XML 107 R77.htm IDEA: XBRL DOCUMENT v3.3.1.900
Fair Value Measurement - Level 3 Inputs (Details)
12 Months Ended
Dec. 31, 2015
USD ($)
Dec. 31, 2015
USD ($)
$ / bbl
Dec. 31, 2014
USD ($)
Dec. 31, 2013
USD ($)
Dec. 31, 2012
USD ($)
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Net derivative asset (liability) $ (1,749,000,000) $ (1,749,000,000) $ (2,061,000,000) $ 326,000,000 $ 1,893,000,000
Recurring          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Liability fair value 191,103,000,000 191,103,000,000 215,883,000,000    
Beneficial interests issued by consolidated VIEs 787,000,000 787,000,000 2,162,000,000    
Level 3 Analysis - Supplemental Data:          
Trading securities 284,101,000,000 284,101,000,000 319,889,000,000    
Trading liabilities 126,897,000,000 126,897,000,000 152,815,000,000    
Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Liability fair value 25,528,000,000 25,528,000,000 32,059,000,000    
Beneficial interests issued by consolidated VIEs 549,000,000 549,000,000 1,146,000,000    
Level 3 Analysis - Supplemental Data:          
Trading securities 11,930,000,000 11,930,000,000 22,489,000,000    
Trading liabilities 9,758,000,000 9,758,000,000 14,698,000,000    
Interest rate          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Net derivative asset (liability) $ 876,000,000 876,000,000 626,000,000 2,379,000,000 3,322,000,000
Interest rate | Option pricing | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Interest rate correlation (52.00%)        
Interest rate spread volatility 3.00%        
Interest rate | Option pricing | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Interest rate correlation 99.00%        
Interest rate spread volatility 38.00%        
Interest rate | Option pricing | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Net derivative asset (liability) $ 876,000,000 876,000,000      
Credit          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Net derivative asset (liability) $ 549,000,000 549,000,000 189,000,000 95,000,000 1,873,000,000
Credit | Discounted cash flows | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Credit correlation 35.00%        
Credit | Discounted cash flows | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Credit correlation 90.00%        
Credit | Discounted cash flows | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Net derivative asset (liability) $ 549,000,000 549,000,000      
Foreign exchange          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Net derivative asset (liability) $ (725,000,000) (725,000,000) (526,000,000) (1,200,000,000) (1,750,000,000)
Foreign exchange | Option pricing | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Foreign exchange correlation 0.00%        
Foreign exchange | Option pricing | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Foreign exchange correlation 60.00%        
Foreign exchange | Option pricing | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Net derivative asset (liability) $ (725,000,000) (725,000,000)      
Equity          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Net derivative asset (liability) $ (1,514,000,000) (1,514,000,000) (1,785,000,000) (1,063,000,000) (1,806,000,000)
Equity | Option pricing | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Equity volatility 20.00%        
Equity | Option pricing | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Equity volatility 65.00%        
Equity | Option pricing | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Net derivative asset (liability) $ (1,514,000,000) (1,514,000,000)      
Commodity          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Net derivative asset (liability) (935,000,000) $ (935,000,000) $ (565,000,000) $ 115,000,000 $ 254,000,000
Commodity | Discounted cash flows | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Forward commodity price | $ / bbl   22      
Commodity | Discounted cash flows | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Forward commodity price | $ / bbl   46      
Commodity | Discounted cash flows | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Net derivative asset (liability) $ (935,000,000) $ (935,000,000)      
Long-term debt, other borrowed funds, and deposits | Discounted cash flows | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Credit correlation 35.00%        
Long-term debt, other borrowed funds, and deposits | Discounted cash flows | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Credit correlation 90.00%        
Long-term debt, other borrowed funds, and deposits | Discounted cash flows | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Liability fair value $ 495,000,000 495,000,000      
Long-term debt, other borrowed funds, and deposits | Option pricing | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Interest rate correlation (52.00%)        
Interest rate spread volatility 3.00%        
Foreign exchange correlation 0.00%        
Equity correlation (50.00%)        
Long-term debt, other borrowed funds, and deposits | Option pricing | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Interest rate correlation 99.00%        
Interest rate spread volatility 38.00%        
Foreign exchange correlation 60.00%        
Equity correlation 80.00%        
Long-term debt, other borrowed funds, and deposits | Option pricing | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Liability fair value $ 14,707,000,000 14,707,000,000      
Beneficial interests issued by consolidated VIEs | Discounted cash flows | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Yield 4.00%        
Prepayment speed 1.00%        
Conditional default rate 2.00%        
Loss severity 30.00%        
Beneficial interests issued by consolidated VIEs | Discounted cash flows | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Yield 28.00%        
Prepayment speed 12.00%        
Conditional default rate 15.00%        
Loss severity 100.00%        
Beneficial interests issued by consolidated VIEs | Discounted cash flows | Weighted Average          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Yield 4.00%        
Prepayment speed 6.00%        
Conditional default rate 2.00%        
Loss severity 31.00%        
Credit derivatives with underlying mortgage risk | Recurring | Level 3          
Level 3 Analysis - Supplemental Data:          
Trading liabilities $ 310,000,000 310,000,000      
Credit derivatives with underlying asset-backed securities risk | Recurring | Level 3          
Level 3 Analysis - Supplemental Data:          
Trading liabilities $ 401,000,000 401,000,000      
Residential mortgage-backed securities and loans | Discounted cash flows | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Yield 3.00%        
Prepayment speed 0.00%        
Conditional default rate 0.00%        
Loss severity 0.00%        
Residential mortgage-backed securities and loans | Discounted cash flows | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Yield 26.00%        
Prepayment speed 20.00%        
Conditional default rate 33.00%        
Loss severity 100.00%        
Residential mortgage-backed securities and loans | Discounted cash flows | Weighted Average          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Yield 6.00%        
Prepayment speed 6.00%        
Conditional default rate 2.00%        
Loss severity 28.00%        
Residential mortgage-backed securities and loans | Discounted cash flows | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Asset fair value $ 5,212,000,000 5,212,000,000      
Commercial mortgage-backed securities and loans | Discounted cash flows | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Yield 1.00%        
Conditional default rate 0.00%        
Loss severity 40.00%        
Commercial mortgage-backed securities and loans | Discounted cash flows | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Yield 25.00%        
Conditional default rate 91.00%        
Commercial mortgage-backed securities and loans | Discounted cash flows | Weighted Average          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Yield 6.00%        
Conditional default rate 29.00%        
Loss severity 40.00%        
Commercial mortgage-backed securities and loans | Discounted cash flows | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Asset fair value $ 2,844,000,000 $ 2,844,000,000      
Corporate debt securities, obligations of U.S. states and municipalities, and other | Discounted cash flows | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Yield 1.00%        
Credit spread   0.60%      
Corporate debt securities, obligations of U.S. states and municipalities, and other | Discounted cash flows | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Yield 20.00%        
Credit spread   2.25%      
Corporate debt securities, obligations of U.S. states and municipalities, and other | Discounted cash flows | Weighted Average          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Yield 5.00%        
Credit spread   1.46%      
Corporate debt securities, obligations of U.S. states and municipalities, and other | Discounted cash flows | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Asset fair value $ 3,277,000,000 $ 3,277,000,000      
Corporate debt securities, obligations of U.S. states and municipalities, and other | Market comparables | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Price 0        
Corporate debt securities, obligations of U.S. states and municipalities, and other | Market comparables | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Price 168        
Corporate debt securities, obligations of U.S. states and municipalities, and other | Market comparables | Weighted Average          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Price 89        
Corporate debt securities, obligations of U.S. states and municipalities, and other | Market comparables | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Asset fair value $ 2,740,000,000 $ 2,740,000,000      
Collateralized loan obligations | Discounted cash flows | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Prepayment speed 20.00%        
Conditional default rate 2.00%        
Loss severity 40.00%        
Credit spread   3.54%      
Collateralized loan obligations | Discounted cash flows | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Prepayment speed 20.00%        
Conditional default rate 2.00%        
Loss severity 40.00%        
Credit spread   5.50%      
Collateralized loan obligations | Discounted cash flows | Weighted Average          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Prepayment speed 20.00%        
Conditional default rate 2.00%        
Loss severity 40.00%        
Credit spread   3.96%      
Collateralized loan obligations | Discounted cash flows | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Asset fair value $ 759,000,000 $ 759,000,000      
Collateralized loan obligations | Market comparables | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Price 0        
Collateralized loan obligations | Market comparables | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Price 99        
Collateralized loan obligations | Market comparables | Weighted Average          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Price 69        
Collateralized loan obligations | Market comparables | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Asset fair value 180,000,000 180,000,000      
Mortgage servicing rights | Discounted cash flows | Recurring | Level 3          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Asset fair value $ 6,608,000,000 6,608,000,000      
Private equity investments | Market comparables | Private equity investments | Minimum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
EBITDA multiple 7.2        
Liquidity adjustment 0.00%        
Private equity investments | Market comparables | Private equity investments | Maximum          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
EBITDA multiple 10.4        
Liquidity adjustment 13.00%        
Private equity investments | Market comparables | Private equity investments | Weighted Average          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
EBITDA multiple 8.5        
Liquidity adjustment 8.00%        
Private equity investments | Market comparables | Recurring | Level 3 | Private equity investments          
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]          
Asset fair value $ 1,657,000,000 1,657,000,000      
Credit derivatives with underlying mortgage risk | Recurring | Level 3          
Level 3 Analysis - Supplemental Data:          
Trading securities 349,000,000 349,000,000      
Credit derivatives with underlying asset-backed securities risk | Recurring | Level 3          
Level 3 Analysis - Supplemental Data:          
Trading securities $ 434,000,000 $ 434,000,000