XML 128 R118.htm IDEA: XBRL DOCUMENT v3.21.1
Fair Value Measurements - Quantitative Information about Recurring Fair Value Measurement of Assets and Liabilities Classified as Level 3 (Detail)
$ in Millions
3 Months Ended
Mar. 31, 2021
USD ($)
Dec. 31, 2020
USD ($)
Mar. 31, 2020
USD ($)
Dec. 31, 2019
USD ($)
Level 3 [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value $ 202 $ 319 $ 683 $ 707
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value (1,085) (1,094) (1,024) (1,128)
Deposits [Member] | Level 3 [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value [1] (599) [2],[3] (646) [2],[3] (653) (774)
Long-term debt [Member] | Level 3 [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Liability Value [1] (486) [2],[3] (448) [2],[3] (371) (354)
Interest rate contracts [Member] | Level 3 [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis with Unobservable Inputs [4] 2 34 41 10
Foreign exchange contracts [Member] | Level 3 [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis with Unobservable Inputs [4] (2) [3] 9 [3] (3) (1)
Equity contracts [Member] | Level 3 [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis with Unobservable Inputs [4] 42 [3] 119 [3] 4 72
Credit contracts [Member] | Level 3 [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis with Unobservable Inputs [4] 45 63 98 59
Other Contracts [Member] | Level 3 [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis with Unobservable Inputs [4] (50) (59) (58) [5] (75) [5]
Trading assets, excluding derivatives [Member] | Residential mortgage asset-backed securities [Member] | Level 3 [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value [6] 24 15 16 17
Trading assets, excluding derivatives [Member] | Corporate and other domestic debt securities [Member] | Level 3 [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value [6]     465 510
Available-for-sale securities [Member] | Other [Member] | Level 3 [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value [7] 130 131 116 111
Mortgage Servicing Rights [Member] | Level 3 [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value [8] $ 11 $ 7 $ 4 $ 4
Measurement Input, Prepayment Rates [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Servicing Asset, Measurement Input 0.13 0.17    
Measurement Input, Prepayment Rates [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Servicing Asset, Measurement Input 0.24 0.26    
Measurement Input, Prepayment Rates [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Servicing Asset, Measurement Input 0.13 0.19    
Measurement Input, Prepayment Rates [Member] | Residential mortgage asset-backed securities [Member] | Recurring [Member] | Valuation Technique, Broker Quotes or Consensus Pricing [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Debt Securities, Trading, Measurement Input 0.07 0.10    
Measurement Input, Default Rates [Member] | Residential mortgage asset-backed securities [Member] | Recurring [Member] | Valuation Technique, Broker Quotes or Consensus Pricing [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Debt Securities, Trading, Measurement Input 0.51 0.05    
Measurement Input, Loss Severity Rates [Member] | Residential mortgage asset-backed securities [Member] | Recurring [Member] | Valuation Technique, Broker Quotes or Consensus Pricing [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Debt Securities, Trading, Measurement Input 0.34 0.65    
Measurement Input, Discount Margin [Member] | Residential mortgage asset-backed securities [Member] | Recurring [Member] | Valuation Technique, Broker Quotes or Consensus Pricing [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Debt Securities, Trading, Measurement Input 0.0527 0.0500    
Measurement Input, Probability to Fund for Rate Lock Commitments [Member] | Interest rate contracts [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Market Comparable Adjusted for Probability to Fund [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input 0.36 0.41    
Measurement Input, Probability to Fund for Rate Lock Commitments [Member] | Interest rate contracts [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Market Comparable Adjusted for Probability to Fund [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input 1 1    
Measurement Input, Probability to Fund for Rate Lock Commitments [Member] | Interest rate contracts [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Market Comparable Adjusted for Probability to Fund [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input [9] 0.85 0.78    
Measurement Input, Interest Rate Yield Curve [Member] | Interest rate contracts [Member] | Recurring [Member] | Valuation Technique, Market Comparable Adjusted for Probability to Fund [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input 0.08      
Measurement Input, Interest Rate Yield Curve [Member] | Interest rate contracts [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Market Comparable Adjusted for Probability to Fund [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input   0.04    
Measurement Input, Interest Rate Yield Curve [Member] | Interest rate contracts [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Market Comparable Adjusted for Probability to Fund [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input   0.07    
Measurement Input, Interest Rate Yield Curve [Member] | Interest rate contracts [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Market Comparable Adjusted for Probability to Fund [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input   0.06    
Measurement Input, Interest Rate Transaction Execution [Member] | Interest rate contracts [Member] | Recurring [Member] | Valuation Technique, Market Comparable Adjusted for Probability to Fund [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input 0.90 0.90    
Measurement Input, Implied Volatility of Currency Pairs [Member] | Deposits [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Domestic Deposits, Measurement Input [2],[3] 0.08 0.09    
Measurement Input, Implied Volatility of Currency Pairs [Member] | Deposits [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Domestic Deposits, Measurement Input [2],[3] 0.12 0.11    
Measurement Input, Implied Volatility of Currency Pairs [Member] | Deposits [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Domestic Deposits, Measurement Input [2],[3],[9] 0.10 0.10    
Measurement Input, Implied Volatility of Currency Pairs [Member] | Long-term debt [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Long-term Debt, Measurement Input [2],[3] 0.08 0.09    
Measurement Input, Implied Volatility of Currency Pairs [Member] | Long-term debt [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Long-term Debt, Measurement Input [2],[3] 0.12 0.11    
Measurement Input, Implied Volatility of Currency Pairs [Member] | Long-term debt [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Long-term Debt, Measurement Input [2],[3],[9] 0.10 0.10    
Measurement Input, Implied Volatility of Currency Pairs [Member] | Foreign exchange contracts [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input [3] 0.08 0.09    
Measurement Input, Implied Volatility of Currency Pairs [Member] | Foreign exchange contracts [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input [3] 0.12 0.11    
Measurement Input, Implied Volatility of Currency Pairs [Member] | Foreign exchange contracts [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input [3],[9] 0.10 0.10    
Measurement Input, Cross-currency Basis [Member] | Foreign exchange contracts [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input (0.0004) (0.0009)    
Measurement Input, Cross-currency Basis [Member] | Foreign exchange contracts [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input   0.0040    
Measurement Input, Cross-currency Basis [Member] | Foreign exchange contracts [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input   0.0024    
Measurement Input, Equity / Equity Index Volatility [Member] | Deposits [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Domestic Deposits, Measurement Input [2],[3] 0.08 0    
Measurement Input, Equity / Equity Index Volatility [Member] | Deposits [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Domestic Deposits, Measurement Input [2],[3] 0.39 0.42    
Measurement Input, Equity / Equity Index Volatility [Member] | Deposits [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Domestic Deposits, Measurement Input [2],[3],[9] 0.17 0.15    
Measurement Input, Equity / Equity Index Volatility [Member] | Long-term debt [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Long-term Debt, Measurement Input [2],[3] 0.08 0    
Measurement Input, Equity / Equity Index Volatility [Member] | Long-term debt [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Long-term Debt, Measurement Input [2],[3] 0.64 0.67    
Measurement Input, Equity / Equity Index Volatility [Member] | Long-term debt [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Long-term Debt, Measurement Input [2],[3],[9] 0.26 0.23    
Measurement Input, Equity / Equity Index Volatility [Member] | Equity contracts [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input [3] 0.06 0    
Measurement Input, Equity / Equity Index Volatility [Member] | Equity contracts [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input [3] 0.87 0.67    
Measurement Input, Equity / Equity Index Volatility [Member] | Equity contracts [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input [3],[9] 0.36 0.27    
Measurement Input, Equity/Equity and Equity/Index Correlation [Member] | Deposits [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Domestic Deposits, Measurement Input 0.48 0.43    
Measurement Input, Equity/Equity and Equity/Index Correlation [Member] | Deposits [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Domestic Deposits, Measurement Input 0.66 0.47    
Measurement Input, Equity/Equity and Equity/Index Correlation [Member] | Deposits [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Domestic Deposits, Measurement Input [9] 0.57 0.45    
Measurement Input, Equity/Equity and Equity/Index Correlation [Member] | Long-term debt [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Long-term Debt, Measurement Input [2],[3] 0.48 0.32    
Measurement Input, Equity/Equity and Equity/Index Correlation [Member] | Long-term debt [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Long-term Debt, Measurement Input [2],[3] 0.96 0.62    
Measurement Input, Equity/Equity and Equity/Index Correlation [Member] | Long-term debt [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Option Adjusted Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Long-term Debt, Measurement Input [2],[3],[9] 0.88 0.52    
Measurement Input, Equity/Equity and Equity/Index Correlation [Member] | Equity contracts [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input [3] 0.36 0.17    
Measurement Input, Equity/Equity and Equity/Index Correlation [Member] | Equity contracts [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input [3] 0.96 0.62    
Measurement Input, Equity/Equity and Equity/Index Correlation [Member] | Equity contracts [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input [3],[9] 0.48 0.30    
Measurement Input, Equity Dividend Yields and Forward Price [Member] | Equity contracts [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input [3] (0.05) (0.01)    
Measurement Input, Equity Dividend Yields and Forward Price [Member] | Equity contracts [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input [3] 0.01 0    
Measurement Input, Equity Dividend Yields and Forward Price [Member] | Equity contracts [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input [3],[9] 0 0    
Measurement Input, Credit Default Swap Spreads [Member] | Credit contracts [Member] | Recurring [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input   0.0150    
Measurement Input, Credit Default Swap Spreads [Member] | Credit contracts [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input 0.0096      
Measurement Input, Credit Default Swap Spreads [Member] | Credit contracts [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input 0.0234      
Measurement Input, Credit Default Swap Spreads [Member] | Credit contracts [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Option Pricing Model [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input 0.0102      
Measurement Input, Conversion Rate [Member] | Other Contracts [Member] | Recurring [Member] | Valuation Technique, Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Asset (Liability) Net, Measurement Input 1.6 1.6    
Measurement Input, Expected Duration [Member] | Other Contracts [Member] | Recurring [Member] | Valuation Technique, Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Derivative Contract, Duration, Measurement Input 1 year 9 months 18 days 2 years    
Measurement Input, Market Assumptions Related to Yields for Comparable Instruments [Member] | Other [Member] | Recurring [Member] | Valuation Technique, Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Debt Securities, Available-for-sale, Measurement Input 0.02 0.04    
Measurement Input, Estimated Annualized Costs to Service [Member] | Recurring [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Servicing Asset, Measurement Input 72 73    
Measurement Input, Estimated Annualized Costs to Service [Member] | Recurring [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Servicing Asset, Measurement Input 152 157    
Measurement Input, Estimated Annualized Costs to Service [Member] | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Servicing Asset, Measurement Input 75 76    
Measurement Input, Discount Rate | Recurring [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Servicing Asset, Measurement Input 0.09 0.09    
Measurement Input, Discount Rate | Recurring [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Servicing Asset, Measurement Input 0.10 0.10    
Measurement Input, Discount Rate | Recurring [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flows [Member]        
Fair Value Measurements, Recurring, Valuation Techniques [Line Items]        
Servicing Asset, Measurement Input 0.09 0.09    
[1] Excluding unrealized gains (losses) on fair value option liabilities attributable to our own credit spread, which are recorded in other comprehensive income, gains (losses) on fair value option liabilities are included in gain (loss) on instruments designated at fair value and related derivatives in the consolidated statement of income (loss).
[2] Structured deposits and structured notes contain embedded derivative features whose fair value measurements contain significant Level 3 inputs. See equity and foreign exchange derivatives below for a discussion of the uncertainty of Level 3 inputs related to structured deposits and structured notes.
[3] We are the client-facing entity and we enter into identical but opposite derivatives to transfer the resultant risks to our affiliates. With the exception of counterparty credit risks, we are market neutral. The corresponding intra-group derivatives are presented as equity derivatives and foreign exchange derivatives in the table.
[4] Level 3 net derivatives included derivative assets of $541 million and derivative liabilities of $504 million at March 31, 2021 and derivative assets of $628 million and derivative liabilities of $546 million at March 31, 2020. Gains (losses) on derivatives, net are predominantly included in trading revenue and gain (loss) on instruments designated at fair value and related derivatives in the consolidated statement of income (loss).
[5] Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares. Gains (losses) on these swap agreements are included in other income in the consolidated statement of income (loss).
[6] Gains (losses) on trading assets, excluding derivatives are included in trading revenue in the consolidated statement of income (loss).
[7] Realized gains (losses) on securities available-for-sale are included in other securities gains, net in the consolidated statement of income (loss). Changes in the allowance for credit losses on securities available-for-sale are included in the provision for credit losses in the consolidated statement of income (loss). Unrealized gains (losses) on securities available-for-sale are included in other comprehensive income.
[8] Gain (losses) on mortgage servicing rights are included in other income in the consolidated statement of income (loss).
[9] For foreign exchange derivatives, equity derivatives, credit derivatives, structured deposits and structured notes, weighted averages are calculated based on the fair value of the instruments. For all remaining instrument types, weighted averages are calculated based on the notional value of the instruments.