The following table presents an index of Morgan Stanley's risk and capital disclosures in the 2022 Annual Report on Form 10-K, the Quarterly Report on Form 10-Q and the Basel III Pillar 3 Disclosure Report for the quarterly period ended September 30, 2023.
Morgan Stanley's Pillar 3 Disclosures are not required to be, and have not been, audited by an independent registered public accounting firm. Morgan Stanley's Pillar 3 Disclosures were based on our current understanding of U.S. Basel III and other factors, which may be subject to change as additional clarification and implementation guidance from regulators relating to U.S. Basel III are received, and as the interpretation of the final rule evolves over time. Some measures of exposures may not be consistent with U.S. GAAP, and may not be comparable with measures reported in Morgan Stanley's Annual Reports on Form 10-K or Quarterly Reports on Form 10-Q.
| Details | 2022 Annual Report on Form 10-K |
Q3 Quarterly Report on Form 10-Q |
Q3 2023 Basel III Pillar 3 Disclosures |
|
|---|---|---|---|---|
| Risk Overview | Risk factors | 9 | 78 | |
| Liquidity risk management framework | 42 | 20 | ||
| Regulatory requirements | 46 | 23 | ||
| Regulatory developments and other matters | 51 | 28 | ||
| Risk management | 53 | 30 | ||
| Liquidity Risk and Funding |
Liquidity risk | 69 | 38 | |
| Required liquidity framework | 42 | 21 | ||
| Liquidity resources | 43 | 20 | ||
| Funding management | 43 | 21 | ||
| Off-Balance sheet arrangements | 46 | 23 | ||
| Borrowings and other secured financings | 113 | 63 | ||
| Commitments, guarantees and contingencies | 115 | 63 | ||
| Operational Risk |
Supervision and regulation | 2 | ||
| Risk governance structure | 53 | |||
| Risk management process | 56 | 30 | ||
| Operational risk | 68 | 38 | 23 | |
| Legal and compliance risk | 69 | 38 | ||
| Capital Adequacy and Risk-Weighted Assets | Regulatory capital framework | 46, 123 | 23, 68 | 1 |
| Regulatory capital requirements | 46, 123 | 24, 68 | 1 | |
| Regulatory capital ratios | 47, 124 | 25, 68 | 3 | |
| Capital conservation buffer, countercyclical capital buffer and global systemically important bank surcharge | 46 | 24 | 4 | |
| Internal ratings system exposures | 9 | |||
| Regulatory capital changes | 48 | 25 | ||
| Risk-weighted assets rollforward | 48 | 26 | ||
| Supplementary leverage ratio | 47 | 25 | 24 | |
| Attribution of average common equity according to the required capital framework | 50 | 27 | ||
| Market risk | Market risk | 56 | 30 | 19 |
| Risk limits framework | 56 | |||
| Trading risks | 56 | 30 | ||
| Non-trading risks | 59 | 31 | ||
| Credit spread risk sensitivity | 59 | 31 | ||
| Interest rate risk sensitivity | 59 | 31 | 19 | |
| Model methodology, assumptions and exposure measures | 20 | |||
| Model limitations | 21 | |||
| Model validation | 22 | |||
| Regulatory VaR backtesting | 22 | |||
| Covered positions | 22 | |||
| Stress testing of covered positions | 23 | |||
| Credit Risk | Credit risk | 60 | 32 | 5 |
| Credit risk: General disclosures | 5 | |||
| Monitoring and control | 60 | |||
| Credit exposures: Derivatives | 66, 103 | 37 | ||
| Country risk exposure | 67 | 37 | ||
| Derivative instruments and hedging activities | 101 | 52 | ||
| Loans, lending commitments and allowance for credit losses | 61, 109 | 33 | 6 | |
| Credit risk mitigation | 61 | 13 | ||
| Equities not subject to the market risk capital rule | 14 | |||
| Securitization exposures | 15 |