XML 174 R158.htm IDEA: XBRL DOCUMENT
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Note 8 Unobservable inputs (Details) - vegas | 12 Months Ended
--- | ---
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019
Bottom of range [member] | loans and advances [Member] | Present value method [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Repo funding curve bp |  |  | (0.06%)
Bottom of range [member] | Debt securities [Member] | Present value method [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Credit spread | 0.0272% | 0.0432% |
Recovery rate | 0.00% | 0.00% |
Debt securities unobservable inputs | 0.10% | 0.10% |
Bottom of range [member] | Debt securities [Member] | Comparable pricing [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Credit spread |  |  | 0.18%
Recovery rate |  |  | 0.00%
Comparable prices inputs |  |  | 0.01%
Bottom of range [member] | Security finance [Member] | Present value method [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Repo funding curve | (2.71%) | (1.18%) |
Bottom of range [member] | Credit derivatives [Member] | Gaussian copula [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Correlation default | 34.56% | 30.40% |
Bottom of range [member] | Equity derivatives [Member] | Option models on equities baskets of equity funds [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Correlations | (88.00%) | (77.00%) |
Volatility | 5.57 | 6.52 |
Bottom of range [member] | FX derivatives [Member] | Option models on FX underlyings [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Volatility | 3.96 | 4.11 |
Bottom of range [member] | IR derivatives [Member] | Option models on IR underlyings [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Beta (significant unobservable inputs) | (0.25%) | (0.25%) | (0.25%)
Correlation rate credit | (100.00%) | (100.00%) | (100.00%)
Credit default volatility | 0 | 0 |
Bottom of range [member] | Credit option [Member] | Gaussian copula [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Correlation default |  |  | 19.37%
Bottom of range [member] | Equity OTC option [Member] | Heston valuation technique [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Forward volatility skew |  |  | 35.12
Bottom of range [member] | Equity OTC option [Member] | Local volatility valuation technique [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Volatility |  |  | 2.49
Bottom of range [member] | FX OTC options [Member] | Local volatility valuation technique [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Volatility |  |  | 3.70
Bottom of range [member] | Interest rate options [Member] | Libor market model [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Credit default volatility |  |  | 0
Arithmetic Average [Member] | loans and advances [Member] | Present value method [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Repo funding curve bp |  |  | 0.16%
Arithmetic Average [Member] | Debt securities [Member] | Present value method [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Credit spread | 1.2541% | 0.4701% |
Recovery rate | 37.34% | 37.06% |
Debt securities unobservable inputs | 96.63% | 99.92% |
Arithmetic Average [Member] | Debt securities [Member] | Comparable pricing [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Credit spread |  |  | 0.83%
Recovery rate |  |  | 28.38%
Comparable prices inputs |  |  | 98.31%
Arithmetic Average [Member] | Security finance [Member] | Present value method [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Repo funding curve | 1.16% | (0.25%) |
Arithmetic Average [Member] | Credit derivatives [Member] | Gaussian copula [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Correlation default | 43.47% | 44.87% |
Arithmetic Average [Member] | Credit derivatives [Member] | Black 76 [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Price volatility | 0 | 0 |
Arithmetic Average [Member] | Equity derivatives [Member] | Option models on equities baskets of equity funds [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Correlations | 60.00% | 51.00% |
Volatility | 26.30 | 29.90 |
Arithmetic Average [Member] | FX derivatives [Member] | Option models on FX underlyings [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Volatility | 9.71 | 10.00 |
Arithmetic Average [Member] | IR derivatives [Member] | Option models on IR underlyings [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Beta (significant unobservable inputs) | (2.00%) | (2.00%) | (2.00%)
Credit default volatility | 0 | 0 |
Arithmetic Average [Member] | Credit option [Member] | Gaussian copula [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Correlation default |  |  | 44.33%
Arithmetic Average [Member] | Corporate bond option [Member] | Black 76 [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Price volatility |  |  | 0
Arithmetic Average [Member] | Equity OTC option [Member] | Heston valuation technique [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Forward volatility skew |  |  | 35.12
Arithmetic Average [Member] | Equity OTC option [Member] | Local volatility valuation technique [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Volatility |  |  | 23.21
Arithmetic Average [Member] | FX OTC options [Member] | Local volatility valuation technique [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Volatility |  |  | 6.30
Arithmetic Average [Member] | Interest rate options [Member] | Libor market model [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Credit default volatility |  |  | 0
Top of range [member] | loans and advances [Member] | Present value method [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Repo funding curve bp |  |  | 1.00%
Top of range [member] | Debt securities [Member] | Present value method [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Credit spread | 23.7439% | 5.6422% |
Recovery rate | 40.00% | 40.00% |
Debt securities unobservable inputs | 144.11% | 143.87% |
Top of range [member] | Debt securities [Member] | Comparable pricing [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Credit spread |  |  | 5.04%
Recovery rate |  |  | 40.00%
Comparable prices inputs |  |  | 135.94%
Top of range [member] | Security finance [Member] | Present value method [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Repo funding curve | 4.99% | 0.74% |
Top of range [member] | Credit derivatives [Member] | Gaussian copula [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Correlation default | 52.78% | 60.95% |
Top of range [member] | Equity derivatives [Member] | Option models on equities baskets of equity funds [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Correlations | 99.00% | 98.00% |
Volatility | 62.00 | 141.77 |
Top of range [member] | FX derivatives [Member] | Option models on FX underlyings [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Volatility | 16.34 | 16.14 |
Top of range [member] | IR derivatives [Member] | Option models on IR underlyings [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Beta (significant unobservable inputs) | (18.00%) | (18.00%) | (18.00%)
Correlation rate credit | 100.00% | 100.00% | 100.00%
Credit default volatility | 0 | 0 |
Top of range [member] | Credit option [Member] | Gaussian copula [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Correlation default |  |  | 61.08%
Top of range [member] | Equity OTC option [Member] | Heston valuation technique [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Forward volatility skew |  |  | 35.12
Top of range [member] | Equity OTC option [Member] | Local volatility valuation technique [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Volatility |  |  | 60.90
Top of range [member] | FX OTC options [Member] | Local volatility valuation technique [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Volatility |  |  | 10.05
Top of range [member] | Interest rate options [Member] | Libor market model [Member] |  |  |
Significant unobservable inputs [Line Items] |  |  |
Credit default volatility |  |  | 0

X
- Definition Beta (significant unobservable inputs) + References No definition available. + Details
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Period Type: | duration

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- Definition Comparable prices inputs + References No definition available. + Details
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Balance Type: | na
Period Type: | duration

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- Definition Correlation default + References No definition available. + Details
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Data Type: | num:percentItemType
Balance Type: | na
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- Definition Correlation rate credit + References No definition available. + Details
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Balance Type: | na
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- Definition Correlations + References No definition available. + Details
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- Definition Credit default volatility + References No definition available. + Details
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- Definition Credit spread + References No definition available. + Details
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- Definition Forward volatility skew + References No definition available. + Details
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- Definition Price volatility + References No definition available. + Details
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- Definition Recovery rate + References No definition available. + Details
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Data Type: | num:percentItemType
Balance Type: | na
Period Type: | duration

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- Definition Repo funding curve + References No definition available. + Details
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Data Type: | num:percentItemType
Balance Type: | na
Period Type: | duration

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- Definition Repo funding curve bp + References No definition available. + Details
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Data Type: | num:percentItemType
Balance Type: | na
Period Type: | duration

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- Definition Significant unobservable inputs + References No definition available. + Details
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- Definition Volatility + References No definition available. + Details
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- Details
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