Fair Value Measurement - Level 3 Inputs (Details)
$ in Millions |
Jun. 30, 2026
USD ($)
$ / shares
$ / bbl
$ / MMBTU
|
Mar. 31, 2026
USD ($)
|
Dec. 31, 2025
USD ($)
|
Jun. 30, 2025
USD ($)
|
Mar. 31, 2025
USD ($)
|
Dec. 31, 2024
USD ($)
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans |
$ 62,889
|
|
$ 70,684
|
|
|
|
| MSRs |
9,156
|
$ 9,093
|
9,167
|
$ 8,996
|
$ 9,127
|
$ 9,121
|
| Equity securities for which quoted prices are not readily available |
$ 8,191
|
|
4,900
|
$ 4,121
|
|
|
| Assumed par value for price input (in dollars per share) | $ / shares |
$ 100
|
|
|
|
|
|
| Level 3 | Yield | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.05
|
|
|
|
|
|
| Level 3 | Yield | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.20
|
|
|
|
|
|
| Level 3 | Yield | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.10
|
|
|
|
|
|
| Level 3 | Loss severity | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0
|
|
|
|
|
|
| Level 3 | Loss severity | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
1
|
|
|
|
|
|
| Level 3 | Loss severity | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.50
|
|
|
|
|
|
| Level 3 | Interest rate volatility | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.0022
|
|
|
|
|
|
| Level 3 | Interest rate volatility | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.0520
|
|
|
|
|
|
| Level 3 | Interest rate volatility | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.0096
|
|
|
|
|
|
| Level 3 | Bermudan switch value | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0
|
|
|
|
|
|
| Level 3 | Bermudan switch value | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.43
|
|
|
|
|
|
| Level 3 | Bermudan switch value | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.17
|
|
|
|
|
|
| Level 3 | Interest rate correlation | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
(0.64)
|
|
|
|
|
|
| Level 3 | Interest rate correlation | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.97
|
|
|
|
|
|
| Level 3 | Interest rate correlation | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.57
|
|
|
|
|
|
| Level 3 | IR-FX correlation | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
(0.45)
|
|
|
|
|
|
| Level 3 | IR-FX correlation | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.60
|
|
|
|
|
|
| Level 3 | IR-FX correlation | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.06
|
|
|
|
|
|
| Level 3 | Credit correlation | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.29
|
|
|
|
|
|
| Level 3 | Credit correlation | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.78
|
|
|
|
|
|
| Level 3 | Credit correlation | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.54
|
|
|
|
|
|
| Level 3 | Credit spread | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.0001
|
|
|
|
|
|
| Level 3 | Credit spread | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.0168
|
|
|
|
|
|
| Level 3 | Credit spread | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.0070
|
|
|
|
|
|
| Level 3 | Recovery rate | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.20
|
|
|
|
|
|
| Level 3 | Recovery rate | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.60
|
|
|
|
|
|
| Level 3 | Recovery rate | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.43
|
|
|
|
|
|
| Level 3 | Equity volatility | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.02
|
|
|
|
|
|
| Level 3 | Equity volatility | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
1.82
|
|
|
|
|
|
| Level 3 | Equity volatility | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.35
|
|
|
|
|
|
| Level 3 | Equity correlation | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.15
|
|
|
|
|
|
| Level 3 | Equity correlation | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
1
|
|
|
|
|
|
| Level 3 | Equity correlation | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.57
|
|
|
|
|
|
| Level 3 | Equity-FX correlation | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
(0.84)
|
|
|
|
|
|
| Level 3 | Equity-FX correlation | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.65
|
|
|
|
|
|
| Level 3 | Equity-FX correlation | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
(0.33)
|
|
|
|
|
|
| Level 3 | Equity-IR correlation | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.05
|
|
|
|
|
|
| Level 3 | Equity-IR correlation | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.20
|
|
|
|
|
|
| Level 3 | Equity-IR correlation | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits, measurement inputs |
0.13
|
|
|
|
|
|
| Level 3 | Residential mortgage-backed securities and loans | Yield | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input |
0
|
|
|
|
|
|
| Level 3 | Residential mortgage-backed securities and loans | Yield | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input |
0.40
|
|
|
|
|
|
| Level 3 | Residential mortgage-backed securities and loans | Yield | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input |
0.07
|
|
|
|
|
|
| Level 3 | Residential mortgage-backed securities and loans | Prepayment speed | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input |
0.07
|
|
|
|
|
|
| Level 3 | Residential mortgage-backed securities and loans | Prepayment speed | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input |
0.14
|
|
|
|
|
|
| Level 3 | Residential mortgage-backed securities and loans | Prepayment speed | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input |
0.10
|
|
|
|
|
|
| Level 3 | Residential mortgage-backed securities and loans | Conditional default rate | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input |
0
|
|
|
|
|
|
| Level 3 | Residential mortgage-backed securities and loans | Conditional default rate | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input |
0.03
|
|
|
|
|
|
| Level 3 | Residential mortgage-backed securities and loans | Conditional default rate | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input |
0
|
|
|
|
|
|
| Level 3 | Residential mortgage-backed securities and loans | Loss severity | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input |
0
|
|
|
|
|
|
| Level 3 | Residential mortgage-backed securities and loans | Loss severity | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input |
1
|
|
|
|
|
|
| Level 3 | Residential mortgage-backed securities and loans | Loss severity | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input |
0.05
|
|
|
|
|
|
| Level 3 | Commercial mortgage-backed securities and loans | Price (in USD/share) | Market comparables | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input | $ / shares |
0
|
|
|
|
|
|
| Level 3 | Commercial mortgage-backed securities and loans | Price (in USD/share) | Market comparables | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input | $ / shares |
93
|
|
|
|
|
|
| Level 3 | Commercial mortgage-backed securities and loans | Price (in USD/share) | Market comparables | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans, measurement input | $ / shares |
80
|
|
|
|
|
|
| Level 3 | Corporate debt securities | Price (in USD/share) | Market comparables | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities, trading, measurement input | $ / shares |
0
|
|
|
|
|
|
| Level 3 | Corporate debt securities | Price (in USD/share) | Market comparables | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities, trading, measurement input | $ / shares |
177
|
|
|
|
|
|
| Level 3 | Corporate debt securities | Price (in USD/share) | Market comparables | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities, trading, measurement input | $ / shares |
107
|
|
|
|
|
|
| Level 3 | Loans | Price (in USD/share) | Market comparables | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans, measurement input | $ / shares |
0
|
|
|
|
|
|
| Level 3 | Loans | Price (in USD/share) | Market comparables | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans, measurement input | $ / shares |
112
|
|
|
|
|
|
| Level 3 | Loans | Price (in USD/share) | Market comparables | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans, measurement input | $ / shares |
81
|
|
|
|
|
|
| Level 3 | Non-U.S. government debt | Price (in USD/share) | Market comparables | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities, trading, measurement input | $ / shares |
2
|
|
|
|
|
|
| Level 3 | Non-U.S. government debt | Price (in USD/share) | Market comparables | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities, trading, measurement input | $ / shares |
107
|
|
|
|
|
|
| Level 3 | Non-U.S. government debt | Price (in USD/share) | Market comparables | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities, trading, measurement input | $ / shares |
97
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Prepayment speed | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Prepayment speed | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.21
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Prepayment speed | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.08
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Interest rate volatility | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.0022
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Interest rate volatility | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.0520
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Interest rate volatility | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.0096
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Interest rate spread volatility | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.0044
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Interest rate spread volatility | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.0059
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Interest rate spread volatility | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.0049
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Bermudan switch value | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Bermudan switch value | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.43
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Bermudan switch value | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.17
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Interest rate correlation | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
(0.64)
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Interest rate correlation | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.97
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Interest rate correlation | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.57
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | IR-FX correlation | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
(0.45)
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | IR-FX correlation | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.60
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | IR-FX correlation | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.06
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Inflation volatility | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.0011
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Inflation volatility | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.0174
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Inflation volatility | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.0068
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Interest rate curve | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.02
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Interest rate curve | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.15
|
|
|
|
|
|
| Level 3 | Net interest rate derivatives | Interest rate curve | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.05
|
|
|
|
|
|
| Level 3 | Credit derivatives | Price (in USD/share) | Market comparables | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs | $ / shares |
0
|
|
|
|
|
|
| Level 3 | Credit derivatives | Price (in USD/share) | Market comparables | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs | $ / shares |
115
|
|
|
|
|
|
| Level 3 | Credit derivatives | Price (in USD/share) | Market comparables | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs | $ / shares |
76
|
|
|
|
|
|
| Level 3 | Credit derivatives | Credit correlation | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.27
|
|
|
|
|
|
| Level 3 | Credit derivatives | Credit correlation | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.79
|
|
|
|
|
|
| Level 3 | Credit derivatives | Credit correlation | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.55
|
|
|
|
|
|
| Level 3 | Credit derivatives | Credit spread | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0
|
|
|
|
|
|
| Level 3 | Credit derivatives | Credit spread | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.6942
|
|
|
|
|
|
| Level 3 | Credit derivatives | Credit spread | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.0390
|
|
|
|
|
|
| Level 3 | Credit derivatives | Recovery rate | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.10
|
|
|
|
|
|
| Level 3 | Credit derivatives | Recovery rate | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.90
|
|
|
|
|
|
| Level 3 | Credit derivatives | Recovery rate | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.58
|
|
|
|
|
|
| Level 3 | Net foreign exchange derivatives | Prepayment speed | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.11
|
|
|
|
|
|
| Level 3 | Net foreign exchange derivatives | Prepayment speed | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.11
|
|
|
|
|
|
| Level 3 | Net foreign exchange derivatives | Prepayment speed | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.11
|
|
|
|
|
|
| Level 3 | Net foreign exchange derivatives | IR-FX correlation | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
(0.40)
|
|
|
|
|
|
| Level 3 | Net foreign exchange derivatives | IR-FX correlation | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.60
|
|
|
|
|
|
| Level 3 | Net foreign exchange derivatives | IR-FX correlation | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.15
|
|
|
|
|
|
| Level 3 | Net foreign exchange derivatives | Interest rate curve | Discounted cash flows | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.03
|
|
|
|
|
|
| Level 3 | Net foreign exchange derivatives | Interest rate curve | Discounted cash flows | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.15
|
|
|
|
|
|
| Level 3 | Net foreign exchange derivatives | Interest rate curve | Discounted cash flows | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.08
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Forward equity price | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.83
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Forward equity price | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
1.34
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Forward equity price | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
1.01
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Equity volatility | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.02
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Equity volatility | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
1.82
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Equity volatility | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.37
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Equity correlation | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Equity correlation | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
1
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Equity correlation | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.49
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Equity-FX correlation | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
(0.82)
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Equity-FX correlation | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.71
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Equity-FX correlation | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
(0.32)
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Equity-IR correlation | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
(0.15)
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Equity-IR correlation | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.10
|
|
|
|
|
|
| Level 3 | Net equity derivatives | Equity-IR correlation | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.04
|
|
|
|
|
|
| Level 3 | Net commodity derivatives | Oil commodity forward (in USD/ BBL) | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs | $ / bbl |
44
|
|
|
|
|
|
| Level 3 | Net commodity derivatives | Oil commodity forward (in USD/ BBL) | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs | $ / bbl |
305
|
|
|
|
|
|
| Level 3 | Net commodity derivatives | Oil commodity forward (in USD/ BBL) | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs | $ / bbl |
148
|
|
|
|
|
|
| Level 3 | Net commodity derivatives | Natural gas commodity forward (in USD/ MMBTU) | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs | $ / MMBTU |
1
|
|
|
|
|
|
| Level 3 | Net commodity derivatives | Natural gas commodity forward (in USD/ MMBTU) | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs | $ / MMBTU |
6
|
|
|
|
|
|
| Level 3 | Net commodity derivatives | Natural gas commodity forward (in USD/ MMBTU) | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs | $ / MMBTU |
3
|
|
|
|
|
|
| Level 3 | Net commodity derivatives | Commodity volatility | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.02
|
|
|
|
|
|
| Level 3 | Net commodity derivatives | Commodity volatility | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.39
|
|
|
|
|
|
| Level 3 | Net commodity derivatives | Commodity volatility | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.09
|
|
|
|
|
|
| Level 3 | Net commodity derivatives | Commodity correlation | Option pricing | Minimum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
(0.30)
|
|
|
|
|
|
| Level 3 | Net commodity derivatives | Commodity correlation | Option pricing | Maximum |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.98
|
|
|
|
|
|
| Level 3 | Net commodity derivatives | Commodity correlation | Option pricing | Average |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability), measurement inputs |
0.08
|
|
|
|
|
|
| Recurring |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans |
$ 62,889
|
|
70,684
|
|
|
|
| MSRs |
9,156
|
|
9,167
|
|
|
|
| Long-term debt, short-term borrowings, and deposits |
1,074,506
|
|
770,827
|
|
|
|
| Recurring | Level 3 |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans |
2,908
|
|
3,062
|
|
|
|
| MSRs |
9,156
|
|
9,167
|
|
|
|
| Long-term debt, short-term borrowings, and deposits |
76,139
|
|
$ 66,954
|
|
|
|
| Other level 3 asset and liabilities, net |
1,626
|
|
|
|
|
|
| Equity securities for which quoted prices are not readily available |
996
|
|
|
|
|
|
| Recurring | Level 3 | Discounted cash flows |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| MSRs |
9,156
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits |
1,834
|
|
|
|
|
|
| Recurring | Level 3 | Option pricing |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits |
59,714
|
|
|
|
|
|
| Recurring | Level 3 | Residential mortgage-backed securities and loans | Discounted cash flows |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans |
823
|
|
|
|
|
|
| Recurring | Level 3 | Commercial mortgage-backed securities and loans | Market comparables |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans |
1,130
|
|
|
|
|
|
| Recurring | Level 3 | Corporate debt securities | Market comparables |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities, trading |
617
|
|
|
|
|
|
| Recurring | Level 3 | Loans | Market comparables |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans |
2,373
|
|
|
|
|
|
| Recurring | Level 3 | Non-U.S. government debt | Market comparables |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities, trading |
797
|
|
|
|
|
|
| Recurring | Level 3 | Net interest rate derivatives | Discounted cash flows |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability) |
(44)
|
|
|
|
|
|
| Recurring | Level 3 | Net interest rate derivatives | Option pricing |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability) |
3,540
|
|
|
|
|
|
| Recurring | Level 3 | Credit derivatives | Discounted cash flows |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability) |
(2,189)
|
|
|
|
|
|
| Recurring | Level 3 | Credit derivatives | Market comparables |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability) |
19
|
|
|
|
|
|
| Recurring | Level 3 | Net foreign exchange derivatives | Discounted cash flows |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability) |
(46)
|
|
|
|
|
|
| Recurring | Level 3 | Net foreign exchange derivatives | Option pricing |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability) |
437
|
|
|
|
|
|
| Recurring | Level 3 | Net equity derivatives | Option pricing |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability) |
(2,862)
|
|
|
|
|
|
| Recurring | Level 3 | Net commodity derivatives | Option pricing |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability) |
(3)
|
|
|
|
|
|
| Recurring | Level 3 | Mortgage-backed securities, U.S. GSEs and government agencies | Discounted cash flows | Residential mortgage-backed securities |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans |
238
|
|
|
|
|
|
| Recurring | Level 3 | Residential mortgage-backed securities | Discounted cash flows | Residential mortgage-backed securities |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans |
5
|
|
|
|
|
|
| Recurring | Level 3 | Trading loans | Market comparables |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans |
1,100
|
|
|
|
|
|
| Recurring | Level 3 | Trading loans | Market comparables | Commercial mortgage-backed securities |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans |
93
|
|
|
|
|
|
| Recurring | Level 3 | Non-trading loans | Discounted cash flows | Residential mortgage-backed securities |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans |
580
|
|
|
|
|
|
| Recurring | Level 3 | Non-trading loans | Market comparables |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans |
1,300
|
|
|
|
|
|
| Recurring | Level 3 | Non-trading loans | Market comparables | Commercial mortgage-backed securities |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Debt securities and loans |
1,000
|
|
|
|
|
|
| Recurring | Level 3 | Other assets |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Equity securities for which quoted prices are not readily available |
$ 821
|
|
|
|
|
|