estate loans include owner-occupied loans and income-producing loans. |
• | Securities-based
lending and Other. Securities-based lending includes loans which allow clients to borrow money against the value of qualifying securities for any suitable purpose other than purchasing, trading, or carrying securities or refinancing margin debt. The majority of these loans are structured as revolving lines of credit. Other primarily includes certain loans originated in the tailored lending business within the Wealth Management business segment. |
September 2020 Form 10-Q | 70 |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | Loans Held for Investment | Loans Held for Sale | Total Loans | ||||||
Corporate | $ | i 7,628 | $ | i 8,552 | $ | i 16,180 | |||
Secured
lending facilities | i 26,496 | i 3,521 | i 30,017 | ||||||
Commercial
real estate | i 7,265 | i 891 | i 8,156 | ||||||
Residential
real estate | i 33,674 | i 49 | i 33,723 | ||||||
Securities-based
lending and Other loans | i 59,006 | i 68 | i 59,074 | ||||||
Total
loans | i 134,069 | i 13,081 | i 147,150 | ||||||
ACL | ( i 913 | ) | i | ( i 913 | ) | ||||
Total
loans, net | $ | i 133,156 | $ | i 13,081 | $ | i 146,237 | |||
Fixed
rate loans, net | $ | i 31,342 | |||||||
Floating or adjustable rate loans, net | i 114,895 | ||||||||
Loans
to non-U.S. borrowers, net | i 23,591 |
$ in millions | Loans Held for Investment | Loans Held for Sale | Total Loans | ||||||
Corporate | $ | i 5,426 | $ | i 6,192 | $ | i 11,618 | |||
Secured
lending facilities | i 24,502 | i 4,200 | i 28,702 | ||||||
Commercial
real estate | i 7,859 | i 2,049 | i 9,908 | ||||||
Residential
real estate | i 30,184 | i 13 | i 30,197 | ||||||
Securities-based
lending and Other loans | i 50,438 | i 123 | i 50,561 | ||||||
Total
loans | i 118,409 | i 12,577 | i 130,986 | ||||||
ACL | ( i 349 | ) | ( 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 |
1. | Loans previously classified as corporate have
been further disaggregated; prior period balances have been revised to conform with current period presentation. |
Corporate | |||||||||
$ in millions | Investment Grade | Non-Investment Grade | Total | ||||||
Revolving Loans | $ | i 1,556 | $ | i 4,264 | $ | i 5,820 | |||
2020 | i 582 | i 176 | i 758 | ||||||
2019 | i 279 | i 159 | i 438 | ||||||
2018 | i 195 | i — | i 195 | ||||||
2017 | i — | i 64 | i 64 | ||||||
2016 | i 114 | i — | i 114 | ||||||
Prior | i 127 | i 112 | i 239 | ||||||
Total | $ | i 2,853 | $ | i 4,775 | $ | i 7,628 |
Secured lending facilities | |||||||||
$ in millions | Investment Grade | Non-Investment Grade | Total | ||||||
Revolving Loans | $ | i 4,457 | $ | i 14,832 | $ | i 19,289 | |||
2020 | i 206 | i 378 | i 584 | ||||||
2019 | i 297 | i 2,000 | i 2,297 | ||||||
2018 | i 1,063 | i 1,449 | i 2,512 | ||||||
2017 | i 245 | i 570 | i 815 | ||||||
2016 | i — | i 620 | i 620 | ||||||
Prior | i — | i 379 | i 379 | ||||||
Total | $ | i 6,268 | $ | i 20,228 | $ | i 26,496 |
Commercial real estate | |||||||||
$ in millions | Investment Grade | Non-Investment Grade | Total | ||||||
2020 | $ | i 17 | $ | i 744 | i 761 | ||||
2019 | i 637 | i 2,318 | i 2,955 | ||||||
2018 | i 601 | i 1,053 | i 1,654 | ||||||
2017 | i 188 | i 629 | i 817 | ||||||
2016 | i 235 | i 451 | i 686 | ||||||
Prior | i — | i 392 | i 392 | ||||||
Total | $ | i 1,678 | $ | i 5,587 | $ | i 7,265 |
Residential real estate | ||||||||||||||||||||
by FICO Scores | by LTV Ratio | Total | ||||||||||||||||||
$ in millions | ≥ 740 | 680-739 | ≤
679 | ≤ 80% | > 80% | |||||||||||||||
Revolving Loans | $ | i 89 | $ | i 34 | $ | i 5 | $ | i 128 | $ | i — | $ | i 128 | ||||||||
2020 | i 6,438 | i 1,337 | i 138 | i 7,487 | i 426 | i 7,913 | ||||||||||||||
2019 | i 5,791 | i 1,306 | i 175 | i 6,812 | i 460 | i 7,272 | ||||||||||||||
2018 | i 2,442 | i 685 | i 83 | i 2,952 | i 258 | i 3,210 | ||||||||||||||
2017 | i 2,875 | i 732 | i 93 | i 3,436 | i 264 | i 3,700 | ||||||||||||||
2016 | i 3,524 | i 953 | i 134 | i 4,305 | i 306 | i 4,611 | ||||||||||||||
Prior | i 4,814 | i 1,716 | i 310 | i 6,094 | i 746 | i 6,840 | ||||||||||||||
Total | $ | i 25,973 | $ | i 6,763 | $ | i 938 | $ | i 31,214 | $ | i 2,460 | $ | i 33,674 |
Securities-based lending1 | Other2 | |||||||||||
$ in millions | Investment Grade | Non-Investment Grade | Total | |||||||||
Revolving Loans | $ | i 47,251 | $ | i 4,238 | $ | i 684 | $ | i 52,173 | ||||
2020 | i — | i 860 | i 431 | i 1,291 | ||||||||
2019 | i 18 | i 1,106 | i 674 | i 1,798 | ||||||||
2018 | i 232 | i 334 | i 456 | i 1,022 | ||||||||
2017 | i — | i 663 | i 116 | i 779 | ||||||||
2016 | i — | i 579 | i 113 | i 692 | ||||||||
Prior | i 16 | i 1,068 | i 167 | i 1,251 | ||||||||
Total | $ | i 47,517 | $ | i 8,848 | $ | i 2,641 | $ | i 59,006 |
71 | September
2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | Current | Past Due1 | Total | ||||||
Corporate | $ | i 7,628 | $ | i — | $ | i 7,628 | |||
Secured
lending facilities | i 26,496 | i — | i 26,496 | ||||||
Commercial
real estate | i 7,264 | i 1 | i 7,265 | ||||||
Residential
real estate | i 33,476 | i 198 | i 33,674 | ||||||
Securities-based
lending and Other loans | i 58,881 | i 125 | i 59,006 | ||||||
Total | $ | i 133,745 | $ | i 324 | $ | i 134,069 |
1. | The
majority of the amounts are past due for a period of 90 days or more. |
$ in millions | ||||||
Corporate | $ | i 184 | $ | i 299 | ||
Commercial
real estate | i 185 | i 85 | ||||
Residential
real estate | i 92 | i 94 | ||||
Securities-based
lending and Other loans | i 133 | i 5 | ||||
Total1 | $ | i 594 | $ | i 483 | ||
Nonaccrual
loans without an ACL | $ | i 91 | $ | i 120 |
1. | Includes
all HFI loans that are 90 days or more past due. |
$
in millions | ||||||
Loans, before ACL | $ | i 166 | $ | i 92 | ||
Lending
commitments | i 32 | i 32 | ||||
ACL
on Loans and Lending commitments | i 32 | i 16 |
$ in millions | Corporate | Secured lending facilities | CRE | Residential real estate | SBL
and Other | Total | ||||||||||||
$ | i 115 | $ | i 101 | $ | i 75 | $ | i 25 | $ | i 33 | $ | i 349 | |||||||
Effect
of CECL adoption | ( i 2 | ) | ( i 42 | ) | i 34 | i 21 | ( i 2 | ) | i 9 | |||||||||
Gross
charge-offs | ( i 33 | ) | i — | ( i 26 | ) | i — | i — | ( i 59 | ) | |||||||||
Recoveries | i 3 | i — | i — | i — | i 2 | i 5 | ||||||||||||
Net (charge-offs)
recoveries | ( i 30 | ) | i — | ( i 26 | ) | i — | i 2 | ( i 54 | ) | |||||||||
Provision
(release)1 | i 281 | i 131 | i 173 | i 12 | i 4 | i 601 | ||||||||||||
Other | i 3 | i 1 | ( i 34 | ) | i — | i 38 | i 8 | |||||||||||
$ | i 367 | $ | i 191 | $ | i 222 | $ | i 58 | $ | i 75 | $ | i 913 |
$
in millions | Corporate | Secured lending facilities | CRE | Residential real estate | SBL and Other | Total | ||||||||||||
$ | i 62 | $ | i 60 | $ | i 67 | $ | i 20 | $ | i 29 | $ | i 238 | |||||||
Gross
charge-offs | i — | i — | i — | ( i 1 | ) | i — | ( i 1 | ) | ||||||||||
Provision
(release)1 | i 40 | i 28 | ( i 6 | ) | i 5 | i 1 | i 68 | |||||||||||
Other | ( i 6 | ) | ( i 1 | ) | ( i 1 | ) | i — | i — | ( i 8 | ) | ||||||||
$ | i 96 | $ | i 87 | $ | i 60 | $ | i 24 | $ | i 30 | $ | i 297 |
1. | The
provision for loan losses was $ i 63 million in the current quarter and $ i 34 million in the prior
year quarter. |
$ in millions | Corporate | Secured lending facilities | CRE | Residential
real estate | SBL and Other | Total | ||||||||||||
$ | i 201 | $ | i 27 | $ | i 7 | $ | i — | $ | i 6 | $ | i 241 | |||||||
Effect
of CECL adoption | ( i 41 | ) | ( i 11 | ) | i 1 | i 2 | ( i 1 | ) | ( i 50 | ) | ||||||||
Provision
(release)1 | i 119 | i 24 | i 7 | ( i 1 | ) | i 7 | i 156 | |||||||||||
Other | i — | i — | ( i 4 | ) | i — | i 4 | i — | |||||||||||
$ | i 279 | $ | i 40 | $ | i 11 | $ | i 1 | $ | i 16 | $ | i 347 |
$
in millions | Corporate | Secured lending facilities | CRE | Residential real estate | SBL and Other | Total | ||||||||||||
$ | i 178 | $ | i 16 | $ | i 3 | $ | i — | $ | i 6 | $ | i 203 | |||||||
Provision
(release)1 | i 27 | i 7 | i 2 | i — | i — | i 36 | ||||||||||||
Other | ( i 4 | ) | i — | i — | i — | ( i 1 | ) | ( i 5 | ) | |||||||||
$ | i 201 | $ | i 23 | $ | i 5 | $ | i — | $ | i 5 | $ | i 234 |
1. | The provision (release) for lending commitments was $ i 48 million
in the current quarter and $ i 16 million in the prior year quarter. |
September
2020 Form 10-Q | 72 |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | ||||||
Currently employed by the Firm1 | $ | i 2,940 | N/A | |||
No
longer employed by the Firm2 | i 142 | N/A | ||||
Employee loans | $ | i 3,082 | $ | i 2,980 | ||
ACL3 | ( i 165 | ) | ( i 61 | ) | ||
Employee
loans, net of ACL | $ | i 2,917 | $ | i 2,919 | ||
Remaining
repayment term, weighted average in years | i 5.1 | i 4.8 |
1. | These
loans are predominantly current. |
2. | These loans are predominantly past due for a period of 90 days or more. |
3. | The change in ACL includes a $ i 124
million increase due to the adoption of CECL in the first quarter of 2020. |
$ in millions | ||||||
Investments | $ | i 2,338 | $ | i 2,363 |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Income (loss)1 | $ | i 10 | $ | ( i 13 | ) | $ | ( i 24 | ) | $ | ( i 39 | ) |
1. | The
current year period includes an impairment of the Investment Management business segment’s investment in a third-party asset manager. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Income
(loss) from investment in MUMSS | $ | i 15 | $ | ( i 4 | ) | $ | i 46 | $ | i 5 |
$ in millions | ||||||
Savings
and demand deposits | $ | i 202,577 | $ | i 149,465 | ||
Time
deposits | i 36,676 | i 40,891 | ||||
Total | $ | i 239,253 | $ | i 190,356 | ||
Deposits
subject to FDIC insurance | $ | i 173,173 | $ | i 149,966 | ||
Time
deposits that equal or exceed the FDIC insurance limit | $ | i 20 | $ | i 12 |
73 | September
2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | |||
2020 | $ | i 5,457 | |
2021 | i 17,986 | ||
2022 | i 4,984 | ||
2023 | i 4,086 | ||
2024 | i 2,784 | ||
Thereafter | i 1,379 | ||
Total | $ | i 36,676 |
$
in millions | ||||||
Original maturities of one year or less | $ | i 4,553 | $ | i 2,567 | ||
Original
maturities greater than one year | ||||||
Senior | $ | i 187,717 | $ | i 179,519 | ||
Subordinated | i 11,174 | i 10,541 | ||||
Total | $ | i 198,891 | $ | i 190,060 | ||
Total
borrowings | $ | i 203,444 | $ | i 192,627 | ||
Weighted
average stated maturity, in years1 | i 7.4 | i 6.9 |
1. | Only
includes borrowings with original maturities greater than one year. |
$ in millions | At | |||||
Original maturities: | ||||||
One year or less | $ | i 9,141 | $ | i 7,103 | ||
Greater
than one year | i 4,716 | i 7,595 | ||||
Total | $ | i 13,857 | $ | i 14,698 | ||
Transfers
of assets accounted for as secured financings | $ | i 1,108 | $ | i 1,115 |
1. | Prior
period balances have been conformed to the current presentation. |
Years
to Maturity at September 30, 2020 | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Lending: | |||||||||||||||
Corporate | $ | i 14,707 | $ | i 36,048 | $ | i 37,002 | $ | i 4,888 | $ | i 92,645 | |||||
Secured
lending facilities | i 5,554 | i 3,693 | i 1,302 | i 133 | i 10,682 | ||||||||||
Commercial
and Residential real estate | i 137 | i 226 | i 38 | i 260 | i 661 | ||||||||||
Securities-based
lending and Other | i 12,421 | i 2,934 | i 369 | i 386 | i 16,110 | ||||||||||
Forward-starting
secured financing receivables | i 81,340 | i — | i — | i — | i 81,340 | ||||||||||
Central
counterparty1 | i 300 | i — | i — | i 9,329 | i 9,629 | ||||||||||
Underwriting | i 675 | i — | i — | i — | i 675 | ||||||||||
Investment
activities | i 947 | i 241 | i 41 | i 286 | i 1,515 | ||||||||||
Letters
of credit and other financial guarantees | i 172 | i 1 | i — | i 3 | i 176 | ||||||||||
Total | $ | i 116,253 | $ | i 43,143 | $ | i 38,752 | $ | i 15,285 | $ | i 213,433 | |||||
Lending
commitments participated to third parties | $ | i 8,647 | |||||||||||||
Forward-starting secured financing receivables settled within three business days | $ | i 72,771 |
1. | Beginning
in the first quarter of 2020, commitments to central counterparties are presented separately; these commitments were previously included in Corporate Lending commitments and Forward-starting secured financing receivables depending on the type of agreement. These commitments relate to the Firm’s membership in certain clearinghouses and are contingent upon the default of a clearinghouse member or other stress events. |
September
2020 Form 10-Q | 74 |
Notes to Consolidated Financial Statements (Unaudited) |
Years to Maturity at September 30, 2020 | |||||||||||||||
$ in millions | Less than 1 | 1-3 | 3-5 | Over 5 | Total | ||||||||||
Credit
derivatives | $ | i 25,206 | $ | i 42,799 | $ | i 114,950 | $ | i 72,312 | $ | i 255,267 | |||||
Other
credit contracts | i — | i 190 | i — | i 104 | i 294 | ||||||||||
Non-credit
derivatives | i 1,531,263 | i 1,122,139 | i 367,428 | i 779,686 | i 3,800,516 | ||||||||||
Standby
letters of credit and other financial guarantees issued1 | i 1,082 | i 1,475 | i 758 | i 3,967 | i 7,282 | ||||||||||
Market
value guarantees | i 92 | i 28 | i — | i — | i 120 | ||||||||||
Liquidity
facilities | i 4,342 | i — | i — | i — | i 4,342 | ||||||||||
Whole
loan sales guarantees | i 1 | i — | i 9 | i 23,176 | i 23,186 | ||||||||||
Securitization
representations and warranties | i — | i — | i — | i 67,024 | i 67,024 | ||||||||||
General
partner guarantees | i 59 | i 161 | i 12 | i 115 | i 347 | ||||||||||
Client
clearing guarantees | i 92 | i — | i — | i — | i 92 |
$
in millions | Carrying Amount Asset (Liability) | ||
Credit derivatives2 | $ | ( i 1,757 | ) |
Other
credit contracts | ( i 4 | ) | |
Non-credit derivatives2 | ( i 88,369 | ) | |
Standby
letters of credit and other financial guarantees issued1 | i 113 | ||
Market value guarantees | i — | ||
Liquidity
facilities | i 6 | ||
Whole loan sales guarantees | i — | ||
Securitization
representations and warranties3 | ( i 42 | ) | |
General partner guarantees | ( i 66 | ) | |
Client
clearing guarantees | i — |
1. | These amounts include certain issued standby
letters of credit participated to third parties, totaling $ i 0.6 billion of notional and collateral/recourse, due to the nature of the Firm’s obligations under these arrangements. As of September 30, 2020, the carrying amount of standby letters of credit and other financial guarantees issued includes an allowance for credit losses of $ i 86
million. |
2. |
3. | Primarily
related to residential mortgage securitizations. |
75 | September
2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
September 2020 Form 10-Q | 76 |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | VIE Assets | VIE Liabilities | VIE Assets | VIE Liabilities | ||||||||
OSF | $ | i 672 | $ | i 429 | $ | i 696 | $ | i 391 | ||||
MABS1 | i 447 | i 108 | i 265 | i 4 | ||||||||
Other2 | i 942 | i 42 | i 987 | i 66 | ||||||||
Total | $ | i 2,061 | $ | i 579 | $ | i 1,948 | $ | i 461 |
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 | $ | i 284 | $ | i 488 | ||
Trading
assets at fair value | i 1,376 | i 943 | ||||
Customer
and other receivables | i 8 | i 18 | ||||
Intangible
assets | i 101 | i 111 | ||||
Other
assets | i 292 | i 388 | ||||
Total | $ | i 2,061 | $ | i 1,948 | ||
Liabilities | ||||||
Other
secured financings | $ | i 536 | $ | i 422 | ||
Other
liabilities and accrued expenses | i 43 | i 39 | ||||
Total | $ | i 579 | $ | i 461 | ||
Noncontrolling
interests | $ | i 275 | $ | i 192 |
77 | September
2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | MABS1 | CDO | MTOB | OSF | Other2 | ||||||||||
VIE
assets (UPB) | $ | i 136,362 | $ | i 3,744 | $ | i 6,404 | $ | i 2,190 | $ | i 50,040 | |||||
Maximum
exposure to loss3 | |||||||||||||||
Debt and equity interests | $ | i 16,821 | $ | i 390 | $ | i — | $ | i 1,059 | $ | i 10,581 | |||||
Derivative
and other contracts | i — | i — | i 4,342 | i — | i 3,853 | ||||||||||
Commitments,
guarantees and other | i 810 | i — | i — | i — | i 685 | ||||||||||
Total | $ | i 17,631 | $ | i 390 | $ | i 4,342 | $ | i 1,059 | $ | i 15,119 | |||||
Carrying
value of variable interests—Assets | |||||||||||||||
Debt and equity interests | $ | i 16,821 | $ | i 390 | $ | i — | $ | i 1,059 | $ | i 10,581 | |||||
Derivative
and other contracts | i — | i — | i 6 | i — | i 621 | ||||||||||
Total | $ | i 16,821 | $ | i 390 | $ | i 6 | $ | i 1,059 | $ | i 11,202 | |||||
Additional
VIE assets owned4 | $ | i 11,832 | |||||||||||||
Carrying
value of variable interests—Liabilities | |||||||||||||||
Derivative and other contracts | $ | i — | $ | i — | $ | i 1 | $ | i — | $ | i 114 | |||||
Total | $ | i — | $ | i — | $ | i 1 | $ | i — | $ | i 114 |
$ 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 |
1. | Amounts include transactions backed by residential mortgage loans, commercial mortgage loans and other types of assets, including consumer or commercial assets. and may be in loan or security form. |
2. | Other primarily includes exposures to commercial real estate property and investment funds. |
3. | Where
notional amounts are utilized in quantifying the maximum exposure related to derivatives, such amounts do not reflect changes in fair value recorded by the Firm. |
4. | Additional VIE assets owned represents the carrying value of total exposure to non-consolidated VIEs for which the maximum exposure to loss is less than specific thresholds, primarily interests issued by securitization SPEs. The Firm’s maximum exposure to loss generally equals the fair value of the assets owned. These assets are primarily included in Trading assets and Investment securities and are measured at fair value (see Note 5). The Firm does not provide
additional support in these transactions through contractual facilities, guarantees or similar derivatives. |
$ in millions | UPB | Debt and Equity Interests | UPB | Debt and Equity Interests | ||||||||
Residential
mortgages | $ | i 20,056 | $ | i 3,264 | $ | i 30,353 | $ | i 3,993 | ||||
Commercial
mortgages | i 59,111 | i 3,940 | i 53,892 | i 3,881 | ||||||||
U.S.
agency collateralized mortgage obligations | i 52,335 | i 8,021 | i 36,366 | i 6,365 | ||||||||
Other
consumer or commercial loans | i 4,860 | i 1,596 | i 4,992 | i 2,075 | ||||||||
Total | $ | i 136,362 | $ | i 16,821 | $ | i 125,603 | $ | i 16,314 |
$ in millions | RML | CML | U.S. Agency CMO | CLN and Other1 | ||||||||
SPE
assets (UPB)2 | $ | i 7,225 | $ | i 81,900 | $ | i 22,951 | $ | i 12,223 | ||||
Retained
interests | ||||||||||||
Investment grade | $ | i 47 | $ | i 794 | $ | i 745 | $ | i — | ||||
Non-investment
grade | i 16 | i 221 | i — | i 89 | ||||||||
Total | $ | i 63 | $ | i 1,015 | $ | i 745 | $ | i 89 | ||||
Interests
purchased in the secondary market | ||||||||||||
Investment grade | $ | i 1 | $ | i 129 | $ | i 26 | $ | i — | ||||
Non-investment
grade | i 24 | i 60 | i — | i — | ||||||||
Total | $ | i 25 | $ | i 189 | $ | i 26 | $ | i — | ||||
Derivative
assets | $ | i — | $ | i — | $ | i — | $ | i 500 | ||||
Derivative
liabilities | i — | i — | i — | i 127 |
September
2020 Form 10-Q | 78 |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | RML | CML | U.S. Agency CMO | CLN and Other1 | ||||||||
SPE assets (UPB)2 | $ | 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 |
Fair
Value At September 30, 2020 | |||||||||
$ in millions | Level 2 | Level 3 | Total | ||||||
Retained interests | |||||||||
Investment grade | $ | i 771 | $ | i 22 | $ | i 793 | |||
Non-investment
grade | i 5 | i 72 | i 77 | ||||||
Total | $ | i 776 | $ | i 94 | $ | i 870 | |||
Interests
purchased in the secondary market | |||||||||
Investment grade | $ | i 154 | $ | i 2 | $ | i 156 | |||
Non-investment
grade | i 66 | i 18 | i 84 | ||||||
Total | $ | i 220 | $ | i 20 | $ | i 240 | |||
Derivative
assets | $ | i 495 | $ | i 5 | $ | i 500 | |||
Derivative
liabilities | i 126 | i 1 | i 127 |
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 |
1. | Amounts include CLO transactions managed by unrelated third parties. |
2. | Amounts include assets transferred by unrelated transferors. |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
New transactions1 | $ | i 12,969 | $ | i 8,651 | $ | i 30,629 | $ | i 20,897 | ||||
Retained
interests | i 1,991 | i 902 | i 7,215 | i 4,424 | ||||||||
Sales
of corporate loans to CLO SPEs1, 2 | i 234 | i — | i 373 | i — |
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. |
$ in millions | ||||||
Gross cash proceeds from sale of assets1 | $ | i 31,800 | $ | i 38,661 | ||
Fair
value | ||||||
Assets sold | $ | i 32,006 | $ | i 39,137 | ||
Derivative
assets recognized in the balance sheets | i 631 | i 647 | ||||
Derivative
liabilities recognized in the balance sheets | i 423 | i 152 |
1. | The
carrying value of assets derecognized at the time of sale approximates gross cash proceeds. |
79 | September
2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
• | A greater than i 2.5%
capital conservation buffer; |
• | The G-SIB capital surcharge, currently at i 3%; and |
• | Up
to a i 2.5% CCyB, currently set by U.S. banking agencies at zero. |
$ in millions | Required Ratio1 | Amount | Ratio | ||||
Risk-based
capital | |||||||
Common Equity Tier 1 capital | i 10.0 | % | $ | i 71,157 | i 16.9 | % | |
Tier
1 capital | i 11.5 | % | i 79,905 | i 19.0 | % | ||
Total
capital | i 13.5 | % | i 89,763 | i 21.4 | % | ||
Total
RWA | i 420,081 |
$
in millions | Required Ratio1 | |||||
Leverage-based capital | ||||||
Adjusted average assets2 | $ | i 962,435 | ||||
Tier
1 leverage ratio | i 4.0 | % | i 8.3 | % | ||
Supplementary
leverage exposure3,4 | $ | i 1,084,348 | ||||
SLR3 | i 5.0 | % | i 7.4 | % |
$ 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 |
$
in millions | Required Ratio1 | |||||
Leverage-based capital | ||||||
Adjusted average assets2 | $ | i 889,195 | ||||
Tier
1 leverage ratio | i 4.0 | % | i 8.3 | % | ||
Supplementary
leverage exposure3,4 | $ | i 1,155,177 | ||||
SLR3 | i 5.0 | % | i 6.4 | % |
1. | Required
ratios are inclusive of any buffers applicable as of the date presented. Failure to maintain the buffers would result in restrictions on the 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. | Based on a Federal Reserve interim final rule in effect until March 31, 2021, the Firm’s SLR and Supplementary leverage exposure as of September 30, 2020 reflect the exclusion of U.S. Treasury securities and deposits at Federal Reserve Banks. |
4. | 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. |
September 2020 Form 10-Q | 80 |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | Well-Capitalized Requirement | Required Ratio1 | Amount | Ratio | |||||
Risk-based
capital | |||||||||
Common Equity Tier 1 capital | i 6.5 | % | i 7.0 | % | $ | i 17,764 | i 19.7 | % | |
Tier
1 capital | i 8.0 | % | i 8.5 | % | i 17,764 | i 19.7 | % | ||
Total
capital | i 10.0 | % | i 10.5 | % | i 18,442 | i 20.4 | % | ||
Leverage-based
capital | |||||||||
Tier 1 leverage | i 5.0 | % | i 4.0 | % | $ | i 17,764 | i 10.7 | % | |
SLR | i 6.0 | % | i 3.0 | % | i 17,764 | i 8.5 | % |
$ in millions | Well-Capitalized Requirement | Required Ratio1 | Amount | Ratio | |||||
Risk-based capital | |||||||||
Common
Equity Tier 1 capital | i 6.5 | % | i 7.0 | % | $ | i 15,919 | i 18.5 | % | |
Tier
1 capital | i 8.0 | % | i 8.5 | % | i 15,919 | i 18.5 | % | ||
Total
capital | i 10.0 | % | i 10.5 | % | i 16,282 | i 18.9 | % | ||
Leverage-based
capital | |||||||||
Tier 1 leverage | i 5.0 | % | i 4.0 | % | $ | i 15,919 | i 11.3 | % | |
SLR | i 6.0 | % | i 3.0 | % | i 15,919 | i 8.7 | % |
$ in millions | Well-Capitalized Requirement | Required Ratio1 | Amount | Ratio | |||||
Risk-based
capital | |||||||||
Common Equity Tier 1 capital | i 6.5 | % | i 7.0 | % | $ | i 8,528 | i 23.4 | % | |
Tier
1 capital | i 8.0 | % | i 8.5 | % | i 8,528 | i 23.4 | % | ||
Total
capital | i 10.0 | % | i 10.5 | % | i 8,611 | i 23.6 | % | ||
Leverage-based
capital | |||||||||
Tier 1 leverage | i 5.0 | % | i 4.0 | % | $ | i 8,528 | i 8.2 | % | |
SLR | i 6.0 | % | i 3.0 | % | i 8,528 | i 7.8 | % |
$ in millions | Well-Capitalized Requirement | Required Ratio1 | Amount | Ratio | |||||
Risk-based capital | |||||||||
Common
Equity Tier 1 capital | i 6.5 | % | i 7.0 | % | $ | i 7,962 | i 24.8 | % | |
Tier
1 capital | i 8.0 | % | i 8.5 | % | i 7,962 | i 24.8 | % | ||
Total
capital | i 10.0 | % | i 10.5 | % | i 8,016 | i 25.0 | % | ||
Leverage-based
capital | |||||||||
Tier 1 leverage | i 5.0 | % | i 4.0 | % | $ | i 7,962 | i 9.9 | % | |
SLR | i 6.0 | % | i 3.0 | % | i 7,962 | i 9.4 | % |
1. | Required
ratios are inclusive of any buffers applicable as of the date presented. Failure to maintain the buffers would result in restrictions on the U.S. Bank Subsidiaries' ability to make capital distributions, including the payment of dividends. |
$ in millions | ||||||
Net capital | $ | i 14,183 | $ | i 13,708 | ||
Excess
net capital | i 10,217 | i 10,686 |
$ in millions | ||||||
Net capital | $ | i 2,758 | $ | i 3,387 | ||
Excess
net capital | i 2,581 | i 3,238 |
81 | September
2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
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 | |||||||
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 500 | |||||||
Total | $ | i 8,520 | $ | i 8,520 | |||||||
Shares
authorized | i 30,000,000 |
1. | Series C preferred stock is held by MUFG. |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||
in millions | 2020 | 2019 | 2020 | 2019 | ||||
Weighted average common shares outstanding, basic | i 1,542 | i 1,604 | i 1,546 | i 1,632 | ||||
Effect
of dilutive Stock options, RSUs and PSUs | i 24 | i 23 | i 19 | i 21 | ||||
Weighted
average common shares outstanding and common stock equivalents, diluted | i 1,566 | i 1,627 | i 1,565 | i 1,653 | ||||
Weighted
average antidilutive common stock equivalents (excluded from the computation of diluted EPS) | i — | i — | i 7 | i 2 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Repurchases
of common stock under the Firm's Share Repurchase Program | $ | i — | $ | i 1,500 | $ | i 1,347 | $ | i 3,860 |
$
in millions, except per share data | Three Months Ended September 30, 2020 | Three Months Ended September 30, 2019 | ||||||||||
Per Share1 | Total | Per Share1 | Total | |||||||||
Preferred Stock Series | ||||||||||||
A | $ | i 256 | $ | i 11 | $ | i 256 | $ | i 11 | ||||
C | i 25 | i 13 | i 25 | i 13 | ||||||||
E | i 445 | i 15 | i 445 | i 15 | ||||||||
F | i 430 | i 15 | i 430 | i 15 | ||||||||
G2 | i — | i — | i 414 | i 8 | ||||||||
H3 | i 248 | i 13 | i 378 | i 20 | ||||||||
I | i 398 | i 16 | i 398 | i 16 | ||||||||
J4 | i 261 | i 16 | i — | i — | ||||||||
K | i 366 | i 15 | i 366 | i 15 | ||||||||
L | i 305 | i 6 | i — | i — | ||||||||
Total
Preferred stock | $ | i 120 | $ | i 113 | ||||||||
Common
stock | i 0.35 | $ | i 551 | $ | i 0.35 | $ | i 577 |
September
2020 Form 10-Q | 82 |
Notes to Consolidated Financial Statements (Unaudited) |
$
in millions, except per share data | Nine Months Ended September 30, 2020 | Nine Months Ended September 30, 2019 | ||||||||||
Per Share1 | Total | Per Share1 | Total | |||||||||
Preferred Stock Series | ||||||||||||
A | $ | i 761 | $ | i 33 | $ | i 758 | $ | i 33 | ||||
C | i 75 | i 39 | i 75 | i 39 | ||||||||
E | i 1,336 | i 45 | i 1,336 | i 45 | ||||||||
F | i 1,289 | i 44 | i 1,289 | i 45 | ||||||||
G2 | i — | i — | i 1,242 | i 24 | ||||||||
H3 | i 897 | i 47 | i 1,059 | i 55 | ||||||||
I | i 1,195 | i 48 | i 1,195 | i 48 | ||||||||
J4 | i 955 | i 58 | i 694 | i 42 | ||||||||
K | i 1,097 | i 45 | i 1,097 | i 45 | ||||||||
L | i 914 | i 18 | i — | i — | ||||||||
Total
Preferred stock | $ | i 377 | $ | i 376 | ||||||||
Common
stock | i 1.05 | $ | i 1,662 | $ | i 0.95 | $ | i 1,594 |
1. | Common
and Preferred Stock dividends are payable quarterly, unless otherwise noted. |
2. | Series G preferred stock was redeemed during the first quarter of 2020. For further information, see Note 16 to the financial statements in the 2019 Form 10-K. |
3. | Series H was payable semiannually until July 15, 2019, and is now payable quarterly.
|
4. | Series J was payable semiannually until July 15, 2020, and is now payable quarterly. |
Nine
Months Ended | |||
$ in millions | |||
Financial Instruments—Credit Losses | $ | ( i 100 | ) |
Nine
Months Ended | |||
$ in millions | |||
Leases | $ | i 63 |
$ in millions | CTA | AFS Securities | Pension, Postretirement and
Other | DVA | Total | ||||||||||
$ | ( i 1,017 | ) | $ | i 1,827 | $ | ( i 620 | ) | $ | ( i 189 | ) | $ | i 1 | |||
OCI
during the period | i 81 | ( i 62 | ) | i 5 | ( i 562 | ) | ( i 538 | ) | |||||||
$ | ( i 936 | ) | $ | i 1,765 | $ | ( i 615 | ) | $ | ( i 751 | ) | $ | ( i 537 | ) | ||
$ | ( i 865 | ) | $ | i 108 | $ | ( i 574 | ) | $ | ( i 720 | ) | $ | ( i 2,051 | ) | ||
OCI
during the period | ( i 96 | ) | i 214 | i 3 | i 332 | i 453 | |||||||||
$ | ( i 961 | ) | $ | i 322 | $ | ( i 571 | ) | $ | ( i 388 | ) | $ | ( i 1,598 | ) | ||
$ | ( i 897 | ) | $ | i 207 | $ | ( i 644 | ) | $ | ( i 1,454 | ) | $ | ( i 2,788 | ) | ||
OCI
during the period | ( i 39 | ) | i 1,558 | i 29 | i 703 | i 2,251 | |||||||||
$ | ( i 936 | ) | $ | i 1,765 | $ | ( i 615 | ) | $ | ( i 751 | ) | $ | ( i 537 | ) | ||
$ | ( i 889 | ) | $ | ( i 930 | ) | $ | ( i 578 | ) | $ | i 105 | $ | ( i 2,292 | ) | ||
OCI
during the period | ( i 72 | ) | i 1,252 | i 7 | ( i 493 | ) | i 694 | ||||||||
$ | ( i 961 | ) | $ | i 322 | $ | ( i 571 | ) | $ | ( i 388 | ) | $ | ( i 1,598 | ) |
1. | Amounts are net of tax and noncontrolling interests. |
Three Months Ended September 30, 2020 | |||||||||||||||
$ in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||
CTA | |||||||||||||||
OCI
activity | $ | i 34 | $ | i 76 | $ | i 110 | $ | i 29 | $ | i 81 | |||||
Reclassified
to earnings | i — | i — | i — | i — | i — | ||||||||||
Net
OCI | $ | i 34 | $ | i 76 | $ | i 110 | $ | i 29 | $ | i 81 | |||||
Change
in net unrealized gains (losses) on AFS securities | |||||||||||||||
OCI activity | $ | ( i 26 | ) | $ | i 6 | $ | ( i 20 | ) | $ | i — | $ | ( i 20 | ) | ||
Reclassified
to earnings | ( i 55 | ) | i 13 | ( i 42 | ) | i — | ( i 42 | ) | |||||||
Net
OCI | $ | ( i 81 | ) | $ | i 19 | $ | ( i 62 | ) | $ | i — | $ | ( i 62 | ) | ||
Pension,
postretirement and other | |||||||||||||||
OCI activity | $ | ( i 1 | ) | $ | i 1 | $ | i — | $ | i — | $ | i — | ||||
Reclassified
to earnings | i 6 | ( i 1 | ) | i 5 | i — | i 5 | |||||||||
Net
OCI | $ | i 5 | $ | i — | $ | i 5 | $ | i — | $ | i 5 | |||||
Change
in net DVA | |||||||||||||||
OCI activity | $ | ( i 747 | ) | $ | i 178 | $ | ( i 569 | ) | $ | ( i 1 | ) | $ | ( i 568 | ) | |
Reclassified
to earnings | i 8 | ( i 2 | ) | i 6 | i — | i 6 | |||||||||
Net
OCI | $ | ( i 739 | ) | $ | i 176 | $ | ( i 563 | ) | $ | ( i 1 | ) | $ | ( i 562 | ) |
Three
Months Ended September 30, 2019 | |||||||||||||||
$ in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||
CTA | |||||||||||||||
OCI activity | $ | ( i 26 | ) | $ | ( i 73 | ) | $ | ( i 99 | ) | $ | ( i 3 | ) | $ | ( i 96 | ) |
Reclassified
to earnings | i — | i — | i — | i — | i — | ||||||||||
Net
OCI | $ | ( i 26 | ) | $ | ( i 73 | ) | $ | ( i 99 | ) | $ | ( i 3 | ) | $ | ( i 96 | ) |
Change
in net unrealized gains (losses) on AFS securities | |||||||||||||||
OCI activity | $ | i 307 | $ | ( i 73 | ) | $ | i 234 | $ | i — | $ | i 234 | ||||
Reclassified
to earnings | ( i 26 | ) | i 6 | ( i 20 | ) | i — | ( i 20 | ) | |||||||
Net
OCI | $ | i 281 | $ | ( i 67 | ) | $ | i 214 | $ | i — | $ | i 214 | ||||
Pension,
postretirement and other | |||||||||||||||
OCI activity | $ | i — | $ | i — | $ | i — | $ | i — | $ | i — | |||||
Reclassified
to earnings | i 4 | ( i 1 | ) | i 3 | i — | i 3 | |||||||||
Net
OCI | $ | i 4 | $ | ( i 1 | ) | $ | i 3 | $ | i — | $ | i 3 | ||||
Change
in net DVA | |||||||||||||||
OCI activity | $ | i 441 | $ | ( i 106 | ) | $ | i 335 | $ | i 5 | $ | i 330 | ||||
Reclassified
to earnings | i 2 | i — | i 2 | i — | i 2 | ||||||||||
Net
OCI | $ | i 443 | $ | ( i 106 | ) | $ | i 337 | $ | i 5 | $ | i 332 |
83 | September
2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
Nine
Months Ended September 30, 2020 | |||||||||||||||
$ in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||
CTA | |||||||||||||||
OCI activity | $ | i 19 | $ | ( i 17 | ) | $ | i 2 | $ | i 38 | $ | ( i 36 | ) | |||
Reclassified
to earnings | ( i 3 | ) | i — | ( i 3 | ) | i — | ( i 3 | ) | |||||||
Net
OCI | $ | i 16 | $ | ( i 17 | ) | $ | ( i 1 | ) | $ | i 38 | $ | ( i 39 | ) | ||
Change
in net unrealized gains (losses) on AFS securities | |||||||||||||||
OCI activity | $ | i 2,142 | $ | ( i 503 | ) | $ | i 1,639 | $ | i — | $ | i 1,639 | ||||
Reclassified
to earnings | ( i 106 | ) | i 25 | ( i 81 | ) | i — | ( i 81 | ) | |||||||
Net
OCI | $ | i 2,036 | $ | ( i 478 | ) | $ | i 1,558 | $ | i — | $ | i 1,558 | ||||
Pension,
postretirement and other | |||||||||||||||
OCI activity | $ | i 20 | $ | ( i 4 | ) | $ | i 16 | $ | i — | $ | i 16 | ||||
Reclassified
to earnings | i 16 | ( i 3 | ) | i 13 | i — | i 13 | |||||||||
Net
OCI | $ | i 36 | $ | ( i 7 | ) | $ | i 29 | $ | i — | $ | i 29 | ||||
Change
in net DVA | |||||||||||||||
OCI activity | $ | i 967 | $ | ( i 233 | ) | $ | i 734 | $ | i 41 | $ | i 693 | ||||
Reclassified
to earnings | i 14 | ( i 4 | ) | i 10 | i — | i 10 | |||||||||
Net
OCI | $ | i 981 | $ | ( i 237 | ) | $ | i 744 | $ | i 41 | $ | i 703 |
Nine
Months Ended September 30, 2019 | |||||||||||||||
$ in millions | Pre-tax Gain (Loss) | Income Tax Benefit (Provision) | After-tax Gain (Loss) | Non- controlling Interests | Net | ||||||||||
CTA | |||||||||||||||
OCI activity | $ | i 2 | $ | ( i 58 | ) | $ | ( i 56 | ) | $ | i 16 | $ | ( i 72 | ) | ||
Reclassified
to earnings | i — | i — | i — | i — | i — | ||||||||||
Net
OCI | $ | i 2 | $ | ( i 58 | ) | $ | ( i 56 | ) | $ | i 16 | $ | ( i 72 | ) | ||
Change
in net unrealized gains (losses) on AFS securities | |||||||||||||||
OCI activity | $ | i 1,726 | $ | ( i 406 | ) | $ | i 1,320 | $ | i — | $ | i 1,320 | ||||
Reclassified
to earnings | ( i 89 | ) | i 21 | ( i 68 | ) | i — | ( i 68 | ) | |||||||
Net
OCI | $ | i 1,637 | $ | ( i 385 | ) | $ | i 1,252 | $ | i — | $ | i 1,252 | ||||
Pension,
postretirement and other | |||||||||||||||
OCI activity | $ | i — | $ | ( i 1 | ) | $ | ( i 1 | ) | $ | i — | $ | ( i 1 | ) | ||
Reclassified
to earnings | i 10 | ( i 2 | ) | i 8 | i — | i 8 | |||||||||
Net
OCI | $ | i 10 | $ | ( i 3 | ) | $ | i 7 | $ | i — | $ | i 7 | ||||
Change
in net DVA | |||||||||||||||
OCI activity | $ | ( i 713 | ) | $ | i 177 | $ | ( i 536 | ) | $ | ( i 36 | ) | $ | ( i 500 | ) | |
Reclassified
to earnings | i 9 | ( i 2 | ) | i 7 | i — | i 7 | |||||||||
Net
OCI | $ | ( i 704 | ) | $ | i 175 | $ | ( i 529 | ) | $ | ( i 36 | ) | $ | ( i 493 | ) |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Interest income | ||||||||||||
Investment
securities | $ | i 529 | $ | i 579 | $ | i 1,603 | $ | i 1,563 | ||||
Loans | i 967 | i 1,208 | i 3,171 | i 3,599 | ||||||||
Securities
purchased under agreements to resell and Securities borrowed1 | ( i 187 | ) | i 871 | i 70 | i 2,865 | |||||||
Trading
assets, net of Trading liabilities | i 537 | i 728 | i 1,902 | i 2,188 | ||||||||
Customer
receivables and Other2 | i 210 | i 964 | i 1,171 | i 2,931 | ||||||||
Total
interest income | $ | i 2,056 | $ | i 4,350 | $ | i 7,917 | $ | i 13,146 | ||||
Interest
expense | ||||||||||||
Deposits | $ | i 178 | $ | i 505 | $ | i 804 | $ | i 1,460 | ||||
Borrowings | i 714 | i 1,219 | i 2,534 | i 3,941 | ||||||||
Securities
sold under agreements to repurchase and Securities loaned3 | i 165 | i 681 | i 883 | i 2,016 | ||||||||
Customer
payables and Other4 | ( i 487 | ) | i 727 | ( i 746 | ) | i 2,468 | ||||||
Total
interest expense | $ | i 570 | $ | i 3,132 | $ | i 3,475 | $ | i 9,885 | ||||
Net
interest | $ | i 1,486 | $ | i 1,218 | $ | i 4,442 | $ | i 3,261 |
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 | ||||||
Customer and other receivables | $ | i 2,244 | $ | i 1,661 | ||
Customer
and other payables | i 2,545 | i 2,223 |
September 2020 Form 10-Q | 84 |
Notes
to Consolidated Financial Statements (Unaudited) |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Recurring1 | $ | i — | $ | i — | $ | ( i 94 | ) | $ | ( i 127 | ) | ||
Intermittent | ( i 113 | ) | ( i 89 | ) | ( i 10 | ) | ( i 190 | ) |
Three Months Ended September 30, 2020 | |||||||||||||||
$ in millions | IS | WM | IM | I/E | Total | ||||||||||
Investment
banking | $ | i 1,707 | $ | i 135 | $ | i — | $ | ( i 16 | ) | $ | i 1,826 | ||||
Trading | i 2,807 | i 268 | i 2 | i 15 | i 3,092 | ||||||||||
Investments | i 87 | i 1 | i 258 | i — | i 346 | ||||||||||
Commissions
and fees1 | i 639 | i 477 | i 1 | ( i 80 | ) | i 1,037 | |||||||||
Asset
management1 | i 114 | i 2,793 | i 795 | ( i 38 | ) | i 3,664 | |||||||||
Other | i 114 | i 94 | i 1 | ( i 3 | ) | i 206 | |||||||||
Total
non-interest revenues | i 5,468 | i 3,768 | i 1,057 | ( i 122 | ) | i 10,171 | |||||||||
Interest
income | i 1,086 | i 1,065 | i 7 | ( i 102 | ) | i 2,056 | |||||||||
Interest
expense | i 492 | i 176 | i 8 | ( i 106 | ) | i 570 | |||||||||
Net
interest | i 594 | i 889 | ( i 1 | ) | i 4 | i 1,486 | |||||||||
Net
revenues | $ | i 6,062 | $ | i 4,657 | $ | i 1,056 | $ | ( i 118 | ) | $ | i 11,657 | ||||
Income
before provision for income taxes | $ | i 2,048 | $ | i 1,120 | $ | i 315 | $ | i 4 | $ | i 3,487 | |||||
Provision
for income taxes | i 385 | i 278 | i 72 | i 1 | i 736 | ||||||||||
Net
income | i 1,663 | i 842 | i 243 | i 3 | i 2,751 | ||||||||||
Net
income applicable to noncontrolling interests | i 16 | i — | i 18 | i — | i 34 | ||||||||||
Net
income applicable to Morgan Stanley | $ | i 1,647 | $ | i 842 | $ | i 225 | $ | i 3 | $ | i 2,717 |
Three Months Ended September 30, 2019 | |||||||||||||||
$ in millions | IS | WM | IM | I/E | Total | ||||||||||
Investment
banking | $ | i 1,535 | $ | i 118 | $ | i — | $ | ( i 18 | ) | $ | i 1,635 | ||||
Trading | i 2,533 | i 61 | i 2 | i 12 | i 2,608 | ||||||||||
Investments | ( i 18 | ) | i — | i 105 | i — | i 87 | |||||||||
Commissions
and fees1 | i 643 | i 416 | i 1 | ( i 70 | ) | i 990 | |||||||||
Asset
management1 | i 100 | i 2,639 | i 664 | ( i 40 | ) | i 3,363 | |||||||||
Other | i 51 | i 81 | i — | ( i 1 | ) | i 131 | |||||||||
Total
non-interest revenues | i 4,844 | i 3,315 | i 772 | ( i 117 | ) | i 8,814 | |||||||||
Interest
income | i 3,112 | i 1,378 | i 4 | ( i 144 | ) | i 4,350 | |||||||||
Interest
expense | i 2,933 | i 335 | i 12 | ( i 148 | ) | i 3,132 | |||||||||
Net
interest | i 179 | i 1,043 | ( i 8 | ) | i 4 | i 1,218 | |||||||||
Net
revenues | $ | i 5,023 | $ | i 4,358 | $ | i 764 | $ | ( i 113 | ) | $ | i 10,032 | ||||
Income
before provision for income taxes | $ | i 1,307 | $ | i 1,238 | $ | i 165 | $ | i — | $ | i 2,710 | |||||
Provision
for income taxes | i 189 | i 276 | i 27 | i — | i 492 | ||||||||||
Net
income | i 1,118 | i 962 | i 138 | i — | i 2,218 | ||||||||||
Net
income applicable to noncontrolling interests | i 45 | i — | i — | i — | i 45 | ||||||||||
Net
income applicable to Morgan Stanley | $ | i 1,073 | $ | i 962 | $ | i 138 | $ | i — | $ | i 2,173 |
85 | September
2020 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
Nine
Months Ended September 30, 2020 | |||||||||||||||
$ in millions | IS | WM | IM | I/E | Total | ||||||||||
Investment banking | $ | i 4,902 | $ | i 403 | $ | i — | $ | ( i 66 | ) | $ | i 5,239 | ||||
Trading | i 10,375 | i 413 | ( i 13 | ) | i 56 | i 10,831 | |||||||||
Investments | i 98 | i 9 | i 552 | i — | i 659 | ||||||||||
Commissions
and fees1 | i 2,230 | i 1,538 | i 1 | ( i 270 | ) | i 3,499 | |||||||||
Asset
management1 | i 342 | i 7,980 | i 2,144 | ( i 120 | ) | i 10,346 | |||||||||
Other | ( i 628 | ) | i 216 | ( i 39 | ) | ( i 7 | ) | ( i 458 | ) | ||||||
Total
non-interest revenues | i 17,319 | i 10,559 | i 2,645 | ( i 407 | ) | i 30,116 | |||||||||
Interest
income | i 4,809 | i 3,468 | i 22 | ( i 382 | ) | i 7,917 | |||||||||
Interest
expense | i 3,184 | i 653 | i 33 | ( i 395 | ) | i 3,475 | |||||||||
Net
interest | i 1,625 | i 2,815 | ( i 11 | ) | i 13 | i 4,442 | |||||||||
Net
revenues | $ | i 18,944 | $ | i 13,374 | $ | i 2,634 | $ | ( i 394 | ) | $ | i 34,558 | ||||
Income
before provision for income taxes | $ | i 5,991 | $ | i 3,317 | $ | i 674 | $ | i 6 | $ | i 9,988 | |||||
Provision
for income taxes | i 1,326 | i 758 | i 136 | i 1 | i 2,221 | ||||||||||
Net
income | i 4,665 | i 2,559 | i 538 | i 5 | i 7,767 | ||||||||||
Net
income applicable to noncontrolling interests | i 75 | i — | i 81 | i — | i 156 | ||||||||||
Net
income applicable to Morgan Stanley | $ | i 4,590 | $ | i 2,559 | $ | i 457 | $ | i 5 | $ | i 7,611 |
Nine
Months Ended September 30, 2019 | |||||||||||||||
$ in millions | IS | WM | IM | I/E | Total | ||||||||||
Investment banking | $ | i 4,158 | $ | i 365 | $ | ( i 1 | ) | $ | ( i 55 | ) | $ | i 4,467 | |||
Trading | i 8,221 | i 525 | ( i 2 | ) | i 37 | i 8,781 | |||||||||
Investments | i 257 | i 1 | i 543 | i — | i 801 | ||||||||||
Commissions
and fees1 | i 1,889 | i 1,250 | i 1 | ( i 205 | ) | i 2,935 | |||||||||
Asset
management1 | i 310 | i 7,544 | i 1,893 | ( i 115 | ) | i 9,632 | |||||||||
Other | i 416 | i 281 | ( i 6 | ) | ( i 6 | ) | i 685 | ||||||||
Total
non-interest revenues | i 15,251 | i 9,966 | i 2,428 | ( i 344 | ) | i 27,301 | |||||||||
Interest
income | i 9,457 | i 4,139 | i 14 | ( i 464 | ) | i 13,146 | |||||||||
Interest
expense | i 9,376 | i 950 | i 35 | ( i 476 | ) | i 9,885 | |||||||||
Net
interest | i 81 | i 3,189 | ( i 21 | ) | i 12 | i 3,261 | |||||||||
Net
revenues | $ | i 15,332 | $ | i 13,155 | $ | i 2,407 | $ | ( i 332 | ) | $ | i 30,562 | ||||
Income
before provision for income taxes | $ | i 4,365 | $ | i 3,669 | $ | i 538 | $ | ( i 4 | ) | $ | i 8,568 | ||||
Provision
for income taxes | i 703 | i 830 | i 104 | ( i 1 | ) | i 1,636 | |||||||||
Net
income | i 3,662 | i 2,839 | i 434 | ( i 3 | ) | i 6,932 | |||||||||
Net
income applicable to noncontrolling interests | i 97 | i — | i 32 | i — | i 129 | ||||||||||
Net
income applicable to Morgan Stanley | $ | i 3,565 | $ | i 2,839 | $ | i 402 | $ | ( i 3 | ) | $ | i 6,803 |
1. | Substantially all revenues are from contracts with customers. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Institutional
Securities Advisory | $ | i 357 | $ | i 550 | $ | i 1,181 | $ | i 1,462 | ||||
Institutional
Securities Underwriting | i 1,350 | i 985 | i 3,721 | i 2,696 | ||||||||
Firm
Investment banking revenues from contracts with customers | i 95 | % | i 85 | % | i 92 | % | i 90 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Interest
rate | $ | i 511 | $ | i 894 | $ | i 2,593 | $ | i 2,283 | ||||
Foreign
exchange | i 138 | i 69 | i 603 | i 383 | ||||||||
Equity
security and index1 | i 1,478 | i 1,076 | i 4,494 | i 4,005 | ||||||||
Commodity
and other | i 495 | i 300 | i 1,363 | i 986 | ||||||||
Credit | i 470 | i 269 | i 1,778 | i 1,124 | ||||||||
Total | $ | i 3,092 | $ | i 2,608 | $ | i 10,831 | $ | i 8,781 |
1. | Dividend
income is included within equity security and index contracts. |
$ in millions | ||||||
Net cumulative unrealized performance-based fees at risk of reversing | $ | i 761 | $ | i 774 |
September 2020 Form 10-Q | 86 |
Notes to Consolidated Financial Statements (Unaudited) |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Fee waivers | $ | i 37 | $ | i 11 | $ | i 70 | $ | i 32 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Americas | $ | i 8,387 | $ | i 7,489 | $ | i 24,798 | $ | i 22,336 | ||||
EMEA | i 1,473 | i 1,409 | i 4,670 | i 4,687 | ||||||||
Asia | i 1,797 | i 1,134 | i 5,090 | i 3,539 | ||||||||
Total | $ | i 11,657 | $ | i 10,032 | $ | i 34,558 | $ | i 30,562 |
Three
Months Ended September 30, | Nine Months Ended September 30, | |||||||||||
$ in millions | 2020 | 2019 | 2020 | 2019 | ||||||||
Non-interest revenues | $ | i 556 | $ | i 841 | $ | i 1,616 | $ | i 1,995 |
$ in millions | ||||||
Customer and other receivables | $ | i 2,854 | $ | i 2,916 |
$ in millions | ||||||
Institutional Securities | $ | i 704,323 | $ | i 691,201 | ||
Wealth
Management | i 244,425 | i 197,682 | ||||
Investment
Management | i 7,192 | i 6,546 | ||||
Total1 | $ | i 955,940 | $ | i 895,429 |
87 | September 2020 Form 10-Q |
Three
Months Ended September 30, | ||||||||||||||||
2020 | 2019 | |||||||||||||||
$ in millions | Average Daily Balance | Interest | Annualized Average Rate | Average Daily Balance | Interest | Annualized Average Rate | ||||||||||
Interest
earning assets | ||||||||||||||||
Investment securities1 | $ | 133,726 | $ | 529 | 1.6 | % | $ | 104,700 | $ | 579 | 2.2 | % | ||||
Loans1 | 144,985 | 967 | 2.7 | 122,320 | 1,208 | 3.9 | ||||||||||
Securities
purchased under agreements to resell and Securities borrowed2: | ||||||||||||||||
U.S. | 123,614 | (99 | ) | (0.3 | ) | 146,578 | 835 | 2.3 | ||||||||
Non-U.S. | 58,567 | (88 | ) | (0.6 | ) | 76,871 | 36 | 0.2 | ||||||||
Trading
assets, net of Trading liabilities3: | ||||||||||||||||
U.S. | 78,417 | 443 | 2.2 | 78,169 | 630 | 3.2 | ||||||||||
Non-U.S. | 21,092 | 94 | 1.8 | 17,104 | 98 | 2.3 | ||||||||||
Customer
receivables and Other4: | ||||||||||||||||
U.S. | 81,908 | 171 | 0.8 | 62,113 | 703 | 4.5 | ||||||||||
Non-U.S. | 63,657 | 39 | 0.2 | 60,073 | 261 | 1.7 | ||||||||||
Total | $ | 705,966 | $ | 2,056 | 1.2 | % | $ | 667,928 | $ | 4,350 | 2.6 | % | ||||
Interest
bearing liabilities | ||||||||||||||||
Deposits1 | $ | 236,119 | $ | 178 | 0.3 | % | $ | 179,715 | $ | 505 | 1.1 | % | ||||
Borrowings1,
5 | 205,166 | 714 | 1.4 | 196,777 | 1,219 | 2.5 | ||||||||||
Securities
sold under agreements to repurchase and Securities loaned6: | ||||||||||||||||
U.S. | 30,154 | 81 | 1.1 | 36,335 | 505 | 5.5 | ||||||||||
Non-U.S. | 28,320 | 84 | 1.2 | 30,111 | 176 | 2.3 | ||||||||||
Customer
payables and Other7: | ||||||||||||||||
U.S. | 119,846 | (399 | ) | (1.3 | ) | 121,800 | 448 | 1.5 | ||||||||
Non-U.S. | 64,524 | (88 | ) | (0.5 | ) | 65,036 | 279 | 1.7 | ||||||||
Total | $ | 684,129 | $ | 570 | 0.3 | % | $ | 629,774 | $ | 3,132 | 2.0 | % | ||||
Net
interest income and net interest rate spread | $ | 1,486 | 0.9 | % | $ | 1,218 | 0.6 | % |
Nine
Months Ended September 30, | ||||||||||||||||
2020 | 2019 | |||||||||||||||
$ in millions | Average Daily Balance | Interest | Annualized Average Rate | Average Daily Balance | Interest | Annualized Average Rate | ||||||||||
Interest
earning assets | ||||||||||||||||
Investment securities1 | $ | 122,613 | $ | 1,603 | 1.7 | % | $ | 99,782 | $ | 1,563 | 2.1 | % | ||||
Loans1 | 142,261 | 3,171 | 3.0 | 118,926 | 3,599 | 4.0 | ||||||||||
Securities
purchased under agreements to resell and Securities borrowed2: | ||||||||||||||||
U.S. | 127,868 | 194 | 0.2 | 144,686 | 2,774 | 2.6 | ||||||||||
Non-U.S. | 59,831 | (124 | ) | (0.3 | ) | 76,814 | 91 | 0.2 | ||||||||
Trading
assets, net of Trading liabilities3: | ||||||||||||||||
U.S. | 76,418 | 1,558 | 2.7 | 77,434 | 1,922 | 3.3 | ||||||||||
Non-U.S. | 22,570 | 344 | 2.0 | 14,362 | 266 | 2.5 | ||||||||||
Customer
receivables and Other4: | ||||||||||||||||
U.S. | 78,705 | 892 | 1.5 | 61,479 | 2,110 | 4.6 | ||||||||||
Non-U.S. | 61,699 | 279 | 0.6 | 59,033 | 821 | 1.9 | ||||||||||
Total | $ | 691,965 | $ | 7,917 | 1.5 | % | $ | 652,516 | $ | 13,146 | 2.7 | % | ||||
Interest
bearing liabilities | ||||||||||||||||
Deposits1 | $ | 223,733 | $ | 804 | 0.5 | % | $ | 178,894 | $ | 1,460 | 1.1 | % | ||||
Borrowings1,
5 | 199,855 | 2,534 | 1.7 | 192,854 | 3,941 | 2.7 | ||||||||||
Securities
sold under agreements to repurchase and Securities loaned6: | ||||||||||||||||
U.S. | 30,315 | 501 | 2.2 | 32,479 | 1,489 | 6.1 | ||||||||||
Non-U.S. | 29,315 | 382 | 1.7 | 31,555 | 527 | 2.2 | ||||||||||
Customer
payables and Other7: | ||||||||||||||||
U.S. | 123,662 | (693 | ) | (0.7 | ) | 116,383 | 1,587 | 1.8 | ||||||||
Non-U.S. | 64,608 | (53 | ) | (0.1 | ) | 65,331 | 881 | 1.8 | ||||||||
Total | $ | 671,488 | $ | 3,475 | 0.7 | % | $ | 617,496 | $ | 9,885 | 2.1 | % | ||||
Net
interest income and net interest rate spread | $ | 4,442 | 0.8 | % | $ | 3,261 | 0.6 | % |
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 borrowings carried at fair value, whose interest expense is considered part of fair 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. |
September 2020 Form 10-Q | 88 |
Glossary of Common Terms and Acronyms |
2019 Form 10-K | Annual report on Form 10-K for year ended December 31, 2019 filed with the SEC |
ABS | Asset-backed
securities |
ACL | Allowance for credit losses |
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 Losses, as calculated under the Financial Instruments—Credit Losses accounting update |
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 |
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. |
MS&Co. | Morgan Stanley &
Co. LLC |
89 | September 2020 Form 10-Q |
Glossary
of Common Terms and Acronyms |
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 |
N/M | Not Meaningful |
NAV | Net
asset value |
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 |
September 2020 Form 10-Q | 90 |
$
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 | ||||||
July | 30,610 | $ | 48.10 | — | $ | — | ||||
August | 560,008 | $ | 48.90 | — | $ | — | ||||
September | 18,360 | $ | 52.08 | — | $ | — | ||||
Total | 608,978 | $ | 48.96 | — |
1. | Refers
to 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 September 30, 2020. |
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 17 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”) from time to time as conditions warrant and subject to regulatory non-objection. 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.
|
91 | September
2020 Form 10-Q |
Exhibit No. | Description |
3.1 | |
10.1 | |
15 | |
31.1 | |
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). |
September
2020 Form 10-Q | 92 |
MORGAN STANLEY (Registrant) | |
By: | /s/ JONATHAN PRUZAN |
Jonathan
Pruzan Executive Vice President and Chief Financial Officer | |
By: | /s/ RAJA J. AKRAM |
Raja J. Akram Deputy Chief Financial Officer, Chief Accounting Officer and Controller |
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