|
|
|
|
|
|
|
|
Delaware
|
1585 Broadway
|
36-3145972
|
(212)
|
761-4000
|
|
||
(State or other jurisdiction of
incorporation or organization)
|
New York,
|
NY
|
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 Shares, each representing 1/1000th interest in a share of 4.875%
|
MS/PL
|
New York Stock Exchange
|
Non-Cumulative Preferred Stock, Series L, $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)
|
||
Morgan Stanley Cushing® MLP High Income Index ETNs due March 21, 2031
|
MLPY
|
NYSE Arca, Inc.
|
Large accelerated filer
|
☒
|
Accelerated filer
|
☐
|
Non-accelerated filer
|
☐
|
Smaller reporting company
|
☐
|
Emerging growth company
|
☐
|
Table of Contents
|
Part
|
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|
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|
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II
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1A
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I
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3
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I
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II
|
|
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II
|
1
|
|
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II
|
2
|
|
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I
|
4
|
|
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II
|
6
|
|
|||
|
|
S-1
|
•
|
Amended and Restated Certificate of Incorporation;
|
•
|
Amended and Restated Bylaws;
|
•
|
Charters for our Audit Committee, Compensation, Management Development and Succession Committee, Nominating and Governance Committee, Operations and Technology Committee, and Risk Committee;
|
•
|
Corporate Governance Policies;
|
•
|
Policy Regarding Corporate Political Activities;
|
•
|
Policy Regarding Shareholder Rights Plan;
|
•
|
Equity Ownership Commitment;
|
•
|
Code of Ethics and Business Conduct;
|
•
|
Code of Conduct;
|
•
|
Integrity Hotline Information;
|
•
|
Environmental and Social Policies; and
|
•
|
Sustainability Report.
|
|
1
|
September 2020 Form 10-Q
|
September 2020 Form 10-Q
|
2
|
|
|
|
Management’s Discussion and Analysis
|
|
•
|
Firm Net revenues were up 16% and Net income applicable to Morgan Stanley was up 25%, reflecting strength across all business segments, and resulting in an annualized ROTCE of 15.0% (see “Non-GAAP Financial Measures” herein).
|
•
|
Institutional Securities Net revenues of $6,062 million increased as a result of higher sales and trading and strength in equity underwriting.
|
•
|
Wealth Management delivered pre-tax income of $1.1 billion with a pre-tax profit margin of 24%, reflecting strong fee-based flows and increased loan and deposit balances.
|
•
|
Investment Management reported long-term net flows of $10.4 billion and AUM of $715 billion driving revenue growth of 38%.
|
•
|
Our provision for credit losses on loans and lending commitments was $111 million.
|
•
|
At September 30, 2020, our standardized Common Equity Tier 1 capital ratio was 17.4%.
|
•
|
On October 2, 2020, we completed the acquisition of E*TRADE Financial Corporation (“E*TRADE”). For further information, see “Business Segments—Wealth Management.”
|
•
|
On October 8, 2020, we entered into a definitive agreement under which we will acquire Eaton Vance Corp. (“Eaton Vance”), subject to customary closing conditions. For further information, see “Business Segments—Investment Management.”
|
|
3
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
1.
|
The percentages on the bars in the chart represent the contribution of compensation and benefits expenses and non-compensation expenses to the total.
|
•
|
Compensation and benefits expenses of $5,086 million in the current quarter increased 15% from the prior year quarter, primarily as a result of increases in discretionary incentive compensation and the formulaic payout to Wealth Management representatives, driven by higher revenues, and higher expenses related to certain deferred compensation plans linked to investment performance.
|
•
|
Non-compensation expenses of $3,084 million in the current quarter increased 7% from the prior year quarter, primarily as a result of higher volume-related expenses and increased information processing and communication expenses, partially offset by a decrease in marketing and business development expenses.
|
•
|
Compensation and benefits expenses of $15,404 million in the current year period increased 13% from the prior year period, primarily as a result of increases in discretionary incentive compensation and the formulaic payout to Wealth Management representatives, driven by higher revenues, partially offset by lower compensation associated with carried interest and certain deferred compensation plans linked to investment performance.
|
•
|
Non-compensation expenses of $9,166 million in the current year period increased 9% from the prior year period, primarily as a result of higher volume-related expenses, an increase in the provision for credit losses for lending commitments and off-balance sheet instruments, and increased information processing and communication expenses. These increases were partially offset by a decrease in marketing and business development expenses.
|
September 2020 Form 10-Q
|
4
|
|
|
|
Management’s Discussion and Analysis
|
|
1.
|
The percentages on the bars in the charts represent the contribution of each business segment to the total of the applicable financial category and may not sum to 100% due to intersegment eliminations. See Note 20 to the financial statements for details of intersegment eliminations.
|
•
|
Institutional Securities net revenues of $6,062 million in the current quarter increased 21% from the prior year quarter primarily due to higher sales and trading and equity underwriting revenues.
|
•
|
Wealth Management net revenues of $4,657 million in the current quarter increased 7% principally due to gains from investments associated with certain employee deferred compensation plans. Excluding these investment gains, revenues increased modestly, reflecting higher Asset management revenues on positive net flows, partially offset by lower Net interest.
|
•
|
Investment Management net revenues of $1,056 million in the current quarter increased 38% from the prior year quarter, primarily due to higher Investments revenues, driven by accrued carried interest and investment gains in an Asia private equity fund, and higher Asset management revenues as a result of higher average AUM.
|
|
5
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
•
|
Institutional Securities net revenues of $18,944 million in the current year period increased 24% from the prior year period. The increase is primarily due to higher sales and trading and underwriting revenues, partially offset by losses on loans and lending commitments held for sale, an increase in the provision for credit losses on loans held for investment, and a decrease in advisory revenues.
|
•
|
Wealth Management net revenues of $13,374 million in the current year period increased 2% from the prior year period, primarily due to higher Asset management revenues, largely as a result of market appreciation, and higher Commissions and fees, partially offset by lower Net interest.
|
•
|
Investment Management net revenues of $2,634 million in the current year period increased 9% from the prior year period primarily due to higher Asset management revenues as a result of higher average AUM.
|
1.
|
The percentages on the bars in the charts represent the contribution of each region to the total.
|
2.
|
For a discussion of how the geographic breakdown of net revenues is determined, see Note 20 to the financial statements in the 2019 Form 10-K.
|
September 2020 Form 10-Q
|
6
|
|
|
|
Management’s Discussion and Analysis
|
|
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Net income applicable to Morgan Stanley
|
$
|
2,717
|
|
$
|
2,173
|
|
$
|
7,611
|
|
$
|
6,803
|
|
Preferred stock dividends
|
120
|
|
113
|
|
377
|
|
376
|
|
||||
Earnings applicable to Morgan Stanley common shareholders
|
$
|
2,597
|
|
$
|
2,060
|
|
$
|
7,234
|
|
$
|
6,427
|
|
|
|
|
|
|
||||||||
Expense efficiency ratio1
|
70.1
|
%
|
73.0
|
%
|
71.1
|
%
|
72.0
|
%
|
||||
ROE2
|
13.2
|
%
|
11.2
|
%
|
12.6
|
%
|
11.8
|
%
|
||||
Adjusted ROE3
|
12.6
|
%
|
10.7
|
%
|
12.5
|
%
|
11.5
|
%
|
||||
ROTCE2,3
|
15.0
|
%
|
12.9
|
%
|
14.3
|
%
|
13.5
|
%
|
||||
Adjusted ROTCE3
|
14.3
|
%
|
12.3
|
%
|
14.2
|
%
|
13.1
|
%
|
||||
Pre-tax profit margin4
|
29.9
|
%
|
27.0
|
%
|
28.9
|
%
|
28.0
|
%
|
||||
Pre-tax profit margin by segment4
|
|
|
|
|||||||||
Institutional Securities
|
34
|
%
|
26
|
%
|
32
|
%
|
28
|
%
|
||||
Wealth Management
|
24
|
%
|
28
|
%
|
25
|
%
|
28
|
%
|
||||
Investment Management
|
30
|
%
|
22
|
%
|
26
|
%
|
22
|
%
|
in millions, except per share and employee data
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Liquidity resources5
|
$
|
267,292
|
|
$
|
215,868
|
|
Loans6
|
$
|
146,237
|
|
$
|
130,637
|
|
Total assets
|
$
|
955,940
|
|
$
|
895,429
|
|
Deposits
|
$
|
239,253
|
|
$
|
190,356
|
|
Borrowings
|
$
|
203,444
|
|
$
|
192,627
|
|
Common shares outstanding
|
1,576
|
|
1,594
|
|
||
Common shareholders' equity
|
$
|
79,874
|
|
$
|
73,029
|
|
Tangible common shareholders’ equity3
|
$
|
70,646
|
|
$
|
63,780
|
|
Book value per common share7
|
$
|
50.67
|
|
$
|
45.82
|
|
Tangible book value per common share3,7
|
$
|
44.81
|
|
$
|
40.01
|
|
Worldwide employees
|
63,051
|
|
60,431
|
|
||
Capital ratios8
|
|
|
||||
Common Equity Tier 1 capital—Advanced
|
16.9
|
%
|
16.9
|
%
|
||
Common Equity Tier 1 capital—Standardized
|
17.4
|
%
|
16.4
|
%
|
||
Tier 1 capital—Advanced
|
19.0
|
%
|
19.2
|
%
|
||
Tier 1 capital—Standardized
|
19.5
|
%
|
18.6
|
%
|
||
Tier 1 leverage
|
8.3
|
%
|
8.3
|
%
|
||
SLR9
|
7.4
|
%
|
6.4
|
%
|
1.
|
The expense efficiency ratio represents total non-interest expenses as a percentage of net revenues.
|
2.
|
ROE and ROTCE represent annualized earnings applicable to Morgan Stanley common shareholders as a percentage of average common equity and average tangible common equity, respectively.
|
3.
|
Represents a non-GAAP financial measure. See “Selected Non-GAAP Financial Information” herein.
|
4.
|
Pre-tax profit margin represents income before income taxes as a percentage of net revenues.
|
5.
|
For a discussion of Liquidity resources, see “Liquidity and Capital Resources—Liquidity Risk Management Framework—Liquidity Resources” herein.
|
6.
|
Amounts include loans held for investment (net of allowance) and loans held for sale but exclude loans at fair value, which are included in Trading assets in the balance sheets (see Note 10 to the financial statements).
|
7.
|
Book value per common share and tangible book value per common share equal common shareholders’ equity and tangible common shareholders’ equity, respectively, divided by common shares outstanding.
|
8.
|
At September 30, 2020 and December 31, 2019, our risk-based capital ratios are based on the Advanced Approach and the Standardized Approach rules, respectively. For a discussion of our capital ratios, see “Liquidity and Capital Resources—Regulatory Requirements” herein.
|
9.
|
At September 30, 2020, our SLR reflects the impact of a Federal Reserve interim final rule in effect until March 31, 2021. For further information, see “Liquidity and Capital Resources—Regulatory Requirements—Regulatory Developments” herein.
|
|
7
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions, except per share data
|
2020
|
2019
|
2020
|
2019
|
||||||||
Earnings applicable to Morgan Stanley common shareholders
|
$
|
2,597
|
|
$
|
2,060
|
|
$
|
7,234
|
|
$
|
6,427
|
|
Impact of adjustments
|
(113
|
)
|
(89
|
)
|
(10
|
)
|
(190
|
)
|
||||
Adjusted earnings applicable to Morgan Stanley common shareholders—non-GAAP1
|
$
|
2,484
|
|
$
|
1,971
|
|
$
|
7,224
|
|
$
|
6,237
|
|
Earnings per diluted common share
|
$
|
1.66
|
|
$
|
1.27
|
|
$
|
4.62
|
|
$
|
3.89
|
|
Impact of adjustments
|
(0.07
|
)
|
(0.06
|
)
|
—
|
|
(0.12
|
)
|
||||
Adjusted earnings per diluted common share—non-GAAP1
|
$
|
1.59
|
|
$
|
1.21
|
|
$
|
4.62
|
|
$
|
3.77
|
|
Effective income tax rate
|
21.1
|
%
|
18.2
|
%
|
22.2
|
%
|
19.1
|
%
|
||||
Impact of adjustments
|
3.2
|
%
|
3.2
|
%
|
0.1
|
%
|
2.2
|
%
|
||||
Adjusted effective income tax rate—non-GAAP1
|
24.3
|
%
|
21.4
|
%
|
22.3
|
%
|
21.3
|
%
|
|
Average Monthly Balance
|
|||||||||||
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Tangible equity
|
|
|
|
|
||||||||
Morgan Stanley shareholders' equity
|
$
|
87,210
|
|
$
|
81,912
|
|
$
|
85,378
|
|
$
|
81,028
|
|
Less: Goodwill and net intangible assets
|
(9,260
|
)
|
(9,389
|
)
|
(9,248
|
)
|
(9,097
|
)
|
||||
Tangible Morgan Stanley shareholders' equity—Non-GAAP
|
$
|
77,950
|
|
$
|
72,523
|
|
$
|
76,130
|
|
$
|
71,931
|
|
Common shareholders' equity
|
$
|
78,690
|
|
$
|
73,392
|
|
$
|
76,858
|
|
$
|
72,508
|
|
Less: Goodwill and net intangible assets
|
(9,260
|
)
|
(9,389
|
)
|
(9,248
|
)
|
(9,097
|
)
|
||||
Tangible common shareholders' equity—Non-GAAP
|
$
|
69,430
|
|
$
|
64,003
|
|
$
|
67,610
|
|
$
|
63,411
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in billions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Average common equity
|
|
|
|
|
||||||||
Unadjusted—GAAP
|
$
|
78.7
|
|
$
|
73.4
|
|
$
|
76.9
|
|
$
|
72.5
|
|
Adjusted1—Non-GAAP
|
78.7
|
|
73.4
|
|
76.9
|
|
72.4
|
|
||||
ROE2
|
|
|
|
|
||||||||
Unadjusted—GAAP
|
13.2
|
%
|
11.2
|
%
|
12.6
|
%
|
11.8
|
%
|
||||
Adjusted—Non-GAAP1, 3
|
12.6
|
%
|
10.7
|
%
|
12.5
|
%
|
11.5
|
%
|
||||
Average tangible common equity—Non-GAAP
|
||||||||||||
Unadjusted
|
$
|
69.4
|
|
$
|
64.0
|
|
$
|
67.6
|
|
$
|
63.4
|
|
Adjusted1
|
69.4
|
|
64.0
|
|
67.6
|
|
63.3
|
|
||||
ROTCE2—Non-GAAP
|
|
|
|
|
||||||||
Unadjusted
|
15.0
|
%
|
12.9
|
%
|
14.3
|
%
|
13.5
|
%
|
||||
Adjusted1, 3
|
14.3
|
%
|
12.3
|
%
|
14.2
|
%
|
13.1
|
%
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in billions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Average common equity4, 5
|
|
|
|
|||||||||
Institutional Securities
|
$
|
42.8
|
|
$
|
40.4
|
|
$
|
42.8
|
|
$
|
40.4
|
|
Wealth Management
|
18.2
|
|
18.2
|
|
18.2
|
|
18.2
|
|
||||
Investment Management
|
2.6
|
|
2.5
|
|
2.6
|
|
2.5
|
|
||||
Average tangible common equity4, 5
|
|
|
|
|||||||||
Institutional Securities
|
$
|
42.3
|
|
$
|
39.9
|
|
$
|
42.3
|
|
$
|
39.9
|
|
Wealth Management
|
10.4
|
|
10.2
|
|
10.4
|
|
10.2
|
|
||||
Investment Management
|
1.7
|
|
1.5
|
|
1.7
|
|
1.5
|
|
||||
ROE6
|
|
|
|
|
||||||||
Institutional Securities
|
14.5
|
%
|
9.8
|
%
|
13.4
|
%
|
10.8
|
%
|
||||
Wealth Management
|
17.9
|
%
|
20.6
|
%
|
18.2
|
%
|
20.2
|
%
|
||||
Investment Management
|
34.0
|
%
|
22.1
|
%
|
23.0
|
%
|
21.5
|
%
|
||||
ROTCE6
|
|
|
|
|
||||||||
Institutional Securities
|
14.7
|
%
|
9.9
|
%
|
13.5
|
%
|
10.9
|
%
|
||||
Wealth Management
|
31.4
|
%
|
36.9
|
%
|
31.7
|
%
|
36.2
|
%
|
||||
Investment Management
|
52.6
|
%
|
35.6
|
%
|
35.6
|
%
|
34.7
|
%
|
1.
|
Adjusted amounts exclude net discrete tax provisions (benefits) that are intermittent and include those that are recurring. Provisions (benefits) related to conversion of employee share-based awards are expected to occur every year and, as such, are considered recurring discrete tax items. For further information on net discrete tax provisions (benefits), see “Supplemental Financial Information—Income Tax Matters” herein.
|
2.
|
ROE and ROTCE represent annualized earnings applicable to Morgan Stanley common shareholders as a percentage of average common equity and average tangible common equity, respectively. When excluding intermittent net discrete tax provisions (benefits), both the numerator and average denominator are adjusted.
|
3.
|
The calculations used in determining our “ROE and ROTCE Targets” referred to in the following section are the Adjusted ROE and Adjusted ROTCE amounts shown in this table.
|
4.
|
Average common equity and average tangible common equity for each business segment is determined using our Required Capital framework (see "Liquidity and Capital Resources—Regulatory Requirements—Attribution of Average Common Equity According to the Required Capital Framework” herein).
|
5.
|
The sums of the segments' Average common equity and Average tangible common equity do not equal the Consolidated measures due to Parent equity.
|
6.
|
The calculation of ROE and ROTCE by segment uses annualized net income applicable to Morgan Stanley by segment less preferred dividends allocated to each segment as a percentage of average common equity and average tangible common equity, respectively, allocated to each segment.
|
September 2020 Form 10-Q
|
8
|
|
|
|
Management’s Discussion and Analysis
|
|
|
9
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
|
Three Months Ended
September 30, |
|
||||||
$ in millions
|
2020
|
2019
|
% Change
|
|||||
Revenues
|
|
|
|
|||||
Investment banking
|
$
|
1,707
|
|
$
|
1,535
|
|
11
|
%
|
Trading
|
2,807
|
|
2,533
|
|
11
|
%
|
||
Investments
|
87
|
|
(18
|
)
|
N/M
|
|
||
Commissions and fees
|
639
|
|
643
|
|
(1
|
)%
|
||
Asset management
|
114
|
|
100
|
|
14
|
%
|
||
Other
|
114
|
|
51
|
|
124
|
%
|
||
Total non-interest revenues
|
5,468
|
|
4,844
|
|
13
|
%
|
||
Interest income
|
1,086
|
|
3,112
|
|
(65
|
)%
|
||
Interest expense
|
492
|
|
2,933
|
|
(83
|
)%
|
||
Net interest
|
594
|
|
179
|
|
N/M
|
|
||
Net revenues
|
6,062
|
|
5,023
|
|
21
|
%
|
||
Compensation and benefits
|
2,001
|
|
1,768
|
|
13
|
%
|
||
Non-compensation expenses
|
2,013
|
|
1,948
|
|
3
|
%
|
||
Total non-interest expenses
|
4,014
|
|
3,716
|
|
8
|
%
|
||
Income before provision for income taxes
|
2,048
|
|
1,307
|
|
57
|
%
|
||
Provision for income taxes
|
385
|
|
189
|
|
104
|
%
|
||
Net income
|
1,663
|
|
1,118
|
|
49
|
%
|
||
Net income applicable to noncontrolling interests
|
16
|
|
45
|
|
(64
|
)%
|
||
Net income applicable to Morgan Stanley
|
$
|
1,647
|
|
$
|
1,073
|
|
53
|
%
|
|
Nine Months Ended
September 30, |
|
||||||
$ in millions
|
2020
|
2019
|
% Change
|
|||||
Revenues
|
|
|
|
|||||
Investment banking
|
$
|
4,902
|
|
$
|
4,158
|
|
18
|
%
|
Trading
|
10,375
|
|
8,221
|
|
26
|
%
|
||
Investments
|
98
|
|
257
|
|
(62
|
)%
|
||
Commissions and fees
|
2,230
|
|
1,889
|
|
18
|
%
|
||
Asset management
|
342
|
|
310
|
|
10
|
%
|
||
Other
|
(628
|
)
|
416
|
|
N/M
|
|
||
Total non-interest revenues
|
17,319
|
|
15,251
|
|
14
|
%
|
||
Interest income
|
4,809
|
|
9,457
|
|
(49
|
)%
|
||
Interest expense
|
3,184
|
|
9,376
|
|
(66
|
)%
|
||
Net interest
|
1,625
|
|
81
|
|
N/M
|
|
||
Net revenues
|
18,944
|
|
15,332
|
|
24
|
%
|
||
Compensation and benefits
|
6,767
|
|
5,376
|
|
26
|
%
|
||
Non-compensation expenses
|
6,186
|
|
5,591
|
|
11
|
%
|
||
Total non-interest expenses
|
12,953
|
|
10,967
|
|
18
|
%
|
||
Income before provision for income taxes
|
5,991
|
|
4,365
|
|
37
|
%
|
||
Provision for income taxes
|
1,326
|
|
703
|
|
89
|
%
|
||
Net income
|
4,665
|
|
3,662
|
|
27
|
%
|
||
Net income applicable to noncontrolling interests
|
75
|
|
97
|
|
(23
|
)%
|
||
Net income applicable to Morgan Stanley
|
$
|
4,590
|
|
$
|
3,565
|
|
29
|
%
|
|
Three Months Ended
September 30, |
|
||||||
$ in millions
|
2020
|
2019
|
% Change
|
|||||
Advisory
|
$
|
357
|
|
$
|
550
|
|
(35
|
)%
|
Underwriting:
|
|
|
|
|||||
Equity
|
874
|
|
401
|
|
118
|
%
|
||
Fixed income
|
476
|
|
584
|
|
(18
|
)%
|
||
Total Underwriting
|
1,350
|
|
985
|
|
37
|
%
|
||
Total Investment banking
|
$
|
1,707
|
|
$
|
1,535
|
|
11
|
%
|
|
Nine Months Ended
September 30, |
|
||||||
$ in millions
|
2020
|
2019
|
% Change
|
|||||
Advisory
|
$
|
1,181
|
|
$
|
1,462
|
|
(19
|
)%
|
Underwriting:
|
|
|
|
|||||
Equity
|
2,092
|
|
1,286
|
|
63
|
%
|
||
Fixed income
|
1,629
|
|
1,410
|
|
16
|
%
|
||
Total Underwriting
|
3,721
|
|
2,696
|
|
38
|
%
|
||
Total Investment banking
|
$
|
4,902
|
|
$
|
4,158
|
|
18
|
%
|
September 2020 Form 10-Q
|
10
|
|
|
|
Management’s Discussion and Analysis
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in billions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Completed mergers and acquisitions1
|
$
|
88
|
|
$
|
215
|
|
$
|
633
|
|
$
|
582
|
|
Equity and equity-related offerings2, 3
|
25
|
|
17
|
|
74
|
|
47
|
|
||||
Fixed income offerings2, 4
|
91
|
|
90
|
|
304
|
|
211
|
|
1.
|
Includes transactions of $100 million or more. Based on full credit to each of the advisors in a transaction.
|
2.
|
Based on full credit for single book managers and equal credit for joint book managers.
|
3.
|
Includes Rule 144A issuances and registered public offerings of common stock, convertible securities and rights offerings.
|
4.
|
Includes Rule 144A and publicly registered issuances, non-convertible preferred stock, mortgage-backed and asset-backed securities, and taxable municipal debt. Excludes leveraged loans and self-led issuances.
|
•
|
Advisory revenues decreased in the current quarter primarily as a result of lower volumes of completed M&A activity.
|
•
|
Equity underwriting revenues increased, primarily in initial public offerings, follow-on offerings and secondary block share trades, on overall higher volumes in the current quarter.
|
•
|
Fixed income underwriting revenues decreased in the current quarter primarily in non-investment grade and investment grade loan issuances, reflecting lower event-driven activity.
|
•
|
Advisory revenues decreased in the current year period as there were fewer completed transactions.
|
•
|
Equity underwriting revenues increased, primarily in follow-on offerings, secondary block share trades, initial public offerings and convertible issuances, on overall higher volumes in the current year period.
|
•
|
Fixed income underwriting revenues increased, primarily in investment grade and non-investment grade bond issuances, partially offset by investment grade loan issuances, on overall higher volumes.
|
|
Three Months Ended
September 30, |
|
||||||
$ in millions
|
2020
|
2019
|
% Change
|
|||||
Trading
|
$
|
2,807
|
|
$
|
2,533
|
|
11
|
%
|
Commissions and fees
|
639
|
|
643
|
|
(1
|
)%
|
||
Asset management
|
114
|
|
100
|
|
14
|
%
|
||
Net interest
|
594
|
|
179
|
|
N/M
|
|
||
Total
|
$
|
4,154
|
|
$
|
3,455
|
|
20
|
%
|
|
Three Months Ended
September 30, |
|
||||||
|
|
|||||||
$ in millions
|
2020
|
2019
|
% Change
|
|||||
Equity
|
$
|
2,262
|
|
$
|
1,991
|
|
14
|
%
|
Fixed Income
|
1,924
|
|
1,430
|
|
35
|
%
|
||
Other
|
(32
|
)
|
34
|
|
(194
|
)%
|
||
Total
|
$
|
4,154
|
|
$
|
3,455
|
|
20
|
%
|
|
Nine Months Ended
September 30, |
|
||||||
|
|
|||||||
$ in millions
|
2020
|
2019
|
% Change
|
|||||
Equity
|
$
|
7,303
|
|
$
|
6,136
|
|
19
|
%
|
Fixed Income
|
7,160
|
|
4,273
|
|
68
|
%
|
||
Other
|
109
|
|
92
|
|
18
|
%
|
||
Total
|
$
|
14,572
|
|
$
|
10,501
|
|
39
|
%
|
|
11
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
|
Three Months Ended
September 30, 2020 |
|||||||||||
|
|
|
Net
|
|
||||||||
$ in millions
|
Trading
|
Fees1
|
Interest2
|
Total
|
||||||||
Financing
|
$
|
929
|
|
$
|
108
|
|
$
|
116
|
|
$
|
1,153
|
|
Execution services
|
606
|
|
580
|
|
(77
|
)
|
1,109
|
|
||||
Total Equity
|
$
|
1,535
|
|
$
|
688
|
|
$
|
39
|
|
$
|
2,262
|
|
Total Fixed Income
|
$
|
1,420
|
|
$
|
65
|
|
$
|
439
|
|
$
|
1,924
|
|
|
Three Months Ended
September 30, 2019 |
|||||||||||
|
|
|
Net
|
|
||||||||
$ in millions
|
Trading
|
Fees1
|
Interest2
|
Total
|
||||||||
Financing
|
$
|
1,049
|
|
$
|
88
|
|
$
|
(90
|
)
|
$
|
1,047
|
|
Execution services
|
446
|
|
564
|
|
(66
|
)
|
944
|
|
||||
Total Equity
|
$
|
1,495
|
|
$
|
652
|
|
$
|
(156
|
)
|
$
|
1,991
|
|
Total Fixed Income
|
$
|
1,329
|
|
$
|
90
|
|
$
|
11
|
|
$
|
1,430
|
|
|
Nine Months Ended
September 30, 2020 |
|||||||||||
|
|
|
Net
|
|
||||||||
$ in millions
|
Trading
|
Fees1
|
Interest2
|
Total
|
||||||||
Financing
|
$
|
2,847
|
|
$
|
325
|
|
$
|
172
|
|
$
|
3,344
|
|
Execution services
|
2,134
|
|
2,014
|
|
(189
|
)
|
3,959
|
|
||||
Total Equity
|
$
|
4,981
|
|
$
|
2,339
|
|
$
|
(17
|
)
|
$
|
7,303
|
|
Total Fixed Income
|
$
|
5,661
|
|
$
|
234
|
|
$
|
1,265
|
|
$
|
7,160
|
|
|
Nine Months Ended
September 30, 2019 |
|||||||||||
|
|
|
Net
|
|
||||||||
$ in millions
|
Trading
|
Fees1
|
Interest2
|
Total
|
||||||||
Financing
|
$
|
3,249
|
|
$
|
280
|
|
$
|
(500
|
)
|
$
|
3,029
|
|
Execution services
|
1,597
|
|
1,671
|
|
(161
|
)
|
3,107
|
|
||||
Total Equity
|
$
|
4,846
|
|
$
|
1,951
|
|
$
|
(661
|
)
|
$
|
6,136
|
|
Total Fixed Income
|
$
|
4,200
|
|
$
|
249
|
|
$
|
(176
|
)
|
$
|
4,273
|
|
1.
|
Includes Commissions and fees and Asset management revenues.
|
2.
|
Includes funding costs, which are allocated to the businesses based on funding usage.
|
•
|
Financing revenues increased from the prior year quarter, primarily driven by client activity. The effect of lower interest rates was an increase in Net interest driven by lower funding costs, partially offset by reduced Trading revenues.
|
•
|
Execution services revenues increased from the prior year quarter primarily due to higher Trading revenues reflecting
|
•
|
Global macro products revenues increased primarily due to improved inventory management in rates and foreign exchange products, partially offset by lower levels of client activity across all products.
|
•
|
Credit products revenues increased primarily driven by improved inventory management and higher client activity, which benefited from an active primary market in the current quarter. Net interest revenues increased reflecting lower funding costs.
|
•
|
Commodities products and Other revenues increased primarily due to favorable inventory management in Commodities, mainly in precious metals products.
|
•
|
Other sales and trading losses of $32 million in the current quarter primarily reflect losses on economic hedges related to certain Borrowings and corporate lending activity, partially offset by gains from investments associated with certain employee deferred compensation plans.
|
•
|
Financing revenues increased from the prior year period, primarily driven by client activity. The effect of lower interest rates was an increase in Net interest driven by lower funding costs, partially offset by reduced Trading revenues.
|
•
|
Execution services revenues increased from the prior year period, reflecting higher client activity and favorable inventory management results in cash equities and derivatives, partially offset by the impact of counterparty exposure losses.
|
September 2020 Form 10-Q
|
12
|
|
|
|
Management’s Discussion and Analysis
|
|
•
|
Global macro products revenues increased primarily due to higher client activity in both rates and foreign exchange products and improved inventory management results.
|
•
|
Credit products revenues increased primarily due to higher client activity in corporate credit and securitized products from higher volumes and wider bid-offer spreads, partially offset by the effect of widening credit spreads on inventory. Net interest revenues increased reflecting lower funding costs and higher average balances in secured lending facilities.
|
•
|
Commodities products and Other revenues increased primarily reflecting favorable inventory management and higher client activity in commodities, partially offset by lower client structuring activity within derivatives counterparty credit risk management.
|
•
|
Other sales and trading revenues of $109 million in the current year period increased from the prior year period reflecting gains on hedges associated with corporate lending activity, partially offset by lower yields on liquidity investments, lower gains from investments associated with certain employee deferred compensation plans and losses on economic hedges related to certain Borrowings.
|
•
|
Net investments gains of $87 million in the current quarter include gains on certain business-related investments compared with losses in the prior year quarter.
|
•
|
Net investments gains of $98 million in the current year period include gains on certain business-related investments. The prior year period included gains associated with an investment’s initial public offering.
|
•
|
Other revenues of $114 million in the current quarter increased compared to the prior year quarter primarily as a result of mark-to-market gains on loans and lending commitments held for sale as credit spreads tightened, partially offset by an increase in the provision for credit losses on loans held for investment.
|
•
|
Other net losses of $628 million in the current year period were primarily as a result of mark-to-market losses on loans
|
•
|
Compensation and benefits expenses increased in the current quarter primarily due to increases in discretionary incentive compensation, driven by higher revenues, and higher expenses related to certain deferred compensation plans linked to investment performance.
|
•
|
Non-compensation expenses increased in the current quarter primarily due to higher volume-related expenses and information processing and communications expenses, partially offset by lower litigation costs.
|
•
|
Compensation and benefits expenses increased in the current year period primarily due to increases in discretionary incentive compensation, driven by higher revenues, partially offset by lower expenses related to certain deferred compensation plans linked to investment performance.
|
•
|
Non-compensation expenses increased in the current year period primarily due to higher volume-related expenses, an increase in the provision for credit losses for lending commitments held for investment and off-balance sheet instruments, and higher information processing and communications expenses. Partially offsetting these increases were lower marketing and business development expenses.
|
•
|
The current quarter and prior year quarter included intermittent net discrete tax benefits of $115 million and $67 million, respectively.
|
•
|
The current year period and prior year period included intermittent net discrete tax benefits of $17 million and $168 million, respectively.
|
|
13
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
|
Three Months Ended
September 30, |
|
||||||
$ in millions
|
2020
|
2019
|
% Change
|
|||||
Revenues
|
|
|
|
|||||
Investment banking
|
$
|
135
|
|
$
|
118
|
|
14
|
%
|
Trading
|
268
|
|
61
|
|
N/M
|
|
||
Investments
|
1
|
|
—
|
|
N/M
|
|
||
Commissions and fees
|
477
|
|
416
|
|
15
|
%
|
||
Asset management
|
2,793
|
|
2,639
|
|
6
|
%
|
||
Other
|
94
|
|
81
|
|
16
|
%
|
||
Total non-interest revenues
|
3,768
|
|
3,315
|
|
14
|
%
|
||
Interest income
|
1,065
|
|
1,378
|
|
(23
|
)%
|
||
Interest expense
|
176
|
|
335
|
|
(47
|
)%
|
||
Net interest
|
889
|
|
1,043
|
|
(15
|
)%
|
||
Net revenues
|
4,657
|
|
4,358
|
|
7
|
%
|
||
Compensation and benefits
|
2,684
|
|
2,340
|
|
15
|
%
|
||
Non-compensation expenses
|
853
|
|
780
|
|
9
|
%
|
||
Total non-interest expenses
|
3,537
|
|
3,120
|
|
13
|
%
|
||
Income before provision for income taxes
|
$
|
1,120
|
|
$
|
1,238
|
|
(10
|
)%
|
Provision for income taxes
|
278
|
|
276
|
|
1
|
%
|
||
Net income applicable to Morgan Stanley
|
$
|
842
|
|
$
|
962
|
|
(12
|
)%
|
|
Nine Months Ended
September 30, |
|
||||||
$ in millions
|
2020
|
2019
|
% Change
|
|||||
Revenues
|
|
|
|
|||||
Investment banking
|
$
|
403
|
|
$
|
365
|
|
10
|
%
|
Trading
|
413
|
|
525
|
|
(21
|
)%
|
||
Investments
|
9
|
|
1
|
|
N/M
|
|
||
Commissions and fees
|
1,538
|
|
1,250
|
|
23
|
%
|
||
Asset management
|
7,980
|
|
7,544
|
|
6
|
%
|
||
Other
|
216
|
|
281
|
|
(23
|
)%
|
||
Total non-interest revenues
|
10,559
|
|
9,966
|
|
6
|
%
|
||
Interest income
|
3,468
|
|
4,139
|
|
(16
|
)%
|
||
Interest expense
|
653
|
|
950
|
|
(31
|
)%
|
||
Net interest
|
2,815
|
|
3,189
|
|
(12
|
)%
|
||
Net revenues
|
13,374
|
|
13,155
|
|
2
|
%
|
||
Compensation and benefits
|
7,625
|
|
7,184
|
|
6
|
%
|
||
Non-compensation expenses
|
2,432
|
|
2,302
|
|
6
|
%
|
||
Total non-interest expenses
|
10,057
|
|
9,486
|
|
6
|
%
|
||
Income before provision for income taxes
|
$
|
3,317
|
|
$
|
3,669
|
|
(10
|
)%
|
Provision for income taxes
|
758
|
|
830
|
|
(9
|
)%
|
||
Net income applicable to Morgan Stanley
|
$
|
2,559
|
|
$
|
2,839
|
|
(10
|
)%
|
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
$ in billions, except employee data
|
||||||
Client assets
|
$
|
2,852
|
|
$
|
2,700
|
|
Fee-based client assets1
|
$
|
1,333
|
|
$
|
1,267
|
|
Fee-based client assets as a percentage of total client assets
|
47
|
%
|
47
|
%
|
||
Client liabilities2
|
$
|
100
|
|
$
|
90
|
|
Investment securities
|
$
|
88.6
|
|
$
|
67.2
|
|
Loans and lending commitments
|
$
|
105.9
|
|
$
|
93.2
|
|
Wealth Management representatives
|
15,469
|
|
15,468
|
|
|
Three Months Ended
September 30, |
|||||
|
2020
|
2019
|
||||
Per representative:
|
|
|
||||
Annualized revenues ($ in thousands)3
|
$
|
1,207
|
|
$
|
1,118
|
|
Client assets ($ in millions)4
|
$
|
184
|
|
$
|
165
|
|
Fee-based asset flows ($ in billions)5
|
$
|
23.8
|
|
$
|
15.5
|
|
|
Nine Months Ended
September 30, |
|||||
|
2020
|
2019
|
||||
Per representative:
|
|
|
||||
Annualized revenues ($ in thousands)3
|
$
|
1,155
|
|
$
|
1,121
|
|
Client assets ($ in millions)4
|
$
|
184
|
|
$
|
165
|
|
Fee-based asset flows ($ in billions)5
|
$
|
53.3
|
|
$
|
40.1
|
|
1.
|
Fee-based client assets represent the amount of assets in client accounts where the fee for services is calculated based on those assets.
|
2.
|
Client liabilities include securities-based and other loans (including tailored lending), residential real estate loans and margin lending.
|
3.
|
Revenues per representative equals Wealth Management’s annualized net revenues divided by the average number of representatives.
|
4.
|
Client assets per representative equals total period-end client assets divided by period-end number of representatives.
|
5.
|
Excludes institutional cash management-related activity. For a description of the Inflows and Outflows included within Fee-based asset flows, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Business Segments—Wealth Management” in the 2019 Form 10-K.
|
September 2020 Form 10-Q
|
14
|
|
|
|
Management’s Discussion and Analysis
|
|
|
Three Months Ended
September 30, |
|
||||||
$ in millions
|
2020
|
2019
|
% Change
|
|||||
Investment banking
|
$
|
135
|
|
$
|
118
|
|
14
|
%
|
Trading
|
268
|
|
61
|
|
N/M
|
|
||
Commissions and fees
|
477
|
|
416
|
|
15
|
%
|
||
Total
|
$
|
880
|
|
$
|
595
|
|
48
|
%
|
Transactional revenues as a % of Net revenues
|
19
|
%
|
14
|
%
|
|
|
Nine Months Ended
September 30, |
|
||||||
$ in millions
|
2020
|
2019
|
% Change
|
|||||
Investment banking
|
$
|
403
|
|
$
|
365
|
|
10
|
%
|
Trading
|
413
|
|
525
|
|
(21
|
)%
|
||
Commissions and fees
|
1,538
|
|
1,250
|
|
23
|
%
|
||
Total
|
$
|
2,354
|
|
$
|
2,140
|
|
10
|
%
|
Transactional revenues as a % of Net revenues
|
18
|
%
|
16
|
%
|
|
•
|
Trading revenues increased in the current quarter primarily due to gains from investments associated with certain employee deferred compensation plans, partially offset by lower fixed income revenues.
|
•
|
Commissions and fees increased in the current quarter primarily due to increased client activity in equities.
|
•
|
Trading revenues decreased in the current year period primarily due to lower fixed income revenues.
|
•
|
Commissions and fees increased in the current year period primarily due to increased client activity in equities.
|
•
|
Compensation and benefits expenses increased in the current quarter, primarily due to higher expenses related to certain deferred compensation plans linked to investment performance and an increase in the formulaic payout to Wealth Management representatives, driven by higher compensable revenues.
|
•
|
Non-compensation expenses increased in the current quarter, reflecting a regulatory charge, as well as expenses associated with the E*TRADE acquisition, partially offset by lower marketing and business development expenses.
|
•
|
Compensation and benefits expenses increased in the current year period primarily due to an increase in the formulaic payout to Wealth Management representatives, driven by higher compensable revenues, as well as higher salaries.
|
•
|
Non-compensation expenses increased in the current year period, reflecting a regulatory charge, as well as expenses associated with the E*TRADE acquisition and incremental expenses related to Solium Capital, Inc., partially offset by lower marketing and business development expenses.
|
|
15
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
$ in billions
|
At
June 30, 2020 |
Inflows
|
Outflows
|
Market
Impact
|
At
September 30, 2020 |
||||||||||
Separately managed1
|
$
|
313
|
|
$
|
19
|
|
$
|
(4
|
)
|
$
|
14
|
|
$
|
342
|
|
Unified managed
|
305
|
|
16
|
|
(12
|
)
|
18
|
|
327
|
|
|||||
Advisor
|
149
|
|
8
|
|
(8
|
)
|
9
|
|
158
|
|
|||||
Portfolio manager
|
431
|
|
21
|
|
(16
|
)
|
23
|
|
459
|
|
|||||
Subtotal
|
$
|
1,198
|
|
$
|
64
|
|
$
|
(40
|
)
|
$
|
64
|
|
$
|
1,286
|
|
Cash management
|
38
|
|
12
|
|
(3
|
)
|
—
|
|
47
|
|
|||||
Total fee-based client assets
|
$
|
1,236
|
|
$
|
76
|
|
$
|
(43
|
)
|
$
|
64
|
|
$
|
1,333
|
|
$ in billions
|
At
June 30, 2019 |
Inflows
|
Outflows
|
Market
Impact
|
At
September 30, 2019 |
||||||||||
Separately managed1
|
$
|
296
|
|
$
|
15
|
|
$
|
(5
|
)
|
$
|
6
|
|
$
|
312
|
|
Unified managed
|
292
|
|
12
|
|
(10
|
)
|
1
|
|
295
|
|
|||||
Advisor
|
149
|
|
7
|
|
(8
|
)
|
—
|
|
148
|
|
|||||
Portfolio manager
|
400
|
|
19
|
|
(14
|
)
|
2
|
|
407
|
|
|||||
Subtotal
|
$
|
1,137
|
|
$
|
53
|
|
$
|
(37
|
)
|
$
|
9
|
|
$
|
1,162
|
|
Cash management
|
22
|
|
4
|
|
(3
|
)
|
1
|
|
24
|
|
|||||
Total fee-based client assets
|
$
|
1,159
|
|
$
|
57
|
|
$
|
(40
|
)
|
$
|
10
|
|
$
|
1,186
|
|
$ in billions
|
At
December 31, 2019 |
Inflows
|
Outflows
|
Market
Impact
|
At
September 30, 2020 |
||||||||||
Separately managed1
|
$
|
322
|
|
$
|
37
|
|
$
|
(14
|
)
|
$
|
(3
|
)
|
$
|
342
|
|
Unified managed
|
313
|
|
43
|
|
(33
|
)
|
4
|
|
327
|
|
|||||
Advisor
|
155
|
|
22
|
|
(21
|
)
|
2
|
|
158
|
|
|||||
Portfolio manager
|
435
|
|
62
|
|
(43
|
)
|
5
|
|
459
|
|
|||||
Subtotal
|
$
|
1,225
|
|
$
|
164
|
|
$
|
(111
|
)
|
$
|
8
|
|
$
|
1,286
|
|
Cash management
|
42
|
|
21
|
|
(16
|
)
|
—
|
|
47
|
|
|||||
Total fee-based client assets
|
$
|
1,267
|
|
$
|
185
|
|
$
|
(127
|
)
|
$
|
8
|
|
$
|
1,333
|
|
$ in billions
|
At
December 31, 2018 |
Inflows
|
Outflows
|
Market
Impact
|
At
September 30, 2019 |
||||||||||
Separately managed1
|
$
|
279
|
|
$
|
38
|
|
$
|
(15
|
)
|
$
|
10
|
|
$
|
312
|
|
Unified managed
|
257
|
|
35
|
|
(30
|
)
|
33
|
|
295
|
|
|||||
Advisor
|
137
|
|
20
|
|
(24
|
)
|
15
|
|
148
|
|
|||||
Portfolio manager
|
353
|
|
54
|
|
(38
|
)
|
38
|
|
407
|
|
|||||
Subtotal
|
$
|
1,026
|
|
$
|
147
|
|
$
|
(107
|
)
|
$
|
96
|
|
$
|
1,162
|
|
Cash management
|
20
|
|
12
|
|
(12
|
)
|
4
|
|
24
|
|
|||||
Total fee-based client assets
|
$
|
1,046
|
|
$
|
159
|
|
$
|
(119
|
)
|
$
|
100
|
|
$
|
1,186
|
|
1.
|
Includes non-custody account values reflecting prior quarter-end balances due to a lag in the reporting of asset values by third-party custodians.
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||
Fee rate in bps
|
2020
|
2019
|
2020
|
2019
|
||||
Separately managed
|
15
|
|
15
|
|
14
|
|
15
|
|
Unified managed
|
99
|
|
99
|
|
99
|
|
100
|
|
Advisor
|
85
|
|
86
|
|
85
|
|
87
|
|
Portfolio manager
|
94
|
|
96
|
|
94
|
|
95
|
|
Subtotal
|
73
|
|
74
|
|
72
|
|
74
|
|
Cash management
|
5
|
|
6
|
|
5
|
|
6
|
|
Total fee-based client assets
|
71
|
|
73
|
|
70
|
|
73
|
|
E*TRADE Revenues
|
Morgan Stanley Revenues
|
Net interest income
|
Net interest
|
Fees and service charges
|
Commissions and fees1
Asset management
|
Commissions
|
Commissions and fees
|
1.
|
The primary element of this mapping is revenues from order flow payments.
|
September 2020 Form 10-Q
|
16
|
|
|
|
Management’s Discussion and Analysis
|
|
|
Three Months Ended
September 30, |
|
||||||
$ in millions
|
2020
|
2019
|
% Change
|
|||||
Revenues
|
|
|
|
|||||
Trading
|
$
|
2
|
|
$
|
2
|
|
—
|
%
|
Investments
|
258
|
|
105
|
|
146
|
%
|
||
Commissions and fees
|
1
|
|
1
|
|
—
|
%
|
||
Asset management
|
795
|
|
664
|
|
20
|
%
|
||
Other
|
1
|
|
—
|
|
N/M
|
|
||
Total non-interest revenues
|
1,057
|
|
772
|
|
37
|
%
|
||
Interest income
|
7
|
|
4
|
|
75
|
%
|
||
Interest expense
|
8
|
|
12
|
|
(33
|
)%
|
||
Net interest
|
(1
|
)
|
(8
|
)
|
88
|
%
|
||
Net revenues
|
1,056
|
|
764
|
|
38
|
%
|
||
Compensation and benefits
|
401
|
|
319
|
|
26
|
%
|
||
Non-compensation expenses
|
340
|
|
280
|
|
21
|
%
|
||
Total non-interest expenses
|
741
|
|
599
|
|
24
|
%
|
||
Income before provision for income taxes
|
315
|
|
165
|
|
91
|
%
|
||
Provision for income taxes
|
72
|
|
27
|
|
167
|
%
|
||
Net income
|
243
|
|
138
|
|
76
|
%
|
||
Net income applicable to noncontrolling interests
|
18
|
|
—
|
|
N/M
|
|
||
Net income applicable to Morgan Stanley
|
$
|
225
|
|
$
|
138
|
|
63
|
%
|
|
Nine Months Ended
September 30, |
|
||||||
$ in millions
|
2020
|
2019
|
% Change
|
|||||
Revenues
|
|
|
|
|||||
Investment banking
|
$
|
—
|
|
$
|
(1
|
)
|
100
|
%
|
Trading
|
(13
|
)
|
(2
|
)
|
N/M
|
|
||
Investments
|
552
|
|
543
|
|
2
|
%
|
||
Commissions and fees
|
1
|
|
1
|
|
—
|
%
|
||
Asset management
|
2,144
|
|
1,893
|
|
13
|
%
|
||
Other
|
(39
|
)
|
(6
|
)
|
N/M
|
|
||
Total non-interest revenues
|
2,645
|
|
2,428
|
|
9
|
%
|
||
Interest income
|
22
|
|
14
|
|
57
|
%
|
||
Interest expense
|
33
|
|
35
|
|
(6
|
)%
|
||
Net interest
|
(11
|
)
|
(21
|
)
|
48
|
%
|
||
Net revenues
|
2,634
|
|
2,407
|
|
9
|
%
|
||
Compensation and benefits
|
1,012
|
|
1,049
|
|
(4
|
)%
|
||
Non-compensation expenses
|
948
|
|
820
|
|
16
|
%
|
||
Total non-interest expenses
|
1,960
|
|
1,869
|
|
5
|
%
|
||
Income before provision for income taxes
|
674
|
|
538
|
|
25
|
%
|
||
Provision for income taxes
|
136
|
|
104
|
|
31
|
%
|
||
Net income
|
538
|
|
434
|
|
24
|
%
|
||
Net income applicable to noncontrolling interests
|
81
|
|
32
|
|
153
|
%
|
||
Net income applicable to Morgan Stanley
|
$
|
457
|
|
$
|
402
|
|
14
|
%
|
|
17
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
•
|
Compensation and benefits expenses increased in the current quarter primarily as a result of higher expenses related to certain deferred compensation plans linked to investment performance, increases in discretionary incentive compensation driven by higher Asset management revenues, and higher compensation associated with carried interest.
|
•
|
Non-compensation expenses in the current quarter increased from the prior year quarter primarily as a result of higher fee sharing paid to intermediaries on higher average AUM.
|
•
|
Compensation and benefits expenses decreased in the current year period primarily as a result of lower compensation associated with carried interest partially offset by higher expenses related to certain deferred compensation plans linked to investment performance, and increases in discretionary incentive compensation driven by higher Asset management revenues.
|
•
|
Non-compensation expenses in the current year period increased from the prior year period primarily as a result of higher fee sharing paid to intermediaries on higher average AUM.
|
$ in billions
|
At
June 30, 2020 |
Inflows
|
Outflows
|
Market
Impact
|
Other
|
At
September 30, 2020 |
||||||||||||
Equity
|
$
|
168
|
|
$
|
24
|
|
$
|
(14
|
)
|
$
|
23
|
|
$
|
1
|
|
$
|
202
|
|
Fixed income
|
84
|
|
8
|
|
(5
|
)
|
1
|
|
4
|
|
92
|
|
||||||
Alternative/Other
|
145
|
|
6
|
|
(7
|
)
|
4
|
|
2
|
|
150
|
|
||||||
Long-term AUM subtotal
|
397
|
|
38
|
|
(26
|
)
|
28
|
|
7
|
|
444
|
|
||||||
Liquidity
|
268
|
|
319
|
|
(317
|
)
|
—
|
|
1
|
|
271
|
|
||||||
Total AUM
|
$
|
665
|
|
$
|
357
|
|
$
|
(343
|
)
|
$
|
28
|
|
$
|
8
|
|
$
|
715
|
|
$ in billions
|
At
June 30, 2019 |
Inflows
|
Outflows
|
Market
Impact
|
Other
|
At
September 30, 2019 |
||||||||||||
Equity
|
$
|
128
|
|
$
|
10
|
|
$
|
(8
|
)
|
$
|
(4
|
)
|
$
|
—
|
|
$
|
126
|
|
Fixed income
|
71
|
|
6
|
|
(4
|
)
|
2
|
|
(1
|
)
|
74
|
|
||||||
Alternative/Other
|
135
|
|
5
|
|
(4
|
)
|
2
|
|
(3
|
)
|
135
|
|
||||||
Long-term AUM subtotal
|
334
|
|
21
|
|
(16
|
)
|
—
|
|
(4
|
)
|
335
|
|
||||||
Liquidity
|
163
|
|
311
|
|
(301
|
)
|
(1
|
)
|
—
|
|
172
|
|
||||||
Total AUM
|
$
|
497
|
|
$
|
332
|
|
$
|
(317
|
)
|
$
|
(1
|
)
|
$
|
(4
|
)
|
$
|
507
|
|
$ in billions
|
At
December 31, 2019 |
Inflows
|
Outflows
|
Market
Impact
|
Other
|
At
September 30, 2020 |
||||||||||||
Equity
|
$
|
138
|
|
$
|
56
|
|
$
|
(35
|
)
|
$
|
42
|
|
$
|
1
|
|
$
|
202
|
|
Fixed income
|
79
|
|
29
|
|
(20
|
)
|
1
|
|
3
|
|
92
|
|
||||||
Alternative/Other
|
139
|
|
21
|
|
(15
|
)
|
(1
|
)
|
6
|
|
150
|
|
||||||
Long-term AUM subtotal
|
356
|
|
106
|
|
(70
|
)
|
42
|
|
10
|
|
444
|
|
||||||
Liquidity
|
196
|
|
1,174
|
|
(1,100
|
)
|
1
|
|
—
|
|
271
|
|
||||||
Total AUM
|
$
|
552
|
|
$
|
1,280
|
|
$
|
(1,170
|
)
|
$
|
43
|
|
$
|
10
|
|
$
|
715
|
|
$ in billions
|
At
December 31, 2018 |
Inflows
|
Outflows
|
Market
Impact
|
Other
|
At
September 30, 2019 |
||||||||||||
Equity
|
$
|
103
|
|
$
|
28
|
|
$
|
(23
|
)
|
$
|
18
|
|
$
|
—
|
|
$
|
126
|
|
Fixed income
|
68
|
|
17
|
|
(15
|
)
|
5
|
|
(1
|
)
|
74
|
|
||||||
Alternative/Other
|
128
|
|
17
|
|
(14
|
)
|
8
|
|
(4
|
)
|
135
|
|
||||||
Long-term AUM subtotal
|
299
|
|
62
|
|
(52
|
)
|
31
|
|
(5
|
)
|
335
|
|
||||||
Liquidity
|
164
|
|
965
|
|
(956
|
)
|
1
|
|
(2
|
)
|
172
|
|
||||||
Total AUM
|
$
|
463
|
|
$
|
1,027
|
|
$
|
(1,008
|
)
|
$
|
32
|
|
$
|
(7
|
)
|
$
|
507
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in billions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Equity
|
$
|
190
|
|
$
|
127
|
|
$
|
159
|
|
$
|
120
|
|
Fixed income
|
90
|
|
73
|
|
84
|
|
70
|
|
||||
Alternative/Other
|
148
|
|
135
|
|
143
|
|
133
|
|
||||
Long-term AUM subtotal
|
428
|
|
335
|
|
386
|
|
323
|
|
||||
Liquidity
|
267
|
|
169
|
|
244
|
|
166
|
|
||||
Total AUM
|
$
|
695
|
|
504
|
|
$
|
630
|
|
$
|
489
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||
Fee rate in bps
|
2020
|
2019
|
2020
|
2019
|
||
Equity
|
76
|
|
76
|
75
|
|
76
|
Fixed income
|
29
|
|
32
|
29
|
|
32
|
Alternative/Other
|
58
|
|
62
|
59
|
|
65
|
Long-term AUM
|
60
|
|
61
|
59
|
|
62
|
Liquidity
|
15
|
|
17
|
16
|
|
17
|
Total AUM
|
43
|
|
46
|
42
|
|
47
|
September 2020 Form 10-Q
|
18
|
|
|
|
Management’s Discussion and Analysis
|
|
|
19
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
U.S. GAAP
|
21.1
|
%
|
18.2
|
%
|
22.2
|
%
|
19.1
|
%
|
||||
Adjusted effective income tax rate—non-GAAP1
|
24.3
|
%
|
21.4
|
%
|
22.3
|
%
|
21.3
|
%
|
||||
Net discrete tax provisions (benefits)
|
|
|
||||||||||
Recurring2
|
$
|
—
|
|
$
|
—
|
|
$
|
(94
|
)
|
$
|
(127
|
)
|
Intermittent3
|
(113
|
)
|
(89
|
)
|
(10
|
)
|
(190
|
)
|
1.
|
The adjusted effective income tax rate is a non-GAAP measure that excludes net discrete tax provisions (benefits) that are intermittent and includes those that are recurring. For further information on non-GAAP measures, see “Selected Non-GAAP Financial Information” herein.
|
2.
|
Provisions (benefits) related to conversion of employee share-based awards are expected to occur every year and, as such, are considered recurring discrete tax items.
|
3.
|
Includes all tax provisions (benefits) that have been determined to be discrete, other than Recurring items as defined above.
|
$ in billions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Assets
|
$
|
266.2
|
|
$
|
219.6
|
|
Investment securities portfolio:
|
|
|
||||
Investment securities—AFS
|
62.9
|
|
42.4
|
|
||
Investment securities—HTM
|
28.2
|
|
26.1
|
|
||
Total investment securities
|
$
|
91.1
|
|
$
|
68.5
|
|
Deposits2
|
$
|
238.0
|
|
$
|
189.3
|
|
Wealth Management Loans3
|
||||||
Residential real estate
|
$
|
33.6
|
|
$
|
30.2
|
|
Securities-based lending and Other4
|
57.7
|
|
49.9
|
|
||
Total
|
$
|
91.3
|
|
$
|
80.1
|
|
Institutional Securities Loans3
|
||||||
Corporate
|
$
|
7.8
|
|
$
|
5.6
|
|
Secured lending facilities
|
28.2
|
|
26.8
|
|
||
Commercial and Residential real estate
|
8.6
|
|
12.0
|
|
||
Securities-based lending and Other
|
4.7
|
|
5.4
|
|
||
Total
|
$
|
49.3
|
|
$
|
49.8
|
|
1.
|
Amounts exclude transactions between the bank subsidiaries, as well as deposits from the Parent Company and affiliates.
|
2.
|
For further information on deposits, see “Liquidity and Capital Resources—Funding Management—Unsecured Financing” herein.
|
3.
|
For a further discussion of loans in the Wealth Management and Institutional Securities business segments, see “Quantitative and Qualitative Disclosures about Risk—Credit Risk” herein.
|
4.
|
Other loans primarily include tailored lending.
|
September 2020 Form 10-Q
|
20
|
|
|
|
Management’s Discussion and Analysis
|
|
|
At September 30, 2020
|
|||||||||||
$ in millions
|
IS
|
WM
|
IM
|
Total
|
||||||||
Assets
|
|
|
|
|
||||||||
Cash and cash equivalents
|
$
|
72,592
|
|
$
|
22,018
|
|
$
|
162
|
|
$
|
94,772
|
|
Trading assets at fair value
|
289,528
|
|
298
|
|
4,142
|
|
293,968
|
|
||||
Investment securities
|
42,149
|
|
88,556
|
|
—
|
|
130,705
|
|
||||
Securities purchased under agreements to resell
|
73,637
|
|
14,646
|
|
—
|
|
88,283
|
|
||||
Securities borrowed
|
100,175
|
|
628
|
|
—
|
|
100,803
|
|
||||
Customer and other receivables
|
57,593
|
|
14,067
|
|
877
|
|
72,537
|
|
||||
Loans1
|
54,918
|
|
91,302
|
|
17
|
|
146,237
|
|
||||
Other assets2
|
13,731
|
|
12,910
|
|
1,994
|
|
28,635
|
|
||||
Total assets
|
$
|
704,323
|
|
$
|
244,425
|
|
$
|
7,192
|
|
$
|
955,940
|
|
|
At December 31, 2019
|
|||||||||||
$ in millions
|
IS
|
WM
|
IM
|
Total
|
||||||||
Assets
|
|
|
|
|
||||||||
Cash and cash equivalents
|
$
|
67,657
|
|
$
|
14,247
|
|
$
|
267
|
|
$
|
82,171
|
|
Trading assets at fair value
|
293,477
|
|
47
|
|
3,586
|
|
297,110
|
|
||||
Investment securities
|
38,524
|
|
67,201
|
|
—
|
|
105,725
|
|
||||
Securities purchased under agreements to resell
|
80,744
|
|
7,480
|
|
—
|
|
88,224
|
|
||||
Securities borrowed
|
106,199
|
|
350
|
|
—
|
|
106,549
|
|
||||
Customer and other receivables
|
39,743
|
|
15,190
|
|
713
|
|
55,646
|
|
||||
Loans1
|
50,557
|
|
80,075
|
|
5
|
|
130,637
|
|
||||
Other assets2
|
14,300
|
|
13,092
|
|
1,975
|
|
29,367
|
|
||||
Total assets
|
$
|
691,201
|
|
$
|
197,682
|
|
$
|
6,546
|
|
$
|
895,429
|
|
1.
|
Amounts include loans held for investment, net of allowance, and loans held for sale but exclude loans at fair value, which are included in Trading assets in the balance sheets (see Note 10 to the financial statements).
|
2.
|
Other assets primarily includes Goodwill and Intangible assets, premises, equipment and software, ROU assets related to leases, other investments, and deferred tax assets.
|
|
21
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Cash deposits with central banks
|
$
|
41,639
|
|
$
|
35,025
|
|
Unencumbered HQLA Securities2:
|
|
|
||||
U.S. government obligations
|
113,058
|
|
88,754
|
|
||
U.S. agency and agency mortgage-backed securities
|
63,961
|
|
50,732
|
|
||
Non-U.S. sovereign obligations3
|
37,470
|
|
29,909
|
|
||
Other investment grade securities
|
1,398
|
|
1,591
|
|
||
Total HQLA2
|
$
|
257,526
|
|
$
|
206,011
|
|
Cash deposits with banks (non-HQLA)
|
9,766
|
|
9,857
|
|
||
Total Liquidity Resources
|
$
|
267,292
|
|
$
|
215,868
|
|
1.
|
In the first quarter of 2020, we changed our internal measure of liquidity from the Global Liquidity Reserve to Liquidity Resources, which is more closely aligned with the regulatory definition of HQLA. Prior periods have been recast to conform to the current presentation.
|
2.
|
HQLA is presented prior to applying weightings and includes all HQLA held in subsidiaries.
|
3.
|
Primarily composed of unencumbered Japanese, UK, French, German and Dutch government obligations.
|
4.
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
Average Daily Balance
Three Months Ended September 30, 2020 |
||||||
Bank legal entities
|
|
|
|||||||
Domestic
|
$
|
115,821
|
|
$
|
75,894
|
|
$
|
113,991
|
|
Foreign
|
5,384
|
|
4,049
|
|
5,624
|
|
|||
Total Bank legal entities
|
121,205
|
|
79,943
|
|
119,615
|
|
|||
Non-Bank legal entities
|
|
|
|||||||
Domestic:
|
|
|
|
||||||
Parent Company
|
62,561
|
|
53,128
|
|
74,587
|
|
|||
Non-Parent Company
|
30,215
|
|
28,905
|
|
34,341
|
|
|||
Total Domestic
|
92,776
|
|
82,033
|
|
108,928
|
|
|||
Foreign
|
53,311
|
|
53,892
|
|
55,933
|
|
|||
Total Non-Bank legal entities
|
146,087
|
|
135,925
|
|
164,861
|
|
|||
Total Liquidity Resources
|
$
|
267,292
|
|
$
|
215,868
|
|
$
|
284,476
|
|
1.
|
In the first quarter of 2020, we changed our internal measure of liquidity from the Global Liquidity Reserve to Liquidity Resources, which is more closely aligned with the regulatory definition of HQLA. Prior periods have been recast to conform to the current presentation.
|
September 2020 Form 10-Q
|
22
|
|
|
|
Management’s Discussion and Analysis
|
|
|
Average Daily Balance
Three Months Ended |
|||||
$ in millions
|
September 30,
2020 |
June 30,
2020 |
||||
Eligible HQLA1
|
|
|
||||
Cash deposits with central banks
|
$
|
36,481
|
|
$
|
52,369
|
|
Securities2
|
170,817
|
|
155,251
|
|
||
Total Eligible HQLA1
|
$
|
207,298
|
|
$
|
207,620
|
|
LCR
|
136
|
%
|
147
|
%
|
1.
|
Under the LCR rule, Eligible HQLA is calculated using weightings and excluding certain HQLA held in subsidiaries.
|
2.
|
Primarily includes U.S. Treasuries, U.S. agency mortgage-backed securities, sovereign bonds and investment grade corporate bonds.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Securities purchased under agreements to resell and Securities borrowed
|
$
|
189,086
|
|
$
|
194,773
|
|
Securities sold under agreements to repurchase and Securities loaned
|
$
|
49,300
|
|
$
|
62,706
|
|
Securities received as collateral1
|
$
|
8,799
|
|
$
|
13,022
|
|
|
Average Daily Balance
Three Months Ended |
|||||
$ in millions
|
September 30,
2020 |
December 31,
2019 |
||||
Securities purchased under agreements to resell and Securities borrowed
|
$
|
182,181
|
|
$
|
210,257
|
|
Securities sold under agreements to repurchase and Securities loaned
|
$
|
58,474
|
|
$
|
64,870
|
|
1.
|
Included within Trading assets in the balance sheets.
|
|
23
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Savings and demand deposits:
|
|
|
||||
Brokerage sweep deposits1
|
$
|
164,146
|
|
$
|
121,077
|
|
Savings and other
|
38,431
|
|
28,388
|
|
||
Total Savings and demand deposits
|
202,577
|
|
149,465
|
|
||
Time deposits
|
36,676
|
|
40,891
|
|
||
Total
|
$
|
239,253
|
|
$
|
190,356
|
|
1.
|
Amounts represent balances swept from client brokerage accounts.
|
$ in millions
|
Parent Company
|
Subsidiaries
|
Total
|
||||||
Original maturities of one year or less
|
$
|
—
|
|
$
|
4,553
|
|
$
|
4,553
|
|
Original maturities greater than one year
|
|||||||||
2020
|
$
|
641
|
|
$
|
828
|
|
$
|
1,469
|
|
2021
|
19,964
|
|
6,186
|
|
26,150
|
|
|||
2022
|
16,418
|
|
4,011
|
|
20,429
|
|
|||
2023
|
15,316
|
|
4,657
|
|
19,973
|
|
|||
2024
|
15,938
|
|
5,436
|
|
21,374
|
|
|||
Thereafter
|
83,172
|
|
26,324
|
|
109,496
|
|
|||
Total
|
$
|
151,449
|
|
$
|
47,442
|
|
$
|
198,891
|
|
Total Borrowings
|
$
|
151,449
|
|
$
|
51,995
|
|
$
|
203,444
|
|
Maturities over next 12 months2
|
|
|
$
|
20,247
|
|
1.
|
Original maturity in the table is generally based on contractual final maturity. For borrowings with put options, remaining maturity represents the earliest put date.
|
2.
|
Includes only borrowings with original maturities greater than one year.
|
|
Parent Company
|
||
|
Short-Term
Debt |
Long-Term
Debt |
Rating
Outlook |
DBRS, Inc.
|
R-1 (middle)
|
A (high)
|
Stable
|
Fitch Ratings, Inc.
|
F1
|
A
|
Negative
|
Moody’s Investors Service, Inc.
|
P-1
|
A2
|
Rating Under Review
|
Rating and Investment Information, Inc.
|
a-1
|
A
|
Stable
|
S&P Global Ratings
|
A-2
|
BBB+
|
Stable
|
|
MSBNA
|
||
|
Short-Term
Debt |
Long-Term
Debt |
Rating
Outlook |
Fitch Ratings, Inc.
|
F1
|
A+
|
Negative
|
Moody’s Investors Service, Inc.
|
P-1
|
Aa3
|
Stable
|
S&P Global Ratings
|
A-1
|
A+
|
Stable
|
|
MSPBNA
|
||
|
Short-Term
Debt |
Long-Term
Debt |
Rating
Outlook |
Moody’s Investors Service, Inc.
|
P-1
|
Aa3
|
Stable
|
S&P Global Ratings
|
A-1
|
A+
|
Stable
|
September 2020 Form 10-Q
|
24
|
|
|
|
Management’s Discussion and Analysis
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
in millions, except for per share data
|
2020
|
2019
|
2020
|
2019
|
||||||||
Number of shares
|
—
|
|
36
|
|
29
|
|
90
|
|
||||
Average price per share
|
$
|
—
|
|
$
|
41.92
|
|
$
|
46.01
|
|
$
|
42.77
|
|
Total
|
$
|
—
|
|
$
|
1,500
|
|
$
|
1,347
|
|
$
|
3,860
|
|
Announcement date
|
October 15, 2020
|
|
|
Amount per share
|
|
$0.35
|
|
Date to be paid
|
November 13, 2020
|
|
|
Shareholders of record as of
|
October 30, 2020
|
|
Announcement date
|
September 15, 2020
|
Date paid
|
October 15, 2020
|
Shareholders of record as of
|
September 30, 2020
|
|
25
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
|
At
September 30, 2020
|
Beginning
October 1, 2020
|
||||||
|
Standardized and Advanced
|
Standardized
|
Advanced
|
|||||
Capital buffers
|
|
|
|
|
||||
Capital conservation buffer
|
2.5
|
%
|
—
|
|
2.5
|
%
|
||
Stress capital buffer (“SCB”)1
|
N/A
|
|
5.7
|
%
|
N/A
|
|
||
G-SIB capital surcharge2
|
3
|
%
|
3
|
%
|
3
|
%
|
||
CCyB3
|
0
|
%
|
0
|
%
|
0
|
%
|
||
Capital buffer requirement4
|
5.5
|
%
|
8.7
|
%
|
5.5
|
%
|
||
|
|
At
September 30, 2020
|
Beginning
October 1, 2020
|
|||||
|
Regulatory Minimum
|
Standardized and Advanced
|
Standardized
|
Advanced
|
||||
Required ratios5
|
|
|
|
|
||||
Common Equity Tier 1 capital ratio
|
4.5
|
%
|
10.0
|
%
|
13.2
|
%
|
10.0
|
%
|
Tier 1 capital ratio
|
6.0
|
%
|
11.5
|
%
|
14.7
|
%
|
11.5
|
%
|
Total capital ratio
|
8.0
|
%
|
13.5
|
%
|
16.7
|
%
|
13.5
|
%
|
1.
|
For additional information on the SCB, see “Capital Plans and Stress Tests” and “Regulatory Developments—Stress Capital Buffer Final Rule” herein.
|
2.
|
For a further discussion of the G-SIB capital surcharge, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources—Regulatory Requirements—G-SIB Capital Surcharge” in the 2019 Form 10-K.
|
3.
|
The CCyB can be set up to 2.5%, but is currently set by the U.S. banking agencies at zero.
|
4.
|
The capital buffer requirement represents the amount of Common Equity Tier 1 capital we must maintain above the minimum risk-based capital requirements in order to avoid restrictions on our ability to make capital distributions, including the payment of dividends and the repurchase of stock, and to pay discretionary bonuses to executive officers. Beginning October 1, 2020, our Standardized Approach capital buffer requirement is equal to the sum of our SCB, G-SIB capital surcharge and CCyB, and our Advanced Approach capital buffer requirement is equal to our 2.5% capital conservation buffer, G-SIB capital surcharge and CCyB.
|
5.
|
Required ratios represent the regulatory minimum plus the capital buffer requirement.
|
September 2020 Form 10-Q
|
26
|
|
|
|
Management’s Discussion and Analysis
|
|
|
At September 30, 2020
|
|||||||
$ in millions
|
Required
Ratio1 |
Standardized
|
Advanced
|
|||||
Risk-based capital
|
|
|
|
|||||
Common Equity Tier 1 capital
|
|
$
|
71,157
|
|
$
|
71,157
|
|
|
Tier 1 capital
|
|
79,905
|
|
79,905
|
|
|||
Total capital
|
|
90,018
|
|
89,763
|
|
|||
Total RWA
|
|
408,850
|
|
420,081
|
|
|||
Common Equity Tier 1 capital ratio
|
10.0
|
%
|
17.4
|
%
|
16.9
|
%
|
||
Tier 1 capital ratio
|
11.5
|
%
|
19.5
|
%
|
19.0
|
%
|
||
Total capital ratio
|
13.5
|
%
|
22.0
|
%
|
21.4
|
%
|
||
|
|
|
|
|||||
$ in millions
|
|
Required
Ratio1
|
At
September 30, 2020 |
|||||
Leverage-based capital
|
|
|
|
|||||
Adjusted average assets2
|
|
|
$
|
962,435
|
|
|||
Tier 1 leverage ratio
|
|
4.0
|
%
|
8.3
|
%
|
|||
Supplementary leverage exposure3,4
|
|
$
|
1,084,348
|
|
||||
SLR4
|
|
5.0
|
%
|
7.4
|
%
|
|
At December 31, 2019
|
|||||||
$ in millions
|
Required
Ratio1
|
Standardized
|
Advanced
|
|||||
Risk-based capital
|
|
|
|
|||||
Common Equity Tier 1 capital
|
|
$
|
64,751
|
|
$
|
64,751
|
|
|
Tier 1 capital
|
|
73,443
|
|
73,443
|
|
|||
Total capital
|
|
82,708
|
|
82,423
|
|
|||
Total RWA
|
|
394,177
|
|
382,496
|
|
|||
Common Equity Tier 1 capital ratio
|
10.0
|
%
|
16.4
|
%
|
16.9
|
%
|
||
Tier 1 capital ratio
|
11.5
|
%
|
18.6
|
%
|
19.2
|
%
|
||
Total capital ratio
|
13.5
|
%
|
21.0
|
%
|
21.5
|
%
|
||
|
|
|
|
|||||
$ in millions
|
|
Required
Ratio1
|
At
December 31, 2019 |
|||||
Leverage-based capital
|
|
|
|
|||||
Adjusted average assets2
|
|
|
$
|
889,195
|
|
|||
Tier 1 leverage ratio
|
|
4.0
|
%
|
8.3
|
%
|
|||
Supplementary leverage exposure3
|
|
$
|
1,155,177
|
|
||||
SLR
|
|
5.0
|
%
|
6.4
|
%
|
1.
|
Required ratios are inclusive of any buffers applicable as of the date presented. Failure to maintain the buffers would result in restrictions on our ability to make capital distributions, including the payment of dividends and the repurchase of stock, and to pay discretionary bonuses to executive officers.
|
2.
|
Adjusted average assets represents the denominator of the Tier 1 leverage ratio and is composed of the average daily balance of consolidated on-balance sheet assets for the quarters ending on the respective balance sheet dates, reduced by disallowed goodwill, intangible assets, investments in covered funds, defined benefit pension plan assets, after-tax gain on sale from assets sold into securitizations, investments in our own capital instruments, certain deferred tax assets and other capital deductions.
|
3.
|
Supplementary leverage exposure is the sum of Adjusted average assets used in the Tier 1 leverage ratio and other adjustments, primarily: (i) for derivatives, potential future exposure and the effective notional principal amount of sold credit protection offset by qualifying purchased credit protection; (ii) the counterparty credit risk for repo-style transactions; and (iii) the credit equivalent amount for off-balance sheet exposures.
|
4.
|
Based on a Federal Reserve interim final rule in effect until March 31, 2021, our SLR and Supplementary leverage exposure as of September 30, 2020 reflect the exclusion of U.S. Treasury securities and deposits at Federal Reserve Banks. As of September 30, 2020, the impact of the interim final rule on our SLR was an improvement of 87 bps. For further information, see “Liquidity and Capital Resources—Regulatory Requirements—Regulatory Developments” herein.
|
|
27
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
Change
|
||||||
Common Equity Tier 1 capital
|
|
|
|
||||||
Common stock and surplus
|
$
|
4,350
|
|
$
|
5,228
|
|
$
|
(878
|
)
|
Retained earnings
|
76,353
|
|
70,589
|
|
5,764
|
|
|||
AOCI
|
(537
|
)
|
(2,788
|
)
|
2,251
|
|
|||
Regulatory adjustments and deductions:
|
|
|
|||||||
Net goodwill
|
(7,242
|
)
|
(7,081
|
)
|
(161
|
)
|
|||
Net intangible assets
|
(1,776
|
)
|
(2,012
|
)
|
236
|
|
|||
Other adjustments and deductions1
|
9
|
|
815
|
|
(806
|
)
|
|||
Total Common Equity Tier 1
capital
|
$
|
71,157
|
|
$
|
64,751
|
|
$
|
6,406
|
|
Additional Tier 1 capital
|
|
|
|
||||||
Preferred stock
|
$
|
8,520
|
|
$
|
8,520
|
|
$
|
—
|
|
Noncontrolling interests
|
625
|
|
607
|
|
18
|
|
|||
Additional Tier 1 capital
|
$
|
9,145
|
|
$
|
9,127
|
|
$
|
18
|
|
Deduction for investments in covered funds
|
(397
|
)
|
(435
|
)
|
38
|
|
|||
Total Tier 1 capital
|
$
|
79,905
|
|
$
|
73,443
|
|
$
|
6,462
|
|
Standardized Tier 2 capital
|
|
|
|
||||||
Subordinated debt
|
$
|
8,681
|
|
$
|
8,538
|
|
$
|
143
|
|
Noncontrolling interests
|
147
|
|
143
|
|
4
|
|
|||
Eligible ACL
|
1,287
|
|
590
|
|
697
|
|
|||
Other adjustments and deductions
|
(2
|
)
|
(6
|
)
|
4
|
|
|||
Total Standardized Tier 2
capital
|
$
|
10,113
|
|
$
|
9,265
|
|
$
|
848
|
|
Total Standardized capital
|
$
|
90,018
|
|
$
|
82,708
|
|
$
|
7,310
|
|
Advanced Tier 2 capital
|
|
|
|
||||||
Subordinated debt
|
$
|
8,681
|
|
$
|
8,538
|
|
$
|
143
|
|
Noncontrolling interests
|
147
|
|
143
|
|
4
|
|
|||
Eligible credit reserves
|
1,032
|
|
305
|
|
727
|
|
|||
Other adjustments and
deductions
|
(2
|
)
|
(6
|
)
|
4
|
|
|||
Total Advanced Tier 2 capital
|
$
|
9,858
|
|
$
|
8,980
|
|
$
|
878
|
|
Total Advanced capital
|
$
|
89,763
|
|
$
|
82,423
|
|
$
|
7,340
|
|
1.
|
Other adjustments and deductions used in the calculation of Common Equity Tier 1 capital primarily includes net after-tax DVA, the credit spread premium over risk-free rate for derivative liabilities, defined benefit pension plan assets, after-tax gain on sale from assets sold into securitizations, investments in our own capital instruments and certain deferred tax assets.
|
|
Nine Months Ended
September 30, 2020 |
|||||
$ in millions
|
Standardized
|
Advanced
|
||||
Credit risk RWA
|
|
|
||||
Balance at December 31, 2019
|
$
|
342,684
|
|
$
|
228,927
|
|
Change related to the following items:
|
|
|
||||
Derivatives
|
4,622
|
|
24,322
|
|
||
Securities financing transactions
|
(9,314
|
)
|
514
|
|
||
Securitizations
|
(1,595
|
)
|
(3,016
|
)
|
||
Investment securities
|
2,468
|
|
3,904
|
|
||
Commitments, guarantees and loans
|
5,017
|
|
1,776
|
|
||
Cash
|
718
|
|
1,838
|
|
||
Equity investments
|
3,027
|
|
3,207
|
|
||
Other credit risk1
|
(601
|
)
|
(762
|
)
|
||
Total change in credit risk RWA
|
$
|
4,342
|
|
$
|
31,783
|
|
Balance at September 30, 2020
|
$
|
347,026
|
|
$
|
260,710
|
|
Market risk RWA
|
|
|
||||
Balance at December 31, 2019
|
$
|
51,493
|
|
$
|
51,597
|
|
Change related to the following items:
|
|
|
||||
Regulatory VaR
|
9,673
|
|
9,673
|
|
||
Regulatory stressed VaR
|
1,987
|
|
1,987
|
|
||
Incremental risk charge
|
180
|
|
180
|
|
||
Comprehensive risk measure
|
210
|
|
106
|
|
||
Specific risk:
|
|
|
||||
Non-securitization
|
(99
|
)
|
(99
|
)
|
||
Securitization
|
(1,620
|
)
|
(1,620
|
)
|
||
Total change in market risk RWA
|
$
|
10,331
|
|
$
|
10,227
|
|
Balance at September 30, 2020
|
$
|
61,824
|
|
$
|
61,824
|
|
Operational risk RWA
|
|
|
||||
Balance at December 31, 2019
|
N/A
|
|
$
|
101,972
|
|
|
Change in operational risk RWA
|
N/A
|
|
(4,425
|
)
|
||
Balance at September 30, 2020
|
N/A
|
|
$
|
97,547
|
|
|
Total RWA
|
$
|
408,850
|
|
$
|
420,081
|
|
1.
|
Amounts reflect assets not in a defined category, non-material portfolios of exposures and unsettled transactions, as applicable.
|
September 2020 Form 10-Q
|
28
|
|
|
|
Management’s Discussion and Analysis
|
|
|
|
|
Actual
Amount/Ratio
|
|||||||
$ in millions
|
Regulatory Minimum
|
Required
Ratio1
|
At
September 30, 2020 |
At
December 31, 2019 |
||||||
External TLAC2
|
|
|
$
|
202,472
|
|
$
|
196,888
|
|
||
External TLAC as a % of RWA
|
18.0
|
%
|
21.5
|
%
|
48.2
|
%
|
49.9
|
%
|
||
External TLAC as a % of leverage exposure
|
7.5
|
%
|
9.5
|
%
|
18.7
|
%
|
17.0
|
%
|
||
Eligible LTD3
|
|
|
$
|
114,952
|
|
$
|
113,624
|
|
||
Eligible LTD as a % of RWA
|
9.0
|
%
|
9.0
|
%
|
27.4
|
%
|
28.8
|
%
|
||
Eligible LTD as a % of leverage exposure
|
4.5
|
%
|
4.5
|
%
|
10.6
|
%
|
9.8
|
%
|
1.
|
Required ratios are inclusive of applicable buffers.The final rule imposes TLAC buffer requirements on top of both the risk-based and leverage exposure-based external TLAC minimum requirements. The risk-based TLAC buffer is equal to the sum of 2.5%, our Method 1 G-SIB surcharge and the CCyB, if any, as a percentage of total RWA. The leverage exposure-based TLAC buffer is equal to 2% of our total leverage exposure. Failure to maintain the buffers would result in restrictions on our ability to make capital distributions, including the payment of dividends and the repurchase of stock, and to pay discretionary bonuses to executive officers.
|
2.
|
External TLAC consists of Common Equity Tier 1 capital and Additional Tier 1 capital (each excluding any noncontrolling minority interests), as well as eligible LTD.
|
3.
|
Consists of TLAC-eligible LTD reduced by 50% for amounts of unpaid principal due to be paid in more than one year but less than two years from each respective balance sheet date.
|
|
29
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in billions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Institutional Securities
|
$
|
42.8
|
|
$
|
40.4
|
|
$
|
42.8
|
|
$
|
40.4
|
|
Wealth Management
|
18.2
|
|
18.2
|
|
18.2
|
|
18.2
|
|
||||
Investment Management
|
2.6
|
|
2.5
|
|
2.6
|
|
2.5
|
|
||||
Parent
|
15.1
|
|
12.3
|
|
13.3
|
|
11.4
|
|
||||
Total
|
$
|
78.7
|
|
$
|
73.4
|
|
$
|
76.9
|
|
$
|
72.5
|
|
1.
|
The attribution of average common equity to the business segments is a non-GAAP financial measure. See “Selected Non-GAAP Financial Information” herein.
|
September 2020 Form 10-Q
|
30
|
|
|
|
Management’s Discussion and Analysis
|
|
•
|
Supplementary Leverage Ratio Interim Final Rules. The Federal Reserve has adopted an interim final rule that excludes, on a temporary basis, U.S. Treasury securities and deposits at Federal Reserve Banks from our supplementary leverage exposure from April 1, 2020 to March 31, 2021.
|
|
31
|
September 2020 Form 10-Q
|
|
|
Management’s Discussion and Analysis
|
|
•
|
Revisions to Definition of Eligible Retained Income. The U.S. banking agencies have adopted as final an interim final rule, which was effective March 20, 2020, amending the definition of eligible retained income in their respective capital rules. As amended, eligible retained income is defined by the U.S. banking agencies as the greater of (i) net income for the four preceding calendar quarters, net of any distributions and associated tax effects not already reflected in net income, and (ii) the average of net income over the preceding four quarters. This definition applies with respect to any payout restrictions applicable in the event of a breach of any regulatory capital buffers, including any applicable CCyB, G-SIB capital surcharge, capital conservation buffer, the enhanced SLR and, once effective, SCB, which replaces the capital conservation buffer under the Standardized Approach.
|
•
|
Regulatory Capital and Stress Testing Developments Related to Implementation of CECL. The U.S. banking agencies have adopted a final rule, consistent with an interim final rule which was effective March 31, 2020, altering, for purposes of the regulatory capital and TLAC requirements, the required adoption time period for CECL. We have elected to apply a transition method provided by the rule, under which the effects of CECL on our regulatory capital and TLAC requirements are deferred for two years, followed by a three-year phase-in of the aggregate capital effects of the two-year deferral.
|
September 2020 Form 10-Q
|
32
|
|
|
|
Management’s Discussion and Analysis
|
|
|
33
|
September 2020 Form 10-Q
|
|
Three Months Ended
|
|||||||||||
|
September 30, 2020
|
|||||||||||
$ in millions
|
Period
End
|
Average
|
High2
|
Low2
|
||||||||
Interest rate and credit spread
|
$
|
32
|
|
$
|
38
|
|
$
|
49
|
|
$
|
29
|
|
Equity price
|
27
|
|
30
|
|
39
|
|
19
|
|
||||
Foreign exchange rate
|
11
|
|
9
|
|
12
|
|
7
|
|
||||
Commodity price
|
17
|
|
22
|
|
29
|
|
16
|
|
||||
Less: Diversification benefit1
|
(38
|
)
|
(53
|
)
|
N/A
|
|
N/A
|
|
||||
Primary Risk Categories
|
$
|
49
|
|
$
|
46
|
|
$
|
57
|
|
$
|
37
|
|
Credit Portfolio
|
21
|
|
25
|
|
31
|
|
20
|
|
||||
Less: Diversification benefit1
|
(8
|
)
|
(13
|
)
|
N/A
|
|
N/A
|
|
||||
Total Management VaR
|
$
|
62
|
|
$
|
58
|
|
$
|
78
|
|
$
|
45
|
|
|
Three Months Ended
|
|||||||||||
|
June 30, 2020
|
|||||||||||
$ in millions
|
Period
End
|
Average
|
High2
|
Low2
|
||||||||
Interest rate and credit spread
|
$
|
42
|
|
$
|
47
|
|
$
|
59
|
|
$
|
36
|
|
Equity price
|
38
|
|
25
|
|
38
|
|
20
|
|
||||
Foreign exchange rate
|
10
|
|
11
|
|
15
|
|
8
|
|
||||
Commodity price
|
25
|
|
16
|
|
25
|
|
11
|
|
||||
Less: Diversification benefit1
|
(68
|
)
|
(49
|
)
|
N/A
|
|
N/A
|
|
||||
Primary Risk Categories
|
$
|
47
|
|
$
|
50
|
|
$
|
62
|
|
$
|
44
|
|
Credit Portfolio
|
26
|
|
25
|
|
30
|
|
23
|
|
||||
Less: Diversification benefit1
|
(1
|
)
|
(15
|
)
|
N/A
|
|
N/A
|
|
||||
Total Management VaR
|
$
|
72
|
|
$
|
60
|
|
$
|
78
|
|
$
|
47
|
|
1.
|
Diversification benefit equals the difference between the total Management VaR and the sum of the component VaRs. This benefit arises because the simulated one-day losses for each of the components occur on different days; similar diversification benefits also are taken into account within each component.
|
2.
|
The high and low VaR values for the total Management VaR and each of the component VaRs might have occurred on different days during the quarter, and therefore, the diversification benefit is not an applicable measure.
|
September 2020 Form 10-Q
|
34
|
|
|
|
Risk Disclosures
|
|
$ in millions
|
At
September 30, 2020 |
At
June 30, 2020 |
||||
Derivatives
|
$
|
7
|
|
$
|
7
|
|
Funding liabilities2
|
46
|
|
45
|
|
1.
|
Amounts represent the potential gain for each 1 bps widening of our credit spread.
|
2.
|
Relates to Borrowings carried at fair value.
|
$ in millions
|
At
September 30, 2020 |
At
June 30, 2020 |
||||
Basis point change
|
|
|
||||
+100
|
$
|
1,014
|
|
$
|
599
|
|
-100
|
(338
|
)
|
(351
|
)
|
|
35
|
September 2020 Form 10-Q
|
|
|
Risk Disclosures
|
|
|
Loss from 10% Decline
|
|||||
$ in millions
|
At
September 30, 2020 |
At
June 30, 2020 |
||||
Investments related to Investment Management activities
|
$
|
349
|
|
$
|
329
|
|
Other investments:
|
|
|
||||
MUMSS
|
176
|
|
170
|
|
||
Other Firm investments
|
203
|
|
188
|
|
|
At September 30, 2020
|
|||||||||||
$ in millions
|
HFI
|
HFS
|
FVO
|
Total
|
||||||||
Institutional Securities:
|
|
|
|
|
||||||||
Corporate
|
$
|
7,628
|
|
$
|
8,552
|
|
$
|
14
|
|
$
|
16,194
|
|
Secured lending facilities
|
26,496
|
|
3,521
|
|
445
|
|
30,462
|
|
||||
Commercial and Residential real estate
|
7,265
|
|
928
|
|
1,593
|
|
9,786
|
|
||||
Securities-based lending and Other
|
1,277
|
|
57
|
|
5,729
|
|
7,063
|
|
||||
Total Institutional Securities
|
42,666
|
|
13,058
|
|
7,781
|
|
63,505
|
|
||||
Wealth Management:
|
|
|
|
|
||||||||
Residential real estate
|
33,674
|
|
12
|
|
—
|
|
33,686
|
|
||||
Securities-based lending and Other
|
57,723
|
|
—
|
|
—
|
|
57,723
|
|
||||
Total Wealth Management
|
91,397
|
|
12
|
|
—
|
|
91,409
|
|
||||
Total Investment Management1
|
6
|
|
11
|
|
552
|
|
569
|
|
||||
Total loans
|
134,069
|
|
13,081
|
|
8,333
|
|
155,483
|
|
||||
ACL
|
(913
|
)
|
|
|
(913
|
)
|
||||||
Total loans, net of ACL
|
$
|
133,156
|
|
$
|
13,081
|
|
$
|
8,333
|
|
$
|
154,570
|
|
Lending commitments2
|
|
|
|
$
|
120,098
|
|
||||||
Total exposure
|
|
|
|
|
|
|
$
|
274,668
|
|
|
At December 31, 2019
|
|||||||||||
$ in millions
|
HFI
|
HFS
|
FVO
|
Total
|
||||||||
Institutional Securities:
|
|
|
|
|
||||||||
Corporate
|
$
|
5,426
|
|
$
|
6,192
|
|
$
|
20
|
|
$
|
11,638
|
|
Secured lending facilities
|
24,502
|
|
4,200
|
|
951
|
|
29,653
|
|
||||
Commercial and Residential real estate
|
7,859
|
|
2,049
|
|
3,290
|
|
13,198
|
|
||||
Securities-based lending and Other
|
503
|
|
123
|
|
6,814
|
|
7,440
|
|
||||
Total Institutional Securities
|
38,290
|
|
12,564
|
|
11,075
|
|
61,929
|
|
||||
Wealth Management:
|
|
|
|
|
||||||||
Residential real estate
|
30,184
|
|
13
|
|
—
|
|
30,197
|
|
||||
Securities-based lending and Other
|
49,930
|
|
—
|
|
—
|
|
49,930
|
|
||||
Total Wealth Management
|
80,114
|
|
13
|
|
—
|
|
80,127
|
|
||||
Total Investment Management1
|
5
|
|
—
|
|
251
|
|
256
|
|
||||
Total loans
|
118,409
|
|
12,577
|
|
11,326
|
|
142,312
|
|
||||
ACL
|
(349
|
)
|
|
|
(349
|
)
|
||||||
Total loans, net of ACL
|
$
|
118,060
|
|
$
|
12,577
|
|
$
|
11,326
|
|
$
|
141,963
|
|
Lending commitments2
|
|
|
|
$
|
120,068
|
|
||||||
Total exposure
|
|
|
|
|
|
|
$
|
262,031
|
|
1.
|
Investment Management business segment loans are related to certain of our activities as an investment advisor and manager. At September 30, 2020 and December 31, 2019, loans held at fair value are predominantly the result of the consolidation of CLO vehicles, managed by Investment Management, composed primarily of senior secured loans to corporations.
|
2.
|
Lending commitments represent the notional amount of legally binding obligations to provide funding to clients for lending transactions. Since commitments associated with these business activities may expire unused or may not be utilized to full capacity, they do not necessarily reflect the actual future cash funding requirements.
|
September 2020 Form 10-Q
|
36
|
|
|
|
Risk Disclosures
|
|
$ in millions
|
|
||
December 31, 20191
|
$
|
590
|
|
Effect of CECL adoption
|
(41
|
)
|
|
Gross charge-offs
|
(59
|
)
|
|
Recoveries
|
5
|
|
|
Net (charge-offs) recoveries
|
(54
|
)
|
|
Provision2
|
757
|
|
|
Other
|
8
|
|
|
September 30, 2020
|
$
|
1,260
|
|
ACL—Loans
|
$
|
913
|
|
ACL—Lending commitments
|
347
|
|
1.
|
At December 31, 2019, the ACL for Loans and Lending commitments was $349 million and $241 million, respectively.
|
2.
|
In the current quarter, the provision for loan losses was $63 million and the provision for losses on lending commitments was $48 million. In the current year period, the provision for loan losses was $601 million and the provision for losses on lending commitments was $156 million.
|
|
37
|
September 2020 Form 10-Q
|
|
|
Risk Disclosures
|
|
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.
|
|
At September 30, 2020
|
||||||||||||||
|
Contractual Years to Maturity
|
|
|||||||||||||
$ in millions
|
Less than 1
|
1-3
|
3-5
|
Over 5
|
Total
|
||||||||||
Loans
|
|
|
|
|
|
||||||||||
AA
|
$
|
274
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
274
|
|
A
|
874
|
|
1,062
|
|
39
|
|
229
|
|
2,204
|
|
|||||
BBB
|
3,958
|
|
5,726
|
|
3,314
|
|
295
|
|
13,293
|
|
|||||
BB
|
12,683
|
|
7,920
|
|
6,273
|
|
491
|
|
27,367
|
|
|||||
Other NIG
|
5,403
|
|
6,519
|
|
3,791
|
|
2,423
|
|
18,136
|
|
|||||
Unrated2
|
63
|
|
151
|
|
155
|
|
1,056
|
|
1,425
|
|
|||||
Total loans, net of ACL
|
23,255
|
|
21,378
|
|
13,572
|
|
4,494
|
|
62,699
|
|
|||||
Lending commitments
|
|
|
|
|
|||||||||||
AAA
|
—
|
|
50
|
|
—
|
|
—
|
|
50
|
|
|||||
AA
|
4,157
|
|
1,267
|
|
1,878
|
|
—
|
|
7,302
|
|
|||||
A
|
6,310
|
|
8,290
|
|
7,901
|
|
564
|
|
23,065
|
|
|||||
BBB
|
5,422
|
|
15,408
|
|
15,761
|
|
310
|
|
36,901
|
|
|||||
BB
|
4,150
|
|
7,154
|
|
7,291
|
|
1,311
|
|
19,906
|
|
|||||
Other NIG
|
979
|
|
8,491
|
|
5,533
|
|
3,193
|
|
18,196
|
|
|||||
Unrated2
|
4
|
|
1
|
|
21
|
|
20
|
|
46
|
|
|||||
Total lending commitments
|
21,022
|
|
40,661
|
|
38,385
|
|
5,398
|
|
105,466
|
|
|||||
Total exposure
|
$
|
44,277
|
|
$
|
62,039
|
|
$
|
51,957
|
|
$
|
9,892
|
|
$
|
168,165
|
|
|
At December 31, 2019
|
||||||||||||||
|
Contractual Years to Maturity
|
|
|||||||||||||
$ in millions
|
Less than 1
|
1-3
|
3-5
|
Over 5
|
Total
|
||||||||||
Loans
|
|
|
|
|
|
||||||||||
AA
|
$
|
7
|
|
$
|
50
|
|
$
|
—
|
|
$
|
5
|
|
$
|
62
|
|
A
|
955
|
|
923
|
|
516
|
|
277
|
|
2,671
|
|
|||||
BBB
|
2,297
|
|
5,589
|
|
3,592
|
|
949
|
|
12,427
|
|
|||||
BB
|
9,031
|
|
11,189
|
|
9,452
|
|
1,449
|
|
31,121
|
|
|||||
Other NIG
|
4,020
|
|
5,635
|
|
2,595
|
|
1,143
|
|
13,393
|
|
|||||
Unrated2
|
117
|
|
82
|
|
131
|
|
1,628
|
|
1,958
|
|
|||||
Total loans, net of ACL
|
16,427
|
|
23,468
|
|
16,286
|
|
5,451
|
|
61,632
|
|
|||||
Lending commitments
|
|
|
|
|
|||||||||||
AAA
|
—
|
|
50
|
|
—
|
|
—
|
|
50
|
|
|||||
AA
|
2,838
|
|
908
|
|
2,509
|
|
—
|
|
6,255
|
|
|||||
A
|
6,461
|
|
7,287
|
|
9,371
|
|
298
|
|
23,417
|
|
|||||
BBB
|
7,548
|
|
13,780
|
|
20,560
|
|
753
|
|
42,641
|
|
|||||
BB
|
2,464
|
|
5,610
|
|
8,333
|
|
1,526
|
|
17,933
|
|
|||||
Other NIG
|
2,193
|
|
4,741
|
|
7,062
|
|
2,471
|
|
16,467
|
|
|||||
Unrated2
|
—
|
|
9
|
|
107
|
|
7
|
|
123
|
|
|||||
Total lending commitments
|
21,504
|
|
32,385
|
|
47,942
|
|
5,055
|
|
106,886
|
|
|||||
Total exposure
|
$
|
37,931
|
|
$
|
55,853
|
|
$
|
64,228
|
|
$
|
10,506
|
|
$
|
168,518
|
|
1.
|
Counterparty credit ratings are internally determined by the Credit Risk Management Department (“CRM”).
|
2.
|
Unrated loans and lending commitments are primarily trading positions that are measured at fair value and risk-managed as a component of market risk. For a further discussion of our market risk, see “Market Risk” herein.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Industry
|
|
|
||||
Financials
|
$
|
41,916
|
|
$
|
40,992
|
|
Real estate
|
24,827
|
|
28,348
|
|
||
Industrials
|
15,650
|
|
13,136
|
|
||
Communications services
|
12,529
|
|
12,165
|
|
||
Consumer discretionary
|
11,253
|
|
9,589
|
|
||
Healthcare
|
10,788
|
|
14,113
|
|
||
Energy
|
10,088
|
|
9,461
|
|
||
Utilities
|
9,994
|
|
9,905
|
|
||
Information technology
|
9,808
|
|
9,201
|
|
||
Consumer staples
|
8,476
|
|
9,724
|
|
||
Materials
|
5,626
|
|
5,577
|
|
||
Insurance
|
3,975
|
|
3,755
|
|
||
Other
|
3,235
|
|
2,552
|
|
||
Total exposure
|
$
|
168,165
|
|
$
|
168,518
|
|
September 2020 Form 10-Q
|
38
|
|
|
|
Risk Disclosures
|
|
|
At September 30, 2020
|
||||||||||||||
|
Contractual Years to Maturity
|
|
|||||||||||||
$ in millions
|
Less than 1
|
1-3
|
3-5
|
Over 5
|
Total
|
||||||||||
Loans, net of ACL
|
$
|
1,891
|
|
$
|
1,185
|
|
$
|
710
|
|
$
|
1,216
|
|
$
|
5,002
|
|
Lending commitments
|
2,346
|
|
5,088
|
|
2,257
|
|
3,697
|
|
13,388
|
|
|||||
Total exposure
|
$
|
4,237
|
|
$
|
6,273
|
|
$
|
2,967
|
|
$
|
4,913
|
|
$
|
18,390
|
|
|
At December 31, 2019
|
||||||||||||||
|
Contractual Years to Maturity
|
|
|||||||||||||
$ in millions
|
Less than 1
|
1-3
|
3-5
|
Over 5
|
Total
|
||||||||||
Loans, net of ACL
|
$
|
1,194
|
|
$
|
1,024
|
|
$
|
839
|
|
$
|
390
|
|
$
|
3,447
|
|
Lending commitments
|
7,921
|
|
5,012
|
|
2,285
|
|
3,090
|
|
18,308
|
|
|||||
Total exposure
|
$
|
9,115
|
|
$
|
6,036
|
|
$
|
3,124
|
|
$
|
3,480
|
|
$
|
21,755
|
|
|
At September 30, 2020
|
||||||||
$ in millions
|
Loans
|
Lending Commitments
|
Total
|
||||||
Corporate
|
$
|
7,628
|
|
$
|
65,358
|
|
$
|
72,986
|
|
Secured lending facilities
|
26,496
|
|
8,122
|
|
34,618
|
|
|||
Commercial real estate
|
7,265
|
|
286
|
|
7,551
|
|
|||
Other
|
1,277
|
|
1,178
|
|
2,455
|
|
|||
Total, before ACL
|
$
|
42,666
|
|
$
|
74,944
|
|
$
|
117,610
|
|
ACL
|
$
|
(806
|
)
|
$
|
(342
|
)
|
$
|
(1,148
|
)
|
|
At December 31, 2019
|
||||||||
$ in millions
|
Loans
|
Lending Commitments
|
Total
|
||||||
Corporate
|
$
|
5,426
|
|
$
|
61,716
|
|
$
|
67,142
|
|
Secured lending facilities
|
24,502
|
|
6,105
|
|
30,607
|
|
|||
Commercial real estate
|
7,859
|
|
425
|
|
8,284
|
|
|||
Other
|
503
|
|
832
|
|
1,335
|
|
|||
Total, before ACL
|
$
|
38,290
|
|
$
|
69,078
|
|
$
|
107,368
|
|
ACL
|
$
|
(297
|
)
|
$
|
(236
|
)
|
$
|
(533
|
)
|
|
39
|
September 2020 Form 10-Q
|
|
|
Risk Disclosures
|
|
$ in millions
|
Corporate
|
Secured lending facilities
|
Commercial real estate
|
Other
|
Total
|
||||||||||
At December 31, 2019
|
|
|
|
|
|
||||||||||
ACL—Loans
|
$
|
115
|
|
$
|
101
|
|
$
|
75
|
|
$
|
6
|
|
$
|
297
|
|
ACL—Lending commitments
|
$
|
201
|
|
$
|
27
|
|
$
|
7
|
|
$
|
1
|
|
$
|
236
|
|
Total
|
$
|
316
|
|
$
|
128
|
|
$
|
82
|
|
$
|
7
|
|
$
|
533
|
|
Effect of CECL adoption
|
(43
|
)
|
(53
|
)
|
35
|
|
3
|
|
(58
|
)
|
|||||
Gross charge-offs
|
(33
|
)
|
—
|
|
(26
|
)
|
—
|
|
(59
|
)
|
|||||
Recoveries
|
3
|
|
—
|
|
—
|
|
2
|
|
5
|
|
|||||
Net (charge-offs) recoveries
|
(30
|
)
|
—
|
|
(26
|
)
|
2
|
|
(54
|
)
|
|||||
Provision (release)1
|
400
|
|
155
|
|
180
|
|
(16
|
)
|
719
|
|
|||||
Other
|
3
|
|
1
|
|
(38
|
)
|
42
|
|
8
|
|
|||||
Total at
September 30, 2020
|
$
|
646
|
|
$
|
231
|
|
$
|
233
|
|
$
|
38
|
|
$
|
1,148
|
|
ACL—Loans
|
$
|
367
|
|
$
|
191
|
|
$
|
222
|
|
$
|
26
|
|
$
|
806
|
|
ACL—Lending commitments
|
279
|
|
40
|
|
11
|
|
12
|
|
342
|
|
1.
|
In the current quarter, the provision for loan losses was $66 million and the provision for losses on lending commitments was $47 million. In the current year period, the provision for loan losses was $562 million and the provision for losses on lending commitments was $157 million.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At
September 30, 2020 |
At
December 31, 2019 |
||
Corporate
|
4.8
|
%
|
2.1
|
%
|
Secured lending facilities
|
0.7
|
%
|
0.4
|
%
|
Commercial real estate
|
3.1
|
%
|
1.0
|
%
|
Other
|
2.0
|
%
|
1.2
|
%
|
Total Institutional Securities loans
|
1.9
|
%
|
0.8
|
%
|
|
At September 30, 2020
|
||||||||||||||
|
Contractual Years to Maturity
|
|
|||||||||||||
$ in millions
|
Less than 1
|
1-3
|
3-5
|
Over 5
|
Total
|
||||||||||
Securities-based lending and Other
|
$
|
49,714
|
|
$
|
4,411
|
|
$
|
1,869
|
|
$
|
1,680
|
|
$
|
57,674
|
|
Residential real estate
|
11
|
|
4
|
|
1
|
|
33,612
|
|
33,628
|
|
|||||
Total loans, net of ACL
|
$
|
49,725
|
|
$
|
4,415
|
|
$
|
1,870
|
|
$
|
35,292
|
|
$
|
91,302
|
|
Lending commitments
|
11,797
|
|
2,240
|
|
326
|
|
269
|
|
14,632
|
|
|||||
Total exposure
|
$
|
61,522
|
|
$
|
6,655
|
|
$
|
2,196
|
|
$
|
35,561
|
|
$
|
105,934
|
|
|
At December 31, 2019
|
||||||||||||||
|
Contractual Years to Maturity
|
|
|||||||||||||
$ in millions
|
Less than 1
|
1-3
|
3-5
|
Over 5
|
Total
|
||||||||||
Securities-based lending and Other
|
$
|
41,863
|
|
$
|
3,972
|
|
$
|
2,783
|
|
$
|
1,284
|
|
$
|
49,902
|
|
Residential real estate
|
13
|
|
11
|
|
—
|
|
30,149
|
|
30,173
|
|
|||||
Total loans, net of ACL
|
$
|
41,876
|
|
$
|
3,983
|
|
$
|
2,783
|
|
$
|
31,433
|
|
$
|
80,075
|
|
Lending commitments
|
10,219
|
|
2,564
|
|
71
|
|
307
|
|
13,161
|
|
|||||
Total exposure
|
$
|
52,095
|
|
$
|
6,547
|
|
$
|
2,854
|
|
$
|
31,740
|
|
$
|
93,236
|
|
$ in millions
|
|
||
December 31, 20191
|
$
|
57
|
|
Effect of CECL adoption
|
17
|
|
|
Provision2
|
38
|
|
|
September 30, 2020
|
$
|
112
|
|
ACL—Loans
|
$
|
107
|
|
ACL—Lending commitments
|
5
|
|
1.
|
At December 31, 2019, the total ACL for Loans and Lending commitments was $52 million and $5 million, respectively.
|
2.
|
In the current quarter, the release for loan losses was $3 million and the provision for losses on lending commitments was $1 million. In the current year period the provision for loan losses was $39 million and the release for losses on lending commitments was $1 million.
|
|
At September 30, 2020
|
||||||||
$ in millions
|
IS
|
WM
|
Total
|
||||||
Customer receivables representing margin loans
|
$
|
35,604
|
|
$
|
9,054
|
|
$
|
44,658
|
|
|
At December 31, 2019
|
||||||||
$ in millions
|
IS
|
WM
|
Total
|
||||||
Customer receivables representing margin loans
|
$
|
22,216
|
|
$
|
9,700
|
|
$
|
31,916
|
|
September 2020 Form 10-Q
|
40
|
|
|
|
Risk Disclosures
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Currently employed by the Firm
|
$
|
2,940
|
|
N/A
|
|
|
No longer employed by the Firm
|
142
|
|
N/A
|
|
||
Employee loans
|
$
|
3,082
|
|
$
|
2,980
|
|
ACL1
|
(165
|
)
|
(61
|
)
|
||
Employee loans, net of ACL
|
$
|
2,917
|
|
$
|
2,919
|
|
Remaining repayment term, weighted average in years
|
5.1
|
|
4.8
|
|
1.
|
The change in ACL includes a $124 million increase due to the adoption of CECL on January 1, 2020.
|
|
Counterparty Credit Rating1
|
|
||||||||||||||||
$ in millions
|
AAA
|
AA
|
A
|
BBB
|
NIG
|
Total
|
||||||||||||
At September 30, 2020
|
|
|
|
|
||||||||||||||
Less than 1 year
|
$
|
667
|
|
$
|
10,653
|
|
$
|
36,327
|
|
$
|
23,017
|
|
$
|
10,481
|
|
$
|
81,145
|
|
1-3 years
|
641
|
|
5,332
|
|
17,817
|
|
13,616
|
|
7,196
|
|
44,602
|
|
||||||
3-5 years
|
389
|
|
5,091
|
|
11,562
|
|
8,447
|
|
3,648
|
|
29,137
|
|
||||||
Over 5 years
|
4,496
|
|
34,274
|
|
87,181
|
|
64,958
|
|
16,119
|
|
207,028
|
|
||||||
Total, gross
|
$
|
6,193
|
|
$
|
55,350
|
|
$
|
152,887
|
|
$
|
110,038
|
|
$
|
37,444
|
|
$
|
361,912
|
|
Counterparty netting
|
(3,107
|
)
|
(42,447
|
)
|
(122,838
|
)
|
(83,836
|
)
|
(22,686
|
)
|
(274,914
|
)
|
||||||
Cash and securities collateral
|
(2,897
|
)
|
(10,830
|
)
|
(25,423
|
)
|
(20,621
|
)
|
(8,865
|
)
|
(68,636
|
)
|
||||||
Total, net
|
$
|
189
|
|
$
|
2,073
|
|
$
|
4,626
|
|
$
|
5,581
|
|
$
|
5,893
|
|
$
|
18,362
|
|
|
Counterparty Credit Rating1
|
|
||||||||||||||||
$ in millions
|
AAA
|
AA
|
A
|
BBB
|
NIG
|
Total
|
||||||||||||
At December 31, 2019
|
|
|
|
|
||||||||||||||
Less than 1 year
|
$
|
371
|
|
$
|
9,195
|
|
$
|
31,789
|
|
$
|
22,757
|
|
$
|
6,328
|
|
$
|
70,440
|
|
1-3 years
|
378
|
|
5,150
|
|
17,707
|
|
11,495
|
|
9,016
|
|
43,746
|
|
||||||
3-5 years
|
502
|
|
4,448
|
|
9,903
|
|
6,881
|
|
3,421
|
|
25,155
|
|
||||||
Over 5 years
|
3,689
|
|
24,675
|
|
70,765
|
|
40,542
|
|
14,587
|
|
154,258
|
|
||||||
Total, gross
|
$
|
4,940
|
|
$
|
43,468
|
|
$
|
130,164
|
|
$
|
81,675
|
|
$
|
33,352
|
|
$
|
293,599
|
|
Counterparty netting
|
(2,172
|
)
|
(33,521
|
)
|
(103,452
|
)
|
(62,345
|
)
|
(19,514
|
)
|
(221,004
|
)
|
||||||
Cash and securities collateral
|
(2,641
|
)
|
(8,134
|
)
|
(22,319
|
)
|
(14,570
|
)
|
(10,475
|
)
|
(58,139
|
)
|
||||||
Total, net
|
$
|
127
|
|
$
|
1,813
|
|
$
|
4,393
|
|
$
|
4,760
|
|
$
|
3,363
|
|
$
|
14,456
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Industry
|
|
|||||
Utilities
|
$
|
4,407
|
|
$
|
4,275
|
|
Financials
|
4,394
|
|
3,448
|
|
||
Industrials
|
1,796
|
|
914
|
|
||
Healthcare
|
1,442
|
|
991
|
|
||
Regional governments
|
966
|
|
791
|
|
||
Information technology
|
901
|
|
659
|
|
||
Not-for-profit organizations
|
796
|
|
657
|
|
||
Energy
|
775
|
|
524
|
|
||
Materials
|
590
|
|
325
|
|
||
Sovereign governments
|
549
|
|
403
|
|
||
Consumer staples
|
385
|
|
129
|
|
||
Consumer discretionary
|
371
|
|
370
|
|
||
Communications services
|
325
|
|
381
|
|
||
Insurance
|
302
|
|
214
|
|
||
Real estate
|
287
|
|
315
|
|
||
Other
|
76
|
|
60
|
|
||
Total
|
$
|
18,362
|
|
$
|
14,456
|
|
1.
|
Counterparty credit ratings are determined internally by CRM.
|
|
41
|
September 2020 Form 10-Q
|
|
|
Risk Disclosures
|
|
United Kingdom
|
|
|
|
||||||
$ in millions
|
Sovereigns
|
Non-sovereigns
|
Total
|
||||||
Net inventory1
|
$
|
1,145
|
|
$
|
928
|
|
$
|
2,073
|
|
Net counterparty exposure2
|
69
|
|
11,183
|
|
11,252
|
|
|||
Loans
|
—
|
|
2,831
|
|
2,831
|
|
|||
Lending commitments
|
—
|
|
6,607
|
|
6,607
|
|
|||
Exposure before hedges
|
1,214
|
|
21,549
|
|
22,763
|
|
|||
Hedges3
|
(311
|
)
|
(1,470
|
)
|
(1,781
|
)
|
|||
Net exposure
|
$
|
903
|
|
$
|
20,079
|
|
$
|
20,982
|
|
Germany
|
|
|
|
||||||
$ in millions
|
Sovereigns
|
Non-sovereigns
|
Total
|
||||||
Net inventory1
|
$
|
(1,168
|
)
|
$
|
(14
|
)
|
$
|
(1,182
|
)
|
Net counterparty exposure2
|
214
|
|
3,280
|
|
3,494
|
|
|||
Loans
|
—
|
|
2,092
|
|
2,092
|
|
|||
Lending commitments
|
(1
|
)
|
4,428
|
|
4,427
|
|
|||
Exposure before hedges
|
(955
|
)
|
9,786
|
|
8,831
|
|
|||
Hedges3
|
(286
|
)
|
(867
|
)
|
(1,153
|
)
|
|||
Net exposure
|
$
|
(1,241
|
)
|
$
|
8,919
|
|
$
|
7,678
|
|
Japan
|
|
|
|
||||||
$ in millions
|
Sovereigns
|
Non-sovereigns
|
Total
|
||||||
Net inventory1
|
$
|
2,182
|
|
$
|
512
|
|
$
|
2,694
|
|
Net counterparty exposure2
|
57
|
|
4,505
|
|
4,562
|
|
|||
Loans
|
—
|
|
562
|
|
562
|
|
|||
Exposure before hedges
|
2,239
|
|
5,579
|
|
7,818
|
|
|||
Hedges3
|
(96
|
)
|
(228
|
)
|
(324
|
)
|
|||
Net exposure
|
$
|
2,143
|
|
$
|
5,351
|
|
$
|
7,494
|
|
France
|
|
|
|
||||||
$ in millions
|
Sovereigns
|
Non-sovereigns
|
Total
|
||||||
Net inventory1
|
$
|
1,214
|
|
$
|
(334
|
)
|
$
|
880
|
|
Net counterparty exposure2
|
18
|
|
3,444
|
|
3,462
|
|
|||
Loans
|
—
|
|
525
|
|
525
|
|
|||
Lending commitments
|
—
|
|
3,047
|
|
3,047
|
|
|||
Exposure before hedges
|
1,232
|
|
6,682
|
|
7,914
|
|
|||
Hedges3
|
(6
|
)
|
(815
|
)
|
(821
|
)
|
|||
Net exposure
|
$
|
1,226
|
|
$
|
5,867
|
|
$
|
7,093
|
|
Spain
|
|
|
|
||||||
$ in millions
|
Sovereigns
|
Non-sovereigns
|
Total
|
||||||
Net inventory1
|
$
|
(809
|
)
|
$
|
28
|
|
$
|
(781
|
)
|
Net counterparty exposure2
|
7
|
|
284
|
|
291
|
|
|||
Loans
|
—
|
|
4,061
|
|
4,061
|
|
|||
Lending commitments
|
—
|
|
620
|
|
620
|
|
|||
Exposure before hedges
|
(802
|
)
|
4,993
|
|
4,191
|
|
|||
Hedges3
|
—
|
|
(123
|
)
|
(123
|
)
|
|||
Net exposure
|
$
|
(802
|
)
|
$
|
4,870
|
|
$
|
4,068
|
|
Australia
|
|
|
|
||||||
$ in millions
|
Sovereigns
|
Non-sovereigns
|
Total
|
||||||
Net inventory1
|
$
|
1,893
|
|
$
|
261
|
|
$
|
2,154
|
|
Net counterparty exposure2
|
6
|
|
637
|
|
643
|
|
|||
Loans
|
—
|
|
392
|
|
392
|
|
|||
Lending commitments
|
—
|
|
798
|
|
798
|
|
|||
Exposure before hedges
|
1,899
|
|
2,088
|
|
3,987
|
|
|||
Hedges3
|
—
|
|
(174
|
)
|
(174
|
)
|
|||
Net exposure
|
$
|
1,899
|
|
$
|
1,914
|
|
$
|
3,813
|
|
India
|
|
|
|
||||||
$ in millions
|
Sovereigns
|
Non-sovereigns
|
Total
|
||||||
Net inventory1
|
$
|
1,795
|
|
$
|
595
|
|
$
|
2,390
|
|
Net counterparty exposure2
|
—
|
|
821
|
|
821
|
|
|||
Loans
|
—
|
|
205
|
|
205
|
|
|||
Exposure before hedges
|
1,795
|
|
1,621
|
|
3,416
|
|
|||
Net exposure
|
$
|
1,795
|
|
$
|
1,621
|
|
$
|
3,416
|
|
September 2020 Form 10-Q
|
42
|
|
|
|
Risk Disclosures
|
|
China
|
|
|
|
||||||
$ in millions
|
Sovereigns
|
Non-sovereigns
|
Total
|
||||||
Net inventory1
|
$
|
(184
|
)
|
$
|
1,506
|
|
$
|
1,322
|
|
Net counterparty exposure2
|
103
|
|
481
|
|
584
|
|
|||
Loans
|
—
|
|
772
|
|
772
|
|
|||
Lending commitments
|
—
|
|
765
|
|
765
|
|
|||
Exposure before hedges
|
(81
|
)
|
3,524
|
|
3,443
|
|
|||
Hedges3
|
(82
|
)
|
(122
|
)
|
(204
|
)
|
|||
Net exposure
|
$
|
(163
|
)
|
$
|
3,402
|
|
$
|
3,239
|
|
Canada
|
|
|
|
||||||
$ in millions
|
Sovereigns
|
Non-sovereigns
|
Total
|
||||||
Net inventory1
|
$
|
(66
|
)
|
$
|
330
|
|
$
|
264
|
|
Net counterparty exposure2
|
60
|
|
1,477
|
|
1,537
|
|
|||
Loans
|
—
|
|
155
|
|
155
|
|
|||
Lending commitments
|
—
|
|
1,380
|
|
1,380
|
|
|||
Exposure before hedges
|
(6
|
)
|
3,342
|
|
3,336
|
|
|||
Hedges3
|
—
|
|
(108
|
)
|
(108
|
)
|
|||
Net exposure
|
$
|
(6
|
)
|
$
|
3,234
|
|
$
|
3,228
|
|
Netherlands
|
|
|
|
||||||
$ in millions
|
Sovereigns
|
Non-sovereigns
|
Total
|
||||||
Net inventory1
|
$
|
(5
|
)
|
$
|
280
|
|
$
|
275
|
|
Net counterparty exposure2
|
—
|
|
760
|
|
760
|
|
|||
Loans
|
—
|
|
420
|
|
420
|
|
|||
Lending commitments
|
—
|
|
1,768
|
|
1,768
|
|
|||
Exposure before hedges
|
(5
|
)
|
3,228
|
|
3,223
|
|
|||
Hedges3
|
(32
|
)
|
(210
|
)
|
(242
|
)
|
|||
Net exposure
|
$
|
(37
|
)
|
$
|
3,018
|
|
$
|
2,981
|
|
1.
|
Net inventory represents exposure to both long and short single-name and index positions (i.e., bonds and equities at fair value and CDS based on a notional amount assuming zero recovery adjusted for the fair value of any receivable or payable).
|
2.
|
Net counterparty exposure (e.g., repurchase transactions, securities lending and OTC derivatives) is net of the benefit of collateral received and also is net by counterparty when legally enforceable master netting agreements are in place. For more information, see “Additional Information—Top 10 Non-U.S. Country Exposures” herein.
|
3.
|
Amounts represent net CDS hedges (purchased and sold) on net counterparty exposure and lending executed by trading desks responsible for hedging counterparty and lending credit risk exposures. Amounts are based on the CDS notional amount assuming zero recovery adjusted for any fair value receivable or payable. For further description of the contractual terms for purchased credit protection and whether they may limit the effectiveness of our hedges, see “Quantitative and Qualitative Disclosures about Risk—Credit Risk—Derivatives” in the 2019 Form 10-K.
|
$ in millions
|
|
At
September 30, 2020 |
||
Country of Risk
|
Collateral2
|
|
||
Germany
|
Japan and France
|
$
|
13,464
|
|
United Kingdom
|
U.K., U.S. and Spain
|
12,093
|
|
|
Other
|
Japan, U.S. and Canada
|
23,884
|
|
1.
|
The benefit of collateral received is reflected in the Top 10 Non-U.S. Country Exposures at September 30, 2020.
|
2.
|
Primarily consists of cash as well as government obligations of the countries listed.
|
|
43
|
September 2020 Form 10-Q
|
|
|
Risk Disclosures
|
|
September 2020 Form 10-Q
|
44
|
|
/s/ Deloitte & Touche LLP
|
New York, New York
|
November 3, 2020
|
|
45
|
September 2020 Form 10-Q
|
|
|
Consolidated Income Statements
(Unaudited)
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
in millions, except per share data
|
2020
|
2019
|
2020
|
2019
|
||||||||
Revenues
|
|
|
|
|
||||||||
Investment banking
|
$
|
1,826
|
|
$
|
1,635
|
|
$
|
5,239
|
|
$
|
4,467
|
|
Trading
|
3,092
|
|
2,608
|
|
10,831
|
|
8,781
|
|
||||
Investments
|
346
|
|
87
|
|
659
|
|
801
|
|
||||
Commissions and fees
|
1,037
|
|
990
|
|
3,499
|
|
2,935
|
|
||||
Asset management
|
3,664
|
|
3,363
|
|
10,346
|
|
9,632
|
|
||||
Other
|
206
|
|
131
|
|
(458
|
)
|
685
|
|
||||
Total non-interest revenues
|
10,171
|
|
8,814
|
|
30,116
|
|
27,301
|
|
||||
Interest income
|
2,056
|
|
4,350
|
|
7,917
|
|
13,146
|
|
||||
Interest expense
|
570
|
|
3,132
|
|
3,475
|
|
9,885
|
|
||||
Net interest
|
1,486
|
|
1,218
|
|
4,442
|
|
3,261
|
|
||||
Net revenues
|
11,657
|
|
10,032
|
|
34,558
|
|
30,562
|
|
||||
Non-interest expenses
|
|
|
|
|
||||||||
Compensation and benefits
|
5,086
|
|
4,427
|
|
15,404
|
|
13,609
|
|
||||
Brokerage, clearing and exchange fees
|
697
|
|
637
|
|
2,153
|
|
1,860
|
|
||||
Information processing and communications
|
616
|
|
557
|
|
1,768
|
|
1,627
|
|
||||
Professional services
|
542
|
|
531
|
|
1,526
|
|
1,582
|
|
||||
Occupancy and equipment
|
373
|
|
353
|
|
1,103
|
|
1,053
|
|
||||
Marketing and business development
|
78
|
|
157
|
|
273
|
|
460
|
|
||||
Other
|
778
|
|
660
|
|
2,343
|
|
1,803
|
|
||||
Total non-interest expenses
|
8,170
|
|
7,322
|
|
24,570
|
|
21,994
|
|
||||
Income before provision for income taxes
|
3,487
|
|
2,710
|
|
9,988
|
|
8,568
|
|
||||
Provision for income taxes
|
736
|
|
492
|
|
2,221
|
|
1,636
|
|
||||
Net income
|
$
|
2,751
|
|
$
|
2,218
|
|
$
|
7,767
|
|
$
|
6,932
|
|
Net income applicable to noncontrolling interests
|
34
|
|
45
|
|
156
|
|
129
|
|
||||
Net income applicable to Morgan Stanley
|
$
|
2,717
|
|
$
|
2,173
|
|
$
|
7,611
|
|
$
|
6,803
|
|
Preferred stock dividends
|
120
|
|
113
|
|
377
|
|
376
|
|
||||
Earnings applicable to Morgan Stanley common shareholders
|
$
|
2,597
|
|
$
|
2,060
|
|
$
|
7,234
|
|
$
|
6,427
|
|
Earnings per common share
|
|
|
|
|
||||||||
Basic
|
$
|
1.68
|
|
$
|
1.28
|
|
$
|
4.68
|
|
$
|
3.94
|
|
Diluted
|
$
|
1.66
|
|
$
|
1.27
|
|
$
|
4.62
|
|
$
|
3.89
|
|
Average common shares outstanding
|
|
|
|
|
||||||||
Basic
|
1,542
|
|
1,604
|
|
1,546
|
|
1,632
|
|
||||
Diluted
|
1,566
|
|
1,627
|
|
1,565
|
|
1,653
|
|
September 2020 Form 10-Q
|
46
|
See Notes to Consolidated Financial Statements
|
|
|
Consolidated Comprehensive Income Statements
(Unaudited)
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Net income
|
$
|
2,751
|
|
$
|
2,218
|
|
$
|
7,767
|
|
$
|
6,932
|
|
Other comprehensive income (loss), net of tax:
|
|
|
|
|
||||||||
Foreign currency translation adjustments
|
110
|
|
(99
|
)
|
(1
|
)
|
(56
|
)
|
||||
Change in net unrealized gains (losses) on available-for-sale securities
|
(62
|
)
|
214
|
|
1,558
|
|
1,252
|
|
||||
Pension, postretirement and other
|
5
|
|
3
|
|
29
|
|
7
|
|
||||
Change in net debt valuation adjustment
|
(563
|
)
|
337
|
|
744
|
|
(529
|
)
|
||||
Total other comprehensive income (loss)
|
$
|
(510
|
)
|
$
|
455
|
|
$
|
2,330
|
|
$
|
674
|
|
Comprehensive income
|
$
|
2,241
|
|
$
|
2,673
|
|
$
|
10,097
|
|
$
|
7,606
|
|
Net income applicable to noncontrolling interests
|
34
|
|
45
|
|
156
|
|
129
|
|
||||
Other comprehensive income (loss) applicable to noncontrolling interests
|
28
|
|
2
|
|
79
|
|
(20
|
)
|
||||
Comprehensive income applicable to Morgan Stanley
|
$
|
2,179
|
|
$
|
2,626
|
|
$
|
9,862
|
|
$
|
7,497
|
|
See Notes to Consolidated Financial Statements
|
47
|
September 2020 Form 10-Q
|
|
|
Consolidated Balance Sheets
|
|
$ in millions, except share data
|
(Unaudited)
At September 30, 2020 |
At
December 31, 2019 |
||||
Assets
|
|
|
||||
Cash and cash equivalents
|
$
|
94,772
|
|
$
|
82,171
|
|
Trading assets at fair value ($122,933 and $128,386 were pledged to various parties)
|
293,968
|
|
297,110
|
|
||
Investment securities (includes $84,536 and $62,223 at fair value)
|
130,705
|
|
105,725
|
|
||
Securities purchased under agreements to resell (includes $15 and $4 at fair value)
|
88,283
|
|
88,224
|
|
||
Securities borrowed
|
100,803
|
|
106,549
|
|
||
Customer and other receivables
|
72,537
|
|
55,646
|
|
||
Loans:
|
|
|
||||
Held for investment (net of allowance of $913 and $349)
|
133,156
|
|
118,060
|
|
||
Held for sale
|
13,081
|
|
12,577
|
|
||
Goodwill
|
7,348
|
|
7,143
|
|
||
Intangible assets (net of accumulated amortization of $3,442 and $3,204)
|
1,880
|
|
2,107
|
|
||
Other assets
|
19,407
|
|
20,117
|
|
||
Total assets
|
$
|
955,940
|
|
$
|
895,429
|
|
Liabilities
|
|
|
||||
Deposits (includes $3,679 and $2,099 at fair value)
|
$
|
239,253
|
|
$
|
190,356
|
|
Trading liabilities at fair value
|
145,016
|
|
133,356
|
|
||
Securities sold under agreements to repurchase (includes $1,166 and $733 at fair value)
|
41,376
|
|
54,200
|
|
||
Securities loaned
|
7,924
|
|
8,506
|
|
||
Other secured financings (includes $10,185 and $7,809 at fair value)
|
13,857
|
|
14,698
|
|
||
Customer and other payables
|
192,300
|
|
197,834
|
|
||
Other liabilities and accrued expenses
|
22,952
|
|
21,155
|
|
||
Borrowings (includes $69,144 and $64,461 at fair value)
|
203,444
|
|
192,627
|
|
||
Total liabilities
|
866,122
|
|
812,732
|
|
||
Commitments and contingent liabilities (see Note 14)
|
|
|
||||
Equity
|
|
|
||||
Morgan Stanley shareholders’ equity:
|
|
|
||||
Preferred stock
|
8,520
|
|
8,520
|
|
||
Common stock, $0.01 par value:
|
|
|
||||
Shares authorized: 3,500,000,000; Shares issued: 2,038,893,979; Shares outstanding: 1,576,447,988 and 1,593,973,680
|
20
|
|
20
|
|
||
Additional paid-in capital
|
24,015
|
|
23,935
|
|
||
Retained earnings
|
76,061
|
|
70,589
|
|
||
Employee stock trusts
|
2,992
|
|
2,918
|
|
||
Accumulated other comprehensive income (loss)
|
(537
|
)
|
(2,788
|
)
|
||
Common stock held in treasury at cost, $0.01 par value (462,445,991 and 444,920,299 shares)
|
(19,685
|
)
|
(18,727
|
)
|
||
Common stock issued to employee stock trusts
|
(2,992
|
)
|
(2,918
|
)
|
||
Total Morgan Stanley shareholders’ equity
|
88,394
|
|
81,549
|
|
||
Noncontrolling interests
|
1,424
|
|
1,148
|
|
||
Total equity
|
89,818
|
|
82,697
|
|
||
Total liabilities and equity
|
$
|
955,940
|
|
$
|
895,429
|
|
September 2020 Form 10-Q
|
48
|
See Notes to Consolidated Financial Statements
|
|
|
Consolidated Statements of Changes in Total Equity
(Unaudited)
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Preferred Stock
|
|
|
|
|
||||||||
Beginning and ending balance
|
$
|
8,520
|
|
$
|
8,520
|
|
$
|
8,520
|
|
$
|
8,520
|
|
Common Stock
|
|
|
|
|
||||||||
Beginning and ending balance
|
20
|
|
20
|
|
20
|
|
20
|
|
||||
Additional Paid-in Capital
|
|
|
|
|
||||||||
Beginning balance
|
23,782
|
|
23,446
|
|
23,935
|
|
23,794
|
|
||||
Share-based award activity
|
232
|
|
196
|
|
79
|
|
(154
|
)
|
||||
Other net increases
|
1
|
|
7
|
|
1
|
|
9
|
|
||||
Ending balance
|
24,015
|
|
23,649
|
|
24,015
|
|
23,649
|
|
||||
Retained Earnings
|
|
|
|
|
||||||||
Beginning balance
|
74,015
|
|
67,588
|
|
70,589
|
|
64,175
|
|
||||
Cumulative adjustments for accounting changes1
|
—
|
|
—
|
|
(100
|
)
|
63
|
|
||||
Net income applicable to Morgan Stanley
|
2,717
|
|
2,173
|
|
7,611
|
|
6,803
|
|
||||
Preferred stock dividends2
|
(120
|
)
|
(113
|
)
|
(377
|
)
|
(376
|
)
|
||||
Common stock dividends2
|
(551
|
)
|
(577
|
)
|
(1,662
|
)
|
(1,594
|
)
|
||||
Ending balance
|
76,061
|
|
69,071
|
|
76,061
|
|
69,071
|
|
||||
Employee Stock Trusts
|
|
|
|
|
||||||||
Beginning balance
|
3,018
|
|
2,889
|
|
2,918
|
|
2,836
|
|
||||
Share-based award activity
|
(26
|
)
|
(24
|
)
|
74
|
|
29
|
|
||||
Ending balance
|
2,992
|
|
2,865
|
|
2,992
|
|
2,865
|
|
||||
Accumulated Other Comprehensive Income (Loss)
|
|
|
|
|
||||||||
Beginning balance
|
1
|
|
(2,051
|
)
|
(2,788
|
)
|
(2,292
|
)
|
||||
Net change in Accumulated other comprehensive income (loss)
|
(538
|
)
|
453
|
|
2,251
|
|
694
|
|
||||
Ending balance
|
(537
|
)
|
(1,598
|
)
|
(537
|
)
|
(1,598
|
)
|
||||
Common Stock Held In Treasury at Cost
|
|
|
|
|
||||||||
Beginning balance
|
(19,693
|
)
|
(15,799
|
)
|
(18,727
|
)
|
(13,971
|
)
|
||||
Share-based award activity
|
38
|
|
57
|
|
882
|
|
1,138
|
|
||||
Repurchases of common stock and employee tax withholdings
|
(30
|
)
|
(1,538
|
)
|
(1,840
|
)
|
(4,447
|
)
|
||||
Ending balance
|
(19,685
|
)
|
(17,280
|
)
|
(19,685
|
)
|
(17,280
|
)
|
||||
Common Stock Issued to Employee Stock Trusts
|
|
|
|
|
||||||||
Beginning balance
|
(3,018
|
)
|
(2,889
|
)
|
(2,918
|
)
|
(2,836
|
)
|
||||
Share-based award activity
|
26
|
|
24
|
|
(74
|
)
|
(29
|
)
|
||||
Ending balance
|
(2,992
|
)
|
(2,865
|
)
|
(2,992
|
)
|
(2,865
|
)
|
||||
Non-Controlling Interests
|
|
|
|
|
||||||||
Beginning balance
|
1,364
|
|
1,121
|
|
1,148
|
|
1,160
|
|
||||
Net income applicable to non-controlling interests
|
34
|
|
45
|
|
156
|
|
129
|
|
||||
Net change in Accumulated other comprehensive income (loss) applicable to non-controlling interests
|
28
|
|
2
|
|
79
|
|
(20
|
)
|
||||
Other net increases (decreases)
|
(2
|
)
|
—
|
|
41
|
|
(101
|
)
|
||||
Ending balance
|
1,424
|
|
1,168
|
|
1,424
|
|
1,168
|
|
||||
Total Equity
|
$
|
89,818
|
|
$
|
83,550
|
|
$
|
89,818
|
|
$
|
83,550
|
|
1.
|
See Notes 2 and 17 for further information regarding cumulative adjustments for accounting changes.
|
2.
|
See Note 17 for information regarding dividends per share for each class of stock.
|
See Notes to Consolidated Financial Statements
|
49
|
September 2020 Form 10-Q
|
|
|
Consolidated Cash Flow Statements
(Unaudited)
|
|
|
Nine Months Ended
September 30, |
|||||
$ in millions
|
2020
|
2019
|
||||
Cash flows from operating activities
|
|
|
||||
Net income
|
$
|
7,767
|
|
$
|
6,932
|
|
Adjustments to reconcile net income to net cash provided by (used for) operating activities:
|
|
|
||||
Stock-based compensation expense
|
802
|
|
825
|
|
||
Depreciation and amortization
|
2,363
|
|
1,987
|
|
||
Provision for (Release of) credit losses on lending activities
|
757
|
|
104
|
|
||
Other operating adjustments
|
663
|
|
(114
|
)
|
||
Changes in assets and liabilities:
|
|
|
||||
Trading assets, net of Trading liabilities
|
18,442
|
|
17,036
|
|
||
Securities borrowed
|
5,746
|
|
(16,088
|
)
|
||
Securities loaned
|
(582
|
)
|
(2,217
|
)
|
||
Customer and other receivables and other assets
|
(17,098
|
)
|
(5,135
|
)
|
||
Customer and other payables and other liabilities
|
(5,818
|
)
|
22,721
|
|
||
Securities purchased under agreements to resell
|
(59
|
)
|
5,155
|
|
||
Securities sold under agreements to repurchase
|
(12,824
|
)
|
9,703
|
|
||
Net cash provided by (used for) operating activities
|
159
|
|
40,909
|
|
||
Cash flows from investing activities
|
|
|
||||
Proceeds from (payments for):
|
|
|
||||
Other assets—Premises, equipment and software, net
|
(905
|
)
|
(1,460
|
)
|
||
Changes in loans, net
|
(13,592
|
)
|
(10,079
|
)
|
||
Investment securities:
|
|
|
||||
Purchases
|
(41,147
|
)
|
(35,078
|
)
|
||
Proceeds from sales
|
7,220
|
|
13,561
|
|
||
Proceeds from paydowns and maturities
|
11,240
|
|
8,183
|
|
||
Other investing activities
|
(254
|
)
|
(848
|
)
|
||
Net cash provided by (used for) investing activities
|
(37,438
|
)
|
(25,721
|
)
|
||
Cash flows from financing activities
|
|
|
||||
Net proceeds from (payments for):
|
|
|
||||
Other secured financings
|
229
|
|
(587
|
)
|
||
Deposits
|
48,734
|
|
(7,084
|
)
|
||
Proceeds from issuance of Borrowings
|
42,169
|
|
23,697
|
|
||
Payments for:
|
|
|
||||
Borrowings
|
(38,151
|
)
|
(30,391
|
)
|
||
Repurchases of common stock and employee tax withholdings
|
(1,840
|
)
|
(4,447
|
)
|
||
Cash dividends
|
(2,008
|
)
|
(2,082
|
)
|
||
Other financing activities
|
(208
|
)
|
(286
|
)
|
||
Net cash provided by (used for) financing activities
|
48,925
|
|
(21,180
|
)
|
||
Effect of exchange rate changes on cash and cash equivalents
|
955
|
|
(1,548
|
)
|
||
Net increase (decrease) in cash and cash equivalents
|
12,601
|
|
(7,540
|
)
|
||
Cash and cash equivalents, at beginning of period
|
82,171
|
|
87,196
|
|
||
Cash and cash equivalents, at end of period
|
$
|
94,772
|
|
$
|
79,656
|
|
Supplemental Disclosure of Cash Flow Information
|
|
|
||||
Cash payments for:
|
|
|
||||
Interest
|
$
|
3,747
|
|
$
|
9,760
|
|
Income taxes, net of refunds
|
1,675
|
|
1,603
|
|
September 2020 Form 10-Q
|
50
|
See Notes to Consolidated Financial Statements
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
51
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
September 2020 Form 10-Q
|
52
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
•
|
Corporate loans, Secured lending facilities, Commercial real estate loans and securities, and Other loans: Internal risk ratings developed by the Credit Risk Management Department which are refreshed at least annually, and more frequently as necessary. These ratings generally correspond to external ratings published by S&P. The Firm also considers transaction structure, including type of collateral, collateral terms, and position of the obligation within the capital structure. In addition, for Commercial real estate, the Firm considers property type and location, net operating income, LTV ratios, among others, as well as commercial real estate price and credit spread indices and capitalization rates.
|
•
|
Residential real estate loans: Loan origination Fair Isaac Corporation (“FICO”) credit scores as determined by independent credit agencies in the United States and loan-to-value (“LTV”) ratios.
|
•
|
Employee loans: Employment status, which includes those currently employed by the Firm and for which the Firm can deduct any unpaid amounts due to it through certain compensation arrangements; and those no longer employed by the Firm where such compensation arrangements are no longer applicable.
|
|
ACL
|
Provision for
credit losses
|
Instruments measured at amortized cost (e.g., HFI loans, HTM securities and customer and other receivables)
|
Contra asset
|
Other revenue
|
Employee loans
|
Contra asset
|
Compensation and benefits expense
|
Off-balance sheet instruments (e.g., HFI lending commitments and certain guarantees)
|
Other liabilities and accrued expenses
|
Other expense
|
|
53
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
ACL
|
Provision for
credit losses
|
AFS securities
|
Contra Investment securities
|
Other revenue
|
September 2020 Form 10-Q
|
54
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Cash and due from banks
|
$
|
13,840
|
|
$
|
6,763
|
|
Interest bearing deposits with banks
|
80,932
|
|
75,408
|
|
||
Total Cash and cash equivalents
|
$
|
94,772
|
|
$
|
82,171
|
|
Restricted cash
|
$
|
37,186
|
|
$
|
32,512
|
|
|
At September 30, 2020
|
||||||||||||||
$ in millions
|
Level 1
|
Level 2
|
Level 3
|
Netting1
|
Total
|
||||||||||
Assets at fair value
|
|
|
|
|
|
||||||||||
Trading assets:
|
|
|
|
|
|
||||||||||
U.S. Treasury and agency securities
|
$
|
41,488
|
|
$
|
27,033
|
|
$
|
122
|
|
$
|
—
|
|
$
|
68,643
|
|
Other sovereign government obligations
|
31,171
|
|
5,909
|
|
10
|
|
—
|
|
37,090
|
|
|||||
State and municipal securities
|
—
|
|
1,479
|
|
—
|
|
—
|
|
1,479
|
|
|||||
MABS
|
—
|
|
999
|
|
443
|
|
—
|
|
1,442
|
|
|||||
Loans and lending commitments2
|
—
|
|
3,982
|
|
4,351
|
|
—
|
|
8,333
|
|
|||||
Corporate and other debt
|
—
|
|
27,158
|
|
2,727
|
|
—
|
|
29,885
|
|
|||||
Corporate equities3
|
102,975
|
|
655
|
|
135
|
|
—
|
|
103,765
|
|
|||||
Derivative and other contracts:
|
|
|
|
|
|||||||||||
Interest rate
|
2,784
|
|
239,900
|
|
1,114
|
|
—
|
|
243,798
|
|
|||||
Credit
|
—
|
|
9,138
|
|
768
|
|
—
|
|
9,906
|
|
|||||
Foreign exchange
|
16
|
|
67,016
|
|
152
|
|
—
|
|
67,184
|
|
|||||
Equity
|
1,244
|
|
65,115
|
|
1,127
|
|
—
|
|
67,486
|
|
|||||
Commodity and other
|
3,022
|
|
12,031
|
|
3,480
|
|
—
|
|
18,533
|
|
|||||
Netting1
|
(5,913
|
)
|
(304,977
|
)
|
(1,060
|
)
|
(59,715
|
)
|
(371,665
|
)
|
|||||
Total derivative and other contracts
|
1,153
|
|
88,223
|
|
5,581
|
|
(59,715
|
)
|
35,242
|
|
|||||
Investments4
|
664
|
|
144
|
|
821
|
|
—
|
|
1,629
|
|
|||||
Physical commodities
|
—
|
|
2,615
|
|
—
|
|
—
|
|
2,615
|
|
|||||
Total trading assets4
|
177,451
|
|
158,197
|
|
14,190
|
|
(59,715
|
)
|
290,123
|
|
|||||
Investment securities—AFS
|
46,946
|
|
37,590
|
|
—
|
|
—
|
|
84,536
|
|
|||||
Securities purchased under agreements to resell
|
—
|
|
15
|
|
—
|
|
—
|
|
15
|
|
|||||
Total assets at fair value
|
$
|
224,397
|
|
$
|
195,802
|
|
$
|
14,190
|
|
$
|
(59,715
|
)
|
$
|
374,674
|
|
|
At September 30, 2020
|
||||||||||||||
$ in millions
|
Level 1
|
Level 2
|
Level 3
|
Netting1
|
Total
|
||||||||||
Liabilities at fair value
|
|
|
|
|
|
||||||||||
Deposits
|
$
|
—
|
|
$
|
3,574
|
|
$
|
105
|
|
$
|
—
|
|
$
|
3,679
|
|
Trading liabilities:
|
|
|
|
|
|
||||||||||
U.S. Treasury and agency securities
|
11,311
|
|
462
|
|
1
|
|
—
|
|
11,774
|
|
|||||
Other sovereign government obligations
|
25,589
|
|
1,513
|
|
—
|
|
—
|
|
27,102
|
|
|||||
Corporate and other debt
|
—
|
|
8,623
|
|
2
|
|
—
|
|
8,625
|
|
|||||
Corporate equities3
|
59,950
|
|
344
|
|
57
|
|
—
|
|
60,351
|
|
|||||
Derivative and other contracts:
|
|
|
|
|
|||||||||||
Interest rate
|
2,942
|
|
226,788
|
|
478
|
|
—
|
|
230,208
|
|
|||||
Credit
|
—
|
|
9,602
|
|
652
|
|
—
|
|
10,254
|
|
|||||
Foreign exchange
|
17
|
|
65,390
|
|
53
|
|
—
|
|
65,460
|
|
|||||
Equity
|
1,219
|
|
75,900
|
|
3,272
|
|
—
|
|
80,391
|
|
|||||
Commodity and other
|
3,025
|
|
10,304
|
|
1,676
|
|
—
|
|
15,005
|
|
|||||
Netting1
|
(5,913
|
)
|
(304,977
|
)
|
(1,060
|
)
|
(52,204
|
)
|
(364,154
|
)
|
|||||
Total derivative and other contracts
|
1,290
|
|
83,007
|
|
5,071
|
|
(52,204
|
)
|
37,164
|
|
|||||
Total trading liabilities
|
98,140
|
|
93,949
|
|
5,131
|
|
(52,204
|
)
|
145,016
|
|
|||||
Securities sold under agreements to repurchase
|
—
|
|
718
|
|
448
|
|
—
|
|
1,166
|
|
|||||
Other secured financings
|
—
|
|
9,876
|
|
309
|
|
—
|
|
10,185
|
|
|||||
Borrowings
|
—
|
|
65,063
|
|
4,081
|
|
—
|
|
69,144
|
|
|||||
Total liabilities at fair value
|
$
|
98,140
|
|
$
|
173,180
|
|
$
|
10,074
|
|
$
|
(52,204
|
)
|
$
|
229,190
|
|
|
At December 31, 2019
|
||||||||||||||
$ in millions
|
Level 1
|
Level 2
|
Level 3
|
Netting1
|
Total
|
||||||||||
Assets at fair value
|
|
|
|
|
|
||||||||||
Trading assets:
|
|
|
|
|
|
||||||||||
U.S. Treasury and agency securities
|
$
|
36,866
|
|
$
|
28,992
|
|
$
|
22
|
|
$
|
—
|
|
$
|
65,880
|
|
Other sovereign government obligations
|
23,402
|
|
4,347
|
|
5
|
|
—
|
|
27,754
|
|
|||||
State and municipal securities
|
—
|
|
2,790
|
|
1
|
|
—
|
|
2,791
|
|
|||||
MABS
|
—
|
|
1,690
|
|
438
|
|
—
|
|
2,128
|
|
|||||
Loans and lending commitments2
|
—
|
|
6,253
|
|
5,073
|
|
—
|
|
11,326
|
|
|||||
Corporate and other debt
|
—
|
|
22,124
|
|
1,396
|
|
—
|
|
23,520
|
|
|||||
Corporate equities3
|
123,942
|
|
652
|
|
97
|
|
—
|
|
124,691
|
|
|||||
Derivative and other contracts:
|
|
|
|
||||||||||||
Interest rate
|
1,265
|
|
182,977
|
|
1,239
|
|
—
|
|
185,481
|
|
|||||
Credit
|
—
|
|
6,658
|
|
654
|
|
—
|
|
7,312
|
|
|||||
Foreign exchange
|
15
|
|
64,260
|
|
145
|
|
—
|
|
64,420
|
|
|||||
Equity
|
1,219
|
|
48,927
|
|
922
|
|
—
|
|
51,068
|
|
|||||
Commodity and other
|
1,079
|
|
7,255
|
|
2,924
|
|
—
|
|
11,258
|
|
|||||
Netting1
|
(2,794
|
)
|
(235,947
|
)
|
(993
|
)
|
(47,804
|
)
|
(287,538
|
)
|
|||||
Total derivative and other contracts
|
784
|
|
74,130
|
|
4,891
|
|
(47,804
|
)
|
32,001
|
|
|||||
Investments4
|
481
|
|
252
|
|
858
|
|
—
|
|
1,591
|
|
|||||
Physical commodities
|
—
|
|
1,907
|
|
—
|
|
—
|
|
1,907
|
|
|||||
Total trading assets4
|
185,475
|
|
143,137
|
|
12,781
|
|
(47,804
|
)
|
293,589
|
|
|||||
Investment securities—AFS
|
32,902
|
|
29,321
|
|
—
|
|
—
|
|
62,223
|
|
|||||
Securities purchased under agreements to resell
|
—
|
|
4
|
|
—
|
|
—
|
|
4
|
|
|||||
Total assets at fair value
|
$
|
218,377
|
|
$
|
172,462
|
|
$
|
12,781
|
|
$
|
(47,804
|
)
|
$
|
355,816
|
|
September 2020 Form 10-Q
|
55
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
At December 31, 2019
|
||||||||||||||
$ in millions
|
Level 1
|
Level 2
|
Level 3
|
Netting1
|
Total
|
||||||||||
Liabilities at fair value
|
|
|
|
|
|
||||||||||
Deposits
|
$
|
—
|
|
$
|
1,920
|
|
$
|
179
|
|
$
|
—
|
|
$
|
2,099
|
|
Trading liabilities:
|
|
|
|
|
|
||||||||||
U.S. Treasury and agency securities
|
11,191
|
|
34
|
|
—
|
|
—
|
|
11,225
|
|
|||||
Other sovereign government obligations
|
21,837
|
|
1,332
|
|
1
|
|
—
|
|
23,170
|
|
|||||
Corporate and other debt
|
—
|
|
7,410
|
|
—
|
|
—
|
|
7,410
|
|
|||||
Corporate equities3
|
63,002
|
|
79
|
|
36
|
|
—
|
|
63,117
|
|
|||||
Derivative and other contracts:
|
|
|
|
|
|||||||||||
Interest rate
|
1,144
|
|
171,025
|
|
462
|
|
—
|
|
172,631
|
|
|||||
Credit
|
—
|
|
7,391
|
|
530
|
|
—
|
|
7,921
|
|
|||||
Foreign exchange
|
6
|
|
67,473
|
|
176
|
|
—
|
|
67,655
|
|
|||||
Equity
|
1,200
|
|
49,062
|
|
2,606
|
|
—
|
|
52,868
|
|
|||||
Commodity and other
|
1,194
|
|
7,118
|
|
1,312
|
|
—
|
|
9,624
|
|
|||||
Netting1
|
(2,794
|
)
|
(235,947
|
)
|
(993
|
)
|
(42,531
|
)
|
(282,265
|
)
|
|||||
Total derivative and other contracts
|
750
|
|
66,122
|
|
4,093
|
|
(42,531
|
)
|
28,434
|
|
|||||
Total trading liabilities
|
96,780
|
|
74,977
|
|
4,130
|
|
(42,531
|
)
|
133,356
|
|
|||||
Securities sold under agreements to repurchase
|
—
|
|
733
|
|
—
|
|
—
|
|
733
|
|
|||||
Other secured financings
|
—
|
|
7,700
|
|
109
|
|
—
|
|
7,809
|
|
|||||
Borrowings
|
—
|
|
60,373
|
|
4,088
|
|
—
|
|
64,461
|
|
|||||
Total liabilities at fair value
|
$
|
96,780
|
|
$
|
145,703
|
|
$
|
8,506
|
|
$
|
(42,531
|
)
|
$
|
208,458
|
|
1.
|
For positions with the same counterparty that cross over the levels of the fair value hierarchy, both counterparty netting and cash collateral netting are included in the column titled “Netting.” Positions classified within the same level that are with the same counterparty are netted within that level. For further information on derivative instruments and hedging activities, see Note 7.
|
2.
|
For a further breakdown by type, see the following Detail of Loans and Lending Commitments at Fair Value table.
|
3.
|
For trading purposes, the Firm holds or sells short equity securities issued by entities in diverse industries and of varying sizes.
|
4.
|
Amounts exclude certain investments that are measured based on NAV per share, which are not classified in the fair value hierarchy. For additional disclosure about such investments, see “Net Asset Value Measurements” herein.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Corporate
|
$
|
14
|
|
$
|
20
|
|
Secured lending facilities
|
445
|
|
951
|
|
||
Commercial Real Estate
|
769
|
|
2,098
|
|
||
Residential Real Estate
|
824
|
|
1,192
|
|
||
Securities-based lending and Other loans
|
6,281
|
|
7,065
|
|
||
Total
|
$
|
8,333
|
|
$
|
11,326
|
|
1.
|
Loans previously classified as corporate have been further disaggregated; prior period balances have been revised to conform with current period presentation.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Customer and other receivables, net
|
$
|
589
|
|
$
|
365
|
|
1.
|
These contracts are primarily Level 1, actively traded, valued based on quoted prices from the exchange and are excluded from the previous recurring fair value tables.
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
U.S. Treasury and agency securities
|
||||||||||||
Beginning balance
|
$
|
97
|
|
$
|
5
|
|
$
|
22
|
|
$
|
54
|
|
Realized and unrealized gains (losses)
|
(1
|
)
|
—
|
|
—
|
|
—
|
|
||||
Purchases
|
109
|
|
11
|
|
133
|
|
18
|
|
||||
Sales
|
(36
|
)
|
—
|
|
(42
|
)
|
(54
|
)
|
||||
Net transfers
|
(47
|
)
|
2
|
|
9
|
|
—
|
|
||||
Ending balance
|
$
|
122
|
|
$
|
18
|
|
$
|
122
|
|
$
|
18
|
|
Unrealized gains (losses)
|
$
|
(1
|
)
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
Other sovereign government obligations
|
||||||||||||
Beginning balance
|
$
|
11
|
|
$
|
10
|
|
$
|
5
|
|
$
|
17
|
|
Realized and unrealized gains (losses)
|
(1
|
)
|
(3
|
)
|
—
|
|
(2
|
)
|
||||
Purchases
|
1
|
|
2
|
|
8
|
|
13
|
|
||||
Sales
|
(1
|
)
|
(2
|
)
|
(3
|
)
|
(6
|
)
|
||||
Net transfers
|
—
|
|
5
|
|
—
|
|
(10
|
)
|
||||
Ending balance
|
$
|
10
|
|
$
|
12
|
|
$
|
10
|
|
$
|
12
|
|
Unrealized gains (losses)
|
$
|
—
|
|
$
|
(3
|
)
|
$
|
—
|
|
$
|
(2
|
)
|
State and municipal securities
|
||||||||||||
Beginning balance
|
$
|
—
|
|
$
|
16
|
|
$
|
1
|
|
$
|
148
|
|
Sales
|
—
|
|
(2
|
)
|
—
|
|
(43
|
)
|
||||
Net transfers
|
—
|
|
(13
|
)
|
(1
|
)
|
(104
|
)
|
||||
Ending balance
|
$
|
—
|
|
$
|
1
|
|
$
|
—
|
|
$
|
1
|
|
Unrealized gains (losses)
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
MABS
|
||||||||||||
Beginning balance
|
$
|
379
|
|
$
|
480
|
|
$
|
438
|
|
$
|
354
|
|
Realized and unrealized gains (losses)
|
13
|
|
(10
|
)
|
(60
|
)
|
(9
|
)
|
||||
Purchases
|
13
|
|
5
|
|
172
|
|
66
|
|
||||
Sales
|
(54
|
)
|
(58
|
)
|
(162
|
)
|
(157
|
)
|
||||
Settlements
|
—
|
|
—
|
|
—
|
|
(39
|
)
|
||||
Net transfers
|
92
|
|
(16
|
)
|
55
|
|
186
|
|
||||
Ending balance
|
$
|
443
|
|
$
|
401
|
|
$
|
443
|
|
$
|
401
|
|
Unrealized gains (losses)
|
$
|
8
|
|
$
|
(8
|
)
|
$
|
(35
|
)
|
$
|
(38
|
)
|
Loans and lending commitments
|
||||||||||||
Beginning balance
|
$
|
4,068
|
|
$
|
5,604
|
|
$
|
5,073
|
|
$
|
6,870
|
|
Realized and unrealized gains (losses)
|
20
|
|
(51
|
)
|
(161
|
)
|
3
|
|
||||
Purchases and originations
|
846
|
|
852
|
|
1,926
|
|
1,934
|
|
||||
Sales
|
(725
|
)
|
(464
|
)
|
(1,139
|
)
|
(1,541
|
)
|
||||
Settlements
|
(285
|
)
|
(811
|
)
|
(1,907
|
)
|
(2,130
|
)
|
||||
Net transfers1
|
427
|
|
(261
|
)
|
559
|
|
(267
|
)
|
||||
Ending balance
|
$
|
4,351
|
|
$
|
4,869
|
|
$
|
4,351
|
|
$
|
4,869
|
|
Unrealized gains (losses)
|
$
|
27
|
|
$
|
(55
|
)
|
$
|
(137
|
)
|
$
|
283
|
|
September 2020 Form 10-Q
|
56
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Corporate and other debt
|
||||||||||||
Beginning balance
|
$
|
2,686
|
|
$
|
1,364
|
|
$
|
1,396
|
|
$
|
1,076
|
|
Realized and unrealized gains (losses)
|
(107
|
)
|
157
|
|
(184
|
)
|
269
|
|
||||
Purchases
|
451
|
|
341
|
|
2,217
|
|
632
|
|
||||
Sales
|
(325
|
)
|
(474
|
)
|
(425
|
)
|
(587
|
)
|
||||
Settlements
|
—
|
|
—
|
|
(311
|
)
|
(7
|
)
|
||||
Net transfers
|
22
|
|
2
|
|
34
|
|
7
|
|
||||
Ending balance
|
$
|
2,727
|
|
$
|
1,390
|
|
$
|
2,727
|
|
$
|
1,390
|
|
Unrealized gains (losses)
|
$
|
(96
|
)
|
$
|
114
|
|
$
|
(186
|
)
|
$
|
217
|
|
Corporate equities
|
||||||||||||
Beginning balance
|
$
|
83
|
|
$
|
98
|
|
$
|
97
|
|
$
|
95
|
|
Realized and unrealized gains (losses)
|
32
|
|
1
|
|
—
|
|
(41
|
)
|
||||
Purchases
|
32
|
|
5
|
|
42
|
|
44
|
|
||||
Sales
|
(27
|
)
|
(16
|
)
|
(27
|
)
|
(268
|
)
|
||||
Net transfers
|
15
|
|
15
|
|
23
|
|
273
|
|
||||
Ending balance
|
$
|
135
|
|
$
|
103
|
|
$
|
135
|
|
$
|
103
|
|
Unrealized gains (losses)
|
$
|
39
|
|
$
|
7
|
|
$
|
14
|
|
$
|
(38
|
)
|
Investments
|
||||||||||||
Beginning balance
|
$
|
759
|
|
$
|
785
|
|
$
|
858
|
|
$
|
757
|
|
Realized and unrealized gains (losses)
|
55
|
|
(15
|
)
|
(6
|
)
|
19
|
|
||||
Purchases
|
7
|
|
7
|
|
37
|
|
28
|
|
||||
Sales
|
(16
|
)
|
(7
|
)
|
(37
|
)
|
(43
|
)
|
||||
Net transfers
|
16
|
|
15
|
|
(31
|
)
|
24
|
|
||||
Ending balance
|
$
|
821
|
|
$
|
785
|
|
$
|
821
|
|
$
|
785
|
|
Unrealized gains (losses)
|
$
|
44
|
|
$
|
(12
|
)
|
$
|
(19
|
)
|
$
|
22
|
|
Net derivatives: Interest rate
|
||||||||||||
Beginning balance
|
$
|
760
|
|
$
|
816
|
|
$
|
777
|
|
$
|
618
|
|
Realized and unrealized gains (losses)
|
(147
|
)
|
(40
|
)
|
(95
|
)
|
143
|
|
||||
Purchases
|
36
|
|
69
|
|
153
|
|
132
|
|
||||
Issuances
|
(15
|
)
|
(11
|
)
|
(41
|
)
|
(22
|
)
|
||||
Settlements
|
(31
|
)
|
2
|
|
36
|
|
16
|
|
||||
Net transfers
|
33
|
|
(48
|
)
|
(194
|
)
|
(99
|
)
|
||||
Ending balance
|
$
|
636
|
|
$
|
788
|
|
$
|
636
|
|
$
|
788
|
|
Unrealized gains (losses)
|
$
|
(139
|
)
|
$
|
120
|
|
$
|
(37
|
)
|
$
|
214
|
|
Net derivatives: Credit
|
||||||||||||
Beginning balance
|
$
|
131
|
|
$
|
(138
|
)
|
$
|
124
|
|
$
|
40
|
|
Realized and unrealized gains (losses)
|
(16
|
)
|
(183
|
)
|
11
|
|
36
|
|
||||
Purchases
|
17
|
|
44
|
|
66
|
|
103
|
|
||||
Issuances
|
(51
|
)
|
(19
|
)
|
(101
|
)
|
(162
|
)
|
||||
Settlements
|
10
|
|
389
|
|
61
|
|
90
|
|
||||
Net transfers
|
25
|
|
12
|
|
(45
|
)
|
(2
|
)
|
||||
Ending balance
|
$
|
116
|
|
$
|
105
|
|
$
|
116
|
|
$
|
105
|
|
Unrealized gains (losses)
|
$
|
(16
|
)
|
$
|
20
|
|
$
|
2
|
|
$
|
41
|
|
|
|
|
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Net derivatives: Foreign exchange
|
||||||||||||
Beginning balance
|
$
|
17
|
|
$
|
(29
|
)
|
$
|
(31
|
)
|
$
|
75
|
|
Realized and unrealized gains (losses)
|
86
|
|
67
|
|
202
|
|
(83
|
)
|
||||
Purchases
|
—
|
|
—
|
|
3
|
|
—
|
|
||||
Issuances
|
(4
|
)
|
—
|
|
(5
|
)
|
—
|
|
||||
Settlements
|
(9
|
)
|
5
|
|
(27
|
)
|
—
|
|
||||
Net transfers
|
9
|
|
9
|
|
(43
|
)
|
60
|
|
||||
Ending balance
|
$
|
99
|
|
$
|
52
|
|
$
|
99
|
|
$
|
52
|
|
Unrealized gains (losses)
|
$
|
75
|
|
$
|
79
|
|
$
|
136
|
|
$
|
26
|
|
Net derivatives: Equity
|
||||||||||||
Beginning balance
|
$
|
(1,884
|
)
|
$
|
(1,715
|
)
|
$
|
(1,684
|
)
|
$
|
(1,485
|
)
|
Realized and unrealized gains (losses)
|
3
|
|
(61
|
)
|
75
|
|
59
|
|
||||
Purchases
|
19
|
|
36
|
|
192
|
|
75
|
|
||||
Issuances
|
(181
|
)
|
(207
|
)
|
(706
|
)
|
(227
|
)
|
||||
Settlements
|
(151
|
)
|
(56
|
)
|
(167
|
)
|
(173
|
)
|
||||
Net transfers
|
49
|
|
622
|
|
145
|
|
370
|
|
||||
Ending balance
|
$
|
(2,145
|
)
|
$
|
(1,381
|
)
|
$
|
(2,145
|
)
|
$
|
(1,381
|
)
|
Unrealized gains (losses)
|
$
|
32
|
|
$
|
(86
|
)
|
$
|
(143
|
)
|
$
|
81
|
|
Net derivatives: Commodity and other
|
||||||||||||
Beginning balance
|
$
|
2,087
|
|
$
|
1,861
|
|
$
|
1,612
|
|
$
|
2,052
|
|
Realized and unrealized gains (losses)
|
(29
|
)
|
120
|
|
373
|
|
35
|
|
||||
Purchases
|
1
|
|
126
|
|
26
|
|
145
|
|
||||
Issuances
|
(40
|
)
|
(36
|
)
|
(65
|
)
|
(71
|
)
|
||||
Settlements
|
(181
|
)
|
(107
|
)
|
(101
|
)
|
(307
|
)
|
||||
Net transfers
|
(34
|
)
|
10
|
|
(41
|
)
|
120
|
|
||||
Ending balance
|
$
|
1,804
|
|
$
|
1,974
|
|
$
|
1,804
|
|
$
|
1,974
|
|
Unrealized gains (losses)
|
$
|
(251
|
)
|
$
|
33
|
|
$
|
(6
|
)
|
$
|
(89
|
)
|
Deposits
|
||||||||||||
Beginning balance
|
$
|
90
|
|
$
|
138
|
|
$
|
179
|
|
$
|
27
|
|
Realized and unrealized losses (gains)
|
4
|
|
5
|
|
8
|
|
16
|
|
||||
Issuances
|
—
|
|
23
|
|
—
|
|
70
|
|
||||
Settlements
|
(2
|
)
|
(8
|
)
|
(13
|
)
|
(12
|
)
|
||||
Net transfers
|
13
|
|
(13
|
)
|
(69
|
)
|
44
|
|
||||
Ending balance
|
$
|
105
|
|
$
|
145
|
|
$
|
105
|
|
$
|
145
|
|
Unrealized losses (gains)
|
$
|
4
|
|
$
|
5
|
|
$
|
8
|
|
$
|
16
|
|
Nonderivative trading liabilities
|
||||||||||||
Beginning balance
|
$
|
74
|
|
$
|
36
|
|
$
|
37
|
|
$
|
16
|
|
Realized and unrealized losses (gains)
|
(6
|
)
|
(7
|
)
|
(21
|
)
|
(37
|
)
|
||||
Purchases
|
(7
|
)
|
(13
|
)
|
(23
|
)
|
(31
|
)
|
||||
Sales
|
5
|
|
6
|
|
23
|
|
36
|
|
||||
Settlements
|
—
|
|
—
|
|
3
|
|
—
|
|
||||
Net transfers
|
(6
|
)
|
18
|
|
41
|
|
56
|
|
||||
Ending balance
|
$
|
60
|
|
$
|
40
|
|
$
|
60
|
|
$
|
40
|
|
Unrealized losses (gains)
|
$
|
(4
|
)
|
$
|
(7
|
)
|
$
|
(21
|
)
|
$
|
(37
|
)
|
|
57
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Securities sold under agreements to repurchase
|
||||||||||||
Beginning balance
|
$
|
440
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
Realized and unrealized losses (gains)
|
8
|
|
—
|
|
(22
|
)
|
—
|
|
||||
Issuances
|
—
|
|
—
|
|
470
|
|
—
|
|
||||
Ending balance
|
$
|
448
|
|
$
|
—
|
|
$
|
448
|
|
$
|
—
|
|
Unrealized losses (gains)
|
$
|
8
|
|
$
|
—
|
|
$
|
(22
|
)
|
$
|
—
|
|
Other secured financings
|
|
|
||||||||||
Beginning balance
|
$
|
300
|
|
$
|
154
|
|
$
|
109
|
|
$
|
208
|
|
Realized and unrealized losses (gains)
|
11
|
|
(1
|
)
|
(1
|
)
|
5
|
|
||||
Issuances
|
3
|
|
—
|
|
10
|
|
—
|
|
||||
Settlements
|
(5
|
)
|
—
|
|
(208
|
)
|
(8
|
)
|
||||
Net transfers
|
—
|
|
(43
|
)
|
399
|
|
(95
|
)
|
||||
Ending balance
|
$
|
309
|
|
$
|
110
|
|
$
|
309
|
|
$
|
110
|
|
Unrealized losses (gains)
|
$
|
11
|
|
$
|
(1
|
)
|
$
|
(1
|
)
|
$
|
5
|
|
Borrowings
|
||||||||||||
Beginning balance
|
$
|
4,135
|
|
$
|
3,939
|
|
$
|
4,088
|
|
$
|
3,806
|
|
Realized and unrealized losses (gains)
|
(32
|
)
|
88
|
|
(284
|
)
|
498
|
|
||||
Issuances
|
194
|
|
201
|
|
992
|
|
610
|
|
||||
Settlements
|
(70
|
)
|
(260
|
)
|
(346
|
)
|
(438
|
)
|
||||
Net transfers
|
(146
|
)
|
(430
|
)
|
(369
|
)
|
(938
|
)
|
||||
Ending balance
|
$
|
4,081
|
|
$
|
3,538
|
|
$
|
4,081
|
|
$
|
3,538
|
|
Unrealized losses (gains)
|
$
|
(33
|
)
|
$
|
91
|
|
$
|
(282
|
)
|
$
|
459
|
|
Portion of Unrealized losses (gains) recorded in OCI—Change in net DVA
|
22
|
|
(23
|
)
|
(124
|
)
|
68
|
|
1.
|
Net transfers in the current year period reflect the largely offsetting impacts of transfers in of $857 million of equity margin loans and transfers out of $707 million of equity margin loans. The loans were transferred into Level 3 in the first quarter as the significance of the margin loan rate input increased as a result of reduced liquidity, and transferred out of Level 3 in the second quarter as liquidity conditions improved reducing the significance of the input.
|
|
Balance / Range (Average)1
|
|||||
$ in millions, except inputs
|
At September 30, 2020
|
At December 31, 2019
|
||||
Assets Measured at Fair Value on a Recurring Basis
|
||||||
U.S. Treasury and agency securities
|
$
|
122
|
|
$
|
22
|
|
Comparable pricing:
|
|
|
||||
Bond price
|
102 to 108 points (104 points)
|
|
N/M
|
|
||
MABS
|
$
|
443
|
|
$
|
438
|
|
Comparable pricing:
|
|
|||||
Bond price
|
0 to 80 points (47 points)
|
|
0 to 96 points (47 points)
|
|
||
Loans and lending commitments
|
$
|
4,351
|
|
$
|
5,073
|
|
Margin loan model:
|
|
|
||||
Discount rate
|
N/A
|
|
1% to 9% (2%)
|
|
||
Volatility skew
|
N/A
|
|
15% to 80% (28%)
|
|
||
Credit Spread
|
N/A
|
|
9 to 39 bps (19 bps)
|
|
||
Margin loan rate
|
1% to 5% (3%)
|
|
N/A
|
|
||
Comparable pricing:
|
|
|||||
Loan price
|
70 to 103 points (96 points)
|
|
69 to 100 points (93 points)
|
|
||
Corporate and other debt
|
$
|
2,727
|
|
$
|
1,396
|
|
Comparable pricing:
|
|
|||||
Bond price
|
10 to 103 points (94 points)
|
|
11 to 108 points (84 points)
|
|
||
Discounted cash flow:
|
|
|||||
Recovery rate
|
51% to 62% (53% / 51%)
|
|
35
|
%
|
||
Option model:
|
|
|
||||
At the money volatility
|
21
|
%
|
21
|
%
|
||
Corporate equities
|
$
|
135
|
|
$
|
97
|
|
Comparable pricing:
|
|
|||||
Equity price
|
100
|
%
|
100
|
%
|
||
Investments
|
$
|
821
|
|
$
|
858
|
|
Discounted cash flow:
|
|
|||||
WACC
|
10% to 21% (15%)
|
|
8% to 17% (15%)
|
|
||
Exit multiple
|
7 to 17 times (11 times)
|
|
7 to 16 times (11 times)
|
|
||
Market approach:
|
|
|
||||
EBITDA multiple
|
8 to 29 times (11 times)
|
|
7 to 24 times (11 times)
|
|
||
Comparable pricing:
|
|
|||||
Equity price
|
50% to 100% (98%)
|
|
75% to 100% (99%)
|
|
||
Net derivative and other contracts:
|
|
|||||
Interest rate
|
$
|
636
|
|
$
|
777
|
|
Option model:
|
|
|
||||
IR volatility skew
|
0% to 162% (62% / 75%)
|
|
24% to 156% (63% / 59%)
|
|
||
IR curve correlation
|
59% to 97% (87% / 92%)
|
|
47% to 90% (72% / 72%)
|
|
||
Bond volatility
|
4% to 32% (13% / 8%)
|
|
4% to 15% (13% / 14%)
|
|
||
Inflation volatility
|
25% to 64% (44% / 42%)
|
|
24% to 63% (44% / 41%)
|
|
||
IR curve
|
1
|
%
|
1
|
%
|
||
|
|
|||||
|
|
|
||||
|
|
|
||||
|
|
|
||||
|
|
|
September 2020 Form 10-Q
|
58
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
Balance / Range (Average)1
|
|||||
$ in millions, except inputs
|
At September 30, 2020
|
At December 31, 2019
|
||||
Credit
|
$
|
116
|
|
$
|
124
|
|
Credit default swap model:
|
|
|||||
Cash-synthetic basis
|
6 points
|
|
6 points
|
|
||
Bond price
|
0 to 95 points (52 points)
|
|
0 to 104 points (45 points)
|
|
||
Credit spread
|
20 to 435 bps (79 bps)
|
|
9 to 469 bps (81 bps)
|
|
||
Funding spread
|
71 to 138 bps (116 bps)
|
|
47 to 117 bps (84 bps)
|
|
||
Correlation model:
|
|
|
||||
Credit correlation
|
29% to 56% (35%)
|
|
29% to 62% (36%)
|
|
||
Foreign exchange2
|
$
|
99
|
|
$
|
(31
|
)
|
Option model:
|
|
|
||||
IR - FX correlation
|
13% to 59% (37% / 37%)
|
|
32% to 56% (46% / 46%)
|
|
||
IR volatility skew
|
0% to 162% (62% / 75%)
|
|
24% to 156% (63% / 59%)
|
|
||
IR curve
|
8% to 9% (8% / 8%)
|
|
10% to 11% (10% / 10%)
|
|
||
Foreign exchange volatility skew
|
-7% to -5% (-6% / -6%)
|
|
N/A
|
|
||
Contingency probability
|
95% (95%)
|
|
85% to 95% (94% / 95%)
|
|
||
Equity2
|
$
|
(2,145
|
)
|
$
|
(1,684
|
)
|
Option model:
|
|
|
||||
At the money volatility
|
16% to 92% (42%)
|
|
9% to 90% (36%)
|
|
||
Volatility skew
|
-2% to 0% (-1%)
|
|
-2% to 0% (-1%)
|
|
||
Equity correlation
|
5% to 96% (70%)
|
|
5% to 98% (70%)
|
|
||
FX correlation
|
-60% to 60% (-17%)
|
|
-79% to 60% (-37%)
|
|
||
IR correlation
|
-7% to 44% (20% / 18%)
|
|
-11% to 44% (18% / 16%)
|
|
||
Commodity and other
|
$
|
1,804
|
|
$
|
1,612
|
|
Option model:
|
|
|
||||
Forward power price
|
$-1 to $116 ($28) per MWh
|
|
$3 to $182 ($28) per MWh
|
|
||
Commodity volatility
|
8% to 95% (19%)
|
|
7% to 183% (18%)
|
|
||
Cross-commodity correlation
|
43% to 99% (92%)
|
|
43% to 99% (93%)
|
|
||
Liabilities Measured at Fair Value on a Recurring Basis
|
||||||
Deposits
|
$
|
105
|
|
$
|
179
|
|
Option Model:
|
|
|
||||
Equity at the money volatility
|
7% to 23% (7%)
|
|
16% to 37% (20%)
|
|
||
Corporate equities
|
$
|
57
|
|
$
|
36
|
|
Comparable pricing:
|
|
|
||||
Equity price
|
100% (100%)
|
|
N/M
|
|
||
Securities sold under agreements to repurchase
|
$
|
448
|
|
$
|
—
|
|
Discounted cash flow:
|
|
|||||
Funding spread
|
105 to 130 bps (114 bps)
|
|
N/A
|
|
||
Other secured financings
|
$
|
309
|
|
$
|
109
|
|
Discounted cash flow:
|
|
|||||
Funding spread
|
110 bps (110 bps)
|
|
111 to 124 bps (117 bps)
|
|
||
Comparable pricing:
|
|
|||||
Loan price
|
25 to 101 points (68 points)
|
|
N/A
|
|
||
|
|
|
||||
|
|
|
||||
|
|
|
|
Balance / Range (Average)1
|
|||||
$ in millions, except inputs
|
At September 30, 2020
|
At December 31, 2019
|
||||
Borrowings
|
$
|
4,081
|
|
$
|
4,088
|
|
Option model:
|
|
|
||||
At the money volatility
|
6% to 70% (23%)
|
|
5% to 44% (21%)
|
|
||
Volatility skew
|
-2% to 0% (0%)
|
|
-2% to 0% (0%)
|
|
||
Equity correlation
|
37% to 98% (81%)
|
|
38% to 94% (78%)
|
|
||
Equity - FX correlation
|
-72% to 13% (-28%)
|
|
-75% to 26% (-25%)
|
|
||
IR - FX Correlation
|
-28% to 6% (-6% / -6%)
|
|
-26% to 10% (-7% / -7%)
|
|
||
Nonrecurring Fair Value Measurement
|
||||||
Loans
|
$
|
2,088
|
|
$
|
1,500
|
|
Corporate loan model:
|
|
|||||
Credit spread
|
52 bps to 668 bps (380 bps)
|
|
69 to 446 bps (225 bps)
|
|
||
Warehouse model:
|
|
|
||||
Credit spread
|
191 bps to 580 bps (379 bps)
|
|
287 to 318 bps (297 bps)
|
|
1.
|
A single amount is disclosed for range and average when there is no significant difference between the minimum, maximum and average. Amounts represent weighted averages except where simple averages and the median of the inputs are more relevant.
|
2.
|
Includes derivative contracts with multiple risks (i.e., hybrid products).
|
|
59
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
At September 30, 2020
|
At December 31, 2019
|
||||||||||
$ in millions
|
Carrying
Value
|
Commitment
|
Carrying
Value
|
Commitment
|
||||||||
Private equity
|
$
|
2,400
|
|
$
|
614
|
|
$
|
2,078
|
|
$
|
450
|
|
Real estate
|
1,383
|
|
140
|
|
1,349
|
|
150
|
|
||||
Hedge1
|
62
|
|
—
|
|
94
|
|
4
|
|
||||
Total
|
$
|
3,845
|
|
$
|
754
|
|
$
|
3,521
|
|
$
|
604
|
|
1.
|
Investments in hedge funds may be subject to initial period lock-up or gate provisions, which restrict an investor from withdrawing from the fund during a certain initial period or restrict the redemption amount on any redemption date, respectively.
|
|
Carrying Value at September 30, 2020
|
|||||
$ in millions
|
Private Equity
|
Real Estate
|
||||
Less than 5 years
|
$
|
1,551
|
|
$
|
415
|
|
5-10 years
|
765
|
|
374
|
|
||
Over 10 years
|
84
|
|
594
|
|
||
Total
|
$
|
2,400
|
|
$
|
1,383
|
|
|
At September 30, 2020
|
||||||||
|
Fair Value
|
||||||||
$ in millions
|
Level 2
|
Level 31
|
Total
|
||||||
Assets
|
|
|
|
||||||
Loans
|
$
|
4,827
|
|
$
|
2,088
|
|
$
|
6,915
|
|
Other assets—Other investments
|
—
|
|
18
|
|
18
|
|
|||
Total
|
$
|
4,827
|
|
$
|
2,106
|
|
$
|
6,933
|
|
Liabilities
|
|
|
|
||||||
Other liabilities and accrued expenses—Lending commitments
|
$
|
221
|
|
$
|
69
|
|
$
|
290
|
|
Total
|
$
|
221
|
|
$
|
69
|
|
$
|
290
|
|
|
At December 31, 2019
|
||||||||
|
Fair Value
|
||||||||
$ in millions
|
Level 2
|
Level 31
|
Total
|
||||||
Assets
|
|
|
|
||||||
Loans
|
$
|
1,543
|
|
$
|
1,500
|
|
$
|
3,043
|
|
Other assets—Other investments
|
—
|
|
113
|
|
113
|
|
|||
Total
|
$
|
1,543
|
|
$
|
1,613
|
|
$
|
3,156
|
|
Liabilities
|
|
|
|
||||||
Other liabilities and accrued expenses—Lending commitments
|
$
|
132
|
|
$
|
69
|
|
$
|
201
|
|
Total
|
$
|
132
|
|
$
|
69
|
|
$
|
201
|
|
1.
|
For significant Level 3 balances, refer to “Significant Unobservable Inputs Used in Recurring and Nonrecurring Level 3 Fair Value Measurements” section herein for details of the significant unobservable inputs used for nonrecurring fair value measurement.
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Assets
|
|
|
|
|
||||||||
Loans2
|
$
|
(43
|
)
|
$
|
(27
|
)
|
$
|
(467
|
)
|
$
|
(12
|
)
|
Intangibles
|
(1
|
)
|
—
|
|
(1
|
)
|
—
|
|
||||
Other assets—Other investments3
|
(2
|
)
|
(3
|
)
|
(54
|
)
|
(8
|
)
|
||||
Other assets—Premises, equipment and software4
|
(29
|
)
|
(4
|
)
|
(35
|
)
|
(8
|
)
|
||||
Total
|
$
|
(75
|
)
|
$
|
(34
|
)
|
$
|
(557
|
)
|
$
|
(28
|
)
|
Liabilities
|
|
|
|
|
||||||||
Other liabilities and accrued expenses—Lending commitments2
|
$
|
25
|
|
$
|
(19
|
)
|
$
|
(54
|
)
|
$
|
82
|
|
Total
|
$
|
25
|
|
$
|
(19
|
)
|
$
|
(54
|
)
|
$
|
82
|
|
1.
|
Gains and losses for Loans and Other assets—Other investments are classified in Other revenues. For other items, gains and losses are recorded in Other revenues if the item is held for sale; otherwise, they are recorded in Other expenses.
|
2.
|
Nonrecurring changes in the fair value of loans and lending commitments were calculated as follows: for the held-for-investment category, based on the value of the underlying collateral; and for the held-for-sale category, based on recently executed transactions, market price quotations, valuation models that incorporate market observable inputs where possible, such as comparable loan or debt prices and CDS spread levels adjusted for any basis difference between cash and derivative instruments, or default recovery analysis where such transactions and quotations are unobservable.
|
3.
|
Losses related to Other assets—Other investments were determined using techniques that included discounted cash flow models, methodologies that incorporate multiples of certain comparable companies and recently executed transactions.
|
4.
|
Losses related to Other assets—Premises, equipment and software generally include impairments as well as write-offs related to the disposal of certain assets.
|
September 2020 Form 10-Q
|
60
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
At September 30, 2020
|
||||||||||||||
|
Carrying
Value
|
Fair Value
|
|||||||||||||
$ in millions
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||
Financial assets
|
|
|
|
|
|||||||||||
Cash and cash equivalents
|
$
|
94,772
|
|
$
|
94,772
|
|
$
|
—
|
|
$
|
—
|
|
$
|
94,772
|
|
Investment securities—HTM
|
46,169
|
|
30,893
|
|
17,200
|
|
861
|
|
48,954
|
|
|||||
Securities purchased under agreements to resell
|
88,268
|
|
—
|
|
86,756
|
|
1,538
|
|
88,294
|
|
|||||
Securities borrowed
|
100,803
|
|
—
|
|
100,804
|
|
—
|
|
100,804
|
|
|||||
Customer and other receivables1
|
68,541
|
|
—
|
|
65,624
|
|
2,903
|
|
68,527
|
|
|||||
Loans2
|
146,237
|
|
—
|
|
25,942
|
|
121,217
|
|
147,159
|
|
|||||
Other assets
|
466
|
|
—
|
|
466
|
|
—
|
|
466
|
|
|||||
Financial liabilities
|
|
|
|
||||||||||||
Deposits
|
$
|
235,574
|
|
$
|
—
|
|
$
|
235,924
|
|
$
|
—
|
|
$
|
235,924
|
|
Securities sold under agreements to repurchase
|
40,210
|
|
—
|
|
39,876
|
|
375
|
|
40,251
|
|
|||||
Securities loaned
|
7,924
|
|
—
|
|
7,921
|
|
—
|
|
7,921
|
|
|||||
Other secured financings
|
3,672
|
|
—
|
|
3,672
|
|
—
|
|
3,672
|
|
|||||
Customer and other payables1
|
189,754
|
|
—
|
|
189,754
|
|
—
|
|
189,754
|
|
|||||
Borrowings
|
134,300
|
|
—
|
|
138,925
|
|
5
|
|
138,930
|
|
|||||
|
Commitment
Amount |
|
|
|
|
||||||||||
Lending commitments3
|
$
|
118,966
|
|
$
|
—
|
|
$
|
965
|
|
$
|
406
|
|
$
|
1,371
|
|
|
At December 31, 2019
|
||||||||||||||
|
Carrying
Value
|
Fair Value
|
|||||||||||||
$ in millions
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||
Financial assets
|
|
|
|
|
|||||||||||
Cash and cash equivalents
|
$
|
82,171
|
|
$
|
82,171
|
|
$
|
—
|
|
$
|
—
|
|
$
|
82,171
|
|
Investment securities—HTM
|
43,502
|
|
30,661
|
|
12,683
|
|
789
|
|
44,133
|
|
|||||
Securities purchased under agreements to resell
|
88,220
|
|
—
|
|
86,794
|
|
1,442
|
|
88,236
|
|
|||||
Securities borrowed
|
106,549
|
|
—
|
|
106,551
|
|
—
|
|
106,551
|
|
|||||
Customer and other receivables1
|
51,134
|
|
—
|
|
48,215
|
|
2,872
|
|
51,087
|
|
|||||
Loans2
|
130,637
|
|
—
|
|
22,293
|
|
108,059
|
|
130,352
|
|
|||||
Other assets
|
495
|
|
—
|
|
495
|
|
—
|
|
495
|
|
|||||
Financial liabilities
|
|
|
|
||||||||||||
Deposits
|
$
|
188,257
|
|
$
|
—
|
|
$
|
188,639
|
|
$
|
—
|
|
$
|
188,639
|
|
Securities sold under agreements to repurchase
|
53,467
|
|
—
|
|
53,486
|
|
—
|
|
53,486
|
|
|||||
Securities loaned
|
8,506
|
|
—
|
|
8,506
|
|
—
|
|
8,506
|
|
|||||
Other secured financings
|
6,889
|
|
—
|
|
6,800
|
|
92
|
|
6,892
|
|
|||||
Customer and other payables1
|
195,035
|
|
—
|
|
195,035
|
|
—
|
|
195,035
|
|
|||||
Borrowings
|
128,166
|
|
—
|
|
133,563
|
|
10
|
|
133,573
|
|
|||||
|
Commitment
Amount |
|
|
|
|
||||||||||
Lending commitments3
|
$
|
119,004
|
|
$
|
—
|
|
$
|
748
|
|
$
|
338
|
|
$
|
1,086
|
|
1.
|
Accrued interest and dividend receivables and payables have been excluded. Carrying value approximates fair value for these receivables and payables.
|
2.
|
Amounts include loans measured at fair value on a nonrecurring basis.
|
3.
|
Represents Lending commitments accounted for as Held for Investment and Held for Sale. For a further discussion on lending commitments, see Note 14.
|
|
61
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Business Unit Responsible for Risk Management
|
||||||
Equity
|
$
|
31,673
|
|
$
|
30,214
|
|
Interest rates
|
28,986
|
|
27,298
|
|
||
Commodities
|
5,097
|
|
4,501
|
|
||
Credit
|
1,257
|
|
1,246
|
|
||
Foreign exchange
|
2,131
|
|
1,202
|
|
||
Total
|
$
|
69,144
|
|
$
|
64,461
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Trading revenues
|
$
|
(1,455
|
)
|
$
|
(795
|
)
|
$
|
(1,447
|
)
|
$
|
(5,888
|
)
|
Interest expense
|
77
|
|
93
|
|
241
|
|
280
|
|
||||
Net revenues1
|
$
|
(1,532
|
)
|
$
|
(888
|
)
|
$
|
(1,688
|
)
|
$
|
(6,168
|
)
|
1.
|
Amounts do not reflect any gains or losses from related economic hedges.
|
|
Nine Months Ended September 30,
|
|||||||||||
|
2020
|
2019
|
||||||||||
$ in millions
|
Trading
Revenues
|
OCI
|
Trading
Revenues
|
OCI
|
||||||||
Loans and other debt1
|
$
|
(183
|
)
|
$
|
—
|
|
$
|
148
|
|
$
|
—
|
|
Lending commitments
|
(2
|
)
|
—
|
|
(2
|
)
|
—
|
|
||||
Deposits
|
—
|
|
(10
|
)
|
—
|
|
(2
|
)
|
||||
Borrowings
|
(14
|
)
|
991
|
|
(9
|
)
|
(702
|
)
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Cumulative pre-tax DVA gain (loss) recognized in AOCI
|
$
|
(1,017
|
)
|
$
|
(1,998
|
)
|
1.
|
Loans and other debt instrument-specific credit gains (losses) were determined by excluding the non-credit components of gains and losses.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Loans and other debt2
|
$
|
13,552
|
|
$
|
13,037
|
|
Nonaccrual loans2
|
11,411
|
|
10,849
|
|
||
Borrowings3
|
(2,103
|
)
|
(1,665
|
)
|
1.
|
Amounts indicate contractual principal greater than or (less than) fair value.
|
2.
|
The majority of the difference between principal and fair value amounts for loans and other debt relates to distressed debt positions purchased at amounts well below par.
|
3.
|
Excludes borrowings where the repayment of the initial principal amount fluctuates based on changes in a reference price or index.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Nonaccrual loans
|
$
|
1,119
|
|
$
|
1,100
|
|
Nonaccrual loans 90 or more days past due
|
$
|
238
|
|
$
|
330
|
|
September 2020 Form 10-Q
|
62
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
Assets
|
|||||||||||
$ in millions
|
Bilateral
OTC
|
Cleared
OTC
|
Exchange-
Traded
|
Total
|
||||||||
Designated as accounting hedges
|
|
|
|
|||||||||
Interest rate
|
$
|
1,109
|
|
$
|
4
|
|
$
|
—
|
|
$
|
1,113
|
|
Foreign exchange
|
63
|
|
9
|
|
—
|
|
72
|
|
||||
Total
|
1,172
|
|
13
|
|
—
|
|
1,185
|
|
||||
Not designated as accounting hedges
|
|
|
||||||||||
Interest rate
|
232,894
|
|
9,261
|
|
530
|
|
242,685
|
|
||||
Credit
|
6,889
|
|
3,017
|
|
—
|
|
9,906
|
|
||||
Foreign exchange
|
65,734
|
|
1,299
|
|
79
|
|
67,112
|
|
||||
Equity
|
28,255
|
|
—
|
|
39,231
|
|
67,486
|
|
||||
Commodity and other
|
13,378
|
|
—
|
|
5,155
|
|
18,533
|
|
||||
Total
|
347,150
|
|
13,577
|
|
44,995
|
|
405,722
|
|
||||
Total gross derivatives
|
$
|
348,322
|
|
$
|
13,590
|
|
$
|
44,995
|
|
$
|
406,907
|
|
Amounts offset
|
|
|
|
|
||||||||
Counterparty netting
|
(263,488
|
)
|
(11,426
|
)
|
(42,320
|
)
|
(317,234
|
)
|
||||
Cash collateral netting
|
(52,608
|
)
|
(1,823
|
)
|
—
|
|
(54,431
|
)
|
||||
Total in Trading assets
|
$
|
32,226
|
|
$
|
341
|
|
$
|
2,675
|
|
$
|
35,242
|
|
Amounts not offset1
|
|
|
|
|
||||||||
Financial instruments collateral
|
(14,117
|
)
|
—
|
|
—
|
|
(14,117
|
)
|
||||
Other cash collateral
|
(88
|
)
|
—
|
|
—
|
|
(88
|
)
|
||||
Net amounts
|
$
|
18,021
|
|
$
|
341
|
|
$
|
2,675
|
|
$
|
21,037
|
|
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable
|
$
|
2,848
|
|
|
Assets
|
|||||||||||
$ in millions
|
Bilateral
OTC
|
Cleared
OTC
|
Exchange-
Traded
|
Total
|
||||||||
Designated as accounting hedges
|
|
|
|
|||||||||
Interest rate
|
$
|
673
|
|
$
|
—
|
|
$
|
—
|
|
$
|
673
|
|
Foreign exchange
|
41
|
|
1
|
|
—
|
|
42
|
|
||||
Total
|
714
|
|
1
|
|
—
|
|
715
|
|
||||
Not designated as accounting hedges
|
|
|
||||||||||
Interest rate
|
179,450
|
|
4,839
|
|
519
|
|
184,808
|
|
||||
Credit
|
4,895
|
|
2,417
|
|
—
|
|
7,312
|
|
||||
Foreign exchange
|
62,957
|
|
1,399
|
|
22
|
|
64,378
|
|
||||
Equity
|
27,621
|
|
—
|
|
23,447
|
|
51,068
|
|
||||
Commodity and other
|
9,306
|
|
—
|
|
1,952
|
|
11,258
|
|
||||
Total
|
284,229
|
|
8,655
|
|
25,940
|
|
318,824
|
|
||||
Total gross derivatives
|
$
|
284,943
|
|
$
|
8,656
|
|
$
|
25,940
|
|
$
|
319,539
|
|
Amounts offset
|
|
|
|
|
||||||||
Counterparty netting
|
(213,710
|
)
|
(7,294
|
)
|
(24,037
|
)
|
(245,041
|
)
|
||||
Cash collateral netting
|
(41,222
|
)
|
(1,275
|
)
|
—
|
|
(42,497
|
)
|
||||
Total in Trading assets
|
$
|
30,011
|
|
$
|
87
|
|
$
|
1,903
|
|
$
|
32,001
|
|
Amounts not offset1
|
|
|
|
|
||||||||
Financial instruments collateral
|
(15,596
|
)
|
—
|
|
—
|
|
(15,596
|
)
|
||||
Other cash collateral
|
(46
|
)
|
—
|
|
—
|
|
(46
|
)
|
||||
Net amounts
|
$
|
14,369
|
|
$
|
87
|
|
$
|
1,903
|
|
$
|
16,359
|
|
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable
|
$
|
1,900
|
|
1.
|
Amounts relate to master netting agreements and collateral agreements that have been determined by the Firm to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance.
|
|
63
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
Liabilities
|
|||||||||||
$ in billions
|
Bilateral
OTC
|
Cleared
OTC
|
Exchange-
Traded
|
Total
|
||||||||
Designated as accounting hedges
|
||||||||||||
Interest rate
|
$
|
—
|
|
$
|
64
|
|
$
|
—
|
|
$
|
64
|
|
Foreign exchange
|
6
|
|
2
|
|
—
|
|
8
|
|
||||
Total
|
6
|
|
66
|
|
—
|
|
72
|
|
||||
Not designated as accounting hedges
|
||||||||||||
Interest rate
|
4,108
|
|
6,596
|
|
668
|
|
11,372
|
|
||||
Credit
|
143
|
|
128
|
|
—
|
|
271
|
|
||||
Foreign exchange
|
2,943
|
|
100
|
|
8
|
|
3,051
|
|
||||
Equity
|
473
|
|
—
|
|
579
|
|
1,052
|
|
||||
Commodity and other
|
91
|
|
—
|
|
76
|
|
167
|
|
||||
Total
|
7,758
|
|
6,824
|
|
1,331
|
|
15,913
|
|
||||
Total gross derivatives
|
$
|
7,764
|
|
$
|
6,890
|
|
$
|
1,331
|
|
$
|
15,985
|
|
|
Assets
|
|||||||||||
$ in billions
|
Bilateral
OTC
|
Cleared
OTC
|
Exchange-
Traded
|
Total
|
||||||||
Designated as accounting hedges
|
||||||||||||
Interest rate
|
$
|
14
|
|
$
|
94
|
|
$
|
—
|
|
$
|
108
|
|
Foreign exchange
|
2
|
|
—
|
|
—
|
|
2
|
|
||||
Total
|
16
|
|
94
|
|
—
|
|
110
|
|
||||
Not designated as accounting hedges
|
||||||||||||
Interest rate
|
4,230
|
|
7,398
|
|
732
|
|
12,360
|
|
||||
Credit
|
136
|
|
79
|
|
—
|
|
215
|
|
||||
Foreign exchange
|
2,667
|
|
91
|
|
10
|
|
2,768
|
|
||||
Equity
|
429
|
|
—
|
|
419
|
|
848
|
|
||||
Commodity and other
|
99
|
|
—
|
|
61
|
|
160
|
|
||||
Total
|
7,561
|
|
7,568
|
|
1,222
|
|
16,351
|
|
||||
Total gross derivatives
|
$
|
7,577
|
|
$
|
7,662
|
|
$
|
1,222
|
|
$
|
16,461
|
|
|
Liabilities
|
|||||||||||
$ in billions
|
Bilateral
OTC
|
Cleared
OTC
|
Exchange-
Traded
|
Total
|
||||||||
Designated as accounting hedges
|
||||||||||||
Interest rate
|
$
|
—
|
|
$
|
71
|
|
$
|
—
|
|
$
|
71
|
|
Foreign exchange
|
9
|
|
2
|
|
—
|
|
11
|
|
||||
Total
|
9
|
|
73
|
|
—
|
|
82
|
|
||||
Not designated as accounting hedges
|
||||||||||||
Interest rate
|
4,185
|
|
6,866
|
|
666
|
|
11,717
|
|
||||
Credit
|
153
|
|
84
|
|
—
|
|
237
|
|
||||
Foreign exchange
|
2,841
|
|
91
|
|
14
|
|
2,946
|
|
||||
Equity
|
455
|
|
—
|
|
515
|
|
970
|
|
||||
Commodity and other
|
85
|
|
—
|
|
61
|
|
146
|
|
||||
Total
|
7,719
|
|
7,041
|
|
1,256
|
|
16,016
|
|
||||
Total gross derivatives
|
$
|
7,728
|
|
$
|
7,114
|
|
$
|
1,256
|
|
$
|
16,098
|
|
September 2020 Form 10-Q
|
64
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
Three Months Ended
|
Nine Months Ended
|
||||||||||
|
September 30,
|
September 30,
|
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Fair value hedges—Recognized in Interest income
|
|
|||||||||||
Interest rate contracts
|
$
|
12
|
|
$
|
(7
|
)
|
$
|
(68
|
)
|
$
|
(26
|
)
|
Investment Securities—AFS
|
(11
|
)
|
8
|
|
78
|
|
27
|
|
||||
Fair value hedges—Recognized in Interest expense
|
|
|||||||||||
Interest rate contracts
|
$
|
(1,004
|
)
|
$
|
1,999
|
|
$
|
5,908
|
|
$
|
6,046
|
|
Deposits1
|
62
|
|
—
|
|
(153
|
)
|
—
|
|
||||
Borrowings
|
915
|
|
(1,996
|
)
|
(5,844
|
)
|
(6,111
|
)
|
||||
Net investment hedges—Foreign exchange contracts
|
|
|||||||||||
Recognized in OCI
|
$
|
(260
|
)
|
$
|
251
|
|
$
|
54
|
|
$
|
201
|
|
Forward points excluded from hedge effectiveness testing—Recognized in Interest income
|
(6
|
)
|
30
|
|
19
|
|
107
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Investment Securities—AFS
|
|
|
||||
Amortized cost basis currently or previously hedged
|
$
|
2,146
|
|
$
|
917
|
|
Basis adjustments included in amortized cost2
|
$
|
74
|
|
$
|
14
|
|
Deposits1
|
|
|
||||
Carrying amount currently or previously hedged
|
$
|
18,241
|
|
$
|
5,435
|
|
Basis adjustments included in carrying amount2
|
$
|
146
|
|
$
|
(7
|
)
|
Borrowings
|
|
|
||||
Carrying amount currently or previously hedged
|
$
|
107,653
|
|
$
|
102,456
|
|
Basis adjustments included in carrying amount—Outstanding hedges
|
$
|
7,697
|
|
$
|
2,593
|
|
Basis adjustments included in carrying amount—Terminated hedges
|
$
|
(762
|
)
|
$
|
—
|
|
1.
|
The Firm began designating interest rate swaps as fair value hedges of certain Deposits in the fourth quarter of 2019.
|
2.
|
Hedge accounting basis adjustments are primarily related to outstanding hedges.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Net derivative liabilities with credit risk-related contingent features
|
$
|
27,659
|
|
$
|
21,620
|
|
Collateral posted
|
23,426
|
|
17,392
|
|
$ in millions
|
At
September 30, 2020 |
||
One-notch downgrade
|
$
|
246
|
|
Two-notch downgrade
|
315
|
|
|
Bilateral downgrade agreements included in the amounts above1
|
$
|
487
|
|
1.
|
Amount represents arrangements between the Firm and other parties where upon the downgrade of one party, the downgraded party must deliver collateral to the other party. These bilateral downgrade arrangements are used by the Firm to manage the risk of counterparty downgrades.
|
|
Years to Maturity at September 30, 2020
|
||||||||||||||
$ in billions
|
< 1
|
1-3
|
3-5
|
Over 5
|
Total
|
||||||||||
Single-name CDS
|
|
|
|
|
|
||||||||||
Investment grade
|
$
|
10
|
|
$
|
16
|
|
$
|
31
|
|
$
|
13
|
|
$
|
70
|
|
Non-investment grade
|
6
|
|
10
|
|
15
|
|
4
|
|
35
|
|
|||||
Total
|
$
|
16
|
|
$
|
26
|
|
$
|
46
|
|
$
|
17
|
|
$
|
105
|
|
Index and basket CDS
|
|
|
|
||||||||||||
Investment grade
|
$
|
3
|
|
$
|
11
|
|
$
|
44
|
|
$
|
35
|
|
$
|
93
|
|
Non-investment grade
|
6
|
|
6
|
|
25
|
|
20
|
|
57
|
|
|||||
Total
|
$
|
9
|
|
$
|
17
|
|
$
|
69
|
|
$
|
55
|
|
$
|
150
|
|
Total CDS sold
|
$
|
25
|
|
$
|
43
|
|
$
|
115
|
|
$
|
72
|
|
$
|
255
|
|
Other credit contracts
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
Total credit protection sold
|
$
|
25
|
|
$
|
43
|
|
$
|
115
|
|
$
|
72
|
|
$
|
255
|
|
CDS protection sold with identical protection purchased
|
$
|
222
|
|
|
Years to Maturity at December 31, 2019
|
||||||||||||||
$ in billions
|
< 1
|
1-3
|
3-5
|
Over 5
|
Total
|
||||||||||
Single-name CDS
|
|
|
|
|
|
||||||||||
Investment grade
|
$
|
16
|
|
$
|
17
|
|
$
|
33
|
|
$
|
9
|
|
$
|
75
|
|
Non-investment grade
|
9
|
|
9
|
|
16
|
|
1
|
|
35
|
|
|||||
Total
|
$
|
25
|
|
$
|
26
|
|
$
|
49
|
|
$
|
10
|
|
$
|
110
|
|
Index and basket CDS
|
|
|
|
||||||||||||
Investment grade
|
$
|
4
|
|
$
|
7
|
|
$
|
46
|
|
$
|
11
|
|
$
|
68
|
|
Non-investment grade
|
7
|
|
4
|
|
17
|
|
10
|
|
38
|
|
|||||
Total
|
$
|
11
|
|
$
|
11
|
|
$
|
63
|
|
$
|
21
|
|
$
|
106
|
|
Total CDS sold
|
$
|
36
|
|
$
|
37
|
|
$
|
112
|
|
$
|
31
|
|
$
|
216
|
|
Other credit contracts
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
Total credit protection sold
|
$
|
36
|
|
$
|
37
|
|
$
|
112
|
|
$
|
31
|
|
$
|
216
|
|
CDS protection sold with identical protection purchased
|
$
|
187
|
|
|
65
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Single-name CDS
|
|
|
||||
Investment grade
|
$
|
764
|
|
$
|
1,057
|
|
Non-investment grade
|
(969
|
)
|
(540
|
)
|
||
Total
|
$
|
(205
|
)
|
$
|
517
|
|
Index and basket CDS
|
|
|
||||
Investment grade
|
$
|
994
|
|
$
|
1,052
|
|
Non-investment grade
|
(2,546
|
)
|
134
|
|
||
Total
|
$
|
(1,552
|
)
|
$
|
1,186
|
|
Total CDS sold
|
$
|
(1,757
|
)
|
$
|
1,703
|
|
Other credit contracts
|
(4
|
)
|
(17
|
)
|
||
Total credit protection sold
|
$
|
(1,761
|
)
|
$
|
1,686
|
|
1.
|
Investment grade/non-investment grade determination is based on the internal credit rating of the reference obligation. Internal credit ratings serve as the Credit Risk Management Department’s assessment of credit risk and the basis for a comprehensive credit limits framework used to control credit risk. The Firm uses quantitative models and judgment to estimate the various risk parameters related to each obligor.
|
|
Notional
|
|||||
$ in billions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Single name
|
$
|
115
|
|
$
|
118
|
|
Index and basket
|
143
|
|
103
|
|
||
Tranched index and basket
|
18
|
|
15
|
|
||
Total
|
$
|
276
|
|
$
|
236
|
|
|
Fair Value Asset (Liability)
|
|||||
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Single name
|
$
|
72
|
|
$
|
(723
|
)
|
Index and basket
|
1,276
|
|
(1,139
|
)
|
||
Tranched index and basket
|
61
|
|
(450
|
)
|
||
Total
|
$
|
1,409
|
|
$
|
(2,312
|
)
|
|
At September 30, 2020
|
|||||||||||
$ in millions
|
Amortized
Cost1
|
Gross
Unrealized
Gains
|
Gross
Unrealized
Losses
|
Fair
Value
|
||||||||
AFS securities
|
|
|
|
|
||||||||
U.S. government and agency securities:
|
|
|
||||||||||
U.S. Treasury securities
|
$
|
45,796
|
|
$
|
1,150
|
|
$
|
—
|
|
$
|
46,946
|
|
U.S. agency securities2
|
26,887
|
|
769
|
|
6
|
|
27,650
|
|
||||
Total U.S. government and agency securities
|
72,683
|
|
1,919
|
|
6
|
|
74,596
|
|
||||
Corporate and other debt:
|
|
|
|
|
||||||||
Agency CMBS
|
4,653
|
|
355
|
|
1
|
|
5,007
|
|
||||
Corporate bonds
|
1,756
|
|
43
|
|
1
|
|
1,798
|
|
||||
State and municipal securities
|
1,682
|
|
60
|
|
18
|
|
1,724
|
|
||||
FFELP student loan ABS3
|
1,455
|
|
—
|
|
44
|
|
1,411
|
|
||||
Total corporate and other debt
|
9,546
|
|
458
|
|
64
|
|
9,940
|
|
||||
Total AFS securities
|
82,229
|
|
2,377
|
|
70
|
|
84,536
|
|
||||
HTM securities
|
|
|
|
|
||||||||
U.S. government and agency securities:
|
|
|
||||||||||
U.S. Treasury securities
|
28,754
|
|
2,138
|
|
—
|
|
30,892
|
|
||||
U.S. agency securities2
|
16,598
|
|
610
|
|
7
|
|
17,201
|
|
||||
Total U.S. government and agency securities
|
45,352
|
|
2,748
|
|
7
|
|
48,093
|
|
||||
Corporate and other debt:
|
|
|
|
|
||||||||
Non-agency CMBS
|
817
|
|
45
|
|
1
|
|
861
|
|
||||
Total HTM securities
|
46,169
|
|
2,793
|
|
8
|
|
48,954
|
|
||||
Total investment securities
|
$
|
128,398
|
|
$
|
5,170
|
|
$
|
78
|
|
$
|
133,490
|
|
September 2020 Form 10-Q
|
66
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
At December 31, 2019
|
|||||||||||
$ in millions
|
Amortized
Cost
|
Gross
Unrealized
Gains
|
Gross
Unrealized
Losses
|
Fair
Value
|
||||||||
AFS securities
|
|
|
|
|
||||||||
U.S. government and agency securities:
|
|
|
||||||||||
U.S. Treasury securities
|
$
|
32,465
|
|
$
|
224
|
|
$
|
111
|
|
$
|
32,578
|
|
U.S. agency securities2
|
20,725
|
|
249
|
|
100
|
|
20,874
|
|
||||
Total U.S. government and agency securities
|
53,190
|
|
473
|
|
211
|
|
53,452
|
|
||||
Corporate and other debt:
|
|
|
|
|
||||||||
Agency CMBS
|
4,810
|
|
55
|
|
57
|
|
4,808
|
|
||||
Corporate bonds
|
1,891
|
|
17
|
|
1
|
|
1,907
|
|
||||
State and municipal securities
|
481
|
|
22
|
|
—
|
|
503
|
|
||||
FFELP student loan ABS3
|
1,580
|
|
1
|
|
28
|
|
1,553
|
|
||||
Total corporate and other debt
|
8,762
|
|
95
|
|
86
|
|
8,771
|
|
||||
Total AFS securities
|
61,952
|
|
568
|
|
297
|
|
62,223
|
|
||||
HTM securities
|
|
|
|
|
||||||||
U.S. government and agency securities:
|
|
|
||||||||||
U.S. Treasury securities
|
30,145
|
|
568
|
|
52
|
|
30,661
|
|
||||
U.S. agency securities2
|
12,589
|
|
151
|
|
57
|
|
12,683
|
|
||||
Total U.S. government and agency securities
|
42,734
|
|
719
|
|
109
|
|
43,344
|
|
||||
Corporate and other debt:
|
|
|
|
|
||||||||
Non-agency CMBS
|
768
|
|
22
|
|
1
|
|
789
|
|
||||
Total HTM securities
|
43,502
|
|
741
|
|
110
|
|
44,133
|
|
||||
Total investment securities
|
$
|
105,454
|
|
$
|
1,309
|
|
$
|
407
|
|
$
|
106,356
|
|
1.
|
Amounts are net of any ACL.
|
2.
|
U.S. agency securities consist mainly of agency-issued debt, agency mortgage pass-through pool securities and CMOs.
|
3.
|
Underlying loans are backed by a guarantee, ultimately from the U.S. Department of Education, of at least 95% of the principal balance and interest outstanding.
|
|
At September 30,
2020 |
At December 31,
2019 |
||||||||||
$ in millions
|
Fair Value
|
Gross
Unrealized
Losses
|
Fair Value
|
Gross
Unrealized
Losses
|
||||||||
U.S. government and agency securities:
|
|
|
||||||||||
U.S. Treasury securities
|
|
|
|
|
||||||||
Less than12 months
|
$
|
—
|
|
$
|
—
|
|
$
|
4,793
|
|
$
|
28
|
|
12 months or longer
|
—
|
|
—
|
|
7,904
|
|
83
|
|
||||
Total
|
—
|
|
—
|
|
12,697
|
|
111
|
|
||||
U.S. agency securities
|
|
|
|
|
||||||||
Less than12 months
|
1,198
|
|
3
|
|
2,641
|
|
20
|
|
||||
12 months or longer
|
1,294
|
|
3
|
|
7,697
|
|
80
|
|
||||
Total
|
2,492
|
|
6
|
|
10,338
|
|
100
|
|
||||
Total U.S. government and agency securities:
|
|
|
||||||||||
Less than12 months
|
1,198
|
|
3
|
|
7,434
|
|
48
|
|
||||
12 months or longer
|
1,294
|
|
3
|
|
15,601
|
|
163
|
|
||||
Total
|
2,492
|
|
6
|
|
23,035
|
|
211
|
|
||||
Corporate and other debt:
|
|
|
|
|
||||||||
Agency CMBS
|
|
|
|
|
||||||||
Less than12 months
|
17
|
|
—
|
|
2,294
|
|
26
|
|
||||
12 months or longer
|
189
|
|
1
|
|
681
|
|
31
|
|
||||
Total
|
206
|
|
1
|
|
2,975
|
|
57
|
|
||||
Corporate bonds
|
|
|
|
|
||||||||
Less than12 months
|
127
|
|
—
|
|
194
|
|
1
|
|
||||
12 months or longer
|
21
|
|
1
|
|
44
|
|
—
|
|
||||
Total
|
148
|
|
1
|
|
238
|
|
1
|
|
||||
State and municipal securities
|
|
|
|
|||||||||
Less than12 months
|
606
|
|
18
|
|
—
|
|
—
|
|
||||
Total
|
606
|
|
18
|
|
—
|
|
—
|
|
||||
FFELP student loan ABS
|
|
|
|
|||||||||
Less than12 months
|
322
|
|
1
|
|
91
|
|
—
|
|
||||
12 months or longer
|
1,089
|
|
43
|
|
1,165
|
|
28
|
|
||||
Total
|
1,411
|
|
44
|
|
1,256
|
|
28
|
|
||||
Total Corporate and other debt:
|
|
|
||||||||||
Less than12 months
|
1,072
|
|
19
|
|
2,579
|
|
27
|
|
||||
12 months or longer
|
1,299
|
|
45
|
|
1,890
|
|
59
|
|
||||
Total
|
2,371
|
|
64
|
|
4,469
|
|
86
|
|
||||
Total AFS securities in an unrealized loss position
|
|
|||||||||||
Less than12 months
|
2,270
|
|
22
|
|
10,013
|
|
75
|
|
||||
12 months or longer
|
2,593
|
|
48
|
|
17,491
|
|
222
|
|
||||
Total
|
$
|
4,863
|
|
$
|
70
|
|
$
|
27,504
|
|
$
|
297
|
|
|
67
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
At September 30, 2020
|
|||||||
$ in millions
|
Amortized
Cost1 |
Fair
Value |
Annualized
Average Yield |
|||||
AFS securities
|
|
|
|
|||||
U.S. government and agency securities:
|
||||||||
U.S. Treasury securities:
|
|
|
|
|||||
Due within 1 year
|
$
|
15,671
|
|
$
|
15,741
|
|
0.9
|
%
|
After 1 year through 5 years
|
27,523
|
|
28,399
|
|
1.5
|
%
|
||
After 5 years through 10 years
|
2,602
|
|
2,806
|
|
1.7
|
%
|
||
Total
|
45,796
|
|
46,946
|
|
|
|||
U.S. agency securities:
|
|
|
|
|||||
Due within 1 year
|
215
|
|
215
|
|
0.8
|
%
|
||
After 1 year through 5 years
|
70
|
|
71
|
|
1.6
|
%
|
||
After 5 years through 10 years
|
1,235
|
|
1,274
|
|
1.8
|
%
|
||
After 10 years
|
25,367
|
|
26,090
|
|
1.9
|
%
|
||
Total
|
26,887
|
|
27,650
|
|
|
|||
Total U.S. government and agency securities
|
72,683
|
|
74,596
|
|
1.5
|
%
|
||
Corporate and other debt:
|
|
|
|
|||||
Agency CMBS:
|
|
|
|
|||||
Due within 1 year
|
44
|
|
45
|
|
2.5
|
%
|
||
After 1 year through 5 years
|
535
|
|
547
|
|
1.8
|
%
|
||
After 5 years through 10 years
|
3,399
|
|
3,728
|
|
2.5
|
%
|
||
After 10 years
|
675
|
|
687
|
|
1.8
|
%
|
||
Total
|
4,653
|
|
5,007
|
|
|
|||
Corporate bonds:
|
|
|
|
|||||
Due within 1 year
|
210
|
|
213
|
|
2.5
|
%
|
||
After 1 year through 5 years
|
1,269
|
|
1,301
|
|
2.6
|
%
|
||
After 5 years through 10 years
|
266
|
|
273
|
|
2.7
|
%
|
||
After 10 years
|
11
|
|
11
|
|
1.7
|
%
|
||
Total
|
1,756
|
|
1,798
|
|
|
|||
State and municipal securities:
|
|
|
|
|||||
Due within 1 year
|
3
|
|
3
|
|
1.8
|
%
|
||
After 1 year through 5 years
|
16
|
|
16
|
|
2.2
|
%
|
||
After 5 years through 10 years
|
103
|
|
109
|
|
2.6
|
%
|
||
After 10 Years
|
1,560
|
|
1,596
|
|
2.7
|
%
|
||
Total
|
1,682
|
|
1,724
|
|
|
|||
|
|
|
|
|
At September 30, 2020
|
|||||||
$ in millions
|
Amortized
Cost1 |
Fair
Value |
Annualized
Average Yield |
|||||
FFELP student loan ABS:
|
|
|
|
|||||
After 1 year through 5 years
|
93
|
|
88
|
|
0.8
|
%
|
||
After 5 years through 10 years
|
257
|
|
241
|
|
0.8
|
%
|
||
After 10 years
|
1,105
|
|
1,082
|
|
1.2
|
%
|
||
Total
|
1,455
|
|
1,411
|
|
|
|||
Total corporate and other debt
|
9,546
|
|
9,940
|
|
2.3
|
%
|
||
Total AFS securities
|
82,229
|
|
84,536
|
|
1.6
|
%
|
||
|
|
|
|
|||||
HTM securities
|
|
|
|
|||||
U.S. government and agency securities:
|
||||||||
U.S. Treasury securities:
|
|
|
|
|||||
Due within 1 year
|
$
|
3,065
|
|
$
|
3,095
|
|
2.6
|
%
|
After 1 year through 5 years
|
16,991
|
|
17,880
|
|
2.0
|
%
|
||
After 5 years through 10 years
|
7,616
|
|
8,572
|
|
2.2
|
%
|
||
After 10 years
|
1,082
|
|
1,345
|
|
2.5
|
%
|
||
Total
|
28,754
|
|
30,892
|
|
|
|||
U.S. agency securities:
|
|
|
|
|||||
After 5 years through 10 years
|
279
|
|
288
|
|
1.9
|
%
|
||
After 10 years
|
16,319
|
|
16,913
|
|
2.0
|
%
|
||
Total
|
16,598
|
|
17,201
|
|
|
|||
Total U.S. government and agency securities
|
45,352
|
|
48,093
|
|
2.2
|
%
|
||
Corporate and other debt:
|
|
|
|
|||||
Non-agency CMBS:
|
|
|
|
|||||
Due within 1 year
|
110
|
|
109
|
|
4.6
|
%
|
||
After 1 year through 5 years
|
77
|
|
78
|
|
3.7
|
%
|
||
After 5 years through 10 years
|
576
|
|
616
|
|
3.8
|
%
|
||
After 10 years
|
54
|
|
58
|
|
3.8
|
%
|
||
Total corporate and other debt
|
817
|
|
861
|
|
3.9
|
%
|
||
Total HTM securities
|
46,169
|
|
48,954
|
|
2.2
|
%
|
||
Total investment securities
|
$
|
128,398
|
|
$
|
133,490
|
|
1.8
|
%
|
1.
|
Amounts are net of any ACL.
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Gross realized gains
|
$
|
55
|
|
$
|
27
|
|
$
|
120
|
|
$
|
99
|
|
Gross realized (losses)
|
—
|
|
(1
|
)
|
(14
|
)
|
(10
|
)
|
||||
Total1
|
$
|
55
|
|
$
|
26
|
|
$
|
106
|
|
$
|
89
|
|
1.
|
Realized gains and losses are recognized in Other revenues in the income statements.
|
September 2020 Form 10-Q
|
68
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
At September 30, 2020
|
||||||||||||||
$ in millions
|
Gross
Amounts
|
Amounts
Offset
|
Net
Amounts
Presented
|
Amounts
Not Offset1
|
Net
Amounts
|
||||||||||
Assets
|
|
|
|
|
|
||||||||||
Securities purchased under agreements to resell
|
$
|
199,725
|
|
$
|
(111,442
|
)
|
$
|
88,283
|
|
$
|
(86,057
|
)
|
$
|
2,226
|
|
Securities borrowed
|
104,642
|
|
(3,839
|
)
|
100,803
|
|
(97,169
|
)
|
3,634
|
|
|||||
Liabilities
|
|
|
|
|
|
||||||||||
Securities sold under agreements to repurchase
|
$
|
152,760
|
|
$
|
(111,384
|
)
|
$
|
41,376
|
|
$
|
(35,742
|
)
|
$
|
5,634
|
|
Securities loaned
|
11,821
|
|
(3,897
|
)
|
7,924
|
|
(7,725
|
)
|
199
|
|
|||||
Net amounts for which master netting agreements are not in place or may not be legally enforceable
|
|||||||||||||||
Securities purchased under agreements to resell
|
$
|
2,117
|
|
||||||||||||
Securities borrowed
|
|
|
601
|
|
|||||||||||
Securities sold under agreements to repurchase
|
|
4,698
|
|
||||||||||||
Securities loaned
|
|
|
|
|
149
|
|
|
At December 31, 2019
|
||||||||||||||
$ in millions
|
Gross
Amounts
|
Amounts
Offset
|
Net
Amounts
Presented
|
Amounts
Not Offset1
|
Net
Amounts
|
||||||||||
Assets
|
|
|
|
|
|
||||||||||
Securities purchased under agreements to resell
|
$
|
247,545
|
|
$
|
(159,321
|
)
|
$
|
88,224
|
|
$
|
(85,200
|
)
|
$
|
3,024
|
|
Securities borrowed
|
109,528
|
|
(2,979
|
)
|
106,549
|
|
(101,850
|
)
|
4,699
|
|
|||||
Liabilities
|
|
|
|
|
|
||||||||||
Securities sold under agreements to repurchase
|
$
|
213,519
|
|
$
|
(159,319
|
)
|
$
|
54,200
|
|
$
|
(44,549
|
)
|
$
|
9,651
|
|
Securities loaned
|
11,487
|
|
(2,981
|
)
|
8,506
|
|
(8,324
|
)
|
182
|
|
|||||
Net amounts for which master netting agreements are not in place or may not be legally enforceable
|
|||||||||||||||
Securities purchased under agreements to resell
|
$
|
2,255
|
|
||||||||||||
Securities borrowed
|
|
|
1,181
|
|
|||||||||||
Securities sold under agreements to repurchase
|
|
8,033
|
|
||||||||||||
Securities loaned
|
|
|
|
|
101
|
|
1.
|
Amounts relate to master netting agreements that have been determined by the Firm to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance.
|
|
At September 30, 2020
|
||||||||||||||
$ in millions
|
Overnight
and Open
|
Less than
30 Days
|
30-90
Days
|
Over
90 Days
|
Total
|
||||||||||
Securities sold under agreements to repurchase
|
$
|
69,210
|
|
$
|
37,965
|
|
$
|
13,144
|
|
$
|
32,441
|
|
$
|
152,760
|
|
Securities loaned
|
5,752
|
|
278
|
|
1,169
|
|
4,622
|
|
11,821
|
|
|||||
Total included in the offsetting disclosure
|
$
|
74,962
|
|
$
|
38,243
|
|
$
|
14,313
|
|
$
|
37,063
|
|
$
|
164,581
|
|
Trading liabilities—
Obligation to return securities received as collateral |
21,753
|
|
—
|
|
—
|
|
—
|
|
21,753
|
|
|||||
Total
|
$
|
96,715
|
|
$
|
38,243
|
|
$
|
14,313
|
|
$
|
37,063
|
|
$
|
186,334
|
|
|
At December 31, 2019
|
||||||||||||||
$ in millions
|
Overnight
and Open
|
Less than
30 Days
|
30-90
Days
|
Over
90 Days
|
Total
|
||||||||||
Securities sold under agreements to repurchase
|
$
|
67,158
|
|
$
|
81,300
|
|
$
|
26,904
|
|
$
|
38,157
|
|
$
|
213,519
|
|
Securities loaned
|
2,378
|
|
3,286
|
|
516
|
|
5,307
|
|
11,487
|
|
|||||
Total included in the offsetting disclosure
|
$
|
69,536
|
|
$
|
84,586
|
|
$
|
27,420
|
|
$
|
43,464
|
|
$
|
225,006
|
|
Trading liabilities—
Obligation to return securities received as collateral |
23,877
|
|
—
|
|
—
|
|
—
|
|
23,877
|
|
|||||
Total
|
$
|
93,413
|
|
$
|
84,586
|
|
$
|
27,420
|
|
$
|
43,464
|
|
$
|
248,883
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Securities sold under agreements to repurchase
|
||||||
U.S. Treasury and agency securities
|
$
|
55,759
|
|
$
|
68,895
|
|
State and municipal securities
|
864
|
|
905
|
|
||
Other sovereign government obligations
|
70,281
|
|
109,414
|
|
||
ABS
|
1,945
|
|
2,218
|
|
||
Corporate and other debt
|
4,923
|
|
6,066
|
|
||
Corporate equities
|
18,256
|
|
25,563
|
|
||
Other
|
732
|
|
458
|
|
||
Total
|
$
|
152,760
|
|
$
|
213,519
|
|
Securities loaned
|
|
|
||||
Other sovereign government obligations
|
$
|
4,254
|
|
$
|
3,026
|
|
Corporate equities
|
7,034
|
|
8,422
|
|
||
Other
|
533
|
|
39
|
|
||
Total
|
$
|
11,821
|
|
$
|
11,487
|
|
Total included in the offsetting disclosure
|
$
|
164,581
|
|
$
|
225,006
|
|
Trading liabilities—Obligation to return securities received as collateral
|
||||||
Corporate equities
|
$
|
21,724
|
|
$
|
23,873
|
|
Other
|
29
|
|
4
|
|
||
Total
|
$
|
21,753
|
|
$
|
23,877
|
|
Total
|
$
|
186,334
|
|
$
|
248,883
|
|
|
69
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Trading assets
|
$
|
34,952
|
|
$
|
41,201
|
|
Loans, before ACL
|
—
|
|
750
|
|
||
Total
|
$
|
34,952
|
|
$
|
41,951
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Collateral received with right to sell
or repledge |
$
|
609,445
|
|
$
|
679,280
|
|
Collateral that was sold or repledged1
|
455,883
|
|
539,412
|
|
1.
|
Does not include securities used to meet federal regulations for the Firm’s U.S. broker-dealers.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Segregated securities1
|
$
|
27,679
|
|
$
|
25,061
|
|
1.
|
Securities segregated under federal regulations for the Firm’s U.S. broker-dealers are sourced from Securities purchased under agreements to resell and Trading assets in the balance sheets.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Customer receivables representing margin loans
|
$
|
44,658
|
|
$
|
31,916
|
|
•
|
Corporate. Corporate includes revolving lines of credit, term loans and bridge loans made to corporate entities for a variety of purposes.
|
•
|
Secured lending facilities. Secured lending facilities include loans provided to clients, which are collateralized by various assets including residential and commercial real estate mortgage loans, corporate loans, and other assets.
|
•
|
Residential Real Estate. Residential real estate loans mainly include non-conforming loans and HELOC.
|
•
|
Commercial Real Estate. Commercial real estate loans include owner-occupied loans and income-producing loans.
|
•
|
Securities-based lending and Other. Securities-based lending includes loans which allow clients to borrow money against the value of qualifying securities for any suitable purpose other than purchasing, trading, or carrying securities or refinancing margin debt. The majority of these loans are structured as revolving lines of credit. Other primarily includes certain loans originated in the tailored lending business within the Wealth Management business segment.
|
September 2020 Form 10-Q
|
70
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
At September 30, 2020
|
||||||||
$ in millions
|
Loans Held
for Investment
|
Loans Held
for Sale
|
Total Loans
|
||||||
Corporate
|
$
|
7,628
|
|
$
|
8,552
|
|
$
|
16,180
|
|
Secured lending facilities
|
26,496
|
|
3,521
|
|
30,017
|
|
|||
Commercial real estate
|
7,265
|
|
891
|
|
8,156
|
|
|||
Residential real estate
|
33,674
|
|
49
|
|
33,723
|
|
|||
Securities-based lending and Other loans
|
59,006
|
|
68
|
|
59,074
|
|
|||
Total loans
|
134,069
|
|
13,081
|
|
147,150
|
|
|||
ACL
|
(913
|
)
|
|
|
(913
|
)
|
|||
Total loans, net
|
$
|
133,156
|
|
$
|
13,081
|
|
$
|
146,237
|
|
Fixed rate loans, net
|
|
|
$
|
31,342
|
|
||||
Floating or adjustable rate loans, net
|
|
114,895
|
|
||||||
Loans to non-U.S. borrowers, net
|
|
23,591
|
|
|
At December 31, 2019
|
||||||||
$ in millions
|
Loans Held
for Investment
|
Loans Held
for Sale
|
Total Loans
|
||||||
Corporate
|
$
|
5,426
|
|
$
|
6,192
|
|
$
|
11,618
|
|
Secured lending facilities
|
24,502
|
|
4,200
|
|
28,702
|
|
|||
Commercial real estate
|
7,859
|
|
2,049
|
|
9,908
|
|
|||
Residential real estate
|
30,184
|
|
13
|
|
30,197
|
|
|||
Securities-based lending and Other loans
|
50,438
|
|
123
|
|
50,561
|
|
|||
Total loans
|
118,409
|
|
12,577
|
|
130,986
|
|
|||
ACL
|
(349
|
)
|
|
(349
|
)
|
||||
Total loans, net
|
$
|
118,060
|
|
$
|
12,577
|
|
$
|
130,637
|
|
Fixed rate loans, net
|
|
|
$
|
22,716
|
|
||||
Floating or adjustable rate loans, net
|
|
107,921
|
|
||||||
Loans to non-U.S. borrowers, net
|
|
21,617
|
|
1.
|
Loans previously classified as corporate have been further disaggregated; prior period balances have been revised to conform with current period presentation.
|
|
At September 30, 2020
|
||||||||
|
Corporate
|
||||||||
$ in millions
|
Investment Grade
|
Non-Investment Grade
|
Total
|
||||||
Revolving Loans
|
$
|
1,556
|
|
$
|
4,264
|
|
$
|
5,820
|
|
2020
|
582
|
|
176
|
|
758
|
|
|||
2019
|
279
|
|
159
|
|
438
|
|
|||
2018
|
195
|
|
—
|
|
195
|
|
|||
2017
|
—
|
|
64
|
|
64
|
|
|||
2016
|
114
|
|
—
|
|
114
|
|
|||
Prior
|
127
|
|
112
|
|
239
|
|
|||
Total
|
$
|
2,853
|
|
$
|
4,775
|
|
$
|
7,628
|
|
|
At September 30, 2020
|
||||||||
|
Secured lending facilities
|
||||||||
$ in millions
|
Investment Grade
|
Non-Investment Grade
|
Total
|
||||||
Revolving Loans
|
$
|
4,457
|
|
$
|
14,832
|
|
$
|
19,289
|
|
2020
|
206
|
|
378
|
|
584
|
|
|||
2019
|
297
|
|
2,000
|
|
2,297
|
|
|||
2018
|
1,063
|
|
1,449
|
|
2,512
|
|
|||
2017
|
245
|
|
570
|
|
815
|
|
|||
2016
|
—
|
|
620
|
|
620
|
|
|||
Prior
|
—
|
|
379
|
|
379
|
|
|||
Total
|
$
|
6,268
|
|
$
|
20,228
|
|
$
|
26,496
|
|
|
At September 30, 2020
|
||||||||
|
Commercial real estate
|
||||||||
$ in millions
|
Investment Grade
|
Non-Investment Grade
|
Total
|
||||||
2020
|
$
|
17
|
|
$
|
744
|
|
761
|
|
|
2019
|
637
|
|
2,318
|
|
2,955
|
|
|||
2018
|
601
|
|
1,053
|
|
1,654
|
|
|||
2017
|
188
|
|
629
|
|
817
|
|
|||
2016
|
235
|
|
451
|
|
686
|
|
|||
Prior
|
—
|
|
392
|
|
392
|
|
|||
Total
|
$
|
1,678
|
|
$
|
5,587
|
|
$
|
7,265
|
|
|
At September 30, 2020
|
|||||||||||||||||||
|
Residential real estate
|
|||||||||||||||||||
|
by FICO Scores
|
|
by LTV Ratio
|
|
Total
|
|||||||||||||||
$ in millions
|
≥ 740
|
680-739
|
≤ 679
|
|
≤ 80%
|
> 80%
|
|
|||||||||||||
Revolving Loans
|
$
|
89
|
|
$
|
34
|
|
$
|
5
|
|
|
$
|
128
|
|
$
|
—
|
|
|
$
|
128
|
|
2020
|
6,438
|
|
1,337
|
|
138
|
|
|
7,487
|
|
426
|
|
|
7,913
|
|
||||||
2019
|
5,791
|
|
1,306
|
|
175
|
|
|
6,812
|
|
460
|
|
|
7,272
|
|
||||||
2018
|
2,442
|
|
685
|
|
83
|
|
|
2,952
|
|
258
|
|
|
3,210
|
|
||||||
2017
|
2,875
|
|
732
|
|
93
|
|
|
3,436
|
|
264
|
|
|
3,700
|
|
||||||
2016
|
3,524
|
|
953
|
|
134
|
|
|
4,305
|
|
306
|
|
|
4,611
|
|
||||||
Prior
|
4,814
|
|
1,716
|
|
310
|
|
|
6,094
|
|
746
|
|
|
6,840
|
|
||||||
Total
|
$
|
25,973
|
|
$
|
6,763
|
|
$
|
938
|
|
|
$
|
31,214
|
|
$
|
2,460
|
|
|
$
|
33,674
|
|
|
At September 30, 2020
|
|||||||||||
|
Securities-based lending1
|
Other2
|
|
|||||||||
$ in millions
|
Investment Grade
|
Non-Investment Grade
|
Total
|
|||||||||
Revolving Loans
|
$
|
47,251
|
|
$
|
4,238
|
|
$
|
684
|
|
$
|
52,173
|
|
2020
|
—
|
|
860
|
|
431
|
|
1,291
|
|
||||
2019
|
18
|
|
1,106
|
|
674
|
|
1,798
|
|
||||
2018
|
232
|
|
334
|
|
456
|
|
1,022
|
|
||||
2017
|
—
|
|
663
|
|
116
|
|
779
|
|
||||
2016
|
—
|
|
579
|
|
113
|
|
692
|
|
||||
Prior
|
16
|
|
1,068
|
|
167
|
|
1,251
|
|
||||
Total
|
$
|
47,517
|
|
$
|
8,848
|
|
$
|
2,641
|
|
$
|
59,006
|
|
|
71
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
At September 30, 2020
|
||||||||
$ in millions
|
Current
|
Past Due1
|
Total
|
||||||
Corporate
|
$
|
7,628
|
|
$
|
—
|
|
$
|
7,628
|
|
Secured lending facilities
|
26,496
|
|
—
|
|
26,496
|
|
|||
Commercial real estate
|
7,264
|
|
1
|
|
7,265
|
|
|||
Residential real estate
|
33,476
|
|
198
|
|
33,674
|
|
|||
Securities-based lending and Other loans
|
58,881
|
|
125
|
|
59,006
|
|
|||
Total
|
$
|
133,745
|
|
$
|
324
|
|
$
|
134,069
|
|
1.
|
The majority of the amounts are past due for a period of 90 days or more.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Corporate
|
$
|
184
|
|
$
|
299
|
|
Commercial real estate
|
185
|
|
85
|
|
||
Residential real estate
|
92
|
|
94
|
|
||
Securities-based lending and Other loans
|
133
|
|
5
|
|
||
Total1
|
$
|
594
|
|
$
|
483
|
|
Nonaccrual loans without an ACL
|
$
|
91
|
|
$
|
120
|
|
1.
|
Includes all HFI loans that are 90 days or more past due.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Loans, before ACL
|
$
|
166
|
|
$
|
92
|
|
Lending commitments
|
32
|
|
32
|
|
||
ACL on Loans and Lending commitments
|
32
|
|
16
|
|
$ 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
|
)
|
—
|
|
(26
|
)
|
—
|
|
—
|
|
(59
|
)
|
||||||
Recoveries
|
3
|
|
—
|
|
—
|
|
—
|
|
2
|
|
5
|
|
||||||
Net (charge-offs) recoveries
|
(30
|
)
|
—
|
|
(26
|
)
|
—
|
|
2
|
|
(54
|
)
|
||||||
Provision (release)1
|
281
|
|
131
|
|
173
|
|
12
|
|
4
|
|
601
|
|
||||||
Other
|
3
|
|
1
|
|
(34
|
)
|
—
|
|
38
|
|
8
|
|
||||||
September 30, 2020
|
$
|
367
|
|
$
|
191
|
|
$
|
222
|
|
$
|
58
|
|
$
|
75
|
|
$
|
913
|
|
$ in millions
|
Corporate
|
Secured lending facilities
|
CRE
|
Residential real estate
|
SBL and Other
|
Total
|
||||||||||||
December 31, 2018
|
$
|
62
|
|
$
|
60
|
|
$
|
67
|
|
$
|
20
|
|
$
|
29
|
|
$
|
238
|
|
Gross charge-offs
|
—
|
|
—
|
|
—
|
|
(1
|
)
|
—
|
|
(1
|
)
|
||||||
Provision (release)1
|
40
|
|
28
|
|
(6
|
)
|
5
|
|
1
|
|
68
|
|
||||||
Other
|
(6
|
)
|
(1
|
)
|
(1
|
)
|
—
|
|
—
|
|
(8
|
)
|
||||||
September 30, 2019
|
$
|
96
|
|
$
|
87
|
|
$
|
60
|
|
$
|
24
|
|
$
|
30
|
|
$
|
297
|
|
1.
|
The provision for loan losses was $63 million in the current quarter and $34 million in the prior year quarter.
|
$ in millions
|
Corporate
|
Secured lending facilities
|
CRE
|
Residential real estate
|
SBL and Other
|
Total
|
||||||||||||
December 31, 2019
|
$
|
201
|
|
$
|
27
|
|
$
|
7
|
|
$
|
—
|
|
$
|
6
|
|
$
|
241
|
|
Effect of CECL adoption
|
(41
|
)
|
(11
|
)
|
1
|
|
2
|
|
(1
|
)
|
(50
|
)
|
||||||
Provision (release)1
|
119
|
|
24
|
|
7
|
|
(1
|
)
|
7
|
|
156
|
|
||||||
Other
|
—
|
|
—
|
|
(4
|
)
|
—
|
|
4
|
|
—
|
|
||||||
September 30, 2020
|
$
|
279
|
|
$
|
40
|
|
$
|
11
|
|
$
|
1
|
|
$
|
16
|
|
$
|
347
|
|
$ in millions
|
Corporate
|
Secured lending facilities
|
CRE
|
Residential real estate
|
SBL and Other
|
Total
|
||||||||||||
December 31, 2018
|
$
|
178
|
|
$
|
16
|
|
$
|
3
|
|
$
|
—
|
|
$
|
6
|
|
$
|
203
|
|
Provision (release)1
|
27
|
|
7
|
|
2
|
|
—
|
|
—
|
|
36
|
|
||||||
Other
|
(4
|
)
|
—
|
|
—
|
|
—
|
|
(1
|
)
|
(5
|
)
|
||||||
September 30, 2019
|
$
|
201
|
|
$
|
23
|
|
$
|
5
|
|
$
|
—
|
|
$
|
5
|
|
$
|
234
|
|
1.
|
The provision (release) for lending commitments was $48 million in the current quarter and $16 million in the prior year quarter.
|
September 2020 Form 10-Q
|
72
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Currently employed by the Firm1
|
$
|
2,940
|
|
N/A
|
|
|
No longer employed by the Firm2
|
142
|
|
N/A
|
|
||
Employee loans
|
$
|
3,082
|
|
$
|
2,980
|
|
ACL3
|
(165
|
)
|
(61
|
)
|
||
Employee loans, net of ACL
|
$
|
2,917
|
|
$
|
2,919
|
|
Remaining repayment term, weighted average in years
|
5.1
|
|
4.8
|
|
1.
|
These loans are predominantly current.
|
2.
|
These loans are predominantly past due for a period of 90 days or more.
|
3.
|
The change in ACL includes a $124 million increase due to the adoption of CECL in the first quarter of 2020.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Investments
|
$
|
2,338
|
|
$
|
2,363
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Income (loss)1
|
$
|
10
|
|
$
|
(13
|
)
|
$
|
(24
|
)
|
$
|
(39
|
)
|
1.
|
The current year period includes an impairment of the Investment Management business segment’s investment in a third-party asset manager.
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Income (loss) from investment in MUMSS
|
$
|
15
|
|
$
|
(4
|
)
|
$
|
46
|
|
$
|
5
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Savings and demand deposits
|
$
|
202,577
|
|
$
|
149,465
|
|
Time deposits
|
36,676
|
|
40,891
|
|
||
Total
|
$
|
239,253
|
|
$
|
190,356
|
|
Deposits subject to FDIC insurance
|
$
|
173,173
|
|
$
|
149,966
|
|
Time deposits that equal or exceed the FDIC insurance limit
|
$
|
20
|
|
$
|
12
|
|
|
73
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
$ in millions
|
At
September 30, 2020 |
||
2020
|
$
|
5,457
|
|
2021
|
17,986
|
|
|
2022
|
4,984
|
|
|
2023
|
4,086
|
|
|
2024
|
2,784
|
|
|
Thereafter
|
1,379
|
|
|
Total
|
$
|
36,676
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Original maturities of one year or less
|
$
|
4,553
|
|
$
|
2,567
|
|
Original maturities greater than one year
|
||||||
Senior
|
$
|
187,717
|
|
$
|
179,519
|
|
Subordinated
|
11,174
|
|
10,541
|
|
||
Total
|
$
|
198,891
|
|
$
|
190,060
|
|
Total borrowings
|
$
|
203,444
|
|
$
|
192,627
|
|
Weighted average stated maturity, in years1
|
7.4
|
|
6.9
|
|
1.
|
Only includes borrowings with original maturities greater than one year.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 20191
|
||||
Original maturities:
|
|
|
||||
One year or less
|
$
|
9,141
|
|
$
|
7,103
|
|
Greater than one year
|
4,716
|
|
7,595
|
|
||
Total
|
$
|
13,857
|
|
$
|
14,698
|
|
Transfers of assets accounted for as secured financings
|
$
|
1,108
|
|
$
|
1,115
|
|
1.
|
Prior period balances have been conformed to the current presentation.
|
|
Years to Maturity at September 30, 2020
|
|
|||||||||||||
$ in millions
|
Less than 1
|
1-3
|
3-5
|
Over 5
|
Total
|
||||||||||
Lending:
|
|
|
|
|
|||||||||||
Corporate
|
$
|
14,707
|
|
$
|
36,048
|
|
$
|
37,002
|
|
$
|
4,888
|
|
$
|
92,645
|
|
Secured lending facilities
|
5,554
|
|
3,693
|
|
1,302
|
|
133
|
|
10,682
|
|
|||||
Commercial and Residential real estate
|
137
|
|
226
|
|
38
|
|
260
|
|
661
|
|
|||||
Securities-based lending and Other
|
12,421
|
|
2,934
|
|
369
|
|
386
|
|
16,110
|
|
|||||
Forward-starting secured financing receivables
|
81,340
|
|
—
|
|
—
|
|
—
|
|
81,340
|
|
|||||
Central counterparty1
|
300
|
|
—
|
|
—
|
|
9,329
|
|
9,629
|
|
|||||
Underwriting
|
675
|
|
—
|
|
—
|
|
—
|
|
675
|
|
|||||
Investment activities
|
947
|
|
241
|
|
41
|
|
286
|
|
1,515
|
|
|||||
Letters of credit and other financial guarantees
|
172
|
|
1
|
|
—
|
|
3
|
|
176
|
|
|||||
Total
|
$
|
116,253
|
|
$
|
43,143
|
|
$
|
38,752
|
|
$
|
15,285
|
|
$
|
213,433
|
|
Lending commitments participated to third parties
|
$
|
8,647
|
|
||||||||||||
Forward-starting secured financing receivables settled within three business days
|
$
|
72,771
|
|
1.
|
Beginning in the first quarter of 2020, commitments to central counterparties are presented separately; these commitments were previously included in Corporate Lending commitments and Forward-starting secured financing receivables depending on the type of agreement. These commitments relate to the Firm’s membership in certain clearinghouses and are contingent upon the default of a clearinghouse member or other stress events.
|
September 2020 Form 10-Q
|
74
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
Years to Maturity at September 30, 2020
|
||||||||||||||
$ in millions
|
Less than 1
|
1-3
|
3-5
|
Over 5
|
Total
|
||||||||||
Credit derivatives
|
$
|
25,206
|
|
$
|
42,799
|
|
$
|
114,950
|
|
$
|
72,312
|
|
$
|
255,267
|
|
Other credit contracts
|
—
|
|
190
|
|
—
|
|
104
|
|
294
|
|
|||||
Non-credit derivatives
|
1,531,263
|
|
1,122,139
|
|
367,428
|
|
779,686
|
|
3,800,516
|
|
|||||
Standby letters of credit and other financial guarantees issued1
|
1,082
|
|
1,475
|
|
758
|
|
3,967
|
|
7,282
|
|
|||||
Market value guarantees
|
92
|
|
28
|
|
—
|
|
—
|
|
120
|
|
|||||
Liquidity facilities
|
4,342
|
|
—
|
|
—
|
|
—
|
|
4,342
|
|
|||||
Whole loan sales guarantees
|
1
|
|
—
|
|
9
|
|
23,176
|
|
23,186
|
|
|||||
Securitization representations and warranties
|
—
|
|
—
|
|
—
|
|
67,024
|
|
67,024
|
|
|||||
General partner guarantees
|
59
|
|
161
|
|
12
|
|
115
|
|
347
|
|
|||||
Client clearing guarantees
|
92
|
|
—
|
|
—
|
|
—
|
|
92
|
|
$ in millions
|
Carrying Amount Asset (Liability)
|
||
Credit derivatives2
|
$
|
(1,757
|
)
|
Other credit contracts
|
(4
|
)
|
|
Non-credit derivatives2
|
(88,369
|
)
|
|
Standby letters of credit and other financial guarantees issued1
|
113
|
|
|
Market value guarantees
|
—
|
|
|
Liquidity facilities
|
6
|
|
|
Whole loan sales guarantees
|
—
|
|
|
Securitization representations and warranties3
|
(42
|
)
|
|
General partner guarantees
|
(66
|
)
|
|
Client clearing guarantees
|
—
|
|
1.
|
These amounts include certain issued standby letters of credit participated to third parties, totaling $0.6 billion of notional and collateral/recourse, due to the nature of the Firm’s obligations under these arrangements. As of September 30, 2020, the carrying amount of standby letters of credit and other financial guarantees issued includes an allowance for credit losses of $86 million.
|
2.
|
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.
|
3.
|
Primarily related to residential mortgage securitizations.
|
|
75
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
September 2020 Form 10-Q
|
76
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
At September 30, 2020
|
At December 31, 2019
|
||||||||||
$ in millions
|
VIE Assets
|
VIE Liabilities
|
VIE Assets
|
VIE Liabilities
|
||||||||
OSF
|
$
|
672
|
|
$
|
429
|
|
$
|
696
|
|
$
|
391
|
|
MABS1
|
447
|
|
108
|
|
265
|
|
4
|
|
||||
Other2
|
942
|
|
42
|
|
987
|
|
66
|
|
||||
Total
|
$
|
2,061
|
|
$
|
579
|
|
$
|
1,948
|
|
$
|
461
|
|
1.
|
Amounts include transactions backed by residential mortgage loans, commercial mortgage loans and other types of assets, including consumer or commercial assets and may be in loan or security form. The value of assets is determined based on the fair value of the liabilities and the interests owned by the Firm in such VIEs as the fair values for the liabilities and interests owned are more observable.
|
2.
|
Other primarily includes operating entities, investment funds and structured transactions.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Assets
|
|
|
||||
Cash and cash equivalents
|
$
|
284
|
|
$
|
488
|
|
Trading assets at fair value
|
1,376
|
|
943
|
|
||
Customer and other receivables
|
8
|
|
18
|
|
||
Intangible assets
|
101
|
|
111
|
|
||
Other assets
|
292
|
|
388
|
|
||
Total
|
$
|
2,061
|
|
$
|
1,948
|
|
Liabilities
|
|
|
||||
Other secured financings
|
$
|
536
|
|
$
|
422
|
|
Other liabilities and accrued expenses
|
43
|
|
39
|
|
||
Total
|
$
|
579
|
|
$
|
461
|
|
Noncontrolling interests
|
$
|
275
|
|
$
|
192
|
|
|
77
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
At September 30, 2020
|
||||||||||||||
$ in millions
|
MABS1
|
CDO
|
MTOB
|
OSF
|
Other2
|
||||||||||
VIE assets (UPB)
|
$
|
136,362
|
|
$
|
3,744
|
|
$
|
6,404
|
|
$
|
2,190
|
|
$
|
50,040
|
|
Maximum exposure to loss3
|
|
|
|||||||||||||
Debt and equity interests
|
$
|
16,821
|
|
$
|
390
|
|
$
|
—
|
|
$
|
1,059
|
|
$
|
10,581
|
|
Derivative and other contracts
|
—
|
|
—
|
|
4,342
|
|
—
|
|
3,853
|
|
|||||
Commitments, guarantees and other
|
810
|
|
—
|
|
—
|
|
—
|
|
685
|
|
|||||
Total
|
$
|
17,631
|
|
$
|
390
|
|
$
|
4,342
|
|
$
|
1,059
|
|
$
|
15,119
|
|
Carrying value of variable interests—Assets
|
|
|
|||||||||||||
Debt and equity interests
|
$
|
16,821
|
|
$
|
390
|
|
$
|
—
|
|
$
|
1,059
|
|
$
|
10,581
|
|
Derivative and other contracts
|
—
|
|
—
|
|
6
|
|
—
|
|
621
|
|
|||||
Total
|
$
|
16,821
|
|
$
|
390
|
|
$
|
6
|
|
$
|
1,059
|
|
$
|
11,202
|
|
Additional VIE assets owned4
|
|
|
|
$
|
11,832
|
|
|||||||||
Carrying value of variable interests—Liabilities
|
|
|
|||||||||||||
Derivative and other contracts
|
$
|
—
|
|
$
|
—
|
|
$
|
1
|
|
$
|
—
|
|
$
|
114
|
|
Total
|
$
|
—
|
|
$
|
—
|
|
$
|
1
|
|
$
|
—
|
|
$
|
114
|
|
1.
|
Amounts include transactions backed by residential mortgage loans, commercial mortgage loans and other types of assets, including consumer or commercial assets. and may be in loan or security form.
|
2.
|
Other primarily includes exposures to commercial real estate property and investment funds.
|
3.
|
Where notional amounts are utilized in quantifying the maximum exposure related to derivatives, such amounts do not reflect changes in fair value recorded by the Firm.
|
4.
|
Additional VIE assets owned represents the carrying value of total exposure to non-consolidated VIEs for which the maximum exposure to loss is less than specific thresholds, primarily interests issued by securitization SPEs. The Firm’s maximum exposure to loss generally equals the fair value of the assets owned. These assets are primarily included in Trading assets and Investment securities and are measured at fair value (see Note 5). The Firm does not provide additional support in these transactions through contractual facilities, guarantees or similar derivatives.
|
|
At September 30, 2020
|
At December 31, 2019
|
||||||||||
$ in millions
|
UPB
|
Debt and
Equity
Interests
|
UPB
|
Debt and
Equity
Interests
|
||||||||
Residential mortgages
|
$
|
20,056
|
|
$
|
3,264
|
|
$
|
30,353
|
|
$
|
3,993
|
|
Commercial mortgages
|
59,111
|
|
3,940
|
|
53,892
|
|
3,881
|
|
||||
U.S. agency collateralized mortgage obligations
|
52,335
|
|
8,021
|
|
36,366
|
|
6,365
|
|
||||
Other consumer or commercial loans
|
4,860
|
|
1,596
|
|
4,992
|
|
2,075
|
|
||||
Total
|
$
|
136,362
|
|
$
|
16,821
|
|
$
|
125,603
|
|
$
|
16,314
|
|
|
At September 30, 2020
|
|||||||||||
$ in millions
|
RML
|
CML
|
U.S. Agency
CMO
|
CLN and
Other1
|
||||||||
SPE assets (UPB)2
|
$
|
7,225
|
|
$
|
81,900
|
|
$
|
22,951
|
|
$
|
12,223
|
|
Retained interests
|
||||||||||||
Investment grade
|
$
|
47
|
|
$
|
794
|
|
$
|
745
|
|
$
|
—
|
|
Non-investment grade
|
16
|
|
221
|
|
—
|
|
89
|
|
||||
Total
|
$
|
63
|
|
$
|
1,015
|
|
$
|
745
|
|
$
|
89
|
|
Interests purchased in the secondary market
|
||||||||||||
Investment grade
|
$
|
1
|
|
$
|
129
|
|
$
|
26
|
|
$
|
—
|
|
Non-investment grade
|
24
|
|
60
|
|
—
|
|
—
|
|
||||
Total
|
$
|
25
|
|
$
|
189
|
|
$
|
26
|
|
$
|
—
|
|
Derivative assets
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
500
|
|
Derivative liabilities
|
—
|
|
—
|
|
—
|
|
127
|
|
September 2020 Form 10-Q
|
78
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
At December 31, 2019
|
|||||||||||
$ in millions
|
RML
|
CML
|
U.S. Agency
CMO
|
CLN and
Other1
|
||||||||
SPE assets (UPB)2
|
$
|
9,850
|
|
$
|
86,203
|
|
$
|
19,132
|
|
$
|
8,410
|
|
Retained interests
|
||||||||||||
Investment grade
|
$
|
29
|
|
$
|
720
|
|
$
|
2,376
|
|
$
|
1
|
|
Non-investment grade
|
17
|
|
254
|
|
—
|
|
92
|
|
||||
Total
|
$
|
46
|
|
$
|
974
|
|
$
|
2,376
|
|
$
|
93
|
|
Interests purchased in the secondary market
|
||||||||||||
Investment grade
|
$
|
6
|
|
$
|
197
|
|
$
|
77
|
|
$
|
—
|
|
Non-investment grade
|
75
|
|
51
|
|
—
|
|
—
|
|
||||
Total
|
$
|
81
|
|
$
|
248
|
|
$
|
77
|
|
$
|
—
|
|
Derivative assets
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
339
|
|
Derivative liabilities
|
—
|
|
—
|
|
—
|
|
145
|
|
|
Fair Value At September 30, 2020
|
||||||||
$ in millions
|
Level 2
|
Level 3
|
Total
|
||||||
Retained interests
|
|
|
|
||||||
Investment grade
|
$
|
771
|
|
$
|
22
|
|
$
|
793
|
|
Non-investment grade
|
5
|
|
72
|
|
77
|
|
|||
Total
|
$
|
776
|
|
$
|
94
|
|
$
|
870
|
|
Interests purchased in the secondary market
|
|||||||||
Investment grade
|
$
|
154
|
|
$
|
2
|
|
$
|
156
|
|
Non-investment grade
|
66
|
|
18
|
|
84
|
|
|||
Total
|
$
|
220
|
|
$
|
20
|
|
$
|
240
|
|
Derivative assets
|
$
|
495
|
|
$
|
5
|
|
$
|
500
|
|
Derivative liabilities
|
126
|
|
1
|
|
127
|
|
|
Fair Value at December 31, 2019
|
||||||||
$ in millions
|
Level 2
|
Level 3
|
Total
|
||||||
Retained interests
|
|
|
|
||||||
Investment grade
|
$
|
2,401
|
|
$
|
4
|
|
$
|
2,405
|
|
Non-investment grade
|
6
|
|
97
|
|
103
|
|
|||
Total
|
$
|
2,407
|
|
$
|
101
|
|
$
|
2,508
|
|
Interests purchased in the secondary market
|
|||||||||
Investment grade
|
$
|
278
|
|
$
|
2
|
|
$
|
280
|
|
Non-investment grade
|
68
|
|
58
|
|
126
|
|
|||
Total
|
$
|
346
|
|
$
|
60
|
|
$
|
406
|
|
Derivative assets
|
$
|
337
|
|
$
|
2
|
|
$
|
339
|
|
Derivative liabilities
|
144
|
|
1
|
|
145
|
|
1.
|
Amounts include CLO transactions managed by unrelated third parties.
|
2.
|
Amounts include assets transferred by unrelated transferors.
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
New transactions1
|
$
|
12,969
|
|
$
|
8,651
|
|
$
|
30,629
|
|
$
|
20,897
|
|
Retained interests
|
1,991
|
|
902
|
|
7,215
|
|
4,424
|
|
||||
Sales of corporate loans to CLO SPEs1, 2
|
234
|
|
—
|
|
373
|
|
—
|
|
1.
|
Net gains on new transactions and sales of corporate loans to CLO entities at the time of the sale were not material for all periods presented.
|
2.
|
Sponsored by non-affiliates.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Gross cash proceeds from sale of assets1
|
$
|
31,800
|
|
$
|
38,661
|
|
Fair value
|
|
|
||||
Assets sold
|
$
|
32,006
|
|
$
|
39,137
|
|
Derivative assets recognized
in the balance sheets |
631
|
|
647
|
|
||
Derivative liabilities recognized
in the balance sheets |
423
|
|
152
|
|
1.
|
The carrying value of assets derecognized at the time of sale approximates gross cash proceeds.
|
|
79
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
•
|
A greater than 2.5% capital conservation buffer;
|
•
|
The G-SIB capital surcharge, currently at 3%; and
|
•
|
Up to a 2.5% CCyB, currently set by U.S. banking agencies at zero.
|
|
At September 30, 2020
|
||||||
$ in millions
|
Required
Ratio1
|
Amount
|
Ratio
|
||||
Risk-based capital
|
|
|
|
||||
Common Equity Tier 1
capital
|
10.0
|
%
|
$
|
71,157
|
|
16.9
|
%
|
Tier 1 capital
|
11.5
|
%
|
79,905
|
|
19.0
|
%
|
|
Total capital
|
13.5
|
%
|
89,763
|
|
21.4
|
%
|
|
Total RWA
|
|
420,081
|
|
|
$ in millions
|
|
Required
Ratio1
|
At
September 30, 2020 |
|||
Leverage-based capital
|
|
|
|
|||
Adjusted average assets2
|
|
|
$
|
962,435
|
|
|
Tier 1 leverage ratio
|
|
4.0
|
%
|
8.3
|
%
|
|
Supplementary leverage exposure3,4
|
|
|
$
|
1,084,348
|
|
|
SLR3
|
|
5.0
|
%
|
7.4
|
%
|
|
At December 31, 2019
|
||||||
$ in millions
|
Required
Ratio1
|
Amount
|
Ratio
|
||||
Risk-based capital
|
|
|
|
||||
Common Equity Tier 1 capital
|
10.0
|
%
|
$
|
64,751
|
|
16.4
|
%
|
Tier 1 capital
|
11.5
|
%
|
73,443
|
|
18.6
|
%
|
|
Total capital
|
13.5
|
%
|
82,708
|
|
21.0
|
%
|
|
Total RWA
|
|
394,177
|
|
|
$ in millions
|
|
Required
Ratio1
|
At
December 31, 2019 |
|||
Leverage-based capital
|
|
|
|
|||
Adjusted average assets2
|
|
|
$
|
889,195
|
|
|
Tier 1 leverage ratio
|
|
4.0
|
%
|
8.3
|
%
|
|
Supplementary leverage
exposure3,4
|
|
|
$
|
1,155,177
|
|
|
SLR3
|
|
5.0
|
%
|
6.4
|
%
|
1.
|
Required ratios are inclusive of any buffers applicable as of the date presented. Failure to maintain the buffers would result in restrictions on the Firm’s ability to make capital distributions, including the payment of dividends and the repurchase of stock, and to pay discretionary bonuses to executive officers.
|
2.
|
Adjusted average assets represents the denominator of the Tier 1 leverage ratio and is composed of the average daily balance of consolidated on-balance sheet assets for the quarters ending on the respective balance sheet dates, reduced by disallowed goodwill, intangible assets, investments in covered funds, defined benefit pension plan assets, after-tax gain on sale from assets sold into securitizations, investments in the Firm’s own capital instruments, certain defined tax assets and other capital deductions.
|
3.
|
Based on a Federal Reserve interim final rule in effect until March 31, 2021, the Firm’s SLR and Supplementary leverage exposure as of September 30, 2020 reflect the exclusion of U.S. Treasury securities and deposits at Federal Reserve Banks.
|
4.
|
Supplementary leverage exposure is the sum of Adjusted average assets used in the Tier 1 leverage ratio and other adjustments, primarily: (i) for derivatives, potential future exposure and the effective notional principal amount of sold credit protection offset by qualifying purchased credit protection; (ii) the counterparty credit risk for repo-style transactions; and (iii) the credit equivalent amount for off-balance sheet exposures.
|
September 2020 Form 10-Q
|
80
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
At September 30, 2020
|
||||||||
$ in millions
|
Well-Capitalized
Requirement
|
Required
Ratio1
|
Amount
|
Ratio
|
|||||
Risk-based capital
|
|
|
|
|
|||||
Common Equity Tier 1
capital
|
6.5
|
%
|
7.0
|
%
|
$
|
17,764
|
|
19.7
|
%
|
Tier 1 capital
|
8.0
|
%
|
8.5
|
%
|
17,764
|
|
19.7
|
%
|
|
Total capital
|
10.0
|
%
|
10.5
|
%
|
18,442
|
|
20.4
|
%
|
|
Leverage-based capital
|
|
|
|
|
|||||
Tier 1 leverage
|
5.0
|
%
|
4.0
|
%
|
$
|
17,764
|
|
10.7
|
%
|
SLR
|
6.0
|
%
|
3.0
|
%
|
17,764
|
|
8.5
|
%
|
|
At December 31, 2019
|
||||||||
$ in millions
|
Well-Capitalized
Requirement
|
Required
Ratio1
|
Amount
|
Ratio
|
|||||
Risk-based capital
|
|
|
|
|
|||||
Common Equity Tier 1 capital
|
6.5
|
%
|
7.0
|
%
|
$
|
15,919
|
|
18.5
|
%
|
Tier 1 capital
|
8.0
|
%
|
8.5
|
%
|
15,919
|
|
18.5
|
%
|
|
Total capital
|
10.0
|
%
|
10.5
|
%
|
16,282
|
|
18.9
|
%
|
|
Leverage-based capital
|
|
|
|
|
|||||
Tier 1 leverage
|
5.0
|
%
|
4.0
|
%
|
$
|
15,919
|
|
11.3
|
%
|
SLR
|
6.0
|
%
|
3.0
|
%
|
15,919
|
|
8.7
|
%
|
|
At September 30, 2020
|
||||||||
$ in millions
|
Well-Capitalized
Requirement
|
Required
Ratio1
|
Amount
|
Ratio
|
|||||
Risk-based capital
|
|
|
|
|
|||||
Common Equity Tier 1 capital
|
6.5
|
%
|
7.0
|
%
|
$
|
8,528
|
|
23.4
|
%
|
Tier 1 capital
|
8.0
|
%
|
8.5
|
%
|
8,528
|
|
23.4
|
%
|
|
Total capital
|
10.0
|
%
|
10.5
|
%
|
8,611
|
|
23.6
|
%
|
|
Leverage-based capital
|
|
|
|
|
|||||
Tier 1 leverage
|
5.0
|
%
|
4.0
|
%
|
$
|
8,528
|
|
8.2
|
%
|
SLR
|
6.0
|
%
|
3.0
|
%
|
8,528
|
|
7.8
|
%
|
|
At December 31, 2019
|
||||||||
$ in millions
|
Well-Capitalized
Requirement
|
Required
Ratio1
|
Amount
|
Ratio
|
|||||
Risk-based capital
|
|
|
|
|
|||||
Common Equity Tier 1 capital
|
6.5
|
%
|
7.0
|
%
|
$
|
7,962
|
|
24.8
|
%
|
Tier 1 capital
|
8.0
|
%
|
8.5
|
%
|
7,962
|
|
24.8
|
%
|
|
Total capital
|
10.0
|
%
|
10.5
|
%
|
8,016
|
|
25.0
|
%
|
|
Leverage-based capital
|
|
|
|
|
|||||
Tier 1 leverage
|
5.0
|
%
|
4.0
|
%
|
$
|
7,962
|
|
9.9
|
%
|
SLR
|
6.0
|
%
|
3.0
|
%
|
7,962
|
|
9.4
|
%
|
1.
|
Required ratios are inclusive of any buffers applicable as of the date presented. Failure to maintain the buffers would result in restrictions on the U.S. Bank Subsidiaries' ability to make capital distributions, including the payment of dividends.
|
$ in millions
|
At September 30,
2020 |
At December 31,
2019 |
||||
Net capital
|
$
|
14,183
|
|
$
|
13,708
|
|
Excess net capital
|
10,217
|
|
10,686
|
|
$ in millions
|
At September 30,
2020 |
At December 31,
2019 |
||||
Net capital
|
$
|
2,758
|
|
$
|
3,387
|
|
Excess net capital
|
2,581
|
|
3,238
|
|
|
81
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
Shares
Outstanding
|
|
Carrying Value
|
||||||||
$ in millions, except per share data
|
At
September 30, 2020 |
Liquidation
Preference
per Share
|
At
September 30, 2020 |
At
December 31, 2019 |
|||||||
Series
|
|
|
|
||||||||
A
|
44,000
|
|
$
|
25,000
|
|
$
|
1,100
|
|
$
|
1,100
|
|
C1
|
519,882
|
|
1,000
|
|
408
|
|
408
|
|
|||
E
|
34,500
|
|
25,000
|
|
862
|
|
862
|
|
|||
F
|
34,000
|
|
25,000
|
|
850
|
|
850
|
|
|||
H
|
52,000
|
|
25,000
|
|
1,300
|
|
1,300
|
|
|||
I
|
40,000
|
|
25,000
|
|
1,000
|
|
1,000
|
|
|||
J
|
60,000
|
|
25,000
|
|
1,500
|
|
1,500
|
|
|||
K
|
40,000
|
|
25,000
|
|
1,000
|
|
1,000
|
|
|||
L
|
20,000
|
|
25,000
|
|
500
|
|
500
|
|
|||
Total
|
$
|
8,520
|
|
$
|
8,520
|
|
|||||
Shares authorized
|
30,000,000
|
|
1.
|
Series C preferred stock is held by MUFG.
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||
in millions
|
2020
|
2019
|
2020
|
2019
|
||||
Weighted average common shares outstanding, basic
|
1,542
|
|
1,604
|
|
1,546
|
|
1,632
|
|
Effect of dilutive Stock options, RSUs and PSUs
|
24
|
|
23
|
|
19
|
|
21
|
|
Weighted average common shares outstanding and common stock equivalents, diluted
|
1,566
|
|
1,627
|
|
1,565
|
|
1,653
|
|
Weighted average antidilutive common stock equivalents (excluded from the computation of diluted EPS)
|
—
|
|
—
|
|
7
|
|
2
|
|
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Repurchases of common stock under the Firm's Share Repurchase Program
|
$
|
—
|
|
$
|
1,500
|
|
$
|
1,347
|
|
$
|
3,860
|
|
$ in millions, except per
share data
|
Three Months Ended
September 30, 2020 |
Three Months Ended
September 30, 2019 |
||||||||||
Per Share1
|
Total
|
Per Share1
|
Total
|
|||||||||
Preferred Stock Series
|
|
|
|
|
||||||||
A
|
$
|
256
|
|
$
|
11
|
|
$
|
256
|
|
$
|
11
|
|
C
|
25
|
|
13
|
|
25
|
|
13
|
|
||||
E
|
445
|
|
15
|
|
445
|
|
15
|
|
||||
F
|
430
|
|
15
|
|
430
|
|
15
|
|
||||
G2
|
—
|
|
—
|
|
414
|
|
8
|
|
||||
H3
|
248
|
|
13
|
|
378
|
|
20
|
|
||||
I
|
398
|
|
16
|
|
398
|
|
16
|
|
||||
J4
|
261
|
|
16
|
|
—
|
|
—
|
|
||||
K
|
366
|
|
15
|
|
366
|
|
15
|
|
||||
L
|
305
|
|
6
|
|
—
|
|
—
|
|
||||
Total Preferred stock
|
|
$
|
120
|
|
|
$
|
113
|
|
||||
Common stock
|
0.35
|
|
$
|
551
|
|
$
|
0.35
|
|
$
|
577
|
|
September 2020 Form 10-Q
|
82
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
$ in millions, except per
share data
|
Nine Months Ended
September 30, 2020 |
Nine Months Ended
September 30, 2019 |
||||||||||
Per Share1
|
Total
|
Per Share1
|
Total
|
|||||||||
Preferred Stock Series
|
|
|
|
|
||||||||
A
|
$
|
761
|
|
$
|
33
|
|
$
|
758
|
|
$
|
33
|
|
C
|
75
|
|
39
|
|
75
|
|
39
|
|
||||
E
|
1,336
|
|
45
|
|
1,336
|
|
45
|
|
||||
F
|
1,289
|
|
44
|
|
1,289
|
|
45
|
|
||||
G2
|
—
|
|
—
|
|
1,242
|
|
24
|
|
||||
H3
|
897
|
|
47
|
|
1,059
|
|
55
|
|
||||
I
|
1,195
|
|
48
|
|
1,195
|
|
48
|
|
||||
J4
|
955
|
|
58
|
|
694
|
|
42
|
|
||||
K
|
1,097
|
|
45
|
|
1,097
|
|
45
|
|
||||
L
|
914
|
|
18
|
|
—
|
|
—
|
|
||||
Total Preferred stock
|
|
$
|
377
|
|
|
$
|
376
|
|
||||
Common stock
|
1.05
|
|
$
|
1,662
|
|
$
|
0.95
|
|
$
|
1,594
|
|
1.
|
Common and Preferred Stock dividends are payable quarterly, unless otherwise noted.
|
2.
|
Series G preferred stock was redeemed during the first quarter of 2020. For further information, see Note 16 to the financial statements in the 2019 Form 10-K.
|
3.
|
Series H was payable semiannually until July 15, 2019, and is now payable quarterly.
|
4.
|
Series J was payable semiannually until July 15, 2020, and is now payable quarterly.
|
|
Nine Months Ended
|
||
$ in millions
|
September 30, 2020
|
||
Financial Instruments—Credit Losses
|
$
|
(100
|
)
|
|
Nine Months Ended
|
||
$ in millions
|
September 30, 2019
|
||
Leases
|
$
|
63
|
|
$ in millions
|
CTA
|
AFS
Securities
|
Pension,
Postretirement
and Other
|
DVA
|
Total
|
||||||||||
June 30, 2020
|
$
|
(1,017
|
)
|
$
|
1,827
|
|
$
|
(620
|
)
|
$
|
(189
|
)
|
$
|
1
|
|
OCI during the period
|
81
|
|
(62
|
)
|
5
|
|
(562
|
)
|
(538
|
)
|
|||||
September 30, 2020
|
$
|
(936
|
)
|
$
|
1,765
|
|
$
|
(615
|
)
|
$
|
(751
|
)
|
$
|
(537
|
)
|
June 30, 2019
|
$
|
(865
|
)
|
$
|
108
|
|
$
|
(574
|
)
|
$
|
(720
|
)
|
$
|
(2,051
|
)
|
OCI during the period
|
(96
|
)
|
214
|
|
3
|
|
332
|
|
453
|
|
|||||
September 30, 2019
|
$
|
(961
|
)
|
$
|
322
|
|
$
|
(571
|
)
|
$
|
(388
|
)
|
$
|
(1,598
|
)
|
December 31, 2019
|
$
|
(897
|
)
|
$
|
207
|
|
$
|
(644
|
)
|
$
|
(1,454
|
)
|
$
|
(2,788
|
)
|
OCI during the period
|
(39
|
)
|
1,558
|
|
29
|
|
703
|
|
2,251
|
|
|||||
September 30, 2020
|
$
|
(936
|
)
|
$
|
1,765
|
|
$
|
(615
|
)
|
$
|
(751
|
)
|
$
|
(537
|
)
|
December 31, 2018
|
$
|
(889
|
)
|
$
|
(930
|
)
|
$
|
(578
|
)
|
$
|
105
|
|
$
|
(2,292
|
)
|
OCI during the period
|
(72
|
)
|
1,252
|
|
7
|
|
(493
|
)
|
694
|
|
|||||
September 30, 2019
|
$
|
(961
|
)
|
$
|
322
|
|
$
|
(571
|
)
|
$
|
(388
|
)
|
$
|
(1,598
|
)
|
1.
|
Amounts are net of tax and noncontrolling interests.
|
|
Three Months Ended
September 30, 2020 |
||||||||||||||
$ in millions
|
Pre-tax
Gain (Loss) |
Income
Tax Benefit (Provision) |
After-tax
Gain (Loss) |
Non-
controlling Interests |
Net
|
||||||||||
CTA
|
|||||||||||||||
OCI activity
|
$
|
34
|
|
$
|
76
|
|
$
|
110
|
|
$
|
29
|
|
$
|
81
|
|
Reclassified to earnings
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
Net OCI
|
$
|
34
|
|
$
|
76
|
|
$
|
110
|
|
$
|
29
|
|
$
|
81
|
|
Change in net unrealized gains (losses) on AFS securities
|
|||||||||||||||
OCI activity
|
$
|
(26
|
)
|
$
|
6
|
|
$
|
(20
|
)
|
$
|
—
|
|
$
|
(20
|
)
|
Reclassified to earnings
|
(55
|
)
|
13
|
|
(42
|
)
|
—
|
|
(42
|
)
|
|||||
Net OCI
|
$
|
(81
|
)
|
$
|
19
|
|
$
|
(62
|
)
|
$
|
—
|
|
$
|
(62
|
)
|
Pension, postretirement and other
|
|||||||||||||||
OCI activity
|
$
|
(1
|
)
|
$
|
1
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
Reclassified to earnings
|
6
|
|
(1
|
)
|
5
|
|
—
|
|
5
|
|
|||||
Net OCI
|
$
|
5
|
|
$
|
—
|
|
$
|
5
|
|
$
|
—
|
|
$
|
5
|
|
Change in net DVA
|
|||||||||||||||
OCI activity
|
$
|
(747
|
)
|
$
|
178
|
|
$
|
(569
|
)
|
$
|
(1
|
)
|
$
|
(568
|
)
|
Reclassified to earnings
|
8
|
|
(2
|
)
|
6
|
|
—
|
|
6
|
|
|||||
Net OCI
|
$
|
(739
|
)
|
$
|
176
|
|
$
|
(563
|
)
|
$
|
(1
|
)
|
$
|
(562
|
)
|
|
Three Months Ended
September 30, 2019 |
||||||||||||||
$ in millions
|
Pre-tax
Gain (Loss) |
Income
Tax Benefit (Provision) |
After-tax
Gain (Loss) |
Non-
controlling Interests |
Net
|
||||||||||
CTA
|
|||||||||||||||
OCI activity
|
$
|
(26
|
)
|
$
|
(73
|
)
|
$
|
(99
|
)
|
$
|
(3
|
)
|
$
|
(96
|
)
|
Reclassified to earnings
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
Net OCI
|
$
|
(26
|
)
|
$
|
(73
|
)
|
$
|
(99
|
)
|
$
|
(3
|
)
|
$
|
(96
|
)
|
Change in net unrealized gains (losses) on AFS securities
|
|||||||||||||||
OCI activity
|
$
|
307
|
|
$
|
(73
|
)
|
$
|
234
|
|
$
|
—
|
|
$
|
234
|
|
Reclassified to earnings
|
(26
|
)
|
6
|
|
(20
|
)
|
—
|
|
(20
|
)
|
|||||
Net OCI
|
$
|
281
|
|
$
|
(67
|
)
|
$
|
214
|
|
$
|
—
|
|
$
|
214
|
|
Pension, postretirement and other
|
|||||||||||||||
OCI activity
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
Reclassified to earnings
|
4
|
|
(1
|
)
|
3
|
|
—
|
|
3
|
|
|||||
Net OCI
|
$
|
4
|
|
$
|
(1
|
)
|
$
|
3
|
|
$
|
—
|
|
$
|
3
|
|
Change in net DVA
|
|||||||||||||||
OCI activity
|
$
|
441
|
|
$
|
(106
|
)
|
$
|
335
|
|
$
|
5
|
|
$
|
330
|
|
Reclassified to earnings
|
2
|
|
—
|
|
2
|
|
—
|
|
2
|
|
|||||
Net OCI
|
$
|
443
|
|
$
|
(106
|
)
|
$
|
337
|
|
$
|
5
|
|
$
|
332
|
|
|
83
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
Nine Months Ended
September 30, 2020 |
||||||||||||||
$ in millions
|
Pre-tax
Gain (Loss) |
Income
Tax Benefit (Provision) |
After-tax
Gain (Loss) |
Non-
controlling Interests |
Net
|
||||||||||
CTA
|
|||||||||||||||
OCI activity
|
$
|
19
|
|
$
|
(17
|
)
|
$
|
2
|
|
$
|
38
|
|
$
|
(36
|
)
|
Reclassified to earnings
|
(3
|
)
|
—
|
|
(3
|
)
|
—
|
|
(3
|
)
|
|||||
Net OCI
|
$
|
16
|
|
$
|
(17
|
)
|
$
|
(1
|
)
|
$
|
38
|
|
$
|
(39
|
)
|
Change in net unrealized gains (losses) on AFS securities
|
|||||||||||||||
OCI activity
|
$
|
2,142
|
|
$
|
(503
|
)
|
$
|
1,639
|
|
$
|
—
|
|
$
|
1,639
|
|
Reclassified to earnings
|
(106
|
)
|
25
|
|
(81
|
)
|
—
|
|
(81
|
)
|
|||||
Net OCI
|
$
|
2,036
|
|
$
|
(478
|
)
|
$
|
1,558
|
|
$
|
—
|
|
$
|
1,558
|
|
Pension, postretirement and other
|
|||||||||||||||
OCI activity
|
$
|
20
|
|
$
|
(4
|
)
|
$
|
16
|
|
$
|
—
|
|
$
|
16
|
|
Reclassified to earnings
|
16
|
|
(3
|
)
|
13
|
|
—
|
|
13
|
|
|||||
Net OCI
|
$
|
36
|
|
$
|
(7
|
)
|
$
|
29
|
|
$
|
—
|
|
$
|
29
|
|
Change in net DVA
|
|||||||||||||||
OCI activity
|
$
|
967
|
|
$
|
(233
|
)
|
$
|
734
|
|
$
|
41
|
|
$
|
693
|
|
Reclassified to earnings
|
14
|
|
(4
|
)
|
10
|
|
—
|
|
10
|
|
|||||
Net OCI
|
$
|
981
|
|
$
|
(237
|
)
|
$
|
744
|
|
$
|
41
|
|
$
|
703
|
|
|
Nine Months Ended
September 30, 2019 |
||||||||||||||
$ in millions
|
Pre-tax
Gain (Loss) |
Income
Tax Benefit (Provision) |
After-tax
Gain (Loss) |
Non-
controlling Interests |
Net
|
||||||||||
CTA
|
|||||||||||||||
OCI activity
|
$
|
2
|
|
$
|
(58
|
)
|
$
|
(56
|
)
|
$
|
16
|
|
$
|
(72
|
)
|
Reclassified to earnings
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||
Net OCI
|
$
|
2
|
|
$
|
(58
|
)
|
$
|
(56
|
)
|
$
|
16
|
|
$
|
(72
|
)
|
Change in net unrealized gains (losses) on AFS securities
|
|||||||||||||||
OCI activity
|
$
|
1,726
|
|
$
|
(406
|
)
|
$
|
1,320
|
|
$
|
—
|
|
$
|
1,320
|
|
Reclassified to earnings
|
(89
|
)
|
21
|
|
(68
|
)
|
—
|
|
(68
|
)
|
|||||
Net OCI
|
$
|
1,637
|
|
$
|
(385
|
)
|
$
|
1,252
|
|
$
|
—
|
|
$
|
1,252
|
|
Pension, postretirement and other
|
|||||||||||||||
OCI activity
|
$
|
—
|
|
$
|
(1
|
)
|
$
|
(1
|
)
|
$
|
—
|
|
$
|
(1
|
)
|
Reclassified to earnings
|
10
|
|
(2
|
)
|
8
|
|
—
|
|
8
|
|
|||||
Net OCI
|
$
|
10
|
|
$
|
(3
|
)
|
$
|
7
|
|
$
|
—
|
|
$
|
7
|
|
Change in net DVA
|
|||||||||||||||
OCI activity
|
$
|
(713
|
)
|
$
|
177
|
|
$
|
(536
|
)
|
$
|
(36
|
)
|
$
|
(500
|
)
|
Reclassified to earnings
|
9
|
|
(2
|
)
|
7
|
|
—
|
|
7
|
|
|||||
Net OCI
|
$
|
(704
|
)
|
$
|
175
|
|
$
|
(529
|
)
|
$
|
(36
|
)
|
$
|
(493
|
)
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Interest income
|
|
|
|
|
||||||||
Investment securities
|
$
|
529
|
|
$
|
579
|
|
$
|
1,603
|
|
$
|
1,563
|
|
Loans
|
967
|
|
1,208
|
|
3,171
|
|
3,599
|
|
||||
Securities purchased under agreements to resell and Securities borrowed1
|
(187
|
)
|
871
|
|
70
|
|
2,865
|
|
||||
Trading assets, net of Trading liabilities
|
537
|
|
728
|
|
1,902
|
|
2,188
|
|
||||
Customer receivables and Other2
|
210
|
|
964
|
|
1,171
|
|
2,931
|
|
||||
Total interest income
|
$
|
2,056
|
|
$
|
4,350
|
|
$
|
7,917
|
|
$
|
13,146
|
|
|
|
|
|
|
||||||||
Interest expense
|
|
|
|
|
||||||||
Deposits
|
$
|
178
|
|
$
|
505
|
|
$
|
804
|
|
$
|
1,460
|
|
Borrowings
|
714
|
|
1,219
|
|
2,534
|
|
3,941
|
|
||||
Securities sold under agreements to repurchase and Securities loaned3
|
165
|
|
681
|
|
883
|
|
2,016
|
|
||||
Customer payables and Other4
|
(487
|
)
|
727
|
|
(746
|
)
|
2,468
|
|
||||
Total interest expense
|
$
|
570
|
|
$
|
3,132
|
|
$
|
3,475
|
|
$
|
9,885
|
|
Net interest
|
$
|
1,486
|
|
$
|
1,218
|
|
$
|
4,442
|
|
$
|
3,261
|
|
1.
|
Includes fees paid on Securities borrowed.
|
2.
|
Includes interest from Cash and cash equivalents.
|
3.
|
Includes fees received on Securities loaned.
|
4.
|
Includes fees received from prime brokerage customers for stock loan transactions entered into to cover customers’ short positions.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Customer and other receivables
|
$
|
2,244
|
|
$
|
1,661
|
|
Customer and other payables
|
2,545
|
|
2,223
|
|
September 2020 Form 10-Q
|
84
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Recurring1
|
$
|
—
|
|
$
|
—
|
|
$
|
(94
|
)
|
$
|
(127
|
)
|
Intermittent
|
(113
|
)
|
(89
|
)
|
(10
|
)
|
(190
|
)
|
|
Three Months Ended September 30, 2020
|
||||||||||||||
$ in millions
|
IS
|
WM
|
IM
|
I/E
|
Total
|
||||||||||
Investment banking
|
$
|
1,707
|
|
$
|
135
|
|
$
|
—
|
|
$
|
(16
|
)
|
$
|
1,826
|
|
Trading
|
2,807
|
|
268
|
|
2
|
|
15
|
|
3,092
|
|
|||||
Investments
|
87
|
|
1
|
|
258
|
|
—
|
|
346
|
|
|||||
Commissions and fees1
|
639
|
|
477
|
|
1
|
|
(80
|
)
|
1,037
|
|
|||||
Asset management1
|
114
|
|
2,793
|
|
795
|
|
(38
|
)
|
3,664
|
|
|||||
Other
|
114
|
|
94
|
|
1
|
|
(3
|
)
|
206
|
|
|||||
Total non-interest revenues
|
5,468
|
|
3,768
|
|
1,057
|
|
(122
|
)
|
10,171
|
|
|||||
Interest income
|
1,086
|
|
1,065
|
|
7
|
|
(102
|
)
|
2,056
|
|
|||||
Interest expense
|
492
|
|
176
|
|
8
|
|
(106
|
)
|
570
|
|
|||||
Net interest
|
594
|
|
889
|
|
(1
|
)
|
4
|
|
1,486
|
|
|||||
Net revenues
|
$
|
6,062
|
|
$
|
4,657
|
|
$
|
1,056
|
|
$
|
(118
|
)
|
$
|
11,657
|
|
Income before provision for income taxes
|
$
|
2,048
|
|
$
|
1,120
|
|
$
|
315
|
|
$
|
4
|
|
$
|
3,487
|
|
Provision for income taxes
|
385
|
|
278
|
|
72
|
|
1
|
|
736
|
|
|||||
Net income
|
1,663
|
|
842
|
|
243
|
|
3
|
|
2,751
|
|
|||||
Net income applicable to noncontrolling interests
|
16
|
|
—
|
|
18
|
|
—
|
|
34
|
|
|||||
Net income applicable to Morgan Stanley
|
$
|
1,647
|
|
$
|
842
|
|
$
|
225
|
|
$
|
3
|
|
$
|
2,717
|
|
|
Three Months Ended September 30, 2019
|
||||||||||||||
$ in millions
|
IS
|
WM
|
IM
|
I/E
|
Total
|
||||||||||
Investment banking
|
$
|
1,535
|
|
$
|
118
|
|
$
|
—
|
|
$
|
(18
|
)
|
$
|
1,635
|
|
Trading
|
2,533
|
|
61
|
|
2
|
|
12
|
|
2,608
|
|
|||||
Investments
|
(18
|
)
|
—
|
|
105
|
|
—
|
|
87
|
|
|||||
Commissions and fees1
|
643
|
|
416
|
|
1
|
|
(70
|
)
|
990
|
|
|||||
Asset management1
|
100
|
|
2,639
|
|
664
|
|
(40
|
)
|
3,363
|
|
|||||
Other
|
51
|
|
81
|
|
—
|
|
(1
|
)
|
131
|
|
|||||
Total non-interest revenues
|
4,844
|
|
3,315
|
|
772
|
|
(117
|
)
|
8,814
|
|
|||||
Interest income
|
3,112
|
|
1,378
|
|
4
|
|
(144
|
)
|
4,350
|
|
|||||
Interest expense
|
2,933
|
|
335
|
|
12
|
|
(148
|
)
|
3,132
|
|
|||||
Net interest
|
179
|
|
1,043
|
|
(8
|
)
|
4
|
|
1,218
|
|
|||||
Net revenues
|
$
|
5,023
|
|
$
|
4,358
|
|
$
|
764
|
|
$
|
(113
|
)
|
$
|
10,032
|
|
Income before provision for income taxes
|
$
|
1,307
|
|
$
|
1,238
|
|
$
|
165
|
|
$
|
—
|
|
$
|
2,710
|
|
Provision for income taxes
|
189
|
|
276
|
|
27
|
|
—
|
|
492
|
|
|||||
Net income
|
1,118
|
|
962
|
|
138
|
|
—
|
|
2,218
|
|
|||||
Net income applicable to noncontrolling interests
|
45
|
|
—
|
|
—
|
|
—
|
|
45
|
|
|||||
Net income applicable to Morgan Stanley
|
$
|
1,073
|
|
$
|
962
|
|
$
|
138
|
|
$
|
—
|
|
$
|
2,173
|
|
|
85
|
September 2020 Form 10-Q
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
Nine Months Ended September 30, 2020
|
||||||||||||||
$ in millions
|
IS
|
WM
|
IM
|
I/E
|
Total
|
||||||||||
Investment banking
|
$
|
4,902
|
|
$
|
403
|
|
$
|
—
|
|
$
|
(66
|
)
|
$
|
5,239
|
|
Trading
|
10,375
|
|
413
|
|
(13
|
)
|
56
|
|
10,831
|
|
|||||
Investments
|
98
|
|
9
|
|
552
|
|
—
|
|
659
|
|
|||||
Commissions and fees1
|
2,230
|
|
1,538
|
|
1
|
|
(270
|
)
|
3,499
|
|
|||||
Asset management1
|
342
|
|
7,980
|
|
2,144
|
|
(120
|
)
|
10,346
|
|
|||||
Other
|
(628
|
)
|
216
|
|
(39
|
)
|
(7
|
)
|
(458
|
)
|
|||||
Total non-interest revenues
|
17,319
|
|
10,559
|
|
2,645
|
|
(407
|
)
|
30,116
|
|
|||||
Interest income
|
4,809
|
|
3,468
|
|
22
|
|
(382
|
)
|
7,917
|
|
|||||
Interest expense
|
3,184
|
|
653
|
|
33
|
|
(395
|
)
|
3,475
|
|
|||||
Net interest
|
1,625
|
|
2,815
|
|
(11
|
)
|
13
|
|
4,442
|
|
|||||
Net revenues
|
$
|
18,944
|
|
$
|
13,374
|
|
$
|
2,634
|
|
$
|
(394
|
)
|
$
|
34,558
|
|
Income before provision for income taxes
|
$
|
5,991
|
|
$
|
3,317
|
|
$
|
674
|
|
$
|
6
|
|
$
|
9,988
|
|
Provision for income taxes
|
1,326
|
|
758
|
|
136
|
|
1
|
|
2,221
|
|
|||||
Net income
|
4,665
|
|
2,559
|
|
538
|
|
5
|
|
7,767
|
|
|||||
Net income applicable to noncontrolling interests
|
75
|
|
—
|
|
81
|
|
—
|
|
156
|
|
|||||
Net income applicable to Morgan Stanley
|
$
|
4,590
|
|
$
|
2,559
|
|
$
|
457
|
|
$
|
5
|
|
$
|
7,611
|
|
|
Nine Months Ended September 30, 2019
|
||||||||||||||
$ in millions
|
IS
|
WM
|
IM
|
I/E
|
Total
|
||||||||||
Investment banking
|
$
|
4,158
|
|
$
|
365
|
|
$
|
(1
|
)
|
$
|
(55
|
)
|
$
|
4,467
|
|
Trading
|
8,221
|
|
525
|
|
(2
|
)
|
37
|
|
8,781
|
|
|||||
Investments
|
257
|
|
1
|
|
543
|
|
—
|
|
801
|
|
|||||
Commissions and fees1
|
1,889
|
|
1,250
|
|
1
|
|
(205
|
)
|
2,935
|
|
|||||
Asset management1
|
310
|
|
7,544
|
|
1,893
|
|
(115
|
)
|
9,632
|
|
|||||
Other
|
416
|
|
281
|
|
(6
|
)
|
(6
|
)
|
685
|
|
|||||
Total non-interest revenues
|
15,251
|
|
9,966
|
|
2,428
|
|
(344
|
)
|
27,301
|
|
|||||
Interest income
|
9,457
|
|
4,139
|
|
14
|
|
(464
|
)
|
13,146
|
|
|||||
Interest expense
|
9,376
|
|
950
|
|
35
|
|
(476
|
)
|
9,885
|
|
|||||
Net interest
|
81
|
|
3,189
|
|
(21
|
)
|
12
|
|
3,261
|
|
|||||
Net revenues
|
$
|
15,332
|
|
$
|
13,155
|
|
$
|
2,407
|
|
$
|
(332
|
)
|
$
|
30,562
|
|
Income before provision for income taxes
|
$
|
4,365
|
|
$
|
3,669
|
|
$
|
538
|
|
$
|
(4
|
)
|
$
|
8,568
|
|
Provision for income taxes
|
703
|
|
830
|
|
104
|
|
(1
|
)
|
1,636
|
|
|||||
Net income
|
3,662
|
|
2,839
|
|
434
|
|
(3
|
)
|
6,932
|
|
|||||
Net income applicable to noncontrolling interests
|
97
|
|
—
|
|
32
|
|
—
|
|
129
|
|
|||||
Net income applicable to Morgan Stanley
|
$
|
3,565
|
|
$
|
2,839
|
|
$
|
402
|
|
$
|
(3
|
)
|
$
|
6,803
|
|
1.
|
Substantially all revenues are from contracts with customers.
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Institutional Securities Advisory
|
$
|
357
|
|
$
|
550
|
|
$
|
1,181
|
|
$
|
1,462
|
|
Institutional Securities Underwriting
|
1,350
|
|
985
|
|
3,721
|
|
2,696
|
|
||||
Firm Investment banking revenues from contracts with customers
|
95
|
%
|
85
|
%
|
92
|
%
|
90
|
%
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Interest rate
|
$
|
511
|
|
$
|
894
|
|
$
|
2,593
|
|
$
|
2,283
|
|
Foreign exchange
|
138
|
|
69
|
|
603
|
|
383
|
|
||||
Equity security and index1
|
1,478
|
|
1,076
|
|
4,494
|
|
4,005
|
|
||||
Commodity and other
|
495
|
|
300
|
|
1,363
|
|
986
|
|
||||
Credit
|
470
|
|
269
|
|
1,778
|
|
1,124
|
|
||||
Total
|
$
|
3,092
|
|
$
|
2,608
|
|
$
|
10,831
|
|
$
|
8,781
|
|
1.
|
Dividend income is included within equity security and index contracts.
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Net cumulative unrealized performance-based fees at risk of reversing
|
$
|
761
|
|
$
|
774
|
|
September 2020 Form 10-Q
|
86
|
|
|
|
Notes to Consolidated Financial Statements
(Unaudited)
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Fee waivers
|
$
|
37
|
|
$
|
11
|
|
$
|
70
|
|
$
|
32
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Americas
|
$
|
8,387
|
|
$
|
7,489
|
|
$
|
24,798
|
|
$
|
22,336
|
|
EMEA
|
1,473
|
|
1,409
|
|
4,670
|
|
4,687
|
|
||||
Asia
|
1,797
|
|
1,134
|
|
5,090
|
|
3,539
|
|
||||
Total
|
$
|
11,657
|
|
$
|
10,032
|
|
$
|
34,558
|
|
$
|
30,562
|
|
|
Three Months Ended
September 30, |
Nine Months Ended
September 30, |
||||||||||
$ in millions
|
2020
|
2019
|
2020
|
2019
|
||||||||
Non-interest revenues
|
$
|
556
|
|
$
|
841
|
|
$
|
1,616
|
|
$
|
1,995
|
|
$ in millions
|
At
September 30, 2020 |
At
December 31, 2019 |
||||
Customer and other receivables
|
$
|
2,854
|
|
$
|
2,916
|
|
|
87
|
September 2020 Form 10-Q
|
1.
|
Amounts include primarily U.S. balances.
|
2.
|
Includes fees paid on Securities borrowed.
|
3.
|
Excludes non-interest earning assets and non-interest bearing liabilities, such as equity securities.
|
4.
|
Includes Cash and cash equivalents.
|
5.
|
Includes borrowings carried at fair value, whose interest expense is considered part of fair value and therefore is recorded within Trading revenues.
|
6.
|
Includes fees received on Securities loaned. The annualized average rate was calculated using (a) interest expense incurred on all securities sold under agreements to repurchase and securities loaned transactions, whether or not such transactions were reported in the balance sheets and (b) net average on-balance sheet balances, which exclude certain securities-for-securities transactions.
|
7.
|
Includes fees received from prime brokerage customers for stock loan transactions entered into to cover customers’ short positions.
|
September 2020 Form 10-Q
|
88
|
|
|
|
Glossary of Common Terms and Acronyms
|
|
2019 Form 10-K
|
Annual report on Form 10-K for year ended December 31, 2019 filed with the SEC
|
|
|
ABS
|
Asset-backed securities
|
|
|
ACL
|
Allowance for credit losses
|
|
|
AFS
|
Available-for-sale
|
|
|
AML
|
Anti-money laundering
|
|
|
AOCI
|
Accumulated other comprehensive income (loss)
|
|
|
AUM
|
Assets under management or supervision
|
|
|
Balance sheets
|
Consolidated balance sheets
|
|
|
BEAT
|
Base erosion and anti-abuse tax
|
|
|
BHC
|
Bank holding company
|
|
|
bps
|
Basis points; one basis point equals 1/100th of 1%
|
|
|
Cash flow statements
|
Consolidated cash flow statements
|
|
|
CCAR
|
Comprehensive Capital Analysis and Review
|
|
|
CCyB
|
Countercyclical capital buffer
|
|
|
CDO
|
Collateralized debt obligation(s), including Collateralized loan obligation(s)
|
|
|
CDS
|
Credit default swaps
|
|
|
CECL
|
Current Expected Credit Losses, as calculated under the Financial Instruments—Credit Losses accounting update
|
|
|
CFTC
|
U.S. Commodity Futures Trading Commission
|
|
|
CLN
|
Credit-linked note(s)
|
|
|
CLO
|
Collateralized loan obligation(s)
|
|
|
CMBS
|
Commercial mortgage-backed securities
|
|
|
CMO
|
Collateralized mortgage obligation(s)
|
|
|
CVA
|
Credit valuation adjustment
|
|
|
DVA
|
Debt valuation adjustment
|
|
|
EBITDA
|
Earnings before interest, taxes, depreciation and amortization
|
ELN
|
Equity-linked note(s)
|
|
|
EMEA
|
Europe, Middle East and Africa
|
|
|
EPS
|
Earnings per common share
|
|
|
E.U.
|
European Union
|
|
|
FDIC
|
Federal Deposit Insurance Corporation
|
|
|
FFELP
|
Federal Family Education Loan Program
|
|
|
FFIEC
|
Federal Financial Institutions Examination Council
|
|
|
FHC
|
Financial Holding Company
|
|
|
FICC
|
Fixed Income Clearing Corporation
|
|
|
FICO
|
Fair Isaac Corporation
|
|
|
Financial statements
|
Consolidated financial statements
|
|
|
FVA
|
Funding valuation adjustment
|
|
|
GILTI
|
Global Intangible Low-Taxed Income
|
|
|
G-SIB
|
Global systemically important banks
|
|
|
HELOC
|
Home Equity Line of Credit
|
|
|
HQLA
|
High-quality liquid assets
|
|
|
HTM
|
Held-to-maturity
|
|
|
I/E
|
Intersegment eliminations
|
|
|
IHC
|
Intermediate holding company
|
|
|
IM
|
Investment Management
|
|
|
Income statements
|
Consolidated income statements
|
|
|
IRS
|
Internal Revenue Service
|
|
|
IS
|
Institutional Securities
|
|
|
LCR
|
Liquidity coverage ratio, as adopted by the U.S. banking agencies
|
|
|
LIBOR
|
London Interbank Offered Rate
|
|
|
M&A
|
Merger, acquisition and restructuring transaction
|
|
|
MSBNA
|
Morgan Stanley Bank, N.A.
|
|
|
MS&Co.
|
Morgan Stanley & Co. LLC
|
|
|
|
89
|
September 2020 Form 10-Q
|
|
|
Glossary of Common Terms and Acronyms
|
|
ROE
|
Return on average common equity
|
|
|
ROTCE
|
Return on average tangible common equity
|
|
|
ROU
|
Right-of-use
|
|
|
RSU
|
Restricted stock unit
|
|
|
RWA
|
Risk-weighted assets
|
|
|
SEC
|
U.S. Securities and Exchange Commission
|
|
|
SLR
|
Supplementary leverage ratio
|
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
|
S&P
|
Standard & Poor’s
|
|
|
SPE
|
Special purpose entity
|
|
|
SPOE
|
Single point of entry
|
|
|
TDR
|
Troubled debt restructuring
|
|
|
TLAC
|
Total loss-absorbing capacity
|
|
|
U.K.
|
United Kingdom
|
|
|
UPB
|
Unpaid principal balance
|
|
|
U.S.
|
United States of America
|
|
|
U.S. GAAP
|
Accounting principles generally accepted in the United States of America
|
|
|
VaR
|
Value-at-Risk
|
|
|
VIE
|
Variable interest entity
|
|
|
WACC
|
Implied weighted average cost of capital
|
|
|
WM
|
Wealth Management
|
September 2020 Form 10-Q
|
90
|
|
$ in millions, except per share data
|
Total
Number of Shares Purchased1
|
Average Price Paid Per Share
|
Total Shares
Purchased as Part of Share Repurchase Program2,3
|
Dollar Value of Remaining Authorized Repurchase
|
||||||
July
|
30,610
|
|
$
|
48.10
|
|
—
|
|
$
|
—
|
|
August
|
560,008
|
|
$
|
48.90
|
|
—
|
|
$
|
—
|
|
September
|
18,360
|
|
$
|
52.08
|
|
—
|
|
$
|
—
|
|
Total
|
608,978
|
|
$
|
48.96
|
|
—
|
|
|
1.
|
Refers to shares acquired by the Firm in satisfaction of the tax withholding obligations on stock-based awards granted under the Firm’s stock-based compensation plans during the three months ended September 30, 2020.
|
2.
|
Share purchases under publicly announced programs are made pursuant to open-market purchases, Rule 10b5-1 plans or privately negotiated transactions (including with employee benefit plans) as market conditions warrant and at prices the Firm deems appropriate and may be suspended at any time. On April 18, 2018, the Firm entered into a sales plan with Mitsubishi UFJ Financial Group, Inc. (“MUFG”). See Note 17 to the financial statements for further information on the sales plan.
|
3.
|
The Firm’s Board of Directors has authorized the repurchase of the Firm’s outstanding stock under a share repurchase program (the “Share Repurchase Program”) from time to time as conditions warrant and subject to regulatory non-objection. The Share Repurchase Program is a program for capital management purposes that considers, among other things, business segment capital needs, as well as equity-based compensation and benefit plan requirements. The Share Repurchase Program has no set expiration or termination date.
|
|
91
|
September 2020 Form 10-Q
|
Exhibit No.
|
Description
|
|
|
3.1
|
|
|
|
10.1
|
|
|
|
15
|
|
|
|
31.1
|
|
|
|
31.2
|
|
|
|
32.1
|
|
|
|
32.2
|
|
|
|
101
|
Interactive Data Files pursuant to Rule 405 of Regulation S-T formatted in Inline eXtensible Business Reporting Language (“Inline XBRL”).
|
|
|
104
|
Cover Page Interactive Data File (formatted in Inline XBRL and contained in Exhibit 101).
|
September 2020 Form 10-Q
|
92
|
|
MORGAN STANLEY
(Registrant)
|
|
|
|
By:
|
/s/ JONATHAN PRUZAN
|
|
Jonathan Pruzan
Executive Vice President and
Chief Financial Officer
|
|
|
By:
|
/s/ RAJA J. AKRAM
|
|
Raja J. Akram
Deputy Chief Financial Officer,
Chief Accounting Officer and Controller
|
|
|
|
|
|
MORGAN STANLEY
|
||||
|
|
|||
By:
|
|
/s/ Martin M. Cohen
|
||
|
|
Name:
|
|
Martin M. Cohen
|
|
|
Office:
|
|
Vice President and Counsel
and Assistant Secretary
|
•
|
repurchases, redemptions or other acquisitions of shares of Junior Stock in connection with (1) any employment contract, benefit plan or other similar arrangement with or for the benefit of any one or more employees, officers, directors or consultants or (2) a dividend reinvestment or stockholder stock purchase plan;
|
•
|
an exchange, redemption, reclassification or conversion of any class or series of Junior Stock, or any junior stock of a subsidiary of the Corporation, for any class or series of Junior Stock;
|
•
|
the purchase of fractional interests in shares of Junior Stock under the conversion or exchange provisions of Junior Stock or the security being converted or exchanged;
|
•
|
any declaration of a dividend in connection with any stockholders’ rights plan, or the issuance of rights, stock or other property under any stockholders’ rights plan, or the redemption or repurchase of rights pursuant to the plan; or
|
•
|
any dividend in the form of stock, warrants, options or other rights where the dividend stock or the stock issuable upon exercise of such warrants, options or other rights is the same stock as that on which the dividend is being paid or ranks equal or junior to that stock.
|
Effective Date
|
|
$25.25
|
|
$26.00
|
|
$27.50
|
|
$30.00
|
|
$32.50
|
|
$35.00
|
|
$37.50
|
|
$40.00
|
||||||||
October 14, 2008
|
|
7.6040
|
|
|
7.1523
|
|
|
6.3231
|
|
|
5.1706
|
|
|
4.2577
|
|
|
3.5420
|
|
|
2.9855
|
|
|
2.5588
|
|
October 14, 2009
|
|
7.6040
|
|
|
7.0734
|
|
|
6.2025
|
|
|
4.9612
|
|
|
3.9362
|
|
|
3.0896
|
|
|
2.3903
|
|
|
1.8122
|
|
October 14, 2010 and thereafter
|
|
7.6040
|
|
|
7.0758
|
|
|
6.1992
|
|
|
4.9399
|
|
|
3.8789
|
|
|
2.9723
|
|
|
2.1872
|
|
|
1.4965
|
|
Effective Date
|
|
$45.00
|
|
$50.00
|
|
$55.00
|
|
$60.00
|
|
$70.00
|
|
$80.00
|
|
$90.00
|
|
$100.00
|
||||||||
October 14, 2008
|
|
1.9853
|
|
|
1.6463
|
|
|
1.4313
|
|
|
1.2805
|
|
|
1.0698
|
|
|
0.9198
|
|
|
0.8044
|
|
|
0.7122
|
|
October 14, 2009
|
|
0.9388
|
|
|
0.6034
|
|
|
0.5113
|
|
|
0.4532
|
|
|
0.3777
|
|
|
0.3252
|
|
|
0.2847
|
|
|
0.2523
|
|
October 14, 2010 and thereafter
|
|
0.3474
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
CR1
|
|
=
|
|
CR0
|
|
×
|
|
OS1
|
|
|
|
|
OS0
|
|
|
|
|
|
CR0
|
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the Record Date for such dividend or distribution, or the Close of Business on the effective date of such share split or combination, as applicable;
|
|
|
|
||
CR1
|
|
=
|
|
the new Conversion Rate in effect immediately after the Close of Business on the Record Date for such dividend or distribution, or the Close of Business on the effective date of such share split or share combination, as applicable;
|
|
|
|
||
OS0
|
|
=
|
|
the number of shares of Common Stock outstanding immediately prior to the Close of Business on the Record Date for such dividend or distribution, or the Close of Business on the effective date of such share split or share combination, as applicable; and
|
|
|
|
||
OS1
|
|
=
|
|
the number of shares of Common Stock outstanding immediately after such dividend or distribution, or the Close of Business on the effective date of such share split or share combination, as applicable.
|
|
|
|
|
|
|
|
|
|
CR1
|
|
=
|
|
CR0
|
|
×
|
|
OS0 + X
|
|
|
|
|
OS0 + Y
|
|
|
|
|
|
CR0
|
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the Record Date for such distribution;
|
|
|
|
||
CR1
|
|
=
|
|
the new Conversion Rate in effect immediately after the Close of Business on the Record Date for such distribution;
|
|
|
|
||
OS0
|
|
=
|
|
the number of shares of Common Stock outstanding immediately prior to the Close of Business on the Record Date for such distribution;
|
|
|
|
||
X
|
|
=
|
|
the total number of shares of Common Stock issuable pursuant to such rights or warrants; and
|
|
|
|
||
Y
|
|
=
|
|
the number of shares of common Stock equal to the aggregate price payable to exercise such rights or warrants divided by the average of the Closing Prices of the Common Stock over the ten consecutive Trading Day period ending on the Trading Day immediately preceding the Ex-Dividend Date for such distribution.
|
|
|
|
|
|
|
|
|
|
CR1
|
|
=
|
|
CR0
|
|
×
|
|
SP0
|
|
|
|
|
SP0 – FMV
|
|
|
|
|
|
CR0
|
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the Record Date for such distribution;
|
|
|
|
||
CR1
|
|
=
|
|
the new Conversion Rate in effect immediately after the Close of Business on the Record Date for such distribution;
|
|
|
|
||
SP0
|
|
=
|
|
the average of the Closing Prices of the Common Stock over the ten consecutive Trading Day period ending on the Trading Day immediately preceding the Ex-Dividend Date for such distribution; and
|
|
|
|
||
FMV
|
|
=
|
|
the fair market value (as determined in good faith by the Corporation’s Board of Directors) of the portion of Distributed Property with respect to each outstanding share of Common Stock on the Record Date for such distribution.
|
|
|
|
|
|
|
|
|
|
CR1
|
|
=
|
|
CR0
|
|
×
|
|
FMV + MP0
|
|
|
|
|
MP0
|
|
|
|
|
|
CR0
|
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the 10th Trading Day immediately following, and including, the effective date of the Spin-Off;
|
|
|
|
||
CR1
|
|
=
|
|
the new Conversion Rate in effect from and after the Close of Business on the 10th Trading Day immediately following, and including, the effective date of the Spin Off;
|
|
|
|
||
FMV
|
|
=
|
|
the average of the Closing Prices of the Capital Stock or similar equity interest distributed to holders of common Stock applicable to one share of Common Stock over the 10 consecutive Trading Day period immediately following, and including, the effective date of the Spin-Off; and
|
|
|
|
||
MP0
|
|
=
|
|
the average of the Closing Prices of Common Stock over the 10 consecutive Trading Day period immediately following, and including, the effective date of the Spin-Off.
|
|
|
|
|
|
|
|
|
|
CR1
|
|
=
|
|
CR0
|
|
×
|
|
SP0
|
|
|
|
|
SP0 – C
|
|
|
|
|
|
CR0
|
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the Record Date for such dividend or distribution;
|
|
|
|
||
CR1
|
|
=
|
|
the new Conversion Rate in effect immediately after the Close of Business on the Record Date for such dividend or distribution;
|
|
|
|
||
SP0
|
|
=
|
|
the average Closing Price of the Common Stock over the ten consecutive Trading Days ending on the Trading Day immediately preceding the Ex-Dividend Date for such dividend or distribution;
|
|
|
|
||
C
|
|
=
|
|
the amount in Cash per share the Corporation distributes or dividends to holders of Common Stock in excess of the Initial Dividend Threshold.
|
|
|
|
|
|
|
|
|
|
CR1
|
|
=
|
|
CR0
|
|
×
|
|
SP0
|
|
|
|
|
SP0 – C
|
|
|
|
|
|
CR0
|
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the Record Date for such dividend or distribution;
|
|
|
|
|
|
|
|
|
|
CR1
|
|
=
|
|
CR0
|
|
×
|
|
AC + (SP1 × OS1)
|
|
|
|
|
OS0 × SP1
|
|
|
|
|
|
CR0
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the expiration date;
|
|
|
|
|
||
CR1
|
=
|
|
the new Conversion Rate in effect immediately after the Close of Business on the expiration date;
|
|
|
|
|
||
AC
|
=
|
|
the aggregate value of all Cash and any other consideration (as determined in good faith by the Corporation’s Board of Directors) paid or payable for shares purchased in such tender or exchange offer;
|
|
|
|
|
||
OS0
|
=
|
|
the number of shares of Common Stock outstanding immediately prior to the date such tender or exchange offer expires;
|
|
|
|
|
||
OS1
|
=
|
|
the number of shares of Common Stock outstanding immediately after the date such tender or exchange offer expires (after giving effect to such tender offer or exchange offer); and
|
|
|
|
|
||
SP1
|
=
|
|
the average Closing Price of Common Stock over the ten consecutive Trading Days ending on the Trading Day next succeeding the expiration date.
|
|
|
|
MORGAN STANLEY
|
||
|
|
|
By:
|
|
/s/ Daniel B. Park
|
|
|
Name: Daniel B. Park
|
|
|
Title: Assistant Treasurer
|
Effective Date
|
|
$21.375
|
|
$22.50
|
|
$25.00
|
|
$27.50
|
|
$30.00
|
|
$32.50
|
|
$35.00
|
|
$40.00
|
||||||||
October 13, 2008
|
|
10.7854
|
|
|
9.8381
|
|
|
8.1076
|
|
|
6.7711
|
|
|
5.7228
|
|
|
4.8863
|
|
|
4.2143
|
|
|
3.2166
|
|
October 13, 2009
|
|
9.7691
|
|
|
8.7338
|
|
|
6.8121
|
|
|
5.2906
|
|
|
4.0621
|
|
|
3.0530
|
|
|
2.2300
|
|
|
1.3069
|
|
October 13, 2010 and thereafter
|
|
9.3474
|
|
|
8.2446
|
|
|
6.1634
|
|
|
4.4726
|
|
|
3.0670
|
|
|
1.8785
|
|
|
0.8903
|
|
|
—
|
|
Effective Date
|
|
$45.00
|
|
$50.00
|
|
$55.00
|
|
$60.00
|
|
$70.00
|
|
$80.00
|
|
$90.00
|
|
$100.00
|
||||||||
October 13, 2008
|
|
2.5277
|
|
|
2.0384
|
|
|
1.6809
|
|
|
1.4108
|
|
|
1.0417
|
|
|
0.8038
|
|
|
0.6426
|
|
|
0.5256
|
|
October 13, 2009
|
|
0.9877
|
|
|
0.7694
|
|
|
0.6160
|
|
|
0.5044
|
|
|
0.3599
|
|
|
0.2723
|
|
|
0.2160
|
|
|
0.1763
|
|
October 13, 2010 and thereafter
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
CR1
|
|
=
|
|
CR0
|
|
×
|
|
OS1
|
|
|
|
|
OS0
|
|
|
|
|
|
CR0
|
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the Record Date for such dividend or distribution, or the Close of Business on the effective date of such share split or combination, as applicable;
|
|
|
|
||
CR1
|
|
=
|
|
the new Conversion Rate in effect immediately after the Close of Business on the Record Date for such dividend or distribution, or the Close of Business on the effective date of such share split or share combination, as applicable;
|
|
|
|
||
OS0
|
|
=
|
|
the number of shares of Common Stock outstanding immediately prior to the Close of Business on the Record Date for such dividend or distribution, or the Close of Business on the effective date of such share split or share combination, as applicable; and
|
|
|
|
||
OS1
|
|
=
|
|
the number of shares of Common Stock outstanding immediately after such dividend or distribution, or the Close of Business on the effective date of such share split or share combination, as applicable.
|
|
|
|
|
|
|
|
|
|
CR1
|
|
=
|
|
CR0
|
|
×
|
|
OS0 + X
|
|
|
|
|
OS0 + Y
|
|
|
|
|
|
CR0
|
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the Record Date for such distribution;
|
|
|
|
||
CR1
|
|
=
|
|
the new Conversion Rate in effect immediately after the Close of Business on the Record Date for such distribution;
|
|
|
|
||
OS0
|
|
=
|
|
the number of shares of Common Stock outstanding immediately prior to the Close of Business on the Record Date for such distribution;
|
|
|
|
||
X
|
|
=
|
|
the total number of shares of Common Stock issuable pursuant to such rights or warrants; and
|
|
|
|
||
Y
|
|
=
|
|
the number of shares of Common Stock equal to the aggregate price payable to exercise such rights or warrants divided by the average of the Closing Prices of the Common Stock over the ten consecutive Trading Day period ending on the Trading Day immediately preceding the Ex-Dividend Date for such distribution.
|
|
|
|
|
|
|
|
|
|
CR1 = CR0 ×
|
|
SP0
|
|
|
|
|
SP0 – FMV
|
|
|
|
|
|
|
|
CR0
|
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the Record Date for such distribution;
|
|
|
|
||
CR1
|
|
=
|
|
the new Conversion Rate in effect immediately after the Close of Business on the Record Date for such distribution;
|
|
|
|
||
SP0
|
|
=
|
|
the average of the Closing Prices of the Common Stock over the ten consecutive Trading Day period ending on the Trading Day immediately preceding the Ex-Dividend Date for such distribution; and
|
|
|
|
||
FMV
|
|
=
|
|
the fair market value (as determined in good faith by the Corporation’s Board of Directors) of the portion of Distributed Property with respect to each outstanding share of Common Stock on the Record Date for such distribution.
|
|
|
|
|
|
|
|
|
|
CR1 = CR0 ×
|
|
FMV + MP0
|
|
|
|
|
MP0
|
|
|
|
|
|
|
|
CR0
|
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the 10th Trading Day immediately following, and including, the effective date of the Spin-Off;
|
|
|
|
||
CR1
|
|
=
|
|
the new Conversion Rate in effect from and after the Close of Business on the 10th Trading Day immediately following, and including, the effective date of the Spin-Off;
|
|
|
|
||
FMV
|
|
=
|
|
the average of the Closing Prices of the Capital Stock or similar equity interest distributed to holders of Common Stock applicable to one share of Common Stock over the 10 consecutive Trading Day period immediately following, and including, the effective date of the Spin-Off; and
|
|
|
|
||
MP0
|
|
=
|
|
the average of the Closing Prices of Common Stock over the 10 consecutive Trading Day period immediately following, and including, the effective date of the Spin-Off.
|
|
|
|
|
|
|
|
|
|
CR1 = CR0 ×
|
|
SP0
|
|
|
|
|
SP0 – C
|
|
|
|
|
|
|
|
CR0
|
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the Record Date for such dividend or distribution;
|
|
|
|
||
CR1
|
|
=
|
|
the new Conversion Rate in effect immediately after the Close of Business on the Record Date for such dividend or distribution;
|
|
|
|
||
SP0
|
|
=
|
|
the average Closing Price of the Common Stock over the ten consecutive Trading Days ending on the Trading Day immediately preceding the Ex-Dividend Date for such dividend or distribution;
|
|
|
|
||
C
|
|
=
|
|
the amount in Cash per share the Corporation distributes or dividends to holders of Common Stock in excess of the Initial Dividend Threshold.
|
|
|
|
|
|
|
|
|
|
CR1 = CR0 ×
|
|
SP0
|
|
|
|
|
SP0 – C
|
|
|
|
|
|
|
|
CR0
|
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the Record Date for such dividend or distribution;
|
|
|
|
|
|
|
|
|
||
CR1
|
|
=
|
|
the new Conversion Rate in effect immediately after the Close of Business on the Record Date for such dividend or distribution;
|
|
|
|
||
SP0
|
|
=
|
|
the average Closing Price of the Common Stock over the ten consecutive Trading Days ending on the Trading Day immediately preceding the Ex-Dividend Date for such dividend or distribution;
|
|
|
|
||
C
|
|
=
|
|
the amount in Cash per share the Corporation distributes or dividends to holders of Common Stock
|
|
|
|
|
|
|
|
|
|
CR1 = CR0 ×
|
|
AC + (SP1×OS1)
|
|
|
|
|
OS0 × SP1
|
|
|
|
|
|
|
|
CR0
|
|
=
|
|
the Conversion Rate in effect immediately prior to the Close of Business on the expiration date;
|
|
|
|
||
CR1
|
|
=
|
|
the new Conversion Rate in effect immediately after the Close of Business on the expiration date;
|
|
|
|
||
AC
|
|
=
|
|
the aggregate value of all Cash and any other consideration (as determined in good faith by the Corporation’s Board of Directors) paid or payable for shares purchased in such tender or exchange offer;
|
|
|
|
||
OS0
|
|
=
|
|
the number of shares of Common Stock outstanding immediately prior to the date such tender or exchange offer expires;
|
|
|
|
||
OS1
|
|
=
|
|
the number of shares of Common Stock outstanding immediately after the date such tender or exchange offer expires (after giving effect to such tender offer or exchange offer); and
|
|
|
|
||
SP1
|
|
=
|
|
the average Closing Price of Common Stock over the ten consecutive Trading Days ending on the Trading Day next succeeding the expiration date.
|
|
|
|
|
|
MORGAN STANLEY
|
||||
|
|
|||
By:
|
|
/s/ Walid A. Chammah
|
||
|
|
Name:
|
|
Walid A. Chammah
|
|
|
Title:
|
|
Co-President
|
|
|
|
MORGAN STANLEY
|
||
|
|
|
By:
|
|
/s/ Walid A. Chammah
|
|
|
Name: Walid A. Chammah
|
|
|
Title: Co-President
|
|
|
|
MORGAN STANLEY
|
||
|
|
|
By:
|
|
/s/ Colm Kelleher
|
Name:
|
|
Colm Kelleher
|
Title:
|
|
Executive Vice President and Chief Financial Officer
|
|
|
|
MORGAN STANLEY
|
||
|
|
|
By:
|
|
/s/ Martin M. Cohen
|
|
|
Name: Martin M. Cohen
|
|
|
Office: Assistant Secretary and Counsel
|
|
|
|
MORGAN STANLEY
|
||
|
|
|
By:
|
|
/s/ Martin M. Cohen
|
Name: Martin M. Cohen
|
||
Title: Corporate Secretary
|
|
|
|
By:
|
|
/s/ Aaron Guth
|
|
|
Authorized Officer
|
|
|
|
Name:
|
|
Aaron Guth
|
|
|
Print or Type
|
|
|
|
Title:
|
|
Assistant Secretary
|
•
|
repurchases, redemptions or other acquisitions of shares of Junior Stock in connection with (1) any employment contract, benefit plan or other similar arrangement with or for the benefit of any one or more employees, officers, directors or consultants or (2) a dividend reinvestment or stockholder stock purchase plan;
|
•
|
an exchange, redemption, reclassification or conversion of any class or series of Junior Stock, or any junior stock of a subsidiary of the Corporation, for any class or series of Junior Stock;
|
•
|
the purchase of fractional interests in shares of Junior Stock under the conversion or exchange provisions of Junior Stock or the security being converted or exchanged;
|
•
|
any declaration of a dividend in connection with any stockholders’ rights plan, or the issuance of rights, stock or other property under any stockholders’ rights plan, or the redemption or repurchase of rights pursuant to the plan; or
|
•
|
any dividend in the form of stock, warrants, options or other rights where the dividend stock or the stock issuable upon exercise of such warrants, options or other rights is the same stock as that on which the dividend is being paid or ranks equal or junior to that stock.
|
|
|
|
MORGAN STANLEY
|
||
|
|
|
By
|
|
/s/ Kevin Sheehan
|
|
|
Name: Kevin Sheehan
|
|
|
Title: Assistant Treasurer
|
•
|
repurchases, redemptions or other acquisitions of shares of Junior Stock in connection with (1) any employment contract, benefit plan or other similar arrangement with or for the benefit of any one or more employees, officers, directors or consultants or (2) a dividend reinvestment or stockholder stock purchase plan;
|
•
|
an exchange, redemption, reclassification or conversion of any class or series of Junior Stock, or any junior stock of a subsidiary of the Corporation, for any class or series of Junior Stock;
|
•
|
the purchase of fractional interests in shares of Junior Stock under the conversion or exchange provisions of Junior Stock or the security being converted or exchanged;
|
•
|
any declaration of a dividend in connection with any stockholders’ rights plan, or the issuance of rights, stock or other property under any stockholders’ rights plan, or the redemption or repurchase of rights pursuant to the plan; or
|
•
|
any dividend in the form of stock, warrants, options or other rights where the dividend stock or the stock issuable upon exercise of such warrants, options or other rights is the same stock as that on which the dividend is being paid or ranks equal or junior to that stock.
|
|
|
|
MORGAN STANLEY
|
||
By
|
|
/s/ Kevin Sheehan
|
|
|
Name: Kevin Sheehan
|
|
|
Title: Assistant Treasurer
|
•
|
repurchases, redemptions or other acquisitions of shares of Junior Stock in connection with (1) any employment contract, benefit plan or other similar arrangement with or for the benefit of any one or more employees, officers, directors or consultants or (2) a dividend reinvestment or stockholder stock purchase plan;
|
•
|
an exchange, redemption, reclassification or conversion of any class or series of Junior Stock, or any junior stock of a subsidiary of the Corporation, for any class or series of Junior Stock;
|
•
|
the purchase of fractional interests in shares of Junior Stock under the conversion or exchange provisions of Junior Stock or the security being converted or exchanged;
|
•
|
any declaration of a dividend in connection with any stockholders’ rights plan, or the issuance of rights, stock or other property under any stockholders’ rights plan, or the redemption or repurchase of rights pursuant to the plan; or
|
•
|
any dividend in the form of stock, warrants, options or other rights where the dividend stock or the stock issuable upon exercise of such warrants, options or other rights is the same stock as that on which the dividend is being paid or ranks equal or junior to that stock.
|
|
|
|
|
|
MORGAN STANLEY
|
||||
|
|
|||
By
|
|
/s/ Kevin Sheehan
|
||
|
|
Name:
|
|
Kevin Sheehan
|
|
|
Title: Assistant Treasurer
|
•
|
repurchases, redemptions or other acquisitions of shares of Junior Stock in connection with (1) any employment contract, benefit plan or other similar arrangement with or for the benefit of any one or more employees, officers, directors or consultants or (2) a dividend reinvestment or stockholder stock purchase plan;
|
•
|
an exchange, redemption, reclassification or conversion of any class or series of Junior Stock, or any junior stock of a subsidiary of the Corporation, for any class or series of Junior Stock;
|
•
|
the purchase of fractional interests in shares of Junior Stock under the conversion or exchange provisions of Junior Stock or the security being converted or exchanged;
|
•
|
any declaration of a dividend in connection with any stockholders’ rights plan, or the issuance of rights, stock or other property under any stockholders’ rights plan, or the redemption or repurchase of rights pursuant to the plan; or
|
•
|
any dividend in the form of stock, warrants, options or other rights where the dividend stock or the stock issuable upon exercise of such warrants, options or other rights is the same stock as that on which the dividend is being paid or ranks equal or junior to that stock.
|
|
|
|
MORGAN STANLEY
|
||
|
|
|
By
|
|
/s/ Kevin Sheehan
|
|
|
Name: Kevin Sheehan
|
|
|
Title: Assistant Treasurer
|
•
|
repurchases, redemptions or other acquisitions of shares of Junior Stock in connection with (1) any employment contract, benefit plan or other similar arrangement with or for the benefit of any one or more employees, officers, directors or consultants or (2) a dividend reinvestment or stockholder stock purchase plan;
|
•
|
an exchange, redemption, reclassification or conversion of any class or series of Junior Stock, or any junior stock of a subsidiary of the Corporation, for any class or series of Junior Stock;
|
•
|
the purchase of fractional interests in shares of Junior Stock under the conversion or exchange provisions of Junior Stock or the security being converted or exchanged;
|
•
|
any declaration of a dividend in connection with any stockholders’ rights plan, or the issuance of rights, stock or other property under any stockholders’ rights plan, or the redemption or repurchase of rights pursuant to the plan; or
|
•
|
any dividend in the form of stock, warrants, options or other rights where the dividend stock or the stock issuable upon exercise of such warrants, options or other rights is the same stock as that on which the dividend is being paid or ranks equal or junior to that stock.
|
|
|
|
|
|
MORGAN STANLEY
|
||||
|
|
|||
By
|
|
/s/ Kevin Sheehan
|
||
|
|
Name:
|
|
Kevin Sheehan
|
|
|
Title:
|
|
Assistant Treasurer
|
•
|
repurchases, redemptions or other acquisitions of shares of Junior Stock in connection with (1) any employment contract, benefit plan or other similar arrangement with or for the benefit of any one or more employees, officers, directors or consultants or (2) a dividend reinvestment or stockholder stock purchase plan;
|
•
|
an exchange, redemption, reclassification or conversion of any class or series of Junior Stock, or any junior stock of a subsidiary of the Corporation, for any class or series of Junior Stock;
|
•
|
the purchase of fractional interests in shares of Junior Stock under the conversion or exchange provisions of Junior Stock or the security being converted or exchanged;
|
•
|
any declaration of a dividend in connection with any stockholders’ rights plan, or the issuance of rights, stock or other property under any stockholders’ rights plan, or the redemption or repurchase of rights pursuant to the plan; or
|
•
|
any dividend in the form of stock, warrants, options or other rights where the dividend stock or the stock issuable upon exercise of such warrants, options or other rights is the same stock as that on which the dividend is being paid or ranks equal or junior to that stock.
|
|
|
|
MORGAN STANLEY
|
||
|
|
|
By
|
|
/s/ Kevin Sheehan
|
|
|
Name: Kevin Sheehan
|
|
|
Title: Assistant Treasurer
|
•
|
repurchases, redemptions or other acquisitions of shares of Junior Stock in connection with (1) any employment contract, benefit plan or other similar arrangement with or for the benefit of any one or more employees, officers, directors or consultants or (2) a dividend reinvestment or stockholder stock purchase plan;
|
•
|
an exchange, redemption, reclassification or conversion of any class or series of Junior Stock, or any junior stock of a subsidiary of the Corporation, for any class or series of Junior Stock;
|
•
|
the purchase of fractional interests in shares of Junior Stock under the conversion or exchange provisions of Junior Stock or the security being converted or exchanged;
|
•
|
any declaration of a dividend in connection with any stockholders’ rights plan, or the issuance of rights, stock or other property under any stockholders’ rights plan, or the redemption or repurchase of rights pursuant to the plan; or
|
•
|
any dividend in the form of stock, warrants, options or other rights where the dividend stock or the stock issuable upon exercise of such warrants, options or other rights is the same stock as that on which the dividend is being paid or ranks equal or junior to that stock.
|
|
|
|
MORGAN STANLEY
|
||
|
|
|
By
|
|
/s/ Kevin Sheehan
|
|
|
Name: Kevin Sheehan
Title: Assistant Treasurer
|
|
|
|
By:
|
|
/s/ Aaron Guth
|
|
|
Authorized Officer
|
|
|
|
Name:
|
|
Aaron Guth
|
|
|
Print or Type
|
Title:
|
|
Assistant Secretary
|
•
|
repurchases, redemptions or other acquisitions of shares of Junior Stock in connection with (1) any employment contract, benefit plan or other similar arrangement with or for the benefit of any one or more employees, officers, directors or consultants or (2) a dividend reinvestment or stockholder stock purchase plan;
|
•
|
an exchange, redemption, reclassification or conversion of any class or series of Junior Stock, or any junior stock of a subsidiary of the Corporation, for any class or series of Junior Stock;
|
•
|
the purchase of fractional interests in shares of Junior Stock under the conversion or exchange provisions of Junior Stock or the security being converted or exchanged;
|
•
|
any declaration of a dividend in connection with any stockholders’ rights plan, or the issuance of rights, stock or other property under any stockholders’ rights plan, or the redemption or repurchase of rights pursuant to the plan; or
|
•
|
any dividend in the form of stock, warrants, options or other rights where the dividend stock or the stock issuable upon exercise of such warrants, options or other rights is the same stock as that on which the dividend is being paid or ranks equal or junior to that stock.
|
MORGAN STANLEY
|
|
|
|
By
|
/s/ Kevin Sheehan
|
|
Name: Kevin Sheehan
|
|
Title: Assistant Treasurer
|
MORGAN STANLEY
|
|
|
|
By:
|
/s/ Kevin Sheehan
|
|
Name: Kevin Sheehan
Title: Assistant Treasurer
|
•
|
repurchases, redemptions or other acquisitions of shares of Junior Stock in connection with (1) any employment contract, benefit plan or other similar arrangement with or for the benefit of any one or more employees, officers, directors or consultants or (2) a dividend reinvestment plan or stockholder stock purchase plan;
|
•
|
purchases or repurchases of shares of Junior Stock pursuant to a contractually binding requirement to buy Junior Stock existing prior to the commencement of the then-current Dividend Period, including under a contractually binding stock repurchase plan;
|
•
|
an exchange, redemption, reclassification or conversion of any class or series of Junior Stock for any class or series of Junior Stock;
|
•
|
the purchase of fractional interests in shares of Junior Stock under the conversion or exchange provisions of Junior Stock or the security being converted or exchanged;
|
•
|
any declaration of a dividend payable solely in Junior Stock in connection with any stockholders’ rights plan, or the issuance of rights, stock or other property under any stockholders’ rights plan (so long as such right to stock or other property only consists of Junior Stock or the right to purchase Junior Stock), or the redemption or repurchase of rights pursuant to the plan; or
|
•
|
any dividend in the form of stock, warrants, options or other rights where the dividend stock or the stock issuable upon exercise of such warrants, options or other rights is the same stock as that on which the dividend is being paid or ranks equal or junior to that stock.
|
•
|
purchases or repurchases of shares of Parity Stock pursuant to a contractually binding requirement to buy Parity Stock existing prior to the commencement of the then-current Dividend Period, including under a contractually binding stock repurchase plan;
|
•
|
an exchange, redemption, reclassification or conversion of any class or series of Parity Stock for any class or series of Parity Stock;
|
•
|
the purchase of fractional interests in shares of Parity Stock under the conversion or exchange provisions of Parity Stock or the security being converted or exchanged; or
|
•
|
any dividend in the form of stock, warrants, options or other rights where the dividend stock or the stock issuable upon exercise of such warrants, options or other rights is the same stock as that on which the dividend is being paid or ranks equal or junior to that stock.
|
MORGAN STANLEY
|
|
|
|
By
|
|
|
Name: Kevin Sheehan
|
|
Title: Assistant Treasurer
|
•
|
repurchases, redemptions or other acquisitions of shares of Junior Stock in connection with (1) any employment contract, benefit plan or other similar arrangement with or for the benefit of any one or more employees, officers, directors or consultants or (2) a dividend reinvestment plan or stockholder stock purchase plan;
|
•
|
purchases or repurchases of shares of Junior Stock pursuant to a contractually binding requirement to buy Junior Stock existing prior to the commencement of the then-current Dividend Period, including under a contractually binding stock repurchase plan;
|
•
|
an exchange, redemption, reclassification or conversion of any class or series of Junior Stock for any class or series of Junior Stock;
|
•
|
the purchase of fractional interests in shares of Junior Stock under the conversion or exchange provisions of Junior Stock or the security being converted or exchanged;
|
•
|
any declaration of a dividend payable solely in Junior Stock in connection with any stockholders’ rights plan, or the issuance of rights, stock or other property under any stockholders’ rights plan (so long as such right to stock or other property only consists of Junior Stock or the right to purchase Junior Stock), or the redemption or repurchase of rights pursuant to the plan; or
|
•
|
any dividend in the form of stock, warrants, options or other rights where the dividend stock or the stock issuable upon exercise of such warrants, options or other rights is the same stock as that on which the dividend is being paid or ranks equal or junior to that stock.
|
•
|
purchases or repurchases of shares of Parity Stock pursuant to a contractually binding requirement to buy Parity Stock existing prior to the commencement of the then-current Dividend Period, including under a contractually binding stock repurchase plan;
|
•
|
an exchange, redemption, reclassification or conversion of any class or series of Parity Stock for any class or series of Parity Stock;
|
•
|
the purchase of fractional interests in shares of Parity Stock under the conversion or exchange provisions of Parity Stock or the security being converted or exchanged; or
|
•
|
any dividend in the form of stock, warrants, options or other rights where the dividend stock or the stock issuable upon exercise of such warrants, options or other rights is the same stock as that on which the dividend is being paid or ranks equal or junior to that stock.
|
MORGAN STANLEY
|
|
|
|
By
|
|
|
Name: Kevin Sheehan
|
|
Title: Assistant Treasurer
|
Filed on Form S-3:
|
|
Filed on Form S-8:
|
Registration Statement No. 33-57202
|
|
Registration Statement No. 33-63024
|
Registration Statement No. 33-60734
|
|
Registration Statement No. 33-63026
|
Registration Statement No. 33-89748
|
|
Registration Statement No. 33-78038
|
Registration Statement No. 33-92172
|
|
Registration Statement No. 33-79516
|
Registration Statement No. 333-07947
|
|
Registration Statement No. 33-82240
|
Registration Statement No. 333-27881
|
|
Registration Statement No. 33-82242
|
Registration Statement No. 333-27893
|
|
Registration Statement No. 33-82244
|
Registration Statement No. 333-27919
|
|
Registration Statement No. 333-04212
|
Registration Statement No. 333-46403
|
|
Registration Statement No. 333-28141
|
Registration Statement No. 333-46935
|
|
Registration Statement No. 333-28263
|
Registration Statement No. 333-76111
|
|
Registration Statement No. 333-62869
|
Registration Statement No. 333-75289
|
|
Registration Statement No. 333-78081
|
Registration Statement No. 333-34392
|
|
Registration Statement No. 333-95303
|
Registration Statement No. 333-47576
|
|
Registration Statement No. 333-55972
|
Registration Statement No. 333-83616
|
|
Registration Statement No. 333-85148
|
Registration Statement No. 333-106789
|
|
Registration Statement No. 333-85150
|
Registration Statement No. 333-117752
|
|
Registration Statement No. 333-108223
|
Registration Statement No. 333-129243
|
|
Registration Statement No. 333-142874
|
Registration Statement No. 333-131266
|
|
Registration Statement No. 333-146954
|
Registration Statement No. 333-155622
|
|
Registration Statement No. 333-159503
|
Registration Statement No. 333-156423
|
|
Registration Statement No. 333-159504
|
Registration Statement No. 333-178081
|
|
Registration Statement No. 333-159505
|
Registration Statement No. 333-200365
|
|
Registration Statement No. 333-168278
|
Registration Statement No. 333-200365-12
|
|
Registration Statement No. 333-172634
|
Registration Statement No. 333-221595
|
|
Registration Statement No. 333-177454
|
Registration Statement No. 333-221595-01
|
|
Registration Statement No. 333-183595
|
|
|
Registration Statement No. 333-188649
|
Filed on Form S-4:
|
|
Registration Statement No. 333-192448
|
Registration Statement No. 333-25003
|
|
Registration Statement No. 333-204504
|
Registration Statement No. 333-237743
|
|
Registration Statement No. 333-211723
|
|
|
Registration Statement No. 333-218377
|
|
|
Registration Statement No. 333-231913
|
/s/ Deloitte & Touche LLP
|
New York, New York
|
November 3, 2020
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Morgan Stanley;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date:
|
November 3, 2020
|
/s/ JAMES P. GORMAN
|
James P. Gorman
|
Chairman of the Board and Chief Executive Officer
|
1.
|
I have reviewed this quarterly report on Form 10-Q of Morgan Stanley;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date:
|
November 3, 2020
|
/s/ JONATHAN PRUZAN
|
Jonathan Pruzan
|
Executive Vice President and Chief Financial Officer
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Firm.
|
/s/ JAMES P. GORMAN
|
James P. Gorman
|
Chairman of the Board and
|
Chief Executive Officer
|
Date:
|
November 3, 2020
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Firm.
|
/s/ JONATHAN PRUZAN
|
Jonathan Pruzan
|
Executive Vice President and
|
Chief Financial Officer
|
Date:
|
November 3, 2020
|