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Fair Value (Tables)

9 Months Ended

Sep. 30, 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 September 30, 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	$	40	$	—	$	—			$	40
Non-U.S. government securities	—		232		—				232
Other	17		551		—				568

Total trading account assets	57		783		—				840
Available-for-sale investment securities:
U.S. Treasury and federal agencies:
Direct obligations	7,293		—		—				7,293
Mortgage-backed securities	—		18,211		—				18,211
Total U.S. Treasury and federal agencies	7,293		18,211		—				25,504
Asset-backed securities:
Student loans	—		357		—				357
Credit cards	—		90		—				90


Collateralized loan obligations	—		—		2,538				2,538
Total asset-backed securities	—		447		2,538				2,985
Non-U.S. debt securities:
Mortgage-backed securities	—		1,863		—				1,863
Asset-backed securities	—		1,113		918				2,031
Government securities	—		12,849		—				12,849
Other⁽²⁾	—		11,263		47				11,310
Total non-U.S. debt securities	—		27,088		965				28,053
State and political subdivisions	—		1,694		—				1,694
Collateralized mortgage obligations	—		84		—				84
Other U.S. debt securities	—		3,460		—				3,460





Total available-for-sale investment securities	7,293		50,984		3,503				61,780
Other assets:
Derivative instruments:
Foreign exchange contracts	—		16,899		6		$	(11,190)	5,715
Interest rate contracts	—		—		—		—		—

Total derivative instruments	—		16,899		6		(11,190)		5,715


Other	—		596		—		—		596
Total assets carried at fair value	$	7,350	$	69,262	$	3,509	$	(11,190)	$	68,931
Liabilities:
Accrued expenses and other liabilities:
Trading account liabilities:


Other	$	4	$	—	$	—	$	—	$	4
Derivative instruments:
Foreign exchange contracts	$	7	$	15,462	$	3	$	(11,403)	$	4,069
Interest rate contracts	6		47		—		—		53
Other derivative contracts	—		176		—		—		176
Total derivative instruments	13		15,685		3		(11,403)		4,298

Total liabilities carried at fair value	$	17	$	15,685	$	3	$	(11,403)	$	4,302

⁽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 $1.38 billion and $1.60 billion, respectively, for cash collateral received from and provided to derivative counterparties.

⁽²⁾As of September 30, 2020, the fair value of other non-U.S. debt securities included $7.25 billion of supranational and non-U.S. agency bonds, $2.01 billion of corporate bonds and $0.45 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 three and nine months ended September 30, 2020 and 2019, respectively. Transfers into and out of level 3 are reported as of the beginning of the period presented. During the three and nine months ended September 30, 2020 and 2019, transfers into level 3 were primarily related to collateralized loan obligations. During the three and nine months ended September 30, 2020, there were no transfers out of level 3. During the three and nine months ended September 30, 2019, transfers out of level 3 were mainly related to certain MBS and 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 September 30, 2020
	Fair Value as of June 30, 2020		Total Realized and Unrealized Gains (Losses)								Purchases			Sales		Settlements		Transfers into Level 3		Transfers out of Level 3		Fair Value as of September 30, 2020⁽¹⁾		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30, 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	$	1,869	$	—		$	14		$	663		$	(34)	$	(24)	$	50	$	—	$	2,538
Total asset-backed securities	1,869		—			14			663			(34)		(24)		50		—		2,538
Non-U.S. debt securities:

Asset-backed securities	876		—			45			—			—		(3)		—		—		918
Other	45		—			2			—			—		—		—		—		47
Total non-U.S. debt securities	921		—			47			—			—		(3)		—		—		965



Total available-for-sale investment securities	2,790		—			61			663			(34)		(27)		50		—		3,503
Other assets:
Derivative instruments:
Foreign exchange contracts	2		(2)			—			9			—		(3)		—		—		6		$	(4)


Total derivative instruments	2		(2)			—			9			—		(3)		—		—		6		(4)
Total assets carried at fair value	$	2,792	$	(2)		$	61		$	672		$	(34)	$	(30)	$	50	$	—	$	3,509	$	(4)

⁽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
	Nine Months Ended September 30, 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 September 30, 2020⁽¹⁾		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30, 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	$	—		$	(10)		$	850		$	(95)	$	(77)	$	50	$	—	$	2,538
Total asset-backed securities	1,820		—			(10)			850			(95)		(77)		50		—		2,538
Non-U.S. debt securities:

Asset-backed securities	887		—			35			1			—		(5)		—		—		918
Other	45		—			2			—			—		—		—		—		47
Total non-U.S. debt securities	932		—			37			1			—		(5)		—		—		965



Total available-for-sale investment securities	2,752		—			27			851			(95)		(82)		50		—		3,503
Other assets:
Derivative instruments:
Foreign exchange contracts	4		(7)			—			10			—		(1)		—		—		6		$	(4)


Total derivative instruments	4		(7)			—			10			—		(1)		—		—		6		(4)
Total assets carried at fair value	$	2,756	$	(7)		$	27		$	861		$	(95)	$	(83)	$	50	$	—	$	3,509	$	(4)


	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended September 30, 2019
	Fair Value as of June 30, 2019		Total Realized and Unrealized Gains (Losses)								Purchases			Sales		Settlements		Transfers into Level 3		Transfers out of Level 3		Fair Value as of September 30, 2019⁽¹⁾		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30, 2019
(In millions)					Recorded in Revenue⁽¹⁾			Recorded in Other Comprehensive Income⁽¹⁾
Assets:
Available-for-sale Investment securities:
U.S. Treasury and federal agencies:
Mortgage-backed securities	$	123	$	—		$	—		$	—		$	—	$	—	$	—	$	(123)	$	—
Asset-backed securities:
Collateralized loan obligations	1,222		—			—			33			—		(97)		230		—		1,388
Total asset-backed securities	1,222		—			—			33			—		(97)		230		—		1,388
Non-U.S. debt securities:

Asset-backed securities	721		—			(27)			66			—		—		—		(39)		721
Other	46		—			(2)			—			—		—		—		—		44
Total non-U.S. debt securities	767		—			(29)			66			—		—		—		(39)		765



Total Available-for-sale investment securities	2,112		—			(29)			99			—		(97)		230		(162)		2,153
Other assets:
Derivative instruments:
Foreign exchange contracts	11		(1)			—			5			—		(1)		—		—		14		$	—


Total derivative instruments	11		(1)			—			5			—		(1)		—		—		14		—
Total assets carried at fair value	$	2,123	$	(1)		$	(29)		$	104		$	—	$	(98)	$	230	$	(162)	$	2,167	$	—


	Fair Value Measurements Using Significant Unobservable Inputs
	Nine Months Ended September 30, 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 September 30, 2019⁽¹⁾		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30, 2019
(In millions)					Recorded in Revenue⁽¹⁾			Recorded in Other Comprehensive Income⁽¹⁾
Assets:
Available-for-sale Investment securities:
U.S. Treasury and federal agencies:
Mortgage-backed securities	$	—	$	—		$	—		$	123		$	—	$	—	$	—	$	(123)	$	—
Asset-backed securities:
Collateralized loan obligations	593		1			—			620			—		(272)		446		—		1,388

Total asset-backed securities	593		1			—			620			—		(272)		446		—		1,388
Non-U.S. debt securities:

Asset-backed securities	631		—			(28)			157			—		—		—		(39)		721

Other	58		—			(2)			—			—		—		—		(12)		44
Total non-U.S. debt securities	689		—			(30)			157			—		—		—		(51)		765

Collateralized mortgage obligations	2		—			—			—			—		(2)		—		—		—

Total Available-for-sale investment securities	1,284		1			(30)			900			—		(274)		446		(174)		2,153
Other assets:
Derivative instruments:
Foreign exchange contracts	4		(3)			—			14			—		(1)		—		—		14		$	—
Total derivative instruments	4		(3)			—			14			—		(1)		—		—		14		—
Total assets carried at fair value	$	1,288	$	(2)		$	(30)		$	914		$	—	$	(275)	$	446	$	(174)	$	2,167	$	—

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 September 30, 2020		As of December 31, 2019		Valuation Technique	Significant Unobservable Input⁽¹⁾	As of September 30, 2020	As of September 30, 2020		As of December 31, 2019
Significant unobservable inputs readily available to State Street:
Assets:
Derivative Instruments, foreign exchange contracts	$	6	$	4	Option model	Volatility	4.5% - 13.5%	9.2	%	8.2	%
Total	$	6	$	4
Liabilities:
Derivative instruments, foreign exchange contracts	$	3	$	3	Option model	Volatility	6.6% - 11.5%	9.7	%	7.0	%
Total	$	3	$	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)
September 30, 2020
Financial Assets:
Cash and due from banks	$	4,848	$	4,848	$	4,848	$	—	$	—
Interest-bearing deposits with banks	75,967		75,967		—		75,967		—
Securities purchased under resale agreements	4,499		4,499		—		4,499		—
HTM securities purchased under the MMLF program	4,824		4,841		—		4,841		—
Investment securities held-to-maturity	45,394		46,510		6,751		39,352		407
Net loans⁽¹⁾	26,901		26,891		—		24,846		2,045
Other⁽²⁾	3,250		3,250		—		3,250		—
Financial Liabilities:
Deposits:
Non-interest-bearing	$	41,183	$	41,183	$	—	$	41,183	$	—
Interest-bearing - U.S.	85,434		85,434		—		85,434		—
Interest-bearing - non-U.S.	70,896		70,896		—		70,896		—
Securities sold under repurchase agreements	2,430		2,430		—		2,430		—
Short-term borrowings under the MMLF program	4,819		4,819		—		4,819		—
Other short-term borrowings	5,838		5,838		—		5,838		—

Long-term debt	13,853		14,170		—		14,047		123
Other⁽²⁾	3,250		3,250		—		3,250		—

⁽¹⁾Includes $8 million of loans classified as held-for-sale that were measured at fair value in level 2 as of September 30, 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 in level 2 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.