Fair Value Measurement - Level 3 Inputs (Details)
$ in Millions |
Sep. 30, 2026
USD ($)
$ / shares
$ / bbl
$ / MMBTU
|
Jun. 30, 2026
USD ($)
|
Dec. 31, 2025
USD ($)
|
Sep. 30, 2025
USD ($)
|
Jun. 30, 2025
USD ($)
|
Dec. 31, 2024
USD ($)
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans |
$ 71,658
|
|
$ 70,684
|
|
|
|
| MSRs |
9,775
|
$ 9,156
|
9,167
|
$ 9,110
|
$ 8,996
|
$ 9,121
|
| Equity securities for which quoted prices are not readily available |
$ 9,978
|
|
4,900
|
$ 4,808
|
|
|
| Assumed par value for price input (in dollars per share) | $ / shares |
$ 100
|
|
|
|
|
|
| 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 |
0.0023
|
|
|
|
|
|
| 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 |
0.0516
|
|
|
|
|
|
| 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 |
0.0098
|
|
|
|
|
|
| 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 |
0.45
|
|
|
|
|
|
| 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 |
0.15
|
|
|
|
|
|
| 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 |
0.05
|
|
|
|
|
|
| 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 |
0.99
|
|
|
|
|
|
| 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 |
0.57
|
|
|
|
|
|
| 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 |
0.0345
|
|
|
|
|
|
| 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 |
0.0036
|
|
|
|
|
|
| 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 |
0.65
|
|
|
|
|
|
| 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 |
0.41
|
|
|
|
|
|
| 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 |
0.04
|
|
|
|
|
|
| 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 |
1.40
|
|
|
|
|
|
| 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 |
0.31
|
|
|
|
|
|
| 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 |
0.05
|
|
|
|
|
|
| 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 |
0.56
|
|
|
|
|
|
| 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 |
1
|
|
|
|
|
|
| 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 |
(0.34)
|
|
|
|
|
|
| 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 |
0.22
|
|
|
|
|
|
| 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 |
0.08
|
|
|
|
|
|
| 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 |
0.13
|
|
|
|
|
|
| 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 |
0.99
|
|
|
|
|
|
| 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 |
100
|
|
|
|
|
|
| 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 |
84
|
|
|
|
|
|
| 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 |
126
|
|
|
|
|
|
| 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 |
106
|
|
|
|
|
|
| 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 |
101
|
|
|
|
|
|
| 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 |
76
|
|
|
|
|
|
| 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 |
108
|
|
|
|
|
|
| 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 |
98
|
|
|
|
|
|
| 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 |
0.07
|
|
|
|
|
|
| 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 |
0.0023
|
|
|
|
|
|
| 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 |
0.0516
|
|
|
|
|
|
| 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 |
0.0098
|
|
|
|
|
|
| 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 |
0.45
|
|
|
|
|
|
| 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 |
0.15
|
|
|
|
|
|
| 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 |
0.05
|
|
|
|
|
|
| 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 |
0.0012
|
|
|
|
|
|
| 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 |
0.0069
|
|
|
|
|
|
| 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 |
0.03
|
|
|
|
|
|
| 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 |
0.14
|
|
|
|
|
|
| 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 | Net 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 | Net 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 | Net 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 | Net 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 |
0.26
|
|
|
|
|
|
| Level 3 | Net 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 |
0.99
|
|
|
|
|
|
| Level 3 | Net 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 |
0.56
|
|
|
|
|
|
| Level 3 | Net 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 | Net 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 |
1.5545
|
|
|
|
|
|
| Level 3 | Net 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 |
0.0486
|
|
|
|
|
|
| Level 3 | Net 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 | Net 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 | Net 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 |
0.55
|
|
|
|
|
|
| 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 |
0.14
|
|
|
|
|
|
| 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 |
0.02
|
|
|
|
|
|
| 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 |
0.16
|
|
|
|
|
|
| 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 |
0.82
|
|
|
|
|
|
| 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 |
1.49
|
|
|
|
|
|
| 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 |
1.78
|
|
|
|
|
|
| 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 |
0.34
|
|
|
|
|
|
| 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 |
0.48
|
|
|
|
|
|
| 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 |
(1)
|
|
|
|
|
|
| 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 |
(0.33)
|
|
|
|
|
|
| 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 |
0.03
|
|
|
|
|
|
| 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 |
47
|
|
|
|
|
|
| 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 |
265
|
|
|
|
|
|
| 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 |
145
|
|
|
|
|
|
| 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 |
0.03
|
|
|
|
|
|
| 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 |
0.53
|
|
|
|
|
|
| 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 |
0.03
|
|
|
|
|
|
| Recurring |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans |
$ 71,658
|
|
70,684
|
|
|
|
| MSRs |
9,775
|
|
9,167
|
|
|
|
| Long-term debt, short-term borrowings, and deposits |
1,133,697
|
|
770,827
|
|
|
|
| Recurring | Level 3 |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans |
2,408
|
|
3,062
|
|
|
|
| MSRs |
9,775
|
|
9,167
|
|
|
|
| Long-term debt, short-term borrowings, and deposits |
78,129
|
|
$ 66,954
|
|
|
|
| Other level 3 asset and liabilities, net |
1,785
|
|
|
|
|
|
| Equity securities for which quoted prices are not readily available |
1,000
|
|
|
|
|
|
| Recurring | Level 3 | Discounted cash flows |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| MSRs |
9,775
|
|
|
|
|
|
| Long-term debt, short-term borrowings, and deposits |
1,777
|
|
|
|
|
|
| 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 |
61,437
|
|
|
|
|
|
| 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 |
929
|
|
|
|
|
|
| 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 |
968
|
|
|
|
|
|
| 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 |
635
|
|
|
|
|
|
| Recurring | Level 3 | Loans | Market comparables |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans |
1,766
|
|
|
|
|
|
| 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 |
161
|
|
|
|
|
|
| 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) |
(2)
|
|
|
|
|
|
| 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) |
3,217
|
|
|
|
|
|
| Recurring | Level 3 | Net credit derivatives | Discounted cash flows |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability) |
(2,157)
|
|
|
|
|
|
| Recurring | Level 3 | Net credit derivatives | Market comparables |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Net derivative asset (liability) |
39
|
|
|
|
|
|
| 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) |
(44)
|
|
|
|
|
|
| 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) |
772
|
|
|
|
|
|
| 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) |
(3,084)
|
|
|
|
|
|
| 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) |
(30)
|
|
|
|
|
|
| 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 |
225
|
|
|
|
|
|
| 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 |
960
|
|
|
|
|
|
| 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 |
65
|
|
|
|
|
|
| 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 |
699
|
|
|
|
|
|
| Recurring | Level 3 | Non-trading loans | Market comparables |
|
|
|
|
|
|
| Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
|
|
|
|
|
| Loans |
806
|
|
|
|
|
|
| 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 |
903
|
|
|
|
|
|
| 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 |
$ 816
|
|
|
|
|
|