Fair Value (Tables)

6 Months Ended

Jun. 30, 2022

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, 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	$	39	$	—	$	—			$	39
Non-U.S. government securities	—		131		—				131
Other	—		558		—				558

Total trading account assets	39		689		—				728
Available-for-sale investment securities:
U.S. Treasury and federal agencies:
Direct obligations	9,411		—		—				9,411
Mortgage-backed securities	—		10,271		—				10,271
Total U.S. Treasury and federal agencies	9,411		10,271		—				19,682
Non-U.S. debt securities:
Mortgage-backed securities	—		1,959		—				1,959
Asset-backed securities	—		1,876		—				1,876
Non-U.S. sovereign, supranational and non-U.S. agency	—		14,927		—				14,927
Other	—		2,204		—				2,204
Total non-U.S. debt securities	—		20,966		—				20,966
Asset-backed securities:
Student loans	—		150		—				150



Collateralized loan obligations	—		2,334		—				2,334
Non-agency CMBS and RMBS(2)	—		195		—				195
Other	—		89		—				89
Total asset-backed securities	—		2,768		—				2,768






State and political subdivisions	—		1,034		—				1,034

Other U.S. debt securities	—		1,004		—				1,004





Total available-for-sale investment securities	9,411		36,043		—				45,454
Other assets:
Derivative instruments:
Foreign exchange contracts	3		23,615		15		$	(14,168)	9,465
Interest rate contracts	11		—		—		—		11

Total derivative instruments	14		23,615		15		(14,168)		9,476


Other	12		621		—		—		633
Total assets carried at fair value	$	9,476	$	60,968	$	15	$	(14,168)	$	56,291
Liabilities:
Accrued expenses and other liabilities:




Derivative instruments:
Foreign exchange contracts	$	4	$	23,017	$	15	$	(17,100)	$	5,936
Interest rate contracts	—		—		—		—		—
Other derivative contracts	—		272		—		—		272
Total derivative instruments	4		23,289		15		(17,100)		6,208

Total liabilities carried at fair value	$	4	$	23,289	$	15	$	(17,100)	$	6,208

(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 $1.73 billion and $4.66 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.

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, 2022 and 2021, respectively. Transfers into and out of level 3 are reported as of the beginning of the period presented. During both the three and six months ended June 30, 2022, there were no transfers into and out of level 3. 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.


	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended June 30, 2022
	Fair Value as of March 31, 2022		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, 2022(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of June 30, 2022
(In millions)			Recorded in Revenue(1)		Recorded in Other Comprehensive Income(1)
Assets:















Other assets:
Derivative instruments:
Foreign exchange contracts	$	6	$	—	$	—	$	9	$	—	$	—	$	—	$	—	$	15	$	2


Total derivative instruments	6		—		—		9		—		—		—		—		15		2
Total assets carried at fair value	$	6	$	—	$	—	$	9	$	—	$	—	$	—	$	—	$	15	$	2

(1) 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, 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 June 30, 2022(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of June 30, 2022
(In millions)			Recorded in Revenue(1)		Recorded in Other Comprehensive Income(1)
Assets:















Other assets:
Derivative instruments:
Foreign exchange contracts	$	—	$	3	$	—	$	12	$	—	$	—	$	—	$	—	$	15	$	4


Total derivative instruments	—		3		—		12		—		—		—		—		15		4
Total assets carried at fair value	$	—	$	3	$	—	$	12	$	—	$	—	$	—	$	—	$	15	$	4

(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 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)

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, 2022		As of December 31, 2021		Valuation Technique	Significant Unobservable Input(1)	As of June 30, 2022				As of June 30, 2022		As of December 31, 2021
Significant unobservable inputs readily available to State Street:
Assets:
Derivative Instruments, foreign exchange contracts	$	15	$	—	Option model	Volatility	5.4	%	-	19.8%	11.9	%	15.2	%
Total	$	15	$	—
Liabilities:
Derivative instruments, foreign exchange contracts	$	15	$	—	Option model	Volatility	5.4	%	-	19.7%	11.9	%	14.7	%
Total	$	15	$	—

(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, 2022
Financial Assets:
Cash and due from banks	$	3,515	3,515		$	3,515	$	—	$	—
Interest-bearing deposits with banks	91,360		91,360		—		91,360		—
Securities purchased under resale agreements	5,203		5,203		—		5,203		—

Investment securities held-to-maturity	64,261		60,103		11,331		48,772		—
Net loans(1)	33,470		33,209		—		31,009		2,200
Other(2)	1		1		—		1		—
Financial Liabilities:
Deposits:
Non-interest-bearing	$	55,062	$	55,062	$	—	$	55,062	$	—
Interest-bearing - U.S.	107,262		107,262		—		107,262		—
Interest-bearing - non-U.S.	79,589		79,589		—		79,589		—
Securities sold under repurchase agreements	951		951		—		951		—

Other short-term borrowings	73		73		—		73		—

Long-term debt	13,530		12,771		—		12,633		138
Other(2)	1		1		—		1		—

(1) Includes $155 million of loans classified as held-for-sale that were measured at fair value in level 2 as of June 30, 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.