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Table of Contents

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended ~~June 30, 2021~~March 31, 2022

Commission File Number 1-11758

(Exact name of Registrant as specified in its charter)

Delaware

1585 Broadway

36-3145972

(212)

761-4000

(State or other jurisdiction of

incorporation or organization)

New York,

10036

(I.R.S. Employer Identification No.)

(Registrant’s telephone number, including area code)

(Address of principal executive offices, including zip code)


Securities registered pursuant to Section 12(b) of the Act:
Title of each class	Trading Symbol(s)	Name of exchange on which registered
Common Stock, $0.01 par value	MS	New York Stock Exchange
Depositary Shares, each representing 1/1,000th interest in a share of Floating Rate	MS/PA	New York Stock Exchange
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	MS/PE	New York Stock Exchange
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	MS/PF	New York Stock Exchange
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	MS/PI	New York Stock Exchange
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	MS/PK	New York Stock Exchange
Non-Cumulative Preferred Stock, Series K, $0.01 par value
~~Depository~~Depositary Shares, each representing 1/~~1000th~~1,000th interest in a share of 4.875%	MS/PL	New York Stock Exchange
Non-Cumulative Preferred Stock, Series L, $0.01 par value
Depositary Shares, each representing 1/1,000th interest in a share of 4.250%	MS/PO	New York Stock Exchange
Non-Cumulative Preferred Stock, Series O, $0.01 par value
Global Medium-Term Notes, Series A, Fixed Rate Step-Up Senior Notes Due 2026	MS/26C	New York Stock Exchange
of Morgan Stanley Finance LLC (and Registrant’s guarantee with respect thereto)

Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐

Indicate by check mark whether the Registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the Registrant was required to submit such files). Yes ☒ No ☐

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer

☒

Accelerated filer

☐

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the Registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

As of ~~July 30, 2021,~~April 29, 2022, there were ~~1,824,561,070~~1,749,284,059 shares of the Registrant’s Common Stock, par value $0.01 per share, outstanding.


Table of Contents

QUARTERLY REPORT ON FORM 10-Q

For the quarter ended ~~June 30, 2021~~March 31, 2022


Table of Contents	Table of Contents		Part	Item	Page	Table of Contents		Part	Item	Page
Financial Information	Financial Information		I		1	Financial Information		I
Management’s Discussion and Analysis of Financial Condition and Results of Operations	Management’s Discussion and Analysis of Financial Condition and Results of Operations		I	2	1	Management’s Discussion and Analysis of Financial Condition and Results of Operations		I	2	1
Introduction	Introduction				1	Introduction				1
Executive Summary	Executive Summary				2	Executive Summary				2
Business Segments	Business Segments				7	Business Segments				6
Institutional Securities	Institutional Securities				8	Institutional Securities				7
Wealth Management	Wealth Management				11	Wealth Management				9
Investment Management	Investment Management				14	Investment Management				11
Supplemental Financial Information	Supplemental Financial Information				16	Supplemental Financial Information				13
Accounting Development Updates	Accounting Development Updates				16	Accounting Development Updates				13
Critical Accounting Policies	Critical Accounting Policies				16	Critical Accounting Policies				13
Liquidity and Capital Resources	Liquidity and Capital Resources				16	Liquidity and Capital Resources				13
Balance Sheet	Balance Sheet				16	Balance Sheet				14
Regulatory Requirements	Regulatory Requirements				20	Regulatory Requirements				17
Quantitative and Qualitative Disclosures about Risk	Quantitative and Qualitative Disclosures about Risk		I	3	26	Quantitative and Qualitative Disclosures about Risk		I	3	23
Market Risk	Market Risk				26	Market Risk				23
Credit Risk	Credit Risk				28	Credit Risk				25
Country and Other Risks	Country and Other Risks				33	Country and Other Risks				29
Report of Independent Registered Public Accounting Firm	Report of Independent Registered Public Accounting Firm				35	Report of Independent Registered Public Accounting Firm				31
Consolidated Financial Statements and Notes	Consolidated Financial Statements and Notes		I	1	36	Consolidated Financial Statements and Notes		I	1	32
Consolidated Income Statements (Unaudited)					36
Consolidated Comprehensive Income Statements (Unaudited)					36
Consolidated Balance Sheets (Unaudited at June 30 , 2021)					37
Consolidated Statements of Changes in Total Equity (Unaudited)					38
Consolidated Cash Flow Statements (Unaudited)					39
Consolidated Income Statement (Unaudited)						Consolidated Income Statement (Unaudited)				32
Consolidated Comprehensive Income Statement (Unaudited)						Consolidated Comprehensive Income Statement (Unaudited)				32
Consolidated Balance Sheet (Unaudited at March 31, 2022)						Consolidated Balance Sheet (Unaudited at March 31, 2022)				33
Consolidated Statement of Changes in Total Equity (Unaudited)						Consolidated Statement of Changes in Total Equity (Unaudited)				34
Consolidated Cash Flow Statement (Unaudited)						Consolidated Cash Flow Statement (Unaudited)				35
Notes to Consolidated Financial Statements (Unaudited)	Notes to Consolidated Financial Statements (Unaudited)				40	Notes to Consolidated Financial Statements (Unaudited)				36
1.	1.	Introduction and Basis of Presentation			40	1.	Introduction and Basis of Presentation			36
2.	2.	Significant Accounting Policies			41	2.	Significant Accounting Policies			37
3.	3.	Acquisitions			41	3.	Cash and Cash Equivalents			37
4.	4.	Cash and Cash Equivalents			42	4.	Fair Values			37
5.	5.	Fair Values			42	5.	Fair Value Option			43
6.	6.	Fair Value Option			48	6.	Derivative Instruments and Hedging Activities			43
7.	7.	Derivative Instruments and Hedging Activities			49	7.	Investment Securities			47
8.	8.	Investment Securities			52	8.	Collateralized Transactions			48
9.	9.	Collateralized Transactions			54	9.	Loans, Lending Commitments and Related Allowance for Credit Losses			50
10.	10.	Loans, Lending Commitments and Related Allowance for Credit Losses			56	10.	Other Assets—Equity Method Investments			52
11.	11.	Other Assets—Equity Method Investments			58	11.	Deposits			53
12.	12.	Deposits			58	12.	Borrowings and Other Secured Financings			53
13.	13.	Borrowings and Other Secured Financings			58	13.	Commitments, Guarantees and Contingencies			53
14.	14.	Commitments, Guarantees and Contingencies			59	14.	Variable Interest Entities and Securitization Activities			55
15.	15.	Variable Interest Entities and Securitization Activities			61	15.	Regulatory Requirements			57
16.	16.	Regulatory Requirements			63	16.	Total Equity			59
17.	17.	Total Equity			65	17.	Interest Income and Interest Expense			61
18.	18.	Interest Income and Interest Expense			67	18.	Income Taxes			61
19.	19.	Income Taxes			67	19.	Segment, Geographic and Revenue Information			61
20.		Segment, Geographic and Revenue Information			68
Financial Data Supplement (Unaudited)	Financial Data Supplement (Unaudited)				71	Financial Data Supplement (Unaudited)				64
Glossary of Common Terms and Acronyms	Glossary of Common Terms and Acronyms				72	Glossary of Common Terms and Acronyms				65
Controls and Procedures						Controls and Procedures		I	4	66
Other Information	Other Information		II		73	Other Information		II
Legal Proceedings	Legal Proceedings		II	1	73	Legal Proceedings		II	1	66
Risk Factors	Risk Factors		II	1A	73	Risk Factors		II	1A	66
Unregistered Sales of Equity Securities and Use of Proceeds	Unregistered Sales of Equity Securities and Use of Proceeds		II	2	73	Unregistered Sales of Equity Securities and Use of Proceeds		II	2	66
Controls and Procedures			I	4	73
Other Information						Other Information		II	5	66
Exhibits	Exhibits		II	6	73	Exhibits		II	6	67
Signatures	Signatures				74	Signatures				67


			i


Table of Contents

Available Information

We file annual, quarterly and current reports, proxy statements and other information with the SEC. The SEC maintains a website, www.sec.gov, that contains annual, quarterly and current reports, proxy and information statements and other information that issuers file electronically with the SEC. Our electronic SEC filings are available to the public at the SEC’s website.

Our website is www.morganstanley.com. You can access our Investor Relations webpage at www.morganstanley.com/about-us-ir. We make available free of charge, on or through our Investor Relations webpage, our proxy statements, annual reports on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K and any amendments to those reports filed or furnished pursuant to the Securities Exchange Act of 1934, as amended (“Exchange Act”), as soon as reasonably practicable after such material is electronically filed with, or furnished to, the SEC. We also make available, through our Investor Relations webpage, via a link to the SEC’s website, statements of beneficial ownership of our equity securities filed by our directors, officers, 10% or greater shareholders and others under Section 16 of the Exchange Act.

You can access information about our corporate governance at www.morganstanley.com/about-us-governance, our sustainability initiatives at www.morganstanley.com/about-us/sustainability-at-morgan-stanley and our commitment to diversity and inclusion at www.morganstanley.com/about-us/diversity. Our webpages include:

•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;

•Sustainability Report;

•Task Force on Climate-related Financial Disclosures Report; and

•Diversity and Inclusion Report.

Our Code of Ethics and Business Conduct applies to all directors, officers and employees, including our Chief Executive Officer, Chief Financial Officer and Deputy Chief Financial Officer. We will post any amendments to the Code of Ethics and Business Conduct and any waivers that are required to be disclosed by the rules of either the SEC or the New York Stock Exchange LLC (“NYSE”) on our website. You can request a copy of these documents, excluding exhibits, at no cost, by contacting Investor Relations, 1585 Broadway, New York, NY 10036 (212-761-4000). The information on our website is not incorporated by reference into this report.


			ii


Table of Contents

Management’s Discussion and Analysis of Financial Condition and Results of Operations

Introduction

Morgan Stanley is a global financial services firm that maintains significant market positions in each of its business segments—Institutional Securities, Wealth Management and Investment Management. Morgan Stanley, through its subsidiaries and affiliates, provides a wide variety of products and services to a large and diversified group of clients and customers, including corporations, governments, financial institutions and individuals. Unless the context otherwise requires, the terms “Morgan Stanley,” “Firm,” “us,” “we” or “our” mean Morgan Stanley (the “Parent Company”) together with its consolidated subsidiaries. Disclosures reflect the effects of the ~~acquisitions~~acquisition of ~~E*TRADE Financial Corporation (“E*TRADE”) and~~ Eaton Vance Corp. (“Eaton Vance”) prospectively from the ~~acquisition dates, October 2, 2020 and~~ March 1, 2021 ~~respectively.~~acquisition date. See the “Glossary of Common Terms and Acronyms” for the definition of certain terms and acronyms used throughout this Form 10-Q.

A description of the clients and principal products and services of each of our business segments is as follows:

Institutional Securities provides a variety of products and services to corporations, governments, financial institutions and ultra-high net worth clients. Investment ~~banking~~Banking services consist of capital raising and financial advisory services, including ~~services relating to~~ the underwriting of debt, equity and other securities, as well as advice on mergers and acquisitions, restructurings and project finance. Our Equity and Fixed Income businesses include sales, financing, prime brokerage, market-making, Asia wealth management services and certain business-related investments. Lending activities include originating corporate loans and commercial real estate loans, providing secured lending facilities, and extending securities-based and other financing to customers. Other activities include research.

Wealth Management provides a comprehensive array of financial services and solutions to individual investors and small to medium-sized businesses and institutions covering: financial advisor-led brokerage and investment advisory services; self-directed brokerage services; financial and wealth planning services; workplace services, including stock plan administration; annuity and insurance products; securities-based lending, residential real estate loans and other lending products; banking; and retirement plan services.

Investment Management provides a broad range of investment strategies and products that span geographies, asset classes, and public and private markets to a diverse group of clients across institutional and intermediary channels. Strategies and products, which are offered through a variety of investment vehicles, include equity, fixed income, alternatives and solutions, and liquidity and overlay services. Institutional clients include defined benefit/defined contribution plans, foundations, endowments, government entities, sovereign wealth funds, insurance companies, third-party fund sponsors and corporations. Individual clients are generally served through intermediaries, including affiliated and non-affiliated distributors.

Management’s Discussion and Analysis includes certain metrics that we believe to be useful to us, investors, analysts and other stakeholders by providing further transparency about, or an additional means of assessing, our financial condition and operating results. Such metrics, when used, are defined and may be different from or inconsistent with metrics used by other companies.

The results of operations in the past have been, and in the future may continue to be, materially affected by: competition; risk factors; legislative, legal and regulatory developments; and other factors. These factors also may have an adverse impact on our ability to achieve our strategic objectives. Additionally, the discussion of our results of operations herein may contain forward-looking statements. These statements, which reflect management’s beliefs and expectations, are subject to risks and uncertainties that may cause actual results to differ materially. For a discussion of the risks and uncertainties that may affect our future results, see “Forward-Looking Statements,” “Business—Competition,” “Business—Supervision and Regulation,” and “Risk Factors” in the ~~2020~~2021 Form 10-K ~~and “Liquidity and Capital Resources—Regulatory Requirements” herein.~~.


~~June 2021~~March 2022 Form 10-Q			1


Table of Contents
Management’s Discussion and Analysis

Executive Summary

Overview of Financial Results

Consolidated Results—Three Months Ended ~~June 30, 2021~~March 31, 2022

•The Firm ~~Net~~delivered quarterly net revenues ~~were up 8%~~of $14.8 billion on continued strong performance and ~~Net income applicable to Morgan Stanley was up 10%, with strong~~ contributions ~~from each of~~across our ~~three business segments, and resulting in an annualized ROTCE of 18.6%, or 19.0% excluding integration-related expenses (see “Selected Non-GAAP Financial Information” herein).~~businesses.

•The Firm delivered an ROTCE of 19.8% in a volatile and uncertain market environment.

•The Firm maintained expense discipline and delivered an efficiency ratio ~~was~~of 69%~~, or 68% excluding the impact of integration-related expenses (see “Selected Non-GAAP Financial Information” herein).~~ while continuing to invest in our businesses.

•At ~~June 30, 2021,~~March 31, 2022, our standardized Common Equity Tier 1 capital ratio was ~~16.6%~~14.5%.

•~~The Firm doubled its quarterly common stock dividend to $0.70 per share and increased its share repurchase authorization of outstanding common stock up to $12 billion over the next 12 months.~~

•Institutional Securities Net revenues of ~~$7.1~~$7.7 billion reflect strong ~~results as clients remained active across Investment banking~~performance in Equity and ~~Equity.~~Fixed income on continued strong client engagement in volatile markets and in Advisory on higher completed M&A transactions.

•Wealth Management delivered a pre-tax margin of ~~26.8%,~~26.5% or 27.8% excluding integration-related expenses (see “Selected Non-GAAP Financial Information” herein). Results reflect higher asset management fees and continued growth in bank ~~lending, as well as~~lending. The business added net new assets of ~~$71~~$142 billion, ~~and fee-based flows of $34 billion.~~including an asset acquisition.

•Investment Management results reflect ~~strong asset~~incremental fee-based Asset management ~~fees on~~revenues and higher average AUM as a result of ~~$1.5 trillion, which includes $13.5 billion~~the acquisition of ~~positive long-term net flows across all asset classes.~~Eaton Vance.

Net Revenues1

($ in millions)

1.~~Certain prior period amounts have been reclassified to conform to the current presentation. See “Business Segments” herein and Note 1 to the financial statements for more information.~~

Net Income Applicable to Morgan Stanley

($ in millions)

Earnings per Diluted Common Share1

1.Adjusted Diluted EPS was $2.06 for the current quarter and $2.22 for the ~~current~~prior year ~~period were $1.89 and $4.11, respectively~~quarter (see “Selected Non-GAAP Financial Information” ~~herein)~~herein for further information).

We reported net revenues of $14.8 billion in the quarter ended ~~June 30, 2021~~March 31, 2022 (“current quarter,” or ~~“2Q 2021”~~“1Q 2022”), compared with ~~$13.7~~$15.7 billion in the quarter ended ~~June 30, 2020~~March 31, 2021 (“prior year quarter,” or ~~“2Q 2020”~~“1Q 2021”). For the current quarter, net income applicable to Morgan Stanley was ~~$3.5~~$3.7 billion, or ~~$1.85~~$2.02 per diluted common share, compared with ~~$3.2~~$4.1 billion or ~~$1.96~~$2.19 per diluted common share in the prior year quarter.

We reported net revenues of $30.5 billion in the six months ended June 30, 2021 (“current year period,” or “YTD 2021”), compared with $23.4 billion in the period ended June 30, 2020 (“prior year period,” or “YTD 2020”). For the current period, net income applicable to Morgan Stanley was $7.6 billion, or $4.04 per diluted common share, compared with $4.9 billion or $2.96 per diluted common share, in the prior year period.


			2			~~June 2021~~March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

Non-interest Expenses1 2

($ in millions)

1.The percentages on the bars in the chart represent the contribution of compensation and benefits expenses and non-compensation expenses to the total.

2.~~Certain prior period amounts have been reclassified to conform to the current presentation. See “Business Segments” herein and Note 1 to the financial statements for more information.~~

•Compensation and benefits expenses of ~~$6,423~~$6,274 million in the current quarter ~~increased 6%~~decreased 8% from the prior year quarter, primarily as a result of increases in the formulaic payout to Wealth Management representatives driven by higher compensable revenues and incremental compensation as a result of the E*TRADE and Eaton Vance acquisitions, partially offset by a decrease in discretionary incentive compensation driven by lower ~~net revenues in the Institutional Securities business segment.~~

Compensation and benefits expenses of $13,221 million in the current year period increased 28% from the prior year period, primarily as a result of an increase in the formulaic payout to Wealth Management representatives driven by higher compensable revenues, incremental compensation as a result of the E*TRADE and Eaton Vance acquisitions, higher discretionary incentive compensation driven by revenues, and higher expenses related to certain deferred compensation plans linked to investment performance and the Firm’s share ~~price.~~price and lower discretionary incentive compensation, partially offset by higher salaries and an increase due to the formulaic payout to Wealth Management representatives.

•Non-compensation expenses of ~~$3,697~~$3,882 million in the current quarter increased ~~22%~~6% from the prior year quarter,

~~primarily due to incremental expenses as a result of the E*TRADE and Eaton Vance acquisitions, as well as higher professional services expenses and higher investments in technology.~~

~~Non-compensation expenses of $7,372 million in the current year period increased 23% from the prior year period,~~ primarily driven by incremental expenses as a result of the ~~E*TRADE and~~ Eaton Vance ~~acquisitions, higher volume-related expenses, higher~~acquisition, increased investments in technology ~~as well as~~and higher ~~professional services expenses.~~litigation expenses, partially offset by lower brokerage and clearing costs.

Provision for Credit Losses

~~The Provision for credit losses on loans and lending commitments in the current quarter was $73 million, primarily driven by one secured lending facility.~~ The Provision for credit losses on loans and lending commitments of ~~$239~~$57 million in the ~~prior year~~current quarter was primarily ~~driven by deterioration in the expected macroeconomic environment at that time.~~

due to portfolio growth. The Provision for credit losses on loans and lending commitments in the ~~current~~prior year ~~period~~quarter was a net release of ~~$25~~$98 million primarily ~~as a result of~~driven by improvements in the outlook for macroeconomic conditions and the impact of paydowns on ~~corporate~~Corporate loans, including by lower-rated ~~borrowers, partially offset by the provision for one secured lending facility in the current quarter.~~ ~~The Provision for credit losses on loans and lending commitments of~~ ~~$646 million~~ ~~in the prior year period was primarily driven by deterioration in the expected macroeconomic environment at that time.~~borrowers.

For further information on the Provision for credit losses, see “Credit Risk” herein.

Income Taxes

The Firm’s effective tax rate of ~~23.1%~~19.0% is lower ~~in the current quarter compared with~~than the prior year quarter ~~primarily~~ due to ~~the remeasurement of reserves and interest~~higher benefits related to ~~a foreign tax matter~~the conversion of employee share-based awards, which primarily occur in the ~~prior year quarter.~~

first quarter of each year.


~~June 2021 Form 10-Q~~			3


~~Table of Contents~~
~~Management’s Discussion and Analysis~~

Business Segment Results

Net Revenues by Segment1 2

($ in millions)

Net Income Applicable to Morgan Stanley by Segment1

($ in millions)

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 2019 to the financial statements for details of intersegment eliminations.

2.~~Certain prior period amounts have been reclassified to conform to the current presentation. See “Business Segments” herein and Note 1 to the financial statements for more information.~~

•Institutional Securities net revenues of ~~$7,092~~$7,657 million in the current quarter decreased ~~14%~~11% from the prior year quarter, primarily reflecting lower ~~Fixed income~~underwriting revenues, ~~as markets normalized compared to the prior year quarter. Net revenues of $15,669 million in the current year period increased 17% from the prior year period, primarily reflecting~~partially offset by higher ~~underwriting~~Advisory and Equity business revenues.

•Wealth Management net revenues of ~~$6,095~~$5,935 million in the current quarter ~~increased 30%~~were relatively unchanged from the prior year quarter, ~~and net~~reflecting lower Transactional revenues ~~of $12,054 million in the current year period increased 38% from the prior year period, both primarily due to~~offset by higher Asset management revenues and ~~incremental revenues as a result of the E*TRADE acquisition.~~Net interest.

•Investment Management net revenues of ~~$1,702~~$1,335 million in the current quarter increased ~~92%~~2% from the prior year quarter, primarily due to higher Asset management and related fees due to incremental revenues related to the Eaton Vance acquisition, partially offset by lower Performance-based income and other revenues.

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

quarter and net revenues of $3,016 million in the current year period increased 91% from the prior year period, both primarily due to higher Asset management and related fees, including incremental revenues related to the Eaton Vance acquisition, as well as higher Performance-based income and other revenues.

Net Revenues by Region1, 2 3

($ in millions)

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 2023 to the financial statements in the ~~2020~~2021 Form 10-K.

3.~~Certain prior period amounts have been reclassified to conform to the current presentation. See “Business Segments” herein and Note 1 to the financial statements for more information.~~

Americas net revenues in the current quarter decreased 6% from the prior year quarter, primarily driven by decreases in the Investment banking and Fixed income businesses within the Institutional securities business segment, partially offset by increases within the Investment Management business segment. EMEA net revenues increased 9%7% from the prior year quarter, primarily driven by increases in the Fixed income and Equity businesses within the Institutional Securities business segment. Asia net revenues decreased 14% from the prior year quarter, primarily driven by the ~~Wealth~~Investment Management business segment. ~~Asia net revenues increased 11% from the prior year quarter, primarily driven by the Equity business within the Institutional Securities business segment.~~

Americas net revenues in the current year period increased 31% from the prior year period, primarily driven by the Wealth Management business segment and the Investment banking business within the Institutional Securities business segment. EMEA net revenues increased 29% and Asia net revenues increased 26% from the prior year period, both primarily driven by the Equity and Investment banking businesses within the Institutional Securities business segment.

Selected Financial Information and Other Statistical Data

Three Months Ended
June 30, Six Months Ended
June 30,
$ in millions 2021 2020 2021 2020
Consolidated results
Net revenues1
$ 14,759 $ 13,660 $ 30,478 $ 23,439
Earnings applicable to Morgan Stanley common shareholders $ 3,408 $ 3,047 $ 7,390 $ 4,637
Earnings per diluted common share $ 1.85 $ 1.96 $ 4.04 $ 2.96
Consolidated financial measures
Expense efficiency ratio1, 2
69 % 66 % 68 % 70 %
Adjusted expense efficiency ratio1,2,4
68 % 66 % 67 % 70 %
ROE3
13.8 % 15.7 % 15.3 % 12.2 %
Adjusted ROE3, 4
14.1 % 15.7 % 15.6 % 12.2 %
ROTCE3, 4
18.6 % 17.8 % 19.8 % 13.9 %
Adjusted ROTCE3, 4
19.0 % 17.8 % 20.1 % 13.9 %
Pre-tax margin1, 5
31 % 32 % 33 % 28 %
Effective tax rate 23.1 % 25.7 % 22.5 % 22.8 %
Pre-tax margin by segment5
Institutional Securities1
35 % 37 % 37 % 29 %
Wealth Management1
27 % 24 % 27 % 25 %
Wealth Management, adjusted1, 4
28 % 24 % 28 % 25 %
Investment Management 25 % 24 % 27 % 23 %
Investment Management, adjusted4
27 % 24 % 28 % 23 %


	Three Months Ended March 31,
$ in millions		2022			2021
Consolidated results
Net revenues		$	14,801		$	15,719
Earnings applicable to Morgan Stanley common shareholders		$	3,542		$	3,982
Earnings per diluted common share		$	2.02		$	2.19
Consolidated financial measures
Expense efficiency ratio1		69		%	67		%
Adjusted expense efficiency ratio1, 2		68		%	66		%
ROE3		14.7		%	16.9		%
Adjusted ROE2, 3		15.0		%	17.1		%
ROTCE2, 3		19.8		%	21.1		%
Adjusted ROTCE2, 3		20.3		%	21.4		%
Pre-tax margin4		31		%	34		%
Effective tax rate		19.0		%	22.0		%
Pre-tax margin by segment4
Institutional Securities		36		%	39		%
Wealth Management		27		%	27		%
Wealth Management, adjusted2		28		%	28		%
Investment Management		17		%	28		%
Investment Management, adjusted2		19		%	29		%

in millions, except per share and employee data At
June 30,
2021 At
December 31,
2020
Liquidity resources6
$ 343,776 $ 338,623
Loans7
$ 166,059 $ 150,597
Total assets $ 1,161,805 $ 1,115,862
Deposits $ 320,358 $ 310,782
Borrowings $ 224,142 $ 217,079
Common shares outstanding 1,834 1,810
Common shareholders' equity $ 99,120 $ 92,531
Tangible common shareholders’ equity4
$ 73,593 $ 75,916
Book value per common share8
$ 54.04 $ 51.13
Tangible book value per common share4, 8
$ 40.12 $ 41.95
Worldwide employees9 (in thousands)
72 68
Capital Ratios10
Common Equity Tier 1 capital—Standardized 16.6 % 17.4 %
Tier 1 capital—Standardized 18.3 % 19.4 %
Common Equity Tier 1 capital—Advanced 17.7 % 17.7 %
Tier 1 capital—Advanced 19.5 % 19.8 %
Tier 1 leverage 7.5 % 8.4 %
SLR11
5.9 % 7.4 %


in millions, except per share and employee data	At March 31, 2022			At December 31, 2021
Liquidity resources5	$	323,227		$	356,003
Loans6	$	208,750		$	200,761
Total assets	$	1,222,233		$	1,188,140
Deposits	$	360,840		$	347,574
Borrowings	$	229,817		$	233,127
Common shareholders' equity	$	95,151		$	97,691
Tangible common shareholders’ equity2	$	70,083		$	72,499
Common shares outstanding	1,756			1,772
Book value per common share7	$	54.18		$	55.12
Tangible book value per common share2, 7	$	39.91		$	40.91
Worldwide employees (in thousands)	77			75
Client assets8 (in billions)	$	6,247		$	6,495
Capital Ratios9
Common Equity Tier 1 capital—Standardized	14.5		%	16.0		%
Tier 1 capital—Standardized	16.0		%	17.7		%
Common Equity Tier 1 capital—Advanced	15.9		%	17.4		%
Tier 1 capital—Advanced	17.6		%	19.1		%
Tier 1 leverage	6.8		%	7.1		%
SLR	5.5		%	5.6		%

1.~~Certain prior period amounts have been reclassified to conform to the current presentation. See “Business Segments” herein and Note 1 to the financial statements for more information.~~

2.The expense efficiency ratio represents total non-interest expenses as a percentage of net revenues.

2.Represents a non-GAAP financial measure. See “Selected Non-GAAP Financial Information” herein.

3.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.

4.~~Represents a non-GAAP financial measure. See “Selected Non-GAAP Financial Information” herein.~~

5.Pre-tax margin represents income before income taxes as a percentage of net revenues.

6.5.For a discussion of Liquidity resources, see “Liquidity and Capital Resources—Balance Sheet—Liquidity Risk Management Framework—Liquidity Resources” herein.

7.6.~~Amounts include~~Includes loans held for investment, net of ACL, ~~and~~ loans held for sale ~~but exclude~~and also includes loans at fair value, which are included in Trading assets in the balance ~~sheets (see Note 10 to the financial statements).~~sheet.

8.7.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.

9.8.~~As of June 30, 2021, the number of employees includes Eaton Vance.~~Client assets represents Wealth Management client assets and Investment Management AUM. Certain Wealth Management client assets are invested in Investment Management products and are also included in Investment Management’s AUM.

~~10.~~9.For a discussion of our capital ratios, see “Liquidity and Capital Resources—Regulatory Requirements” herein.

~~11.At December 31, 2020, our SLR reflects~~Russia and Ukraine War

We are monitoring the ~~impact of a Federal Reserve interim final rule that was~~war in ~~effect until March 31, 2021. For further information, see “Liquidity~~Ukraine and ~~Capital Resources—Regulatory Requirements—Regulatory Developments and Other Matters” herein.~~


~~June 2021 Form 10-Q~~			5


~~Table of Contents~~
~~Management’s Discussion and Analysis~~

~~Coronavirus Disease (“COVID-19”) Pandemic~~

~~Since~~ its ~~onset, the COVID-19 pandemic has had a significant~~ impact on ~~global economic conditions~~both the Ukrainian and Russian economies, as well as related impacts on other world economies and the ~~environment~~financial markets. Our direct exposure to both Russia and Ukraine is limited. We are not entering any new business onshore in ~~which we operate~~Russia and our ~~businesses~~activities in Russia are limited to helping global clients address and it may continue to do so in the future. Though many of our employees have been working from home for some time, we are preparing for our employees to return to work in our offices on a more regular basis, and an increasing number of employees are returning to our offices in certain locations. The Firm continues to be fully operational, with the majority of employees in both the Americas and globally working from home during the current quarter. Recognizing that local conditions vary for our offices around the world and that the trajectory of the virus continues to be uncertain, we may adjust our plans for employees returning to our offices as deemed necessary.close out pre-existing obligations.

Refer to “Risk Factors” and “Forward-Looking Statements” in the ~~2020~~2021 Form 10-K for more information on the potential effects of ~~the ongoing COVID-19 pandemic on our future operating results.~~geopolitical events and acts of war or aggression.

Selected Non-GAAP Financial Information

We prepare our financial statements using U.S. GAAP. From time to time, we may disclose certain “non-GAAP financial measures” in this document or in the course of our earnings releases, earnings and other conference calls, financial presentations, definitive proxy statement and otherwise. A “non-GAAP financial measure” excludes, or includes, amounts from the most directly comparable measure


			4			March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

calculated and presented in accordance with U.S. GAAP. We consider the non-GAAP financial measures we disclose to be useful to us, investors, analysts and other stakeholders by providing further transparency about, or an alternate means of assessing or comparing our financial condition, operating results and capital adequacy.

These measures are not in accordance with, or a substitute for, U.S. GAAP and may be different from or inconsistent with non-GAAP financial measures used by other companies. Whenever we refer to a non-GAAP financial measure, we will also generally define it or present the most directly comparable financial measure calculated and presented in accordance with U.S. GAAP, along with a reconciliation of the differences between the U.S. GAAP financial measure and the non-GAAP financial measure.

The principal non-GAAP financial measures presented in this document are set forth in the following tables.

Reconciliations from U.S. GAAP to Non-GAAP Consolidated Financial Measures


		Three Months Ended June 30,						Six Months Ended June 30,							Three Months Ended March 31,
$ in millions, except per share data	$ in millions, except per share data	2021			2020			2021			2020			$ in millions, except per share data		2022			2021
Earnings applicable to Morgan Stanley common shareholders	Earnings applicable to Morgan Stanley common shareholders	$	3,408		$	3,047		$	7,390		$	4,637		Earnings applicable to Morgan Stanley common shareholders		$	3,542		$	3,982
Impact of adjustments:	Impact of adjustments:													Impact of adjustments:
Wealth Management—Compensation expenses														Wealth Management—Compensation expenses		1			30
Wealth Management—Non-compensation expenses														Wealth Management—Non-compensation expenses		74			34
Investment Management—Compensation expenses														Investment Management—Compensation expenses		9			3
Investment Management—Non-compensation expenses														Investment Management—Non-compensation expenses		23			8
Integration-related expenses	Integration-related expenses	90			—			165			—			Integration-related expenses		107			75
Related tax benefit	Related tax benefit	(21)			—			(38)			—			Related tax benefit		(25)			(17)
Adjusted earnings applicable to Morgan Stanley common shareholders—non-GAAP1	Adjusted earnings applicable to Morgan Stanley common shareholders—non-GAAP1	$	3,477		$	3,047		$	7,517		$	4,637		Adjusted earnings applicable to Morgan Stanley common shareholders—non-GAAP1		$	3,624		$	4,040
Earnings per diluted common share	Earnings per diluted common share	$	1.85		$	1.96		$	4.04		$	2.96		Earnings per diluted common share		$	2.02		$	2.19
Impact of adjustments	Impact of adjustments	0.04			—			0.07			—			Impact of adjustments		0.04			0.03
Adjusted earnings per diluted common share—non-GAAP1	Adjusted earnings per diluted common share—non-GAAP1	$	1.89		$	1.96		$	4.11		$	2.96		Adjusted earnings per diluted common share—non-GAAP1		$	2.06		$	2.22
Expense efficiency ratio2		69		%	66		%	68		%	70		%
Expense efficiency ratio														Expense efficiency ratio		69		%	67		%
Impact of adjustments	Impact of adjustments	(1)		%	—		%	(1)		%	—		%	Impact of adjustments		(1)		%	(1)		%
Adjusted expense efficiency ratio—non-GAAP1, 2		68		%	66		%	67		%	70		%
Wealth Management Pre-tax margin2		27		%	24		%	27		%	25		%
Adjusted expense efficiency ratio—non-GAAP1														Adjusted expense efficiency ratio—non-GAAP1		68		%	66		%
Wealth Management Pre-tax margin														Wealth Management Pre-tax margin		27		%	27		%
Impact of adjustments	Impact of adjustments	1		%	—		%	1		%	—		%	Impact of adjustments		1		%	1		%
Adjusted Wealth Management pre-tax margin—non-GAAP1, 2		28		%	24		%	28		%	25		%
Adjusted Wealth Management pre-tax margin—non-GAAP1														Adjusted Wealth Management pre-tax margin—non-GAAP1		28		%	28		%
Investment Management Pre-tax margin	Investment Management Pre-tax margin	25		%	24		%	27		%	23		%	Investment Management Pre-tax margin		17		%	28		%
Impact of adjustments	Impact of adjustments	2		%	—		%	1		%	—		%	Impact of adjustments		2		%	1		%
Adjusted Investment Management pre-tax margin—non-GAAP1	Adjusted Investment Management pre-tax margin—non-GAAP1	27		%	24		%	28		%	23		%	Adjusted Investment Management pre-tax margin—non-GAAP1		19		%	29		%

$ in millions At
June 30,
2021 At
December 31,
2020
Tangible equity
Common shareholders' equity $ 99,120 $ 92,531
Less: Goodwill and net intangible assets (25,527) (16,615)
Tangible common shareholders' equity—non-GAAP $ 73,593 $ 75,916

Average Monthly Balance
Three Months Ended
June 30, Six Months Ended
June 30,
$ in millions 2021 2020 2021 2020
Tangible equity
Common shareholders' equity $ 98,824 $ 77,598 $ 96,309 $ 75,992
Less: Goodwill and net intangible assets (25,611) (9,268) (21,738) (9,246)
Tangible common shareholders' equity—non-GAAP $ 73,213 $ 68,330 $ 74,571 $ 66,746

Three Months Ended
June 30, Six Months Ended
June 30,
$ in billions 2021 2020 2021 2020
Average common equity
Unadjusted—GAAP $ 98.8 $ 77.6 $ 96.3 $ 76.0
Adjusted1—Non-GAAP
98.8 77.6 96.4 76.0
ROE3
Unadjusted—GAAP 13.8 % 15.7 % 15.3 % 12.2 %
Adjusted1—Non-GAAP
14.1 % 15.7 % 15.6 % 12.2 %
Average tangible common equity—Non-GAAP
Unadjusted $ 73.2 $ 68.3 $ 74.6 $ 66.7
Adjusted1
73.2 68.3 74.6 66.7
ROTCE3—Non-GAAP
Unadjusted 18.6 % 17.8 % 19.8 % 13.9 %
Adjusted1
19.0 % 17.8 % 20.1 % 13.9 %


$ in millions	At March 31, 2022		At December 31, 2021
Tangible equity
Common shareholders' equity	$	95,151	$	97,691
Less: Goodwill and net intangible assets	(25,068)		(25,192)
Tangible common shareholders' equity—non-GAAP	$	70,083	$	72,499


			6			~~June 2021 Form 10-Q~~


~~Table of Contents~~
~~Management’s Discussion and Analysis~~


		Average Monthly Balance
	Three Months Ended March 31,
$ in millions		2022		2021
Tangible equity
Common shareholders' equity		$	96,667	$	94,343
Less: Goodwill and net intangible assets		(25,120)		(18,849)
Tangible common shareholders' equity—non-GAAP		$	71,547	$	75,494


	Three Months Ended March 31,
$ in billions		2022			2021
Average common equity
Unadjusted—GAAP		$	96.7		$	94.3
Adjusted1—Non-GAAP		96.7			94.4
ROE2
Unadjusted—GAAP		14.7		%	16.9		%
Adjusted1—Non-GAAP		15.0		%	17.1		%
Average tangible common equity—Non-GAAP
Unadjusted		$	71.5		$	75.5
Adjusted1		71.6			75.5
ROTCE2—Non-GAAP
Unadjusted		19.8		%	21.1		%
Adjusted1		20.3		%	21.4		%

Non-GAAP Financial Measures by Business Segment


		Three Months Ended June 30,						Six Months Ended June 30,							Three Months Ended March 31,
$ in billions	$ in billions	2021			2020			2021			2020			$ in billions		2022			2021
Average common equity4
Average common equity3														Average common equity3
Institutional Securities	Institutional Securities	$	43.5		$	42.8		$	43.5		$	42.8		Institutional Securities		$	48.8		$	43.5
Wealth Management	Wealth Management	28.6			18.2			28.6			18.2			Wealth Management		31.0			28.5
Investment Management	Investment Management	10.7			2.6			7.1			2.6			Investment Management		10.6			4.4
ROE5
ROE4														ROE4
Institutional Securities	Institutional Securities	17		%	19		%	20		%	13		%	Institutional Securities		17		%	23		%
Wealth Management	Wealth Management	17		%	18		%	17		%	18		%	Wealth Management		16		%	17		%
Investment Management	Investment Management	13		%	23		%	17		%	18		%	Investment Management		8		%	25		%
Average tangible common equity4
Average tangible common equity3														Average tangible common equity3
Institutional Securities	Institutional Securities	$	42.9		$	42.3		$	42.9		$	42.3		Institutional Securities		$	48.3		$	42.9
Wealth Management	Wealth Management	13.4			10.4			13.4			10.4			Wealth Management		16.3			13.4
Investment Management	Investment Management	1.0			1.7			1.0			1.7			Investment Management		0.8			1.2
ROTCE5
ROTCE4														ROTCE4
Institutional Securities	Institutional Securities	17		%	20		%	20		%	13		%	Institutional Securities		17		%	23		%
Wealth Management	Wealth Management	37		%	32		%	36		%	32		%	Wealth Management		30		%	36		%
Investment Management	Investment Management	172		%	36		%	117		%	27		%	Investment Management		106		%	88		%

1.Adjusted amounts exclude the effect of costs related to the integrations of E*TRADE and Eaton Vance, net of tax as appropriate. The pre-tax adjustments in the current quarter were as follows: Wealth Management—Compensation expenses of $9 million and Non-compensation expenses of $51 million; Investment Management—Compensation expenses of $16 million and Non-compensation expenses of $14 million. The pre-tax adjustments in the current year period were as follows: Wealth Management—Compensation expenses of $39 million and Non-compensation expenses of $85 million; Investment Management— Compensation expenses of $19 million and Non-compensation expenses of $22 million.

2.~~Certain prior period amounts have been reclassified to conform to the current presentation. See “Business Segments” herein and Note 1 to the financial statements for more information.~~

3.ROE and ROTCE represent earnings applicable to Morgan Stanley common shareholders as a percentage of average common equity and average tangible common equity, respectively. When excluding integration-related costs, both the numerator and average denominator are adjusted.

4.3.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). The sums of the ~~segments'~~segments’ Average common equity and Average tangible common equity do not equal the Consolidated measures due to Parent equity.

5.4.The calculation of ROE and ROTCE by segment uses net income applicable to Morgan Stanley by segment less preferred dividends allocated to each segment as a percentage of average common equity and average tangible common equity, respectively, allocated to each segment.

Return on Tangible Common Equity ~~Target~~Goal

In January ~~2021,~~2022, we established ~~a 2-year~~an ROTCE ~~Target~~goal of ~~14% to 16%~~over 20%, excluding integration-related expenses.

Our ROTCE ~~Target~~goal is a forward-looking statement that was based on a normal market environment and may be materially affected by many factors, including, among other things: macroeconomic and market conditions, which may be impacted by the future course of COVID-19; legislative, accounting, tax and regulatory developments; industry trading and investment banking volumes; equity market levels; interest rate environment; outsized legal expenses or penalties; the ability to control expenses; capital levels; and mergers and acquisitions.factors.


March 2022 Form 10-Q			5


Table of Contents
Management’s Discussion and Analysis

See “Risk Factors” and “Forward-Looking Statements” in the ~~2020~~2021 Form 10-K for further information on market and economic conditions and their potential effects on our future operating results.

For further information on non-GAAP measures (ROTCE excluding integration-related expenses), see “Selected Non-GAAP Financial Information” herein.

Business Segments

Substantially all of our operating revenues and operating expenses are directly attributable to our business segments. Certain revenues and expenses have been allocated to each business segment, generally in proportion to its respective net revenues, non-interest expenses or other relevant measures. See Note 2019 to the financial statements for segment net revenues by income statement line item and information on intersegment transactions.

For an overview of the components of our business segments, net revenues, compensation expense and income taxes, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Business Segments” in the ~~2020~~2021 Form 10-K.

As part of our effort to continually improve the transparency and comparability of our external financial reporting, several updates to our financial presentation were implemented in the first quarter of 2021. Prior period amounts have been reclassified to conform to the current presentation.

~~Provision for credit losses~~

The Provision for credit losses for loans and lending commitments is presented as a separate line in the income statements. Previously, the provision for credit losses for loans was included in Other revenues and the provision for credit losses for lending commitments was included in Other expense.

~~Other revenues~~

Gains and losses on economic derivative hedges associated with certain held-for-sale and held-for-investment corporate loans, which were previously reported in Trading revenues, are reported within Other revenues in the income statements. This presentation better aligns with the recognition of mark-to-market gains and losses on held-for-sale loans which continue to be reported in Other revenues.

~~Institutional Securities~~

Equity—Financing, Equity—Execution services and Fixed income include certain Investments and Other revenues to the extent directly attributable to those businesses. The remaining Investments and Other revenues not included in those businesses’ results are reported in Other. Other also includes revenues previously reported as Other Sales and Trading.

~~Investment Management~~

We have renamed the previously disclosed revenue line Asset management to Asset management and related fees and have combined the remaining revenue lines into a new category named Performance-based income and other.

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

Institutional Securities

Income Statement Information


		Three Months Ended June 30,							Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		% Change		$ in millions	2022		2021		% Change
Revenues	Revenues							Revenues
Advisory	Advisory	$	664	$	462	44	%	Advisory	$	944	$	480	97	%
Equity	Equity	1,072		882		22	%	Equity	258		1,502		(83)	%
Fixed income	Fixed income	640		707		(9)	%	Fixed income	432		631		(32)	%
Total Underwriting	Total Underwriting	1,712		1,589		8	%	Total Underwriting	690		2,133		(68)	%
Total Investment banking	Total Investment banking	2,376		2,051		16	%	Total Investment banking	1,634		2,613		(37)	%
Equity1		2,827		2,627		8	%
Fixed income1		1,682		3,041		(45)	%
Other1		207		480		(57)	%
Equity								Equity	3,174		2,875		10	%
Fixed income								Fixed income	2,923		2,966		(1)	%
Other								Other	(74)		123		(160)	%
Net revenues	Net revenues	$	7,092	$	8,199	(14)	%	Net revenues	$	7,657	$	8,577	(11)	%
Provision for credit losses1		70		217		(68)	%
Provision for credit losses								Provision for credit losses	44		(93)		147	%
Compensation and benefits	Compensation and benefits	2,433		2,952		(18)	%	Compensation and benefits	2,604		3,114		(16)	%
Non-compensation expenses1		2,091		2,037		3	%
Total non-interest expenses1		4,524		4,989		(9)	%
Non-compensation expenses								Non-compensation expenses	2,222		2,185		2	%
Total non-interest expenses								Total non-interest expenses	4,826		5,299		(9)	%
Income before provision for income taxes	Income before provision for income taxes	2,498		2,993		(17)	%	Income before provision for income taxes	2,787		3,371		(17)	%
Provision for income taxes	Provision for income taxes	574		790		(27)	%	Provision for income taxes	535		736		(27)	%
Net income	Net income	1,924		2,203		(13)	%	Net income	2,252		2,635		(15)	%
Net income applicable to noncontrolling interests	Net income applicable to noncontrolling interests	20		17		18	%	Net income applicable to noncontrolling interests	61		34		79	%
Net income applicable to Morgan Stanley	Net income applicable to Morgan Stanley	$	1,904	$	2,186	(13)	%	Net income applicable to Morgan Stanley	$	2,191	$	2,601	(16)	%

Six Months Ended
June 30,
$ in millions 2021 2020 % Change
Revenues
Advisory $ 1,144 $ 824 39 %
Equity 2,574 1,218 111 %
Fixed income 1,271 1,153 10 %
Total Underwriting 3,845 2,371 62 %
Total Investment banking 4,989 3,195 56 %
Equity1
5,702 5,076 12 %
Fixed income1
4,648 5,103 (9) %
Other1
330 3 N/M
Net revenues1
$ 15,669 $ 13,377 17 %
Provision for credit losses1
(23) 605 (104) %
Compensation and benefits 5,547 4,766 16 %
Non-compensation expenses1
4,276 4,063 5 %
Total non-interest expenses1
9,823 8,829 11 %
Income before provision for income taxes 5,869 3,943 49 %
Provision for income taxes 1,310 941 39 %
Net income 4,559 3,002 52 %
Net income applicable to noncontrolling interests 54 59 (8) %
Net income applicable to Morgan Stanley $ 4,505 $ 2,943 53 %

1.~~Certain prior period amounts have been reclassified to conform to the current presentation. See “Business Segments” herein and Note 1 to the financial statements for additional information.~~

Investment Banking

Investment Banking Volumes


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in billions	$ in billions	2021		2020		2021		2020		$ in billions		2022		2021
Completed mergers and acquisitions1	Completed mergers and acquisitions1	$	141	$	433	$	370	$	552	Completed mergers and acquisitions1		$	320	$	228
Equity and equity-related offerings2, 3	Equity and equity-related offerings2, 3	31		36		68		49		Equity and equity-related offerings2, 3		8		37
Fixed income offerings2, 4	Fixed income offerings2, 4	100		121		204		214		Fixed income offerings2, 4		81		105

Source: Refinitiv data as of ~~July~~April 1, ~~2021.~~2022. Transaction volumes may not be indicative of net revenues in a given period. In addition, transaction volumes for prior periods may vary from amounts previously reported due to the subsequent withdrawal, change in value or change in timing of certain transactions.

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.

Provision for Credit Losses

The Provision for credit losses on loans and lending commitments of $57 million in the current quarter was primarily due to portfolio growth. The Provision for credit losses on loans and lending commitments in the prior year quarter was a net release of $98 million primarily driven by improvements in the outlook for macroeconomic conditions and the impact of paydowns on Corporate loans, including by lower-rated borrowers.

For further information on the Provision for credit losses, see “Credit Risk” herein.

Income Taxes

The Firm’s effective tax rate of 19.0% is lower than the prior year quarter due to higher benefits related to the conversion of employee share-based awards, which primarily occur in the first quarter of each year.

Business Segment Results

Net Revenues by Segment1

($ in millions)

Net Income Applicable to Morgan Stanley by Segment1

($ in millions)

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 19 to the financial statements for details of intersegment eliminations.

•Institutional Securities net revenues of $7,657 million in the current quarter decreased 11% from the prior year quarter, primarily reflecting lower underwriting revenues, partially offset by higher Advisory and Equity business revenues.

•Wealth Management net revenues of $5,935 million in the current quarter were relatively unchanged from the prior year quarter, reflecting lower Transactional revenues offset by higher Asset management revenues and Net interest.

•Investment ~~Banking Revenues~~

~~Revenues~~Management net revenues of ~~$2,376~~$1,335 million in the current quarter increased ~~16% compared with~~2% from the prior year quarter, primarily ~~reflecting an increase in advisory and equity underwriting revenues.~~

•~~Advisory revenues increased primarily~~ due to ~~an increase in~~higher Asset management and related fees due to incremental revenues related to the ~~number of completed transactions.~~

•~~Equity underwriting revenues increased primarily in initial public offerings on higher volumes,~~Eaton Vance acquisition, partially offset by lower ~~revenues from convertible issuances~~Performance-based income and ~~follow-on offerings.~~other revenues.


March 2022 Form 10-Q			3


Table of Contents
Management’s Discussion and Analysis

Net Revenues by Region1, 2

($ in millions)

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 23 to the financial statements in the 2021 Form 10-K.

Americas net revenues in the current quarter decreased 6% from the prior year quarter, primarily driven by decreases in the Investment banking and Fixed income ~~underwriting revenues decreased primarily due to lower investment grade and non-investment grade bond issuances,~~businesses within the Institutional securities business segment, partially offset by increases ~~in non-investment grade loans and securitized products.~~

~~Revenues of $4,989 million in~~within the ~~current year period~~Investment Management business segment. EMEA net revenues increased ~~56% compared with~~7% from the prior year ~~period,~~quarter, primarily ~~reflecting an increase in equity underwriting revenues.~~

•~~Advisory revenues increased primarily due to an increase~~driven by increases in the ~~number~~Fixed income and Equity businesses within the Institutional Securities business segment. Asia net revenues decreased 14% from the prior year quarter, primarily driven by the Investment Management business segment.

Selected Financial Information and Other Statistical Data


	Three Months Ended March 31,
$ in millions		2022			2021
Consolidated results
Net revenues		$	14,801		$	15,719
Earnings applicable to Morgan Stanley common shareholders		$	3,542		$	3,982
Earnings per diluted common share		$	2.02		$	2.19
Consolidated financial measures
Expense efficiency ratio1		69		%	67		%
Adjusted expense efficiency ratio1, 2		68		%	66		%
ROE3		14.7		%	16.9		%
Adjusted ROE2, 3		15.0		%	17.1		%
ROTCE2, 3		19.8		%	21.1		%
Adjusted ROTCE2, 3		20.3		%	21.4		%
Pre-tax margin4		31		%	34		%
Effective tax rate		19.0		%	22.0		%
Pre-tax margin by segment4
Institutional Securities		36		%	39		%
Wealth Management		27		%	27		%
Wealth Management, adjusted2		28		%	28		%
Investment Management		17		%	28		%
Investment Management, adjusted2		19		%	29		%


in millions, except per share and employee data	At March 31, 2022			At December 31, 2021
Liquidity resources5	$	323,227		$	356,003
Loans6	$	208,750		$	200,761
Total assets	$	1,222,233		$	1,188,140
Deposits	$	360,840		$	347,574
Borrowings	$	229,817		$	233,127
Common shareholders' equity	$	95,151		$	97,691
Tangible common shareholders’ equity2	$	70,083		$	72,499
Common shares outstanding	1,756			1,772
Book value per common share7	$	54.18		$	55.12
Tangible book value per common share2, 7	$	39.91		$	40.91
Worldwide employees (in thousands)	77			75
Client assets8 (in billions)	$	6,247		$	6,495
Capital Ratios9
Common Equity Tier 1 capital—Standardized	14.5		%	16.0		%
Tier 1 capital—Standardized	16.0		%	17.7		%
Common Equity Tier 1 capital—Advanced	15.9		%	17.4		%
Tier 1 capital—Advanced	17.6		%	19.1		%
Tier 1 leverage	6.8		%	7.1		%
SLR	5.5		%	5.6		%

1.The expense efficiency ratio represents total non-interest expenses as a percentage of ~~completed transactions.~~net revenues.

•2.~~Equity underwriting revenues increased on higher volumes, primarily in initial public offerings and secondary block share trades.~~Represents a non-GAAP financial measure. See “Selected Non-GAAP Financial Information” herein.

•3.~~Fixed income underwriting revenues increased primarily due~~ROE and ROTCE represent annualized earnings applicable to ~~increased non-investment grade loan~~Morgan Stanley common shareholders as a percentage of average common equity and ~~securitized products activity, partially offset by a decrease in investment grade bond issuances.~~average tangible common equity, respectively.

~~See “Investment Banking Volumes” herein.~~4.Pre-tax margin represents income before income taxes as a percentage of net revenues.

5.For a discussion of Liquidity resources, see “Liquidity and Capital Resources—Balance Sheet—Liquidity Risk Management Framework—Liquidity Resources” herein.

6.Includes loans held for investment, net of ACL, loans held for sale and also includes loans at fair value, which are included in Trading assets in the balance sheet.

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.Client assets represents Wealth Management client assets and Investment Management AUM. Certain Wealth Management client assets are invested in Investment Management products and are also included in Investment Management’s AUM.

9.For a discussion of our capital ratios, see “Liquidity and Capital Resources—Regulatory Requirements” herein.

Russia and Ukraine War

We are monitoring the war in Ukraine and its impact on both the Ukrainian and Russian economies, as well as related impacts on other world economies and the financial markets. Our direct exposure to both Russia and Ukraine is limited. We are not entering any new business onshore in Russia and our activities in Russia are limited to helping global clients address and close out pre-existing obligations.

Refer to “Risk Factors” and “Forward-Looking Statements” in the 2021 Form 10-K for more information on the potential effects of geopolitical events and acts of war or aggression.

Selected Non-GAAP Financial Information


			84			~~June 2021~~March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

~~Equity, Fixed Income~~calculated and ~~Other Net Revenues~~presented in accordance with U.S. GAAP. We consider the non-GAAP financial measures we disclose to be useful to us, investors, analysts and other stakeholders by providing further transparency about, or an alternate means of assessing or comparing our financial condition, operating results and capital adequacy.

~~Equity~~These measures are not in accordance with, or a substitute for, U.S. GAAP and ~~Fixed Income Net Revenues~~may be different from or inconsistent with non-GAAP financial measures used by other companies. Whenever we refer to a non-GAAP financial measure, we will also generally define it or present the most directly comparable financial measure calculated and presented in accordance with U.S. GAAP, along with a reconciliation of the differences between the U.S. GAAP financial measure and the non-GAAP financial measure.

Three Months Ended
June 30, 2021

Net Interest2
All Other3

$ in millions Trading
Fees1
Total
Financing $ 1,138 $ 121 $ 117 $ 3 $ 1,379
Execution services 818 636 (45) 39 1,448
Total Equity $ 1,956 $ 757 $ 72 $ 42 $ 2,827
Total Fixed Income $ 1,148 $ 72 $ 417 $ 45 $ 1,682
The principal non-GAAP financial measures presented in this document are set forth in the following tables.

Three Months Ended
June 30, 20204

Net Interest2
All Other3

$ in millions Trading
Fees1
Total
Financing $ 884 $ 115 $ 94 $ 1 $ 1,094
Execution services 948 651 (73) 7 1,533
Total Equity $ 1,832 $ 766 $ 21 $ 8 $ 2,627
Total Fixed Income $ 2,468 $ 67 $ 504 $ 2 $ 3,041
Reconciliations from U.S. GAAP to Non-GAAP Consolidated Financial Measures

Six Months Ended
June 30, 2021

Net Interest2
All Other3

$ in millions Trading
Fees1
Total
Financing $ 1,783 $ 251 $ 299 $ 6 $ 2,339
Execution services 1,932 1,436 (107) 102 3,363
Total Equity $ 3,715 $ 1,687 $ 192 $ 108 $ 5,702
Total Fixed Income $ 3,461 $ 153 $ 856 $ 178 $ 4,648


	Three Months Ended March 31,
$ in millions, except per share data		2022			2021
Earnings applicable to Morgan Stanley common shareholders		$	3,542		$	3,982
Impact of adjustments:
Wealth Management—Compensation expenses		1			30
Wealth Management—Non-compensation expenses		74			34
Investment Management—Compensation expenses		9			3
Investment Management—Non-compensation expenses		23			8
Integration-related expenses		107			75
Related tax benefit		(25)			(17)
Adjusted earnings applicable to Morgan Stanley common shareholders—non-GAAP1		$	3,624		$	4,040
Earnings per diluted common share		$	2.02		$	2.19
Impact of adjustments		0.04			0.03
Adjusted earnings per diluted common share—non-GAAP1		$	2.06		$	2.22
Expense efficiency ratio		69		%	67		%
Impact of adjustments		(1)		%	(1)		%
Adjusted expense efficiency ratio—non-GAAP1		68		%	66		%
Wealth Management Pre-tax margin		27		%	27		%
Impact of adjustments		1		%	1		%
Adjusted Wealth Management pre-tax margin—non-GAAP1		28		%	28		%
Investment Management Pre-tax margin		17		%	28		%
Impact of adjustments		2		%	1		%
Adjusted Investment Management pre-tax margin—non-GAAP1		19		%	29		%

Six Months Ended
June 30, 20204

Net Interest2
All Other3

$ in millions Trading
Fees1
Total
Financing $ 1,919 $ 217 $ 57 $ 4 $ 2,197
Execution services 1,527 1,434 (113) 31 2,879
Total Equity $ 3,446 $ 1,651 $ (56) $ 35 $ 5,076
Total Fixed Income $ 4,241 $ 169 $ 832 $ (139) $ 5,103


$ in millions	At March 31, 2022		At December 31, 2021
Tangible equity
Common shareholders' equity	$	95,151	$	97,691
Less: Goodwill and net intangible assets	(25,068)		(25,192)
Tangible common shareholders' equity—non-GAAP	$	70,083	$	72,499


		Average Monthly Balance
	Three Months Ended March 31,
$ in millions		2022		2021
Tangible equity
Common shareholders' equity		$	96,667	$	94,343
Less: Goodwill and net intangible assets		(25,120)		(18,849)
Tangible common shareholders' equity—non-GAAP		$	71,547	$	75,494


	Three Months Ended March 31,
$ in billions		2022			2021
Average common equity
Unadjusted—GAAP		$	96.7		$	94.3
Adjusted1—Non-GAAP		96.7			94.4
ROE2
Unadjusted—GAAP		14.7		%	16.9		%
Adjusted1—Non-GAAP		15.0		%	17.1		%
Average tangible common equity—Non-GAAP
Unadjusted		$	71.5		$	75.5
Adjusted1		71.6			75.5
ROTCE2—Non-GAAP
Unadjusted		19.8		%	21.1		%
Adjusted1		20.3		%	21.4		%

Non-GAAP Financial Measures by Business Segment


	Three Months Ended March 31,
$ in billions		2022			2021
Average common equity3
Institutional Securities		$	48.8		$	43.5
Wealth Management		31.0			28.5
Investment Management		10.6			4.4
ROE4
Institutional Securities		17		%	23		%
Wealth Management		16		%	17		%
Investment Management		8		%	25		%
Average tangible common equity3
Institutional Securities		$	48.3		$	42.9
Wealth Management		16.3			13.4
Investment Management		0.8			1.2
ROTCE4
Institutional Securities		17		%	23		%
Wealth Management		30		%	36		%
Investment Management		106		%	88		%

1.~~Includes Commissions~~Adjusted amounts exclude the effect of costs related to the integrations of E*TRADE and ~~fees and Asset management revenues.~~Eaton Vance, net of tax as appropriate.

2.~~Includes funding~~ROE and ROTCE represent earnings applicable to Morgan Stanley common shareholders as a percentage of average common equity and average tangible common equity, respectively. When excluding integration-related costs, ~~which~~both the numerator and average denominator are ~~allocated to the businesses based on funding usage.~~adjusted.

3.~~Includes Investments~~Average common equity and ~~Other revenues.~~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). The sums of the segments’ Average common equity and Average tangible common equity do not equal the Consolidated measures due to Parent equity.

4.~~Certain prior period amounts have been reclassified~~The calculation of ROE and ROTCE by segment uses net income applicable to ~~conform~~Morgan Stanley by segment less preferred dividends allocated to ~~the current period presentation. See “Business Segments” herein~~each segment as a percentage of average common equity and ~~Note 1~~average tangible common equity, respectively, allocated to ~~the financial statements for additional information.~~each segment.

Return on Tangible Common Equity ~~Fixed Income~~Goal

In January 2022, we established an ROTCE goal of over 20%, excluding integration-related expenses. Our ROTCE goal is a forward-looking statement that was based on a normal market environment and ~~Other Net Revenues—Current Quarter~~

~~Equity~~

~~Net revenues of $2,827 million in the current quarter increased 8% compared with the prior year quarter, reflecting an increase in financing revenues partially offset~~may be materially affected by ~~execution services.~~

•~~Financing revenues increased, primarily driven by higher average client balances and higher client activity.~~

•Execution services revenues decreased, primarily due to the impact of market conditions on inventory held to facilitate client activity in derivatives and cash equities, partially offset by higher client activity in derivatives.

~~Fixed Income~~

~~Net revenues of $1,682 million in the current quarter decreased 45% compared with the prior year quarter reflecting lower results across products.~~

•Global macro products revenues decreased in rates and foreign exchange products primarily due to the effect of tighter bid-offer spreads and lower market volatility compared with the prior year quarter.

•Credit products revenues decreased primarily due to the impact of market conditions on inventory held to facilitate client activity in securitized products compared to particularly strong results in the prior year quarter, as well as the effect of tighter bid-offer spreads and lower client activity in corporate credit products.

•~~Commodities products and other fixed income revenues decreased, primarily driven by the impact of market conditions on inventory held to facilitate client activity.~~

~~Other Net Revenues~~

Net revenues of $207 million in the current quarter decreased 57% compared with the prior year quarter primarily due to losses, net of related economic hedges, on corporate loans held for sale compared with gains in the prior year quarter.

~~Net Interest~~

Net interest revenues of $610 million in the current quarter are included within Equity, Fixed Income, and Other, and increased 7% compared with the prior year quarter primarily driven by lower net costs associated with maintaining liquidity as well as higher revenues from secured lending facilities.

~~Equity, Fixed Income and Other Net Revenues~~—~~Current Year Period~~

~~Equity~~

~~Net revenues of $5,702 million in the current year period increased 12% compared with the prior year period, primarily reflecting an increase in execution services.~~

•~~Financing revenues increased, primarily driven by higher average client balances and higher client activity, partially offset by a credit loss related to a single client in the first quarter of 2021.~~

•Execution services revenues increased, primarily due to higher client activity and the impact of market conditions on inventory held to facilitate client activity in derivatives, partially offset by trading losses related to the aforementioned credit event.many factors.


~~June 2021~~March 2022 Form 10-Q			95


Table of Contents
Management’s Discussion and Analysis

~~Fixed Income~~

~~Net revenues of $4,648 million~~See “Risk Factors” and “Forward-Looking Statements” in the ~~current year period decreased 9% compared with~~2021 Form 10-K for further information on market and economic conditions and their potential effects on our future operating results.

For further information on non-GAAP measures (ROTCE excluding integration-related expenses), see “Selected Non-GAAP Financial Information” herein.

Business Segments

Substantially all of our operating revenues and operating expenses are directly attributable to our business segments. Certain revenues and expenses have been allocated to each business segment, generally in proportion to its respective net revenues, non-interest expenses or other relevant measures. See Note 19 to the ~~prior year period, primarily driven~~financial statements for segment net revenues by ~~global macro products, partially offset by credit products.~~income statement line item and information on intersegment transactions.


			6			March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

Institutional Securities

Income Statement Information


	Three Months Ended March 31,
$ in millions	2022		2021		% Change
Revenues
Advisory	$	944	$	480	97	%
Equity	258		1,502		(83)	%
Fixed income	432		631		(32)	%
Total Underwriting	690		2,133		(68)	%
Total Investment banking	1,634		2,613		(37)	%
Equity	3,174		2,875		10	%
Fixed income	2,923		2,966		(1)	%
Other	(74)		123		(160)	%
Net revenues	$	7,657	$	8,577	(11)	%
Provision for credit losses	44		(93)		147	%
Compensation and benefits	2,604		3,114		(16)	%
Non-compensation expenses	2,222		2,185		2	%
Total non-interest expenses	4,826		5,299		(9)	%
Income before provision for income taxes	2,787		3,371		(17)	%
Provision for income taxes	535		736		(27)	%
Net income	2,252		2,635		(15)	%
Net income applicable to noncontrolling interests	61		34		79	%
Net income applicable to Morgan Stanley	$	2,191	$	2,601	(16)	%

Investment Banking

•Investment Banking Volumes~~Global macro products~~


	Three Months Ended March 31,
$ in billions		2022		2021
Completed mergers and acquisitions1		$	320	$	228
Equity and equity-related offerings2, 3		8		37
Fixed income offerings2, 4		81		105

Source: Refinitiv data as of April 1, 2022. Transaction volumes may not be indicative of net revenues ~~decreased~~ in ~~rates and foreign exchange products, primarily~~a given period. In addition, transaction volumes for prior periods may vary from amounts previously reported due to the ~~effect~~subsequent withdrawal, change in value or change in timing of ~~tighter bid-offer spreads and lower market volatility compared with~~certain transactions.

1.Includes transactions of $100 million or more. Based on full credit to each of the ~~prior year period, partially offset by the impact of market conditions on inventory held to facilitate client activity.~~advisors in a transaction.

•2.~~Credit products revenues increased, primarily due to the impact of market conditions~~Based on ~~inventory held to facilitate client activity across all~~full credit ~~products, partially offset by the effect of tighter bid-offer spreads~~for single book managers and ~~lower client activity in corporate~~equal credit ~~products compared with the prior year period.~~for joint book managers.

•3.~~Commodities products~~Includes Rule 144A issuances and ~~other fixed income revenues decreased, primarily driven by the impact~~registered public offerings of ~~market conditions on inventory held to facilitate client activity~~common stock, convertible securities and ~~lower client activity in Commodities, partially offset by higher counterparty credit risk management results.~~rights offerings.

~~Other Net Revenues~~

Net revenues of $330 million in the current year period increased from the prior year period primarily due to gains from investments associated with certain employee deferred compensation plans compared with losses in the prior year period and lower mark-to-market losses on corporate loans held for sale, net of related economic hedges.

~~Net Interest~~

Net interest revenues of $1,248 million in the current year period are included within Equity, Fixed Income, and Other, and increased 21% compared with the prior year period primarily driven by lower net costs associated with maintaining liquidity as well as higher revenues in secured lending facilities and corporate lending.

Provision for Credit Losses

~~In the current quarter, the Provision for credit losses on loans and lending commitments was $70 million, primarily driven by one secured lending facility~~. The Provision for credit losses on loans and lending commitments of ~~$217~~$57 million in the current quarter was primarily due to portfolio growth. The Provision for credit losses on loans and lending commitments in the prior year quarter was a net release of $98 million primarily driven by ~~deterioration~~improvements in the ~~expected~~outlook for macroeconomic ~~environment at that time.~~conditions and the impact of paydowns on Corporate loans, including by lower-rated borrowers.

For further information on the Provision for credit losses, see “Credit Risk” herein.

Income Taxes

Business Segment Results

Net Revenues by Segment1

($ in millions)

Net Income Applicable to Morgan Stanley by Segment1

($ in millions)

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 19 to the financial statements for details of intersegment eliminations.

In•Wealth Management net revenues of $5,935 million in the current quarter were relatively unchanged from the prior year ~~period,~~quarter, reflecting lower Transactional revenues offset by higher Asset management revenues and Net interest.

•Investment Management net revenues of $1,335 million in the current quarter increased 2% from the prior year quarter, primarily due to higher Asset management and related fees due to incremental revenues related to the Eaton Vance acquisition, partially offset by lower Performance-based income and other revenues.


March 2022 Form 10-Q			3


Table of Contents
Management’s Discussion and Analysis

Net Revenues by Region1, 2

($ in millions)

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 23 to the financial statements in the 2021 Form 10-K.

Americas net revenues in the current quarter decreased 6% from the prior year quarter, primarily driven by decreases in the Investment banking and Fixed income businesses within the Institutional securities business segment, partially offset by increases within the Investment Management business segment. EMEA net revenues increased 7% from the prior year quarter, primarily driven by increases in the Fixed income and Equity businesses within the Institutional Securities business segment. Asia net revenues decreased 14% from the prior year quarter, primarily driven by the Investment Management business segment.

Selected Financial Information and Other Statistical Data


	Three Months Ended March 31,
$ in millions		2022			2021
Consolidated results
Net revenues		$	14,801		$	15,719
Earnings applicable to Morgan Stanley common shareholders		$	3,542		$	3,982
Earnings per diluted common share		$	2.02		$	2.19
Consolidated financial measures
Expense efficiency ratio1		69		%	67		%
Adjusted expense efficiency ratio1, 2		68		%	66		%
ROE3		14.7		%	16.9		%
Adjusted ROE2, 3		15.0		%	17.1		%
ROTCE2, 3		19.8		%	21.1		%
Adjusted ROTCE2, 3		20.3		%	21.4		%
Pre-tax margin4		31		%	34		%
Effective tax rate		19.0		%	22.0		%
Pre-tax margin by segment4
Institutional Securities		36		%	39		%
Wealth Management		27		%	27		%
Wealth Management, adjusted2		28		%	28		%
Investment Management		17		%	28		%
Investment Management, adjusted2		19		%	29		%


in millions, except per share and employee data	At March 31, 2022			At December 31, 2021
Liquidity resources5	$	323,227		$	356,003
Loans6	$	208,750		$	200,761
Total assets	$	1,222,233		$	1,188,140
Deposits	$	360,840		$	347,574
Borrowings	$	229,817		$	233,127
Common shareholders' equity	$	95,151		$	97,691
Tangible common shareholders’ equity2	$	70,083		$	72,499
Common shares outstanding	1,756			1,772
Book value per common share7	$	54.18		$	55.12
Tangible book value per common share2, 7	$	39.91		$	40.91
Worldwide employees (in thousands)	77			75
Client assets8 (in billions)	$	6,247		$	6,495
Capital Ratios9
Common Equity Tier 1 capital—Standardized	14.5		%	16.0		%
Tier 1 capital—Standardized	16.0		%	17.7		%
Common Equity Tier 1 capital—Advanced	15.9		%	17.4		%
Tier 1 capital—Advanced	17.6		%	19.1		%
Tier 1 leverage	6.8		%	7.1		%
SLR	5.5		%	5.6		%

1.The expense efficiency ratio represents total non-interest expenses as a percentage of net revenues.

2.Represents a non-GAAP financial measure. See “Selected Non-GAAP Financial Information” herein.

3.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.

4.Pre-tax margin represents income before income taxes as a percentage of net revenues.

5.For a discussion of Liquidity resources, see “Liquidity and Capital Resources—Balance Sheet—Liquidity Risk Management Framework—Liquidity Resources” herein.

6.Includes loans held for investment, net of ACL, loans held for sale and also includes loans at fair value, which are included in Trading assets in the balance sheet.

9.For a discussion of our capital ratios, see “Liquidity and Capital Resources—Regulatory Requirements” herein.

Russia and Ukraine War

Refer to “Risk Factors” and “Forward-Looking Statements” in the 2021 Form 10-K for more information on the potential effects of geopolitical events and acts of war or aggression.

Selected Non-GAAP Financial Information


			4			March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

The principal non-GAAP financial measures presented in this document are set forth in the following tables.

Reconciliations from U.S. GAAP to Non-GAAP Consolidated Financial Measures


	Three Months Ended March 31,
$ in millions, except per share data		2022			2021
Earnings applicable to Morgan Stanley common shareholders		$	3,542		$	3,982
Impact of adjustments:
Wealth Management—Compensation expenses		1			30
Wealth Management—Non-compensation expenses		74			34
Investment Management—Compensation expenses		9			3
Investment Management—Non-compensation expenses		23			8
Integration-related expenses		107			75
Related tax benefit		(25)			(17)
Adjusted earnings applicable to Morgan Stanley common shareholders—non-GAAP1		$	3,624		$	4,040
Earnings per diluted common share		$	2.02		$	2.19
Impact of adjustments		0.04			0.03
Adjusted earnings per diluted common share—non-GAAP1		$	2.06		$	2.22
Expense efficiency ratio		69		%	67		%
Impact of adjustments		(1)		%	(1)		%
Adjusted expense efficiency ratio—non-GAAP1		68		%	66		%
Wealth Management Pre-tax margin		27		%	27		%
Impact of adjustments		1		%	1		%
Adjusted Wealth Management pre-tax margin—non-GAAP1		28		%	28		%
Investment Management Pre-tax margin		17		%	28		%
Impact of adjustments		2		%	1		%
Adjusted Investment Management pre-tax margin—non-GAAP1		19		%	29		%


$ in millions	At March 31, 2022		At December 31, 2021
Tangible equity
Common shareholders' equity	$	95,151	$	97,691
Less: Goodwill and net intangible assets	(25,068)		(25,192)
Tangible common shareholders' equity—non-GAAP	$	70,083	$	72,499


		Average Monthly Balance
	Three Months Ended March 31,
$ in millions		2022		2021
Tangible equity
Common shareholders' equity		$	96,667	$	94,343
Less: Goodwill and net intangible assets		(25,120)		(18,849)
Tangible common shareholders' equity—non-GAAP		$	71,547	$	75,494


	Three Months Ended March 31,
$ in billions		2022			2021
Average common equity
Unadjusted—GAAP		$	96.7		$	94.3
Adjusted1—Non-GAAP		96.7			94.4
ROE2
Unadjusted—GAAP		14.7		%	16.9		%
Adjusted1—Non-GAAP		15.0		%	17.1		%
Average tangible common equity—Non-GAAP
Unadjusted		$	71.5		$	75.5
Adjusted1		71.6			75.5
ROTCE2—Non-GAAP
Unadjusted		19.8		%	21.1		%
Adjusted1		20.3		%	21.4		%

Non-GAAP Financial Measures by Business Segment


	Three Months Ended March 31,
$ in billions		2022			2021
Average common equity3
Institutional Securities		$	48.8		$	43.5
Wealth Management		31.0			28.5
Investment Management		10.6			4.4
ROE4
Institutional Securities		17		%	23		%
Wealth Management		16		%	17		%
Investment Management		8		%	25		%
Average tangible common equity3
Institutional Securities		$	48.3		$	42.9
Wealth Management		16.3			13.4
Investment Management		0.8			1.2
ROTCE4
Institutional Securities		17		%	23		%
Wealth Management		30		%	36		%
Investment Management		106		%	88		%

1.Adjusted amounts exclude the effect of costs related to the integrations of E*TRADE and Eaton Vance, net of tax as appropriate.

2.ROE and ROTCE represent earnings applicable to Morgan Stanley common shareholders as a percentage of average common equity and average tangible common equity, respectively. When excluding integration-related costs, both the numerator and average denominator are adjusted.

3.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). The sums of the segments’ Average common equity and Average tangible common equity do not equal the Consolidated measures due to Parent equity.

4.The calculation of ROE and ROTCE by segment uses net income applicable to Morgan Stanley by segment less preferred dividends allocated to each segment as a percentage of average common equity and average tangible common equity, respectively, allocated to each segment.

Return on Tangible Common Equity Goal


March 2022 Form 10-Q			5


Table of Contents
Management’s Discussion and Analysis

See “Risk Factors” and “Forward-Looking Statements” in the 2021 Form 10-K for further information on market and economic conditions and their potential effects on our future operating results.

For further information on non-GAAP measures (ROTCE excluding integration-related expenses), see “Selected Non-GAAP Financial Information” herein.

Business Segments

Substantially all of our operating revenues and operating expenses are directly attributable to our business segments. Certain revenues and expenses have been allocated to each business segment, generally in proportion to its respective net revenues, non-interest expenses or other relevant measures. See Note 19 to the financial statements for segment net revenues by income statement line item and information on intersegment transactions.


			6			March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

Institutional Securities

Income Statement Information


	Three Months Ended March 31,
$ in millions	2022		2021		% Change
Revenues
Advisory	$	944	$	480	97	%
Equity	258		1,502		(83)	%
Fixed income	432		631		(32)	%
Total Underwriting	690		2,133		(68)	%
Total Investment banking	1,634		2,613		(37)	%
Equity	3,174		2,875		10	%
Fixed income	2,923		2,966		(1)	%
Other	(74)		123		(160)	%
Net revenues	$	7,657	$	8,577	(11)	%
Provision for credit losses	44		(93)		147	%
Compensation and benefits	2,604		3,114		(16)	%
Non-compensation expenses	2,222		2,185		2	%
Total non-interest expenses	4,826		5,299		(9)	%
Income before provision for income taxes	2,787		3,371		(17)	%
Provision for income taxes	535		736		(27)	%
Net income	2,252		2,635		(15)	%
Net income applicable to noncontrolling interests	61		34		79	%
Net income applicable to Morgan Stanley	$	2,191	$	2,601	(16)	%

Investment Banking

Investment Banking Volumes


	Three Months Ended March 31,
$ in billions		2022		2021
Completed mergers and acquisitions1		$	320	$	228
Equity and equity-related offerings2, 3		8		37
Fixed income offerings2, 4		81		105

Source: Refinitiv data as of April 1, 2022. Transaction volumes may not be indicative of net revenues in a given period. In addition, transaction volumes for prior periods may vary from amounts previously reported due to the subsequent withdrawal, change in value or change in timing of certain transactions.

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.

Investment Banking Revenues

Revenues of $1,634 million in the current quarter decreased 37% compared with the prior year quarter, primarily reflecting a decrease in equity underwriting revenues, partially offset by an increase in advisory revenues.

•Advisory revenues increased primarily due to higher completed transactions.

•Equity underwriting revenues decreased on lower volumes in line with market levels, with lower revenues across all products.

•Fixed income underwriting revenues decreased primarily due to lower bond issuances.

See “Investment Banking Volumes” herein.

Equity, Fixed Income and Other Net Revenues

Equity and Fixed Income Net Revenues


	Three Months Ended March 31, 2022
					Net Interest2		All Other3
$ in millions	Trading		Fees1		Net Interest2		All Other3		Total
Financing	$	1,251	$	132	$	87	$	4	$	1,474
Execution services	924		693		(34)		117		1,700
Total Equity	$	2,175	$	825	$	53	$	121	$	3,174
Total Fixed Income	$	2,258	$	97	$	508	$	60	$	2,923


	Three Months Ended March 31, 2021
					Net Interest2		All Other3
$ in millions	Trading		Fees1		Net Interest2		All Other3		Total
Financing	$	645	$	130	$	182	$	3	$	960
Execution services	1,114		800		(62)		63		1,915
Total Equity	$	1,759	$	930	$	120	$	66	$	2,875
Total Fixed Income	$	2,313	$	81	$	439	$	133	$	2,966

1.Includes Commissions and fees and Asset management revenues.

2.Includes funding costs, which are allocated to the businesses based on funding usage.

3.Includes Investments and Other revenues.

Equity

Net revenues of $3,174 million in the current quarter increased 10% compared with the prior year quarter, reflecting an increase in financing, partially offset by a decrease in execution services.

•Financing revenues increased primarily due to the absence of a credit event for a single client in the prior year quarter.

•Execution services revenues decreased, primarily due to the impact of market conditions on inventory held to facilitate client activity and lower client activity compared to the prior year quarter, partially offset by the absence of trading losses related to the aforementioned credit event.

Fixed Income

Net revenues of $2,923 million in the current quarter were relatively unchanged when compared with the prior year quarter, as a decrease in credit products was offset by an increase in commodities and global macro products.

•Global macro products revenues increased primarily in foreign exchange products due to the impact of market conditions on inventory held to facilitate client activity. Client activity levels were elevated consistent with the prior year quarter.

•Credit products revenues decreased primarily due to the impact of market conditions on inventory held to facilitate client activity across products.

•Commodities products and other fixed income revenues increased primarily driven by higher client activity and the impact of market conditions on inventory held to facilitate client activity in Commodities.


March 2022 Form 10-Q			7


Table of Contents
Management’s Discussion and Analysis

Other Net Revenues

Other Net revenues in the current quarter decreased compared with the prior year quarter, primarily due to losses compared with gains in the prior year quarter on investments associated with certain employee deferred compensation plans, and higher mark-to-market losses on corporate loans held for sale, net of related hedges in the current quarter.

Provision for Credit Losses

Provision for credit losses on loans and lending commitments of $44 million in the current quarter was primarily driven by portfolio growth. The Provision for credit losses on loans and lending commitments was a net release of ~~$23~~$93 million in the prior year quarter, primarily ~~as a result of~~driven by improvements in the outlook for macroeconomic conditions and the impact of paydowns on ~~corporate~~Corporate loans, including by lower-rated ~~borrowers, partially offset by the provision for one secured lending facility in the current quarter.~~ ~~The Provision for credit losses~~

~~on loans and lending commitments of $605 million in the prior year period was primarily driven by deterioration in the expected macroeconomic environment at that time.~~

borrowers.

For further information on the Provision for credit losses, see “Credit Risk” herein.

Non-interest Expenses

Non-interest expenses of ~~$4,524~~$4,826 million in the current quarter decreased 9% compared with the prior year quarter, primarily ~~reflecting an 18% decrease in~~as a result of lower Compensation and benefits expenses offset by higher Non-compensation expenses.

•Compensation and benefits expenses decreased in the current quarter, primarily due to ~~a decrease in~~lower discretionary incentive compensation ~~driven~~on lower revenues and lower expenses related to certain deferred compensation plans linked to the Firm’s share price and investment performance, partially offset by ~~lower revenues.~~higher salaries.

•Non-compensation expenses increased in the current quarter, primarily due to an increase in litigation expenses and investments in technology, ~~professional services and volume-related expenses,~~ partially offset by ~~a decrease in litigation expenses.~~

~~Non-interest expenses of $9,823 million in the current year period increased 11% compared with the prior year period, primarily reflecting a 16% increase in Compensation~~lower volume-related and ~~benefits expenses.~~

•Compensation and benefits expenses increased in the current year period, primarily due to higher expenses related to certain deferred compensation plans linked to the Firm’s share price and investment performance, and an increase in discretionary incentive compensation driven by higher revenues.

•Non-compensation expenses increased in the current year period, primarily due to investments in technology, volume-related expenses and professional services, partially offset by a decrease in litigationother expenses.

Income Tax Items

The effective tax rate of ~~23.0%~~19.2% is lower ~~in the current quarter compared with~~than the prior year quarter ~~primarily~~ due to ~~the remeasurement of reserves and interest~~higher benefits related to ~~a foreign tax matter~~the conversion of employee share-based awards, which primarily occur in the ~~prior year quarter.~~first quarter of each year.


			108			~~June 2021~~March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

Wealth Management

Income Statement Information


		Three Months Ended June 30,							Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		% Change		$ in millions	2022		2021		% Change
Revenues	Revenues							Revenues
Asset management	Asset management	$	3,447	$	2,507	37	%	Asset management	$	3,626	$	3,191	14	%
Transactional1	Transactional1	1,172		1,075		9	%	Transactional1	635		1,228		(48)	%
Net interest	Net interest	1,255		1,030		22	%	Net interest	1,540		1,385		11	%
Other1,2		221		92		140	%
Other1								Other1	134		155		(14)	%
Net revenues	Net revenues	6,095		4,704		30	%	Net revenues	5,935		5,959		—	%
Provision for credit losses2		3		22		(86)	%
Provision for credit losses								Provision for credit losses	13		(5)		N/M
Compensation and benefits	Compensation and benefits	3,275		2,729		20	%	Compensation and benefits	3,125		3,170		(1)	%
Non-compensation expenses	Non-compensation expenses	1,181		811		46	%	Non-compensation expenses	1,224		1,194		3	%
Total non-interest expenses	Total non-interest expenses	4,456		3,540		26	%	Total non-interest expenses	4,349		4,364		—	%
Income before provision for income taxes	Income before provision for income taxes	$	1,636	$	1,142	43	%	Income before provision for income taxes	$	1,573	$	1,600	(2)	%
Provision for income taxes	Provision for income taxes	372		289		29	%	Provision for income taxes	301		358		(16)	%
Net income applicable to Morgan Stanley	Net income applicable to Morgan Stanley	$	1,264	$	853	48	%	Net income applicable to Morgan Stanley	$	1,272	$	1,242	2	%

Six Months Ended
June 30,
$ in millions 2021 2020 % Change
Revenues
Asset management $ 6,638 $ 5,187 28 %
Transactional1
2,400 1,474 63 %
Net interest 2,640 1,926 37 %
Other1,2
376 173 117 %
Net revenues 12,054 8,760 38 %
Provision for credit losses2
(2) 41 (105) %
Compensation and benefits 6,445 4,941 30 %
Non-compensation expenses 2,375 1,581 50 %
Total non-interest expenses 8,820 6,522 35 %
Income before provision for
income taxes
$ 3,236 $ 2,197 47 %
Provision for income taxes 730 480 52 %
Net income applicable to
Morgan Stanley
$ 2,506 $ 1,717 46 %

1.Transactional includes Investment banking, Trading, and Commissions and fees revenues. Other includes Investments and Other revenues.

2.~~Certain prior period amounts have been reclassified to conform to the current presentation. See "Business Segments" herein and Note 1 to the financial statements for additional information.~~

~~Acquisition of E*TRADE~~

The comparisons of current year results to prior periods are impacted by the acquisition of E*TRADE in the fourth quarter of 2020. For additional information on the acquisition of E*TRADE, see Note 3 to the financial statements in the Form 2020 10-K.

Wealth Management Metrics


$ in billions	$ in billions	At June 30, 2021		At December 31, 2020		$ in billions	At March 31, 2022		At December 31, 2021
Total client assets	Total client assets	$	4,546	$	3,999	Total client assets	$	4,800	$	4,930

U.S. Bank Subsidiary loans	U.S. Bank Subsidiary loans	$	115	$	98	U.S. Bank Subsidiary loans	$	137	$	129
Margin and other lending1	Margin and other lending1	$	27	$	23	Margin and other lending1	$	29	$	31
Deposits2	Deposits2	$	319	$	306	Deposits2	$	352	$	346
Weighted average cost of deposits3		0.16%		0.24%
Annualized weighted average cost of deposits						Annualized weighted average cost of deposits	0.09%		0.10%

Three Months Ended
June 30, Six Months Ended
June 30,
2021 2020 2021 2020
Net new assets4
$ 71.2 $ 20.4 $ 176.1 $ 57.5


	Three Months Ended March 31,
	2022		2021
Net new assets3	$	142.0	$	104.9

1.Margin and other lending represents margin lending arrangements, which allow customers to borrow against the value of qualifying securities and other lending which includes non‐purpose securities-based lending on non‐bank entities.

2.Deposits are sourced from Wealth Management clients and other sources of funding on the U.S. Bank Subsidiaries. Deposits include sweep deposit programs, savings and other, and time deposits. Excludes approximately $8 billion and ~~$25~~$9 billion of off-balance sheet deposits as of ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, respectively.

3.~~Weighted average cost of deposits represents the annualized weighted average.~~

4.Net new assets represent client inflows, including dividends and ~~interest,~~interest, and asset acquisitions, less client outflows, and exclude activity from business combinations/divestitures and the impact of fees and commissions.

Advisor-led ~~channel~~Channel


$ in billions	$ in billions	At June 30, 2021		At December 31, 2020		$ in billions	At March 31, 2022		At December 31, 2021

Advisor-led client assets1	Advisor-led client assets1	$	3,553	$	3,167	Advisor-led client assets1	$	3,835	$	3,886
Fee-based client assets2	Fee-based client assets2	$	1,680	$	1,472	Fee-based client assets2	$	1,873	$	1,839

Fee-based client assets as a percentage of advisor-led client assets	Fee-based client assets as a percentage of advisor-led client assets	47%		46%		Fee-based client assets as a percentage of advisor-led client assets	49%		47%


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
		2021		2020		2021		2020			2022		2021
Fee-based asset flows3	Fee-based asset flows3	$	33.7	$	11.1	$	70.9	$	29.5	Fee-based asset flows3	$	97.2	$	37.2

1.Advisor-led client assets represent client assets in accounts that have a Wealth Management representative assigned.

2.Fee‐based client assets represent the amount of assets in client accounts where the basis of payment for services is a fee calculated on ~~those~~those assets.

3.Fee-based asset flows include net new fee-based assets (including asset acquisitions), net account transfers, dividends, interest and client fees, and exclude institutional cash management related activity. For a ~~description~~description of the Inflows and Outflows included in Fee-based asset flows, see Fee-based client assets in the ~~2020~~2021 Form 10-K.

Self-directed ~~channel~~Channel


$ in billions	$ in billions	At June 30, 2021		At December 31, 2020		$ in billions	At March 31, 2022		At December 31, 2021

Self-directed assets1	Self-directed assets1	$	993	$	832	Self-directed assets1	$	965	$	1,044

Self-directed households (in millions)2	Self-directed households (in millions)2	7.4		6.7		Self-directed households (in millions)2	7.6		7.4

Three Months Ended
June 30, Six Months Ended
June 30,
2021 2020 2021 2020
Daily average revenue trades (“DARTs”) (in thousands)3
1,042 6 1,324 6


	Three Months Ended March 31,
	2022	2021
Daily average revenue trades (“DARTs”) (in thousands)3	1,016	1,619

1.Self-directed assets represent active accounts which are not advisor led. Active accounts are defined as having at least $25 in assets.

2.Self-directed households represent the total number of households that include at least one account with self-directed assets. Individual households or participants that are engaged in one or more of our Wealth Management channels will be included in each of the respective channel counts.

3.DARTs represent the total self-directed trades in a period divided by the number of trading days during that period.


~~June 2021 Form 10-Q~~			11


~~Table of Contents~~
~~Management’s Discussion and Analysis~~

Workplace ~~channel~~Channel1

$ in billions At June 30,
2021 At December 31,
2020
Workplace unvested assets2
$ 480 $ 435
Number of participants (in millions)3
5.2 4.9


$ in billions	At March 31, 2022		At December 31, 2021
Stock plan unvested assets2	$	454	$	509
Stock plan participants (in millions)3	5.8		5.6

1.The workplace channel includes equity compensation solutions for companies, their executives and employees.

2.~~Workplace~~Stock plan unvested assets represent the market value of public company securities at the end of the period.

3.~~Workplace~~Stock plan participants represent total accounts with vested and/or unvested stock plan assets in the workplace channel. Individuals with accounts in multiple plans are counted as participants in each plan.

Net Revenues

Asset Management

Asset management revenues of ~~$3,447~~$3,626 million in the current quarter ~~and $6,638 million in the current year period~~ increased ~~37% and 28% from~~14% compared with the prior year quarter, ~~and the prior year period, respectively,~~ primarily due to higher fee-based asset levels in the current ~~year periods~~quarter as a result of positive fee-based flows and market appreciation ~~and positive fee-based flows.~~since the prior year quarter.

See “Fee-Based Client Assets—Rollforwards” herein.

Transactional Revenues

Transactional revenues of ~~$1,172~~$635 million in the current quarter ~~increased 9%~~decreased 48% compared with the prior year quarter, primarily due to incremental revenues as a result of the E*TRADE acquisition and higher revenues from structured product and closed-end fund issuances, partially offset by lower gains from investments associated with certain employee deferred compensation plans.

In the current year period, Transactional revenues increased 63% to $2,400 million compared with the prior year period, primarily due to incremental revenues as a result of the E*TRADE acquisition, gains fromlosses on investments associated with certain employee deferred compensation plans, lower client activity in equities, and ~~higher~~lower revenues from ~~structured product and~~ closed-end fund issuances.

Net Interest

Net interest of ~~$1,255~~$1,540 million in the current quarter increased ~~22%~~11% compared with the prior year quarter, primarily due to incremental net interest as a result of the E*TRADE acquisition and continued growth in bank lending, partially offset by the net effect of lower interest rates and an increase in prepayment amortization related to mortgage-backed securities.

In the current year period, Net interest increased 37% to $2,640 million compared with the prior year period, primarily due to incremental net interest as a result of the E*TRADE acquisition, continued growth in bank lending and ~~a decrease in prepayment amortization related to mortgage-backed securities. These increases were partially offset by the~~ net effect of ~~lower~~higher interest rates.

~~Other~~

Other revenues of $221 million in the current quarter and $376 million in the current year period increased 140% and 117% from the prior year quarter and the prior year period, respectively, primarily due to incremental revenues as a result of the E*TRADE acquisition and higher realized gains from the AFS securities portfolio.

Non-interest Expenses

Non-interest expenses of ~~$4,456~~$4,349 million in the current quarter ~~increased 26% compared with~~were relatively unchanged from the prior year ~~quarter, as a result of both higher Compensation and benefits expenses and Non-compensation expenses.~~quarter.

•Compensation and benefits expenses ~~increased~~decreased in the current quarter primarily due to ~~an increase in the formulaic payout to Wealth Management representatives driven by higher compensable revenues and incremental compensation as a result of the E*TRADE acquisition, partially offset by~~ lower expenses related to ~~certain deferred compensation plans linked to investment performance.~~

•~~Non-compensation expenses increased primarily due to incremental expenses as a result of the E*TRADE acquisition.~~

In the current year period, Non-interest expenses increased 35% to $8,820 million compared with the prior year period, as a result of both higher Compensation and benefits expenses and Non-compensation expenses.

•Compensation and benefits expenses increased primarily due to an increase in the formulaic payout to Wealth Management representatives driven by higher compensable revenues, incremental compensation as a result of the E*TRADE acquisition, and higher expenses related to certain deferred compensation plans linked to investment performance.

•~~Non-compensation expenses increased primarily due to incremental expenses as a result of the E*TRADE acquisition.~~

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

certain deferred compensation plans linked to investment performance, partially offset by 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 quarter primarily due to higher professional services expenses and investments in technology, partially offset by lower brokerage and clearing costs.

Fee-Based Client Assets Rollforwards

$ in billions At
March 31,
2021 Inflows Outflows
Market
Impact
At
June 30,
2021
Separately managed1
$ 385 $ 13 $ (4) $ 13 $ 407
Unified managed 405 25 (14) 20 436
Advisor 188 10 (8) 11 201
Portfolio manager 549 29 (17) 29 590
Subtotal $ 1,527 $ 77 $ (43) $ 73 $ 1,634
Cash management 47 8 (9) — 46
Total fee-based
client assets
$ 1,574 $ 85 $ (52) $ 73 $ 1,680

$ in billions At
March 31,
2020 Inflows Outflows
Market
Impact
At
June 30,
2020
Separately managed1
$ 329 $ 7 $ (4) $ (19) $ 313
Unified managed 263 13 (10) 39 305
Advisor 131 8 (8) 18 149
Portfolio manager 379 20 (15) 47 431
Subtotal $ 1,102 $ 48 $ (37) $ 85 $ 1,198
Cash management 32 10 (4) — 38
Total fee-based
client assets
$ 1,134 $ 58 $ (41) $ 85 $ 1,236


$ in billions	$ in billions	At December 31, 2020		Inflows		Outflows		Market Impact		At June 30, 2021		$ in billions	At December 31, 2021		Inflows1		Outflows		Market Impact		At March 31, 2022
Separately managed1		$	359	$	26	$	(11)	$	33	$	407
Separately managed2												Separately managed2	$	479	$	87	$	(8)	$	7	$	565
Unified managed	Unified managed	379		51		(27)		33		436		Unified managed	467		25		(14)		(31)		447
Advisor	Advisor	177		22		(17)		19		201		Advisor	211		9		(11)		(10)		199
Portfolio manager	Portfolio manager	509		59		(32)		54		590		Portfolio manager	636		30		(21)		(30)		615
Subtotal	Subtotal	$	1,424	$	158	$	(87)	$	139	$	1,634	Subtotal	$	1,793	$	151	$	(54)	$	(64)	$	1,826
Cash management	Cash management	48		15		(17)		—		46		Cash management	46		9		(8)		—		47
Total fee-based client assets	Total fee-based client assets	$	1,472	$	173	$	(104)	$	139	$	1,680	Total fee-based client assets	$	1,839	$	160	$	(62)	$	(64)	$	1,873


$ in billions	$ in billions	At December 31, 2019		Inflows		Outflows		Market Impact		At June 30, 2020		$ in billions	At December 31, 2020		Inflows		Outflows		Market Impact		At March 31, 2021
Separately managed1		$	322	$	19	$	(10)	$	(18)	$	313
Separately managed2												Separately managed2	$	359	$	13	$	(7)	$	20	$	385
Unified managed	Unified managed	313		29		(22)		(15)		305		Unified managed	379		27		(14)		13		405
Advisor	Advisor	155		16		(15)		(7)		149		Advisor	177		12		(9)		8		188
Portfolio manager	Portfolio manager	435		44		(31)		(17)		431		Portfolio manager	509		33		(18)		25		549
Subtotal	Subtotal	$	1,225	$	108	$	(78)	$	(57)	$	1,198	Subtotal	$	1,424	$	85	$	(48)	$	66	$	1,527
Cash management	Cash management	42		9		(13)		—		38		Cash management	48		8		(9)		—		47
Total fee-based client assets	Total fee-based client assets	$	1,267	$	117	$	(91)	$	(57)	$	1,236	Total fee-based client assets	$	1,472	$	93	$	(57)	$	66	$	1,574

1.Includes $75 billion of fee-based assets acquired in an asset acquisition in the current quarter reflected in Separately managed.

2.Includes non-custody account values reflecting prior quarter-end balances due to a lag in the reporting of asset values by third-party custodians.

Average Fee Rates1


		Three Months Ended June 30,		Six Months Ended June 30,			Three Months Ended March 31,
Fee rate in bps	Fee rate in bps	2021	2020	2021	2020	Fee rate in bps	2022	2021
Separately managed	Separately managed	14	14	14	14	Separately managed	13	14
Unified managed	Unified managed	95	99	96	99	Unified managed	94	97
Advisor	Advisor	82	86	82	85	Advisor	81	81
Portfolio manager	Portfolio manager	93	94	93	94	Portfolio manager	92	93
Subtotal	Subtotal	72	72	73	72	Subtotal	68	73
Cash management	Cash management	5	6	5	5	Cash management	6	5
Total fee-based client assets	Total fee-based client assets	71	70	71	70	Total fee-based client assets	67	71

1.Based on Asset management revenues related to advisory services associated with fee-based assets.

For a description of fee-based client assets and rollforward items in the previous tables, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Business Segments—Wealth Management Fee-Based Client Assets” in the ~~2020~~2021 Form 10-K.

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

Investment Management

Income Statement Information

Three Months Ended
June 30,
$ in millions 2021 2020 % Change
Revenues
Asset management and related fees $ 1,418 $ 684 107 %
Performance-based income and other1
284 202 41 %
Net revenues 1,702 886 92 %
Compensation and benefits 715 354 102 %
Non-compensation expenses 557 316 76 %
Total non-interest expenses 1,272 670 90 %
Income before provision for income taxes 430 216 99 %
Provision for income taxes 108 39 177 %
Net income 322 177 82 %
Net income (loss) applicable to noncontrolling interests (19) 23 (183) %
Net income applicable to Morgan Stanley $ 341 $ 154 121 %


		Six Months Ended June 30,							Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		% Change		$ in millions	2022		2021		% Change
Revenues	Revenues							Revenues
Asset management and related fees	Asset management and related fees	$	2,521	$	1,349	87	%	Asset management and related fees	$	1,388	$	1,103	26	%
Performance-based income and other1	Performance-based income and other1	495		229		116	%	Performance-based income and other1	(53)		211		(125)	%
Net revenues	Net revenues	3,016		1,578		91	%	Net revenues	1,335		1,314		2	%
Compensation and benefits	Compensation and benefits	1,229		611		101	%	Compensation and benefits	545		514		6	%
Non-compensation expenses	Non-compensation expenses	987		608		62	%	Non-compensation expenses	562		430		31	%
Total non-interest expenses	Total non-interest expenses	2,216		1,219		82	%	Total non-interest expenses	1,107		944		17	%
Income before provision for income taxes	Income before provision for income taxes	800		359		123	%	Income before provision for income taxes	228		370		(38)	%
Provision for income taxes	Provision for income taxes	189		64		195	%	Provision for income taxes	37		81		(54)	%
Net income	Net income	611		295		107	%	Net income	191		289		(34)	%
Net income (loss) applicable to noncontrolling interests	Net income (loss) applicable to noncontrolling interests	(5)		63		(108)	%	Net income (loss) applicable to noncontrolling interests	(12)		14		(186)	%
Net income applicable to Morgan Stanley	Net income applicable to Morgan Stanley	$	616	$	232	166	%	Net income applicable to Morgan Stanley	$	203	$	275	(26)	%

1.Includes Investments, Trading, Commissions and fees, Net interest, and Other revenues.

Acquisition of Eaton Vance

The comparisons of current year results to prior periods are impacted by the acquisition of Eaton Vance ~~in the first quarter of~~on March 1, 2021. For additional information on the acquisition of Eaton Vance, see Note 3 to the financial ~~statements.~~statements in the Form 2021 10-K.

Net Revenues

Asset Management and ~~related fees~~Related Fees

Asset management and related fees of ~~$1,418~~$1,388 million in the current quarter ~~and $2,521 million in the current year period~~ increased ~~107% and 87%~~26% from the prior year quarter, ~~and prior year period, respectively,~~ primarily due to incremental revenues and higher average AUM as a result of the Eaton Vance ~~acquisition, and higher average AUM driven by strong investment performance and positive net flows.~~acquisition.

See “Assets ~~Under~~under Management or Supervision” herein.

Performance-based ~~income~~Income and ~~other~~Other

Performance-based income and other revenues was a loss of ~~$284~~$53 million, ~~in the current quarter and $495 million in the current year period increased 41% and 116%~~a 125% decrease from the prior year quarter, ~~and prior year period, respectively,~~ primarily due to ~~higher accrued~~lower carried interest ~~across strategies, partially offset by~~and mark downs on investments, including the reversal of accrued carried interest and investment losses in an Asia private equity fund compared with gains in the prior year quarter, and the reversal of accrued carried interest in an international real estate fund. Also contributing to the decrease were losses on investments associated with certain employee deferred compensation plans.

Non-interest Expenses

Non-interest expenses of ~~$1,272~~$1,107 million in the current quarter increased ~~90%~~17% from the prior year quarter ~~and Non-interest expenses of $2,216 million in the current year period increased 82% from the prior year period, both~~ as a result of higher Non-compensation expenses and higher Compensation and ~~benefits expenses and Non-compensation expenses.~~benefits.

•Compensation and benefits expenses increased in the current quarter primarily due to incremental compensation as a result of the Eaton Vance acquisition, ~~higher~~partially offset by lower expenses related to certain deferred compensation plans linked to investment performance and lower compensation associated with carried ~~interest, and an increase in discretionary incentive compensation driven by higher asset management revenues.~~interest.

•Non-compensation expenses increased in the current quarter primarily due to incremental expenses as a result of the Eaton Vance ~~acquisition and higher fee sharing paid~~acquisition.

Assets under Management or Supervision

Rollforwards


$ in billions	Equity		Fixed Income		Alternatives and Solutions		Long-Term AUM Subtotal		Liquidity and Overlay Services		Total
December 31, 2021	$	395	$	207	$	466	$	1,068	$	497	$	1,565
Inflows	19		19		27		65		494		559
Outflows	(26)		(22)		(29)		(77)		(523)		(600)
Market Impact	(48)		(7)		(14)		(69)		(2)		(71)

Other	(3)		(2)		(1)		(6)		—		(6)
March 31, 2022	$	337	$	195	$	449	$	981	$	466	$	1,447


$ in billions	Equity		Fixed Income		Alternatives and Solutions		Long-Term AUM Subtotal		Liquidity and Overlay Services		Total
December 31, 2020	$	242	$	98	$	153	$	493	$	288	$	781
Inflows	31		13		15		59		459		518
Outflows	(23)		(9)		(10)		(42)		(433)		(475)
Market Impact	4		(2)		10		12		—		12
Acquired1	119		103		251		473		116		589
Other	(2)		(2)		(1)		(5)		(1)		(6)
March 31, 2021	$	371	$	201	$	418	$	990	$	429	$	1,419

1.Related to ~~intermediaries on higher average AUM.~~the Eaton Vance acquisition.

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

~~Assets Under Management or Supervision~~

~~Rollforwards~~

$ in billions Equity Fixed income Alternatives and Solutions Long-term AUM Subtotal Liquidity and Overlay Services Total
March 31, 2021 $ 371 $ 201 $ 418 $ 990 $ 429 $ 1,419
Inflows 24 19 29 72 454 526
Outflows (21) (15) (20) (56) (419) (475)
Market Impact 31 3 19 53 4 57
Other (1) (1) (1) (3) — (3)
June 30, 2021 $ 404 $ 207 $ 445 $ 1,056 $ 468 $ 1,524

$ in billions Equity Fixed income Alternatives and Solutions Long-term AUM Subtotal Liquidity and Overlay Services Total
March 31, 2020 $ 121 $ 75 $ 141 $ 337 $ 247 $ 584
Inflows 18 11 7 36 409 445
Outflows (9) (6) (4) (19) (388) (407)
Market Impact 37 4 2 43 — 43
Other 1 — (1) — — —
June 30, 2020 $ 168 $ 84 $ 145 $ 397 $ 268 $ 665

$ in billions Equity Fixed income Alternatives and Solutions Long-term AUM Subtotal Liquidity and Overlay Services Total
December 31, 2020 $ 242 $ 98 $ 153 $ 493 $ 288 $ 781
Inflows 55 32 44 131 913 1,044
Outflows (44) (24) (30) (98) (852) (950)
Market Impact 35 1 29 65 4 69
Acquired1
119 103 251 473 116 589
Other (3) (3) (2) (8) (1) (9)
June 30, 2021 $ 404 $ 207 $ 445 $ 1,056 $ 468 $ 1,524

1.~~Related to the Eaton Vance acquisition.~~

$ in billions Equity Fixed income Alternatives and Solutions Long-term AUM Subtotal Liquidity and Overlay Services Total
December 31, 2019 $ 138 $ 79 $ 139 $ 356 $ 196 $ 552
Inflows 32 21 15 68 855 923
Outflows (21) (15) (8) (44) (783) (827)
Market Impact 19 — (5) 14 1 15
Other — (1) 4 3 (1) 2
June 30, 2020 $ 168 $ 84 $ 145 $ 397 $ 268 $ 665

Average AUM


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in billions	$ in billions	2021		2020		2021		2020		$ in billions		2022		2021
Equity	Equity	$	389	$	146	$	329	$	142	Equity		$	355	$	288
Fixed income	Fixed income	205		80		159		80		Fixed income		201		131
Alternatives and Solutions	Alternatives and Solutions	434		143		314		141		Alternatives and Solutions		454		242
Long-term AUM subtotal	Long-term AUM subtotal	1028		369		802		363		Long-term AUM subtotal		1,010		661
Liquidity and Overlay Services	Liquidity and Overlay Services	449		266		384		235		Liquidity and Overlay Services		476		339
Total AUM	Total AUM	$	1,477	$	635	$	1,186	$	598	Total AUM		$	1,486	$	1,000

Average Fee Rates
Three Months Ended
June 30, Six Months Ended
June 30,
Fee rate in bps 2021 2020 2021 2020
Equity 72 76 77 75
Fixed income 38 29 38 30
Alternatives and Solutions 33 58 40 59
Long-term AUM 49 59 55 59
Liquidity and Overlay Services 5 16 6 16
Total AUM 35 41 39 42
1


	Three Months Ended March 31,
Fee rate in bps		2022	2021
Equity		70	77
Fixed income		36	33
Alternatives and Solutions		35	45
Long-term AUM		48	57
Liquidity and Overlay Services		7	8
Total AUM		35	40

~~While~~1.Based on Asset management revenues, net of waivers, excluding performance-based fees and ~~related~~other non-management fees. For certain non-U.S. funds, it includes the portion of advisory fees ~~arising from~~that the ~~acquisition are incremental~~advisor collects on behalf of third-party distributors. The payment of those fees to ~~our revenues, certain~~the distributor is included in Non-compensation expenses in the income statement.

Certain Eaton Vance products may have higher or lower average fee rates than similar products prior to the acquisition, with the overall impact yielding a lower average fee ~~rate.~~rate; however, Asset management and related fees arising from the acquisition are incremental to our revenues.

For a description of the asset classes and rollforward items in the previous tables, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Business Segments—Investment Management—Assets Under Management or Supervision” in the ~~2020~~2021 Form ~~10-K, except for the following updates to the definitions, which reflect the inclusion of certain Eaton Vance products.~~10-K.

•~~Alternatives and Solutions—includes products in fund of funds, real estate, infrastructure, private equity and credit strategies, multi-asset portfolios as well as custom separate account portfolios.~~

•~~Liquidity and Overlay Services~~—includes liquidity fund products as well as overlay services, which represent investment strategies that use passive exposure instruments to obtain, offset or substitute specific portfolio exposures, beyond those provided by the underlying holdings of the fund.

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

Supplemental Financial Information

U.S. Bank Subsidiaries

Our U.S. bank subsidiaries, Morgan Stanley Bank N.A. (“MSBNA”), and Morgan Stanley Private Bank, National Association (“MSPBNA”)~~, E*TRADE Bank (“ETB”), and E*TRADE Savings Bank (“ETSB”)~~ (collectively, “U.S. Bank Subsidiaries”), accept deposits, provide loans to a variety of customers, including large corporate and institutional clients as well as high to ultra-high net worth individuals, and invest in securities. Lending activity ~~recorded~~ in the U.S. Bank Subsidiaries from the Institutional Securities business segment primarily includes Secured lending facilities and Commercial real estate loans. Lending activity ~~recorded~~ in the U.S. Bank Subsidiaries from the Wealth Management business segment primarily includes Securities-based lending, which allows clients to borrow money against the value of qualifying securities, and Residential real estate loans.

For a further discussion of our credit risks, see “Quantitative and Qualitative Disclosures about Risk—Credit Risk.” For a further discussion about loans and lending commitments, see Notes 109 and 1413 to the financial statements.

U.S. Bank Subsidiaries’ Supplemental Financial Information1


$ in billions	$ in billions	At June 30, 2021		At December 31, 2020		$ in billions	At March 31, 2022		At December 31, 2021
Investment securities portfolio:	Investment securities portfolio:					Investment securities portfolio:
Investment securities—AFS	Investment securities—AFS	$	73.4	$	90.3	Investment securities—AFS	$	69.3	$	81.6
Investment securities—HTM	Investment securities—HTM	62.8		52.6		Investment securities—HTM	60.6		61.7
Total investment securities	Total investment securities	$	136.2	$	142.9	Total investment securities	$	129.9	$	143.3
Wealth Management Loans2	Wealth Management Loans2					Wealth Management Loans2
Residential real estate	Residential real estate	$	38.9	$	35.2	Residential real estate	$	47.2	$	44.2
Securities-based lending and Other3	Securities-based lending and Other3	75.8		62.9		Securities-based lending and Other3	89.5		85.0
Total, net of ACL	Total, net of ACL	$	114.7	$	98.1	Total, net of ACL	$	136.7	$	129.2
Institutional Securities Loans2	Institutional Securities Loans2					Institutional Securities Loans2
Corporate	Corporate	$	5.5	$	7.9	Corporate	$	7.0	$	6.5
Secured lending facilities	Secured lending facilities	30.5		27.4		Secured lending facilities	32.6		33.1
Commercial and Residential real estate	Commercial and Residential real estate	9.8		10.1		Commercial and Residential real estate	11.7		10.4
Securities-based lending and Other	Securities-based lending and Other	7.1		5.4		Securities-based lending and Other	6.8		6.3
Total, net of ACL	Total, net of ACL	$	52.9	$	50.8	Total, net of ACL	$	58.1	$	56.3
Total Assets	Total Assets	$	357.5	$	346.5	Total Assets	$	390.0	$	386.1
Deposits4	Deposits4	$	318.7	$	309.7	Deposits4	$	352.1	$	346.2

1.Amounts exclude transactions between the bank subsidiaries, as well as deposits from the Parent Company and affiliates.

2.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.

3.Other loans primarily include tailored lending.

4.For further information on deposits, see “Liquidity and Capital Resources—Funding Management—Balance Sheet—Unsecured Financing” herein.

Accounting Development Updates

The Financial Accounting Standards Board has issued certain accounting updates ~~which we have~~that apply to us. Accounting updates not listed below were assessed and either determined ~~are~~to be not applicable or ~~are~~to not ~~expected to~~ have a ~~significant~~material impact on our financial ~~statements.~~

condition or results of operations upon adoption.

The following accounting updates are currently being evaluated, however, we do not expect a material impact on our financial condition or results of operations upon adoption:

•Financial Instruments—Credit Losses. This accounting update eliminates the accounting guidance for Troubled Debt Restructurings (“TDRs”) and requires new disclosures regarding certain modifications of financing receivables (i.e., principal forgiveness, interest rate reductions, other-than-insignificant payment delays and term extensions) to borrowers experiencing financial difficulty. The update also requires disclosure of current period gross charge-offs by year of origination for financing receivables measured at amortized cost. The ASU is effective January 1, 2023 with early adoption permitted.

•Derivatives and Hedging. The accounting update allows entities to designate fair value hedging relationships to multiple layers in a closed portfolio of prepayable and non-prepayable financial assets. It also provides additional guidance on the accounting for and disclosure of hedge basis adjustments under the portfolio layer method. As of the adoption date, entities are permitted to reclassify HTM debt securities to AFS if the securities will be included in a closed portfolio that are designated in a portfolio layer method hedge. The ASU is effective January 1, 2023 with early adoption permitted.

Critical Accounting Policies

Our financial statements are prepared in accordance with U.S. GAAP, which requires us to make estimates and assumptions (see Note 1 to the financial statements). We believe that of our significant accounting policies (see Note 2 to the financial statements in the ~~2020~~2021 Form 10-K and Note 2 to the financial statements), the fair value, goodwill and intangible assets, legal and regulatory contingencies and income taxes policies involve a higher degree of judgment and complexity. For a further discussion about our critical accounting policies, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Critical Accounting Policies” in the ~~2020~~2021 Form 10-K. As discussed in Note 2 to the financial statements, our acquisition of Eaton Vance on March 1, 2021 included indefinite lived intangible assets. The initial valuation of an intangible asset, including indefinite lived intangible assets, as part of the acquisition method of accounting and the subsequent valuation of intangible assets as part of impairment assessments are subjective and based, in part, on inputs that are unobservable. These inputs include, but are not limited to, forecasted cash flows, revenue growth rates, attrition rates and discount rates.

Liquidity and Capital Resources

~~Senior~~Our liquidity and capital policies are established and maintained by senior management, with oversight by the Asset/Liability Management Committee and the Board of Directors (“Board”)~~, establishes and maintains our liquidity and capital policies.~~. Through various risk and control committees, senior management reviews business


March 2022 Form 10-Q			13


Table of Contents
Management’s Discussion and Analysis

performance relative to these policies, monitors the availability of alternative sources of financing, and oversees the liquidity, interest rate and currency sensitivity of our asset and liability position. Our Treasury department, Firm Risk Committee, Asset/Liability Management Committee, and other committees and control groups assist in evaluating, monitoring and controlling the impact that our business activities have on our balance sheet, liquidity and capital structure. Liquidity and capital matters are reported regularly to the Board and the Risk Committee of the Board.

Balance Sheet

We monitor and evaluate the composition and size of our balance sheet on a regular basis. Our balance sheet management process includes quarterly planning, business-specific thresholds, monitoring of business-specific usage versus key performance metrics and new business impact assessments.

We establish balance sheet thresholds at the consolidated and business segment levels. We monitor balance sheet utilization and review variances resulting from business activity and market fluctuations. On a regular basis, we review current performance versus established thresholds and assess the need to re-allocate our balance sheet based on business ~~unit~~segment needs. We also monitor key metrics, including asset and liability size and capital usage.


			16			~~June 2021 Form 10-Q~~


~~Table of Contents~~
~~Management’s Discussion and Analysis~~

Total Assets by Business Segment


		At June 30, 2021									At March 31, 2022
$ in millions	$ in millions	IS		WM		IM		Total		$ in millions	IS		WM		IM		Total
Assets	Assets									Assets
Cash and cash equivalents	Cash and cash equivalents	$	88,778	$	37,124	$	578	$	126,480	Cash and cash equivalents	$	98,944	$	36,603	$	539	$	136,086
Trading assets at fair value	Trading assets at fair value	314,961		1,180		5,004		321,145		Trading assets at fair value	290,709		1,598		4,574		296,881
Investment securities	Investment securities	40,310		135,032		—		175,342		Investment securities	43,300		127,493		—		170,793
Securities purchased under agreements to resell	Securities purchased under agreements to resell	79,414		16,516		—		95,930		Securities purchased under agreements to resell	112,144		15,623		—		127,767
Securities borrowed	Securities borrowed	125,358		1,345		—		126,703		Securities borrowed	149,957		1,038		—		150,995
Customer and other receivables	Customer and other receivables	66,965		32,714		1,242		100,921		Customer and other receivables	57,315		36,186		1,303		94,804
Loans1	Loans1	51,329		114,708		22		166,059		Loans1	59,542		136,713		5		196,260
Other assets2	Other assets2	15,142		22,517		11,566		49,225		Other assets2	14,331		23,247		11,069		48,647
Total assets	Total assets	$	782,257	$	361,136	$	18,412	$	1,161,805	Total assets	$	826,242	$	378,501	$	17,490	$	1,222,233

At December 31, 2020
$ in millions IS WM IM Total
Assets
Cash and cash equivalents $ 74,281 $ 31,275 $ 98 $ 105,654
Trading assets at fair value 308,413 280 4,045 312,738
Investment securities 41,630 140,524 — 182,154
Securities purchased under agreements to resell 84,998 31,236 — 116,234
Securities borrowed 110,480 1,911 — 112,391
Customer and other receivables 67,085 29,781 871 97,737
Loans1
52,449 98,130 18 150,597
Other assets2
13,986 22,458 1,913 38,357
Total assets $ 753,322 $ 355,595 $ 6,945 $ 1,115,862


	At December 31, 2021
$ in millions	IS		WM		IM		Total
Assets
Cash and cash equivalents	$	91,251	$	36,003	$	471	$	127,725
Trading assets at fair value	288,405		1,921		4,543		294,869
Investment securities	41,407		141,591		—		182,998
Securities purchased under agreements to resell	112,267		7,732		—		119,999
Securities borrowed	128,154		1,559		—		129,713
Customer and other receivables	57,009		37,643		1,366		96,018
Loans1	58,822		129,307		5		188,134
Other assets2	14,820		22,682		11,182		48,684
Total assets	$	792,135	$	378,438	$	17,567	$	1,188,140

1.Amounts include loans held for investment, net of ACL, and loans held for sale but exclude loans at fair value, which are included in Trading assets in the balance ~~sheets~~sheet (see Note 109 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.

A substantial portion of total assets consists of liquid marketable securities and short-term receivables. In the Institutional Securities business segment, these arise from market-making, financing and prime brokerage activities, and in the Wealth Management business segment, these arise from banking activities, including management of the investment portfolio, comprising Investment securities, Cash and cash equivalents and Securities purchased under agreements to resell. Total assets ~~increased slightly to $1,162~~of $1,222 billion at ~~June 30, 2021~~March 31, 2022 were relatively unchanged from ~~$1,116~~$1,188 billion at December 31, ~~2020.~~2021.

Liquidity Risk Management Framework

The core components of our Liquidity Risk Management Framework are the Required Liquidity Framework, Liquidity Stress Tests and Liquidity Resources, which support our target liquidity profile. For a further discussion about the Firm’s Required Liquidity Framework and Liquidity Stress Tests, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Liquidity Risk Management Framework” in the ~~2020~~2021 Form 10-K.

At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, we maintained sufficient liquidity to meet current and contingent funding obligations as modeled in our Liquidity Stress Tests.

Liquidity Resources

We maintain sufficient liquidity resources, which consist of HQLA and cash deposits with banks (“Liquidity Resources”) to cover daily funding needs and to meet strategic liquidity targets sized by the Required Liquidity Framework and Liquidity Stress Tests. ~~The total~~We actively manage the amount of our Liquidity Resources ~~is actively managed by us~~ considering the following components: unsecured debt maturity profile; balance sheet size and composition; funding needs in a stressed environment, inclusive of contingent cash outflows; legal entity, regional and segment liquidity requirements; regulatory requirements; and collateral requirements.


			14			March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

The amount of Liquidity Resources we hold is based on our risk ~~tolerance~~appetite and is ~~subject~~calibrated to ~~change depending on market~~meet various internal and ~~Firm-specific events.~~regulatory requirements as well as fund prospective business activities. The Liquidity Resources are primarily held within the Parent Company and its major operating subsidiaries. The Total HQLA values in the tables immediately following are different from Eligible HQLA, which, in accordance with the LCR rule, also takes into account certain regulatory weightings and other operational considerations.

Liquidity Resources by Type of Investment


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Cash deposits with central banks	Cash deposits with central banks	$	67,662	$	49,669	Cash deposits with central banks	$	78,160	$	70,147
Unencumbered HQLA Securities1:	Unencumbered HQLA Securities1:					Unencumbered HQLA Securities1:
U.S. government obligations	U.S. government obligations	127,603		136,555		U.S. government obligations	122,646		154,879
U.S. agency and agency mortgage-backed securities	U.S. agency and agency mortgage-backed securities	109,294		99,659		U.S. agency and agency mortgage-backed securities	91,265		110,435
Non-U.S. sovereign obligations2	Non-U.S. sovereign obligations2	29,204		39,745		Non-U.S. sovereign obligations2	22,522		11,959
Other investment grade securities	Other investment grade securities	793		2,053		Other investment grade securities	648		607
Total HQLA1	Total HQLA1	$	334,556	$	327,681	Total HQLA1	$	315,241	$	348,027
Cash deposits with banks (non-HQLA)	Cash deposits with banks (non-HQLA)	9,220		10,942		Cash deposits with banks (non-HQLA)	7,986		7,976
Total Liquidity Resources	Total Liquidity Resources	$	343,776	$	338,623	Total Liquidity Resources	$	323,227	$	356,003

1.HQLA is presented prior to applying weightings and includes all HQLA held in subsidiaries.

2.Primarily composed of unencumbered Japanese, U.K., ~~German,~~ French and ~~Italian~~German government obligations.

Liquidity Resources by Bank and Non-Bank Legal Entities


		At June 30, 2021		At December 31, 2020		Average Daily Balance Three Months Ended			At March 31, 2022		At December 31, 2021		Average Daily Balance Three Months Ended
$ in millions	$ in millions					June 30, 2021		$ in millions					March 31, 2022
Bank legal entities	Bank legal entities							Bank legal entities
U.S.	U.S.	$	172,944	$	178,033	$	176,625	U.S.	$	160,425	$	171,642	$	165,108
Non-U.S.	Non-U.S.	9,845		7,670		8,473		Non-U.S.	9,480		8,582		8,978
Total Bank legal entities	Total Bank legal entities	182,789		185,703		185,098		Total Bank legal entities	169,905		180,224		174,086
Non-Bank legal entities	Non-Bank legal entities							Non-Bank legal entities
U.S.:	U.S.:							U.S.:
Parent Company	Parent Company	67,997		59,468		63,911		Parent Company	35,496		60,391		44,846
Non-Parent Company	Non-Parent Company	41,037		33,368		43,511		Non-Parent Company	58,073		52,932		59,925
Total U.S.	Total U.S.	109,034		92,836		107,422		Total U.S.	93,569		113,323		104,771
Non-U.S.	Non-U.S.	51,953		60,084		59,394		Non-U.S.	59,753		62,456		59,424
Total Non-Bank legal entities	Total Non-Bank legal entities	160,987		152,920		166,816		Total Non-Bank legal entities	153,322		175,779		164,195
Total Liquidity Resources	Total Liquidity Resources	$	343,776	$	338,623	$	351,914	Total Liquidity Resources	$	323,227	$	356,003	$	338,281


~~June 2021 Form 10-Q~~			17


~~Table of Contents~~
~~Management’s Discussion and Analysis~~

Liquidity Resources may fluctuate from period to period based on the overall size and composition of our balance sheet, the maturity profile of our unsecured debt and estimates of funding needs in a stressed environment, among other factors.

Regulatory Liquidity Framework

Liquidity Coverage Ratio and Net Stable Funding Ratio

~~The Firm, MSBNA~~We and ~~MSPBNA~~our U.S. Bank Subsidiaries are required to maintain a minimum LCR and NSFR of 100% ~~and ETB is subject to this requirement beginning in July 2021.~~. The LCR ~~requirements are designed to ensure~~requires that banking organizations have sufficient Eligible HQLA to cover net cash outflows arising from significant stress over 30 calendar days, thus promoting the short-term resilience of the liquidity risk profile of banking organizations. In determining Eligible HQLA for LCR purposes, weightings (or asset haircuts) are applied to HQLA, and certain HQLA held in subsidiaries is excluded. The NSFR requires large banking organizations to maintain sufficiently stable sources of funding over a one-year time horizon.

As of ~~June 30, 2021, the Firm, MSBNA~~March 31, 2022, we and ~~MSPBNA~~our U.S. Bank Subsidiaries are compliant with the minimum ~~required~~ LCR and NSFR requirements of 100%.

Liquidity Coverage Ratio


		Average Daily Balance Three Months Ended							Average Daily Balance Three Months Ended
$ in millions	$ in millions	June 30, 2021			March 31, 2021			$ in millions	March 31, 2022			December 31, 2021
Eligible HQLA1	Eligible HQLA1							Eligible HQLA1
Cash deposits with central banks	Cash deposits with central banks	$	56,430		$	50,815		Cash deposits with central banks	$	63,336		$	54,606
Securities2	Securities2	171,729			166,060			Securities2	171,692			183,105
Total Eligible HQLA1	Total Eligible HQLA1	$	228,159		$	216,875		Total Eligible HQLA1	$	235,028		$	237,711
LCR	LCR	126		%	125		%	LCR	130		%	134		%

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.

~~Net Stable Funding Ratio~~

~~The U.S. banking agencies have finalized a rule to implement the NSFR, which requires large banking organizations to maintain sufficiently stable sources of funding over a one-year time horizon, and applies to the Firm, MSBNA, MSPBNA and ETB. The Firm and each of these individual entities are compliant with the 100% minimum NSFR as of July 1, 2021, the effective date of the requirements.~~

Funding Management

We manage our funding in a manner that reduces the risk of disruption to our operations. We pursue a strategy of diversification of secured and unsecured funding sources (by product, investor and region) and attempt to ensure that the tenor of our liabilities equals or exceeds the expected holding period of the assets being financed. Our goal is to achieve an optimal mix of durable secured and unsecured financing.

We fund our balance sheet on a global basis through diverse sources. These sources include our equity capital, borrowings, securities sold under agreements to repurchase, securities lending, deposits, letters of credit and lines of credit. We have

active financing programs for both standard and structured products targeting global investors and currencies.

Secured Financing

For a discussion of our secured financing activities, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Funding Management—Secured Financing” in the ~~2020~~2021 Form 10-K.


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Management’s Discussion and Analysis

Collateralized Financing Transactions


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Securities purchased under agreements to resell and Securities borrowed	Securities purchased under agreements to resell and Securities borrowed	$	222,633	$	228,625	Securities purchased under agreements to resell and Securities borrowed	$	278,762	$	249,712
Securities sold under agreements to repurchase and Securities loaned	Securities sold under agreements to repurchase and Securities loaned	$	67,219	$	58,318	Securities sold under agreements to repurchase and Securities loaned	$	74,290	$	74,487
Securities received as collateral1	Securities received as collateral1	$	7,166	$	4,277	Securities received as collateral1	$	7,844	$	10,504


		Average Daily Balance Three Months Ended					Average Daily Balance Three Months Ended
$ in millions	$ in millions	June 30, 2021		December 31, 2020		$ in millions	March 31, 2022		December 31, 2021
Securities purchased under agreements to resell and Securities borrowed	Securities purchased under agreements to resell and Securities borrowed	$	225,988	$	195,376	Securities purchased under agreements to resell and Securities borrowed	$	259,971	$	236,327
Securities sold under agreements to repurchase and Securities loaned	Securities sold under agreements to repurchase and Securities loaned	$	67,568	$	54,528	Securities sold under agreements to repurchase and Securities loaned	$	72,387	$	69,565

1.Included within Trading assets in the balance ~~sheets.~~sheet.

See “Total Assets by Business Segment” herein for additional information on the assets shown in the previous table and Note 2 to the financial statements in the ~~2020~~2021 Form 10-K and Note 98 to the financial statements for additional information on collateralized financing transactions.

In addition to the collateralized financing transactions shown in the previous table, we engage in financing transactions collateralized by customer-owned securities, which are segregated in accordance with regulatory requirements. Receivables under these financing transactions, primarily margin loans, are included in Customer and other receivables in the balance ~~sheets,~~sheet, and payables under these financing transactions, primarily to prime brokerage customers, are included in Customer and other payables in the balance ~~sheets.~~sheet. Our risk exposure on these transactions is mitigated by collateral maintenance policies and the elements of our Liquidity Risk Management Framework.

Unsecured Financing

For a discussion of our unsecured financing activities, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Funding Management—Unsecured Financing” in the ~~2020~~2021 Form 10-K.


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~~Table of Contents~~
~~Management’s Discussion and Analysis~~

Deposits


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Savings and demand deposits:	Savings and demand deposits:					Savings and demand deposits:
Brokerage sweep deposits1	Brokerage sweep deposits1	$	256,730	$	232,071	Brokerage sweep deposits1	$	316,044	$	298,352
Savings and other	Savings and other	42,951		47,150		Savings and other	32,607		34,395
Total Savings and demand deposits	Total Savings and demand deposits	299,681		279,221		Total Savings and demand deposits	348,651		332,747
Time deposits	Time deposits	20,677		31,561		Time deposits	12,189		14,827
Total2	Total2	$	320,358	$	310,782	Total2	$	360,840	$	347,574

1.Amounts represent balances swept from client brokerage accounts.

2.Excludes approximately $8 billion and ~~$25~~$9 billion of off-balance sheet deposits at unaffiliated financial institutions as of ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, respectively. This client cash held by third parties is not reflected in our balance ~~sheets~~sheet and is not immediately available for liquidity purposes.

Deposits are primarily sourced from our Wealth Management clients and are considered to have stable, low-cost funding ~~characteristics~~

characteris~~. The increase in total~~tics. Total deposits were relatively unchanged in the current year period was primarily due to the onboarding in the first quarter of 2021 of approximately $20 billion of E*TRADE Brokerage sweep deposits previously held off-balance sheet at unaffiliated financial institutions, partially offset by maturities of time deposits.quarter.

Borrowings by Remaining Maturity at ~~June 30, 2021~~March 31, 20221


$ in millions	$ in millions	Parent Company		Subsidiaries		Total		$ in millions	Parent Company		Subsidiaries		Total
Original maturities of one year or less	Original maturities of one year or less	$	—	$	5,538	$	5,538	Original maturities of one year or less	$	—	$	4,146	$	4,146
Original maturities greater than one year	Original maturities greater than one year							Original maturities greater than one year
2021		$	7,320	$	2,600	$	9,920
2022	2022	11,181		6,853		18,034		2022	$	7,034	$	5,273	$	12,307
2023	2023	17,043		5,484		22,527		2023	13,710		7,555		21,265
2024	2024	20,839		8,194		29,033		2024	20,066		8,779		28,845
2025	2025	14,839		6,802		21,641		2025	19,821		7,121		26,942
2026								2026	19,652		5,537		25,189
Thereafter	Thereafter	91,456		25,993		117,449		Thereafter	85,382		25,741		111,123
Total	Total	$	162,678	$	55,926	$	218,604	Total	$	165,665	$	60,006	$	225,671
Total Borrowings	Total Borrowings	$	162,678	$	61,464	$	224,142	Total Borrowings	$	165,665	$	64,152	$	229,817
Maturities over next 12 months2	Maturities over next 12 months2					$	16,891	Maturities over next 12 months2					$	21,328

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.

Borrowings of ~~$224~~$230 billion as of ~~June 30, 2021 increased slightly~~March 31, 2022 were relatively unchanged when compared with ~~$217~~$233 billion at December 31, ~~2020.~~2021.

We believe that accessing debt investors through multiple distribution channels helps provide consistent access to the unsecured markets. In addition, the issuance of borrowings with original maturities greater than one year allows us to reduce reliance on short-term credit sensitive instruments. Borrowings with original maturities greater than one year are generally managed to achieve staggered maturities, thereby mitigating refinancing risk, and to maximize investor diversification through sales to global institutional and retail clients across regions, currencies and product types.

The availability and cost of financing to us can vary depending on market conditions, the volume of certain trading and lending activities, our credit ratings and the overall availability of credit. We also engage in, and may continue to

engage in, ~~repurchases~~repurchases of our borrowings ~~in the ordinary course~~as part of ~~business.~~our market-making activities.

For further information on Borrowings, see Note 1312 to the financial statements.

Credit Ratings

We rely on external sources to finance a significant portion of our daily operations. Our credit ratings are one of the factors in the cost and availability of financing and can have an impact on certain trading revenues, particularly in those businesses where longer-term counterparty performance is a key consideration, such as certain OTC derivative transactions. When determining credit ratings, rating agencies consider both company-specific and industry-wide factors. ~~These include regulatory or legislative changes, the macroeconomic environment and perceived levels of support, among other things.~~ See also “Risk Factors—Liquidity Risk” in the ~~2020~~2021 Form 10-K.


			16			March 2022 Form 10-Q


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Management’s Discussion and Analysis

Parent Company ~~MSBNA~~ and ~~MSPBNA~~U.S. Bank Subsidiaries Issuer Ratings at ~~July 30, 2021~~April 29, 2022


	Parent Company
	Short-Term Debt	Long-Term Debt	Rating Outlook
DBRS, Inc.	R-1 (middle)	A (high)	Stable
Fitch Ratings, Inc.	F1	A	~~Stable~~Positive
Moody’s Investors Service, Inc.	P-1	A1	Stable
Rating and Investment Information, Inc.	a-1	A	Stable
S&P Global Ratings	A-2	BBB+	Positive


	MSBNA
	Short-Term Debt	Long-Term Debt	Rating Outlook
Fitch Ratings, Inc.	F1	A+	~~Stable~~Positive
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

~~On May 24, 2021, S&P Global Ratings revised the Parent Company outlook from stable to positive.~~

Incremental Collateral or Terminating Payments

In connection with certain OTC derivatives and certain other agreements where we are a liquidity provider to certain financing vehicles associated with the Institutional Securities business segment, we may be required to provide additional collateral, immediately settle any outstanding liability balances with certain counterparties or pledge additional collateral to certain clearing organizations in the event of a future credit rating downgrade irrespective of whether we are in a net asset or net liability position. See Note 76 to the financial statements for additional information on OTC derivatives that contain such contingent features.


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~~Table of Contents~~
~~Management’s Discussion and Analysis~~

While certain aspects of a credit rating downgrade are quantifiable pursuant to contractual provisions, the impact it would have on our business and results of operations in future periods is inherently uncertain and would depend on a number of interrelated factors, including, among other things, the magnitude of the downgrade, the rating relative to peers, the rating assigned by the relevant agency pre-downgrade, individual client behavior and future mitigating actions we might take. The liquidity impact of additional collateral requirements is included in our Liquidity Stress Tests.

Capital Management

We view capital as an important source of financial strength and actively manage our consolidated capital position based upon, among other things, business opportunities, risks, capital availability and rates of return together with internal capital policies, regulatory requirements and rating agency guidelines. In the future, we may expand or contract our capital base to address the changing needs of our businesses.

Common Stock Repurchases


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
in millions, except for per share data	in millions, except for per share data	2021		2020		2021		2020		in millions, except for per share data	2022		2021
Number of shares	Number of shares	34		—		62		29		Number of shares	30		28
Average price per share	Average price per share	$	86.21	$	—	$	82.31	$	46.01	Average price per share	$	95.20	$	77.47
Total	Total	$	2,939	$	—	$	5,074	$	1,347	Total	$	2,872	$	2,135

For additional information on our common stock repurchases, see “Liquidity and Capital Resources—Regulatory Requirements—Capital ~~Action Supervisory Restrictions”~~Plans, Stress Tests and the Stress Capital Buffer” herein and Note 1716 to the financial statements.

For a description of our capital plan, see “Liquidity and Capital Resources—Regulatory Requirements—Capital Plans, Stress Tests and the Stress Capital Buffer” herein.

Common Stock Dividend Announcement


Announcement date			~~July 15, 2021~~April 14, 2022
Amount per share			$0.70
Date to be paid			~~August~~May 13, ~~2021~~2022
Shareholders of record as of			~~July 30, 2021~~April 29, 2022

For additional information on our common stock dividends, see “Liquidity and Capital Resources—Regulatory Requirements—Capital ~~Action Supervisory Restrictions”~~Plans, Stress Tests and the Stress Capital Buffer” herein.

For additional information on our common stock and information on our preferred stock, see Note 1716 to the financial statements.

Off-Balance Sheet Arrangements ~~and Contractual Obligations~~

~~Off-Balance Sheet Arrangements~~

We enter into various off-balance sheet arrangements, including through unconsolidated SPEs and lending-related

financial instruments (e.g., guarantees and commitments), primarily in connection with the Institutional Securities and Investment Management business segments.

We utilize SPEs primarily in connection with securitization activities. For information on our securitization activities, see Note 16 to the financial statements in the ~~2020~~2021 Form 10-K.

For information on our commitments, obligations under certain guarantee arrangements and indemnities, see Note 1413 to the financial statements. For a further discussion of our lending commitments, see “Quantitative and Qualitative Disclosures about Risk—Credit Risk—Loans and Lending Commitments” herein.

~~Contractual Obligations~~

For a discussion about our contractual obligations, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Contractual Obligations” in the 2020 Form 10-K.

Regulatory Requirements

Regulatory Capital Framework

We are an FHC under the Bank Holding Company Act of 1956, as amended (“BHC Act”), and are subject to the regulation and oversight of the Federal Reserve. The Federal Reserve establishes capital requirements for us, including “well-capitalized” standards, and evaluates our compliance


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Management’s Discussion and Analysis

with such capital requirements. ~~Regulatory~~The OCC establishes similar capital requirements ~~established by the Federal Reserve~~and standards for our U.S. Bank Subsidiaries. The regulatory capital requirements are largely based on the Basel III capital standards established by the Basel Committee and also implement certain provisions of the Dodd-Frank ~~Wall Street Reform and Consumer Protection Act (“Dodd-Frank Act”). The OCC establishes similar capital requirements and standards for our U.S. Bank Subsidiaries.~~Act. For us to remain an FHC, we must remain well-capitalized in accordance with standards established by the Federal Reserve, and our U.S. Bank Subsidiaries must remain well-capitalized in accordance with standards established by the OCC. In addition, many of our regulated subsidiaries are subject to regulatory capital requirements, including regulated subsidiaries provisionally registered as swap dealers with the CFTC or conditionally registered as security-based swap dealers with the SEC or registered as broker-dealers or futures commission merchants. For additional information on regulatory capital requirements for our U.S. Bank Subsidiaries, as well as our subsidiaries that are Swap Entities, see Note 1615 to the financial statements.

Regulatory Capital Requirements

We are required to maintain minimum risk-based and leverage-based capital and TLAC ratios. For more information, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Regulatory Capital Requirements” in the ~~2020~~2021 Form 10-K. For additional information on TLAC, see “Total Loss-Absorbing Capacity, Long-Term Debt and Clean Holding Company Requirements” herein.

Risk-Based Regulatory Capital. ~~Minimum risk-based~~Risk-based capital ratio requirements apply to Common Equity Tier 1 capital, Tier 1 capital and Total capital (which includes Tier 2


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~~Management’s Discussion and Analysis~~

capital)., each as a percentage of RWA, and consist of regulatory minimum required ratios plus our capital buffer requirement. Capital ~~standards~~requirements require certain adjustments to, and deductions from, capital for purposes of determining these ratios.

Risk-Based Regulatory Capital Ratio Requirements


				At June 30, 2021 and December 31, 2020			At March 31, 2022 and December 31, 2021
				Standardized	Advanced			Standardized	Advanced
Capital buffers	Capital buffers					Capital buffers
Capital conservation buffer	Capital conservation buffer			—	2.5%	Capital conservation buffer		—	2.5%
SCB1	SCB1			5.7%	N/A	SCB1		5.7%	N/A
G-SIB capital surcharge2	G-SIB capital surcharge2			3.0%		G-SIB capital surcharge2		3.0%
CCyB3	CCyB3			0%		CCyB3		0%
Capital buffer requirement4				8.7%	5.5%

				At June 30, 2021 and December 31, 2020
		Regulatory Minimum		Standardized	Advanced
Required ratios5
Common Equity Tier 1 capital ratio		4.5	%	13.2%	10.0%
Tier 1 capital ratio		6.0	%	14.7%	11.5%
Total capital ratio		8.0	%	16.7%	13.5%
Capital buffer requirement						Capital buffer requirement		8.7%	5.5%

1.For additional information on the SCB, see “Capital Plans, Stress Tests and the Stress Capital Buffer” herein and in the ~~2020~~2021 Form 10-K.

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 ~~2020~~2021 Form 10-K.

3.The CCyB can be set up to 2.5%, but is currently set by the ~~U.S. banking agencies~~Federal Reserve 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. 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.


	Regulatory Minimum		At March 31, 2022 and December 31, 2021
			Standardized	Advanced
Required ratios1
Common Equity Tier 1 capital ratio	4.5	%	13.2%	10.0%
Tier 1 capital ratio	6.0	%	14.7%	11.5%
Total capital ratio	8.0	%	16.7%	13.5%

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

Our risk-based capital ratios are computed under ~~both~~each of (i) the standardized approaches for calculating credit risk and market risk RWA (“Standardized Approach”) and (ii) the applicable advanced approaches for calculating credit risk, market risk and operational risk RWA (“Advanced Approach”). The credit risk RWA calculations between the two approaches differ in that the Standardized Approach requires calculation of RWA using prescribed risk weights, whereas the Advanced Approach utilizes models to calculate exposure amounts and risk weights. At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, the differences between the actual and required ratios were lower under the Standardized Approach.

Leverage-Based Regulatory Capital. ~~Minimum leverage-based~~Leverage-based capital requirements include a minimum Tier 1 leverage ratio ~~and an SLR. We are required to maintain an~~of 4%, a minimum SLR of ~~5%, inclusive of~~3% and an enhanced SLR capital buffer of at least 2%.

CECL Deferral. As of ~~June 30, 2021 and~~ December 31, ~~2020,~~2021, our risk-based and leverage-based capital amounts and ratios, as well as RWA, adjusted average assets and supplementary leverage exposure ~~are~~were calculated excluding the effect of the adoption of CECL based on our election to defer this effect over a five-year transition period ~~which~~that began on January 1, 2020. ~~For further information, see “Liquidity~~In 2022 the deferral impacts began to phase in at 25% per year and ~~Capital Resources—~~

~~Regulatory Requirements—Regulatory Developments”~~will become fully phased-in beginning in ~~the2020 Form 10-K.~~2025.

Regulatory Capital Ratios


$ in millions	$ in millions	Required Ratio1		At June 30, 2021			At December 31, 2020			$ in millions	Required Ratio1		At March 31, 2022			At December 31, 2021
Risk-based capital— Standardized	Risk-based capital— Standardized									Risk-based capital— Standardized
Common Equity Tier 1 capital	Common Equity Tier 1 capital			$	76,815		$	78,650		Common Equity Tier 1 capital			$	72,477		$	75,742
Tier 1 capital	Tier 1 capital			84,612			88,079			Tier 1 capital			80,121			83,348
Total capital	Total capital			92,782			97,213			Total capital			89,468			93,166
Total RWA	Total RWA			462,808			453,106			Total RWA			501,429			471,921
Common Equity Tier 1 capital ratio	Common Equity Tier 1 capital ratio	13.2	%	16.6		%	17.4		%	Common Equity Tier 1 capital ratio	13.2	%	14.5		%	16.0		%
Tier 1 capital ratio	Tier 1 capital ratio	14.7	%	18.3		%	19.4		%	Tier 1 capital ratio	14.7	%	16.0		%	17.7		%
Total capital ratio	Total capital ratio	16.7	%	20.0		%	21.5		%	Total capital ratio	16.7	%	17.8		%	19.7		%

$ in millions
Required
Ratio1
At June 30, 2021 At December 31, 2020
Risk-based capital—
Advanced
Common Equity Tier 1 capital $ 76,815 $ 78,650
Tier 1 capital 84,612 88,079
Total capital 92,550 96,994
Total RWA 434,741 445,151
Common Equity Tier 1 capital ratio 10.0 % 17.7 % 17.7 %
Tier 1 capital ratio 11.5 % 19.5 % 19.8 %
Total capital ratio 13.5 % 21.3 % 21.8 %
$ in millions
Required
Ratio1
At June 30, 2021 At December 31, 2020
Leverage-based capital
Adjusted average assets2
$ 1,135,262 $ 1,053,510
Tier 1 leverage ratio 4.0 % 7.5 % 8.4 %
Supplementary leverage exposure3,4
$ 1,439,971 $ 1,192,506
SLR4
5.0 % 5.9 % 7.4 %


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Management’s Discussion and Analysis


$ in millions	Required Ratio1		At March 31, 2022			At December 31, 2021
Risk-based capital— Advanced
Common Equity Tier 1 capital			$	72,477		$	75,742
Tier 1 capital			80,121			83,348
Total capital			89,129			92,927
Total RWA			456,524			435,749
Common Equity Tier 1 capital ratio	10.0	%	15.9		%	17.4		%
Tier 1 capital ratio	11.5	%	17.6		%	19.1		%
Total capital ratio	13.5	%	19.5		%	21.3		%

$ in millions	Required Ratio1		At March 31, 2022			At December 31, 2021
Leverage-based capital
Adjusted average assets2			$	1,184,494		$	1,169,939
Tier 1 leverage ratio	4.0	%	6.8		%	7.1		%
Supplementary leverage exposure3			$	1,466,624		$	1,476,962
SLR	5.0	%	5.5		%	5.6		%

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.Our SLR and Supplementary leverage exposure as of December 31, 2020 reflect the exclusion of U.S. Treasury securities and deposits at Federal Reserve Banks based on a Federal Reserve interim final rule that was in effect until March 31, 2021. As of December 31, 2020, the impact of the interim final rule on our SLR was an increase of 80 bps. For further information, see “Liquidity and Capital Resources—Regulatory Requirements—Regulatory Developments and Other Matters” herein and “Liquidity and Capital Resources—Regulatory Requirements—Regulatory Developments" in the 2020 Form 10-K.


~~June 2021 Form 10-Q~~			21


~~Table of Contents~~
~~Management’s Discussion and Analysis~~

Regulatory Capital


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		Change		$ in millions	At March 31, 2022		At December 31, 2021		Change
Common Equity Tier 1 capital	Common Equity Tier 1 capital							Common Equity Tier 1 capital
Common stock and surplus	Common stock and surplus	$	16,852	$	15,799	$	1,053	Common stock and surplus	$	8,331	$	11,361	$	(3,030)
Retained earnings	Retained earnings	85,043		78,978		6,065		Retained earnings	91,907		89,679		2,228
AOCI	AOCI	(2,523)		(1,962)		(561)		AOCI	(4,902)		(3,102)		(1,800)
Regulatory adjustments and deductions:	Regulatory adjustments and deductions:							Regulatory adjustments and deductions:
Net goodwill	Net goodwill	(16,693)		(11,527)		(5,166)		Net goodwill	(16,610)		(16,641)		31
Net intangible assets	Net intangible assets	(7,032)		(4,165)		(2,867)		Net intangible assets	(6,610)		(6,704)		94
Other adjustments and deductions1	Other adjustments and deductions1	1,168		1,527		(359)		Other adjustments and deductions1	361		1,149		(788)
Total Common Equity Tier 1 capital	Total Common Equity Tier 1 capital	$	76,815	$	78,650	$	(1,835)	Total Common Equity Tier 1 capital	$	72,477	$	75,742	$	(3,265)
Additional Tier 1 capital	Additional Tier 1 capital							Additional Tier 1 capital
Preferred stock	Preferred stock	$	7,750	$	9,250	$	(1,500)	Preferred stock	$	7,750	$	7,750	$	—
Noncontrolling interests	Noncontrolling interests	561		619		(58)		Noncontrolling interests	572		562		10
Additional Tier 1 capital	Additional Tier 1 capital	$	8,311	$	9,869	$	(1,558)	Additional Tier 1 capital	$	8,322	$	8,312	$	10
Deduction for investments in covered funds	Deduction for investments in covered funds	(514)		(440)		(74)		Deduction for investments in covered funds	(678)		(706)		28
Total Tier 1 capital	Total Tier 1 capital	$	84,612	$	88,079	$	(3,467)	Total Tier 1 capital	$	80,121	$	83,348	$	(3,227)
Standardized Tier 2 capital	Standardized Tier 2 capital							Standardized Tier 2 capital
Subordinated debt	Subordinated debt	$	7,107	$	7,737	$	(630)	Subordinated debt	$	8,119	$	8,609	$	(490)

Eligible ACL	Eligible ACL	1,168		1,265		(97)		Eligible ACL	1,329		1,155		174
Other adjustments and deductions	Other adjustments and deductions	(105)		132		(237)		Other adjustments and deductions	(101)		54		(155)
Total Standardized Tier 2 capital	Total Standardized Tier 2 capital	$	8,170	$	9,134	$	(964)	Total Standardized Tier 2 capital	$	9,347	$	9,818	$	(471)
Total Standardized capital	Total Standardized capital	$	92,782	$	97,213	$	(4,431)	Total Standardized capital	$	89,468	$	93,166	$	(3,698)
Advanced Tier 2 capital	Advanced Tier 2 capital							Advanced Tier 2 capital
Subordinated debt	Subordinated debt	$	7,107	$	7,737	$	(630)	Subordinated debt	$	8,119	$	8,609	$	(490)

Eligible credit reserves	Eligible credit reserves	936		1,046		(110)		Eligible credit reserves	990		916		74
Other adjustments and deductions	Other adjustments and deductions	(105)		132		(237)		Other adjustments and deductions	(101)		54		(155)
Total Advanced Tier 2 capital	Total Advanced Tier 2 capital	$	7,938	$	8,915	$	(977)	Total Advanced Tier 2 capital	$	9,008	$	9,579	$	(571)
Total Advanced capital	Total Advanced capital	$	92,550	$	96,994	$	(4,444)	Total Advanced capital	$	89,129	$	92,927	$	(3,798)

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.


March 2022 Form 10-Q			19


Table of Contents
Management’s Discussion and Analysis

RWA Rollforward


		Six Months Ended June 30, 2021					Three Months Ended March 31, 2022
$ in millions	$ in millions	Standardized		Advanced		$ in millions	Standardized		Advanced
Credit risk RWA	Credit risk RWA					Credit risk RWA
Balance at December 31, 2020		$	387,066	$	284,930
Balance at December 31, 2021						Balance at December 31, 2021	$	416,502	$	285,247
Change related to the following items:	Change related to the following items:					Change related to the following items:
Derivatives	Derivatives	3,182		(18,766)		Derivatives	13,678		12,933
Securities financing transactions	Securities financing transactions	4,750		350		Securities financing transactions	8,826		2,692

Investment securities	Investment securities	(2,422)		(257)		Investment securities	(1,586)		(4,303)
Commitments, guarantees and loans	Commitments, guarantees and loans	415		5,862		Commitments, guarantees and loans	6,926		116

Equity investments	Equity investments	1,696		1,754		Equity investments	(2,465)		(2,568)
Other credit risk1		4,992		4,444
Other credit risk						Other credit risk	3,945		4,863
Total change in credit risk RWA	Total change in credit risk RWA	$	12,613	$	(6,613)	Total change in credit risk RWA	$	29,324	$	13,733
Balance at June 30, 2021		$	399,679	$	278,317
Balance at March 31, 2022						Balance at March 31, 2022	$	445,826	$	298,980
Market risk RWA	Market risk RWA					Market risk RWA
Balance at December 31, 2020		$	66,040	$	66,040
Balance at December 31, 2021						Balance at December 31, 2021	$	55,419	$	55,419
Change related to the following items:	Change related to the following items:					Change related to the following items:
Regulatory VaR	Regulatory VaR	(6,687)		(6,687)		Regulatory VaR	277		277
Regulatory stressed VaR	Regulatory stressed VaR	768		768		Regulatory stressed VaR	2,564		2,564
Incremental risk charge	Incremental risk charge	(720)		(720)		Incremental risk charge	(230)		(230)
Comprehensive risk measure	Comprehensive risk measure	(303)		(343)		Comprehensive risk measure	(395)		(527)
Specific risk	Specific risk	4,031		4,031		Specific risk	(2,032)		(2,032)

Total change in market risk RWA	Total change in market risk RWA	$	(2,911)	$	(2,951)	Total change in market risk RWA	$	184	$	52
Balance at June 30, 2021		$	63,129	$	63,089
Balance at March 31, 2022						Balance at March 31, 2022	$	55,603	$	55,471
Operational risk RWA	Operational risk RWA					Operational risk RWA
Balance at December 31, 2020		N/A		$	94,181
Balance at December 31, 2021						Balance at December 31, 2021	N/A		$	95,083
Change in operational risk RWA	Change in operational risk RWA	N/A		(846)		Change in operational risk RWA	N/A		6,990
Balance at June 30, 2021		N/A		$	93,335
Balance at March 31, 2022						Balance at March 31, 2022	N/A		$	102,073
Total RWA	Total RWA	$	462,808	$	434,741	Total RWA	$	501,429	$	456,524

Regulatory VaR—VaR for regulatory capital requirements

1.~~Amounts reflect assets not in a defined category, non-material portfolios of exposures and unsettled transactions.~~

Credit risk RWA increased in the current year period increased under the Standardized Approach, while it decreased under the Advanced Approach. Under the Standardized Approach, the increase was primarily from Securities financing transactions and Derivatives driven by increased exposure. Under the Advanced Approach, the decrease was primarily driven by a reduction in CVA due to lower credit spread volatility, partially offset by increased exposure in event lending within Institutional Securities business segment.

~~Market risk RWA decreased in the current year period~~quarter under both the Standardized and Advanced Approaches ~~primarily~~ due to ~~a decrease~~larger foreign exchange and commodities Derivatives exposure and increased client activity in ~~Regulatory VaR mainly as a result of reduced volatility as the peak COVID-19 market stress in 2020 is no longer included in VaR. This was~~Securities financing transactions, partially offset by andecreases in Investment securities and Equity investments. RWA under the Standardized Approach also increased due to lending growth.

Market risk RWA was relatively unchanged in the current quarter under both the Standardized and Advanced Approaches.

The increase in ~~non-securitization charges due to increased exposure.~~Operational risk RWA in the current quarter reflects growth in litigation and execution-related losses.

Total Loss-Absorbing Capacity, Long-Term Debt and Clean Holding Company Requirements

The Federal Reserve has established external TLAC, long-term debt (“LTD”) and clean holding company requirements for top-tier BHCs of U.S. G-SIBs (“covered BHCs”), including the Parent Company. These requirements are designed to ensure that covered BHCs will have enough loss-absorbing resources at the point of failure to be recapitalized


			22			~~June 2021 Form 10-Q~~


~~Table of Contents~~
~~Management’s Discussion and Analysis~~

through the conversion of eligible LTD to equity or otherwise by imposing losses on eligible LTD or other forms of TLAC where an SPOE resolution strategy is used.

Required and Actual TLAC and Eligible LTD Ratios


						Actual Amount/Ratio
																	Actual Amount/Ratio
$ in millions	$ in millions	Regulatory Minimum		Required Ratio1		At June 30, 2021			At December 31, 2020			$ in millions	Regulatory Minimum		Required Ratio1		At March 31, 2022			At December 31, 2021
External TLAC2	External TLAC2					$	225,830		$	216,129		External TLAC2					$	230,546		$	235,681
External TLAC as a % of RWA	External TLAC as a % of RWA	18.0	%	21.5	%	49.0		%	47.7		%	External TLAC as a % of RWA	18.0	%	21.5	%	46.0		%	49.9		%
External TLAC as a % of leverage exposure	External TLAC as a % of leverage exposure	7.5	%	9.5	%	15.7		%	18.1		%	External TLAC as a % of leverage exposure	7.5	%	9.5	%	15.7		%	16.0		%
Eligible LTD3	Eligible LTD3					$	131,951		$	120,561		Eligible LTD3					$	144,959		$	144,659
Eligible LTD as a % of RWA	Eligible LTD as a % of RWA	9.0	%	9.0	%	28.5		%	26.6		%	Eligible LTD as a % of RWA	9.0	%	9.0	%	28.9		%	30.7		%
Eligible LTD as a % of leverage exposure	Eligible LTD as a % of leverage exposure	4.5	%	4.5	%	9.2		%	10.1		%	Eligible LTD as a % of leverage exposure	4.5	%	4.5	%	9.9		%	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.

We are in compliance with all TLAC requirements as of ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~ 2021.

For a further discussion of TLAC and related requirements, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Regulatory Requirements—~~Regulatory Capital Requirements—~~Total Loss-Absorbing Capacity, Long-Term Debt and Clean Holding Company Requirements” in the ~~2020~~2021 Form 10-K.

Capital Plans, Stress Tests and the Stress Capital Buffer

~~Pursuant to the Dodd-Frank Act, the~~The Federal Reserve has ~~adopted~~ capital planning and stress test requirements for large BHCs, which form part of the Federal Reserve’s annual CCAR framework.

We must submit, on at least an annual basis, a capital plan to the Federal Reserve, taking into account the results of separate annual stress tests designed by us and the Federal Reserve, so that the Federal Reserve may assess our systems and processes that incorporate forward-looking projections of revenues and losses to monitor and maintain our internal capital adequacy. As banks with less than $250 billion of total assets, our U.S. Bank Subsidiaries are not subject to company-run stress test regulatory requirements.

~~For the 2021~~As part of its annual capital ~~planning and~~supervisory stress ~~test cycle, we submitted our capital plan and company-run stress test results to~~testing process, the Federal Reserve ~~on April 5, 2021. On June 24, 2021, the Federal Reserve published summary results of its supervisory stress tests of~~determines an SCB for each large BHC, ~~and following the~~

including us.

~~publication of the supervisory stress test results, we announced that our~~Our SCB will remain at 5.7% ~~from October 1, 2021~~ through September 30, 2022. Together with other features of the regulatory capital framework, this SCB results in an aggregate Standardized Approach Common Equity Tier 1 required ratio of 13.2%. ~~Generally, our SCB is determined annually based on the results of the supervisory stress test.~~

~~We also disclosed a summary of the results of our company-run stress tests on our Investor Relations website, and announced that our~~Our Board of Directors ~~authorized the increase of our quarterly common stock dividend to $0.70 per share from $0.35 per share beginning with the common stock dividend announced on July 15, 2021, and~~ authorized the repurchase of up to $12 billion of outstanding common stock from July 1, 2021 through June 30, 2022, from time to time as conditions ~~warrant, which supersedes the previous common stock repurchase authorization.~~

For additional information on our capital planning and stress tests, including the SCB, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Capital Plans, Stress Tests and the Stress Capital Buffer” in the 2020 Form 10-K.

~~Capital Action Supervisory Restrictions~~

Under the modified capital action restrictions announced previously by the Federal Reserve, in the first two quarters of 2021 large BHCs were permitted to pay common stock dividends, provided they did not increase the amount of common stock dividends to be larger than the level paid in the second quarter of 2020, and make share repurchases that, in the aggregate, did not exceed an amount equal to the average of the firm’s net income for the four preceding calendar quarters; make share repurchases that equal the amount of share issuances related to expensed employee compensation; and redeem and make scheduled payments on additional Tier 1 and Tier 2 capital instruments.

The Federal Reserve subsequently announced that the restrictions described above would end on June 30, 2021 for all firms whose capital levels are above minimum risk-based requirements in the Federal Reserve’s annual supervisory stress test. Based on the results of the 2021 supervisory stress tests, the temporary capital action supervisory restrictions previously applicable to us ended on June 30, 2021. As of July 1, 2021, the Firm is permitted, in its discretion, to adjust its capital distributions without seeking prior approval from the Federal Reserve, provided that it remains in compliance with all applicable regulatory capital requirements, including the SCB.

For additional information, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Capital Action Supervisory Restrictions” in the 2020 Form 10-K.warrant.

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

For further information, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Regulatory Requirements—Capital Plans, Stress Tests and the Stress Capital Buffer” in the 2021 Form 10-K.

For the 2022 capital planning and stress test cycle, we submitted our capital plan and company-run stress test results to the Federal Reserve on April 5, 2022. The Federal Reserve is expected to publish summary results of the CCAR and Dodd-Frank Act supervisory stress tests of each large BHC, including us, by June 30, 2022. We are required to disclose a summary of the results of our company-run stress tests within 15 days of the date the Federal Reserve discloses the results of the supervisory stress tests.

Attribution of Average Common Equity According to the Required Capital Framework

Our required capital (“Required Capital”) estimation is based on the Required Capital framework, an internal capital adequacy measure. Common equity attribution to the business segments is based on capital usage calculated under the Required Capital framework, as well as each business segment’s relative contribution to our total Required Capital.

The Required Capital framework is a risk-based and leverage-based capital measure, which is compared with our regulatory capital to ensure that we maintain an amount of going concern capital after absorbing potential losses from stress events, where applicable, at a point in time. The amount of capital allocated to the business segments is generally set at the beginning of each year and remains fixed throughout the year until the next annual reset unless a significant business change occurs (e.g., acquisition or disposition). We define the difference between our total average common equity and the sum of the average common equity amounts allocated to our business segments as Parent common equity. We generally hold Parent common equity for prospective regulatory requirements, organic growth, potential future acquisitions and other capital needs.

Average Common Equity Attribution under the Required Capital Framework1


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in billions	$ in billions	2021		2020		2021		2020		$ in billions		2022		2021
Institutional Securities	Institutional Securities	$	43.5	$	42.8	$	43.5	$	42.8	Institutional Securities		$	48.8	$	43.5
Wealth Management2		28.6		18.2		28.6		18.2
Investment Management3		10.7		2.6		7.1		2.6
Wealth Management										Wealth Management		31.0		28.5
Investment Management2										Investment Management2		10.6		4.4
Parent	Parent	16.0		14.0		17.1		12.4		Parent		6.3		17.9
Total	Total	$	98.8	$	77.6	$	96.3	$	76.0	Total		$	96.7	$	94.3

1.The attribution of average common equity to the business segments is a non-GAAP financial measure. See “Selected Non-GAAP Financial Information” herein.

2.~~The total average common equity and the allocation to the Wealth Management business segment in 2021 reflect the E*TRADE acquisition on October 2, 2020.~~

3. The total average common equity and the allocation to the Investment Management business segment in 2021 reflect the Eaton Vance acquisition on March 1, 2021.

~~The Firm has made updates~~We continue to ~~its~~evaluate our Required Capital framework ~~for 2021 and continues~~with respect to ~~evaluate~~ the impact of evolving regulatory requirements, as appropriate.

Resolution and Recovery Planning

~~Pursuant to the Dodd-Frank Act, we~~We are required to ~~periodically~~ submit once every two years to the Federal Reserve and the FDIC a resolution plan that describes our strategy for a rapid and orderly resolution under the U.S. Bankruptcy Code in the event of our material financial distress or failure. We submitted our 2021 targeted resolution plan on June 30, 2021.

As described in our most recent resolution plan, our preferred resolution strategy is an SPOE strategy. In line with our SPOE strategy, the Parent Company has transferred, and has agreed to transfer on an ongoing basis, certain assets to its wholly owned, direct subsidiary Morgan Stanley Holdings LLC (the “Funding IHC”). In addition, the Parent Company

has entered into an amended and restated support agreement with its material entities (including the Funding IHC) and certain other subsidiaries. In the event of a resolution scenario, the Parent Company would be obligated to contribute all of its Contributable Assets to our material entities and/or the Funding IHC. The Funding IHC would be obligated to provide capital and liquidity, as applicable, to our material entities. The combined implication of the SPOE resolution strategy and the requirement to maintain certain levels of TLAC is that losses in resolution would be imposed on the holders of eligible long-term debt and other forms of eligible TLAC issued by the Parent Company before any losses are imposed on creditors of our material entities and without requiring taxpayer or government financial support.

For more information about resolution and recovery planning requirements and our activities in these areas, including the implications of such activities in a resolution scenario, see “Business—Supervision and Regulation—Financial Holding Company—Resolution and Recovery Planning,” “Risk Factors—Legal, Regulatory and Compliance Risk” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Regulatory Requirements—Resolution and Recovery Planning” in the ~~2020~~2021 Form 10-K.

Regulatory Developments and Other Matters

~~Expiration of the Supplementary Leverage Ratio Interim Final Rule~~

On March 19, 2021, the Federal Reserve announced that the temporary change to the SLR for bank holding companies, which allowed for the exclusion of U.S. Treasury securities and deposits at Federal Reserve Banks, would expire as scheduled on March 31, 2021. As a result, this exclusion was eliminated beginning in the second quarter of 2021. For a summary of the impact of this interim final rule, see “Regulatory Capital Requirements” herein.

~~Planned~~ Replacement of London Interbank Offered Rate and Replacement or Reform of Other Interest ~~Rates~~Rate Benchmarks

Central banks around the world, including the Federal Reserve, have commissioned committees and working groups of market participants and official sector representatives to replace LIBOR and replace or reform other interest rate benchmarks (collectively, the “IBORs”). ~~On March 5, 2021, ICE Benchmark Administration, which administers LIBOR publication, announced that it~~A transition away from use of the IBORs to alternative rates and other potential interest rate benchmark reforms is underway and will ~~cease~~continue over the course of the next few years.

The publication of most non-U.S. dollar LIBOR rates ceased as of the end of December ~~2021, except for the~~2021. The publication ~~until June 30, 2023~~ of ~~the most widely used U.S.~~certain non-U.S. dollar LIBOR ~~tenors, and~~rates on the ~~U.K. Financial Conduct Authority (“FCA”), which regulates LIBOR publication, announced that it would not compel panel banks to submit to LIBOR beyond those dates.~~

~~Subsequently, the International Swaps and Derivatives Association (“ISDA”~~basis of a “synthetic” methodology (known as “synthetic LIBOR”) ~~confirmed that the FCA’s~~will continue at

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Management’s Discussion and Analysis

~~announcement constituted an “Index Cessation Event” as defined in~~least until the ~~IBOR Fallbacks Supplement, which amended ISDA’s interest rate definitions to include robust fallbacks for derivatives linked to LIBOR~~end of 2022 and certain other interest rate benchmarks, and the ISDA 2020 IBOR Fallbacks Protocol, which incorporates the fallbacks into legacy non-cleared derivatives entered into between Protocol adherents. The FCA’s announcement therefore triggered a fixing of the ISDA fallback spread adjustments for all LIBOR benchmarks, to be effective when the contractual fallbacks are implemented. The Alternative Reference Rates Committee (“ARRC”) also confirmed that the ICE Benchmark Administration and FCA announcements also constituted a “Benchmark Transition Event” with respect to all U.S. dollar LIBOR ~~settings pursuant~~tenors are expected to ~~the ARRC’s fallback recommendations for new issuances or originations of certain cash products.~~

~~Separately,~~continue to be published until June 30, 2023. On March 15, 2022 the U.S. ~~banking agencies and the FCA have encouraged banks to cease entering into new contracts referencing LIBOR as soon as practicable, and no later than December 31, 2021.~~

~~Further, New York State has~~ enacted federal legislation that is intended to minimize legal and economic uncertainty following U.S. dollar LIBOR’s cessation by replacing LIBOR references in certain contracts ~~governed by New York law~~under certain circumstances with a ~~benchmark based on the Secured Overnight Financing Rate, including any~~SOFR-based rate to be established in a Federal Reserve rule that incorporates a spread adjustment ~~recommended by~~specified in the ~~Federal Reserve,~~statute. While some states have already adopted LIBOR legislation, the ~~Federal Reserve Bank~~federal legislation expressly preempts any provision of ~~New York~~any state or local law, statute, rule, regulation or standard.

As of March 31, 2022, our LIBOR-referenced contracts were primarily concentrated in derivative contracts and to a lesser extent, loans, floating rate notes, preferred shares, securitizations and mortgages. A significant majority of our derivative contracts, and a majority of our non-derivative contracts contain fallback provisions or otherwise have an expected path that will allow for the ~~ARRC.~~transition to an alternative reference rate upon the cessation of the applicable LIBOR rate.

WeWhile we have made substantial progress in the transition away from the IBORs, we nonetheless currently remain a party to a significant number of U.S. dollar LIBOR-linked contracts. For those U.S. dollar LIBOR-linked contracts ~~many~~without appropriate fallbacks, and for which the federal legislation is not expected to apply, we are actively developing appropriate transition plans in light of ~~which extend beyond 2021 and, in~~ the ~~case of~~planned June 30, 2023 cessation date for the remaining U.S. dollar LIBOR June 30, 2023, composed of derivatives, securitizations, floating rate notes, loans and mortgages and we continue to execute against our Firm-wide IBOR transition plan to promote the transition to alternative reference rates in accordance with industry transition timelines. tenors.

Our IBOR transition plan is overseen by a global steering committee, with senior management ~~oversight. Firm entities engaged in derivative activities have adhered~~oversight, and we continue to ~~the ISDA 2020~~execute against our Firm-wide IBOR ~~Fallbacks Protocol. As noted above, the Protocol is designed~~transition plan to ~~facilitate the transition of covered derivatives contracts to alternative reference rates. The New York State legislation also provides safeguards that help facilitate~~complete the transition to alternative reference ~~rates for certain U.S. dollar LIBOR contracts, although additional regulatory clarity may be needed in some instances.~~rates.

See also ~~“Risk Factors—Risk Management” in the 2020 Form 10-K for a further discussion of risks related to the planned replacement of the IBORs and/or reform of interest rate benchmarks.~~

~~For a further discussion of regulatory developments and other matters, see~~ “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Regulatory Requirements—Regulatory ~~Developments”~~Developments and ~~“Management’s Discussion~~Other Matters” and “Risk Factors—Risk Management” in the 2021 Form 10-K for a further discussion of the replacement of the IBORs and/or reform of other interest rate benchmarks and related risks.

~~and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Regulatory Requirements—Other Matters,” respectively, in the 2020 Form 10-K.~~

~~June 2021~~March 2022 Form 10-Q


Table of Contents

Quantitative and Qualitative Disclosures about Risk

Management believes effective risk management is vital to the success of our business activities. For a discussion of our Enterprise Risk Management framework and risk management functions, see “Quantitative and Qualitative Disclosures about Risk—Risk Management” in the ~~2020~~2021 Form 10-K.

Market Risk

Market risk refers to the risk that a change in the level of one or more market prices, rates, spreads, indices, volatilities, correlations or other market factors, such as market liquidity, will result in losses for a position or portfolio. Generally, we incur market risk as a result of trading, investing and client facilitation activities, principally within the Institutional Securities business segment where the substantial majority of our VaR for market risk exposures is generated. In addition, we incur non-trading market risk, principally within the Wealth Management and Investment Management business segments. The Wealth Management business segment primarily incurs non-trading market risk (including interest rate risk) from lending and deposit-taking activities. The Investment Management business segment primarily incurs non-trading market risk from capital investments in ~~alternative and other~~its funds. For a further discussion of market risk, see “Quantitative and Qualitative Disclosures about Risk—Market Risk” in the ~~2020~~2021 Form 10-K.

Trading Risks

We ~~are exposed~~have exposures to a wide range of risks related to interest rates and credit spreads, equity prices, foreign exchange rates and commodity prices ~~and~~as well as the associated implied volatilities and spreads ~~related to~~of the global markets in which we conduct our trading activities.

The statistical technique known as VaR is one of the tools we use to measure, monitor and review the market risk exposures of our trading portfolios.

For information regarding our primary risk exposures and market risk management, VaR methodology, assumptions and limitations, see “Quantitative and Qualitative Disclosures about Risk—Market Risk—Trading Risks” in the ~~2020~~2021 Form 10-K.

95%/One-Day Management VaR for the Trading Portfolio


		Three Months Ended									Three Months Ended
		June 30, 2021									March 31, 2022
$ in millions	$ in millions	Period End		Average		High2		Low2		$ in millions	Period End		Average		High1		Low1
Interest rate and credit spread	Interest rate and credit spread	$	29	$	31	$	39	$	28	Interest rate and credit spread	$	30	$	25	$	33	$	21
Equity price	Equity price	21		24		32		19		Equity price	28		25		41		17
Foreign exchange rate	Foreign exchange rate	8		8		15		5		Foreign exchange rate	16		8		19		3
Commodity price	Commodity price	10		11		16		8		Commodity price	24		20		27		15
Less: Diversification benefit1		(28)		(29)		N/A
Less: Diversification benefit2										Less: Diversification benefit2	(51)		(41)		N/A
Primary Risk Categories	Primary Risk Categories	$	40	$	45	$	58	$	37	Primary Risk Categories	$	47	$	37	$	47	$	31
Credit Portfolio	Credit Portfolio	12		13		17		11		Credit Portfolio	15		13		15		12
Less: Diversification benefit1		(9)		(10)		N/A
Less: Diversification benefit2										Less: Diversification benefit2	(15)		(11)		N/A
Total Management VaR	Total Management VaR	$	43	$	48	$	60	$	41	Total Management VaR	$	47	$	39	$	48	$	32


		Three Months Ended									Three Months Ended
		March 31, 2021									December 31, 2021
$ in millions	$ in millions	Period End		Average		High2		Low2		$ in millions	Period End		Average		High1		Low1
Interest rate and credit spread	Interest rate and credit spread	$	31	$	33	$	41	$	29	Interest rate and credit spread	$	21	$	25	$	32	$	21
Equity price	Equity price	30		31		170		19		Equity price	20		25		32		20
Foreign exchange rate	Foreign exchange rate	11		14		24		8		Foreign exchange rate	6		6		9		4
Commodity price	Commodity price	14		18		27		13		Commodity price	16		17		26		14
Less: Diversification benefit1		(36)		(38)		N/A
Less: Diversification benefit2										Less: Diversification benefit2	(31)		(35)		N/A
Primary Risk Categories	Primary Risk Categories	$	50	$	58	$	171	$	44	Primary Risk Categories	$	32	$	38	$	51	$	32
Credit Portfolio	Credit Portfolio	17		24		31		17		Credit Portfolio	12		12		13		12
Less: Diversification benefit1		(15)		(13)		N/A
Less: Diversification benefit2										Less: Diversification benefit2	(12)		(10)		N/A
Total Management VaR	Total Management VaR	$	52	$	69	$	175	$	50	Total Management VaR	$	32	$	40	$	54	$	32

1.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.

2.Diversification benefit equals the difference between the total 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.

Average ~~total~~Total Management VaR and average Management VaR for the Primary Risk Categories ~~decreased in the current quarter~~were relatively unchanged from the three months ended ~~March~~December 31, 2021. Period end Total Management VaR increased from December 31, 2021, primarily ~~as a result of reduced volatility as the peak COVID-19 market stress in 2020 is no longer included in VaR. Additionally, the high for the current quarter was reduced~~ from the ~~peak day in the three months ended March 31, 2021, as~~interest rate and credit spread, equity price and commodity price risk categories, which were driven by increased ~~equity~~ exposure in the ~~first quarter of 2021 resulted from the aforementioned credit event for a single client.~~Fixed Income and Equity businesses and by increased market volatility. These increases were partially offset by increased diversification benefit.

Distribution of VaR Statistics and Net Revenues

We evaluate the reasonableness of our VaR model by comparing the potential declines in portfolio values generated by the model with corresponding actual trading results for the Firm, as well as individual business units. For days where losses exceed the VaR statistic, we examine the drivers of trading losses to evaluate the VaR model’s accuracy ~~relative to realized trading result~~s.. There ~~was one~~were two loss ~~day~~days in the current quarter, which did not exceed ~~the Firm’s~~95% Total Management VaR.

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Risk Disclosures

Daily 95%/One-Day Total Management VaR for the Current Quarter

($ in millions)

Daily Net Trading Revenues for the Current Quarter

($ in millions)

The previous histogram shows the distribution of daily net trading revenues for the current quarter. Daily net trading revenues include profits and losses from Interest rate and credit spread, Equity price, Foreign exchange rate, Commodity price, and Credit Portfolio positions and intraday trading activities for our trading businesses. Certain items such as fees, commissions, net interest income and counterparty default risk are excluded from daily net trading revenues and the VaR model. Revenues required for Regulatory VaR backtesting further exclude intraday trading.

Non-Trading Risks

We believe that sensitivity analysis is an appropriate representation of our non-trading risks. The following sensitivity analyses cover substantially all of the non-trading risk in our portfolio.

Credit Spread Risk Sensitivity1


$ in millions	$ in millions	At June 30, 2021		At March 31, 2021		$ in millions	At March 31, 2022		At December 31, 2021
Derivatives	Derivatives	$	7	$	7	Derivatives	$	7	$	7
Borrowings carried at fair value	Borrowings carried at fair value	48		47		Borrowings carried at fair value	44		48

1.Amounts represent the potential gain for each 1 bps widening of our credit spread.

U.S. Bank ~~Subsidiaries’~~Subsidiaries' Net Interest Income Sensitivity Analysis


$ in millions	$ in millions	At June 30, 2021		At March 31, 2021		$ in millions	At March 31, 2022		At December 31, 2021
Basis point change	Basis point change					Basis point change
+100	+100	$	1,463	$	1,671	+100	$	162	$	1,267
-100	-100	(498)		(560)		-100	(622)		(893)

The previous table presents an analysis of selected instantaneous upward and downward parallel interest rate shocks (subject to a floor of zero percent in the downward scenario) on net interest income over the next 12 months for our U.S. Bank Subsidiaries. These shocks are applied to our 12-month forecast for our U.S. Bank Subsidiaries, which incorporates market expectations of interest rates and our forecasted business activity.

We do not manage to any single rate scenario but rather manage net interest income in our U.S. Bank Subsidiaries to optimize across a range of possible outcomes, including non-parallel rate change scenarios. The sensitivity analysis assumes that we take no action in response to these scenarios, assumes there are no changes in other macroeconomic variables normally correlated with changes in interest rates, and includes subjective assumptions regarding customer and market re-pricing behavior and other factors. The change in sensitivity to interest rates between ~~June 30, 2021~~March 31, 2022 and ~~March~~December 31, 2021 was primarily driven by the significant changes in market rates and effects of changes in the mix of our assets and ~~liabilities and lower market rates.~~liabilities.

Investments Sensitivity, Including Related Carried ~~Intere~~stInterest


		Loss from 10% Decline					Loss from 10% Decline
$ in millions	$ in millions	At June 30, 2021		At March 31, 2021		$ in millions	At March 31, 2022		At December 31, 2021
Investments related to Investment Management activities	Investments related to Investment Management activities	$	477	$	472	Investments related to Investment Management activities	$	415	$	407
Other investments:	Other investments:					Other investments:
MUMSS	MUMSS	172		174		MUMSS	158		167
Other Firm investments	Other Firm investments	232		223		Other Firm investments	344		331

We have exposure to public and private companies through direct investments, as well as through funds that invest in these assets. These investments are predominantly equity positions with long investment horizons, a portion of which is for business facilitation purposes. The market risk related to these investments is measured by estimating the potential reduction in net revenues associated with a reasonably possible 10% decline in investment values and ~~related~~related impact on performance-based income, as applicable.

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Risk Disclosures

Asset Management Revenue Sensitivity

Certain asset management revenues in the Wealth Management and Investment Management business segments are derived from management fees, which are based on fee-based client assets in Wealth Management or AUM in Investment Management (together, “client holdings”). The assets underlying client holdings are primarily composed of equity, fixed income and alternative investments and are sensitive to changes in related markets. The overall level of these revenues depends on multiple factors that include, but are not limited to, the level and duration of a market increase or decline, price volatility, the geographic and industry mix of client assets, and client behavior such as the rate and magnitude of client investments and redemptions. Therefore, overall revenues do not correlate completely with changes in the related markets.

Credit Risk

Credit risk refers to the risk of loss arising when a borrower, counterparty or issuer does not meet its financial obligations to us. We are primarily exposed to credit risk from institutions and individuals through our Institutional Securities and Wealth Management business segments. For a further discussion of our credit risks, see “Quantitative and Qualitative Disclosures about Risk—Credit Risk” in the ~~2020~~2021 Form 10-K.

Loans and Lending Commitments


		At June 30, 2021									At March 31, 2022
$ in millions	$ in millions	HFI		HFS		FVO		Total		$ in millions	HFI		HFS		FVO		Total
Institutional Securities:	Institutional Securities:									Institutional Securities:
Corporate	Corporate	$	4,724	$	7,098	$	13	$	11,835	Corporate	$	6,105	$	7,069	$	8	$	13,182
Secured lending facilities	Secured lending facilities	28,217		3,951		666		32,834		Secured lending facilities	29,896		4,661		—		34,557
Commercial and Residential real estate	Commercial and Residential real estate	6,707		620		4,270		11,597		Commercial and Residential real estate	8,276		1,986		4,492		14,754
Securities-based lending and Other	Securities-based lending and Other	586		5		9,353		9,944		Securities-based lending and Other	1,972		131		7,633		9,736
Total Institutional Securities	Total Institutional Securities	40,234		11,674		14,302		66,210		Total Institutional Securities	46,249		13,847		12,133		72,229
Wealth Management:	Wealth Management:									Wealth Management:
Residential real estate	Residential real estate	38,917		10		—		38,927		Residential real estate	47,236		6		—		47,242
Securities-based lending and Other	Securities-based lending and Other	75,877		12		—		75,889		Securities-based lending and Other	89,436		160		—		89,596
Total Wealth Management	Total Wealth Management	114,794		22		—		114,816		Total Wealth Management	136,672		166		—		136,838
Total Investment Management1	Total Investment Management1	5		17		843		865		Total Investment Management1	5		—		357		362
Total loans2	Total loans2	155,033		11,713		15,145		181,891		Total loans2	182,926		14,013		12,490		209,429
ACL	ACL	(687)						(687)		ACL	(679)						(679)
Total loans, net of ACL	Total loans, net of ACL	$	154,346	$	11,713	$	15,145	$	181,204	Total loans, net of ACL	$	182,247	$	14,013	$	12,490	$	208,750
Lending commitments3	Lending commitments3							$	139,257	Lending commitments3							$	142,492
Total exposure	Total exposure							$	320,461	Total exposure							$	351,242

At December 31, 2020
$ in millions HFI HFS FVO Total
Institutional Securities:
Corporate $ 6,046 $ 8,580 $ 13 $ 14,639
Secured lending facilities 25,727 3,296 648 29,671
Commercial and Residential real estate 7,346 859 3,061 11,266
Securities-based lending and Other 1,279 55 7,001 8,335
Total Institutional Securities 40,398 12,790 10,723 63,911
Wealth Management:
Residential real estate 35,268 11 — 35,279
Securities-based lending and Other 62,947 — — 62,947
Total Wealth Management 98,215 11 — 98,226
Total Investment Management1
6 12 425 443
Total loans2
138,619 12,813 11,148 162,580
ACL (835) (835)
Total loans, net of ACL $ 137,784 $ 12,813 $ 11,148 $ 161,745
Lending commitments3
$ 127,855
Total exposure

$ 289,600

~~HFI—Held for investment; HFS—Held for sale; FVO—Fair value option~~


	At December 31, 2021
$ in millions	HFI		HFS		FVO		Total
Institutional Securities:
Corporate	$	5,567	$	8,107	$	8	$	13,682
Secured lending facilities	31,471		3,879		—		35,350
Commercial and Residential real estate	7,227		1,777		4,774		13,778
Securities-based lending and Other	1,292		45		7,710		9,047
Total Institutional Securities	45,557		13,808		12,492		71,857
Wealth Management:
Residential real estate	44,251		7		—		44,258
Securities-based lending and Other	85,143		17		—		85,160
Total Wealth Management	129,394		24		—		129,418
Total Investment Management1	5		—		135		140
Total loans2	174,956		13,832		12,627		201,415
ACL	(654)						(654)
Total loans, net of ACL	$	174,302	$	13,832	$	12,627	$	200,761
Lending commitments3							$	134,934
Total exposure							$	335,695

Total exposure—consists of Total loans, net of ACL, and Lending commitments

1.Investment Management business segment loans are related to certain of our activities as an investment advisor and manager. ~~At June 30, 2021 and December 31, 2020, loans~~Loans held at fair value are ~~predominantly~~ the result of the consolidation of ~~CLO~~investment vehicles (including CLOs) managed by Investment Management, composed primarily of senior secured loans to corporations.

2.FVO also includes the fair value of certain unfunded lending commitments.

3.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.

We provide loans and lending commitments to a variety of customers, including large corporate and institutional clients, as well as high to ultra-high net worth individuals. In addition, we purchase loans in the secondary market. Loans and lending commitments are either held for investment, held for sale or carried at fair value. For more information on these loan classifications, see Note 2 to the financial statements in the ~~2020~~2021 Form 10-K.

Total loans and lending commitments increased by a~~pproximately $31~~approximately $16 billion since December 31, ~~2020,~~2021, primarily due to growth in Secured lending facilities and Corporate lending commitments within the Institutional Securities business segment, as well as increases in Securities-based ~~loans~~ and Residential real estate loans within the Wealth Management business ~~segment, as well as increases in Secured lending facilities and event-driven lending commitments within the Institutional Securities business~~ segment.

See Notes 4, 5, ~~6, 10~~9 and 1413 to the financial statements for further information.

Beginning late in the first quarter of 2020 and following in part from the U.S. government’s enactment of the CARES Act, we have granted requests from certain clients for modifications of their credit agreements with us, which in some cases include deferral of their loan payments. In addition to these principal and interest deferrals, we continue to work with certain clients regarding modifications of other terms under their original loan agreements that do not impact contractual loan payments. We do not believe these

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Risk Disclosures

~~modifications have had a material impact on the risk profile of our loan portfolio.~~

~~Requests for deferrals and other modifications could continue in future periods. See~~ ~~“Executive Summary—Coronavirus Disease (COVID-19) Pandemic” herein and “Risk Factors” and “Forward Looking Statements” in the 2020 Form 10-K.~~

For additional information on regulatory guidance which permits certain loan modifications for borrowers impacted by COVID-19 to not be accounted for and reported as TDRs as well as the Firm’s accounting policies for such modifications, see “Liquidity and Capital Resources—Regulatory Requirements—Regulatory Developments” and Note 2 to the financial statements in the 2020 Form 10-K, respectively. For information on HFI loans on nonaccrual status and HFI loans modified and reported as TDRs, see “Status of Loans Held for Investment” herein and Note 10 to the financial statements, and for a discussion of the related accounting policies see Note 2 to the financial statements in the 2020 Form 10-K.

Allowance for Credit Losses—Loans and Lending Commitments


$ in millions

ACL—Loans	$	~~835~~654
ACL—Lending Commitments	~~396~~444
Total at December 31, ~~2020~~2021	~~1,231~~1,098
Gross charge-offs	~~(102)~~(11)


Provision for credit losses	~~(25)~~57
Other	~~(5)~~(6)
Total at ~~June 30, 2021~~March 31, 2022	$	~~1,099~~1,138
ACL—Loans	$	~~687~~679
ACL—Lending commitments	~~412~~459

Provision for Credit Losses by Business Segment


		Three Months Ended June 30, 2021						Six Months Ended June 30, 2021							Three Months Ended March 31, 2022
$ in millions	$ in millions	IS		WM		Total		IS		WM		Total		$ in millions		IS		WM		Total
Loans	Loans	$	12	$	4	$	16	$	(41)	$	(1)	$	(42)	Loans		$	24	$	15	$	39
Lending commitments	Lending commitments	58		(1)		57		18		(1)		17		Lending commitments		20		(2)		18
Total	Total	$	70	$	3	$	73	$	(23)	$	(2)	$	(25)	Total		$	44	$	13	$	57

Credit exposure arising from our loans and lending commitments is measured in accordance with our internal risk management standards. Risk factors considered in determining the ~~aggregate~~ allowance for ~~loan~~credit losses for loans and ~~commitment losses~~lending commitments include the borrower’s financial strength, industry, facility structure, LTV ratio, debt service ratio, collateral and covenants. Qualitative and environmental factors such as economic and business conditions, nature and volume of the portfolio and lending terms, and volume and severity of past due loans may also be considered.

The aggregate allowance for credit losses for loans and lending commitments ~~decreased~~increased in the current ~~year period, primarily~~quarter, reflecting ~~charge-offs and a release in~~ the ~~allowance~~Provision for credit losses ~~within the Institutional Securities business segment. The allowance release was~~ primarily ~~a result of improvements in the outlook for macroeconomic conditions and the impact of paydowns on Corporate loans, including by lower-rated~~

due to portfolio growth.

~~borrowers, partially offset by the provision for one Secured lending facility.~~ The base scenario used in our ACL models as of ~~June 30, 2021~~March 31, 2022 was generated using a combination of industry consensus economic forecasts, forward rates, and internally developed and validated ~~models.~~models, and assumes continued growth over the forecast period. Given the nature of our lending portfolio, the most sensitive model input is U.S. gross domestic product. ~~The base scenario, among other things, assumes continued growth over the forecast period with~~

Forecasted U.S. GDP ~~reaching a year-over-year growth rate of approximately 6% by the fourth quarter of 2021, supported by fiscal stimulus and accommodative monetary policy.~~ Growth Rates in Base Scenario


	4Q 2022		4Q 2023
Year-over-year growth rate	3.3	%	2.1	%

See ~~Notes 10 and 14~~Note 9 to the financial statements for further information. See Note 2 to the financial statements in the ~~2020~~2021 Form 10-K for a discussion of the Firm’s ACL methodology under CECL.

Status of Loans Held for Investment

At June 30, 2021 At December 31, 2020
IS WM IS WM
Accrual 98.8 % 99.3 % 99.2 % 99.7 %
Nonaccrual1
1.2 % 0.7 % 0.8 % 0.3 %


	At March 31, 2022				At December 31, 2021
	IS		WM		IS		WM
Accrual	99.0	%	99.8	%	98.7	%	99.8	%
Nonaccrual1	1.0	%	0.2	%	1.3	%	0.2	%

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.

Net Charge-off Ratios for Loans Held for Investment


$ in millions	Corporate			Secured Lending Facilities			CRE			Residential Real Estate			SBL and Other			Total
For the Three Months Ended March 31, 2022
Net charge-off ratio1	—		%	0.01		%	0.09		%	—		%	—		%	0.01		%
Average loans	$	5,802		$	31,353		$	7,805		$	45,521		$	87,900		$	178,381
For the Three Months Ended March 31, 2021
Net charge-off ratio1	0.02		%	—		%	0.12		%	—		%	—		%	0.01		%
Average loans	$	5,637		$	25,915		$	7,292		$	35,888		$	65,888		$	140,620

1.Net charge-off ratio represents gross charge-offs net of recoveries divided by total average loans held for investment before ACL.

Institutional Securities Loans and Lending Commitments1


		At June 30, 2021											At March 31, 2022
		Contractual Years to Maturity											Contractual Years to Maturity
$ in millions	$ in millions	Less than 1		1-3		3-5		Over 5		Total		$ in millions	<1		1-5		5-15		>15		Total
Loans	Loans											Loans
AA	AA	$	38	$	9	$	—	$	69	$	116	AA	$	18	$	5	$	—	$	—	$	23
A	A	824		707		408		370		2,309		A	986		892		740		—		2,618
BBB	BBB	6,297		5,113		2,287		578		14,275		BBB	6,239		8,634		474		—		15,347
BB	BB	11,581		9,095		4,234		1,285		26,195		BB	10,520		18,820		1,758		59		31,157
Other NIG	Other NIG	5,370		6,134		4,161		3,223		18,888		Other NIG	5,364		9,235		3,220		160		17,979
Unrated2	Unrated2	194		587		485		2,582		3,848		Unrated2	76		790		679		3,006		4,551
Total loans, net of ACL	Total loans, net of ACL	24,304		21,645		11,575		8,107		65,631		Total loans, net of ACL	23,203		38,376		6,871		3,225		71,675
Lending commitments	Lending commitments											Lending commitments
AAA	AAA	—		50		—		—		50		AAA	—		50		—		—		50
AA	AA	3,173		1,118		2,240		—		6,531		AA	3,367		2,813		—		—		6,180
A	A	4,822		6,600		10,180		584		22,186		A	6,485		17,355		508		309		24,657
BBB	BBB	10,168		19,803		18,561		659		49,191		BBB	5,997		43,083		777		—		49,857
BB	BB	3,017		12,323		7,837		152		23,329		BB	4,432		21,411		2,220		1		28,064
Other NIG	Other NIG	1,649		6,663		8,292		6,915		23,519		Other NIG	891		14,942		3,290		3		19,126
Unrated2	Unrated2	—		14		66		2		82		Unrated2	—		20		10		—		30
Total lending commitments	Total lending commitments	22,829		46,571		47,176		8,312		124,888		Total lending commitments	21,172		99,674		6,805		313		127,964
Total exposure	Total exposure	$	47,133	$	68,216	$	58,751	$	16,419	$	190,519	Total exposure	$	44,375	$	138,050	$	13,676	$	3,538	$	199,639

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Risk Disclosures


		At December 31, 2020											At December 31, 2021
		Contractual Years to Maturity											Contractual Years to Maturity
$ in millions	$ in millions	Less than 1		1-3		3-5		Over 5		Total		$ in millions	<1		1-5		5-15		>15		Total
Loans	Loans											Loans
AA	AA	$	279	$	10	$	—	$	—	$	289	AA	$	—	$	35	$	38	$	—	$	73
A	A	759		798		36		391		1,984		A	890		1,089		675		—		2,654
BBB	BBB	5,043		5,726		2,746		469		13,984		BBB	5,335		8,944		563		—		14,842
BB	BB	10,963		7,749		5,324		503		24,539		BB	10,734		18,349		814		18		29,915
Other NIG	Other NIG	5,214		6,956		4,002		3,269		19,441		Other NIG	4,656		10,475		3,439		160		18,730
Unrated2	Unrated2	141		142		330		2,322		2,935		Unrated2	171		665		511		3,753		5,100
Total loans, net of ACL	Total loans, net of ACL	22,399		21,381		12,438		6,954		63,172		Total loans, net of ACL	21,786		39,557		6,040		3,931		71,314
Lending commitments	Lending commitments											Lending commitments
AAA	AAA	—		50		—		—		50		AAA	—		50		—		—		50
AA	AA	4,047		1,038		2,135		—		7,220		AA	3,283		2,690		—		—		5,973
A	A	6,025		8,359		9,808		425		24,617		A	5,255		17,646		407		303		23,611
BBB	BBB	6,783		17,782		15,500		460		40,525		BBB	6,703		36,096		766		—		43,565
BB	BB	4,357		8,958		7,958		3,103		24,376		BB	2,859		19,698		3,122		—		25,679
Other NIG	Other NIG	664		7,275		6,077		2,652		16,668		Other NIG	992		13,420		6,180		55		20,647
Unrated2	Unrated2	4		—		—		—		4		Unrated2	672		40		3		—		715
Total lending commitments	Total lending commitments	21,880		43,462		41,478		6,640		113,460		Total lending commitments	19,764		89,640		10,478		358		120,240
Total exposure	Total exposure	$	44,279	$	64,843	$	53,916	$	13,594	$	176,632	Total exposure	$	41,550	$	129,197	$	16,518	$	4,289	$	191,554

NIG–Non-investment grade

1.Counterparty credit ratings are internally determined by the 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~~“Quantitative and Qualitative Disclosures about Risk—Market Risk” herein.

Institutional Securities Loans and Lending Commitments by Industry


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Industry	Industry					Industry
Financials	Financials	$	50,318	$	44,358	Financials	$	54,331	$	52,066
Real estate	Real estate	30,622		25,484		Real estate	33,438		31,560
Industrials						Industrials	14,855		17,446
Healthcare	Healthcare	17,471		12,650		Healthcare	13,513		12,618
Industrials		17,069		15,861
Information technology						Information technology	12,844		13,471
Communications services	Communications services	12,481		12,600		Communications services	12,705		12,645
Information technology		11,704		11,358
Consumer discretionary	Consumer discretionary	10,626		11,177		Consumer discretionary	12,204		11,628
Utilities	Utilities	10,355		9,504		Utilities	9,931		10,310
Materials						Materials	9,275		6,394
Energy	Energy	8,603		10,064		Energy	9,212		8,544
Consumer staples	Consumer staples	8,464		9,088		Consumer staples	8,254		7,855
Materials		5,808		6,084
Insurance	Insurance	4,583		3,889		Insurance	7,041		4,954
Other	Other	2,415		4,515		Other	2,036		2,063
Total exposure	Total exposure	$	190,519	$	176,632	Total exposure	$	199,639	$	191,554

Sectors Currently in Focus due to COVID-19

~~The economic effects~~We continue to monitor the developments of ~~COVID-19 have impacted borrowers in many~~the coronavirus disease (“COVID-19”) and its impact on various sectors and industries, ~~though certain sectors remain more~~particularly those most sensitive to the ~~current economic environment and are continuing to receive heightened focus. The sectors currently in focus are:~~ongoing effects of the pandemic, including retail, air travel ~~retail,~~and lodging and leisure, ~~upstream energy, and healthcare services and systems. As of June 30, 2021, exposures to these sectors~~which are included across the Industrials, Financials, Real estate and Consumer discretionary ~~Energy and Healthcare~~ industries in the previous ~~table, and in aggregate represent approximately 10% of total Institutional Securities business segment lending exposure. Further, as of~~

June 30, 2021, approximately 90% of these exposures are either investment grade and/or secured by collateral. The future developments of COVID-19 and its effect on the economic environment remain uncertain; therefore, the sectors impacted may change over time.table. Refer to “Risk Factors” in the ~~2020~~2021 Form 10-K.

Institutional Securities Lending Activities

The Institutional Securities business segment lending activities include Corporate, Secured lending facilities, Commercial real estate and Securities-based lending and Other. As of ~~June 30, 2021,~~March 31, 2022, over 90% of our total lending exposure, which consists of loans and lending commitments, is investment grade and/or secured by collateral. For a description of Institutional Securities’ lending activities, see “Quantitative and Qualitative Disclosures about Risk—Credit Risk” in the ~~2020~~2021 Form 10-K.

Institutional Securities Event-Driven Loans and Lending Commitments

At June 30, 2021
Contractual Years to Maturity
$ in millions Less than 1 1-3 3-5 Over 5 Total
Loans, net of ACL $ 1,415 $ 382 $ 498 $ 2,217 $ 4,512
Lending commitments 4,865 6,254 3,359 6,844 21,322
Total exposure $ 6,280 $ 6,636 $ 3,857 $ 9,061 $ 25,834
At December 31, 2020
Contractual Years to Maturity
$ in millions Less than 1 1-3 3-5 Over 5 Total
Loans, net of ACL $ 1,241 $ 907 $ 873 $ 2,090 $ 5,111
Lending commitments 2,810 4,649 2,678 4,650 14,787
Total exposure $ 4,051 $ 5,556 $ 3,551 $ 6,740 $ 19,898


	At March 31, 2022
	Contractual Years to Maturity
$ in millions	<1		1-5		5-15		Total
Loans, net of ACL	$	923	$	1,168	$	2,254	$	4,345
Lending commitments	3,017		9,288		4,900		17,205
Total exposure	$	3,940	$	10,456	$	7,154	$	21,550


	At December 31, 2021
	Contractual Years to Maturity
$ in millions	<1		1-5		5-15		Total
Loans, net of ACL	$	951	$	2,088	$	1,803	$	4,842
Lending commitments	1,619		5,288		8,879		15,786
Total exposure	$	2,570	$	7,376	$	10,682	$	20,628

Event-driven loans and lending commitments are associated with a particular event or transaction, such as to support client merger, acquisition, recapitalization or project finance activities. Balances may fluctuate as such lending is related to transactions that vary in timing and size from period to period.

Institutional Securities Loans and Lending Commitments Held for Investment


	At March 31, 2022
$ in millions	Loans		Lending Commitments		Total
Corporate	$	6,105	$	76,006	$	82,111
Secured lending facilities	29,896		14,025		43,921
Commercial real estate	8,276		711		8,987
Other	1,972		885		2,857
Total, before ACL	$	46,249	$	91,627	$	137,876
ACL	$	(554)	$	(443)	$	(997)


	At December 31, 2021
$ in millions		Loans		Lending Commitments		Total
Corporate		$	5,567	$	73,585	$	79,152
Secured lending facilities		31,471		10,003		41,474
Commercial real estate		7,227		1,475		8,702
Other		1,292		887		2,179
Total, before ACL		$	45,557	$	85,950	$	131,507
ACL		$	(543)	$	(426)	$	(969)

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Risk Disclosures

Institutional Securities ~~Loans and Lending Commitments Held for Investment~~

At June 30, 2021
$ in millions Loans Lending Commitments Total
Corporate $ 4,724 $ 72,175 $ 76,899
Secured lending facilities 28,217 11,387 39,604
Commercial real estate 6,707 308 7,015
Other 586 661 1,247
Total, before ACL $ 40,234 $ 84,531 $ 124,765
ACL $ (579) $ (397) $ (976)
At December 31, 2020
$ in millions Loans Lending Commitments Total
Corporate $ 6,046 $ 69,488 $ 75,534
Secured lending facilities 25,727 8,312 34,039
Commercial real estate 7,346 334 7,680
Other 1,279 1,135 2,414
Total, before ACL $ 40,398 $ 79,269 $ 119,667
ACL $ (739) $ (391) $ (1,130)

~~Institutional Securities~~ Allowance for Credit Losses—Loans and Lending Commitments

$ in millions Corporate Secured lending facilities Commercial real estate Other Total
ACL—Loans $ 309 $ 198 $ 211 $ 21 $ 739
ACL—Lending commitments 323 38 11 19 391
Total at December 31, 2020 $ 632 $ 236 $ 222 $ 40 $ 1,130
Gross charge-offs (14) (67) (21) — (102)
Provision for credit losses (77) 49 5 — (23)
Other1
(2) (1) (2) (24) (29)
Total at June 30, 2021 $ 539 $ 217 $ 204 $ 16 $ 976
ACL—Loans $ 199 $ 177 $ 194 $ 9 $ 579
ACL—Lending commitments 340 40 10 7 397

1.Other primarily reflects the allowance for credit losses associated with the Community Development Fund loans portfolio that was transferred to the Wealth Management business segment from the Institutional Securities business segment in the second quarter of 2021.


$ in millions	Corporate		Secured Lending Facilities		Commercial Real Estate		Other		Total
ACL—Loans	$	165	$	163	$	206	$	9	$	543
ACL—Lending commitments	356		41		20		9		426
Total at December 31, 2021	$	521	$	204	$	226	$	18	$	969
Gross charge-offs	—		(3)		(7)		—		(10)


Provision for credit losses	26		20		(1)		(1)		44
Other	(4)		—		(2)		—		(6)
Total at March 31, 2022	$	543	$	221	$	216	$	17	$	997
ACL—Loans	$	170	$	172	$	203	$	9	$	554
ACL—Lending commitments	373		49		13		8		443

Institutional Securities HFI Loans—Ratios of Allowance for Credit Losses to Balance Before Allowance


		At June 30, 2021		At December 31, 2020			At March 31, 2022		At December 31, 2021
Corporate	Corporate	4.2	%	5.1	%	Corporate	2.8	%	3.0	%
Secured lending facilities	Secured lending facilities	0.6	%	0.8	%	Secured lending facilities	0.6	%	0.5	%
Commercial real estate	Commercial real estate	2.9	%	2.9	%	Commercial real estate	2.5	%	2.9	%
Other	Other	1.5	%	1.7	%	Other	0.5	%	0.7	%
Total Institutional Securities loans	Total Institutional Securities loans	1.4	%	1.8	%	Total Institutional Securities loans	1.2	%	1.2	%

Wealth Management Loans and Lending Commitments


		At June 30, 2021											At March 31, 2022
		Contractual Years to Maturity											Contractual Years to Maturity
$ in millions	$ in millions	Less than 1		1-3		3-5		Over 5		Total		$ in millions	<1		1-5		5-15		>15		Total
Securities-based lending and Other		$	65,156	$	6,641	$	2,236	$	1,804	$	75,837
Residential real estate		7		—		6		38,858		38,871
Securities-based lending and Other loans												Securities-based lending and Other loans	$	78,507	$	9,307	$	1,588	$	141	$	89,543
Residential real estate loans												Residential real estate loans	3		13		1,277		45,877		47,170
Total loans, net of ACL	Total loans, net of ACL	$	65,163	$	6,641	$	2,242	$	40,662	$	114,708	Total loans, net of ACL	$	78,510	$	9,320	$	2,865	$	46,018	$	136,713
Lending commitments	Lending commitments	11,104		2,771		170		324		14,369		Lending commitments	11,398		2,824		47		259		14,528
Total exposure	Total exposure	$	76,267	$	9,412	$	2,412	$	40,986	$	129,077	Total exposure	$	89,908	$	12,144	$	2,912	$	46,277	$	151,241


		At December 31, 2020											At December 31, 2021
		Contractual Years to Maturity											Contractual Years to Maturity
$ in millions	$ in millions	Less than 1		1-3		3-5		Over 5		Total		$ in millions	<1		1-5		5-15		>15		Total
Securities-based lending and Other		$	54,483	$	4,587	$	2,167	$	1,672	$	62,909
Residential real estate		9		1		1		35,210		35,221
Securities-based lending and Other loans												Securities-based lending and Other loans	$	74,466	$	8,927	$	1,571	$	144	$	85,108
Residential real estate loans												Residential real estate loans	4		10		1,231		42,954		44,199
Total loans, net of ACL	Total loans, net of ACL	$	54,492	$	4,588	$	2,168	$	36,882	$	98,130	Total loans, net of ACL	$	74,470	$	8,937	$	2,802	$	43,098	$	129,307
Lending commitments	Lending commitments	11,666		2,356		120		253		14,395		Lending commitments	11,894		2,467		51		282		14,694
Total exposure	Total exposure	$	66,158	$	6,944	$	2,288	$	37,135	$	112,525	Total exposure	$	86,364	$	11,404	$	2,853	$	43,380	$	144,001

The principal Wealth Management business segment lending activities include Securities-based lending and Residential real estate loans.

Securities-based lending allows clients to borrow money against the value of qualifying securities, generally for any purpose other than purchasing, trading or carrying securities or refinancing margin debt. For more information about our Securities-based lending and Residential real estate loans, see “Quantitative and Qualitative Disclosures about Risk—Credit Risk” in the ~~2020~~2021 Form 10-K.


~~June 2021 Form 10-Q~~			31


~~Table of Contents~~
~~Risk Disclosures~~

Wealth Management Allowance for Credit Losses—Loans and Lending Commitments


$ in millions

ACL—Loans	$	96111
ACL—Lending commitments	518
Total at December 31, ~~2020~~2021	~~101~~129
Gross charge-offs	(1)
Provision for credit losses	~~(2)~~13
~~Other~~1	24
Total at ~~June 30, 2021~~March 31, 2022	$	~~123~~141
ACL—Loans	$	~~108~~125
ACL—Lending commitments	1516

At ~~June 30, 2021,~~March 31, 2022, more than 75% of Wealth Management ~~Residential~~residential real estate loans were to borrowers with “Exceptional” or “Very Good” FICO scores (i.e., exceeding 740). Additionally, Wealth Management’s ~~Securities-based~~securities-based lending portfolio remains well-collateralized and subject to daily client margining, which includes requiring customers to deposit additional collateral or reduce debt positions, when necessary.

Customer and Other Receivables

Margin Loans and Other ~~lending~~Lending


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Institutional Securities	Institutional Securities	$	46,020	$	51,570	Institutional Securities	$	27,177	$	40,545
Wealth Management	Wealth Management	26,922		23,144		Wealth Management	29,171		30,987
Total	Total	$	72,942	$	74,714	Total	$	56,348	$	71,532

The Institutional Securities and Wealth Management business segments provide margin lending arrangements that allow customers to borrow against the value of qualifying securities, primarily for the purpose of purchasing additional securities, as well as to collateralize short positions. Institutional Securities primarily includes margin loans in the Equity Financing business. Wealth Management includes margin loans as well as non-purpose securities-based lending on non-bank entities.

~~Margin lending activities generally have lower credit risk due to the value of collateral held and their short-term nature.~~ Amounts may fluctuate from period to period as overall client balances change as a result of market levels, client positioning and leverage.

Credit exposures arising from margin lending activities are generally mitigated by their short-term nature, the value of collateral held and our right to call for additional margin when collateral values decline. However, we could incur losses in the event that the customer fails to meet margin calls and collateral values decline below the loan amount. This risk is elevated in loans backed by collateral pools with significant concentrations in individual issuers or securities with similar risk characteristics. For a further discussion, see “Risk Factors—Credit Risk” in the 2021 Form 10-K.

Employee Loans

For information on employee loans and related ACL, see Note 9 to the financial statements.


			28			March 2022 Form 10-Q



			Table of Contents
Risk Disclosures

~~For information on employee loans and related ACL, see Note 10 to the financial statements.~~

Derivatives

Fair Value of OTC Derivative Assets


		Counterparty Credit Rating1													Counterparty Credit Rating1
$ in millions	$ in millions	AAA		AA		A		BBB		NIG		Total		$ in millions	AAA		AA		A		BBB		NIG		Total
At June 30, 2021
At March 31, 2022														At March 31, 2022
Less than 1 year	Less than 1 year	$	1,344	$	12,729	$	36,065	$	20,945	$	11,900	$	82,983	Less than 1 year	$	2,641	$	19,678	$	44,744	$	37,429	$	17,803	$	122,295
1-3 years	1-3 years	633		4,916		14,962		12,941		8,197		41,649		1-3 years	850		6,623		16,964		19,316		7,979		51,732
3-5 years	3-5 years	471		4,702		8,440		8,095		3,690		25,398		3-5 years	1,109		6,317		7,749		9,729		3,497		28,401
Over 5 years	Over 5 years	4,237		26,890		66,977		48,258		10,438		156,800		Over 5 years	4,366		32,016		49,904		53,086		6,223		145,595
Total, gross	Total, gross	$	6,685	$	49,237	$	126,444	$	90,239	$	34,225	$	306,830	Total, gross	$	8,966	$	64,634	$	119,361	$	119,560	$	35,502	$	348,023
Counterparty netting	Counterparty netting	(3,141)		(36,880)		(98,646)		(66,879)		(16,635)		(222,181)		Counterparty netting	(3,982)		(53,118)		(84,229)		(89,891)		(16,705)		(247,925)
Cash and securities collateral	Cash and securities collateral	(3,064)		(8,779)		(22,973)		(17,233)		(8,166)		(60,215)		Cash and securities collateral	(3,552)		(8,765)		(27,333)		(17,907)		(6,675)		(64,232)
Total, net	Total, net	$	480	$	3,578	$	4,825	$	6,127	$	9,424	$	24,434	Total, net	$	1,432	$	2,751	$	7,799	$	11,762	$	12,122	$	35,866


		Counterparty Credit Rating1													Counterparty Credit Rating1
$ in millions	$ in millions	AAA		AA		A		BBB		NIG		Total		$ in millions	AAA		AA		A		BBB		NIG		Total
At December 31, 2020
At December 31, 2021														At December 31, 2021
Less than 1 year	Less than 1 year	$	1,179	$	16,166	$	52,164	$	26,088	$	12,175	$	107,772	Less than 1 year	$	1,561	$	11,088	$	32,069	$	25,680	$	11,924	$	82,322
1-3 years	1-3 years	572		5,225		17,560		13,750		8,134		45,241		1-3 years	780		4,577		16,821		15,294		6,300		43,772
3-5 years	3-5 years	359		4,326		11,328		8,363		4,488		28,864		3-5 years	593		4,807		6,805		8,030		3,317		23,552
Over 5 years	Over 5 years	4,545		32,049		84,845		63,084		13,680		198,203		Over 5 years	4,359		26,056		61,091		44,091		4,633		140,230
Total, gross	Total, gross	$	6,655	$	57,766	$	165,897	$	111,285	$	38,477	$	380,080	Total, gross	$	7,293	$	46,528	$	116,786	$	93,095	$	26,174	$	289,876
Counterparty netting	Counterparty netting	(3,269)		(44,306)		(134,310)		(84,171)		(22,227)		(288,283)		Counterparty netting	(3,093)		(36,957)		(91,490)		(68,365)		(11,642)		(211,547)
Cash and securities collateral	Cash and securities collateral	(3,124)		(10,973)		(26,712)		(20,708)		(8,979)		(70,496)		Cash and securities collateral	(3,539)		(7,608)		(20,500)		(17,755)		(5,762)		(55,164)
Total, net	Total, net	$	262	$	2,487	$	4,875	$	6,406	$	7,271	$	21,301	Total, net	$	661	$	1,963	$	4,796	$	6,975	$	8,770	$	23,165


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Industry	Industry					Industry
Financials	Financials	$	7,613	$	6,195	Financials	$	10,483	$	5,096
Utilities	Utilities	4,750		3,954		Utilities	7,830		5,918
Consumer discretionary		2,314		1,866
Energy	Energy	2,040		965		Energy	5,785		2,587
Healthcare		1,011		1,494
Consumer Discretionary						Consumer Discretionary	3,185		3,069
Regional governments						Regional governments	1,495		963
Industrials	Industrials	953		1,291		Industrials	1,259		985
Information technology	Information technology	929		1,104		Information technology	928		1,060
Regional governments		843		806
Not-for-profit organizations		661		701
Real estate		600		378
Communications services	Communications services	496		529		Communications services	852		348
Insurance		451		518
Sovereign governments	Sovereign governments	373		650		Sovereign governments	659		386
Healthcare						Healthcare	632		682
Materials	Materials	329		430		Materials	575		240
Consumer staples	Consumer staples	291		339		Consumer staples	510		324
Not-for-profit organizations						Not-for-profit organizations	411		531
Insurance						Insurance	356		174
Real estate						Real estate	181		280
Other	Other	780		81		Other	725		522
Total	Total	$	24,434	$	21,301	Total	$	35,866	$	23,165

1.Counterparty credit ratings are determined internally by the CRM.

We are exposed to credit risk as a dealer in OTC derivatives. Credit risk with respect to derivative instruments arises from the possibility that a counterparty may fail to perform according to the terms of the contract. For more information on derivatives, see “Quantitative and Qualitative Disclosures about Risk—Credit Risk—Derivatives” in the ~~2020~~2021 Form 10-K and Note 76 to the financial statements.


			32			~~June 2021 Form 10-Q~~


~~Table of Contents~~
~~Risk Disclosures~~

Country Risk

Country risk exposure is the risk that events in, or that affect, a foreign country (any country other than the U.S.) might adversely affect us. We actively manage country risk exposure through a comprehensive risk management framework that combines credit and market fundamentals and allows us to effectively identify, monitor and limit country risk. For a further discussion of our country risk exposure see “Quantitative and Qualitative Disclosures about Risk—Country and Other Risks” in the ~~2020~~2021 Form 10-K.

Top 10 Non-U.S. Country Exposures at ~~June 30, 2021~~March 31, 2022


$ in millions	$ in millions	United Kingdom		Japan		Germany		France		Spain		$ in millions	United Kingdom		Germany		Japan		France		India
Sovereign	Sovereign											Sovereign
Net inventory1	Net inventory1	$	(43)	$	5,101	$	54	$	(471)	$	(197)	Net inventory1	$	(544)	$	1,794	$	3,557	$	320	$	1,946
Net counterparty exposure2	Net counterparty exposure2	1		45		85		6		29		Net counterparty exposure2	33		170		79		8		—

Exposure before hedges	Exposure before hedges	(42)		5,146		139		(465)		(168)		Exposure before hedges	(511)		1,964		3,636		328		1,946
Hedges3	Hedges3	(310)		(79)		(287)		(6)		—		Hedges3	(303)		(286)		(113)		(6)		—
Net exposure	Net exposure	$	(352)	$	5,067	$	(148)	$	(471)	$	(168)	Net exposure	$	(814)	$	1,678	$	3,523	$	322	$	1,946

Non-sovereign	Non-sovereign											Non-sovereign
Net inventory1	Net inventory1	$	1,084	$	615	$	7	$	(338)	$	72	Net inventory1	$	1,088	$	561	$	873	$	661	$	883
Net counterparty exposure2	Net counterparty exposure2	11,117		4,257		2,788		3,068		391		Net counterparty exposure2	17,657		3,180		4,702		3,445		1,315
Loans	Loans	3,648		381		1,725		513		3,351		Loans	3,997		1,531		426		536		220
Lending commitments	Lending commitments	6,165		180		5,979		6,118		1,313		Lending commitments	7,290		3,860		—		3,220		8
Exposure before hedges	Exposure before hedges	22,014		5,433		10,499		9,361		5,127		Exposure before hedges	30,032		9,132		6,001		7,862		2,426
Hedges3	Hedges3	(1,388)		(162)		(1,015)		(734)		(266)		Hedges3	(1,824)		(1,350)		(148)		(2,075)		—
Net exposure	Net exposure	$	20,626	$	5,271	$	9,484	$	8,627	$	4,861	Net exposure	$	28,208	$	7,782	$	5,853	$	5,787	$	2,426
Total net exposure	Total net exposure	$	20,274	$	10,338	$	9,336	$	8,156	$	4,693	Total net exposure	$	27,394	$	9,460	$	9,376	$	6,109	$	4,372


March 2022 Form 10-Q			29


Table of Contents
Risk Disclosures


$ in millions	$ in millions	China		India		Australia		Canada		Brazil		$ in millions	Spain		Canada		Brazil		Netherlands		Ireland
Sovereign	Sovereign											Sovereign
Net inventory1	Net inventory1	$	(89)	$	1,178	$	570	$	(447)	$	2,115	Net inventory1	$	(102)	$	387	$	3,030	$	274	$	147
Net counterparty exposure2	Net counterparty exposure2	102		2		45		21		—		Net counterparty exposure2	55		24		—		—		6

Exposure before hedges	Exposure before hedges	13		1,180		615		(426)		2,115		Exposure before hedges	(47)		411		3,030		274		153
Hedges3	Hedges3	(82)		—		—		—		(12)		Hedges3	(8)		—		(135)		(17)		—
Net exposure	Net exposure	$	(69)	$	1,180	$	615	$	(426)	$	2,103	Net exposure	$	(55)	$	411	$	2,895	$	257	$	153

Non-sovereign	Non-sovereign											Non-sovereign
Net inventory1	Net inventory1	$	1,548	$	850	$	228	$	228	$	233	Net inventory1	$	337	$	517	$	19	$	(15)	$	1,053
Net counterparty exposure2	Net counterparty exposure2	780		891		1,061		1,713		320		Net counterparty exposure2	1,271		1,530		488		1,319		663
Loans	Loans	744		235		489		141		188		Loans	2,457		185		294		527		968
Lending commitments	Lending commitments	1,489		—		905		1,483		183		Lending commitments	970		1,476		224		1,843		582
Exposure before hedges	Exposure before hedges	4,561		1,976		2,683		3,565		924		Exposure before hedges	5,035		3,708		1,025		3,674		3,266
Hedges3	Hedges3	(131)		—		(185)		(85)		(25)		Hedges3	(952)		(108)		(39)		(492)		(4)
Net exposure	Net exposure	$	4,430	$	1,976	$	2,498	$	3,480	$	899	Net exposure	$	4,083	$	3,600	$	986	$	3,182	$	3,262
Total net exposure	Total net exposure	$	4,361	$	3,156	$	3,113	$	3,054	$	3,002	Total net exposure	$	4,028	$	4,011	$	3,881	$	3,439	$	3,415

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 ~~2020~~2021 Form 10-K.

Additional Information—Top 10 Non-U.S. Country Exposures

Collateral Held against Net Counterparty Exposure1


$ in millions		At ~~June 30,~~March 31, ~~2021~~2022
Country of Risk	Collateral2
Germany	~~Italy, Croatia~~Spain and ~~Spain~~France	$	~~11,765~~9,973
United Kingdom	U.K., U.S. and Spain	~~10,434~~8,050
Other	Japan, ~~Italy,~~Germany and ~~France~~U.S.	~~17,737~~23,114

1.The benefit of collateral received is reflected in the Top 10 Non-U.S. Country Exposures at ~~June 30, 2021.~~March 31, 2022.

2.Primarily consists of cash ~~as well as~~and government obligations of the countries listed.

~~Country Risk Exposures Related to the U.K.~~

At June 30, 2021, our country risk exposures in the U.K. included net exposures of $20,274 million (as shown in the Top 10 Non-U.S. Country Exposures table) and overnight deposits of $9,017 million. The $20,626 million of exposures to non-sovereigns were diversified across both names and sectors and include $9,253 million to U.K.-focused counterparties that generate more than one-third of their revenues in the U.K., $4,131 million to geographically diversified counterparties, and $6,212 million to exchanges and clearinghouses.


~~June 2021 Form 10-Q~~			33


~~Table of Contents~~
~~Risk Disclosures~~

Operational Risk

Operational risk refers to the risk of loss, or of damage to our reputation, resulting from inadequate or failed processes or systems, from human factors or from external events (e.g., cyber attacks or third-party vulnerabilities) that may manifest as, for example, loss of information, business disruption, theft and fraud, ~~theft,~~ legal and compliance risks, ~~cyber attacks~~ or damage to physical ~~assets).~~assets. We may incur operational risk across the full scope of our business activities, including revenue-generating activities and support and control groups (e.g., information technology and trade processing). For a further discussion about our operational risk, see “Quantitative and Qualitative Disclosures about Risk—Operational Risk” in the 2020 Form 10-K. In addition, for further information on market and economic conditions and their effects on risk in general, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Executive Summary—Coronavirus Disease (COVID-19) Pandemic” herein and “Risk Factors” in the 20202021 Form 10-K.

Model Risk

Model risk refers to the potential for adverse consequences from decisions based on incorrect or misused model outputs. Model risk can lead to financial loss, poor business and strategic decision making or damage to our reputation. The risk inherent in a model is a function of the materiality, complexity and uncertainty around inputs and assumptions. Model risk is generated from the use of models impacting financial statements, regulatory filings, capital adequacy assessments and the formulation of strategy. For a further discussion about our model risk, see “Quantitative and Qualitative Disclosures about Risk—Model Risk” in the ~~2020~~2021 Form 10-K.

Liquidity Risk

Liquidity risk refers to the risk that we will be unable to finance our operations due to a loss of access to the capital markets or difficulty in liquidating our assets. Liquidity risk also encompasses our ability (or perceived ability) to meet our financial obligations without experiencing significant business disruption or reputational damage that may threaten our viability as a going concern. For a further discussion about our liquidity risk, see “Quantitative and Qualitative Disclosures about Risk—Liquidity Risk” in the ~~2020~~2021 Form 10-K and “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources” herein. ~~In addition, for further information on market and economic conditions and their effects on risk in general, see “Risk Factors” in the 2020 Form 10-K.~~

Legal and Compliance Risk

Legal and compliance risk includes the risk of legal or regulatory sanctions, material financial loss, including fines, penalties, judgments, damages and/or settlements, limitations on our business, or loss to reputation that we may suffer as a result of failure to comply

with laws, regulations, rules, related self-regulatory organization standards and codes of conduct applicable to our business activities. This risk also includes contractual and commercial risk, such as the risk that a counterparty’s performance obligations will be unenforceable. It also includes compliance with AML, terrorist financing, and anti-corruption rules and regulations. For a further discussion about our legal and compliance risk, see “Quantitative and Qualitative Disclosures about Risk—Legal and Compliance Risk” in the ~~2020~~2021 Form 10-K.


			3430			~~June 2021~~March 2022 Form 10-Q


Table of Contents

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Directors of Morgan Stanley:

Results of Review of Interim Financial Information

We have reviewed the accompanying condensed consolidated balance sheet of Morgan Stanley and subsidiaries (the “Firm”) as of ~~June 30, 2021,~~March 31, 2022, and the related condensed consolidated income statements, comprehensive income statements, cash flow statements and statements of changes in total equity for the three-month ~~and six-month~~ periods ended ~~June 30,~~March 31, 2022 and 2021, ~~and 2020, and the cash flow statements for the six-month periods ended June 30, 2021 and 2020,~~ and the related notes (collectively referred to as the “interim financial information”). Based on our reviews, we are not aware of any material modifications that should be made to the accompanying interim financial information for it to be in conformity with accounting principles generally accepted in the United States of America.

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the consolidated balance sheet of the Firm as of December 31, ~~2020,~~2021, and the related consolidated income statement, comprehensive income statement, cash flow statement and statement of changes in total equity for the year then ended (not presented herein) included in the Firm’s Annual Report on Form 10-K; and in our report dated February ~~26, 2021,~~24, 2022, we expressed an unqualified opinion on those consolidated financial statements. In our opinion, the information set forth in the accompanying condensed consolidated balance sheet as of December 31, ~~2020~~2021 is fairly stated, in all material respects, in relation to the consolidated balance sheet from which it has been derived.

Basis for Review Results

This interim financial information is the responsibility of the Firm’s management. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Firm in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our reviews in accordance with the standards of the PCAOB. A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.


/s/ Deloitte & Touche LLP
New York, New York
~~August 2, 2021~~May 4, 2022


~~June 2021~~March 2022 Form 10-Q			3531


Table of Contents
Consolidated Income ~~Statements~~Statement (Unaudited)


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
in millions, except per share data	in millions, except per share data	2021		2020		2021		2020		in millions, except per share data		2022		2021
Revenues	Revenues									Revenues
Investment banking	Investment banking	$	2,560	$	2,142	$	5,400	$	3,413	Investment banking		$	1,758	$	2,840
Trading	Trading	3,330		4,803		7,555		7,604		Trading		3,983		4,225
Investments	Investments	381		275		699		313		Investments		75		318
Commissions and fees	Commissions and fees	1,308		1,102		2,934		2,462		Commissions and fees		1,416		1,626
Asset management	Asset management	4,973		3,265		9,371		6,682		Asset management		5,119		4,398
Other	Other	342		473		626		9		Other		234		284
Total non-interest revenues	Total non-interest revenues	12,894		12,060		26,585		20,483		Total non-interest revenues		12,585		13,691
Interest income	Interest income	2,212		2,358		4,649		5,861		Interest income		2,650		2,437
Interest expense	Interest expense	347		758		756		2,905		Interest expense		434		409
Net interest	Net interest	1,865		1,600		3,893		2,956		Net interest		2,216		2,028
Net revenues	Net revenues	14,759		13,660		30,478		23,439		Net revenues		14,801		15,719
Provision for credit losses	Provision for credit losses	73		239		(25)		646		Provision for credit losses		57		(98)
Non-interest expenses	Non-interest expenses									Non-interest expenses
Compensation and benefits	Compensation and benefits	6,423		6,035		13,221		10,318		Compensation and benefits		6,274		6,798
Brokerage, clearing and exchange fees	Brokerage, clearing and exchange fees	795		716		1,705		1,456		Brokerage, clearing and exchange fees		882		910
Information processing and communications	Information processing and communications	765		589		1,498		1,152		Information processing and communications		829		733
Professional services	Professional services	746		535		1,370		984		Professional services		705		624
Occupancy and equipment	Occupancy and equipment	414		365		819		730		Occupancy and equipment		427		405
Marketing and business development	Marketing and business development	146		63		292		195		Marketing and business development		175		146
Other	Other	831		763		1,688		1,457		Other		864		857
Total non-interest expenses	Total non-interest expenses	10,120		9,066		20,593		16,292		Total non-interest expenses		10,156		10,473
Income before provision for income taxes	Income before provision for income taxes	4,566		4,355		9,910		6,501		Income before provision for income taxes		4,588		5,344
Provision for income taxes	Provision for income taxes	1,054		1,119		2,230		1,485		Provision for income taxes		873		1,176

Net income	Net income	$	3,512	$	3,236	$	7,680	$	5,016	Net income		$	3,715	$	4,168
Net income applicable to noncontrolling interests	Net income applicable to noncontrolling interests	1		40		49		122		Net income applicable to noncontrolling interests		49		48
Net income applicable to Morgan Stanley	Net income applicable to Morgan Stanley	$	3,511	$	3,196	$	7,631	$	4,894	Net income applicable to Morgan Stanley		$	3,666	$	4,120
Preferred stock dividends	Preferred stock dividends	103		149		241		257		Preferred stock dividends		124		138
Earnings applicable to Morgan Stanley common shareholders	Earnings applicable to Morgan Stanley common shareholders	$	3,408	$	3,047	$	7,390	$	4,637	Earnings applicable to Morgan Stanley common shareholders		$	3,542	$	3,982
Earnings per common share	Earnings per common share									Earnings per common share
Basic	Basic	$	1.88	$	1.98	$	4.10	$	3.00	Basic		$	2.04	$	2.22
Diluted	Diluted	$	1.85	$	1.96	$	4.04	$	2.96	Diluted		$	2.02	$	2.19
Average common shares outstanding	Average common shares outstanding									Average common shares outstanding
Basic	Basic	1,814		1,541		1,804		1,548		Basic		1,733		1,795
Diluted	Diluted	1,841		1,557		1,829		1,565		Diluted		1,755		1,818

Consolidated Comprehensive Income ~~Statements~~Statement

(Unaudited)


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions		2022		2021
Net income	Net income	$	3,512	$	3,236	$	7,680	$	5,016	Net income		$	3,715	$	4,168
Other comprehensive income (loss), net of tax:	Other comprehensive income (loss), net of tax:									Other comprehensive income (loss), net of tax:
Foreign currency translation adjustments	Foreign currency translation adjustments	41		21		(178)		(111)		Foreign currency translation adjustments		(105)		(219)
Change in net unrealized gains (losses) on available-for-sale securities	Change in net unrealized gains (losses) on available-for-sale securities	(7)		295		(783)		1,620		Change in net unrealized gains (losses) on available-for-sale securities		(2,395)		(776)
Pension and other	Pension and other	12		(1)		17		24		Pension and other		5		5
Change in net debt valuation adjustment	Change in net debt valuation adjustment	186		(2,496)		323		1,307		Change in net debt valuation adjustment		660		137
Total other comprehensive income (loss)	Total other comprehensive income (loss)	$	232	$	(2,181)	$	(621)	$	2,840	Total other comprehensive income (loss)		$	(1,835)	$	(853)
Comprehensive income	Comprehensive income	$	3,744	$	1,055	$	7,059	$	7,856	Comprehensive income		$	1,880	$	3,315
Net income applicable to noncontrolling interests	Net income applicable to noncontrolling interests	1		40		49		122		Net income applicable to noncontrolling interests		49		48
Other comprehensive income (loss) applicable to noncontrolling interests	Other comprehensive income (loss) applicable to noncontrolling interests	1		(87)		(60)		51		Other comprehensive income (loss) applicable to noncontrolling interests		(35)		(61)
Comprehensive income applicable to Morgan Stanley	Comprehensive income applicable to Morgan Stanley	$	3,742	$	1,102	$	7,070	$	7,683	Comprehensive income applicable to Morgan Stanley		$	1,866	$	3,328


~~June 2021~~March 2022 Form 10-Q			3632			See Notes to Consolidated Financial Statements


Table of Contents
Consolidated Balance ~~Sheets~~ Sheet


$ in millions, except share data	$ in millions, except share data	(Unaudited) At June 30, 2021		At December 31, 2020		$ in millions, except share data	(Unaudited) At March 31, 2022		At December 31, 2021
Assets	Assets					Assets
Cash and cash equivalents	Cash and cash equivalents	$	126,480	$	105,654	Cash and cash equivalents	$	136,086	$	127,725
Trading assets at fair value ($108,288 and $132,578 were pledged to various parties)		321,145		312,738
Investment securities (includes $93,222 and $110,383 at fair value)		175,342		182,154
Securities purchased under agreements to resell (includes $10 and $15 at fair value)		95,930		116,234
Trading assets at fair value ($107,196 and $104,186 were pledged to various parties)						Trading assets at fair value ($107,196 and $104,186 were pledged to various parties)	296,881		294,869
Investment securities (includes $90,354 and $102,830 at fair value)						Investment securities (includes $90,354 and $102,830 at fair value)	170,793		182,998
Securities purchased under agreements to resell (includes $2 and $7 at fair value)						Securities purchased under agreements to resell (includes $2 and $7 at fair value)	127,767		119,999
Securities borrowed	Securities borrowed	126,703		112,391		Securities borrowed	150,995		129,713
Customer and other receivables	Customer and other receivables	100,921		97,737		Customer and other receivables	94,804		96,018
Loans:	Loans:					Loans:
Held for investment (net of allowance for credit losses of $687 and $835)		154,346		137,784
Held for investment (net of allowance for credit losses of $679 and $654)						Held for investment (net of allowance for credit losses of $679 and $654)	182,247		174,302
Held for sale	Held for sale	11,713		12,813		Held for sale	14,013		13,832
Goodwill	Goodwill	16,838		11,635		Goodwill	16,825		16,833
Intangible assets (net of accumulated amortization of $3,518 and $3,265)		8,690		4,980
Intangible assets (net of accumulated amortization of $3,972 and $3,819)						Intangible assets (net of accumulated amortization of $3,972 and $3,819)	8,244		8,360
Other assets	Other assets	23,697		21,742		Other assets	23,578		23,491
Total assets	Total assets	$	1,161,805	$	1,115,862	Total assets	$	1,222,233	$	1,188,140
Liabilities	Liabilities					Liabilities
Deposits (includes $2,672 and $3,521 at fair value)		$	320,358	$	310,782
Deposits (includes $2,013 and $1,940 at fair value)						Deposits (includes $2,013 and $1,940 at fair value)	$	360,840	$	347,574
Trading liabilities at fair value	Trading liabilities at fair value	169,074		157,631		Trading liabilities at fair value	176,580		158,328
Securities sold under agreements to repurchase (includes $1,028 and $1,115 at fair value)		57,645		50,587
Securities sold under agreements to repurchase (includes $964 and $791 at fair value)						Securities sold under agreements to repurchase (includes $964 and $791 at fair value)	60,068		62,188
Securities loaned	Securities loaned	9,574		7,731		Securities loaned	14,222		12,299
Other secured financings (includes $6,574 and $11,701 at fair value)		11,232		15,863
Other secured financings (includes $4,751 and $5,133 at fair value)						Other secured financings (includes $4,751 and $5,133 at fair value)	8,808		10,041
Customer and other payables	Customer and other payables	233,810		227,437		Customer and other payables	243,609		228,685
Other liabilities and accrued expenses	Other liabilities and accrued expenses	27,808		25,603		Other liabilities and accrued expenses	24,214		29,300
Borrowings (includes $75,508 and $73,701 at fair value)		224,142		217,079
Borrowings (includes $75,963 and $76,340 at fair value)						Borrowings (includes $75,963 and $76,340 at fair value)	229,817		233,127
Total liabilities	Total liabilities	1,053,643		1,012,713		Total liabilities	1,118,158		1,081,542
Commitments and contingent liabilities (see Note 14)				0
Commitments and contingent liabilities (see Note 13)						Commitments and contingent liabilities (see Note 13)			0
0Equity	0Equity					0Equity
Morgan Stanley shareholders’ equity:	Morgan Stanley shareholders’ equity:					Morgan Stanley shareholders’ equity:
Preferred stock	Preferred stock	7,750		9,250		Preferred stock	7,750		7,750
Common stock, $0.01 par value:	Common stock, $0.01 par value:					Common stock, $0.01 par value:
Shares authorized: 3,500,000,000; Shares issued: 2,038,893,979; Shares outstanding: 1,834,370,291 and 1,809,624,144		20		20
Shares authorized: 3,500,000,000; Shares issued: 2,038,893,979; Shares outstanding: 1,756,153,374 and 1,772,226,530						Shares authorized: 3,500,000,000; Shares issued: 2,038,893,979; Shares outstanding: 1,756,153,374 and 1,772,226,530	20		20
Additional paid-in capital	Additional paid-in capital	28,030		25,546		Additional paid-in capital	28,007		28,841
Retained earnings	Retained earnings	84,791		78,694		Retained earnings	91,722		89,432
Employee stock trusts	Employee stock trusts	3,768		3,043		Employee stock trusts	4,975		3,955
Accumulated other comprehensive income (loss)	Accumulated other comprehensive income (loss)	(2,523)		(1,962)		Accumulated other comprehensive income (loss)	(4,902)		(3,102)
Common stock held in treasury at cost, $0.01 par value (204,523,688 and 229,269,835 shares)		(11,198)		(9,767)
Common stock held in treasury at cost, $0.01 par value (282,740,605 and 266,667,449 shares)						Common stock held in treasury at cost, $0.01 par value (282,740,605 and 266,667,449 shares)	(19,696)		(17,500)
Common stock issued to employee stock trusts	Common stock issued to employee stock trusts	(3,768)		(3,043)		Common stock issued to employee stock trusts	(4,975)		(3,955)
Total Morgan Stanley shareholders’ equity	Total Morgan Stanley shareholders’ equity	106,870		101,781		Total Morgan Stanley shareholders’ equity	102,901		105,441
Noncontrolling interests	Noncontrolling interests	1,292		1,368		Noncontrolling interests	1,174		1,157
Total equity	Total equity	108,162		103,149		Total equity	104,075		106,598
Total liabilities and equity	Total liabilities and equity	$	1,161,805	$	1,115,862	Total liabilities and equity	$	1,222,233	$	1,188,140


See Notes to Consolidated Financial Statements			3733			~~June 2021~~March 2022 Form 10-Q


Table of Contents
Consolidated ~~Statements~~Statement of Changes in Total Equity (Unaudited)


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions		2022		2021
Preferred Stock	Preferred Stock									Preferred Stock
Beginning balance	Beginning balance	$	7,750	$	8,520	$	9,250	$	8,520	Beginning balance		$	7,750	$	9,250
Redemption of Series J preferred stock		—		—		(1,500)		—

Redemption of preferred stock										Redemption of preferred stock		—		(1,500)
Ending balance	Ending balance	7,750		8,520		7,750		8,520		Ending balance		7,750		7,750
Common Stock	Common Stock									Common Stock
Beginning and ending balance	Beginning and ending balance	20		20		20		20		Beginning and ending balance		20		20
Additional Paid-in Capital	Additional Paid-in Capital									Additional Paid-in Capital
Beginning balance	Beginning balance	27,406		23,428		25,546		23,935		Beginning balance		28,841		25,546
Share-based award activity	Share-based award activity	624		354		292		(153)		Share-based award activity		(834)		(332)

Issuance of common stock for the acquisition of Eaton Vance	Issuance of common stock for the acquisition of Eaton Vance	—		—		2,185		—		Issuance of common stock for the acquisition of Eaton Vance		—		2,185

Other net increases (decreases)	Other net increases (decreases)	—		—		7		—		Other net increases (decreases)		—		7
Ending balance	Ending balance	28,030		23,782		28,030		23,782		Ending balance		28,007		27,406
Retained Earnings	Retained Earnings									Retained Earnings
Beginning balance	Beginning balance	82,034		71,518		78,694		70,589		Beginning balance		89,432		78,694
Cumulative adjustment related to the adoption of financial instruments-credit losses accounting update1		0		0		0		(100)
Net income applicable to Morgan Stanley	Net income applicable to Morgan Stanley	3,511		3,196		7,631		4,894		Net income applicable to Morgan Stanley		3,666		4,120
Preferred stock dividends2		(103)		(149)		(241)		(257)
Common stock dividends2		(651)		(550)		(1,286)		(1,111)

Preferred stock dividends1										Preferred stock dividends1		(124)		(138)
Common stock dividends1										Common stock dividends1		(1,252)		(635)
Other net increases (decreases)	Other net increases (decreases)	—		—		(7)		—		Other net increases (decreases)		—		(7)
Ending balance	Ending balance	84,791		74,015		84,791		74,015		Ending balance		91,722		82,034
Employee Stock Trusts	Employee Stock Trusts									Employee Stock Trusts
Beginning balance	Beginning balance	3,861		3,088		3,043		2,918		Beginning balance		3,955		3,043
Share-based award activity	Share-based award activity	(93)		(70)		725		100		Share-based award activity		1,020		818
Ending balance	Ending balance	3,768		3,018		3,768		3,018		Ending balance		4,975		3,861
Accumulated Other Comprehensive Income (Loss)	Accumulated Other Comprehensive Income (Loss)									Accumulated Other Comprehensive Income (Loss)
Beginning balance	Beginning balance	(2,754)		2,095		(1,962)		(2,788)		Beginning balance		(3,102)		(1,962)
Net change in Accumulated other comprehensive income (loss)	Net change in Accumulated other comprehensive income (loss)	231		(2,094)		(561)		2,789		Net change in Accumulated other comprehensive income (loss)		(1,800)		(792)
Ending balance	Ending balance	(2,523)		1		(2,523)		1		Ending balance		(4,902)		(2,754)
Common Stock Held in Treasury at Cost	Common Stock Held in Treasury at Cost									Common Stock Held in Treasury at Cost
Beginning balance	Beginning balance	(8,197)		(19,721)		(9,767)		(18,727)		Beginning balance		(17,500)		(9,767)
Share-based award activity	Share-based award activity	17		56		1,037		844		Share-based award activity		1,485		1,020
Repurchases of common stock and employee tax withholdings	Repurchases of common stock and employee tax withholdings	(3,018)		(28)		(5,600)		(1,810)		Repurchases of common stock and employee tax withholdings		(3,681)		(2,582)
Issuance of common stock for the acquisition of Eaton Vance	Issuance of common stock for the acquisition of Eaton Vance	—		—		3,132		—		Issuance of common stock for the acquisition of Eaton Vance		—		3,132
Ending balance	Ending balance	(11,198)		(19,693)		(11,198)		(19,693)		Ending balance		(19,696)		(8,197)
Common Stock Issued to Employee Stock Trusts	Common Stock Issued to Employee Stock Trusts									Common Stock Issued to Employee Stock Trusts
Beginning balance	Beginning balance	(3,861)		(3,088)		(3,043)		(2,918)		Beginning balance		(3,955)		(3,043)
Share-based award activity	Share-based award activity	93		70		(725)		(100)		Share-based award activity		(1,020)		(818)
Ending balance	Ending balance	(3,768)		(3,018)		(3,768)		(3,018)		Ending balance		(4,975)		(3,861)
Noncontrolling Interests	Noncontrolling Interests									Noncontrolling Interests
Beginning balance	Beginning balance	1,329		1,368		1,368		1,148		Beginning balance		1,157		1,368
Net income applicable to noncontrolling interests	Net income applicable to noncontrolling interests	1		40		49		122		Net income applicable to noncontrolling interests		49		48
Net change in Accumulated other comprehensive income (loss) applicable to noncontrolling interests	Net change in Accumulated other comprehensive income (loss) applicable to noncontrolling interests	1		(87)		(60)		51		Net change in Accumulated other comprehensive income (loss) applicable to noncontrolling interests		(35)		(61)
Other net increases (decreases)	Other net increases (decreases)	(39)		43		(65)		43		Other net increases (decreases)		3		(26)
Ending balance	Ending balance	1,292		1,364		1,292		1,364		Ending balance		1,174		1,329
Total Equity	Total Equity	$	108,162	$	88,009	$	108,162	$	88,009	Total Equity		$	104,075	$	107,588

1.See ~~Notes 2 and 18 in the 2020 Form 10-K for further information regarding cumulative adjustments for accounting changes.~~

2.~~See~~ Note 1716 for information regarding dividends per share for each class of stock.


~~June 2021~~March 2022 Form 10-Q			3834			See Notes to Consolidated Financial Statements


Table of Contents
Consolidated Cash Flow ~~Statements~~Statement (Unaudited)


		Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		$ in millions	2022		2021
Cash flows from operating activities	Cash flows from operating activities					Cash flows from operating activities
Net income	Net income	$	7,680	$	5,016	Net income	$	3,715	$	4,168
Adjustments to reconcile net income to net cash provided by (used for) operating activities:	Adjustments to reconcile net income to net cash provided by (used for) operating activities:					Adjustments to reconcile net income to net cash provided by (used for) operating activities:
Stock-based compensation expense	Stock-based compensation expense	1,136		548		Stock-based compensation expense	431		518
Depreciation and amortization	Depreciation and amortization	1,944		1,510		Depreciation and amortization	942		887
Provision for credit losses	Provision for credit losses	(25)		646		Provision for credit losses	57		(98)
Other operating adjustments	Other operating adjustments	(165)		599		Other operating adjustments	51		(95)
Changes in assets and liabilities:	Changes in assets and liabilities:					Changes in assets and liabilities:
Trading assets, net of Trading liabilities	Trading assets, net of Trading liabilities	(1,526)		17,539		Trading assets, net of Trading liabilities	5,069		20,463
Securities borrowed	Securities borrowed	(14,312)		(285)		Securities borrowed	(21,282)		10,242
Securities loaned	Securities loaned	1,843		1,987		Securities loaned	1,923		695
Customer and other receivables and other assets	Customer and other receivables and other assets	(2,360)		(7,789)		Customer and other receivables and other assets	1,227		(18,721)
Customer and other payables and other liabilities	Customer and other payables and other liabilities	9,917		(1,005)		Customer and other payables and other liabilities	17,994		3,270
Securities purchased under agreements to resell	Securities purchased under agreements to resell	20,304		(8,388)		Securities purchased under agreements to resell	(7,768)		1,513
Securities sold under agreements to repurchase	Securities sold under agreements to repurchase	7,058		(3,352)		Securities sold under agreements to repurchase	(2,120)		4,037
Net cash provided by (used for) operating activities	Net cash provided by (used for) operating activities	31,494		7,026		Net cash provided by (used for) operating activities	239		26,879
Cash flows from investing activities	Cash flows from investing activities					Cash flows from investing activities
Proceeds from (payments for):	Proceeds from (payments for):					Proceeds from (payments for):
Other assets—Premises, equipment and software, net	Other assets—Premises, equipment and software, net	(1,039)		(782)		Other assets—Premises, equipment and software, net	(652)		(525)
Changes in loans, net	Changes in loans, net	(17,426)		(8,700)		Changes in loans, net	(7,479)		(6,474)
Investment securities:	Investment securities:					Investment securities:
Purchases	Purchases	(40,125)		(33,195)		Purchases	(17,459)		(32,333)
Proceeds from sales	Proceeds from sales	17,546		3,581		Proceeds from sales	18,469		6,825
Proceeds from paydowns and maturities	Proceeds from paydowns and maturities	24,479		5,616		Proceeds from paydowns and maturities	7,403		12,638
Cash paid as part of the Eaton Vance acquisition, net of cash acquired	Cash paid as part of the Eaton Vance acquisition, net of cash acquired	(2,648)		0		Cash paid as part of the Eaton Vance acquisition, net of cash acquired	—		(2,648)
Other investing activities	Other investing activities	(231)		(138)		Other investing activities	(124)		(44)
Net cash provided by (used for) investing activities	Net cash provided by (used for) investing activities	(19,444)		(33,618)		Net cash provided by (used for) investing activities	158		(22,561)
Cash flows from financing activities	Cash flows from financing activities					Cash flows from financing activities
Net proceeds from (payments for):	Net proceeds from (payments for):					Net proceeds from (payments for):
Other secured financings	Other secured financings	(1,107)		332		Other secured financings	(636)		(3,798)
Deposits	Deposits	9,643		46,287		Deposits	5,834		12,391
Proceeds from issuance of Borrowings	Proceeds from issuance of Borrowings	49,100		32,914		Proceeds from issuance of Borrowings	20,284		24,112
Payments for:	Payments for:					Payments for:
Borrowings	Borrowings	(40,300)		(24,632)		Borrowings	(11,094)		(19,774)
Repurchases of common stock and employee tax withholdings	Repurchases of common stock and employee tax withholdings	(5,600)		(1,810)		Repurchases of common stock and employee tax withholdings	(3,681)		(2,582)
Cash dividends	Cash dividends	(1,501)		(1,328)		Cash dividends	(1,314)		(755)
Other financing activities	Other financing activities	(186)		(164)		Other financing activities	(102)		(30)
Net cash provided by (used for) financing activities	Net cash provided by (used for) financing activities	10,049		51,599		Net cash provided by (used for) financing activities	9,291		9,564
Effect of exchange rate changes on cash and cash equivalents	Effect of exchange rate changes on cash and cash equivalents	(1,273)		(902)		Effect of exchange rate changes on cash and cash equivalents	(1,327)		(1,418)
Net increase (decrease) in cash and cash equivalents	Net increase (decrease) in cash and cash equivalents	20,826		24,105		Net increase (decrease) in cash and cash equivalents	8,361		12,464
Cash and cash equivalents, at beginning of period	Cash and cash equivalents, at beginning of period	105,654		82,171		Cash and cash equivalents, at beginning of period	127,725		105,654
Cash and cash equivalents, at end of period	Cash and cash equivalents, at end of period	$	126,480	$	106,276	Cash and cash equivalents, at end of period	$	136,086	$	118,118
Supplemental Disclosure of Cash Flow Information	Supplemental Disclosure of Cash Flow Information					Supplemental Disclosure of Cash Flow Information
Cash payments for:	Cash payments for:					Cash payments for:
Interest	Interest	$	881	$	2,742	Interest	$	623	$	586
Income taxes, net of refunds	Income taxes, net of refunds	2,033		679		Income taxes, net of refunds	383		339


See Notes to Consolidated Financial Statements			3935			~~June 2021~~March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

1. Introduction and Basis of Presentation

The Firm

Morgan Stanley is a global financial services firm that maintains significant market positions in each of its business segments—Institutional Securities, Wealth Management and Investment Management. Morgan Stanley, through its subsidiaries and affiliates, provides a wide variety of products and services to a large and diversified group of clients and customers, including corporations, governments, financial institutions and individuals. Unless the context otherwise requires, the terms “Morgan Stanley” or the “Firm” mean Morgan Stanley (the “Parent Company”) together with its consolidated subsidiaries. Disclosures reflect the effects of the acquisition of Eaton Vance Corp. (“Eaton Vance”) prospectively from the March 1, 2021 acquisition date. See Note 3 to the financial statements in the 2021 Form 10-K for further information. See the “Glossary of Common Terms and Acronyms” for the definition of certain terms and acronyms used throughout this Form 10-Q.

A description of the clients and principal products and services of each of the Firm’s business segments is as follows:

income, alternatives and solutions, and liquidity and overlay services. Institutional clients include defined benefit/defined contribution plans, foundations,

endowments, government entities, sovereign wealth funds, insurance companies, third-party fund sponsors and corporations. Individual clients are generally served through intermediaries, including affiliated and non-affiliated distributors.

Basis of Financial Information

The financial statements are prepared in accordance with U.S. GAAP, which requires the Firm to make estimates and assumptions regarding the valuations of certain financial instruments, the valuations of goodwill and intangible assets, the outcome of legal and tax matters, deferred tax assets, ACL, and other matters that affect its financial statements and related disclosures. The Firm believes that the estimates utilized in the preparation of its financial statements are prudent and reasonable. Actual results could differ materially from these estimates.

The financial statements reflect the effects of the following reclassifications to prior period amounts. The Provision for credit losses for loans and lending commitments is presented as a separate line in the income statements. Previously, the provision for credit losses for loans was included in Other revenues, and the provision for credit losses for lending commitments was included in Other expenses. In addition, economic hedges of certain held-for-sale and held-for-investment loans, which were previously reported in Trading revenues, are reported in Other revenues.

The ~~Notes~~notes are an integral part of the Firm’s financial statements. The Firm has evaluated subsequent events for adjustment to or disclosure in these financial statements through the date of this report and has not identified any recordable or disclosable events not otherwise reported in these financial statements or the notes thereto.

The accompanying financial statements should be read in conjunction with the Firm’s financial statements and notes thereto included in the ~~2020~~2021 Form 10-K. Certain footnote disclosures included in the ~~2020~~2021 Form 10-K have been condensed or omitted from these financial statements as they are not required for interim reporting under U.S. GAAP. The financial statements reflect all adjustments of a normal, recurring nature that are, in the opinion of management, necessary for the fair presentation of the results for the interim period. The results of operations for interim periods are not necessarily indicative of results for the entire year.

Consolidation

The financial statements include the accounts of the Firm, its wholly owned subsidiaries and other entities in which the Firm has a controlling financial interest, including certain VIEs (see Note ~~15)~~14). Intercompany balances and transactions have been eliminated. For consolidated subsidiaries that are not wholly owned, the third-party holdings of equity interests are referred to as Noncontrolling interests. The net income attributable to Noncontrolling interests for such subsidiaries is presented as Net income applicable to noncontrolling interests in the income statement. The portion of shareholders’ equity that is attributable to noncontrolling interests for such subsidiaries is presented as Noncontrolling interests, a component of Total equity, in the balance sheet.

For a discussion of the Firm’s significant regulated U.S. and international subsidiaries and its involvement with VIEs, see Note 1 to the financial statements in the 2021 Form 10-K.


~~June 2021~~March 2022 Form 10-Q			4036


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

presented as Net income applicable to noncontrolling interests in the income statements. The portion of shareholders’ equity that is attributable to noncontrolling interests for such subsidiaries is presented as noncontrolling interests, a component of Total equity, in the balance sheets.

~~For a discussion of the Firm’s significant regulated U.S. and international subsidiaries and its involvement with VIEs, see Note 1 to the financial statements in the 2020 Form 10-K.~~

2. Significant Accounting Policies

For a detailed discussion about the Firm’s significant accounting policies and for further information on accounting updates adopted, ~~in the prior year,~~ see Note 2 to the financial statements in the ~~2020~~2021 Form 10-K.

During the ~~six~~three months ended ~~June 30, 2021~~March 31, 2022 (“current ~~year period”~~quarter”), there were no significant updates to the Firm’s significant accounting ~~policies, other than as described below~~policies.

3. Cash and inCash Equivalents


$ in millions	At March 31, 2022		At December 31, 2021
Cash and due from banks	$	9,086	$	8,394
Interest bearing deposits with banks	127,000		119,331
Total Cash and cash equivalents	$	136,086	$	127,725
Restricted cash	$	41,315	$	40,887

For additional information on cash and cash equivalents, including restricted cash, see Note 12 to the financial ~~statements.~~

~~The Firm’s acquisition of Eaton Vance Corp. (“Eaton Vance”) on March 1,~~statements in the 2021 added indefinite lived intangible assets to the Firm’s balance sheet. Indefinite lived intangible assets are not amortized but are tested for impairment on an annual basis and on an interim basis when certain events or circumstances exist. For both the annual and interim tests, the Firm has the option to either (i) perform a quantitative impairment test or (ii) first perform a qualitative assessment to determine whether it is more likely than not that the asset is impaired, in which case the quantitative test would be performed.Form 10-K.

3. ~~Acquisitions~~4. Fair Values

~~Acquisition of Eaton Vance~~Recurring Fair Value Measurements

~~On March 1, 2021, the Firm completed the acquisition of 100% of Eaton Vance in~~Assets and Liabilities Measured at Fair Value on a stock and cash transaction, which increases the scale and breadth of the Investment Management business segment. Total consideration for the transaction was approximately $8.7 billion, which consists of the $5.3 billion fair value of 69 million common shares issued from Common stock held in treasury and cash of approximately $3.4 billion.Recurring Basis

Upon acquisition, the assets and liabilities of Eaton Vance were adjusted to their respective fair values as of the closing date of the transaction, including the identifiable intangible assets acquired. In addition, the excess of the purchase price over the fair value of the net assets acquired has been recorded as goodwill. The fair value estimates used in valuing certain acquired assets and liabilities are based, in part, on inputs that are unobservable. For intangible assets, these include, but are not limited to, forecasted future cash flows, revenue growth rates, attrition rates and discount rates.


	At March 31, 2022
$ in millions	Level 1		Level 2		Level 3		Netting1		Total
Assets at fair value
Trading assets:
U.S. Treasury and agency securities	$	44,038	$	19,680	$	8	$	—	$	63,726
Other sovereign government obligations	24,449		7,422		188		—		32,059
State and municipal securities	—		1,664		—		—		1,664
MABS	—		929		351		—		1,280
Loans and lending commitments2	—		9,349		3,141		—		12,490
Corporate and other debt	—		28,751		1,753		—		30,504
Corporate equities3	86,106		790		239		—		87,135
Derivative and other contracts:
Interest rate	10,124		163,417		1,086		—		174,627
Credit	—		10,860		646		—		11,506
Foreign exchange	39		101,193		63		—		101,295
Equity	997		64,521		391		—		65,909
Commodity and other	12,202		33,688		3,416		—		49,306
Netting1	(17,166)		(271,135)		(993)		(55,468)		(344,762)
Total derivative and other contracts	6,196		102,544		4,609		(55,468)		57,881
Investments4	661		761		1,120		—		2,542
Physical commodities	—		2,709		—		—		2,709
Total trading assets4	161,450		174,599		11,409		(55,468)		291,990
Investment securities—AFS	56,479		33,875		—		—		90,354
Securities purchased under agreements to resell	—		2		—		—		2
Total assets at fair value	$	217,929	$	208,476	$	11,409	$	(55,468)	$	382,346

~~Eaton Vance Purchase Price Allocation~~


	At March 31, 2022
$ in millions	Level 1		Level 2		Level 3		Netting1		Total
Liabilities at fair value
Deposits	$	—	$	1,987	$	26	$	—	$	2,013
Trading liabilities:
U.S. Treasury and agency securities	15,090		112		—		—		15,202
Other sovereign government obligations	24,751		2,911		2		—		27,664
Corporate and other debt	—		11,081		17		—		11,098
Corporate equities3	80,037		191		29		—		80,257
Derivative and other contracts:
Interest rate	9,127		155,763		452		—		165,342
Credit	—		10,949		553		—		11,502
Foreign exchange	31		93,168		96		—		93,295
Equity	1,184		71,669		1,045		—		73,898
Commodity and other	12,716		28,140		1,982		—		42,838
Netting1	(17,166)		(271,135)		(993)		(55,224)		(344,518)
Total derivative and other contracts	5,892		88,554		3,135		(55,224)		42,357
Total trading liabilities	125,770		102,849		3,183		(55,224)		176,578
Securities sold under agreements to repurchase	—		448		516		—		964
Other secured financings	—		4,631		120		—		4,751
Borrowings	—		73,564		2,399		—		75,963
Total liabilities at fair value	$	125,770	$	183,479	$	6,244	$	(55,224)	$	260,269


~~$ in millions~~	At March 1, 2021
~~Assets~~
~~Cash and cash equivalents~~	$	~~691~~
~~Trading assets at fair value:~~
~~Loans and lending commitments~~	~~445~~
~~Investments~~	~~299~~
~~Corporate and other debt~~	52
~~Customer and other receivables~~	~~331~~
~~Goodwill~~	~~5,270~~
~~Intangible assets~~	~~3,956~~
~~Other assets~~	~~836~~
~~Total assets~~	$	~~11,880~~
~~Liabilities~~
~~Other secured financings~~	$	~~399~~
~~Other liabilities and accrued expenses~~	~~2,147~~
~~Borrowings~~	~~678~~
~~Total liabilities~~	$	~~3,224~~

~~Acquired Intangible Assets~~

$ in millions Weighted
average life
(years) At
March 1,
2021
Non-amortizable
Management contracts indefinite $ 2,120
Amortizable
Customer relationships 16 1,455
Tradenames 23 221
Management contracts 16 160
Total acquired Intangible assets $ 3,956

~~Eaton Vance Results Included in the Firm’s Consolidated Results~~

$ in millions Three Months Ended
June 30, 2021
Six Months Ended
June 30, 20211
Net revenues $ 535 $ 709
Net income 119 150

1.~~Reflects Eaton Vance results from March 1, 2021 through June 30, 2021.~~

~~Morgan Stanley and Eaton Vance Proforma Combined Financial Information~~

Three Months Ended
June 30, Six Months Ended
June 30,
$ in millions
20211
2020 2021 2020
Net revenues $ 14,759 $ 14,076 $ 30,774 $ 24,241
Net income 3,512 3,282 7,780 4,691

1.~~Amounts are the same as those presented in the Consolidated Income Statement for the current quarter.~~

The proforma financial information presented in the previous table was computed by combining the historical financial information of the Firm and Eaton Vance along with the effects of the acquisition method of accounting for business combinations as though the companies were combined on January 1, 2020.

The proforma information does not reflect the potential benefits of cost and funding synergies, opportunities to earn additional revenues, or other factors, and therefore does not represent what the actual Net revenues and Net income would


	At December 31, 2021
$ in millions	Level 1		Level 2		Level 3		Netting1		Total
Assets at fair value
Trading assets:
U.S. Treasury and agency securities	$	45,970	$	29,749	$	2	$	—	$	75,721
Other sovereign government obligations	28,041		4,533		211		—		32,785
State and municipal securities	—		1,905		13		—		1,918
MABS	—		1,237		344		—		1,581
Loans and lending commitments2	—		8,821		3,806		—		12,627
Corporate and other debt	—		27,309		1,973		—		29,282
Corporate equities3	91,630		832		115		—		92,577
Derivative and other contracts:
Interest rate	1,364		153,048		1,153		—		155,565
Credit	—		8,441		509		—		8,950
Foreign exchange	28		74,571		132		—		74,731
Equity	1,562		68,519		251		—		70,332
Commodity and other	4,462		20,194		3,057		—		27,713
Netting1	(5,696)		(241,814)		(794)		(50,833)		(299,137)
Total derivative and other contracts	1,720		82,959		4,308		(50,833)		38,154
Investments4	735		846		1,125		—		2,706
Physical commodities	—		2,771		—		—		2,771
Total trading assets4	168,096		160,962		11,897		(50,833)		290,122
Investment securities—AFS	59,021		43,809		—		—		102,830
Securities purchased under agreements to resell	—		7		—		—		7
Total assets at fair value	$	227,117	$	204,778	$	11,897	$	(50,833)	$	392,959


			4137			~~June 2021~~March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

~~have been had the companies actually been combined as of this date.~~

~~4. Cash and Cash Equivalents~~

Cash and cash equivalents consist of Cash and due from banks and Interest bearing deposits with banks. Cash equivalents are highly liquid investments with remaining maturities of three months or less from the acquisition date that are readily convertible to cash and are not held for trading purposes.

$ in millions At
June 30,
2021 At
December 31,
2020
Cash and due from banks $ 8,943 $ 9,792
Interest bearing deposits with banks 117,537 95,862
Total Cash and cash equivalents $ 126,480 $ 105,654
Restricted cash $ 41,203 $ 38,202

Cash and cash equivalents also include Restricted cash such as cash segregated in compliance with federal or other regulations, including minimum reserve requirements set by the Federal Reserve Bank and other central banks, and the Firm’s initial margin deposited with clearing organizations.

~~5. Fair Values~~

~~Recurring Fair Value Measurements~~

~~Assets and Liabilities Measured at Fair Value on a Recurring Basis~~

At June 30, 2021
$ in millions Level 1 Level 2 Level 3
Netting1
Total
Assets at fair value
Trading assets:
U.S. Treasury and agency securities $ 48,097 $ 28,134 $ 25 $ — $ 76,256
Other sovereign government obligations 32,496 5,020 78 — 37,594
State and municipal securities 0 2,002 4 — 2,006
MABS 0 1,424 357 — 1,781
Loans and lending commitments2
0 10,249 4,896 — 15,145
Corporate and other debt 0 31,781 1,801 — 33,582
Corporate equities3
104,834 508 150 — 105,492
Derivative and other contracts:
Interest rate 1,805 174,122 1,241 — 177,168
Credit 0 7,673 636 — 8,309
Foreign exchange 41 70,710 95 — 70,846
Equity 1,051 68,919 387 — 70,357
Commodity and other 4,932 17,576 2,557 — 25,065
Netting1
(6,406) (250,928) (975) (52,481) (310,790)
Total derivative and other contracts 1,423 88,072 3,941 (52,481) 40,955
Investments4
638 571 978 — 2,187
Physical commodities 0 2,106 0 — 2,106
Total trading assets4
187,488 169,867 12,230 (52,481) 317,104
Investment securities—AFS 46,234 46,988 0 — 93,222
Securities purchased under agreements to resell 0 10 0 — 10
Total assets at fair value $ 233,722 $ 216,865 $ 12,230 $ (52,481) $ 410,336

At June 30, 2021
$ in millions Level 1 Level 2 Level 3
Netting1
Total
Liabilities at fair value
Deposits $ 0 $ 2,586 $ 86 $ — $ 2,672
Trading liabilities:
U.S. Treasury and agency securities 14,504 377 0 — 14,881
Other sovereign government obligations 27,980 2,030 0 — 30,010
Corporate and other debt 0 12,367 9 — 12,376
Corporate equities3
73,195 471 50 — 73,716
Derivative and other contracts:
Interest rate 1,855 158,946 573 — 161,374
Credit 0 8,354 839 — 9,193
Foreign exchange 32 66,144 62 — 66,238
Equity 1,274 79,795 1,224 — 82,293
Commodity and other 4,750 16,103 1,127 — 21,980
Netting1
(6,406) (250,928) (975) (44,678) (302,987)
Total derivative and other contracts 1,505 78,414 2,850 (44,678) 38,091
Total trading liabilities 117,184 93,659 2,909 (44,678) 169,074
Securities sold under agreements to repurchase 0 579 449 — 1,028
Other secured financings 0 6,173 401 — 6,574
Borrowings 0 73,533 1,975 — 75,508
Total liabilities at fair value $ 117,184 $ 176,530 $ 5,820 $ (44,678) $ 254,856

At December 31, 2020
$ in millions Level 1 Level 2 Level 3
Netting1
Total
Assets at fair value
Trading assets:
U.S. Treasury and agency securities $ 43,084 $ 31,524 $ 9 $ — $ 74,617
Other sovereign government obligations 26,174 5,048 268 — 31,490
State and municipal securities 0 1,135 0 — 1,135
MABS 0 1,070 322 — 1,392
Loans and lending commitments2
0 5,389 5,759 — 11,148
Corporate and other debt 0 30,093 3,435 — 33,528
Corporate equities3
111,575 1,142 86 — 112,803
Derivative and other contracts:
Interest rate 4,458 227,818 1,210 — 233,486
Credit 0 6,840 701 — 7,541
Foreign exchange 29 93,770 260 — 94,059
Equity 1,132 65,943 1,369 — 68,444
Commodity and other 1,818 10,108 2,723 — 14,649
Netting1
(5,488) (310,534) (1,351) (62,956) (380,329)
Total derivative and other contracts 1,949 93,945 4,912 (62,956) 37,850
Investments4
624 234 828 — 1,686
Physical commodities 0 3,260 0 — 3,260
Total trading assets4
183,406 172,840 15,619 (62,956) 308,909
Investment securities—AFS 46,354 61,225 2,804 — 110,383
Securities purchased under agreements to resell 0 12 3 — 15
Total assets at fair value $ 229,760 $ 234,077 $ 18,426 $ (62,956) $ 419,307


~~June 2021 Form 10-Q~~			42


~~Table of Contents~~
Notes to Consolidated Financial Statements (Unaudited)


		At December 31, 2020											At December 31, 2021
$ in millions	$ in millions	Level 1		Level 2		Level 3		Netting1		Total		$ in millions	Level 1		Level 2		Level 3		Netting1		Total
Liabilities at fair value	Liabilities at fair value											Liabilities at fair value
Deposits	Deposits	$	0	$	3,395	$	126	$	—	$	3,521	Deposits	$	—	$	1,873	$	67	$	—	$	1,940
Trading liabilities:	Trading liabilities:											Trading liabilities:
U.S. Treasury and agency securities	U.S. Treasury and agency securities	10,204		1		0		—		10,205		U.S. Treasury and agency securities	16,433		319		—		—		16,752
Other sovereign government obligations	Other sovereign government obligations	24,209		1,738		16		—		25,963		Other sovereign government obligations	20,771		2,062		—		—		22,833
Corporate and other debt	Corporate and other debt	0		8,468		0		—		8,468		Corporate and other debt	—		8,707		16		—		8,723
Corporate equities3	Corporate equities3	67,822		172		63		—		68,057		Corporate equities3	75,181		226		45		—		75,452
Derivative and other contracts:	Derivative and other contracts:											Derivative and other contracts:
Interest rate	Interest rate	4,789		213,321		528		—		218,638		Interest rate	1,087		145,670		445		—		147,202
Credit	Credit	0		7,500		652		—		8,152		Credit	—		9,090		411		—		9,501
Foreign exchange	Foreign exchange	11		94,698		199		—		94,908		Foreign exchange	19		73,096		80		—		73,195
Equity	Equity	1,245		81,683		3,600		—		86,528		Equity	2,119		77,363		1,196		—		80,678
Commodity and other	Commodity and other	1,758		9,418		1,014		—		12,190		Commodity and other	4,563		16,837		1,528		—		22,928
Netting1	Netting1	(5,488)		(310,534)		(1,351)		(58,105)		(375,478)		Netting1	(5,696)		(241,814)		(794)		(50,632)		(298,936)
Total derivative and other contracts	Total derivative and other contracts	2,315		96,086		4,642		(58,105)		44,938		Total derivative and other contracts	2,092		80,242		2,866		(50,632)		34,568
Total trading liabilities	Total trading liabilities	104,550		106,465		4,721		(58,105)		157,631		Total trading liabilities	114,477		91,556		2,927		(50,632)		158,328
Securities sold under agreements to repurchase	Securities sold under agreements to repurchase	0		671		444		—		1,115		Securities sold under agreements to repurchase	—		140		651		—		791
Other secured financings	Other secured financings	0		11,185		516		—		11,701		Other secured financings	—		4,730		403		—		5,133
Borrowings	Borrowings	0		69,327		4,374		—		73,701		Borrowings	—		74,183		2,157		—		76,340
Total liabilities at fair value	Total liabilities at fair value	$	104,550	$	191,043	$	10,181	$	(58,105)	$	247,669	Total liabilities at fair value	$	114,477	$	172,482	$	6,205	$	(50,632)	$	242,532

MABS—Mortgage- and asset-backed securities

1.For positions with the same counterparty that cross over the levels of the fair value hierarchy, both counterparty netting and cash collateral netting are included in the column titled “Netting.” Positions classified within the same level that are with the same counterparty are netted within that level. For further information on derivative instruments and hedging activities, see Note 7.6.

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.

Detail of Loans and Lending Commitments at Fair Value


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Corporate	Corporate	$	13	$	13	Corporate	$	8	$	8
Secured lending facilities		666		648

Commercial Real Estate	Commercial Real Estate	2,441		916		Commercial Real Estate	1,407		863
Residential Real Estate	Residential Real Estate	1,829		2,145		Residential Real Estate	3,085		3,911
Securities-based lending and Other loans	Securities-based lending and Other loans	10,196		7,426		Securities-based lending and Other loans	7,990		7,845
Total	Total	$	15,145	$	11,148	Total	$	12,490	$	12,627

Unsettled Fair Value of Futures Contracts1


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Customer and other receivables, net		$	323	$	434
Customer and other receivables (payables), net						Customer and other receivables (payables), net	$	377	$	948

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

For a description of the valuation techniques applied to the Firm’s major categories of assets and liabilities measured at fair value on a recurring basis, see Note 5 to the financial statements in the ~~2020~~2021 Form 10-K. During the current quarter, there were no significant revisions made to the Firm’s valuation techniques.

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

Three Months Ended
June 30, Six Months Ended
June 30,
$ in millions 2021 2020 2021 2020
U.S. Treasury and agency securities
Beginning balance $ 12 $ 99 $ 9 $ 22
Realized and unrealized gains (losses) 44 (3) 59 (20)
Purchases 22 81 25 108
Sales (68) (38) (68) (23)
Net transfers 15 (42) 0 10
Ending balance $ 25 $ 97 $ 25 $ 97
Unrealized gains (losses) $ 44 $ (1) $ 58 $ (21)
Other sovereign government obligations
Beginning balance $ 17 $ 17 $ 268 $ 5
Realized and unrealized gains (losses) 0 (1) 0 0
Purchases 75 0 76 9
Sales (16) (3) (260) (4)
Net transfers 2 (2) (6) 1
Ending balance $ 78 $ 11 $ 78 $ 11
Unrealized gains (losses) $ 0 $ (1) $ 0 $ 0
State and municipal securities
Beginning balance $ 0 $ 1 $ 0 $ 1
Purchases 4 0 4 0
Net transfers 0 (1) 0 (1)
Ending balance $ 4 $ 0 $ 4 $ 0
Unrealized gains (losses) $ 0 $ 0 $ 0 $ 0
MABS
Beginning balance $ 374 $ 483 $ 322 $ 438
Realized and unrealized gains (losses) 8 11 59 (62)
Purchases 21 274 128 384
Sales (58) (401) (123) (418)
Net transfers 12 12 (29) 37
Ending balance $ 357 $ 379 $ 357 $ 379
Unrealized gains (losses) $ 6 $ 8 $ 1 $ (60)
Loans and lending commitments
Beginning balance $ 5,045 $ 5,980 $ 5,759 $ 5,073
Realized and unrealized gains (losses) 22 (2) 3 (119)
Purchases and originations 1,527 808 2,673 1,160
Sales (1,438) (672) (2,569) (755)
Settlements (712) (901) (933) (1,508)
Net transfers1
452 (1,145) (37) 217
Ending balance $ 4,896 $ 4,068 $ 4,896 $ 4,068
Unrealized gains (losses) $ 38 $ 5 $ 9 $ (116)
Corporate and other debt
Beginning balance $ 3,319 $ 1,708 $ 3,435 $ 1,396
Realized and unrealized gains (losses) 207 55 135 (87)
Purchases and originations 883 2,859 1,413 2,522
Sales (908) (1,726) (1,087) (861)
Settlements 0 (232) 0 (311)
Net transfers2
(1,700) 22 (2,095) 27
Ending balance $ 1,801 $ 2,686 $ 1,801 $ 2,686
Unrealized gains (losses) $ 264 $ 46 $ 248 $ (92)


			43			~~June 2021 Form 10-Q~~


~~Table of Contents~~
Notes to Consolidated Financial Statements (Unaudited)

Three Months Ended
June 30, Six Months Ended
June 30,
$ in millions 2021 2020 2021 2020
Corporate equities
Beginning balance $ 114 $ 146 $ 86 $ 97
Realized and unrealized gains (losses) 12 (12) 26 (100)
Purchases 25 13 50 24
Sales (36) (25) (38) (127)
Net transfers 35 (39) 26 189
Ending balance $ 150 $ 83 $ 150 $ 83
Unrealized gains (losses) $ 15 $ (9) $ 28 $ (91)
Investments
Beginning balance $ 924 $ 725 $ 828 $ 858
Realized and unrealized gains (losses) 47 (23) 107 (49)
Purchases 28 14 92 17
Sales (9) (11) (24) (20)
Net transfers (12) 54 (25) (47)
Ending balance $ 978 $ 759 $ 978 $ 759
Unrealized gains (losses) $ 47 $ (22) $ 94 $ (50)
Investment securities —AFS
Beginning balance $ 127 $ 0 $ 2,804 $ 0
Realized and unrealized gains (losses) 0 0 (4) 0
Sales (11) 0 (203) 0
Net transfers3
(116) 0 (2,597) 0
Ending balance $ 0 $ 0 $ 0 $ 0
Unrealized gains (losses) $ 0 $ 0 $ 0 $ 0
Securities purchased under agreements to resell
Beginning balance $ 0 $ 0 $ 3 $ 0
Net transfers 0 0 (3) 0
Ending balance $ 0 $ 0 $ 0 $ 0
Unrealized gains (losses) $ 0 $ 0 $ 0 $ 0
Net derivatives: Interest rate
Beginning balance $ 691 $ 873 $ 682 $ 777
Realized and unrealized gains (losses) (43) (126) (388) 70
Purchases 41 11 57 129
Issuances (52) (24) (66) (27)
Settlements 18 (12) 103 (26)
Net transfers 13 38 280 (163)
Ending balance $ 668 $ 760 $ 668 $ 760
Unrealized gains (losses) $ (40) $ (160) $ (370) $ 27
Net derivatives: Credit
Beginning balance $ (82) $ 198 $ 49 $ 124
Realized and unrealized gains (losses) (88) (74) (75) (60)
Purchases 17 13 25 44
Issuances (24) (22) (38) (39)
Settlements 36 54 (60) 102
Net transfers (62) (38) (104) (40)
Ending balance $ (203) $ 131 $ (203) $ 131
Unrealized gains (losses) $ (76) $ (143) $ (75) $ (63)


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions		2022		2021
Net derivatives: Foreign exchange
U.S. Treasury and agency securities										U.S. Treasury and agency securities
Beginning balance										Beginning balance		$	2	$	9

Purchases										Purchases		1		12
Sales										Sales		—		(9)

Net transfers										Net transfers		5		—
Ending balance										Ending balance		$	8	$	12
Unrealized gains (losses)										Unrealized gains (losses)		$	—	$	—
Other sovereign government obligations										Other sovereign government obligations
Beginning balance										Beginning balance		$	211	$	268

Purchases										Purchases		6		15
Sales										Sales		(40)		(256)

Net transfers										Net transfers		11		(10)
Ending balance										Ending balance		$	188	$	17
Unrealized gains (losses)										Unrealized gains (losses)		$	—	$	—
State and municipal securities										State and municipal securities
Beginning balance										Beginning balance		$	13	$	—

Net transfers										Net transfers		(13)		—
Ending balance										Ending balance		$	—	$	—
Unrealized gains (losses)										Unrealized gains (losses)		$	—	$	—
MABS										MABS
Beginning balance	Beginning balance	$	(110)	$	(150)	$	61	$	(31)	Beginning balance		$	344	$	322
Realized and unrealized gains (losses)	Realized and unrealized gains (losses)	96		122		(26)		94		Realized and unrealized gains (losses)		(1)		51
Purchases	Purchases	2		0		4		3		Purchases		56		144
Issuances		0		0		(2)		(9)
Sales										Sales		(96)		(103)

Net transfers										Net transfers		48		(40)
Ending balance										Ending balance		$	351	$	374
Unrealized gains (losses)										Unrealized gains (losses)		$	(3)	$	(2)
Loans and lending commitments										Loans and lending commitments
Beginning balance										Beginning balance		$	3,806	$	5,759
Realized and unrealized gains (losses)										Realized and unrealized gains (losses)		26		(26)
Purchases and originations										Purchases and originations		369		1,833
Sales										Sales		(210)		(2,060)
Settlements	Settlements	1		2		(67)		(11)		Settlements		(409)		(388)
Net transfers	Net transfers	44		43		63		(29)		Net transfers		(441)		(73)
Ending balance	Ending balance	$	33	$	17	$	33	$	17	Ending balance		$	3,141	$	5,045
Unrealized gains (losses)	Unrealized gains (losses)	$	(49)	$	44	$	25	$	35	Unrealized gains (losses)		$	22	$	(32)
Net derivatives: Equity
Corporate and other debt										Corporate and other debt
Beginning balance	Beginning balance	$	(2,117)	$	(1,376)	$	(2,231)	$	(1,684)	Beginning balance		$	1,973	$	3,435
Realized and unrealized gains (losses)	Realized and unrealized gains (losses)	283		(135)		344		181		Realized and unrealized gains (losses)		12		(51)
Purchases		28		149		71		237
Issuances		(143)		(391)		(461)		(595)
Settlements		105		10		5		(52)
Net transfers2		1,007		(141)		1,435		29
Ending balance		$	(837)	$	(1,884)	$	(837)	$	(1,884)
Unrealized gains (losses)		$	(36)	$	(156)	$	(25)	$	(4)
Net derivatives: Commodity and other
Beginning balance		$	1,944	$	1,849	$	1,709	$	1,612
Realized and unrealized gains (losses)		122		338		348		448
Purchases		0		3		10		21
Issuances		0		(2)		(13)		(17)
Purchases and originations										Purchases and originations		71		867
Sales										Sales		(160)		(749)
Settlements	Settlements	(170)		(119)		(222)		7		Settlements		—		(255)
Net transfers	Net transfers	(466)		18		(402)		16		Net transfers		(143)		72
Ending balance	Ending balance	$	1,430	$	2,087	$	1,430	$	2,087	Ending balance		$	1,753	$	3,319
Unrealized gains (losses)	Unrealized gains (losses)	$	(63)	$	182	$	69	$	257	Unrealized gains (losses)		$	7	$	2
Deposits
Corporate equities										Corporate equities
Beginning balance	Beginning balance	$	177	$	117	$	126	$	179	Beginning balance		$	115	$	86
Realized and unrealized losses (gains)		4		6		2		3

Settlements		(2)		(4)		(2)		(9)
Net transfers		(93)		(29)		(40)		(83)
Ending balance		$	86	$	90	$	86	$	90
Unrealized losses (gains)		$	4	$	7	$	2	$	3
Nonderivative trading liabilities
Beginning balance		$	62	$	64	$	79	$	37
Realized and unrealized losses (gains)		(4)		5		4		(10)
Realized and unrealized gains (losses)										Realized and unrealized gains (losses)		—		16
Purchases	Purchases	(38)		(42)		(43)		(45)		Purchases		24		25
Sales	Sales	16		24		16		22		Sales		(82)		(46)
Settlements		0		0		0		3
Net transfers		23		23		3		67
Ending balance		$	59	$	74	$	59	$	74
Unrealized losses (gains)		$	(2)	$	5	$	4	$	(10)
Securities sold under agreements to repurchase
Beginning balance		$	441	$	0	$	444	$	0
Realized and unrealized losses (gains)		8		(31)		6		(31)

Issuances		0		471		0		471

Net transfers	Net transfers	0		0		(1)		0		Net transfers		182		33
Ending balance	Ending balance	$	449	$	440	$	449	$	440	Ending balance		$	239	$	114
Unrealized losses (gains)		$	8	$	(31)	$	6	$	(31)
Unrealized gains (losses)										Unrealized gains (losses)		$	—	$	18


~~June 2021~~March 2022 Form 10-Q			4438


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions		2022		2021
Other secured financings
Investments										Investments
Beginning balance	Beginning balance	$	555	$	389	$	516	$	109	Beginning balance		$	1,125	$	828
Realized and unrealized losses (gains)		9		0		4		(12)
Realized and unrealized gains (losses)										Realized and unrealized gains (losses)		(24)		6
Purchases										Purchases		20		64
Sales										Sales		(4)		(15)

Net transfers										Net transfers		3		41
Ending balance										Ending balance		$	1,120	$	924
Unrealized gains (losses)										Unrealized gains (losses)		$	(26)	$	(6)
Investment securities —AFS										Investment securities —AFS
Beginning balance										Beginning balance		$	—	$	2,804
Realized and unrealized gains (losses)										Realized and unrealized gains (losses)		—		(4)

Sales										Sales		—		(192)

Net transfers1										Net transfers1		—		(2,481)
Ending balance										Ending balance		$	—	$	127
Unrealized gains (losses)										Unrealized gains (losses)		$	—	$	(5)
Securities purchased under agreements to resell										Securities purchased under agreements to resell
Beginning balance										Beginning balance		$	—	$	3

Net transfers										Net transfers		—		(3)
Ending balance										Ending balance		$	—	$	—
Unrealized gains (losses)										Unrealized gains (losses)		$	—	$	—
Net derivatives: Interest rate										Net derivatives: Interest rate
Beginning balance										Beginning balance		$	708	$	682
Realized and unrealized gains (losses)										Realized and unrealized gains (losses)		39		(413)
Purchases										Purchases		3		31
Issuances	Issuances	37		5		407		7		Issuances		(2)		(17)
Settlements	Settlements	(176)		(88)		(498)		(203)		Settlements		(21)		83
Net transfers	Net transfers	(24)		(6)		(28)		399		Net transfers		(93)		325
Ending balance	Ending balance	$	401	$	300	$	401	$	300	Ending balance		$	634	$	691
Unrealized losses (gains)		$	10	$	0	$	4	$	(12)
Borrowings
Unrealized gains (losses)										Unrealized gains (losses)		$	147	$	(403)
Net derivatives: Credit										Net derivatives: Credit
Beginning balance	Beginning balance	$	4,262	$	3,998	$	4,374	$	4,088	Beginning balance		$	98	$	49
Realized and unrealized losses (gains)		125		500		36		(202)

Realized and unrealized gains (losses)										Realized and unrealized gains (losses)		43		(4)
Purchases										Purchases		8		19
Issuances	Issuances	146		385		276		766		Issuances		(8)		(8)
Settlements	Settlements	(217)		(92)		(326)		(283)		Settlements		(68)		(72)
Net transfers2		(2,341)		(656)		(2,385)		(234)
Net transfers										Net transfers		20		(66)
Ending balance	Ending balance	$	1,975	$	4,135	$	1,975	$	4,135	Ending balance		$	93	$	(82)
Unrealized losses (gains)		$	121	$	496	$	29	$	(200)
Portion of Unrealized losses (gains) recorded in OCI—Change in net DVA		(4)		281		(8)		(125)
Unrealized gains (losses)										Unrealized gains (losses)		$	28	$	(13)
Net derivatives: Foreign exchange										Net derivatives: Foreign exchange
Beginning balance										Beginning balance		$	52	$	61
Realized and unrealized gains (losses)										Realized and unrealized gains (losses)		(145)		(236)
Purchases										Purchases		5		2
Issuances										Issuances		—		(4)
Settlements										Settlements		81		26
Net transfers										Net transfers		(26)		41
Ending balance										Ending balance		$	(33)	$	(110)
Unrealized gains (losses)										Unrealized gains (losses)		$	(138)	$	(206)
Net derivatives: Equity										Net derivatives: Equity
Beginning balance										Beginning balance		$	(945)	$	(2,231)
Realized and unrealized gains (losses)										Realized and unrealized gains (losses)		98		63
Purchases										Purchases		28		77
Issuances										Issuances		(68)		(297)
Settlements										Settlements		117		65
Net transfers										Net transfers		116		206
Ending balance										Ending balance		$	(654)	$	(2,117)
Unrealized gains (losses)										Unrealized gains (losses)		$	88	$	12


	Three Months Ended March 31,
$ in millions		2022		2021
Net derivatives: Commodity and other
Beginning balance		$	1,529	$	1,709
Realized and unrealized gains (losses)		4		331
Purchases		9		7
Issuances		(11)		(1)
Settlements		(47)		(131)
Net transfers		(50)		29
Ending balance		$	1,434	$	1,944
Unrealized gains (losses)		$	(216)	$	215
Deposits
Beginning balance		$	67	$	126
Realized and unrealized losses (gains)		—		(4)

Issuances		—		11
Settlements		(5)		(2)
Net transfers		(36)		46
Ending balance		$	26	$	177
Unrealized losses (gains)		$	—	$	(4)
Nonderivative trading liabilities
Beginning balance		$	61	$	79
Realized and unrealized losses (gains)		(3)		(9)
Purchases		(33)		(20)
Sales		11		13

Net transfers		12		(1)
Ending balance		$	48	$	62
Unrealized losses (gains)		$	(3)	$	(9)
Securities sold under agreements to repurchase
Beginning balance		$	651	$	444
Realized and unrealized losses (gains)		2		(2)



Settlements		(10)		—
Net transfers		(127)		(1)
Ending balance		$	516	$	441
Unrealized losses (gains)		$	2	$	(2)
Other secured financings
Beginning balance		$	403	$	516
Realized and unrealized losses (gains)		(3)		(5)

Issuances		28		370
Settlements		(305)		(322)
Net transfers		(3)		(4)
Ending balance		$	120	$	555
Unrealized losses (gains)		$	(3)	$	(5)
Borrowings
Beginning balance		$	2,157	$	4,374
Realized and unrealized losses (gains)		(143)		(118)

Issuances		161		231
Settlements		(42)		(316)
Net transfers		266		91
Ending balance		$	2,399	$	4,262
Unrealized losses (gains)		$	(143)	$	(116)
Portion of Unrealized losses (gains) recorded in OCI—Change in net DVA		(29)		(29)

1.Net transfers in the prior year ~~periods~~quarter reflect the ~~largely offsetting impacts of the~~ transfer in of $857 million of equity margin loans in the first quarter of the prior year and transfers out of $707 million of equity margin loans in the prior year quarter. The loans were transferred into Level 3 in the first quarter of the prior year as the significance of the margin loan rate input increased as a result of reduced liquidity, and transferred out of Level 3 in the prior year quarter as liquidity conditions improved, reducing the significance of the input.

2.Net transfers from Level 3 to Level 2 in the current quarter reflect $2.0 billion of Corporate and Other Debt, $1.0 billion of net Equity derivatives, and $2.2 billion of Borrowings as the unobservable inputs were not significant to the overall fair value measurements as of June 30, 2021.

3.~~Net transfers in the current year period also reflect the transfer in the first quarter~~ of $2.5 billion of AFS securities from Level 3 to Level 2 due to increased trading activity and observability of pricing inputs.

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


			39			March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

instruments that have been classified by the Firm within the Level 1 and/or Level 2 categories.

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

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

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

Valuation Techniques and Unobservable Inputs

Balance / Range (Average1)

$ in millions, except inputs

At June 30, 2021

At December 31, 2020

$ in millions, except inputs

At March 31, 2022

At December 31, 2021

Assets at Fair Value on a Recurring Basis

Other sovereign government obligations

268

Other sovereign government obligations

188

211

Comparable pricing:

Bond price

132 to 153 points (143 points)

106 points

Bond price

91 to 108 points (100 points)

100 to 140 points (120 points)

MABS

357

322

MABS

351

344

Comparable pricing:

Bond price

0 to 81 points (55 points)

0 to 80 points (50 points)

Bond price

0 to 83 points (58 points)

0 to 86 points (59 points)

Loans and lending
commitments

4,896

5,759

Loans and lending
commitments

3,141

3,806

Margin loan model:

Margin loan rate

0% to 4% (2%)

1% to 5% (3%)

Margin loan rate

1% to 4% (3%)

Comparable pricing:

Loan price

75 to 101 points (98 points)

75 to 102 points (93 points)

Loan price

88 to 102 points (97 points)

89 to 101 points (97 points)

Corporate and
other debt

1,801

3,435

Corporate and
other debt

1,753

1,973

Comparable pricing:

Bond price

90 to 102 points (98 points)

10 to 133 points (101 points)

Bond price

50 to 165 points (98 points)

50 to 163 points (99 points)

Discounted cash flow:

Recovery rate

40% to 62% (46% / 40%)

Loss given default

54% to 84% (62% / 54%)

Option model:

Equity volatility

37% to 47% (41%)

18% to 21% (19%)

Corporate equities

150

Corporate equities

239

115

Comparable pricing:

Equity price

100%

Equity price

100%

Investments

978

828

Investments

1,120

1,125

Discounted cash flow:

WACC

10% to 16% (15%)

8% to 18% (15%)

WACC

13% to 16% (15%)

10% to 16% (15%)

Exit multiple

8 to 17 times (12 times)

7 to 17 times (12 times)

Exit multiple

8 to 17 times (12 times)

Market approach:

EBITDA multiple

8 to 40 times (10 times)

8 to 32 times (11 times)

EBITDA multiple

8 to 23 times (9 times)

8 to 25 times (10 times)

Comparable pricing:

Equity price

43% to 100% (99%)

45% to 100% (99%)

Equity price

43% to 100% (99%)

Investment securities —AFS

2,804

Comparable pricing:

Bond price

N/A

97 to 107 points (101 points)

Net derivative and other contracts:

Interest rate

668

682

Option model:

IR volatility skew

25% to 104% (60% / 59%)

0% to 349% (62% / 59%)

IR curve correlation

69% to 98% (84% / 83%)

54% to 99% (87% / 89%)

Bond volatility

4% to 25% (10% / 6%)

6% to 24% (13% / 13%)

Inflation volatility

25% to 66% (45% / 43%)

IR curve

1% to 2% (2%)


	Balance / Range (Average1)
$ in millions, except inputs	At March 31, 2022		At December 31, 2021
Net derivative and other contracts:
Interest rate	$	634	$	708
Option model:
IR volatility skew	45% to 79% (61% / 63%)		39% to 79% (64% / 63%)
IR curve correlation	46% to 93% (73% / 76%)		62% to 98% (83% / 84%)
Bond volatility	8% to 26% (15% / 14%)		5% to 32% (12% / 9%)
Inflation volatility	24% to 65% (44% / 40%)		24% to 65% (44% / 40%)
IR curve	N/M		4%
Credit	$	93	$	98
Credit default swap model:
Cash-synthetic basis	7 points		7 points
Bond price	N/M		0 to 83 points (46 points)
Credit spread	10 to 481 bps (95 bps)		14 to 477 bps (68 bps)
Funding spread	15 to 590 bps (77 bps)		15 to 433 bps (55 bps)


Foreign exchange2	$	(33)	$	52
Option model:
IR - FX correlation	54% to 56% (55% 55%)		53% to 56% (55% / 54%)
IR volatility skew	45% to 79% (61% / 63%)		39% to 79% (64% / 63%)
IR curve	2% to 7% (5% / 7%)		-1% to 7% (2% / 0%)
Foreign exchange volatility skew	-37% to 25% (0% / 1%)		-4% to -2% (-3% / -3%)
Contingency probability	80% to 95% (93% / 95%)		90% to 95% (94% / 95%)
Equity2	$	(654)	$	(945)
Option model:
Equity volatility	7% to 96% (24%)		5% to 99% (24%)
Equity volatility skew	-6% to 0% (-1%)		-4% to 0% (-1%)
Equity correlation	5% to 97% (75%)		5% to 99% (73%)
FX correlation	-85% to 60% (-47%)		-85% to 37% (-42%)
IR correlation	12% to 30% (14%)		13% to 30% (15%)
Commodity and other	$	1,434	$	1,529
Option model:
Forward power price	$7 to $260 ($48) per MWh		$4 to $263 ($39) per MWh
Commodity volatility	8% to 196% (32%)		8% to 385% (22%)
Cross-commodity correlation	41% to 100% (94%)		43% to 100% (94%)
Liabilities Measured at Fair Value on a Recurring Basis
Deposits	$	26	$	67
Option model:
Equity volatility	N/M		7%




Securities sold under agreements to repurchase	$	516	$	651
Discounted cash flow:
Funding spread	84 to 131 bps (108 bps)		112 to 127 bps (120 bps)
Other secured financings	$	120	$	403


Comparable pricing:
Loan price	23 to 100 points (80 points)		30 to 100 points (83 points)

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

Balance / Range (Average1)
$ in millions, except inputs At June 30, 2021 At December 31, 2020
Credit $ (203) $ 49
Credit default swap model:
Cash-synthetic basis 7 points 7 points
Bond price 0 to 85 points (46 points) 0 to 85 points (47 points)
Credit spread 14 to 474 bps (90 bps) 20 to 435 bps (74 bps)
Funding spread 21 to 95 bps (62 bps) 65 to 118 bps (86 bps)
Correlation model:
Credit correlation 26% to 42% (29%) 27% to 44% (32%)
Foreign exchange2
$ 33 $ 61
Option model:
IR - FX correlation 53% to 57% (55% 55%) 55% to 59% (56% / 56%)
IR volatility skew 25% to 104% (60% / 59%) 0% to 349% (62% / 59%)
IR curve 6% to 7% (7% / 7%) 6% to 8% (7% / 8%)
Foreign exchange volatility skew -6% to -3% (-5% / -5%) -22% to 28% (3% / 1%)
Contingency probability 95% 50% to 95% (83% / 93%)
Equity2
$ (837) $ (2,231)
Option model:
Equity volatility 5% to 91% (23%) 16% to 97% (43%)
Equity volatility skew -3% to 0% (-1%) -3% to 0% (-1%)
Equity correlation 35% to 98% (68%) 24% to 96% (74%)
FX correlation -85% to 65% (-35%) -79% to 60% (-16%)
IR correlation 15% to 40% (38%) -13% to 47% (21% / 20%)
Commodity and other $ 1,430 $ 1,709
Option model:
Forward power price $-1 to $258 ($33) per MWh $-1 to $157 ($28) per MWh
Commodity volatility 8% to 176% (19%) 8% to 183% (19%)
Cross-commodity correlation 43% to 100% (94%) 43% to 99% (92%)
Liabilities Measured at Fair Value on a Recurring Basis
Deposits $ 86 $ 126
Option model:
Equity volatility 7% 7% to 22% (8%)
Nonderivative trading liabilities
—Corporate equities $ 50 $ 63
Comparable pricing:
Equity price 100% 100%
Securities sold under agreements to repurchase $ 449 $ 444
Discounted cash flow:
Funding spread 100 to 116 bps (111 bps) 107 to 127 bps (115 bps)
Other secured financings $ 401 $ 516
Discounted cash flow:
Funding spread N/A 111 bps (111 bps)
Comparable pricing:
Loan price 30 to 101 points (82 points) 30 to 101 points (56 points)

Balance / Range (Average1)

$ in millions, except inputs

At June 30, 2021

At December 31, 2020

$ in millions, except inputs

At March 31, 2022

At December 31, 2021

Borrowings

1,975

4,374

Borrowings

2,399

2,157

Option model:

Equity volatility

7% to 61% (17%)

6% to 66% (23%)

Equity volatility

7% to 93% (24%)

7% to 85% (20%)

Equity volatility skew

-1% to 0% (0%)

-2% to 0% (0%)

Equity volatility skew

-1% to 0% (0%)

Equity correlation

39% to 95% (81%)

37% to 95% (78%)

Equity correlation

39% to 95% (85%)

41% to 95% (81%)

Equity - FX correlation

-32% to 10% (-23%)

-72% to 13% (-24%)

Equity - FX correlation

-55% to 25% (-27%)

-55% to 25% (-30%)

IR FX Correlation

-28% to 7% (-5% / -5%)

-28% to 6% (-6% / -6%)

IR FX Correlation

-27% to 12% (-6% / -6%)

-26% to 8% (-5% / -5%)

IR curve correlation

46% to 93% (73% / 76%)

N/M

IR volatility skew

34% to 82% (51% / 45%)

N/M

Discounted cash flow:

Recovery rate

40% to 62% (46% / 40%)

N/M

Loss given default

54% to 84% (62% / 54%)

Nonrecurring Fair Value Measurement

Loans

1,202

3,134

Loans

1,370

1,576

Corporate loan model:

Credit spread

45 to 526 bps (237 bps)

36 to 636 bps (336 bps)

Credit spread

79 to 447 bps (266 bps)

108 to 565 bps (284 bps)

Comparable pricing:

Loan price

40 to 88 points (76 points)

N/M

Loan price

47 to 80 points (63 points)

40 to 80 points (61 points)

Warehouse model:

Credit spread

217 to 309 bps (291 bps)

200 to 413 bps (368 bps)

Credit spread

187 to 280 bps (226 bps)

182 to 446 bps (376 bps)

Comparable pricing:

Bond Price

N/A

88 to 99 bps (94 bps)

Points—Percentage of par

IR—Interest rate

FX—Foreign exchange

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

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

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

For a description of the Firm’s significant unobservable inputs and qualitative information about the effect of hypothetical changes in the values of those inputs, see Note 5 to the financial statements in the ~~2020~~2021 Form 10-K. During the current quarter, there were no significant revisions made to the descriptions of the Firm’s significant unobservable inputs.


~~June 2021 Form 10-Q~~			46


~~Table of Contents~~
Notes to Consolidated Financial Statements (Unaudited)

Net Asset Value Measurements

Fund Interests


		At June 30, 2021				At December 31, 2020					At March 31, 2022				At December 31, 2021
$ in millions	$ in millions	Carrying Value		Commitment		Carrying Value		Commitment		$ in millions	Carrying Value		Commitment		Carrying Value		Commitment
Private equity	Private equity	$	2,448	$	576	$	2,367	$	644	Private equity	$	2,607	$	579	$	2,492	$	615
Real estate	Real estate	1,518		216		1,403		136		Real estate	2,089		243		2,064		248
Hedge1	Hedge1	75		3		59		0		Hedge1	195		2		191		2
Total	Total	$	4,041	$	795	$	3,829	$	780	Total	$	4,891	$	824	$	4,747	$	865

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

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

For a description of the Firm’s investments in private equity funds, real estate funds and hedge funds, which are measured based on NAV, see Note 5 to the financial statements in the ~~2020~~2021 Form 10-K.

See Note 1413 for information regarding general partner guarantees, which include potential obligations to return performance fee distributions previously received. See Note 2019 for information regarding unrealized carried interest at risk of reversal.

Nonredeemable Funds by Contractual Maturity


		Carrying Value at June 30, 2021					Carrying Value at March 31, 2022
$ in millions	$ in millions	Private Equity		Real Estate		$ in millions	Private Equity		Real Estate
Less than 5 years	Less than 5 years	$	1,148	$	434	Less than 5 years	$	1,041	$	327
5-10 years	5-10 years	1,087		401		5-10 years	1,109		1,745
Over 10 years	Over 10 years	213		683		Over 10 years	457		17
Total	Total	$	2,448	$	1,518	Total	$	2,607	$	2,089

Nonrecurring Fair Value Measurements

~~Carrying~~Assets and Liabilities Measured at Fair ~~Values~~Value on a Nonrecurring Basis


		At June 30, 2021							At March 31, 2022
		Fair Value							Fair Value
$ in millions	$ in millions	Level 2		Level 31		Total		$ in millions	Level 2		Level 31		Total
Assets	Assets							Assets
Loans	Loans	$	3,787	$	1,202	$	4,989	Loans	$	1,531	$	1,370	$	2,901

Other assets—Other investments	Other assets—Other investments	0		79		79		Other assets—Other investments	—		7		7

Other assets—ROU assets								Other assets—ROU assets	4		—		4
Total	Total	$	3,787	$	1,281	$	5,068	Total	$	1,535	$	1,377	$	2,912
Liabilities	Liabilities							Liabilities
Other liabilities and accrued expenses—Lending commitments	Other liabilities and accrued expenses—Lending commitments	$	154	$	69	$	223	Other liabilities and accrued expenses—Lending commitments	$	201	$	86	$	287
Total	Total	$	154	$	69	$	223	Total	$	201	$	86	$	287


			41			March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)


		At December 31, 2020							At December 31, 2021
		Fair Value							Fair Value
$ in millions	$ in millions	Level 2		Level 31		Total		$ in millions	Level 2		Level 31		Total
Assets	Assets							Assets
Loans	Loans	$	2,566	$	3,134	$	5,700	Loans	$	4,035	$	1,576	$	5,611
Other assets—Other investments	Other assets—Other investments	$	0	$	16	$	16	Other assets—Other investments	—		8		8
Other assets—ROU assets	Other assets—ROU assets	21		0		21		Other assets—ROU assets	$	16	$	—	$	16
Total	Total	$	2,587	$	3,150	$	5,737	Total	$	4,051	$	1,584	$	5,635
Liabilities	Liabilities							Liabilities
Other liabilities and accrued expenses—Lending commitments	Other liabilities and accrued expenses—Lending commitments	$	193	$	72	$	265	Other liabilities and accrued expenses—Lending commitments	$	173	$	70	$	243
Total	Total	$	193	$	72	$	265	Total	$	173	$	70	$	243

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

Gains (Losses) from Nonrecurring Fair Value Remeasurements1


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions		2022		2021
Assets	Assets									Assets
Loans2	Loans2	$	(38)	$	(13)	$	(55)	$	(488)	Loans2		$	(43)	$	(13)
Goodwill	Goodwill	0		0		(8)		0		Goodwill		—		(8)
Intangibles	Intangibles	(1)		0		(3)		0		Intangibles		—		(2)
Other assets—Other investments3	Other assets—Other investments3	(2)		(52)		(53)		(52)		Other assets—Other investments3		(2)		(51)
Other assets—Premises, equipment and software4		(2)		(3)		(4)		(6)
Other assets—Premises, equipment and software										Other assets—Premises, equipment and software		(1)		(2)
Other assets—ROU assets										Other assets—ROU assets		(2)		—
Total	Total	$	(43)	$	(68)	$	(123)	$	(546)	Total		$	(48)	$	(76)
Liabilities	Liabilities									Liabilities
Other liabilities and accrued expenses—Lending commitments2	Other liabilities and accrued expenses—Lending commitments2	$	5	$	130	$	40	$	(88)	Other liabilities and accrued expenses—Lending commitments2		$	(49)	$	4
Total	Total	$	5	$	130	$	40	$	(88)	Total		$	(49)	$	4

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

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

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


			47			~~June 2021 Form 10-Q~~


~~Table of Contents~~
Notes to Consolidated Financial Statements (Unaudited)

Financial Instruments Not Measured at Fair Value


		At June 30, 2021											At March 31, 2022
		Carrying Value		Fair Value									Carrying Value		Fair Value
$ in millions	$ in millions			Level 1		Level 2		Level 3		Total		$ in millions			Level 1		Level 2		Level 3		Total
Financial assets	Financial assets											Financial assets
Cash and cash equivalents	Cash and cash equivalents	$	126,480	$	126,480	$	0	$	0	$	126,480	Cash and cash equivalents	$	136,086	$	136,086	$	—	$	—	$	136,086
Investment securities—HTM	Investment securities—HTM	82,120		30,623		51,282		972		82,877		Investment securities—HTM	80,439		29,099		45,633		1,044		75,776
Securities purchased under agreements to resell	Securities purchased under agreements to resell	95,920		0		94,399		1,526		95,925		Securities purchased under agreements to resell	127,765		—		125,543		2,186		127,729
Securities borrowed	Securities borrowed	126,703		0		126,703		0		126,703		Securities borrowed	150,995		—		150,995		—		150,995
Customer and other receivables	Customer and other receivables	97,370		0		94,071		3,218		97,289		Customer and other receivables	90,134		—		86,417		3,453		89,870
Loans1	Loans1	166,059		0		21,535		145,503		167,038		Loans1	196,260		—		24,140		170,269		194,409
Other assets	Other assets	504		0		504		0		504		Other assets	509		—		509		—		509
Financial liabilities	Financial liabilities											Financial liabilities
Deposits	Deposits	$	317,686	$	0	$	318,107	$	0	$	318,107	Deposits	$	358,827	$	—	$	358,993	$	—	$	358,993
Securities sold under agreements to repurchase	Securities sold under agreements to repurchase	56,617		0		56,666		0		56,666		Securities sold under agreements to repurchase	59,104		—		59,089		—		59,089
Securities loaned	Securities loaned	9,574		0		9,575		0		9,575		Securities loaned	14,222		—		14,223		—		14,223
Other secured financings	Other secured financings	4,658		0		4,661		0		4,661		Other secured financings	4,057��		—		4,059		—		4,059
Customer and other payables	Customer and other payables	233,810		0		233,810		0		233,810		Customer and other payables	243,281		—		243,281		—		243,281
Borrowings	Borrowings	148,634		0		155,115		5		155,120		Borrowings	153,854		—		155,443		4		155,447
		Commitment Amount											Commitment Amount
Lending commitments2	Lending commitments2	$	137,508	$	0	$	680	$	406	$	1,086	Lending commitments2	$	141,421	$	—	$	1,162	$	514	$	1,676


		At December 31, 2020											At December 31, 2021
		Carrying Value		Fair Value									Carrying Value		Fair Value
$ in millions	$ in millions			Level 1		Level 2		Level 3		Total		$ in millions			Level 1		Level 2		Level 3		Total
Financial assets	Financial assets											Financial assets
Cash and cash equivalents	Cash and cash equivalents	$	105,654	$	105,654	$	0	$	0	$	105,654	Cash and cash equivalents	$	127,725	$	127,725	$	—	$	—	$	127,725
Investment securities—HTM	Investment securities—HTM	71,771		31,239		42,281		900		74,420		Investment securities—HTM	80,168		29,454		49,352		1,076		79,882
Securities purchased under agreements to resell	Securities purchased under agreements to resell	116,219		0		114,046		2,173		116,219		Securities purchased under agreements to resell	119,992		—		117,922		2,075		119,997
Securities borrowed	Securities borrowed	112,391		0		112,392		0		112,392		Securities borrowed	129,713		—		129,713		—		129,713
Customer and other receivables	Customer and other receivables	92,907		0		89,832		3,041		92,873		Customer and other receivables	91,664		—		88,091		3,442		91,533
Loans1	Loans1	150,597		0		16,635		135,277		151,912		Loans1	188,134		—		25,706		163,784		189,490
Other assets	Other assets	485		0		485		0		485		Other assets	528		—		528		—		528
Financial liabilities	Financial liabilities											Financial liabilities
Deposits	Deposits	$	307,261	$	0	$	307,807	$	0	$	307,807	Deposits	$	345,634	$	—	$	345,911	$	—	$	345,911
Securities sold under agreements to repurchase	Securities sold under agreements to repurchase	49,472		0		49,315		195		49,510		Securities sold under agreements to repurchase	61,397		—		61,419		—		61,419
Securities loaned	Securities loaned	7,731		0		7,731		0		7,731		Securities loaned	12,299		—		12,296		—		12,296
Other secured financings	Other secured financings	4,162		0		4,162		0		4,162		Other secured financings	4,908		—		4,910		—		4,910
Customer and other payables	Customer and other payables	224,951		0		224,951		0		224,951		Customer and other payables	228,631		—		228,631		—		228,631
Borrowings	Borrowings	143,378		0		150,824		5		150,829		Borrowings	156,787		—		162,154		4		162,158
		Commitment Amount											Commitment Amount
Lending commitments2	Lending commitments2	$	125,498	$	0	$	709	$	395	$	1,104	Lending commitments2	$	133,519	$	—	$	890	$	470	$	1,360

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

2.Represents Lending commitments accounted for as Held for Investment and Held for Sale. For a further discussion on lending commitments, see Note ~~14.~~13.


March 2022 Form 10-Q			42


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

The previous tables exclude all non-financial assets and liabilities, such as ~~the value of the long-term relationships with the Firm’s deposit customers,~~Goodwill and Intangible assets, and certain financial instruments, such as equity method investments and certain receivables.

6.5. Fair Value Option

The Firm has elected the fair value option for certain eligible instruments that are risk managed on a fair value basis to mitigate income statement volatility caused by measurement basis differences between the elected instruments and their associated risk management transactions or to eliminate complexities of applying certain accounting models.

Borrowings Measured at Fair Value on a Recurring Basis


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Business Unit Responsible for Risk Management	Business Unit Responsible for Risk Management					Business Unit Responsible for Risk Management
Equity	Equity	$	35,924	$	33,952	Equity	$	37,987	$	37,046
Interest rates	Interest rates	29,684		31,222		Interest rates	27,100		28,638
Commodities	Commodities	6,373		5,078		Commodities	8,401		7,837
Credit	Credit	1,211		1,344		Credit	1,310		1,347
Foreign exchange	Foreign exchange	2,316		2,105		Foreign exchange	1,165		1,472
Total	Total	$	75,508	$	73,701	Total	$	75,963	$	76,340

Net Revenues from Borrowings under the Fair Value Option


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions		2022		2021
Trading revenues	Trading revenues	$	(2,931)	$	(3,439)	$	(446)	$	8	Trading revenues		$	4,655	$	2,485
Interest expense	Interest expense	84		81		157		164		Interest expense		72		73
Net revenues1	Net revenues1	$	(3,015)	$	(3,520)	$	(603)	$	(156)	Net revenues1		$	4,583	$	2,412

1.Amounts do not reflect any gains or losses from related economic hedges.

Gains (losses) from changes in fair value are recorded in Trading revenues and are mainly attributable to movements in the reference price or index, interest rates or foreign exchange rates.

Gains (Losses) Due to Changes in Instrument-Specific Credit Risk

Three Months Ended June 30,
2021 2020
$ in millions Trading
Revenues OCI Trading
Revenues OCI
Loans and other debt1
$ 95 $ 0 $ (40) $ 0
Lending commitments 1 0 (1) 0
Deposits 0 10 0 (63)
Borrowings (10) 237 (1) (3,237)


	Three Months Ended March 31,
	2022				2021
$ in millions	Trading Revenues		OCI		Trading Revenues		OCI
Loans and other receivables1	$	24	$	—	$	158	$	—

Deposits	—		(7)		—		(1)
Borrowings	—		878		(17)		185

~~June 2021 Form 10-Q~~

~~Table of Contents~~

Notes to Consolidated Financial Statements
(Unaudited)

Six Months Ended June 30,
2021 2020
$ in millions Trading
Revenues OCI Trading
Revenues OCI
Loans and other debt1
$ 253 $ 0 $ (239) $ 0
Lending commitments 1 0 1 0
Deposits 0 9 0 9
Borrowings (27) 422 (6) 1,711


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Cumulative pre-tax DVA gain (loss) recognized in AOCI	Cumulative pre-tax DVA gain (loss) recognized in AOCI	$	(2,926)	$	(3,357)	Cumulative pre-tax DVA gain (loss) recognized in AOCI	$	(1,568)	$	(2,439)

1.Loans and other ~~debt instrument-specific~~receivables-specific credit gains (losses) were determined by excluding the non-credit components of gains and losses.

Difference Between Contractual Principal and Fair Value1


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Loans and other debt2		$	13,124	$	14,042
Loans and other receivables2						Loans and other receivables2	$	12,360	$	12,633
Nonaccrual loans2	Nonaccrual loans2	10,883		11,551		Nonaccrual loans2	9,608		9,999
Borrowings3	Borrowings3	(2,298)		(3,773)		Borrowings3	704		(2,106)

1.Amounts indicate contractual principal greater than or (less than) fair value.

2.The majority of the difference between principal and fair value amounts for loans and other ~~debt~~receivables relates to distressed debt positions purchased at amounts well below par.

3.Excludes borrowings where the repayment of the initial principal amount fluctuates based on changes in a reference price or index.

The previous tables exclude non-recourse debt from consolidated VIEs, liabilities related to transfers of financial assets treated as collateralized financings, pledged commodities and other liabilities that have specified assets attributable to them.

Fair Value Loans on Nonaccrual Status
$ in millions At
June 30,
2021 At
December 31,
2020
Nonaccrual loans $ 770 $ 1,407
Nonaccrual loans 90 or more days past due $ 203 $ 239


$ in millions	At March 31, 2022		At December 31, 2021
Nonaccrual loans	$	908	$	989
Nonaccrual loans 90 or more days past due	264		363

7.6. Derivative Instruments and Hedging Activities

Fair Values of Derivative Contracts

Assets at June 30, 2021
$ in millions
Bilateral
OTC
Cleared
OTC
Exchange-
Traded
Total
Designated as accounting hedges
Interest rate $ 654 $ 11 $ 0 $ 665
Foreign exchange 219 18 0 237
Total 873 29 0 902
Not designated as accounting hedges
Economic loan hedges
Credit 1 16 0 17
Other derivatives
Interest rate 168,475 7,702 326 176,503
Credit 5,356 2,936 0 8,292
Foreign exchange 69,108 1,425 76 70,609
Equity 32,308 0 38,049 70,357
Commodity and other 18,601 0 6,464 25,065
Total 293,849 12,079 44,915 350,843
Total gross derivatives $ 294,722 $ 12,108 $ 44,915 $ 351,745
Amounts offset
Counterparty netting (212,181) (10,000) (41,074) (263,255)
Cash collateral netting (45,922) (1,613) 0 (47,535)
Total in Trading assets $ 36,619 $ 495 $ 3,841 $ 40,955
Amounts not offset1
Financial instruments collateral (12,680) 0 0 (12,680)
Net amounts $ 23,939 $ 495 $ 3,841 $ 28,275
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable $ 4,132


		Liabilities at June 30, 2021									Assets at March 31, 2022
$ in millions	$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total		$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges	Designated as accounting hedges									Designated as accounting hedges
Interest rate	Interest rate	$	0	$	5	$	0	$	5	Interest rate	$	235	$	3	$	—	$	238
Foreign exchange	Foreign exchange	5		15		0		20		Foreign exchange	202		14		—		216
Total	Total	5		20		0		25		Total	437		17		—		454
Not designated as accounting hedges	Not designated as accounting hedges									Not designated as accounting hedges
Economic loan hedges
Economic hedges of loans										Economic hedges of loans
Credit	Credit	15		246		0		261		Credit	2		12		—		14
Other derivatives	Other derivatives									Other derivatives
Interest rate	Interest rate	154,804		6,154		411		161,369		Interest rate	152,234		20,630		1,525		174,389
Credit	Credit	5,428		3,504		0		8,932		Credit	7,494		3,998		—		11,492
Foreign exchange	Foreign exchange	64,788		1,333		97		66,218		Foreign exchange	97,624		3,389		66		101,079
Equity	Equity	43,053		0		39,240		82,293		Equity	27,669		—		38,240		65,909
Commodity and other	Commodity and other	15,510		0		6,470		21,980		Commodity and other	34,517		—		14,789		49,306
Total	Total	283,598		11,237		46,218		341,053		Total	319,540		28,029		54,620		402,189
Total gross derivatives	Total gross derivatives	$	283,603	$	11,257	$	46,218	$	341,078	Total gross derivatives	$	319,977	$	28,046	$	54,620	$	402,643
Amounts offset	Amounts offset									Amounts offset
Counterparty netting	Counterparty netting	(212,181)		(10,000)		(41,074)		(263,255)		Counterparty netting	(222,597)		(25,328)		(50,605)		(298,530)
Cash collateral netting	Cash collateral netting	(38,774)		(958)		0		(39,732)		Cash collateral netting	(44,621)		(1,611)		—		(46,232)
Total in Trading liabilities		$	32,648	$	299	$	5,144	$	38,091
Total in Trading assets										Total in Trading assets	$	52,759	$	1,107	$	4,015	$	57,881
Amounts not offset1	Amounts not offset1									Amounts not offset1
Financial instruments collateral	Financial instruments collateral	(6,634)		0		(1,103)		(7,737)		Financial instruments collateral	(18,000)		—		—		(18,000)

Net amounts	Net amounts	$	26,014	$	299	$	4,041	$	30,354	Net amounts	$	34,759	$	1,107	$	4,015	$	39,881
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable	Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							7,394		Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	10,704

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)


		Assets at December 31, 2020									Liabilities at March 31, 2022
$ in millions	$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total		$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges	Designated as accounting hedges									Designated as accounting hedges
Interest rate	Interest rate	$	946	$	2	$	0	$	948	Interest rate	$	51	$	—	$	—	$	51
Foreign exchange	Foreign exchange	5		2		0		7		Foreign exchange	59		36		—		95
Total	Total	951		4		0		955		Total	110		36		—		146
Not designated as accounting hedges	Not designated as accounting hedges									Not designated as accounting hedges
Economic loan hedges
Credit1		2		51		0		53
Economic hedges of loans										Economic hedges of loans
Credit										Credit	15		308		—		323
Other derivatives	Other derivatives									Other derivatives
Interest rate	Interest rate	221,895		10,343		300		232,538		Interest rate	142,935		21,368		988		165,291
Credit1		5,341		2,147		0		7,488
Credit										Credit	7,029		4,150		—		11,179
Foreign exchange	Foreign exchange	92,334		1,639		79		94,052		Foreign exchange	90,134		2,970		96		93,200
Equity	Equity	34,278		0		34,166		68,444		Equity	34,116		—		39,782		73,898
Commodity and other	Commodity and other	11,095		0		3,554		14,649		Commodity and other	27,290		—		15,548		42,838
Total	Total	364,945		14,180		38,099		417,224		Total	301,519		28,796		56,414		386,729
Total gross derivatives	Total gross derivatives	$	365,896	$	14,184	$	38,099	$	418,179	Total gross derivatives	$	301,629	$	28,832	$	56,414	$	386,875
Amounts offset	Amounts offset									Amounts offset
Counterparty netting	Counterparty netting	(276,682)		(11,601)		(35,260)		(323,543)		Counterparty netting	(222,597)		(25,328)		(50,605)		(298,530)
Cash collateral netting	Cash collateral netting	(54,921)		(1,865)		0		(56,786)		Cash collateral netting	(44,557)		(1,431)		—		(45,988)
Total in Trading assets		$	34,293	$	718	$	2,839	$	37,850
Amounts not offset2
Total in Trading liabilities										Total in Trading liabilities	$	34,475	$	2,073	$	5,809	$	42,357
Amounts not offset1										Amounts not offset1
Financial instruments collateral	Financial instruments collateral	(13,319)		0		0		(13,319)		Financial instruments collateral	(3,641)		—		(1,543)		(5,184)
Other cash collateral		(391)		0		0		(391)
Net amounts	Net amounts	$	20,583	$	718	$	2,839	$	24,140	Net amounts	$	30,834	$	2,073	$	4,266	$	37,173
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable	Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	3,743	Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							8,824


		Liabilities at December 31, 2020									Assets at December 31, 2021
$ in millions	$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total		$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges	Designated as accounting hedges									Designated as accounting hedges
Interest rate	Interest rate	$	0	$	19	$	0	$	19	Interest rate	$	594	$	1	$	—	$	595
Foreign exchange	Foreign exchange	291		99		0		390		Foreign exchange	191		6		—		197
Total	Total	291		118		0		409		Total	785		7		—		792
Not designated as accounting hedges	Not designated as accounting hedges									Not designated as accounting hedges
Economic loan hedges
Credit1		18		177		0		195
Economic hedges of loans										Economic hedges of loans
Credit										Credit	—		15		—		15
Other derivatives	Other derivatives									Other derivatives
Interest rate	Interest rate	210,015		7,965		639		218,619		Interest rate	147,585		7,002		383		154,970
Credit1		5,275		2,682		0		7,957
Credit										Credit	5,749		3,186		—		8,935
Foreign exchange	Foreign exchange	92,975		1,500		43		94,518		Foreign exchange	73,276		1,219		39		74,534
Equity	Equity	49,943		0		36,585		86,528		Equity	28,877		—		41,455		70,332
Commodity and other	Commodity and other	8,831		0		3,359		12,190		Commodity and other	22,175		—		5,538		27,713
Total	Total	367,057		12,324		40,626		420,007		Total	277,662		11,422		47,415		336,499
Total gross derivatives	Total gross derivatives	$	367,348	$	12,442	$	40,626	$	420,416	Total gross derivatives	$	278,447	$	11,429	$	47,415	$	337,291
Amounts offset	Amounts offset									Amounts offset
Counterparty netting	Counterparty netting	(276,682)		(11,601)		(35,260)		(323,543)		Counterparty netting	(201,729)		(9,818)		(42,883)		(254,430)
Cash collateral netting	Cash collateral netting	(51,112)		(823)		0		(51,935)		Cash collateral netting	(43,495)		(1,212)		—		(44,707)
Total in Trading liabilities		$	39,554	$	18	$	5,366	$	44,938
Amounts not offset2
Total in Trading assets										Total in Trading assets	$	33,223	$	399	$	4,532	$	38,154
Amounts not offset1										Amounts not offset1
Financial instruments collateral	Financial instruments collateral	(10,598)		0		(1,520)		(12,118)		Financial instruments collateral	(10,457)		—		—		(10,457)
Other cash collateral		(62)		(3)		0		(65)
Net amounts	Net amounts	$	28,894	$	15	$	3,846	$	32,755	Net amounts	$	22,766	$	399	$	4,532	$	27,697
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable	Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	6,746	Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	6,725


	Liabilities at December 31, 2021
$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	86	$	1	$	—	$	87
Foreign exchange	57		50		—		107
Total	143		51		—		194
Not designated as accounting hedges
Economic hedges of loans
Credit	17		412		—		429
Other derivatives
Interest rate	140,770		6,112		233		147,115
Credit	5,609		3,463		—		9,072
Foreign exchange	71,851		1,196		41		73,088
Equity	39,597		—		41,081		80,678
Commodity and other	17,188		—		5,740		22,928
Total	275,032		11,183		47,095		333,310
Total gross derivatives	$	275,175	$	11,234	$	47,095	$	333,504
Amounts offset
Counterparty netting	(201,729)		(9,818)		(42,883)		(254,430)
Cash collateral netting	(43,305)		(1,201)		—		(44,506)
Total in Trading liabilities	$	30,141	$	215	$	4,212	$	34,568
Amounts not offset1
Financial instruments collateral	(5,866)		(8)		(39)		(5,913)
Net amounts	$	24,275	$	207	$	4,173	$	28,655
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	6,194

1.~~Certain prior period amounts have been reclassified to conform to the current presentation.~~

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

See Note 54 for information related to the unsettled fair value of futures contracts not designated as accounting hedges, which are excluded from the previous tables.

Notionals of Derivative Contracts

Assets at June 30, 2021
$ in billions
Bilateral
OTC
Cleared
OTC
Exchange-
Traded
Total
Designated as accounting hedges
Interest rate $ 4 $ 109 $ 0 $ 113
Foreign exchange 13 2 0 15
Total 17 111 0 128
Not designated as accounting hedges
Economic loan hedges
Credit 0 0 0 0
Other derivatives
Interest rate 4,095 7,338 576 12,009
Credit 188 107 0 295
Foreign exchange 3,494 97 12 3,603
Equity 483 0 410 893
Commodity and other 128 0 77 205
Total 8,388 7,542 1,075 17,005
Total gross derivatives $ 8,405 $ 7,653 $ 1,075 $ 17,133

Liabilities at June 30, 2021
$ in billions
Bilateral
OTC
Cleared
OTC
Exchange-
Traded
Total
Designated as accounting hedges
Interest rate $ 0 $ 90 $ 0 $ 90
Foreign exchange 1 1 0 2
Total 1 91 0 92
Not designated as accounting hedges
Economic loan hedges
Credit 0 7 0 7
Other derivatives
Interest rate 4,084 7,156 523 11,763
Credit 197 113 0 310
Foreign exchange 3,425 90 23 3,538
Equity 535 0 766 1,301
Commodity and other 118 0 76 194
Total 8,359 7,366 1,388 17,113
Total gross derivatives $ 8,360 $ 7,457 $ 1,388 $ 17,205


		Assets at December 31, 2020									Assets at March 31, 2022
$ in billions	$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total		$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges	Designated as accounting hedges									Designated as accounting hedges
Interest rate	Interest rate	$	6	$	123	$	0	$	129	Interest rate	$	4	$	73	$	—	$	77
Foreign exchange	Foreign exchange	2		0		0		2		Foreign exchange	9		1		—		10
Total	Total	8		123		0		131		Total	13		74		—		87
Not designated as accounting hedges	Not designated as accounting hedges									Not designated as accounting hedges
Economic loan hedges
Credit1		0		1		0		1
Economic hedges of loans										Economic hedges of loans
Credit										Credit	—		1		—		1
Other derivatives	Other derivatives									Other derivatives
Interest rate	Interest rate	3,847		6,946		409		11,202		Interest rate	3,626		9,434		758		13,818
Credit1		140		87		0		227
Credit										Credit	231		150		—		381
Foreign exchange	Foreign exchange	3,046		103		10		3,159		Foreign exchange	3,806		146		10		3,962
Equity	Equity	444		0		367		811		Equity	516		—		419		935
Commodity and other	Commodity and other	107		0		68		175		Commodity and other	171		—		75		246
Total	Total	7,584		7,137		854		15,575		Total	8,350		9,731		1,262		19,343
Total gross derivatives	Total gross derivatives	$	7,592	$	7,260	$	854	$	15,706	Total gross derivatives	$	8,363	$	9,805	$	1,262	$	19,430


~~June 2021~~March 2022 Form 10-Q			5044


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)


		Liabilities at December 31, 2020									Liabilities at March 31, 2022
$ in billions	$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total		$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges	Designated as accounting hedges									Designated as accounting hedges
Interest rate	Interest rate	$	0	$	80	$	0	$	80	Interest rate	$	—	$	128	$	—	$	128
Foreign exchange	Foreign exchange	11		3		0		14		Foreign exchange	4		3		—		7
Total	Total	11		83		0		94		Total	4		131		—		135
Not designated as accounting hedges	Not designated as accounting hedges									Not designated as accounting hedges
Economic loan hedges
Credit1		1		5		0		6
Economic hedges of loans										Economic hedges of loans
Credit										Credit	1		10		—		11
Other derivatives	Other derivatives									Other derivatives
Interest rate	Interest rate	4,000		6,915		511		11,426		Interest rate	3,577		9,060		629		13,266
Credit1		142		93		0		235
Credit										Credit	231		146		—		377
Foreign exchange	Foreign exchange	3,180		102		11		3,293		Foreign exchange	3,690		139		19		3,848
Equity	Equity	474		0		591		1,065		Equity	547		—		770		1,317
Commodity and other	Commodity and other	93		0		68		161		Commodity and other	129		—		91		220
Total	Total	7,890		7,115		1,181		16,186		Total	8,175		9,355		1,509		19,039
Total gross derivatives	Total gross derivatives	$	7,901	$	7,198	$	1,181	$	16,280	Total gross derivatives	$	8,179	$	9,486	$	1,509	$	19,174

1.~~Certain prior period amounts have been reclassified to conform to the current presentation.~~


	Assets at December 31, 2021
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	4	$	104	$	—	$	108
Foreign exchange	8		1		—		9
Total	12		105		—		117
Not designated as accounting hedges
Economic hedges of loans
Credit	—		—		—		—
Other derivatives
Interest rate	3,488		7,082		570		11,140
Credit	216		105		—		321
Foreign exchange	3,386		95		10		3,491
Equity	495		—		407		902
Commodity and other	139		—		73		212
Total	7,724		7,282		1,060		16,066
Total gross derivatives	$	7,736	$	7,387	$	1,060	$	16,183


	Liabilities at December 31, 2021
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	—	$	99	$	—	$	99
Foreign exchange	5		3		—		8
Total	5		102		—		107
Not designated as accounting hedges
Economic hedges of loans
Credit	1		12		—		13
Other derivatives
Interest rate	3,827		6,965		445		11,237
Credit	225		106		—		331
Foreign exchange	3,360		88		12		3,460
Equity	552		—		735		1,287
Commodity and other	110		—		81		191
Total	8,075		7,171		1,273		16,519
Total gross derivatives	$	8,080	$	7,273	$	1,273	$	16,626

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

benefit of legally enforceable netting arrangements or risk mitigating transactions.

For a discussion of the Firm’s derivative instruments and hedging activities, see Note 7 to the financial statements in the ~~2020~~2021 Form 10-K.

Gains (Losses) on Accounting Hedges


		Three Months Ended				Six Months Ended					Three Months Ended
		June 30,									March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions	2022		2021
Fair value hedges—Recognized in Interest income	Fair value hedges—Recognized in Interest income									Fair value hedges—Recognized in Interest income
Interest rate contracts	Interest rate contracts	$	(331)	$	(16)	$	500	$	(80)	Interest rate contracts	$	795	$	831
Investment Securities—AFS	Investment Securities—AFS	345		23		(427)		89		Investment Securities—AFS	(751)		(772)
Fair value hedges—Recognized in Interest expense	Fair value hedges—Recognized in Interest expense									Fair value hedges—Recognized in Interest expense
Interest rate contracts	Interest rate contracts	$	1,238	$	245	$	(2,870)	$	6,912	Interest rate contracts	$	(6,233)	$	(4,108)
Deposits	Deposits	22		46		58		(215)		Deposits	88		36
Borrowings	Borrowings	(1,270)		(327)		2,751		(6,759)		Borrowings	6,155		4,021
Net investment hedges—Foreign exchange contracts	Net investment hedges—Foreign exchange contracts									Net investment hedges—Foreign exchange contracts
Recognized in OCI	Recognized in OCI	$	(106)	$	(96)	$	299	$	314	Recognized in OCI	$	139	$	405
Forward points excluded from hedge effectiveness testing—Recognized in Interest income	Forward points excluded from hedge effectiveness testing—Recognized in Interest income	(14)		(8)		(13)		25		Forward points excluded from hedge effectiveness testing—Recognized in Interest income	(41)		1

Fair Value Hedges—Hedged Items


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Investment Securities—AFS	Investment Securities—AFS					Investment Securities—AFS
Amortized cost basis currently or previously hedged	Amortized cost basis currently or previously hedged	$	18,009	$	16,288	Amortized cost basis currently or previously hedged	$	11,039	$	17,902
Basis adjustments included in amortized cost1	Basis adjustments included in amortized cost1	$	(371)	$	(39)	Basis adjustments included in amortized cost1	$	(840)	$	(591)
Deposits	Deposits					Deposits
Carrying amount currently or previously hedged	Carrying amount currently or previously hedged	$	6,316	$	15,059	Carrying amount currently or previously hedged	$	4,807	$	6,279
Basis adjustments included in carrying amount1	Basis adjustments included in carrying amount1	$	35	$	93	Basis adjustments included in carrying amount1	$	(83)	$	5
Borrowings	Borrowings					Borrowings
Carrying amount currently or previously hedged	Carrying amount currently or previously hedged	$	114,420	$	114,349	Carrying amount currently or previously hedged	$	122,770	$	122,919
Basis adjustments included in carrying amount—Outstanding hedges	Basis adjustments included in carrying amount—Outstanding hedges	$	3,799	$	6,575	Basis adjustments included in carrying amount—Outstanding hedges	$	(3,831)	$	2,324
Basis adjustments included in carrying amount—Terminated hedges	Basis adjustments included in carrying amount—Terminated hedges	$	(757)	$	(756)	Basis adjustments included in carrying amount—Terminated hedges	$	(736)	$	(743)

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

Gains (Losses) on Economic ~~Loan~~ Hedges of Loans


		Three Months Ended				Six Months Ended					Three Months Ended
		June 30,									March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions	2022		2021
Recognized in Other revenues	Recognized in Other revenues									Recognized in Other revenues
Credit contracts1	Credit contracts1	$	(44)	$	(120)	$	(149)	$	135	Credit contracts1	$	51	$	(105)

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

Net Derivative Liabilities and Collateral Posted


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Net derivative liabilities with credit risk-related contingent features	Net derivative liabilities with credit risk-related contingent features	$	20,227	$	30,421	Net derivative liabilities with credit risk-related contingent features	$	22,090	$	20,548
Collateral posted	Collateral posted	14,954		23,842		Collateral posted	14,470		14,789

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


			45			March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

Incremental Collateral and Termination Payments upon Potential Future Ratings Downgrade


$ in millions	At ~~June 30,~~March 31, ~~2021~~2022
One-notch downgrade	$	~~227~~310
Two-notch downgrade	~~328~~550
Bilateral downgrade agreements included in the amounts above1	$	~~489~~637

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

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


			51			~~June 2021 Form 10-Q~~


~~Table of Contents~~
Notes to Consolidated Financial Statements (Unaudited)

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

Maximum Potential Payout/Notional of Credit Protection Sold1


		Years to Maturity at June 30, 2021											Years to Maturity at March 31, 2022
$ in billions	$ in billions	< 1		1-3		3-5		Over 5		Total		$ in billions	< 1		1-3		3-5		Over 5		Total
Single-name CDS	Single-name CDS											Single-name CDS
Investment grade	Investment grade	$	9	$	23	$	30	$	9	$	71	Investment grade	$	11	$	27	$	30	$	13	$	81
Non-investment grade	Non-investment grade	6		12		16		2		36		Non-investment grade	5		13		17		5		40
Total	Total	$	15	$	35	$	46	$	11	$	107	Total	$	16	$	40	$	47	$	18	$	121
Index and basket CDS	Index and basket CDS											Index and basket CDS
Investment grade	Investment grade	$	2	$	7	$	89	$	16	$	114	Investment grade	$	2	$	11	$	107	$	48	$	168
Non-investment grade	Non-investment grade	6		15		37		15		73		Non-investment grade	9		16		37		24		86
Total	Total	$	8	$	22	$	126	$	31	$	187	Total	$	11	$	27	$	144	$	72	$	254
Total CDS sold	Total CDS sold	$	23	$	57	$	172	$	42	$	294	Total CDS sold	$	27	$	67	$	191	$	90	$	375
Other credit contracts	Other credit contracts	1		0		0		0		1		Other credit contracts	—		—		—		—		—
Total credit protection sold	Total credit protection sold	$	24	$	57	$	172	$	42	$	295	Total credit protection sold	$	27	$	67	$	191	$	90	$	375
CDS protection sold with identical protection purchased	CDS protection sold with identical protection purchased									$	248	CDS protection sold with identical protection purchased									$	331


		Years to Maturity at December 31, 2020											Years to Maturity at December 31, 2021
$ in billions	$ in billions	< 1		1-3		3-5		Over 5		Total		$ in billions	< 1		1-3		3-5		Over 5		Total
Single-name CDS	Single-name CDS											Single-name CDS
Investment grade	Investment grade	$	9	$	19	$	32	$	9	$	69	Investment grade	$	10	$	26	$	29	$	9	$	74
Non-investment grade	Non-investment grade	7		10		17		2		36		Non-investment grade	5		13		17		2		37
Total	Total	$	16	$	29	$	49	$	11	$	105	Total	$	15	$	39	$	46	$	11	$	111
Index and basket CDS	Index and basket CDS											Index and basket CDS
Investment grade	Investment grade	$	2	$	5	$	39	$	14	$	60	Investment grade	$	2	$	11	$	106	$	15	$	134
Non-investment grade	Non-investment grade	6		9		29		14		58		Non-investment grade	9		14		37		12		72
Total	Total	$	8	$	14	$	68	$	28	$	118	Total	$	11	$	25	$	143	$	27	$	206
Total CDS sold	Total CDS sold	$	24	$	43	$	117	$	39	$	223	Total CDS sold	$	26	$	64	$	189	$	38	$	317
Other credit contracts	Other credit contracts	0		0		0		0		0		Other credit contracts	—		—		—		—		—
Total credit protection sold	Total credit protection sold	$	24	$	43	$	117	$	39	$	223	Total credit protection sold	$	26	$	64	$	189	$	38	$	317
CDS protection sold with identical protection purchased	CDS protection sold with identical protection purchased									$	196	CDS protection sold with identical protection purchased									$	278

Fair Value Asset (Liability) of Credit Protection Sold1


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Single-name CDS	Single-name CDS					Single-name CDS
Investment grade	Investment grade	$	1,495	$	1,230	Investment grade	$	1,309	$	1,428
Non-investment grade	Non-investment grade	147		(22)		Non-investment grade	(1,805)		(370)
Total	Total	$	1,642	$	1,208	Total	$	(496)	$	1,058
Index and basket CDS	Index and basket CDS					Index and basket CDS
Investment grade	Investment grade	$	1,331	$	843	Investment grade	$	1,422	$	1,393
Non-investment grade	Non-investment grade	(617)		(824)		Non-investment grade	(1,243)		(650)
Total	Total	$	714	$	19	Total	$	179	$	743
Total CDS sold	Total CDS sold	$	2,356	$	1,227	Total CDS sold	$	(317)	$	1,801
Other credit contracts	Other credit contracts	(3)		(4)		Other credit contracts	(3)		(3)
Total credit protection sold	Total credit protection sold	$	2,353	$	1,223	Total credit protection sold	$	(320)	$	1,798

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

Protection Purchased with CDS


		Notional					Notional
$ in billions	$ in billions	At June 30, 2021		At December 31, 2020		$ in billions	At March 31, 2022		At December 31, 2021
Single name	Single name	$	118	$	116	Single name	$	138	$	126
Index and basket	Index and basket	185		116		Index and basket	235		204
Tranched index and basket	Tranched index and basket	15		14		Tranched index and basket	22		18
Total	Total	$	318	$	246	Total	$	395	$	348


		Fair Value Asset (Liability)					Fair Value Asset (Liability)
$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Single name	Single name	$	(1,906)	$	(1,452)	Single name	$	433	$	(1,338)
Index and basket	Index and basket	(999)		(57)		Index and basket	228		(563)
Tranched index and basket	Tranched index and basket	(335)		(329)		Tranched index and basket	(340)		(451)
Total	Total	$	(3,240)	$	(1,838)	Total	$	321	$	(2,352)

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

The fair value amounts as shown in the previous tables are prior to cash collateral or counterparty netting. For further information on credit derivatives and other credit contracts, see Note 7 to the financial statements in the ~~2020~~2021 Form 10-K.

~~8. Investment Securities~~

~~AFS and HTM Securities~~

At June 30, 2021
$ in millions
Amortized
Cost1
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Fair
Value
AFS securities
U.S. Treasury securities $ 45,594 $ 654 $ 38 $ 46,210
U.S. agency securities2
28,855 422 136 29,141
Agency CMBS 15,467 424 47 15,844
State and municipal securities 230 31 5 256
FFELP student loan ABS3
1,769 13 11 1,771
Total AFS securities 91,915 1,544 237 93,222
HTM securities
U.S. Treasury securities 29,429 1,235 40 30,624
U.S. agency securities2
49,247 306 760 48,793
Agency CMBS 2,513 0 25 2,488
Non-agency CMBS 931 42 1 972
Total HTM securities 82,120 1,583 826 82,877
Total investment securities $ 174,035 $ 3,127 $ 1,063 $ 176,099


~~June 2021~~March 2022 Form 10-Q			5246


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

At December 31, 2020
$ in millions
Amortized
Cost1
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Fair
Value
AFS securities
U.S. Treasury securities $ 45,345 $ 1,010 $ 0 $ 46,355
U.S. agency securities2
37,389 762 25 38,126
Agency CMBS 19,982 465 9 20,438
Corporate bonds 1,694 42 0 1,736
State and municipal securities 1,461 103 1 1,563
FFELP student loan ABS3
1,735 7 26 1,716
Other ABS 449 0 0 449
Total AFS securities 108,055 2,389 61 110,383
HTM securities
U.S. Treasury securities 29,346 1,893 0 31,239
U.S. agency securities2
38,951 704 8 39,647
Agency CMBS 2,632 4 2 2,634
Non-agency CMBS 842 58 0 900
Total HTM securities 71,771 2,659 10 74,420
Total investment securities $ 179,826 $ 5,048 $ 71 $ 184,803
7. Investment Securities

AFS and HTM Securities


	At March 31, 2022
$ in millions	Amortized Cost1		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS securities
U.S. Treasury securities	$	57,973	$	25	$	1,519	$	56,479
U.S. agency securities2	23,863		13		1,143		22,733
Agency CMBS	8,596		42		189		8,449


State and municipal securities	1,334		5		37		1,302
FFELP student loan ABS3	1,401		4		14		1,391

Total AFS securities	93,167		89		2,902		90,354
HTM securities
U.S. Treasury securities	29,526		117		544		29,099
U.S. agency securities2	47,656		5		4,079		43,582
Agency CMBS	2,166		—		115		2,051
Non-agency CMBS	1,091		1		48		1,044
Total HTM securities	80,439		123		4,786		75,776
Total investment securities	$	173,606	$	212	$	7,688	$	166,130


	At December 31, 2021
$ in millions	Amortized Cost1		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS securities
U.S. Treasury securities	$	58,974	$	343	$	296	$	59,021
U.S. agency securities2	26,780		274		241		26,813
Agency CMBS	14,476		289		89		14,676


State and municipal securities	613		37		2		648
FFELP student loan ABS3	1,672		11		11		1,672

Total AFS securities	102,515		954		639		102,830
HTM securities
U.S. Treasury securities	28,653		882		81		29,454
U.S. agency securities2	48,195		169		1,228		47,136
Agency CMBS	2,267		—		51		2,216
Non-agency CMBS	1,053		28		5		1,076
Total HTM securities	80,168		1,079		1,365		79,882
Total investment securities	$	182,683	$	2,033	$	2,004	$	182,712

1.Amounts are net of any ACL.

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

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

~~Investment~~

AFS Securities in an Unrealized Loss Position


		At June 30, 2021				At December 31, 2020					At March 31, 2022				At December 31, 2021
$ in millions	$ in millions	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		$ in millions	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
U.S. Treasury securities	U.S. Treasury securities									U.S. Treasury securities
Less than 12 months	Less than 12 months	$	13,017	$	38	$	151	$	0	Less than 12 months	$	39,314	$	1,252	$	31,459	$	296

12 months or longer										12 months or longer	6,828		267		—		—
Total	Total	13,017		38		151		0		Total	46,142		1,519		31,459		296
U.S. agency securities	U.S. agency securities									U.S. agency securities
Less than 12 months	Less than 12 months	9,081		135		5,808		22		Less than 12 months	16,478		816		12,283		219
12 months or longer	12 months or longer	793		1		1,168		3		12 months or longer	3,624		327		1,167		22
Total	Total	9,874		136		6,976		25		Total	20,102		1,143		13,450		241
Agency CMBS	Agency CMBS									Agency CMBS
Less than 12 months	Less than 12 months	2,983		47		2,779		9		Less than 12 months	3,634		182		2,872		89
12 months or longer	12 months or longer	28		0		46		0		12 months or longer	142		7		10		—
Total	Total	3,011		47		2,825		9		Total	3,776		189		2,882		89

Corporate bonds

12 months or longer		0		0		31		0
Total		0		0		31		0

State and municipal securities	State and municipal securities									State and municipal securities
Less than 12 months	Less than 12 months	34		5		86		0		Less than 12 months	1,112		37		21		2
12 months or longer		0		0		36		1

Total	Total	34		5		122		1		Total	1,112		37		21		2
FFELP student loan ABS	FFELP student loan ABS									FFELP student loan ABS
Less than 12 months	Less than 12 months	87		0		0		0		Less than 12 months	580		5		320		1
12 months or longer	12 months or longer	802		11		1,077		26		12 months or longer	412		9		591		10
Total	Total	889		11		1,077		26		Total	992		14		911		11

Total AFS securities in an unrealized loss position	Total AFS securities in an unrealized loss position									Total AFS securities in an unrealized loss position
Less than 12 months	Less than 12 months	25,202		225		8,824		31		Less than 12 months	61,118		2,292		46,955		607
12 months or longer	12 months or longer	1,623		12		2,358		30		12 months or longer	11,006		610		1,775		32
Total	Total	$	26,825	$	237	$	11,182	$	61	Total	$	72,124	$	2,902	$	48,730	$	639

For AFS securities, the Firm believes there are no securities in an unrealized loss position that have credit losses after

performing the analysis described in Note 2 in the ~~2020~~2021 Form 10-K and the Firm expects to recover the amortized cost basis of these securities. Additionally, the Firm does not intend to sell these securities and is not likely to be required to sell these securities prior to recovery of the amortized cost basis. As of ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, the securities in an unrealized loss position are predominantly investment grade.

The HTM securities net carrying amounts at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021 reflect an ACL of ~~$28~~$30 million and ~~$26~~$33 million, respectively, related to Non-agency CMBS. See Note 2 in the ~~2020~~2021 Form 10-K for a description of the ACL methodology used for HTM Securities. As of ~~June 30, 2021,~~March 31, 2022, and December 31, ~~2020,~~2021, Non-Agency CMBS HTM securities were predominantly on accrual status and investment grade.

See Note 1514 for additional information on securities issued by VIEs, including U.S. agency mortgage-backed securities, non-agency CMBS, and FFELP student loan ~~ABS and other~~ ABS.


			47			March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

Investment Securities by Contractual Maturity


		At June 30, 2021							At March 31, 2022
$ in millions	$ in millions	Amortized Cost1		Fair Value		Annualized Average Yield		$ in millions	Amortized Cost1		Fair Value		Annualized Average Yield2
AFS securities	AFS securities							AFS securities
U.S. Treasury securities:	U.S. Treasury securities:							U.S. Treasury securities:
Due within 1 year	Due within 1 year	$	10,079	$	10,161	1.4	%	Due within 1 year	$	8,901	$	8,911	1.6	%
After 1 year through 5 years	After 1 year through 5 years	26,632		27,138		1.3	%	After 1 year through 5 years	45,839		44,349		1.0	%
After 5 years through 10 years	After 5 years through 10 years	8,883		8,911		1.2	%	After 5 years through 10 years	3,233		3,219		1.1	%

Total	Total	45,594		46,210				Total	57,973		56,479
U.S. agency securities:	U.S. agency securities:							U.S. agency securities:
Due within 1 year	Due within 1 year	1		1		1.5	%	Due within 1 year	12		12		0.5	%
After 1 year through 5 years	After 1 year through 5 years	147		149		1.3	%	After 1 year through 5 years	335		322		1.2	%
After 5 years through 10 years	After 5 years through 10 years	1,466		1,504		1.8	%	After 5 years through 10 years	1,179		1,148		1.8	%
After 10 years	After 10 years	27,241		27,487		1.6	%	After 10 years	22,337		21,251		1.8	%
Total	Total	28,855		29,141				Total	23,863		22,733
Agency CMBS:	Agency CMBS:							Agency CMBS:
Due within 1 year	Due within 1 year	240		242		1.8	%	Due within 1 year	217		217		1.8	%
After 1 year through 5 years	After 1 year through 5 years	1,503		1,534		1.6	%	After 1 year through 5 years	1,318		1,298		1.6	%
After 5 years through 10 years	After 5 years through 10 years	10,665		11,030		1.6	%	After 5 years through 10 years	5,339		5,337		1.8	%
After 10 years	After 10 years	3,059		3,038		1.5	%	After 10 years	1,722		1,597		1.4	%
Total	Total	15,467		15,844				Total	8,596		8,449

State and municipal securities:	State and municipal securities:							State and municipal securities:
Due within 1 year	Due within 1 year	4		4		1.9	%	Due within 1 year	7		7		1.4	%
After 1 year through 5 years	After 1 year through 5 years	22		22		1.8	%	After 1 year through 5 years	24		25		2.3	%
After 5 years through 10 years	After 5 years through 10 years	30		39		2.3	%	After 5 years through 10 years	106		103		2.4	%
After 10 Years	After 10 Years	174		191		3.9	%	After 10 Years	1,197		1,167		2.6	%
Total	Total	230		256				Total	1,334		1,302
FFELP student loan ABS:	FFELP student loan ABS:							FFELP student loan ABS:

After 1 year through 5 years								After 1 year through 5 years	131		129		0.9	%
After 5 years through 10 years								After 5 years through 10 years	139		135		0.7	%
After 10 years								After 10 years	1,131		1,127		1.2	%
Total								Total	1,401		1,391

Total AFS securities								Total AFS securities	93,167		90,354		1.4	%

HTM securities								HTM securities
U.S. Treasury securities:								U.S. Treasury securities:
Due within 1 year								Due within 1 year	3,749		3,761		1.9	%
After 1 year through 5 years								After 1 year through 5 years	19,336		18,974		1.7	%
After 5 years through 10 years								After 5 years through 10 years	4,879		4,865		2.4	%
After 10 years								After 10 years	1,562		1,499		2.3	%
Total								Total	29,526		29,099
U.S. agency securities:								U.S. agency securities:

After 5 years through 10 years								After 5 years through 10 years	456		450		2.0	%
After 10 years								After 10 years	47,200		43,132		1.7	%
Total								Total	47,656		43,582
Agency CMBS:								Agency CMBS:
Due within 1 year	Due within 1 year	32		31		0.8	%	Due within 1 year	78		77		1.1	%
After 1 year through 5 years	After 1 year through 5 years	188		184		0.9	%	After 1 year through 5 years	1,371		1,312		1.3	%
After 5 years through 10 years	After 5 years through 10 years	152		148		0.7	%	After 5 years through 10 years	567		526		1.5	%
After 10 years	After 10 years	1,397		1,408		1.1	%	After 10 years	150		136		1.5	%
Total	Total	1,769		1,771				Total	2,166		2,051

Total AFS securities		91,915		93,222		1.4	%


	At March 31, 2022
$ in millions	Amortized Cost1		Fair Value		Annualized Average Yield2
Non-agency CMBS:
Due within 1 year	167		167		4.2	%
After 1 year through 5 years	90		89		3.4	%
After 5 years through 10 years	798		753		3.6	%
After 10 years	36		35		4.4	%
Total	1,091		1,044
Total HTM securities	80,439		75,776		1.8	%
Total investment securities	$	173,606	$	166,130	1.6	%

1.Amounts are net of any ACL.

2.Annualized average yield is computed using the effective yield, weighted based on the amortized cost of each security. The effective yield is shown pre-tax and considers the contractual coupon, amortization of premiums and accretion of discounts, and the effect of related hedging derivatives.

Gross Realized Gains (Losses) on Sales of AFS Securities


	Three Months Ended March 31,
$ in millions		2022		2021
Gross realized gains		$	126	$	145
Gross realized (losses)		(82)		(11)
Total1		$	44	$	134

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

8. Collateralized Transactions

Offsetting of Certain Collateralized Transactions


	At March 31, 2022
$ in millions	Gross Amounts		Amounts Offset		Balance Sheet Net Amounts		Amounts Not Offset1		Net Amounts
Assets
Securities purchased under agreements to resell	$	238,485	$	(110,718)	$	127,767	$	(123,988)	$	3,779
Securities borrowed	164,657		(13,662)		150,995		(143,492)		7,503
Liabilities
Securities sold under agreements to repurchase	$	170,786	$	(110,718)	$	60,068	$	(53,563)	$	6,505
Securities loaned	27,884		(13,662)		14,222		(13,930)		292
Net amounts for which master netting agreements are not in place or may not be legally enforceable
Securities purchased under agreements to resell									$	2,772
Securities borrowed									849
Securities sold under agreements to repurchase									5,010
Securities loaned									151

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

At June 30, 2021
$ in millions
Amortized
Cost1
Fair
Value Annualized
Average
Yield
HTM securities
U.S. Treasury securities:
Due within 1 year 3,673 3,711 1.9 %
After 1 year through 5 years 19,256 19,880 1.7 %
After 5 years through 10 years 5,418 5,855 2.4 %
After 10 years 1,082 1,178 2.5 %
Total 29,429 30,624
U.S. agency securities:
After 5 years through 10 years 546 562 2.0 %
After 10 years 48,701 48,231 1.6 %
Total 49,247 48,793
Agency CMBS:
Due within 1 year 21 21 2.4 %
After 1 year through 5 years 1,358 1,349 1.3 %
After 5 years through 10 years 971 958 1.4 %
After 10 years 163 160 1.5 %
Total 2,513 2,488
Non-agency CMBS:
Due within 1 year 151 151 4.5 %
After 1 year through 5 years 65 67 2.7 %
After 5 years through 10 years 662 698 3.7 %
After 10 years 53 56 3.8 %
Total 931 972
Total HTM securities 82,120 82,877 1.7 %
Total investment securities $ 174,035 $ 176,099 1.6 %

1.~~Amounts are net of any ACL.~~

~~Gross Realized Gains (Losses) on Sales of AFS Securities~~

Three Months Ended
June 30, Six Months Ended
June 30,
$ in millions 2021 2020 2021 2020
Gross realized gains $ 74 $ 16 $ 219 $ 65
Gross realized (losses) (16) (6) (27) (14)
Total1
$ 58 $ 10 $ 192 $ 51

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

~~9. Collateralized Transactions~~

~~Offsetting of Certain Collateralized Transactions~~

At June 30, 2021
$ in millions Gross Amounts Amounts Offset Balance Sheet Net Amounts
Amounts Not Offset1
Net Amounts
Assets
Securities purchased under agreements to resell $ 198,942 $ (103,012) $ 95,930 $ (93,720) $ 2,210
Securities borrowed 137,720 (11,017) 126,703 (121,432) 5,271
Liabilities
Securities sold under agreements to repurchase $ 160,657 $ (103,012) $ 57,645 $ (48,791) $ 8,854
Securities loaned 20,591 (11,017) 9,574 (9,275) 299
Net amounts for which master netting agreements are not in place or may not be legally enforceable
Securities purchased under agreements to resell $ 1,824
Securities borrowed 1,120
Securities sold under agreements to repurchase 8,099
Securities loaned 164


		At December 31, 2020											At December 31, 2021
$ in millions	$ in millions	Gross Amounts		Amounts Offset		Balance Sheet Net Amounts		Amounts Not Offset1		Net Amounts		$ in millions	Gross Amounts		Amounts Offset		Balance Sheet Net Amounts		Amounts Not Offset1		Net Amounts
Assets	Assets											Assets
Securities purchased under agreements to resell	Securities purchased under agreements to resell	$	264,140	$	(147,906)	$	116,234	$	(114,108)	$	2,126	Securities purchased under agreements to resell	$	197,486	$	(77,487)	$	119,999	$	(106,896)	$	13,103
Securities borrowed	Securities borrowed	124,921		(12,530)		112,391		(107,434)		4,957		Securities borrowed	139,395		(9,682)		129,713		(124,028)		5,685
Liabilities	Liabilities											Liabilities
Securities sold under agreements to repurchase	Securities sold under agreements to repurchase	$	198,493	$	(147,906)	$	50,587	$	(43,960)	$	6,627	Securities sold under agreements to repurchase	$	139,675	$	(77,487)	$	62,188	$	(53,692)	$	8,496
Securities loaned	Securities loaned	20,261		(12,530)		7,731		(7,430)		301		Securities loaned	21,981		(9,682)		12,299		(12,019)		280
Net amounts for which master netting agreements are not in place or may not be legally enforceable	Net amounts for which master netting agreements are not in place or may not be legally enforceable											Net amounts for which master netting agreements are not in place or may not be legally enforceable
Securities purchased under agreements to resell	Securities purchased under agreements to resell									$	1,870	Securities purchased under agreements to resell									$	12,514
Securities borrowed	Securities borrowed									596		Securities borrowed									1,041
Securities sold under agreements to repurchase	Securities sold under agreements to repurchase									6,282		Securities sold under agreements to repurchase									8,295
Securities loaned	Securities loaned									128		Securities loaned									139

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

For further discussion of the Firm’s collateralized transactions, see Note 2 and Note 9 to the financial statements in the ~~2020~~2021 Form 10-K. For information related to offsetting of derivatives, see Note 7.6.

Gross Secured Financing Balances by Remaining Contractual Maturity


		At June 30, 2021											At March 31, 2022
$ in millions	$ in millions	Overnight and Open		Less than 30 Days		30-90 Days		Over 90 Days		Total		$ in millions	Overnight and Open		Less than 30 Days		30-90 Days		Over 90 Days		Total
Securities sold under agreements to repurchase	Securities sold under agreements to repurchase	$	53,852	$	52,208	$	14,459	$	40,138	$	160,657	Securities sold under agreements to repurchase	$	57,575	$	55,401	$	15,420	$	42,390	$	170,786
Securities loaned	Securities loaned	13,432		250		150		6,759		20,591		Securities loaned	17,040		—		675		10,169		27,884
Total included in the offsetting disclosure	Total included in the offsetting disclosure	$	67,284	$	52,458	$	14,609	$	46,897	$	181,248	Total included in the offsetting disclosure	$	74,615	$	55,401	$	16,095	$	52,559	$	198,670
Trading liabilities— Obligation to return securities received as collateral	Trading liabilities— Obligation to return securities received as collateral	22,331		0		0		—		22,331		Trading liabilities— Obligation to return securities received as collateral	26,399		—		—		—		26,399
Total	Total	$	89,615	$	52,458	$	14,609	$	46,897	$	203,579	Total	$	101,014	$	55,401	$	16,095	$	52,559	$	225,069


	At December 31, 2021
$ in millions	Overnight and Open		Less than 30 Days		30-90 Days		Over 90 Days		Total
Securities sold under agreements to repurchase	$	29,271	$	53,987	$	17,099	$	39,318	$	139,675
Securities loaned	11,480		364		650		9,487		21,981
Total included in the offsetting disclosure	$	40,751	$	54,351	$	17,749	$	48,805	$	161,656
Trading liabilities— Obligation to return securities received as collateral	30,104		—		—		—		30,104
Total	$	70,855	$	54,351	$	17,749	$	48,805	$	191,760


~~June 2021 Form 10-Q~~			54


~~Table of Contents~~
Notes to Consolidated Financial Statements (Unaudited)

At December 31, 2020
$ in millions Overnight and Open Less than 30 Days 30-90 Days Over 90 Days Total
Securities sold under agreements to repurchase $ 84,349 $ 60,853 $ 26,221 $ 27,070 $ 198,493
Securities loaned 15,267 247 0 4,747 20,261
Total included in the offsetting disclosure $ 99,616 $ 61,100 $ 26,221 $ 31,817 $ 218,754
Trading liabilities—
Obligation to return securities received as collateral 16,389 0 0 0 16,389
Total $ 116,005 $ 61,100 $ 26,221 $ 31,817 $ 235,143

Gross Secured Financing Balances by Class of Collateral Pledged


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Securities sold under agreements to repurchase	Securities sold under agreements to repurchase					Securities sold under agreements to repurchase
U.S. Treasury and agency securities	U.S. Treasury and agency securities	$	39,247	$	94,662	U.S. Treasury and agency securities	$	51,940	$	30,790
Other sovereign government obligations	Other sovereign government obligations	85,282		71,140		Other sovereign government obligations	87,195		73,063
Corporate equities	Corporate equities	26,775		24,692		Corporate equities	19,200		25,881
Other	Other	9,353		7,999		Other	12,451		9,941
Total	Total	$	160,657	$	198,493	Total	$	170,786	$	139,675
Securities loaned	Securities loaned					Securities loaned
Other sovereign government obligations	Other sovereign government obligations	$	1,414	$	3,430	Other sovereign government obligations	$	858	$	748
Corporate equities	Corporate equities	19,079		16,536		Corporate equities	26,528		20,656
Other	Other	98		295		Other	498		577
Total	Total	$	20,591	$	20,261	Total	$	27,884	$	21,981
Total included in the offsetting disclosure	Total included in the offsetting disclosure	$	181,248	$	218,754	Total included in the offsetting disclosure	$	198,670	$	161,656
Trading liabilities—Obligation to return securities received as collateral	Trading liabilities—Obligation to return securities received as collateral					Trading liabilities—Obligation to return securities received as collateral
Corporate equities	Corporate equities	$	22,312	$	16,365	Corporate equities	$	26,370	$	30,048
Other	Other	19		24		Other	29		56
Total	Total	$	22,331	$	16,389	Total	$	26,399	$	30,104
Total	Total	$	203,579	$	235,143	Total	$	225,069	$	191,760

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


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Trading assets	Trading assets	$	35,894	$	30,954	Trading assets	$	32,061	$	32,458

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

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

Fair Value of Collateral Received with Right to Sell or Repledge


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Collateral received with right to sell or repledge	Collateral received with right to sell or repledge	$	708,327	$	724,818	Collateral received with right to sell or repledge	$	725,931	$	672,104
Collateral that was sold or repledged1	Collateral that was sold or repledged1	540,654		523,648		Collateral that was sold or repledged1	564,304		510,000

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

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


			49			March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

Securities Segregated for Regulatory Purposes


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Segregated securities1	Segregated securities1	$	23,912	$	34,106	Segregated securities1	$	30,324	$	20,092

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

Customer Margin and Other Lending


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Margin and other lending	Margin and other lending	$	72,942	$	74,714	Margin and other lending	$	56,348	$	71,532

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

For a further discussion of the Firm’s margin lending activities, see Note 9 to the financial statements in the ~~2020~~2021 Form 10-K.

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

Other Secured Financings

The Firm has additional secured liabilities. For a further discussion of other secured financings, see Note ~~13.~~


			55			~~June 2021 Form 10-Q~~

12.


~~Table of Contents~~
Notes to Consolidated Financial Statements (Unaudited)

~~10.~~9. Loans, Lending Commitments and Related Allowance for Credit Losses

Loans by Type


		At June 30, 2021							At March 31, 2022
$ in millions	$ in millions	Loans Held for Investment		Loans Held for Sale		Total Loans		$ in millions	HFI Loans		HFS Loans		Total Loans
Corporate	Corporate	$	4,724	$	7,098	$	11,822	Corporate	$	6,105	$	7,069	$	13,174
Secured lending facilities	Secured lending facilities	28,217		3,951		32,168		Secured lending facilities	29,896		4,661		34,557
Commercial real estate	Commercial real estate	6,707		583		7,290		Commercial real estate	8,276		1,986		10,262
Residential real estate	Residential real estate	38,917		47		38,964		Residential real estate	47,236		6		47,242
Securities-based lending and Other loans	Securities-based lending and Other loans	76,468		34		76,502		Securities-based lending and Other loans	91,413		291		91,704
Total loans	Total loans	155,033		11,713		166,746		Total loans	182,926		14,013		196,939
ACL	ACL	(687)				(687)		ACL	(679)				(679)
Total loans, net	Total loans, net	$	154,346	$	11,713	$	166,059	Total loans, net	$	182,247	$	14,013	$	196,260
Fixed rate loans, net						$	38,968
Floating or adjustable rate loans, net						127,091
Loans to non-U.S. borrowers, net	Loans to non-U.S. borrowers, net					21,567		Loans to non-U.S. borrowers, net					$	24,286

At December 31, 2020
$ in millions
Loans Held
for Investment
Loans Held
for Sale
Total Loans
Corporate $ 6,046 $ 8,580 $ 14,626
Secured lending facilities 25,727 3,296 29,023
Commercial real estate 7,346 822 8,168
Residential real estate 35,268 48 35,316
Securities-based lending and Other loans 64,232 67 64,299
Total loans 138,619 12,813 151,432
ACL (835) (835)
Total loans, net $ 137,784 $ 12,813 $ 150,597
Fixed rate loans, net $ 32,796
Floating or adjustable rate loans, net 117,801
Loans to non-U.S. borrowers, net 21,081


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

For additional information on the Firm’s held-for-investment and held-for-sale loan portfolios, see Note 10 to the financial statements in the ~~2020~~2021 Form 10-K.

Loans by Interest Rate Type


	At March 31, 2022				At December 31, 2021
$ in millions	Fixed Rate		Floating or Adjustable Rate		Fixed Rate		Floating or Adjustable Rate
Corporate	$	—	$	13,174	$	—	$	13,674
Secured lending facilities	—		34,557		—		35,350
Commercial real estate	342		9,920		343		8,661
Residential real estate	20,754		26,488		18,966		25,292
Securities-based lending and Other loans	24,705		66,999		22,832		63,670
Total loans, before ACL	$	45,801	$	151,138	$	42,141	$	146,647

Note 54 for further information regarding Loans and lending commitments held at fair value. See Note 1413 for details of current commitments to lend in the future.

Loans Held for Investment before Allowance by Origination Year


	At March 31, 2022						At December 31, 2021
	Corporate
$ in millions	IG		NIG		Total		IG		NIG		Total
Revolving	$	2,681	$	2,541	$	5,222	$	2,356	$	2,328	$	4,684
2022	—		3		3
2021	—		94		94		—		85		85
2020	110		27		137		111		26		137
2019	—		169		169		—		176		176
2018	196		—		196		196		—		196
Prior	225		59		284		229		60		289
Total	$	3,212	$	2,893	$	6,105	$	2,892	$	2,675	$	5,567

At June 30, 2021 At December 31, 2020
Corporate
$ in millions IG NIG Total IG NIG Total
Revolving $ 1,404 $ 2,353 $ 3,757 $ 1,138 $ 3,231 $ 4,369
2021 0 71 71
2020 183 25 208 585 80 665
2019 11 187 198 204 202 406
2018 195 0 195 195 0 195
2017 0 62 62 0 64 64
Prior 233 0 233 247 100 347
Total $ 2,026 $ 2,698 $ 4,724 $ 2,369 $ 3,677 $ 6,046

At June 30, 2021 At December 31, 2020
Secured lending facilities
$ in millions IG NIG Total IG NIG Total
Revolving $ 6,932 $ 15,899 $ 22,831 $ 4,711 $ 14,510 $ 19,221
2021 460 308 768
2020 84 214 298 162 253 415
2019 179 1,644 1,823 260 1,904 2,164
2018 328 824 1,152 614 1,432 2,046
2017 144 359 503 245 581 826
Prior 0 842 842 0 1,055 1,055
Total $ 8,127 $ 20,090 $ 28,217 $ 5,992 $ 19,735 $ 25,727

At June 30, 2021 At December 31, 2020
Commercial real estate
$ in millions IG NIG Total IG NIG Total
2021 $ 82 $ 363 $ 445
2020 165 820 985 $ 95 $ 943 $ 1,038
2019 1,031 1,585 2,616 1,074 1,848 2,922
2018 433 537 970 746 774 1,520
2017 367 341 708 412 387 799
Prior 100 883 983 100 967 1,067
Total $ 2,178 $ 4,529 $ 6,707 $ 2,427 $ 4,919 $ 7,346

At June 30, 2021
Residential real estate
by FICO Scores by LTV Ratio Total
$ in millions ≥ 740 680-739 ≤ 679 ≤ 80% > 80%
Revolving $ 69 $ 30 $ 5 $ 104 $ 0 $ 104
2021 5,506 1,131 101 6,312 426 6,738
2020 8,530 1,761 136 9,874 553 10,427
2019 5,176 1,168 155 6,096 403 6,499
2018 2,108 547 70 2,505 220 2,725
2017 2,422 621 78 2,900 221 3,121
Prior 6,745 2,201 357 8,461 842 9,303
Total $ 30,556 $ 7,459 $ 902 $ 36,252 $ 2,665 $ 38,917

At December 31, 2020
Residential real estate
by FICO Scores by LTV Ratio Total
$ in millions ≥ 740 680-739 ≤ 679 ≤ 80% > 80%
Revolving $ 85 $ 32 $ 5 $ 122 $ 0 $ 122
2020 8,948 1,824 149 10,338 583 10,921
2019 5,592 1,265 168 6,584 441 7,025
2018 2,320 604 75 2,756 243 2,999
2017 2,721 690 89 3,251 249 3,500
2016 3,324 884 118 4,035 291 4,326
Prior 4,465 1,626 284 5,684 691 6,375
Total $ 27,455 $ 6,925 $ 888 $ 32,770 $ 2,498 $ 35,268


		At June 30, 2021									At March 31, 2022						At December 31, 2021
		Securities-based lending1		Other2							Secured Lending Facilities
$ in millions	$ in millions			Investment Grade		Non-Investment Grade		Total		$ in millions	IG		NIG		Total		IG		NIG		Total
Revolving	Revolving	$	63,243	$	5,383	$	715	$	69,341	Revolving	$	7,784	$	18,539	$	26,323	$	7,603	$	20,172	$	27,775
2022										2022	—		403		403
2021	2021	31		232		49		312		2021	32		429		461		32		467		499
2020	2020	0		817		586		1,403		2020	—		140		140		35		160		195
2019	2019	18		1,121		637		1,776		2019	43		753		796		43		819		862
2018	2018	232		378		421		1,031		2018	268		415		683		297		703		1,000
2017		0		645		147		792
Prior	Prior	16		1,496		301		1,813		Prior	144		946		1,090		144		996		1,140
Total	Total	$	63,540	$	10,072	$	2,856	$	76,468	Total	$	8,271	$	21,625	$	29,896	$	8,154	$	23,317	$	31,471


~~June 2021~~March 2022 Form 10-Q			5650


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)


		December 31, 2020									At March 31, 2022						At December 31, 2021
		Securities-based lending1		Other2							Commercial Real Estate
$ in millions	$ in millions			Investment Grade		Non-Investment Grade		Total		$ in millions	IG		NIG		Total		IG		NIG		Total
Revolving	Revolving	$	51,667	$	4,816	$	555	$	57,038	Revolving	$	4	$	83	$	87	$	3	$	149	$	152
2022										2022	122		1,020		1,142
2021										2021	457		1,490		1,947		423		1,292		1,715
2020	2020	0		1,073		590		1,663		2020	92		812		904		91		819		910
2019	2019	18		1,156		623		1,797		2019	1,182		936		2,118		976		1,266		2,242
2018	2018	232		407		403		1,042		2018	603		325		928		527		416		943
2017		0		654		122		776
2016		0		566		111		677
Prior	Prior	16		1,066		157		1,239		Prior	188		962		1,150		189		1,076		1,265
Total	Total	$	51,933	$	9,738	$	2,561	$	64,232	Total	$	2,648	$	5,628	$	8,276	$	2,209	$	5,018	$	7,227


	At March 31, 2022
	Residential Real Estate
	by FICO Scores						by LTV Ratio				Total
$ in millions	≥ 740		680-739		≤ 679		≤ 80%		> 80%
Revolving	$	64	$	24	$	4	$	92	$	—	$	92
2022	3,468		733		93		3,980		314		4,294
2021	12,115		2,623		263		13,996		1,005		15,001
2020	7,711		1,592		130		8,935		498		9,433
2019	4,520		1,039		143		5,351		351		5,702
2018	1,775		481		53		2,130		179		2,309
Prior	7,701		2,345		359		9,535		870		10,405
Total	$	37,354	$	8,837	$	1,045	$	44,019	$	3,217	$	47,236


	At December 31, 2021
	Residential Real Estate
	by FICO Scores						by LTV Ratio				Total
$ in millions	≥ 740		680-739		≤ 679		≤ 80%		> 80%
Revolving	$	65	$	27	$	4	$	96	$	—	$	96
2021	12,230		2,638		257		14,116		1,009		15,125
2020	7,941		1,648		131		9,210		510		9,720
2019	4,690		1,072		140		5,536		366		5,902
2018	1,865		497		55		2,231		186		2,417
2017	2,157		558		65		2,588		192		2,780
Prior	5,973		1,919		319		7,485		726		8,211
Total	$	34,921	$	8,359	$	971	$	41,262	$	2,989	$	44,251


	At March 31, 2022
	Securities-based Lending1		Other2
$ in millions			IG		NIG		Total
Revolving	$	75,570	$	6,105	$	988	$	82,663
2022	720		477		85		1,282
2021	800		565		152		1,517
2020	—		596		657		1,253
2019	19		994		602		1,615
2018	213		273		288		774
Prior	16		1,682		611		2,309
Total	$	77,338	$	10,692	$	3,383	$	91,413


	December 31, 2021
	Securities-based Lending1		Other2
$ in millions			IG		NIG		Total
Revolving	$	71,485	$	6,170	$	858	$	78,513
2021	807		708		103		1,618
2020	—		651		626		1,277
2019	19		1,079		633		1,731
2018	232		273		375		880
2017	—		531		217		748
Prior	16		1,294		363		1,673
Total	$	72,559	$	10,706	$	3,175	$	86,440

IG—Investment Grade

NIG—Non-investment Grade

1. Securities-based loans are subject to collateral maintenance provisions, and at ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, these loans are predominantly over-collateralized. For more information on the ACL methodology related to securities-based loans, see Note 2 to the financial statements in the ~~2020~~2021 Form 10-K.

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

Past Due Loans Held for Investment before Allowance1

$ in millions At June 30, 2021 At December 31, 2020
Residential real estate 194 332
Securities-based lending and Other loans 0 31
Total $ 194 $ 363


$ in millions	At March 31, 2022	At December 31, 2021



Residential real estate	191	209

1.The majority of the amounts are past due for a period of less than 90 ~~days as of June 30, 2021 and December 31, 2020.~~days.

Nonaccrual Loans Held for Investment before Allowance


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Corporate	Corporate	$	98	$	164	Corporate	$	77	$	34
Secured lending facilities	Secured lending facilities	298		0		Secured lending facilities	110		375
Commercial real estate	Commercial real estate	71		152		Commercial real estate	287		195
Residential real estate	Residential real estate	123		97		Residential real estate	119		138
Securities-based lending and Other loans	Securities-based lending and Other loans	163		178		Securities-based lending and Other loans	142		151
Total1	Total1	$	753	$	591	Total1	$	735	$	893
Nonaccrual loans without an ACL	Nonaccrual loans without an ACL	$	124	$	90	Nonaccrual loans without an ACL	$	112	$	356

1.Includes all ~~HFI~~ loans held for investment that are 90 days or more past due as of ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021.

See Note 2 to the financial statements in the ~~2020~~2021 Form 10-K for a description of the ACL calculated under the CECL methodology, including credit quality indicators, used for HFI loans.

Troubled Debt Restructurings


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Loans, before ACL	Loans, before ACL	$	62	$	167	Loans, before ACL	$	30	$	49
Lending commitments		0		27
ACL on Loans and Lending commitments		10		36

Allowance for credit losses						Allowance for credit losses	—		8

Troubled debt restructurings typically include modifications of interest rates, collateral requirements, other loan covenants and payment extensions. See Note 2 to the financial statements in the ~~2020~~2021 Form 10-K for further information on TDR guidance issued by Congress in the CARES Act as well as by the U.S. banking agencies.

~~Allowance for Credit Losses Rollforward—Loans~~

$ in millions Corporate Secured lending facilities CRE Residential real estate SBL and Other Total
December 31, 2020 $ 309 $ 198 $ 211 $ 59 $ 58 $ 835
Gross charge-offs (14) (67) (21) 0 0 (102)
Provision for credit losses1
(95) 48 5 (2) 2 (42)
Other (1) (2) (1) 0 0 (4)
June 30, 2021 $ 199 $ 177 $ 194 $ 57 $ 60 $ 687

$ in millions Corporate Secured lending facilities CRE Residential real estate SBL and Other Total
December 31, 2019 $ 115 $ 101 $ 75 $ 25 $ 33 $ 349
Effect of CECL adoption (2) (42) 34 21 (2) 9
Gross charge-offs (33) 0 0 0 0 (33)
Recoveries 0 0 0 0 2 2
Net recoveries (charge-offs) (33) 0 0 0 2 (31)
Provision for credit losses1
298 63 155 13 9 538
Other 1 0 (38) 0 38 1
June 30, 2020 $ 379 $ 122 $ 226 $ 59 $ 80 $ 866

~~Allowance for Credit Losses Rollforward—Lending Commitments~~

$ in millions Corporate Secured lending facilities CRE Residential real estate SBL and Other Total
December 31, 2020 $ 323 $ 38 $ 11 $ 1 $ 23 $ 396
Provision for credit losses1
18 1 0 0 (2) 17
Other (1) 1 (1) 0 0 (1)
June 30, 2021 $ 340 $ 40 $ 10 $ 1 $ 21 $ 412

$ in millions Corporate Secured lending facilities CRE Residential real estate SBL and Other Total
December 31, 2019 $ 201 $ 27 $ 7 $ 0 $ 6 $ 241
Effect of CECL adoption (41) (11) 1 2 (1) (50)
Provision for credit losses1
73 26 7 (1) 3 108
Other (2) 0 (4) 0 4 (2)
June 30, 2020 $ 231 $ 42 $ 11 $ 1 $ 12 $ 297

~~CRE—Commercial real estate~~

~~SBL—Securities-based lending.~~

~~Provision for Credit Losses~~

Three Months Ended
June 30,
$ in millions 2021 2020
Loans $ 16 $ 246
Lending commitments 57 (7)

The aggregate allowance for loans and lending commitments decreased in the current year period, primarily reflecting charge-offs and a release in the allowance for credit losses within the Institutional Securities business segment. The allowance release was primarily a result of improvements in the outlook for macroeconomic conditions and the impact of paydowns on Corporate loans, including by lower-rated borrowers, partially offset by the provision for one Secured lending facility.The base scenario used in our ACL models as


			5751			~~June 2021~~March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

Allowance for Credit Losses Rollforward and Allocation—Loans


$ in millions	Corporate			Secured Lending Facilities			CRE			Residential Real Estate			SBL and Other			Total
December 31, 2021	$	165		$	163		$	206		$	60		$	60		$	654
Gross charge-offs	—			(3)			(7)			—			(1)			(11)


Provision (release)	6			12			6			13			2			39
Other	(1)			—			(2)			—			—			(3)
March 31, 2022	$	170		$	172		$	203		$	73		$	61		$	679
Percent of loans to total loans1	3		%	16		%	5		%	26		%	50		%	100		%


$ in millions	Corporate			Secured Lending Facilities			CRE			Residential Real Estate			SBL and Other			Total
December 31, 2020	$	309		$	198		$	211		$	59		$	58		$	835
Gross charge-offs	(1)			—			(9)			—			—			(10)


Provision (release)	(56)			(3)			5			(5)			1			(58)
Other	(2)			(2)			(1)			—			—			(5)
March 31, 2021	$	250		$	193		$	206		$	54		$	59		$	762
Percent of loans to total loans1	4		%	18		%	5		%	25		%	48		%	100		%

CRE—Commercial real estate

SBL—Securities-based lending

1.Percent of ~~June 30, 2021~~loans to total loans represents loans held for investment by loan type to total loans held for investment.

Allowance for Credit Losses Rollforward—Lending Commitments


$ in millions	Corporate		Secured Lending Facilities		CRE		Residential Real Estate		SBL and Other		Total
December 31, 2021	$	356	$	41	$	20	$	1	$	26	$	444
Provision (release)	20		8		(7)		—		(3)		18
Other	(3)		—		—		—		—		(3)
March 31, 2022	$	373	$	49	$	13	$	1	$	23	$	459


$ in millions	Corporate		Secured Lending Facilities		CRE		Residential Real Estate		SBL and Other		Total
December 31, 2020	$	323	$	38	$	11	$	1	$	23	$	396
Provision (release)	(33)		(4)		(2)		—		(1)		(40)
Other	(1)		1		(1)		—		(1)		(2)
March 31, 2021	$	289	$	35	$	8	$	1	$	21	$	354

The aggregate allowance for credit losses for loans and lending commitments increased in the current quarter, reflecting the Provision for credit losses primarily due to portfolio growth.The base scenario used in our ACL models as of March 31, 2022 was generated using a combination of industry consensus economic forecasts, forward rates, and internally developed and validated ~~models.~~models, and assumes continued growth over the forecast period. Given the nature of our lending portfolio, the most sensitive model input is U.S. gross domestic product. The base scenario, among other things, assumes continued growth over the forecast period with U.S. GDP reaching a year-over-year growth rate of approximately 6% by the fourth quarter of 2021, supported by fiscal stimulus and accommodative monetary policy. For a further discussion of the Firm’s loans as well as the Firm’s allowance methodology, refer to Notes 2 and 10 to the financial statements in the ~~2020~~2021 Form 10-K.

Selected Credit Ratios


	At March 31, 2022		At December 31, 2021
ACL to total loans1	0.4	%	0.4	%
Nonaccrual loans to total loans2	0.4	%	0.5	%
ACL to nonaccrual loans3	92.4	%	73.2	%

1.Allowance for credit losses for loans to total loans held for investment.

2.Nonaccrual loans held for investment, which are loans that are 90 days or more past due, to total loans held for investment.

3.Allowance for credit losses for loans to nonaccrual loans held for investment.

Employee Loans


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Currently employed by the Firm1	Currently employed by the Firm1	$	3,329	$	3,100	Currently employed by the Firm1	$	3,759	$	3,613
No longer employed by the Firm2	No longer employed by the Firm2	133		$	140	No longer employed by the Firm2	105		$	113
Employee loans	Employee loans	$	3,462	$	3,240	Employee loans	$	3,864	$	3,726
ACL	ACL	(163)		(165)		ACL	(146)		(153)
Employee loans, net of ACL	Employee loans, net of ACL	$	3,299	$	3,075	Employee loans, net of ACL	$	3,718	$	3,573
Remaining repayment term, weighted average in years	Remaining repayment term, weighted average in years	5.6		5.3		Remaining repayment term, weighted average in years	5.7		5.7

1.These loans ~~were~~are predominantly current as of ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~2021.

2.These loans ~~were~~are predominantly past due for a period of 90 days or more as of ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020.~~

2021.

Employee loans are granted in conjunction with a program established primarily to recruit certain Wealth Management representatives, are full recourse and generally require periodic repayments, and are due in full upon termination of employment with the Firm. These loans are recorded in Customer and other receivables in the balance ~~sheets. The ACL as of June 30, 2021 and December 31, 2020 was calculated under the CECL methodology. The related provision is recorded in Compensation and benefits expense in the income statements.~~sheet. See Note 2 to the financial statements in the ~~2020~~2021 Form 10-K for a description of the CECL allowance methodology, including credit quality indicators, for employee loans.

~~11.~~10. Other Assets—Equity Method Investments

Equity Method Investments


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Investments	Investments	$	2,266	$	2,410	Investments	$	2,138	$	2,214


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions	2022		2021
Income (loss)	Income (loss)	$	51	$	(63)	$	27	$	(34)	Income (loss)	$	6	$	(24)

Equity method investments, other than investments in certain fund interests, are summarized above and are included in Other assets in the balance ~~sheets~~sheet with related income or loss included in Other revenues in the income ~~statements.~~statement. See “Net Asset Value Measurements—Fund Interests” in Note 5

4 for the carrying value of certain of the Firm’s fund interests, which are ~~comprised~~composed of general and limited partnership interests, as well as any related carried interest.

~~Japanese Securities Joint Venture~~

Three Months Ended
June 30, Six Months Ended
June 30,
$ in millions 2021 2020 2021 2020
Income (loss) from investment in MUMSS $ 52 $ (1) $ 84 $ 31

For more information on Mitsubishi UFJ Morgan Stanley Securities Co., Ltd. (“MUMSS”) and other relationships with Mitsubishi UFJ Financial Group, Inc., see Note 12 to the financial statements in the 2020 Form 10-K.

~~12. Deposits~~

~~Deposits~~

$ in millions At
June 30,
2021 At
December 31,
2020
Savings and demand deposits $ 299,681 $ 279,221
Time deposits 20,677 31,561
Total $ 320,358 $ 310,782
Deposits subject to FDIC insurance $ 237,803 $ 234,211
Time deposits that equal or exceed the FDIC insurance limit $ 6 $ 16

~~Time Deposit Maturities~~

$ in millions At
June 30,
2021
2021 $ 6,804
2022 5,523
2023 4,117
2024 2,821
2025 776
Thereafter 636
Total $ 20,677

13. ~~Borrowings and Other Secured Financings~~

~~Borrowings~~

$ in millions At
June 30,
2021 At
December 31,
2020
Original maturities of one year or less $ 5,538 $ 3,691
Original maturities greater than one year
Senior $ 207,781 $ 202,305
Subordinated 10,823 11,083
Total $ 218,604 $ 213,388
Total borrowings $ 224,142 $ 217,079
Weighted average stated maturity, in years1
7.6 7.3

1.~~Only includes borrowings with original maturities greater than one year.~~


~~June 2021~~March 2022 Form 10-Q			5852


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

Japanese Securities Joint Venture


	Three Months Ended March 31,
$ in millions	2022		2021
Income (loss) from investment in MUMSS	$	4	$	32

11. Deposits

Deposits


$ in millions	At March 31, 2022		At December 31, 2021
Savings and demand deposits	$	348,651	$	332,747
Time deposits	12,189		14,827
Total	$	360,840	$	347,574
Deposits subject to FDIC insurance	$	234,779	$	230,894
Deposits not subject to FDIC insurance	$	126,061	$	116,680

Time Deposit Maturities


$ in millions	At March 31, 2022
2022	$	3,423
2023	4,187
2024	2,796
2025	882
2026	306
Thereafter	595
Total	$	12,189

12. Borrowings and Other Secured Financings

Borrowings


$ in millions	At March 31, 2022		At December 31, 2021
Original maturities of one year or less	$	4,146	$	5,764
Original maturities greater than one year
Senior	$	212,687	$	213,776
Subordinated	12,984		13,587
Total	$	225,671	$	227,363
Total borrowings	$	229,817	$	233,127
Weighted average stated maturity, in years1	7.3		7.7

1.Only includes borrowings with original maturities greater than one year.

Other Secured Financings


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Original maturities:	Original maturities:					Original maturities:
One year or less	One year or less	$	6,767	$	10,453	One year or less	$	3,778	$	4,573
Greater than one year	Greater than one year	4,465		5,410		Greater than one year	5,030		5,468
Total	Total	$	11,232	$	15,863	Total	$	8,808	$	10,041
Transfers of assets accounted for as secured financings	Transfers of assets accounted for as secured financings	$	1,253	$	1,529	Transfers of assets accounted for as secured financings	$	1,071	$	1,556

~~Other~~

Other secured financings include the liabilities related to ~~certain ELNs,~~collateralized notes, transfers of financial assets that are accounted for as financings rather than sales ~~pledged commodities,~~and consolidated VIEs where the Firm is deemed to be the primary ~~beneficiary and other secured borrowings.~~beneficiary. These liabilities are generally payable from the cash flows of the related assets accounted for as Trading assets. See Note 1514 for further information on other secured financings related to VIEs and securitization activities.

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

~~14.~~13. Commitments, Guarantees and Contingencies

Commitments


		Years to Maturity at June 30, 2021											Years to Maturity at March 31, 2022
$ in millions	$ in millions	Less than 1		1-3		3-5		Over 5		Total		$ in millions	Less than 1		1-3		3-5		Over 5		Total
Lending:	Lending:											Lending:
Corporate	Corporate	$	16,396	$	38,716	$	44,932	$	7,479	$	107,523	Corporate	$	14,186	$	36,316	$	50,242	$	6,200	$	106,944
Secured lending facilities	Secured lending facilities	6,007		6,669		2,086		643		15,405		Secured lending facilities	6,524		7,576		3,640		553		18,293
Commercial and Residential real estate	Commercial and Residential real estate	428		233		19		248		928		Commercial and Residential real estate	412		813		26		259		1,510
Securities-based lending and Other	Securities-based lending and Other	11,103		3,724		308		266		15,401		Securities-based lending and Other	11,447		3,380		506		412		15,745
Forward-starting secured financing receivables	Forward-starting secured financing receivables	69,886		0		0		0		69,886		Forward-starting secured financing receivables	61,272		—		—		—		61,272
Central counterparty	Central counterparty	300		0		0		6,237		6,537		Central counterparty	300		—		—		4,772		5,072
Underwriting	Underwriting	0		60		0		0		60		Underwriting	40		3,150		—		—		3,190
Investment activities	Investment activities	1,019		253		56		356		1,684		Investment activities	1,157		176		52		380		1,765
Letters of credit and other financial guarantees	Letters of credit and other financial guarantees	26		0		0		3		29		Letters of credit and other financial guarantees	129		—		—		3		132
Total	Total	$	105,165	$	49,655	$	47,401	$	15,232	$	217,453	Total	$	95,467	$	51,411	$	54,466	$	12,579	$	213,923
Lending commitments participated to third parties	Lending commitments participated to third parties									$	9,223	Lending commitments participated to third parties									$	7,963
Forward-starting secured financing receivables settled within three business days	Forward-starting secured financing receivables settled within three business days									$	64,159	Forward-starting secured financing receivables settled within three business days									$	51,192

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

For a further description of these commitments, refer to Note 15 to the financial statements in the ~~2020~~2021 Form 10-K.

March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

Guarantees

At June 30, 2021
Maximum Potential Payout/Notional of Obligations by Years to Maturity Carrying Amount Asset (Liability)
$ in millions Less than 1 1-3 3-5 Over 5
Non-credit derivatives1
$ 1,352,865 $ 1,029,619 $ 445,441 $ 955,300 $ (46,932)
Standby letters of credit and other financial guarantees issued2
1,537 1,250 517 3,735 89
Market value guarantees 79 22 0 0 0
Liquidity facilities 4,073 0 0 0 5
Whole loan sales guarantees 0 0 58 23,123 0
Securitization representations and warranties3
0 0 0 69,210 (42)
General partner guarantees 315 12 20 125 (68)
Client clearing guarantees 52 0 0 0 0


	At March 31, 2022
	Maximum Potential Payout/Notional of Obligations by Years to Maturity								Carrying Amount Asset (Liability)
$ in millions	Less than 1		1-3		3-5		Over 5
Non-credit derivatives1	$	1,316,262	$	914,129	$	322,125	$	821,128	$	(67,840)
Standby letters of credit and other financial guarantees issued2	1,441		1,079		1,124		2,686		29
Market value guarantees	89		2		—		—		—
Liquidity facilities	4,382		—		—		—		4
Whole loan sales guarantees	—		2		85		23,095		—
Securitization representations and warranties3	—		—		—		79,059		(42)
General partner guarantees	348		12		32		152		(79)
Client clearing guarantees	150		—		—		—		—

1.The carrying amounts of derivative contracts that meet the accounting definition of a guarantee are shown on a gross basis. For further information on derivatives contracts, see Note 7.6.

2.These amounts include certain issued standby letters of credit participated to third parties, totaling ~~$0.6~~$0.8 billion of notional and collateral/recourse, due to the nature of the Firm’s obligations under these arrangements. As of ~~June 30, 2021,~~March 31, 2022, the carrying amount of standby letters of credit and other financial guarantees issued includes an allowance for credit losses of ~~$88~~$78 million.

3.~~Primarily related~~Related to commercial and residential mortgage securitizations.

The Firm has obligations under certain guarantee arrangements, including contracts and indemnification agreements, that contingently require the Firm to make payments to the guaranteed party based on changes in an underlying measure (such as an interest or foreign exchange rate, security or commodity price, an index, or the occurrence or non-occurrence of a specified event) related to an asset, liability or equity security of a guaranteed party. Also included as guarantees are contracts that contingently require the Firm to make payments to the guaranteed party based on another entity’s failure to perform under an agreement, as well as indirect guarantees of the indebtedness of others.

For more information on the nature of the obligations and related business activities for our guarantees, see Note 15 to the financial statements in the ~~2020~~2021 Form 10-K.

Other Guarantees and Indemnities

In the normal course of business, the Firm provides guarantees and indemnifications in a variety of transactions. These provisions generally are standard contractual terms. Certain of these guarantees and indemnifications related to indemnities, exchange and clearinghouse member guarantees and merger and acquisition guarantees are described in Note 15 to the financial statements in the ~~2020~~2021 Form 10-K.

In addition, in the ordinary course of business, the Firm guarantees the debt and/or certain trading obligations (including obligations associated with derivatives, foreign exchange contracts and the settlement of physical commodities) of certain subsidiaries. These guarantees generally are entity or product specific and are required by investors or trading counterparties. The activities of the


			59			~~June 2021 Form 10-Q~~


~~Table of Contents~~
Notes to Consolidated Financial Statements (Unaudited)

Firm’s subsidiaries covered by these guarantees (including

any related debt or trading obligations) are included in the financial statements.

Finance Subsidiary

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

Contingencies

Legal

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

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

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

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

determination of important factual matters, determination of issues related to class certification and the calculation of damages or other relief, and ~~by addressing~~consideration of novel or unsettled legal questions relevant to the proceedings or investigations in question.

For certain other legal proceedings and investigations, the Firm can estimate reasonably possible losses, additional


March 2022 Form 10-Q			54


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

losses, ranges of loss or ranges of additional loss in excess of amounts accrued but does not believe, based on current knowledge and after consultation with counsel, that such losses could have a material adverse effect on the Firm’s financial statements as a whole, other than the ~~matters~~matter referred to in the following ~~paragraphs.~~

~~On September 23, 2014, Financial Guaranty Insurance Company (“FGIC”) filed a complaint against the Firm in the Supreme Court of the State of New York County (“Supreme Court of NY”) styled~~ ~~Financial Guaranty Insurance Company v. Morgan Stanley ABS Capital I Inc. et al~~. relating to the Morgan Stanley ABS Capital I Inc. Trust 2007-NC4. The complaint asserts claims for breach of contract and fraudulent inducement and alleges, among other things, that the loans in the trust breached various representations and warranties and defendants made untrue statements and material omissions to induce FGIC to issue a financial guaranty policy on certain classes of certificates that had an original balance of approximately $876 million. The complaint seeks, among other relief, specific performance of the loan breach remedy procedures in the transaction documents, compensatory, consequential and punitive damages, attorneys’ fees, interest and costs. On January 23, 2017, the court denied the Firm’s motion to dismiss the complaint. On September 13, 2018, the Appellate Division, First Department (“First Department”) affirmed in part and reversed in part the lower court’s order denying the Firm’s motion to dismiss the complaint. On December 20, 2018, the First Department denied plaintiff’s motion for leave to appeal to the New York Court of Appeals (“Court of Appeals”) or, in the alternative, for re-argument. Based on currently available information, the Firm believes that it could incur a loss in this action of up to approximately $277 million, the total original unpaid balance of the mortgage loans for which the Firm received repurchase demands from a certificate holder and FGIC that the Firm did not repurchase, plus pre- and post- judgment interest, fees and costs, as well as claim payments that FGIC has made and will make in the future. In addition, plaintiff is seeking to expand the number of loans at issue and the possible range of loss could increase.

~~On January 23, 2015, Deutsche Bank National Trust Company, in its capacity as trustee, filed a complaint against the Firm styled~~ Deutsche Bank National Trust Company solely in its capacity as Trustee of the Morgan Stanley ABS Capital I Inc. Trust 2007-NC4 v. Morgan Stanley Mortgage Capital Holdings LLC as Successor-by-Merger to Morgan Stanley Mortgage Capital Inc., and Morgan Stanley ABS Capital I Inc.~~, pending in the Supreme Court of NY. The~~


~~June 2021 Form 10-Q~~			60


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Notes to Consolidated Financial Statements (Unaudited)

complaint asserts claims for breach of contract and alleges, among other things, that the loans in the trust, which had an original principal balance of approximately $1.05 billion, breached various representations and warranties. The complaint seeks, among other relief, specific performance of the loan breach remedy procedures in the transaction documents, compensatory, consequential, rescissory, equitable and punitive damages, attorneys’ fees, costs and other related expenses, and interest. On December 11, 2015, the court granted in part and denied in part the Firm’s motion to dismiss the complaint. On October 19, 2018, the court granted the Firm’s motion for leave to amend its answer and to stay the case pending resolution of Deutsche Bank National Trust Company’s appeal to the Court of Appeals in another case, styled ~~Deutsche Bank National Trust Company v. Barclays Bank PLC~~, regarding the applicable statute of limitations. On January 17, 2019, the First Department reversed the trial court’s order to the extent that it had granted in part the Firm’s motion to dismiss the complaint. On June 4, 2019, the First Department granted the Firm’s motion for leave to appeal its January 17, 2019 decision to the Court of Appeals. On March 19, 2020, the Firm filed a motion for partial summary judgment. Based on currently available information, the Firm believes that it could incur a loss in this action of up to approximately $277 million, the total original unpaid balance of the mortgage loans for which the Firm received repurchase demands from a certificate holder and a monoline insurer that the Firm did not repurchase, plus pre- and post-judgment interest, fees and costs, but plaintiff is seeking to expand the number of loans at issue and the possible range of loss could increase.paragraph.

Tax

In matters styled Case number 15/3637 and Case number 15/4353, the Dutch Tax Authority (“Dutch Authority”) is challenging in the Dutch courts the prior set-off by the Firm of approximately €124 million (approximately ~~$147~~$137 million) plus accrued interest of withholding tax credits against the Firm’s corporation tax liabilities for the tax years 2007 to ~~2013.~~2012. The Dutch Authority alleges that the Firm was not entitled to receive the withholding tax credits on the basis, inter alia, that a Firm subsidiary did not hold legal title to certain securities subject to withholding tax on the relevant dates. The Dutch Authority has also alleged that the Firm failed to provide certain information to the Dutch Authority and to keep adequate books and records. On April 26, 2018, the District Court in Amsterdam issued a decision dismissing the Dutch Authority’s claims with respect to certain of the tax years in dispute. On May 12, 2020, the Court of Appeal in Amsterdam granted the Dutch Authority’s appeal in matters re-styled Case number 18/00318 and Case number 18/00319. On June 22, 2020, the Firm filed an appeal against the decision of the Court of Appeal in Amsterdam before the Dutch High Court. On January 29, 2021, the Advocate General of the Dutch High Court ~~in matters re-styled~~ ~~Case number 15/3637~~ ~~and~~ ~~Case number 15/4353~~issued an advisory opinion on the Firm’s appeal, which rejected the

Firm’s principal grounds of appeal. On February 11, 2021, the Firm and the Dutch ~~Tax~~ Authority each responded to this opinion. On June 22, 2021, Dutch criminal authorities sought various documents in connection with an investigation of the Firm related to the civil claims asserted by the Dutch ~~Tax~~ Authority ~~in matters re-styled~~ ~~Case number 18/00318~~ ~~and~~ ~~Case number 18/00319~~, concerning the accuracy of the ~~Dutch~~Firm subsidiary’s tax returns and the maintenance of its books and records for 2007 to 2012.

~~15.~~14. Variable Interest Entities and Securitization Activities

Consolidated VIE Assets and Liabilities by Type of Activity1

At June 30, 2021 At December 31, 2020
$ in millions VIE Assets VIE Liabilities VIE Assets VIE Liabilities
CLO $ 800 $ 705 $ 418 $ 350
MABS2
388 47 590 17
Other3
1,497 378 1,110 47
Total $ 2,685 $ 1,130 $ 2,118 $ 414


	At March 31, 2022				At December 31, 2021
$ in millions	VIE Assets		VIE Liabilities		VIE Assets		VIE Liabilities
MABS1	$	1,272	$	383	$	1,177	$	409
Investment vehicles2	813		429		717		294
Operating entities	509		37		508		39
Other	579		288		510		286
Total	$	3,173	$	1,137	$	2,912	$	1,028

1.~~Certain prior period amounts have been reclassified to conform to the current presentation.~~

2.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.

3.2.~~Other primarily includes operating entities~~Amounts include investment funds and ~~investment funds.~~CLOs.

Consolidated VIE Assets and Liabilities by Balance Sheet Caption


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Assets	Assets					Assets
Cash and cash equivalents	Cash and cash equivalents	$	318	$	269	Cash and cash equivalents	$	334	$	341

Trading assets at fair value	Trading assets at fair value	1,781		1,445		Trading assets at fair value	2,252		1,965
Investment securities						Investment securities	34		37
Securities purchased under agreements to resell	Securities purchased under agreements to resell	200		0		Securities purchased under agreements to resell	200		200
Customer and other receivables	Customer and other receivables	25		23		Customer and other receivables	26		31

Intangible assets	Intangible assets	92		98		Intangible assets	82		85
Other assets	Other assets	269		283		Other assets	245		253
Total	Total	$	2,685	$	2,118	Total	$	3,173	$	2,912
Liabilities	Liabilities					Liabilities
Other secured financings	Other secured financings	$	949	$	366	Other secured financings	$	963	$	767
Other liabilities and accrued expenses	Other liabilities and accrued expenses	181		48		Other liabilities and accrued expenses	174		261
Total	Total	$	1,130	$	414	Total	$	1,137	$	1,028
Noncontrolling interests	Noncontrolling interests	$	143	$	196	Noncontrolling interests	$	119	$	115

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

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

Non-consolidated VIEs


	At March 31, 2022
$ in millions	MABS1		CDO		MTOB		OSF		Other2
VIE assets (UPB)	$	116,627	$	1,379	$	6,465	$	2,043	$	54,186
Maximum exposure to loss3
Debt and equity interests	$	13,005	$	157	$	—	$	1,449	$	11,055
Derivative and other contracts	—		—		4,382		—		4,374
Commitments, guarantees and other	1,007		—		—		—		1,454
Total	$	14,012	$	157	$	4,382	$	1,449	$	16,883
Carrying value of variable interests—Assets
Debt and equity interests	$	13,005	$	157	$	—	$	1,449	$	11,055
Derivative and other contracts	—		—		6		—		1,642
Total	$	13,005	$	157	$	6	$	1,449	$	12,697
Additional VIE assets owned4									$	13,339
Carrying value of variable interests—Liabilities

Derivative and other contracts	$	—	$	—	$	1	$	—	$	280


			6155			~~June 2021~~March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

~~recognized in its financial statements, net of amounts absorbed by third-party variable interest holders.~~

~~Non-consolidated VIEs~~

At June 30, 2021
$ in millions
MABS1
CDO MTOB OSF
Other2
VIE assets (UPB) $ 155,510 $ 1,918 $ 6,424 $ 2,001 $ 50,129
Maximum exposure to loss3
Debt and equity interests $ 20,473 $ 166 $ 4 $ 1,245 $ 10,741
Derivative and other contracts 0 0 4,073 0 5,997
Commitments, guarantees and other 1,390 0 0 0 1,443
Total $ 21,863 $ 166 $ 4,077 $ 1,245 $ 18,181
Carrying value of variable interests—Assets
Debt and equity interests $ 20,473 $ 166 $ 4 $ 1,245 $ 10,741
Derivative and other contracts 0 0 5 0 2,208
Total $ 20,473 $ 166 $ 9 $ 1,245 $ 12,949
Additional VIE assets owned4
$ 17,235
Carrying value of variable interests—Liabilities
Derivative and other contracts $ 0 $ 0 $ 0 $ 0 $ 217


		At December 31, 2020											At December 31, 2021
$ in millions	$ in millions	MABS1		CDO		MTOB		OSF		Other2		$ in millions	MABS1		CDO		MTOB		OSF		Other2
VIE assets (UPB)	VIE assets (UPB)	$	184,153	$	3,527	$	6,524	$	2,161	$	48,241	VIE assets (UPB)	$	146,071	$	667	$	6,089	$	2,086	$	52,111
Maximum exposure to loss3	Maximum exposure to loss3											Maximum exposure to loss3
Debt and equity interests	Debt and equity interests	$	26,247	$	257	$	0	$	1,187	$	11,008	Debt and equity interests	$	18,062	$	129	$	—	$	1,459	$	10,339
Derivative and other contracts	Derivative and other contracts	0		0		4,425		0		5,639		Derivative and other contracts	—		—		4,100		—		5,599
Commitments, guarantees and other	Commitments, guarantees and other	929		0		0		0		749		Commitments, guarantees and other	771		—		—		—		1,005
Total	Total	$	27,176	$	257	$	4,425	$	1,187	$	17,396	Total	$	18,833	$	129	$	4,100	$	1,459	$	16,943
Carrying value of variable interests–Assets	Carrying value of variable interests–Assets											Carrying value of variable interests–Assets
Debt and equity interests	Debt and equity interests	$	26,247	$	257	$	0	$	1,187	$	11,008	Debt and equity interests	$	18,062	$	129	$	—	$	1,459	$	10,339
Derivative and other contracts	Derivative and other contracts	0		0		5		0		851		Derivative and other contracts	—		—		5		—		2,006
Total	Total	$	26,247	$	257	$	5	$	1,187	$	11,859	Total	$	18,062	$	129	$	5	$	1,459	$	12,345
Additional VIE assets owned4	Additional VIE assets owned4									$	20,019	Additional VIE assets owned4									$	15,392
Carrying value of variable interests—Liabilities	Carrying value of variable interests—Liabilities											Carrying value of variable interests—Liabilities
Derivative and other contracts	Derivative and other contracts	$	0	$	0	$	0	$	0	$	222	Derivative and other contracts	$	—	$	—	$	—	$	—	$	362

MTOB—Municipal tender option bonds

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

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

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

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

The majority of the VIEs included in the previous tables are sponsored by unrelated parties; examples of the Firm’s involvement with these VIEs include its secondary market-making activities and the securities held in its Investment securities portfolio (see Note 8)7).

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

well as the fair value of certain other derivatives and investments the Firm has made in the VIE.

The Firm’s maximum exposure to loss in the previous tables does not include the offsetting benefit of hedges or any reductions associated with the amount of collateral held as part of a transaction with the VIE or any party to the VIE directly against a specific exposure to loss.

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

Detail of Mortgage- and Asset-Backed Securitization Assets


		At June 30, 2021				At December 31, 2020					At March 31, 2022				At December 31, 2021
$ in millions	$ in millions	UPB		Debt and Equity Interests		UPB		Debt and Equity Interests		$ in millions	UPB		Debt and Equity Interests		UPB		Debt and Equity Interests
Residential mortgages	Residential mortgages	$	17,146	$	2,637	$	17,775	$	3,175	Residential mortgages	$	12,741	$	2,164	$	15,216	$	2,182
Commercial mortgages	Commercial mortgages	62,404		3,705		62,093		4,131		Commercial mortgages	67,450		4,058		68,503		4,092
U.S. agency collateralized mortgage obligations	U.S. agency collateralized mortgage obligations	70,091		11,989		99,182		17,224		U.S. agency collateralized mortgage obligations	31,914		4,818		57,972		9,835
Other consumer or commercial loans	Other consumer or commercial loans	5,869		2,142		5,103		1,717		Other consumer or commercial loans	4,522		1,965		4,380		1,953
Total	Total	$	155,510	$	20,473	$	184,153	$	26,247	Total	$	116,627	$	13,005	$	146,071	$	18,062

Transferred Assets with Continuing Involvement


		At June 30, 2021									At March 31, 2022
$ in millions	$ in millions	RML		CML		U.S. Agency CMO		CLN and Other1		$ in millions	RML		CML		U.S. Agency CMO		CLN and Other1
SPE assets (UPB)2	SPE assets (UPB)2	$	7,217	$	90,355	$	31,722	$	15,181	SPE assets (UPB)2	$	8,677	$	101,928	$	33,602	$	12,574
Retained interests	Retained interests									Retained interests
Investment grade	Investment grade	$	98	$	936	$	605	$	0	Investment grade	$	96	$	754	$	363	$	—
Non-investment grade	Non-investment grade	21		214		0		80		Non-investment grade	26		576		—		57
Total	Total	$	119	$	1,150	$	605	$	80	Total	$	122	$	1,330	$	363	$	57
Interests purchased in the secondary market	Interests purchased in the secondary market									Interests purchased in the secondary market
Investment grade	Investment grade	$	0	$	78	$	20	$	0	Investment grade	$	55	$	65	$	134	$	4
Non-investment grade	Non-investment grade	46		68		0		1		Non-investment grade	44		49		—		2
Total	Total	$	46	$	146	$	20	$	1	Total	$	99	$	114	$	134	$	6
Derivative assets	Derivative assets	$	0	$	0	$	0	$	608	Derivative assets	$	—	$	—	$	—	$	1,050
Derivative liabilities	Derivative liabilities	0		0		0		197		Derivative liabilities	—		—		—		185


		At December 31, 2020									At December 31, 2021
$ in millions	$ in millions	RML		CML		U.S. Agency CMO		CLN and Other1		$ in millions	RML		CML		U.S. Agency CMO		CLN and Other1
SPE assets (UPB)2	SPE assets (UPB)2	$	7,515	$	84,674	$	21,061	$	12,978	SPE assets (UPB)2	$	6,802	$	94,276	$	28,697	$	13,121
Retained interests	Retained interests									Retained interests
Investment grade	Investment grade	$	49	$	822	$	615	$	0	Investment grade	$	72	$	638	$	465	$	—
Non-investment grade	Non-investment grade	16		195		0		114		Non-investment grade	19		586		—		69
Total	Total	$	65	$	1,017	$	615	$	114	Total	$	91	$	1,224	$	465	$	69
Interests purchased in the secondary market	Interests purchased in the secondary market									Interests purchased in the secondary market
Investment grade	Investment grade	$	0	$	96	$	116	$	0	Investment grade	$	18	$	118	$	33	$	—
Non-investment grade	Non-investment grade	43		80		0		21		Non-investment grade	38		53		—		4
Total	Total	$	43	$	176	$	116	$	21	Total	$	56	$	171	$	33	$	4
Derivative assets	Derivative assets	$	0	$	0	$	0	$	400	Derivative assets	$	—	$	—	$	—	$	891
Derivative liabilities	Derivative liabilities	0		0		0		436		Derivative liabilities	—		—		—		284


	Fair Value At March 31, 2022
$ in millions	Level 2		Level 3		Total
Retained interests
Investment grade	$	461	$	—	$	461
Non-investment grade	11		45		56
Total	$	472	$	45	$	517
Interests purchased in the secondary market
Investment grade	$	250	$	8	$	258
Non-investment grade	60		35		95
Total	$	310	$	43	$	353
Derivative assets	$	1,050	$	—	$	1,050
Derivative liabilities	140		45		185


~~June 2021~~March 2022 Form 10-Q			6256


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

Fair Value At June 30, 2021
$ in millions Level 2 Level 3 Total
Retained interests
Investment grade $ 702 $ 0 $ 702
Non-investment grade 12 50 62
Total $ 714 $ 50 $ 764
Interests purchased in the secondary market
Investment grade $ 97 $ 1 $ 98
Non-investment grade 76 39 115
Total $ 173 $ 40 $ 213
Derivative assets $ 607 $ 1 $ 608
Derivative liabilities 163 34 197


		Fair Value at December 31, 2020							Fair Value at December 31, 2021
$ in millions	$ in millions	Level 2		Level 3		Total		$ in millions	Level 2		Level 3		Total
Retained interests	Retained interests							Retained interests
Investment grade	Investment grade	$	663	$	0	$	663	Investment grade	$	536	$	2	$	538
Non-investment grade	Non-investment grade	6		63		69		Non-investment grade	40		40		80
Total	Total	$	669	$	63	$	732	Total	$	576	$	42	$	618
Interests purchased in the secondary market	Interests purchased in the secondary market							Interests purchased in the secondary market
Investment grade	Investment grade	$	196	$	16	$	212	Investment grade	$	168	$	1	$	169
Non-investment grade	Non-investment grade	62		82		144		Non-investment grade	70		25		95
Total	Total	$	258	$	98	$	356	Total	$	238	$	26	$	264
Derivative assets	Derivative assets	$	388	$	12	$	400	Derivative assets	$	891	$	—	$	891
Derivative liabilities	Derivative liabilities	435		1		436		Derivative liabilities	194		90		284

RML—Residential mortgage loans

CML—Commercial mortgage loans

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

2.Amounts include assets transferred by unrelated transferors.

The previous tables include transactions with SPEs in which the Firm, acting as principal, transferred financial assets with continuing involvement and received sales treatment. The transferred assets are carried at fair value prior to securitization, and any changes in fair value are recognized in the income ~~statements.~~statement. The Firm may act as underwriter of the beneficial interests issued by these securitization vehicles, for which Investment banking revenues are recognized. The Firm may retain interests in the securitized financial assets as one or more tranches of the securitization. These retained interests are generally carried at fair value in the balance ~~sheets~~sheet with changes in fair value recognized in the income ~~statements.~~statement. Fair value for these interests is measured using techniques that are consistent with the valuation techniques applied to the Firm’s major categories of assets and liabilities as described in Note 2 in the ~~2020~~2021 Form 10-K and Note 54 herein. Further, as permitted by applicable guidance, certain transfers of assets where the Firm’s only continuing involvement is a derivative are only reported in the following Assets Sold with Retained Exposure table.

Proceeds from New Securitization Transactions and Sales of Loans


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions	2022		2021
New transactions1	New transactions1	$	16,410	$	9,189	$	31,200	$	17,660	New transactions1	$	8,260	$	14,790
Retained interests	Retained interests	2,985		1,136		5,564		5,224		Retained interests	1,622		2,579
Sales of corporate loans to CLO SPEs1, 2	Sales of corporate loans to CLO SPEs1, 2	73		73		73		139		Sales of corporate loans to CLO SPEs1, 2	4		—

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

2.Sponsored by non-affiliates.

The Firm has provided, or otherwise agreed to be responsible for, representations and warranties regarding certain assets transferred in securitization transactions sponsored by the Firm (see Note ~~14)~~13).

Assets Sold with Retained Exposure


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Gross cash proceeds from sale of assets1	Gross cash proceeds from sale of assets1	$	61,885	$	45,051	Gross cash proceeds from sale of assets1	$	60,826	$	67,930
Fair value	Fair value					Fair value
Assets sold	Assets sold	$	63,544	$	46,609	Assets sold	$	62,015	$	68,992
Derivative assets recognized in the balance sheets		1,972		1,592
Derivative liabilities recognized in the balance sheets		314		64
Derivative assets recognized in the balance sheet						Derivative assets recognized in the balance sheet	1,474		1,195
Derivative liabilities recognized in the balance sheet						Derivative liabilities recognized in the balance sheet	284		132

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

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

For a discussion of the Firm’s VIEs, the determination and structure of VIEs and securitization activities, see Note 16 to the financial statements in the ~~2020~~2021 Form 10-K.

~~16.~~15. Regulatory Requirements

Regulatory Capital Framework and Requirements

For a discussion of the Firm’s regulatory capital framework, see Note 17 to the financial statements in the ~~2020~~2021 Form 10-K.

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

~~Minimum risk-based~~Risk-Based Regulatory Capital. Risk-based capital ratio requirements apply to Common Equity Tier 1 capital, Tier 1 capital and Total capital (which includes Tier 2 capital)., each as a percentage of RWA, and consist of regulatory minimum required ratios plus the Firm’s capital buffer requirement. Capital ~~standards~~requirements require certain adjustments to, and deductions from, capital for purposes of determining these ratios. At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, the differences between the actual and required ratios were lower under the Standardized Approach.

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


			6357			~~June 2021~~March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

In 2020, the U.S. banking agencies adopted a final rule, consistent with an interim final rule that was effective March 31, 2020, altering, for purposes of the regulatory capital rules, the required adoption time period for CECL. As of June 30, 2021 and December 31, 2020, the risk-based and leverage-based capital amounts and ratios, as well as RWA, adjusted average assets and supplementary leverage exposure are calculated excluding the effect of the adoption of CECL based on the Firm’s election to defer this effect over a five-year transition period which began on January 1, 2020 in accordance with the final rule.

~~Risk-Based Regulatory~~ Capital ~~Ratio~~Buffer Requirements


				At June 30, 2021 and December 31, 2020		At March 31, 2022 and December 31, 2021
				Standardized	Advanced			Standardized	Advanced
Capital buffers	Capital buffers						Capital buffers
Capital conservation buffer	Capital conservation buffer			—	2.5%		Capital conservation buffer	—	2.5%
SCB	SCB			5.7%	N/A		SCB	5.7%	N/A
G-SIB capital surcharge	G-SIB capital surcharge			3.0%			G-SIB capital surcharge	3.0%
CCyB1	CCyB1			0%			CCyB1	0%
Capital buffer requirement2				8.7%	5.5%

				At June 30, 2021 and December 31, 2020
		Regulatory Minimum		Standardized	Advanced
Required ratios3
Common Equity Tier 1 capital ratio		4.5	%	13.2%	10.0%
Tier 1 capital ratio		6.0	%	14.7%	11.5%
Total capital ratio		8.0	%	16.7%	13.5%
Capital buffer requirement							Capital buffer requirement	8.7%	5.5%

1.The CCyB can be set up to 2.5%, but is currently set by the ~~U.S. banking agencies~~Federal Reserve at 0.zero.

2.The capital buffer requirement represents the amount of Common Equity Tier 1 capital the Firm must maintain above the minimum risk-based capital requirements in order to avoid restrictions on the ~~Firm's~~Firm’s ability to make capital distributions, including the payment of dividends and the repurchase of stock, and to pay discretionary bonuses to executive officers. The ~~Firm's~~Firm’s Standardized Approach capital buffer requirement is equal to the sum of the SCB, G-SIB capital surcharge and CCyB, and the Advanced Approach capital buffer requirement is equal to the 2.5% capital conservation buffer, G-SIB capital surcharge and CCyB.

Risk-Based Regulatory Capital Ratio Requirements


	Regulatory Minimum		At March 31, 2022 and December 31, 2021
			Standardized	Advanced
Required ratios1
Common Equity Tier 1 capital ratio	4.5	%	13.2%	10.0%
Tier 1 capital ratio	6.0	%	14.7%	11.5%
Total capital ratio	8.0	%	16.7%	13.5%

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

The Firm’s Regulatory Capital and Capital Ratios


$ in millions	$ in millions	Required Ratio1		At June 30, 2021			At December 31, 2020			$ in millions	Required Ratio1		At March 31, 2022			At December 31, 2021
Risk-based capital	Risk-based capital									Risk-based capital
Common Equity Tier 1 capital	Common Equity Tier 1 capital			$	76,815		$	78,650		Common Equity Tier 1 capital			$	72,477		$	75,742
Tier 1 capital	Tier 1 capital			84,612			88,079			Tier 1 capital			80,121			83,348
Total capital	Total capital			92,782			97,213			Total capital			89,468			93,166
Total RWA	Total RWA			462,808			453,106			Total RWA			501,429			471,921
Common Equity Tier 1 capital ratio	Common Equity Tier 1 capital ratio	13.2	%	16.6		%	17.4		%	Common Equity Tier 1 capital ratio	13.2	%	14.5		%	16.0		%
Tier 1 capital ratio	Tier 1 capital ratio	14.7	%	18.3		%	19.4		%	Tier 1 capital ratio	14.7	%	16.0		%	17.7		%
Total capital ratio	Total capital ratio	16.7	%	20.0		%	21.5		%	Total capital ratio	16.7	%	17.8		%	19.7		%

$ in millions	$ in millions	Required Ratio1		At June 30, 2021			At December 31, 2020			$ in millions	Required Ratio1		At March 31, 2022			At December 31, 2021
Leverage-based capital	Leverage-based capital									Leverage-based capital
Adjusted average assets2	Adjusted average assets2			$	1,135,262		$	1,053,510		Adjusted average assets2			$	1,184,494		$	1,169,939
Tier 1 leverage ratio	Tier 1 leverage ratio	4.0	%	7.5		%	8.4		%	Tier 1 leverage ratio	4.0	%	6.8		%	7.1		%
Supplementary leverage exposure3,4				$	1,439,971		$	1,192,506
SLR4		5.0	%	5.9		%	7.4		%
Supplementary leverage exposure3										Supplementary leverage exposure3			$	1,466,624		$	1,476,962
SLR										SLR	5.0	%	5.5		%	5.6		%

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.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.The Firm’s SLR and Supplementary leverage exposure as of December 31, 2020 reflect the exclusion of U.S. Treasury securities and deposits at Federal Reserve Banks based on a Federal Reserve interim final rule that was in effect until March 31, 2021.

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

The OCC establishes capital requirements for the Firm’s U.S. bank subsidiaries, which ~~as of June 30, 2021 and December 31, 2020 include, among others,~~includes Morgan Stanley Bank, N.A. (“MSBNA”) and Morgan Stanley Private Bank, National Association (“MSPBNA”) (collectively, “U.S. Bank Subsidiaries”), and evaluates their compliance with such capital requirements. Regulatory capital requirements for ~~MSBNA and MSPBNA~~the U.S. Bank Subsidiaries are calculated in a similar manner to the Firm’s regulatory capital requirements, although G-SIB capital surcharge and SCB requirements do not apply to the U.S. ~~bank subsidiaries.~~Bank Subsidiaries.

The OCC’s regulatory capital framework includes Prompt Corrective Action (“PCA”) standards, including “well-capitalized” PCA standards that are based on specified regulatory capital ratio minimums. For the Firm to remain an FHC, its U.S. ~~bank subsidiaries~~Bank Subsidiaries must remain well-capitalized in accordance with the OCC’s PCA standards. In addition, failure by the U.S. ~~bank subsidiaries~~Bank Subsidiaries to meet minimum capital requirements may result in certain mandatory and discretionary actions by regulators that, if undertaken, could have a direct material effect on the U.S. ~~bank subsidiaries’~~Bank Subsidiaries’ and the Firm’s financial statements.

At March 31, 2022 and December 31, 2021, MSBNA and MSPBNA risk-based capital ratios are based on the Standardized Approach rules. As of December 31, 2021, the risk-based and leverage-based capital amounts and ratios were


~~June 2021~~March 2022 Form 10-Q			6458


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

At June 30, 2021 and December 31, 2020, MSBNA and MSPBNA risk-based capital ratios are based on the Standardized Approach rules. At June 30, 2021 and December 31, 2020, the risk-based and leverage-based capital amounts and ratios are calculated excluding the effect of the adoption of CECL based on MSBNA’s and MSPBNA’s election to defer this effect over a five-year transition period ~~which~~that began on January 1, 2020. In 2022 the deferral impacts began to phase in at 25% per year and will become fully phased-in beginning in 2025.

MSBNA’s Regulatory Capital


						At June 30, 2021				At December 31, 2020					Well-Capitalized Requirement		Required Ratio1		At March 31, 2022				At December 31, 2021
$ in millions	$ in millions	Well-Capitalized Requirement		Required Ratio1		Amount		Ratio		Amount		Ratio		$ in millions					Amount		Ratio		Amount		Ratio
Risk-based capital	Risk-based capital													Risk-based capital
Common Equity Tier 1 capital	Common Equity Tier 1 capital	6.5	%	7.0	%	$	18,069	19.8	%	$	17,238	18.7	%	Common Equity Tier 1 capital	6.5	%	7.0	%	$	18,386	18.7	%	$	18,960	20.5	%
Tier 1 capital	Tier 1 capital	8.0	%	8.5	%	18,069		19.8	%	17,238		18.7	%	Tier 1 capital	8.0	%	8.5	%	18,386		18.7	%	18,960		20.5	%
Total capital	Total capital	10.0	%	10.5	%	18,644		20.5	%	17,882		19.4	%	Total capital	10.0	%	10.5	%	18,961		19.3	%	19,544		21.1	%
Leverage-based capital	Leverage-based capital													Leverage-based capital
Tier 1 leverage	Tier 1 leverage	5.0	%	4.0	%	$	18,069	10.4	%	$	17,238	10.1	%	Tier 1 leverage	5.0	%	4.0	%	$	18,386	9.3	%	$	18,960	10.2	%
SLR	SLR	6.0	%	3.0	%	18,069		8.1	%	17,238		8.0	%	SLR	6.0	%	3.0	%	18,386		7.4	%	18,960		8.1	%

MSPBNA’s Regulatory Capital


						At June 30, 2021				At December 31, 2020					Well-Capitalized Requirement		Required Ratio1		At March 31, 20222				At December 31, 2021
$ in millions	$ in millions	Well-Capitalized Requirement		Required Ratio1		Amount		Ratio		Amount		Ratio		$ in millions					Amount		Ratio		Amount		Ratio
Risk-based capital	Risk-based capital													Risk-based capital
Common Equity Tier 1 capital	Common Equity Tier 1 capital	6.5	%	7.0	%	$	9,629	25.1	%	$	8,213	21.3	%	Common Equity Tier 1 capital	6.5	%	7.0	%	$	15,142	29.4	%	$	10,293	24.3	%
Tier 1 capital	Tier 1 capital	8.0	%	8.5	%	9,629		25.1	%	8,213		21.3	%	Tier 1 capital	8.0	%	8.5	%	15,142		29.4	%	10,293		24.3	%
Total capital	Total capital	10.0	%	10.5	%	9,702		25.2	%	8,287		21.5	%	Total capital	10.0	%	10.5	%	15,237		29.6	%	10,368		24.5	%

Leverage-based capital	Leverage-based capital													Leverage-based capital
Tier 1 leverage	Tier 1 leverage	5.0	%	4.0	%	$	9,629	7.4	%	$	8,213	7.2	%	Tier 1 leverage	5.0	%	4.0	%	$	15,142	7.4	%	$	10,293	6.9	%
SLR	SLR	6.0	%	3.0	%	9,629		7.1	%	8,213		6.9	%	SLR	6.0	%	3.0	%	15,142		7.3	%	10,293		6.7	%

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

~~U.S. Broker-Dealer~~2.Regulatory capital amounts and ratios as of March 31, 2022 include the amounts from E*TRADE Bank (“ETB”) and E*TRADE Savings Bank (“ETSB”) as a result of the merger described herein.

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

Other Regulatory Capital Requirements

MS&Co. Regulatory Capital


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Net capital	Net capital	$	16,739	$	12,869	Net capital	$	16,799	$	18,383
Excess net capital	Excess net capital	12,837		9,034		Excess net capital	12,261		14,208

MS&Co. is a registered ~~U.S.~~as a broker-dealer and ~~registered~~a futures commission merchant ~~and, accordingly, is subject to the minimum net capital requirements of~~with the SEC and the ~~CFTC. MS&Co. has consistently operated~~CFTC, respectively, and provisionally registered as a swap dealer with ~~capital in excess of its regulatory capital requirements.~~the CFTC.

As an Alternative Net Capital broker-dealer, and in accordance with Securities Exchange Act of 1934 (“Exchange Act”) Rule 15c3-1, Appendix E, MS&Co. is subject to minimum net capital and tentative net capital requirements and operates with capital in excess of its regulatory capital requirements. As a futures commission merchant and

provisionally-registered swap dealer, MS&Co. is subject to CFTC capital requirements. In addition, MS&Co. must notify the SEC if its tentative net capital falls below certain levels. At ~~June 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, MS&Co. exceeded its net capital

requirement and had tentative net capital in excess of the minimum and notification requirements.

Other Regulated Subsidiaries

~~MSSB, a registered U.S. broker-dealer and introducing broker for the futures business, is~~The following subsidiaries are also subject to ~~the minimum net~~various regulatory capital requirements ~~of the SEC. MSIP, a London-based broker-dealer subsidiary, is subject to the capital requirements of the PRA,~~ and the Morgan Stanley Europe Holdings SE Group (“MSEHSE Group”) is subject to the capital requirements of the European Central Bank, BaFin and the German Central Bank. MSSB, MSIP and the MSEHSE Group, including MSESE, a Germany-based broker-dealer, have consistently operated with capital in excess of their respective regulatory capital ~~requirements. Additionally,~~ requirements as of March 31, 2022 and December 31, 2021, as applicable:

•MSSB,

•MSIP,

•Morgan Stanley Europe Holdings SE Group, including MSESE,

•MSMS,

•MSCS,

•MSCG, and

•E*TRADE ~~Bank~~Securities LLC.

ETB and ~~E*TRADE Savings Bank are~~ETSB were each previously subject to the capital requirements of the OCC until January 1, 2022, when ETSB merged with and ~~E*TRADE Securities LLC is subject~~into ETB, and subsequently ETB merged with and into MSPBNA, with MSPBNA as the surviving bank.

See Note 17 to the ~~minimum net capital requirements of~~financial statements in the ~~SEC; each of these entities has consistently operated with capital in excess of their respective regulatory capital requirements.~~

Certain other U.S. and non-U.S. subsidiaries of the Firm are subject to various securities, commodities and banking regulations, and capital adequacy requirements promulgated by the regulatory and exchange authorities of the countries in which they operate. These subsidiaries have also consistently operated with capital in excess of their local capital adequacy requirements.2021 Form 10-K for further information.

~~17.~~16. Total Equity

Preferred Stock


		Shares Outstanding			Carrying Value					Shares Outstanding			Carrying Value
$ in millions, except per share data	$ in millions, except per share data	At June 30, 2021	Liquidation Preference per Share		At June 30, 2021		At December 31, 2020		$ in millions, except per share data	At March 31, 2022	Liquidation Preference per Share		At March 31, 2022		At December 31, 2021
Series	Series								Series
A	A	44,000	$	25,000	$	1,100	$	1,100	A	44,000	$	25,000	$	1,100	$	1,100
C1	C1	519,882	1,000		408		408		C1	519,882	1,000		408		408
E	E	34,500	25,000		862		862		E	34,500	25,000		862		862
F	F	34,000	25,000		850		850		F	34,000	25,000		850		850
H		52,000	25,000		1,300		1,300
I	I	40,000	25,000		1,000		1,000		I	40,000	25,000		1,000		1,000
J		0	0		0		1,500
K	K	40,000	25,000		1,000		1,000		K	40,000	25,000		1,000		1,000
L	L	20,000	25,000		500		500		L	20,000	25,000		500		500
M	M	400,000	1,000		430		430		M	400,000	1,000		430		430
N	N	3,000	100,000		300		300		N	3,000	100,000		300		300
O									O	52,000	25,000		1,300		1,300
Total	Total				$	7,750	$	9,250	Total				$	7,750	$	7,750
Shares authorized	Shares authorized						30,000,000		Shares authorized						30,000,000

1.Series C preferred stock is held by MUFG.

For a description of Series A through Series N preferred stock issuances, see Note 18 to the financial statements in the 2020 Form 10-K. The Firm’s preferred stock has a preference over its common stock upon liquidation. The Firm’s preferred stock qualifies as and is included in Tier 1 capital in


			65			~~June 2021 Form 10-Q~~


~~Table of Contents~~
Notes to Consolidated Financial Statements (Unaudited)

~~accordance with regulatory capital requirements (see Note 16).~~

On March 15, 2021, the Firm announced the redemption in whole of its outstanding Series J preferred stock. On notice of redemption, the amount due to holders of Series J Preferred Stock was reclassified to Borrowings, and on April 15, 2021, the redemption settled at the carrying value of $1.5 billion.


			59			March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

For a description of Series A through Series O preferred stock, see Note 18 to the financial statements in the 2021 Form 10-K. The Firm’s preferred stock has a preference over its common stock upon liquidation. The Firm’s preferred stock qualifies as and is included in Tier 1 capital in accordance with regulatory capital requirements (see Note 15).

Share Repurchases


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions		2022		2021
Repurchases of common stock under the Firm’s Share Repurchase Program	Repurchases of common stock under the Firm’s Share Repurchase Program	$	2,939	$	0	$	5,074	$	1,347	Repurchases of common stock under the Firm’s Share Repurchase Program		$	2,872	$	2,135

~~Beginning late in the first quarter of 2020, the Firm suspended its share repurchase program, however the Federal Reserve permitted the resumption of share repurchases for the current year period.~~ On June 28, 2021, the Firm announced that its Board of Directors authorized the repurchase of up to $12 billion of outstanding common stock from July 1, 2021 through June 30, 2022, from time to time as conditions ~~warrant, which supersedes the previous common stock repurchase authorization.~~warrant. For more information on share repurchases, see Note 18 to the financial statements in the ~~2020~~2021 Form 10-K.

Common Shares Outstanding for Basic and Diluted EPS


		Three Months Ended June 30,		Six Months Ended June 30,			Three Months Ended March 31,
in millions	in millions	2021	2020	2021	2020	in millions	2022	2021
Weighted average common shares outstanding, basic	Weighted average common shares outstanding, basic	1,814	1,541	1,804	1,548	Weighted average common shares outstanding, basic	1,733	1,795
Effect of dilutive Stock options, RSUs and PSUs		27	16	25	17
Effect of dilutive RSUs and PSUs						Effect of dilutive RSUs and PSUs	22	23
Weighted average common shares outstanding and common stock equivalents, diluted	Weighted average common shares outstanding and common stock equivalents, diluted	1,841	1,557	1,829	1,565	Weighted average common shares outstanding and common stock equivalents, diluted	1,755	1,818
Weighted average antidilutive common stock equivalents (excluded from the computation of diluted EPS)	Weighted average antidilutive common stock equivalents (excluded from the computation of diluted EPS)	0	8	0	10	Weighted average antidilutive common stock equivalents (excluded from the computation of diluted EPS)	5	1

Dividends

$ in millions, except per
share data
Three Months Ended
June 30, 2021 Three Months Ended
June 30, 2020
Per Share1
Total
Per Share1
Total
Preferred stock series
A $ 253 $ 11 $ 253 $ 11
C 25 13 25 13
E 445 15 445 15
F 430 15 430 15
H 240 12 305 16
I 398 16 398 16
J2
0 0 694 42
K 366 15 366 15
L 305 6 305 6
Total Preferred stock $ 103 $ 149
Common stock 0.35 $ 651 $ 0.35 $ 550


$ in millions, except per share data	$ in millions, except per share data	Six Months Ended June 30, 2021				Six Months Ended June 30, 2020				$ in millions, except per share data	Three Months Ended March 31, 2022				Three Months Ended March 31, 2021
		Per Share1		Total		Per Share1		Total			Per Share1		Total		Per Share1		Total
Preferred stock series	Preferred stock series									Preferred stock series
A	A	$	503	$	22	$	506	$	22	A	$	242	$	11	$	250	$	11
C	C	50		26		50		26		C	25		13		25		13
E	E	891		30		891		30		E	445		15		445		15
F	F	859		29		859		29		F	430		14		430		14
H		480		25		649		34
H2										H2	—		—		241		13
I	I	797		32		797		32		I	398		16		398		16
J2		253		15		694		42
J3										J3	—		—		253		15
K	K	731		30		731		30		K	366		15		366		15
L	L	609		12		609		12		L	305		6		305		6
M3		29		12		0		0
N4		2,650		8		0		0
M4										M4	29		12		29		12
N5										N5	2,650		8		2,650		8
O6										O6	266		14		—		—
Total Preferred stock	Total Preferred stock			$	241			$	257	Total Preferred stock			$	124			$	138
Common stock	Common stock	$	0.70	$	1,286	$	0.70	$	1,111	Common stock	$	0.70	$	1,252	$	0.35	$	635

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

2.A notice of redemption was issued for Series H preferred stock on November 19, 2021.

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

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

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

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

Accumulated Other Comprehensive Income (Loss)1


$ in millions	$ in millions	CTA		AFS Securities		Pension and Other		DVA		Total		$ in millions	CTA		AFS Securities		Pension and Other		DVA		Total
March 31, 2021		$	(936)	$	1,011	$	(493)	$	(2,336)	$	(2,754)

December 31, 2021												December 31, 2021	$	(1,002)	$	245	$	(551)	$	(1,794)	$	(3,102)
OCI during the period	OCI during the period	41		(7)		12		185		231		OCI during the period	(48)		(2,395)		5		638		(1,800)
June 30, 2021		$	(895)	$	1,004	$	(481)	$	(2,151)	$	(2,523)
March 31, 2020		$	(1,038)	$	1,532	$	(619)	$	2,220	$	2,095
OCI during the period		21		295		(1)		(2,409)		(2,094)
June 30, 2020		$	(1,017)	$	1,827	$	(620)	$	(189)	$	1
March 31, 2022												March 31, 2022	$	(1,050)	$	(2,150)	$	(546)	$	(1,156)	$	(4,902)
December 31, 2020	December 31, 2020	$	(795)	$	1,787	$	(498)	$	(2,456)	$	(1,962)	December 31, 2020	$	(795)	$	1,787	$	(498)	$	(2,456)	$	(1,962)
OCI during the period	OCI during the period	(100)		(783)		17		305		(561)		OCI during the period	(141)		(776)		5		120		(792)
June 30, 2021		$	(895)	$	1,004	$	(481)	$	(2,151)	$	(2,523)
December 31, 2019		$	(897)	$	207	$	(644)	$	(1,454)	$	(2,788)
OCI during the period		(120)		1,620		24		1,265		2,789
June 30, 2020		$	(1,017)	$	1,827	$	(620)	$	(189)	$	1
March 31, 2021												March 31, 2021	$	(936)	$	1,011	$	(493)	$	(2,336)	$	(2,754)

CTA—Cumulative foreign currency translation adjustments

1.Amounts are net of tax and noncontrolling interests.

Components of Period Changes in OCI


		Three Months Ended June 30, 2021											Three Months Ended March 31, 2022
$ in millions	$ in millions	Pre-tax Gain (Loss)		Income Tax Benefit (Provision)		After-tax Gain (Loss)		Non- controlling Interests		Net		$ in millions	Pre-tax Gain (Loss)		Income Tax Benefit (Provision)		After-tax Gain (Loss)		Non- controlling Interests		Net
CTA	CTA											CTA
OCI activity	OCI activity	$	12	$	29	$	41	$	0	$	41	OCI activity	$	(60)	$	(45)	$	(105)	$	(57)	$	(48)
Reclassified to earnings	Reclassified to earnings	0		0		0		0		0		Reclassified to earnings	—		—		—		—		—
Net OCI	Net OCI	$	12	$	29	$	41	$	0	$	41	Net OCI	$	(60)	$	(45)	$	(105)	$	(57)	$	(48)
Change in net unrealized gains (losses) on AFS securities	Change in net unrealized gains (losses) on AFS securities											Change in net unrealized gains (losses) on AFS securities
OCI activity	OCI activity	$	47	$	(10)	$	37	$	0	$	37	OCI activity	$	(3,084)	$	723	$	(2,361)	$	—	$	(2,361)
Reclassified to earnings	Reclassified to earnings	(58)		14		(44)		0		(44)		Reclassified to earnings	(44)		10		(34)		—		(34)
Net OCI	Net OCI	$	(11)	$	4	$	(7)	$	0	$	(7)	Net OCI	$	(3,128)	$	733	$	(2,395)	$	—	$	(2,395)
Pension and other	Pension and other											Pension and other
OCI activity	OCI activity	$	8	$	0	$	8	$	0	$	8	OCI activity	$	—	$	—	$	—	$	—	$	—
Reclassified to earnings	Reclassified to earnings	7		(3)		4		0		4		Reclassified to earnings	5		—		5		—		5
Net OCI	Net OCI	$	15	$	(3)	$	12	$	0	$	12	Net OCI	$	5	$	—	$	5	$	—	$	5
Change in net DVA	Change in net DVA											Change in net DVA
OCI activity	OCI activity	$	237	$	(59)	$	178	$	1	$	177	OCI activity	$	871	$	(211)	$	660	$	22	$	638
Reclassified to earnings	Reclassified to earnings	10		(2)		8		0		8		Reclassified to earnings	—		—		—		—		—
Net OCI	Net OCI	$	247	$	(61)	$	186	$	1	$	185	Net OCI	$	871	$	(211)	$	660	$	22	$	638


	Three Months Ended March 31, 2021
$ in millions	Pre-tax Gain (Loss)		Income Tax Benefit (Provision)		After-tax Gain (Loss)		Non- controlling Interests		Net
CTA
OCI activity	$	(104)	$	(115)	$	(219)	$	(78)	$	(141)
Reclassified to earnings	—		—		—		—		—
Net OCI	$	(104)	$	(115)	$	(219)	$	(78)	$	(141)
Change in net unrealized gains (losses) on AFS securities
OCI activity	$	(876)	$	203	$	(673)	$	—	$	(673)
Reclassified to earnings	(134)		31		(103)		—		(103)
Net OCI	$	(1,010)	$	234	$	(776)	$	—	$	(776)
Pension and other
OCI activity	$	—	$	—	$	—	$	—	$	—
Reclassified to earnings	7		(2)		5		—		5
Net OCI	$	7	$	(2)	$	5	$	—	$	5
Change in net DVA
OCI activity	$	167	$	(43)	$	124	$	17	$	107
Reclassified to earnings	17		(4)		13		—		13
Net OCI	$	184	$	(47)	$	137	$	17	$	120


~~June 2021~~March 2022 Form 10-Q			6660


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

Three Months Ended June 30, 2020
$ in millions Pre-tax
Gain
(Loss) Income
Tax Benefit
(Provision) After-tax
Gain
(Loss) Non-
controlling
Interests Net
CTA
OCI activity $ 5 $ 19 $ 24 $ 0 $ 24
Reclassified to earnings (3) 0 (3) 0 (3)
Net OCI $ 2 $ 19 $ 21 $ 0 $ 21
Change in net unrealized gains (losses) on AFS securities
OCI activity $ 395 $ (93) $ 302 $ 0 $ 302
Reclassified to earnings (10) 3 (7) 0 (7)
Net OCI $ 385 $ (90) $ 295 $ 0 $ 295
Pension and other
OCI activity $ (4) $ (1) $ (5) $ 0 $ (5)
Reclassified to earnings 5 (1) 4 0 4
Net OCI $ 1 $ (2) $ (1) $ 0 $ (1)
Change in net DVA
OCI activity $ (3,301) $ 805 $ (2,496) $ (87) $ (2,409)
Reclassified to earnings 1 (1) 0 0 0
Net OCI $ (3,300) $ 804 $ (2,496) $ (87) $ (2,409)

Six Months Ended June 30, 2021
$ in millions Pre-tax
Gain
(Loss) Income
Tax Benefit
(Provision) After-tax
Gain
(Loss) Non-
controlling
Interests Net
CTA
OCI activity $ (92) $ (86) $ (178) $ (78) $ (100)
Reclassified to earnings 0 0 0 0 0
Net OCI $ (92) $ (86) $ (178) $ (78) $ (100)
Change in net unrealized gains (losses) on AFS securities
OCI activity $ (829) $ 193 $ (636) $ 0 $ (636)
Reclassified to earnings (192) 45 (147) 0 (147)
Net OCI $ (1,021) $ 238 $ (783) $ 0 $ (783)
Pension and other
OCI activity $ 8 $ 0 $ 8 $ 0 $ 8
Reclassified to earnings 14 (5) 9 0 9
Net OCI $ 22 $ (5) $ 17 $ 0 $ 17
Change in net DVA
OCI activity $ 404 $ (102) $ 302 $ 18 $ 284
Reclassified to earnings 27 (6) 21 0 21
Net OCI $ 431 $ (108) $ 323 $ 18 $ 305

Six Months Ended June 30, 2020
$ in millions Pre-tax
Gain
(Loss) Income
Tax Benefit
(Provision) After-tax
Gain
(Loss) Non-
controlling
Interests Net
CTA
OCI activity $ (15) $ (93) $ (108) $ 9 $ (117)
Reclassified to earnings (3) 0 (3) 0 (3)
Net OCI $ (18) $ (93) $ (111) $ 9 $ (120)
Change in net unrealized gains (losses) on AFS securities
OCI activity $ 2,168 $ (509) $ 1,659 $ 0 $ 1,659
Reclassified to earnings (51) 12 (39) 0 (39)
Net OCI $ 2,117 $ (497) $ 1,620 $ 0 $ 1,620
Pension and other
OCI activity $ 21 $ (5) $ 16 $ 0 $ 16
Reclassified to earnings 10 (2) 8 0 8
Net OCI $ 31 $ (7) $ 24 $ 0 $ 24
Change in net DVA
OCI activity $ 1,714 $ (411) $ 1,303 $ 42 $ 1,261
Reclassified to earnings 6 (2) 4 0 4
Net OCI $ 1,720 $ (413) $ 1,307 $ 42 $ 1,265

~~18.~~17. Interest Income and Interest Expense


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions		2022		2021
Interest income	Interest income									Interest income
Investment securities	Investment securities	$	608	$	629	$	1,457	$	1,074	Investment securities		$	777	$	849
Loans	Loans	1,040		1,050		2,028		2,204		Loans		1,156		988
Securities purchased under agreements to resell and Securities borrowed1		(321)		(141)		(617)		257
Securities purchased under agreements to resell1,2										Securities purchased under agreements to resell1,2		13		(55)
Securities borrowed1,3										Securities borrowed1,3		(217)		(241)
Trading assets, net of Trading liabilities	Trading assets, net of Trading liabilities	486		616		996		1,365		Trading assets, net of Trading liabilities		524		510
Customer receivables and Other2		399		204		785		961
Customer receivables and Other4										Customer receivables and Other4		397		386
Total interest income	Total interest income	$	2,212	$	2,358	$	4,649	$	5,861	Total interest income		$	2,650	$	2,437

Interest expense	Interest expense									Interest expense
Deposits	Deposits	$	108	$	220	$	228	$	626	Deposits		$	73	$	120
Borrowings	Borrowings	719		823		1,433		1,820		Borrowings		685		714
Securities sold under agreements to repurchase and Securities loaned3		116		209		230		718
Customer payables and Other4		(596)		(494)		(1,135)		(259)
Securities sold under agreements to repurchase1,5										Securities sold under agreements to repurchase1,5		49		37
Securities loaned1,6										Securities loaned1,6		93		77
Customer payables and Other7										Customer payables and Other7		(466)		(539)
Total interest expense	Total interest expense	$	347	$	758	$	756	$	2,905	Total interest expense		$	434	$	409
Net interest	Net interest	$	1,865	$	1,600	$	3,893	$	2,956	Net interest		$	2,216	$	2,028

1.Certain prior period amounts have been reclassified to conform to the current presentation.

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

3.Includes fees paid on Securities borrowed.

2.4.Includes interest from Cash and cash equivalents.

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

6.Includes fees received on Securities loaned.

4.7.Includes fees received from Equity Financing customers ~~for stock loan~~related to their short transactions, ~~entered into to cover customers’ short positions.~~which can be under either margin or securities lending arrangements.

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

Accrued Interest


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Customer and other receivables	Customer and other receivables	$	2,160	$	1,652	Customer and other receivables	$	2,309	$	1,800
Customer and other payables	Customer and other payables	2,517		2,119		Customer and other payables	2,659		2,164

~~19.~~18. Income Taxes

The Firm is routinely under ~~continuous~~ examination by the IRS and other tax authorities in certain countries, such as Japan and the U.K., and in states and localities in which it has significant business operations, such as New York.

The Firm believes that the resolution of these tax examinations will not have a material effect on the annual financial statements, although a resolution could have a material impact in the income statement and on the effective tax rate for any period in which such resolutions occur.

It is reasonably possible that significant changes in the balance of unrecognized tax benefits may occur within the next 12 months. At this time, however, it is not possible to reasonably estimate the expected change to the total amount of unrecognized tax benefits and the impact on the Firm’s effective tax rate over the next 12 months.


			67			~~June 2021 Form 10-Q~~


~~Table of Contents~~
Notes to Consolidated Financial Statements (Unaudited)

~~20.~~19. Segment, Geographic and Revenue Information

Selected Financial Information by Business Segment

Three Months Ended June 30, 2021
$ in millions IS WM IM I/E Total
Investment banking $ 2,376 $ 203 $ 0 $ (19) $ 2,560
Trading 3,078 255 (22) 19 3,330
Investments 61 14 306 0 381
Commissions and fees1
682 714 1 (89) 1,308
Asset management1,2
148 3,447 1,418 (40) 4,973
Other 137 207 1 (3) 342
Total non-interest revenues 6,482 4,840 1,704 (132) 12,894
Interest income 873 1,366 10 (37) 2,212
Interest expense 263 111 12 (39) 347
Net interest 610 1,255 (2) 2 1,865
Net revenues $ 7,092 $ 6,095 $ 1,702 $ (130) $ 14,759
Provision for credit losses $ 70 $ 3 $ 0 $ 0 $ 73
Compensation and benefits 2,433 3,275 715 0 6,423
Non-compensation expenses 2,091 1,181 557 (132) 3,697
Total non-interest expenses $ 4,524 $ 4,456 $ 1,272 $ (132) $ 10,120
Income before provision for income taxes $ 2,498 $ 1,636 $ 430 $ 2 $ 4,566
Provision for income taxes 574 372 108 0 1,054
Net income 1,924 1,264 322 2 3,512
Net income applicable to noncontrolling interests 20 0 (19) 0 1
Net income applicable to Morgan Stanley $ 1,904 $ 1,264 $ 341 $ 2 $ 3,511

Three Months Ended June 30, 2020
$ in millions IS WM IM I/E Total
Investment banking $ 2,051 $ 110 $ 0 $ (19) $ 2,142
Trading3
4,272 492 22 17 4,803
Investments 36 8 231 0 275
Commissions and fees1
717 473 0 (88) 1,102
Asset management1,2
115 2,507 684 (41) 3,265
Other3
439 84 (47) (3) 473
Total non-interest revenues 7,630 3,674 890 (134) 12,060
Interest income 1,300 1,210 7 (159) 2,358
Interest expense 731 180 11 (164) 758
Net interest 569 1,030 (4) 5 1,600
Net revenues3
$ 8,199 $ 4,704 $ 886 $ (129) $ 13,660
Provision for credit losses3
$ 217 $ 22 $ 0 $ 0 $ 239
Compensation and benefits 2,952 2,729 354 0 6,035
Non-compensation expenses3
2,037 811 316 (133) 3,031
Total non-interest expenses3
$ 4,989 $ 3,540 $ 670 $ (133) $ 9,066
Income before provision for income taxes $ 2,993 $ 1,142 $ 216 $ 4 $ 4,355
Provision for income taxes 790 289 39 1 1,119
Net income 2,203 853 177 3 3,236
Net income applicable to noncontrolling interests 17 0 23 0 40
Net income applicable to Morgan Stanley $ 2,186 $ 853 $ 154 $ 3 $ 3,196


	Three Months Ended March 31, 2022
$ in millions	IS		WM		IM		I/E		Total
Investment banking	$	1,634	$	143	$	—	$	(19)	$	1,758
Trading	4,205		(231)		(9)		18		3,983
Investments	99		12		(36)		—		75
Commissions and fees1	774		723		—		(81)		1,416
Asset management1,2	147		3,626		1,388		(42)		5,119
Other	117		122		(2)		(3)		234
Total non-interest revenues	6,976		4,395		1,341		(127)		12,585
Interest income	1,062		1,637		7		(56)		2,650
Interest expense	381		97		13		(57)		434
Net interest	681		1,540		(6)		1		2,216
Net revenues	$	7,657	$	5,935	$	1,335	$	(126)	$	14,801
Provision for credit losses	$	44	$	13	$	—	$	—	$	57
Compensation and benefits	2,604		3,125		545		—		6,274
Non-compensation expenses	2,222		1,224		562		(126)		3,882
Total non-interest expenses	$	4,826	$	4,349	$	1,107	$	(126)	$	10,156
Income before provision for income taxes	$	2,787	$	1,573	$	228	$	—	$	4,588
Provision for income taxes	535		301		37		—		873


Net income	2,252		1,272		191		—		3,715
Net income applicable to noncontrolling interests	61		—		(12)		—		49
Net income applicable to Morgan Stanley	$	2,191	$	1,272	$	203	$	—	$	3,666

Six Months Ended June 30, 2021
$ in millions IS WM IM I/E Total
Investment banking $ 4,989 $ 454 $ 0 $ (43) $ 5,400
Trading 7,151 381 (19) 42 7,555
Investments 147 16 536 0 699
Commissions and fees1
1,552 1,565 1 (184) 2,934
Asset management1,2
287 6,638 2,521 (75) 9,371
Other 295 360 (23) (6) 626
Total non-interest revenues 14,421 9,414 3,016 (266) 26,585
Interest income 1,843 2,852 18 (64) 4,649
Interest expense 595 212 18 (69) 756
Net interest 1,248 2,640 0 5 3,893
Net revenues $ 15,669 $ 12,054 $ 3,016 $ (261) $ 30,478
Provision for credit losses $ (23) $ (2) $ 0 $ 0 $ (25)
Compensation and benefits 5,547 6,445 1,229 0 13,221
Non-compensation expenses 4,276 2,375 987 (266) 7,372
Total non-interest expenses $ 9,823 $ 8,820 $ 2,216 $ (266) $ 20,593
Income before provision for income taxes $ 5,869 $ 3,236 $ 800 $ 5 $ 9,910
Provision for income taxes 1,310 730 189 1 2,230
Net income 4,559 2,506 611 4 7,680
Net income applicable to noncontrolling interests 54 0 (5) 0 49
Net income applicable to Morgan Stanley $ 4,505 $ 2,506 $ 616 $ 4 $ 7,631

Six Months Ended June 30, 2020
$ in millions IS WM IM I/E Total
Investment banking $ 3,195 $ 268 $ 0 $ (50) $ 3,413
Trading3
7,433 145 (15) 41 7,604
Investments 11 8 294 0 313
Commissions and fees1
1,591 1,061 0 (190) 2,462
Asset management1,2
228 5,187 1,349 (82) 6,682
Other3
(112) 165 (40) (4) 9
Total non-interest revenues 12,346 6,834 1,588 (285) 20,483
Interest income 3,723 2,403 15 (280) 5,861
Interest expense 2,692 477 25 (289) 2,905
Net interest 1,031 1,926 (10) 9 2,956
Net revenues3
$ 13,377 $ 8,760 $ 1,578 $ (276) $ 23,439
Provision for credit losses3
$ 605 $ 41 $ 0 $ 0 $ 646
Compensation and benefits 4,766 4,941 611 0 10,318
Non-compensation expenses3
4,063 1,581 608 (278) 5,974
Total non-interest expenses3
$ 8,829 $ 6,522 $ 1,219 $ (278) $ 16,292
Income before provision for income taxes $ 3,943 $ 2,197 $ 359 $ 2 $ 6,501
Provision for income taxes 941 480 64 0 1,485
Net income 3,002 1,717 295 2 5,016
Net income applicable to noncontrolling interests 59 0 63 0 122
Net income applicable to Morgan Stanley $ 2,943 $ 1,717 $ 232 $ 2 $ 4,894

~~I/E–Intersegment Eliminations~~


	Three Months Ended March 31, 2021
$ in millions	IS		WM		IM		I/E		Total
Investment banking	$	2,613	$	251	$	—	$	(24)	$	2,840
Trading	4,073		126		3		23		4,225
Investments	86		2		230		—		318
Commissions and fees1	870		851		—		(95)		1,626
Asset management1,2	139		3,191		1,103		(35)		4,398
Other	158		153		(24)		(3)		284
Total non-interest revenues	7,939		4,574		1,312		(134)		13,691
Interest income	970		1,486		8		(27)		2,437
Interest expense	332		101		6		(30)		409
Net interest	638		1,385		2		3		2,028
Net revenues	$	8,577	$	5,959	$	1,314	$	(131)	$	15,719
Provision for credit losses	$	(93)	$	(5)	$	—	$	—	$	(98)
Compensation and benefits	3,114		3,170		514		—		6,798
Non-compensation expenses	2,185		1,194		430		(134)		3,675
Total non-interest expenses	$	5,299	$	4,364	$	944	$	(134)	$	10,473
Income before provision for income taxes	$	3,371	$	1,600	$	370	$	3	$	5,344
Provision for income taxes	736		358		81		1		1,176


Net income	2,635		1,242		289		2		4,168
Net income applicable to noncontrolling interests	34		—		14		—		48
Net income applicable to Morgan Stanley	$	2,601	$	1,242	$	275	$	2	$	4,120

1.Substantially all revenues are from contracts with customers.

2.Includes certain fees ~~which~~that may relate to services performed in prior periods.

3.~~Certain prior period amounts have been reclassified to conform to the current presentation. See Note 1 for additional information.~~

For a discussion about the Firm’s business segments, see Note 23 to the financial statements in the ~~2020~~2021 Form 10-K.

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

Detail of Investment Banking Revenues


		Three Months Ended June 30,						Six Months Ended June 30,							Three Months Ended March 31,
$ in millions	$ in millions	2021			2020			2021			2020			$ in millions	2022			2021
Institutional Securities Advisory	Institutional Securities Advisory	$	664		$	462		$	1,144		$	824		Institutional Securities Advisory	$	944		$	480
Institutional Securities Underwriting	Institutional Securities Underwriting	1,712			1,589			3,845			2,371			Institutional Securities Underwriting	690			2,133
Firm Investment banking revenues from contracts with customers	Firm Investment banking revenues from contracts with customers	90		%	92		%	91		%	91		%	Firm Investment banking revenues from contracts with customers	90		%	92		%

Trading Revenues by Product Type1


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions	2022		2021
Interest rate	Interest rate	$	17	$	1,008	$	876	$	2,082	Interest rate	$	391	$	859
Foreign exchange	Foreign exchange	314		127		588		465		Foreign exchange	648		274
Equity security and index2		2,033		1,943		3,728		3,016
Equity1										Equity1	2,007		1,695
Commodity and other	Commodity and other	680		723		1,541		733		Commodity and other	525		861
Credit	Credit	286		1,002		822		1,308		Credit	412		536
Total	Total	$	3,330	$	4,803	$	7,555	$	7,604	Total	$	3,983	$	4,225

1.~~Certain prior period amounts have been reclassified to conform to the current presentation. See Note 1 for additional information.~~

2.Dividend income is included within equity ~~security and index~~ contracts.

The previous table summarizes realized and unrealized gains and losses, from derivative and non-derivative financial instruments, included in Trading revenues in the income ~~statements.~~statement. The Firm generally utilizes financial instruments across a variety of product types in connection with its market-making and related risk management strategies. The trading revenues presented in the table are not representative of the manner in which the Firm manages its business activities and are prepared in a manner similar to the presentation of trading revenues for regulatory reporting purposes.

Investment Management Investments Revenues—Net Cumulative Unrealized Carried Interest


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Net cumulative unrealized performance-based income at risk of reversing		$	778	$	735
Net cumulative unrealized performance-based fees at risk of reversing						Net cumulative unrealized performance-based fees at risk of reversing	$	824	$	802

The Firm’s portion of net cumulative performance-based ~~income~~fees in the form of unrealized carried interest, for which the Firm is not obligated to pay compensation, is at risk of reversing when the return in certain funds fall below specified performance targets. See Note 1413 for information regarding general partner guarantees, which include potential obligations to return performance fee distributions previously received.

Investment Management Asset Management Revenues—Reduction of Fees Due to Fee Waivers


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions	2022		2021
Fee waivers	Fee waivers	$	131	$	22	$	225	$	33	Fee waivers	$	124	$	94

The Firm waives a portion of its fees in the Investment Management business segment from certain registered money

market funds that comply with the requirements of Rule 2a-7 of the Investment Company Act of 1940.

Certain Other Fee Waivers

Separately, the Firm’s employees, including its senior officers, may participate on the same terms and conditions as other investors in certain funds that the Firm sponsors primarily for client investment, and the Firm may waive or lower applicable fees and charges for its employees.

Other Expenses—Transaction Taxes


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions	2022		2021
Transaction taxes	Transaction taxes	$	217	$	146	$	455	$	330	Transaction taxes	$	258	$	238

Transaction taxes are composed of securities transaction taxes and stamp duties, which are levied on the sale or purchase of securities listed on recognized stock exchanges in certain markets. These taxes are imposed mainly on trades of equity securities in Asia and EMEA. Similar transaction taxes are levied on trades of listed derivative instruments in certain countries.

Net Revenues by Region1

Three Months Ended
June 30, Six Months Ended
June 30,
$ in millions 2021 2020 2021 2020
Americas $ 10,885 $ 9,950 $ 22,076 $ 16,838
EMEA 2,093 2,109 4,252 3,306
Asia 1,781 1,601 4,150 3,295
Total $ 14,759 $ 13,660 $ 30,478 $ 23,439

1.~~Certain prior period amounts have been reclassified to conform to the current presentation. See Note 1 for additional information.~~


	Three Months Ended March 31,
$ in millions	2022		2021
Americas	$	10,464	$	11,191
EMEA	2,311		2,159
Asia	2,026		2,369
Total	$	14,801	$	15,719

For a discussion about the Firm’s geographic net revenues, see Note 23 to the financial statements in the ~~2020~~2021 Form 10-K.

Revenues Recognized from Prior Services


		Three Months Ended June 30,				Six Months Ended June 30,					Three Months Ended March 31,
$ in millions	$ in millions	2021		2020		2021		2020		$ in millions	2022		2021
Non-interest revenues	Non-interest revenues	$	677	$	680	$	1,066	$	1,242	Non-interest revenues	$	1,005	$	541

The previous table includes revenues from contracts with customers recognized where some or all services were performed in prior periods. ~~For the three and six months~~


			69			~~June 2021 Form 10-Q~~


~~Table of Contents~~
Notes to Consolidated Financial Statements (Unaudited)

~~ended June 30, 2021 these~~These revenues primarily include investment banking advisory ~~fees, and for the three and six months ended June 30, 2020, these revenues primarily include investment banking advisory fees and distribution~~ fees.

Receivables from Contracts with Customers


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Customer and other receivables	Customer and other receivables	$	3,425	$	3,200	Customer and other receivables	$	3,445	$	3,591

Receivables from contracts with customers, which are included within Customer and other receivables in the balance ~~sheets,~~


March 2022 Form 10-Q			62


Table of Contents
Notes to Consolidated Financial Statements (Unaudited)

sheet, arise when the Firm has both recorded revenues and the right per the contract to bill the customer.

Assets by Business Segment


$ in millions	$ in millions	At June 30, 2021		At December 31, 2020		$ in millions	At March 31, 2022		At December 31, 2021
Institutional Securities	Institutional Securities	$	782,257	$	753,322	Institutional Securities	$	826,242	$	792,135
Wealth Management	Wealth Management	361,136		355,595		Wealth Management	378,501		378,438
Investment Management	Investment Management	18,412		6,945		Investment Management	17,490		17,567
Total1	Total1	$	1,161,805	$	1,115,862	Total1	$	1,222,233	$	1,188,140

1. Parent assets have been fully allocated to the business segments.

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Financial Data Supplement (Unaudited)

Average Balances and Interest Rates and Net Interest Income

Three Months Ended June 30,
2021 2020
$ in millions
Average
Daily
Balance
Interest
Annualized
Average
Rate
Average
Daily
Balance
Interest
Annualized
Average
Rate
Interest earning assets
Investment securities1
$ 181,482 $ 608 1.3 % $ 123,713 $ 629 2.0 %
Loans1
161,767 1,040 2.6 % 147,326 1,050 2.9 %
Securities purchased under agreements to resell and Securities borrowed2:
U.S. 152,770 (200) (0.5) % 141,722 (85) (0.2) %
Non-U.S. 73,218 (121) (0.7) % 61,283 (56) (0.4) %
Trading assets, net of Trading liabilities3:
U.S. 77,814 409 2.1 % 70,641 489 2.8 %
Non-U.S. 17,897 77 1.7 % 24,757 127 2.1 %
Customer receivables and Other4:
U.S. 130,618 340 1.0 % 87,620 166 0.8 %
Non-U.S. 76,329 59 0.3 % 62,126 38 0.2 %
Total $ 871,895 $ 2,212 1.0 % $ 719,188 $ 2,358 1.3 %
Interest bearing liabilities
Deposits1
$ 321,138 $ 108 0.1 % $ 235,370 $ 220 0.4 %
Borrowings1, 5
221,911 719 1.3 % 202,280 823 1.6 %
Securities sold under agreements to repurchase and Securities loaned6:
U.S. 37,849 33 0.3 % 28,840 92 1.3 %
Non-U.S. 29,719 83 1.1 % 30,446 117 1.5 %
Customer payables and Other7:
U.S. 129,695 (481) (1.5) % 121,977 (403) (1.3) %
Non-U.S. 75,829 (115) (0.6) % 63,778 (91) (0.6) %
Total $ 816,141 $ 347 0.2 % $ 682,691 $ 758 0.4 %
Net interest income and net interest rate spread $ 1,865 0.8 % $ 1,600 0.9 %


		Six Months Ended June 30,													Three Months Ended March 31,
		2021						2020							2022						2021
$ in millions	$ in millions	Average Daily Balance		Interest		Annualized Average Rate		Average Daily Balance		Interest		Annualized Average Rate		$ in millions	Average Daily Balance		Interest		Annualized Average Rate		Average Daily Balance		Interest		Annualized Average Rate
Interest earning assets	Interest earning assets													Interest earning assets
Investment securities1	Investment securities1	$	184,377	$	1,457	1.6	%	$	116,995	$	1,074	1.8	%	Investment securities1	$	177,572	$	777	1.8	%	$	187,294	$	849	1.8	%
Loans1	Loans1	156,729		2,028		2.6	%	140,884		2,204		3.1	%	Loans1	191,551		1,156		2.4	%	151,636		988		2.6	%
Securities purchased under agreements to resell and Securities borrowed2:
Securities purchased under agreements to resell2,3:														Securities purchased under agreements to resell2,3:
U.S.	U.S.	149,440		(369)		(0.5)	%	131,357		293		0.4	%	U.S.	52,389		36		0.3	%	61,935		27		0.2	%
Non-U.S.	Non-U.S.	70,897		(248)		(0.7)	%	59,131		(36)		(0.1)	%	Non-U.S.	64,150		(23)		(0.1)	%	52,239		(82)		(0.6)	%
Trading assets, net of Trading liabilities3:
Securities borrowed2,4:														Securities borrowed2,4:
U.S.	U.S.	75,563		819		2.2	%	74,663		1,115		3.0	%	U.S.	122,203		(176)		(0.6)	%	85,341		(196)		(0.9)	%
Non-U.S.	Non-U.S.	17,518		177		2.0	%	23,905		250		2.1	%	Non-U.S.	21,229		(41)		(0.8)	%	15,095		(45)		(1.2)	%
Customer receivables and Other4:
Trading assets, net of Trading liabilities5:														Trading assets, net of Trading liabilities5:
U.S.														U.S.	79,509		430		2.2	%	72,416		410		2.3	%
Non-U.S.														Non-U.S.	16,606		94		2.3	%	17,946		100		2.3	%
Customer receivables and Other6:														Customer receivables and Other6:
U.S.	U.S.	134,298		677		1.0	%	77,694		721		1.9	%	U.S.	129,162		355		1.1	%	137,859		337		1.0	%
Non-U.S.	Non-U.S.	75,249		108		0.3	%	61,078		240		0.8	%	Non-U.S.	76,545		42		0.2	%	75,177		49		0.3	%
Total	Total	$	864,071	$	4,649	1.1	%	$	685,707	$	5,861	1.7	%	Total	$	930,916	$	2,650	1.2	%	$	856,938	$	2,437	1.2	%
Interest bearing liabilities	Interest bearing liabilities													Interest bearing liabilities
Deposits1	Deposits1	$	320,688	$	228	0.1	%	$	217,472	$	626	0.6	%	Deposits1	$	348,916	$	73	0.1	%	$	320,257	$	120	0.2	%
Borrowings1, 5		218,816		1,433		1.3	%	197,171		1,820		1.9	%
Securities sold under agreements to repurchase and Securities loaned6:
Borrowings1,7														Borrowings1,7	228,942		685		1.2	%	215,688		714		1.3	%
Securities sold under agreements to repurchase2,8,10:														Securities sold under agreements to repurchase2,8,10:
U.S.	U.S.	35,891		77		0.4	%	29,954		420		2.8	%	U.S.	22,979		40		0.7	%	29,661		47		0.6	%
Non-U.S.	Non-U.S.	28,486		153		1.1	%	30,261		298		2.0	%	Non-U.S.	36,148		9		0.1	%	23,215		(10)		(0.2)	%
Customer payables and Other7:
Securities loaned2,9,10:														Securities loaned2,9,10:
U.S.														U.S.	5,489		(1)		(0.1)	%	4,428		(3)		(0.3)	%
Non-U.S.														Non-U.S.	7,771		94		4.9	%	3,848		80		8.4	%
Customer payables and Other11:														Customer payables and Other11:
U.S.	U.S.	130,065		(918)		(1.4)	%	125,797		(294)		(0.5)	%	U.S.	136,407		(368)		(1.1)	%	129,438		(437)		(1.4)	%
Non-U.S.	Non-U.S.	71,608		(217)		(0.6)	%	63,375		35		0.1	%	Non-U.S.	74,919		(98)		(0.5)	%	68,782		(102)		(0.6)	%
Total	Total	$	805,554	$	756	0.2	%	$	664,030	$	2,905	0.9	%	Total	$	861,571	$	434	0.2	%	$	795,317	$	409	0.2	%
Net interest income and net interest rate spread	Net interest income and net interest rate spread			$	3,893	0.9	%			$	2,956	0.8	%	Net interest income and net interest rate spread			$	2,216	1.0	%			$	2,028	1.0	%

1.Amounts include primarily U.S. balances.

2.Certain prior period amounts have been reclassified to conform to the current presentation.

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

4.Includes fees paid on Securities borrowed.

3.5.Excludes non-interest earning assets and non-interest bearing liabilities, such as equity securities.

4.6.Includes Cash and cash equivalents.

5.7.~~Includes~~Average daily balance includes borrowings carried at fair value, ~~whose~~but for certain borrowings, interest expense is considered part of fair value and ~~therefore~~ is recorded ~~within~~in Trading revenues.

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

9.Includes fees received on Securities loaned.

10.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~~sheet and (b) net average on-balance sheet balances, which exclude certain securities-for-securities transactions.

7.11.Includes fees received from Equity Financing customers ~~for~~related to their short transactions, which can be under either margin or securities lending ~~transactions entered into to cover customers’ short positions.~~arrangements.

~~June 2021~~March 2022 Form 10-Q


Table of Contents
Glossary of Common Terms and Acronyms


~~2020~~2021 Form 10-K			Annual report on Form 10-K for year ended December 31, ~~2020~~2021 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~~sheet			Consolidated balance ~~sheets~~sheet
BHC			Bank holding company
bps			Basis points; one basis point equals 1/100th of 1%
Cash flow ~~statements~~statement			Consolidated cash flow ~~statements~~statement
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)
CRM			Credit Risk Management Department
~~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

FDIC			Federal Deposit Insurance Corporation
FFELP			Federal Family Education Loan Program

FHC			Financial ~~Holding Company~~holding company

FICO			Fair Isaac Corporation
Financial statements			Consolidated financial statements

FVO			Fair value option
G-SIB			Global systemically important banks

HFI			Held-for-investment
HFS			Held-for-sale
HQLA			High-quality liquid assets
HTM			Held-to-maturity
I/E			Intersegment eliminations
IHC			Intermediate holding company
IM			Investment Management
Income ~~statements~~statement			Consolidated income ~~statements~~statement


IRS			Internal Revenue Service
IS			Institutional Securities


LCR			Liquidity coverage ratio, as adopted by the U.S. banking agencies
LIBOR			London Interbank Offered Rate
LTV			Loan-to-value

MSBNA			Morgan Stanley Bank, N.A.
MS&Co.			Morgan Stanley & Co. LLC
MSCG			Morgan Stanley Capital Group Inc.
MSCS			Morgan Stanley Capital Services LLC
MSESE			Morgan Stanley Europe SE
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 adopted by the U.S. banking agencies
OCC			Office of the Comptroller of the Currency
OCI			Other comprehensive income (loss)

OTC			Over-the-counter
~~PRA~~			~~Prudential Regulation Authority~~
PSU			Performance-based stock unit

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
SCB			Stress capital buffer
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

~~June 2021~~March 2022 Form 10-Q


Table of Contents

~~Other Information~~Controls and Procedures

~~On July 27, 2021, Elizabeth Corley notified Morgan Stanley~~Under the supervision and with the participation of ~~her intention~~the Firm’s management, including the Chief Executive Officer and Chief Financial Officer, the Firm conducted an evaluation of the effectiveness of the Firm’s disclosure controls and procedures (as defined in Rule 13a-15(e) of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). Based on this evaluation, the Chief Executive Officer and Chief Financial Officer concluded that the Firm’s disclosure controls and procedures were effective as of the end of the period covered by this report.

No change in the Firm’s internal control over financial reporting (as defined in Rule 13a-15(f) of the Exchange Act) occurred during the period covered by this report that materially affected, or is reasonably likely to ~~resign from~~materially affect, the ~~Board of Directors effective on or about April 27, 2022 when it is expected that she will become board chair of a U.K.-based firm.~~Firm’s internal control over financial reporting.

Legal Proceedings

The following developments have occurred since previously reporting certain matters in the Firm’s ~~2020~~2021 Form ~~10-K and the Firm’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2021 (the “First Quarter Form 10-Q”).~~10-K. See also the disclosures set forth under “Legal Proceedings” in the ~~2020~~2021 Form 10-K.

~~European~~Residential Mortgage Related Matters

On March 29, 2022, Deutsche Bank National Trust Company, in its capacity as trustee, announced that the certificateholders participating in the consent solicitation had approved the settlement agreement in Deutsche Bank National Trust Company solely in its capacity as Trustee of the Morgan Stanley ABS Capital I Inc. Trust 2007-NC4 v. Morgan Stanley Mortgage Capital Holdings LLC as Successor-by-Merger to Morgan Stanley Mortgage Capital Inc., and Morgan Stanley ABS Capital I Inc. The Trustee unconditionally accepted the financial terms of that settlement on April 18, 2022, which caused the settlement to become final and binding on all parties. On April 27, 2022, the parties filed a stipulation of voluntary discontinuance, dismissing the action with prejudice.

On April 27, 2022, the parties’ agreement to settle Financial Guaranty Insurance Company v. Morgan Stanley ABS Capital I Inc. et al. became final and binding after Deutsche Bank National Trust Company solely in its capacity as Trustee of the Morgan Stanley ABS Capital I Inc. Trust 2007-NC4 v. Morgan Stanley Mortgage Capital Holdings LLC as Successor-by-Merger to Morgan Stanley Mortgage Capital Inc., and Morgan Stanley ABS Capital I Inc. was voluntarily dismissed.

Block Trading Matter

~~On June 22,~~In addition to the investigations noted in the Firm’s 2021 ~~Dutch criminal authorities sought various documents~~Form 10-K, the Firm faces potential civil liability arising from claims that have been or may be asserted by block transaction participants or others who contend they were harmed or

disadvantaged including, among other things, as a result of a share price decline allegedly caused by the activities of the Firm and/or its employees.

Record Keeping Matter

The Firm has been responding to requests for information from regulators concerning its compliance with record-keeping requirements in connection with ~~an investigation of~~business communications on messaging platforms that have not been approved by the Firm, ~~related~~and is engaging in efforts to ~~the civil claims asserted by the Dutch Tax Authority in matters re-styled~~ ~~Case number 18/00318~~ ~~and~~ ~~Case number 18/00319, concerning the accuracy of the Dutch subsidiary’s tax returns and the maintenance of its books and records for 2007 to 2012.~~resolve such matters.

Risk Factors

For a discussion of the risk factors affecting the Firm, see “Risk Factors” in Part I, Item 1A of the ~~2020~~2021 Form 10-K.

Unregistered Sales of Equity Securities and Use of Proceeds

Issuer Purchases of Equity Securities

~~Three Months Ended June 30, 2021~~

$ 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
April 9,005,938 $ 79.84 8,095,000 $ 7,219
May 14,426,207 $ 85.91 14,386,200 $ 5,983
June 11,627,627 $ 91.07 11,606,923 $ 4,926
Total 35,059,772 $ 86.06 34,088,123


$ 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
January	11,020,364	$	96.80	3,796,900	$	5,235
February	14,022,622	$	100.23	12,855,200	$	3,940
March	13,586,163	$	88.94	13,514,500	$	2,738
Three Months Ended March 31, 2022	38,629,149	$	95.28	30,166,600

1.Includes ~~971,649~~8,462,549 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 ~~June 30, 2021.~~March 31, 2022.

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.

3.The Firm’s Board of Directors has authorized the repurchase of the Firm’s outstanding common stock under a share repurchase program (the “Share Repurchase Program”) from time to time as conditions warrant and subject to limitations on distributions from the Federal Reserve. 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.

On June 28, 2021, the Firm announced that its Board of Directors authorized the repurchase of up to $12 billion of outstanding common stock from July 1, 2021 through June 30, 2022, from

time to time as conditions ~~warrant, which supersedes the previous common stock repurchase authorization.~~warrant. For further information, see “Liquidity and Capital Resources—Regulatory Requirements—Capital Plans, Stress Tests and the Stress Capital Buffer.”

~~Controls and Procedures~~Other Information

Under the supervision and with the participation of the Firm’s management, including the Chief Executive Officer and Chief Financial Officer, the Firm conducted an evaluation of the effectiveness of the Firm’s disclosure controls and procedures (as defined in Rule 13a-15(e) of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). Based on this evaluation, the Chief Executive Officer and Chief Financial Officer concluded that the Firm’s disclosure controls and procedures were effective as of the end of the period covered by this report.None.


March 2022 Form 10-Q			66


Table of Contents

Exhibits


Exhibit No.			Description

~~10.1~~			~~Sixth Amendment to Investor Agreement, dated April 13, 2021, between Morgan Stanley and Mitsubishi UFJ Financial Group, Inc.~~
15			Letter of awareness from Deloitte & Touche LLP, dated ~~August~~ 2 ~~, 202~~1May 4, 2022 , concerning unaudited interim financial information.
31.1			Rule 13a-14(a) Certification of Chief Executive Officer.
31.2			Rule 13a-14(a) Certification of Chief Financial Officer.
32.1			Section 1350 Certification of Chief Executive Officer.
32.2			Section 1350 Certification of Chief Financial Officer.
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).


			73			~~June 2021 Form 10-Q~~


~~Table of Contents~~

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


MORGAN STANLEY (Registrant)

By:			/s/ SHARON YESHAYA
			Sharon Yeshaya Executive Vice President and Chief Financial Officer

By:			/s/ RAJA J. AKRAM
			Raja J. Akram Deputy Chief Financial Officer, Chief Accounting Officer and Controller

Date: ~~August 2, 2021~~May 4, 2022

~~June 2021~~March 2022 Form 10-Q


	Three Months Ended June 30, 2021
					Net Interest2		All Other3
$ in millions	Trading		Fees1		Net Interest2		All Other3		Total
Financing	$	1,138	$	121	$	117	$	3	$	1,379
Execution services	818		636		(45)		39		1,448
Total Equity	$	1,956	$	757	$	72	$	42	$	2,827
Total Fixed Income	$	1,148	$	72	$	417	$	45	$	1,682


	Three Months Ended June 30, 20204
					Net Interest2		All Other3
$ in millions	Trading		Fees1		Net Interest2		All Other3		Total
Financing	$	884	$	115	$	94	$	1	$	1,094
Execution services	948		651		(73)		7		1,533
Total Equity	$	1,832	$	766	$	21	$	8	$	2,627
Total Fixed Income	$	2,468	$	67	$	504	$	2	$	3,041


	Six Months Ended June 30, 20204
					Net Interest2		All Other3
$ in millions	Trading		Fees1		Net Interest2		All Other3		Total
Financing	$	1,919	$	217	$	57	$	4	$	2,197
Execution services	1,527		1,434		(113)		31		2,879
Total Equity	$	3,446	$	1,651	$	(56)	$	35	$	5,076
Total Fixed Income	$	4,241	$	169	$	832	$	(139)	$	5,103


$ in billions	At March 31, 2020		Inflows		Outflows		Market Impact		At June 30, 2020
Separately managed1	$	329	$	7	$	(4)	$	(19)	$	313
Unified managed	263		13		(10)		39		305
Advisor	131		8		(8)		18		149
Portfolio manager	379		20		(15)		47		431
Subtotal	$	1,102	$	48	$	(37)	$	85	$	1,198
Cash management	32		10		(4)		—		38
Total fee-based client assets	$	1,134	$	58	$	(41)	$	85	$	1,236


$ in millions	Weighted average life (years)	At March 1, 2021
Non-amortizable
Management contracts	indefinite	$	2,120
Amortizable
Customer relationships	16	1,455
Tradenames	23	221
Management contracts	16	160
Total acquired Intangible assets		$	3,956


$ in millions	Three Months Ended June 30, 2021		Six Months Ended June 30, 20211
Net revenues	$	535	$	709
Net income	119		150


	Assets at June 30, 2021
$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	654	$	11	$	0	$	665
Foreign exchange	219		18		0		237
Total	873		29		0		902
Not designated as accounting hedges
Economic loan hedges
Credit	1		16		0		17
Other derivatives
Interest rate	168,475		7,702		326		176,503
Credit	5,356		2,936		0		8,292
Foreign exchange	69,108		1,425		76		70,609
Equity	32,308		0		38,049		70,357
Commodity and other	18,601		0		6,464		25,065
Total	293,849		12,079		44,915		350,843
Total gross derivatives	$	294,722	$	12,108	$	44,915	$	351,745
Amounts offset
Counterparty netting	(212,181)		(10,000)		(41,074)		(263,255)
Cash collateral netting	(45,922)		(1,613)		0		(47,535)
Total in Trading assets	$	36,619	$	495	$	3,841	$	40,955
Amounts not offset1
Financial instruments collateral	(12,680)		0		0		(12,680)

Net amounts	$	23,939	$	495	$	3,841	$	28,275
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	4,132


	Fair Value At June 30, 2021
$ in millions	Level 2		Level 3		Total
Retained interests
Investment grade	$	702	$	0	$	702
Non-investment grade	12		50		62
Total	$	714	$	50	$	764
Interests purchased in the secondary market
Investment grade	$	97	$	1	$	98
Non-investment grade	76		39		115
Total	$	173	$	40	$	213
Derivative assets	$	607	$	1	$	608
Derivative liabilities	163		34		197


$ in millions, except per share data	Three Months Ended June 30, 2021				Three Months Ended June 30, 2020
	Per Share1		Total		Per Share1		Total
Preferred stock series
A	$	253	$	11	$	253	$	11
C	25		13		25		13
E	445		15		445		15
F	430		15		430		15
H	240		12		305		16
I	398		16		398		16
J2	0		0		694		42
K	366		15		366		15
L	305		6		305		6


Total Preferred stock			$	103			$	149
Common stock	0.35		$	651	$	0.35	$	550


	Three Months Ended June 30, 2020
$ in millions	Pre-tax Gain (Loss)		Income Tax Benefit (Provision)		After-tax Gain (Loss)		Non- controlling Interests		Net
CTA
OCI activity	$	5	$	19	$	24	$	0	$	24
Reclassified to earnings	(3)		0		(3)		0		(3)
Net OCI	$	2	$	19	$	21	$	0	$	21
Change in net unrealized gains (losses) on AFS securities
OCI activity	$	395	$	(93)	$	302	$	0	$	302
Reclassified to earnings	(10)		3		(7)		0		(7)
Net OCI	$	385	$	(90)	$	295	$	0	$	295
Pension and other
OCI activity	$	(4)	$	(1)	$	(5)	$	0	$	(5)
Reclassified to earnings	5		(1)		4		0		4
Net OCI	$	1	$	(2)	$	(1)	$	0	$	(1)
Change in net DVA
OCI activity	$	(3,301)	$	805	$	(2,496)	$	(87)	$	(2,409)
Reclassified to earnings	1		(1)		0		0		0
Net OCI	$	(3,300)	$	804	$	(2,496)	$	(87)	$	(2,409)


	Six Months Ended June 30, 2020
$ in millions	Pre-tax Gain (Loss)		Income Tax Benefit (Provision)		After-tax Gain (Loss)		Non- controlling Interests		Net
CTA
OCI activity	$	(15)	$	(93)	$	(108)	$	9	$	(117)
Reclassified to earnings	(3)		0		(3)		0		(3)
Net OCI	$	(18)	$	(93)	$	(111)	$	9	$	(120)
Change in net unrealized gains (losses) on AFS securities
OCI activity	$	2,168	$	(509)	$	1,659	$	0	$	1,659
Reclassified to earnings	(51)		12		(39)		0		(39)
Net OCI	$	2,117	$	(497)	$	1,620	$	0	$	1,620
Pension and other
OCI activity	$	21	$	(5)	$	16	$	0	$	16
Reclassified to earnings	10		(2)		8		0		8
Net OCI	$	31	$	(7)	$	24	$	0	$	24
Change in net DVA
OCI activity	$	1,714	$	(411)	$	1,303	$	42	$	1,261
Reclassified to earnings	6		(2)		4		0		4
Net OCI	$	1,720	$	(413)	$	1,307	$	42	$	1,265