Fair Values - Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements (Details)
$ in Millions |
Mar. 31, 2026
USD ($)
$ / MWh
|
Dec. 31, 2025
USD ($)
$ / MWh
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets |
$ 44,806
|
$ 36,790
|
| Deposits |
8,593
|
8,755
|
| Securities sold under agreements to repurchase |
699
|
696
|
| Other secured financings |
22,666
|
21,603
|
| Borrowings |
137,633
|
132,479
|
| Recurring |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Borrowings |
137,633
|
132,479
|
| Recurring | Loans and lending commitments |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Debt securities, trading assets |
12,346
|
10,944
|
| Nonrecurring |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Loans |
4,577
|
3,704
|
| Level 3 | Recurring |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Corporate equities |
184
|
276
|
| Investments |
1,587
|
1,507
|
| Derivative assets |
3,861
|
3,042
|
| Deposits |
1
|
1
|
| Corporate and other debt |
4,076
|
3,668
|
| Securities sold under agreements to repurchase |
449
|
445
|
| Other secured financings |
181
|
306
|
| Borrowings |
$ 937
|
$ 608
|
| 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 | Market Approach | EBITDA Multiple |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Investments, measurement input value |
17
|
|
| Level 3 | Recurring | U.S. Treasury and agency securities |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Debt securities, trading assets |
$ 0
|
$ 0
|
| 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 |
55
|
59
|
| 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 |
0
|
0
|
| Level 3 | Recurring | MABS |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Debt securities, trading assets |
629
|
317
|
| 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 |
1,667
|
1,424
|
| 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 |
1,475
|
1,414
|
| Corporate and other debt |
54
|
50
|
| Level 3 | Recurring | Interest rate |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets |
(151)
|
(154)
|
| Level 3 | Recurring | Credit |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets |
$ 148
|
$ 87
|
| 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 |
0.09
|
0.0011
|
| Level 3 | Recurring | Foreign exchange |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets |
$ (44)
|
$ 36
|
| Level 3 | Recurring | Equity |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets |
(1,315)
|
(1,433)
|
| Level 3 | Recurring | Commodity and other |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets |
$ 1,220
|
$ 920
|
| 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 |
66
|
0
|
| 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
|
0.24
|
| 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
|
0.10
|
| 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 |
9
|
9
|
| Level 3 | Recurring | Minimum | Discounted Cash Flow | Funding Spread |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Funding spread |
0.0021
|
0.0018
|
| Level 3 | Recurring | Minimum | Option Model | Credit Spread |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Borrowings, measurement input value |
0.0377
|
0.0325
|
| Level 3 | Recurring | Minimum | Option Model | Equity Volatility |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Borrowings, measurement input value |
0.09
|
0.05
|
| 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 |
(0.04)
|
(0.03)
|
| 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 |
0.10
|
0.20
|
| 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 |
(0.88)
|
(0.70)
|
| 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 |
0.65
|
0.58
|
| 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 |
0.30
|
0.30
|
| 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 |
0.43
|
0.54
|
| 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 |
0.29
|
0.29
|
| Bond price |
0.01
|
0.02
|
| 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 |
0.40
|
0.40
|
| Borrowings, measurement input value |
0.40
|
0.40
|
| 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 |
0.63
|
0.52
|
| 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 |
0.53
|
0.56
|
| 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 |
0.67
|
0.63
|
| 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 |
0.32
|
0.32
|
| 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 |
0.0022
|
0.0022
|
| 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 |
|
0.0006
|
| 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)
|
(0.01)
|
| 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
|
0.80
|
| 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 |
0.06
|
0.06
|
| 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 |
0.03
|
0.01
|
| 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 |
(0.11)
|
(0.11)
|
| 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 |
(0.16)
|
0
|
| 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 |
(0.84)
|
(0.90)
|
| 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 |
(0.25)
|
(0.05)
|
| 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 |
5
|
5
|
| Level 3 | Recurring | Minimum | Commodity and other | Option Model | Forward Natural Gas Price |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets, measurement input value | $ / MWh |
1
|
|
| 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 |
0.14
|
0.06
|
| 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 |
0.69
|
0.54
|
| 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 |
0.89
|
0.0098
|
| 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 | Discounted Cash Flow | WACC |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Investments, measurement input value |
0.21
|
0.21
|
| 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 |
9
|
9
|
| Level 3 | Recurring | Maximum | Discounted Cash Flow | Funding Spread |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Funding spread |
0.0145
|
0.0109
|
| Level 3 | Recurring | Maximum | Option Model | Credit Spread |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Borrowings, measurement input value |
0.0377
|
0.0325
|
| 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 |
0.93
|
1.02
|
| 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 |
0.01
|
0.01
|
| 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 |
1
|
1
|
| 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 |
0.21
|
0.30
|
| 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 |
1.12
|
1.12
|
| 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 |
1.04
|
1
|
| 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 |
1.03
|
1.02
|
| 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 |
1.30
|
1.30
|
| Bond price |
1
|
1.01
|
| 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 |
0.40
|
0.40
|
| Borrowings, measurement input value |
0.40
|
0.40
|
| 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 |
0.94
|
0.86
|
| 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 |
0.99
|
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 |
1.07
|
0.97
|
| 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 |
0.67
|
0.67
|
| 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 |
0.96
|
0.0097
|
| 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 |
0.0679
|
0.0680
|
| 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
|
| 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 |
0.06
|
0.10
|
| 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 | Foreign Exchange Volatility Skew |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets, measurement input value |
0.12
|
0.10
|
| 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 |
1.37
|
1.33
|
| 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 |
0.04
|
0.03
|
| 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 |
1
|
1
|
| 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 |
0.90
|
0.90
|
| 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 |
0.85
|
0.16
|
| 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 |
136
|
141
|
| Level 3 | Recurring | Maximum | Commodity and other | Option Model | Forward Natural Gas Price |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets, measurement input value | $ / MWh |
8
|
|
| 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 |
0.95
|
1.37
|
| 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 |
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 |
0.72
|
0.0066
|
| 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 |
0.95
|
0.95
|
| 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
|
0.16
|
| 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 |
9
|
9
|
| 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 |
|
18
|
| Level 3 | Recurring | Weighted Average | Option Model | Credit Spread |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Borrowings, measurement input value |
0.0377
|
0.0325
|
| 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 |
0.30
|
0.44
|
| 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 |
(0.01)
|
(0.01)
|
| 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 |
0.83
|
0.84
|
| 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 |
(0.19)
|
(0.19)
|
| 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 |
0.99
|
1
|
| 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 |
0.75
|
0.68
|
| 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 |
0.91
|
0.81
|
| 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 |
0.86
|
0.90
|
| Bond price |
0.28
|
0.25
|
| 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 |
0.79
|
0.0053
|
| 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 |
0.0109
|
0.0108
|
| 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 |
|
0.0077
|
| 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 |
0.28
|
0.27
|
| 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 |
(0.02)
|
(0.01)
|
| 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 |
0.63
|
0.57
|
| 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 |
(0.17)
|
(0.30)
|
| Level 3 | Recurring | Weighted 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 |
0.18
|
0.15
|
| 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 |
58
|
59
|
| Level 3 | Recurring | Weighted Average | Commodity and other | Option Model | Forward Natural Gas Price |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets, measurement input value | $ / MWh |
3
|
|
| 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 |
0.28
|
0.29
|
| 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 |
0.96
|
0.98
|
| Level 3 | Recurring | Average | Discounted Cash Flow | Funding Spread |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Funding spread |
0.0071
|
0.0063
|
| 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 |
0.40
|
0.40
|
| Borrowings, measurement input value |
0.40
|
0.40
|
| 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 |
0.72
|
0.67
|
| 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 |
0.85
|
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 |
0.92
|
0.80
|
| 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
|
0.44
|
| 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
|
0.02
|
| 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
|
0.95
|
| 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 |
0.09
|
0.08
|
| Level 3 | Recurring | Median | Discounted Cash Flow | Funding Spread |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Funding spread |
0.0061
|
0.0063
|
| 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 |
0.40
|
0.40
|
| Borrowings, measurement input value |
0.40
|
0.40
|
| 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 |
0.74
|
0.66
|
| 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 |
0.86
|
0.88
|
| 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 |
0.91
|
0.80
|
| 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
|
0.40
|
| 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
|
0.01
|
| 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 | 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
|
0.08
|
| Level 3 | Nonrecurring |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Loans |
$ 1,507
|
$ 1,319
|
| Level 3 | Nonrecurring | Minimum | Comparable Pricing | Loan Price |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Loans, measurement input value |
0.50
|
0.0050
|
| 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 |
0.0096
|
0.0087
|
| 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 |
0.0072
|
0.0066
|
| Level 3 | Nonrecurring | Maximum | Comparable Pricing | Loan Price |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Loans, measurement input value |
0.85
|
0.0100
|
| 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 |
0.0682
|
0.0967
|
| 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 |
0.0121
|
0.0113
|
| Level 3 | Nonrecurring | Weighted Average | Comparable Pricing | Loan Price |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Loans, measurement input value |
0.60
|
0.0067
|
| 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 |
0.0280
|
0.0272
|
| 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 |
0.0100
|
0.0082
|