Fair Values - Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements (Details) $ in Millions |
Dec. 31, 2022
USD ($)
$ / MWh
|
Dec. 31, 2021
USD ($)
$ / MWh
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets |
$ 44,212
|
$ 38,154
|
Deposits |
4,796
|
1,940
|
Securities sold under agreements to repurchase |
864
|
791
|
Other secured financings |
8,158
|
10,041
|
Borrowings |
78,720
|
76,340
|
Recurring |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings |
78,720
|
76,340
|
Recurring | Loans and lending commitments |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets |
8,397
|
12,627
|
Nonrecurring |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Loans |
10,803
|
5,611
|
Level 3 | Recurring |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Corporate equities |
116
|
115
|
Investments |
923
|
1,125
|
Derivative assets |
4,154
|
4,308
|
Deposits |
20
|
67
|
Trading liabilities |
3,856
|
2,927
|
Securities sold under agreements to repurchase |
512
|
651
|
Other secured financings |
91
|
403
|
Borrowings |
1,587
|
2,157
|
Level 3 | Recurring | Corporate equities |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Trading liabilities |
$ 42
|
$ 45
|
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 | Other sovereign government obligations |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets |
$ 169
|
$ 211
|
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
|
Level 3 | Recurring | MABS |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Debt securities, trading assets |
416
|
$ 344
|
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 |
2,017
|
3,806
|
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 |
145
|
13
|
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 |
2,096
|
1,973
|
Level 3 | Recurring | Interest rate |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets |
(151)
|
708
|
Level 3 | Recurring | Credit |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets |
$ 110
|
$ 98
|
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 |
$ 66
|
$ 52
|
Level 3 | Recurring | Equity |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets |
(736)
|
(945)
|
Level 3 | Recurring | Commodity and other |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Derivative assets |
$ 1,083
|
$ 1,529
|
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 |
0.24
|
0.43
|
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 |
0.0023
|
0.0030
|
Loans, measurement input value |
0.0036
|
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 |
7
|
8
|
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 |
0.0096
|
0.0112
|
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 |
0.15
|
0.10
|
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 |
7
|
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 |
0.39
|
0.41
|
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 |
(0.50)
|
(0.55)
|
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)
|
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
|
0.07
|
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 |
(0.02)
|
(0.01)
|
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 |
0.57
|
|
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 |
87
|
89
|
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 |
0.02
|
0.01
|
Level 3 | Recurring | Minimum | State and municipal securities | 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
|
|
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 |
0.51
|
50
|
Level 3 | Recurring | Minimum | Corporate and other debt | Discounted Cash Flow | IR Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
0.47
|
|
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
|
0.54
|
Borrowings, measurement input value |
0.54
|
0.54
|
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 |
0.47
|
0.62
|
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
|
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 |
0.22
|
0.24
|
Level 3 | Recurring | Minimum | 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
|
0.04
|
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 |
1.05
|
0.39
|
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 |
0.0010
|
0.0014
|
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 |
0.0018
|
0.0015
|
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 |
0.95
|
0.90
|
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 |
(0.02)
|
(0.01)
|
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 |
0.10
|
(0.04)
|
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
|
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
|
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 |
0.10
|
0.05
|
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 |
(0.79)
|
(0.85)
|
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 |
0.10
|
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
|
0.05
|
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)
|
(0.04)
|
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 |
0.12
|
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 |
0.70
|
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 |
1
|
4
|
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 |
0.0101
|
0.0100
|
Loans, measurement input value |
0.0080
|
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 |
0.0165
|
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 |
0.17
|
0.16
|
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 |
21
|
25
|
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 |
0.98
|
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
|
0.25
|
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
|
Level 3 | Recurring | Maximum | Option Model | Equity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
0.86
|
0.85
|
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 |
1.24
|
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 |
0.95
|
0.86
|
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 |
105
|
101
|
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
|
0.04
|
Level 3 | Recurring | Maximum | State and municipal securities | 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 | 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 |
1.32
|
163
|
Level 3 | Recurring | Maximum | Corporate and other debt | Discounted Cash Flow | IR Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
1.36
|
|
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
|
0.84
|
Borrowings, measurement input value |
0.84
|
|
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 |
1
|
0.98
|
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
|
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
|
0.65
|
Level 3 | Recurring | Maximum | 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 |
0.05
|
0.04
|
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 |
1.30
|
0.79
|
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
|
0.0083
|
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 |
0.0528
|
0.0477
|
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 |
0.0590
|
0.0433
|
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 |
0.38
|
0.07
|
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 |
0.10
|
(0.02)
|
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
|
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
|
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 |
0.93
|
0.99
|
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 |
0.65
|
0.37
|
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
|
0.30
|
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 |
0.96
|
0.99
|
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 |
1.69
|
3.85
|
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
|
1
|
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 |
292
|
263
|
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 |
0.89
|
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 |
0.0075
|
0.0083
|
Loans, measurement input value |
0.0065
|
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 |
14
|
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 |
0.0131
|
0.0120
|
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 |
0.16
|
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 |
11
|
10
|
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 |
0.86
|
0.81
|
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 |
(0.21)
|
(0.30)
|
Level 3 | Recurring | Weighted Average | Option Model | Equity Volatility |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
0.23
|
0.20
|
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 |
0.89
|
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 |
0.68
|
0.59
|
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 |
99
|
97
|
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 | State and municipal securities | 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 |
0.97
|
|
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 |
0.90
|
99
|
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 |
0.0043
|
0.0046
|
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 |
0.0115
|
0.0068
|
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 |
0.0093
|
0.0055
|
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 |
0.71
|
0.73
|
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 |
(0.26)
|
(0.42)
|
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 |
0.25
|
0.24
|
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 |
0.34
|
0.22
|
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
|
0.94
|
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 |
43
|
39
|
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)
|
Level 3 | Recurring | Average | Corporate and other debt | Discounted Cash Flow | IR Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
0.74
|
|
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
|
0.62
|
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 |
0.80
|
0.83
|
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
|
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 |
0.43
|
0.44
|
Level 3 | Recurring | Average | 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 |
0.05
|
0.04
|
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 |
1.13
|
0.64
|
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 |
0.95
|
0.94
|
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 |
0.08
|
0.02
|
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 |
0.10
|
(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
|
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
|
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 |
(0.14)
|
0.15
|
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)
|
Level 3 | Recurring | Median | Corporate and other debt | Discounted Cash Flow | IR Volatility Skew |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Borrowings, measurement input value |
0.59
|
|
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
|
0.54
|
Borrowings, measurement input value |
0.54
|
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
|
0.84
|
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
|
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 |
0.38
|
0.40
|
Level 3 | Recurring | Median | 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 |
0.05
|
0.04
|
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 |
1.09
|
0.63
|
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
|
0.95
|
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 |
0.04
|
0
|
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 |
0.10
|
(0.03)
|
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
|
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
|
Level 3 | Nonrecurring |
|
|
Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
Loans |
$ 6,610
|
$ 1,576
|
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 |
0.0091
|
0.0108
|
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 |
0.0110
|
0.0182
|
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 |
0.1276
|
0.0565
|
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 |
0.0319
|
0.0446
|
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 |
0.0776
|
0.0284
|
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 |
0.0245
|
0.0376
|