Fair Values - Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements (Details) $ in Millions |
Dec. 31, 2021
USD ($)
$ / MWh
|
Dec. 31, 2020
USD ($)
$ / MWh
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investment securities—AFS |
$ 102,830
|
$ 110,383
|
Derivative assets |
38,154
|
37,850
|
Deposits |
1,940
|
3,521
|
Securities sold under agreements to repurchase |
791
|
1,115
|
Other secured financings |
10,041
|
15,863
|
Borrowings |
76,340
|
73,701
|
State and municipal securities |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investment securities—AFS |
648
|
1,563
|
Recurring |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings |
76,340
|
73,701
|
Recurring | Loans and lending commitments |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets |
12,627
|
11,148
|
Nonrecurring |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Loans |
5,611
|
5,700
|
Level 3 | Recurring |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Corporate equities |
115
|
86
|
Investments |
1,125
|
828
|
Investment securities—AFS |
0
|
2,804
|
Derivative assets |
4,308
|
4,912
|
Deposits |
67
|
126
|
Trading liabilities |
2,927
|
4,721
|
Securities sold under agreements to repurchase |
651
|
444
|
Other secured financings |
403
|
516
|
Borrowings |
2,157
|
4,374
|
Level 3 | Recurring | Corporate equities |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Corporate equities |
45
|
63
|
Trading liabilities |
$ 45
|
$ 63
|
Level 3 | Recurring | Comparable Pricing | Equity Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Corporate equities, measurement input value |
1
|
1
|
Level 3 | Recurring | Comparable Pricing | Equity Price | Corporate equities |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Corporate equities, measurement input value |
1
|
1
|
Level 3 | Recurring | Option Model | Equity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Deposits, measurement input value |
0.07
|
|
Level 3 | Recurring | Other sovereign government obligations |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets |
$ 211
|
$ 268
|
Level 3 | Recurring | Other sovereign government obligations | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
|
1.06
|
Level 3 | Recurring | MABS |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets |
344
|
$ 322
|
Level 3 | Recurring | Loans and lending commitments |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets |
3,806
|
5,759
|
Level 3 | Recurring | State and municipal securities |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets |
13
|
0
|
Level 3 | Recurring | Corporate and other debt |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets |
1,973
|
3,435
|
Level 3 | Recurring | Interest rate |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets |
$ 708
|
$ 682
|
Level 3 | Recurring | Interest rate | Option Model | IR Curve |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.04
|
0.01
|
Level 3 | Recurring | Credit |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets |
$ 98
|
$ 49
|
Level 3 | Recurring | Credit | Credit Default Swap Model | Cash-Synthetic Basis |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.0007
|
0.0007
|
Level 3 | Recurring | Foreign exchange |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets |
$ 52
|
$ 61
|
Level 3 | Recurring | Equity |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets |
(945)
|
(2,231)
|
Level 3 | Recurring | Commodity and other |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets |
$ 1,529
|
$ 1,709
|
Level 3 | Recurring | Minimum | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investment securities-AFS, measurement input value |
|
0.97
|
Level 3 | Recurring | Minimum | Comparable Pricing | Equity Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investments, measurement input value |
0.43
|
0.45
|
Level 3 | Recurring | Minimum | Comparable Pricing | Loan Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Other secured financings, measurement input value |
0.0030
|
0.0030
|
Loans, measurement input value |
0.0040
|
|
Level 3 | Recurring | Minimum | Discounted Cash Flow | Exit Multiple |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investments, measurement input value |
8
|
7
|
Level 3 | Recurring | Minimum | Discounted Cash Flow | Funding Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Securities sold under agreement to repurchase, measurement input value |
0.0112
|
0.0107
|
Other secured financings, measurement input value |
|
0.0111
|
Level 3 | Recurring | Minimum | Discounted Cash Flow | WACC |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investments, measurement input value |
0.10
|
0.08
|
Level 3 | Recurring | Minimum | Market Approach | EBITDA Multiple |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investments, measurement input value |
8
|
8
|
Level 3 | Recurring | Minimum | Option Model | Equity Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
0.41
|
0.37
|
Level 3 | Recurring | Minimum | Option Model | Equity - FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
(0.55)
|
(0.72)
|
Level 3 | Recurring | Minimum | Option Model | IR FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
(0.26)
|
(0.28)
|
Level 3 | Recurring | Minimum | Option Model | Equity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Deposits, measurement input value |
|
0.07
|
Borrowings, measurement input value |
0.07
|
0.06
|
Level 3 | Recurring | Minimum | Option Model | Equity Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
(0.01)
|
(0.02)
|
Level 3 | Recurring | Minimum | Other sovereign government obligations | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
1
|
|
Level 3 | Recurring | Minimum | MABS | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
0
|
0
|
Level 3 | Recurring | Minimum | Loans and lending commitments | Comparable Pricing | Loan Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
89
|
75
|
Level 3 | Recurring | Minimum | Loans and lending commitments | Margin Loan Model | Margin Loan Rate |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
0.01
|
0.01
|
Level 3 | Recurring | Minimum | Corporate and other debt | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
50
|
10
|
Level 3 | Recurring | Minimum | Corporate and other debt | Discounted Cash Flow | Loss given default |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
0.54
|
0.40
|
Borrowings, measurement input value |
0.54
|
|
Level 3 | Recurring | Minimum | Corporate and other debt | Option Model | Equity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
|
0.18
|
Level 3 | Recurring | Minimum | Interest rate | Option Model | IR Curve Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.62
|
0.54
|
Level 3 | Recurring | Minimum | Interest rate | Option Model | Bond Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.05
|
0.06
|
Level 3 | Recurring | Minimum | Interest rate | Option Model | Inflation Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.24
|
0.25
|
Level 3 | Recurring | Minimum | Interest rate | Option Model | IR Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.39
|
0
|
Level 3 | Recurring | Minimum | Credit | Correlation Model | Credit Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
|
0.27
|
Level 3 | Recurring | Minimum | Credit | Credit Default Swap Model | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0
|
0
|
Level 3 | Recurring | Minimum | Credit | Credit Default Swap Model | Credit Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.0014
|
0.0020
|
Level 3 | Recurring | Minimum | Credit | Credit Default Swap Model | Funding Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.0015
|
0.0065
|
Level 3 | Recurring | Minimum | Foreign exchange | Option Model | Contingency Probability |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.90
|
0.50
|
Level 3 | Recurring | Minimum | Foreign exchange | Option Model | IR Curve |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
(0.01)
|
0.06
|
Level 3 | Recurring | Minimum | Foreign exchange | Option Model | Foreign Exchange Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
(0.04)
|
(0.22)
|
Level 3 | Recurring | Minimum | Foreign exchange | Option Model | IR FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.53
|
0.55
|
Level 3 | Recurring | Minimum | Foreign exchange | Option Model | IR Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.39
|
0
|
Level 3 | Recurring | Minimum | Equity | Option Model | Equity Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.05
|
0.24
|
Level 3 | Recurring | Minimum | Equity | Option Model | FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
(0.85)
|
(0.79)
|
Level 3 | Recurring | Minimum | Equity | Option Model | IR Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.13
|
(0.13)
|
Level 3 | Recurring | Minimum | Equity | Option Model | Equity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.05
|
0.16
|
Level 3 | Recurring | Minimum | Equity | Option Model | Equity Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
(0.04)
|
(0.03)
|
Level 3 | Recurring | Minimum | Commodity and other | Option Model | Commodity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.08
|
0.08
|
Level 3 | Recurring | Minimum | Commodity and other | Option Model | Cross-Commodity Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.43
|
0.43
|
Level 3 | Recurring | Minimum | Commodity and other | Option Model | Forward Power Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value | $ / MWh |
4
|
(1)
|
Level 3 | Recurring | Maximum | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investment securities-AFS, measurement input value |
|
1.07
|
Level 3 | Recurring | Maximum | Comparable Pricing | Equity Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investments, measurement input value |
1
|
1
|
Level 3 | Recurring | Maximum | Comparable Pricing | Loan Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Other secured financings, measurement input value |
0.0100
|
0.0101
|
Loans, measurement input value |
0.0080
|
|
Level 3 | Recurring | Maximum | Discounted Cash Flow | Exit Multiple |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investments, measurement input value |
17
|
17
|
Level 3 | Recurring | Maximum | Discounted Cash Flow | Funding Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Securities sold under agreement to repurchase, measurement input value |
0.0127
|
0.0127
|
Level 3 | Recurring | Maximum | Discounted Cash Flow | WACC |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investments, measurement input value |
0.16
|
0.18
|
Level 3 | Recurring | Maximum | Market Approach | EBITDA Multiple |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investments, measurement input value |
25
|
32
|
Level 3 | Recurring | Maximum | Option Model | Equity Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
0.95
|
0.95
|
Level 3 | Recurring | Maximum | Option Model | Equity - FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
0.25
|
0.13
|
Level 3 | Recurring | Maximum | Option Model | IR FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
0.08
|
0.06
|
Level 3 | Recurring | Maximum | Option Model | Equity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Deposits, measurement input value |
|
0.22
|
Borrowings, measurement input value |
0.85
|
0.66
|
Level 3 | Recurring | Maximum | Option Model | Equity Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
0
|
0
|
Level 3 | Recurring | Maximum | Other sovereign government obligations | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
1.40
|
|
Level 3 | Recurring | Maximum | MABS | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
0.86
|
0.80
|
Level 3 | Recurring | Maximum | Loans and lending commitments | Comparable Pricing | Loan Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
101
|
102
|
Level 3 | Recurring | Maximum | Loans and lending commitments | Margin Loan Model | Margin Loan Rate |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
0.04
|
0.05
|
Level 3 | Recurring | Maximum | Corporate and other debt | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
163
|
133
|
Level 3 | Recurring | Maximum | Corporate and other debt | Discounted Cash Flow | Loss given default |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
0.84
|
0.62
|
Borrowings, measurement input value |
0.84
|
|
Level 3 | Recurring | Maximum | Corporate and other debt | Option Model | Equity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
|
0.21
|
Level 3 | Recurring | Maximum | Interest rate | Option Model | IR Curve Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.98
|
0.99
|
Level 3 | Recurring | Maximum | Interest rate | Option Model | Bond Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.32
|
0.24
|
Level 3 | Recurring | Maximum | Interest rate | Option Model | Inflation Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.65
|
0.66
|
Level 3 | Recurring | Maximum | Interest rate | Option Model | IR Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.79
|
3.49
|
Level 3 | Recurring | Maximum | Credit | Correlation Model | Credit Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
|
0.44
|
Level 3 | Recurring | Maximum | Credit | Credit Default Swap Model | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.0083
|
0.0085
|
Level 3 | Recurring | Maximum | Credit | Credit Default Swap Model | Credit Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.0477
|
0.0435
|
Level 3 | Recurring | Maximum | Credit | Credit Default Swap Model | Funding Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.0433
|
0.0118
|
Level 3 | Recurring | Maximum | Foreign exchange | Option Model | Contingency Probability |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.95
|
0.95
|
Level 3 | Recurring | Maximum | Foreign exchange | Option Model | IR Curve |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.07
|
0.08
|
Level 3 | Recurring | Maximum | Foreign exchange | Option Model | Foreign Exchange Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
(0.02)
|
0.28
|
Level 3 | Recurring | Maximum | Foreign exchange | Option Model | IR FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.56
|
0.59
|
Level 3 | Recurring | Maximum | Foreign exchange | Option Model | IR Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.79
|
3.49
|
Level 3 | Recurring | Maximum | Equity | Option Model | Equity Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.99
|
0.96
|
Level 3 | Recurring | Maximum | Equity | Option Model | FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.37
|
0.60
|
Level 3 | Recurring | Maximum | Equity | Option Model | IR Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.30
|
0.47
|
Level 3 | Recurring | Maximum | Equity | Option Model | Equity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.99
|
0.97
|
Level 3 | Recurring | Maximum | Equity | Option Model | Equity Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0
|
0
|
Level 3 | Recurring | Maximum | Commodity and other | Option Model | Commodity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
3.85
|
1.83
|
Level 3 | Recurring | Maximum | Commodity and other | Option Model | Cross-Commodity Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
1
|
0.99
|
Level 3 | Recurring | Maximum | Commodity and other | Option Model | Forward Power Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value | $ / MWh |
263
|
157
|
Level 3 | Recurring | Weighted Average | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investment securities-AFS, measurement input value |
|
1.01
|
Level 3 | Recurring | Weighted Average | Comparable Pricing | Equity Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investments, measurement input value |
0.99
|
0.99
|
Level 3 | Recurring | Weighted Average | Comparable Pricing | Loan Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Other secured financings, measurement input value |
0.0083
|
0.0056
|
Loans, measurement input value |
0.0061
|
|
Level 3 | Recurring | Weighted Average | Discounted Cash Flow | Exit Multiple |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investments, measurement input value |
12
|
12
|
Level 3 | Recurring | Weighted Average | Discounted Cash Flow | Funding Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Securities sold under agreement to repurchase, measurement input value |
0.0120
|
0.0115
|
Other secured financings, measurement input value |
|
0.0111
|
Level 3 | Recurring | Weighted Average | Discounted Cash Flow | WACC |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investments, measurement input value |
0.15
|
0.15
|
Level 3 | Recurring | Weighted Average | Market Approach | EBITDA Multiple |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Investments, measurement input value |
10
|
11
|
Level 3 | Recurring | Weighted Average | Option Model | Equity Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
0.81
|
0.78
|
Level 3 | Recurring | Weighted Average | Option Model | Equity - FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
(0.30)
|
(0.24)
|
Level 3 | Recurring | Weighted Average | Option Model | Equity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Deposits, measurement input value |
|
0.08
|
Borrowings, measurement input value |
0.20
|
0.23
|
Level 3 | Recurring | Weighted Average | Option Model | Equity Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
0
|
0
|
Level 3 | Recurring | Weighted Average | Other sovereign government obligations | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
1.20
|
|
Level 3 | Recurring | Weighted Average | MABS | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
0.59
|
0.50
|
Level 3 | Recurring | Weighted Average | Loans and lending commitments | Comparable Pricing | Loan Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
97
|
93
|
Level 3 | Recurring | Weighted Average | Loans and lending commitments | Margin Loan Model | Margin Loan Rate |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
0.03
|
0.03
|
Level 3 | Recurring | Weighted Average | Corporate and other debt | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
99
|
101
|
Level 3 | Recurring | Weighted Average | Corporate and other debt | Option Model | Equity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
|
0.19
|
Level 3 | Recurring | Weighted Average | Credit | Correlation Model | Credit Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
|
0.32
|
Level 3 | Recurring | Weighted Average | Credit | Credit Default Swap Model | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.0046
|
0.0047
|
Level 3 | Recurring | Weighted Average | Credit | Credit Default Swap Model | Credit Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.0068
|
0.0074
|
Level 3 | Recurring | Weighted Average | Credit | Credit Default Swap Model | Funding Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.0055
|
0.0086
|
Level 3 | Recurring | Weighted Average | Equity | Option Model | Equity Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.73
|
0.74
|
Level 3 | Recurring | Weighted Average | Equity | Option Model | FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
(0.42)
|
(0.16)
|
Level 3 | Recurring | Weighted Average | Equity | Option Model | Equity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.24
|
0.43
|
Level 3 | Recurring | Weighted Average | Equity | Option Model | Equity Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
(0.01)
|
(0.01)
|
Level 3 | Recurring | Weighted Average | Commodity and other | Option Model | Commodity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.22
|
0.19
|
Level 3 | Recurring | Weighted Average | Commodity and other | Option Model | Cross-Commodity Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.94
|
0.92
|
Level 3 | Recurring | Weighted Average | Commodity and other | Option Model | Forward Power Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value | $ / MWh |
39
|
28
|
Level 3 | Recurring | Average | Option Model | IR FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
(0.05)
|
(0.06)
|
Level 3 | Recurring | Average | Corporate and other debt | Discounted Cash Flow | Loss given default |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
0.62
|
0.46
|
Borrowings, measurement input value |
0.62
|
|
Level 3 | Recurring | Average | Interest rate | Option Model | IR Curve Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.83
|
0.87
|
Level 3 | Recurring | Average | Interest rate | Option Model | Bond Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.12
|
0.13
|
Level 3 | Recurring | Average | Interest rate | Option Model | Inflation Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.44
|
0.45
|
Level 3 | Recurring | Average | Interest rate | Option Model | IR Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.64
|
0.62
|
Level 3 | Recurring | Average | Foreign exchange | Option Model | Contingency Probability |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.94
|
0.83
|
Level 3 | Recurring | Average | Foreign exchange | Option Model | IR Curve |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.02
|
0.07
|
Level 3 | Recurring | Average | Foreign exchange | Option Model | Foreign Exchange Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
(0.03)
|
0.03
|
Level 3 | Recurring | Average | Foreign exchange | Option Model | IR FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.55
|
0.56
|
Level 3 | Recurring | Average | Foreign exchange | Option Model | IR Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.64
|
0.62
|
Level 3 | Recurring | Average | Equity | Option Model | IR Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.15
|
0.21
|
Level 3 | Recurring | Median | Option Model | IR FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
(0.05)
|
(0.06)
|
Level 3 | Recurring | Median | Corporate and other debt | Discounted Cash Flow | Loss given default |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets, measurement input value |
0.54
|
0.40
|
Borrowings, measurement input value |
0.54
|
|
Level 3 | Recurring | Median | Interest rate | Option Model | IR Curve Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.84
|
0.89
|
Level 3 | Recurring | Median | Interest rate | Option Model | Bond Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.09
|
0.13
|
Level 3 | Recurring | Median | Interest rate | Option Model | Inflation Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.40
|
0.43
|
Level 3 | Recurring | Median | Interest rate | Option Model | IR Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.63
|
0.59
|
Level 3 | Recurring | Median | Foreign exchange | Option Model | Contingency Probability |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.95
|
0.93
|
Level 3 | Recurring | Median | Foreign exchange | Option Model | IR Curve |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0
|
0.08
|
Level 3 | Recurring | Median | Foreign exchange | Option Model | Foreign Exchange Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
(0.03)
|
0.01
|
Level 3 | Recurring | Median | Foreign exchange | Option Model | IR FX Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.54
|
0.56
|
Level 3 | Recurring | Median | Foreign exchange | Option Model | IR Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
0.63
|
0.59
|
Level 3 | Recurring | Median | Equity | Option Model | IR Correlation |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets, measurement input value |
|
0.20
|
Level 3 | Nonrecurring |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Loans |
$ 1,576
|
$ 3,134
|
Level 3 | Nonrecurring | Minimum | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Loans, measurement input value |
|
0.0088
|
Level 3 | Nonrecurring | Minimum | Corporate Loan Model | Credit Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Loans, measurement input value |
0.0108
|
0.0036
|
Level 3 | Nonrecurring | Minimum | Warehouse Model | Credit Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Loans, measurement input value |
0.0182
|
0.0200
|
Level 3 | Nonrecurring | Maximum | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Loans, measurement input value |
|
0.0099
|
Level 3 | Nonrecurring | Maximum | Corporate Loan Model | Credit Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Loans, measurement input value |
0.0565
|
0.0636
|
Level 3 | Nonrecurring | Maximum | Warehouse Model | Credit Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Loans, measurement input value |
0.0446
|
0.0413
|
Level 3 | Nonrecurring | Weighted Average | Comparable Pricing | Bond Price |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Loans, measurement input value |
|
0.0094
|
Level 3 | Nonrecurring | Weighted Average | Corporate Loan Model | Credit Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Loans, measurement input value |
0.0284
|
0.0336
|
Level 3 | Nonrecurring | Weighted Average | Warehouse Model | Credit Spread |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Loans, measurement input value |
0.0376
|
0.0368
|