Fair Value (Tables)

3 Months Ended

Mar. 31, 2020

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following tables present information with respect to our financial assets and liabilities carried at fair value in our consolidated statement of condition on a recurring basis as of the dates indicated:



	Fair Value Measurements on a Recurring Basis
	As of March 31, 2020
(In millions)	Quoted Market Prices in Active Markets (Level 1)		Pricing Methods with Significant Observable Market Inputs (Level 2)		Pricing Methods with Significant Unobservable Market Inputs (Level 3)		Impact of Netting⁽¹⁾			Total Net Carrying Value in Consolidated Statement of Condition
Assets:
Trading account assets:
U.S. government securities	$	35	$	—	$	—				$	35
Non-U.S. government securities	95		229		—					324
Other	16		497		—					513
Total trading account assets	146		726		—					872
Available-for-sale investment securities:
U.S. Treasury and federal agencies:
Direct obligations	5,150		—		—					5,150
Mortgage-backed securities	—		18,364		—					18,364
Total U.S. Treasury and federal agencies	5,150		18,364		—					23,514
Asset-backed securities:
Student loans	—		454		—					454
Credit cards	—		85		—					85
Collateralized loan obligations	—		—		1,841					1,841
Total asset-backed securities	—		539		1,841					2,380
Non-U.S. debt securities:
Mortgage-backed securities	—		1,692		—					1,692
Asset-backed securities	—		1,035		820					1,855
Government securities	—		13,055		—					13,055
Other⁽²⁾	—		8,730		44					8,774
Total non-U.S. debt securities	—		24,512		864					25,376
State and political subdivisions	—		1,765		—					1,765
Collateralized mortgage obligations	—		96		—					96
Other U.S. debt securities	—		2,712		—					2,712
Total available-for-sale investment securities	5,150		47,988		2,705					55,843
Other assets:
Derivative instruments:
Foreign exchange contracts	—		30,370		17		$	(20,711	)	9,676
Interest rate contracts	—		54		—		(17		)	37
Total derivative instruments	—		30,424		17		(20,728		)	9,713
Other	—		313		—		—			313
Total assets carried at fair value	$	5,296	$	79,451	$	2,722	$	(20,728	)	$	66,741
Liabilities:
Accrued expenses and other liabilities:
Trading account liabilities:
Other	$	3	$	—	$	—	$	—		$	3
Derivative instruments:
Foreign exchange contracts	$	3	$	31,532	$	16	$	(24,001	)	$	7,550
Interest rate contracts	10		55		—		(17		)	48
Other derivative contracts	—		188		—		—			188
Total derivative instruments	13		31,775		16		(24,018		)	7,786
Total liabilities carried at fair value	$	16	$	31,775	$	16	$	(24,018	)	$	7,789

⁽¹⁾Represents counterparty netting against level 2 financial assets and liabilities where a legally enforceable master netting agreement exists between us and the counterparty. Netting also reflects asset and liability reductions of $2.50 billion and $5.79 billion, respectively, for cash collateral received from and provided to derivative counterparties.

⁽²⁾As of March 31, 2020, the fair value of other non-U.S. debt securities included $6.00 billion of supranational and non-U.S. agency bonds, $1.71 billion of corporate bonds and $0.47 billion of covered bonds.



	Fair Value Measurements on a Recurring Basis
	As of December 31, 2019
(In millions)	Quoted Market Prices in Active Markets (Level 1)		Pricing Methods with Significant Observable Market Inputs (Level 2)		Pricing Methods with Significant Unobservable Market Inputs (Level 3)		Impact of Netting⁽¹⁾			Total Net Carrying Value in Consolidated Statement of Condition
Assets:
Trading account assets:
U.S. government securities	$	34	$	—	$	—				$	34
Non-U.S. government securities	146		173		—					319
Other	21		540		—					561
Total trading account assets	201		713		—					914
Available-for-sale investment securities:
U.S. Treasury and federal agencies:
Direct obligations	3,487		—		—					3,487
Mortgage-backed securities	—		17,838		—					17,838
Total U.S. Treasury and federal agencies	3,487		17,838		—					21,325
Asset-backed securities:
Student loans	—		531		—					531
Credit cards	—		89		—					89
Collateralized loan obligations	—		—		1,820					1,820
Total asset-backed securities	—		620		1,820					2,440
Non-U.S. debt securities:
Mortgage-backed securities	—		1,980		—					1,980
Asset-backed securities	—		1,292		887					2,179
Government securities	—		12,373		—					12,373
Other⁽²⁾	—		8,613		45					8,658
Total non-U.S. debt securities	—		24,258		932					25,190
State and political subdivisions	—		1,783		—					1,783
Collateralized mortgage obligations	—		104		—					104
Other U.S. debt securities	—		2,973		—					2,973
Total available-for-sale investment securities	3,487		47,576		2,752					53,815
Other assets:
Derivative instruments:
Foreign exchange contracts	—		15,136		4		$	(10,391	)	4,749
Interest rate contracts	—		8		—		(4		)	4
Total derivative instruments	—		15,144		4		(10,395		)	4,753
Other	—		504		—		—			504
Total assets carried at fair value	$	3,688	$	63,937	$	2,756	$	(10,395	)	$	59,986
Liabilities:
Accrued expenses and other liabilities:
Trading account liabilities:
Other	$	5	$	—	$	—	$	—		$	5
Derivative instruments:
Foreign exchange contracts	$	3	$	15,144	$	3	$	(8,918	)	$	6,232
Interest rate contracts	6		43		—		(4		)	45
Other derivative contracts	—		182		—		—			182
Total derivative instruments	9		15,369		3		(8,922		)	6,459
Total liabilities carried at fair value	$	14	$	15,369	$	3	$	(8,922	)	$	6,464

⁽¹⁾Represents counterparty netting against level 2 financial assets and liabilities where a legally enforceable master netting agreement exists between us and the counterparty. Netting also reflects asset and liability reductions of $2.31 billion and $0.84 billion, respectively, for cash collateral received from and provided to derivative counterparties.

⁽²⁾As of December 31, 2019, the fair value of other non-U.S. debt securities included $5.50 billion of supranational and non-U.S. agency bonds, $1.78 billion of corporate bonds and $0.68 billion of covered bonds.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables present activity related to our level 3 financial assets during the first quarters of 2020 and 2019, respectively. Transfers into and out of level 3 are reported as of the beginning of the period presented. During the first quarters of 2020 and 2019, there were no transfers into level 3. During the first quarter of 2020, there were no transfers out of level 3. During the first quarter of 2019, transfers out of level 3 were mainly related to certain non-U.S. debt securities, for which fair value was measured using prices for which observable market information, other than quoted prices included in Level 1, became available.



	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2020
	Fair Value as of December 31, 2019		Total Realized and Unrealized Gains (Losses)					Purchases		Sales			Settlements			Transfers into Level 3		Transfers out of Level 3		Fair Value as of March 31, 2020⁽¹⁾		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of March 31, 2020
(In millions)			Recorded in Revenue⁽¹⁾		Recorded in Other Comprehensive Income⁽¹⁾
Assets:
Available-for-sale Investment securities:
Asset-backed securities:
Collateralized loan obligations	$	1,820	$	—	$	(83	)	$	178	$	(42	)	$	(32	)	$	—	$	—	$	1,841
Total asset-backed securities	1,820		—		(83		)	178		(42		)	(32		)	—		—		1,841
Non-U.S. debt securities:
Asset-backed securities	887		—		(65		)	—		—			(2		)	—		—		820
Other	45		—		(1		)	—		—			—			—		—		44
Total non-U.S. debt securities	932		—		(66		)	—		—			(2		)	—		—		864
Total available-for-sale investment securities	2,752		—		(149		)	178		(42		)	(34		)	—		—		2,705
Other assets:
Derivative instruments:
Foreign exchange contracts	4		11		—			3		—			(1		)	—		—		17		$	12
Total derivative instruments	4		11		—			3		—			(1		)	—		—		17		12
Total assets carried at fair value	$	2,756	$	11	$	(149	)	$	181	$	(42	)	$	(35	)	$	—	$	—	$	2,722	$	12

⁽¹⁾ Total realized and unrealized gains (losses) on AFS investment securities are included within gains (losses) related to investment securities, net. Total realized and unrealized gains (losses) on derivative instruments are included within foreign exchange trading services.



	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2019
	Fair Value as of December 31, 2018		Total Realized and Unrealized Gains (Losses)						Purchases		Sales		Settlements			Transfers into Level 3		Transfers out of Level 3			Fair Value as of March 31, 2019⁽¹⁾		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of March 31, 2019
(In millions)			Recorded in Revenue⁽¹⁾			Recorded in Other Comprehensive Income⁽¹⁾
Assets:
Available-for-sale Investment securities:
Asset-backed securities:
Collateralized loan obligations	$	593	$	1		$	(2	)	$	132	$	—	$	(56	)	$	—	$	—		$	668
Total asset-backed securities	593		1			(2		)	132		—		(56		)	—		—			668
Non-U.S. debt securities:
Asset-backed securities	631		—			(2		)	9		—		(11		)	—		—			627
Other	58		—			—			—		—		(1		)	—		(12		)	45
Total non-U.S. debt securities	689		—			(2		)	9		—		(12		)	—		(12		)	672
Collateralized mortgage obligations	2		—			—			—		—		(2		)	—		—			—
Total Available-for-sale investment securities	1,284		1			(4		)	141		—		(70		)	—		(12		)	1,340
Other assets:
Derivative instruments:
Foreign exchange contracts	4		(3		)	—			3		—		—			—		—			4		$	(1	)
Total derivative instruments	4		(3		)	—			3		—		—			—		—			4		(1		)
Total assets carried at fair value	$	1,288	$	(2	)	$	(4	)	$	144	$	—	$	(70	)	$	—	$	(12	)	$	1,344	$	(1	)

Fair Value Inputs, Quantitative Information

The following table presents quantitative information, as of the dates indicated, about the valuation techniques and significant unobservable inputs used in the valuation of our level 3 financial assets and liabilities measured at fair value on a recurring basis for which we use pricing models. The significant unobservable inputs for our level 3 financial assets and liabilities whose fair value is measured using pricing information from non-binding broker/dealer quotes are not included in the table, as the specific inputs applied are not provided by the broker/dealer.



	Quantitative Information about Level 3 Fair Value Measurements
	Fair Value						Range	Weighted-Average
(Dollars in millions)	As of March 31, 2020		As of December 31, 2019		Valuation Technique	Significant Unobservable Input⁽¹⁾	As of March 31, 2020	As of March 31, 2020		As of December 31, 2019
Significant unobservable inputs readily available to State Street:
Assets:
Derivative Instruments, foreign exchange contracts	$	17	$	4	Option model	Volatility	9.4% - 33.7%	19.3	%	8.2	%
Total	$	17	$	4
Liabilities:
Derivative instruments, foreign exchange contracts	$	16	$	3	Option model	Volatility	9.4% - 33.7%	19.2	%	7.0	%
Total	$	16	$	3

⁽¹⁾Significant changes in these unobservable inputs may result in significant changes in fair value measurement of the derivative instrument.

Carrying Value and Estimated Fair Value of Financial Instruments by Fair Value Hierarchy

The following tables present the reported amounts and estimated fair values of the financial assets and liabilities not carried at fair value, as they would be categorized within the fair value hierarchy, as of the dates indicated:



					Fair Value Hierarchy
(In millions)	Reported Amount		Estimated Fair Value		Quoted Market Prices in Active Markets (Level 1)		Pricing Methods with Significant Observable Market Inputs (Level 2)		Pricing Methods with Significant Unobservable Market Inputs (Level 3)
March 31, 2020
Financial Assets:
Cash and due from banks	$	4,932	$	4,932	$	4,932	$	—	$	—
Interest-bearing deposits with banks	147,735		147,735		—		147,735		—
Securities purchased under resale agreements	1,037		1,037		—		1,037		—
HTM securities purchased under the MMLF program	26,808		26,808		—		26,808		—
Investment securities held-to-maturity	41,150		42,201		9,408		32,562		231
Net loans⁽¹⁾	32,282		31,962		—		30,013		1,949
Other⁽²⁾	4,500		4,500		—		4,500		—
Financial Liabilities:
Deposits:
Non-interest-bearing	$	69,404	$	69,404	$	—	$	69,404	$	—
Interest-bearing - U.S.	110,106		110,106		—		110,106		—
Interest-bearing - non-U.S.	77,594		77,594		—		77,594		—
Securities sold under repurchase agreements	5,373		5,373		—		5,373		—
Short-term borrowings under the MMLF program	25,665		25,665		—		25,665		—
Other short-term borrowings	4,835		4,835		—		4,835		—
Long-term debt	15,538		14,946		—		14,805		141
Other⁽²⁾	4,500		4,500		—		4,500		—

⁽¹⁾Includes $2 million of loans classified as held-for-sale that were measured at fair value on a non-recurring basis as of March 31, 2020.

⁽²⁾Represents a portion of underlying client assets related to our enhanced custody business, which clients have allowed us to transfer and re-pledge.



					Fair Value Hierarchy
(In millions)	Reported Amount		Estimated Fair Value		Quoted Market Prices in Active Markets (Level 1)		Pricing Methods with Significant Observable Market Inputs (Level 2)		Pricing Methods with Significant Unobservable Market Inputs (Level 3)
December 31, 2019
Financial Assets:
Cash and due from banks	$	3,302	$	3,302	$	3,302	$	—	$	—
Interest-bearing deposits with banks	68,965		68,965		—		68,965		—
Securities purchased under resale agreements	1,487		1,487		—		1,487		—
Investment securities held-to-maturity	41,782		42,157		10,299		31,682		176
Net loans⁽¹⁾	26,235		26,292		—		24,432		1,860
Other⁽²⁾	7,500		7,500		—		7,500		—
Financial Liabilities:
Deposits:
Non-interest-bearing	$	34,031	$	34,031	$	—	$	34,031	$	—
Interest-bearing - U.S.	77,504		77,504		—		77,504		—
Interest-bearing - non-U.S.	70,337		70,337		—		70,337		—
Securities sold under repurchase agreements	1,102		1,102		—		1,102		—
Other short-term borrowings	839		839		—		839		—
Long-term debt	12,509		12,770		—		12,621		149
Other⁽²⁾	7,500		7,500		—		7,500		—

⁽¹⁾ Includes $9 million of loans classified as held-for-sale that were measured at fair value on a non-recurring basis as of December 31, 2019.

⁽²⁾Represents a portion of underlying client assets related to our enhanced custody business, which clients have allowed us to transfer and re-pledge.