4061 Morgan Stanley B.V. - Year 2024

MORGAN STANLEY B.V.

DIRECTORS’ REPORT

The Directors present their report and financial statements (which comprise of the statement of comprehensive

income, the statement of changes in equity, the statement of financial position, the statement of cash flows, and

the related notes, 1 to 25) for Morgan Stanley B.V. (the “Company”) for the year ended 31 December 2024.

RESULTS AND DIVIDENDS

The profit for the year, after tax, was €1,081,000 (2023: €1,071,000).

During the year, no dividends were paid or proposed (2023: €nil).

PRINCIPAL ACTIVITY

The principal activity of the Company is the issuance of financial instruments including notes, certificates and

warrants (“structured notes”) and the hedging of the obligations arising pursuant to such issuances.

The Company was incorporated under Dutch law on 6 September 2001 and has its statutory seat in Amsterdam,

the Netherlands. The business office of the Company is at Luna Arena, Herikerbergweg 238, 1101 CM,

Amsterdam, the Netherlands and its financial year end is 31 December.

The Company’s ultimate parent undertaking and controlling entity is Morgan Stanley, which, together with the

Company and Morgan Stanley’s other subsidiary undertakings, form the “Morgan Stanley Group”.

There have not been any significant changes in the Company’s principal activity in the year under review and no

significant change in the Company’s principal activity is expected.

BUSINESS REVIEW

Exposure to risk factors and the current business environment in which it operates may impact the business results

of the Company’s operations.

Risk factors

Risk taking is an inherent part of the Company’s business activities. The Company seeks to identify, assess,

monitor and manage each of the various types of risk involved in its business activities, in accordance with

defined policies and procedures.

The Morgan Stanley Group Risk Appetite Statement articulates the aggregate level and type of risk that the Group

is willing to accept in order to execute its business strategy and protect its capital and liquidity resources.

The Morgan Stanley Group has an established Risk Management Framework, to support the identification,

monitoring and management of risk.

A description of the material risks and how these risks are managed is outlined in the ‘Risk Management’ section.

Business environment

The economic environment, client and investor confidence and overall market sentiment improved in 2024. While

interest rates declined in the latter half of 2024, elevated inflation, geopolitical risks including ongoing tensions in

the Middle East, uncertainties surrounding government and policy developments in the markets the Company

operates in and the timing and pace of further interest rate actions present ongoing risks to the economic

environment. There has been limited impact on the results & financial condition of the Company to the extent the

business environment continues to remain uncertain, it could adversely impact client confidence and related

activity.

MORGAN STANLEY B.V.

DIRECTORS’ REPORT

BUSINESS REVIEW (CONTINUED)

Overview of 2024

The issued structured notes expose the Company to the risk of changes in market prices of the underlying

securities, interest rate risk and, where denominated in currencies other than Euros, the risk of changes in

exchange rates between the Euro and the other relevant currencies. The Company enters into derivative

transactions with other Morgan Stanley Group undertakings to hedge the market price, interest rate and foreign

currency risks associated with the issuance of the structured notes.

The statement of comprehensive income for the year is set out on page 12. The Company reported a profit before

income tax of €1,427,000 for the year ended 31 December 2024, compared to €1,398,000 recognised for the year

ended 31 December 2023. The increase in profit before income tax is driven by an increase in the Company’s

share of Morgan Stanley’s derivatives business revenues. The profit before income tax of the Company represents

fees received in relation to intermediary services.

Other revenue of €1,427,000 for the year ended 31 December 2024 primarily represents management recharges in

relation to intermediary services as compared to €3,382,000 in previous year which comprised management

recharges in relation to intermediary services €1,398,000, management recharges on recovery of residual

financing expenses of €889,000 and net foreign exchange gains of €1,095,000. The decrease in management

recharges from the prior year is driven by a reduction in fees received on recovery of net financing expense mainly

due to earning net interest income in current year as compared to net interest expense in previous year.

Other expense of €13,457,000 for the year ended 31 December 2024 primarily represents net foreign exchange

losses of €11,365,000 and management charges for reimbursement of residual financing income of €1,676,000 as

compared to net foreign exchange gains and income from management recharges on recovery of residual

financing expense in previous year.

The Company has recognised net expense of €19,208,000 in ‘Net trading (expense) / income’ compared to net

income of €627,846,000 for the prior year, with a corresponding net income of €19,208,000 recognised in ‘Net

income / (expense) on other financial instruments held at fair value’ compared to net expense of €627,846,000 for

the prior year. This is due to fair value changes attributable to market movements in the securities underlying

structured notes hedged by derivatives classified as trading financial instruments. The increase in income is

mainly due to the increased market volatility with equity prices decreasing.

The statement of financial position for the Company is set out on page 14. The Company’s total assets at

31 December 2024 are €9,593,545,000, a decrease of €56,130,000 or 1% when compared to 31 December 2023.

The decrease in assets is mainly due to decrease in trade and other receivables on account of intercompany

fundings to group undertaking as a result of decrease in collateral requirements. The Company’s total liabilities at

31 December 2024 are €9,558,483,000, a decrease of €57,211,000 or 1% when compared to 31 December 2023.

These movements are mainly driven by decrease in trading financial liabilities & trade and other payables which is

on account of market movements in the value of issued structured notes. This movement is offset by increase in

value of Structured notes within debt and other borrowing mainly due to exchange rate fluctuations and market

movements offset by net redemptions.

The performance of the Company is included in the results of the Morgan Stanley Group. The Company’s

Directors believe that providing further performance indicators for the Company itself would not enhance an

understanding of the development, performance or position of the business of the Company.

The risk management section below sets out the Company's and the Morgan Stanley Group's policies for the

management of liquidity and cash flow risk and other significant business risks.

MORGAN STANLEY B.V.

DIRECTORS’ REPORT

BUSINESS REVIEW (CONTINUED)

Risk management

Risk is an inherent part of the Company’s business activity. The Company seeks to identify, assess, monitor and

manage each of the various types of risk involved in its business activities, in accordance with defined policies and

procedures. The Company is managed as part of the policies and procedures of the Morgan Stanley Group’s risk

management policy framework. The risk management policy framework includes escalation to the appropriate

senior management personnel when necessary.

Set out below is an overview of the Morgan Stanley Group’s policies for the management of financial risk and

other significant business risks. More detailed qualitative and quantitative disclosures about the Company’s

management of and exposure to financial risks are included in note 19 to the financial statements.

Market risk

Market risk refers to the risk that a change in the level of one or more market prices, rates, spreads, indices,

implied volatilities, correlations or other market factors, such as market liquidity, will result in losses for a

position or portfolio.

The Company’s market risk associated with its trading activities at a legal entity, trading division and at an

individual product level is managed as part of the Morgan Stanley Group’s market risk management policy

framework.

The Morgan Stanley Group’s market risk management policy framework ensures transparency of material market

risks, monitors compliance with established limits, and escalates risk concentrations to appropriate senior

management when necessary.

It is the policy and objective of the Company not to be exposed to net market risk.

Credit risk

Credit risk refers to the risk of loss arising when a borrower, counterparty or issuer does not meet its financial

obligations to the Company. Credit risk includes country risk, which is further described below.

The Morgan Stanley Group’s credit risk management policies and procedures, of which the Company is a part,

includes escalation to the appropriate senior management personnel when necessary.

Credit risk exposure is managed on a global basis and in consideration of each significant legal entity within the

Morgan Stanley Group. The credit risk management policies and procedures establish the framework for

identifying, measuring, monitoring and controlling credit risk whilst ensuring transparency of material credit risks

and compliance with established limits and escalating risk concentrations to appropriate senior management.

Additional information on the primary credit exposures, credit risk management and mitigation, exposure to credit

risk, including the maximum exposure to credit risk by credit rating is presented in note 19.

MORGAN STANLEY B.V.

DIRECTORS’ REPORT

BUSINESS REVIEW (CONTINUED)

Risk management (continued)

Country risk exposure

Country risk is the risk that events in, or affecting, a foreign country might adversely affect the Company.

“Foreign country” means any country other than the Netherlands. Sovereign Risk, by contrast, is the risk that a

government will be unwilling or unable to meet its debt obligations or will renege on the debt it guarantees.

Sovereign risk is single-name risk for a sovereign government, its agencies and guaranteed entities.

The Company enters into the majority of its financial asset transactions with other Morgan Stanley Group

undertakings, primarily in Luxembourg, the United Kingdom (“UK”) and the United States of America (“USA”).

Both the Company and the other Morgan Stanley Group undertakings are wholly-owned subsidiaries of the same

ultimate parent entity, Morgan Stanley. As a result of the implicit support that would be provided by Morgan

Stanley, the Company’s country risk is considered a component of the Morgan Stanley Group’s credit risk.

Country risk exposure is measured in accordance with the Morgan Stanley Group’s internal risk management

standards and includes obligations from sovereign governments, corporations, clearing houses and financial

institutions. The Morgan Stanley Group actively manages country risk exposure through a comprehensive risk

management framework that combines credit and other market fundamentals and allows the Morgan Stanley

Group to effectively identify, monitor and limit country risk.

The Morgan Stanley Group’s obligor credit evaluation process defines country of risk as the country that has the

largest economic impact on the obligor and may be different from the obligor's country of jurisdiction. Examples

where this applies may include corporations that are incorporated in one country but that derive the bulk of their

revenue from another country and mutual funds incorporated in one jurisdiction but with a concentration of

investments in a different country.

Stress testing is one of the Morgan Stanley Group’s principal risk management tools, used to identify and assess

the impact of severe stresses on its portfolios. A number of different scenarios are used to measure the impact on

credit risks and market risks stemming from negative economic and political scenarios, including possible

contagion effects where appropriate. The results of the stress tests may result in the amendment of limits or

exposure mitigation.

Liquidity risk

Liquidity risk refers to the risk that the Company will be unable to finance its operations due to a loss of access to

capital markets or difficulty in liquidating its assets. Liquidity risk also encompasses the Company’s ability (or

perceived ability) to meet its financial obligations without experiencing significant business disruption or

reputational damage that may threaten its viability as a going concern. Liquidity risk also encompasses the

associated funding risks triggered by the market or idiosyncratic stress events that may cause unexpected changes

in funding needs or an inability to raise new funding.

The primary goal of the Morgan Stanley Group’s liquidity risk management framework is to ensure that the

Morgan Stanley Group, including the Company, has access to sufficient liquid assets across a wide range of

market conditions and time horizons. The framework is designed to enable the Morgan Stanley Group to fulfil its

financial obligations and support the execution of its business strategies. The framework is further described in

note 19 to the financial statements.

The Company’s capital and liquidity position being managed on the basis of firm wide policies ensure adequate

resources are available to support its activities, to enable it to withstand market stresses.

MORGAN STANLEY B.V.

DIRECTORS’ REPORT

BUSINESS REVIEW (CONTINUED)

Risk management (continued)

Liquidity risk (continued)

The Company hedges all of its financial liabilities with financial assets entered into with other Morgan Stanley

Group undertakings, where both the Company and other Morgan Stanley Group undertakings are wholly-owned

subsidiaries of the same ultimate parent, Morgan Stanley.

Since the Company hedges the liquidity risk of its financial liabilities with financial assets that match the maturity

profile of the financial liabilities, the Company is not considered a major operating subsidiary for the purposes of

liquidity risk. However, the Company would have access to the cash or liquidity reserves held by Morgan Stanley

in the unlikely event that the Company was unable to access adequate financing to service its financial liabilities

when they become payable.

Valuation risk

Valuation risk refers to the possibility that a valuation estimate of a position would differ from the price in an

actual close-out transaction due to uncertainty around the actual price that could be obtained.

Valuation Control (“VC”) within Finance is responsible for the Company’s fair value valuation policies, processes

and procedures. VC implements valuation control processes designed to validate the fair value of the Company’s

financial instruments measured at fair value including those derived from pricing models.

Operational risk

Operational risk refers to the risk of loss, or of damage to the Company’s reputation, resulting from inadequate or

failed processes, people and systems, or from external events (e.g. fraud, theft, legal, regulatory and compliance

risks, cyberattacks or damage to physical assets). Operational risk relates to the following risk event categories as

defined by Basel Capital Standards: internal fraud; external fraud; employment practices and workplace safety;

clients, products and business practices; business disruption and system failure; damage to physical assets; and

execution, delivery and process management.

The scope also includes oversight of technology risk, cybersecurity risk, information security risk, and third party

risk management (supplier and affiliate risk).

The Company may incur operational risk across the full scope of its business activities.

The Company is part of the Morgan Stanley Group’s operational risk framework to identify measure, monitor and

control risk across the Company and includes escalation to the appropriate senior management personnel when

necessary. The framework is continually evolving to reflect changes in the Morgan Stanley Group and to respond

to the changing regulatory and business environment.

The Morgan Stanley Group has implemented operational risk data and assessment systems to monitor and analyse

internal and external operational risk events, to assess business environment and internal control factors and to

perform scenario analysis. The collected data elements are incorporated in the operational risk capital model. The

model encompasses both quantitative and qualitative elements. Internal loss data and scenario analysis results are

direct inputs to the capital model, while external operational incidents, business environment and internal control

factors are evaluated as part of the scenario analysis process.

MORGAN STANLEY B.V.

DIRECTORS’ REPORT

BUSINESS REVIEW (CONTINUED)

Risk management (continued)

Operational risk (continued)

In addition, the Morgan Stanley Group employs a variety of risk processes and mitigants to manage its operational

risk exposures. These include a governance framework, a comprehensive risk management program and

insurance. Operational risks and associated risk exposures are assessed relative to the risk appetite established by

the Board and are prioritised accordingly.

The breadth and variety of operational risk are such that the types of mitigating activities are wide-ranging.

Examples of such activities include continuous enhancement of defences against cyber-attacks; use of legal

agreements and contracts to transfer and/or limit operational risk exposures; due diligence; implementation of

enhanced policies and procedures; exception management processing controls; and segregation of duties.

The Operational Risk Management Framework requires, among other things, the proper recording and verification

of a large number of transactions and events as set out in the policies and procedures. The trading risk

management strategies and techniques seek to balance our ability to profit from trading positions with our

exposure to potential losses.

Primary responsibility for the management of operational risk is with the business segments, the control groups

and the business managers therein. The business managers maintain processes and controls designed to identify,

assess, manage, mitigate and report operational risk. Each of the business segment has a designated operational

risk coordinator. The operational risk coordinator regularly reviews operational risk issues and reports to the

Morgan Stanley Group’s senior management within each business segment. Each control group also has a

designated operational risk coordinator and a forum for discussing operational risk matters with the Morgan

Stanley Group’s senior management. Oversight of operational risk is provided by the Operational Risk Oversight

Committee, regional risk committees and senior management. In the event of a merger; joint venture; divestiture;

reorganisation; or creation of a new legal entity, a new product or a business activity, operational risks are

considered, and any necessary changes in processes or controls are implemented.

The Operational Risk Department provides independent oversight of operational risk and assesses, measures and

monitors operational risk against appetite. The Operational Risk Department works with the business divisions

and control groups to help ensure a transparent, consistent and comprehensive framework for managing

operational risk within each area and across the Morgan Stanley Group.

The Operational Risk Department’s scope includes oversight of technology risk, cybersecurity risk, information

security risk, the fraud risk management and prevention program and third party risk management (supplier and

affiliate risk oversight and assessment) program. Furthermore, the Operational Risk Department supports the

collection and reporting of operational risk incidents and the execution of operational risk assessments; provides

the infrastructure needed for risk measurement and risk management; and ensures ongoing validation and

verification of the Morgan Stanley Group’s advanced measurement approach for operational risk capital.

The Fusion Resilience Centre’s mission is to understand, prepare for, respond to, recover and learn from

operational threats and incidents that impact the Morgan Stanley Group, from cyber and fraud to technology

incidents, climate related events, terror attacks, geopolitical unrest and pandemics.

MORGAN STANLEY B.V.

DIRECTORS’ REPORT

BUSINESS REVIEW (CONTINUED)

Risk management (continued)

Operational risk (continued)

The Morgan Stanley Group’s critical processes and businesses could be disrupted by events including cyber

attacks, failure or loss of access to technology and/or associated data, military conflicts, acts of terror, natural

disasters, severe weather events and infectious disease. The Morgan Stanley Group maintains a resilience program

that is designed to provide for operational resilience and enable it to respond to and recover critical processes and

supporting assets in the event of a disruption impacting our people, technology, facilities and third parties. The

key elements of the Morgan Stanley Group’s resilience program include business continuity and technical

recovery planning, and testing both internally and with critical third parties to validate recovery capability in

accordance with business requirements. Business units within the Morgan Stanley Group maintain business

continuity plans, including identifying processes and strategies to continue business critical processes during a

business continuity incident. The business units also test the documented preparation to provide a reasonable

expectation that, during a business continuity incident, the business unit will be able to continue its critical

business processes and limit the impact of the incident to the Morgan Stanley Group and its clients. Technical

recovery plans are maintained for critical technology assets and detail the steps to be implemented to recover from

a disruption impacting the assets’ primary location. Disaster recovery testing is performed to validate the recovery

capability of these critical technology assets.

The Company is part of the Morgan Stanley Group's programme which oversees cyber security and information

security risks. The cyber security and information security policies, procedures and technologies are designed to

protect the Company’s information assets against unauthorised disclosure, modification or misuse and are also

designed to address regulatory requirements. These policies and procedures cover a broad range of areas,

including: identification of internal and external threats, access control, data security, protective controls, detection

of malicious or unauthorised activity, incident response and recovery planning.

In connection with its ongoing operations, the Morgan Stanley Group utilises third-party suppliers, and anticipates

that such usage will continue and may increase in the future. These services include, for example, outsourced

processing and support functions and consulting and other professional services. The Morgan Stanley Group’s

risk-based approach to managing exposure to these services includes the execution of due diligence,

implementation of service level and other contractual agreements, consideration of operational risk and ongoing

monitoring of third-party suppliers’ performance. The Morgan Stanley Group maintains a third-party risk program

which is designed to align with its risk tolerance and meet regulatory requirements. The program includes

governance, policies, procedures, and enabling technology. The third-party risk program includes the adoption of

appropriate risk management controls and practices throughout the third-party management lifecycle to manage

the risk of service failure, risk of data loss and reputational risk, among others.

Legal, regulatory and compliance risk

Legal, regulatory and compliance risk includes the risk of legal or regulatory sanctions; material financial loss,

including fines, penalties, judgements, damages and/ or settlements; limitations on our business; or loss to

reputation which the Company may suffer as a result of a failure to comply with laws, regulations, rules, related

self-regulatory organisation standards and codes of conduct applicable to our business activities. This risk also

includes contractual and commercial risk, such as the risk that a counterparty’s performance obligations will be

unenforceable. It also includes compliance with Anti-Money Laundering, terrorist financing and anti-corruption

rules and regulations. The Company is generally subject to extensive regulation in different jurisdictions in which

it conducts its business.

MORGAN STANLEY B.V.

DIRECTORS’ REPORT

BUSINESS REVIEW (CONTINUED)

Risk management (continued)

Legal, regulatory and compliance risk (continued)

The Company, principally through the Morgan Stanley Group’s Legal and Compliance Division, has established

procedures based on legal and regulatory requirements on a worldwide basis that are designed to facilitate

compliance with applicable statutory and regulatory requirements and to require that the Company’s policies

relating to business conduct, ethics and practices are followed globally.

In addition, the Company has established procedures to mitigate the risk that a counterparty’s performance

obligations will be unenforceable, including consideration of counterparty legal authority and capacity, adequacy

of legal documentation, the permissibility of a transaction under applicable law and whether applicable bankruptcy

or insolvency laws limit or alter contractual remedies. The heightened legal and regulatory focus on the financial

services and banking industries globally presents a continuing business challenge for the Company.

Culture, values and conduct of employees

Employees of the Morgan Stanley Group are accountable for conducting themselves in accordance with the

Morgan Stanley Group’s core values Put Clients First, Do the Right Thing, Lead with Exceptional Ideas, Commit

to Diversity and Inclusion and Give Back. The Morgan Stanley Group’s core values drive a shared set of

behaviours and attributes that help employees make decisions consistent with the expectations of our clients,

shareholders, regulators, Board of Directors and the public. The Morgan Stanley Group is committed to

reinforcing and confirming adherence to the core values through our governance framework, tone from the top,

management oversight, risk management and controls and a three lines of defence structure.

The Morgan Stanley Group’s Board is responsible for overseeing the Morgan Stanley Group’s practices and

procedures relating to culture, values and conduct. The Morgan Stanley Group’s Culture, Values and Conduct

Committee, along with the Compliance and Conduct Risk Committee, are the senior management committees that

oversee the Morgan Stanley-wide culture, values and conduct program, report regularly to the Morgan Stanley

Group’s Board; and complement ongoing business and region-specific culture initiatives. A fundamental building

block of this program is the Morgan Stanley Group’s Code of Conduct (the “Code”) which establishes standards

for employee conduct that further reinforce the Morgan Stanley Group’s commitment to integrity and ethical

conduct. Every new hire and every employee annually is required to attest to their understanding of and adherence

to the Code of Conduct. Morgan Stanley’s Global Conduct Risk Management Policy also sets out a consistent

global framework for managing conduct risk (i.e., the risk arising from misconduct by employees or contingent

workers) and conduct risk incidents.

Morgan Stanley’s remuneration policies and practices ensure that there is an alignment between reward, risk,

culture and conduct. Conduct, culture, and core values are considered in the employee annual performance

evaluation process. The performance review process also includes evaluation of employee conduct related to risk

management practices and the Morgan Stanley Group’s expectations. The Morgan Stanley Group also has several

mutually reinforcing processes to identify employee conduct that may have an impact on employment status,

current year compensation and/or prior year compensation.

MORGAN STANLEY B.V.

DIRECTORS’ REPORT

BUSINESS REVIEW (CONTINUED)

Risk management (continued)

Going concern

Business risks associated with the uncertain market and economic conditions are being actively monitored and

managed by the Company. Retaining sufficient liquidity and capital to withstand market pressures remains central

to the Company’s strategy.

The effect of relevant macroeconomic scenarios on the business of the Company have been considered as part of

the going concern analysis, including impact on operational capacity, access to liquidity and capital, contractual

obligations, asset valuations and other critical accounting judgements and key sources of estimation uncertainty.

Taking the above factors into consideration, the Directors believe it is reasonable to assume that the Company will

have access to adequate resources to continue in operational existence for the foreseeable future being at least 12

months from the date of approval of these financial statements. Accordingly, they continue to adopt the going

concern basis in preparing the annual report and financial statements.

Future outlook

No significant change in the Company’s principal activity, financing strategy or profitability is expected for the

foreseeable future.

DIRECTORS

The following Directors held office throughout the year and to the date of approval of this report [except where

otherwise shown]:


B.A Carey
D. Diab	(Appointed on 19 February 2024)
A. Doppenberg	(Resigned on 15 April 2025)
D.C. Hiebendaal	(Appointed on 15 April 2025)
T.J. van Rijn	(Appointed on 27 November 2024)
S. Ibanez	(Resigned on 1 January 2024)
P.J.G. de Reus	(Resigned on 27 November 2024)
TMF Management B.V.

The Company has taken notice of newly adopted Dutch Gender Balance Act, which entered into force on 1

January 2022. The Company has established appropriate and ambitious target figures for Board diversity and

implemented an action plan to reach the target. Appropriate in this case means one that takes into consideration

and is dependent upon the size of the relevant Board and the current gender ratios. Ambitious is defined as one

that aims to achieve a more balanced composition as compared to the existing state of affairs. The aim is that the

Board of Directors comprises of at least 30% male and at least 30% female members. Currently, the composition

of the Board of Directors meets the gender diversity objectives.

EVENTS AFTER THE REPORTING DATE

On 19 March 2025 the Company approved the renewal of a €1,125,281,000 loan due from other Morgan Stanley

group undertakings maturing on 28 March 2025 to 27 March 2032. The carrying value and other terms of the loan

remain unchanged.

MORGAN STANLEY B.V.

DIRECTORS’ REPORT

BUSINESS REVIEW (CONTINUED)

AUDIT COMMITTEE

The Company qualifies as an organisation of public interest pursuant to Dutch and the European Union (“EU”)

law and has established its own audit committee which complies with the applicable corporate governance rules

and composition requirements as detailed in the Articles of Association of the Company.

AUDITOR

Under EU Audit Regulation, the engagement period of a particular statutory auditor or audit firm may not exceed

10 years. As a consequence, a new auditor has been appointed for the financial year commencing 1 January 2024.

During 2022, the Company led a tender process which resulted in the appointment of Forvis Mazars Accountants

N.V. as the Company’s new auditor effective 1 January 2024. The appointment of Forvis Mazars Accountants

N.V. was approved by the Board on 30 November 2022.

Forvis Mazars Accountants N.V. have expressed their willingness to continue in office as auditor of the Company

and a resolution to re-appoint them will be proposed at the forthcoming annual general meeting.

Approved by the Board and signed on its behalf by:

28 April 2025

B.A Carey D. Diab D.C. Hiebendaal

T.J. van Rijn TMF Management B.V.

MORGAN STANLEY B.V.

DIRECTORS’ RESPONSIBILITY STATEMENT

The Directors are responsible for preparing the financial statements of the Company in compliance with the

European Single Electronic Format Regulatory Technical Standard (“ESEF RTS”). In preparing the Company’s

financial statements in compliance with ESEF RTS, the Directors are required to prepare the financial statements

in a valid xHTML format.

The Directors, the names of whom are set out on page 9, confirm to the best of their knowledge:

– the financial statements have been prepared in accordance with International Financial Reporting

Standards (“IFRSs”) as issued by the International Accounting Standards Board (“IASB”) and as

endorsed by the EU and Part 9 of Book 2 of the Dutch Civil Code and gives a true and fair view of the

assets, liabilities, financial position and profit or loss of the Company; and

– the management report represented by the Directors’ report includes a fair review of the development and

performance of the business and the position of the Company together with a description of the principal

risks and uncertainties that the Company faces.

Approved by the Board and signed on its behalf by:

28 April 2025

B.A Carey D. Diab D.C. Hiebendaal

T.J. van Rijn TMF Management B.V.

MORGAN STANLEY B.V.

STATEMENT OF COMPREHENSIVE INCOME

Year ended 31 December 2024


	Note	2024	2023
		€'000	€'000

Net trading expense on financial assets		(137,801)	(49,708)
Net trading income on financial liabilities		118,593	677,554
Net trading (expense) / income		(19,208)	627,846

Net income on other financial assets held at fair value		420,773	406,994
Net expense on other financial liabilities held at fair value		(401,565)	(1,034,840)
Net income / (expense) on other financial instruments held at fair value	4	19,208	(627,846)

Other revenue	5	1,427	3,382

Total non-interest revenue		1,427	3,382

Interest income		67,240	55,156
Interest expense		(53,842)	(56,982)
Net interest income / (expense)	6	13,398	(1,826)

Net revenues		14,825	1,556

Non-interest expense:
Other expense	7	(13,457)	(132)
Net reversal of impairment loss / (impairment loss) on financial instruments	8	59	(26)

PROFIT BEFORE INCOME TAX		1,427	1,398

Income tax expense	9	(346)	(327)

PROFIT AND TOTAL COMPREHENSIVE INCOME FOR THE YEAR		1,081	1,071

All operations were continuing in the current and prior year.

The notes on pages 16 to 65 form an integral part of the financial statements.

MORGAN STANLEY B.V.

STATEMENT OF CHANGES IN EQUITY

Year ended 31 December 2024


	Note	2024	2023
		€'000	€'000

Share capital - at 1 January and 31 December	15	15,018	15,018

Retained earnings - at 1 January		18,963	17,892
Profit for the year		1,081	1,071

Retained earnings - at 31 December		20,044	18,963

Total equity at 31 December		35,062	33,981

The notes on pages 16 to 65 form an integral part of the financial statements.

MORGAN STANLEY B.V.

Registered number: 34161590

STATEMENT OF FINANCIAL POSITION

As at 31 December 2024

(Including Proposed Appropriation of Results)



	Note	2024	2023
		€'000	€'000
ASSETS
Cash and short-term deposits	10	2,109	995
Trade and other receivables	11	1,267,150	1,336,279
Trading financial assets	10	384,883	390,413
Loans and advances	10	7,937,678	7,920,801
Current tax asset		1,725	1,187
TOTAL ASSETS		9,593,545	9,649,675

LIABILITIES AND EQUITY

LIABILITIES
Trade and other payables	12	90,834	174,796
Trading financial liabilities	10	476,029	570,351
Debt and other borrowings	13	7,866,339	7,745,266
Convertible preferred equity certificates	14	1,125,281	1,125,281
TOTAL LIABILITIES		9,558,483	9,615,694

EQUITY
Share capital	15	15,018	15,018
Retained earnings		20,044	18,963
Equity attributable to owners of the Company		35,062	33,981

TOTAL EQUITY		35,062	33,981

TOTAL LIABILITIES AND EQUITY		9,593,545	9,649,675

These financial statements were approved by the Board and authorised for issue on 28 April 2025.

Signed on behalf of the Board

B.A Carey D. Diab D.C. Hiebendaal

T.J. van Rijn TMF Management B.V.

The notes on pages 16 to 65 form an integral part of the financial statements.

MORGAN STANLEY B.V.

STATEMENT OF CASH FLOWS

Year ended 31 December 2024


	Note	2024	2023
		€'000	€'000

NET CASH FLOWS FROM / (USED IN) OPERATING ACTIVITIES	16	1,114	(4,107)

INVESTING ACTIVITY
Repayment of interest from another Morgan Stanley Group undertaking		56,857	20,820

NET CASH FLOWS FROM INVESTING ACTIVITY		56,857	20,820

FINANCING ACTIVITIES
Yield paid on convertible preferred equity certificates		(57,555)	(21,870)
Financing received from another Morgan Stanley Group undertaking		698	1,050
NET CASH FLOWS USED IN FINANCING ACTIVITIES	16	(56,857)	(20,820)

NET INCREASE / (DECREASE) IN CASH AND CASH EQUIVALENTS		1,114	(4,107)
CASH AND CASH EQUIVALENTS AT THE BEGINNING OF THE YEAR		995	5,102
CASH AND CASH EQUIVALENTS AT THE END OF THE YEAR	16	2,109	995

The notes on pages 16 to 65 form an integral part of the financial statements.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

1.CORPORATE INFORMATION

The Company is incorporated and domiciled in the Netherlands, at the following address:

Luna Arena, Herikerbergweg 238, 1101 CM, Amsterdam, the Netherlands.

The Company is engaged in the issuance of structured notes and the hedging of the obligations arising pursuant

to such issuances with prepaid equity securities contracts, loans designated at fair value through profit or loss

(“FVPL”) and derivatives entered into with other Morgan Stanley Group undertakings.

The issued structured notes expose the Company to the risk of changes in the market prices of the underlying

securities, interest rate risk and, where denominated in currencies other than Euros, the risk of changes in

exchange rates between the Euro and the other relevant currencies. The Company uses the contracts that it

purchases from other Morgan Stanley Group undertakings to hedge the market price, interest rate and foreign

currency risks associated with the issuance of the structured notes.

2.BASIS OF PREPARATION

Statement of compliance

The Company has prepared its annual financial statements in accordance with International Financial Reporting

Standards (‘IFRSs’) issued by the IASB as adopted by the EU, Interpretations issued by the IFRS Interpretations

Committee and Part 9 of Book 2 of the Dutch Civil Code.

The Company has prepared the financial statements of the Company in compliance with the ESEF RTS with the

relevant member state regulator’s storage mechanisms. In preparing the financial statements in compliance with

ESEF RTS, the Company is required to prepare Company financial statements in a valid xHTML format.

New standards and interpretations adopted during the year

The following amendments to standards relevant to the Company’s operations were adopted during the year.

Except where otherwise stated, this amendment to standards did not have a material impact on the Company’s

financial statements.

Amendments to IAS 1 'Presentation of Financial Statements' ('IAS 1'): Classification of Liabilities as Current or

Non-current were issued by the IASB in January 2020 and revised in July 2020 and October 2022, for

retrospective application in accounting periods beginning on or after 1 January 2024.The amendments were

endorsed by the EU in March 2022.

Amendments to IAS 1: Non-current Liabilities with Covenants were issued by the IASB in October 2022 for

application in accounting periods beginning on or after 1 January 2024. The amendments were endorsed by the

EU in January 2024.

There were no other standards, amendments to standards or interpretations relevant to the Company’s operations

which were adopted during the year.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

2.BASIS OF PREPARATION (CONTINUED)

New standards and interpretations not yet adopted

At the date of authorisation of these financial statements, the following amendments to standards relevant to the

Company’s operations were issued by the IASB but not mandatory for accounting periods beginning 1 January

2024.

Amendments to IAS 21 'The Effects of Changes in Foreign Exchange Rates': Lack of Exchangeability were

issued by the IASB in August 2023 for prospective application in accounting periods beginning on or after 1

January 2025. Earlier application is permitted. The amendments were endorsed by the EU in November 2024.

The Company does not expect the adoption will have a material impact on its financial statements.

Amendments to IFRS 9 ‘Financial Instruments’ ("IFRS 9") and IFRS 7 ‘Financial Instruments:

Disclosures’ ("IFRS 7") was issued by the IASB in May 2024 for retrospective application in annual periods

beginning on or after 1 January 2026. Earlier application is permitted. The Company is currently assessing the

impact of the amendments to IFRS 9 and IFRS 7 on its financial statements.

IFRS 18 ‘Presentation and Disclosure in Financial Statements’ ("IFRS 18") was issued by the IASB in April

2024 for retrospective application in annual periods beginning on or after 1 January 2027. Earlier application is

permitted. The Company is currently assessing the impact of IFRS 18 on its financial statements.

Basis of measurement

The financial statements of the Company are prepared under the historical cost basis, except for certain financial

instruments that have been measured at fair value as explained in the accounting policies below.

Critical accounting judgements and key sources of estimation uncertainty

In preparing the financial statements, the Company makes judgements and estimates that affect the application

of accounting policies and reported amounts.

Critical accounting judgements are key decisions made by management in the application of the Company’s

accounting policies, other than those involving estimations, which have the most significant effects on the

amounts recognised in the financial statements.

Key sources of estimation uncertainty represent assumptions and estimations made by management that have a

significant risk of resulting in a material adjustment to the carrying amount of assets and liabilities within the

next financial year.

The key source of estimation uncertainty is the valuation of Level 3 financial instruments. Valuation techniques

used to measure the fair value of instruments categorised in Level 3 of the fair value hierarchy are dependent on

unobservable parameters, and as such require the application of judgement, involving estimations and

assumptions. The fair value for these financial instruments has been determined using parameters appropriate

for the valuation methodology based on prevailing market evidence. It is recognised that the unobservable

parameters could have a range of reasonably possible alternative values. See note 3(d) and note 21(d)(2)

‘Sensitivity of fair values to changing significant assumptions to reasonably possible alternatives’.

No critical accounting judgements have been made in the process of applying the Company’s accounting

policies that have had a significant effect on the amounts recognised in the financial statements.

The Company evaluates the critical accounting judgements and key sources of estimation uncertainty on an

ongoing basis and believes that these are reasonable.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

2.BASIS OF PREPARATION (CONTINUED)

The going concern assumption

The Company’s business activities, together with the factors likely to affect its future development, performance

and position, are reflected in the Business Review section of the Directors’ report on pages 1 to 10. In addition,

the notes to the financial statements include the Company’s objectives, policies and processes for managing its

capital; its financial risk management objectives; details of its financial instruments; and its exposures to credit

risk and liquidity risk.

Taking the above factors into consideration, the Directors believe that the Company will have access to adequate

resources to continue in operational existence for the foreseeable future being at least 12 months from the date

of approval of these financial statements. Accordingly, they continue to adopt the going concern basis in

preparing the annual report and financial statements.

3.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

a. Functional currency

Items included in the financial statements are measured and presented in Euros, the currency of the primary

economic environment in which the Company operates.

All currency amounts in the financial statements and Directors’ report are rounded to the nearest thousand

Euros.

b. Foreign currencies

All monetary assets and liabilities denominated in currencies other than Euros are translated into Euros at the

rates ruling at the reporting date. Transactions and non-monetary assets and liabilities denominated in currencies

other than Euros are recorded at the rates prevailing at the dates of the transactions. All translation differences

are taken through the statement of comprehensive income. Exchange differences recognised in the statement of

comprehensive income are presented in ‘Other revenue’ or ‘Other expense’, except where noted in 3(c) below.

c. Financial instruments

i) Financial instruments mandatorily at fair value through profit and loss

Trading financial instruments

Trading financial instruments, which includes all derivative contracts, are initially recorded on trade date at fair

value (see note 3(d) below). All subsequent changes in fair value, foreign exchange differences and unrealised

interest are reflected in the statement of comprehensive income in ‘Net trading (expense)/ income’.

Transaction costs are incremental costs that are directly attributable to the acquisition, issue or disposal of a

financial instrument. Transaction costs are excluded from the initial fair value measurement of the financial

instrument. These costs are recognised in the statement of comprehensive income in ‘Other expense’.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

3.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

c. Financial instruments (continued)

i) Financial instruments mandatorily at fair value through profit and loss (continued)

Non-trading financial assets at fair value through profit or loss

Non-trading financial assets at FVPL include prepaid equity securities contracts.

Non-trading financial assets at FVPL are principally financial assets where the Company makes decisions based

upon the assets’ fair value and generally recognised on settlement date at fair value (see note 3(d) below), since

they are neither regular way nor are they derivatives. From the date the terms are agreed (trade date), until the

financial asset is funded (settlement date), the Company recognises any unrealised fair value changes in the

financial asset as non-trading financial assets at FVPL. On settlement date, the fair value of consideration given

is recognised as a non-trading financial asset at FVPL. All subsequent changes in fair value, foreign exchange

differences and interest are reflected in the statement of comprehensive income in ‘Net income / (expense) on

other financial instruments held at fair value’.

Transaction costs are excluded from the initial fair value measurement of the financial assets and are recognised

in the statement of comprehensive income in ‘Other expense’.

ii) Financial instruments designated at fair value through profit or loss

Financial instruments designated at FVPL include issued structured notes and loans.

The Company has designated certain financial assets at FVPL when the designation at fair value eliminates or

significantly reduces an accounting mismatch which would otherwise arise. The Company has also designated

certain financial liabilities at FVPL where the financial liabilities are managed, evaluated and reported internally

on a fair value basis.

From the date the transaction in a financial instrument designated at FVPL is entered into (trade date) until

settlement date, the Company recognises any unrealised fair value changes in the contract as financial

instruments designated at FVPL in the statement of financial position. On settlement date, the fair value of

consideration given or received is recognised as a financial instrument designated at FVPL (see note 3(d)

below).

All subsequent changes in fair value and foreign exchange differences are reflected in the statement of

comprehensive income in ‘Net income / (expense) on other financial instruments held at fair value’.

Transaction costs are excluded from the initial fair value measurement of the financial instrument. These costs

are recognised as incurred in the statement of comprehensive income in ‘Other expense’.

iii) Financial assets and financial liabilities at amortised cost

Financial assets classified at amortised cost include cash and short-term deposits and certain trade and other

receivables.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

3.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

c. Financial instruments (continued)

iii) Financial assets and financial liabilities at amortised cost (continued)

Financial assets are recognised at amortised cost when the Company’s business model objective is to collect the

contractual cash flows of the assets and where these cash flows are Solely Payments of Principal and Interest

(“SPPI”) on the principal amount outstanding until maturity. Such assets are recognised when the Company

becomes a party to the contractual provisions of the instrument. The instruments are initially measured at fair

value (see note 3(d) below) and subsequently measured at amortised cost less any expected credit loss (“ECL”)

allowance. Interest is recognised in the statement of comprehensive income in ‘Interest income’, using the

effective interest rate (“EIR”) method as described below. Transaction costs that are directly attributable to the

acquisition of the financial asset are added to the fair value on initial recognition. ECL and reversals thereof are

recognised in the statement of comprehensive income in ‘Net reversal of impairment loss / (impairment loss) on

financial instruments’.

Financial liabilities classified at amortised cost include Convertible Preferred Equity Certificates (“CPECs”),

and trade and other payables.

Financial liabilities are classified as being subsequently measured at amortised cost, except where they are held

for trading or are designated as measured at FVPL. They are recognised when the Company becomes a party to

the contractual provisions of the instrument and are initially measured at fair value (see note 3(d) below) and

subsequently measured at amortised cost. Interest is recognised in the statement of comprehensive income in

‘Interest expense’ using the EIR method as described below. Transaction costs that are directly attributable to

the issue of a financial liability are deducted from fair value on initial recognition.

The CPECs issued by the Company are classified as financial liabilities at amortised cost in accordance with the

substance of the contractual arrangement and IAS 32 ‘Financial Instruments: Presentation – offsetting financial

instruments’. The yield on the CPECs is recognised in the statement of comprehensive income in ‘Interest

expense’ using the EIR method as described below.

d. Fair value

Fair value measurement

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the

“exit price”) in an orderly transaction between market participants at the measurement date.

Fair value is a market-based measure considered from the perspective of a market participant rather than an

entity-specific measure. Therefore, even when market assumptions are not readily available, assumptions are

set to reflect those that the Company believes market participants would use in pricing the asset or liability at the

measurement date.

Where the Company manages a group of financial assets and financial liabilities on the basis of its net exposure

to either market risk or credit risk, the Company measures the fair value of that group of financial instruments

consistently with how market participants would price the net risk exposure at the measurement date.

In determining fair value, the Company uses various valuation approaches and establishes a hierarchy for inputs

used in measuring fair value that requires the most observable inputs be used when available.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

3.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

d. Fair value (continued)

Fair value measurement (continued)

Observable inputs are inputs that market participants would use in pricing the asset or liability that were

developed based on market data obtained from sources independent of the Company. Unobservable inputs are

inputs that reflect assumptions the Company believes other market participants would use in pricing the asset or

liability, that are developed based on the best information available in the circumstances.

The fair value hierarchy is broken down into three levels based on the observability of inputs as follows, with

Level 1 being the highest and Level 3 being the lowest level:

• Level 1 - Quoted prices (unadjusted) in an active market for identical assets or liabilities

Valuations based on quoted prices in active markets that the Morgan Stanley Group has the ability to

access for identical assets or liabilities. Valuation adjustments, block discounts and discounts for

equity-specific and contractual restrictions that would not transfer to market participants are not applied

to Level 1 instruments. Since valuations are based on quoted prices that are readily and regularly

available in an active market, valuation of these products does not entail a significant degree of

judgement.

• Level 2 - Valuation techniques using observable inputs

Valuations based on quoted prices for similar assets or liabilities in active markets, quoted prices for

identical or similar assets or liabilities in inactive markets, significant market inputs other than quoted

prices that are observable for the asset or liability, or market-corroborated inputs.

• Level 3 - Valuation techniques with significant unobservable inputs

Valuations based on inputs that are unobservable and significant to the overall fair value measurement.

The availability of observable inputs can vary from product to product and is affected by a wide variety of

factors, including the type of product, whether the product is new and not yet established in the marketplace, the

liquidity of markets and other characteristics particular to the product. To the extent that valuation is based on

models or inputs that are less observable or unobservable in the market, the determination of fair value requires

more judgement. Accordingly, the degree of judgement exercised by the Company in determining fair value is

greatest for instruments categorised in Level 3 of the fair value hierarchy.

The Company considers prices and inputs that are current as of the measurement date, including during periods

of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for

many instruments. This condition could cause an instrument to be reclassified from Level 1 to Level 2 or from

Level 2 to Level 3 of the fair value hierarchy.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy.

In such cases, the total fair value amount is disclosed in the level appropriate for the lowest level input that is

significant to the total fair value of the asset or liability.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

3.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

d. Fair value (continued)

Fair value measurement (continued)

The Company incorporates Funding Valuation Adjustment (“FVA”) into the fair value measurements of over-

the-counter (“OTC”) uncollateralised or partially collateralised derivatives, and in collateralised derivatives

where the terms of the agreement do not permit the re-use of the collateral received. In general, the FVA reflects

a market funding risk premium inherent in the noted derivative instruments. The methodology for measuring

FVA leverages the Company’s existing credit-related valuation adjustment calculation methodologies, which

apply to both assets and liabilities.

For assets and liabilities that are transferred between levels in the fair value hierarchy during the period, fair

values are ascribed as if the assets or liabilities had been transferred as of the beginning of the period.

Valuation techniques

Many cash instruments and OTC derivative contracts have bid and ask prices that can be observed in the

marketplace. Bid prices reflect the highest price that a party is willing to pay for an asset. Ask prices represent

the lowest price that a party is willing to accept for an asset. The Company carries positions at the point within

the bid-ask range that meets its best estimate of fair value. For offsetting positions in the same financial

instrument, the same price within the bid-ask spread is used to measure both the long and short positions.

Fair value for many cash instruments and OTC derivative contracts is derived using pricing models. Pricing

models take into account the contract terms, as well as multiple inputs including, where applicable, commodity

prices, equity prices, interest rate yield curves, credit curves, correlation, creditworthiness of the counterparty,

creditworthiness of the Company, option volatility and currency rates.

Where appropriate, valuation adjustments are made to account for various factors such as liquidity risk (bid-ask

adjustments), credit quality, model uncertainty and concentration risk and funding in order to arrive at fair value.

Adjustments for liquidity risk adjust model-derived mid-market amounts of Level 2 and Level 3 financial

instruments for the bid-mid or mid-ask spread required to properly reflect the exit price of a risk position. Bid-

mid and mid-ask spreads are marked to levels observed in trade activity, broker quotes or other external third-

party data. Where these spreads are unobservable for the particular position in question, spreads are derived

from observable levels of similar positions.

The Company applies credit-related valuation adjustments to its borrowings which are designated at FVPL and

to OTC derivatives. The Company considers the impact of changes in own credit spreads based upon

observations of the secondary bond market spreads when measuring the fair value for borrowings.

For OTC derivatives, the impact of changes in both the Company’s and the counterparty’s credit rating is

considered when measuring fair value. In determining the expected exposure, the Company simulates the

distribution of the future exposure to a counterparty, then applies market-based default probabilities to the future

exposure, leveraging external third-party credit default swap (“CDS”) spread data. Where CDS spread data are

unavailable for a specific counterparty, bond market spreads, CDS spread data based on the counterparty’s

credit rating or CDS spread data that reference a comparable counterparty may be utilised. The Company also

considers collateral held and legally enforceable master netting agreements that mitigate its exposure to each

counterparty.

Adjustments for model uncertainty are taken for positions whose underlying models are reliant on significant

inputs that are neither directly nor indirectly observable, hence requiring reliance on established theoretical

concepts in their derivation. These adjustments are derived by making assessments of the possible degree of

variability using statistical approaches and market-based information where possible.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

3.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

d. Fair value (continued)

Valuation techniques (continued)

The Company may apply concentration adjustments to certain of its OTC derivative portfolios to reflect the

additional cost of closing out a particularly large risk exposure. Where possible, these adjustments are based on

observable market information but in many instances significant judgement is required to estimate the costs of

closing out concentrated risk exposures due to the lack of liquidity in the marketplace.

Valuation process

Valuation Control (“VC”) within Finance is responsible for ensuring that the inventory carried at fair value in

the Company’s financial statements and associated disclosures is presented in accordance with applicable

accounting standards. VC is independent of the business units and reports to the Chief Financial Officer of the

Morgan Stanley Group (“CFO”), who has final authority over the valuation of the Company’s inventory. VC

implements valuation control processes designed to validate the fair value of the Company’s financial

instruments measured at fair value including those derived from pricing models.

Model Control

VC, in conjunction with the Model Risk Management Department (“MRM”), which reports to the Chief Risk

Officer of the Morgan Stanley Group (“CRO”), independently reviews valuation models. VC is responsible for

reviewing that the model valuation methodology is appropriate, model inputs and valuations are consistent with

accounting standards and an independent price verification can be performed. The Company generally subjects

valuations and models to a review process initially and on a periodic basis thereafter.

Independent Price Verification

The business units are responsible for determining the fair value of financial instruments using approved

valuation models and valuation methodologies. Generally on a monthly basis, VC performs an independent

review of the valuation in the books and records by determining the appropriateness of the inputs used by the

business units and by testing compliance with the documented valuation methodologies approved in the model

review process described above. External pricing data used to validate the valuation must meet minimum quality

standards set by VC.

The results of this independent price verification and any adjustments made to the fair value generated by the

business units are presented to management of the Morgan Stanley Group’s three business segments (i.e.

Institutional Securities, Wealth Management and Investment Management), the CFO and the CRO on a regular

basis.

VC reviews the models and valuation methodology used to price new material Level 2 and Level 3 transactions,

and both Finance and MRM must approve the fair value of the trade that is initially recognised.

Gains and losses on inception

In the normal course of business, the fair value of a financial instrument on initial recognition is the transaction

price (i.e. the fair value of the consideration given or received). In certain circumstances, however, the fair value

will be based on other observable current market transactions in the same instrument, without modification or

repackaging, or on a valuation technique whose variables include only data from observable markets. When

such evidence exists, the Company recognises a gain or loss on inception of the transaction.

When the use of unobservable market data has a significant impact on determining fair value at the inception of

the transaction, the entire initial gain or loss indicated by the valuation technique as at the transaction date is not

recognised immediately in the statement of comprehensive income but is deferred and recognised over the life

of the instrument or at the earlier of when the unobservable market data become observable, maturity or disposal

of the instrument.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

3.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

e. Derecognition of financial assets and liabilities

The Company derecognises a financial asset when the contractual rights to the cash flows from the asset expire,

or when it transfers the financial asset and substantially all the risks and rewards of ownership of the asset.

If the asset has been transferred and the Company neither transfers nor retains substantially all of the risks and

rewards of the asset, then the Company determines whether it has retained control of the asset.

If the Company has retained control of the asset, it continues to recognise the financial asset to the extent of its

continuing involvement in the financial asset. If the Company has not retained control of the asset, it

derecognises the asset and separately recognises any rights or obligations created or retained in the transfer.

The Company derecognises financial liabilities when the Company’s obligations are discharged or cancelled or

when they expire.

f. Impairment of financial assets

The Company recognises loss allowances for ECL for financial assets measured at amortised cost.

Measurement of ECL

The Company applies a three stage approach to measuring ECLs based on the change in credit risk since initial

recognition:

• Stage 1: if the credit risk of the financial instrument at the reporting date has not increased significantly

since initial recognition then the loss allowance is calculated as the lifetime cash shortfalls that will

result if a default occurs in the next 12 months, weighted by the probability of that default occurring.

• Stage 2: if there has been a significant increase in credit risk (“SICR”) since initial recognition, the loss

allowance is calculated as the ECL over the remaining life of the financial instrument. If it is

subsequently determined that there has no longer been a SICR since initial recognition, then the loss

allowance reverts to reflecting 12 month expected losses.

• Stage 3: if there has been a SICR since initial recognition and the financial instrument is deemed credit-

impaired (see below for definition of credit-impaired), the loss allowance is calculated as the ECL over

the remaining life of the financial instrument. If it is subsequently determined that there has no longer

been a SICR since initial recognition, then the loss allowance reverts to reflecting 12 month expected

losses.

Notwithstanding the above, for trade receivables, a lifetime ECL is always calculated, without considering

whether a SICR has occurred.

Assessment of significant increase in credit risk

When assessing SICR, the Company considers both quantitative and qualitative information and analysis based

on the Company’s historical experience and expert credit risk assessment, including forward-looking

information.

The determination of a SICR is generally based on changes in the probability of default (“PD”), in conjunction

with a rebuttable presumption that a SICR has occurred if a financial asset is more than 30 days past due.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

3.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

f. Impairment of financial assets (continued)

Calculation of ECL

ECL is calculated using three main components:

• PD: for accounting purposes, the 12 month and lifetime PD represent the expected point-in-time

probability of a default over the next 12 months and over the remaining lifetime of the financial

instrument respectively, based on conditions existing at the balance sheet date and future economic

conditions.

• Loss given default (“LGD”): the LGD represents expected loss conditional on default, taking into

account the mitigating effect of collateral, including the expected value of the collateral when realised

and the time value of money.

• Exposure at default (“EAD”): this represents the expected EAD, taking into account the expected

repayment of principal and interest from the balance sheet date to the date of default event together

with any expected drawdowns of the facility over that period.

These parameters are generally derived from internally developed statistical models, incorporating historical,

current and forward-looking macro-economic data and country risk expert judgement. The macro-economic

scenarios are reviewed quarterly.

The 12 month ECL is equal to the sum over the next 12 months of quarterly PD multiplied by LGD and EAD,

with such expected losses being discounted at the EIR. Lifetime ECL is calculated using the discounted present

value of total quarterly PDs multiplied by LGD and EAD, over the full remaining life of the facility.

When measuring ECLs, the Company considers multiple scenarios, except where practical expedients are used

to determine ECL. Practical expedients are used where they are consistent with the principles described above.

ECL on certain trade receivables are calculated using a ‘matrix’ approach which reflects the previous history of

credit losses on these financial assets, applying different provision levels based on the age of the receivable.

Alternatively where there is a history of no credit losses and where this is expected to persist into the future for

structural or other reasons, such as collateral or other credit enhancement, it may be determined that the ECL for

a financial instrument is de minimis (highly immaterial) and it may not be necessary to recognise the ECL.

The Company measures ECL on an individual asset basis and has no purchased or originated credit-impaired

(“POCI”) financial assets.

More information on measurement of ECL is provided in note 19 Financial risk management.

Presentation of ECL

ECL is recognised in the statement of comprehensive income within ‘Net impairment loss on financial

instruments’.

Credit-impaired financial instruments

In assessing the impairment of financial instruments under the ECL model, the Company defines credit-

impaired financial instruments in accordance with the Credit Risk Management Department’s policies and

procedures. A financial instrument is credit-impaired when, based on current information and events, it is

probable that the Company will be unable to collect all scheduled payments of principal or interest when due

according to the contractual terms of the agreement.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

3.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

f. Impairment of financial assets (continued)

Definition of Default

In assessing the impairment of financial instruments under the ECL model, the Company defines default in

accordance with the Credit Risk Management Department’s policies and procedures. This considers whether the

borrower is unlikely to pay its credit obligations to the Company in full and takes into account qualitative

indicators, such as breaches of covenants. The definition of default also includes a presumption that a financial

asset which is more than 90 days past due has defaulted.

Write-offs

Loans are written off (either partially or in full) when they are deemed uncollectible. Financial assets that are

written off could still be subject to enforcement activities for recoveries of amounts due.

g. Cash and cash equivalents

For the purposes of the statement of cash flows, Cash and cash equivalents comprise cash and demand deposits

with banks, net of outstanding bank overdrafts, along with highly liquid investments, with original maturities of

three months or less, that are readily convertible to known amounts of cash and subject to insignificant risk of

change in value.

h.Income tax

The tax expense represents the sum of the tax currently payable.

The tax currently payable is calculated based on taxable profit for the year. Taxable profit may differ from profit

before taxation as reported in the statement of comprehensive income because it excludes items of income or

expense that are taxable or deductible in other years and items that are never taxable or deductible. Taxable

profit is also adjusted if it is considered that it is not probable that a taxation authority will accept an uncertain

tax treatment. The Company’s liability for current tax is calculated using tax rates that have been enacted or

substantively enacted by the reporting date. Current tax is charged or credited in the statement of comprehensive

income, except when it relates to items charged or credited directly to other comprehensive income or equity, in

which case the current tax is also recorded within other comprehensive income.

Current tax assets are offset against current tax liabilities when there is a legally enforceable right to set off

current tax assets against current tax liabilities and the Company intends to settle its current tax assets and

current tax liabilities on a net basis or to realise the asset and settle the liability simultaneously.

The Company is subject to the OECD Pillar Two Model Rules legislation that is effective from 1 January 2024.

The Company has applied the mandatory exception to deferred tax recognition and disclosure as provided in the

amendments to IAS 12: International Tax Reform - Pillar Two Model Rules.

i.Offsetting of financial assets and financial liabilities

Where there is a current legally enforceable right to set off the recognised amounts and an intention to either

settle on a net basis or to realise the asset and the liability simultaneously, financial assets and financial

liabilities are offset and the net amount is presented on the statement of financial position. In the absence of

such conditions, financial assets and financial liabilities are presented on a gross basis.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

4.NET INCOME / (EXPENSE) ON OTHER FINANCIAL INSTRUMENTS HELD AT FAIR

VALUE


	2024	2023
	€'000	€'000
Net income/ (expense) on:

Non-trading financial assets at FVPL:
Trade and other receivables:
Prepaid equity securities contracts	(218)	5,007

Financial assets designated at FVPL:
Loans and advances:
Loans	420,991	401,987

Financial liabilities designated at FVPL:
Debt and other borrowings:
Issued structured notes	(401,565)	(1,034,840)
	19,208	(627,846)

5.OTHER REVENUE


	2024	2023
	€'000	€'000

Management recharges to other Morgan Stanley Group undertakings	1,427	2,287
Net foreign exchange gains	—	1,095
	1,427	3,382

Management recharges to other Morgan Stanley Group undertakings represents the amount of fees received in

relation to intermediary services of €1,427,000 (2023: €1,398,000) and the amount of fees received on recovery

of residual financing expenses of €nil (2023: €889,000). These are in line with the transfer pricing principles of

the Morgan Stanley Group.

The Company actively manages its foreign currency exposure risk arising on its assets and liabilities in

currencies other than Euro. Net foreign exchange gains includes translation differences that have arisen due to

foreign exchange exposure created as a result of hedging assets and liabilities recognised for Morgan Stanley

Group reporting purposes.

6.INTEREST INCOME AND INTEREST EXPENSE

All interest income and expense relate to financial assets and financial liabilities at amortised cost and is

calculated using the EIR method (refer to note 3(c)).

No other gains or losses have been recognised in respect of financial assets measured at amortised cost other

than as disclosed as ‘Interest income’, foreign exchange differences included within ‘Other expense’ (note 7)

(2023: ‘Other income’ (note 5)) and charge of impairment losses recognised in ‘Net reversal of impairment

loss / (impairment loss) on financial instruments’ (note 8).

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

6.INTEREST INCOME AND INTEREST EXPENSE (CONTINUED)

No other gains or losses have been recognised in respect of financial liabilities at amortised cost other than as

disclosed as ‘Interest expense’ and foreign exchange differences included within ‘Other expense’ (note 7)

(2023: ‘Other income’ (note 5))’.

‘Interest expense’ includes the yield payable on CPECs (see note 14).

7.OTHER EXPENSE


	2024	2023
	€'000	€'000
Auditors’ remuneration:
Fees payable to the Company’s auditor and its associates for the audit of the Company’s financial statements	145	95
Bank charges	43	37
Net foreign exchange losses	11,365	—
Management charges from other Morgan Stanley Group undertakings	1,676	—
Other	228	—
	13,457	131.808

The Company employed no staff during the year (2023: none).

The Company actively manages its foreign currency exposure risk arising on its assets and liabilities in

currencies other than Euro. Net foreign exchange losses in the current year includes translation differences that

have arisen due to foreign exchange exposure created as a result of hedging assets and liabilities recognised for

Morgan Stanley Group reporting purposes.

Management charges from other Morgan Stanley Group undertakings represents reimbursement of residual

financing income in line with the transfer pricing principles of the Morgan Stanley Group.

The Company accrued the following amounts to its auditors in respect of the audit of the financial statements

and for other services provided to the Company:


	2024			2023
	Forvis Mazars Accountants N.V.	Other Forvis Mazars Network	Total Forvis Mazars	Deloitte Accountants B.V.	Other Deloitte Network	Total Deloitte
	€'000	€'000	€'000	€'000	€'000	€'000
Statutory audit of financial statements	145	—	145	95	—	95

The amounts presented comprise all audit costs charged by or accrued for the financial year.

The audit fees are included in ‘Other expense’, whereby the expenses for the year 2024 also include an amount

of €228,000 charged by Deloitte Touche Tohmatsu that relates to statutory audit of financial statements of prior

periods.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

8.NET REVERSAL OF IMPAIRMENT LOSS / (IMPAIRMENT LOSS) ON FINANCIAL

INSTRUMENTS

The following table shows the net ECL (reversal)/ charge for the year.


	2024	2023
	€'000	€'000

Trade and other receivables	(59)	26

There were no write-offs during the current or prior year.

All of the above impairment losses were calculated on an individual basis. No collective impairment

assessments were made during the year or prior year.

9.INCOME TAX EXPENSE


	2024	2023
	€'000	€'000
Current tax
Current year	368	367
Adjustments in respect of prior years	(22)	(40)
Income tax	346	327

Reconciliation of effective tax rate

The current year income tax expense is lower than (2023: lower than) that resulting from applying the average

standard rate of corporation tax in the Netherlands for the year of 25.8% (2023: 25.8%). The main differences

are explained below:


	2024	2023
	€'000	€'000

Profit before income tax	1,427	1,398

Income tax using the average standard rate of corporation tax in the Netherlands of 25.8% (2023: 25.8%)	368	361

Impact on tax of:
Tax over provided in prior years	(22)	(40)
Expenses not deductible for tax purposes	—	6
Total income tax in the statement of comprehensive income	346	327

The Company is included in a fiscal unity with Archimedes Investments Coöperatieve U.A. and is not a stand-

alone taxpayer for Dutch corporate income tax purposes. If, and to the extent that, the Company would benefit

from losses of other members of the fiscal unity, these may be settled via inter-company mechanisms.

The Company has no current tax exposure in relation to the OECD Pillar Two Model Rules.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

10.FINANCIAL ASSETS AND LIABILITIES BY MEASUREMENT CATEGORY

The following table analyses financial assets and financial liabilities as presented in the statement of financial

position by the IFRS 9 measurement classifications.


31 December 2024	FVPL (mandatorily)	FVPL (designated)	Amortised cost	Total
	€'000	€'000	€'000	€'000

Cash and short-term deposits	—	—	2,109	2,109
Trade and other receivables:
Trade receivables	—	—	26,849	26,849
Other receivables	—	—	1,230,547	1,230,547
Prepaid equity securities contracts	9,754	—	—	9,754
Trading financial assets:
Derivatives	384,883	—	—	384,883
Loans and advances:
Loans	—	7,937,678	—	7,937,678
Total financial assets	394,637	7,937,678	1,259,505	9,591,820

Trade and other payables:
Trade payables	—	—	55,485	55,485
Other payables	—	—	35,349	35,349
Trading financial liabilities:
Derivatives	476,029	—	—	476,029
Debt and other borrowings:
Issued structured notes	—	7,866,339	—	7,866,339
Convertible preferred equity certificates	—	—	1,125,281	1,125,281
Total financial liabilities	476,029	7,866,339	1,216,115	9,558,483

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

10.FINANCIAL ASSETS AND LIABILITIES BY MEASUREMENT CATEGORY (CONTINUED)


31 December 2023	FVPL (mandatorily)	FVPL (designated)	Amortised cost	Total
	€'000	€'000	€'000	€'000

Cash and short-term deposits	—	—	995	995
Trade and other receivables:
Trade receivables	—	—	14,038	14,038
Other receivables	—	—	1,310,924	1,310,924
Prepaid equity securities contracts	11,317	—	—	11,317
Trading financial assets:
Derivatives	390,413	—	—	390,413
Loans and advances:
Loans	—	7,920,801	—	7,920,801
Total financial assets	401,730	7,920,801	1,325,957	9,648,488

Trade and other payables:
Trade payables	—	—	130,792	130,792
Other payables	—	—	44,004	44,004
Trading financial liabilities:
Derivatives	570,351	—	—	570,351
Debt and other borrowings:
Issued structured notes	—	7,745,266	—	7,745,266
Convertible preferred equity certificates	—	—	1,125,281	1,125,281
Total financial liabilities	570,351	7,745,266	1,300,077	9,615,694

Financial assets and liabilities designated at FVPL

The financial assets and financial liabilities shown in the tables above which are designated at FVPL consist

primarily of the following financial assets and financial liabilities:

Structured notes: These relate to financial liabilities which arise from selling structured products, generally in

the form of notes, certificates and warrants. These instruments contain an embedded derivative which

significantly modifies the cash flows of the issuance. The return on the instrument is linked to various underliers

including, but not limited to, equity-linked notes. These structured notes are designated at FVPL as the risks to

which the Company is a contractual party are risk managed on a fair value basis as part of the Company’s

trading portfolio and the risk is reported to key management personnel on this basis.

Loans: These are loans to other Morgan Stanley Group undertakings that, along with the prepaid equity

securities contracts and the derivative contracts classified as mandatorily at FVPL, are part of the hedging

strategy for the obligations arising pursuant to the issuance of the structured notes.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

10.FINANCIAL ASSETS AND LIABILITIES BY MEASUREMENT CATEGORY (CONTINUED)

Financial assets and liabilities designated at FVPL (continued)

The Company determines the amount of changes in fair value attributable to changes in counterparty credit risk

or own credit risk, as relating to loans and issued structured notes, by first determining the fair value including

the impact of counterparty credit risk or own credit risk, and then deducting those changes in fair value

representing managed market risk. In determining fair value, the Company considers the impact of changes in

own credit spreads based upon observations of the secondary bond market spreads when measuring the fair

value for issued structured notes. The Company considers that this approach most faithfully represents the

amount of change in fair value due to both counterparty credit risk and the Company’s own credit risk.

The carrying amount of financial liabilities designated at FVPL was €28,403,000 lower than the contractual

amount due at maturity (31 December 2023: €24,745,000 lower).

At initial recognition of a specific structured note issuance program, the Company’s issuance process, and any

planned hedging structure relating to the issuance of those structured notes, has been considered, to determine

whether the presentation of fair value changes attributable to credit risk of those structured notes through other

comprehensive income would create or enlarge an accounting mismatch in the statement of comprehensive

income. If financial instruments, such as prepaid equity securities contracts, derivatives and loans held at FVPL,

for which changes in fair value incorporating counterparty credit risk are reflected within the statement of

comprehensive income, are traded to economically hedge the structured note issuances in full, the fair value

incorporating any counterparty credit risk arising on the hedging instruments may materially offset any changes

in the credit risk of these liabilities (“DVA”) applied to structured notes, where the counterparties of the hedging

instruments are part of the Morgan Stanley Group. In such cases, the DVA of those structured notes is not

reflected within other comprehensive income, and instead is presented in the statement of comprehensive

income.

The following table presents the change in fair value and the cumulative change recognised in the statement of

comprehensive income attributable to own credit risk for issued structured notes and counterparty credit risk for

loans.


	Gain or (loss) recognised in the statement of comprehensive income		Cumulative gain or (loss) recognised in the statement of comprehensive income
	2024	2023	2024	2023
	€'000	€'000	€'000	€'000

Issued structured notes	(5,441)	(31,576)	(38,163)	(32,722)
Loans	5,441	31,576	38,163	32,722
	—	—	—	—

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

10.FINANCIAL ASSETS AND LIABILITIES BY MEASUREMENT CATEGORY (CONTINUED)

The following tables present the carrying value of the Company’s financial liabilities designated at FVPL,

classified according to underlying security type, including, single name equities, equity indices and equity

portfolio.


	Single name equities	Equity Indices	Equity portfolio	Other (1)	Total
	€'000	€'000	€'000	€'000	€'000
31 December 2024
Certificates and warrants	6,311	60,596	10,639	8,171	85,717
Notes	1,442,599	3,657,778	2,015,755	664,490	7,780,622
Total debt and other borrowings	1,448,910	3,718,374	2,026,394	672,661	7,866,339


31 December 2023
Certificates and warrants	8,743	1,126	26,865	—	36,734
Notes	1,679,403	3,687,301	1,697,015	644,813	7,708,532
Total debt and other borrowings	1,688,146	3,688,427	1,723,880	644,813	7,745,266

(1) Other includes structured notes that have coupon or repayment terms linked to the performance of funds, debt securities, currencies or

commodities.

The majority of the Company’s financial liabilities designated at FVPL provide exposure to an underlying single

name equity, an equity index or portfolio of equities. The prepaid equity securities contracts, derivative

contracts and loans held at FVPL that the Company enters into in order to hedge the structured notes are valued

as detailed in note 3(d) and note 21(a) and have similar valuation inputs to the liabilities they hedge.

11.TRADE AND OTHER RECEIVABLES


	2024	2023
	€'000	€'000
Trade and other receivables (amortised cost)
Trade receivables
Amounts due from other Morgan Stanley Group undertakings	26,849	14,038

Other receivables
Amounts due from other Morgan Stanley Group undertakings	1,230,547	1,310,983
Less: ECL allowance	—	(59)
	1,230,547	1,310,924

Total trade and other receivables (amortised cost)	1,257,396	1,324,962

Other receivables (non-trading at FVPL)
Prepaid equity securities contracts	9,754	11,317

Total	1,267,150	1,336,279

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

12.TRADE AND OTHER PAYABLES


	2024	2023
	€'000	€'000
Trade and other payables (amortised cost)
Trade payables:
Amounts due to other Morgan Stanley Group undertakings	55,485	130,792
Other payables:
Amounts due to other Morgan Stanley Group undertakings	35,349	44,004
	90,834	174,796

13.DEBT AND OTHER BORROWINGS


	2024	2023
	€'000	€'000

Debt and other borrowings (designated at FVPL)
Issued structured notes	7,866,339	7,745,266

Refer to note 10 for details of issued structured notes included within debt and other borrowings designated at

FVPL.

14.CONVERTIBLE PREFERRED EQUITY CERTIFICATES

On 30 March 2012, the Company issued 11,252,813 of CPECs of €100 each, classified as financial liabilities at

amortised cost. The CPECs were issued to one of the Company's shareholders, Archimedes Investments

Coöperatieve U.A. (a Morgan Stanley Group undertaking), in exchange for cash consideration of

€1,125,281,000.

The CPECs carry no voting rights. The Company and the holder have the right to convert each issued CPEC

into one ordinary share with a nominal value of €100.

On 27 February 2018, the maturity date of the CPECs was amended from 150 years to 49 years from the date of

issuance. The CPECs may be redeemed earlier at the option of the Company or on liquidation of the Company.

The CPECs rank ahead of the ordinary shares in the event of liquidation.

The holder of the CPECs is entitled to receive an annual yield on a date agreed by the Company and the holder.

The yield for each CPEC is calculated as income deriving from the Company's activities less the necessary

amounts to cover the costs of the Company divided by the number of CPECs then in issue. Other income

relating to management recharges received from other Morgan Stanley Group undertakings and gains or losses

from financial instruments designated or mandatorily at fair value through profit or loss are excluded from the

calculation.

On 29 March 2024, the Company paid the accrued yield of €57,555,000 (29 March 2023: €21,870,000) to the

holders of the CPECs. An accrued yield for the year ended 31 December 2024 of €48,842,000 has been

recognised in the statement of comprehensive income in ‘Interest expense’ (2023: €54,779,000). The liability to

the holders of the CPECs at 31 December 2024, recognised within ‘Trade and other payables’, is €35,169,000

31 December 2023: €43,882,000).

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

15.EQUITY

Ordinary share capital


	Ordinary shares of €100 each
	€'000

Issued and fully paid
At 1 January 2023, 31 December 2023 and 31 December 2024	15,018

On 9 December 2013, the Articles of Association of the Company were amended whereby the concept of

authorised share capital was abolished. Each share confers the right to cast one vote, provided that subject to

mandatory law, all resolutions of the General Meeting shall be adopted by unanimous vote in a meeting in

which the entire share capital is present or represented.

The holders of ordinary shares are entitled to receive dividends as declared from time to time.

Reserves

The Company uses the contracts that it purchases from other Morgan Stanley Group undertakings to hedge the

market price, interest rate, foreign currency and other market risks associated with the issuance of the structured

notes, consistent with the Company’s risk management strategy. Both the contracts and the structured note

issuances are valued at fair value through profit or loss and no net cumulative gain or loss is expected to be

realised over the life of the financial instrument contracts. Therefore, a legal revaluation reserve under Part 9,

Book 2 of the Dutch Civil Code (BW2, Article 390(1)) is not necessary.

Appropriation of the net result for the year

The statement of financial position is presented after the proposed appropriation of net result for the year ended

31 December 2024. The Directors propose to add the profit to retained earnings as part of the equity

shareholders’ funds.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

16.ADDITIONAL CASH FLOW INFORMATION

16.1.Cash and cash equivalents

For the purposes of the statement of cash flows, cash and cash equivalents comprise the following balances,

which have less than three months maturity from the date of acquisition:


	2024	2023
	€'000	€'000

Cash and short-term deposits	2,109	995
	2,109	995

16.2.Reconciliation of cash flows from operating activities


	2024	2023
	€'000	€'000

Profit for the year	1,081	1,071
Adjustments for:
Interest income	(67,240)	(55,156)
Interest expense	53,842	56,982
Income tax expense	346	327
Impairment loss on financial instruments	(59)	26
Operating cash flows before changes in operating assets and liabilities	(12,030)	3,250

Changes in operating assets:
Decrease / (increase) in trading financial assets	5,530	(188,848)
(Increase) / decrease in loans and advances	(16,877)	835,663
Decrease in trade and other receivables	78,836	178,320
	67,489	825,135

Changes in operating liabilities:
Decrease in trading financial liabilities	(94,322)	(651,686)
Decrease in trade and other payables	(80,227)	(186,762)
Increase in debt and other borrowings	121,073	7,280
	(53,476)	(831,168)

Interest received	37	40
Interest paid	(22)	(6)
Income taxes paid	(884)	(1,358)

Net cash flows from / (used in) operating activities	1,114	(4,107)

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

16.ADDITIONAL CASH FLOW INFORMATION (CONTINUED)

16.3.Reconciliation of liabilities arising from financing activities


	Balance at 1 January 2024	Cash flows	Non-cash changes	Non-cash changes	Balance at 31 December 2024
			Accrued yield	Accrued financing
	€'000	€'000	€'000	€'000	€'000
Convertible preferred equity certificates	1,125,281	—	—	—	1,125,281
Trade and other payables (1)				—
CPEC yield	43,882	(57,555)	48,842	—	35,169
Amounts due to other Morgan Stanley Group undertakings (3)	—	(948)	—	9,644	8,696
Total liabilities from financing activities	1,169,163	(58,503)	48,842	9,644	1,169,146


Trade and other receivables (2)
Amounts due from other Morgan Stanley Group undertakings (3)	(1,646)	1,646	—	—	—
Total assets from financing activities	(1,646)	1,646	—	—	—

(1) €46,969,000 of trade and other payables do not arise from financing activities as at 31 December 2024.

(2) € 1,267,150,000 of trade and other receivables do not arise from financing activities as at 31 December 2024.

(3) The balances represent the financing required to cover the net cash flows between liabilities arising from financing activities and assets

arising from investing activities.


	Balance at 1 January 2023	Cash flows	Non-cash changes	Non-cash changes	Balance at 31 December 2023
			Accrued yield	Accrued financing
	€'000	€'000	€'000	€'000	€'000
Convertible preferred equity certificates	1,125,281	—	—	—	1,125,281
Trade and other payables (1)
CPEC yield	10,973	(21,870)	54,779	—	43,882
Amounts due to other Morgan Stanley Group undertakings (3)	467	1,050	—	(1,517)	—
Total liabilities from financing activities	1,136,721	(20,820)	54,779	(1,517)	1,169,163


Trade and other receivables (2)
Amounts due from other Morgan Stanley Group undertakings (3)	—	—	—	(1,646)	(1,646)
Total assets from financing activities	—	—	—	(1,646)	(1,646)

(1) €132,560,000 of trade and other payables do not arise from financing activities as at 31 December 2023.

(2) €1,336,279,000 of trade and other receivables do not arise from financing activities as at 31 December 2023.

(3) The balances represent the financing required to cover the net cash flows between liabilities arising from financing activities and assets

arising from investing activities.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

17.EXPECTED MATURITY OF ASSETS AND LIABILITIES

The table below shows an analysis of assets and liabilities analysed according to when they are expected to be

recovered, realised or settled.


	At 31 December 2024				At 31 December 2023
	Less than or equal to twelve months	More than twelve months	Total		Less than or equal to twelve months	More than twelve months	Total
	Less than or equal to twelve months	More than twelve months	Total		Less than or equal to twelve months	More than twelve months	Total
	€'000	€'000	€'000		€'000	€'000	€'000
ASSETS
Cash and short-term deposits	2,109	—	2,109		995	—	995
Trade and other receivables	1,257,396	9,754	1,267,150		199,681	1,136,598	1,336,279
Trading financial assets	146,763	238,120	384,883		86,281	304,132	390,413
Loans and advances	2,589,743	5,347,935	7,937,678		2,901,281	5,019,520	7,920,801
Current tax assets	1,725	—	1,725	—	1,187	—	1,187
	3,997,736	5,595,809	9,593,545		3,189,425	6,460,250	9,649,675

LIABILITIES
Trade and other payables	90,834	—	90,834		174,796	—	174,796
Trading financial liabilities	220,841	255,188	476,029		260,846	309,505	570,351
Debt and other borrowings	2,525,718	5,340,621	7,866,339		2,719,802	5,025,464	7,745,266
Convertible preferred equity certificates	—	1,125,281	1,125,281		—	1,125,281	1,125,281
	2,837,393	6,721,090	9,558,483		3,155,444	6,460,250	9,615,694

18.SEGMENT REPORTING

Segment information is presented in respect of the Company’s business and geographical segments. The

business and geographical segments are based on the Company’s management and internal reporting structure.

Transactions between business segments are on normal commercial terms and conditions.

Business segments

Morgan Stanley structures its business segments primarily based upon the nature of the financial products and

services provided to customers and Morgan Stanley’s internal management structure. The Company’s own

business segments are consistent with those of Morgan Stanley.

The Company has one reportable business segment, Institutional Securities, which provides financial services to

financial institutions. Its business includes the issuance of financial instruments and the hedging of the

obligations arising pursuant to such issuances.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

18.SEGMENT REPORTING (CONTINUED)

Geographical segments

The Company operates in three geographic regions as listed below:

• Europe, Middle East and Africa (“EMEA”)

• Americas

• Asia

The following table presents selected statement of comprehensive income and statement of financial position

information of the Company’s operations by geographic area. The external revenues (net of interest expense)

and total assets disclosed in the following table reflect the regional view of the Company’s operations, on a

managed basis. The basis for attributing external revenues (net of interest expense) and total assets is determined

by trading desk location.


	EMEA		Americas		Asia		Total
	2024	2023	2024	2023	2024	2023	2024	2023
	€'000	€'000	€'000	€'000	€'000	€'000	€'000	€'000
External revenues (net of interest)	14,188	958	535	470	102	128	14,825	1,556

Profit before income tax	790	800	535	470	102	128	1,427	1,398

Total assets	4,508,582	4,586,750	4,105,894	3,853,329	979,069	1,209,596	9,593,545	9,649,675

All of the Company’s external revenue (2023: 100%) arises from transactions with other Morgan Stanley Group

undertakings. Further details of such transactions are disclosed in the related party disclosures in note 24.

19.FINANCIAL RISK MANAGEMENT

Risk management procedures

Risk is an inherent part of the Company’s business activity. The Company seeks to identify, assess, monitor and

manage each of the various types of risk involved in its business activities in accordance with defined policies

and procedures. The Company is managed as part of the policies and procedures of the Morgan Stanley Group’s

risk management policy framework. The risk management policy framework includes escalation to the

appropriate senior management personnel when necessary.

Significant risks faced by the Company resulting from its trading and financing activities are set out below.

Credit risk

Credit risk refers to the risk of loss arising when a borrower, counterparty or issuer does not meet its financial

obligations to the Company. The Company is primarily exposed to credit risk from institutions and sophisticated

investors through its Institutional Securities business segment.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

.19.FINANCIAL RISK MANAGEMENT (CONTINUED)

Credit risk (continued)

Credit risk management

Credit risk exposure is managed on a global basis and in consideration of each significant legal entity within the

Morgan Stanley Group. The credit risk management policies and procedures establish the framework for

identifying, measuring, monitoring and controlling credit risk whilst ensuring transparency of material credit

risks, compliance with established limits and escalating risk concentrations to appropriate senior management.

The Company enters into all of its financial asset transactions with other Morgan Stanley Group undertakings,

and both the Company and the other Morgan Stanley Group undertakings are wholly-owned subsidiaries of the

same ultimate parent entity, Morgan Stanley. As a result of the implicit support that would be provided by

Morgan Stanley, the Company is considered exposed to the credit risk of Morgan Stanley, except where the

Company transacts with other Morgan Stanley Group undertakings that have a higher credit rating to that of

Morgan Stanley.

Exposure to credit risk

The maximum exposure to credit risk (’gross credit exposure’) of the Company as at 31 December 2024 is

disclosed below, based on the carrying amounts of the financial assets. The table below includes financial

instruments subject to ECL and not subject to ECL. Those financial instruments that bear credit risk but are not

subject to ECL are subsequently measured at fair value. This table does not include receivables arising from

pending securities transactions with market counterparties as credit risk is considered insignificant.

Where the Company enters into credit enhancements, including receiving cash and security as collateral and

master netting agreements, to manage the credit exposure on these financial instruments the financial effect of

the credit enhancements is also disclosed below. The net credit exposure represents the credit exposure

remaining after the effect of the credit enhancements.

The Company does not have any significant exposure arising from items not recognised on the statement of

financial position.

Collateral and other credit enhancements

The Company has entered into collateral arrangements with other Morgan Stanley Group undertakings to

mitigate credit risk. Collateral held is managed in accordance with the Morgan Stanley Group’s guidelines and

the relevant underlying agreements.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

19.FINANCIAL RISK MANAGEMENT (CONTINUED)

Credit risk (continued)

Exposure to credit risk by class


	31 December 2024			31 December 2023
Class	Gross credit exposure(1)	Credit enhancem ents	Net credit exposure(2)	Gross credit exposure(1)	Credit enhancem ents	Net credit exposure(2)
	€'000	€'000	€'000	€'000	€'000	€'000

Subject to ECL:
Cash and short-term deposits	2,109	—	2,109	995	—	995
Trade and other receivables(3)	1,257,396	—	1,257,396	1,325,021	—	1,325,021

Not subject to ECL:
Trade and other receivables(3):
Prepaid equity securities contracts	9,754	(9,754)	—	11,317	(11,317)	—
Trading financial assets(3)	384,883	(292,094)	92,789	390,413	(336,220)	54,193
Loans and advances	7,937,678	—	7,937,678	7,920,801	—	7,920,801
	9,591,820	(301,848)	9,289,972	9,648,547	(347,537)	9,301,010

(1) The carrying amount recognised in the statement of financial position best represents the Company’s maximum exposure to

credit risk.

(2) Of the residual net credit exposure, intercompany cross product netting arrangements are in place which would allow for an

additional €6,359,000 (2023: €895,000) to be offset in the event of default by certain Morgan Stanley counterparties.

(3) At 31 December 2024, net cash collateral pledged €6,561,000 was recognised in trade and other receivables in the statement of

financial position against derivatives classified as trading financial assets/liabilities and prepaid equity securities contract. At

31 December 2023, trade and other receivables included net cash collateral pledged of €7,676,000. Cash collateral is determined

and settled on a net basis.

Exposure to credit risk by internal rating grades

Internal credit ratings, as below, are derived using methodologies generally consistent with those used by

external agencies:

Investment grade: AAA - BBB

Non-investment grade: BB - CCC

Default: D

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

19.FINANCIAL RISK MANAGEMENT (CONTINUED)

Credit risk (continued)

Exposure to credit risk by internal rating grades (continued)

The table below shows gross carrying amount and, in the case of unrecognised financial instruments, nominal

amounts by internal rating grade. All exposures subject to ECL are Stage 1.


	Investment grade
31 December 2024	AA	A	BBB	Total	Loss Allowance	Net of ECL
	€'000	€'000	€'000	€'000	€'000	€'000
Subject to ECL:
Cash and short-term deposits	336	1,773	—	2,109	—	2,109
Trade and other receivables(1)	—	1,257,396	—	1,257,396	—	1,257,396
Total subject to ECL	336	1,259,169	—	1,259,505	—	1,259,505

Not subject to ECL:
Trade and other receivables:
Prepaid equity securities contracts	—	9,754	—	9,754	—	9,754
Trading financial assets – derivatives	—	384,883	—	384,883	—	384,883
Loans and advances	—	7,937,678	—	7,937,678	—	7,937,678
Total not subject to ECL	—	8,332,315	—	8,332,315	—	8,332,315

	Investment grade
31 December 2023	AA	A	BBB	Total	Loss Allowance	Net of ECL
	€'000	€'000	€'000	€'000	€'000	€'000
Subject to ECL:
Cash and short-term deposits	554	441	—	995	—	995
Trade and other receivables(1)	—	1,325,021	—	1,325,021	(59)	1,324,962
Total subject to ECL	554	1,325,462	—	1,326,016	(59)	1,325,957

Not subject to ECL:
Trade and other receivables:
Prepaid equity securities contracts	—	11,317	—	11,317	—	11,317
Trading financial assets – derivatives	—	386,878	3,535	390,413	—	390,413
Loans and advances	—	7,920,801	—	7,920,801	—	7,920,801
Total not subject to ECL	—	8,318,996	3,535	8,322,531	—	8,322,531

(1) At 31 December 2024, there were no financial assets past due but not impaired or individually impaired (31 December 2023:

€nil).

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

19.FINANCIAL RISK MANAGEMENT (CONTINUED)

Credit risk (continued)

Exposure to credit risk by internal rating grades (continued)

Reconciliation of gross carrying amount and ECL


	Gross carrying / nominal amount	Allowance for ECL
	€'000	€'000
Other receivables
As at 1 January 2024	1,310,983	59
Derecognised due to repayment	(80,436)	—
Changes in credit risk	—	(59)
As at 31 December 2024	1,230,547	—

As at 1 January 2023	1,138,923	33
Derecognised due to repayment	172,060	—
Changes in credit risk	—	26
As at 31 December 2023	1,310,983	59

The above gross carrying amounts are Stage 1 and exclude financial assets at amortised cost of €28,958,000

(2023: €15,033,000) as the corresponding ECL is immaterial.

There have been no changes made to estimation techniques or significant assumptions for estimating

impairment during the year. There were no modifications to financial assets during the year or since origination

and therefore modifications have not impacted ECL staging. As at 31 December 2024, there is no collateral held

against credit-impaired assets (2023: €nil). There are no financial assets which have been written off during the

year ended 31 December 2024 (2023: €nil).

Liquidity risk

Liquidity risk refers to the risk that the Company will be unable to finance its operations due to a loss of access

to capital markets or difficulty in liquidating its assets. Liquidity risk encompasses the Company’s ability (or

perceived ability) to meet its financial obligations without experiencing significant business disruption or

reputational damage that may threaten the Company’s viability as a going concern. Liquidity risk also

encompasses the associated funding risks triggered by the market or idiosyncratic stress events that may cause

unexpected changes in funding needs or an inability to raise new funding. Generally, the Company incurs

liquidity risk as a result of its trading, lending, investing and client facilitation activities.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

19.FINANCIAL RISK MANAGEMENT (CONTINUED)

Liquidity risk (continued)

The Morgan Stanley Group’s Liquidity Risk Management Framework is critical to helping ensure that the

Company maintains sufficient liquidity reserves and durable funding sources to meet its daily obligations and to

withstand unanticipated stress events. The Liquidity Risk Department (LRD) is a distinct area in Risk

Management, which oversees and monitors liquidity risk. The Liquidity Risk Department ensures transparency

of material liquidity risks, compliance with established risk limits and key risk indicators (“KRI”) as well as

escalation of risk concentrations to appropriate senior management. To execute these responsibilities, the

Liquidity Risk Department:

• Establishes limits in line with the Morgan Stanley Group’s risk appetite;

• Identifies and analyses emerging liquidity risks to ensure such risks are appropriately mitigated;

• Monitors and reports risk exposures against limits and KRIs; and

• Reviews the methodologies and assumptions underpinning the Morgan Stanley Group’s Liquidity

Stress Tests to ensure sufficient liquidity and funding under a range of adverse scenarios.

The Treasury Department and applicable business units have primary responsibility for evaluating, monitoring

and controlling the liquidity risks arising from the Morgan Stanley Group’s business activities and for

maintaining processes and controls to manage the key risks inherent in their respective areas. The Liquidity Risk

Department coordinates with the Treasury Department and these business units to help ensure a consistent and

comprehensive framework for managing liquidity risk across the Morgan Stanley Group.

The Company is part of the Morgan Stanley Group's liquidity risk management policies and procedures.

The primary goal of the Morgan Stanley Group’s liquidity risk management framework is to ensure that the

Company has access to sufficient liquid assets across a wide range of market conditions and time horizons. The

framework is designed to enable the Company to fulfil its financial obligations and support the execution of its

business strategies.

The following principles guide the Morgan Stanley Group’s liquidity risk management framework:

• Sufficient liquid assets should be maintained to cover maturing liabilities and other planned and

contingent outflows;

• Maturity profile of assets and liabilities should be aligned, with limited reliance on short-term funding;

• Source, counterparty, currency, region, and term of funding should be diversified; and

• Liquidity Stress Tests should account for stressed liquidity requirements and the amount of liquidity

held should be greater than those stressed requirements.

The Company hedges all of its financial liabilities with financial assets entered into with other Morgan Stanley

Group undertakings, where both the Company and other Morgan Stanley Group undertakings are wholly-owned

subsidiaries of the same parent, Morgan Stanley. Further, the maturity profile of the financial assets matches the

maturity profile of the financial liabilities.

The core components of the Morgan Stanley Group’s liquidity management framework that support our target

liquidity profile, which includes consideration of the liquidity risk for each individual legal entity, are the

Required Liquidity Framework, Liquidity Stress Tests and the Liquidity Resources (as defined below).

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

19.FINANCIAL RISK MANAGEMENT (CONTINUED)

Liquidity risk (continued)

Required Liquidity Framework

The Required Liquidity Framework establishes the amount of liquidity the Company must hold in both normal

and stressed environments to ensure that its financial condition and overall soundness are not adversely affected

by an inability (or perceived inability) to meet its financial obligations in a timely manner. The Required

Liquidity Framework considers the most constraining liquidity requirement to satisfy all regulatory and internal

limits at a Morgan Stanley Group and legal entity level.

Liquidity Stress Tests

The Morgan Stanley Group uses Liquidity Stress Tests to model external and intercompany flows across

multiple scenarios and a range of time horizons. These scenarios contain various combinations of idiosyncratic

and market stress events of different severity and duration. The methodology, implementation, production and

analysis of the Company’s Liquidity Stress Tests are important components of the Required Liquidity

Framework.

Liquidity Stress Tests are produced for the Company, to capture specific cash requirements and cash

availability. The Liquidity Stress Tests assume that a legal entity will use its own liquidity first to fund its

obligations before drawing liquidity from its ultimate parent undertaking, Morgan Stanley. Morgan Stanley will

support its subsidiaries and will not have access to subsidiaries’ liquidity resources that are subject to any

regulatory, legal or tax constraints. In addition to the assumptions underpinning the Liquidity Stress Tests, the

Company takes into consideration settlement risk related to intra-day settlement and clearing of securities and

financing activities.

Since the Company hedges the liquidity risk of its financial liabilities with financial assets that match the

maturity profile of the financial liabilities, the Company is not considered a major operating subsidiary for the

purposes of liquidity risk. However, the Company would have access to the cash or liquidity reserves held by

Morgan Stanley in the unlikely event that it was unable to access adequate financing to service its financial

liabilities when they become payable.

The Required Liquidity Framework and Liquidity Stress Tests are evaluated on an ongoing basis and reported to

the Firm Risk Committee, Asset/ Liability Management Committee, and other appropriate risk committees.

Liquidity Resources

The Company maintains sufficient liquidity resources which consist of cash deposits with banks (“Liquidity

Resources”) to cover daily funding needs and to meet strategic liquidity targets sized by the Required Liquidity

Framework and Liquidity Stress Tests. The Company actively manages the amount of its Liquidity Resources

considering the following components: unsecured debt maturity profile; balance sheet size and composition;

funding needs in a stressed environment inclusive of contingent cash outflows; and collateral requirements. The

amount of liquidity resources the Company holds is based on the Company’s risk tolerance and is subject to

change depending on market and firm-specific events.

The Morgan Stanley Group’s Liquidity Resources, to which the Company has access, are held within Morgan

Stanley and its major operating subsidiaries and are composed of diversified cash and cash equivalents and

unencumbered highly liquid securities.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

19.FINANCIAL RISK MANAGEMENT (CONTINUED)

Liquidity risk (continued)

Liquidity Resources (continued)

Eligible unencumbered highly liquid securities include US government securities, US agency securities, US

agency mortgage-backed securities, non-US government securities and other highly liquid investment grade

securities.

Liquidity Resources may fluctuate from period to period based on the overall size and composition of the

statement of financial position, the maturity profile of our unsecured debt and estimates of funding needs in a

stressed environment, among other factors.

The ability to monetise assets during a liquidity crisis is critical. The Morgan Stanley Group believes that the

assets held in its Liquidity Resources can be monetised within five business days in a stressed environment

given the highly liquid and diversified nature of the resources.

Funding management

The Morgan Stanley Group manages its funding in a manner that reduces the risk of disruption to the Morgan

Stanley Group’s and the Company’s operations. The Morgan Stanley Group pursues a strategy of diversification

of secured and unsecured funding sources (by product, investor and region) and attempts to ensure that the tenor

of the Morgan Stanley Group’s, and the Company’s, liabilities equals or exceeds the expected holding period of

the assets being financed.

The Morgan Stanley Group funds its balance sheet on a global basis through diverse sources, which includes

consideration of the funding risk of each legal entity. These sources include the Morgan Stanley Group’s equity

capital, long-term borrowing, securities sold under agreements to repurchase (“repurchase agreements”),

securities lending, deposits, letters of credit and lines of credit. The Morgan Stanley Group has active financing

programmes for both standard and structured products targeting global investors and currencies.

Balance sheet management

In managing both the Morgan Stanley Group’s and the Company’s funding risk, the composition and size of the

entire statement of financial position, not just financial liabilities, is monitored and evaluated. The liquid nature

of the marketable securities and short-term receivables arising principally from sales and trading activities in the

Institutional Securities business provides the Morgan Stanley Group and the Company with flexibility in

managing the composition and size of its statement of financial position.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

19.FINANCIAL RISK MANAGEMENT (CONTINUED)

Liquidity risk (continued)

Maturity analysis

In the following maturity analysis of financial assets and financial liabilities, derivative contracts and other

financial instruments held at FVPL are disclosed according to their earliest contractual maturity; all such

amounts are presented at their fair value, consistent with how these financial instruments are managed. All other

amounts represent undiscounted cash flows receivable and payable by the Company arising from its financial

assets and financial liabilities to earliest contractual maturities as at 31 December 2024 and 31 December 2023.

Receipts of financial assets and repayments of financial liabilities that are subject to immediate notice are treated

as if notice were given immediately and are classified as on demand. This presentation is considered by the

Company to appropriately reflect the liquidity risk arising from these financial assets and financial liabilities,

presented in a way that is consistent with how the liquidity risk on these financial assets and financial liabilities

is managed by the Company.


31 December 2024	On demand	Less than 1 year	1 year - 2 years	2 years - 5 years	Greater than 5 years	Total
	€'000	€'000	€'000	€'000	€'000	€'000
Financial assets
Cash and short-term deposits	2,109	—	—	—	—	2,109
Trade and other receivables:
Trade receivables	26,849	—	—	—	—	26,849
Other receivables	1,230,547	—	—	—	—	1,230,547
Prepaid equity securities contracts	9,754	—	—	—	—	9,754
Trading financial assets:
Derivatives	—	146,764	51,991	146,178	39,950	384,883
Loans and advances:
Loans	598	2,589,743	1,242,177	2,378,068	1,727,092	7,937,678
Total financial assets	1,269,857	2,736,507	1,294,168	2,524,246	1,767,042	9,591,820

Financial liabilities
Trade and other payables:
Trade payables	55,485	—	—	—	—	55,485
Other payables	35,349	—	—	—	—	35,349
Trading financial liabilities:
Derivatives	41	220,841	76,309	91,530	87,308	476,029
Debt and other borrowings:
Issued structured notes	10,312	2,525,718	1,217,859	2,432,716	1,679,734	7,866,339
Convertible preferred equity certificates	1,125,281	—	—	—	—	1,125,281
Total financial liabilities	1,226,468	2,746,559	1,294,168	2,524,246	1,767,042	9,558,483

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

19.FINANCIAL RISK MANAGEMENT (CONTINUED)

Liquidity risk (continued)

Maturity analysis (continued)


31 December 2023	On demand	Less than 1 year	1 year - 2 years	2 years - 5 years	Greater than 5 years	Total
	€'000	€'000	€'000	€'000	€'000	€'000
Financial assets
Cash and short-term deposits	995	—	—	—	—	995
Trade and other receivables:
Trade receivables	14,038	—	—	—	—	14,038
Other receivables	1,310,924	—	—	—	—	1,310,924
Prepaid equity securities contracts	11,317	—	—	—	—	11,317
Trading financial assets:
Derivatives	—	86,283	136,556	124,570	43,004	390,413
Loans and advances:
Loans	7,564	2,894,365	1,408,948	2,199,826	1,410,098	7,920,801
Total financial assets	1,344,838	2,980,648	1,545,504	2,324,396	1,453,102	9,648,488

Financial liabilities
Trade and other payables:
Trade payables	130,792	—	—	—	—	130,792
Other payables	44,004	—	—	—	—	44,004
Trading financial liabilities:
Derivatives	69	260,847	181,595	60,281	67,559	570,351
Debt and other borrowings:
Issued structured notes	11,898	2,719,801	1,363,909	2,264,115	1,385,543	7,745,266
Convertible preferred equity certificates	1,125,281	—	—	—	—	1,125,281
Total financial liabilities	1,312,044	2,980,648	1,545,504	2,324,396	1,453,102	9,615,694

Market risk

Market risk is defined by IFRS 7 as the risk that the fair value or future cash flows of a financial instrument will

fluctuate because of changes in market prices.

The Company manages the market risk associated with its trading activities at a legal entity, trading division and

at an individual products level.

Sound market risk management is an integral part of the Company’s culture. The Company is responsible for

ensuring that market risk exposures are well-managed and monitored. The Company also ensures transparency

of material market risks, monitors compliance with established limits, and escalates risk concentrations to

appropriate senior management.

To execute these responsibilities, the Morgan Stanley Group monitors the market risk of the firm against limits

on aggregate risk exposures, performs a variety of risk analyses including monitoring Value-at-risk (“VaR”) and

stress testing analyses, routinely reports risk summaries and maintains the VaR and scenario analysis

methodologies. The Company is managed within the Morgan Stanley Group’s global framework. The market

risk management policies and procedures of the Company include performing risk analyses and reporting any

material risks identified to appropriate senior management of the Company.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

19.FINANCIAL RISK MANAGEMENT (CONTINUED)

Market risk (continued)

The Company enters into the majority of its financial asset transactions with other Morgan Stanley Group

undertakings, where both the Company and the other Morgan Stanley Group undertakings are wholly-owned

subsidiaries of the same group parent entity, Morgan Stanley.

The Company actively manages its market risk by hedging with other Morgan Stanley Group undertakings. The

residual market risk on the entity is not material.

20.FINANCIAL ASSETS AND FINANCIAL LIABILITIES SUBJECT TO OFFSETTING

In order to manage credit exposure arising from its business activities, the Company applies various credit risk

management policies and procedures, see note 19 for further details. Primarily in connection with derivative

transactions, the Company enters into master netting arrangements and collateral arrangements with their

counterparties. These agreements provide the Company with the right, in the ordinary course of business and/ or

in the event of a counterparty default (such as bankruptcy or a counterparty’s failure to pay or perform), to net a

counterparty’s rights and obligations under such agreement and, in the event of counterparty default, set off

collateral held by the Company against the net amount owed by the counterparty.

However, in certain circumstances, the Company may not have such an agreement in place; the relevant

insolvency regime (which is based on type of counterparty of the entity and the jurisdiction of organisation of

the counterparty) may not support the enforceability of the agreement; or the Company may not have sought

legal advice to support the enforceability of the agreement. In cases where the Company has not determined an

agreement to be enforceable, the related amounts are not offset in the tabular disclosures.

In the statement of financial position, financial assets and financial liabilities are only offset and presented on a

net basis where there is a current legally enforceable right to set off the recognised amounts and an intention to

either settle on a net basis or to realise the assets and the liabilities simultaneously. In the absence of such

conditions, financial assets and financial liabilities are presented on a gross basis.

The following table presents information about the offsetting of financial instruments and related collateral

amounts. The effect of master netting arrangements, collateral agreements and other credit enhancements, on the

Company’s exposure to credit risk is disclosed in note 19.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

20.FINANCIAL ASSETS AND FINANCIAL LIABILITIES SUBJECT TO OFFSETTING

(CONTINUED)


	Gross and net amounts presented in the statement of financial position(1)	Amounts not offset in the statement of financial position(2) (4)	Net exposure
		Cash collateral(3)
	€'000	€'000	€'000
31 December 2024
Assets
Trade and other receivables:
Prepaid equity securities contracts	9,754	(9,754)	—
Trading financial assets:
Derivatives	384,883	(292,094)	92,789
TOTAL	394,637	(301,848)	92,789

Liabilities
Trading financial liabilities:
Derivatives	476,029	(259,575)	216,454
Debt and other borrowings:
Issued structured notes	7,866,339	—	7,866,339
TOTAL	8,342,368	(259,575)	8,082,793


	Gross and net amounts presented in the statement of financial position(1)	Amounts not offset in the statement of financial position(2) (4)	Net exposure
		Cash collateral(3)
	€'000	€'000	€'000
31 December 2023
Assets
Trade and other receivables:
Prepaid equity securities contracts	11,317	(11,317)	—
Trading financial assets:
Derivatives	390,413	(336,220)	54,193
TOTAL	401,730	(347,537)	54,193

Liabilities
Trading financial liabilities:
Derivatives	570,351	(230,864)	339,487
Debt and other borrowings:
Issued structured notes	7,745,266	—	7,745,266
TOTAL	8,315,617	(230,864)	8,084,753

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

20.FINANCIAL ASSETS AND FINANCIAL LIABILITIES SUBJECT TO OFFSETTING

(CONTINUED)

(1) Amounts include €92,789,000 (31 December 2023: €54,193,000) of trading financial assets – derivatives, €nil ( 31 December 2023:

€nil) of trade and other receivables – prepaid equity securities contracts, €148,197,000 (31 December 2023: €230,150,000) of trading

financial liabilities – derivatives and €7,621,949,000 (31 December 2023: €7,607,378,000) of debt and other borrowings – issued

structured notes which are either not subject to master netting agreements or collateral agreements or are subject to such agreements

but the Company has not determined the agreements to be legally enforceable.

(2) Amounts relate to master netting arrangements and collateral arrangements which have been determined by the Company to be legally

enforceable but do not meet all criteria required for net presentation within the statement of financial position.

(3) Cash collateral used to mitigate credit risk on exposures arising under derivatives contracts and prepaid equity securities contracts is

determined and settled on a net basis and has been recognised in the statement of financial position within ‘Trade and other

receivables’in 2024.

(4) In addition to the balances disclosed in the table above, certain ‘Trade and other receivables’ of €54,844,000 (31 December 2023:

€129,788,000 of ‘Trade and other receivables’) not presented net within the statement of financial position have legally enforceable

master ntting agreements in place and can be offset in the ordinary course of business and/or in the event of default.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

21.ASSETS AND LIABILITIES MEASURED AT FAIR VALUE

a. Financial assets and liabilities recognised at fair value on a recurring basis

The following tables present the carrying value of the Company’s financial assets and financial liabilities

recognised at fair value on a recurring basis, classified according to the fair value hierarchy.


31 December 2024	Quoted prices in active market (Level 1)	Valuation techniques using observable inputs (Level 2)		Valuation techniques with significant unobservable inputs (Level 3)	Total
	Quoted prices in active market (Level 1)	Valuation techniques using observable inputs (Level 2)			Total
	€'000	€'000		€'000	€'000

Trade and other receivables:
Prepaid equity securities contracts	—	9,754		—	9,754
Trading financial assets:
Derivatives:
Interest rate contracts	—	9,227		—	9,227
Equity contracts	—	361,337		14,319	375,656
	—	370,564		14,319	384,883

Loans and advances:
Loans	—	7,937,678		—	7,937,678

Total financial assets measured at fair value	—	8,317,996	8,317,996	14,319	8,332,315

Trading financial liabilities:
Derivatives:
Interest rate contracts	—	94,337		14,894	109,231
Equity contracts	—	325,696		41,102	366,798
	—	420,033		55,996	476,029
Debt and other borrowings:
Certificates and warrants	—	77,546		8,171	85,717
Notes	—	7,709,622		71,000	7,780,622
Total debt and other borrowings	—	7,787,168		79,171	7,866,339

Total financial liabilities measured at fair value	—	8,207,201		135,167	8,342,368

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

21.ASSETS AND LIABILITIES MEASURED AT FAIR VALUE (CONTINUED)

a. Financial assets and liabilities recognised at fair value on a recurring basis (continued)


31 December 2023	Quoted prices in active market (Level 1)	Valuation techniques using observable inputs (Level 2)	Valuation techniques with significant unobservable inputs (Level 3)	Total
	Quoted prices in active market (Level 1)	Valuation techniques using observable inputs (Level 2)		Total
	€'000	€'000	€'000	€'000

Trade and other receivables:
Prepaid equity securities contracts	—	11,317	—	11,317
Trading financial assets:
Derivatives:
Interest rate contracts	—	7,316	2,074	9,390
Equity contracts	—	354,779	26,244	381,023
Commodity contracts	—	—	—	—
	—	362,095	28,318	390,413

Loans and advances:
Loans	—	7,920,801	—	7,920,801

Total financial assets measured at fair value	—	8,294,213	28,318	8,322,531

Trading financial liabilities:
Derivatives:
Interest rate contracts	—	28,288	9,709	37,997
Equity contracts	—	491,841	40,513	532,354
Foreign exchange contracts	—	—	—	—
	—	520,129	50,222	570,351
Debt and other borrowings:
Certificates and warrants	—	36,734	—	36,734
Notes	—	7,453,100	255,432	7,708,532
Total debt and other borrowings	—	7,489,834	255,432	7,745,266

Total financial liabilities measured at fair value	—	8,009,963	305,654	8,315,617

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

21.ASSETS AND LIABILITIES MEASURED AT FAIR VALUE (CONTINUED)

a. Financial assets and liabilities recognised at fair value on a recurring basis (continued)

The Company’s valuation approach and fair value hierarchy categorisation for certain significant classes of

financial instruments recognised at fair value on a recurring basis is as follows:


Derivatives
Asset and Liability / Valuation Techniques	Valuation Hierarchy Classification
Derivatives
OTC Derivative Contracts • OTC derivative contracts include forward, swap and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices or commodity prices. • Depending on the product and the terms of the transaction, the fair value of OTC derivative products can be modeled using a series of techniques, including closed-form analytic formulas, such as the Black- Scholes option-pricing model, simulation models or a combination thereof. Many pricing models do not entail material subjectivity as the methodologies employed do not necessitate significant judgement, since model inputs may be observed from actively quoted markets, as is the case for generic interest rate swaps, many equity, commodity and foreign currency option contracts and certain credit default swaps. In the case of more established derivative products, the pricing models used by the Company are widely accepted by the financial services industry. • More complex OTC derivative products are typically less liquid and require more judgement in the implementation of the valuation technique since direct trading activity or quotes are unobservable. This includes certain types of interest rate derivatives with both volatility and correlation exposure, commodity derivatives that are either longer-dated or include exposure to multiple underlyings and credit derivatives, including credit default swaps on certain mortgage or asset-back securities, basket CDS. Where these inputs are unobservable, relationships to observable data points, based on historic and/or implied observations, may be employed as a technique to estimate the model input values.	• Generally Level 2 - when valued using observable inputs supported by market liquidity, or where the unobservable input is not deemed significant. • Level 3 - when valued using observable inputs with limited market liquidity, or if an unobservable input is deemed significant.
Prepaid equity securities contracts and issued structured notes
Prepaid equity securities contracts and issued structured notes designated at fair value through profit or loss • The Company issues structured notes and trades prepaid equity securities contracts which are primarily composed of instruments whose payments and redemption values are linked to the performance of a specific index, a basket of stocks, a specific security, a commodity, a credit exposure or basket of credit exposures, and instruments with various interest-rate-related features including step-ups, step-downs, and zero coupons. • Fair value of structured notes and traded prepaid equity securities contracts is determined using valuation models for the derivative and debt portions of the structured notes and traded prepaid equity securities contracts. These models incorporate observable inputs referencing identical or comparable securities, including prices to which the notes are linked, interest rate yield curves, option volatility and currency rates, and commodity or equity prices. • Independent, external and traded prices for the notes are considered as well as the impact of the Company’s own credit spreads which are based on observed secondary bond market spreads.	• Level 2 - when valued using observable inputs or where the unobservable input is not deemed significant • Level 3 - in instances where the unobservable inputs are deemed significant

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

21.ASSETS AND LIABILITIES MEASURED AT FAIR VALUE (CONTINUED)

a. Financial assets and liabilities recognised at fair value on a recurring basis (continued)


Prepaid equity securities contracts and issued structured notes (continued)
Issued Structured Notes • Notes give a risk exposure tailored to market views and risk appetite and mainly provide exposure to the underlying single name equity, equity index or portfolio of equities. Typically, the redemption payment of the note is significantly dependent on the value of embedded equity derivatives. In general, call and put options, digital options, straddles and callability features are combined to create a bespoke coupon rate or redemption payoff for each note issuance, with risk exposure to one or more equity underlyings or indices. The Company values the embedded derivatives using market standard models, which are assessed for appropriateness at least annually. Model inputs, such as equity forward rates, equity implied volatility and equity correlations are marked such that the fair value of the derivatives match prices observable in the inter-dealer markets. In arriving at fair value, the Company uses discount rates appropriate to the funding rates specific to the instrument. In general, this results in overnight rates being used to discount the Company assets and liabilities. In addition, since the notes bear Morgan Stanley’s credit risk, the Company considers this when assessing the fair value of the notes, by adjusting the discount rates to reflect the prevailing credit spread at the reporting date. • The Company has a small number of notes where the cash flows due on the notes is dependent on embedded derivatives linked to the interest rate, foreign exchange or commodity markets. The Company values these notes in the same way as for equity-linked notes, by using market standard models and marking the inputs to match prices observed in the inter-dealer OTC markets. Similarly to equity-linked notes, these issuances bear Morgan Stanley’s credit risk, and the valuation is assessed accordingly.	• Generally Level 2 • Level 3 - Notes with significant unobservable inputs
Certificates and warrants • Certificates and warrants provide exposure to the underlying single name equity, equity index or portfolio of equities. They therefore provide risk exposure to the value of the underlying position and to the dividends paid or received. The Company values the underlying position using observable data where available (for instance, exchange closing prices), or alternatively using information from third parties (for example net asset values obtained from fund administrators) or using Morgan Stanley’s own valuation assumptions if required. The Company estimates future dividend payments using a variety of available data, including market prices for forwards and futures, analytical review and estimates of future tax rates, incorporating the Company’s own assumptions where required. The certificates and warrants can typically be redeemed at short notice and so the certificates and warrants provide minimal exposure to the credit risk of Morgan Stanley.	• Level 2 • Level 3 - in instances where the unobservable inputs are deemed significant
Loans • The fair value of loans to other Morgan Stanley Group undertakings is estimated based on the present value of expected future cash flows using its best estimate of interest rate yield curves.	• Level 2

b. Transfers between Level 1 and Level 2 of the fair value hierarchy for financial assets and

liabilities recognised at fair value on a recurring basis

There were no transfers between Level 1 and Level 2 of the fair value hierarchy during the current year and prior

year.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

21.ASSETS AND LIABILITIES MEASURED AT FAIR VALUE (CONTINUED)

c. Changes in Level 3 financial assets and liabilities recognised at fair value on a recurring basis

The following tables present the changes in the fair value of the Company’s Level 3 financial assets and

financial liabilities for the years ended 31 December 2024 and 31 December 2023. Level 3 instruments may be

hedged with instruments classified in Level 2. The realised and unrealised gains/(losses) for assets and liabilities

within the Level 3 category presented in the following tables do not reflect the related realised and unrealised

gains/(losses) on hedging instruments that have been classified by the Company within the Level 2 categories.

The unrealised gains/(losses) during the year for assets and liabilities within the Level 3 category presented in

the following tables herein may include changes in fair value during the period that were attributable to both

observable and unobservable inputs.


31 December 2024
	Balance at 1 January 2024	Total gains or (losses) recognise d in statement of comprehe nsive income (1)	Purchases	Issuances	Settlements	Transfers into Level 3 (2)	Transfers out of Level 3 (2)	Balance at 31 December 2024	Unrealise d gains or (losses) for Level 3 assets/ (liabilities ) outstandi ng as at 31 December 2024 (3)
	€'000	€'000	€'000	€'000	€'000	€'000	€'000	€'000	€'000

Trading financial liabilities:
Net derivative contracts (4)	(21,904)	(17,535)	3,132	(3,018)	4,380	(8,943)	2,211	(41,677)	(18,605)
Debt and other borrowings:
Issued structured notes	(255,432)	1,989	—	(53,893)	95,566	(10,071)	142,670	(79,171)	3,478

Total financial liabilities measured at fair value	(277,336)	(15,546)	3,132	(56,911)	99,946	(19,014)	144,881	(120,848)	(15,127)

(1) The total gains or (losses) are recognised in the statement of comprehensive income as detailed in the financial instruments accounting

policy (note 3 (c)).

(2) For financial assets and financial liabilities that were transferred into and out of Level 3 during the year, gains or (losses) are presented as

if the assets or liabilities had been transferred into and out of Level 3 as at the beginning of the year.

(3) Amounts represent unrealised gains or (losses) for the period ended 31 December related to assets and liabilities still outstanding at 31

December. The unrealised gains or (losses) are recognised in the statement of comprehensive income as detailed in the financial instruments

accounting policy (note 3 (c)).

(4) Net derivative contracts represent trading financial assets – derivative contracts net of trading financial liabilities – derivative contracts.

During the year, the Company reclassified €8,943,000 net derivative contracts (2023: €22,995,000) and

€10,071,000 of issued structured notes (2023: €55,170,000) from Level 2 to Level 3. The reclassifications were

due to positions where the unobservable inputs are now significant and the lack of observability of the valuation

inputs.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

21.ASSETS AND LIABILITIES MEASURED AT FAIR VALUE (CONTINUED)

c. Changes in Level 3 financial assets and liabilities recognised at fair value on a recurring basis

(continued)

During the year, the Company reclassified approximately €2,211,000 of net derivative contracts (2023:

€24,934,000) and €142,670,000 of issued structured notes (2023: €35,586,000) from Level 3 to Level 2. The

reclassifications were due to the unobservable inputs deemed to be no longer significant against the positions

valuations.


31 December 2023
	Balance at 1 January 2023	Total gains or (losses) recognise d in statement of comprehe nsive income (1)	Purchases	Issuances	Settlements	Transfers into Level 3 (2)	Transfers out of Level 3 (2)	Balance at 31 December 2023	Unrealise d gains or (losses) for Level 3 assets/ (liabilities ) outstandi ng as at 31 December 2023 (3)
	€'000	€'000	€'000	€'000	€'000	€'000	€'000	€'000	€'000

Trading financial liabilities:
Net derivative contracts (4)	(68,196)	40,763	3,434	(6,930)	7,086	(22,995)	24,934	(21,904)	30,288
Debt and other borrowings:
Issued structured notes	(108,494)	(18,200)	—	(152,815)	43,661	(55,170)	35,586	(255,432)	(16,283)

Total financial liabilities measured at fair value	(176,690)	22,563	3,434	(159,745)	50,747	(78,165)	60,520	(277,336)	14,005

(1) The total gains or (losses) are recognised in the statement of comprehensive income as detailed in the financial instruments accounting

policy (note 3 (c)).

(2) For financial assets and financial liabilities that were transferred into and out of Level 3 during the period, gains or (losses) are presented

as if the assets or liabilities had been transferred into or out of Level 3 as at the beginning of the period.

(3) Amounts represent unrealised gains or (losses) for the period ended 31 December related to assets and liabilities still outstanding at 31

December. The unrealised gains or (losses) are recognised in the statement of comprehensive income as detailed in the financial instruments

accounting policy (note 3 (c)).

(4) Net derivative contracts represent trading financial assets – derivative contracts net of trading financial liabilities – derivative contracts.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

21.ASSETS AND LIABILITIES MEASURED AT FAIR VALUE (CONTINUED)

d. Valuation of Level 3 financial assets and liabilities recognised at fair value on a recurring basis

The following disclosures provide information on the sensitivity of fair value measurements to key inputs and

assumptions.

1. Quantitative information about and qualitative sensitivity of significant unobservable inputs

The following table provides information on the valuation techniques, significant unobservable inputs and the

ranges and averages for each material category of assets and liabilities measured at fair value on a recurring

basis.

The level of aggregation and breadth of products cause the range of inputs to be wide and not evenly distributed

across the inventory of financial instruments. Further, the range of unobservable inputs may differ across groups

in the financial services industry because of diversity in the types of products included in each group’s

inventory. The following disclosures also include qualitative information on the sensitivity of the fair value

measurements to changes in the significant unobservable inputs. There are no predictable relationships between

multiple significant unobservable inputs attributable to a given valuation technique. A single amount is disclosed

when there is no significant difference between the minimum, maximum and average (weighted average or

similar average / median).


31 December 2024
	Fair value €’000	Predominant valuation techniques/ Significant unobservable inputs	Range (2) (Averages)(3)
LIABILITIES
Net derivative contracts: (1)
‘- Interest rate	(14,894)	Option model
		Interest rate curve correlation	23%-94% (81%)
		Net asset value (“NAV”)	N/M (N/M)

‘- Equity	(26,783)	Option model
		Equity volatility	6% to 63% (20%)
		Equity volatility skew	‘-2% to 0% (-1%)
		Equity - Equity correlation	38% to 97% (77%)
		Equity - Foreign exchange correlation	‘-68% to 45% (-20%)
Debt and other borrowings:
‘- Issued Structured Notes	(79,171)	Option model
		Equity volatility	12% to 60% (25%)
		Equity volatility skew	‘-2% to 0% (0%)
		Equity - Equity correlation	42% to 82% (76%)
		Equity - Foreign exchange correlation	‘-60% to 5% (-37%)
		Interest rate curve correlation	N/M (N/M)
(1) Net derivative contracts represent trading financial liabilities – derivative contracts net of trading financial assets – derivative contracts.
(2) The ranges of significant unobservable inputs are represented in percentages.
(3) Amounts represent weighted averages except where simple averages and the median of the inputs are provided when more relevant.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

21.ASSETS AND LIABILITIES MEASURED AT FAIR VALUE (CONTINUED)

d. Valuation of Level 3 financial assets and liabilities recognised at fair value on a recurring basis

(continued)

1. Quantitative information about and qualitative sensitivity of significant unobservable inputs (continued)


31 December 2023
	Fair value €’000	Predominant valuation techniques/ Significant unobservable inputs	Range (2) (Averages)(3)
LIABILITIES
Net derivative contracts: (1)
‘- Interest rate	(7,635)	Option model
		Interest rate curve correlation	73%-87% (81%)
		Net asset value (“NAV”)	152-152 (152%)


‘- Equity	(14,269)	Option model
		Equity volatility	5% to 71% (19%)
		Equity volatility skew	‘-1% to 0% (0%)
		Equity - Equity correlation	40% to 96% (78%)
		Equity - Foreign exchange correlation	‘-66% to 39% (-25%)
Debt and other borrowings:
‘- Issued Structured Notes	(255,432)	Option model
		Equity volatility	5% to 50% (19%)
		Equity volatility skew	‘-2% to 0% (-1%)
		Equity - Equity correlation	42% to 91% (78%)
		Equity - Foreign exchange correlation	‘-50% to 12% (-35%)
		Interest rate curve correlation	N/M (N/M)
(1) Net derivative contracts represent trading financial liabilities – derivative contracts net of trading financial assets – derivative contracts.
(2) The ranges of significant unobservable inputs are represented in percentages.
(3) Amounts represent weighted averages except where simple averages and the median of the inputs are provided when more relevant.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

21.ASSETS AND LIABILITIES MEASURED AT FAIR VALUE (CONTINUED)

d. Valuation of Level 3 financial assets and liabilities recognised at fair value on a recurring basis

(continued)

1. Quantitative information about and qualitative sensitivity of significant unobservable inputs (continued)

An increase / (decrease) to the following significant unobservable inputs would generally result in an

impact to the fair value, but the magnitude and direction of the impact would depend on whether the

Company is long or short the exposure:

• Correlation: A pricing input where the payoff is driven by more than one underlying risk. Correlation is

a measure of the relationship between the movements of two variables (i.e. how the change in one

variable influences a change in the other variable).

• Volatility: The measure of the variability in possible returns for an instrument given how much that

instrument changes in value over time. Volatility is a pricing input for options, and, generally, the lower

the volatility, the less risky the option. The level of volatility used in the valuation of a particular option

depends on a number of factors, including the nature of the risk underlying that option, the tenor and

the strike price of the option.

• Volatility skew: The measure of the difference in implied volatility for options with identical underliers

and expiry dates but with different strikes.

• NAV: A pricing input that is the value of a company’s assets minus the value of its liabilities, often in

relation to open-end or mutual funds, since shares of such funds registered with the US Securities and

Exchange Commission are redeemed at their net asset value. Shares and interests in such funds are not

traded between investors, but are issued by the fund to each new investor and redeemed by the fund

when an investor withdraws. A fund will issue and redeem shares and interests at a price calculated by

reference to the NAV of the fund, with the intention that new investors receive a fair proportion of the

fund and redeeming investors receive a fair proportion of the fund’s value in cash.

2. Sensitivity of fair values to changing significant assumptions to reasonably possible alternatives

As detailed in note 2, the valuation of Level 3 financial instruments requires the application of critical

accounting judgement, involving estimations and assumptions and it is recognised that there could be a

range of reasonably possible alternative values.

The Company has reviewed the unobservable parameters to identify those which would change the fair

value measurement significantly if replaced by a reasonably possible alternative assumption.

In estimating the potential variability, the unobservable parameters were varied individually using

statistical techniques and historic data. The potential variability estimated is likely to be greater than

the actual uncertainty relating to the financial instruments as any diversification effect has been

excluded.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

21.ASSETS AND LIABILITIES MEASURED AT FAIR VALUE (CONTINUED)

d. Valuation of Level 3 financial assets and liabilities recognised at fair value on a recurring basis

(continued)

2. Sensitivity of fair values to changing significant assumptions to reasonably possible alternatives

(continued)

The following table presents the potential impact of both favourable and unfavourable changes, both of which

would be reflected in the statement of comprehensive income:


	2024		2023
	Favourable changes (2)	Unfavourable changes (2)	Favourable changes (2)	Unfavourable changes (2)
	€'000	€'000	€'000	€'000

Trading financial liabilities:
Net derivatives contracts(1)	8,776	(3,384)	8,022	(8,199)

Debt and other borrowings:
Issued structured notes	635	(449)	1,960	(1,092)
	9,411	(3,833)	9,982	(9,291)

(1) Net derivative contracts represent trading financial assets – derivative contracts net of trading financial liabilities – derivative contracts.

The reasonably possible alternative assumptions are applied to derivative assets and derivative liabilities separately when assessing potential

variability of the fair value measurement.

(2) The difference between the total favourable and total unfavourable changes is primarily a result of net derivative contracts classified as

Level 3 in the fair value hierarchy hedging issued structured notes which can be classified as either Level 2 or Level 3 in the fair value

hierarchy.

e. Assets and liabilities measured at fair value on a non-recurring basis

Non-recurring fair value measurements of assets and liabilities are those which are required or permitted in the

statement of financial position in particular circumstances. There were no assets or liabilities measured at fair

value on a non-recurring basis during the current or prior year.

22.ASSETS AND LIABILITIES NOT MEASURED AT FAIR VALUE

For all financial instruments not measured at fair value, the carrying amount is considered to be a reasonable

approximation of fair value due to the short term nature of these assets and liabilities.

Regarding the CPECs, their carrying value including the accrued yield in ‘Trade and other payables’, as detailed

in note 14, are considered in aggregate as an approximation of their fair value.

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

23.CAPITAL MANAGEMENT

The Morgan Stanley Group manages its capital on a global basis with consideration for its legal entities. The

capital managed by the Morgan Stanley Group broadly includes ordinary share capital, preference share capital,

subordinated loans and reserves.

The Morgan Stanley Group’s required capital (“Required Capital”) estimation is based on the Required Capital

Framework, an internal capital adequacy measure. This framework is a risk-based and leverage-based capital

measure, which is compared with the Morgan Stanley Group’s regulatory capital to ensure that the Morgan

Stanley Group maintains an amount of going concern capital after absorbing potential losses from stress events

where applicable, at a point in time. The Morgan Stanley Group defines the difference between its total average

common equity and the sum of the average common equity amounts allocated to our business segments as

Parent Company common equity. The Morgan Stanley Group generally holds Parent Company common equity

for prospective regulatory requirements, organic growth, potential future acquisitions and other capital needs.

The Required Capital Framework is expected to evolve over time in response to changes in the business and

regulatory environment, for example, to incorporate stress testing or enhancements in modelling techniques.

The Morgan Stanley Group will continue to evaluate the framework with respect to the impact of future

regulatory requirements, as appropriate.

The Morgan Stanley Group actively manages its consolidated capital position based upon, among other things,

business opportunities, risks, capital availability and rates of return together with internal capital policies,

regulatory requirements and rating agency guidelines. In the future, the Morgan Stanley Group may expand or

contract its capital base to address the changing needs of its businesses.

The Company views capital as an important source of financial strength. It manages and monitors its capital in

line with established policies and procedures and in compliance with local regulatory requirements.

The Morgan Stanley Group also aims to adequately capitalise at a legal entity level whilst safeguarding that

entity’s ability to continue as a going concern and ensuring that it meets all regulatory capital requirements, so

that it can continue to provide returns for the Morgan Stanley Group.

In order to maintain or adjust the capital structure as described above, the Company may adjust the amount of

dividends paid, return capital to shareholders, issue new shares, convert the CPEC into shares or sell assets to

reduce debt.

The Company manages the following items as capital:


	2024	2023
	€'000	€'000
Share capital	15,018	15,018
Retained earnings	20,044	18,963
	35,062	33,981

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

24.RELATED PARTY DISCLOSURES

Parent and ultimate controlling entity

The Company’s immediate parent undertaking is Archimedes Investments Coöperatieve U.A., which is

registered in the Netherlands.

The ultimate parent undertaking and controlling entity and the largest group of which the Company is a member

and for which group financial statements are prepared is Morgan Stanley. Morgan Stanley is incorporated in the

State of Delaware, the United States of America. Copies of its financial statements can be obtained from

www.morganstanley.com/investorrelations.

Key management compensation

Key management personnel are defined as those persons having authority and responsibility for planning,

directing and controlling the activities of the Company. Key management personnel includes only the Board of

Directors of the Company.

Key management personnel compensation, in respect of their services rendered to the Company, comprised the

following:


	2024	2023
	€'000	€'000

Short-term employee benefits	122	37
Post-employment benefits	2	2
Share-based payments	6	2
Termination benefits	10	6
	140	47

The share-based payment costs disclosed above reflect the amortisation of equity-based awards granted to key

management personnel.

Key management personnel compensation noted in the above table reflects an apportionment of Directors total

compensation from the Firm. None of the Directors received any compensation from the Company during the

year (2023: €nil) and total compensation was borne by and paid by other Morgan Stanley Group undertakings in

both the current and prior years.

In addition to the above, TMF Management B.V., not in the Morgan Stanley Group, provided key management

services to the Company. For these services and for other administrative services TMF Netherlands B.V.

charged a total fee of €1,411,000 for the year (2023: €1,372,000). This service fee includes the provision of two

employees of TMF Netherlands B.V. in their roles as statutory Directors of the Company. The fees are payable

to TMF Management B.V. and not to employees of TMF Netherlands B.V., therefore this is not included in the

key management personnel compensation in the table above. There were no amounts accrued at the current and

prior year end.

Transactions with related parties

The Morgan Stanley Group conducts business for clients globally through a combination of both functional and

legal entity organisational structures. Accordingly, the Company is closely integrated with the operations of the

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

24.RELATED PARTY DISCLOSURES (CONTINUED)

Transactions with related parties (continued)

Morgan Stanley Group and enters into transactions with other Morgan Stanley Group undertakings on an arm’s

length basis for the purposes of utilising financing, trading and risk management, and infrastructure services.

The nature of these relationships along with information about the transactions and outstanding balances is

given below. Settlement of the outstanding balances will be made via inter-company mechanisms.

In addition, the management and execution of business strategies on a global basis results in many Morgan

Stanley transactions impacting a number of Morgan Stanley Group undertakings. The Morgan Stanley Group

operates a number of intra-group policies to ensure that, where possible, revenues and related costs are matched.

For the year ended 31 December 2024, a net gain of €1,427,000 (2023: net gain of €2,287,000) was recognised

in the statement of comprehensive income arising from such policies.

Funding

The Company receives funding from and provides funding to other Morgan Stanley Group undertakings in the

following forms:

General funding

General funding is undated, unsecured, floating rate lending, other than certain funding which is dated on a

rolling 395 day term. Funding may be received or provided for specific transaction related funding

requirements, or for general operational purposes. The interest rates are established by the Morgan Stanley

Group Treasury function for all entities within the Morgan Stanley Group and approximate the market rate of

interest that the Morgan Stanley Group incurs in funding its business.

Other funding

Other funding includes CPECs issued to the Company’s direct parent undertaking, Archimedes Investments

Coöperatieve U.A. The specific terms of the related yield are detailed in note 14.

Details of the outstanding balances on these funding arrangements and the related interest income or expense

recognised in the statement of comprehensive income during the year are shown in the table below:


	2024		2023
	Interest	Balance	Interest	Balance
	€'000	€'000	€'000	€'000

Amounts due from the Company's indirect parent undertaking	58,486	1,169,146	53,546	1,167,517
Amounts due from other Morgan Stanley Group undertakings	8,418	61,401	—	143,408
	66,904	1,230,547	53,546	1,310,925

Amounts due to the Company’s direct parent undertaking	48,842	1,160,450	54,779	1,169,163
Amounts due to other Morgan Stanley Group undertakings	—	180	1,557	122
	48,842	1,160,630	56,336	1,169,285

MORGAN STANLEY B.V.

NOTES TO THE FINANCIAL STATEMENTS

Year ended 31 December 2024

24.RELATED PARTY DISCLOSURES (CONTINUED)

Transactions with related parties (continued)

Trading and risk management

The Company issues structured notes and hedges the obligations arising from the issuance by entering into

prepaid equity securities contracts, derivative contracts and loans designated at fair value through profit or loss

with other Morgan Stanley Group undertakings. All such transactions are entered into on an arm’s length basis.

The total amounts receivable and payable on the above financial instruments as well as the collateral on

derivative and prepaid equity securities contracts, reported within ‘Trade receivables’ and ‘Trade payables’,

were as follows:


	2024		2023
	Interest	Balance	Interest	Balance
	€'000	€'000	€'000	€'000
Amounts due from other Morgan Stanley Group undertakings	300	8,359,164	1,572	8,336,569

Amounts due to other Morgan Stanley Group undertakings	4,979	775,903	578	839,030

The Company has pledged net cash collateral of €42,273,000 from other Morgan Stanley Group undertakings

(2023: €116,673,000) in order to mitigate credit risk on exposures arising under derivatives contracts and

prepaid equity securities contracts between the Company and other Morgan Stanley Group undertakings.

Infrastructure services

The Company uses infrastructure services including the provision of office facilities, operated by other Morgan

Stanley Group undertakings at no charge. The payment of all amounts due in respect of securities issued by

MSBV are unconditionally and irrevocably guaranteed by Morgan Stanley.

25.EVENTS AFTER THE REPORTING PERIOD

On 19 March 2025 the Company approved the renewal of a €1,125,281,000 loan due from other Morgan

Stanley group undertakings maturing on 28 March 2025 to 27 March 2032. The carrying value and other terms

of the loan remain unchanged.

MORGAN STANLEY B.V.

ADDITIONAL INFORMATION

Year ended 31 December 2024

Independent auditor’s report

The independent auditor’s report is recorded on the next page.

Statutory rules concerning appropriation of the net result

The Articles of Association of the Company provide that the net result for the year is at the disposition of the

General Meeting of Shareholders.

Distribution can only be made to the extent that the Shareholder’s equity exceeds the reserves provided for by

the Articles of Association. The Board of Directors must grant its approval which it can only withhold in the

event that it knows or reasonably should have known that, following the distribution, the Company will not be

able to continue with the payments of its debts becoming due and payable in the foreseeable future.

Forvis Mazars 67

Delflandlaan 1

P.O. Box 7266

1007 JG Amsterdam

The Netherlands

T: +31 88 277 24 67

forvismazars.com/nl

Independent auditor’s report

To the shareholder of Morgan Stanley B.V.

Report on the audit of the financial statements 2024 included in the annual

report

Our opinion

We have audited the financial statements 2024 of Morgan Stanley B.V. based in Amsterdam.

In our opinion, the accompanying financial statements give a true and fair view of the financial

position of Morgan Stanley B.V. as at 31 December 2024 and of its result and its cash flows for 2024

in accordance with International Financial Reporting Standards as adopted by the European Union

(EU-IFRS) and with Part 9 of Book 2 of the Dutch Civil Code.

The financial statements comprise:

1. the statement of financial position as at 31 December 2024;

2. the following statements for 2024: Statement of comprehensive income, Statement of

changes in equity and Statement of cash flows; and

3. the notes, comprising material accounting policy information and other explanatory

information.

Basis for our opinion

We conducted our audit in accordance with Dutch law, including the Dutch Standards on Auditing. Our

responsibilities under those standards are further described in the 'Our responsibilities for the audit of

the financial statements' section of our report.

We are independent of Morgan Stanley B.V. in accordance with the "EU Regulation on specific

requirements regarding statutory audit of public-interest entities", the "Audit firms supervision

act" (Wta), "Dutch Independence Standard regarding assurance engagements (ViO)” and other

relevant independence requirements in the Netherlands. Furthermore, we have complied with the

"Dutch Code of Ethics” (VGBA).

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We believe the audit evidence we have obtained is sufficient and appropriate to provide a basis for

our opinion.

Information in support of our opinion

We designed our audit procedures in the context of our audit of the financial statements as a whole

and in forming our opinion thereon. The following information in support of our opinion was addressed

in this context, and we do not provide a separate opinion or conclusion on these matters.

Materiality

Based on our professional judgement we determined the materiality for the financial statements as a

whole at EUR 95,9 million. The materiality is based on 1.0% of total assets. We use total assets given

the company’s main activity is issuing notes. We have also taken into account misstatements and/or

possible misstatements that in our opinion are material for the users of the financial statements for

qualitative reasons.

We agreed with management that misstatements in excess of EUR 2,8 million, which are identified

during the audit, would be reported to them, as well as smaller misstatements that in our view must be

reported on qualitative grounds.

Cooperation with other auditors

The Company’s main activity is the issuance of structured notes and economically hedging these

instruments through derivatives with Morgan Stanley group companies. The operations of the

Company are embedded in the IT environment and process controls of the Morgan Stanley Group. In

this context, we used the work performed by other auditors of Morgan Stanley Group companies for

all main parts of our audit. To the extent we cooperated with other auditors within Morgan Stanley

Group, we have planned audit procedures to ensure sufficient involvement in the nature, timing and

extent of the work performed by them. These procedures include issuing instructions, reviewing

reports prepared by them and reviewing their audit files.

Audit approach fraud risks

As part of our audit, we have obtained an understanding of the company and its environment, and

assessed the company’s internal controls in relation to fraud.. This includes obtaining an

understanding of management’s processes for identifying and responding to the risks of fraud in the

company, and how management exercises oversight over these processes, as well as the outcomes.

We refer to ‘Risk management’ sections of the Directors’ Report for management’s assessment.

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Our fraud risk assessment

We assessed whether fraud risk factors exist with respect to financial reporting fraud,

misappropriation of assets and corruption. We evaluated if those factors indicate that a risk of material

misstatement in the financial statements is present. We had special attention for the fraud risk in

revenue recognition and the risk of management override of controls.

The fraud risk in revenue recognition relates to unrealized gains/losses for level 3 financial

instruments for which we refer to our key audit matter.

Based on our considerations of various factors, such as the low level of complexity and subjectivity,

and our assessment of the inherent risk at the assertion level, the engagement team concluded that

the risk of fraud in revenue recognition does not rise to the level of a significant risk for any of the

other revenue streams for the Morgan Stanley B.V. audit. These other revenue streams relate to net

gains/losses for level 2 valuations, interest income and realized transaction results.

We identified the risk of management override of controls primarily in the area where journal entries

and other adjustments are recorded in the financial statement closing process and where judgement

is involved.

Our specific response to the identified and assessed fraud risks

We have evaluated the design and the implementation and, where considered appropriate, tested the

operating effectiveness of internal controls that mitigate fraud risks. We have, amongst other,

performed journal entry testing procedures based upon risk criteria and paid attention to the

appropriateness of journal entries in the general ledger and other adjustments made in the

preparation of the financial statements. We also incorporated an element of unpredictability in our

audit by performing substantive procedures on selected account balances and assertions not

otherwise tested due to their materiality or risk.

Our observation

The aforementioned audit procedures have been performed in the context of the audit of the financial

statements. Consequently, they are not planned and performed as a specific investigation regarding

fraud. Our audit procedures did not lead to any findings.

Audit approach going concern

In preparing the financial statements, management must consider whether the company is able to

continue as a going concern. Management must prepare financial statements on the going concern

basis unless management intends to liquidate the company or cease operations or if termination is

the only realistic alternative.

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Management has not identified any circumstances that could threaten the continuity of the company

and thus concludes that the going concern assumption is appropriate for the company.

Our audit of the financial statements requires us to determine that the going concern assumption used

by management is acceptable. In doing so, based on the audit evidence obtained, we must determine

whether there are any events or circumstances that might cast reasonable doubt on whether the

company can continue as a going concern. We have, among other procedures, verified

management’s assumption, the structure of the company and the financial position of Morgan Stanley

Group counterparties.

Our observation

Based on the procedures performed by us, we are of the opinion that the financial statements have

been properly prepared on the going concern basis. However, future events or circumstances could

cause the company to be unable to continue as a going concern.

Our key audit matter

Key audit matters are those matters that, in our professional judgement, were of most significance in

our audit of the financial statements. We have communicated the key audit matter to the board of

directors, but they are not a comprehensive reflection of all matters discussed.

This matter was addressed in the context of our audit of the financial statements as a whole and in

forming our opinion thereon, and we do not provide a separate opinion on these matters.

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Description key audit matter	Summary of audit procedures performed
Valuation of level 3 financial instruments Morgan Stanley B.V.’s financial instruments measured at fair value include “debt and other borrowings” and derivatives (“trading financial assets and liabilities”). Debt instruments issued by Morgan Stanley B.V. are instruments with a structured component (derivative element) linked to the performance of various market indices. The valuation of structured notes and derivatives is determined with valuation models. These valuation models and pricing inputs used are internally tested by Morgan Stanley. In particular for level 3 valuations, due to their nature, the valuation models and the input parameters used for the valuation of these financial instruments can be complex, judgmental and subject to management override. We therefore consider the level 3 valuations of financial instruments measured at fair value as a key audit matter.	Our audit procedures regarding level 3 valuations of financial instruments include: ▪ We obtained an understanding of the valuation methodology and the processes and controls with respect to the valuation. In addition, we assessed the appropriateness of the methodology and the models used by Morgan Stanley. ▪ Furthermore, our audit included testing of Morgan Stanley’s internal controls throughout the valuation process. This included test procedures on controls with respect to model validation and price verification. ▪ For a sample of level 3 valuations, we engaged valuation experts to substantively test the company’s valuation by comparing it with our own valuation using independent models and independently sourced inputs. ▪ We evaluated the adequacy of the disclosures relating to the valuation of financial instruments measured at fair value to assess compliance with disclosure requirements included in EU-IFRS.

Report on the other information included in the annual report

The annual report contains other information, in addition to the financial statements and our auditor's

report thereon.

Based on the following procedures performed, we conclude that the other information:

• is consistent with the financial statements and does not contain material misstatements;

• contains all the information regarding the directors’ report and the other information as

required by Part 9 of Book 2 of the Dutch Civil Code.

We have read the other information. Based on our knowledge and understanding obtained through

our audit of the financial statements or otherwise, we have considered whether the other information

contains material misstatements.

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By performing these procedures, we comply with the requirements of Part 9 of Book 2 of the Dutch

Civil Code and the Dutch Standard 720. The scope of the procedures performed is substantially less

than the scope of those performed in our audit of the financial statements.

Management is responsible for the preparation of the directors’ report in accordance with Part 9 of

Book 2 of the Dutch Civil Code and other information as required by Part 9 of Book 2 of the Dutch

Civil Code.

Report on other legal and regulatory requirements

Engagement

We were appointed as auditor of Morgan Stanley B.V. as of the audit for the year 2024.

No prohibited non-audit services

We have not provided prohibited non-audit services as referred to in Article 5(1) of the EU Regulation

on specific requirements regarding statutory audit of public-interest entities.

European Single Electronic Format (ESEF)

Morgan Stanley B.V. has prepared its annual report in ESEF. The requirements for this format are set

out in the Commission Delegated Regulation (EU) 2019/815 with regard to regulatory technical

standards on the specification of a single electronic reporting format (hereinafter: the RTS on ESEF).

In our opinion, the annual report prepared in XHTML format, including the financial statements of

Morgan Stanley B.V., complies in all material respects with the RTS on ESEF.

Management is responsible for preparing the annual report including the financial statements in

accordance with the RTS on ESEF. Our responsibility is to obtain reasonable assurance for our

opinion whether the annual report complies with the RTS on ESEF.

We performed our examination in accordance with Dutch law, including Dutch Standard 3950N

’Assuranceopdrachten inzake het voldoen aan de criteria voor het opstellen van een digitaal

verantwoordingsdocument’ (assurance engagements relating to compliance with criteria for digital

reporting).

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Our examination included among others: ·

• obtaining an understanding of the entity's financial reporting process, including the preparation of

the annual report in XHTML-format;

• identifying and assessing the risks that the annual report does not comply in all material respects

with the RTS on ESEF and designing and performing further assurance procedures responsive to

those risks to provide a basis for our opinion, including obtaining the annual report in XHTML-

format and performing validations to determine whether the annual report complies with the RTS

on ESEF.

Description of responsibilities regarding the financial statements

Responsibilities of management for the financial statements

Management is responsible for the preparation and fair presentation of the financial statements in

accordance with EU-IFRS and with Part 9 of Book 2 of the Dutch Civil Code. Furthermore,

management is responsible for such internal control as the board of directors determines is necessary

to enable the preparation of the financial statements that are free from material misstatement,

whether due to fraud or error.

As part of the preparation of the financial statements, management is responsible for assessing the

company's ability to continue as a going concern. Based on the financial reporting frameworks

mentioned, management should prepare the financial statements using the going concern basis of

accounting, unless management either intends to liquidate the company or to cease operations, or

has no realistic alternative but to do so.

Management should disclose events and circumstances that may cast significant doubt on the

company's ability to continue as a going concern in the financial statements.

Our responsibilities for the audit of the financial statements

Our objective is to plan and perform the audit engagement in a manner that allows us to obtain

sufficient and appropriate audit evidence for our opinion.

Our audit has been performed with a high, but not absolute, level of assurance, which means we may

not detect all material errors and fraud during our audit.

Misstatements can arise from fraud or error and are considered material if, individually or in the

aggregate, they could reasonably be expected to influence the economic decisions of users taken on

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the basis of these financial statements. The materiality affects the nature, timing and extent of our

audit procedures and the evaluation of the effect of identified misstatements on our opinion.

We have exercised professional judgement and have maintained professional scepticism throughout

the audit, in accordance with Dutch Standards on Auditing, ethical requirements and independence

requirements. Our audit included among others:

• identifying and assessing the risks of material misstatement of the financial statements,

whether due to fraud or error, designing and performing audit procedures responsive to those

risks, and obtaining audit evidence that is sufficient and appropriate to provide a basis for our

opinion. The risk of not detecting a material misstatement resulting from fraud is higher than

for one resulting from error, as fraud may involve collusion, forgery, intentional omissions,

misrepresentations, or the override of internal control;

• obtaining an understanding of internal control relevant to the audit in order to design audit

procedures that are appropriate in the circumstances, but not for the purpose of expressing

an opinion on the effectiveness of the entity's internal control;

• evaluating the appropriateness of accounting policies used and the reasonableness of

accounting estimates and related disclosures made by management;

• concluding on the appropriateness of management's use of the going concern basis of

accounting, and based on the audit evidence obtained, whether a material uncertainty exists

related to events or conditions that may cast significant doubt on the company's ability to

continue as a going concern. If we conclude that a material uncertainty exists, we are

required to draw attention in our auditor's report to the related disclosures in the financial

statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are

based on the audit evidence obtained up to the date of our auditor's report. However, future

events or conditions may cause a company to cease to continue as a going concern.

• evaluating the overall presentation, structure and content of the financial statements,

including the disclosures; and

• evaluating whether the financial statements represent the underlying transactions and events

in a manner that achieves fair presentation.

We communicate with the board of directors regarding, among other matters, the planned scope and

timing of the audit and significant audit findings, including any significant findings in internal control

that we identify during our audit. In this respect we also submit an additional report to the board of

directors in accordance with Article 11 of the EU Regulation on specific requirements regarding

statutory audit of public-interest entities. The information included in this additional report is consistent

with our audit opinion in this auditor’s report.


CONTENTS	PAGE

ANNUAL REPORT

Directors’ report	1

Directors’ responsibility statement	11

ANNUAL ACCOUNTS

Statement of comprehensive income	12

Statement of changes in equity	13

Statement of financial position	14

Statement of cash flows	15

Notes to the financial statements	16

ADDITIONAL INFORMATION

Statutory rules concerning appropriation of the net result	66

Independent auditors’ report	67


Amsterdam, 28 April 2025
Forvis Mazars Accountants N.V.
J. C. van Oldenbeek MSC RA