Fair Value

3 Months Ended

Mar. 31, 2022

Fair Value Disclosures [Abstract]

Fair Value

Fair Value

Fair Value Measurements

We carry trading account assets and liabilities, AFS debt securities, certain equity securities and various types of derivative financial instruments, at fair value in our consolidated statement of condition on a recurring basis. Changes in the fair values of these financial assets and liabilities are recorded either as components of our consolidated statement of income or as components of AOCI within shareholders' equity in our consolidated statement of condition.

We measure fair value for the above-described financial assets and liabilities in conformity with U.S. GAAP that governs the measurement of the fair value of financial instruments. Management believes that its valuation techniques and underlying assumptions used to measure fair value conform to the provisions of U.S. GAAP. We categorize the financial assets and liabilities that we carry at fair value based on a prescribed three-level valuation hierarchy. For information about our valuation techniques for financial assets and financial liabilities measured at fair value and the fair value hierarchy, refer to pages 137 to 143 in Note 2 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K.

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, 2022
(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	—		140		—				140
Other	—		574		—				574
Total trading account assets	40		714		—				754
Available-for-sale investment securities:
U.S. Treasury and federal agencies:
Direct obligations	20,943		—		—				20,943
Mortgage-backed securities	—		18,741		—				18,741
Total U.S. Treasury and federal agencies	20,943		18,741		—				39,684
Non-U.S. debt securities:
Mortgage-backed securities	—		2,268		—				2,268
Asset-backed securities	—		2,066		—				2,066
Non-U.S. sovereign, supranational and non-U.S. agency	—		20,729		—				20,729
Other	—		3,389		—				3,389
Total non-U.S. debt securities	—		28,452		—				28,452
Asset-backed securities:
Student loans	—		187		—				187
Collateralized loan obligations	—		2,411		—				2,411
Non-agency CMBS and RMBS(2)	—		168		—				168
Other	—		90		—				90
Total asset-backed securities	—		2,856		—				2,856
State and political subdivisions	—		1,202		—				1,202
Other U.S. debt securities	—		2,154		—				2,154
Total available-for-sale investment securities	20,943		53,405		—				74,348
Other assets:
Derivative instruments:
Foreign exchange contracts	—		20,913		6		$	(14,142)	6,777
Interest rate contracts	9		—		—		—		9
Total derivative instruments	9		20,913		6		(14,142)		6,786
Other	15		647		—		—		662
Total assets carried at fair value	$	21,007	$	75,679	$	6	$	(14,142)	$	82,550
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	4	$	21,201	$	3	$	(13,888)	$	7,320
Interest rate contracts	—		—		—		—		—
Other derivative contracts	—		299		—		—		299
Total derivative instruments	4		21,500		3		(13,888)		7,619
Total liabilities carried at fair value	$	4	$	21,500	$	3	$	(13,888)	$	7,619

(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 $1.74 billion and $1.49 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, 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	$	39	$	—	$	—			$	39
Non-U.S. government securities	—		134		—				134
Other	—		585		—				585
Total trading account assets	39		719		—				758
Available-for-sale investment securities:
U.S. Treasury and federal agencies:
Direct obligations	17,939		—		—				17,939
Mortgage-backed securities	—		18,208		—				18,208
Total U.S. Treasury and federal agencies	17,939		18,208		—				36,147
Non-U.S. debt securities:
Mortgage-backed securities	—		1,995		—				1,995
Asset-backed securities	—		2,087		—				2,087
Non-U.S. sovereign, supranational and non-U.S. agency	—		23,547		—				23,547
Other	—		3,098		—				3,098
Total non-U.S. debt securities	—		30,727		—				30,727
Asset-backed securities:
Student loans	—		211		—				211
Collateralized loan obligations	—		2,155		—				2,155
Non-agency CMBS and RMBS(2)	—		52		—				52
Other	—		91		—				91
Total asset-backed securities	—		2,509		—				2,509
State and political subdivisions	—		1,272		—				1,272
Other U.S. debt securities	—		2,744		—				2,744
Total available-for-sale investment securities	17,939		55,460		—				73,399
Other assets:
Derivative instruments:
Foreign exchange contracts	2		15,183		—		$	(11,079)	4,106
Interest rate contracts	2		—		—		—		2
Total derivative instruments	4		15,183		—		(11,079)		4,108
Other	—		667		—		—		667
Total assets carried at fair value	$	17,982	$	72,029	$	—	$	(11,079)	$	78,932
Liabilities:
Accrued expenses and other liabilities:
Trading account liabilities:
Derivative instruments:
Foreign exchange contracts	1		15,824		—		(10,395)		5,430
Other derivative contracts	—		301		—		—		301
Total derivative instruments	1		16,125		—		(10,395)		5,731
Total liabilities carried at fair value	$	1	$	16,125	$	—	$	(10,395)	$	5,731

(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 $1.97 billion and $1.28 billion, respectively, for cash collateral received from and provided to derivative counterparties.

(2) Consists entirely of non-agency CMBS.

The following tables present activity related to our level 3 financial assets during the three months ended March 31, 2022 and 2021, respectively. Transfers into and out of level 3 are reported as of the beginning of the period presented. During the three months ended March 31, 2022, there were no transfers into and out of level 3. During the three months ended March 31, 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 months ended March 31, 2021, transfers out of level 3 were primarily related to collateralized loan obligations, for which fair value was measured using prices for which observable market information became available.

	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2022
	Fair Value as of December 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 March 31, 2022(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of March 31, 2022
(In millions)			Recorded in Revenue(1)		Recorded in Other Comprehensive Income(1)
Assets:
Other assets:
Derivative instruments:
Foreign exchange contracts	$	—	$	3	$	—	$	3	$	—	$	—	$	—	$	—	$	6	$	3
Total derivative instruments	—		3		—		3		—		—		—		—		6		3
Total assets carried at fair value	$	—	$	3	$	—	$	3	$	—	$	—	$	—	$	—	$	6	$	3

(1) 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, 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 March 31, 2021(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of March 31, 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	$	—	$	—	$	—	$	(14)	$	106
Total asset-backed securities	14		—		—		106		—		—		—		(14)		106
Other U.S. debt securities	—		—		—		—		—		—		15		—		15
Total available-for-sale investment securities	14		—		—		106		—		—		15		(14)		121
Other assets:
Derivative instruments:
Foreign exchange contracts	2		—		—		4		—		—		—		—		6		$	1
Total derivative instruments	2		—		—		4		—		—		—		—		6		1
Total assets carried at fair value	$	16	$	—	$	—	$	110	$	—	$	—	$	15	$	(14)	$	127	$	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.

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 March 31, 2022		As of December 31, 2021		Valuation Technique	Significant Unobservable Input(1)	As of March 31, 2022				As of March 31, 2022		As of December 31, 2021
Significant unobservable inputs readily available to State Street:
Assets:
Derivative Instruments, foreign exchange contracts	$	6	$	—	Option model	Volatility	7.2	%	-	22.7%	13.3	%	15.2	%
Total	$	6	$	—
Liabilities:
Derivative instruments, foreign exchange contracts	$	(3)	$	—	Option model	Volatility	7.2	%	-	22.8%	8.8	%	14.7	%
Total	$	(3)	$	—

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

Fair Value Estimates

Estimates of fair value for financial instruments not carried at fair value in our consolidated statement of condition are generally subjective in nature, and are determined as of a specific point in time based on the characteristics of the financial instruments and relevant market information.

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, 2022
Financial Assets:
Cash and due from banks	$	2,976	2,976		$	2,976	$	—	$	—
Interest-bearing deposits with banks	104,010		104,010		—		104,010		—
Securities purchased under resale agreements	803		803		—		803		—
Investment securities held-to-maturity	45,203		42,834		702		42,132		—
Net loans(1)	35,055		35,069		—		32,802		2,267
Other(2)	1		1		—		1		—
Financial Liabilities:
Deposits:
Non-interest-bearing	$	61,797	$	61,797	$	—	$	61,797	$	—
Interest-bearing - U.S.	104,962		104,962		—		104,962		—
Interest-bearing - non-U.S.	84,284		84,284		—		84,284		—
Securities sold under repurchase agreements	4,277		4,277		—		4,277		—
Other short-term borrowings	18		18		—		18		—
Long-term debt	13,922		13,555		—		13,408		147
Other(2)	1		1		—		1		—

(1) Includes $57 million of loans classified as held-for-sale that were measured at fair value in level 2 as of March 31, 2022.

(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, 2021
Financial Assets:
Cash and due from banks	$	3,631	$	3,631	$	3,631	$	—	$	—
Interest-bearing deposits with banks	106,358		106,358		—		106,358		—
Securities purchased under resale agreements	3,012		3,012		—		3,012		—
Investment securities held-to-maturity	42,430		42,271		2,160		40,111		—
Net loans(1)	32,445		32,528		—		29,862		2,666
Other(2)	1		1		—		1		—
Financial Liabilities:
Deposits:
Non-interest-bearing	$	56,461	$	56,461	$	—	$	56,461	$	—
Interest-bearing - U.S.	102,985		102,985		—		102,985		—
Interest-bearing - non-U.S.	95,589		95,589		—		95,589		—
Securities sold under repurchase agreements	1,575		1,575		—		1,575		—
Other short-term borrowings	128		128		—		128		—
Long-term debt	13,475		13,552		—		13,385		167
Other(2)	1		1		—		1		—

(1) Includes $8 million of loans classified as held-for-sale that were measured at fair value in level 2 as of December 31, 2021.

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