Fair Values - Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements (Details)
$ in Millions |
Jun. 30, 2026
USD ($)
$ / MWh
|
Dec. 31, 2025
USD ($)
$ / MWh
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Investment securities—AFS |
$ 105,532
|
$ 110,466
|
| Derivative assets |
40,277
|
36,790
|
| Securities sold under agreements to repurchase |
887
|
696
|
| Other secured financings |
29,819
|
21,603
|
| Borrowings |
147,514
|
132,479
|
| Recurring |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Borrowings |
147,514
|
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 |
13,278
|
10,944
|
| Nonrecurring |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Loans |
4,109
|
3,704
|
| Level 3 | Recurring |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Corporate equities |
175
|
276
|
| Investments |
1,560
|
1,507
|
| Investment securities—AFS |
70
|
0
|
| Derivative assets |
3,614
|
3,042
|
| Securities sold under agreements to repurchase |
444
|
445
|
| Other secured financings |
128
|
306
|
| Borrowings |
$ 804
|
$ 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
|
18
|
| 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 | MABS |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Debt securities, trading assets |
433
|
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 |
1,282
|
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 |
1,532
|
1,414
|
| Level 3 | Recurring | Interest rate |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets |
(423)
|
(154)
|
| Level 3 | Recurring | Credit |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets |
$ 111
|
$ 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 |
$ 38
|
$ 36
|
| Level 3 | Recurring | Equity |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets |
(1,763)
|
(1,433)
|
| Level 3 | Recurring | Commodity and other |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets |
$ 1,317
|
$ 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 |
0.58
|
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 |
0.11
|
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 |
0.0317
|
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 |
(0.02)
|
(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 |
0.20
|
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 |
(0.80)
|
(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 |
0.40
|
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 |
0.44
|
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
|
| Investment securities —AFS, measurement input value |
0.96
|
|
| 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 | 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 |
0.10
|
|
| 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 |
0.61
|
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 |
0.63
|
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 | Credit | Lapse Rate | Iswap Model |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets, measurement input value |
0.02
|
|
| 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 | 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 | 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
|
0.80
|
| 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 |
0.01
|
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 |
(0.12)
|
(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 |
(0.08)
|
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 |
(0.80)
|
(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 |
(0.20)
|
(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 |
0.61
|
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 |
0.93
|
0.98
|
| 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 |
0.0139
|
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 |
0.0317
|
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 |
1.05
|
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 |
1.11
|
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 |
1.02
|
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
|
| Investment securities —AFS, measurement input value |
0.98
|
|
| 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 | 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 |
1.40
|
|
| 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 |
0.87
|
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 |
0.94
|
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 |
0.97
|
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 |
0.0672
|
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 | Credit | Lapse Rate | Iswap Model |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets, measurement input value |
0.02
|
|
| 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
|
0.10
|
| 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 |
0.11
|
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 | Equity | Option Model | Equity Volatility |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets, measurement input value |
1.30
|
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 |
0.02
|
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 |
0.99
|
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 |
0.84
|
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 |
142
|
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 |
9
|
|
| 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 |
1.70
|
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 |
0.61
|
0.66
|
| 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 |
0.94
|
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 | Option Model | Credit Spread |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Borrowings, measurement input value |
0.0317
|
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 |
0.32
|
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 |
0.85
|
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 |
(0.27)
|
(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 |
0.98
|
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 |
0.84
|
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 |
0.87
|
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
|
| Investment securities —AFS, measurement input value |
0.97
|
|
| 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 |
0.46
|
|
| 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 |
0.0151
|
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 |
0.33
|
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 |
(0.01)
|
(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 |
0.58
|
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 |
(0.31)
|
(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 |
0.19
|
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 |
63
|
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 |
0.0069
|
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 |
0.71
|
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 |
0.84
|
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 |
0.72
|
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 | Credit | Lapse Rate | Iswap Model |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets, measurement input value |
0.02
|
|
| 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 |
0.01
|
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 |
0.08
|
0.08
|
| 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 | 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 |
0.71
|
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 |
0.85
|
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 |
0.72
|
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 | Credit | Lapse Rate | Iswap Model |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Derivative assets, measurement input value |
0.02
|
|
| 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 | Foreign Exchange Volatility Skew |
|
|
| 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 | 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 | Nonrecurring |
|
|
| Valuation Techniques and Sensitivity of Unobservable Inputs Used in Level 3 Fair Value Measurements |
|
|
| Loans |
$ 1,773
|
$ 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 |
0.35
|
0.50
|
| 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 |
0.0094
|
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 |
0.0065
|
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
|
1
|
| 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 |
0.0434
|
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 |
0.0115
|
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 |
0.71
|
0.67
|
| 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 |
0.0249
|
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 |
0.0098
|
0.0082
|