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. For information about our valuation techniques for financial assets and financial liabilities measured at fair value and the fair value hierarchy, refer to note 2 to the consolidated financial statements on pages 130 to 141 of the 2014 Form 10-K.

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 in the three months ended March 31, 2015 or the year ended December 31, 2014.



	Fair-Value Measurements on a Recurring Basis
	as of March 31, 2015
(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	569		—		—					569
Other	20		536		—					556
Total trading account assets	609		536		—					1,145
Investment securities available for sale:
U.S. Treasury and federal agencies:
Direct obligations	12,418		578		—					12,996
Mortgage-backed securities	—		21,046		—					21,046
Asset-backed securities:
Student loans	—		11,807		257					12,064
Credit cards	—		2,917		—					2,917
Sub-prime	—		911		—					911
Other⁽²⁾	—		395		3,633					4,028
Total asset-backed securities	—		16,030		3,890					19,920
Non-U.S. debt securities:
Mortgage-backed securities	—		8,621		43					8,664
Asset-backed securities	—		3,133		228					3,361
Government securities	—		3,811		—					3,811
Other⁽³⁾	—		4,789		442					5,231
Total non-U.S. debt securities	—		20,354		713					21,067
State and political subdivisions	—		11,012		37					11,049
Collateralized mortgage obligations	—		5,308		522					5,830
Other U.S. debt securities	—		4,064		9					4,073
U.S. equity securities	—		39		—					39
Non-U.S. equity securities	—		2		—					2
U.S. money-market mutual funds	—		582		—					582
Non-U.S. money-market mutual funds	—		8		—					8
Total investment securities available for sale	12,418		79,023		5,171					96,612
Other assets:
Derivative instruments:
Foreign exchange contracts	—		15,931		185		$	(8,087	)	8,029
Interest-rate contracts	—		141		—		(123		)	18
Other derivative contracts	—		3		—		(2		)	1
Total derivative instruments	—		16,075		185		(8,212		)	8,048
Total assets carried at fair value	$	13,027	$	95,634	$	5,356	$	(8,212	)	$	105,805
Liabilities:
Accrued expenses and other liabilities:
Trading account liabilities:
Other	$	4	$	—	$	—	$	—		$	4
Derivative instruments:
Foreign exchange contracts	—		16,881		172		(10,361		)	6,692
Interest-rate contracts	—		232		—		(44		)	188
Other derivative contracts	—		103		9		(2		)	110
Total derivative instruments	—		17,216		181		(10,407		)	6,990
Total liabilities carried at fair value	$	4	$	17,216	$	181	$	(10,407	)	$	6,994

⁽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 $466 million and $2.66 billion, respectively, for cash collateral received from and provided to derivative counterparties.

⁽²⁾As of March 31, 2015 the fair value of other asset-backed securities was primarily composed of $3.6 billion of collateralized loan obligations and approximately $348 million of automobile loan securities.

⁽³⁾As of March 31, 2015 the fair value of other non-U.S. debt securities was primarily composed of $3.3 billion of covered bonds and $1.1 billion of corporate bonds.



	Fair-Value Measurements on a Recurring Basis
	as of December 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	378		—		—					378
Other	20		506		—					526
Total trading account assets	418		506		—					924
Investment securities available for sale:
U.S. Treasury and federal agencies:
Direct obligations	10,056		599		—					10,655
Mortgage-backed securities	—		20,714		—					20,714
Asset-backed securities:
Student loans	—		12,201		259					12,460
Credit cards	—		3,053		—					3,053
Sub-prime	—		951		—					951
Other⁽²⁾	—		365		3,780					4,145
Total asset-backed securities	—		16,570		4,039					20,609
Non-U.S. debt securities:
Mortgage-backed securities	—		9,606		—					9,606
Asset-backed securities	—		2,931		295					3,226
Government securities	—		3,909		—					3,909
Other⁽³⁾	—		5,057		371					5,428
Total non-U.S. debt securities	—		21,503		666					22,169
State and political subdivisions	—		10,782		38					10,820
Collateralized mortgage obligations	—		4,725		614					5,339
Other U.S. debt securities	—		4,100		9					4,109
U.S. equity securities	—		39		—					39
Non-U.S. equity securities	—		2		—					2
U.S. money-market mutual funds	—		449		—					449
Non-U.S. money-market mutual funds	—		8		—					8
Total investment securities available for sale	10,056		79,491		5,366					94,913
Other assets:
Derivatives instruments:
Foreign exchange contracts	—		15,054		81		$	(7,211	)	7,924
Interest-rate contracts	—		77		—		(68		)	9
Other derivative contracts	—		2		—		(1		)	1
Total derivative instruments	—		15,133		81		(7,280		)	7,934
Total assets carried at fair value	$	10,474	$	95,130	$	5,447	$	(7,280	)	$	103,771
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	—	$	14,851	$	74	$	(8,879	)	$	6,046
Interest-rate contracts	—		239		—		(46		)	193
Other derivative contracts	—		61		9		(1		)	69
Total derivative instruments	—		15,151		83		(8,926		)	6,308
Total liabilities carried at fair value	$	—	$	15,151	$	83	$	(8,926	)	$	6,308

⁽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 $983 million and $2.63 billion, respectively, for cash collateral received from and provided to derivative counterparties.

⁽²⁾As of December 31, 2014, the fair value of other asset-backed securities was primarily composed of $3.8 billion of collateralized loan obligations and approximately $315 million of automobile loan securities.

⁽³⁾As of December 31, 2014, the fair value of other non-U.S. debt securities was primarily composed of $3.3 billion of covered bonds and $1.2 billion of corporate bonds.

The following tables present activity related to our level-3 financial assets and liabilities during the three months ended March 31, 2015 and 2014, respectively. Transfers into and out of level 3 are reported as of the beginning of the period presented. In the three months ended March 31, 2015 and 2014, 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, 2015
	Fair Value as of December 31, 2014		Total Realized and Unrealized Gains (Losses)					Purchases		Settlements			Transfers out of Level 3			Fair Value as of March 31, 2015⁽¹⁾		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of March 31, 2015
(In millions)			Recorded in Revenue		Recorded in Other Comprehensive Income
Assets:
Investment securities available for sale:
Asset-backed securities:
Student loans	$	259	$	—	$	1		$	—	$	(3	)	$	—		$	257
Other	3,780		12		(12		)	—		(147		)	—			3,633
Total asset-backed securities	4,039		12		(11		)	—		(150		)	—			3,890
Non-U.S. debt securities:
Mortgage-backed securities	—		—		—			43		—			—			43
Asset-backed securities	295		1		—			—		(68		)	—			228
Other	371		—		1			111		(41		)	—			442
Total non-U.S. debt securities	666		1		1			154		(109		)	—			713
State and political subdivisions	38		—		(1		)	—		—			—			37
Collateralized mortgage obligations	614		—		—			293		(36		)	(349		)	522
Other U.S. debt securities	9		—		—			—		—			—			9
Total investment securities available for sale	5,366		13		(11		)	447		(295		)	(349		)	5,171
Other assets:
Derivative instruments:
Derivative instruments, Foreign exchange contracts	81		131		—			36		(63		)	—			185		$	107
Total derivative instruments	81		131		—			36		(63		)	—			185		107
Total assets carried at fair value	$	5,447	$	144	$	(11	)	$	483	$	(358	)	$	(349	)	$	5,356	$	107



	Fair-Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2015
	Fair Value as of December 31, 2014		Total Realized and Unrealized (Gains) Losses		Issuances		Settlements			Fair Value as of March 31, 2015⁽²⁾		Change in Unrealized (Gains) Losses Related to Financial Instruments Held as of March 31, 2015
(In millions)	Fair Value as of December 31, 2014		Recorded in Revenue		Issuances		Settlements			Fair Value as of March 31, 2015⁽²⁾
Liabilities:
Accrued expenses and other liabilities:
Derivative instruments:
Foreign exchange contracts	$	74	$	109	$	37	$	(48	)	$	172	$	93
Other	9		—		—		—			9
Total derivative instruments	83		109		37		(48		)	181		93
Total liabilities carried at fair value	$	83	$	109	$	37	$	(48	)	$	181	$	93

⁽¹⁾ There were no transfers of assets into level 3 during the three months ended March 31, 2015.

⁽²⁾ There were no transfers of liabilities into or out of level 3 during the three months ended March 31, 2015.



	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		Sales			Settlements			Transfers out of Level 3			Fair Value as of March 31, 2014⁽¹⁾		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			Issuances		Settlements			Fair Value as of March 31, 2014⁽²⁾		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			Issuances		Settlements			Fair Value as of March 31, 2014⁽²⁾
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	)

⁽¹⁾ There were no transfers of assets into level 3 during the three months ended March 31, 2014.

⁽²⁾ There were no transfers of liabilities into or out of level 3 in the three months ended March 31, 2014.

The following table presents total realized and unrealized gains and losses for our level-3 financial assets and liabilities and where they are presented in our consolidated statement of income for the periods indicated:



	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)	2015		2014			2015		2014
Fee revenue:
Trading services	$	22	$	(1	)	$	14	$	(2	)
Total fee revenue	22		(1		)	14		(2		)
Net interest revenue	13		18			—		—
Total revenue	$	35	$	17		$	14	$	(2	)

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, 2015		As of December 31, 2014		Valuation Technique	Significant Unobservable Input⁽¹⁾	As of March 31, 2015		As of December 31, 2014
Significant unobservable inputs readily available to State Street:
Assets:
Asset-backed securities, other	$	54	$	59	Discounted cash flows	Credit spread	0.2	%	0.2	%
State and political subdivisions	37		38		Discounted cash flows	Credit spread	2.2		2.1
Derivative instruments, foreign exchange contracts	185		81		Option model	Volatility	10.8		9.1
Total	$	276	$	178
Liabilities:
Derivative instruments, foreign exchange contracts	$	172	$	74	Option model	Volatility	11.3		9.0
Derivative instruments, other⁽²⁾	9		9		Discounted cash flows	Participant redemptions	5.0		5.2
Total	$	181	$	83

⁽¹⁾Significant changes in these unobservable inputs would result in significant changes in fair value measure.

⁽²⁾ Relates to stable value wrap contracts; refer to the sensitivity discussion following the tables presented below, and to note 7.

We use internally-developed pricing models to measure the fair value of our level-3 financial assets and liabilities, which models 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 following table. Accordingly, changes in these unobservable inputs may have a significant impact on fair value.

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, 2015	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:
Asset-backed securities, student loans	$	—	$	257	$	257
Asset-backed securities, other	54		3,579		3,633
Non-U.S. debt securities, mortgage-backed securities	—		43		43
Non-U.S. debt securities, asset-backed securities	—		228		228
Non-U.S. debt securities, other			442		442
State and political subdivisions	37		—		37
Collateralized mortgage obligations	—		522		522
Other U.S. debt securities	—		9		9
Derivative instruments, foreign exchange contracts	185		—		185
Total	$	276	$	5,080	$	5,356
Liabilities:
Derivative instruments, foreign exchange contracts	$	172	$	—	$	172
Derivative instruments, other	9		—		9
Total	$	181	$	—	$	181

⁽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, 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:
Asset-backed securities, student loans	$	—	$	259	$	259
Asset-backed securities, other	59		3,721		3,780
Non-U.S. debt securities, asset-backed securities	—		295		295
Non-U.S. debt securities, other	—		371		371
State and political subdivisions	38		—		38
Collateralized mortgage obligations	—		614		614
Other U.S. debt securities	—		9		9
Derivative instruments, foreign exchange contracts	81		—		81
Total	$	178	$	5,269	$	5,447
Liabilities:
Derivative instruments, foreign exchange contracts	$	74	$	—	$	74
Derivative instruments, other	9		—		9
Total	$	83	$	—	$	83

⁽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.

Fair Value Estimates:

Estimates of fair value for financial instruments not carried at fair value on a recurring basis in our consolidated statement of condition 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.

The following tables present the reported amounts and estimated fair values of the financial assets and liabilities not 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, 2015	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	$	3,149	$	3,149	$	3,149	$	—	$	—
Interest-bearing deposits with banks	83,398		83,398		—		83,398		—
Securities purchased under resale agreements	11,331		11,331		—		11,331		—
Investment securities held to maturity	16,245		16,417		—		16,417		—
Net loans (excluding leases)	17,344		17,339		—		17,177		162
Financial Liabilities:
Deposits:
Noninterest-bearing	$	72,704	$	72,704	$	—	$	72,704	$	—
Interest-bearing - U.S.	30,769		30,769		—		30,769		—
Interest-bearing - non-U.S.	107,879		107,879		—		107,879		—
Securities sold under repurchase agreements	10,158		10,158		—		10,158		—
Federal funds purchased	17		17		—		17		—
Other short-term borrowings	4,346		4,346		—		4,346		—
Long-term debt	9,174		9,432		—		8,592		840



					Fair-Value Hierarchy
December 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	$	1,855	$	1,855	$	1,855	$	—	$	—
Interest-bearing deposits with banks	93,523		93,523		—		93,523		—
Securities purchased under resale agreements	2,390		2,390		—		2,390		—
Investment securities held to maturity	17,723		17,842		—		17,842		—
Net loans (excluding leases)	17,158		17,131		—		16,964		167
Financial Liabilities:
Deposits:
Noninterest-bearing	$	70,490	$	70,490	$	—	$	70,490	$	—
Interest-bearing - U.S.	33,012		33,012		—		33,012		—
Interest-bearing - non-U.S.	105,538		105,538		—		105,538		—
Securities sold under repurchase agreements	8,925		8,925		—		8,925		—
Federal funds purchased	21		21		—		21		—
Other short-term borrowings	4,381		4,381		—		4,381		—
Long-term debt	10,042		10,229		—		9,382		847