Fair Value

Fair-Value Measurements:

We carry trading account assets, investment securities available for sale and various types of derivative financial instruments at fair value in our consolidated statement of condition on a recurring basis. Changes in the fair values of these financial assets and liabilities are recorded either as components of our consolidated statement of income or as components of accumulated other comprehensive income, or AOCI, within shareholders' equity in our consolidated statement of condition.

We measure fair value for the above-described financial assets and liabilities in conformity with GAAP that governs the measurement of the fair value of financial instruments. Management believes that its valuation techniques and underlying assumptions used to measure fair value conform to the provisions of GAAP. We categorize the financial assets and liabilities that we carry at fair value based on a prescribed three-level valuation hierarchy. The hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (level 1) and the lowest priority to valuation methods using significant unobservable inputs (level 3). If the inputs used to measure a financial asset or liability cross different levels of the hierarchy, categorization is based on the lowest-level input that is most significant to the fair-value measurement. Management's assessment of the significance of a particular input to the overall fair-value measurement of a financial asset or liability requires judgment, and considers factors specific to that asset or liability. The three valuation levels are described below.

Level 1. Financial assets and liabilities with values based on unadjusted quoted prices for identical assets or liabilities in an active market. Fair value is measured using unadjusted quoted prices in active markets for identical securities. Our level-1 financial assets and liabilities primarily include positions in U.S. government securities and highly liquid U.S. and non-U.S. government fixed-income securities. We may carry U.S. government securities in our available-for-sale portfolio in connection with our asset-and-liability management activities. Our level-1 financial assets also include active exchange-traded equity securities.

Level 2. Financial assets and liabilities with values based on quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the asset or liability. Level-2 inputs include the following:


•	Quoted prices for similar assets or liabilities in active markets;


•	Quoted prices for identical or similar assets or liabilities in non-active markets;


•	Pricing models whose inputs are observable for substantially the full term of the asset or liability; and


•	Pricing models whose inputs are derived principally from, or corroborated by, observable market information through correlation or other means for substantially the full term of the asset or liability.

Our level-2 financial assets and liabilities primarily include trading account assets and fixed-income investment securities available for sale, as well as various types of foreign exchange and interest-rate derivative instruments.

Fair value for our investment securities available for sale categorized in level 2 is measured primarily using information obtained from independent third parties. This third-party information is subject to review by management as part of a validation process, which includes obtaining an understanding of the underlying assumptions and the level of market participant information used to support those assumptions. In addition, management compares significant assumptions used by third parties to available market information. Such information may include known trades or, to the extent that trading activity is limited, comparisons to market research information pertaining to credit expectations, execution prices and the timing of cash flows, and where information is available, back-testing.

Derivative instruments categorized in level 2 predominantly represent foreign exchange contracts used in our trading activities, for which fair value is measured using discounted cash-flow techniques, with inputs consisting of observable spot and forward points, as well as observable interest-rate curves. With respect to derivative instruments, we evaluate the impact on valuation of the credit risk of our counterparties and our own credit risk. We consider factors such as the likelihood of default by us and our counterparties, our current and potential future net exposures and remaining maturities in determining the fair value. Valuation adjustments associated with derivative instruments were not material to those instruments in the three months ended March 31, 2014 or 2013.

Level 3. Financial assets and liabilities with values based on prices or valuation techniques that require inputs that are both unobservable in the market and significant to the overall measurement of fair value. These inputs reflect management's judgment about the assumptions that a market participant would use in pricing the financial asset or liability, and are based on the best available information, some of which is internally developed. The following provides a more detailed discussion of our financial assets and liabilities that we may categorize in level 3 and the related valuation methodology.

•

The fair value of our investment securities categorized in level 3 is measured using information obtained from third-party sources, typically non-binding broker or dealer quotes, or through the use of internally-developed pricing models. Management has evaluated its methodologies used to measure fair value, but has considered the level of observable market information to be insufficient to categorize the securities in level 2.


•	The fair value of foreign exchange contracts, primarily options, is measured using an option-pricing model. Because of a limited number of observable transactions, certain model inputs are not observable, such as implied volatility surface, but are derived from observable market information.


•	The fair value of certain interest-rate caps with long-dated maturities, is measured using a matrix-pricing approach. Observable market prices are not available for these derivatives, so extrapolation is necessary to value these instruments, since they have a strike and/or maturity outside of the matrix.

Our level-3 financial assets and liabilities are similar in structure and profile to our level-1 and level-2 financial instruments, but they trade in less-liquid markets, and the measurement of their fair value is inherently more difficult. As of March 31, 2014, on a gross basis, we categorized in level 3 approximately 6% of our financial assets carried at fair value on a recurring basis. As of the same date and on the same basis, the percentage of our financial liabilities categorized in level 3 to our financial liabilities carried at fair value on a recurring basis was not significant. The fair value of investment securities categorized in level 3 that was measured using non-binding quotes and internally-developed pricing-model inputs composed approximately 98% and 2%, respectively, of the total fair value of the investment securities categorized in level 3 as of both March 31, 2014 and December 31, 2013.

The process used to measure the fair value of our level-3 financial assets and liabilities is overseen by a valuation group within Corporate Finance, separate from the business units that manage the assets and liabilities. This function, which develops and manages the valuation process, reports to State Street's Valuation Committee. The Valuation Committee, composed of senior management from separate business units, Enterprise Risk Management, a corporate risk oversight group, and Corporate Finance, oversees adherence to State Street's valuation policies.

The valuation group performs validation of the pricing information obtained from third-party sources in order to evaluate reasonableness and consistency with market experience in similar asset classes. Monthly analyses include a review of price changes relative to overall trends, credit analysis and other relevant procedures (discussed below). In addition, prices for level-3 securities carried in our investment portfolio are tested on a sample basis based on unexpected pricing movements. These sample prices are then corroborated through price recalculations, when applicable, using available market information, which is obtained separately from the third-party pricing source. The recalculated prices are compared to market-research information pertaining to credit expectations, execution prices and the timing of cash flows, and where information is available, back-testing. If a difference is identified and it is determined that there is a significant impact requiring an adjustment, the adjustment is presented to the Valuation Committee for review and consideration.

Validation is also performed on fair-value measurements determined using internally-developed pricing models. The pricing models are subject to validation through our Model Assessment Committee, a corporate risk oversight committee that provides technical support and input to the Valuation Committee. This validation process incorporates a review of a diverse set of model and trade parameters across a broad range of values in order to evaluate the model's suitability for valuation of a particular financial instrument type, as well as the model's accuracy in reflecting the characteristics of the related financial asset or liability and its significant risks. Inputs and assumptions, including any price-valuation adjustments, are developed by the business units and separately reviewed by the valuation group. Model valuations are compared to available market information including appropriate proxy instruments and other benchmarks to highlight abnormalities for further investigation.

Measuring fair value requires the exercise of management judgment. The level of subjectivity and the degree of management judgment required is more significant for financial instruments whose fair value is measured using inputs that are not observable. The areas requiring significant judgment are identified, documented and reported to the Valuation Committee as part of the valuation control framework. We believe that our valuation methods are appropriate; however, the use of different methodologies or assumptions, particularly as they apply to level-3 financial assets and liabilities, could materially affect our fair-value measurements as of the reporting date.

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.

The following tables present activity related to our level-3 financial assets and liabilities during the three months ended March 31, 2014 and 2013, respectively. Transfers into and out of level 3 are reported as of the beginning of the period. During the three months ended March 31, 2014 and 2013, transfers out of level 3 were mainly related to certain mortgage- and asset-backed securities, including 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, 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, 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)			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 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

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

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.

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.

Internally-developed pricing models used to measure the fair value of our level-3 financial assets and liabilities incorporate discounted cash flow and option modeling techniques. Use of these techniques requires the determination of relevant inputs and assumptions, some of which represent significant unobservable inputs as indicated in the preceding table. Accordingly, changes in these unobservable inputs may have a significant impact on fair value.

Certain of these unobservable inputs will, in isolation, have a directionally consistent impact on the fair value of the instrument for a given change in that input. Alternatively, the fair value of the instrument may move in an opposite direction for a given change in another input. Where multiple inputs are used within the valuation technique of an asset or liability, a change in one input in a certain direction may be offset by an opposite change in another input, resulting in a potentially muted impact on the overall fair value of that particular instrument. Additionally, a change in one unobservable input may result in a change to another unobservable input (that is, changes in certain inputs are interrelated to one another), which may counteract or magnify the fair-value impact.

For recurring level-3 fair-value measurements for which significant unobservable inputs were readily available to State Street as of March 31, 2014, the sensitivity of the fair-value measurement to changes in significant unobservable inputs, and a description of any interrelationships between those unobservable inputs, is described below; however, we rarely experience a situation in which those unobservable inputs change in isolation:


•	The significant unobservable input used in the measurement of the fair value of our asset-backed securities and municipal securities (state and political subdivisions) is the credit spread. Significant increases (decreases) in the credit spread would result in measurements of significantly lower (higher) fair value of these securities.


•	The significant unobservable input used in the measurement of the fair value of our foreign exchange option contracts is the implied volatility surface. A significant increase (decrease) in the implied volatility surface would result in measurements of significantly higher (lower) fair value of these contracts.

•

The significant unobservable input used in the measurement of the fair value of our other derivative instruments, specifically stable value wrap contracts, is participant redemptions. Increased volatility of participant redemptions may result in changes to our measurement of fair value. Generally, significant increases (decreases) in participant redemptions may result in measurements of significantly higher (lower) fair value of this liability.

Fair Values of Financial Instruments:

Estimates of fair value for financial instruments not carried at fair value on a recurring basis in our consolidated statement of condition, as defined by GAAP, are generally subjective in nature, and are determined as of a specific point in time based on the characteristics of the financial instruments and relevant market information. Disclosure of fair-value estimates is not required by GAAP for certain items, such as lease financing, equity-method investments, obligations for pension and other post-retirement plans, premises and equipment, other intangible assets and income-tax assets and liabilities. Accordingly, aggregate fair-value estimates presented do not purport to represent, and should not be considered representative of, our underlying “market” or franchise value. In addition, because of potential differences in methodologies and assumptions used to estimate fair values, our estimates of fair value should not be compared to those of other financial institutions.

We use the following methods to estimate the fair values of our financial instruments:


•	For financial instruments that have quoted market prices, those quoted prices are used to estimate fair value.


•	For financial instruments that have no defined maturity, have a remaining maturity of 180 days or less, or reprice frequently to a market rate, we assume that the fair value of these instruments approximates their reported value, after taking into consideration any applicable credit risk.


•	For financial instruments for which no quoted market prices are available, fair value is estimated using information obtained from independent third parties, or by discounting the expected cash flows using an estimated current market interest rate for the financial instrument.

The generally short duration of certain of our assets and liabilities results in a significant number of financial instruments for which fair value equals or closely approximates the amount recorded in our consolidated statement of condition. These financial instruments are reported in the following captions in our consolidated statement of condition: cash and due from banks; interest-bearing deposits with banks; securities purchased under resale agreements; accrued interest and fees receivable; deposits; securities sold under repurchase agreements; federal funds purchased; and other short-term borrowings.

In addition, due to the relatively short duration of certain of our net loans (excluding leases), we consider fair value for these loans to approximate their reported value. The fair value of other types of loans, such as senior secured bank loans, commercial real estate loans and purchased receivables, is estimated using information obtained from independent third parties or by discounting expected future cash flows using current rates at which similar loans would be made to borrowers with similar credit ratings for the same remaining maturities. Commitments to lend have no reported value because their terms are at prevailing market rates.

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