Fair Value (Tables)

3 Months Ended

Mar. 31, 2014

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, 2014 or the year ended December 31, 2013.



	Fair-Value Measurements on a Recurring Basis
	as of March 31, 2014
(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	401		—		—					401
Other	60		408		—					468
Total trading account assets	481		408		—					889
Investment securities available for sale:
U.S. Treasury and federal agencies:
Direct obligations	1,280		683		—					1,963
Mortgage-backed securities	—		22,992		100					23,092
Asset-backed securities:
Student loans	—		13,947		333					14,280
Credit cards	—		7,237		—					7,237
Sub-prime	—		1,155		—					1,155
Other	—		576		4,304					4,880
Total asset-backed securities	—		22,915		4,637					27,552
Non-U.S. debt securities:
Mortgage-backed securities	—		11,196		—					11,196
Asset-backed securities	—		4,382		612					4,994
Government securities	—		3,692		—					3,692
Other	—		4,522		462					4,984
Total non-U.S. debt securities	—		23,792		1,074					24,866
State and political subdivisions	—		10,402		42					10,444
Collateralized mortgage obligations	—		5,060		202					5,262
Other U.S. debt securities	—		4,938		8					4,946
U.S. equity securities	—		36		—					36
Non-U.S. equity securities	—		1		—					1
U.S. money-market mutual funds	—		993		—					993
Non-U.S. money-market mutual funds	—		7		—					7
Total investment securities available for sale	1,280		91,819		6,063					99,162
Other assets:
Derivative instruments:
Foreign exchange contracts	—		8,312		6		$	(4,850	)	3,468
Interest-rate contracts	—		56		—		(56		)	—
Other derivative contracts	—		2		—		(1		)	1
Total derivative instruments	—		8,370		6		(4,907		)	3,469
Other	100		—		—		—			100
Total assets carried at fair value	$	1,861	$	100,597	$	6,069	$	(4,907	)	$	103,620
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	—	$	7,834	$	8	$	(3,752	)	$	4,090
Interest-rate contracts	—		269		—		(56		)	213
Other derivative contracts	—		1		9		(1		)	9
Total derivative instruments	—		8,104		17		(3,809		)	4,312
Other	100		—		—		—			100
Total liabilities carried at fair value	$	100	$	8,104	$	17	$	(3,809	)	$	4,412

⁽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 $1.37 billion and $274 million, respectively, for cash collateral received from and provided to derivative counterparties.



	Fair-Value Measurements on a Recurring Basis
	as of December 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	399		—		—					399
Other	67		357		—					424
Total trading account assets	486		357		—					843
Investment securities available for sale:
U.S. Treasury and federal agencies:
Direct obligations	—		709		—					709
Mortgage-backed securities	—		22,847		716					23,563
Asset-backed securities:
Student loans	—		14,119		423					14,542
Credit cards	—		8,186		24					8,210
Sub-prime	—		1,203		—					1,203
Other	—		532		4,532					5,064
Total asset-backed securities	—		24,040		4,979					29,019
Non-U.S. debt securities:
Mortgage-backed securities	—		10,654		375					11,029
Asset-backed securities	—		4,592		798					5,390
Government securities	—		3,761		—					3,761
Other	—		4,263		464					4,727
Total non-U.S. debt securities	—		23,270		1,637					24,907
State and political subdivisions	—		10,220		43					10,263
Collateralized mortgage obligations	—		5,107		162					5,269
Other U.S. debt securities	—		4,972		8					4,980
U.S. equity securities	—		34		—					34
Non-U.S. equity securities	—		1		—					1
U.S. money-market mutual funds	—		422		—					422
Non-U.S. money-market mutual funds	—		7		—					7
Total investment securities available for sale	—		91,629		7,545					99,174
Other assets:
Derivatives instruments:
Foreign exchange contracts	—		11,892		19		$	(6,442	)	5,469
Interest-rate contracts	—		65		—		(59		)	6
Other derivative contracts	—		1		—		—			1
Total derivative instruments	—		11,958		19		(6,501		)	5,476
Other	97		—		—		—			97
Total assets carried at fair value	$	583	$	103,944	$	7,564	$	(6,501	)	$	105,590
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	—	$	11,454	$	17	$	(5,458	)	$	6,013
Interest-rate contracts	—		331		—		(94		)	237
Other derivative contracts	—		—		9		—			9
Total derivative instruments	—		11,785		26		(5,552		)	6,259
Other	97		—		—		—			97
Total liabilities carried at fair value	$	97	$	11,785	$	26	$	(5,552	)	$	6,356

⁽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 $1.93 billion and $979 million, respectively, for cash collateral received from and provided to derivative counterparties.

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



	Fair-Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2014
	Fair Value as of December 31, 2013		Total Realized and Unrealized Gains (Losses)						Purchases		Issuances		Sales			Settlements			Transfers into Level 3		Transfers out of Level 3			Fair Value as of March 31, 2014		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of March 31, 2014
(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	$	716	$	—		$	—		$	—	$	—	$	—		$	(5	)	$	—	$	(611	)	$	100
Asset-backed securities:
Student loans	423		1			1			—		—		—			(13		)	—		(79		)	333
Credit cards	24		—			—			—		—		—			(24		)	—		—			—
Other	4,532		15			(4		)	6		—		—			(245		)	—		—			4,304
Total asset-backed securities	4,979		16			(3		)	6		—		—			(282		)	—		(79		)	4,637
Non-U.S. debt securities:
Mortgage-backed securities	375		—			—			—		—		—			—			—		(375		)	—
Asset-backed securities	798		2			(1		)	—		—		—			(63		)	—		(124		)	612
Other	464		—			(1		)	—		—		(1		)	—			—		—			462
Total non-U.S. debt securities	1,637		2			(2		)	—		—		(1		)	(63		)	—		(499		)	1,074
State and political subdivisions	43		—			—			—		—		—			(1		)	—		—			42
Collateralized mortgage obligations	162		—			—			80		—		(6		)	(6		)	—		(28		)	202
Other U.S. debt securities	8		—			—			—		—		—			—			—		—			8
Total investment securities available for sale	7,545		18			(5		)	86		—		(7		)	(357		)	—		(1,217		)	6,063
Other assets:
Derivative instruments:
Derivative instruments, Foreign exchange contracts	19		(11		)	—			7		—		—			(9		)	—		—			6		$	(7	)
Total derivative instruments	19		(11		)	—			7		—		—			(9		)	—		—			6		(7		)
Total assets carried at fair value	$	7,564	$	7		$	(5	)	$	93	$	—	$	(7	)	$	(366	)	$	—	$	(1,217	)	$	6,069	$	(7	)



	Fair-Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2013
	Fair Value as of December 31, 2012		Total Realized and Unrealized Gains (Losses)				Purchases		Issuances		Sales			Settlements			Transfers into Level 3		Transfers out of Level 3			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		—		7		—		—		(26		)	(8		)	—		(100		)	461
Credit cards	67		—		—		—		—		—			(43		)	—		—			24
Other	3,994		13		21		180		—		(10		)	(326		)	—		—			3,872
Total asset-backed securities	4,649		13		28		180		—		(36		)	(377		)	—		(100		)	4,357
Non-U.S. debt securities:
Mortgage-backed securities	555		—		—		—		—		—			(17		)	—		(207		)	331
Asset-backed securities	524		2		3		51		—		—			(33		)	—		(77		)	470
Other	140		—		—		179		—		—			(3		)	—		(40		)	276
Total non-U.S. debt securities	1,219		2		3		230		—		—			(53		)	—		(324		)	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		15		32		410		—		(36		)	(468		)	—		(424		)	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	$	110	$	32	$	463	$	—	$	(36	)	$	(557	)	$	—	$	(424	)	$	6,568	$	53

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



	Fair-Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2014
	Fair Value as of December 31, 2013		Total Realized and Unrealized (Gains) Losses					Purchases		Issuances		Sales		Settlements			Transfers into Level 3		Transfers out of Level 3		Fair Value as of March 31, 2014		Change in Unrealized (Gains) Losses Related to Financial Instruments Held as of March 31, 2014
(In millions)	Fair Value as of December 31, 2013		Recorded in Revenue			Recorded in Other Comprehensive Income		Purchases		Issuances		Sales		Settlements			Transfers into Level 3		Transfers out of Level 3		Fair Value as of March 31, 2014
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	17	$	(10	)	$	—	$	—	$	7	$	—	$	(6	)	$	—	$	—	$	8	$	(5	)
Other	9		—			—		—		—		—		—			—		—		9		—
Total derivative instruments	26		(10		)	—		—		7		—		(6		)	—		—		17		(5		)
Total liabilities carried at fair value	$	26	$	(10	)	$	—	$	—	$	7	$	—	$	(6	)	$	—	$	—	$	17	$	(5	)



	Fair-Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2013
	Fair Value as of December 31, 2012		Total Realized and Unrealized (Gains) Losses				Purchases		Issuances		Sales		Settlements			Transfers into Level 3		Transfers out of Level 3		Fair Value as of March 31, 2013		Change in Unrealized (Gains) Losses Related to Financial Instruments Held as of March 31, 2013
(In millions)	Fair Value as of December 31, 2012		Recorded in Revenue		Recorded in Other Comprehensive Income		Purchases		Issuances		Sales		Settlements			Transfers into Level 3		Transfers out of Level 3		Fair Value as of March 31, 2013
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
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 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)	2014			2013		2014			2013
Fee revenue:
Trading services	$	(1	)	$	34	$	(2	)	$	14
Total fee revenue	(1		)	34		(2		)	14
Net interest revenue	18			15		—			—
Total revenue	$	17		$	49	$	(2	)	$	14

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, 2014		As of December 31, 2013		Valuation Technique	Significant Unobservable Input	As of March 31, 2014		As of December 31, 2013
Significant unobservable inputs readily available to State Street:
Assets:
Asset-backed securities, student loans	$	14	$	13	Discounted cash flows	Credit spread	2.9	%	3.5	%
Asset-backed securities, credit cards	—		24		Discounted cash flows	Credit spread	—		2.0
Asset-backed securities, other	87		92		Discounted cash flows	Credit spread	1.3		1.5
State and political subdivisions	42		43		Discounted cash flows	Credit spread	1.7		1.7
Derivative instruments, foreign exchange contracts	6		19		Option model	Volatility	8.0		11.4
Total	$	149	$	191
Liabilities:
Derivative instruments, foreign exchange contracts	$	8	$	17	Option model	Volatility	8.0		11.2
Derivative instruments, other⁽¹⁾	9		9		Discounted cash flows	Participant redemptions	7.4		7.5
Total	$	17	$	26

⁽¹⁾Relates to stable value wrap contracts; refer to the sensitivity discussion following the tables presented below, and to note 7.

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, 2014	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:
U.S. Treasury and federal agencies, mortgage-backed securities	$	—	$	100	$	100
Asset-backed securities, student loans	14		319		333
Asset-backed securities, other	87		4,217		4,304
Non-U.S. debt securities, asset-backed securities	—		612		612
Non-U.S. debt securities, other	—		462		462
State and political subdivisions	42		—		42
Collateralized mortgage obligations	—		202		202
Other U.S.debt securities	—		8		8
Derivative instruments, foreign exchange contracts	6		—		6
Total	$	149	$	5,920	$	6,069
Liabilities:
Derivative instruments, foreign exchange contracts	$	8	$	—	$	8
Derivative instruments, other	9		—		9
Total	$	17	$	—	$	17

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

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



December 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:
U.S. Treasury and federal agencies, mortgage-backed securities	$	—	$	716	$	716
Asset-backed securities, student loans	13		410		423
Asset-backed securities, credit cards	24		—		24
Asset-backed securities, other	92		4,440		4,532
Non-U.S. debt securities, mortgage-backed securities	—		375		375
Non-U.S. debt securities, asset-backed securities	—		798		798
Non-U.S. debt securities, other	—		464		464
State and political subdivisions	43		—		43
Collateralized mortgage obligations	—		162		162
Other U.S.debt securities	—		8		8
Derivative instruments, foreign exchange contracts	19		—		19
Total	$	191	$	7,373	$	7,564
Liabilities:
Derivative instruments, foreign exchange contracts	$	17	$	—	$	17
Derivative instruments, other	9		—		9
Total	$	26	$	—	$	26

⁽¹⁾Information with respect to these model-priced financial assets and liabilities is provided above in a separate 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, 2014	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)
(In millions)
Financial Assets:
Cash and due from banks	$	3,877	$	3,877	$	3,877	$	—	$	—
Interest-bearing deposits with banks	75,796		75,796		—		75,796		—
Securities purchased under resale agreements	6,087		6,087		—		6,087		—
Investment securities held to maturity	18,342		18,326		—		18,326		—
Net loans (excluding leases)	14,994		15,002		—		14,530		472
Financial Liabilities:
Deposits:
Noninterest-bearing	$	72,800	$	72,800	$	—	$	72,800	$	—
Interest-bearing - U.S.	15,327		15,327		—		15,327		—
Interest-bearing - non-U.S.	106,521		106,521		—		106,521		—
Securities sold under repurchase agreements	8,953		8,953		—		8,953		—
Federal funds purchased	18		18		—		18		—
Other short-term borrowings	3,811		3,811		—		3,811		—
Long-term debt	9,503		9,809		—		8,927		882



					Fair-Value Hierarchy
December 31, 2013	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)
(In millions)
Financial Assets:
Cash and due from banks	$	3,220	$	3,220	$	3,220	$	—	$	—
Interest-bearing deposits with banks	64,257		64,257		—		64,257		—
Securities purchased under resale agreements	6,230		6,230		—		6,230		—
Investment securities held to maturity	17,740		17,560		—		17,560		—
Net loans (excluding leases)	12,363		12,355		—		11,908		447
Financial Liabilities:
Deposits:
Noninterest-bearing	$	65,614	$	65,614	$	—	$	65,614	$	—
Interest-bearing - U.S.	13,392		13,392		—		13,392		—
Interest-bearing - non-U.S.	103,262		103,262		—		103,262		—
Securities sold under repurchase agreements	7,953		7,953		—		7,953		—
Federal funds purchased	19		19		—		19		—
Other short-term borrowings	3,780		3,780		—		3,780		—
Long-term debt	9,699		9,909		—		9,056		853

- 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