Fair Value (Tables)

6 Months Ended

Jun. 30, 2021

Fair Value Disclosures [Abstract]

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 June 30, 2021
(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	—		141		—				141
Other	—		540		—				540
Total trading account assets	40		681		—				721
Available-for-sale investment securities:
U.S. Treasury and federal agencies:
Direct obligations	12,904		—		—				12,904
Mortgage-backed securities	—		16,213		—				16,213
Total U.S. Treasury and federal agencies	12,904		16,213		—				29,117
Non-U.S. debt securities:
Mortgage-backed securities	—		2,002		—				2,002
Asset-backed securities	—		2,451		—				2,451
Foreign sovereign, supranational and non-U.S. agency	—		20,690		—				20,690
Other	—		3,432		—				3,432
Total non-U.S. debt securities	—		28,575		—				28,575
Asset-backed securities:
Student loans	—		258		—				258
Collateralized loan obligations	—		4,694		—				4,694
Non-agency CMBS and RMBS(2)	—		65		—				65
Other	—		92		—				92
Total asset-backed securities	—		5,109		—				5,109
State and political subdivisions	—		1,491		—				1,491
Other U.S. debt securities	—		3,205		—				3,205
Total available-for-sale investment securities	12,904		54,593		—				67,497
Other assets:
Derivative instruments:
Foreign exchange contracts	1		17,359		2		$	(9,514)	7,848
Interest rate contracts	1		—		—		(1)		—
Total derivative instruments	2		17,359		2		(9,515)		7,848
Other	19		694		—		—		713
Total assets carried at fair value	$	12,965	$	73,327	$	2	$	(9,515)	$	76,779
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	3	$	17,138	$	—	$	(12,126)	$	5,015
Interest rate contracts	—		31		—		(1)		30
Other derivative contracts	—		183		—		—		183
Total derivative instruments	3		17,352		—		(12,127)		5,228
Total liabilities carried at fair value	$	3	$	17,352	$	—	$	(12,127)	$	5,228

(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 $1.26 billion and $3.87 billion, respectively, for cash collateral received from and provided to derivative counterparties.

(2) Consists entirely of non-agency CMBS.

	Fair Value Measurements on a Recurring Basis
	As of December 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	$	40	$	—	$	—			$	40
Non-U.S. government securities	—		239		—				239
Other	17		519		—				536
Total trading account assets	57		758		—				815
Available-for-sale investment securities:
U.S. Treasury and federal agencies:
Direct obligations	6,575		—		—				6,575
Mortgage-backed securities	—		14,305		—				14,305
Total U.S. Treasury and federal agencies	6,575		14,305		—				20,880
Non-U.S. debt securities:
Mortgage-backed securities	—		1,996		—				1,996
Asset-backed securities	—		2,291		—				2,291
Foreign sovereign, supranational and non-U.S. agency	—		22,087		—				22,087
Other	—		3,355		—				3,355
Total non-U.S. debt securities	—		29,729		—				29,729
Asset-backed securities:
Student loans	—		314		—				314
Collateralized loan obligations	—		2,952		14				2,966
Non-agency CMBS and RMBS(2)	—		78		—				78
Other	—		90		—				90
Total asset-backed securities	—		3,434		14				3,448
State and political subdivisions	—		1,548		—				1,548
Other U.S. debt securities	—		3,443		—				3,443
Total available-for-sale investment securities	6,575		52,459		14				59,048
Other assets:
Derivative instruments:
Foreign exchange contracts	—		25,941		2		$	(20,140)	5,803
Interest rate contracts	1		—		—		—		1
Total derivative instruments	1		25,941		2		(20,140)		5,804
Other	—		525		—		—		525
Total assets carried at fair value	$	6,633	$	79,683	$	16	$	(20,140)	$	66,192
Liabilities:
Accrued expenses and other liabilities:
Trading account liabilities:
Other	$	4	$	—	$	—	$	—	$	4
Derivative instruments:
Foreign exchange contracts	1		25,925		1		(15,558)		10,369
Interest rate contracts	—		42		—		—		42
Other derivative contracts	—		157		—		—		157
Total derivative instruments	1		26,124		1		(15,558)		10,568
Total liabilities carried at fair value	$	5	$	26,124	$	1	$	(15,558)	$	10,572

(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 $5.87 billion and $1.29 billion, respectively, for cash collateral received from and provided to derivative counterparties.

(2) Consists entirely of non-agency CMBS.

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 six months ended June 30, 2021 and 2020, respectively. Transfers into and out of level 3 are reported as of the beginning of the period presented. During the three months ended June 30, 2021, there were no transfers into level 3. During the six months ended June 30, 2021, transfers into level 3 were primarily related to a U.S. corporate bond, for which fair value was measured using information obtained from third party sources, including non-binding broker/dealer quotes. During the three and six months ended June 30, 2021, transfers out of level 3 were primarily related to collateralized loan obligations and a U.S. corporate bond, for which fair value was measured using prices for which observable market information became available. During the three and six months ended June 30, 2020, there were no transfers into or out of level 3.

	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended June 30, 2021
	Fair Value as of March 31, 2021		Total Realized and Unrealized Gains (Losses)(1)				Purchases		Sales		Settlements		Transfers into Level 3		Transfers out of Level 3		Fair Value  as of June 30, 2021(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of June 30, 2021
(In millions)			Recorded in Revenue(1)		Recorded in Other Comprehensive Income(1)
Assets:
Available-for-sale Investment securities:
Asset-backed securities:
Collateralized loan obligations	$	106	$	—	$	—	$	—	$	—	$	—	$	—	$	(106)	$	—
Total asset-backed securities	106		—		—		—		—		—		—		(106)		—
Other U.S. debt securities	15		—		—		—		—		—		—		(15)		—
Total available-for-sale investment securities	121		—		—		—		—		—		—		(121)		—
Other assets:
Derivative instruments:
Foreign exchange contracts	6		(5)		—		2		—		(1)		—		—		2		$	—
Total derivative instruments	6		(5)		—		2		—		(1)		—		—		2		—
Total assets carried at fair value	$	127	$	(5)	$	—	$	2	$	—	$	(1)	$	—	$	(121)	$	2	$	—

(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
	Six Months Ended June 30, 2021
	Fair Value as of December 31, 2020		Total Realized and Unrealized Gains (Losses)(1)				Purchases		Sales		Settlements		Transfers into Level 3		Transfers out of Level 3		Fair Value  as of June 30, 2021(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of June 30, 2021
(In millions)			Recorded in Revenue(1)		Recorded in Other Comprehensive Income(1)
Assets:
Available-for-sale Investment securities:
Asset-backed securities:
Collateralized loan obligations	$	14	$	—	$	—	$	106	$	—	$	—	$	—	$	(120)	$	—
Total asset-backed securities	14		—		—		106		—		—		—		(120)		—
Other U.S. debt securities	—		—		—		—		—		—		15		(15)		—
Total available-for-sale investment securities	14		—		—		106		—		—		15		(135)		—
Other assets:
Derivative instruments:
Foreign exchange contracts	2		(3)		—		3		—		—		—		—		2		$	(1)
Total derivative instruments	2		(3)		—		3		—		—		—		—		2		(1)
Total assets carried at fair value	$	16	$	(3)	$	—	$	109	$	—	$	—	$	15	$	(135)	$	2	$	(1)

(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 June 30, 2020
	Fair Value as of March 31, 2020		Total Realized and Unrealized Gains (Losses)(1)				Purchases		Sales		Settlements		Transfers into Level 3		Transfers out of Level 3		Fair Value  as of June 30, 2020(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of June 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	$	1,841	$	—	$	59	$	10	$	(19)	$	(22)	$	—	$	—	$	1,869
Total asset-backed securities	1,841		—		59		10		(19)		(22)		—		—		1,869
Non-U.S. debt securities:
Asset-backed securities	820		—		55		1		—		—		—		—		876
Other	44		—		1		—		—		—		—		—		45
Total non-U.S. debt securities	864		—		56		1		—		—		—		—		921
Total available-for-sale investment securities	2,705		—		115		11		(19)		(22)		—		—		2,790
Other assets:
Derivative instruments:
Foreign exchange contracts	17		(17)		—		2		—		—		—		—		2		$	(9)
Total derivative instruments	17		(17)		—		2		—		—		—		—		2		(9)
Total assets carried at fair value	$	2,722	$	(17)	$	115	$	13	$	(19)	$	(22)	$	—	$	—	$	2,792	$	(9)

(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
	Six Months Ended June 30, 2020
	Fair Value as of December 31, 2019		Total Realized and Unrealized Gains (Losses)(1)				Purchases		Sales		Settlements		Transfers into Level 3		Transfers out of Level 3		Fair Value  as of June 30, 2020(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of June 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	$	—	$	(24)	$	188	$	(61)	$	(54)	$	—	$	—	$	1,869
Total asset-backed securities	1,820		—		(24)		188		(61)		(54)		—		—		1,869
Non-U.S. debt securities:
Asset-backed securities	887		—		(10)		1		—		(2)		—		—		876
Other	45		—		—		—		—		—		—		—		45
Total non-U.S. debt securities	932		—		(10)		1		—		(2)		—		—		921
Total available-for-sale investment securities	2,752		—		(34)		189		(61)		(56)		—		—		2,790
Other assets:
Derivative instruments:
Foreign exchange contracts	4		(6)		—		5		—		(1)		—		—		2		$	(3)
Total derivative instruments	4		(6)		—		5		—		(1)		—		—		2		(3)
Total assets carried at fair value	$	2,756	$	(6)	$	(34)	$	194	$	(61)	$	(57)	$	—	$	—	$	2,792	$	(3)

(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 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 internally-developed 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 June 30, 2021		As of December 31, 2020		Valuation Technique	Significant Unobservable Input(1)	As of June 30, 2021			As of June 30, 2021		As of December 31, 2020
Significant unobservable inputs readily available to State Street:
Assets:
Derivative Instruments, foreign exchange contracts	$	2	$	2	Option model	Volatility	5.8%	-	15.6%	8.1	%	7.9	%
Total	$	2	$	2
Liabilities:
Derivative instruments, foreign exchange contracts	$	—	$	1	Option model	Volatility	6.2%	-	6.5%	6.4	%	7.7	%
Total	$	—	$	1

(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)
June 30, 2021
Financial Assets:
Cash and due from banks	$	4,619	4,619		$	4,619	$	—	$	—
Interest-bearing deposits with banks	113,347		113,347		—		113,347		—
Securities purchased under resale agreements	3,997		3,997		—		3,997		—
Investment securities held-to-maturity	45,182		45,685		4,711		40,974		—
Net loans(1)	30,604		30,661		—		28,242		2,419
Financial Liabilities:
Deposits:
Non-interest-bearing	$	61,742	$	61,742	$	—	$	61,742	$	—
Interest-bearing - U.S.	111,291		111,291		—		111,291		—
Interest-bearing - non-U.S.	90,936		90,936		—		90,936		—
Securities sold under repurchase agreements	658		658		—		658		—
Other short-term borrowings	635		635		—		635		—
Long-term debt	13,032		13,228		—		13,136		92

(1) Includes $19 million of loans classified as held-for-sale that were measured at fair value in level 2 as of June 30, 2021.

					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, 2020
Financial Assets:
Cash and due from banks	$	3,467	$	3,467	$	3,467	$	—	$	—
Interest-bearing deposits with banks	116,960		116,960		—		116,960		—
Securities purchased under resale agreements	3,106		3,106		—		3,106		—
HTM securities purchased under the MMLF program	3,299		3,304		—		3,304		—
Investment securities held-to-maturity	48,929		50,003		6,115		43,888		—
Net loans	27,803		27,884		—		25,668		2,216
Other(1)	4,753		4,753		—		4,753		—
Financial Liabilities:
Deposits:
Non-interest-bearing	$	49,439	$	49,439	$	—	$	49,439	$	—
Interest-bearing - U.S.	102,331		102,331		—		102,331		—
Interest-bearing - non-U.S.	88,028		88,028		—		88,028		—
Securities sold under repurchase agreements	3,413		3,413		—		3,413		—
Short-term borrowings under the MMLF program	3,302		3,302		—		3,302		—
Other short-term borrowings	685		685		—		685		—
Long-term debt	13,805		14,162		—		14,049		113
Other(1)	4,753		4,753		—		4,753		—

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