Morgan Stanley

Investor Relations

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The following table presents an index of Morgan Stanley's risk and capital disclosures in the 2020 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 March 31, 2021.

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 2020
Annual
Report on
Form 10-K
Q1 2021
Quarterly
Report on
Form 10-Q
Q1 2021
Basel III
Pillar 3
Disclosures
Risk Overview Risk factors 12 68  
Liquidity risk management framework 46 14  
Regulatory requirements 51 17  
Regulatory developments and other matters 57, 59 22  
Risk management 61 23  
Liquidity Risk
and Funding
Liquidity risk 78 31  
Required liquidity framework 47 15  
Liquidity resources 47 14  
Funding management 48 15  
Off-Balance sheet arrangements and contractual obligations 51 17  
Borrowings and other secured financings 123 16, 55  
Commitments, guarantees and contingencies 125 55  
Operational
Risk
Supervision and regulation 2    
Risk governance structure 61    
Risk management process 64 23  
Operational risk 76 31 23
Legal and compliance risk 78 31  
Capital Adequacy and Risk-Weighted Assets Regulatory capital framework 51, 133 17, 60 1
Regulatory capital requirements 51, 134 17, 60 1
Regulatory capital ratios 52, 135 18, 60 3
Capital conservation buffer, countercyclical capital buffer and global systemically important bank surcharge 52 18, 60 4
Internal ratings system exposures     9
Regulatory capital changes 53 19  
Risk-weighted assets rollforward 54 20  
Supplementary leverage ratio 52 18 24
Attribution of average common equity according to the required capital framework 56 21  
Market risk Market risk 64 23 19
Risk limits framework 64    
Trading risks 64 23  
Non-trading risks 67 24  
Credit spread risk sensitivity 67 24  
Interest rate risk sensitivity 67 24 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 68 25 5
Credit risk: General disclosures     5
Monitoring and control 68    
Credit exposures: Derivatives 74, 113 29, 48  
Country risk exposure 75 30  
Derivative instruments and hedging activities 110 45  
Loans, lending commitments and allowance for credit losses 69, 118 25, 52 6
Credit risk mitigation 69   13
Equities not subject to the market risk capital rule     14
Securitization exposures     15