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Fair Value
 6 Months Ended
Jun. 30, 2016
Fair Value Disclosures [Abstract]  
Fair Value
Fair Value
Fair-Value Measurements:
We carry trading account assets, AFS investment securities 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 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 U.S. 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 U.S. 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 132 to 142 of our 2015 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 six months ended June 30, 2016 or the year ended December 31, 2015.
 
Fair-Value Measurements on a Recurring Basis
 
as of June 30, 2016
(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
$
44

 
$
—

 
$
—

 
 
 
$
44

Non-U.S. government securities
436

 
—

 
—

 
 
 
436

Other
17

 
393

 
—

 
 
 
410

Total trading account assets
497

 
393

 
—

 
 
 
890

AFS Investment securities:
 
 
 
 
 
 
 
 
 
U.S. Treasury and federal agencies:
 
 
 
 
 
 
 
 
 
Direct obligations
5,857

 
475

 
—

 
 
 
6,332

Mortgage-backed securities
—

 
19,050

 
25

 
 
 
19,075

Asset-backed securities:
 
 
 
 
 
 
 
 
 
Student loans
—

 
6,764

 
190

 
 
 
6,954

Credit cards
—

 
1,380

 
—

 
 
 
1,380

Sub-prime
—

 
369

 
—

 
 
 
369

Other(2)
—

 
—

 
1,710

 
 
 
1,710

Total asset-backed securities
—

 
8,513

 
1,900

 

 
10,413

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

 
7,268

 
—

 
 
 
7,268

Asset-backed securities
—

 
2,557

 
111

 
 
 
2,668

Government securities
—

 
5,405

 
—

 
 
 
5,405

Other(3)
—

 
5,113

 
261

 
 
 
5,374

Total non-U.S. debt securities
—

 
20,343

 
372

 
 
 
20,715

State and political subdivisions
—

 
10,570

 
33

 
 
 
10,603

Collateralized mortgage obligations
—

 
2,673

 
68

 
 
 
2,741

Other U.S. debt securities
—

 
2,390

 
—

 
 
 
2,390

U.S. equity securities
—

 
41

 
—

 
 
 
41

Non-U.S. equity securities
—

 
3

 
—

 
 
 
3

U.S. money-market mutual funds
—

 
405

 
—

 
 
 
405

Non-U.S. money-market mutual funds
—

 
17

 
—

 
 
 
17

Total investment securities available-for-sale
5,857

 
64,480

 
2,398

 

 
72,735

Other assets:
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
—

 
20,868

 
—

 
$
(12,130
)
 
8,738

Interest-rate contracts
—

 
507

 
—

 
(461
)
 
46

Other derivative contracts
—

 
5

 
—

 
(5
)
 
—

Total derivative instruments
—

 
21,380

 
—

 
(12,596
)
 
8,784

Other
347

 
—

 
—

 


 
347

Total assets carried at fair value
$
6,701

 
$
86,253

 
$
2,398

 
$
(12,596
)
 
$
82,756

Liabilities:
 
 
 
 
 
 
 
 
 
Accrued expenses and other liabilities:
 
 
 
 
 
 
 
 
 
Trading account liabilities:
 
 
 
 
 
 
 
 
 
U.S. government securities
$
16

 
$
—

 
$
—

 
$
—

 
$
16

Non-U.S. government securities
59

 
—

 
—

 
—

 
59

Other
5

 
6

 
—

 
—

 
11

Derivative instruments:
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
—

 
20,620

 
—

 
(13,238
)
 
7,382

Interest-rate contracts
—

 
212

 
—

 
(47
)
 
165

Other derivative contracts
—

 
161

 
—

 
(5
)
 
156

Total derivative instruments
—

 
20,993

 
—

 
(13,290
)
 
7,703

Other
347

 
—

 
—

 
—

 
347

Total liabilities carried at fair value
$
427

 
$
20,999

 
$
—

 
$
(13,290
)
 
$
8,136

 
 
 
 
(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 $1.97 billion and $2.66 billion, respectively, for cash collateral received from and provided to derivative counterparties.
(2) As of June 30, 2016, the fair value of other asset-backed securities was primarily composed of $1.71 billion of collateralized loan obligations.
(3) As of June 30, 2016, the fair value of other non-U.S. debt securities was primarily composed of $3.40 billion of covered bonds and $970 million of corporate bonds.
 
Fair-Value Measurements on a Recurring Basis
 
as of December 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
$
32

 
$
—

 
$
—

 
 
 
$
32

Non-U.S. government securities
479

 
—

 
—

 
 
 
479

Other
10

 
328

 
—

 
 
 
338

Total trading account assets
521

 
328

 
—

 
 
 
849

AFS Investment securities:
 
 
 
 
 
 
 
 
 
U.S. Treasury and federal agencies:
 
 
 
 
 
 
 
 
 
Direct obligations
5,206

 
512

 
—

 
 
 
5,718

Mortgage-backed securities
—

 
18,165

 
—

 
 
 
18,165

Asset-backed securities:
 
 
 
 
 
 
 
 
 
Student loans
—

 
6,987

 
189

 
 
 
7,176

Credit cards
—

 
1,341

 
—

 
 
 
1,341

Sub-prime
—

 
419

 
—

 
 
 
419

Other(2)
—

 
—

 
1,764

 
 
 
1,764

Total asset-backed securities
—

 
8,747

 
1,953

 
 
 
10,700

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

 
7,071

 
—

 
 
 
7,071

Asset-backed securities
—

 
3,093

 
174

 
 
 
3,267

Government securities
—

 
4,355

 
—

 
 
 
4,355

Other(3)
—

 
4,579

 
255

 
 
 
4,834

Total non-U.S. debt securities
—

 
19,098

 
429

 
 
 
19,527

State and political subdivisions
—

 
9,713

 
33

 
 
 
9,746

Collateralized mortgage obligations
—

 
2,948

 
39

 
 
 
2,987

Other U.S. debt securities
—

 
2,614

 
10

 
 
 
2,624

U.S. equity securities
—

 
39

 
—

 
 
 
39

Non-U.S. equity securities
—

 
3

 
—

 
 
 
3

U.S. money-market mutual funds
—

 
542

 
—

 
 
 
542

Non-U.S. money-market mutual funds
—

 
19

 
—

 
 
 
19

Total investment securities available-for-sale
5,206

 
62,400

 
2,464

 
 
 
70,070

Other assets:
 
 
 
 
 
 
 
 
 
Derivatives instruments:
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
—

 
11,311

 
5

 
$
(6,562
)
 
4,754

Interest-rate contracts
—

 
135

 
—

 
(115
)
 
20

Other derivative contracts
—

 
5

 
—

 
(2
)
 
3

Total derivative instruments
—

 
11,451

 
5

 
(6,679
)
 
4,777

Other
2

 
—

 
—

 
—

 
2

Total assets carried at fair value
$
5,729

 
$
74,179

 
$
2,469

 
$
(6,679
)
 
$
75,698

Liabilities:
 
 
 
 
 
 
 
 
 
Accrued expenses and other liabilities:
 
 
 
 
 
 
 
 
 
Trading account liabilities:
 
 
 
 
 
 
 
 
 
U.S. government securities
$
5

 
$
—

 
$
—

 
$
—

 
$
5

Non-U.S. government securities
76

 
—

 
—

 
—

 
76

Other
5

 
13

 
—

 
—

 
18

Derivative instruments:
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
—

 
10,863

 
5

 
(6,995
)
 
3,873

Interest-rate contracts
—

 
182

 
—

 
(24
)
 
158

Other derivative contracts
—

 
103

 
—

 
(2
)
 
101

Total derivative instruments
—

 
11,148

 
5

 
(7,021
)
 
4,132

Other
2

 
—

 
—

 
—

 
2

Total liabilities carried at fair value
$
88

 
$
11,161

 
$
5

 
$
(7,021
)
 
$
4,233

 
 
 
 
(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 $776 million and $1.12 billion, respectively, for cash collateral received from and provided to derivative counterparties.
(2) As of December 31, 2015, the fair value of other asset-backed securities was primarily composed of $1.76 billion of collateralized loan obligations.
(3) As of December 31, 2015, the fair value of other non-U.S. debt securities was primarily composed of $3.18 billion of covered bonds and $613 million of corporate bonds.
The following tables present activity related to our level-3 financial assets and liabilities during the three and six months ended June 30, 2016 and 2015, respectively. Transfers into and out of level 3 are reported as of the beginning of the period presented. During the three and six months ended June 30, 2016 and 2015, 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 June 30, 2016
 
Fair Value  as of
March 31, 2016
 
Total Realized and
Unrealized Gains (Losses)
 
Purchases
 
Settlements
 
Transfers
out of
Level 3
 
Fair Value  as of
June 30, 2016(1)
 
Change in
Unrealized
(Gains) Losses Related to
Financial
Instruments
Held as of
June 30,
2016
(In millions)
Recorded
in
Revenue
 
Recorded
in Other
Comprehensive
Income
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS Investment securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and federal agencies, mortgage-backed securities
$
300

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(275
)
 
$
25

 
 
Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Student loans
186

 
1

 
3

 
—

 
—

 
—

 
190

 
 
Other
1,813

 
9

 
(2
)
 
19

 
(129
)
 
—

 
1,710

 
 
Total asset-backed securities
1,999

 
10

 
1

 
19

 
(129
)
 
—

 
1,900

 
 
Non-U.S. debt securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities
127

 
—

 
—

 
53

 
(16
)
 
(53
)
 
111

 
 
Other
295

 
—

 
2

 
—

 
(7
)
 
(29
)
 
261

 
 
Total non-U.S. debt securities
422

 
—

 
2

 
53

 
(23
)
 
(82
)
 
372

 
 
State and political subdivisions
32

 
—

 
1

 
—

 
—

 
—

 
33

 
 
Collateralized mortgage obligations
82

 
—

 
—

 
—

 
(14
)
 
—

 
68

 
 
Total AFS investment securities
2,835

 
10

 
4

 
72

 
(166
)
 
(357
)
 
2,398

 
 
Total assets carried at fair value
$
2,835

 
$
10

 
$
4

 
$
72

 
$
(166
)
 
$
(357
)
 
$
2,398

 
$
—


 
 
 
 
(1) There were no transfers of assets into level 3 during the three months ended June 30, 2016.
There was no activity related to our level-3 financial liabilities during the three months ended June 30, 2016.


 
Fair Value Measurements Using Significant Unobservable Inputs
 
Six Months Ended June 30, 2016
 
Fair Value  as of
December 31,
2015
 
Total Realized and
Unrealized Gains (Losses)
 
Purchases
 
Settlements
 
Transfers out of Level 3
 
Fair Value  as of
June 30, 2016(1)
 
Change in
Unrealized
Gains
(Losses)
Related to
Financial
Instruments
Held as of
June 30, 2016
(In millions)
Recorded in Revenue
 
Recorded in Other Comprehensive Income
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS Investment securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and federal agencies, mortgage-backed securities
$
—

 
$
—

 
$
—

 
$
300

 
$
—

 
$
(275
)
 
$
25

 
 
Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Student loans
189

 
1

 
—

 
—

 
—

 
—

 
190

 
 
Other
1,764

 
16

 
(13
)
 
132

 
(189
)
 
—

 
1,710

 
 
Total asset-backed securities
1,953


17


(13
)

132


(189
)

—


1,900

 
 
Non-U.S. debt securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities
174

 
—

 
(1
)
 
107

 
(34
)
 
(135
)
 
111

 
 
Other
255

 
—

 
—

 
29

 
6

 
(29
)
 
261

 
 
Total Non-U.S. debt securities
429


—


(1
)

136


(28
)

(164
)

372

 
 
State and political subdivisions
33

 
—

 
1

 
—

 
(1
)
 
—

 
33

 
 
Collateralized mortgage obligations
39

 
—

 
—

 
50

 
(21
)
 
—

 
68

 
 
Other U.S. debt securities
10

 
—

 
—

 
—

 
(10
)
 
—

 
—

 
 
Total AFS investment securities
2,464


17


(13
)

618


(249
)

(439
)

2,398

 
 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
5

 
3

 
—

 
—

 
(8
)
 
—

 
—

 
$
—

Total derivative instruments
5


3


—


—


(8
)

—


—


—

Total assets carried at fair value
$
2,469


$
20


$
(13
)

$
618


$
(257
)

$
(439
)

$
2,398


$
—


 
Fair-Value Measurements Using Significant Unobservable Inputs
 
Six Months Ended June 30, 2016
 
Fair Value  as of
December 31,
2015
 
Total Realized and
Unrealized (Gains) Losses
 
Settlements
 
Fair Value  as of
June 30, 2016(2)
 
Change in
Unrealized
(Gains) Losses Related to
Financial
Instruments
Held as of
June 30,
2016
(In millions)
Recorded
in
Revenue
 
Liabilities:
 
 
 
 
 
 
 
 
 
Accrued expenses and other liabilities:
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
$
5

 
$
5

 
$
(10
)
 
$
—

 
$
—

Total derivative instruments
5


5


(10
)

—


—

Total liabilities carried at fair value
$
5


$
5


$
(10
)

$
—


$
—

 
 
 
 
(1) There were no transfers of assets into level 3 during the six months ended June 30, 2016.
(2) There were no transfers of liabilities into or out of level 3 during the six months ended June 30, 2016.

 
Fair Value Measurements Using Significant Unobservable Inputs
 
Three Months Ended June 30, 2015
 
Fair Value as of March 31,
2015
 
Total Realized and
Unrealized Gains (Losses)
 
Purchases
 
Sales
 
Settlements
 
Transfers into Level 3
 
Transfers out of Level 3
 
Fair Value  as of
June 30, 2015
 
Change in
Unrealized
(Gains) Losses Related to
Financial
Instruments
Held as of
June 30,
2015
(In millions)
Recorded
in
Revenue
 
Recorded
in Other
Comprehensive
Income
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS Investment securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Student loans
$
257

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(1
)
 
$
—

 
$
(22
)
 
$
234

 
 
Other
3,633

 
13

 
(6
)
 
—

 
(420
)
 
(287
)
 
—

 
—

 
2,933

 
 
Total asset-backed securities
3,890


13


(6
)

—


(420
)
 
(288
)

—


(22
)

3,167

 
 
Non-U.S. debt securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
43

 
—

 
—

 
—

 
—

 
—

 
97

 
(43
)
 
97

 
 
Asset-backed securities
228

 
—

 
—

 
—

 
—

 
(18
)
 
—

 
(17
)
 
193

 
 
Other
442

 
—

 
—

 
—

 
—

 
9

 
—

 
(187
)
 
264

 
 
Total Non-U.S. debt securities
713


—


—


—


—

 
(9
)

97


(247
)

554

 
 
State and political subdivisions
37

 
—

 
—

 
—

 
—

 
(1
)
 
—

 
—

 
36

 
 
Collateralized mortgage obligations
522

 
—

 
(1
)
 
—

 
(88
)
 
(29
)
 
—

 
(189
)
 
215

 
 
Other U.S. debt securities
9

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
9

 
 
Total investment securities available-for-sale
5,171


13


(7
)

—


(508
)
 
(327
)

97


(458
)

3,981

 
 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
185

 
(96
)
 
—

 
10

 
—

 
(39
)
 
—

 
—

 
60

 
$
(30
)
Total derivative instruments
185


(96
)

—


10


—

 
(39
)

—


—


60


(30
)
Total assets carried at fair value
$
5,356


$
(83
)

$
(7
)

$
10


$
(508
)
 
$
(366
)

$
97


$
(458
)

$
4,041


$
(30
)

 
Fair-Value Measurements Using Significant Unobservable Inputs
 
Three Months Ended June 30, 2015
 
Fair Value as of March 31,
2015
 
Total Realized and
Unrealized Gains  (Losses)
 
Issuances
 
Settlements
 
Fair Value  as of
June 30, 2015(1)
 
Change in
Unrealized
(Gains)
Losses
Related to
Financial
Instruments
Held as of
June 30, 2015
(In millions)
Recorded
in
Revenue
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
Accrued expenses and other liabilities:
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
$
172

 
$
(90
)
 
$
8

 
$
(40
)
 
$
50

 
$
(26
)
Other
9

 
—

 
—

 
(9
)
 
—

 
—

Total derivative instruments
181


(90
)

8


(49
)

50


(26
)
Total liabilities carried at fair value
$
181


$
(90
)

$
8


$
(49
)

$
50


$
(26
)
 
 
 
 
(1) There were no transfers of liabilities into or out of level 3 during the three months ended June 30, 2015.

 
Fair-Value Measurements Using Significant Unobservable Inputs
 
Six Months Ended June 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
June 30, 2015
 
Change in
Unrealized
Gains
(Losses)
Related to
Financial
Instruments
Held as of
June 30, 2015
(In millions)
Recorded
in
Revenue
 
Recorded
in Other
Comprehensive
Income
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment securities available-for-sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Student loans
$
259

 
$
—

 
$
1

 
$
—

 
$
—

 
$
(5
)
 
$
—

 
$
(21
)
 
$
234

 
 
Other
3,780

 
25

 
(18
)
 
—

 
(420
)
 
(434
)
 
—

 
—

 
2,933

 
 
Total asset-backed securities
4,039

 
25

 
(17
)
 
—

 
(420
)
 
(439
)
 
—

 
(21
)
 
3,167

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

 
—

 
—

 
43

 
—

 
—

 
97

 
(43
)
 
97

 
 
Asset-backed securities
295

 
1

 
—

 
—

 
—

 
(86
)
 
—

 
(17
)
 
193

 
 
Other
371

 
—

 
1

 
111

 
—

 
(32
)
 
—

 
(187
)
 
264

 
 
Total non-U.S. debt securities
666

 
1


1


154


—


(118
)

97

 
(247
)
 
554

 
 
State and political subdivisions
38

 
—

 
(1
)
 
—

 
—

 
(1
)
 
—

 
—

 
36

 
 
Collateralized mortgage obligations
614

 
—

 
(1
)
 
293

 
(88
)
 
(65
)
 
—

 
(538
)
 
215

 
 
Other U.S. debt securities
9

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
9

 
 
Total investment securities available-for-sale
5,366

 
26

 
(18
)
 
447

 
(508
)
 
(623
)
 
97

 
(806
)
 
3,981

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

 
45

 
—

 
29

 
—

 
(95
)
 
—

 
—

 
60

 
$
12

Total derivative instruments
81

 
45

 
—

 
29

 
—

 
(95
)
 
—

 
—

 
60

 
12

Total assets carried at fair value
$
5,447

 
$
71

 
$
(18
)
 
$
476

 
$
(508
)
 
$
(718
)
 
$
97

 
$
(806
)
 
$
4,041

 
$
12


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

 
$
19

 
$
33

 
$
(76
)
 
$
50

 
$
1

Other
9

 
—

 
—

 
(9
)
 
—

 
—

Total derivative instruments
83

 
19

 
33

 
(85
)
 
50

 
1

Total liabilities carried at fair value
$
83

 
$
19

 
$
33

 
$
(85
)
 
$
50

 
$
1


 
 
 
 

(1) There were no transfers of liabilities into or out of level 3 during the six months ended June 30, 2015.


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 June 30,
 
Six Months Ended June 30,
 
Total Realized and
Unrealized Gains
(Losses) Recorded
in Revenue
 
Change in
Unrealized Gains
(Losses) Related to
Financial
Instruments Held as of June 30,
 
Total Realized and
Unrealized Gains
(Losses) Recorded
in Revenue
 
Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of June 30,
(In millions)
2016
 
2015
 
2016
 
2015
 
2016
 
2015
 
2016
 
2015
Fee revenue:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading services
$
—

 
$
(6
)
 
$
—

 
$
(4
)
 
$
(2
)
 
$
26

 
$
—

 
$
11

Total fee revenue
—

 
(6
)
 
—

 
(4
)
 
(2
)
 
26

 
—

 
11

Net interest revenue
10

 
13

 
—

 
—

 
17

 
26

 
—

 
—

Total revenue
$
10

 
$
7

 
$
—

 
$
(4
)
 
$
15

 
$
52

 
$
—

 
$
11

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 June 30, 2016
 
As of December 31, 2015
 
Valuation Technique
 
Significant
Unobservable Input(1)
 
As of June 30, 2016
 
As of December 31, 2015
Significant unobservable inputs readily available to State Street:
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities, other
 
$
22

 
$
28

 
Discounted cash flows
 
Credit spread
 
0.3
%
 
(0.1
)%
State and political subdivisions
 
33

 
33

 
Discounted cash flows
 
Credit spread
 
2.1

 
2.2

Derivative instruments, foreign exchange contracts
 
—

 
5

 
Option model
 
Volatility
 


 
9.3

Total
 
$
55

 
$
66

 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments, foreign exchange contracts
 
$
—

 
$
5

 
Option model
 
Volatility
 


 
9.2

Total
 
$
—

 
$
5

 
 
 
 
 
 
 
 
 
 
 
 
(1) Significant changes in these unobservable inputs would result in significant changes in fair value measure.
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:
June 30, 2016
 
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
 
$
—

 
$
25

 
$
25

Asset-backed securities, student loans
 
—

 
190

 
190

Asset-backed securities, other
 
22

 
1,688

 
1,710

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

 
111

 
111

Non-U.S. debt securities, other
 
—

 
261

 
261

State and political subdivisions
 
33

 
—

 
33

Collateralized mortgage obligations
 
—

 
68

 
68

Total
 
$
55

 
$
2,343

 
$
2,398

 
 
 
 
 
(1) Information with respect to these model-priced financial assets are provided in a separate table.
(2) Fair value for these financial assets is measured using non-binding broker or dealer quotes.
December 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
 
$
—

 
$
189

 
$
189

Asset-backed securities, other
 
28

 
1,736

 
1,764

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

 
174

 
174

Non-U.S. debt securities, other
 
—

 
255

 
255

State and political subdivisions
 
33

 
—

 
33

Collateralized mortgage obligations
 
—

 
39

 
39

Other U.S. debt securities
 
—

 
10

 
10

Derivative instruments, foreign exchange contracts
 
5

 
—

 
5

Total
 
$
66

 
$
2,403

 
$
2,469

Liabilities:
 
 
 
 
 
 
Derivative instruments, foreign exchange contracts
 
$
5

 
$
—

 
$
5

Total
 
$
5

 
$
—

 
$
5

 
 
 
 
 
(1) Information with respect to these model-priced financial assets and liabilities is provided in a separate table.
(2) Fair value for these financial assets is measured using non-binding broker or dealer quotes.

We use internally-developed pricing models that incorporate discounted cash flow and option model techniques to measure the fair value of certain level-3 financial assets and liabilities. Use of these techniques requires the determination of relevant inputs and assumptions, some of which represent significant unobservable inputs as indicated in the preceding tables. Accordingly, changes in these unobservable inputs may have a significant impact on fair value.
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
June 30, 2016
 
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
 
$
4,673

 
$
4,673

 
$
4,673

 
$
—

 
$
—

Interest-bearing deposits with banks
 
75,169

 
75,169

 
—

 
75,169

 
—

Securities purchased under resale agreements
 
2,010

 
2,010

 
—

 
2,010

 
—

Investment securities held-to-maturity
 
30,386

 
30,895

 
17,928

 
12,830

 
137

Net loans (excluding leases)
 
18,962

 
18,940

 
—

 
18,836

 
104

Financial Liabilities:
 
 
 
 
 
 
 
 
 
 
Deposits:
 
 
 
 
 
 
 
 
 
 
     Noninterest-bearing
 
$
57,268

 
$
57,268

 
$
—

 
$
57,268

 
$
—

     Interest-bearing - U.S.
 
33,060

 
33,060

 
—

 
33,060

 
—

     Interest-bearing - non-U.S.
 
102,802

 
102,802

 
—

 
102,802

 
—

Securities sold under repurchase agreements
 
4,350

 
4,350

 
—

 
4,350

 
—

Federal funds purchased
 
29

 
29

 
—

 
29

 
—

Other short-term borrowings
 
1,683

 
1,683

 
—

 
1,683

 
—

Long-term debt
 
11,924

 
12,033

 
—

 
11,660

 
373


 
 
 
 
 
 
Fair-Value Hierarchy
December 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
 
$
1,207

 
$
1,207

 
$
1,207

 
$
—

 
$
—

Interest-bearing deposits with banks
 
75,338

 
75,338

 
—

 
75,338

 
—

Securities purchased under resale agreements
 
3,404

 
3,404

 
—

 
3,404

 
—

Investment securities held-to-maturity
 
29,952

 
29,798

 
—

 
29,798

 
—

Net loans (excluding leases)(1)
 
17,838

 
17,792

 
—

 
17,667

 
125

Financial Liabilities:
 
 
 
 
 
 
 
 
 
 
Deposits:
 
 
 
 
 
 
 
 
 
 
     Noninterest-bearing
 
$
65,800

 
$
65,800

 
$
—

 
$
65,800

 
$
—

     Interest-bearing - U.S.
 
29,958

 
29,958

 
—

 
29,958

 
—

     Interest-bearing - non-U.S.
 
95,869

 
95,869

 
—

 
95,869

 
—

Securities sold under repurchase agreements
 
4,499

 
4,499

 
—

 
4,499

 
—

Federal funds purchased
 
6

 
6

 
—

 
6

 
—

Other short-term borrowings
 
1,748

 
1,748

 
—

 
1,748

 
—

Long-term debt
 
11,497

 
11,604

 
—

 
11,215

 
389

 
 
 
 
(1) Includes $14 million of loans classified as held-for-sale that were measured at fair value on a non-recurring basis as of December 31, 2015 .