Fair Value (Tables)

3 Months Ended

Mar. 31, 2013

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. No transfers of financial assets or liabilities between levels 1 and 2 occurred during the three months ended March 31, 2013 or the year ended December 31, 2012.



	Fair-Value Measurements on a Recurring Basis
	as of March 31, 2013
(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	370									370
Other	63		$	201						264
Investment securities available for sale:
U.S. Treasury and federal agencies:
Direct obligations	3		801							804
Mortgage-backed securities	—		27,947		$	798				28,745
Asset-backed securities:
Student loans	—		15,205		461					15,666
Credit cards	—		9,644		24					9,668
Sub-prime	—		1,385		—					1,385
Other	—		588		3,872					4,460
Total asset-backed securities	—		26,822		4,357					31,179
Non-U.S. debt securities:
Mortgage-backed securities	—		10,564		331					10,895
Asset-backed securities	—		5,278		470					5,748
Government securities	—		2,961		—					2,961
Other	—		4,095		276					4,371
Total non-U.S. debt securities	—		22,898		1,077					23,975
State and political subdivisions	—		7,553		47					7,600
Collateralized mortgage obligations	—		4,720		108					4,828
Other U.S. debt securities	—		5,298		9					5,307
U.S. equity securities	—		138		—					138
Non-U.S. equity securities	—		2		—					2
Money-market mutual funds	1,258		—		—					1,258
Total investment securities available for sale	1,261		96,179		6,396					103,836
Other assets:
Derivative instruments:
Foreign exchange contracts	—		10,041		172
Interest-rate contracts	—		86		—
Total derivative instruments	—		10,127		172		$	(5,788	)	4,511
Other	73		—		—		—			73
Total assets carried at fair value	$	1,787	$	106,507	$	6,568	$	(5,788	)	$	109,074
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts			$	9,490	$	153
Interest-rate contracts			313		—
Other			—		9
Total derivative instruments			9,803		162		$	(4,595	)	$	5,370
Other	$	73	—		—		—			73
Total liabilities carried at fair value	$	73	$	9,803	$	162	$	(4,595	)	$	5,443

⁽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 $2.18 billion and $1.02 billion, respectively, for cash collateral received from and provided to derivative counterparties. This netting cannot be disaggregated by type of derivative instrument.



	Fair-Value Measurements on a Recurring Basis
	as of December 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	391									391
Other	71		$	155						226
Investment securities available for sale:
U.S. Treasury and federal agencies:
Direct obligations	3		838							841
Mortgage-backed securities	—		31,387		$	825				32,212
Asset-backed securities:
Student loans	—		15,833		588					16,421
Credit cards	—		9,919		67					9,986
Sub-prime	—		1,399		—					1,399
Other	—		683		3,994					4,677
Total asset-backed securities	—		27,834		4,649					32,483
Non-U.S. debt securities:
Mortgage-backed securities	—		10,850		555					11,405
Asset-backed securities	—		5,694		524					6,218
Government securities	—		3,199		—					3,199
Other	—		4,166		140					4,306
Total non-U.S. debt securities	—		23,909		1,219					25,128
State and political subdivisions	—		7,503		48					7,551
Collateralized mortgage obligations	—		4,837		117					4,954
Other U.S. debt securities	—		5,289		9					5,298
U.S. equity securities	—		112		—					112
Non-U.S. equity securities	—		1		—					1
Money-market mutual funds	1,102		—		—					1,102
Total investment securities available for sale	1,105		101,710		6,867					109,682
Other assets:
Derivatives instruments:
Foreign exchange contracts	—		9,265		113
Interest-rate contracts	—		223		—
Total derivative instruments	—		9,488		113		$	(5,045	)	4,556
Other	66		2		—		—			68
Total assets carried at fair value	$	1,653	$	111,355	$	6,980	$	(5,045	)	$	114,943
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts			$	8,978	$	106
Interest-rate contracts			345		—
Other			—		9
Total derivative instruments			9,323		115		$	(4,071	)	$	5,367
Other	$	66	—		—		—			66
Total liabilities carried at fair value	$	66	$	9,323	$	115	$	(4,071	)	$	5,433

⁽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 $1.41 billion and $479 million, respectively, for cash collateral received from and provided to derivative counterparties. This netting cannot be disaggregated by type of derivative instrument.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables present activity related to our level-3 financial assets and liabilities during the three months ended March 31, 2013 and 2012, respectively. Transfers into and out of level 3 are reported as of the beginning of the period. During the three months ended March 31, 2013 and 2012, 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, 2013
	Fair Value as of December 31, 2012		Transfers into Level 3	Transfers out of Level 3			Total Realized and Unrealized Gains (Losses)				Purchases		Issuances	Sales			Settlements			Fair Value as of March 31, 2013		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of March 31, 2013
(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	$	825															$	(27	)	$	798
Asset-backed securities:
Student loans	588			$	(100	)			$	7				$	(26	)	(8		)	461
Credit cards	67			—					—					—			(43		)	24
Other	3,994			—			$	13	21		$	180		(10		)	(326		)	3,872
Total asset-backed securities	4,649			(100		)	13		28		180			(36		)	(377		)	4,357
Non-U.S. debt securities:
Mortgage-backed securities	555			(207		)			—		—			—			(17		)	331
Asset-backed securities	524			(77		)	2		3		51			—			(33		)	470
Other	140			(40		)			—		179			—			(3		)	276
Total non-U.S. debt securities	1,219			(324		)	2		3		230			—			(53		)	1,077
State and political subdivisions	48			—			—		1		—			—			(2		)	47
Collateralized mortgage obligations	117			—			—		—		—			—			(9		)	108
Other U.S. debt securities	9			—			—		—		—			—			—			9
Total investment securities available for sale	6,867			(424		)	15		32		410			(36		)	(468		)	6,396
Other assets:
Derivative instruments:
Foreign exchange contracts	113			—			95		—		53			—			(89		)	172		$	53
Total derivative instruments	113			—			95		—		53			—			(89		)	172		53
Total assets carried at fair value	$	6,980	—	$	(424	)	$	110	$	32	$	463	—	$	(36	)	$	(557	)	$	6,568	$	53



	Fair-Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2012
	Fair Value as of December 31, 2011		Transfers into Level 3		Transfers out of Level 3			Total Realized and Unrealized Gains (Losses)						Purchases		Issuances	Sales			Settlements			Fair Value as of March 31, 2012		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of 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, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation



	Fair-Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2012
	Fair Value as of December 31, 2011		Transfers into Level 3	Transfers out of Level 3	Total Realized and Unrealized (Gains) Losses				Purchases	Issuances		Sales	Settlements			Fair Value as of March 31, 2012		Change in Unrealized (Gains) Losses Related to Financial Instruments Held as of March 31, 2012
(In millions)	Fair Value as of 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 as of 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, 2013
	Fair Value as of December 31, 2012		Transfers into Level 3	Transfers out of Level 3	Total Realized and Unrealized (Gains) Losses			Purchases	Issuances		Sales	Settlements			Fair Value as of March 31, 2013		Change in Unrealized (Gains) Losses Related to Financial Instruments Held at March 31, 2013
(In millions)					Recorded in Revenue		Recorded in Other Comprehensive Income
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	106			$	61			$	50		$	(64	)	$	153	$	39
Other	9				—							—			9		—
Total derivative instruments	115				61				50			(64		)	162		39
Other	—				—				—			—			—		—
Total liabilities carried at fair value	$	115	—	—	$	61	—	—	$	50	—	$	(64	)	$	162	$	39

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 ended indicated that were recorded in revenue for our level-3 financial assets and liabilities:



	Three Months Ended March 31,
	Total Realized and Unrealized Gains (Losses) Recorded in Revenue				Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of March 31,
(In millions)	2013		2012		2013		2012
Fee revenue:
Trading services	$	34	$	9	$	14	$	4
Total fee revenue	34		9		14		4
Net interest revenue	15		146		—		—
Total revenue	$	49	$	155	$	14	$	4

Fair Value Inputs, Assets and Liabilities, 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 or 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						Weighted-Average
(Dollars in millions)	As of March 31, 2013		As of December 31, 2012		Valuation Technique	Significant Unobservable Input	As of March 31, 2013		As of December 31, 2012
Significant unobservable inputs readily available to State Street:
Assets:
Asset-backed securities, student loans	$	14	$	12	Discounted cash flows	Credit spread	4.0	%	6.7	%
Asset-backed securities, credit cards	24		67		Discounted cash flows	Credit spread	2.1		7.1
Asset-backed securities, other	102		103		Discounted cash flows	Credit spread	2.0		1.5
State and political subdivisions	47		48		Discounted cash flows	Credit spread	1.7		1.9
Derivative instruments, foreign exchange contracts	172		113		Option model	Volatility	12.0		9.8
Total	$	359	$	343

Liabilities:
Derivative instruments, foreign exchange contracts	$	153	$	106	Option model	Volatility	12.4		9.8
Derivative instruments, other	9		9		Discounted cash flows	Participant redemptions	8.2		6.7
Total	$	162	$	115

Schedule of Availability of Significant Unobservable Inputs by Balance Sheet Classification

The following tables present information with respect to the composition of our level-3 financial assets and liabilities, by availability of significant unobservable inputs, as of the dates indicated:



March 31, 2013	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
(In millions)
Assets:
Mortgage-backed securities	$	—	$	798	$	798
Asset-backed securities, student loans	14		447		461
Asset-backed securities, credit cards	24		—		24
Asset-backed securities, other	102		3,770		3,872
Non-U.S. debt securities, mortgage-backed securities	—		331		331
Non-U.S. debt securities, asset-backed securities	—		470		470
Non-U.S. debt securities, other	—		276		276
State and political subdivisions	47		—		47
Collateralized mortgage obligations	—		108		108
Other U.S.debt securities	—		9		9
Derivative instruments, foreign exchange contracts	172		—		172
Total	$	359	$	6,209	$	6,568

Liabilities:
Derivative instruments, foreign exchange contracts	$	153	—		$	153
Derivative instruments, other	9		—		9
Total	$	162	—		$	162



December 31, 2012	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
(In millions)
Assets:
Mortgage-backed securities	$	—	$	825	$	825
Asset-backed securities, student loans	12		576		588
Asset-backed securities, credit cards	67		—		67
Asset-backed securities, other	103		3,891		3,994
Non-U.S. debt securities, mortgage-backed securities	—		555		555
Non-U.S. debt securities, asset-backed securities	—		524		524
Non-U.S. debt securities, other	—		140		140
State and political subdivisions	48		—		48
Collateralized mortgage obligations	—		117		117
Other U.S.debt securities	—		9		9
Derivative instruments, foreign exchange contracts	113		—		113
Total	$	343	$	6,637	$	6,980

Liabilities:
Derivative instruments, foreign exchange contracts	$	106	—		$	106
Derivative instruments, other	9		—		9
Total	$	115	—		$	115

⁽¹⁾Information with respect to these model-priced financial assets and liabilities is provided in the preceding table.

⁽²⁾Fair value for these financial assets is measured using non-binding broker or dealer quotes.

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 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 the dates indicated.



					Fair-Value Hierarchy
March 31, 2013	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)
(In millions)
Financial Assets:
Cash and due from banks	$	4,708	$	4,708	$	4,708	$	—	$	—
Interest-bearing deposits with banks	39,224		39,224		—		39,224		—
Securities purchased under resale agreements	8,703		8,703		—		8,703		—
Investment securities held to maturity	13,593		13,869		—		13,869		—
Loans (excluding leases)	12,826		12,881		—		12,032		849
Financial Liabilities:
Deposits:
Noninterest-bearing	40,704		40,704		—		40,704		—
Interest-bearing - U.S.	11,706		11,706		—		11,706		—
Interest-bearing - non-U.S.	102,365		102,365		—		102,365		—
Securities sold under repurchase agreements	11,538		11,538		—		11,538		—
Federal funds purchased	570		570		—		570		—
Other short-term borrowings	4,354		4,354		—		4,354		—
Long-term debt	7,440		6,837		—		5,882		955



					Fair-Value Hierarchy
December 31, 2012	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)
(In millions)
Financial Assets:
Cash and due from banks	$	2,590	$	2,590	$	2,590	$	—	$	—
Interest-bearing deposits with banks	50,763		50,763		—		50,763		—
Securities purchased under resale agreements	5,016		5,016		—		5,016		—
Investment securities held to maturity	11,379		11,661		—		11,661		—
Loans (excluding leases)	11,121		11,166		—		10,276		890
Financial Liabilities:
Deposits:
Noninterest-bearing	$	44,445	$	44,445	—		$	44,445	—
Interest-bearing - U.S.	19,201		19,201		—		19,201		—
Interest-bearing - non-U.S.	100,535		100,535		—		100,535		—
Securities sold under repurchase agreements	8,006		8,006		—		8,006		—
Federal funds purchased	399		399		—		399		—
Other short-term borrowings	4,502		4,502		—		4,502		—
Long-term debt	7,429		6,780		—		5,871		909

- Definition

Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity.

+ 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 (loss), 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, issues, 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

- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes 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 (loss) 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, issues, 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 liability.

+ References+ Details