Fair Value (Tables)

3 Months Ended

Mar. 31, 2012

Schedule Of Fair Value Measurements On A 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 as of the dates indicated. No significant transfers of financial assets or liabilities between levels 1 and 2 occurred during the three months ended March 31, 2012 or the year ended December 31, 2011.



	Fair Value Measurements on a Recurring Basis
	as of March 31, 2012
(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	$	20								$	20
Non-U.S. government securities	545									545
Other	57		$	151						208
Investment securities available for sale:
U.S. Treasury and federal agencies:
Direct obligations	609		1,115							1,724
Mortgage-backed securities	—		31,805		$	912				32,717
Asset-backed securities:
Student loans	—		16,256		511					16,767
Credit cards	—		10,091		119					10,210
Sub-prime	—		1,379		—					1,379
Other	—		589		3,090					3,679
Total asset-backed securities	—		28,315		3,720					32,035
Non-U.S. debt securities:
Mortgage-backed securities	—		11,102		469					11,571
Asset-backed securities	—		3,925		1,035					4,960
Government securities	—		1,703		—					1,703
Other	—		3,369		314					3,683
Total non-U.S. debt securities	—		20,099		1,818					21,917
State and political subdivisions	—		7,138		50					7,188
Collateralized mortgage obligations	—		4,086		193					4,279
Other U.S. debt securities	—		4,051		—					4,051
U.S. equity securities	—		673		—					673
Non-U.S. equity securities	2		118		—					120
Total investment securities available for sale	611		97,400		6,693					104,704
Other assets:
Derivative instruments:
Foreign exchange contracts	—		6,942		127
Interest-rate contracts	—		201		—
Total derivative instruments	—		7,143		127		$	(3,598	)	3,672
Other	124		—		—		—			124
Total assets carried at fair value	$	1,357	$	104,694	$	6,820	$	(3,598	)	$	109,273
Liabilities:
Accrued expenses and other liabilities:
Trading account liabilities:
Non-U.S. government securities	$	34								$	34
Derivative instruments:
Foreign exchange contracts	—		$	6,515	$	126
Interest-rate contracts	—		389		—
Other	—		—		9
Total derivative instruments	—		6,904		135		$	(2,936	)	4,103
Other	124		—		20		—			144
Total liabilities carried at fair value	$	158	$	6,904	$	155	$	(2,936	)	$	4,281

⁽¹⁾

Represents counterparty netting against level 2 financial assets and liabilities, where a legally enforceable master netting agreement exists between State Street and the counterparty. Netting also reflects asset and liability reductions of $1.02 billion and $357 million, respectively, for cash collateral received from and deposited with derivative counterparties. This netting cannot be disaggregated by type of derivative instrument.



	Fair Value Measurements on a Recurring Basis
	as of December 31, 2011
(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	$	20								$	20
Non-U.S. government securities	498									498
Other	51		$	138						189
Investment securities available for sale:
U.S. Treasury and federal agencies:
Direct obligations	1,727		1,109							2,836
Mortgage-backed securities	—		28,832		$	1,189				30,021
Asset-backed securities:
Student loans	—		15,685		860					16,545
Credit cards	—		10,396		91					10,487
Sub-prime	—		1,404		—					1,404
Other	—		667		2,798					3,465
Total asset-backed securities	—		28,152		3,749					31,901
Non-U.S. debt securities:
Mortgage-backed securities	—		9,418		1,457					10,875
Asset-backed securities	—		2,535		1,768					4,303
Government securities	—		1,671		—					1,671
Other	—		2,754		71					2,825
Total non-U.S. debt securities	—		16,378		3,296					19,674
State and political subdivisions	—		6,997		50					7,047
Collateralized mortgage obligations	—		3,753		227					3,980
Other U.S. debt securities	—		3,613		2					3,615
U.S. equity securities	—		640		—					640
Non-U.S. equity securities	1		117		—					118
Total investment securities available for sale	1,728		89,591		8,513					99,832
Other assets:
Derivatives instruments:
Foreign exchange contracts	—		12,045		168
Interest-rate contracts	—		1,795		10
Other	—		1		—
Total derivative instruments	—		13,841		178		$	(7,653	)	6,366
Other	110		—		—		—			110
Total assets carried at fair value	$	2,407	$	103,570	$	8,691	$	(7,653	)	$	107,015
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts			$	12,191	$	161
Interest-rate contracts			1,970		11
Other			1		9
Total derivative instruments			14,162		181		$	(7,653	)	$	6,690
Other	$	110	—		20		—			130
Total liabilities carried at fair value	$	110	$	14,162	$	201	$	(7,653	)	$	6,820


⁽¹⁾	Represents counterparty netting against level 2 financial assets and liabilities, where a legally enforceable master netting agreement exists between State Street and the counterparty. This netting cannot be disaggregated by type of derivative instrument.

Schedule Of Fair Value Measurements Using Significant Unobservable Inputs

The following tables present activity related to our level-3 financial assets and liabilities during the three months ended March 31, 2012 and 2011. Transfers into and out of level 3 are reported as of the beginning of the period. During the three months ended March 31, 2012 and 2011, transfers out of level 3 were substantially related to certain mortgage- and asset-backed securities and non-U.S. debt securities, 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, 2012
	Fair Value at December 31, 2011		Transfers into Level 3		Transfers out of Level 3			Total Realized and Unrealized Gains (Losses)						Purchases		Issuances	Sales			Settlements			Fair Value at March 31, 2012		Change in Unrealized Gains (Losses) Related to Financial Instruments Held at March 31, 2012
(In millions)								Recorded in Revenue			Recorded in Other Comprehensive Income
Assets:
Investment securities available for sale:
U.S. Treasury and federal agencies:
Mortgage-backed securities	$	1,189			$	(251	)													$	(26	)	$	912
Asset-backed securities:
Student loans	860				(341		)	$	1		$	(2	)							(7		)	511
Credit cards	91		$	21	—			1			—			$	67		$	(61	)	—			119
Other	2,798		—		—			10			16			355			(12		)	(77		)	3,090
Total asset-backed securities	3,749		21		(341		)	12			14			422			(73		)	(84		)	3,720
Non-U.S. debt securities:
Mortgage-backed securities	1,457		—		(1,157		)	—			1			159			—			9			469
Asset-backed securities	1,768		—		(1,084		)	—			(1		)	366			—			(14		)	1,035
Other	71		—		(65		)	—			—			308			—			—			314
Total non-U.S. debt securities	3,296		—		(2,306		)	—			—			833			—			(5		)	1,818
State and political subdivisions	50		—		—			—			1			—			—			(1		)	50
Collateralized mortgage obligations	227		—		(132		)	134			—			106			—			(142		)	193
Other U.S. debt securities	2		—		—			—			—			—			—			(2		)	—
Total investment securities available for sale	8,513		21		(3,030		)	146			15			1,361			(73		)	(260		)	6,693
Other assets:
Derivative instruments:
Foreign exchange contracts	168		—		—			(65		)	—			110			—			(86		)	127		$	(47	)
Interest-rate contracts	10		—		—			(10		)	—			—			1			(1		)	—		—
Total derivative instruments	178		—		—			(75		)	—			110			1			(87		)	127		(47		)
Total assets carried at fair value	$	8,691	$	21	$	(3,030	)	$	71		$	15		$	1,471	—	$	(72	)	$	(347	)	$	6,820	$	(47	)



	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2012
	Fair Value at December 31, 2011		Transfers into Level 3	Transfers out of Level 3	Total Realized and Unrealized (Gains) Losses				Purchases	Issuances		Sales	Settlements			Fair Value at March 31, 2012		Change in Unrealized (Gains) Losses Related to Financial Instruments Held at March 31, 2012
(In millions)	Fair Value at December 31, 2011		Transfers into Level 3	Transfers out of Level 3	Recorded in Revenue			Recorded in Other Comprehensive Income	Purchases	Issuances		Sales	Settlements			Fair Value at March 31, 2012
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	161			$	(75	)			$	111		$	(71	)	$	126	$	(51	)
Interest-rate contracts	11				(9		)			—			(2		)	—		—
Other	9				—					—			—			9		—
Total derivative instruments	181				(84		)			111			(73		)	135		(51		)
Other	20				—					—			—			20		—
Total liabilities carried at fair value	$	201	—	—	$	(84	)	—	—	$	111		$	(73	)	$	155	$	(51	)



	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2011
	Fair Value at December 31, 2010		Transfers into Level 3		Transfers out of Level 3			Total Realized and Unrealized Gains (Losses)						Purchases		Issuances	Sales	Settlements			Fair Value at March 31, 2011		Change in Unrealized Gains (Losses) Related to Financial Instruments Held at March 31, 2011
(In millions)								Recorded in Revenue			Recorded in Other Comprehensive Income
Assets:
Investment securities available for sale:
U.S. Treasury and federal agencies:
Mortgage-backed securities	$	673			$	(403	)				$	1		$	636			$	(9	)	$	898
Asset-backed securities:
Student loans	1,234				(33		)	$	2		1			121				(17		)	1,308
Credit cards	43				—			1			(1		)	31				1			75
Other	2,000				—			8			45			275				(80		)	2,248
Total asset-backed securities	3,277				(33		)	11			45			427				(96		)	3,631
Non-U.S. debt securities:
Mortgage-backed securities	396				(198		)	—			—			473				11			682
Asset-backed securities	740				(60		)	—			11			491				(57		)	1,125
Government securities	1				—			—			1			—				(2		)	—
Other	8				—			—			(1		)	—				(1		)	6
Total non-U.S. debt securities	1,145				(258		)	—			11			964				(49		)	1,813
State and political subdivisions	50				—			—			1			—				—			51
Collateralized mortgage obligations	359				(132		)	133			(2		)	23				(153		)	228
Other U.S. debt securities	3				—			—			—			—				—			3
Total investment securities available for sale	5,507				(826		)	144			56			2,050				(307		)	6,624
Other assets:
Derivative instruments:
Foreign exchange contracts	254		$	1	—			(87		)	—			117				(58		)	227		$	(46	)
Interest-rate contracts	—		—		—			—			—			8				—			8		—
Total derivative instruments	254		1		—			(87		)	—			125				(58		)	235		(46		)
Total assets carried at fair value	$	5,761	$	1	$	(826	)	$	57		$	56		$	2,175	—	—	$	(365	)	$	6,859	$	(46	)



	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2011
	Fair Value at December 31, 2010		Transfers into Level 3		Transfers out of Level 3	Total Realized and Unrealized (Gains) Losses				Purchases	Issuances	Sales		Settlements			Fair Value at March 31, 2011		Change in Unrealized (Gains) Losses Related to Financial Instruments Held at March 31, 2011
(In millions)	Fair Value at December 31, 2010		Transfers into Level 3		Transfers out of Level 3	Recorded in Revenue			Recorded in Other Comprehensive Income	Purchases	Issuances	Sales		Settlements			Fair Value at March 31, 2011
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	260	$	1		$	(78	)				$	117	$	(68	)	$	232	$	(47	)
Other	9		—			—						—		—			9		—
Total derivative instruments	269		1			(78		)				117		(68		)	241		(47		)
Total liabilities carried at fair value	$	269	$	1	—	$	(78	)	—	—	—	$	117	$	(68	)	$	241	$	(47	)

Level 3 Total Realized And Unrealized Gains And Losses Recorded In Revenue

The following table presents total realized and unrealized gains and losses for the periods indicated that were recorded in revenue for our level-3 financial assets and liabilities:



	Three Months Ended March 31, 2012				Three Months Ended March 31, 2011
(In millions)	Total Realized and Unrealized Gains (Losses) Recorded in Revenue		Change in Unrealized Gains (Losses) Related to Financial Instruments Held at March 31, 2012		Total Realized and Unrealized Gains (Losses) Recorded in Revenue			Change in Unrealized Gains (Losses) Related to Financial Instruments Held at March 31, 2011
Fee revenue:
Trading services	$	9	$	4	$	(9	)	$	1
Total fee revenue	9		4		(9		)	1
Net interest revenue	146		—		144			—
Total revenue	$	155	$	4	$	135		$	1

Fair Value Inputs, Assets and Liabilities, Quantitative Information [Table Text Block]

The following table presents information with respect to the significant unobservable inputs associated with the measurement of the fair value of our level-3 financial assets and liabilities that were readily available to us as of March 31, 2012:



	Quantitative Information about Level-3 Fair Value Measurements
(Dollars in millions)	Fair Value at March 31, 2012		Valuation Technique	Significant Unobservable Input	Weighted-Average
Significant unobservable inputs readily available to State Street:
Assets:
Asset-backed securities, student loans	$	315	Discounted cash flows	Credit spread	1.2%
Asset-backed securities, credit cards	31		Discounted cash flows	Credit spread	6.0%
Asset-backed securities, other	104		Discounted cash flows	Credit spread	1.2%
Non-U.S. debt securities, other	5		Discounted cash flows	Discount rates	15.0%
				Expected recovery	10.0%
				Expected maturity	10.8 yrs
State and political subdivisions	50		Discounted cash flows	Credit spread	1.8%
Derivative instruments, foreign exchange contracts	127		Option model	Volatility	11.8%
Total	$	632

Liabilities:
Derivative instruments, foreign exchange contracts	$	126	Option model	Volatility	11.8%
Derivative instruments, other	9		Discounted cash flows	Participant redemptions	5.0%
Total	$	135

Schedule of Availability of Significant Unobservable Inputs by Balance Sheet Classification [Table Text Block]

The following table presents information with respect to the composition of our level-3 financial assets and liabilities by availability of significant unobservable inputs as of March 31, 2012:



	Fair Value at March 31, 2012
(In millions)	Significant Unobservable Inputs Readily Available to State Street ⁽¹⁾		Significant Unobservable Inputs Not Developed by State Street and Not Readily Available ⁽²⁾		Total Assets and Liabilities with Significant Unobservable Inputs
Assets:
Mortgage-backed securities			$	912	$	912
Asset-backed securities, student loans	$	315	196		511
Asset-backed securities, credit cards	31		88		119
Asset-backed securities, other	104		2,986		3,090
Non-U.S. debt securities, mortgage-backed securities	—		469		469
Non-U.S. debt securities, asset-backed securities	—		1,035		1,035
Non-U.S. debt securities, other	5		309		314
State and political subdivisions	50		—		50
Collateralized mortgage obligations	—		193		193
Derivative instruments,foreign exchange contracts	127		—		127
Total	$	632	$	6,188	$	6,820

Liabilities:
Derivative instruments, foreign exchange contracts	$	126			$	126
Derivative instruments, other	9				9
Other	—		$	20	20
Total	$	135	$	20	$	155

Carrying Value and Estimated Fair Value of Financial Instruments by Fair Value Hierarchy [Table Text Block]

The following table presents the reported amounts and estimated fair values of the financial instruments defined by GAAP, excluding financial assets and liabilities carried at fair value on a recurring basis, as they would be categorized within the fair-value hierarchy as of March 31, 2012.



					Fair Value Hierarchy
(In millions)	Reported Amount		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)
Financial Assets:
Cash and due from banks	$	1,383	$	1,383	$	1,383
Interest-bearing deposits with banks	26,709		26,709				$	26,709
Securities purchased under resale agreements	7,895		7,895		—		7,895
Investment securities held to maturity	8,668		8,842		—		8,806		$	36
Loans (excluding leases)	11,011		11,000		—		9,723		1,277
Financial Liabilities:
Deposits:
Noninterest-bearing	37,201		37,201		—		37,201		—
Interest-bearing-U.S.	2,731		2,731		—		2,731		—
Interest-bearing-non-U.S.	90,248		90,248		—		90,248		—
Securities sold under repurchase agreements	7,836		7,836		—		7,836		—
Federal funds purchased	222		222		—		222		—
Other short-term borrowings	4,759		4,759		—		4,759		—
Long-term debt	8,117		8,301		—		—		8,301

Schedule of Reported Amounts and Estimated Fair Values for Financial Instruments [Table Text Block]

The following table presents the reported amounts and estimated fair values of the financial instruments defined by GAAP, excluding the aforementioned short-duration financial instruments and financial assets and liabilities carried at fair value on a recurring basis, as of December 31, 2011:



(In millions)	Reported Amount		Fair Value
Financial Assets:
Investment securities held to maturity	$	9,321	$	9,362
Net loans (excluding leases)	8,777		8,752

Financial Liabilities:
Long-term debt	8,131		8,206

- Definition

Tabular disclosure of the total amount of gains or losses for the period which are included in earnings or resulted in a change to net assets which gains or losses have arisen from the use of significant unobservable inputs (Level 3) to measure the fair value of assets and liabilities. Such gains or losses are attributable to the change in unrealized gains or losses relating to those assets and liabilities so valued which are still held at the reporting date and which change are also considered for disclosure; it may be expected that a description of where those unrealized gains or losses are reported in the statement of income or the statement of financial position would also be disclosed.

+ References+ Details

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income, and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References+ Details