Fair Value (Tables)

9 Months Ended

Sep. 30, 2011

Fair Value

Schedule Of Fair Value Measurements On A Recurring Basis

Fair Value Measurements on a Recurring Basis
as of September 30, 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

171

Non-U.S. government securities

1,582

Other

138

183

Investment securities available for sale:

U.S. Treasury and federal agencies:

Direct obligations

4,141

1,202

5,365

Mortgage-backed securities

—

26,527

1,499

28,026

Asset-backed securities:

Student loans

—

15,584

949

16,533

Credit cards

—

10,184

311

10,495

Sub-prime

—

1,486

—

1,486

Other

—

605

2,733

3,338

Total asset-backed securities

—

27,859

3,993

31,852

Non-U.S. debt securities

—

14,944

2,342

17,286

State and political subdivisions

—

6,845

6,896

Collateralized mortgage obligations

—

2,742

350

3,092

Other U.S. debt securities

—

3,259

3,261

U.S. equity securities

—

608

—

608

Non-U.S. equity securities

201

—

209

Total investment securities available for sale

4,149

84,187

8,259

96,595

Other assets:

Derivative instruments:

Foreign exchange contracts

—

20,339

311

Interest-rate contracts

—

1,443

Other

—

Total derivative instruments

—

21,784

322

(10,743

)

11,363

Other

148

—

148

Total assets carried at fair value

6,095

106,109

8,581

(10,743

)

110,042

Liabilities:

Accrued expenses and other liabilities:

Trading account liabilities:

U.S. government securities

Non-U.S. government securities

1,661

Derivative instruments:

Foreign exchange contracts

—

20,878

298

Interest-rate contracts

—

1,692

Other

—

Total derivative instruments

—

22,571

321

(10,743

)

12,149

Other

148

—

160

Total liabilities carried at fair value

1,844

22,572

332

(10,743

)

14,005

⁽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.


	Fair Value Measurements on a Recurring Basis as of December 31, 2010
(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		297									297
Other		40	$	122							162
Investment securities available for sale:
U.S. Treasury and federal agencies:
Direct obligations		6,529		1,048							7,577
Mortgage-backed securities		—		22,967	$	673					23,640
Asset-backed securities:
Student loans		—		13,181		1,234					14,415
Credit cards		—		7,560		43					7,603
Sub-prime		—		1,818		—					1,818
Other		—		569		2,000					2,569

Total asset-backed securities		—		23,128		3,277					26,405

Non-U.S. debt securities		—		10,872		1,145					12,017
State and political subdivisions		—		6,554		50					6,604
Collateralized mortgage obligations		—		1,502		359					1,861
Other U.S. debt securities		—		2,533		3					2,536
U.S. equity securities		—		1,115		—					1,115
Non-U.S. equity securities		7		119		—					126

Total investment securities available for sale		6,536		69,838		5,507					81,881
Other assets:
Derivatives instruments:
Foreign exchange contracts		—		7,804		254
Interest-rate contracts		—		165		—
Other		—		2		—

Total derivative instruments		—		7,971		254	$	(2,970	)		5,255
Other		168		—		—		—			168

Total assets carried at fair value	$	7,061	$	77,931	$	5,761	$	(2,970	)	$	87,783

Liabilities:
Accrued expenses and other liabilities:
Trading account liabilities:
U.S. government securities	$	210								$	210
Non-U.S. government securities		345									345
Derivative instruments:
Foreign exchange contracts		—	$	8,195	$	260
Interest-rate contracts		1		358		9
Other		—		1		—

Total derivative instruments		1		8,554		269	$	(2,970	)		5,854
Other		168		3		—		—			171

Total liabilities carried at fair value	$	724	$	8,557	$	269	$	(2,970	)	$	6,580

⁽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

Fair Value Measurements Using Significant Unobservable Inputs Three Months Ended September 30, 2011
	Fair Value at June 30, 2011		Transfers into Level 3		Transfers out of Level 3			Total Realized and Unrealized Gains (Losses)						Purchases		Issuances		Sales			Settlements			Fair Value at September 30, 2011		Change in Unrealized Gains (Losses) Related to Financial Instruments Held at September 30, 2011
(In millions)	Fair Value at June 30, 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 September 30, 2011
Assets:
Investment securities available for sale:
U.S. Treasury and federal agencies:
Direct obligations	$	17			$	(17	)							$	22									$	22
Mortgage-backed securities		932				—					$	2			590						$	(25	)		1,499
Asset-backed securities:
Student loans		1,289				(379	)	$	(1	)		(6	)		—							46			949
Credit cards		79				(20	)		2			—			250							—			311
Other		2,530				—			5			(34	)		267			$	(37	)		2			2,733

Total asset-backed securities		3,898				(399	)		6			(40	)		517				(37	)		48			3,993

Non-U.S. debt securities		2,116				(609	)		—			(4	)		894				(3	)		(52	)		2,342
State and political subdivisions		54				(2	)		—			(1	)		—				—			—			51
Collateralized mortgage obligations		173				(31	)		31			(1	)		216				—			(38	)		350
Other U.S. debt securities		2				—			—			—			—				—			—			2

Total investment securities available for sale		7,192				(1,058	)		37			(44	)		2,239				(40	)		(67	)		8,259
Other assets:
Derivative instruments:
Foreign exchange contracts		201				—			54			—			173				—			(117	)		311	$	59
Interest-rate contracts		8				—			—			—			4				(1	)		—			11		2

Total derivative instruments		209				—			54			—			177				(1	)		(117	)		322		61

Total assets carried at fair value	$	7,401		—	$	(1,058	)	$	91		$	(44	)	$	2,416		—	$	(41	)	$	(184	)	$	8,581	$	61


	Fair Value Measurements Using Significant Unobservable Inputs Three Months Ended September 30, 2011
	Fair Value at June 30, 2011		Transfers into Level 3		Transfers out of Level 3		Total Realized and Unrealized (Gains) Losses				Purchases			Issuances		Sales			Settlements			Fair Value at September 30, 2011		Change in Unrealized (Gains) Losses Related to Financial Instruments Held at September 30, 2011
(In millions)	Fair Value at June 30, 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 September 30, 2011
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	203					$	42						$	170				$	(117	)	$	298	$	51
Interest-rate contracts		25						—			$	(1	)		15	$	(16	)		—			23		10

Total derivative instruments		228						42				(1	)		185		(16	)		(117	)		321		61
Other		11						—				—			—		—			—			11		—

Total liabilities carried at fair value	$	239		—		—	$	42		—	$	(1	)	$	185	$	(16	)	$	(117	)	$	332	$	61


	Fair Value Measurements Using Significant Unobservable Inputs Nine Months Ended September 30, 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 September 30, 2011		Change in Unrealized Gains (Losses) Related to Financial Instruments Held at September 30, 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 September 30, 2011
Assets:
Investment securities available for sale:
U.S. Treasury and federal agencies:
Direct obligations					$	(17	)							$	39									$	22
Mortgage-backed securities	$	673				(404	)				$	3			1,289						$	(62	)		1,499
Asset-backed securities:
Student loans		1,234				(720	)	$	2			(6	)		421							18			949
Credit cards		43				(35	)		3			(2	)		301							1			311
Other		2,000	$	114		(135	)		22			14			837			$	(37	)		(82	)		2,733

Total asset-backed securities		3,277		114		(890	)		27			6			1,559				(37	)		(63	)		3,993

Non-U.S. debt securities		1,145		—		(1,432	)		1			8			2,799				(3	)		(176	)		2,342
State and political subdivisions		50		1		(3	)		—			—			3				—			—			51
Collateralized mortgage obligations		359		—		(359	)		363			(2	)		381				—			(392	)		350
Other U.S. debt securities		3		—		—			—			—			—				—			(1	)		2

Total investment securities available for sale		5,507		115		(3,105	)		391			15			6,070				(40	)		(694	)		8,259
Other assets:
Derivative instruments:
Foreign exchange contracts		254		—		—			(15	)		—			256				—			(184	)		311	$	40
Interest-rate contracts		—		—		—			5			—			10				(4	)		—			11		9

Total derivative instruments		254		—		—			(10	)		—			266				(4	)		(184	)		322		49

Total assets carried at fair value	$	5,761	$	115	$	(3,105	)	$	381		$	15		$	6,336		—	$	(44	)	$	(878	)	$	8,581	$	49


	Fair Value Measurements Using Significant Unobservable Inputs Nine Months Ended September 30, 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 September 30, 2011		Change in Unrealized (Gains) Losses Related to Financial Instruments Held at September 30, 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 September 30, 2011
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	260					$	(21	)						$	247				$	(188	)	$	298	$	32
Interest-rate contracts		9						10				$	(5	)		29	$	(20	)		—			23		10

Total derivative instruments		269						(11	)				(5	)		276		(20	)		(188	)		321		42
Other		—						—					—			11		—			—			11		—

Total liabilities carried at fair value	$	269		—		—	$	(11	)		—	$	(5	)	$	287	$	(20	)	$	(188	)	$	332	$	42


	Fair Value Measurements Using Significant Unobservable Inputs Three Months Ended September 30, 2010
	Fair Value at June 30, 2010		Total Realized and Unrealized Gains (Losses)						Purchases, Issuances and Settlements, Net			Transfers Into and/or Out of Level 3			Fair Value at September 30, 2010		Change in Unrealized Gains (Losses) Related to Financial Instruments Held at September 30, 2010
(In millions)	Fair Value at June 30, 2010		Recorded in Revenue			Recorded in Other Comprehensive Income			Purchases, Issuances and Settlements, Net			Transfers Into and/or Out of Level 3			Fair Value at September 30, 2010
Assets:
Investment securities available for sale:
U.S. Treasury and federal agencies:
Mortgage-backed securities	$	43										$	(42	)	$	1
Asset-backed securities:
Student loans		2,229	$	3		$	5		$	17			(659	)		1,595
Credit cards		91		1			—			(52	)		—			40
Sub-prime		4		—			—			—			(4	)		—
Other		1,069		(2	)		2			(56	)		(141	)		872

Total asset-backed securities		3,393		2			7			(91	)		(804	)		2,507

Non-U.S. debt securities		2,659		28			(10	)		1,175			(459	)		3,393
State and political subdivisions		3		—			—			—			1			4
Collateralized mortgage obligations		424		—			2			80			—			506
Other U.S. debt securities		3		—			—			—			—			3

Total investment securities available for sale		6,525		30			(1	)		1,164			(1,304	)		6,414
Other assets:
Derivative instruments - foreign exchange contracts		307		(55	)		—			127			—			379	$	(13	)

Total assets	$	6,832	$	(25	)	$	(1	)	$	1,291		$	(1,304	)	$	6,793	$	(13	)


	Fair Value Measurements Using Significant Unobservable Inputs Three Months Ended September 30, 2010
	Fair Value at June 30, 2010		Total Realized and Unrealized (Gains) Losses					Purchases, Issuances and Settlements, Net		Transfers Into and/ or Out of Level 3		Fair Value at September 30, 2010		Change in Unrealized (Gains) Losses Related to Financial Instruments Held at September 30, 2010
(In millions)	Fair Value at June 30, 2010		Recorded in Revenue			Recorded in Other Comprehensive Income		Purchases, Issuances and Settlements, Net		Transfers Into and/ or Out of Level 3		Fair Value at September 30, 2010
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	275	$	(51	)			$	129			$	353	$	(22	)
Interest-rate contracts		9		—					—				9		—

Total derivative instruments		284		(51	)				129				362		(22	)

Total liabilities carried at fair value	$	284	$	(51	)		—	$	129		—	$	362	$	(22	)


	Fair Value Measurements Using Significant Unobservable Inputs Nine Months Ended September 30, 2010
	Fair Value at December 31, 2009		Total Realized and Unrealized Gains (Losses)						Purchases, Issuances and Settlements, Net			Transfers Into and/or Out of Level 3			Fair Value at September 30, 2010		Change in Unrealized Gains (Losses) Related to Financial Instruments Held at September 30, 2010
	Fair Value at December 31, 2009		Recorded in Revenue			Recorded in Other Comprehensive Income			Purchases, Issuances and Settlements, Net			Transfers Into and/or Out of Level 3			Fair Value at September 30, 2010
Assets:
Investment securities available for sale:
U.S. Treasury and federal agencies:
Mortgage-backed securities	$	58	$	(1	)	$	(1	)	$	(13	)	$	(42	)	$	1
Asset-backed securities:
Student loans		3,111		8			76			(19	)		(1,581	)		1,595
Credit cards		312		15			(15	)		(33	)		(239	)		40
Sub-prime		3		1			—			—			(4	)		—
Other		1,134		37			45			(102	)		(242	)		872

Total asset-backed securities		4,560		61			106			(154	)		(2,066	)		2,507

Non-U.S. debt securities		2,606		103			138			1,122			(576	)		3,393
State and political subdivisions		2		—			—			—			2			4
Collateralized mortgage obligations		199		(208	)		5			510			—			506
Other U.S. debt securities		3		—			—			—			—			3

Total investment securities available for sale		7,428		(45	)		248			1,465			(2,682	)		6,414
Other assets:
Derivative instruments-foreign exchange contracts		128		(19	)		—			270			—			379	$	(17	)

Total assets	$	7,556	$	(64	)	$	248		$	1,735		$	(2,682	)	$	6,793	$	(17	)


	Fair Value Measurements Using Significant Unobservable Inputs Nine Months Ended September 30, 2010
	Fair Value at December 31, 2009		Total Realized and Unrealized (Gains) Losses					Purchases, Issuances and Settlements, Net		Transfers Into and/or Out of Level 3		Fair Value at September 30, 2010		Change in Unrealized (Gains) Losses Related to Financial Instruments Held at September 30, 2010
(In millions)	Fair Value at December 31, 2009		Recorded in Revenue			Recorded in Other Comprehensive Income		Purchases, Issuances and Settlements, Net		Transfers Into and/or Out of Level 3		Fair Value at September 30, 2010
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	138	$	(55	)			$	270			$	353	$	(35	)
Interest-rate contracts		9		—					—				9		—

Total derivative instruments		147		(55	)				270				362		(35	)

Total liabilities carried at fair value	$	147	$	(55	)		—	$	270		—	$	362	$	(35	)

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


	Three Months Ended September 30, 2011				Nine Months Ended September 30, 2011
(In millions)	Total Realized and Unrealized Gains (Losses) Recorded in Revenue		Change in Unrealized Gains (Losses) Related to Financial Instruments Held at September 30, 2011		Total Realized and Unrealized Gains (Losses) Recorded in Revenue		Change in Unrealized Gains (Losses) Related to Financial Instruments Held at September 30, 2011
Fee revenue:
Trading services	$	12			$	1	$	7

Total fee revenue		12				1		7
Net interest revenue		37				391		—

Total revenue	$	49		—	$	392	$	7


	Three Months Ended September 30, 2010					Nine Months Ended September 30, 2010
(In millions)	Total Realized and Unrealized Gains (Losses) Recorded in Revenue			Change in Unrealized Gains (Losses) Related to Financial Instruments Held at September 30, 2010		Total Realized and Unrealized Gains (Losses) Recorded in Revenue			Change in Unrealized Gains (Losses) Related to Financial Instruments Held at September 30, 2010
Fee revenue:
Trading services	$	(4	)	$	9	$	36		$	18

Total fee revenue		(4	)		9		36			18
Net interest revenue		30			—		(45	)		—

Total revenue	$	26		$	9	$	(9	)	$	18

Reported Amounts And Estimated Fair Values For Financial Instruments


(In millions)	Reported Amount		Fair Value
September 30, 2011:
Financial Assets:
Investment securities held to maturity	$	10,018	$	10,102
Net loans (excluding leases)		10,462		10,429

Financial Liabilities:
Long-term debt		8,112		8,207

December 31, 2010:
Financial Assets:
Investment securities held to maturity	$	12,249	$	12,576
Net loans (excluding leases)		10,387		10,242

Financial Liabilities:
Long-term debt		8,550		8,498

- 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