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Fair Value
 9 Months Ended
Sep. 30, 2015
Fair Value Disclosures [Abstract]  
Fair Value
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 nine months ended September 30, 2015 or the year ended December 31, 2014.





 
Fair-Value Measurements on a Recurring Basis
 
as of September 30, 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
$
71

 
$
—

 
$
—

 
 
 
$
71

Non-U.S. government securities
666

 
—

 
—

 
 
 
666

Other
14

 
472

 
—

 
 
 
486

Total trading account assets
751

 
472

 
—

 
 
 
1,223

Investment securities available for sale:
 
 
 
 
 
 
 
 
 
U.S. Treasury and federal agencies:
 
 
 
 
 
 
 
 
 
Direct obligations
12,817

 
537

 
—

 
 
 
13,354

Mortgage-backed securities
—

 
18,829

 
—

 
 
 
18,829

Asset-backed securities:
 
 
 
 
 
 
 
 
 
Student loans
—

 
7,414

 
230

 
 
 
7,644

Credit cards
—

 
1,504

 
—

 
 
 
1,504

Sub-prime
—

 
458

 
—

 
 
 
458

Other(2)
—

 
12

 
1,943

 
 
 
1,955

Total asset-backed securities
—

 
9,388

 
2,173

 

 
11,561

Non-U.S. debt securities:
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
—

 
7,916

 
—

 
 
 
7,916

Asset-backed securities
—

 
2,921

 
277

 
 
 
3,198

Government securities
—

 
3,711

 
—

 
 
 
3,711

Other(3)
—

 
4,739

 
263

 
 
 
5,002

Total non-U.S. debt securities
—

 
19,287

 
540

 
 
 
19,827

State and political subdivisions
—

 
9,939

 
35

 
 
 
9,974

Collateralized mortgage obligations
—

 
3,151

 
148

 
 
 
3,299

Other U.S. debt securities
—

 
2,898

 
9

 
 
 
2,907

U.S. equity securities
—

 
37

 
—

 
 
 
37

Non-U.S. equity securities
—

 
3

 
—

 
 
 
3

U.S. money-market mutual funds
—

 
298

 
—

 
 
 
298

Non-U.S. money-market mutual funds
—

 
8

 
—

 
 
 
8

Total investment securities available for sale
12,817

 
64,375

 
2,905

 

 
80,097

Other assets:
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
—

 
10,713

 
21

 
$
(5,364
)
 
5,370

Interest-rate contracts
—

 
232

 
—

 
(217
)
 
15

Other derivative contracts
—

 
5

 
—

 
(3
)
 
2

Total derivative instruments
—

 
10,950

 
21

 
(5,584
)
 
5,387

Total assets carried at fair value
$
13,568

 
$
75,797

 
$
2,926

 
$
(5,584
)
 
$
86,707

Liabilities:
 
 
 
 
 
 
 
 
 
Accrued expenses and other liabilities:
 
 
 
 
 
 
 
 
 
Trading account liabilities:
 
 
 
 
 
 
 
 
 
Non-U.S. government securities
$
94

 
$
—

 
$
—

 
$
—

 
$
94

Other
—

 
9

 
—

 
—

 
9

Derivative instruments:
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
—

 
10,275

 
22

 
(6,451
)
 
3,846

Interest-rate contracts
—

 
207

 
—

 
(39
)
 
168

Other derivative contracts
—

 
105

 
—

 
(3
)
 
102

Total derivative instruments
—

 
10,587

 
22

 
(6,493
)
 
4,116

Total liabilities carried at fair value
$
94

 
$
10,596

 
$
22

 
$
(6,493
)
 
$
4,219

 
 
 
 
(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 $842 million and $1.75 billion, respectively, for cash collateral received from and provided to derivative counterparties.
(2) As of September 30, 2015 the fair value of other asset-backed securities was primarily composed of $1.9 billion of collateralized loan obligations and approximately $12 million of automobile loan securities.
(3) As of September 30, 2015 the fair value of other non-U.S. debt securities was primarily composed of $3.3 billion of covered bonds and $763 million 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 and nine months ended September 30, 2015 and 2014, respectively. Transfers into and out of level 3 are reported as of the beginning of the period presented. In the three and nine months ended September 30, 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 September 30, 2015
 
Fair Value  as of
June 30, 2015
 
Total Realized and Unrealized Gains (Losses)
 
Purchases
 
Sales
 
Settlements
 
Transfers out of Level 3
 
Fair Value  as of
September 30, 2015 (1)
 
Change in
Unrealized
Gains
(Losses)
Related to
Financial
Instruments
Held as of
September 30, 2015
(In millions)
Recorded in Revenue
 
Recorded in Other Comprehensive Income
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Student loans
$
234

 
$
—

 
$
(3
)
 
$
—

 
$
—

 
$
(1
)
 
$
—

 
$
230

 
 
Other
2,933

 
22

 
(19
)
 
—

 
(686
)
 
(307
)
 
—

 
1,943

 
 
Total asset-backed securities
3,167

 
22

 
(22
)
 
—

 
(686
)
 
(308
)
 
—

 
2,173

 
 
Non-U.S. debt securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
97

 
—

 
—

 
—

 
—

 
—

 
(97
)
 
—

 
 
Asset-backed securities
193

 
—

 
(1
)
 
168

 
—

 
(83
)
 
—

 
277

 
 
Other
264

 
—

 
(1
)
 
—

 
—

 
—

 
—

 
263

 
 
Total Non-U.S. equity securities
554

 
—

 
(2
)
 
168

 
—

 
(83
)
 
(97
)
 
540

 
 
State and political subdivisions
36

 
—

 
(1
)
 
—

 
—

 
—

 
—

 
35

 
 
Collateralized mortgage obligations
215

 
—

 
(1
)
 
—

 
—

 
(17
)
 
(49
)
 
148

 
 
Other U.S. debt securities
9

 
—

 
—

 
—

 
—

 
—

 
—

 
9

 
 
Total investment securities available for sale
3,981

 
22

 
(26
)
 
168

 
(686
)
 
(408
)
 
(146
)
 
2,905

 
 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
60

 
(5
)
 
—

 
1

 
—

 
(35
)
 
—

 
21

 
$
—

Total derivative instruments
60

 
(5
)
 
—

 
1

 
—

 
(35
)
 
—

 
21

 
—

Other
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Total assets carried at fair value
$
4,041

 
$
17

 
$
(26
)
 
$
169

 
$
(686
)
 
$
(443
)
 
$
(146
)
 
$
2,926

 
$
—


 
Fair-Value Measurements Using Significant Unobservable Inputs
 
Three Months Ended September 30, 2015
 
Fair Value  as of
June 30, 2015
 
Total Realized and
Unrealized (Gains) Losses
 
Issuances
 
Settlements
 
Fair Value 
as of
September 30, 2015 (2)
 
Change in
Unrealized
(Gains) Losses Related to
Financial
Instruments
Held as of
September 30,
2015
(In millions)
Recorded
in
Revenue
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
Accrued expenses and other liabilities:
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
$
50

 
$
(3
)
 
$
1

 
$
(26
)
 
$
22

 
$
1

Total derivative instruments
50

 
(3
)
 
1

 
(26
)
 
22

 
1

Total liabilities carried at fair value
$
50

 
$
(3
)
 
$
1

 
$
(26
)
 
$
22

 
$
1

 
 
 
 
(1) There were no transfers of assets into level 3 during the three months ended September 30, 2015.
(2) There were no transfers of liabilities into or out of level 3 during the three months ended September 30, 2015.
 
Fair Value Measurements Using Significant Unobservable Inputs
 
Nine Months Ended September 30, 2015
 
Fair Value  as of
December 31,
2014
 
Total Realized and
Unrealized Gains (Losses)
 
Purchases
 
Sales
 
Settlements
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
Fair Value  as of
September 30, 2015
 
Change in
Unrealized
Gains
(Losses)
Related to
Financial
Instruments
Held as of
September 30, 2015
(In millions)
Recorded
in
Revenue
 
Recorded
in Other
Comprehensive
Income
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Student loans
$
259

 
$
—

 
$
(2
)
 
$
—

 
—

 
$
(6
)
 
$
—

 
$
(21
)
 
$
230

 
 
Other
3,780

 
47

 
(37
)
 
—

 
(1,106
)
 
(741
)
 
—

 
—

 
1,943

 
 
Total asset-backed securities
4,039

 
47

 
(39
)
 
—

 
(1,106
)
 
(747
)
 
—

 
(21
)
 
2,173

 
 
Non-U.S. debt securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
—

 
—

 
—

 
43

 
—

 
—

 
97

 
(140
)
 
—

 
 
Asset-backed securities
295

 
1

 
(1
)
 
168

 
—

 
(169
)
 
—

 
(17
)
 
277

 
 
Other
371

 
—

 
—

 
111

 
—

 
(32
)
 
—

 
(187
)
 
263

 
 
Total non-U.S. debt securities
666

 
1

 
(1
)
 
322

 
—

 
(201
)
 
97

 
(344
)
 
540

 
 
State and political subdivisions
38

 
—

 
(2
)
 
—

 
—

 
(1
)
 
—

 
—

 
35

 
 
Collateralized mortgage obligations
614

 
—

 
(2
)
 
293

 
(88
)
 
(82
)
 
—

 
(587
)
 
148

 
 
Other U.S. debt securities
9

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
9

 
 
Total investment securities available for sale
5,366

 
48

 
(44
)
 
615

 
(1,194
)
 
(1,031
)
 
97

 
(952
)
 
2,905

 
 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments, Foreign exchange contracts
81

 
49

 
—

 
17

 
—

 
(126
)
 
—

 
—

 
21

 
$
—

Total derivative instruments
81

 
49

 
—

 
17

 
—

 
(126
)
 
—

 
—

 
21

 
—

Total assets carried at fair value
$
5,447

 
$
97

 
$
(44
)
 
$
632

 
$
(1,194
)
 
$
(1,157
)
 
$
97

 
$
(952
)
 
$
2,926

 
$
—


 
Fair-Value Measurements Using Significant Unobservable Inputs
 
Nine Months Ended September 30, 2015
 
Fair Value  as of
December 31,
2014
 
Total Realized and
Unrealized (Gains) Losses
 
Issuances
 
Settlements
 
Fair Value  as of
September 30, 2015(1)
 
Change in
Unrealized
(Gains) Losses Related to
Financial
Instruments
Held as of
September 30,
2015
(In millions)
Recorded
in
Revenue
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
Accrued expenses and other liabilities:
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
$
74

 
$
24

 
$
19

 
$
(95
)
 
$
22

 
$
(2
)
Other
9

 
—

 
—

 
(9
)
 
—

 
—

Total derivative instruments
83

 
24

 
19

 
(104
)
 
22

 
(2
)
Total liabilities carried at fair value
$
83

 
$
24

 
$
19

 
$
(104
)
 
$
22

 
$
(2
)
 
 
 
 
(1) There were no transfers of liabilities into or out of level 3 during the nine months ended September 30, 2015.
 
Fair-Value Measurements Using Significant Unobservable Inputs
 
Three Months Ended September 30, 2014
 
Fair Value as of June 30,
2014
 
Total Realized and
Unrealized Gains (Losses)
 
Purchases
 
Sales
 
Settlements
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
Fair Value  as of
September 30, 2014
 
Change in
Unrealized
Gains
(Losses)
Related to
Financial
Instruments
Held as of
September 30,
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
$
96

 
$
—

 
$
—

 
$
168

 
$
—

 
$
(4
)
 
$
—

 
$
—

 
$
260

 
 
Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Student loans
322

 


 
(1
)
 
24

 
(74
)
 
(5
)
 
—

 
—

 
266

 
 
Other
4,061

 
18

 
(8
)
 
275

 
—

 
(402
)
 
—

 
—

 
3,944

 
 
Total asset-backed securities
4,383

 
18

 
(9
)
 
299

 
(74
)
 
(407
)
 
—

 
—

 
4,210

 
 
Non-U.S. debt securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities
506

 
2

 
(1
)
 
—

 
—

 
(99
)
 
76

 
(60
)
 
424

 
 
Other
515

 
—

 
—

 
—

 
—

 
(25
)
 
—

 
(192
)
 
298

 
 
Total non-U.S. debt securities
1,021

 
2

 
(1
)
 
—

 
—

 
(124
)
 
76

 
(252
)
 
722

 
 
State and political subdivisions
41

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
41

 
 
Collateralized mortgage obligations
196

 
—

 
—

 
125

 
—

 
(7
)
 
—

 
(80
)
 
234

 
 
Other U.S. debt securities
9

 
—

 
—

 
—

 
—

 
(1
)
 
—

 
—

 
8

 
 
Total investment securities available for sale
5,746

 
20

 
(10
)
 
592

 
(74
)
 
(543
)
 
76

 
(332
)
 
5,475

 
 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments, Foreign exchange contracts
10

 
44

 
—

 
22

 
—

 
(8
)
 
—

 
—

 
68

 
$
40

Total derivative instruments
10

 
44

 
—

 
22

 
—

 
(8
)
 
—

 
—

 
68

 
40

Total assets carried at fair value
$
5,756

 
$
64

 
$
(10
)
 
$
614

 
$
(74
)
 
$
(551
)
 
$
76

 
$
(332
)
 
$
5,543

 
$
40


 
Fair-Value Measurements Using Significant Unobservable Inputs
 
Three Months Ended September 30, 2014
 
Fair Value as of June 30,
2014
 
Total Realized and
Unrealized Gains  (Losses)
 
Issuances
 
Settlements
 
Fair Value  as of
September 30, 2014(1)
 
Change in
Unrealized
(Gains) Losses
Related to
Financial
Instruments
Held as of
September 30,
2014
(In millions)
Recorded
in
Revenue
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
Accrued expenses and other liabilities:
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
$
10

 
$
36

 
$
18

 
$
(5
)
 
$
59

 
$
35

Other
9

 
—

 
—

 
—

 
9

 
—

Total derivative instruments
19

 
36

 
18

 
(5
)
 
68

 
35

Total liabilities carried at fair value
$
19

 
$
36

 
$
18

 
$
(5
)
 
$
68

 
$
35

 
 
 
 
(1) There were no transfers of liabilities into or out of level 3 in the three months ended September 30, 2014.
 
Fair-Value Measurements Using Significant Unobservable Inputs
 
Nine Months Ended September 30, 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
September 30, 2014
 
Change in
Unrealized
Gains
(Losses)
Related to
Financial
Instruments
Held as of
September 30,
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

 
$
—

 
$
—

 
$
168

 
$
—

 
$
—

 
$
(14
)
 
$
—

 
$
(610
)
 
$
260

 
 
Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Student loans
423

 
1

 
2

 
24

 
—

 
(74
)
 
(31
)
 
—

 
(79
)
 
266

 
 
Credit cards
24

 
—

 
—

 
—

 
—

 
—

 
(24
)
 
—

 
—

 
—

 
 
Other
4,532

 
46

 
(14
)
 
282

 
—

 
—

 
(902
)
 
—

 
—

 
3,944

 
 
Total asset-backed securities
4,979

 
47

 
(12
)
 
306

 
—

 
(74
)
 
(957
)
 
—

 
(79
)
 
4,210

 
 
Non-U.S. debt securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
375

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
(375
)
 
—

 
 
Asset-backed securities
798

 
5

 
—

 
—

 
—

 
—

 
(219
)
 
76

 
(236
)
 
424

 
 
Other
464

 
—

 
—

 
55

 
—

 
(1
)
 
(28
)
 
—

 
(192
)
 
298

 
 
Total non-U.S. debt securities
1,637

 
5


—


55


—


(1
)

(247
)

76

 
(803
)
 
722

 
 
State and political subdivisions
43

 
1

 
(1
)
 
—

 
—

 
—

 
(2
)
 
—

 
—

 
41

 
 
Collateralized mortgage obligations
162

 
—

 
1

 
205

 
—

 
(6
)
 
(20
)
 
—

 
(108
)
 
234

 
 
Other U.S. debt securities
8

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
8

 
 
Total investment securities available for sale
7,545

 
53

 
(12
)
 
734

 
—

 
(81
)
 
(1,240
)
 
76

 
(1,600
)
 
5,475

 
 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments, Foreign exchange contracts
19

 
26

 
—

 
32

 
—

 
—

 
(9
)
 
—

 
—

 
68

 
$
35

Total derivative instruments
19

 
26

 
—

 
32

 
—

 
—

 
(9
)
 
—

 
—

 
68

 
35

Total assets carried at fair value
$
7,564

 
$
79

 
$
(12
)
 
$
766

 
$
—

 
$
(81
)
 
$
(1,249
)
 
$
76

 
$
(1,600
)
 
$
5,543

 
$
35


 
Fair-Value Measurements Using Significant Unobservable Inputs
 
Nine Months Ended September 30, 2014
 
Fair Value  as of December 31,
2013
 
Total Realized and
Unrealized (Gains) Losses
 
Issuances
 
Settlements
 
Fair Value  as of
September 30, 2014(1)
 
Change in
Unrealized
(Gains)
Losses
Related to
Financial
Instruments
Held as of
September 30,
2014
(In millions)
Recorded
in
Revenue
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
Accrued expenses and other liabilities:
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
$
17

 
$
22

 
$
28

 
$
(8
)
 
$
59

 
$
32

Other
9

 
—

 
—

 
—

 
9

 
—

Total derivative instruments
26

 
22

 
28

 
(8
)
 
68

 
32

Total liabilities carried at fair value
$
26

 
$
22

 
$
28

 
$
(8
)
 
$
68

 
$
32


 
 
 
 

(1) There were no transfers of liabilities into or out of level 3 in the nine months ended September 30, 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 September 30,
 
Nine Months Ended September 30,
 
Total Realized and
Unrealized Gains
(Losses) Recorded
in Revenue
 
Change in
Unrealized Gains
(Losses) Related to
Financial
Instruments Held as of September 30,
 
Total Realized and
Unrealized Gains
(Losses) Recorded
in Revenue
 
Change in Unrealized Gains (Losses) Related to Financial instruments Held as of September 30,
(In millions)
2015
 
2014
 
2015
 
2014
 
2015
 
2014
 
2015
 
2014
Fee revenue:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading services
$
(1
)
 
$
8

 
$
(1
)
 
$
5

 
$
25

 
$
4

 
$
2

 
$
3

Total fee revenue
(1
)
 
8

 
(1
)
 
5

 
25

 
4

 
2

 
3

Net interest revenue
21

 
20

 
—

 
—

 
48

 
53

 
—

 
—

Total revenue
$
20

 
$
28

 
$
(1
)
 
$
5

 
$
73

 
$
57

 
$
2

 
$
3

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 September 30, 2015
 
As of December 31, 2014
 
Valuation Technique
 
Significant
Unobservable Input(1)
 
As of September 30, 2015
 
As of December 31, 2014
Significant unobservable inputs readily available to State Street:
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities, other
 
$
38

 
$
59

 
Discounted cash flows
 
Credit spread
 
0.1
%
 
0.2
%
State and political subdivisions
 
35

 
38

 
Discounted cash flows
 
Credit spread
 
2.3

 
2.1

Derivative instruments, foreign exchange contracts
 
21

 
81

 
Option model
 
Volatility
 
10.9

 
9.1

Total
 
$
94

 
$
178

 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments, foreign exchange contracts
 
$
22

 
$
74

 
Option model
 
Volatility
 
11.8

 
9.0

Derivative instruments, other(2)
 
—

 
9

 
Discounted cash flows
 
Participant redemptions
 
—

 
5.2

Total
 
$
22

 
$
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 certain level-3 financial assets and liabilities, which 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:
September 30, 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
 
$
—

 
$
230

 
$
230

Asset-backed securities, other
 
38

 
1,905

 
1,943

Non-U.S. debt securities, mortgage-backed securities
 
—

 
—

 
—

Non-U.S. debt securities, asset-backed securities
 
—

 
277

 
277

Non-U.S. debt securities, other
 
—

 
263

 
263

State and political subdivisions
 
35

 
—

 
35

Collateralized mortgage obligations
 
—

 
148

 
148

Other U.S. debt securities
 
—

 
9

 
9

Derivative instruments, foreign exchange contracts
 
21

 
—

 
21

Total
 
$
94

 
$
2,832

 
$
2,926

Liabilities:
 
 
 
 
 
 
Derivative instruments, foreign exchange contracts
 
$
22

 
$
—

 
$
22

Total
 
$
22

 
$
—

 
$
22

 
 
 
 
 
(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
September 30, 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
 
$
3,660

 
$
3,660

 
$
3,660

 
$
—

 
$
—

Interest-bearing deposits with banks
 
68,361

 
68,361

 
—

 
68,361

 
—

Securities purchased under resale agreements
 
9,155

 
9,155

 
—

 
9,155

 
—

Investment securities held to maturity
 
17,463

 
17,536

 
—

 
17,536

 
—

Net loans (excluding leases)
 
18,108

 
18,081

 
—

 
17,925

 
156

Financial Liabilities:
 
 
 
 
 
 
 
 
 
 
Deposits:
 
 
 
 
 
 
 
 
 
 
     Noninterest-bearing
 
$
58,426

 
$
58,426

 
$
—

 
$
58,426

 
$
—

     Interest-bearing - U.S.
 
30,407

 
30,407

 
—

 
30,407

 
—

     Interest-bearing - non-U.S.
 
97,534

 
97,534

 
—

 
97,534

 
—

Securities sold under repurchase agreements
 
7,760

 
7,760

 
—

 
7,760

 
—

Federal funds purchased
 
25

 
25

 
—

 
25

 
—

Other short-term borrowings
 
3,761

 
3,761

 
—

 
3,761

 
—

Long-term debt
 
12,025

 
11,998

 
—

 
11,448

 
550


 
 
 
 
 
 
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