UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

Form 10-Q



x☒			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended ~~September 30, 2017~~March 31, 2023



¨☐			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File No. 001-07511

STATE STREET CORPORATION

(Exact name of registrant as specified in its charter)

~~Massachusetts~~MA

04-2456637

(State or other jurisdiction of incorporation)

(I.R.S. Employer Identification No.)

One Lincoln Street

~~Boston, Massachusetts~~

Boston,

02111

(Address of principal executive ~~office)~~offices)

(Zip Code)

~~617-786-3000~~

(617)

786-3000

(~~Registrant’s~~Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

Title of Each Class

Trading Symbol(s)

Name of each exchange on which registered

Common Stock, $1 par value per share

STT

New York Stock Exchange

Depositary Shares, each representing a 1/4,000th ownership interest in a share of

STT.PRD

New York Stock Exchange

Fixed-to-Floating Rate Non-Cumulative Perpetual Preferred Stock, Series D, without par value per share

Depositary Shares, each representing a 1/4,000th ownership interest in a share of

STT.PRG

New York Stock Exchange

Fixed-to-Floating Rate Non-Cumulative Perpetual Preferred Stock, Series G, without par value per share

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports) and (2) has been subject to such filing requirements for the past 90 days. Yesx☒No¨☐

Indicate by check mark whether the registrant has submitted electronically ~~and posted on its corporate Web site, if any,~~ every Interactive Data File required to be submitted ~~and posted~~ pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit ~~and post~~ such files). Yesx☒No¨☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of ~~“large~~"large accelerated ~~filer,” “accelerated filer,” “smaller~~filer", "accelerated filer", "smaller reporting ~~company,”~~company", and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filerx

☒

Accelerated filer ¨

☐

Non-accelerated filer ¨

☐

Smaller reporting company ¨

☐

Emerging growth company¨

☐

~~(Do not check if a smaller reporting company)~~

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨☐ No x☒

The number of shares of the registrant’s common stock outstanding as of ~~October 31, 2017~~April 25, 2023 was ~~370,836,680.~~

334,258,843.

STATE STREET CORPORATION

QUARTERLY REPORT ON FORM 10-Q FOR THE QUARTERLY PERIOD ENDED

~~September 30, 2017~~March 31, 2023

TABLE OF CONTENTS



	Page
~~PART I. FINANCIAL INFORMATION~~
~~Table of Contents for Management’s Discussion and Analysis of Financial Condition and Results of Operations~~ PART I	3 FINANCIAL INFORMATION
	Management's Discussion and Analysis of Financial Condition and Results of Operations	4
	General	4
	Overview of Financial Results	7
	Consolidated Results of Operations	10
	Total Revenue	10
	Net Interest Income	18
	Provision for Credit Losses	21
	Expenses	21
	Acquisition and Restructuring Costs	22
	Repositioning Charges	22
	Income Tax Expense	22
	Line of Business Information	22
	Investment Servicing	23
	Investment Management	23
	Financial Condition	24
	Investment Securities	24
	Loans	26

	Risk Management	27
	Credit Risk Management	27
	Liquidity Risk Management	28
	Operational Risk Management	32
	Information Technology Risk Management	32
	Market Risk Management	32
	Model Risk Management	37
	Strategic Risk Management	37
	Capital	37
	Off-Balance Sheet Arrangements	44
	Other Matters	44
	Recent Accounting Developments	46
	Quantitative and Qualitative Disclosures About Market Risk	5247
	Controls and Procedures	5247
	Consolidated Financial Statements	48
	Consolidated Statement of Income ~~(Unaudited) for the three and nine months ended September 30, 2017 and 2016~~(unaudited)	5348
	Consolidated Statement of Comprehensive Income ~~(Unaudited) for the three and nine months ended September 30, 2017 and 2016~~(unaudited)	5449
	Consolidated Statement of Condition ~~as of September 30, 2017 (Unaudited) and December 31, 2016~~	5550
	Consolidated Statement of Changes in Shareholders' Equity ~~(Unaudited) for the nine months ended September 30, 2017 and 2016~~(unaudited)	5651
	Consolidated Statement of Cash Flows ~~(Unaudited) for the nine months ended September 30, 2017 and 2016~~(unaudited)	5752
~~Condensed Notes to Consolidated Financial Statements (Unaudited)~~	Note 1. Summary of Significant Accounting Policies	5853
	Note 2. Fair Value	53
	Note 3. Investment Securities	58
	Note 4. Loans and Allowance for Credit Losses	62
	Note 5. Goodwill and Other Intangible Assets	67

State Street Corporation | 2


	Note 6. Other Assets	68
	Note 7. Derivative Financial Instruments	69
	Note 8. Offsetting Arrangements	73
	Note 9. Commitments and Guarantees	75
	Note 10. Contingencies	76
	Note 11. Variable Interest Entities	78
	Note 12. Shareholders' Equity	79
	Note 13. Regulatory Capital	81
	Note 14. Net Interest Income	82
	Note 15. Expenses	82
	Note 16. Earnings Per Common Share	83
	Note 17. Line of Business Information	83
	Note 18. Revenue from Contracts with Customers	84
	Note 19. Non-U.S. Activities	85
	Review Report of Independent Registered Public Accounting Firm	~~101~~86
~~PART II. OTHER INFORMATION~~
PART II	OTHER INFORMATION
Item 2	Unregistered Sales of Equity Securities and Use of Proceeds	~~104~~89
~~Exhibits~~ Item 5	Other Information	~~105~~89
~~Signatures~~ Item 6	Exhibits	~~106~~91
	Signatures	92

~~Table of Contents~~

~~STATE STREET CORPORATION~~

~~MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

~~TABLE OF CONTENTS~~

We use acronyms and other defined terms for certain business terms and abbreviations, as defined onin the acronyms list and glossary following the consolidated financial statements in this Form 10-Q.

State Street Corporation | 3

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

PART I. FINANCIAL INFORMATION

GENERAL

State Street Corporation is one of the world’s largest providers of financial services to institutional investors. Our clients - asset managers and owners, insurance companies, official institutions, and central banks - rely on us to deliver solutions that support their goals across the investment life cycle.

State Street Corporation, referred to as the Parent Company, is a financial holding company organized in 1969 under the laws of the Commonwealth of Massachusetts. Our executive offices are located at One Lincoln Street, Boston, Massachusetts 02111 (telephone (617) 786-3000). For purposes of this Form 10-Q, unless the context requires otherwise, references to “State Street,” “we,” “us,” “our” or similar terms mean State Street Corporation and its subsidiaries on a consolidated basis. The Parent Company is a source of financial and managerial strength to our subsidiaries. Through our subsidiaries, including our principal banking subsidiary, State Street Bank and Trust Company, referred to as State Street Bank, we operate in more than 100 geographic markets worldwide, including in the U.S., Canada, Latin America, Europe, the Middle East and Asia. We provide a broad range of financial products and services to institutional investors worldwide, with ~~$32.11~~$37.64 trillion of ~~AUCA~~AUC/A and ~~$2.67~~$3.62 trillion of AUM as of ~~September 30, 2017.~~March 31, 2023.

As of ~~September 30, 2017,~~March 31, 2023, we had consolidated total assets of ~~$235.99~~$290.82 billion, consolidated total deposits of ~~$179.26~~$223.63 billion, consolidated total shareholders' equity of ~~$22.50~~$24.75 billion and ~~36,303~~approximately 43,000 employees. ~~We operate in more than 100 geographic markets worldwide, including in the U.S., Canada, Europe, the Middle East and Asia.~~

Our operations are organized into two lines of business, Investment Servicing and Investment Management, which are defined based on products and services provided.

Additional information about our lines of business is provided in Line of Business Information in this Management's Discussion and Analysis and Note 17 to the consolidated financial statements in this Form 10-Q.

~~This Management's Discussion and Analysis is part~~Our executive offices are located at One Lincoln Street, Boston, Massachusetts 02111 (telephone (617) 786-3000). Effective in May 2023, our executive offices will be located at One Congress Street, Boston, Massachusetts 02114. For purposes of ~~our~~this Quarterly Report on Form 10-Q for the quarter ended ~~September 30, 2017,~~March 31, 2023 (Form 10-Q), unless the context requires otherwise, references to "State Street," "we," "us," "our" or similar terms mean State Street Corporation and its subsidiaries on a consolidated basis.

This Management's Discussion and Analysis is part of this Form 10-Q and updates the Management's Discussion and Analysis in our ~~2016~~2022 Annual Report on Form 10-K for the year ended December 31, 2022 previously filed with the ~~SEC. You should read the~~SEC (2022 Form 10-K). The financial information

contained in this Management's Discussion and Analysis and elsewhere in this Form 10-Q should be read in conjunction with the financial and other information contained in our ~~2016~~2022 Form 10-K. Certain previously reported amounts presented in this Form 10-Q have been reclassified to conform to current-period presentation.

We prepare our consolidated financial statements in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions in its application of certain accounting policies that materially affect the reported amounts of assets, liabilities, equity, revenue and expenses.

The significant accounting policies that require us to make judgments, estimates and assumptions that are difficult, subjective or complex, about matters that are uncertain and may change in subsequent periods include:

~~accounting for~~•Recurring fair value measurements;

~~other-than-temporary impairment of investment securities;~~•Allowance for credit losses;

~~impairment~~•Impairment of goodwill and other intangible assets; and

~~contingencies.~~•Contingencies.

These significant accounting policies require the most subjective or complex judgments, and underlying estimates and assumptions could be subject to revision as new information becomes available. For additional information about these significant accounting policies refer to pages ~~119 -~~120 to 122, ~~"Significant~~“Significant Accounting ~~Estimates,"~~Estimates” included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, in our ~~2016~~2022 Form 10-K. We did not change these significant accounting policies in the first ~~nine~~three months of ~~2017.~~2023.

Certain financial information provided in this Form 10-Q, including in this Management's Discussion and Analysis, is ~~prepared on~~presented using both a U.S. GAAP, or reported basis, and a non-GAAP basis, including certain non-GAAP measures used in the calculation of identified regulatory ratios. We measure and compare certain financial information on a non-GAAP basis, including information ~~(such as capital ratios calculated under regulatory standards scheduled to be effective in the future)~~ that management uses in evaluating our business and activities.

Non-GAAP financial information should be considered in addition to, and not as a substitute for or as superior to, financial information prepared in conformity with U.S. GAAP. Any non-GAAP financial information presented in this Form 10-Q, including this Management’s Discussion and Analysis, is reconciled to its most directly comparable currently applicable regulatory

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

ratio or U.S. GAAP-basis measure.

~~We further believe that~~ As part of our ~~presentation of~~non-GAAP-basis measures, we present a fully taxable-equivalent NII ~~a non-GAAP measure, which~~that reports non-taxable revenue, such as interest income associated with tax-exempt investment securities, on a fully taxable-equivalent basis, which we believe facilitates an investor's understanding and analysis of our underlying financial performance and trends.

We provide additional disclosures required by applicable bank regulatory standards, including supplemental qualitative and quantitative information with respect to regulatory capital (including market

~~State Street Corporation | 4~~

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~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

risk associated with our trading activities) and the ~~liquidity coverage ratio,~~LCR, summary results of semi-annual State Street-run stress tests which we conduct under the Dodd-Frank Act, and resolution plan disclosures required under the Dodd-Frank Act. These additional disclosures are accessible on the ~~“Investor Relations”~~"Filings & Reports" tab under the “Investors” section of our corporate website at ~~www.statestreet.com~~www.investors.statestreet.com.

We have included our website address in this report as an inactive textual reference only. Information on our website is not incorporated by reference into this Form 10-Q.

We use acronyms and other defined terms for certain business terms and abbreviations, as defined in the acronyms list and glossary following the consolidated financial statements in this Form 10-Q.

Forward-Looking Statements

This Form 10-Q, as well as other reports and proxy materials submitted by us under the Securities Exchange Act of 1934, registration statements filed by us under the Securities Act of 1933, our annual report to shareholders and other public statements we may make, may contain statements (including statements in ~~the~~our Management's Discussion and Analysis included in such reports, as applicable) that are considered “forward-looking statements” within the meaning of U.S. securities laws, including statements about our goals and expectations regarding our business, financial and capital condition, results of operations, strategies, ~~financial~~cost savings and transformation initiatives, investment portfolio performance, ESG, human capital, climate, dividend and stock purchase programs, acquisitions, outcomes of legal proceedings, market growth, ~~acquisitions,~~ joint ventures and divestitures, ~~cost savings and transformation initiatives,~~ client growth and new technologies, services, asset installations and opportunities, as well as industry, governmental, regulatory, economic and market trends, initiatives and developments, the business environment and other matters that do not relate strictly to historical facts.

Terminology such as “plan,” “expect,” “intend,” “objective,” "outcome," “forecast,” "future," “outlook,” “believe,” “priority,” “anticipate,” “estimate,” “seek,” ~~“may,~~

“may,” “will,” “trend,” “target,” “strategy” and “goal,” or similar statements or variations of such terms, are intended to identify forward-looking statements, although not all forward-looking statements contain such terms.

Forward-looking statements are subject to various risks and uncertainties, which change over time, are based on management's expectations and assumptions at the time the statements are made and are not guarantees of future results. Management's expectations and assumptions, and the continued validity of the forward-looking statements, are subject to change due to a broad range of factors affecting the ~~national~~U.S. and global economies, regulatory environment and the equity,

debt, currency and other financial markets, as well as factors specific to State Street and its subsidiaries, including State Street Bank. Factors that could cause changes in the expectations or assumptions on which forward-looking statements are based cannot be foreseen with certainty and include, but are not limited to:

Strategic Risks

•We are subject to intense competition, which could negatively affect our profitability;

•We are subject to significant pricing pressure and variability in our financial results and our AUC/A and AUM;

•Our development and completion of new products and services, including State Street AlphaSM or State Street DigitalSM, and the ~~financial strength~~enhancement of our infrastructure required to meet increased regulatory and ~~continuing viability~~client expectations for resiliency and the systems and process re-engineering necessary to achieve improved productivity and reduced operating risk, involve costs, risks and dependencies on third parties;

•Our business may be negatively affected by our failure to update and maintain our technology infrastructure or as a result of a cyber-attack or similar vulnerability in our or business partners' infrastructure;

•Acquisitions, strategic alliances, joint ventures and divestitures, and the integration, retention and development of the ~~counterparties with which~~benefits of our acquisitions, pose risks for our business; and

•Competition for qualified members of our workforce is intense, and we ormay not be able to attract and retain the highly skilled people we need to support our ~~clients do business~~business.

Financial Market Risks

•We could be adversely affected by geopolitical, economic and ~~to which we have investment, credit or financial exposure,~~market conditions, including, for example, ~~the direct and indirect effects on counterparties~~as a result of ~~the sovereign-debt risks in the U.S., Europe and other regions;~~

~~increases in the volatility of,~~liquidity or ~~declines in the level of, our NII, changes in the composition~~capital deficiencies (actual or valuation of the assets recorded in our consolidated statement of condition (and our ability to measure the fair value of investment securities) and the possibility that we may change the manner in which we fund those assets;

~~the liquidity of the U.S. and international securities markets, particularly the markets for fixed-income securities and inter-bank credits, and the liquidity requirements of our clients;~~

the level and volatility of interest rates, the valuation of the U.S. dollar relative to other currencies in which we record revenue or accrue expenses and the performance and volatility of securities, credit, currency and other markets in the U.S. and internationally; and the impact of monetary and fiscal policy in the United States and internationally on prevailing rates of interest and currency exchange rates in the markets in which we provide services to our clients;

the credit quality, credit-agency ratings and fair values of the securities in our investment securities portfolio, a deterioration or downgrade of which could lead to other-than-temporary impairment of the respective securities and the recognition of an impairment loss in our consolidated statement of income;

our ability to attract deposits and other low-cost, short-term funding, our ability to manage levels of such deposits and the relative portion of our deposits that are determined to be operational under regulatory guidelines and our ability to deploy deposits in a profitable manner consistent with our liquidity needs, regulatory requirements and risk profile;

the manner and timing with which the Federal Reserve and other U.S. and foreign regulators implement or reevaluate changes to the regulatory framework applicable to our operations, including implementation orperceived)

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

modification of the Dodd-Frank Act, the Basel III final rule and European legislation (such as the Alternative Investment Fund Managers Directive, Undertakings for Collective Investment in Transferable Securities Directives and Markets in Financial Instruments Directive II); amongby other consequences, these regulatory changes impact the levels of regulatory capital we must maintain, acceptable levels of credit exposure to third parties, margin requirements applicable to derivatives, and restrictions on banking and financial ~~activities. In addition, our regulatory posture~~institutions and related ~~expenses~~market and government actions, the ongoing war in Ukraine, actions taken by central banks to address inflationary pressures, challenging conditions in global equity markets, periods of significant volatility in valuations and liquidity or other disruptions in the markets for equity, fixed income and other asset classes globally or within specific markets such as those that impacted the UK gilts in the fourth quarter of 2022;

•We have ~~been~~significant international operations and ~~will continue to~~clients that can be adversely impacted by developments in European and Asian economies;

•Our investment securities portfolio, consolidated financial condition and consolidated results of operations could be adversely affected by changes in ~~regulatory expectations for global systemically important~~the financial markets, governmental action or monetary policy. For example, among other risks, increases in prevailing interest rates could lead to reduced levels of client deposits and resulting decreases in our NII;

•Our business activities expose us to interest rate risk;

•We assume significant credit risk of counterparties, who may also have substantial financial dependencies on other financial institutions, ~~applicable~~and these credit exposures and concentrations could expose us to financial loss;

•Our fee revenue represents a significant portion of our revenue and is subject to decline based on, among other ~~things, risk management,~~factors, market and currency declines, investment activities and preferences of our clients and their business mix;

•If we are unable to effectively manage our capital and liquidity, our financial condition, capital ratios, results of operations and business prospects could be adversely affected;

•We may need to raise additional capital ~~planning, resolution planning, compliance programs, and changes~~or debt in ~~governmental enforcement approaches to perceived failures to comply with regulatory or legal obligations;~~

~~our resolution plan, submitted to~~ the ~~Federal Reserve and FDIC in June 2017,~~future, which may not be ~~considered~~available to us or may only be ~~sufficient by the Federal Reserve~~available on unfavorable terms; and the FDIC, due to a number of factors, including, but not limited to, challenges we may experience in interpreting and addressing regulatory expectations, failure to implement remediation in a timely manner, the complexities of development of a comprehensive plan to resolve a global custodial bank and related costs and dependencies.

•If we ~~fail to meet regulatory expectations to the satisfaction of the Federal Reserve and the FDIC~~experience a downgrade in our ~~resolution plan submission filed~~credit ratings, or an actual or perceived reduction in ~~June 2017 or any future submission, we~~our financial strength, our borrowing and capital costs, liquidity and reputation could be ~~subject to more stringent~~adversely affected.

Compliance and Regulatory Risks

•Our business and capital-related activities, including common share repurchases, may

be adversely affected by regulatory capital, ~~leverage or~~credit (counterparty and otherwise) and liquidity ~~requirements, or restrictions on our growth, activities or operations;~~

standards and considerations;

~~adverse changes~~•We face extensive and changing governmental regulation in the regulatory ratios that we are required or will be required to meet, whether arising under the Dodd-Frank Act or the Basel III final rule, or due to changes in regulatory positions, practices or regulations in jurisdictions in which we ~~engage~~operate, which may increase our costs and compliance risks and may affect our business activities and strategies;

•We are subject to enhanced external oversight as a result of the resolution of prior regulatory or governmental matters;

•Our businesses may be adversely affected by government enforcement and litigation;

•Our businesses may be adversely affected by increased political and regulatory scrutiny of asset management stewardship and corporate ESG practices;

•Our efforts to improve our billing processes and practices are ongoing and may result in ~~banking activities, including changes in internal or external~~the identification of additional billing errors;

•Any misappropriation of the confidential information we possess could have an adverse impact on our business and could subject us to regulatory actions, litigation and other adverse effects;

•Our calculations of risk exposures, total RWA and capital ratios depend on data inputs, formulae, models, correlations and assumptions ~~or other advanced systems used in the calculation of~~that are subject to change, which could materially impact our risk exposures, our total RWA and our capital ratios ~~that cause changes in those ratios as they are measured~~ from period to period;

requirements to obtain the prior approval or non-objection of the Federal Reserve or other U.S. and non-U.S. regulators for the use, allocation or distribution of our capital or other specific capital actions or corporate activities, including,

~~without limitation, acquisitions, investments~~•Changes in ~~subsidiaries, dividends and stock purchases, without which our growth plans, distributions to shareholders, share repurchase programs or other capital or corporate initiatives may be restricted;~~

~~changes in law or regulation, or the enforcement of law or regulation, that~~accounting standards may adversely affect our ~~business activities~~consolidated results of operations and financial condition;

•Changes in tax laws, rules or ~~those~~regulations, challenges to our tax positions and changes in the composition of our pre-tax earnings may increase our effective tax rate;

•We could face liabilities for withholding and other non-income taxes, including in connection with our services to clients, ~~or our counterparties,~~as a result of tax authority examinations; and the products or services that we sell, including additional or increased taxes or assessments thereon, capital adequacy requirements, margin requirements and changes that expose us to risks related to the adequacy of our controls or compliance programs;

~~economic or financial market disruptions in the U.S. or internationally, including those which~~•The transition away from LIBOR may result ~~from recessions~~in additional costs and increased risk exposure.

Operational Risks

•Our internal control environment may be inadequate, fail or political instability; for example, the U.K.'s decision to exit from the European Union may continue to disrupt financial markets or economic growth in Europe or, similarly, financial markets may react sharply or abruptly to actions taken by the new administration in the United States;

~~our ability to develop~~be circumvented, and ~~execute State Street Beacon, our multi-year transformation program to digitize~~operational risks could adversely affect our business ~~deliver significant value~~ and innovation for our clients and lower expenses across the organization, any failure of which, in whole or in part, may among other things, reduce our competitive position, diminish the cost-effectiveness of our systems and processes or provide an insufficient return on our associated investment;

our ability to promote a strong culture of risk management, operating controls, compliance oversight, ethical behavior and governance that meets our expectations and those of our clients and our regulators, and the financial, regulatory, reputation and other consequences of our failure to meet such expectations;

the impact on our compliance and controls enhancement programs of the appointment of a monitor under the deferred prosecution agreement with the DOJ and compliance consultant appointed under a settlement with the SEC, including the potential for such monitor and compliance consultant to require changes to our programs or to identify other issues that require substantial expenditures, changes in our operations, or payments to clients or reporting to U.S. authorities;

~~the~~consolidated results of operations;

•Shifting operational activities to non-U.S. jurisdictions, changing our ~~review of our billing practices, including additional amounts we may be required to reimburse clients, as well as~~operating model

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AND RESULTS OF OPERATIONS

and outsourcing portions of our operations to third parties may expose us to increased operational risk, geopolitical risk and reputational harm and may not result in expected cost savings or operational improvements;

~~potential consequences of such review, including damage~~•Attacks or unauthorized access to our ~~client relationships~~or our business partners' information technology systems or facilities, or disruptions to our or their operations, could result in significant costs, reputational damage and ~~adverse actions by governmental authorities;~~impacts on our business activities;

~~the results of,~~•Long-term contracts and ~~costs associated with, governmental or regulatory inquiries and investigations, litigation and similar claims, disputes, or civil or criminal proceedings;~~

~~changes or potential changes in the amount of compensation we receive from~~customizing service delivery for clients ~~for our services, and the mix of services provided by us that clients choose;~~

~~the large institutional clients on which we focus are often able to exert considerable market influence, and this, combined with strong competitive market forces, subjects~~expose us to ~~significant pressure to reduce the fees we charge, to potentially significant changes in our assets under custody~~pricing and administration or our assets under management in the event of the acquisition or loss of a client, in whole or in part, and to potentially significant changes in our fee revenue in the event a client re-balances or changes its investment approach or otherwise re-directs assets to lower- or higher-fee asset classes;

performance risk;

~~the potential for losses arising from our investments in sponsored investment funds;~~

the possibility that our clients will incur substantial losses in investment pools for which we act as agent, and the possibility of significant reductions in the liquidity or valuation of assets underlying those pools;

~~our ability to anticipate and manage the level and timing of redemptions and withdrawals from our collateral pools and other collective investment products;~~

~~the credit agency ratings of our debt and depositary obligations and investor and client perceptions of our financial strength;~~

•Our businesses may be negatively affected by adverse publicity, ~~whether specific to State Street or regarding other industry participants or industry-wide factors,~~ or other reputational harm;

~~our ability to control operational risks, data security breach risks and outsourcing risks, our ability~~•We may not be able to protect our intellectual property or may infringe upon the rights ~~the possibility~~ of ~~errors in the~~third parties;

•The quantitative models we use to manage our business ~~and the possibility~~may contain errors that ~~our controls will prove insufficient, fail or be circumvented;~~

our ability to expand our use of technology to enhance the efficiency, accuracy and reliability of our operations and our dependencies on information technology and our ability to control related risks, including cyber-crime and other threats to our information technology

infrastructure and systems (including those of our third-party service providers) and their effective operation both independently and with external systems, and complexities and costs of protecting the security of such systems and data;

~~our ability to grow revenue, manage expenses, attract and retain highly skilled people and raise the capital necessary to achieve~~could adversely impact our business ~~goals~~ and ~~comply with~~ regulatory ~~requirements~~compliance;

•Our reputation and ~~expectations;~~

business prospects may be damaged if our clients incur substantial losses or are restricted in redeeming their interests in investment pools that we sponsor or manage;

~~changes or potential changes~~•The impacts of climate change, and regulatory responses to ~~the competitive environment, including changes due to regulatory~~such risks, could adversely affect us; and ~~technological changes, the effects of industry consolidation and perceptions of State Street~~

•We may incur losses as a ~~suitable service provider~~result of unforeseen events including terrorist attacks, natural disasters, the emergence of a new pandemic or ~~counterparty;~~

our ability to complete acquisitions, joint ventures and divestitures, including the ability to obtain regulatory approvals, the ability to arrange financing as required and the ability to satisfy closing conditions;

~~the risks that our acquired businesses and joint ventures will not achieve their anticipated financial and operational benefits or will not be integrated successfully~~, or that the integration will take longer than anticipated, that expected synergies will not be achieved or unexpected negative synergies or liabilities will be experienced, that client and deposit retention goals will not be met, that other regulatory or operational challenges will be experienced, and that disruptions from the transaction will harm our relationships with our clients, our employees or regulators;

~~our ability to recognize evolving needs~~acts of ~~our clients and to develop products that are responsive to such trends and profitable to us, the performance of and demand for the products and services we offer~~, ~~and the potential for new products and services to impose additional costs on us and expose us to increased operational risk;~~

~~changes in accounting standards and practices; and~~

~~changes in tax legislation and in the interpretation of existing tax laws by U.S. and non-U.S. tax authorities that affect the amount of taxes due.~~

embezzlement.

Actual outcomes and results may differ materially from what is expressed in our ~~forward- looking~~forward-looking statements and from our historical financial results due to the factors discussed in this section and elsewhere in this Form 10-Q or disclosed in our other SEC filings. Forward-looking statements in

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~~AND RESULTS OF OPERATIONS~~

this Form 10-Q should not be relied on as representing our expectations or ~~beliefs~~assumptions as of any time subsequent to the time this Form 10-Q is filed with the SEC. We undertake no obligation to revise our forward-looking statements after the time they are made. The factors discussed herein are not intended to be a complete statement of all risks and uncertainties that may affect our businesses. We cannot anticipate all developments that may adversely affect our business or operations or our consolidated results of operations, financial condition or cash flows.

Forward-looking statements should not be viewed as predictions and should not be the primary basis on which investors evaluate State Street. Any investor in State Street should consider all risks and uncertainties disclosed in our SEC filings, including our filings under the Securities Exchange Act of 1934, in particular our annual reports on Form 10-K, our quarterly reports on Form 10-Q and our current reports on Form 8-K, orand our registration statements filed under the Securities Act of 1933, all of which are accessible on the SEC's website at www.sec.govor on the ~~“Investor Relations”~~"Filings & Reports" tab under the “Investors” section of our corporate website at ~~www.statestreet.com~~.

www.investors.statestreet.com.

OVERVIEW OF FINANCIAL RESULTS


TABLE 1: OVERVIEW OF FINANCIAL RESULTS									TABLE 1: OVERVIEW OF FINANCIAL RESULTS

TABLE 1: OVERVIEW OF FINANCIAL RESULTS

	Quarters Ended September 30,									Three Months Ended March 31,						% Change
(Dollars in millions, except per share amounts)	2017			2016			% Change		(Dollars in millions, except per share amounts)	2023			2022
Total fee revenue	$	2,242		$	2,079		8	%	Total fee revenue	$	2,335		$	2,573		(9)	%
Net interest income	603			537			12		Net interest income	766			509			50
Gains (losses) related to investment securities, net	1			4			nm
Total other income									Total other income	—			(1)			nm
Total revenue	2,846			2,620			9		Total revenue	3,101			3,081			1
Provision for loan losses	3			—			—
Provision for credit losses									Provision for credit losses	44			—			nm
Total expenses	2,021			1,984			2		Total expenses	2,369			2,327			2
Income before income tax expense	822			636			29		Income before income tax expense	688			754			(9)
Income tax expense (benefit)	137			72			90
Net Income (loss) from non-controlling interest	—			(1		)	nm
Income tax expense									Income tax expense	139			150			(7)

Net income	$	685		$	563		22		Net income	$	549		$	604		(9)
Adjustments to net income:									Adjustments to net income:
Dividends on preferred stock⁽¹⁾	(55		)	(55		)	—		Dividends on preferred stock(1)	$	(23)		$	(20)		15
Earnings allocated to participating securities⁽²⁾	(1		)	(1		)	nm		Earnings allocated to participating securities(2)	(1)			(1)			—
Net income available to common shareholders	$	629		$	507		24		Net income available to common shareholders	$	525		$	583		(10)
Earnings per common share:									Earnings per common share:
Basic	$	1.69		$	1.31		29		Basic	$	1.54		$	1.59		(3)
Diluted	1.66			1.29			29		Diluted	1.52			1.57			(3)
Average common shares outstanding (in thousands):									Average common shares outstanding (in thousands):
Basic	372,765			388,358					Basic	341,106			366,542			(7)
Diluted	378,518			393,212					Diluted	345,472			372,037			(7)
Cash dividends declared per common share	$	.42		$	.38				Cash dividends declared per common share	$	.63		$	.57		11
Return on average common equity	13.0		%	10.6		%			Return on average common equity	9.3		%	9.5		%	(20)		bps
Pre-tax margin									Pre-tax margin	22.2			24.5			(230)

	Nine Months Ended September 30,
(Dollars in millions, except per share amounts)	2017			2016			% Change
Total fee revenue	$	6,675		$	6,102		9	%
Net interest income	1,688			1,570			8
Gains (losses) related to investment securities, net	(39		)	5			nm
Total revenue	8,324			7,677			8
Provision for loan losses	4			8			(50	)
Total expenses	6,138			5,894			4
Income before income tax expense	2,182			1,775			23
Income tax expense (benefit)	375			226			66
Net income from non-controlling interest	—			1			nm
Net income	$	1,807		$	1,550		17
Adjustments to net income:
Dividends on preferred stock⁽¹⁾	$	(146	)	$	(137	)	7
Earnings allocated to participating securities⁽²⁾	(2		)	(2		)	nm
Net income available to common shareholders	$	1,659		$	1,411		18
Earnings per common share:
Basic	$	4.41		$	3.58		23
Diluted	4.35			3.54			23
Average common shares outstanding (in thousands):
Basic	376,430			393,959
Diluted	381,779			398,413
Cash dividends declared per common share	$	1.18		$	1.06
Return on average common equity	11.9		%	9.9		%

⁽¹⁾Additional information about our preferred stock dividends is provided in Note 12 to the consolidated financial statements in this Form 10-Q.

⁽²⁾Represents the portion of net income available to common equity allocated to participating securities, composed of unvested and fully vested SERP (Supplemental executive retirement plans) shares and fully vested deferred director stock awards, which are equity-based awards that contain non-forfeitable rights to dividends, and are considered to participate with the common stock in undistributed earnings.

^nmnm Not meaningful

~~State Street Corporation | 8~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

The following “Financial Results and Highlights” section provides information related to significant events, as well as highlights of our consolidated financial results for the first quarter ~~ended September 30, 2017~~of 2023 presented in Table 1: Overview of Financial Results. More detailed information about our consolidated financial results, including ~~comparisons~~the comparison of our financial

State Street Corporation | 7

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

results for the ~~third~~first quarter ~~and first nine months ended September 30, 2017~~of 2023 compared to ~~those for~~ the same ~~periods in 2016,~~period of 2022, is provided under “Consolidated Results of ~~Operations,”~~Operations”, "Line of Business Information" and "Capital" which follows these sections, as well as in our consolidated financial statements ~~included~~ in this Form 10-Q. In this Management’s Discussion and Analysis, where we describe the effects of changes in foreign ~~exchange rates,~~currency translation, those effects are determined by applying applicable weighted average ~~foreign exchange~~FX rates from the relevant ~~2016~~2022 period to the relevant ~~2017~~2023 period results.

Financial Results and Highlights

~~EPS~~•First quarter of 2023 financial performance:

◦Earnings per share (EPS) of $~~1.66~~1.52, in the ~~third~~first quarter of ~~2017 increased 29% compared to $1.29 in the third quarter of 2016.~~

~~Third quarter 2017~~ ~~ROE of~~ ~~13.0%~~ ~~increased from~~ ~~10.6%~~ ~~in the third quarter of 2016.~~

~~Pre-tax margin of 28.9% in the third quarter of 2017 increased from 24.3% in the third quarter of 2016.~~

~~Revenue~~

~~Total revenue and fee revenue increased~~ 9% ~~and~~ 8%~~, respectively, in the third quarter of 2017~~2023, decreased 3% as compared to the ~~third~~same period of 2022.

◦Total revenue increased 1% in the first quarter of ~~2016, primarily driven by~~2023, compared to the same period of 2022, as higher ~~global equity markets, net new asset servicing business and the impact of the weaker U.S. dollar,~~NII was partially offset by lower ~~trading services~~fee revenue.

~~Servicing fee~~ Currency translation decreased total revenue ~~increased 4%~~by 1% in the ~~third~~first quarter of ~~2017~~ 2023, relative to the same period of 2022.

◦Total expenses increased 2% in the first quarter of 2023, compared to the ~~third~~same period of 2022, primarily reflecting continued business investments and higher salaries, partially offset by ongoing productivity savings, lower seasonal expenses and the benefit from currency translation. Currency translation reduced expenses by 2% in the first quarter of ~~2016,~~2023 relative to the same period of 2022.

◦In the first quarter of 2023, return on equity was 9.3%, a decrease from 9.5% in the same period of 2022, primarily due to ~~higher global equity markets,~~a decrease in net ~~new business and the weaker U.S. dollar.~~

~~Management fee revenue increased 14% in the third quarter of 2017 compared~~income available to ~~the third quarter of 2016, primarily due to higher global equity markets, new business and higher revenue-yielding ETF inflows.~~

NII increased 12% in the third quarter of 2017 compared to the third quarter of 2016, primarily due to higher U.S. market interest rates, loan portfolio growth, lower wholesale CD costs and disciplined liability pricing,common shareholders, partially offset by lower average ~~interest earning assets.~~

~~Expenses~~

~~Total expenses increased 2%~~common shareholders' equity. Pre-tax margin of 22.2% in the ~~third~~first quarter of ~~2017 compared to the third quarter~~2023, decreased from 24.5% in same period of 2016, primarily reflecting installation of new business, annual merit and performance related incentive compensation increases and the impact of the weaker U.S. dollar, partially offset by Beacon savings (including approximately $35 million of Beacon savings attributable to the third quarter of 2017).

~~In the third quarter of 2017, we recorded restructuring charges of $33 million related to Beacon.~~

~~AUCA/AUM~~

~~AUCA increased 10% in the third quarter of 2017 compared to the third quarter of 2016,~~2022, primarily due to higher ~~global equity markets~~expenses and ~~business activity. In~~provisions for credit losses.

◦Operating leverage was negative 1.2% points in the ~~third~~first quarter of 2017, we secured new asset servicing mandates of approximately $105 billion. Our AUCA pipeline of asset servicing mandates that have been won but not yet installed as of September 30, 2017 totaled approximately $390 billion.2023. Operating leverage represents the difference between the percentage change in total revenue and the percentage change in total

~~AUM increased 9%~~

expenses, in each case relative to the same period in the ~~third~~prior year.

◦Fee operating leverage was negative 11.0%points in the first quarter of ~~2017~~2023. Fee operating leverage represents the difference between the percentage change in total fee revenue and the percentage change in total expenses, in each case relative to the same period in the prior year.

◦Returned approximately $1.5 billion to our shareholders in the form of common stock dividends and common share repurchases.

◦Announced our agreement to acquire CF Global Trading to add scale to our outsourced trading services and further broaden the Alpha platform. The transaction is expected to be completed by the end of 2023, subject to customary closing conditions.

Revenue

•Total fee revenue decreased 9% in the first quarter of 2023, compared to the ~~third~~same period of 2022, reflecting the impact of lower average market levels on servicing fees and management fees, lower FX trading services, and lower software and processing fees, partially offset by higher securities finance and other fee revenue.

•Servicing fee revenue decreased 11% in the first quarter of ~~2016,~~2023, compared to the same period of 2022, primarily driven by lower average equity and fixed income market levels, client activity and adjustments and normal pricing headwinds, partially offset by net new business.

•Management fee revenue decreased 12% in the first quarter of 2023, compared to the same period of 2022, primarily due to ~~higher global~~lower average equity ~~markets~~ and ~~positive ETF flows,~~fixed income market levels and a previously reported client-specific pricing adjustment.

•Foreign exchange trading services revenue decreased 5% in the first quarter of 2023, compared to the same period of 2022, primarily reflecting the absence of unusually high client FX volumes in the first quarter of 2022, partially offset by ~~continuing institutional net outflows.~~higher FX spreads.

~~Capital~~

~~We declared a quarterly common stock dividend of $0.42 per share, totaling approximately $156 million~~•Securities finance revenue increased 14% in the ~~third~~ first quarter of ~~2017,~~2023, compared to ~~$0.38 per share, totaling $147 million in~~ the ~~third quarter~~same period of ~~2016, representing an increase of approximately 11% on a per share basis.~~

In the third quarter of 2017, we acquired approximately 3.7 million shares of common stock at an average per-share cost of $93.39 and an aggregate cost of approximately $350 million under the common stock purchase program approved2022, primarily from higher specials activity, partially offset by ~~our Board in June 2017.~~

~~CET1 capital ratio under the Basel III standardized approach was 11.6% as of September 30, 2017.~~

~~Tier 1 leverage ratio increased to~~ ~~7.4%~~ ~~as of September 30, 2017.~~

lower balances.

State Street Corporation | 98

~~Table of Contents~~

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

•Software and processing fees revenue decreased 18% in the first quarter of 2023, compared to the same period of 2022, primarily driven by lower front office software and data revenue associated with CRD.

•Other fee revenue increased $16 million in the first quarter of 2023, compared to the same period of 2022, primarily due to positive market-related adjustments.

•NII increased 50% in the first quarter of 2023, compared to the same period of 2022, primarily due to higher short-term market rates from global central bank rate hikes, an increase in long-term interest rates and balance sheet positioning, partially offset by lower average client deposits.

Provision for Credit Losses

•In the first quarter of 2023, we recorded a $44 million provision for credit losses, driven by an episodic provision of $29 million associated with industry support for a U.S. financial institution, as well as an increase in loan loss reserves driven by credit portfolio rating changes.

Expenses

•Total expenses increased 2% in the first quarter of 2023, compared to the same period of 2022, primarily reflecting continued business investments and higher salaries, partially offset by ongoing productivity savings, lower seasonal expenses and the benefit from currency translation. Currency translation reduced expenses by 2% in the first quarter of 2023 relative to the same period of 2022.

Notable items

•There were no notable items in the first quarter of 2023.

•Notable items in the first quarter of 2022 was comprised of acquisition and restructuring costs of approximately $9 million related to the BBH Investor Services acquisition transaction that we are no longer pursuing.

AUC/A and AUM

•AUC/A of $37.6 trillion as of March 31, 2023, decreased 10% compared to March 31, 2022, primarily due to lower quarter-end market levels and a previously disclosed client transition, partially offset by new business installations. In the first quarter of 2023, newly announced asset servicing mandates totaled approximately $112 billion, about half of which were alternatives mandates that generally carry higher fee rates than traditional asset classes. Servicing

assets remaining to be installed in future periods totaled approximately $3.6 trillion as of March 31, 2023.

•AUM of $3.6 trillion as of March 31, 2023, decreased 10% compared to March 31, 2022, primarily due to lower quarter-end market levels and net outflows from institutional.

Capital

•In the first quarter of 2023, we returned a total of approximately $1.5 billion of capital to our shareholders in the form of common stock dividends and common share repurchases.

◦We declared aggregate common stock dividends of $0.63 per share, totaling $212 million in the first quarter of 2023, compared to $0.57 per share, totaling $209 million in the same period of 2022, representing an increase of approximately 10% on a per share basis.

◦In the first quarter of 2023, we acquired 13.6 million shares of common stock at an average per share cost of $91.57 and an aggregate cost of approximately $1.25 billion. These purchases were all conducted under the share repurchase program approved by our Board of Directors in January 2023, authorizing the purchase of up to $4.5 billion of our common stock through December 31, 2023.

•Our standardized CET1 capital ratio decreased to 12.1% as of March 31, 2023, compared to 13.6% as of December 31, 2022, primarily driven by the continuation of our common share repurchase program and expected normalization of RWA. As we continue to deploy capital to our businesses, we may see modest RWA growth over the coming quarters, subject to market volatility. Our Tier 1 leverage ratio of 6.0% as of March 31, 2023, was relatively flat compared to December 31, 2022. Given the current global economic environment, and our plans for share repurchases, we currently expect our CET1 and Tier 1 leverage capital ratios to move into our target ranges of 10-11% and 5.25-5.75%, respectively, in the second half of the year.

State Street Corporation | 9

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Debt Issuances and Redemptions

•On January 26, 2023, we issued $500 million aggregate principal amount of 4.857% fixed-to-floating rate senior notes due 2026 and $750 million aggregate principal amount of 4.821% fixed-to-floating rate senior notes due 2034.

CONSOLIDATED RESULTS OF OPERATIONS

This section discusses our consolidated results of operations for the ~~third~~first quarter ~~and first nine months ended September 30, 2017~~of 2023 compared to the same ~~periods in 2016,~~period of 2022 and should be read in conjunction with the consolidated financial statements and accompanying ~~condensed~~ notes to the consolidated financial statements ~~included~~ in this Form 10-Q.

Total Revenue


TABLE 2: TOTAL REVENUE	TABLE 2: TOTAL REVENUE							TABLE 2: TOTAL REVENUE
	Quarters Ended September 30,

									Three Months Ended March 31,				% Change
(Dollars in millions)	2017			2016		% Change		(Dollars in millions)	2023		2022
Fee revenue:								Fee revenue:
Back office services								Back office services	$	1,131	$	1,268	(11)	%
Middle office services								Middle office services	86		100		(14)
Servicing fees	$	1,351		$	1,303	4	%	Servicing fees	1,217		1,368		(11)
Management fees	419			368		14		Management fees	457		520		(12)
Trading services:
Foreign exchange trading	150			159		(6	)
Brokerage and other trading services	109			108		1
Total trading services	259			267		(3	)
Foreign exchange trading services								Foreign exchange trading services	342		359		(5)
Securities finance	147			136		8		Securities finance	109		96		14
Processing fees and other	66			5		nm
Front office software and data								Front office software and data	109		138		(21)
Lending related and other fees								Lending related and other fees	56		63		(11)
Software and processing fees								Software and processing fees	165		201		(18)
Other fee revenue								Other fee revenue	45		29		55
Total fee revenue	2,242			2,079		8		Total fee revenue	2,335		2,573		(9)
Net interest income:								Net interest income:
Interest income	761			647		18		Interest income	2,027		521		nm
Interest expense	158			110		44		Interest expense	1,261		12		nm
Net interest income	603			537		12		Net interest income	766		509		50
Other income:								Other income:
Gains (losses) related to investment securities, net	1			4		nm		Gains (losses) related to investment securities, net	—		(1)		nm

Total other income								Total other income	—		(1)		nm
Total revenue	$	2,846		$	2,620	9		Total revenue	$	3,101	$	3,081	1

	Nine Months Ended September 30,
(Dollars in millions)	2017			2016		% Change
Fee revenue:
Servicing fees	$	3,986		$	3,784	5	%
Management fees	1,198			931		29
Trading services:
Foreign exchange trading	492			472		4
Brokerage and other trading services	331			334		(1	)
Total trading services	823			806		2
Securities finance	459			426		8
Processing fees and other	209			155		35
Total fee revenue	6,675			6,102		9
Net interest income:
Interest income	2,111			1,896		11
Interest expense	423			326		30
Net interest income	1,688			1,570		8
Gains (losses) related to investment securities, net	(39		)	5		nm
Total revenue	$	8,324		$	7,677	8

nmNot meaningful

Fee Revenue

Table 2: Total Revenue, provides the breakout of fee revenue for the ~~quarters~~first quarter of 2023 and ~~nine months ended September 30, 2017 and 2016.~~

2022. Servicing and management fees collectively made up approximately ~~79%~~72% and ~~78%~~73% of the total fee revenue in the ~~third~~first quarter of 2023 and 2022, respectively.

Servicing Fee Revenue

Servicing fees, as presented in Table 2: Total Revenue, decreased 11% in thefirst ~~nine months~~quarter of ~~2017, respectively,~~2023 compared to ~~approximately 80%~~the same period of 2022, primarily driven by lower average equity and ~~77%~~fixed income market levels, client activity and adjustments and normal pricing headwinds, partially offset by net new business. Currency translation decreased servicing fee revenue by 1% in the ~~third~~first quarter of 2023 relative to the same period of 2022.

Servicing fees generated outside the U.S. were approximately 46% and 47% of total servicing fees in the first ~~nine months~~quarter of ~~2016,~~2023 and 2022, respectively. ~~The level of these fees is influenced~~

Servicing fee revenue comprises revenue from both back office and middle office services. Generally, our servicing fee revenues are affected by several factors, including changes in market valuations, client activity and asset flows, net new business and the manner in which we price our services. We provide a range of services to our clients, including core custody services, accounting, reporting and administration, which we refer to collectively as back office services and middle office services. The nature and mix of services provided and ~~volume~~the asset classes for which the services are performed affect our servicing fees. The basis for fees will differ across regions and clients.

Changes in Market Valuations

Our servicing fee revenue is impacted by both our levels and the geographic and product mix of our ~~AUCA~~AUC/A. Increases or decreases in market valuations have a corresponding impact on the level of our AUC/A and servicing fee revenues, though the degree of impact will vary depending on asset types and classes and geography of assets held within our clients’ portfolios. For certain asset classes where the valuation process is more complex, including alternative investments, or where our valuation is dependent on third party information, AUC/A is reported on a time lag, typically one-month. For those asset classes, the impact of market levels on our reported AUC/A does not reflect current period-end market levels.

State Street Corporation | 10

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Over the five years ended December 31, 2022, we estimate that worldwide equity and fixed income market valuations impacted our servicing fees revenue by approximately 2% on average with a range of (4)% to 8% annually and approximately (4)% and 8% in 2022 and 2021, respectively. The impact of changes in worldwide fixed income markets on our servicing fees, which historically was included within client activity and asset flows, is now reflected within change in market valuations. See Table 3: Daily Averages, Month-End Averages and Quarter-End Equity Indices for selected indices. While the specific indices presented are indicative of general market trends, the asset types and classes relevant to individual client portfolios can and do differ, and the performance of associated relevant indices and of client portfolios can therefore differ from the performance of the indices presented. In addition, our asset classifications may differ from those industry classifications presented.

Assuming that all other factors remain constant, including client activity, asset flows and pricing, we estimate, using relevant information as of March 31, 2023 that a 10% increase or decrease in worldwide equity valuations, on a weighted average basis, over the relevant periods for which our servicing fees are calculated, would result in a corresponding change in our total servicing fee revenues, on average and over multiple quarters, of approximately 3%. We estimate, similarly assuming all other factors remain constant and using relevant information as of March 31, 2023, that changes in worldwide fixed income markets, which on a weighted average basis and over time are typically less volatile than worldwide equity markets, have a smaller corresponding impact on our servicing fee revenues on average and over time. In periods of higher fixed income market volatility such as we have been experiencing since the second quarter of 2022, the impact of fixed income markets on our servicing fee revenues may increase.


TABLE 3: DAILY AVERAGES, MONTH-END AVERAGES AND QUARTER-END EQUITY INDICES(1)
	Daily Averages of Indices				Month-End Averages of Indices				Quarter-End Indices
	Three Months Ended March 31,				Three Months Ended March 31,				As of March 31,
	2023	2022	% Change		2023	2022	% Change		2023	2022	% Change
S&P 500®	4,000	4,464	(10)	%	4,052	4,473	(9)	%	4,109	4,530	(9)	%
MSCI EAFE®	2,060	2,212	(7)		2,082	2,194	(5)		2,093	2,182	(4)
MSCI® Emerging Markets	997	1,187	(16)		995	1,174	(15)		990	1,142	(13)

(1) The index names listed in the table are service marks of their respective owners.


TABLE 4: QUARTER-END DEBT INDICES(1)
	As of March 31,
	2023	2022	% Change
Bloomberg U.S. Aggregate Bond Index®	2,109	2,215	(5)	%
Bloomberg Global Aggregate Bond Index®	459	500	(8)

(1) The index names listed in the table are service marks of their respective owners.

Client Activity and Asset Flows

Client activity and asset flows are impacted by the number of transactions we execute on behalf of our clients, including FX settlements, equity and derivative trades, and wire transfer activity, as well as actions by our clients to change the asset class in which their assets are invested. Our servicing fee revenues are impacted by a number of factors, including transaction volumes, asset levels and asset classes in which funds are invested, as well as industry trends associated with these client-related activities.

Our clients may change the asset classes in which their assets are invested, based on their market outlook, risk acceptance tolerance or other considerations. Over the five years ended December 31, 2022, we estimate that client activity and asset flows, together, impacted our servicing fees revenue by approximately 0% on average with a range of (2)% to 1% annually and approximately 0% and (1)% in 2022 and 2021, respectively. As noted under "Changes in Market Valuations" in this section, this analysis now excludes, but in prior reporting previously included, the impact of changes in worldwide fixed income markets on our servicing fees. See Table 5: Industry Asset Flows for selected asset flow information. While the asset flows presented are indicative of general market trends, the asset types and classes relevant to individual client portfolios can and do differ, and our ~~AUM,~~flows may differ from those market trends. In addition, our asset classifications may differ from those industry classifications presented.

State Street Corporation | 11

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS


TABLE 5: INDUSTRY ASSET FLOWS
	Three Months Ended March 31,
(In billions)	2023		2022
North America - (US Domiciled) - Morningstar Direct Market Data(1)(2)(3)
Long-Term Funds(4)	$	(59.2)	$	(66.7)
Money Market	465.9		(143.4)
Exchange-Traded Fund	78.5		181.2
Total Flows	$	485.2	$	(28.9)

Europe - Morningstar Direct Market Data(1)(2)(5)
Long-Term Funds(4)	$	81.6	$	9.7
Money Market	(10.7)		(68.9)
Exchange-Traded Fund	31.7		45.4


Total Flows	$	102.6	$	(13.8)

(1) Industry data is provided for illustrative purposes only. It is not intended to reflect our activity or our clients' activity and is indicative of only segments of the ~~value~~entire industry.

(2) Source: Morningstar. The data includes long-term mutual funds, ETFs and ~~type~~money market funds. Mutual fund data represents estimates of ~~securities positions held (with respect~~net new cash flow, which is new sales minus redemptions combined with net exchanges, while ETF data represents net issuance, which is gross issuance less gross redemptions. Data for Fund of Funds, Feeder funds and Obsolete funds were excluded from the series to ~~assets under custody),~~prevent double counting. Data is from the ~~volume~~Morningstar Direct Asset Flows database.

(3) The first quarter of ~~portfolio transactions,~~2023 data for North America (US domiciled) includes Morningstar direct actuals for January 2023 and February 2023 and Morningstar direct estimates for March 2023.

(4) The long-term fund flows reported by Morningstar direct in North America are composed of U.S. domiciled market flows mainly in Equities, Allocation and Fixed-Income asset classes. The long-term fund flows reported by Morningstar direct in EMEA are composed of the European market flows mainly in Equities, Allocation and Fixed-Income asset classes.

(5) The first quarter of 2023 data for Europe is on a rolling three month basis for December 2022 through February 2023, sourced by Morningstar.

Net New Business

Over the five years ended December 31, 2022, net new business, which includes business both won and lost, has affected our servicing fee revenues by approximately 0% on average with a range of 0% to 1% annually and approximately 1% in both 2022 and 2021.

Gross investment servicing mandates were $112 billion in the first quarter of 2023 and $2.00 trillion per year on average over the past five years. Over the five years ended December 31, 2022, gross annual investment servicing mandates ranged from approximately $0.79 trillion to $3.52 trillion.

Servicing fee revenue associated with new servicing mandates may vary based on the breadth of services provided, the time required to install the assets, and the types of ~~products~~assets installed.

Revenues associated with new mandates are not reflected in our servicing fee revenue until the assets have been installed. Our installation timeline, in general, can range from 6 to 36 months, with the average installation timeline being approximately 9 to 12 months over the past 2 years. We expect that our more complex installations, including new State Street Alpha mandates, will generally be on the longer end of that range. With respect to the current asset mandates of approximately $3.65 trillion that are yet to be installed as of March 31, 2023, we expect the conversion will occur over the coming 36 months.

Pricing

The industry in which we operate has historically faced pricing pressure, and ~~services used by~~ our ~~clients, and is generally~~servicing fee revenues are also affected by such pressures today. Consequently, no assumption should be drawn as to future revenue run rate from announced servicing wins, as the amount of revenue associated with AUC/A, once installed, can vary materially. On average, over the five years ended December 31, 2022, we estimate that pricing pressure with respect to existing clients has impacted our servicing fees by approximately (3)% annually, with the impact ranging from (2)% to (4)% in any given year and approximately (2)% in both 2022 and 2021. Pricing concessions can be a part of a contract renegotiation with a client including terms that may benefit us, such as extending the term of our relationship with the client, expanding the scope of services that we provide or reducing our dependency on manual processes through the standardization of the services we provide. The timing of the impact of additional revenue generated by anticipated additional services, and the amount of revenue generated, may differ from expectations due to the impact of pricing concessions on existing services due to the necessary time required to onboard those new services, the nature of those services and client investment practices and other factors. These same market pressures also impact the fees we negotiate when we win business from new clients.

In order to offset the typical client attrition and normal pricing headwinds, we estimate that we need at least $1.5 trillion of new AUC/A per year; although, notwithstanding increases in AUC/A, servicing fees remain subject to

State Street Corporation | 12

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

several factors, including changes in ~~worldwide equity~~market valuations, client activity and ~~fixed-income security~~asset flows, the manner in which we price our services, the nature of the assets being serviced and the type of services and the other factors described in this Form 10-Q.

Historically, and based on an indicative sample of revenue, we estimate that approximately 60%, on average, of our servicing fee revenues have been variable due to changes in asset valuations ~~and trends in market asset class preferences.~~

~~Generally, servicing fees are affected by~~including changes in daily average valuations of ~~AUCA. Additional factors,~~AUC/A; another 15%, on average, of our servicing fees are impacted by the volume of activity in the funds we serve; and the remaining approximately 25% of our servicing fees tend not to be variable in nature nor impacted by market fluctuations or values.

Based on the impact of the above, client activity and asset flows, net new business and pricing, noted drivers of our servicing fee revenue will vary depending on the mix of products and services we provide to our clients. The full impact of changes in market valuations and the volume of activity in the funds may not be fully reflected in our servicing fee revenues in the periods in which the changes occur, particularly in periods of higher volatility.


TABLE 6: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY PRODUCT(1)(2)
(In billions)	March 31, 2023		December 31, 2022		March 31, 2022
Collective funds, including ETFs	$	12,748	$	12,261	$	15,140
Mutual funds	10,077		9,610		10,825
Pension products	7,871		7,734		8,191
Insurance and other products	6,939		7,138		7,568
Total	$	37,635	$	36,743	$	41,724


TABLE 7: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY ASSET CLASS(2)
(In billions)	March 31, 2023		December 31, 2022		March 31, 2022
Equities	$	20,966	$	20,575	$	25,249
Fixed-income	10,645		10,318		11,303
Short-term and other investments	6,024		5,850		5,172
Total	$	37,635	$	36,743	$	41,724


TABLE 8: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY GEOGRAPHY(2)(3)
(In billions)	March 31, 2023		December 31, 2022		March 31, 2022
Americas	$	27,599	$	26,981	$	31,027
Europe/Middle East/Africa	7,396		7,136		8,103
Asia/Pacific	2,640		2,626		2,594
Total	$	37,635	$	36,743	$	41,724

(1) Certain previously reported amounts presented have been reclassified to conform to current-period presentation.

(2) Consistent with past practice, AUC/A values for certain asset classes are based on a lag, typically one-month.

(3) Geographic mix is generally based on the domicile of the entity servicing the funds and is not necessarily representative of the underlying asset mix.

Asset servicing mandates newly announced in the first quarter of 2023 totaled approximately $112 billion. Servicing assets remaining to be installed in future periods totaled approximately $3.65 trillion as of March 31, 2023, which will be reflected in AUC/A in future periods after installation and will generate servicing fee revenue in subsequent periods. The full revenue impact of such mandates will be realized as the assets are installed and additional services are added over that period.

New asset servicing mandates may be subject to completion of definitive agreements, approval of applicable boards and shareholders and customary regulatory approvals. New asset servicing mandates and servicing assets remaining to be installed in future periods exclude certain new business which has been contracted, but for which the client has not yet provided permission to publicly disclose and the expected installation date extends beyond one quarter. These excluded assets, which from time to time may be significant, will be included in new asset servicing mandates and reflected in servicing assets remaining to be installed in the period in which the client provides its permission. Servicing mandates and servicing assets remaining to be installed in future periods are presented on a gross basis and therefore also do not include the impact of clients who have notified us during the period of their intent to terminate or reduce their relationship with us, which may from time to time be significant.

With respect to these new servicing mandates, once installed we may provide various services, including back office services such as custody and safekeeping, transaction processing and trade settlement, fund administration, reporting and record keeping, security servicing, fund accounting, middle office services such as investment book of records, transaction management, loans, cash derivatives and collateral services, recordkeeping, client reporting and investment analytics, markets services such as FX trading services, liquidity solutions, currency and collateral management and securities finance, and front office services such as portfolio management solutions, risk analytics, scenario analysis, performance and attribution, trade order and execution management, pre-trade

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

compliance and ESG investment tools. Revenues associated with new servicing mandates may vary based on the ~~relative mix of assets serviced, the level of transaction volumes, changes in service level, the nature~~breadth of services provided, ~~balance credits, client minimum balances, pricing concessions,~~ the ~~geographical location~~timing of installation, and the types of assets.

As previously disclosed, in ~~which services are provided and other factors, may have~~early 2021, due to a decision to diversify providers, one of our large asset servicing clients has advised us it expects to move a significant ~~effect on~~portion of its ETF assets currently with State Street to one or more other providers, pending necessary approvals. We expect to continue as a significant service provider for this client after this transition and for the client to continue to be meaningful to our ~~servicing~~business. The transition began in 2022, but will principally occur in 2023 and 2024 and will impact our fee revenue and income growth trends through 2025. For the year ended December 31, 2022, the fee revenue associated with the assets yet to transition represented approximately 1.7% of our total fee revenue. The actual total revenue and income impact of this transition will reflect a range of factors, including potential growth in our continuing business with the client and expense reductions associated with the transition.

Management Fee Revenue

Management fees decreased 12% in the first quarter of 2023, compared to the same period of 2022, primarily due to lower average equity and fixed income market levels and a previously reported client-specific pricing adjustment.

Management fees generated outside the U.S. were approximately 25% and 27% of total management fees in the first quarter of 2023 and 2022, respectively.

Management fees generally are affected by ~~changes in~~our level of AUM, which we report based on month-end ~~valuations of AUM.~~valuations. Management fees for certain components of managed assets, such as ETFs, mutual funds and Undertakings for Collective Investments in Transferable Securities, are affected by daily average valuations of AUM. Management fee revenue is more sensitive to market valuations than servicing fee revenue, as a higher proportion of the underlying services provided, and the associated management fees earned, are dependent on equity and fixed-income security valuations. Additional factors, such as the relative mix of assets managed, may have a significant effect on our management fee revenue. While certain management fees are directly determined by the values of AUM and the investment strategies employed, management fees may reflect other factors, ~~as well,~~ including performance fee arrangements, as well as our relationship pricing for ~~clients using multiple services.~~clients.

Asset-based management fees for ~~actively~~passively managed products, to which our AUM is currently primarily weighted, are generally charged at a ~~higher percentage of~~lower fee on AUM than for ~~passive~~actively managed products. Actively managed products may also include performance fee arrangements which are recorded when the ~~performance period~~fee is ~~complete.~~earned, based on predetermined benchmarks associated with the applicable account's performance.

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~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

In light of the above, we estimate, using relevant information as of ~~September 30, 2017~~March 31, 2023, and assuming that all other factors remain constant, including the impact of business won and lost and client flows, that:

•A 10% increase or decrease in worldwide equity valuations, on a weighted average basis, over the relevant periods for which our ~~servicing and~~ management fees are calculated, would result in a corresponding change in our total ~~servicing and~~ management fee revenues, on average and over multiple quarters, of approximately 3%5%; and

~~A 10% increase or decrease~~•changes in worldwide fixed income markets, which on a weighted average basis and over ~~the relevant periods for which~~time are typically less volatile than worldwide equity markets, will have a significantly smaller corresponding impact on our ~~servicing and management fees are calculated, would result in a corresponding change in our total servicing and~~ management fee revenues ~~of approximately 1%.~~on average and over time.

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Daily averages, month-end averages and quarter-end indices demonstrate worldwide changes in equity and debt markets that affect our management fee revenue. Quarter-end indices affect the values of AUM as of those dates. See Table 3: Daily Averages, Month-End Averages and Quarter-End Equity ~~Indices and Table 4: Quarter-End Debt~~ Indices for selected indices. While the specific indices presented are indicative of general market trends, the asset types and classes relevant to individual client portfolios can and do differ, and the performance of associated relevant indices and of client portfolios can therefore differ from the performance of the indices presented. In addition, our asset classifications may differ from those industry classifications presented.

Daily averages, month-end averages, and quarter-end indices demonstrate worldwide changes in equity and debt markets that affect our servicing and management fee revenue. Quarter-end indices affect the values of AUCA and AUM as of those dates.

~~Further discussion of fee revenue is provided under Line of Business Information in this Management's Discussion and Analysis in this Form 10-Q.~~

TABLE 3: DAILY, MONTH-END AND QUARTER-END EQUITY INDICES⁽¹⁾
Daily Averages of Indices Averages of Month-End Indices Quarter-End Indices
Quarters Ended September 30, Quarters Ended September 30, As of September 30,
2017 2016 % Change 2017 2016 % Change 2017 2016 % Change
S&P 500^®
2,467
2,162
14 % 2,487
2,171
15 % 2,519
2,168
16 %
MSCI EAFE^®
1,934
1,678
15
1,947
1,692
15
1,974
1,702
16
MSCI^® Emerging Markets
1,068
887
20
1,079
890
21
1,082
903
20
HFRI Asset Weighted Composite^®
NA
NA
NA
1,358
1,274
7
1,361
1,277
7

Daily Averages of Indices Averages of Month-End Indices
Nine Months Ended September 30, Nine Months Ended September 30,
2017 2016 % Change 2017 2016 % Change
S&P 500^®
2,397
2,065
16 % 2,410
2,078
16 %
MSCI EAFE^®
1,846
1,640
13
1,859
1,650
13
MSCI^® Emerging Markets
996
821
21
1,004
830
21
HFRI Asset Weighted Composite^®
NA
NA
NA
1,340
1,255
7


TABLE 9: ASSETS UNDER MANAGEMENT BY ASSET CLASS AND INVESTMENT APPROACH
(In billions)	March 31, 2023		December 31, 2022		March 31, 2022
Equity:
Active	$	60	$	54	$	67
Passive	2,153		2,074		2,463
Total equity	2,213		2,128		2,530
Fixed-income:
Active	85		83		98
Passive	490		471		503
Total fixed-income(1)	575		554		601
Cash(1)	375		376		393
Multi-asset-class solutions:
Active	28		28		33
Passive	203		181		196
Total multi-asset-class solutions	231		209		229
Alternative investments(2):
Active	35		35		51
Passive	189		179		218
Total alternative investments	224		214		269
Total	$	3,618	$	3,481	$	4,022

⁽¹⁾~~The index names listed~~Includes both floating- and constant-net-asset-value portfolios held in commingled structures or separate accounts.

(2) Includes real estate investment trusts, currency and commodities, including SPDR® Gold Shares and SPDR® Gold MiniSharesSM Trust. We are not the ~~table are service marks of their respective owners.~~investment manager for the SPDR® Gold Shares and SPDR®Gold MiniSharesSM Trust, but act as the marketing agent.

^NA ~~Not applicable~~

TABLE 4: QUARTER-END DEBT INDICES⁽¹⁾
Quarter-End Indices
As of September 30,
2017 2016 % Change
Barclays Capital U.S. Aggregate Bond Index^®
2,038
2,037
— %
Barclays Capital Global Aggregate Bond Index^®
480
486
nm


TABLE 10: GEOGRAPHIC MIX OF ASSETS UNDER MANAGEMENT(1)
(In billions)	March 31, 2023		December 31, 2022		March 31, 2022
North America	$	2,648	$	2,544	$	2,878
Europe/Middle East/Africa	521		511		593
Asia/Pacific	449		426		551
Total	$	3,618	$	3,481	$	4,022

⁽¹⁾~~The index names listed~~Geographic mix is based on client location or fund management location.


TABLE 11: EXCHANGE-TRADED FUNDS BY ASSET CLASS(1)
(In billions)	March 31, 2023		December 31, 2022		March 31, 2022
Alternative Investments(2)	$	73	$	67	$	84

Equity	841		817		940
Multi Asset	1		1		1
Fixed-Income	141		134		134
Total Exchange-Traded Funds	$	1,056	$	1,019	$	1,159

(1) ETFs are a component of AUM presented in the ~~table~~preceding table.

(2) Includes real estate investment trusts, currency and commodities, including SPDR® Gold Shares and SPDR® Gold MiniSharesSM Trust. We are ~~service marks of their respective owners.~~not the investment manager for the SPDR® Gold Shares and SPDR®GoldMiniSharesSM Trust, but act as the marketing agent.

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TABLE 12: ACTIVITY IN ASSETS UNDER MANAGEMENT BY PRODUCT CATEGORY
(In billions)	Equity		Fixed-Income		Cash(1)		Multi-Asset-Class Solutions		Alternative Investments(2)		Total
Balance as of December 31, 2021	$	2,674	$	623	$	368	$	222	$	251	$	4,138
Long-term institutional flows, net(3)	(25)		11		4		11		13		14
Exchange-traded fund flows, net	4		5		—		—		8		17
Cash fund flows, net	—		—		20		—		—		20
Total flows, net	(21)		16		24		11		21		51
Market appreciation (depreciation)	(113)		(34)		1		(3)		(4)		(153)
Foreign exchange impact	(10)		(4)		—		(1)		1		(14)
Total market/foreign exchange impact	(123)		(38)		1		(4)		(3)		(167)
Balance as of March 31, 2022	$	2,530	$	601	$	393	$	229	$	269	$	4,022







Balance as of December 31, 2022	$	2,128	$	554	$	376	$	209	$	214	$	3,481
Long-term institutional flows, net(3)	(25)		1		—		10		(2)		(16)
Exchange-traded fund flows, net	(12)		5		—		—		1		(6)
Cash fund flows, net	—		—		(4)		—		—		(4)
Total flows, net	(37)		6		(4)		10		(1)		(26)
Market appreciation (depreciation)	122		14		3		11		11		161
Foreign exchange impact	—		1		—		1		—		2
Total market/foreign exchange impact	122		15		3		12		11		163
Balance as of March 31, 2023	$	2,213	$	575	$	375	$	231	$	224	$	3,618

(1) Includes both floating- and constant-net-asset-value portfolios held in commingled structures or separate accounts.

(2) Includes real estate investment trusts, currency and commodities, including SPDR® Gold Shares and SPDR® Gold MiniSharesSM Trust. We are not the investment manager for the SPDR® Gold Shares and SPDR®Gold MiniSharesSM Trust, but act as the marketing agent.

(3) Amounts represent long-term portfolios, excluding ETFs.

Foreign Exchange Trading Services

Foreign exchange trading services revenue, as presented in Table 2: Total Revenue, decreased 5% in the first quarter of 2023, compared to the same period of 2022, primarily reflecting the absence of unusually high client FX volumes in the first quarter of 2022, partially offset by higher FX spreads. Foreign exchange trading services revenue comprises revenue generated by FX trading and revenue generated by brokerage and other trading services, which made up 68% and 32%, respectively, of foreign exchange trading services revenue in the first quarter of 2023, compared to 69% and 31%, respectively, in the same period of 2022.

We primarily earn FX trading revenue by acting as a principal market-maker through both "direct sales and trading” and “indirect FX trading.”

•Direct sales and trading: Represent FX transactions at negotiated rates with clients and investment managers that contact our trading desk directly. These principal market-making activities include transactions for funds serviced by third party custodians or prime brokers, as well as those funds under custody with us.

•Indirect FX trading: Represents FX transactions with clients, for which we are the funds' custodian, or their investment managers, routed to our FX desk through our asset-servicing operation. We execute indirect FX trades as a principal at rates disclosed to our clients.

Our FX trading revenue is influenced by multiple factors, including: the volume and type of client FX transactions and related spreads; currency volatility, reflecting market conditions; and our management of exchange rate, interest rate and other market risks associated with our FX activities. The relative impact of these factors on our total FX trading revenues often differs from period to period. For example, assuming all other factors remain constant, increases or decreases in volumes or bid-offer spreads across product mix tend to result in increases or decreases, as the case may be, in client-related FX revenue.

Our clients that utilize indirect FX trading can, in addition to executing their FX transactions through dealers not affiliated with us, transition from indirect FX trading to either direct sales and trading execution, including our “Street FX” service, or to one of our electronic trading platforms. Street FX, in which we continue to act as a principal market-maker, enables our clients to define their FX execution strategy and automate the FX trade execution process, both for funds under custody with us as well as those under custody at another bank.

State Street Corporation | 16

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

We also earn foreign exchange trading services revenue through "electronic FX services" and "other trading, transition management and brokerage revenue."

•Electronic FX services: Our clients may choose to execute FX transactions through one of our electronic trading platforms. These transactions generate revenue through a “click” fee.

•Other trading, transition management and brokerage revenue: As our clients look to us to enhance and preserve portfolio values, they may choose to utilize our Transition or Currency Management capabilities or transact with our Equity Trade execution group. These transactions, which are not limited to foreign exchange, generate revenue via commissions charged for trades transacted during the management of these portfolios.

Fund Connect is another one of our electronic trading platforms: it is a global trading, analytics and cash management tool with access to more than 400 money market funds from leading providers.

Securities Finance

Securities finance revenue, as presented in Table 2: Total Revenue, increased 14% in the first quarter of 2023 compared to the same period of 2022, primarily driven higher specials activity, partially offset by lower balances.

Our securities finance business consists of three components:

(1) an agency lending program for State Street Global Advisors managed investment funds with a broad range of investment objectives, which we refer to as the State Street Global Advisors lending funds;

(2) an agency lending program for third-party investment managers and asset owners, which we refer to as the agency lending funds; and

(3) security lending transactions which we enter into as principal, which we refer to as our enhanced custody business.

Securities finance revenue earned from our agency lending activities, which is composed of our split of both the spreads related to cash collateral and the fees related to non-cash collateral, is principally a function of the volume of securities on loan, the interest rate spreads and fees earned on the underlying collateral and our share of the fee split.

As principal, our enhanced custody business borrows securities from the lending client or other market participants and then lends such securities to the subsequent borrower, either our client or a broker/dealer. We act as principal when the lending client is unable to, or elects not to, transact directly with the market and execute the transaction and furnish the securities. In our role as principal, we provide support to the transaction through our credit rating. While we source a significant proportion of the securities furnished by us in our role as principal from third parties, we have the ability to source securities through assets under custody from clients who have designated us as an eligible borrower.

Market influences may continue to affect client demand for securities finance, and as a result our revenue from, and the profitability of, our securities lending activities in future periods. In addition, the constantly evolving regulatory environment, including revised or proposed capital and liquidity standards, interpretations of those standards, and our own balance sheet management activities, may influence modifications to the way in which we deliver our agency lending or enhanced custody businesses, the volume of our securities lending activity and related revenue and profitability in future periods.

Software and Processing Fees

Software and processing fees revenue, presented in Table 2: Total Revenue, decreased 18% in the first quarter of 2023 compared to the same period of 2022, primarily driven by lower front office software and data revenue associated with CRD.

Software and processing fees revenue includes diverse types of fees and revenue, including fees from software licensing and maintenance and fees from our structured products business.

Front office software and data revenue, which primarily includes revenue from CRD, Alpha Data Platform and Alpha Data Services, decreased 21% in the first quarter of 2023 compared to the same period of 2022, primarily driven by lower on-premises renewals and professional services revenue.

Revenue related to the front office solutions provided by CRD is primarily driven by the sale of term software licenses and SaaS, including professional services such as consulting and implementation services, software support and maintenance. Approximately 50%-70% of revenue associated with a sale of software to be installed on-premises is recognized at a point in time when the customer benefits from obtaining access to and use of the software license, with the percentage varying based on the length of the contract and other contractual terms. The remainder of revenue for on-premise installations is recognized over the length of the contract as maintenance and other services are

State Street Corporation | 17

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

provided. Upon renewal of an on-premises software contract, the same pattern of revenue recognition is followed with 50%-70% recognized upon renewal and the remaining balance recognized over the term of the contract. Revenue for a SaaS related arrangement, where the customer does not take possession of the software, is recognized over the term of the contract as services are provided. Upon renewal of a SaaS arrangement, revenue continues to be recognized as services are provided under the new contract. As a result of these differences in how portions of CRD revenue are accounted for, CRD revenue may vary more than other business units quarter to quarter.

Lending related and other fees decreased 11% in the first quarter of 2023 compared to the same period of 2022, reflecting lower unfunded commitments relating to our municipal and fund finance products, driven by changes in product mix. Lending related and other fees primarily consists of fee revenue associated with our fund finance, leverage loans, municipal finance, insurance and stable value wrap businesses.

Other Fee Revenue

Other fee revenue includes market-related adjustments and income associated with certain tax-advantaged investments and other equity method investments.

Other fee revenue increased 55% in the first quarter of 2023 compared to the same period of 2022, primarily due to positive market-related adjustments.

Additional information about fee revenue is provided under "Line of Business Information" included in this Management's Discussion and Analysis.

Net Interest Income

See Table 2: Total Revenue, for the breakout of interest income and interest expense for the ~~quarters and nine months ended September 30, 2017 and 2016.~~first quarter of 2023 compared to the same period of 2022.

NII is defined as interest income earned on interest-earning assets less interest expense incurred on interest-bearing liabilities. Interest-earning assets, which principally consist of investment securities, interest-bearing deposits with banks, ~~repurchase~~loans, resale agreements ~~loans and leases~~ and other liquid assets, are financed primarily by client deposits, short-term borrowings and long-term debt.

NIM represents the relationship between annualized ~~fully taxable-equivalent~~FTE NII and average total interest-earning assets for the period. It is calculated by dividing ~~fully taxable-equivalent~~FTE NII by average interest-earning assets. Revenue that is exempt from income taxes, mainly ~~that~~ earned from certain investment securities (state and political subdivisions), is adjusted to ~~a fully taxable-equivalent~~an FTE basis using athe U.S. federal and state statutory income tax rates.

NII increased 50% in the first quarter of 2023, compared to the same period of 2022, primarily due to higher short-term market rates from global central bank rate hikes, an increase in long-term interest rates and balance sheet positioning, partially offset by lower average client deposits.

Investment securities net purchase premium amortization, which is included in interest income, was $14 million in the first quarter of 2023, compared to $87 million in the same period of 2022. The decrease in MBS premium amortization is primarily due to lower prepayments from higher long-end interest rates.

Interest income related to debt securities is recognized in our consolidated statement of income using the effective interest method, or on a basis approximating a level rate of ~~35%,~~return over the contractual or estimated life of the security. The rate of return considers any non-refundable fees or costs, as well as purchase premiums or discounts, resulting in amortization or accretion, accordingly. The amortization of premiums and accretion of discounts are adjusted for ~~applicable state income taxes,~~prepayments when they occur, which primarily impact mortgage-backed securities.

The following table presents the investment securities premium amortization net of discount accretion for the ~~related federal tax benefit.~~periods indicated:


TABLE 13: INVESTMENT SECURITIES NET PREMIUM AMORTIZATION








	Three Months Ended March 31,
	2023						2022
(Dollars in millions)	MBS		Non -MBS		Total(1)		MBS		Non- MBS		Total
Unamortized purchase premiums, net of discounts at period end	$	484	$	70	$	554	$	665	$	425	$	1,090
Net premium amortization	20		(6)		14		48		39		87

(1) The investment securities portfolio duration, including the impact of hedges, is 2.8 years as of March 31, 2023. Totals exclude premiums or discounts created from the transfer of securities from AFS to HTM.

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AND RESULTS OF OPERATIONS

TABLE 5: AVERAGE BALANCES AND INTEREST RATES - FULLY TAXABLE-EQUIVALENT BASIS
Quarters Ended September 30,
2017 2016
(Dollars in millions; fully taxable-equivalent basis)
Average
Balance

Interest
Revenue/
Expense
Rate
Average
Balance

Interest
Revenue/
Expense
Rate
Interest-bearing deposits with banks $ 45,513
$ 45
.40 % $ 57,580
$ 29
.20 %
Securities purchased under resale agreements⁽¹⁾
2,167
74
13.53
2,667
40
6.01
Trading account assets 991
—
—
994
—
—
Investment securities 95,311
474
1.99
100,449
505
2.01
Loans and leases 22,843
143
2.49
18,744
97
2.06
Other interest-earning assets 23,091
67
1.18
21,721
18
.30
Average total interest-earning assets $ 189,916
$ 803
1.68
$ 202,155
$ 689
1.35
Interest-bearing deposits:
U.S. $ 25,767
$ 21
.32 % $ 33,668
$ 42
.49 %
Non-U.S.⁽²⁾
96,189
18
.07
95,617
(22 ) (.09 )
Securities sold under repurchase agreements⁽³⁾
3,974
1
.07
3,976
—
—
Federal funds purchased —
—
—
24
—
—
Other short-term borrowings 1,277
3
.81
1,566
2
.57
Long-term debt 11,766
78
2.67
11,885
68
2.27
Other interest-bearing liabilities 4,063
37
3.70
5,647
20
1.41
Average total interest-bearing liabilities $ 143,036
$ 158
.44
$ 152,383
$ 110
.29
Interest-rate spread 1.24 % 1.06 %
Net interest income—fully taxable-equivalent basis $ 645
$ 579

Net interest margin—fully taxable-equivalent basis 1.35 % 1.14 %
Tax-equivalent adjustment (42 ) (42 )
Net interest income—GAAP basis $ 603
$ 537

Nine Months Ended September 30,
2017 2016
(Dollars in millions; fully taxable-equivalent basis)
Average
Balance

Interest
Revenue/
Expense
Rate
Average
Balance

Interest
Revenue/
Expense
Rate
Interest-bearing deposits with banks $ 49,171
$ 121
.33 % $ 52,423
$ 101
.26 %
Securities purchased under resale agreements⁽¹⁾

2,192
189
11.52
2,610
112
5.73
Trading account assets 949
(1 ) (.14 ) 908
1
.09
Investment securities 95,716
1,410
1.96
101,243
1,486
1.96
Loans and leases 21,360
373
2.33
18,674
281
2.01
Other interest-earning assets 22,952
146
.85
22,316
39
.24
Average total interest-earning assets $ 192,340
$ 2,238
1.56
$ 198,174
$ 2,020
1.36
Interest-bearing deposits:
U.S. $ 25,821
$ 77
.40 % $ 30,388
$ 99
.44 %
Non-U.S.⁽²⁾
96,860
19
.03
95,013
(26 ) (.04 )
Securities sold under repurchase agreements 3,965
2
.05
4,107
1
.03
Federal funds purchased 1
—
—
33
—
—
Other short-term borrowings 1,313
7
.75
1,727
4
.34
Long-term debt 11,569
227
2.61
11,306
191
2.24
Other interest-bearing liabilities 4,881
91
2.50
5,550
57
1.38
Average total interest-bearing liabilities $ 144,410
$ 423
.39
$ 148,124
$ 326
.29
Interest-rate spread 1.17 % 1.07 %
Net interest income—fully taxable-equivalent basis $ 1,815
$ 1,694

Net interest margin—fully taxable-equivalent basis 1.26 % 1.14 %
Tax-equivalent adjustment (127 ) (124 )
Net interest income—GAAP basis $ 1,688
$ 1,570

⁽¹⁾ Reflects the impact of balance sheet netting under enforceable netting agreements of approximately $30 billion and $31 billion for the third quarter and first nine months of 2017, respectively, and $30 billion and $32 billion for the third quarter and first nine months of 2016, respectively. Excluding the impact of netting, the average interest rates would be approximately 0.92% and 0.76% for the third quarter and first nine months of 2017, respectively, and 0.49% and 0.44% for the third quarter and first nine months of 2016, respectively.

⁽²⁾ Average rate includes the impact of FX swap expense of approximately $39 million and $84 million for the third quarter and first nine months of 2017, respectively, and $3 million and $24 million for the same periods in 2016, respectively.

⁽³⁾ ~~Interest for the third quarter of 2016 was less than $1 million, representing an average interest rate of 0.02%.~~

~~State Street Corporation | 13~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

See Table 5:14: Average Balances and Interest Rates - Fully Taxable-Equivalent Basis, for the breakout of NII ~~on a fully taxable-equivalent basis~~ for the ~~quarters and nine months ended September 30, 2017 and 2016. NII on a fully taxable-equivalent basis increased in the third~~first quarter of ~~2017~~2023, compared to the same period ~~in 2016, as benefits due~~of 2022.


TABLE 14: AVERAGE BALANCES AND INTEREST RATES - FULLY TAXABLE-EQUIVALENT BASIS(1)
	Three Months Ended March 31,
	2023						2022
(Dollars in millions; fully taxable-equivalent basis)	Average Balance		Interest Revenue/Expense		Rate		Average Balance		Interest Revenue/Expense		Rate
Interest-bearing deposits with banks	$	77,220	$	641	3.37	%	$	76,741	$	9	0.05	%
Securities purchased under resale agreements(2)	1,643		76		18.94		3,150		10		1.31
Trading account assets	667		—		—		761		—		—
Investment securities:
Investment securities available for sale	42,101		349		3.31		75,226		157		.83
Investment securities held-to-maturity	64,988		321		1.97		44,060		171		1.56

Total Investment securities	107,089		670		2.50		119,286		328		1.10
Loans	33,517		397		4.80		34,407		172		2.03
Other interest-earning assets(3)	17,393		245		5.71		23,767		5		0.08
Average total interest-earning assets	$	237,529	$	2,029	3.46		$	258,112	$	524	0.82




Interest-bearing deposits:
U.S.	$	105,261	$	779	3.00	%	$	100,073	$	4	0.02
Non-U.S.(4)(5)	66,356		174		1.07		83,556		(67)		(0.32)
Total interest-bearing deposits(5)(6)	171,617		953		2.25		183,629		(63)		(0.14)
Securities sold under repurchase agreements	4,409		9		0.84		2,279		—		(0.02)
Federal funds purchased	119		1		4.70		—		—		—
Short-term borrowings	1,159		11		3.72		872		—		—
Long-term debt	15,865		184		4.64		14,265		65		1.82
Other interest-bearing liabilities(7)	3,078		103		13.49		2,881		10		1.50
Average total interest-bearing liabilities	$	196,247	$	1,261	2.61		$	203,926	$	12	0.02





Interest rate spread					0.86	%					0.80	%
Net interest income, fully taxable-equivalent basis			$	768					$	512
Net interest margin, fully taxable-equivalent basis					1.31	%					0.80	%
Tax-equivalent adjustment			(2)						(3)
Net interest income, GAAP basis			$	766					$	509

(1) Rates earned/paid on interest-earning assets and interest-bearing liabilities include the impact of hedge activities associated with our asset and liability management activities where applicable.

(2) Reflects the impact of balance sheet netting under enforceable netting agreements of approximately $116.65 billion for the first quarter of 2023 compared to ~~higher U.S. market~~$55.02 billion for the same period of 2022. Excluding the impact of netting, the average interest rates ~~loan portfolio growth and disciplined liability pricing were partially offset by lower~~would be approximately 0.26% in the first quarter of 2023 compared to0.07% in the same period of 2022.

(3) Reflects the impact of balance sheet netting under enforceable netting agreements of approximately $5.00 billion for the first quarter of 2023 compared to $3.26 billion in the same period of 2022. Excluding the impact of netting, the average interest ~~earning assets and a smaller amount of discount accretion related to the asset-backed commercial paper conduits. Average balances~~rates would be approximately 4.43% in the ~~third~~first quarter of ~~2017 reflect management actions~~2023 compared to ~~reduce the usage of wholesale deposit funding on our balance sheet. Average deposits were approximately $12.06 billion lower~~0.07% in the ~~third quarter~~same period of ~~2017 compared to~~2022.

(4) Negative values reflect the ~~third quarter~~impact of ~~2016, primarily due to a $14.91 billion reduction in wholesale deposit funding and~~interest rate environments outside of the U.S. where central bank rates were ~~partially offset by an increase in less expensive client deposits.~~below zero for several major currencies.

~~We recorded aggregate discount accretion in interest income~~(5) Average rate includes the impact of ~~$4 million and $15~~FX swap costs of approximately ($5) million for the ~~third~~first quarter ~~and~~of 2023 compared to ($13) million for the same period of 2022. Average rates for total interest-bearing deposits excluding the impact of FX swap costs were 2.26% in the first ~~nine months~~quarter of ~~2017, respectively, related~~2023 compared to (0.11)% in the ~~assets we consolidated onto our~~same period of 2022.

(6) Total deposits averaged $210.32 billion in the first quarter of 2023 compared to $233.27 billion in the same period of 2022.

(7) Reflects the impact of balance sheet in 2009 from our asset-backed commercial paper conduits. Assuming that we hold the former conduit securities remaining in our investment portfolio until they mature or are sold, we expect to generate aggregate discount accretion in future periodsnetting under enforceable netting agreements of approximately ~~$126 million over their remaining terms.~~$5.40 billion for the first quarter of 2023 compared to $3.01 billion in the same period of 2022. Excluding the impact of netting, the average interest rates would be approximately 4.43% in the first quarter of 2023 compared to 0.07% in the same period of 2022.

Changes in the components of interest-earning assets and interest-bearing liabilities are discussed in more detail below. Additional information about the components of interest income and interest expense is provided in Note 14 to the consolidated financial statements ~~included~~ in this Form 10-Q.

State Street Corporation | 19

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Average total interest-earning assets were ~~$5.83~~$237.53 billion ~~lower~~ in the ~~nine months ended September 30, 2017~~first quarter of 2023 compared to $258.11 billion in the same period ~~in 2016,~~of 2022. The decrease is primarily due to ~~a smaller investment portfolio.~~lower client deposit balances.

Interest-bearing deposits with banks averaged ~~$45.51~~$77.22 billion ~~and $49.17 billion for~~ in the ~~third~~first quarter ~~and first nine months~~ of ~~2017, respectively,~~2023 compared to ~~$57.58~~$76.74 billion ~~and $52.42 billion for~~in the same ~~periods in 2016.~~period of 2022. These deposits primarily reflect our maintenance of cash balances at the Federal Reserve, the ECB and other non-U.S. central banks. The lower levels of average cash balances reflect lower levels of client deposits.

~~Investment securities~~Securities purchased under resale agreements averaged ~~$95.31~~$1.64 billion ~~and $95.72 billion for~~in the ~~third~~first quarter ~~and first nine months~~ of ~~2017, respectively,~~2023 compared to ~~$100.45~~$3.15 billion ~~and $101.24 billion for~~in the same ~~periods~~period of 2022. As a member of FICC, we may net securities sold under repurchase agreements against those purchased under resale agreements with counterparties that are also members of the clearing organization, when specific netting criteria are met. The impact of balance sheet netting was $116.65 billion on average in ~~2016. The decrease~~the first quarter of 2023 compared to $55.02 billion in ~~average~~the same period of 2022, primarily driven by an increase in FICC repo volumes.

We are a direct and sponsoring member of FICC. As a sponsoring member within FICC, we enter into repurchase and resale transactions in eligible securities with sponsored clients and with other FICC members and, pursuant to FICC Government Securities Division rules, submit, novate and net the transactions. We may sponsor clients to clear their eligible repurchase transactions with FICC, backed by our guarantee to FICC of the prompt and full payment and performance of our sponsored member clients’ respective obligations. We generally obtain a security interest from our sponsored clients in the high quality securities collateral that they receive, which is designed to mitigate our potential exposure to FICC.

Additionally, as a member of FICC, we may be required to pay a pro rata share of the losses incurred by the organization and provide liquidity support in the event of the default of another member to the extent that the defaulting member’s clearing fund obligation and the prescribed loss allocation to FICC is depleted. It is difficult to estimate our maximum possible exposure under the membership agreement, since this would require an assessment of future claims that may be made against us that have not yet occurred. We did not record any liabilities under these arrangements as of both March 31, 2023 and December 31, 2022.

Average investment securities ~~resulted~~decreased to $107.09 billion in the first quarter of 2023 from ~~a reduction~~$119.29 billion in the same period of ~~our U.S. Treasury~~2022. The portfolio declined across all major asset classes,

~~securities and our continued investment into~~which was primarily driven by a smaller balance sheet from lower client deposits amidst a higher level of market rates.

Average loans ~~and lease products.~~

~~Loans and leases averaged $22.84~~decreased to $33.52 billion ~~and $21.36 billion for~~ in the ~~third~~first quarter ~~and first nine months~~ of ~~2017, respectively,~~2023 compared to ~~$18.74~~$34.41 billion ~~and $18.67 billion for~~in the same ~~periods in 2016. The increase in average~~period of 2022, due to lower overdrafts. Average core loans, ~~and leases resulted from growth in loans to municipalities, mutual fund lending, and continued investment in senior secured loans.~~

TABLE 6: U.S. AND NON-U.S. SHORT-DURATION ADVANCES
Quarters Ended September 30,
(Dollars in millions) 2017 2016
Average U.S. short-duration advances $ 2,233
$ 2,114
Average non-U.S. short-duration advances 1,566
1,299
Average total short-duration advances $ 3,799
$ 3,413
Average short-duration advances to average loans and leases 17 % 18 %

Nine Months Ended September 30,
(Dollars in millions) 2017 2016
Average U.S. short-duration advances $ 2,193
$ 2,163
Average non-U.S. short-duration advances 1,414
1,345
Average total short-duration advances $ 3,607
$ 3,508
Average short-duration advances to average loans and leases 17 % 19 %

~~Average loans and leases also includes short-duration advances. The decline~~which exclude overdrafts, averaged $29.21 billion in the ~~proportion~~first quarter of ~~average short-duration advances~~2023 compared to ~~average loans and leases is primarily due to growth~~$28.83 billion in the ~~other segments~~same period of 2022. Additional information about these loans is provided in Note 4 to the ~~loan and lease portfolio. Short-duration advances provide liquidity to clients~~consolidated financial statements in ~~support of their investment activities.~~this Form 10-Q.

Average other interest-earning assets increased to $23.09 billion and $22.95 billion for the third quarter and first nine months of 2017, respectively, from $21.72 billion and $22.32 billion for the same periods in 2016. Our average other interest-earning assets, largely associated with our enhanced custody business, comprised approximately 12% of our average total interest-earning assets for both the third quarter and first nine months of 2017, compared to approximately 11% for both the third quarter and first nine months of 2016. The enhanced custody business is our securities financing business where we act as principal with respect to our custody clients and generate securities finance revenue.

~~Aggregate average U.S. and non-U.S. interest-bearing deposits~~ decreased to ~~$121.96~~$17.39 billion ~~and $122.68 billion for the third quarter and first nine months of 2017, respectively, from $129.29 billion and $125.40 billion for the same periods in 2016. The lower levels~~ in the first ~~nine months~~quarter of ~~2017 compared~~2023 from $23.77 billion in the same period of 2022, primarily driven by a decrease in the level of cash collateral posted. Other interest-earning assets primarily reflects enhanced custody assets where cash has been posted to borrow securities from lenders, which are then lent by us, as principal, to borrowers. This cash includes both cash from borrowers and cash utilized from our balance sheet, and is presented on a net basis on the ~~prior year~~balance sheet where we have enforceable netting agreements. Non-interest earning assets also includes a portion of our enhanced custody assets where borrower-provided non-cash collateral has been utilized to borrow securities from lenders, which are then lent by us, as principal, to borrowers. In addition, we also use securities within our investment portfolio to borrow securities from lenders, which we subsequently loan, as principal, to our borrowers; in this structure our investment portfolio securities are encumbered, but this is not reflected on the balance sheet. Combined with our enhanced custody liabilities, revenue from these activities generates securities finance fee revenue as well as net interest income.

Average total interest-bearing deposits decreased to $171.62 billion in the first quarter of 2023 from $183.63 billion in the same period ~~were a result~~ of 2022. The decrease is driven by higher ~~U.S.~~market rates from central bank rate hikes, the impact of quantitative tightening, currency translation and ~~non-U.S. interest bearing client deposit levels during the year, offset by~~

~~State Street Corporation | 14~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

~~management's actions to reduce more expensive wholesale deposit funding.~~equity market declines. Future deposit levels will be influenced by the underlying asset servicing business, client depositbehavior ~~as well as~~and market conditions, including the general levels of U.S. and non-U.S. interest rates.

Average other short-term borrowings ~~declined~~increased to ~~$1.28~~$1.16 billion ~~and $1.31~~in the first quarter of 2023 from $0.87 billion ~~for the third quarter and first nine months of 2017, respectively, from $1.57 billion and $1.73 billion for~~in the same ~~periods in 2016, as bonds matured in the tax-exempt investment program.~~period of 2022.

Average long-term debt was ~~$11.77~~$15.87 billion ~~and $11.57 billion for~~ in the ~~third~~first quarter ~~and first nine months~~ of ~~2017, respectively,~~2023 compared to ~~$11.89~~$14.27 billion ~~and $11.31 billion for~~in the same ~~periods in 2016.~~period of 2022. These amounts reflect issuances, redemptions and maturities of senior debt during the respective periods.

State Street Corporation | 20

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Average other interest-bearing liabilities, were $4.06 billion and $4.88 billion for the third quarter and first nine months of 2017, respectively, compared to $5.65 billion and $5.55 billion for the same periods in 2016. Other interest-bearing liabilities primarily reflect our level of cash collateral received from clients in connectionlargely associated with our enhanced custody business, were $3.08 billion in the first quarter of 2023 compared to $2.88 billion in the same period of 2022. Other interest-bearing liabilities is primarily driven by cash received from our custody clients, which is presented on a net basis where we have enforceable netting agreements. Non-interest bearing liabilities also include a portion of our enhanced custody liabilities where client provided non-cash collateral has been received and we have rehypothecation rights. Securities received as collateral from our custody clients where we have no rehypothecation rights are used as a credit mitigant only and remain off balance sheet.

Several factors could affect future levels of NII and NIM, including the volume and mix of client ~~liabilities; actions of various~~deposits and funding sources; central ~~banks;~~bank actions; balance sheet management activities; changes in the level and slope of U.S. and non-U.S. interest ~~rates and the slope of various yield curves around the world;~~rates; revised or proposed regulatory capital or liquidity standards, or interpretations of those standards; ~~the amount of discount accretion generated by the former conduit securities that remain in our investment securities portfolio;~~ the yields earned on securities purchased compared to the yields earned on securities sold or matured; and changes in the type and amount of credit or other loans we ~~extend; and changes in our enhanced custody business.~~extend.

Based on market conditions and other factors, including regulatory standards, we continue to reinvest the majority of the proceeds from pay-downs and maturities of investment securities in highly-rated U.S. and non-U.S. securities, such as federal agency MBS, sovereign debt securities and U.S. Treasury and agency ~~securities, municipal securities, federal agency MBS and U.S. and non-U.S. mortgage- and ABS.~~securities. The pace at which we ~~continue to~~ reinvest, and the types of investment securities purchased, will depend on the impact of market conditions, the implementation of regulatory standards, including interpretation of those standards and other factors over time. We expect these factors and the levels of global interest rates to ~~influence what effect~~impact our reinvestment program ~~will have on~~and future levels of ~~our~~ NII and NIM.

Provision for Credit Losses

We recorded a $44 million provision for credit losses in the first quarter of 2023, driven by an episodic provision of $29 million associated with industry support for a U.S. financial institution, as well as an increase in loan loss reserves driven by credit portfolio rating changes.

Additional information is provided under “Loans” in "Financial Condition" in this Management's Discussion and Analysis and in Note 4 to the consolidated financial statements in this Form 10-Q.

Expenses

Table 7:15: Expenses, provides the breakout of expenses for the ~~quarters and nine months ended September 30, 2017 and 2016.~~first quarter of 2023 compared to the

TABLE 7: EXPENSES
Quarters Ended September 30,
(Dollars in millions) 2017 2016 % Change
Compensation and employee benefits $ 1,090
$ 1,013
8 %
Information systems and communications 296
285
4
Transaction processing services 215
200
8
Occupancy 118
107
10
Acquisition costs —
33
(100 )
Restructuring charges, net 33
9
267
Other:
Professional services 71
95
(25 )
Amortization of other intangible assets 54
55
(2 )
Securities processing costs 4
10
(60 )
Regulatory fees and assessments 24
28
(14 )
Other 116
149
(22 )
Total other 269
337
(20 )
Total expenses $ 2,021
$ 1,984
2
Number of employees at quarter-end 36,303
33,332
9

Nine Months Ended September 30,
(Dollars in millions) 2017 2016 % Change
Compensation and employee benefits $ 3,327
$ 3,109
7 %
Information systems and communications 866
827
5
Transaction processing services 619
601
3
Occupancy 344
331
4
Acquisition costs 21
47
(55 )
Restructuring charges, net 112
119
(6 )
Other:
Professional services 262
270
(3 )
Amortization of other intangible assets 160
153
5
Securities processing costs 20
20
—
Regulatory fees and assessments 77
65
18
Other 330
352
(6 )
Total other 849
860
(1 )
Total expenses $ 6,138
$ 5,894
4

~~Compensation and employee benefits~~same period of 2022. Total expenses increased 8%2% in the ~~third~~first quarter of ~~2017~~2023, compared to the same period of ~~2016,~~2022, primarily ~~due to increased costs to support new~~reflecting continued business ~~annual merit~~investments and ~~performance based incentive compensation increases and the impact of the weaker U.S. dollar,~~higher salaries, partially offset by ~~Beacon savings.~~ongoing productivity savings, lower seasonal expenses and the benefit from currency translation. Currency translation reduced expenses by 2% in the first quarter of 2023 relative to the same period of 2022.


TABLE 15: EXPENSES
	Three Months Ended March 31,				% Change
(Dollars in millions)	2023		2022
Compensation and employee benefits	$	1,292	$	1,232	5	%
Information systems and communications	414		423		(2)
Transaction processing services	239		264		(9)
Occupancy	94		95		(1)
Amortization of other intangible assets	60		61		(2)
Acquisition and restructuring costs	—		9		nm

Other:
Professional services	106		97		9
Other	164		146		12
Total other	270		243		11
Total expenses	$	2,369	$	2,327	2
Number of employees at quarter-end	42,786		39,335		9

Compensation and employee benefits expenses ~~increased 7%~~ increased 5% in the first ~~nine months~~quarter of ~~2017~~2023 compared to the same period of ~~2016,~~2022, primarily due to higher ~~annual merit~~salaries and ~~performance based incentive~~headcount, partially offset by lower seasonal expenses and the impact of currency translation, which decreased compensation ~~increases, including higher seasonal deferred incentive compensation expense for retirement-eligible employees~~ and ~~payroll taxes~~employee benefits expenses by 2% in the first quarter of ~~2017 compared~~2023 relative to the same period of 2022.

Total headcount increased 9% in the first quarter of ~~2016, increased costs~~2023 compared to the same period of 2022, primarily in global hubs driven by operational support for new business growth segments, as well as technology investments and ~~costs related~~in-sourcing.

Information systems and communications expenses decreased 2% in the first quarter of 2023 compared to the ~~acquired GEAM operations.~~same period of 2022, primarily due to optimization and vendor savings initiatives, partially offset by technology infrastructure investments.

Transaction processing services expenses decreased 9% in the first quarter of 2023 compared to the same period of 2022, primarily due to lower sub-custody costs, driven by lower market levels and lower broker fees.

Occupancy expenses decreased 1% in the first quarter of 2023 compared to the same period of 2022, primarily due to the impact of currency translation, which reduced occupancy expenses by 3% in the first quarter of 2023 compared to the same period of 2022.

State Street Corporation | 1521

~~Table of Contents~~

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

~~These increases were partially offset by Beacon savings.~~

~~Headcount increased 9%~~Amortization of other intangible assets decreased 2% in the ~~third~~first quarter of ~~2017~~2023 compared to the same period of ~~2016. New business, including~~2022, primarily reflecting the impact of large client lift outs, as well as regulatory initiatives and contractor conversions to full-time employees contributed to this growth. The growth in headcount was primarily within low cost locations. These increases were partially offset by other reductions from Beacon initiatives.currency translation.

~~Information systems and communications~~Other expenses increased 4%11% in the ~~third~~first quarter of ~~2017~~2023 compared to the same period of ~~2016~~2022, primarily due to higher professional services, travel costs and 5%marketing expenses.

Acquisition and Restructuring Costs

Acquisition and restructuring costs were nil in the first ~~nine months~~quarter of ~~2017~~2023 compared to ~~the~~$9 million in same period of ~~2016. The increases were primarily~~2022 related to ~~technology infrastructure costs, new business and Beacon investments.~~

~~Other expenses decreased 20% in~~ the ~~third quarter of 2017 compared to the same period of 2016, primarily due to lower professional services fees.~~

~~As a systemically important financial institution,~~BBH Investor Services acquisition transaction that we are subject to enhanced supervision and prudential standards. Our status as a G-SIB has also resulted in heightened prudential and conduct expectations of our U.S. and international regulators with respect to our capital and liquidity management and our compliance and risk oversight programs. These heightened expectations have increased our regulatory compliance costs, including personnel and systems, as well as significant additional implementation and related costs to enhance our regulatory compliance programs. We anticipate that these evolving regulatory compliance requirements and expectations will continue to affect our expenses.no longer pursuing.

~~Restructuring~~Repositioning Charges

In connection with Beacon, we expect to incur aggregate pre-tax restructuring charges of approximately $300 million to $400 million beginning in 2016 through December 31, 2020. We estimate those charges will include approximately $250 million to $300 million in severance and benefits costs associated with targeted staff reductions (a substantial portion of which will result in future cash expenditures) and approximately $50 million to $100 million in information technology application rationalization and real estate actions. We expect to achieve estimated annual pre-tax net run-rate expense savings of $550 million by the end of 2020, relative to 2015, all else equal, for full effect in 2021. Actual expenses may increase or decrease in the future due to other factors.

~~In the third quarter and first nine months of 2017, we recorded restructuring charges of $33 million and $112 million, respectively, compared to~~

~~$10 million and $120 million in the same periods of 2016, related to Beacon.~~

In the third quarter of 2017, we recognized approximately $35 million in year-over-year expense savings related to Beacon. In the first nine months of 2017, we achieved approximately $100 million in expense savings relative to our 2017 target of $140 million.

The following table presents aggregate ~~restructuring~~ activity for repositioning charges for the periods ~~indicated.~~

indicated:

TABLE 8: RESTRUCTURING CHARGES
(In millions) Employee
Related Costs Real Estate
Actions Asset and Other Write-offs Total
Accrual Balance at December 31, 2015 $ 9
$ 11
$ 3
$ 23
Accruals for Beacon 86
—
11
97
Payments and Other Adjustments (4 ) (1 ) (7 ) (12 )
Accrual Balance at March 31, 2016 $ 91
$ 10
$ 7
$ 108
Accruals for Beacon (1 ) 15
(1 ) 13
Payments and Other Adjustments (35 ) (3 ) (1 ) (39 )
Accrual Balance at June 30, 2016 $ 55
$ 22
$ 5
$ 82
Accruals for Beacon 8
3
(1 ) 10
Payments and Other Adjustments (14 ) (3 ) (1 ) (18 )
Accrual Balance at September 30, 2016 $ 49
$ 22
$ 3
$ 74
Accrual Balance at December 31, 2016 $ 37
$ 17
$ 2
$ 56
Accruals for Beacon 14
—
2
16
Payments and Other Adjustments (13 ) (3 ) (2 ) (18 )
Accrual Balance at March 31, 2017 $ 38
$ 14
$ 2
$ 54
Accruals for Beacon 60
—
2
62
Payments and Other Adjustments (11 ) (3 ) (2 ) (16 )
Accrual Balance at June 30, 2017 $ 87
$ 11
$ 2
$ 100
Accruals for Beacon 23
9
1
33
Payments and Other Adjustments (10 ) (5 ) (1 ) (16 )
Accrual Balance at September 30, 2017 $ 100
$ 15
$ 2
$ 117


TABLE 16: RESTRUCTURING AND REPOSITIONING CHARGES
(In millions)	Employee Related Costs		Real Estate Actions		Total
Accrual Balance at December 31, 2021	$	68	$	6	$	74

Payments and other Adjustments	(17)		(1)		(18)

Accrual Balance at March 31, 2022	$	51	$	5	$	56
Accrual Balance at December 31, 2022	$	83	$	5	$	88

Payments and other adjustments	(14)		(1)		(15)
Accrual Balance at March 31, 2023	$	69	$	4	$	73

Income Tax Expense

Income tax expense was ~~$137~~$139 million in the ~~third~~first quarter of ~~2017~~2023 compared to ~~$72~~$150 million in the ~~third quarter~~same period of ~~2016. In the first nine months of 2017 and 2016, income tax expense was $375 million and $226 million, respectively.~~2022. Our effective tax rate ~~for~~was 20.2% in the ~~third~~first quarter ~~and first nine months~~ of ~~2017 was 16.7% and 17.2%, respectively,~~2023 compared to ~~11.4% and 12.8% for~~19.9% in the same ~~periods in 2016.~~period of 2022. The effective tax rate for the third quarter and first nine months of 2017 reflect a decrease in alternative energy investments, partially offset by benefits from share-based compensation and the effects of the disposition of BFDS.

2023 includes increased limitations on foreign tax credits.

~~State Street Corporation | 16~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

~~LINE OF BUSINESS INFORMATION~~Securities Finance

~~Investment Servicing~~ provides services for institutional clients, including mutual funds, collective investment funds and other investment pools, corporate and public retirement plans, insurance companies, investment managers, foundations and endowments worldwide. Products include custody; product- and participant-level accounting; daily pricing and administration; master trust and master custody; record-keeping; cash management; foreign exchange, brokerage and other trading services; securities finance; our enhanced custody product, which integrates principal securities lending and custody; deposit and short-term investment facilities; loans and lease financing; investment manager and alternative investment manager operations

~~outsourcing; and performance, risk and compliance analytics to support institutional investors.~~

~~Investment Management,~~ through SSGA, provides a broad array of investment management, investment research and investment advisory services to corporations, public funds and other sophisticated investors. SSGA offers passive and active asset management strategies across equity, fixed-income, alternative, multi-asset solutions (including OCIO) and cash asset classes. Products are distributed directly and through intermediaries using a variety of investment vehicles, including ETFs, such as the SPDR^® ~~ETF brand.~~

For information about our two lines of business, as well as the revenues, expenses and capital allocation methodologies associated with them, refer to pages 188 to 189 provided in Note 24 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2016 Form 10-K and Note 17 to the consolidated financial statements included in this Form 10-Q.

~~Investment Servicing~~

TABLE 9: INVESTMENT SERVICING LINE OF BUSINESS RESULTS
Quarters Ended September 30, Nine Months Ended September 30,
(Dollars in millions) 2017 2016 % Change 2017 2016 % Change
Servicing fees $ 1,351
$ 1,303
4 % $ 3,986
$ 3,784
5 %
Trading services 239
248
(4 ) 768
760
1
Securities finance 147
136
8
459
426
8
Processing fees and other 65
12
442
203
164
24
Total fee revenue 1,802
1,699
6
5,416
5,134
5
Net interest income 606
536
13
1,691
1,567
8
Gains (losses) related to investment securities, net 1
4
nm
(39 ) 5
nm
Total revenue 2,409
2,239
8
7,068
6,706
5
Provision for loan losses 3
—
nm
4
8
nm
Total expenses 1,673
1,634
2
5,050
4,920
3
Income before income tax expense $ 733
$ 605
21
$ 2,014
$ 1,778
13
Pre-tax margin 30 % 27 % 28 % 27 %

^nm ~~Not meaningful~~

~~Servicing Fees~~

~~Servicing fees increased 4% in the third~~first quarter of ~~2017~~2023 compared to the same period ~~in 2016,~~of 2022, primarily ~~due to~~driven higher ~~global equity markets, net new business and the weaker U.S. dollar,~~specials activity, partially offset by ~~continued outflows~~lower balances.

Our securities finance business consists of three components:

(2) an agency lending program for third-party investment managers and ~~liquidations~~asset owners, which we refer to as the agency lending funds; and

(3) security lending transactions which we enter into as principal, which we refer to as our enhanced custody business.

Securities finance revenue earned from ~~hedge funds that~~our agency lending activities, which is composed of our split of both the spreads related to cash collateral and the fees related to non-cash collateral, is principally a function of the volume of securities on loan, the interest rate spreads and fees earned on the underlying collateral and our share of the fee split.

As principal, our enhanced custody business borrows securities from the lending client or other market participants and then lends such securities to the subsequent borrower, either our client or a broker/dealer. We act as principal when the lending client is unable to, or elects not to, transact directly with the market and execute the transaction and furnish the securities. In our role as principal, we ~~service.~~provide support to the transaction through our credit rating. While we source a significant proportion of the securities furnished by us in our role as principal from third parties, we have the ability to source securities through assets under custody from clients who have designated us as an eligible borrower.

~~Servicing~~Market influences may continue to affect client demand for securities finance, and as a result our revenue from, and the profitability of, our securities lending activities in future periods. In addition, the constantly evolving regulatory environment, including revised or proposed capital and liquidity standards, interpretations of those standards, and our own balance sheet management activities, may influence modifications to the way in which we deliver our agency lending or enhanced custody businesses, the volume of our securities lending activity and related revenue and profitability in future periods.

Software and Processing Fees

Software and processing fees ~~increased 5%~~revenue, presented in Table 2: Total Revenue, decreased 18% in the first ~~nine months~~quarter of ~~2017~~2023 compared to the same period of 2022, primarily driven by lower front office software and data revenue associated with CRD.

Software and processing fees revenue includes diverse types of fees and revenue, including fees from software licensing and maintenance and fees from our structured products business.

Front office software and data revenue, which primarily includes revenue from CRD, Alpha Data Platform and Alpha Data Services, decreased 21% in ~~2016,~~the first quarter of 2023 compared to the same period of 2022, primarily ~~due to higher global equity markets~~driven by lower on-premises renewals and ~~net new business, partially offset by continued outflows and liquidations from hedge funds that we service. The first nine months of 2016 included a revenue reduction of $48 million related to~~

professional services revenue.

~~reimbursements to our clients~~Revenue related to the ~~manner~~front office solutions provided by CRD is primarily driven by the sale of term software licenses and SaaS, including professional services such as consulting and implementation services, software support and maintenance. Approximately 50%-70% of revenue associated with a sale of software to be installed on-premises is recognized at a point in ~~which we invoiced certain expenses~~time when the customer benefits from obtaining access to ~~our clients, as further described below.~~

~~Servicing fees generated outside the U.S. were approximately 47%~~ and ~~45% of total servicing fees in both the third quarter and first nine months of 2017 compared to approximately 43% and 42% for the same periods in 2016, respectively.~~

~~In December 2015, we announced a review~~use of the ~~manner in which we invoiced certain expenses to certain~~software license, with the percentage varying based on the length of ~~our Investment Servicing clients, primarily in~~ the ~~United States, during a period going back to 1998. We have substantially completed~~contract and other contractual terms. The remainder of revenue for on-premise installations is recognized over the ~~reimbursement to our clients~~length of ~~an amount equal to~~the contract as maintenance and other services are

State Street Corporation | 17

~~Table of Contents~~

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Lending related and other fees decreased 11% in the ~~expenses we concluded were incorrectly invoiced~~first quarter of 2023 compared to ~~them, plus interest.~~ the same period of 2022, reflecting lower unfunded commitments relating to our municipal and fund finance products, driven by changes in product mix. Lending related and other fees primarily consists of fee revenue associated with our fund finance, leverage loans, municipal finance, insurance and stable value wrap businesses.

Other Fee Revenue

Other fee revenue includes market-related adjustments and income associated with certain tax-advantaged investments and other equity method investments.

Other fee revenue increased 55% in the first quarter of 2023 compared to the same period of 2022, primarily due to positive market-related adjustments.

Additional information about ~~the invoicing matter~~fee revenue is provided ~~in Note 10 to the consolidated financial statements~~under "Line of Business Information" included in this ~~Form 10-Q.~~Management's Discussion and Analysis.

Net Interest Income

See Table 2: Total Revenue, for the breakout of interest income and interest expense for the first quarter of 2023 compared to the same period of 2022.

NII is defined as interest income earned on interest-earning assets less interest expense incurred on interest-bearing liabilities. Interest-earning assets, which principally consist of investment securities, interest-bearing deposits with banks, loans, resale agreements and other liquid assets, are financed primarily by client deposits, short-term borrowings and long-term debt.

NIM represents the relationship between annualized FTE NII and average total interest-earning assets for the period. It is calculated by dividing FTE NII by average interest-earning assets. Revenue that is exempt from income taxes, mainly earned from certain investment securities (state and political subdivisions), is adjusted to an FTE basis using the U.S. federal and state statutory income tax rates.

TABLE 10: ASSETS UNDER CUSTODY AND ADMINISTRATION BY PRODUCT
(In billions) September 30, 2017 December 31, 2016 September 30, 2016
Mutual funds $ 7,394
$ 6,841
$ 6,906
Collective funds 9,190
7,501
7,541
Pension products 6,571
5,584
5,671
Insurance and other products 8,955
8,845
9,060
Total $ 32,110
$ 28,771
$ 29,178
NII increased 50% in the first quarter of 2023, compared to the same period of 2022, primarily due to higher short-term market rates from global central bank rate hikes, an increase in long-term interest rates and balance sheet positioning, partially offset by lower average client deposits.

TABLE 11: ASSETS UNDER CUSTODY AND ADMINISTRATION BY ASSET CLASS
(In billions) September 30, 2017 December 31, 2016 September 30, 2016
Equities $ 18,423
$ 16,189
$ 16,400
Fixed-income 9,883
9,231
9,500
Short-term and other investments 3,804
3,351
3,278
Total $ 32,110
$ 28,771
$ 29,178
Interest income related to debt securities is recognized in our consolidated statement of income using the effective interest method, or on a basis approximating a level rate of return over the contractual or estimated life of the security. The rate of return considers any non-refundable fees or costs, as well as purchase premiums or discounts, resulting in amortization or accretion, accordingly. The amortization of premiums and accretion of discounts are adjusted for prepayments when they occur, which primarily impact mortgage-backed securities.

The following table presents the investment securities premium amortization net of discount accretion for the periods indicated:

TABLE 12: GEOGRAPHIC MIX OF ASSETS UNDER CUSTODY AND ADMINISTRATION⁽¹⁾
(In billions) September 30, 2017 December 31, 2016 September 30, 2016
North America $ 23,675
$ 21,544
$ 21,561
Europe/Middle East/Africa 6,806
5,734
6,107
Asia/Pacific 1,629
1,493
1,510
Total $ 32,110
$ 28,771
$ 29,178


TABLE 13: INVESTMENT SECURITIES NET PREMIUM AMORTIZATION








	Three Months Ended March 31,
	2023						2022
(Dollars in millions)	MBS		Non -MBS		Total(1)		MBS		Non- MBS		Total
Unamortized purchase premiums, net of discounts at period end	$	484	$	70	$	554	$	665	$	425	$	1,090
Net premium amortization	20		(6)		14		48		39		87

⁽¹⁾~~Geographic mix~~ The investment securities portfolio duration, including the impact of hedges, is ~~based on the location in which the assets are serviced.~~

~~The increase in total AUCA~~2.8 years as of ~~September 30, 2017 compared~~March 31, 2023. Totals exclude premiums or discounts created from the transfer of securities from AFS to December 31, 2016 primarily resulted from higher global equity markets. Asset levels as of September 30, 2017 do not reflect the approximately $390 billion of new business in assets to be serviced, which was awarded to us in the first nine months of 2017 and prior periods but not installed prior to September 30, 2017, including approximately $105 billion of new asset servicing mandates awarded to us in the third quarter of 2017. This new business will be reflected in AUCA in future periods after installation and will generate servicing fee revenue in subsequent periods. The $390 billion of new business assets to be serviced does not include new business which has been contracted, but for which the client has not yet provided permission to publicly disclose and is not yet installed. Also not included is the loss of business which occurs from time to time or changes in AUCA, usually from changes in market values of customer assets, subscriptions or redemptions from our customer investment products.

With respect to these new assets, we will provide various services, including, accounting, bank loan servicing, compliance reporting and monitoring, custody, depository banking services, foreign exchange, fund administration, hedge fund servicing, middle-office outsourcing, performance and analytics, private equity administration, real estate administration, securities finance, transfer agency, and wealth management services.

As a result of a decision to diversify providers, one of our large clients will move a portion of its assets, largely common trust funds, currently with State Street to another service provider. We expect to remain a significant service provider to this client. The transition will principally occur in 2018 and represents approximately $1 trillion in assets with respect to which we will no longer derive revenue post-transition.

~~Trading Services~~

TABLE 13: TRADING SERVICES REVENUE
Quarters Ended September 30,
(Dollar in millions) 2017 2016 % Change
Foreign exchange trading:
Direct sales and trading $ 84
$ 94
(11 )%
Indirect foreign exchange trading 66
65
2
Total foreign exchange trading 150
159
(6 )
Brokerage and other trading services:
Electronic foreign exchange services 39
41
(5 )
Other trading, transition management and brokerage 50
48
4
Total brokerage and other trading services 89
89
—
Total trading services revenue $ 239
$ 248
(4 )

Nine Months Ended September 30,
(Dollars in millions) 2017 2016 % Change
Foreign exchange trading:
Direct sales and trading $ 282
$ 271
4 %
Indirect foreign exchange trading 210
201
4
Total foreign exchange trading 492
472
4
Brokerage and other trading services:
Electronic foreign exchange services 119
128
(7 )
Other trading, transition management and brokerage 157
160
(2 )
Total brokerage and other trading services 276
288
(4 )
Total trading services revenue $ 768
$ 760
1

~~Trading services revenue is composed of revenue generated by FX trading, as well as revenue generated by brokerage and other trading services as noted in Table 13: Trading Services Revenue.~~HTM.

State Street Corporation | 18

~~Table of Contents~~

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

~~Foreign Exchange Trading Revenue~~

~~We primarily earn FX trading revenue by acting as a principal market-maker. We offer a range~~See Table 14: Average Balances and Interest Rates - Fully Taxable-Equivalent Basis, for the breakout of ~~FX products, services and execution models. Most~~NII for the first quarter of our FX products and execution services can be grouped into two broad categories, which are further explained below: “direct sales and trading” and “indirect foreign exchange trading.” Total FX trading revenue decreased 6% and increased 4% in the third quarter and first nine months of 2017, respectively,2023, compared to the same ~~periods in 2016. The decrease~~period of 2022.


TABLE 14: AVERAGE BALANCES AND INTEREST RATES - FULLY TAXABLE-EQUIVALENT BASIS(1)
	Three Months Ended March 31,
	2023						2022
(Dollars in millions; fully taxable-equivalent basis)	Average Balance		Interest Revenue/Expense		Rate		Average Balance		Interest Revenue/Expense		Rate
Interest-bearing deposits with banks	$	77,220	$	641	3.37	%	$	76,741	$	9	0.05	%
Securities purchased under resale agreements(2)	1,643		76		18.94		3,150		10		1.31
Trading account assets	667		—		—		761		—		—
Investment securities:
Investment securities available for sale	42,101		349		3.31		75,226		157		.83
Investment securities held-to-maturity	64,988		321		1.97		44,060		171		1.56

Total Investment securities	107,089		670		2.50		119,286		328		1.10
Loans	33,517		397		4.80		34,407		172		2.03
Other interest-earning assets(3)	17,393		245		5.71		23,767		5		0.08
Average total interest-earning assets	$	237,529	$	2,029	3.46		$	258,112	$	524	0.82




Interest-bearing deposits:
U.S.	$	105,261	$	779	3.00	%	$	100,073	$	4	0.02
Non-U.S.(4)(5)	66,356		174		1.07		83,556		(67)		(0.32)
Total interest-bearing deposits(5)(6)	171,617		953		2.25		183,629		(63)		(0.14)
Securities sold under repurchase agreements	4,409		9		0.84		2,279		—		(0.02)
Federal funds purchased	119		1		4.70		—		—		—
Short-term borrowings	1,159		11		3.72		872		—		—
Long-term debt	15,865		184		4.64		14,265		65		1.82
Other interest-bearing liabilities(7)	3,078		103		13.49		2,881		10		1.50
Average total interest-bearing liabilities	$	196,247	$	1,261	2.61		$	203,926	$	12	0.02





Interest rate spread					0.86	%					0.80	%
Net interest income, fully taxable-equivalent basis			$	768					$	512
Net interest margin, fully taxable-equivalent basis					1.31	%					0.80	%
Tax-equivalent adjustment			(2)						(3)
Net interest income, GAAP basis			$	766					$	509

(2) Reflects the impact of balance sheet netting under enforceable netting agreements of approximately $116.65 billion for the first quarter of 2023 compared to $55.02 billion for the same period of 2022. Excluding the impact of netting, the average interest rates would be approximately 0.26% in the ~~third~~first quarter of ~~2017 was primarily due~~2023 compared to ~~lower foreign exchange volatility, partially offset by higher client-related volumes. The increase~~0.07% in the same period of 2022.

~~We also offer a range~~(4) Negative values reflect the impact of ~~brokerage and other trading products tailored specifically to meet the needs~~interest rate environments outside of the ~~global pension community, including transition management and commission recapture. These products and services are generally offered by us as agent of~~U.S. where central bank rates were below zero for several major currencies.

(5) Average rate includes the ~~institutional investor. Revenue earned from these services is recorded in other trading, transition management and brokerage revenue within brokerage and other trading services revenue.~~

Our FX trading revenue is influenced by multiple factors, including: the volume and type of client FX transactions and related spreads; currency volatility, reflecting market conditions; and our management of exchange rate, interest rate and other market risks associated with our foreign exchange activities. The relative impact of ~~these factors on our total~~ FX trading revenues often differs from period to period. For example, assuming all other factors remain constant, increases or decreases in volumes or bid-offer spreads across product mix tend to result in increases or decreases, asswap costs of approximately ($5) million for the ~~case may be, in client-related FX revenue. Revenue earned from direct sales and trading and indirect FX trading is recorded in FX trading revenue.~~

~~Total FX trading revenue is comprised of:~~

~~Direct sales and trading~~: We enter into FX transactions with clients and investment managers that contact our trading desk directly. These trades are all executed at negotiated rates. We refer to this activity, and our principal market-making activities, as “direct sales and trading” and it includes many transactions for funds serviced by third party custodians or prime brokers, as well as those funds under custody at State Street. Direct sales and trading revenue represents allfirst quarter of ~~the FX trading revenue other than the revenue attributed to indirect FX trading. Direct sales and trading revenue represented~~

~~56% and 57% of total FX trading revenue in the third quarter and first nine months of 2017, respectively,~~2023 compared to ~~59% and 57%~~($13) million for the same ~~periods in 2016.~~

~~Indirect~~period of 2022. Average rates for total interest-bearing deposits excluding the impact of FX ~~trading~~: Clients or their investment managers may elect to route FX transactions to our FX desk through our asset-servicing operation; we refer to this activity as “indirect FX trading” and, in all cases, we are the funds' custodian. We execute indirect FX trades as a principal at rates disclosed to our clients. Estimated indirect sales and trading revenue represented 44% and 43% of total FX trading revenue in the third quarter and first nine months of 2017, respectively, compared to 41% and 43% for the same periods in 2016. We calculate revenue for indirect FX trading using an attribution methodology. This methodology takes into consideration estimated mark-ups/downs and observed client volumes.

We continue to expect that some clients may choose, over time, to reduce their level of indirect FX trading transactions in favor of other execution methods, including either direct sales and trading transactions or electronic FX services which we provide. To the extent that clients shift to other execution methods that we provide, our FX trading revenue may decrease, even if volumes remain constant.

~~Total brokerage and other trading services revenue was flat in the third quarter of 2017 and decreased 4%~~swap costs were 2.26% in the first ~~nine months~~quarter of ~~2017~~2023 compared to (0.11)% in the same ~~periods~~period of 2022.

(6) Total deposits averaged $210.32 billion in ~~2016, primarily due to lower foreign exchange volatility~~the first quarter of 2023 compared to ~~2016, as well as the absence of revenue associated with the WM/ Reuters business, which we disposed of~~$233.27 billion in the ~~second~~same period of 2022.

(7) Reflects the impact of balance sheet netting under enforceable netting agreements of approximately $5.40 billion for the first quarter of ~~2016. Total brokerage~~2023 compared to $3.01 billion in the same period of 2022. Excluding the impact of netting, the average interest rates would be approximately 4.43% in the first quarter of 2023 compared to 0.07% in the same period of 2022.

Changes in the components of interest-earning assets and ~~other trading services revenue comprises:~~interest-bearing liabilities are discussed in more detail below. Additional information about the components of interest income and interest expense is provided in Note 14 to the consolidated financial statements in this Form 10-Q.

~~Electronic FX services: Our clients may choose to execute FX transactions through one of our electronic trading platforms. These transactions generate revenue through a “click” fee.~~

State Street Corporation | 19

~~Table of Contents~~

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Average total interest-earning assets were $237.53 billion in the first quarter of 2023 compared to $258.11 billion in the same period of 2022. The decrease is primarily due to lower client deposit balances.

Interest-bearing deposits with banks averaged $77.22 billion in the first quarter of 2023 compared to $76.74 billion in the same period of 2022. These deposits primarily reflect our maintenance of cash balances at the Federal Reserve, the ECB and other non-U.S. central banks. The lower levels of average cash balances reflect lower levels of client deposits.

Securities purchased under resale agreements averaged $1.64 billion in the first quarter of 2023 compared to $3.15 billion in the same period of 2022. As a member of FICC, we may net securities sold under repurchase agreements against those purchased under resale agreements with counterparties that are also members of the clearing organization, when specific netting criteria are met. The impact of balance sheet netting was $116.65 billion on average in the first quarter of 2023 compared to $55.02 billion in the same period of 2022, primarily driven by an increase in FICC repo volumes.

Average investment securities decreased to $107.09 billion in the first quarter of 2023 from $119.29 billion in the same period of 2022. The portfolio declined across all major asset classes,

which was primarily driven by a smaller balance sheet from lower client deposits amidst a higher level of market rates.

Average loans decreased to $33.52 billion in the first quarter of 2023 compared to $34.41 billion in the same period of 2022, due to lower overdrafts. Average core loans, which exclude overdrafts, averaged $29.21 billion in the first quarter of 2023 compared to $28.83 billion in the same period of 2022. Additional information about these loans is provided in Note 4 to the consolidated financial statements in this Form 10-Q.

Average other interest-earning assets, largely associated with our enhanced custody business, decreased to $17.39 billion in the first quarter of 2023 from $23.77 billion in the same period of 2022, primarily driven by a decrease in the level of cash collateral posted. Other interest-earning assets primarily reflects enhanced custody assets where cash has been posted to borrow securities from lenders, which are then lent by us, as principal, to borrowers. This cash includes both cash from borrowers and cash utilized from our balance sheet, and is presented on a net basis on the balance sheet where we have enforceable netting agreements. Non-interest earning assets also includes a portion of our enhanced custody assets where borrower-provided non-cash collateral has been utilized to borrow securities from lenders, which are then lent by us, as principal, to borrowers. In addition, we also use securities within our investment portfolio to borrow securities from lenders, which we subsequently loan, as principal, to our borrowers; in this structure our investment portfolio securities are encumbered, but this is not reflected on the balance sheet. Combined with our enhanced custody liabilities, revenue from these activities generates securities finance fee revenue as well as net interest income.

Average total interest-bearing deposits decreased to $171.62 billion in the first quarter of 2023 from $183.63 billion in the same period of 2022. The decrease is driven by higher market rates from central bank rate hikes, the impact of quantitative tightening, currency translation and equity market declines. Future deposit levels will be influenced by the underlying asset servicing business, client deposit behavior and market conditions, including the general levels of U.S. and non-U.S. interest rates.

Average other short-term borrowings increased to $1.16 billion in the first quarter of 2023 from $0.87 billion in the same period of 2022.

Average long-term debt was $15.87 billion in the first quarter of 2023 compared to $14.27 billion in the same period of 2022. These amounts reflect issuances, redemptions and maturities of senior debt during the respective periods.

~~Other trading, transition management and brokerage revenue: As our clients look to~~ State Street ~~to enhance and preserve portfolio values, they may choose to utilize our Transition or Currency Management capabilities or transact~~Corporation | 20

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Average other interest-bearing liabilities, largely associated with our ~~Equity Trade execution group. These transactions generate revenue via commissions charged for trades transacted during~~enhanced custody business, were $3.08 billion in the first quarter of 2023 compared to $2.88 billion in the same period of 2022. Other interest-bearing liabilities is primarily driven by cash received from our custody clients, which is presented on a net basis where we have enforceable netting agreements. Non-interest bearing liabilities also include a portion of our enhanced custody liabilities where client provided non-cash collateral has been received and we have rehypothecation rights. Securities received as collateral from our custody clients where we have no rehypothecation rights are used as a credit mitigant only and remain off balance sheet.

U.S. and non-U.S. interest rates; revised or proposed regulatory capital or liquidity standards, or interpretations of those standards; the yields earned on securities purchased compared to the yields earned on securities sold or matured; and changes in the type and amount of credit or other loans we extend.

~~In recent years, our transition management revenue was adversely affected by compliance issues~~Based on market conditions and other factors, including regulatory standards, we continue to reinvest the majority of the proceeds from pay-downs and maturities of investment securities in ~~our U.K. business during 2010~~highly-rated U.S. and ~~2011, including settlements with the FCA in 2014~~non-U.S. securities, such as federal agency MBS, sovereign debt securities and U.S. Treasury and agency securities. The pace at which we reinvest, and the ~~DOJ in 2017,~~types of investment securities purchased, will depend on the ~~latter including a deferred prosecution agreement. The reputational and regulatory~~ impact of market conditions, the implementation of regulatory standards, including interpretation of those ~~compliance issues continues~~standards and ~~may adversely affect~~other factors over time. We expect these factors and the levels of global interest rates to impact our ~~results~~reinvestment program and future levels of NII and NIM.

Provision for Credit Losses

We recorded a $44 million provision for credit losses in ~~future periods.~~the first quarter of 2023, driven by an episodic provision of $29 million associated with industry support for a U.S. financial institution, as well as an increase in loan loss reserves driven by credit portfolio rating changes.

Additional information is provided under “Loans” in "Financial Condition" in this Management's Discussion and Analysis and in Note 4 to the consolidated financial statements in this Form 10-Q.

Expenses

Table 15: Expenses, provides the breakout of expenses for the first quarter of 2023 compared to the

same period of 2022. Total expenses increased 2% in the first quarter of 2023, compared to the same period of 2022, primarily reflecting continued business investments and higher salaries, partially offset by ongoing productivity savings, lower seasonal expenses and the benefit from currency translation. Currency translation reduced expenses by 2% in the first quarter of 2023 relative to the same period of 2022.


TABLE 15: EXPENSES
	Three Months Ended March 31,				% Change
(Dollars in millions)	2023		2022
Compensation and employee benefits	$	1,292	$	1,232	5	%
Information systems and communications	414		423		(2)
Transaction processing services	239		264		(9)
Occupancy	94		95		(1)
Amortization of other intangible assets	60		61		(2)
Acquisition and restructuring costs	—		9		nm

Other:
Professional services	106		97		9
Other	164		146		12
Total other	270		243		11
Total expenses	$	2,369	$	2,327	2
Number of employees at quarter-end	42,786		39,335		9

Compensation and employee benefits expenses increased 5% in the first quarter of 2023 compared to the same period of 2022, primarily due to higher salaries and headcount, partially offset by lower seasonal expenses and the impact of currency translation, which decreased compensation and employee benefits expenses by 2% in the first quarter of 2023 relative to the same period of 2022.

Total headcount increased 9% in the first quarter of 2023 compared to the same period of 2022, primarily in global hubs driven by operational support for new business growth segments, as well as technology investments and in-sourcing.

Information systems and communications expenses decreased 2% in the first quarter of 2023 compared to the same period of 2022, primarily due to optimization and vendor savings initiatives, partially offset by technology infrastructure investments.

State Street Corporation | 21

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Amortization of other intangible assets decreased 2% in the first quarter of 2023 compared to the same period of 2022, primarily reflecting the impact of currency translation.

Other expenses increased 11% in the first quarter of 2023 compared to the same period of 2022, primarily due to higher professional services, travel costs and marketing expenses.

Acquisition and Restructuring Costs

Acquisition and restructuring costs were nil in the first quarter of 2023 compared to $9 million in same period of 2022 related to the BBH Investor Services acquisition transaction that we are no longer pursuing.

Repositioning Charges

The following table presents aggregate activity for repositioning charges for the periods indicated:


TABLE 16: RESTRUCTURING AND REPOSITIONING CHARGES
(In millions)	Employee Related Costs		Real Estate Actions		Total
Accrual Balance at December 31, 2021	$	68	$	6	$	74

Payments and other Adjustments	(17)		(1)		(18)

Accrual Balance at March 31, 2022	$	51	$	5	$	56
Accrual Balance at December 31, 2022	$	83	$	5	$	88

Payments and other adjustments	(14)		(1)		(15)
Accrual Balance at March 31, 2023	$	69	$	4	$	73

Income Tax Expense

Income tax expense was $139 million in the first quarter of 2023 compared to $150 million in the same period of 2022. Our effective tax rate was 20.2% in the first quarter of 2023 compared to 19.9% in the same period of 2022. The effective tax rate for 2023 includes increased limitations on foreign tax credits.

Securities Finance

Our securities finance business consists of three components:

(1) an agency lending program for ~~SSGA-managed~~State Street Global Advisors managed investment funds with a broad range of investment objectives, which we refer to as the ~~SSGA~~State Street Global Advisors lending funds;

(2) an agency lending program for third-party investment managers and asset owners, which we refer to as the agency lending funds; and

(3) security lending transactions which we enter into as principal, which we refer to as our enhanced custody business.

Securities finance revenue earned from our agency lending activities, which is composed of our split of both the spreads related to cash collateral and the fees related to non-cash collateral, is principally a function of the volume of securities on loan, the ~~interest-rate~~interest rate spreads and fees earned on the underlying collateral and our share of the fee split.

As principal, our enhanced custody business borrows securities from the lending client or other market participants and then lends such securities to the subsequent borrower, either ~~a State Street~~our client or a broker/dealer. We act as principal when the lending client is unable to, or elects not to, transact directly with the market and execute the transaction and furnish the securities. In our role as principal, we provide support to the transaction through our credit rating. While we source a significant proportion of the securities furnished by us in our role as principal from third parties, we have the ability to source securities through ~~our~~ assets under custody ~~and administration~~ from clients who have designated ~~State Street~~us as an eligible borrower.

Securities finance revenue as presented in Table 9: Investment Servicing Line of Business Results, increased 8% in both the third quarter and first nine months of 2017 compared to the same periods in 2016, primarily the result of higher revenue in our enhanced custody business.

Market influences may continue to affect client demand for securities finance, and as a result our revenue from, and the profitability of, our securities lending activities in future periods. In addition, the constantly evolving regulatory environment, including revised or proposed capital and liquidity standards, ~~and~~ interpretations of those standards, and our own balance sheet management activities, may influence modifications to the way in which we deliver our agency lending or enhanced custody businesses, the volume of our securities lending activity and related revenue and profitability in future periods.

Software and Processing Fees

Software and ~~Other~~processing fees revenue, presented in Table 2: Total Revenue, decreased 18% in the first quarter of 2023 compared to the same period of 2022, primarily driven by lower front office software and data revenue associated with CRD.

~~Processing~~Software and processing fees ~~and other~~ revenue includes diverse types of fees and revenue, including fees from ~~our structured products business, fees from~~ software licensing and maintenance ~~equity income~~and fees from our ~~joint venture investments, gains~~structured products business.

Front office software and ~~losses on sales of other assets, derivative financial instruments to support our clients' needs~~data revenue, which primarily includes revenue from CRD, Alpha Data Platform and ~~to manage our interest-rate and currency risk, and amortization of our tax-advantaged investments.~~

Processing fees and other revenue, presented in Table 9: Investment Servicing Line of Business Results, increased 442% and 24% in the third quarter and first nine months of 2017, respectively, compared to the same periods in 2016. The increase in the third quarter of 2017 compared to the third quarter of 2016 is primarily due to a pre-tax gain of approximately $26 million on the sale of an equity trading platform business in the third quarter of 2017. The increase in the first nine months of 2017 is primarily due to a pre-tax gain of $30 million on the dispositions of our joint venture interests in IFDS U.K. and BFDS Alpha Data Services, decreased 21% in the first quarter of ~~2017~~2023 compared to the same period of 2022, primarily driven by lower on-premises renewals and ~~the aforementioned sale of an equity trading platform business in the third quarter of 2017, partially offset by a pre-tax gain of approximately $53 million~~professional services revenue.

Revenue related to the front office solutions provided by CRD is primarily driven by the sale of ~~WM/Reuters~~term software licenses and SaaS, including professional services such as consulting and implementation services, software support and maintenance. Approximately 50%-70% of revenue associated with a sale of software to be installed on-premises is recognized at a point in ~~2016.~~time when the customer benefits from obtaining access to and use of the software license, with the percentage varying based on the length of the contract and other contractual terms. The remainder of revenue for on-premise installations is recognized over the length of the contract as maintenance and other services are

State Street Corporation | 2017

~~Table of Contents~~

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Other Fee Revenue

Other fee revenue includes market-related adjustments and income associated with certain tax-advantaged investments and other equity method investments.

Other fee revenue increased 55% in the first quarter of 2023 compared to the same period of 2022, primarily due to positive market-related adjustments.

Additional information about fee revenue is provided under "Line of Business Information" included in this Management's Discussion and Analysis.

Net Interest Income

See Table 2: Total Revenue, for the breakout of interest income and interest expense for the first quarter of 2023 compared to the same period of 2022.

NII is defined as interest income earned on interest-earning assets less interest expense incurred on interest-bearing liabilities. Interest-earning assets, which principally consist of investment securities, interest-bearing deposits with banks, loans, resale agreements and other liquid assets, are financed primarily by client deposits, short-term borrowings and long-term debt.

Interest income related to debt securities is recognized in our consolidated statement of income using the effective interest method, or on a basis approximating a level rate of return over the contractual or estimated life of the security. The rate of return considers any non-refundable fees or costs, as well as purchase premiums or discounts, resulting in amortization or accretion, accordingly. The amortization of premiums and accretion of discounts are adjusted for prepayments when they occur, which primarily impact mortgage-backed securities.

The following table presents the investment securities premium amortization net of discount accretion for the periods indicated:


TABLE 13: INVESTMENT SECURITIES NET PREMIUM AMORTIZATION








	Three Months Ended March 31,
	2023						2022
(Dollars in millions)	MBS		Non -MBS		Total(1)		MBS		Non- MBS		Total
Unamortized purchase premiums, net of discounts at period end	$	484	$	70	$	554	$	665	$	425	$	1,090
Net premium amortization	20		(6)		14		48		39		87

State Street Corporation | 18

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

See Table 14: Average Balances and Interest Rates - Fully Taxable-Equivalent Basis, for the breakout of NII for the first quarter of 2023, compared to the same period of 2022.


TABLE 14: AVERAGE BALANCES AND INTEREST RATES - FULLY TAXABLE-EQUIVALENT BASIS(1)
	Three Months Ended March 31,
	2023						2022
(Dollars in millions; fully taxable-equivalent basis)	Average Balance		Interest Revenue/Expense		Rate		Average Balance		Interest Revenue/Expense		Rate
Interest-bearing deposits with banks	$	77,220	$	641	3.37	%	$	76,741	$	9	0.05	%
Securities purchased under resale agreements(2)	1,643		76		18.94		3,150		10		1.31
Trading account assets	667		—		—		761		—		—
Investment securities:
Investment securities available for sale	42,101		349		3.31		75,226		157		.83
Investment securities held-to-maturity	64,988		321		1.97		44,060		171		1.56

Total Investment securities	107,089		670		2.50		119,286		328		1.10
Loans	33,517		397		4.80		34,407		172		2.03
Other interest-earning assets(3)	17,393		245		5.71		23,767		5		0.08
Average total interest-earning assets	$	237,529	$	2,029	3.46		$	258,112	$	524	0.82




Interest-bearing deposits:
U.S.	$	105,261	$	779	3.00	%	$	100,073	$	4	0.02
Non-U.S.(4)(5)	66,356		174		1.07		83,556		(67)		(0.32)
Total interest-bearing deposits(5)(6)	171,617		953		2.25		183,629		(63)		(0.14)
Securities sold under repurchase agreements	4,409		9		0.84		2,279		—		(0.02)
Federal funds purchased	119		1		4.70		—		—		—
Short-term borrowings	1,159		11		3.72		872		—		—
Long-term debt	15,865		184		4.64		14,265		65		1.82
Other interest-bearing liabilities(7)	3,078		103		13.49		2,881		10		1.50
Average total interest-bearing liabilities	$	196,247	$	1,261	2.61		$	203,926	$	12	0.02





Interest rate spread					0.86	%					0.80	%
Net interest income, fully taxable-equivalent basis			$	768					$	512
Net interest margin, fully taxable-equivalent basis					1.31	%					0.80	%
Tax-equivalent adjustment			(2)						(3)
Net interest income, GAAP basis			$	766					$	509

(2) Reflects the impact of balance sheet netting under enforceable netting agreements of approximately $116.65 billion for the first quarter of 2023 compared to $55.02 billion for the same period of 2022. Excluding the impact of netting, the average interest rates would be approximately 0.26% in the first quarter of 2023 compared to0.07% in the same period of 2022.

(4) Negative values reflect the impact of interest rate environments outside of the U.S. where central bank rates were below zero for several major currencies.

(5) Average rate includes the impact of FX swap costs of approximately ($5) million for the first quarter of 2023 compared to ($13) million for the same period of 2022. Average rates for total interest-bearing deposits excluding the impact of FX swap costs were 2.26% in the first quarter of 2023 compared to (0.11)% in the same period of 2022.

(6) Total deposits averaged $210.32 billion in the first quarter of 2023 compared to $233.27 billion in the same period of 2022.

(7) Reflects the impact of balance sheet netting under enforceable netting agreements of approximately $5.40 billion for the first quarter of 2023 compared to $3.01 billion in the same period of 2022. Excluding the impact of netting, the average interest rates would be approximately 4.43% in the first quarter of 2023 compared to 0.07% in the same period of 2022.

State Street Corporation | 19

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Average investment securities decreased to $107.09 billion in the first quarter of 2023 from $119.29 billion in the same period of 2022. The portfolio declined across all major asset classes,

which was primarily driven by a smaller balance sheet from lower client deposits amidst a higher level of market rates.

Average other short-term borrowings increased to $1.16 billion in the first quarter of 2023 from $0.87 billion in the same period of 2022.

State Street Corporation | 20

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Average other interest-bearing liabilities, largely associated with our enhanced custody business, were $3.08 billion in the first quarter of 2023 compared to $2.88 billion in the same period of 2022. Other interest-bearing liabilities is primarily driven by cash received from our custody clients, which is presented on a net basis where we have enforceable netting agreements. Non-interest bearing liabilities also include a portion of our enhanced custody liabilities where client provided non-cash collateral has been received and we have rehypothecation rights. Securities received as collateral from our custody clients where we have no rehypothecation rights are used as a credit mitigant only and remain off balance sheet.

Several factors could affect future levels of NII and NIM, including the volume and mix of client deposits and funding sources; central bank actions; balance sheet management activities; changes in the level and slope of U.S. and non-U.S. interest rates; revised or proposed regulatory capital or liquidity standards, or interpretations of those standards; the yields earned on securities purchased compared to the yields earned on securities sold or matured; and changes in the type and amount of credit or other loans we extend.

Based on market conditions and other factors, including regulatory standards, we continue to reinvest the majority of the proceeds from pay-downs and maturities of investment securities in highly-rated U.S. and non-U.S. securities, such as federal agency MBS, sovereign debt securities and U.S. Treasury and agency securities. The pace at which we reinvest, and the types of investment securities purchased, will depend on the impact of market conditions, the implementation of regulatory standards, including interpretation of those standards and other factors over time. We expect these factors and the levels of global interest rates to impact our reinvestment program and future levels of NII and NIM.

Provision for Credit Losses

Additional information is provided under “Loans” in "Financial Condition" in this Management's Discussion and Analysis and in Note 4 to the consolidated financial statements in this Form 10-Q.

Expenses

Table 15: Expenses, provides the breakout of expenses for the first quarter of 2023 compared to the


TABLE 15: EXPENSES
	Three Months Ended March 31,				% Change
(Dollars in millions)	2023		2022
Compensation and employee benefits	$	1,292	$	1,232	5	%
Information systems and communications	414		423		(2)
Transaction processing services	239		264		(9)
Occupancy	94		95		(1)
Amortization of other intangible assets	60		61		(2)
Acquisition and restructuring costs	—		9		nm

Other:
Professional services	106		97		9
Other	164		146		12
Total other	270		243		11
Total expenses	$	2,369	$	2,327	2
Number of employees at quarter-end	42,786		39,335		9

State Street Corporation | 21

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Amortization of other intangible assets decreased 2% in the first quarter of 2023 compared to the same period of 2022, primarily reflecting the impact of currency translation.

Other expenses increased 11% in the first quarter of 2023 compared to the same period of 2022, primarily due to higher professional services, travel costs and marketing expenses.

Acquisition and Restructuring Costs

Repositioning Charges

The following table presents aggregate activity for repositioning charges for the periods indicated:


TABLE 16: RESTRUCTURING AND REPOSITIONING CHARGES
(In millions)	Employee Related Costs		Real Estate Actions		Total
Accrual Balance at December 31, 2021	$	68	$	6	$	74

Payments and other Adjustments	(17)		(1)		(18)

Accrual Balance at March 31, 2022	$	51	$	5	$	56
Accrual Balance at December 31, 2022	$	83	$	5	$	88

Payments and other adjustments	(14)		(1)		(15)
Accrual Balance at March 31, 2023	$	69	$	4	$	73

Income Tax Expense

LINE OF BUSINESS INFORMATION

Our Investment Servicing line of business provides a range of services to our clients. Through

State Street Investment Services, State Street Global Markets and State Street Alpha, we provide investment services for institutional clients, including mutual funds, collective investment funds and other investment pools, corporate and public retirement plans, insurance companies, investment managers, foundations and endowments worldwide.

Products under the Investment Servicing line of business include: back office products such as custody, accounting, regulatory reporting, investor services, performance and analytics; middle office products such as investment book of record, transaction management, loans, cash, derivatives and collateral services, record keeping, client reporting and investment analytics; investment manager and alternative investment manager operations outsourcing; performance, risk and compliance analytics; financial data management to support institutional investors; foreign exchange, brokerage and other trading services; securities finance, including enhanced custody products; and deposit and short-term investment facilities.

Our Investment Management line of business provides a broad range of investment management strategies and products for our clients through State Street Global Advisors. Our investment management strategies and products for equity, fixed income and cash assets, including core and enhanced indexing, multi-asset strategies, active quantitative and fundamental active capabilities and alternative investment strategies span the risk/reward spectrum of these investment products. Our AUM is currently primarily weighted to indexed strategies. In addition, we provide a breadth of services and solutions, including ESG investing, defined benefit and defined contribution products, and Global Fiduciary Solutions. State Street Global Advisors is also a provider of ETFs, including the SPDR® ETF brand.

For additional information about our two lines of business, as well as the revenues, expenses and capital allocation methodologies associated with them, refer to "Lines of Business Information" included under Item1, Business, in our 2022 Form 10-K and Note 17 to the consolidated financial statements in this Form 10-Q.

State Street Corporation | 22

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Investment Servicing


TABLE 17: INVESTMENT SERVICING LINE OF BUSINESS RESULTS




















(Dollars in millions, except where otherwise noted)	Three Months Ended March 31,							% Change
		2023			2022
Servicing fees		$	1,217		$	1,368			(11)	%
Foreign exchange trading services		321			342				(6)
Securities finance		103			93				11
Software and processing fees		165			201				(18)
Other fee revenue		28			46				(39)
Total fee revenue		1,834			2,050				(11)
Net interest income		762			509				50
Total other income		—			(1)				nm
Total revenue		2,596			2,558				1
Provision for credit losses		44			—				nm
Total expenses		1,978			1,925				3
Income before income tax expense		$	574		$	633			(9)
Pre-tax margin		22.1		%	24.7		%

nm Not meaningful

Servicing Fees

Servicing fees, as presented in Table 17: Investment Servicing Line of Business Results, decreased 11% in the first quarter of 2023, compared to the same period of 2022, primarily driven by lower average equity and fixed income market levels, client activity and adjustments and normal pricing headwinds, partially offset by net new business.

For additional information about servicing fees and the impact of worldwide equity and fixed-income valuations on our fee revenue, as well as other key drivers of our servicing fee revenue, refer to "Fee Revenue" in "Consolidated Results of Operations" included in this Management's Discussion and Analysis.

Expenses

Total expenses for Investment Servicing increased 2%3% in the ~~third~~first quarter of ~~2017~~2023, compared to the same period ~~in 2016, primarily reflecting installation~~ of ~~new~~2022, as higher salaries and headcount and ongoing business ~~annual merit~~investments were partially offset by continued productivity and ~~performance related incentive compensation~~optimization savings, lower seasonal expenses and the ~~impact of the weaker U.S. dollar.~~

~~Total~~benefit from currency translation. Currency translation reduced expenses ~~increased 3%~~for Investment Servicing by 2% in the first ~~nine months~~quarter of ~~2017 compared~~2023 relative to the same period ~~in 2016, primarily due to higher annual merit and performance based incentive compensation increases, including higher seasonal~~of 2022. Seasonal deferred incentive compensation expense ~~for retirement~~

~~eligible employees~~ and payroll taxes ~~of approximately $28~~were $132 million in the first quarter of ~~2017~~2023, compared to $161 million in the ~~first quarter~~same period of ~~2016, and increased costs to support new business.~~

~~The increases for both the three- and nine-month periods were partially offset by Beacon savings.~~

2022. Additional information about expenses is provided under "Expenses" in "Consolidated Results of Operations" included in this Management's Discussion and ~~Analysis in this Form 10-Q.~~Analysis.

Investment Management

TABLE 14: INVESTMENT MANAGEMENT LINE OF BUSINESS RESULTS
Quarters Ended September 30, Nine Months Ended September 30,
(Dollars in millions) 2017 2016 % Change 2017 2016 % Change
Management fees $ 419
$ 368
14 % $ 1,198
$ 931
29 %
Trading services⁽¹⁾
20
19
5
55
46
20
Processing fees and other 1
(7 ) nm
6
(9 ) nm
Total fee revenue 440
380
16
1,259
968
30
Net interest income (3 ) 1
nm
(3 ) 3
nm
Total revenue 437
381
15
1,256
971
29
Total expenses 314
317
(1 ) 954
817
17
Income before income tax expense $ 123
$ 64
92
$ 302
$ 154
96
Pre-tax margin 28 % 17 % 24 % 16 %


TABLE 18: INVESTMENT MANAGEMENT LINE OF BUSINESS RESULTS

















(Dollars in millions, except where otherwise noted)	Three Months Ended March 31,							% Change
		2023			2022
Management fees(1)		$	457		$	520			(12)	%
Foreign exchange trading services(2)		21			17				24
Securities finance		6			3				nm

Other fee revenue(3)		17			(17)				nm
Total fee revenue		501			523				(4)
Net interest income		4			—				nm
Total revenue		505			523				(3)

Total expenses		386			389				(1)
Income before income tax expense		$	119		$	134			(11)
Pre-tax margin		23.6		%	25.6		%

⁽¹⁾Includes revenues from SPDR® Gold Shares and SPDR® Gold MiniSharesSM Trust AUM where we are not the investment manager but act as the marketing agent.

(2) Includes revenue for reimbursements received for certain ETFs associated with ~~the SPDR~~^® ~~Gold ETF and SPDR~~^® ~~Long Dollar Gold Trust ETF, for which~~State Street Global Advisors where we act as the distribution and marketing agent.

^{(3) Includes other revenue items that are primarily driven by equity market movements.}

nm Not meaningful

Investment Management total revenue decreased 3% in the first quarter of 2023, compared to the same period of 2022.

Management Fees

Through SSGA, we provide a broad range of investment management strategies, specialized investment management advisory services, OCIO and other financial services for corporations, public funds, and other sophisticated investors. SSGA offers an array of investment management strategies, including passive and active, such as enhanced indexing, using quantitative and fundamental methods for both U.S. and global equity and fixed income securities. SSGA also offers ETFs, such as the SPDR^® ETF brand. While certain management fees are directly determined by the values of AUM and the investment strategies employed, management fees reflect other factors as well, including our relationship pricing for clients who use multiple services, and the benchmarks specified in the respective management agreements related to performance fees.

Management fees ~~increased 14%~~decreased 12% in ~~the third~~the first quarter of ~~2017~~2023, compared to the same period ~~in 2016,~~of 2022, primarily due to ~~higher global~~lower average equity ~~markets, net new business~~ and ~~positive ETF flows, partially offset by institutional net outflows.~~fixed income market levels and a previously reported client-specific pricing adjustment.

Management fees increased 29% in the first nine months of 2017 compared to the same period in 2016, primarily due to the acquired GEAM operations, higher global equity markets and higher revenue yielding ETF inflows.

Management fees generated outside the U.S. were approximately 28% of total management fees in both the third quarter and first nine months of 2017, compared to 29% and 33% in the same periods in 2016, respectively. The percentage of management fees generated outside the U.S. for the first nine months of 2017 decreased from the same period in 2016 primarily due to the acquired GEAM operations.

State Street Corporation | 2123

~~Table of Contents~~

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

For additional information about the impact of worldwide equity and fixed-income valuations, as well as other key drivers of our management fees revenue, refer to "Fee Revenue" in "Consolidated Results of Operations" included in this Management's Discussion and Analysis.

TABLE 15: ASSETS UNDER MANAGEMENT BY ASSET CLASS AND INVESTMENT APPROACH
(In billions) September 30, 2017 December 31, 2016 September 30, 2016
Equity:
   Active $ 95
$ 73
$ 70
   Passive 1,545
1,401
1,340
Total Equity 1,640
1,474
1,410
Fixed-Income:
   Active 73
70
73
   Passive 326
308
318
Total Fixed-Income 399
378
391
Cash⁽¹⁾
347
333
351
Multi-Asset-Class Solutions:
   Active 18
19
19
   Passive 116
107
106
Total Multi-Asset-Class Solutions 134
126
125
Alternative Investments⁽²⁾:

   Active 24
28
29
   Passive 129
129
140
Total Alternative Investments 153
157
169
Total $ 2,673
$ 2,468
$ 2,446

⁽¹⁾~~Includes both floating- and constant-net-asset-value portfolios held in commingled structures or separate accounts.~~

⁽²⁾~~Includes real estate investment trusts, currency and commodities, including SPDR~~^®~~Gold ETF and SPDR~~^®~~Long Dollar Gold Trust ETF. State Street is not the investment manager for the SPDR~~^®~~Gold ETF and SPDR~~^®~~Long Dollar Gold Trust ETF, but acts as the marketing agent.~~

TABLE 16: EXCHANGE - TRADED FUNDS BY ASSET CLASS⁽¹⁾
(In billions) September 30, 2017 December 31, 2016 September 30, 2016
Alternative Investments⁽²⁾
$ 48
$ 42
$ 54
Cash 2
2
2
Equity 478
426
370
Fixed-income 61
51
52
Total Exchange-Traded Funds $ 589
$ 521
$ 478

⁽¹⁾~~ETFs are a component of AUM presented in the preceding table.~~

TABLE 17: GEOGRAPHIC MIX OF ASSETS UNDER MANAGEMENT⁽¹⁾
(In billions) September 30, 2017 December 31, 2016 September 30, 2016
North America $ 1,845
$ 1,691
$ 1,641
Europe/Middle East/Africa 510
482
495
Asia/Pacific 318
295
310
Total $ 2,673
$ 2,468
$ 2,446

⁽¹⁾~~Geographic mix is based on client location or fund management location.~~

~~State Street Corporation | 22~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

TABLE 18: ACTIVITY IN ASSETS UNDER MANAGEMENT BY PRODUCT CATEGORY
(In billions) Equity Fixed-Income
Cash⁽¹⁾
Multi-Asset-Class Solutions
Alternative Investments⁽²⁾
Total
Balance as of December 31, 2015 $ 1,326
$ 312
$ 368
$ 103
$ 136
$ 2,245
Long-term institutional inflows⁽³⁾
161
62
—
34
9
266
Long-term institutional outflows⁽³⁾
(206 ) (71 ) —
(26 ) (16 ) (319 )
Long-term institutional flows, net (45 ) (9 ) —
8
(7 ) (53 )
ETF flows, net (3 ) 7
(1 ) —
13
16
Cash fund flows, net —
(21 ) —
—
(21 )
Total flows, net (48 ) (2 ) (22 ) 8
6
(58 )
Market appreciation 84
19
1
11
15
130
Foreign exchange impact 10
6
—
—
1
17
Total market/foreign exchange impact 94
25
1
11
16
147
Acquisitions and transfers⁽⁴⁾
38
56
4
3
11
112
Balance as of September 30, 2016 $ 1,410
$ 391
$ 351
$ 125
$ 169
$ 2,446

Balance as of December 31, 2016 $ 1,474
$ 378
$ 333
$ 126
$ 157
$ 2,468
Long-term institutional inflows⁽³⁾
182
65
—
30
16
293
Long-term institutional outflows⁽³⁾
(242 ) (73 ) —
(33 ) (32 ) (380 )
Long-term institutional flows, net (60 ) (8 ) —
(3 ) (16 ) (87 )
ETF flows, net (1 ) 8
—
—
3
10
Cash fund flows, net —
—
13
—
—
13
Total flows, net (61 ) —
13
(3 ) (13 ) (64 )
Market appreciation 203
12
(2 ) 6
4
223
Foreign exchange impact 24
9
3
5
5
46
Total market/foreign exchange impact 227
21
1
11
9
269
Balance as of September 30, 2017 $ 1,640
$ 399
$ 347
$ 134
$ 153
$ 2,673

⁽¹⁾~~Includes both floating- and constant-net-asset-value portfolios held in commingled structures or separate accounts.~~

⁽³⁾~~Amounts represent long-term portfolios, excluding ETFs.~~

⁽⁴⁾~~Includes AUM acquired as part of the acquisition of GEAM on July 1, 2016.~~

The preceding table does not include approximately $29 billion of new asset management business which was awarded but not installed as of September 30, 2017. New business will be reflected in AUM in future periods after installation, and will generate management fee revenue in subsequent periods. Total AUM as of September 30, 2017 included managed assets lost but not liquidated. Lost business occurs from time to time and it is difficult to predict the timing of client behavior in transitioning these assets. This timing can vary significantly.

~~State Street Corporation | 23~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

Expenses

Total expenses for Investment Management ~~remained flat~~ decreased 1% in the ~~third~~first quarter of ~~2017~~2023, compared to the same period ~~in 2016.~~

~~Total~~of 2022, as continued productivity and optimization savings, lower seasonal expenses and the benefit from currency translation were primarily offset by higher salaries and headcount. Currency translation reduced expenses for Investment Management increased 17% in the first nine months of 2017 compared to the same period in 2016 primarily due to higher annual merit and performance based incentive compensation increases, including higher seasonal deferred incentive compensation expense for retirement eligible employees and payroll taxesby 2% in the first quarter of ~~2017 compared~~2023 relative to the same period of 2022. Seasonal deferred incentive compensation expense and payroll taxes were $49 million in the first quarter of ~~2016 and increased costs~~2023, compared to ~~support new business. These increases were partially offset by Beacon savings.~~$47 million in the same period of 2022.

Additional information about expenses is provided under "Expenses" in ~~“Consolidated~~"Consolidated Results of ~~Operations”~~Operations" included in this Management's Discussion and ~~Analysis~~Analysis.

For additional information about our two lines of business, as well as the revenues, expenses and capital allocation methodologies associated with them, refer to Note 18 to the consolidated financial statements in this Form 10-Q.

FINANCIAL CONDITION

The structure of our consolidated statement of condition is primarily driven by the liabilities generated by our Investment Servicing and Investment Management lines of business. Our clients' needs and our operating objectives determine balance sheet volume, mix and currency denomination. As our clients execute their worldwide cash management and investment activities, they utilize deposits and short-term investments that constitute the majority of our liabilities. These liabilities are generally in the form of interest-bearing transaction account deposits, which are denominated in a variety of currencies; non-interest-bearing demand deposits; and repurchase agreements, which generally serve as short-term investment alternatives for our clients.

Deposits and other liabilities resulting from client initiated transactions are invested in assets that generally have contractual maturities significantly longer than our liabilities; however, we evaluate the operational nature of our deposits and seek to maintain appropriate short-term liquidity of those liabilities that are not operational in nature and maintain longer-termed assets for our operational deposits. Our assets consist primarily of securities held in our AFS or HTM portfolios and short-duration financial instruments, such as interest-bearing

deposits with banks and securities purchased under resale agreements. The actual mix of assets is determined by the characteristics of the client liabilities and our desire to maintain a well-diversified portfolio of high-quality assets.

Investment Securities

TABLE 19: AVERAGE STATEMENT OF CONDITION⁽¹⁾
Nine Months Ended September 30,
2017 2016
(In millions) Average Balance Average Balance
Assets:
Interest-bearing deposits with banks $ 49,171
$ 52,423
Securities purchased under resale agreements 2,192
2,610
Trading account assets 949
908
Investment securities 95,716
101,243
Loans and leases 21,360
18,674
Other interest-earning assets 22,952
22,316
Average total interest-earning assets 192,340
198,174
Cash and due from banks 3,181
3,402
Other non-interest-earning assets 24,973
27,052
Average total assets $ 220,494
$ 228,628

Liabilities and shareholders’ equity:
Interest-bearing deposits:
U.S. $ 25,821
$ 30,388
Non-U.S. 96,860
95,013
Total interest-bearing deposits 122,681
125,401
Securities sold under repurchase agreements 3,965
4,107
Federal funds purchased 1
33
Other short-term borrowings 1,313
1,727
Long-term debt 11,569
11,306
Other interest-bearing liabilities 4,881
5,550
Average total interest-bearing liabilities 144,410
148,124
Non-interest-bearing deposits 42,043
43,806
Other non-interest-bearing liabilities 12,130
14,697
Preferred shareholders’ equity 3,197
3,015
Common shareholders’ equity 18,714
18,986
Average total liabilities and shareholders’ equity $ 220,494
$ 228,628


TABLE 19: CARRYING VALUES OF INVESTMENT SECURITIES
(In millions)	March 31, 2023		December 31, 2022
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations	$	7,627	$	7,981
Mortgage-backed securities(1)	9,180		8,509
Total U.S. Treasury and federal agencies	16,807		16,490
Non-U.S. debt securities:
Mortgage-backed securities	1,563		1,623
Asset-backed securities(2)	1,678		1,669
Non-U.S. sovereign, supranational and non-U.S. agency	15,850		14,089
Other(3)	2,315		2,091
Total non-U.S. debt securities	21,406		19,472
Asset-backed securities:
Student loans(4)	110		115
Collateralized loan obligations(5)	2,406		2,355
Non-agency CMBS and RMBS(6)	260		231
Other	90		88
Total asset-backed securities	2,866		2,789
State and political subdivisions	777		823
Other U.S. debt securities(7)	985		1,005




Total available-for-sale securities(8)(9)	$	42,841	$	40,579
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations	$	11,747	$	11,693
Mortgage-backed securities(10)	42,262		42,307
Total U.S. Treasury and federal agencies	54,009		54,000
Non-U.S. debt securities:


Non-U.S. sovereign, supranational and non-U.S. agency	7,228		6,603
Total non-U.S. debt securities	7,228		6,603
Asset-backed securities:
Student loans(4)	3,740		3,955
Non-agency CMBS and RMBS(11)	50		142


Total asset-backed securities	3,790		4,097

Total held-to-maturity securities(8)	$	65,027	$	64,700

⁽¹⁾~~Additional information about our average statement~~ As of ~~condition, primarily our interest-earning assets~~March 31, 2023 and ~~interest-bearing liabilities, is provided in "Net Interest Income" in this Management's Discussion~~December 31, 2022, the total fair value included $6.53 billion and ~~Analysis included in this Form 10-Q.~~

$6.78 billion, respectively, of agency CMBS and $2.65 billion and $1.73 billion, respectively, of agency MBS.

(2) As of March 31, 2023 and December 31, 2022, the fair value includes non-U.S. collateralized loan obligations of $0.90 billion and $0.86 billion, respectively.

~~State Street Corporation | 24~~(3) As of March 31, 2023 and December 31, 2022, the fair value includes non-U.S. corporate bonds of $1.39 billion and $1.14 billion, respectively.

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

~~Investment Securities~~

TABLE 20: CARRYING VALUES OF INVESTMENT SECURITIES
(In millions) September 30, 2017 December 31, 2016
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations $ 620
$ 4,263
Mortgage-backed securities 11,000
13,257
Asset-backed securities:
Student loans⁽¹⁾
4,826
5,596
Credit cards 1,548
1,351
Sub-prime —
272
Other 1,221
905
Total asset-backed securities 7,595
8,124
Non-U.S. debt securities:
Mortgage-backed securities 7,074
6,535
Asset-backed securities 2,839
2,516
Government securities 6,658
5,836
Other 5,818
5,613
Total non-U.S. debt securities 22,389
20,500
State and political subdivisions 9,738
10,322
Collateralized mortgage obligations 1,528
2,593
Other U.S. debt securities 2,928
2,469
U.S. equity securities 46
42
Non-U.S. equity securities —
3
U.S. money-market mutual funds 394
409
Non-U.S. money-market mutual funds —
16
Total $ 56,238
$ 61,998

Held-to-maturity⁽²⁾:

U.S. Treasury and federal agencies:
Direct obligations $ 17,456
$ 17,527
Mortgage-backed securities 12,375
10,334
Asset-backed securities:
Student loans⁽¹⁾
3,116
2,883
Credit cards 798
897
Other 1
35
Total asset-backed securities 3,915
3,815
Non-U.S. debt securities:
Mortgage-backed securities 1,000
1,150
Asset-backed securities 325
531
Government securities 483
286
Other 47
113
Total non-U.S. debt securities 1,855
2,080
Collateralized mortgage obligations 1,249
1,413
Total $ 36,850
$ 35,169

⁽¹⁾(4)Primarily ~~composed~~comprised of securities guaranteed by the federal government with respect to at least 97% of defaulted principal and accrued interest on the underlying loans.

⁽²⁾ ~~Includes~~(5) Excludes collateralized loan obligations in loan form. Refer to Note 4 to the consolidated financial statements in this Form 10-Q for additional information.

(6) Consists entirely of non-agency CMBS as of both March 31, 2023 and December 31, 2022.

(7) As of March 31, 2023 and December 31, 2022, the fair value of U.S. corporate bonds was $0.99 billion and $1.01 billion, respectively.

(8) An immaterial amount of accrued interest related to HTM and AFS investment securities atwas excluded from the amortized cost ~~or fair value~~basis for the period ended March 31, 2023.

(9) As of both March 31, 2023 and December 31, 2022, total amortized cost included an allowance for credit losses on AFS investment securities of $2 million.

(10) As of March 31, 2023 and December 31, 2022, the ~~date~~total amortized cost included $5.29 billion and $4.99 billion of ~~transfer from AFS.~~agency CMBS, respectively.

(11) As of March 31, 2023 and December 31, 2022, the total amortized cost included $42 million and $133 million, respectively, of non-agency CMBS and $8 million and $9 million, respectively, of non-agency RMBS.

State Street Corporation | 24

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Additional information about our investment securities portfolio is provided in Note 3 to the consolidated financial statements ~~included~~ in this Form 10-Q.

We manage our investment securities portfolio to align with the ~~interest-rate~~interest rate and duration characteristics of our client liabilities ~~that we consider to be operational deposits~~ and in the context of the overall structure of our consolidated statement of condition, in consideration of the global ~~interest-rate~~interest rate environment. We consider a well-diversified, high-credit quality investment securities portfolio to be an important element in the management of our consolidated statement of condition.

~~In the first quarter~~Average duration of ~~2017, we sold $2.7 billion of AFS, primarily Agency MBS and U.S. Treasury securities in~~ our investment securities portfolio, ~~in response to~~including the ~~current interest rate environment resulting in a pre-tax loss~~impact of ~~$40 million.~~hedges, was 2.8 years and 2.6 years as of March 31, 2023 and December 31, 2022, respectively.

Approximately ~~91%~~95% of the carrying value of the portfolio was rated ~~“AAA”~~“AA” or ~~“AA”~~higher as of ~~September 30, 2017~~both March 31, 2023 and December 31, ~~2016.~~2022, as follows:


TABLE 21: INVESTMENT PORTFOLIO BY EXTERNAL CREDIT RATING
TABLE 20: INVESTMENT PORTFOLIO BY EXTERNAL CREDIT RATING					TABLE 20: INVESTMENT PORTFOLIO BY EXTERNAL CREDIT RATING
	September 30, 2017		December 31, 2016			March 31, 2023		December 31, 2022
AAA⁽¹⁾	76	%	78	%	AAA(1)	83	%	84	%
AA	15		13		AA	12		11
A	5		5		A	3		3
BBB	3		3		BBB	2		2
Below BBB	1		1
	100	%	100	%
						100	%	100	%

⁽¹⁾Includes U.S. Treasury and federal agency securities that are split-rated, “AAA” by Moody’s Investors Service and “AA+” by Standard & ~~Poor’s.~~Poor’s and also includes Agency MBS securities which are not explicitly rated but which have an explicit or assumed guarantee from the U.S. government.

As of ~~September 30, 2017,~~March 31, 2023 and December 31, 2022, the investment portfolio ~~of 10,703 securities~~ was diversified with respect to asset ~~class. Approximately 53%~~class composition. The following table presents the composition of the aggregate carrying value of the portfolio as of September 30, 2017 was composed of MBS and ABS, compared to 52% as of December 31, 2016. The ABS portfolio, of which approximately 96% and 93% of the carrying value as of September 30, 2017 and December 31, 2016, respectively, was floating-rate, consisted primarily of student loan-backed and credit card-backed securities. MBS were composed of securities issued by FNMA and FHLMC, as well as U.S. and non-U.S. large-issuer collateralized mortgage obligations.

these asset classes.

~~State Street Corporation | 25~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~


TABLE 21: INVESTMENT PORTFOLIO BY ASSET CLASS
	March 31, 2023		December 31, 2022
U.S. Agency Mortgage-backed securities	37	%	37	%
Non-U.S. sovereign, supranational and non-U.S. agency	21		19
U.S. Treasuries	18		19
Asset-backed securities	9		9
Other credit	15		16
	100	%	100	%

Non-U.S. Debt Securities

Approximately ~~26%~~27% and 25% of the aggregate carrying value of our investment securities portfolio was non-U.S. debt securities as of ~~September 30, 2017, compared to approximately 23% as of December~~March 31, ~~2016.~~

TABLE 22: NON-U.S. DEBT SECURITIES
(In millions) September 30, 2017 December 31, 2016
Available-for-sale:
United Kingdom $ 5,320
$ 5,093
Australia 4,461
4,272
Canada 3,749
2,989
France 1,658
1,013
Netherlands 1,338
1,283
Japan 1,020
1,388
Italy 999
676
Belgium 774
360
Hong Kong 633
664
Germany 488
713
Sweden 479
188
Spain 424
266
Norway 419
508
South Korea 201
634
Finland 124
223
Other⁽¹⁾
302
230
Total $ 22,389
$ 20,500
Held-to-maturity:
United Kingdom $ 452
$ 504
Netherlands 390
473
Singapore 364
180
Australia 250
374
Germany 171
329
Spain 104
98
Other⁽²⁾
124
122
Total $ 1,855
$ 2,080

⁽¹⁾~~Included approximately $182 million and $164 million as of September 30, 2017~~2023 and December 31, ~~2016, respectively, related to Ireland, Austria~~2022, respectively.


TABLE 22: NON-U.S. DEBT SECURITIES(1)
(In millions)	March 31, 2023		December 31, 2022
Available-for-sale:
Canada	$	4,037	$	3,685
Australia	2,055		2,159
United Kingdom	1,438		1,449
Germany	1,267		1,147
France	1,108		1,059
Austria	1,034		769
Japan	786		768
Hong Kong	669		701
Netherlands	609		542
Italy	305		290
Spain	247		250
Republic of Korea	222		230
Finland	214		185
Brazil	206		202
Other(2)	7,209		6,036
Total	$	21,406	$	19,472
Held-to-maturity:
Spain	$	813	$	804
Belgium	716		703
France	648		638
Ireland	446		442
Austria	368		362
Germany	332		123
Singapore	249		269
Finland	217		213
Netherlands	175		172
Canada	110		—
Other(2)	3,154		2,877
Total	$	7,228	$	6,603

(1) Geography is determined primarily based on the domicile of collateral or issuer.

(2) As of March 31, 2023, other non-U.S. investments include $6.80 billion of supranational bonds in AFS securities and ~~Portugal, all~~$3.15 billion of ~~which were related to MBS and auto loans.~~

⁽²⁾Included approximately $76 million and $80 million as of September 30, 2017 and December 31, 2016, respectively, related to Italy, Portugal and Norway all of which were related to MBS and auto loans.supranational bonds in HTM securities.

Approximately ~~88%~~86% of the aggregate carrying value of these non-U.S. debt securities was rated “AAA” or “AA” as of both ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016.~~2022. The majority of these securities comprised senior positions within the security structures; these positions have a level of protection provided through subordination and other forms of credit protection. As of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016,~~2022, approximately ~~65%~~24% and 26%, respectively, of the aggregate carrying value of these non-U.S. debt securities was ~~floating-rate, and accordingly, we consider these securities to have minimal interest-rate risk.~~floating-rate.

As of ~~September 30, 2017,~~March 31, 2023, our non-U.S. debt securities had an average market-to-book ratio of ~~100.6%~~97.3%, and an aggregate pre-tax net unrealized ~~gain~~loss of ~~approximately $146~~$786 million, composed of gross unrealized gains of ~~$176~~$10 million and gross unrealized losses of ~~$30~~$796 million. These unrealized amounts ~~included~~ included:

•a pre-tax net unrealized ~~gain~~loss of ~~$66~~$528 million, composed of gross unrealized gains of ~~$89~~$9 million and gross unrealized losses of ~~$23~~$537 million, associated with non-U.S. AFS debt ~~securities available-for-sale.~~securities; and

•a pre-tax net unrealized loss of $258 million, composed of gross unrealized gains of $1 million and gross unrealized losses of $259

State Street Corporation | 25

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

million, associated with non-U.S. HTM debt securities.

As of ~~September 30, 2017,~~March 31, 2023, the underlying collateral for non-U.S. MBS and ABS primarily included ~~Australian, Dutch, Italian~~mortgages in Australia, the U.K., the Netherlands and ~~U.K. prime mortgages and German auto loans.~~Italy. The securities listed under “Canada” were composed of Canadian government securities and provincial bonds, corporate debt and ~~covered bonds.~~non-U.S. agency securities. The securities listed under “France” were composed of ~~auto loans, prime mortgages, and~~sovereign bonds, corporate debt, covered bonds, ABS and ~~covered bonds.~~Non-U.S. agency securities. The securities listed under “Japan” were substantially composed of Japanese government ~~securities and corporate debt.~~securities.

Municipal Obligations

We carried approximately~~$9.74~~ $0.78 billion of municipal securities classified as state and political subdivisions in our investment securities portfolio as of ~~September 30, 2017~~March 31, 2023, as shown in Table ~~20:~~19: Carrying Values of Investment Securities, all of which were classified as AFS. As of ~~the same date,~~March 31, 2023, we also provided approximately ~~$9.52~~$7.14 billion of credit and liquidity facilities to municipal issuers.


TABLE 23: STATE AND MUNICIPAL OBLIGORS⁽¹⁾	TABLE 23: STATE AND MUNICIPAL OBLIGORS⁽¹⁾								TABLE 23: STATE AND MUNICIPAL OBLIGORS(1)
(Dollars in millions)	Total Municipal Securities		Credit and Liquidity Facilities⁽²⁾		Total		% of Total Municipal Exposure		(Dollars in millions)	Total Municipal Securities		Credit and Liquidity Facilities(2)		Total		% of Total Municipal Exposure
As of September 30, 2017
March 31, 2023									March 31, 2023
State of Issuer:	State of Issuer:								State of Issuer:
Texas	$	1,774	$	1,764	$	3,538	18	%	Texas	$	164	$	2,395	$	2,559	32	%
New York									New York	156		1,951		2,107		27
California	461		2,266		2,727		14		California	73		1,217		1,290		16
New York	743		1,288		2,031		11
Massachusetts	891		992		1,883		10
Washington	682		327		1,009		5

Total	$	4,551	$	6,637	$	11,188			Total	$	393	$	5,563	$	5,956

As of December 31, 2016
December 31, 2022									December 31, 2022
State of Issuer:	State of Issuer:								State of Issuer:
Texas	$	1,781	$	1,685	$	3,466	18	%	Texas	$	178	$	2,395	$	2,573	33	%
New York									New York	154		1,607		1,761		23
California	523		2,298		2,821		14		California	84		1,299		1,383		18
New York	740		1,293		2,033		10
Massachusetts	916		1,071		1,987		10
Washington	708		234		942		5
Maryland	488		411		899		5

Total	$	5,156	$	6,992	$	12,148			Total	$	416	$	5,301	$	5,717

⁽¹⁾Represented 5% or more of our aggregate municipal credit exposure of approximately ~~$19.26~~$7.92 billion and ~~$19.57~~$7.81 billion across our businesses as of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016,~~2022, respectively.

⁽²⁾Includes municipal loans which are also presented within Table ~~25.~~24: U.S. and Non-U.S. Loans.

~~State Street Corporation | 26~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

Our aggregate municipal securities exposure presented in Table 23: State and Municipal Obligors, was concentrated primarily with highly-rated counterparties, with approximately ~~92%~~93% of the obligors rated ~~“AAA”~~“AA” or ~~“AA”~~higher as of ~~September 30, 2017.~~March 31, 2023. As of that date, approximately ~~49%~~31% and ~~50%~~68% of our aggregate municipal securities exposure was associated with general obligation and revenue bonds, respectively. The portfolios are also diversified geographically, with the states that represent our largest exposures widely dispersed across the U.S.

~~Impairment~~

~~Impairment exists when~~Additional information with respect to our assessment of the fair value of an individual security is below its amortized cost basis. Impairment of a security is further assessed to determine whether such impairment is other-than-temporary. When the impairment is deemed to be other-than-temporary, we record the loss in our consolidated statement of income. In addition,allowance for ~~AFS and HTM~~credit losses on debt securities ~~we record~~and impairment of AFS securities is provided in ~~our~~Note 3to the consolidated ~~statement of income when management intends to sell (or may be required to sell) the securities before they recover~~financial statements in ~~value, or when management expects the present value of cash flows expected to be collected from the securities to be less than the amortized cost of the impaired security (a credit loss).~~this Form 10-Q.

The change in the net unrealized gain/(loss) position as of September 30, 2017 compared to December 31, 2016, presented in Table 24: Amortized Cost, Fair Value and Net Unrealized Gains (Losses) of Investment Securities, was primarily attributable to higher interest rates.

TABLE 24: AMORTIZED COST, FAIR VALUE AND NET UNREALIZED GAINS (LOSSES) OF INVESTMENT SECURITIES
September 30, 2017
(In millions) Amortized Cost Net Unrealized Gains (Losses) Fair Value
Available-for-sale⁽¹⁾
$ 55,882
$ 356
$ 56,238
Held-to-maturity⁽²⁾
36,850
(14 ) 36,836
Total investment securities $ 92,732
$ 342
$ 93,074
Net after-tax unrealized gain (loss) $ 205

December 31, 2016
(In millions) Amortized Cost Net Unrealized Gains (Losses) Fair Value
Available-for-sale⁽¹⁾
$ 62,056
$ (58 ) $ 61,998
Held-to-maturity⁽²⁾
35,169
(175 ) 34,994
Total investment securities $ 97,225
$ (233 ) $ 96,992
Net after-tax unrealized gain (loss) $ (140 )

Loans


TABLE 24: U.S. AND NON- U.S. LOANS
(In millions)	March 31, 2023		December 31, 2022
Domestic(1):
Commercial and financial:
Fund Finance(2)	$	12,184	$	12,154
Leveraged Loans	2,278		2,431
Overdrafts	2,418		1,707
Collateralized loan obligations in loan form	100		100
Other(3)	1,992		1,871
Commercial real estate	2,901		2,985

Total domestic	$	21,873	$	21,248
Foreign(1):
Commercial and financial:


Fund Finance(2)	$	4,556	$	3,949
Leveraged Loans	1,114		1,118
Overdrafts	1,389		1,094
Collateralized loan obligations in loan form	4,984		4,741

Total foreign	12,043		10,902
Total loans(4)	33,916		32,150
Allowance for loan losses	(115)		(97)
Loans, net of allowance	$	33,801	$	32,053

⁽¹⁾~~AFS securities are carried at fair value, with after-tax net unrealized gains~~Domestic and ~~losses recorded in~~ ~~AOCI~~.

⁽²⁾ ~~HTM securities are carried at amortized cost, and unrealized gains and losses are not recorded in our consolidated financial statements, other than for those that have been impaired.~~

~~We conduct periodic reviews of individual securities to assess whether OTTI exists. Our assessment of OTTI involves an evaluation of economic and security-specific factors. Such factors are~~foreign categorization is based on ~~estimates, derived by management, which contemplate current market conditions~~the borrower’s country of domicile.

(2) Fund finance loans include primarily $8.99 billion private equity capital call finance loans, $5.97 billion loans to real money funds and ~~security-specific performance. To the extent that market conditions are worse than management's expectations or due~~$1.21 billion loans to ~~idiosyncratic bond performance, OTTI could increase, in particular the credit-related component that would be recorded in our consolidated statement of income.~~

We recorded less than $1 million of OTTI in the third quarter of 2017 and $2 million in the third quarter of 2016. Management considers the aggregate decline in fair value of the remaining investment securities and the resulting gross unrealized losses of $434 millionbusiness development companies as of ~~September 30, 2017~~March 31, 2023, compared to ~~be temporary~~$7.57 billion private equity capital call finance loans, $6.61 billion loans to real money funds and ~~not~~$1.11 billion loans to business development companies as of December 31, 2022.

(3) Includes $1.66 billion securities finance loans, $321 million loans to municipalities and $7 million other loans as of March 31, 2023 and $1.51 billion securities finance loans, $321 million loans to municipalities and $42 million other loans as of December 31, 2022.

(4) As of March 31, 2023, excluding overdrafts, floating rate loans totaled $27.34 billion and fixed rate loans totaled $2.77 billion. We have entered into interest rate swap agreements to hedge the ~~result of any material changes in the credit characteristics of the securities. Additional information~~forecasted cash flows associated with ~~respect to OTTI, net impairment losses and gross unrealized losses is provided in~~EURIBOR indexed floating-rate loans. See Note 310 to the consolidated financial statements ~~included~~in our 2022 Form 10-K for additional details.

The increase in domestic loans was primarily driven by overdrafts, and the increase in foreign loans was primarily driven by fund finance loans, overdrafts and collateralized loan obligations in loan form as of March 31, 2023 compared to December 31, 2022.

As of March 31, 2023 and December 31, 2022, our leveraged loans totaled approximately $3.39 billion and $3.55 billion, respectively. We sold $283 million of leveraged loans in the first quarter of 2023.

In addition, we had binding unfunded commitments as of March 31, 2023 and December 31, 2022 of $75 million and $98 million, respectively, to participate in syndications of leveraged loans. Additional information about these unfunded commitments is provided in Note 9 to the consolidated financial statements in this Form 10-Q.

Our evaluation of potential OTTI of structured credit securities with collateral in the U.K. and Italy takes into account the outcome from the Brexit referendum and the Italian constitutional referendum, and assumes no disruption of payments on these securities.These leveraged loans, which are primarily rated “speculative” under our internal risk-rating framework

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AND RESULTS OF OPERATIONS

~~Loans and Leases~~

TABLE 25: U.S. AND NON- U.S. LOANS AND LEASES
(In millions) September 30, 2017 December 31, 2016
Domestic:
Commercial and financial $ 18,273
$ 16,412
Commercial real estate —
27
Lease financing 283
338
Total domestic 18,556
16,777
Non-U.S.:
Commercial and financial 4,652
2,476
Lease financing 430
504
Total non-U.S. 5,082
2,980
Total loans and leases $ 23,638
$ 19,757

~~The increase~~(refer to Note 4 to the consolidated financial statements in ~~loans in the commercial and financial segment as of September 30, 2017 compared to December 31, 2016 was primarily driven by higher levels of loans to investment funds and loans to municipalities.~~

As of September 30, 2017 and December 31, 2016, our investment in senior secured loans totaled approximately $3.9 billion and $3.5 billion, respectively. In addition, we had binding unfunded commitments as of September 30, 2017 and December 31, 2016 of $332 million and $76 million, respectively, to participate in such syndications.

~~These senior secured loans, which are primarily rated “speculative” under our internal risk-rating framework,~~this Form 10-Q), are externally rated “BBB,” “BB” or “B,” with approximately ~~90%~~95% and 96% of the loans rated “BB” or “B” as of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016. Information about our internal risk-rating framework is provided in Note 4 to the consolidated financial statements included in this Form 10-Q.~~2022, respectively. Our investment strategy involves generally limiting our investment to larger, more liquid credits underwritten by major global financial institutions, applying our internal credit analysis process to each potential investment and diversifying our exposure by counterparty and industry segment. However, these loans have significant exposure to credit losses relative to higher-rated ~~loans.~~

~~Loans to municipalities included~~loans in ~~the commercial and financial segment were $2.0 billion and $1.4 billion as of September 30, 2017 and December 31, 2016, respectively.~~

~~As of September 30, 2017 and December 31, 2016, unearned income deducted from~~ our ~~investment in leveraged lease financing was $77 million and $94 million, respectively, for U.S. leases and $161 million and $192 million, respectively, for non-U.S. leases.~~portfolio.

Additional information about all of our ~~loan-and-leases~~loan segments, as well as underlying classes, is

provided in Note 4 to the consolidated financial statements ~~included~~ in this Form 10-Q.

~~No loans were modified in troubled debt restructurings during the nine months ended September 30, 2017 and the year ended December 31, 2016.~~Allowance for credit losses

TABLE 26: ALLOWANCE FOR LOAN AND LEASE LOSSES
Nine Months Ended September 30,
(In millions) 2017 2016
Allowance for loan and lease losses:
Beginning balance $ 53
$ 46
Provision for loan and lease losses⁽¹⁾
4
8
Charge-offs⁽²⁾
—
(3 )
Ending balance $ 57
$ 51


TABLE 25: ALLOWANCE FOR CREDIT LOSSES
	Three Months Ended March 31,
(In millions)	2023		2022
Allowance for credit losses:
Beginning balance	$	121	$	108
Provision for credit losses (funded commitments)(1)	21		—
Provisions for credit losses (unfunded commitments)	(7)		—
Provisions for credit losses (other)(2)	30		—
Charge-offs(3)	(3)		(1)


Ending balance	$	162	$	107

⁽¹⁾ The provision for ~~loan and lease~~credit losses is primarily related to commercial and financial ~~loans in~~loans.

(2) Consists primarily of a provision associated with industry support for a U.S. financial institution and the ~~quarters ended September 30, 2017 and 2016.~~impact of foreign currency translation.

⁽²⁾(3) The charge-offs are related to commercial and financial loans.

We recorded a provision for credit losses of $44 million in the first quarter of 2023, driven by an episodic provision of $29 million associated with industry support for a U.S. financial institution, as well as an increase in loan loss reserves driven by credit portfolio rating changes.

As of ~~September 30, 2017,~~March 31, 2023, approximately ~~$49~~$82 million of our allowance for ~~loan and lease~~credit losses ~~were~~was related to ~~senior secured~~leveraged loans included in the commercial and financial ~~segment. As this portfolio grows and matures, our allowance for loan and lease losses related~~segment compared to ~~these loans may increase through additional provisions for credit losses.~~$61 million as of March 31, 2022. The remaining $9$80 million and $46 million as of March 31, 2023 and March 31, 2022, respectively, was related to commercial real estate loans, other ~~components~~loans, off-balance sheet commitments, interest-bearing deposits with banks and other financial assets held at amortized cost, including investment securities. As of ~~commercial and financial~~March 31, 2023, the allowance for credit losses represented 0.3% of total loans.

~~Cross-Border Outstandings~~

~~Cross-border outstandings are amounts payable~~Additional information with respect to us by non-U.S. counterparties which are denominated in U.S. dollars or other non-local currency, as well as non-U.S. local currency claims not funded by local currency liabilities. Our cross-border outstandings consist primarily of deposits with banks; loans and lease financing, including short-duration advances; investment securities; amounts related to foreign exchange and interest-rate contracts; and securities finance. ~~In addition to credit risk, cross-border outstandings have~~ the risk that, as a result of political or economic conditions in a country, borrowers may be unable to meet their contractual repayment obligations of principal and/or interest when due because of the unavailability of, or restrictions on, foreign exchange needed by borrowers to repay their obligations.

As market and economic conditions change, the major independent credit rating agencies may downgrade U.S. and non-U.S. financial institutions and sovereign issuers which have been, and may in the future be, significant counterparties to us, or whose financial instruments serve as collateral on which we relyallowance for credit ~~risk mitigation purposes, and may do so again~~losses is provided in Note 4 to the ~~future. As a result, we may be~~

consolidated financial statements in this Form 10-Q.

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~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

~~exposed to increased counterparty risk, leading to negative ratings volatility.~~

The cross-border outstandings presented in Table 27: Cross-Border Outstandings, represented approximately 30% and 28% of our consolidated total assets as of September 30, 2017 and December 31, 2016, respectively.

TABLE 27: CROSS-BORDER OUTSTANDINGS⁽¹⁾
(In millions)
Investment Securities and Other Assets
Derivatives and Securities on Loan Total Cross-Border Outstandings
September 30, 2017

United Kingdom $ 17,808
$ 1,225
$ 19,033
Germany 18,727
267
18,994
Japan 15,607
674
16,281
Australia 5,344
631
5,975
Canada 4,334
1,060
5,394
France 2,273
300
2,573
Switzerland 2,023
457
2,480
December 31, 2016

United Kingdom $ 18,712
$ 1,761
$ 20,473
Japan 17,922
1,171
19,093
Germany 13,812
484
14,296
Australia 5,122
986
6,108
Luxembourg 3,389
762
4,151
Canada 3,179
781
3,960

⁽¹⁾~~Cross-border outstandings included countries in which we do business, and which amounted to at least 1% of our consolidated total assets as of the dates indicated.~~

As of September 30, 2017, aggregate cross-border outstandings in countries which amounted to between 0.75% and 1% of our consolidated assets totaled approximately $2.15 billion to Netherlands. As of December 31, 2016, aggregate cross-border outstandings in countries which amounted to between 0.75% and 1% of our consolidated assets totaled approximately $1.84 billion and $2.38 billion to France and the Netherlands, respectively.

Risk Management

In the normal course of our ~~global~~ business activities, we are exposed to a variety of risks, some that are inherent in the financial services industry, and others that are more specific to our business activities. Our risk management framework focuses on material risks, which include the following:

•credit and counterparty risk;

•liquidity risk, funding and management;

•operational risk;

•information technology risk;

•operational resiliency risk;

•market risk associated with our trading activities;

•market risk associated with our non-trading activities, ~~which we refer~~referred to as ~~asset-and-liability~~asset and liability management, ~~and which consists~~consisting primarily of ~~interest-rate~~interest rate risk;

•model risk;

•strategic risk;

and

~~model risk; and~~

•reputational, compliance, fiduciary and business conduct risk.

Many of these risks, as well as certain ~~of the~~ factors underlying each of ~~these risks that~~them, could affect our businesses and our consolidated financial statements, and are discussed in detail on pages 23 to 52 included under Item 1A, Risk Factors, in our ~~2016~~2022 Form 10-K.

For additional information about our risk management, including our risk appetite framework and risk governance committee structure, refer to pages 8081 to 8586 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, Risk Management, in our ~~2016~~2022 Form 10-K.

Credit Risk Management

We define credit risk as the risk of financial loss if a counterparty, borrower or obligor, collectively referred to as a counterparty, is either unable or unwilling to repay borrowings or settle a transaction in accordance with underlying contractual terms. We assume credit risk in our traditional non-trading lending activities, such as overdrafts, loans and contingent commitments, in our investment securities portfolio, where recourse to a counterparty exists, and in our direct and indirect trading activities, such as securities purchased under a resale agreement, principal securities lending and ~~foreign exchange~~FX and indemnified agency securities lending. We also assume credit risk in our day-to-day treasury and securities and other settlement operations, in the form of deposit placements and other cash balances, with central banks or private sector ~~institutions.~~ institutions and fees receivables.

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

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Allowance for Credit Losses

We record an allowance for credit losses related to certain on-balance sheet credit exposures, including our financial assets held at amortized cost, as well as certain off-balance sheet credit exposure, including unfunded commitments and letters of credit. Review and evaluation of the adequacy of the allowance for credit losses is ongoing throughout the year, but occurs at least quarterly, and is based, among other factors, on our evaluation of the level of risk in the portfolio and the estimated effects of our forecasts on our counterparties. We utilize multiple economic scenarios, consisting of a baseline, upside and downside scenarios, to develop our forecast of expected losses.

In the first quarter of 2023, the allowance estimate reflected an increase in reserves associated with industry support for a U.S. financial institution, as well as an increase in loan loss reserves driven by credit portfolio rating changes. Allowance estimates are subject to uncertainties, including those inherent in our model and economic assumptions, and management may use qualitative adjustments. If future data and forecasts deviate relative to the forecasts utilized to determine our allowance for credit losses as of March 31, 2023 or if credit risk migration is higher or lower than forecasted for reasons independent of the economic forecast, our allowance for credit losses will also change.

Additional information about the allowance for credit losses is provided in Notes 3 and 4 to the consolidated financial statements in this Form 10-Q.

For additional information about our credit risk management framework, including our core policies and principles, structure and organization, credit ratings, risk parameter estimates, credit risk mitigation, credit limits, reporting, monitoring ~~controls~~ and ~~reserve for credit losses,~~controls, refer to pages 8586 to 9091 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, Credit Risk Management, in our ~~2016~~2022 Form 10-K.

Liquidity Risk Management

Our liquidity framework contemplates areas of potential risk to our liquidity based on our activities, size and other appropriate risk-related factors. In managing liquidity risk, we employ limits, maintain established metrics and early warning indicators and perform routine stress testing to identify potential liquidity needs. This process involves the evaluation of a combination of internal and external scenarios which assist us in measuring our liquidity position and in identifying potential increases in cash needs or decreases in available sources of cash, as well as the potential impairment of our ability to access the global capital markets.

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~~AND RESULTS OF OPERATIONS~~

We manage our liquidity on a global, consolidated ~~basis. We also manage liquidity~~basis as well as on a stand-alone basis at ~~the~~our Parent Company ~~as well as~~and at certain branches and subsidiaries of State Street Bank. State Street Bank generally has access to markets and funding sources limited to banks, such as the federal funds market, ~~and~~ the Federal Reserve's discount ~~window. Our~~window and the Bank Term Funding Program. The Parent Company is managed to a more conservative liquidity profile, reflecting narrower market access. ~~Our~~Additionally, the Parent Company typically holds, or has direct access to, primarily through SSIF, a direct subsidiary of the Parent Company, and the support agreement, as discussed in the "Uses of Liquidity" section of this Management's Discussion and Analysis, enough cash and equivalents intended to meet its current debt maturities and other cash needs, as well as those projected over the next ~~one-year~~twelve-month period. As of September 30, 2017, the value of our Parent Company's net liquid assets decreased to $0.57 billion from $3.64 billion as of December 31, 2016. The decrease was due to the funding of SSIF in connection withReference our SPOE Strategy as discussed in the "Uses of Liquidity" section of this Management's Discussion and Analysis. Absent ~~certain triggers reflecting~~ financial distress at the Parent Company, the ~~liquidity transferred to~~liquid assets available at SSIF ~~continues~~continue to be available to the Parent Company. As of ~~September 30, 2017,~~March 31, 2023, our Parent Company and State Street Bank had approximately $1$1.99 billion of senior notes ~~and junior~~or subordinated debentures outstanding that will mature in the next twelve months.

As a systemically important financial institution, our liquidity risk management activities are subject to heightened and evolving regulatory requirements, including interpretations of those requirements, under specific U.S. and international regulations and also resulting from published and unpublished guidance, supervisory activities, such as stress tests, resolution planning, examinations and other regulatory interactions. Satisfaction of these requirements could, in some cases, result in changes in the composition of our investment portfolio, reduced NII or NIM, a reduction in the level of certain business activities or modifications to the way in which we deliver our products and services. If we fail to meet regulatory requirements to the satisfaction of our regulators, we could receive negative regulatory stress test results, incur a resolution plan deficiency or determination of a non-credible resolution plan or otherwise receive an adverse regulatory finding. Our efforts to satisfy, or our failure to satisfy, these regulatory requirements could materially adversely affect our business, financial condition or results of operations.

For additional information on our liquidity risk management, as well as liquidity ~~risk~~ metrics, refer to ~~page~~pages 91 to 96 included under Item 7, Management's

Discussion and Analysis of Financial Condition and Results of ~~Operation,~~Operations, Liquidity Risk Management, in our ~~2016~~2022 Form 10-K. For additional information on our liquidity ratios, including LCR and ~~NSFR,~~the net stable

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

funding ratio, refer to ~~pages 7 and 8~~page 15 included under Item 1, Business, in our ~~2016~~2022 Form 10-K.

Asset Liquidity

Central to the management of our liquidity is asset liquidity, which consists primarily of ~~unencumbered highly~~HQLA. HQLA is the amount of liquid ~~securities, cash and cash equivalents reported on our consolidated statement of condition. We restrict~~assets that qualify for inclusion in the ~~eligibility of securities~~LCR. As a banking organization, we are subject to be characterized as asset liquidity to U.S. Government and federal agency securities (including MBS), selected non-U.S. Government and supranational securities as well as certain other high-quality securities which generally are more liquid than other types of assets even in times of stress. In 2014,a minimum LCR under the LCR rule approved by U.S. banking ~~regulators issued a final rule to implement the BCBS' LCR in the United States.~~regulators. The LCR is intended to promote the short-term resilience of internationally active banking organizations, like ~~State Street,~~us, to improve the banking industry's ability to absorb shocks arising from market stress over a 30 calendar day period and improve the measurement and management of liquidity risk. The LCR measures an institution’s HQLA against its net cash outflows. ~~The~~HQLA primarily consists of unencumbered cash and certain high quality liquid securities that qualify for inclusion under the LCR ~~was fully implemented beginning on January 1, 2017.~~rule. Net cash outflows are measured as prescribed under the LCR rule which provides a significant benefit for deposits classified as operational. We report LCR to the Federal Reserve daily. ~~In addition, in December 2016,~~For the Federal Reserve issued a final rule requiring large banking organizations, including us, to publicly disclose certain qualitative and quantitative information about their LCR. We were required to comply with the disclosure requirements beginning on April 1, 2017. As of September 30, 2017quarters ended March 31, 2023 and December 31, ~~2016, our~~2022, daily average LCR for the Parent Company was 108% and 106%, respectively. The impact of higher deposits on the Parent Company's LCR is limited by a cap, known as the transferability restriction, on the HQLA from State Street Bank and Trust that can be recognized at the Parent Company as defined in ~~excess of 100%. With~~ the ~~release~~U.S. LCR Final Rule. This restriction limits the HQLA used in the calculation of the ~~new disclosure requirements, we are now presenting average quarterly HQLA balances versus our historical presentation~~Parent Company's LCR to the amount of ~~the period end balances.~~net cash outflows of its principal banking subsidiary (State Street Bank and Trust). The average HQLA, post-prescribed haircuts for ~~our~~the Parent Company under the LCR final rule definition was ~~$67.23~~$134.65 billion ~~and $87.20~~for the quarter ended March 31, 2023 compared to $139.88 billion ~~post-prescribed haircuts, as of September 30, 2017 and~~for the quarter ended December 31, ~~2016, respectively.~~

TABLE 28: COMPONENTS OF AVERAGE HQLA BY TYPE OF ASSET
Quarters Ended
(In millions) September 30,
2017 December 31, 2016
Excess central bank balances $ 38,222
$ 48,407
U.S. Treasuries 10,804
17,770
Other investment securities 11,796
15,442
Foreign government 6,409
5,585
Total $ 67,231
$ 87,204

~~With respect~~2022, primarily due to ~~highly liquid short-term investments presented~~a decrease in client deposits relative to the ~~preceding table, we~~

prior period. For the quarter ended March 31, 2023, LCR for State Street ~~Corporation | 30~~Bank and Trust was approximately 124%.

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

We maintained average cash balances in excess of regulatory requirements governing deposits with the Federal Reserve, ~~of approximately $38.22 billion at the Federal Reserve,~~ the ECB and other non-U.S. central banks of approximately $73.62 billion for the quarter ended March 31, 2023, compared to ~~$48.41~~$79.52 billion ~~as of~~for the quarter ended December 31, ~~2016.~~2022. The lower levels of ~~deposits~~average cash balances with central banks asreflect lower levels of~~quarter-end~~September 30, 2017 compared to quarter-end December 31, 2016 was due to normal deposit volatility. The decrease in other investment securities as of September 30, 2017 compared to December 31, 2016, presented in the table above, was primarily associated with repositioning the investment portfolio in light of the liquidity requirements of the LCR. client deposits.

Liquid securities carried in our asset liquidity include securities pledged without corresponding advances from the ~~FRBB,~~Federal Reserve Bank of Boston (FRBB), the FHLB, and other non-U.S. central banks. State Street Bank is a member of the FHLB. This membership allows for advances of liquidity in varying

terms against high-quality collateral, which helps facilitate asset-and-liability management. We had no outstanding borrowings from the FHLB as of March 31, 2023 and had $2.0 billion outstanding as of December 31, 2022.

Access to primary, intra-day and contingent liquidity provided by these utilities is an important source of contingent liquidity ~~with~~with utilization subject to underlying conditions. As of ~~September 30, 2017~~both March 31, 2023 and December 31, ~~2016,~~2022, we had no outstanding primary credit borrowings from the FRBB discount window or any other central bank ~~facility, and as of the same dates, no FHLB advances were outstanding.~~facility.

In addition to the investment securities included in our asset liquidity, we have ~~significant amounts of~~ other unencumbered investment ~~securities. The aggregate fair value of those~~ securities ~~was $38.05 billion~~and certain loans that we can pledge as ~~of September 30, 2017, compared~~collateral to ~~$54.40 billion as of December 31, 2016.~~access these various facilities. These ~~securities~~additional assets are available sources of liquidity ~~although~~and not ~~as rapidly deployed as those~~ included in our LCR asset liquidity.

The average fair value of total unencumbered securities was $78.65 billion for the quarter ended March 31, 2023, compared to $78.25 billion for the quarter ended December 31, 2022.

Uses of Liquidity

Significant uses of our liquidity could result from the following: withdrawals of client deposits; draw-downs by our custody clients of lines of credit; advances to clients to settle securities transactions; increases in our investment and loan portfolios; or other permitted purposes. Such circumstances would generally arise under stress conditions including deterioration in credit ratings. A recurring ~~significant~~ use of our liquidity involves our deployment of HQLA from our investment portfolio to post collateral to financial institutions serving as sources of securities under our enhanced custody program.

We had unfunded commitments to extend credit with gross contractual amounts totaling ~~$27.01~~$32.99 billion and ~~$26.99~~$31.20 billion and standby letters of credit totaling $1.86 billion and $2.13 billion as of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016,~~2022, respectively. These amounts do not reflect the value of any collateral. As of ~~September 30, 2017,~~March 31, 2023, approximately ~~73%~~76% of our

unfunded commitments to extend credit and 29% of our standby letters of credit expire within one year. Since many of our commitments are expected to expire or renew without being drawn upon, the gross contractual amounts do not necessarily represent our future cash requirements.

Resolution Planning

~~State Street, like other bank holding companies with total consolidated assets~~Under Section 165(d) of ~~$50 billion or more, periodically submits a plan for rapid and orderly resolution in~~ the ~~event of material financial distress or failure-commonly referred~~Dodd-Frank Act, we are required to assubmit a resolution plan oron a ~~living will-to~~biennial basis jointly to the Federal Reserve and the FDIC ~~under Section 165(d)~~(the Agencies). The purpose of our resolution plan is to describe our preferred resolution strategy and to demonstrate that we have the ~~Dodd-Frank Act.~~resources and

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

capabilities to execute on that strategy in the event of major financial distress. Through resolution planning, we seek ~~in the event of the insolvency of State Street,~~ to maintain ~~State Street Bank’s~~our role as a key infrastructure provider within the financial system, while minimizing risk to the financial ~~system~~system.

The final rule published in the Federal Register on November 1, 2019 requires a full resolution plan and ~~maximizing value for~~a targeted resolution plan on an alternating basis in the ~~benefit of our stakeholders. We have and will continue to focus management attention and resources to meet regulatory expectations with respect to resolution planning.~~

relevant submission years. We submitted our ~~2017~~updated 2021 targeted 165(d) resolution plan ~~describing our preferred~~by July 1, 2021. The targeted resolution ~~strategy~~plan included the core elements of resolution planning and some specific firm level information about the impact of the COVID-19 pandemic. Also included was an overview of remediation we completed to address a 2019 shortcoming on governance mechanisms related to the ~~Federal Reserve and FDIC on June 30, 2017. Subsequently,~~timely operationalization of the ~~Federal Reserve and FDIC extended the~~support agreement. Our next 165(d) resolution plan ~~filing deadline for eight large domestic banks, including State Street,~~submission to the Agencies is due by July 1, ~~2019. The agencies' review of the 2017 resolution plans is on-going and the extension does not affect any actions the agencies may take concerning our resolution plan.~~2023.

In the event of material financial distress, ~~or failure,~~ our preferred resolution strategy is the SPOE Strategy. ~~For additional information about the SPOE Strategy, refer to pages 11 and 12 included under Item 1, Business, in our 2016 Form 10-K.~~ The SPOE Strategy provides that prior to the bankruptcy of the Parent Company and pursuant to a support agreement among the Parent Company, SSIF (a ~~recently formed~~ direct subsidiary of the Parent Company), ~~State Street’s~~our Beneficiary Entities (as defined below) and certain of our other ~~State Street~~ entities, SSIF is obligated, up to its available resources, to recapitalize and/or provide liquidity to State Street Bank and the other ~~State Street~~ entities benefiting from such capital and/or liquidity support (collectively with State Street Bank, “Beneficiary Entities”), in amounts designed to prevent the Beneficiary Entities from themselves entering into resolution proceedings. Following the recapitalization of, or provision of liquidity to the Beneficiary Entities, the Parent Company would enter into a bankruptcy proceeding under the U.S. Bankruptcy Code. The Beneficiary Entities and our other ~~State Street~~ subsidiaries would be transferred to a newly organized holding company

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~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

held by a reorganization trust for the benefit of the Parent Company’s claimants.

Under the support agreement, the Parent Company has pre-funded SSIF by contributing certain of its assets (primarily its liquid assets, cash deposits, investments in intercompany debt, ~~investments,~~ investments in marketable securities and other cash and non-cash equivalent investments) to SSIF ~~contemporaneous with entering~~at the time it entered into the support agreement and will continue to contribute such assets, to the extent available, on an on-going basis. In consideration for these contributions, SSIF has agreed in the support agreement to provide capital and liquidity support to the Parent Company and all of the Beneficiary Entities in accordance with the Parent Company’s capital and liquidity policies. Under the support agreement, the Parent Company is only permitted to retain ~~certain amounts of~~ cash needed to meet its upcoming obligations

and to fund expected expenses during a potential bankruptcy proceeding. SSIF has provided the Parent Company with a committed credit line and issued (and may issue) one or more promissory notes to the Parent Company (the ~~"Parent~~Parent Company Funding ~~Notes")~~Notes) that together are intended to allow ~~State Street~~the Parent Company to continue to meet its obligations throughout the period prior to the occurrence of a "Recapitalization Event" ~~(as~~, which is defined ~~below).~~under the support agreement as the earlier occurrence of: (1) one or more capital and liquidity thresholds being breached or (2) the authorization by the Parent Company's Board of Directors for the Parent Company to commence bankruptcy proceedings. The support agreement does not ~~contemplate that~~obligate SSIF ~~is obligated~~ to maintain any specific level of resources and SSIF may not have sufficient resources to implement the SPOE Strategy.

In the event a Recapitalization Event occurs, the obligations outstanding under the Parent Company Funding Notes would automatically convert into or be exchanged for capital contributed to SSIF. The obligations of the Parent Company and SSIF under the support agreement are secured through a security agreement that grants a lien on the assets that the Parent Company and SSIF would use to fulfill their obligations under the support agreement to the Beneficiary Entities. SSIF is a distinct legal entity separate from the Parent Company and the Parent Company’s other affiliates.

In accordance with ~~its~~our policies, ~~State Street is~~we are required to monitor, on an ongoing basis, the capital and liquidity needs of State Street Bank and ~~the~~our other Beneficiary Entities. To support this process, ~~State Street has~~we have established a trigger framework that identifies key actions that would need to be taken or decisions that would need to be made if certain events tied to ~~State Street’s~~our financial condition occur. InThe trigger thresholds are set at levels intended to provide for the ~~event that State Street experiences material financial distress, the support agreement requires State Street to model and calculate certain~~availability of sufficient capital and liquidity ~~triggers on~~to enable an orderly resolution without extraordinary government support that results in us emerging from resolution as a ~~regular basis to determine whether or not the Parent Company should~~

~~commence preparations for a bankruptcy filing and whether or not a Recapitalization Event has occurred.~~stabilized institution with market confidence restored.

Upon the occurrence of a Recapitalization Event: (1) SSIF would not be authorized to provide any further liquidity to the Parent Company; (2) the Parent Company would be required to contribute to SSIF any remaining assets it is required to contribute to SSIF under the support ~~agreement;~~agreement, (which specifically exclude amounts designated to fund expected expenses during a potential bankruptcy proceeding); (3) ~~the Parent Company would be expected to commence Chapter 11 proceedings under the U.S. Bankruptcy Code; and (4)~~ SSIF would be required to provide capital and liquidity support to the Beneficiary Entities to support such entities’ continued ~~operation.~~operation to the extent of its available resources and consistent with the support agreement; and (4) the Parent Company would be expected to commence Chapter 11

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

proceedings under the U.S. Bankruptcy Code. No person or entity, other than a party to the support agreement, should rely ~~including in evaluating any State Street entity from a creditor's perspective or determining whether to enter into a contractual relationship with any State Street entity,~~ on any ~~State Street affiliate~~of our affiliates being or remaining a Beneficiary Entity or receiving capital or liquidity support pursuant to the support ~~agreement.~~

~~A “Recapitalization Event” is defined under the support~~ agreement, as the earlier occurrence of one or more capital and liquidity thresholds being breached or the authorization by the Parent Company's Board of Directors for the Parent Company to commence bankruptcy proceedings. These thresholds are set at levels intended to provide for the availability of sufficient capital and liquidity to enable an orderly resolution without extraordinary government support. The SPOE Strategy and the obligations under the support agreement may resultincluding in the recapitalization of State Street Bank and the commencement of bankruptcy proceedings by the Parent Company at an earlier stage of financial stress than might otherwise occur without such mechanisms in place. An expected effect of the SPOE Strategy and applicable TLAC regulatory requirements is that State Street’s losses will be imposed on the Parent Company shareholders and the holders of long-term debt and other forms of TLAC securities currently outstanding or issued in the future by the Parent Company, as well as on any other Parent Company creditors, beforeevaluating any of ~~its losses are imposed on the holders of the debt securities of the Parent Company's operating subsidiaries~~our entities from a creditor's perspective or determining whether to enter into a contractual relationship with any of ~~their depositors or creditors, or before U.S. taxpayers are put at risk.~~

~~There can be no assurance that credit rating agencies, in response to~~ our 2017 resolution plan or the support agreement, will not downgrade, place on negative watch or change their outlook on our debt credit ratings, generally or on specific debt securities. Any such downgrade, placement on negative watch or change in outlook could adversely affect our cost of borrowing, limit our access to the capital markets or result in restrictive covenants in future debt

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~~AND RESULTS OF OPERATIONS~~

~~agreements and could also adversely impact the trading prices, or the liquidity, of our outstanding debt securities.~~entities.

State Street Bank is also required to submit ~~annually~~periodically to the FDIC a plan for resolution in the event of its failure, referred to as an IDI plan. ~~The~~We submitted our last IDI plan before July 1, 2018. In November 2018, the FDIC ~~has extended~~had announced that until the ~~date~~FDIC completed revisions to its IDI plan requirements, no IDI plans would be required to be filed. On June 25, 2021, the FDIC issued a policy statement on resolution plans for IDIs that allows for content streamlining and adjusts the frequency of submissions to a three-year cycle. State Street Bank’s next IDI plan submission deadline is December 1, 2023.

Additionally, we are required to ~~July 1, 2018.~~submit a recovery plan to the Federal Reserve. This ~~IDI~~ plan ~~will satisfy~~includes detailed governance triggers and contingency actions that can be implemented in a timely manner in the ~~annual plan submission~~event of extreme financial distress. We also have recovery planning requirements ~~under the IDI Rule for 2016, 2017 and 2018.~~in certain international jurisdictions where we operate.

Funding

Deposits

We provide products and services including custody, accounting, administration, daily pricing, ~~foreign exchange~~FX services, cash management, financial asset management, securities finance and investment advisory services. As a provider of these products and services, we generate client deposits, which have generally provided a stable, low-cost source of funds. As a global custodian, clients place deposits with ~~State Street~~our entities in various ~~currencies.~~currencies. As of ~~September 30, 2017~~both March 31, 2023 and December 31, ~~2016,~~2022, approximately ~~60%~~65% of our average ~~client~~total deposit balances were denominated in U.S. ~~dollars.~~

For the past several years, we have frequently experienced higher client deposit inflows toward the end of each fiscal quarter or the end of the fiscal year. As a result, we believe average client deposit balances are more reflective of ongoing funding than period-end balances.

TABLE 29: TOTAL DEPOSITS
Average Balance
September 30, Nine Months Ended September 30,
(In millions) 2017 2016 2017 2016
Client deposits $ 176,263
$ 183,900
$ 159,564
$ 153,612
Wholesale CDs 3,000
14,865
5,160
15,595
Total deposits $ 179,263
$ 198,765
$ 164,724
$ 169,207
dollars, 15% in EUR, 10% in GBP and 10% in all other currencies.

Short-Term Funding

Our on-balance sheet liquid assets are also an integral component of our liquidity management strategy. These assets provide liquidity through maturities of the assets, but more importantly, they provide us with the ability to raise funds by pledging the securities as collateral for borrowings or through outright sales. In addition, our access to the global capital markets gives us the ability to source incremental funding ~~at reasonable rates of interest~~ from wholesale investors. As discussed earlier under “Asset Liquidity,” State Street

Bank's membership in the FHLB allows for advances of liquidity with varying terms against high-quality collateral.

Short-term secured funding also comes in the form of securities lent or sold under agreements to repurchase. These transactions are short-term in nature, generally overnight and are collateralized by high-quality investment securities. These balances were ~~$3.86~~$3.70 billion and ~~$4.40~~$1.18 billion as of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016,~~2022, respectively.

State Street Bank ~~currently maintains~~continues to maintain a line of credit with a financial institution of CAD $1.40 billion, or approximately ~~$1.12~~$1.04 billion, as of ~~September 30, 2017,~~March 31, 2023, to support its Canadian securities processing operations. The line of credit has no ~~stated~~stated termination date and is ~~cancelable~~cancellable by either party with prior notice. As of ~~September 30, 2017,~~both March 31, 2023 and December 31, 2022, there was no balance outstanding on this line of credit.

Long-Term Funding

~~State Street Corporation maintains an effective~~We have the ability to issue debt and equity securities under our current universal shelf registration statement ~~that allows for the public offering~~to meet current commitments and sale of debt securities, capital securities, common stock, depositary shares and preferred stock, and warrants to purchase such securities, including any shares into which the preferred stock and depositary shares may be convertible, or any combination thereof. We have issued in the past, and we may issue in the future, securities pursuant to our shelf registration statement. The issuance of debt or equity securities will depend on future market conditions, funding needs and other factors.

~~As of September 30, 2017,~~business needs. In addition, State Street Bank ~~had~~also has current authorization from the Board ~~authority~~ to issue unsecured senior ~~debt securities from time to time, provided that the aggregate principal~~debt. The total amount ~~of such unsecured senior debt outstanding at any one time does not exceed $5 billion. As of September 30, 2017, $3.25 billion was available~~remaining for issuance pursuant to this ~~authority. As~~authority is $1.65 billion as of ~~September 30, 2017, State Street Bank also had Board authority to issue an additional~~March 31, 2023.

On January 26, 2023, we issued $500 million aggregate principal amount of ~~subordinated debt.~~4.857% fixed-to-floating rate senior notes due 2026 and $750 million aggregate principal amount of 4.821% fixed-to-floating rate senior notes due 2034.

Agency Credit Ratings

Our ability to maintain consistent access to liquidity is fostered by the maintenance of high ~~investment-grade~~investment grade ratings as measured by ~~the~~ major ~~independent~~ credit rating agencies. Factors essential to maintaining high credit ratings include:

•diverse and stable core earnings;

•relative market position;

•strong risk management;

•strong capital ratios;

•diverse liquidity sources, including the global capital markets and client deposits;

•strong liquidity monitoring procedures; and

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~~AND RESULTS OF OPERATIONS~~

•preparedness for current or future regulatory developments.

High ratings limit borrowing costs and enhance our liquidity by:

•providing ~~assurance~~confidence for unsecured funding and depositors;

•increasing the potential market for our debt and improving our ability to offer products;

~~serving markets;~~

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

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•facilitating reduced collateral haircuts in secured lending transactions; and

•engaging in transactions in which clients value high credit ratings.

A downgrade or reduction ofin our credit ratings could have a material adverse effect on our liquidity by restricting our ability to access the capital markets, which could increase the related cost of funds. In turn, this could cause the sudden and large-scale withdrawal of unsecured deposits by our clients, which could lead to ~~draw-downs~~drawdowns of unfunded commitments to extend credit or trigger requirements under securities purchase commitments; or require additional collateral or force terminations of certain trading derivative contracts.

A majority of our derivative contracts have been entered into under bilateral agreements with counterparties who may require us to post collateral or terminate the transactions based on changes in our credit ratings. We assess the impact of these arrangements by determining the collateral that would be required assuming a downgrade by ~~all~~major rating agencies. The additional collateral or termination payments related to our net derivative liabilities under these arrangements that could have been called by counterparties in the event of a downgrade in our credit ratings below levels specified in the agreements is ~~disclosed~~provided in Note 7 to the consolidated financial statements ~~included~~ in this Form 10-Q. Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.

Operational Risk Management

Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. ~~Operational~~

Tight labor markets, challenging conditions in the global equity and fixed income markets, and heightened geopolitical tensions, including the ongoing war in Ukraine, are resulting in stress on the operating environment and have increased, and may continue to increase, operational risk. The war in Ukraine may also heighten information technology risk encompasses fiduciary risk and legal risk. Fiduciary risk is defined as the risk that State Street fails to properly exercise its fiduciary duties in its provision of products or services to clients. Legal risk is the risk of loss resulting from failure to comply with laws and contractual obligations as well as prudent ethical standards in business practices in addition to exposure to litigation from all aspects of State Street’s activities.exposures, including cyber-threats. See also “Information Technology Risk Management” below.

For additional information about our operational risk framework, refer to pages 9597 to 98100 included

under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, "Operational Risk Management", in our ~~2016~~2022 Form 10-K.

Information Technology Risk Management

We define information technology risk as the risk associated with the use, ownership, operation, involvement, influence and adoption of information

technology. Information technology risk includes risks triggered by technology non-compliance with regulatory obligations, information security and privacy incidents, business disruption, technology internal control and process gaps, technology operational events and adoption of new business technologies.

For additional information about our information technology risk framework and associated risks, refer to pages 100 to 101 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, "Information Technology Risk Management" in our 2022 Form 10-K, and pages 47 to 48 included under Item 1A, Risk Factors, in our 2022 Form 10-K - "Any failures of or damage to, attack on or unauthorized access to our information technology systems or facilities or disruptions to our continuous operations, including the systems, facilities or operations of third parties with which we do business, such as resulting from cyber-attacks, could result in significant costs, reputational damage and limits on our ability to conduct our business activities".

Market Risk Management

Market risk is defined by U.S. banking regulators as the risk of loss that could result from broad market movements, such as changes in the general level of interest rates, credit spreads, foreign exchange rates or commodity prices. We are exposed to market risk in both our trading and certain of our non-trading, or asset-and-liability management, activities.

Information about the market risk associated with our trading activities is provided below under “Trading Activities.” Information about the market risk associated with our non-trading activities, which consists primarily of ~~interest-rate~~interest rate risk, is provided below under “Asset-and-Liability Management Activities.”

Trading Activities

In the conduct of our trading activities, we assume market risk, the level of which is a function of our overall risk appetite, business objectives and liquidity needs, our clients' requirements and market volatility and our execution against those factors.

For additional information about the market risk associated with our trading activities, refer to pages 98 to 99 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, in our 2016 Form 10-K.

As part of our trading activities, we assume positions in the foreign exchange and ~~interest-rate~~interest rate markets by buying and selling cash instruments and entering into derivative instruments, including foreign exchange forward contracts, foreign exchange and ~~interest-rate~~interest rate options and ~~interest-rate~~interest rate swaps, ~~interest-rate~~interest rate forward contracts and ~~interest-rate~~interest rate futures. As of ~~September 30, 2017,~~March 31, 2023, the notional amount of these derivative contracts was ~~$1.67~~$2.45 trillion, of which ~~$1.65~~$2.42 trillion was composed of foreign exchange forward, swap and spot contracts. We seek to match positions closely with the objective of ~~minimizing~~mitigating related

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

currency and ~~interest-rate~~interest rate risk. All foreign exchange contracts are valued daily at current market rates.

For additional information about the market risk associated with our trading activities, refer to pages 101 to 103 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, "Market Risk Management" in our 2022 Form 10-K.

Value-at-Risk ~~Stress Testing~~ and Stressed VaR

We use a variety of risk measurement tools and methodologies, including VaR, which is an estimate of potential loss for a given period within a stated statistical confidence interval. We use a risk measurement methodology to measure trading-related VaR daily. We have adopted standards for measuring trading-related VaR, and we maintain regulatory capital for market risk associated with our trading activities in conformity with currently applicable bank regulatory market risk requirements.

Our regulatory VaR-based measure is calculated based on historical volatilities of market risk factors during a two-year observation period calibrated to a one-tail, 99% confidence interval and a ten-business-day holding period.

~~State Street Corporation | 34~~

~~Table~~We calculate a stressed VaR-based measure using the same model we use to calculate VaR, but with model inputs calibrated to historical data from a range of ~~Contents~~continuous twelve-month periods that reflect significant financial stress. The stressed VaR model is designed to identify the second-worst outcome occurring in the worst continuous one-year rolling period since July 2007. This stressed VaR meets the regulatory requirement as the rolling ten-day period with an outcome that is worse than 99% of other outcomes during that twelve-month period of financial stress. For each portfolio, the stress period is determined algorithmically by seeking the one-year time horizon that produces the largest ten-business-day VaR from within the available historical data. This historical data set includes the financial crisis of 2008, the highly volatile period surrounding the Eurozone sovereign debt crisis and the Standard & Poor's downgrade of U.S. Treasury debt in August 2011. As the historical data set used to determine the stress period expands over time, future market stress events will be incorporated.

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

For additional information about our VaR measurement tools and methodologies, refer to pages ~~101~~103 to ~~104~~108 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, "Value-at-Risk and Stressed VaR" in our ~~2016~~2022 Form 10-K.

Stress Testing ~~and Stressed VaR~~

We have a corporate-wide stress testing program in place that incorporates ~~an array of~~ techniques to measure the potential loss we could suffer in a

hypothetical scenario of adverse economic and financial conditions. We also monitor concentrations of risk such as concentration by branch, risk component, and currency pairs. We conduct stress testing on a daily basis based on selected historical stress events that are relevant to our positions in order to estimate the potential impact to our current portfolio should similar market conditions recur, and we also perform stress testing as part of the Federal Reserve's CCAR process. Stress testing is conducted, analyzed and reported at the corporate, trading desk, division and risk-factor level (for example, exchange risk, ~~interest-rate~~interest rate risk and volatility risk).

We calculate a stressed VaR-based measure using the same model we use to calculate VaR, but with model inputs calibrated to historical data from a range of continuous twelve-month periods that reflect significant financial stress. The stressed VaR model identifies the second-worst outcome occurring in the worst continuous one-year rolling period since July 2007. This stressed VaR meets the regulatory requirement as the rolling ten-day period with an outcome that is worse than 99% of other outcomes during that twelve-month period of financial stress. For each portfolio, the stress period is determined algorithmically by seeking the one-year time horizon that produces the largest ten-business-day VaR from within the available historical data. This historical data set includes the financial crisis of 2008, the highly volatile period surrounding the Eurozone

sovereign debt crisis and the Standard & Poor's downgrade of U.S. Treasury debt in August 2011. As the historical data set used to determine the stress period expands over time, future market stress events will be automatically incorporated.

Stress testing results and limits are actively monitored on a daily basis by ~~ERM~~Enterprise Risk Management (ERM) and reported to the ~~TMRC.~~Credit and Market Risk Committee (CMRC). Limit breaches are addressed by ERM risk managers in conjunction with the business units, escalated as appropriate, and reviewed by the ~~TMRC~~CMRC if material. In addition, we have established several action triggers that prompt ~~immediate~~ review by management and the implementation of a remediation plan.

Validation and Back-Testing

We perform frequent back-testing to assess the accuracy of our VaR-based model in estimating loss at the stated confidence level. This back-testing involves the comparison of estimated VaR model outputs to daily, actual profit-and-loss (P&L) outcomes ~~or P&L,~~ observed from daily market movements. We back-test our VaR model using “clean” P&L, which excludes non-trading revenue such as fees, commissions and NII, as well as estimated revenue from intra-day trading.

Our VaR definition of trading losses excludes items that are not specific to the price movement of the trading assets and liabilities themselves, such as fees, commissions, changes to reserves and gains or losses from intra-day activity.

We had nozero back-testing exceptions in the ~~quarters~~quarter ended ~~September 30, 2017~~March 31, 2023. We had one back-testing exception in the quarter ended December 31, 2022 and ~~June 30, 2017.~~one back-testing exception in the quarter ended March 31, 2022. At a 99% confidence interval, the statistical expectation for a VaR model is to witness one exception every hundred trading days (or two to three exceptions per year).

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

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The following tables present VaR and stressed VaR associated with our trading activities for covered positions held during the quarters ended ~~September 30, 2017~~March 31, 2023, December 31, 2022 and ~~June 30, 2017, and as of September 30, 2017 and June 30, 2017,~~March 31, 2022, respectively, as measured by our VaR ~~methodology:~~

methodology. Diversification effect in the tables below represents the difference between total VaR and the sum of the VaRs for each trading activity. This effect arises because the risks present in our trading activities are not perfectly correlated.


TABLE 26: TEN-DAY VALUE-AT-RISK ASSOCIATED WITH TRADING ACTIVITIES FOR COVERED POSITIONS
	Three Months Ended														As of March 31, 2023		As of December 31, 2022			As of March 31, 2022
	March 31, 2023						December 31, 2022						March 31, 2022
(In thousands)	Avg.		Max.		Min.		Avg.		Max.		Min.		Avg.						Max.			Min.			VaR			VaR	VaR
Global Markets	$	9,658	$	14,089	$	5,626	$	7,907	$	13,880	$	4,912	$	11,401	$	25,779	$	3,341		$	11,456		$	7,591		$	4,474
Global Treasury	4,723		6,034		2,557		4,164		7,200		1,292		776		1,714		559			4,989			5,632			1,079
Diversification	(4,864)		(5,849)		(2,736)		(4,255)		(6,961)		(973)		(849)		(1,418)		(399)			(6,520)			(6,075)			(1,214)
Total VaR	$	9,517	$	14,274	$	5,447	$	7,816	$	14,119	$	5,231	$	11,328	$	26,075	$	3,501		$	9,925		$	7,148		$	4,339

TABLE 27: TEN-DAY STRESSED VALUE-AT-RISK ASSOCIATED WITH TRADING ACTIVITIES FOR COVERED POSITIONS
	Three Months Ended														As of March 31, 2023		As of December 31, 2022			As of March 31, 2022
	March 31, 2023						December 31, 2022						March 31, 2022
(In thousands)	Avg.		Max.		Min.		Avg.		Max.		Min.		Avg.						Max.			Min.			VaR			VaR	VaR
Global Markets	$	37,580	$	68,336	$	19,606	$	32,811	$	55,085	$	20,747	$	37,341	$	64,435	$	23,242		$	46,155		$	30,778		$	40,529
Global Treasury	6,812		10,024		3,944		6,061		17,695		2,918		2,977		8,428		778			10,024			8,431			5,687
Diversification	(9,424)		(15,803)		(4,178)		(7,143)		(21,951)		(3,540)		(3,825)		(9,841)		(1,365)			(16,075)			(12,206)			(9,063)
Total Stressed VaR	$	34,968	$	62,557	$	19,372	$	31,729	$	50,829	$	20,125	$	36,493	$	63,022	$	22,655		$	40,104		$	27,003		$	37,153

TABLE 30: TEN-DAY VaR ASSOCIATED WITH TRADING ACTIVITIES FOR COVERED POSITIONS
Quarter Ended September 30, 2017 Quarter Ended June 30, 2017 As of September 30, 2017 As of June 30, 2017
(In thousands) Average Maximum Minimum Average Maximum Minimum VaR VaR
Global Markets $ 7,592
$ 13,703
$ 3,295
$ 7,759
$ 16,160
$ 4,590
$ 9,524
$ 7,577
Global Treasury 342
790
145
433
1,408
89
723
528
Total VaR $ 7,546
$ 13,652
$ 3,337
$ 7,740
$ 16,119
$ 4,598
$ 9,463
$ 7,481

TABLE 31: TEN-DAY STRESSED VaR ASSOCIATED WITH TRADING ACTIVITIES FOR COVERED POSITIONS
Quarter Ended September 30, 2017 Quarter Ended June 30, 2017 As of September 30, 2017 As of June 30, 2017
(In thousands) Average Maximum Minimum Average Maximum Minimum Stressed VaR Stressed VaR
Global Markets $ 23,981
$ 45,399
$ 13,363
$ 26,691
$ 44,875
$ 14,301
$ 24,755
$ 15,192
Global Treasury 5,309
10,549
2,584
4,814
12,329
1,321
5,150
6,223
Total Stressed VaR $ 24,382
$ 44,364
$ 13,887
$ 26,934
$ 43,754
$ 14,646
$ 24,362
$ 14,943

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~~AND RESULTS OF OPERATIONS~~

The three month average of our total stressed VaR-based measure was approximately ~~$24~~$35 million for the quarter ended ~~September 30, 2017,~~March 31, 2023, compared to an average of approximately ~~$27~~$32 million for the quarter ended December 31, 2022 and $36 million for the quarter ended ~~June 30, 2017.~~

March 31, 2022. The ~~decrease~~slight increase in the average total stressed ~~VaR-based measures as of September 30, 2017,~~VaR for the quarter ended March 31, 2023, compared to ~~June 30, 2017, was mainly driven by lower~~the quarter ended December 31, 2022, is primarily attributed to higher foreign exchange and interest rate risk ~~in emerging market currencies as of September 30, 2017 as compared to June 30, 2017.~~positions.

The VaR-based measures as presented in the preceding tables are primarily a reflection of the overall level of market volatility and our appetite for taking market risk in our trading activities. ~~Overall~~

While overall levels of volatility have ~~been low both on an absolute basis and relative to~~varied over the historical ~~information observed at~~observation periods, smaller residual market risk positions during the ~~beginning of the period used for the calculations. Both the ten-day VaR-based~~quarter have led to a reduction in VaR measures ~~and the stressed VaR-based measures are based on historical changes observed during rolling ten-day periods for the portfolios as of the close of business each day over~~presented.

We have in the past ~~one-year period.~~

Weand may in the future modify and adjust our models and methodologies used to calculate VaR and stressed VaR, subject to regulatory review and approval, and ~~these~~any future modifications and adjustments may result in changes in our VaR-based and stressed VaR-based measures.

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

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The following tables present the VaR and stressed-VaR associated with our trading activities attributable to foreign exchange risk, ~~interest-rate~~interest rate risk and volatility risk as of ~~September 30, 2017~~March 31, 2023, December 31, 2022 and ~~June 30, 2017. The totals of~~March 31, 2022, respectively. Diversification effect in the ~~VaR-based and stressed VaR-based measures for~~tables below represents the ~~three attributes in total exceeded the related~~difference between total VaR and ~~total stressed VaR presented~~the sum of the VaRs for each trading activity. This effect arises because the risks present in ~~the foregoing tables as of each period-end, primarily due to the benefits of diversification across risk types.~~our trading activities are not perfectly correlated.


TABLE 32: TEN-DAY VaR ASSOCIATED WITH TRADING ACTIVITIES BY RISK FACTOR⁽¹⁾
TABLE 28: TEN-DAY VaR ASSOCIATED WITH TRADING ACTIVITIES BY RISK FACTOR(1)													TABLE 28: TEN-DAY VaR ASSOCIATED WITH TRADING ACTIVITIES BY RISK FACTOR(1)
	As of September 30, 2017						As of June 30, 2017							As of March 31, 2023						As of December 31, 2022					As of March 31, 2022
(In thousands)	Foreign Exchange Risk		Interest Rate Risk		Volatility Risk		Foreign Exchange Risk		Interest Rate Risk		Volatility Risk		(In thousands)	Foreign Exchange Risk		Interest Rate Risk		Volatility Risk			Foreign Exchange Risk		Interest Rate Risk		Volatility Risk		Foreign Exchange Risk		Interest Rate Risk		Volatility Risk
By component:													By component:
Global Markets	$	7,876	$	2,930	$	201	$	6,167	$	3,042	$	506	Global Markets	$	5,483	$	8,567	$	372		$	5,562	$	4,656	$	358	$	2,512	$	3,368	$	495
Global Treasury	62		736		—		59		552		—		Global Treasury	4,871		1,697		—			5,602		1,442		—		889		815		—
Diversification													Diversification	(3,922)		(1,813)		—			(6,344)		(1,155)		—		(869)		(899)		—
Total VaR	$	7,883	$	2,564	$	201	$	6,186	$	3,035	$	506	Total VaR	$	6,432	$	8,451	$	372		$	4,820	$	4,943	$	358	$	2,532	$	3,284	$	495


TABLE 33: TEN-DAY STRESSED VaR ASSOCIATED WITH TRADING ACTIVITIES BY RISK FACTOR⁽¹⁾
TABLE 29: TEN-DAY STRESSED VaR ASSOCIATED WITH TRADING ACTIVITIES BY RISK FACTOR(1)													TABLE 29: TEN-DAY STRESSED VaR ASSOCIATED WITH TRADING ACTIVITIES BY RISK FACTOR(1)
	As of September 30, 2017						As of June 30, 2017							As of March 31, 2023						As of December 31, 2022					As of March 31, 2022
(In thousands)	Foreign Exchange Risk		Interest Rate Risk		Volatility Risk		Foreign Exchange Risk		Interest Rate Risk		Volatility Risk		(In thousands)	Foreign Exchange Risk		Interest Rate Risk		Volatility Risk			Foreign Exchange Risk		Interest Rate Risk		Volatility Risk		Foreign Exchange Risk		Interest Rate Risk		Volatility Risk
By component:													By component:
Global Markets	$	16,864	$	20,608	$	214	$	10,514	$	13,782	$	520	Global Markets	$	14,769	$	42,722	$	699		$	9,527	$	37,077	$	565	$	8,352	$	57,507	$	540
Global Treasury	98		5,273		—		104		6,439		—		Global Treasury	6,194		9,709		—			7,623		9,941		—		1,076		5,746		—
Diversification													Diversification	(9,359)		(14,738)		—			(8,189)		(15,328)		—		(1,403)		(7,286)		—
Total Stressed VaR	$	16,862	$	21,940	$	214	$	10,570	$	15,036	$	520	Total Stressed VaR	$	11,604	$	37,693	$	699		$	8,961	$	31,690	$	565	$	8,025	$	55,967	$	540

(1) For purposes of risk attribution by component, foreign exchange refers only to the risk from market movements in period-end rates. Forwards, futures, options and swaps with maturities greater than period-end have embedded ~~interest-rate~~interest rate risk that is captured by the measures used for ~~interest-rate~~interest rate risk. Accordingly, the ~~interest-rate~~interest rate risk embedded in these foreign exchange instruments is included in the ~~interest-rate~~interest rate risk component.

~~Asset-and-Liability~~Asset and Liability Management Activities

The primary objective of ~~asset-and-liability~~asset and liability management is to provide sustainable NII under varying economic conditions, while protecting the economic value of the assets and liabilities carried inon our consolidated statement of condition from the adverse effects of changes in interest rates. While many market factors affect the level of NII and the economic value of our assets and liabilities, one of the most significant factors is our exposure to movements in interest rates. Most of our NII is earned from the investment of client deposits generated by our businesses. We invest these client deposits in assets that conform generally to the liquidity characteristics of our balance sheet liabilities, ~~including~~as well as the currency composition of our significant non-U.S. dollar denominated client ~~liabilities.~~ deposits.

We quantify NII sensitivity using an earnings simulation model that includes our expectations for new business growth, changes in balance sheet mix and investment portfolio positioning. This measure compares our baseline view of NII over a twelve-month horizon, based on our internal forecast of interest rates, to a wide range of ~~instantaneous and gradual~~ rate shocks. ~~Economic value~~Our baseline view of ~~equity sensitivity~~NII is updated on a ~~discounted cash flow model designed to estimate~~regular basis. Table 30, Key Interest Rates for Baseline Forecasts, presents the ~~fair value of assets~~spot and ~~liabilities under a series of interest rate shocks over a long-term horizon. Each approach is routinely monitored as market conditions change and within internally-approved risk limits and guidelines.~~

~~For additional information about our Asset-and-Liability Management Activities, refer to pages 104 to 105 included under Item 7, Management's Discussion~~

~~State Street Corporation | 36~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

~~and Analysis of Financial Condition and Results of Operations,~~12-month forward rates used in our ~~2016 Form 10-K.~~baseline forecasts at March 31, 2023 and 2022. Our baseline rate forecast as of March 31, 2023 was generally consistent with common market expectations for global central bank actions at that point in time, which implied that rates may reach peak levels in the second quarter of 2023 and rate cuts may begin towards the end of 2023.


TABLE 30: KEY INTEREST RATES FOR BASELINE FORECASTS
	March 31, 2023						March 31, 2022
	Fed Funds Target		ECB Target(1)		10-Year Treasury		Fed Funds Target		ECB Target(1)		10-Year Treasury
Spot rates	5.00	%	3.00	%	3.49	%	0.50	%	(0.50)	%	2.35	%
12-month forward rates	4.25		3.00		3.43		2.25		0.05		2.73

(1) European Central Bank deposit facility rate.

In ~~the table below,~~Table 31: Net Interest Income Sensitivity, we report the expected change in NII over the next twelve months from ~~+/-100 bps~~ instantaneous shocks to various tenors on the yield curve relative to our baseline rate forecast, including the impacts from U.S. and ~~gradual parallel rate shocks.~~non-U.S. rates. Each scenario assumes no management action is taken to mitigate the adverse effects of changes in interest ~~rate changes~~rates on our financial performance. While investment securities balances and composition can fluctuate with the level of rates as prepayment assumptions change, for purposes of this analysis our deposit balances and mix are assumed to remain consistent with the ~~baseline.~~

~~We also routinely measure NII sensitivity to non-parallel~~baseline forecast which assumes client deposit balance rotation, including reductions in non-interest-bearing deposit balances. In lower rate ~~shocks to isolate~~scenarios, the full impact of ~~short-term or long-term market~~the shock is realized for all currencies even if the result is negative interest rates. ~~In the up 100 bps instantaneous shock, approximately 80%~~

State Street Corporation | 35

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS


TABLE 31: NET INTEREST INCOME SENSITIVITY
	March 31, 2023						March 31, 2022
(In millions)	U.S. Dollar		All Other Currencies		Total		U.S. Dollar		All Other Currencies		Total
Rate change:	Benefit (Exposure)						Benefit (Exposure)
Parallel shifts:
+100 bps shock	$	(98)	$	250	$	152	$	133	$	398	$	531
–100 bps shock	81		(225)		(144)		(118)		(193)		(311)
Steeper yield curve:
'+100 bps shift in long-end rates(1)	40		39		79		83		14		97
'-100 bps shift in short-end rates(1)	123		(186)		(63)		(16)		(179)		(195)
Flatter yield curve:
'+100 bps shift in short-end rates(1)	(138)		211		73		53		383		436
'-100 bps shift in long-end rates(1)	(42)		(38)		(80)		(100)		(14)		(114)

(1) The short-end is 0-3 months. The long-end is 5 years and above. Interim term points are interpolated.

Our overall balance sheet, including all currencies, continues to be asset sensitive with an NII benefit in higher rate scenarios. Our USD balance sheet has become liability sensitive driven by higher deposit betas resulting in an NII exposure to higher rate scenarios.

As of ~~the expected benefit stems from~~March 31, 2023, USD NII benefits in lower rate scenarios and is exposed to higher rates primarily driven by our sensitivities on the short-end of the yield curve. ~~Additionally, we quantify how much~~Compared to March 31, 2022, our short-end USD NII has become exposed to higher interest rates due to the higher level of baseline market interest rates and the ~~change is a result~~Federal Reserve’s quantitative tightening program resulting in higher deposit betas and deposit balance rotation and reductions. Long-end USD sensitivities have decreased since March 31, 2022 as the implementation of ~~shifts in U.S. and non-U.S. rates. In the up 100 bps instantaneous shock, approximately 50% of the expected benefit is driven by U.S. rates.~~

TABLE 34: NII SENSITIVITY
(In millions) September 30,
2017 December 31,
2016
Rate change: Benefit (Exposure)
+100 bps shock $ 515
$ 585
–100 bps shock (352 ) (265 )
+100 bps ramp 198
284
–100 bps ramp (119 ) (161 )
investment portfolio risk reduction strategies lowered our forecasted long-end reinvestment.

As of ~~September 30, 2017,~~March 31, 2023, non-USD NII ~~sensitivity remains positioned to benefit from rising interest rates. Compared to December 31, 2016, the decreased benefit to the up 100 bps instantaneous shock~~benefits in higher rate scenarios and is driven by a mix shift in client deposits and the repricing characteristics of other wholesale liabilities, partially offset by investment portfolio activity. The increased exposure to the down 100 bps instantaneous shock is driven by higher observed short-term interest rates relative to year-end and investment portfolio activity, partially offset by a mix shift in client deposits. Gradual rate shocks have a similar asset sensitive positioning, but are less impactful due to the severity and timing of the rate shift.

The following table highlights our economic value of equity sensitivity to a +/-200 bps instantaneous rate shock, relative to spot interest rates. Management compares the change in EVE sensitivity against State Street's aggregate tier 1 and tier 2 risk-based capital, calculated in conformity with current applicable regulatory requirements. Economic value of equity sensitivity is dependent on the timing of interest and principal cash flows. Also, the measure only evaluates the spot balance sheet and does not include the impact of new business assumptions.

TABLE 35: EVE SENSITIVITY
(In millions) September 30,
2017 December 31,
2016
Rate change: Benefit (Exposure)
+200 bps shock $ (924 ) $ (1,092 )
–200 bps shock 118
877

~~As of September 30, 2017, economic value of equity sensitivity remains~~ exposed to ~~upward shifts in interest rates. The change in each scenario was~~lower rates primarily driven by ~~investment portfolio repositioning~~our sensitivities on the short-end of the yield curve. Compared to March 31, 2022, our short-end non-USD sensitivity to higher rates decreased due to deposit balance rotation and ~~the mix of client deposits. The -200 bps scenario is~~reduction. Our short-end non-USD sensitivity to lower rates remained largely unchanged from prior year.

USD and non-USD NII sensitivities are also impacted by ~~the low level~~routine currency-level baseline forecasting updates and refinements.

NII sensitivity is routinely monitored as market conditions change. For additional information about our Asset and Liability Management Activities, refer to Management’s Discussion and Analysis of ~~interest rates, which limits the size~~Financial Condition and Results of ~~the rate shock.~~Operations, “Risk Management”.

State Street Corporation | 36

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Model Risk Management

The use of ~~quantitative~~ models is widespread throughout the financial services industry, with large and complex organizations relying on sophisticated models to support numerous aspects of their financial decision making. The models contemporaneously represent both a significant advancement in financial management and a ~~new~~ source of risk. In large banking organizations like ~~State Street,~~us, model results influence business decisions, and model failure could have a harmful effect on our financial performance. As a result, the Model Risk Management Framework seeks to mitigate our model ~~risk at State Street.~~risk.

For additional information about our model risk management framework, including our governance and model validation, refer to pages ~~105~~109 to ~~106~~110 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, "Model Risk Management", in our ~~2016~~2022 Form 10-K.

Strategic Risk Management

We define strategic risk as the current or prospective impact on earnings or capital arising from adverse business decisions, improper implementation of strategic initiatives, or lack of responsiveness to industry-wide changes. Strategic risks are influenced by changes in the competitive environment; decline in market performance or changes in our business activities; and the potential secondary impacts of reputational risks, not already captured as market, interest rate, credit, operational, model or liquidity risks. We incorporate strategic risk into our assessment of our business plans and risk and capital management processes. Management of strategic risk is an integral component of all aspects of our business.

Separating the effects of a potential material adverse event into operational and strategic risk is sometimes difficult. For instance, the direct financial impact of an unfavorable event in the form of fines or penalties would be classified as an operational risk loss, while the impact on our reputation and consequently the potential loss of clients and corresponding decline in revenue would be classified as a strategic risk loss. An additional example of strategic risk is the integration of a major acquisition. Failure to successfully integrate the operations of an acquired business, and the resultant inability to retain clients and the associated revenue, would be classified as a loss due to strategic risk.

Strategic risk is managed with a long-term focus. Techniques for its assessment and management include the development of business plans, which are subject to review and challenge from senior management and the Board of Directors, as well as a

formal review and approval process for all new business and product proposals. The potential impact of the various elements of strategic risk is difficult to quantify with any degree of precision. We use a combination of historical earnings volatility, scenario analysis, stress-testing and management judgment to help assess the potential effect on us attributable to strategic risk. Management and control of strategic risks are generally the responsibility of the business units, with oversight from the control functions, as part of their overall strategic planning and internal risk management processes.

Capital

Managing our capital involves evaluating whether our actual and projected levels of capital are commensurate with our risk profile, are in compliance with all applicable regulatory requirements and are sufficient to provide us with the financial flexibility to undertake future strategic business initiatives. We assess capital adequacy based on relevant regulatory capital requirements, as well as our own internal capital goals, targets and other relevant metrics.

~~State Street Corporation | 37~~

~~Table~~Our designation as a G-SIB is based on a number of ~~Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

~~We have~~factors, as evaluated by banking regulators, and requires us to maintain an additional capital surcharge above the minimum capital ratios set forth in the Basel III final rule. Further, like all other U.S. G-SIBs, we are also currently subject to a ~~hierarchical structure supporting appropriate committee review~~2.0% SLR buffer in addition to the required minimum of ~~relevant risk and capital information. The ongoing responsibility for capital management rests with our Treasurer. The Capital Management group within Global Treasury is responsible for~~3.0% under the ~~Capital Policy and guidelines, capital forecasting, development~~Basel III final rule. If we fail to exceed any regulatory buffer or surcharge, we will be subject to increased restrictions (depending upon the extent of the ~~Capital Plan, the management of global~~shortfall) regarding capital ~~capital optimization~~distributions and net investment hedging. The Capital Management group is also responsible for enterprise stress testing, including stress revenue and expense modeling and information technology related matters associated with stress testing models.discretionary executive bonus payments.

~~MRAC provides oversight~~Not all of our ~~capital management, our capital adequacy, our internal targets and the expectations~~competitors have similarly been designated as systemically important nor are all of the major independent credit rating agencies. In addition, MRAC approves our balance sheet strategy and related activities. The Board’s RC assists the Board in fulfilling its oversight responsibilities relatedthem subject to the ~~assessment~~same degree of regulation as a bank or financial holding company, and ~~management~~therefore some of ~~risk~~our competitors may not be subject to the same capital, liquidity and ~~capital. Our Capital Policy is reviewed and approved at least annually by the Board's RC.~~other regulatory requirements.

For additional information about our capital, refer to pages ~~107~~110 to 117 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, in our ~~2016~~2022 Form 10-K.

State Street Corporation | 3837

~~Table of Contents~~

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

~~Global Systemically Important Bank~~

We are one among a group of 30 institutions worldwide that have been identified by the FSB and the BCBS as G-SIBs. Our designation as a G-SIB requires us to maintain an additional capital buffer above the Basel III final rule minimum CET1 capital ratio of 4.5%, based on a number of factors, as evaluated by banking regulators.

In addition to the U.S. Basel III final rule, the Dodd-Frank Act requires the Federal Reserve to establish more stringent capital requirements for large bank holding companies, including State Street. On August 14, 2015, the Federal Reserve published a final rule on the implementation of capital requirements that impose a capital surcharge on U.S. G-SIBs. The surcharge requirements within the final rule began to phase-in on January 1, 2016 and will be fully effective on January 1, 2019. The eight U.S. banks deemed to be G-SIBs, including State Street, are required to calculate the G-SIB surcharge according to two methods, and be bound by the higher of the two:

~~Method 1: Assesses systemic importance based upon twelve indicators across: size, interconnectedness, complexity, cross-jurisdictional activity and substitutability~~

Method 2: Alters the calculation from Method 1 by factoring in a wholesale funding score in place of substitutability and applying a coefficient to the nine systemic indicators across size, interconnectedness, complexity and cross jurisdictional activity

As part of the final rule, the Federal Reserve published estimated G-SIB surcharges for the eight U.S. G-SIBs based on relevant data from 2012 to 2014. Method 2 is identified as the binding methodology for State Street and the applicable surcharge on January 1, 2017 was calculated to be 1.5%. Assuming a countercyclical buffer of 0%, a capital conservation buffer of 2.5%, and a G-SIB surcharge of 1.5% in 2019, the minimum fully phased-in capital ratios State Street would be required to have as of January 1, 2019 are: 8.5% for CET1 Capital, 10.0% for tier 1 risk-based capital and 12.0% for total risk-based capital, in order to make capital distributions and discretionary bonus payments without limitation.

~~Not all of our competitors have similarly been designated as systemically important, and therefore some of our competitors may not be subject to the same additional capital requirements.~~

~~Total Loss Absorbing Capacity~~

On December 15, 2016, the Federal Reserve released its final rule on TLAC, LTD and clean holding company requirements for U.S. domiciled G-SIBs, such as State Street, that are intended to improve the resiliency and resolvability of certain U.S. banking organizations through new enhanced prudential standards. The TLAC final rule imposes: (1) TLAC requirements (i.e., combined eligible tier 1 regulatory capital and eligible LTD); (2) separate eligible LTD requirements; and (3) clean holding company requirements designed to make short-term unsecured debt (including deposits) and most other ineligible liabilities structurally senior to eligible LTD.

Among other things, the TLAC final rule requires State Street to comply with minimum requirements for external TLAC and external LTD, plus an external TLAC buffer. Specifically, State Street must hold (1) combined eligible tier 1 regulatory capital and eligible LTD in the amount equal to at least 21.5% of total risk-weighted assets (using an estimated G-SIB method 1 surcharge of 1%) and 9.5% (7.5% SLR plus eSLR buffer of 2%) of total leverage exposure, as defined by the SLR final rule, and (2) qualifying external LTD equal to the greater of 7.5% of risk-weighted assets (using an estimated G-SIB method 2 surcharge of 1.5%) and 4.5% of total leverage exposure, as defined by the SLR final rule.

In forecasting our compliance with these requirements, we presently include our junior subordinated debentures maturing in 2028 and 2047 as TLAC and LTD eligible debt. Based upon current estimates, assumptions and guidance, we project that compliance with TLAC and LTD will result in increasing our outstanding long-term debt by approximately $2 billion at December 31, 2018 compared to the TLAC eligible debt outstanding at September 30, 2017.

For additional information on our TLAC requirements, refer to page 7 under "Regulatory Capital Adequacy and Liquidity Standards" in "Total Loss-Absorbing Capacity (TLAC)" included under Item 1, Business, in our 2016 Form 10-K

~~State Street must comply with the TLAC final rule starting on January 1, 2019.~~

~~State Street Corporation | 39~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

Regulatory Capital

We and State Street Bank, as advanced approaches banking organizations, are subject to the ~~current~~U.S. Basel III ~~minimum risk-based~~framework. We are also subject to the final market risk capital ~~and leverage ratio guidelines. The Basel III final~~ rule incorporates several multi-year transition provisions for capital components and minimum ratio requirements for CET1 capital, tier 1 capital and total capital. The transition period started in January 2014 and will be completedissued by ~~January 1, 2019, which is concurrent with the full implementation of the Basel III final rule in the~~ U.S.

Among other things, the Basel III final rule introduced a minimum CET1 risk-based capital ratio of 4.5% and raises the minimum tier 1 risk-based capital ratio from 4% to 6%. In addition, for advanced approaches banking organizations such as State Street, the Basel III final rule imposes a minimum supplementary tier 1 leverage ratio of 3%, the numerator of which is tier 1 capital and the denominator of which includes both on-balance sheet assets and certain off-balance sheet exposures.regulators.

The Basel III final rule provides for two frameworks for monitoring capital adequacy: the “standardized approach" and the “advanced approaches", applicable to advanced approaches banking organizations, like us. The standardized approach prescribes standardized calculations for credit risk RWA, including specified risk weights for certain on and off-balance sheet exposures. The advanced approaches consist of the Advanced Internal Ratings-Based Approach used for the calculation of RWA related to credit risk, and the Advanced Measurement Approach used for the calculation of RWA related to operational risk.

As required by the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) enacted in 2010, we and State Street Bank, as advanced approaches banking organizations, are subject to a "capital floor," also ~~introduced~~referred to as the Collins Amendment, in the assessment of our regulatory capital adequacy, such that our risk-based capital ratios for regulatory assessment purposes are the lower of each ratio calculated under the advanced approaches and the standardized approach. Under the advanced approaches, State Street and State Street Bank are subject to a ~~capital conservation buffer and a~~2.5% CCB requirement, plus any applicable countercyclical capital buffer ~~that add~~requirement, which is currently set at 0%. Under the standardized approach, State Street Bank is subject to the ~~minimum risk-based~~same CCB and countercyclical capital ~~ratios. Specifically,~~buffer requirements, but for State Street, the ~~final~~2.5% CCB requirement is replaced by the SCB requirement according to the SCB rule ~~limits~~issued in 2020. In addition, State Street is subject to a G-SIB surcharge.

The SCB replaced, under the standardized approach, the CCB with a buffer calculated as the difference between the institution’s starting and lowest projected CET1 ratio under the CCAR severely adverse scenario plus planned common stock dividend payments (as a percentage of RWA) from the fourth through seventh quarter of the CCAR planning horizon. The SCB requirement can be no less than 2.5% of RWA. Breaching the SCB or other regulatory buffer or surcharge will limit a banking organization’s ability to make capital distributions and discretionary bonus payments to executive officers if it fails to maintain a common equity tier 1 capital conservation buffer of more than 2.5% of total risk-weighted assets and, if deployed during periods of excessive credit growth, a common equity tier 1 countercyclical capital buffer of up to 2.5% of total risk-weighted assets, above each of the minimum common equity tier 1, and tier 1 and total risk-based capital ratios.officers. The countercyclical capital buffer is currently set at zero by U.S. banking regulators.

On June 23, 2022, we were notified by the Federal Reserve of the results from the 2022 supervisory stress test. Our SCB calculated under this supervisory stress test was well below the 2.5% minimum, resulting in an SCB at that floor, which was effective starting October 1, 2022 and will run through September 30, 2023.

Our minimum risk-based capital ratios as of January 1, 2023, include a CCB of 2.5% and a SCB of 2.5% for the advanced approaches and standardized approach, respectively, a G-SIB surcharge of 1.0%, and a countercyclical buffer of 0.0%. This results in minimum risk-based ratios of 8.0% for the Common Equity Tier 1 (CET1) capital ratio, 9.5% for the tier 1 capital ratio, and 11.5% for the total capital ratio.

Our current G-SIB surcharge, through December 31, 2023, is 1.0%. Based on a calculation date of December 31, 2022, our G-SIB surcharge will be 1.0% through December 31, 2024.

To maintain the status of ~~our~~the Parent Company as a financial holding company, we and our insured depository institution subsidiaries are required, among other requirements, to be ~~“well-capitalized”~~"well capitalized" as defined by ~~maintaining~~Regulation Y and Regulation H.

The market risk capital ~~ratios above~~rule requires us to use internal models to calculate daily measures of VaR, which reflect general market risk for certain of our trading positions defined by the ~~minimum requirements. Effective on January 1, 2015,~~rule as “covered positions,” as well as stressed-VaR measures to supplement the ~~“well-capitalized” standard for~~VaR measures. The rule also requires a public disclosure composed of qualitative and quantitative information about the market risk associated with our ~~banking subsidiaries~~trading activities and our related VaR and stressed-VaR measures. The qualitative and quantitative information required by the rule is provided under "Market Risk Management" included in this Management's Discussion and Analysis.

On September 7, 2022, the Federal Reserve Vice Chair For Supervision stated that the Federal Reserve was ~~revised to reflect the higher~~undertaking a holistic review of U.S. capital requirements that will help the regulator consider adjustments, if any, to the current framework. In addition, on September 9, 2022, the U.S. Banking Agencies reaffirmed their commitment to implementing revised regulatory capital requirements that align with the final set of Basel III standards (Basel IV package) issued by the Basel Committee on Banking Supervision in December 2017. They intend to seek public comments on a joint proposed rule in the ~~Basel III final rule.~~coming months.

Under the Basel III final rule, certain new items are deducted from CET1 capital and certain regulatory capital deductions were modified as compared to the previously applicable capital regulations. Among other things, the final rule requires significant investments in the common stock of unconsolidated financial institutions, as defined, and certain deferred tax assets that exceed specified individual and aggregate thresholds to be deducted from common equity tier 1 capital. As an advanced approaches banking organization, after-tax unrealized

~~gains and losses on AFS investment securities flow through to and affect State Street’s and State Street Bank's CET1 capital, subject to a phase-in schedule.~~

We are required to use the advanced approaches framework as provided in the Basel III final rule to determine our risk-based capital requirements. The Dodd-Frank Act applies a "capital floor" to advanced approaches banking organizations, such asState Street and State Street Bank. We are subject to the more stringent of the risk-based capital ratios calculated under the standardized approach and those calculated under the advanced approaches in the assessment ofFor additional information about our capital, ~~adequacy~~refer to pages 110 to 117 included under ~~the PCA framework.~~Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, in our 2022 Form 10-K.

State Street Corporation | 4038

~~Table of Contents~~

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

The following table sets forth the transition to full implementation and the minimum risk-based capital ratio requirements under the Basel III final rule. This does not include the potential imposition of an additional countercyclical capital buffer.

TABLE 36: BASEL III FINAL RULES TRANSITION ARRANGEMENTS AND MINIMUM RISK-BASED CAPITAL RATIOS⁽¹⁾

2015 2016 2017 2018 2019
Capital conservation buffer (CET1) — % 0.625 % 1.250 % 1.875 % 2.500 %
G-SIB surcharge (CET1)⁽²⁾
—
0.375
0.750
1.125
1.500

Minimum common equity tier 1⁽³⁾
4.500
5.500
6.500
7.500
8.500
Minimum tier 1 capital⁽³⁾
6.000
7.000
8.000
9.000
10.000
Minimum total capital⁽³⁾
8.000
9.000
10.000
11.000
12.000

⁽¹⁾ ~~Minimum ratios shown above do not reflect the countercyclical buffer, currently set at zero by U.S. banking regulators.~~

⁽²⁾As part of the G-SIB Surcharge final rule, the Federal Reserve published estimated G-SIB surcharges for the eight U.S. G-SIBs based on relevant data from 2012-2014 and the estimated resulting G-SIB surcharge for State Street is 1.5%. Including the 1.5% surcharge, State Street's minimum risk-based capital ratio requirements, as of January 1, 2019 would be 8.5% for CET1, 10.0% for tier 1 capital and 12.0% for total capital.

⁽³⁾ Minimum CET1 capital, minimum tier 1 capital and minimum total capital presented include the transitional capital conservation buffer as well as the estimated transitional G-SIB surcharge being phased-in beginning January 1, 2016 through January 1, 2019 based on an estimated 1.5% surcharge in all periods.

The specific calculation of State Street's and State Street Bank's risk-based capital ratios will change as the provisions of the Basel III final rule related to the numerator (capital) and denominator (risk-weighted assets) are phased in, and as our risk-weighted assets calculated using the advanced approaches change due to potential changes in methodology. These ongoing methodological changes will result in differences in our reported capital ratios from one reporting period to the next that are independent of applicable changes to our capital base, our asset composition, our off-balance sheet exposures or our risk profile.

The following table presents the regulatory capital structure and related regulatory capital ratios for ~~State Street~~us and State Street Bank as of the dates indicated. We are subject to the more stringent of the risk-based capital ratios calculated under the standardized approach and those calculated under the advanced approaches in the assessment of our capital adequacy under applicable bank regulatory standards.

As a result of changes in the methodologies used to calculate our regulatory capital ratios from period to period, as the provisions of the Basel III final rule are phased in, the ratios presented in the table for each period are not directly comparable. Refer to the footnotes following the table.

~~State Street Corporation | 41~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

TABLE 37: REGULATORY CAPITAL STRUCTURE AND RELATED REGULATORY CAPITAL RATIOS
State Street State Street Bank
(In millions)
Basel III Advanced Approaches September 30, 2017⁽¹⁾

Basel III Standardized Approach September 30, 2017⁽²⁾

Basel III Advanced Approaches December 31, 2016⁽¹⁾

Basel III Standardized Approach December 31, 2016⁽²⁾

Basel III Advanced Approaches September 30, 2017⁽¹⁾

Basel III Standardized Approach September 30, 2017⁽²⁾

Basel III Advanced Approaches December 31, 2016⁽¹⁾

Basel III Standardized Approach December 31, 2016⁽²⁾
  Common shareholders' equity:
Common stock and related surplus $ 10,307
$ 10,307
$ 10,286
$ 10,286
$ 11,382
$ 11,382
$ 11,376
$ 11,376
Retained earnings 18,675
18,675
17,459
17,459
12,286
12,286
12,285
12,285
Accumulated other comprehensive income (loss) (985 ) (985 ) (1,936 ) (1,936 ) (808 ) (808 ) (1,648 ) (1,648 )
Treasury stock, at cost (8,697 ) (8,697 ) (7,682 ) (7,682 ) —
—
—
—
Total 19,300
19,300
18,127
18,127
22,860
22,860
22,013
22,013
Regulatory capital adjustments:
Goodwill and other intangible assets, net of associated deferred tax liabilities⁽³⁾
(6,739 ) (6,739 ) (6,348 ) (6,348 ) (6,447 ) (6,447 ) (6,060 ) (6,060 )
Other adjustments (122 ) (122 ) (155 ) (155 ) (90 ) (90 ) (148 ) (148 )
  Common equity tier 1 capital 12,439
12,439
11,624
11,624
16,323
16,323
15,805
15,805
Preferred stock 3,196
3,196
3,196
3,196
—
—
—
—
Trust preferred capital securities subject to phase-out from tier 1 capital —
—
—
—
—
—
—
—
Other adjustments (29 ) (29 ) (103 ) (103 ) —
—
—
—
  Tier 1 capital 15,606
15,606
14,717
14,717
16,323
16,323
15,805
15,805
Qualifying subordinated long-term debt 1,072
1,072
1,172
1,172
1,076
1,076
1,179
1,179
Trust preferred capital securities phased out of tier 1 capital —
—
—
—
—
—
—
—
ALLL and other 5
79
19
77
—
79
15
77
Other adjustments 1
1
1
1
—
—
—
—
  Total capital $ 16,684
$ 16,758
$ 15,909
$ 15,967
$ 17,399
$ 17,478
$ 16,999
$ 17,061
  Risk-weighted assets:
Credit risk $ 50,197
$ 106,377
$ 50,900
$ 98,125
$ 47,282
$ 103,024
$ 47,383
$ 94,413
Operational risk⁽⁴⁾
45,795
NA
44,579
NA
45,270
NA
44,043
NA
Market risk⁽⁵⁾
3,005
1,203
3,822
1,751
3,005
1,203
3,822
1,751
Total risk-weighted assets $ 98,997
$ 107,580
$ 99,301
$ 99,876
$ 95,557
$ 104,227
$ 95,248
$ 96,164
Adjusted quarterly average assets $ 211,396
$ 211,396
$ 226,310
$ 226,310
$ 208,308
$ 208,308
$ 222,584
$ 222,584

Capital Ratios⁽¹⁾:
2017 Minimum Requirements Including Capital Conservation Buffer and G-SIB Surcharge⁽⁶⁾
2016 Minimum Requirements Including Capital Conservation Buffer and G-SIB Surcharge⁽⁷⁾

Common equity tier 1 capital 6.5 % 5.5 % 12.6 % 11.6 % 11.7 % 11.6 % 17.1 % 15.7 % 16.6 % 16.4 %
Tier 1 capital 8.0
7.0
15.8
14.5
14.8
14.7
17.1
15.7
16.6
16.4
Total capital 10.0
9.0
16.9
15.6
16.0
16.0
18.2
16.8
17.8
17.7
Tier 1 leverage 4.0
4.0
7.4
7.4
6.5
6.5
7.8
7.8
7.1
7.1


TABLE 32: REGULATORY CAPITAL STRUCTURE AND RELATED REGULATORY CAPITAL RATIOS
					State Street Corporation												State Street Bank
(Dollars in millions)					Basel III Advanced Approaches March 31, 2023			Basel III Standardized Approach March 31, 2023			Basel III Advanced Approaches December 31, 2022			Basel III Standardized Approach December 31, 2022			Basel III Advanced Approaches March 31, 2023			Basel III Standardized Approach March 31, 2023			Basel III Advanced Approaches December 31, 2022			Basel III Standardized Approach December 31, 2022
Common shareholders' equity:
Common stock and related surplus					$	11,228		$	11,228		$	11,234		$	11,234		$	13,033		$	13,033		$	13,033		$	13,033
Retained earnings					27,342			27,342			27,028			27,028			16,340			16,340			16,975			16,975
Accumulated other comprehensive income (loss)					(3,272)			(3,272)			(3,711)			(3,711)			(3,000)			(3,000)			(3,428)			(3,428)
Treasury stock, at cost					(12,524)			(12,524)			(11,336)			(11,336)			—			—			—			—
Total					22,774			22,774			23,215			23,215			26,373			26,373			26,580			26,580
Regulatory capital adjustments:
Goodwill and other intangible assets, net of associated deferred tax liabilities					(8,527)			(8,527)			(8,545)			(8,545)			(8,268)			(8,268)			(8,288)			(8,288)
Other adjustments(1)					(218)			(218)			(123)			(123)			(108)			(108)			(19)			(19)
Common equity tier 1 capital					14,029			14,029			14,547			14,547			17,997			17,997			18,273			18,273
Preferred stock					1,976			1,976			1,976			1,976			—			—			—			—


Tier 1 capital					16,005			16,005			16,523			16,523			17,997			17,997			18,273			18,273
Qualifying subordinated long-term debt					1,369			1,369			1,376			1,376			541			541			542			542

Adjusted allowance for credit losses					—			161			—			120			—			161			—			120

Total capital					$	17,374		$	17,535		$	17,899		$	18,019		$	18,538		$	18,699		$	18,815		$	18,935
Risk-weighted assets:





Credit risk(2)					$	64,034		$	113,869		$	61,108		$	105,739		$	57,476		$	112,093		$	54,675		$	104,184
Operational risk(3)					42,549			NA			42,763			NA			42,192			NA			42,325			NA




Market risk					1,713			1,713			1,488			1,488			1,713			1,713			1,488			1,488
Total risk-weighted assets					$	108,296		$	115,582		$	105,359		$	107,227		$	101,381		$	113,806		$	98,488		$	105,672



Capital Ratios:	2023 Minimum Requirements Including Capital Conservation Buffer and G-SIB Surcharge(4)		2022 Minimum Requirements Including Capital Conservation Buffer and G-SIB Surcharge(4)
Common equity tier 1 capital	8.0	%	8.0	%	13.0		%	12.1		%	13.8		%	13.6		%	17.8		%	15.8		%	18.6		%	17.3		%
Tier 1 capital	9.5		9.5		14.8			13.8			15.7			15.4			17.8			15.8			18.6			17.3
Total capital	11.5		11.5		16.0			15.2			17.0			16.8			18.3			16.4			19.1			17.9

⁽¹⁾ Other adjustments within CET1 capital ~~tier 1 capital~~primarily include AOCI hedges that are not recognized at fair value on the balance sheet, the overfunded portion of our defined benefit pension plan obligation net of associated deferred tax liabilities, disallowed deferred tax assets, and ~~total capital ratios as of September 30, 2017 and December 31, 2016 were calculated in conformity with~~other required credit risk-based deductions.

(2) Under the advanced approaches, ~~provisions~~credit risk RWA includes a CVA which reflects the risk of ~~the Basel III final rule. Tier 1 leverage ratio as~~potential fair value adjustments for credit risk reflected in our valuation of ~~September 30, 2017 and December 31, 2016 were calculated~~OTC derivative contracts. We used a simple CVA approach in conformity with the Basel III ~~final rule.~~advanced approaches.

⁽²⁾CET1 capital, tier 1 capital and total capital ratios as of September 30, 2017 and December 31, 2016 were calculated in conformity with the standardized approach provisions of the Basel III final rule. Tier 1 leverage ratio as of September 30, 2017 and December 31, 2016 were calculated in conformity with the Basel III final rule.

⁽³⁾Amounts for State Street and State Street Bank as of September 30, 2017 consisted of goodwill, net of associated deferred tax liabilities, and 80% of other intangible assets, net of associated deferred tax liabilities. Amounts for State Street and State Street Bank as of December 31, 2016 consisted of goodwill, net of deferred tax liabilities and 60% of other intangible assets, net of associated deferred tax liabilities. Intangible assets, net of associated deferred tax liabilities is phased in as a deduction from capital, in conformity with the Basel III final rule.

⁽⁴⁾Under the current advanced approaches rules and regulatory guidance concerning operational risk models, RWA attributable to operational risk can vary substantially from period-to-period, without direct correlation to the effects of a particular loss event on our results of operations and financial condition and impacting dates and periods that may differ from the dates and periods as of and during which the loss event is reflected in our financial statements, with the timing and categorization dependent on the processes for model updates and, if applicable, model revalidation and regulatory review and related supervisory processes. An individual loss event can have a significant effect on the output of our operational ~~risk~~ RWA under the advanced approaches depending on the severity of the loss event and its categorization among the seven Basel-defined UOMs.

⁽⁵⁾~~Market risk risk-weighted assets reported in conformity with the Basel III advanced approaches included~~(4) Minimum requirements include a ~~CVA which reflected the risk~~CCB of ~~potential fair value adjustments~~2.5% and a SCB of 2.5% for ~~credit risk reflected in our valuation of over-the-counter derivative contracts. The CVA was not provided for in the final market risk capital rule; however, it was required by~~ the advanced approaches ~~provisions~~and the standardized approach, respectively, a G-SIB surcharge of 1.0% and a countercyclical buffer of 0%. On June 23, 2022, we were notified by the Federal Reserve of the ~~Basel III final rule. We used a simple CVA approach~~results from the 2022 supervisory stress test. Our SCB calculated under the 2022 supervisory stress test was well below the 2.5% minimum, resulting in ~~conformity with the Basel III advanced approaches.~~

⁽⁶⁾~~Minimum requirements will be phased~~an SCB at that floor, which is in ~~up to full implementation beginning on January~~effect from October 1, ~~2019; minimum requirements listed are as of~~2022 through September 30, ~~2017. See Table 36: Basel III Final Rules Transition Arrangements and Minimum Risk Based Capital Ratios.~~2023.

⁽⁷⁾Minimum requirements will be phased in up to full implementation beginning on January 1, 2019; minimum requirements listed are as of December 31, 2016. See Table 36: Basel III Final Rules Transition Arrangements and Minimum Risk Based Capital Ratios.

^NA Not applicable

State Street Corporation | 4239

~~Table of Contents~~

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

AsOur CET1 capital decreased $0.52 billion as of ~~January~~March 31, 2023, compared to December 31, 2022, primarily due to common stock dividends and share repurchases in the first quarter of 2023, partially offset by net income and a decrease in unrealized losses on AFS securities within AOCI. Our Tier 1 ~~2015, we used the standardized provisions~~capital decreased $0.52 billion as of ~~the Basel III final rule in addition~~March 31, 2023, compared to December 31, 2022, under both the advanced approaches ~~provisions which were previously implemented~~and standardized approach, primarily due to the decrease in CET1 capital.

Our Tier 2 capital remained flat as of March 31, 2023, compared to December 31, 2022, under both the ~~second quarter~~advanced approaches and standardized approach.

Our total capital decreased by $0.53 billion and $0.48 billion as of ~~2014, and the lower of our regulatory capital ratios calculated~~March 31, 2023, compared to December 31, 2022, under the advanced approaches and ~~those ratios calculated under the~~ standardized approach, are applied in the assessment of our capital adequacy for regulatory capital purposes. Beginning in the second quarter of 2014, until January 1, 2015, we used the advanced approaches provisions in the Basel III final rule, and transitional provisions of the Basel III final rule, and the lower of our regulatory capital ratios calculated under the advanced approaches and those ratios calculated under the transitional provisions were applied in the assessment of our capital adequacy for regulatory capital purposes.

~~Our CET1 capital increased $815 million as of September 30, 2017 compared to December 31, 2016~~respectively, primarily due to ~~net income of $1.81 billion and an increase in accumulated other comprehensive income of $951 million. The increases~~the decrease in CET1 capital were partially offset by capital distributions of $1.69 billion from common stock purchases and dividends, and the impact from the 2017 phase-in of the deduction of intangibles (80% in 2017 compared to 60% in 2016). In the same comparative period, our tier 1 capital increased $889 million, due to the increase in CET1 capital. Total capital increased $775 million under advanced approaches and increased $791 million under standardized approach due to the changes to tier 1 capital. State Street Bank's tier 1 capital increased $518 million, and total capital increased $400 million and $417 million under the advanced and standardized approaches, respectively, as of September 30, 2017, compared to December 31, 2016. The increase is a result of higher CET1.

The table below presents a roll-forward of ~~CTE1~~CET1 capital, ~~tier~~Tier 1 capital and total capital for the ~~quarter~~three months ended ~~September 30, 2017~~March 31, 2023 and for the year ended December 31, ~~2016.~~2022.

TABLE 38: CAPITAL ROLL-FORWARD
State Street
(In millions) Basel III Advanced Approaches September 30, 2017 Basel III Standardized Approach September 30, 2017 Basel III Advanced Approaches December 31, 2016 Basel III Standardized Approach December 31, 2016
Common equity tier 1 capital:
Common equity tier 1 capital balance, beginning of period $ 11,624
$ 11,624
$ 12,433
$ 12,433
Net income 1,807
1,807
2,143
2,143
Changes in treasury stock, at cost (1,015 ) (1,015 ) (1,225 ) (1,225 )
Dividends declared (588 ) (588 ) (732 ) (732 )
Goodwill and other intangible assets, net of associated deferred tax liabilities (391 ) (391 ) (421 ) (421 )
Effect of certain items in accumulated other comprehensive income (loss) 951
951
(514 ) (514 )
Other adjustments 51
51
(60 ) (60 )
Changes in common equity tier 1 capital 815
815
(809 ) (809 )
Common equity tier 1 capital balance, end of period 12,439
12,439
11,624
11,624
Additional tier 1 capital:
Tier 1 capital balance, beginning of period 14,717
14,717
15,264
15,264
Change in common equity tier 1 capital 815
815
(809 ) (809 )
Net issuance of preferred stock —
—
493
493
Trust preferred capital securities phased out of tier 1 capital —
—
(237 ) (237 )
Other adjustments 74
74
6
6
Changes in tier 1 capital 889
889
(547 ) (547 )
Tier 1 capital balance, end of period 15,606
15,606
14,717
14,717
Tier 2 capital:
Tier 2 capital balance, beginning of period 1,192
1,250
2,085
2,139
Net issuance and changes in long-term debt qualifying as
tier 2
(100 ) (100 ) (186 ) (186 )
Trust preferred capital securities phased into tier 2 capital —
—
(713 ) (713 )
Changes in ALLL and other (14 ) 2
7
11
Change in other adjustments —
—
(1 ) (1 )
Changes in tier 2 capital (114 ) (98 ) (893 ) (889 )
Tier 2 capital balance, end of period 1,078
1,152
1,192
1,250
Total capital:
Total capital balance, beginning of period 15,909
15,967
17,349
17,403
Changes in tier 1 capital 889
889
(547 ) (547 )
Changes in tier 2 capital (114 ) (98 ) (893 ) (889 )
Total capital balance, end of period $ 16,684
$ 16,758
$ 15,909
$ 15,967


TABLE 33: CAPITAL ROLL-FORWARD
(In millions)	Basel III Advanced Approaches March 31, 2023		Basel III Standardized Approach March 31, 2023		Basel III Advanced Approaches December 31, 2022		Basel III Standardized Approach December 31, 2022
Common equity tier 1 capital:
Common equity tier 1 capital balance, beginning of period	$	14,547	$	14,547	$	15,947	$	15,947
Net income	549		549		2,774		2,774
Changes in treasury stock, at cost	(1,188)		(1,188)		(1,327)		(1,327)
Dividends declared	(235)		(235)		(984)		(984)
Goodwill and other intangible assets, net of associated deferred tax liabilities	18		18		390		390
Accumulated other comprehensive income (loss)(1)	439		439		(2,578)		(2,578)
Other adjustments(1)	(101)		(101)		325		325
Changes in common equity tier 1 capital	(518)		(518)		(1,400)		(1,400)
Common equity tier 1 capital balance, end of period	14,029		14,029		14,547		14,547
Additional tier 1 capital:
Tier 1 capital balance, beginning of period	16,523		16,523		17,923		17,923
Changes in common equity tier 1 capital	(518)		(518)		(1,400)		(1,400)
Net issuance (redemption) of preferred stock	—		—		—		—


Changes in tier 1 capital	(518)		(518)		(1,400)		(1,400)
Tier 1 capital balance, end of period	16,005		16,005		16,523		16,523
Tier 2 capital:
Tier 2 capital balance, beginning of period	1,376		1,496		1,588		1,696
Net issuance and changes in long-term debt qualifying as tier 2	(7)		(7)		(212)		(212)

Changes in adjusted allowance for credit losses	—		41		—		12

Changes in tier 2 capital	(7)		34		(212)		(200)
Tier 2 capital balance, end of period	1,369		1,530		1,376		1,496
Total capital:
Total capital balance, beginning of period	17,899		18,019		19,511		19,619
Changes in tier 1 capital	(518)		(518)		(1,400)		(1,400)
Changes in tier 2 capital	(7)		34		(212)		(200)
Total capital balance, end of period	$	17,374	$	17,535	$	17,899	$	18,019

(1) Accumulated other comprehensive income (loss) includes losses on cash flow hedges where the hedged exposures are not recognized at fair value on the balance sheet, which, under the Capital Rule, must be excluded from CET1 capital. This adjustment is captured in the Other Adjustments line.

State Street Corporation | 4340

~~Table of Contents~~

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

The following table presents a roll-forward of the Basel III advanced and standardized approaches ~~risk-weighted assets~~RWA for the ~~quarter~~three months ended ~~September 30, 2017~~March 31, 2023 and for the year ended December 31, ~~2016.~~2022.

TABLE 39: ADVANCED APPROACHES RWA ROLL-FORWARD
State Street
(In millions) September 30, 2017 December 31, 2016
Total risk-weighted assets, beginning of period $ 99,301
$ 99,552
Changes in credit risk-weighted assets:
Net increase (decrease) in investment securities-wholesale 1,477
(1,027 )
Net increase (decrease) in loans and leases 1,432
575
Net increase (decrease) in securitization exposures (250 ) (3,246 )
Net increase (decrease) in repo-style transaction exposures 298
606
Net increase (decrease) in OTC derivatives exposures (2,194 ) 1,812
Net increase (decrease) in all
other⁽¹⁾
(1,466 ) 447
Net increase (decrease) in credit risk-weighted assets (703 ) (833 )
Net increase (decrease) in credit valuation adjustment (269 ) 512
Net increase (decrease) in market risk-weighted assets (548 ) (627 )
Net increase (decrease) in operational risk-weighted assets 1,216
697
Total risk-weighted assets, end of period $ 98,997
$ 99,301


TABLE 34: ADVANCED & STANDARDIZED APPROACHES RISK-WEIGHTED ASSETS ROLL-FORWARD

(In millions)	Basel III Advanced Approaches March 31, 2023		Basel III Standardized Approach March 31, 2023		Basel III Advanced Approaches December 31, 2022		Basel III Standardized Approach December 31, 2022
Total risk-weighted assets, beginning of period	$	105,359	$	107,227	$	111,398	$	111,667
Changes in credit risk-weighted assets:
Net increase (decrease) in investment securities-wholesale	(1,041)		(149)		(4,850)		(3,591)
Net increase (decrease) in loans	(120)		2,294		(3,054)		(5,387)
Net increase (decrease) in securitization exposures	(10)		(9)		(5)		(5)
Net increase (decrease) in repo-style transaction exposures	1,672		5,172		(1,420)		(5,157)
Net increase (decrease) in over-the-counter derivatives exposures(1)	(80)		(170)		2,161		6,295
Net increase (decrease) in all other(2)	2,505		992		4,541		4,030
Net increase (decrease) in credit risk-weighted assets	2,926		8,130		(2,627)		(3,815)
Net increase (decrease) in market risk-weighted assets	225		225		(625)		(625)
Net increase (decrease) in operational risk-weighted assets	(214)		N/A		(2,787)		N/A
Total risk-weighted assets, end of period	$	108,296	$	115,582	$	105,359	$	107,227

⁽¹⁾Under the advanced approaches, includes CVA RWA.

(2) Includes assets not in a definable category, ~~cleared transactions,~~ non-material portfolio, ~~other wholesale, cash and due from, and interest-bearing deposits with banks, equity exposures, and 6% credit risk supervisory charge.~~

As of September 30, 2017, total advanced approaches risk-weighted assets decreased $304 million compared to December 31, 2016, mainly due to a decrease in credit risk and market risk, partially offset by an increase in operational risk. The decrease in credit risk was mainly due to lower volatility in our FX derivative portfolio leading to a lower positive marked-to-market, offset by an increase in leveraged loans stemming from a new LGD model being introduced. Market risk reduction of $548 million resulted from a lower stressed VaR. The decrease in credit valuation adjustment was also driven by the lower marked-to-market in our FX derivative portfolios. Operational risk increased approximately $1.22 billion due to a recalibration of the Operational Risk Advanced Measurement Approach Capital model.

As of December 31, 2016, total advanced approaches risk-weighted assets decreased $251 million compared to December 31, 2015, mainly due to a decrease in credit risk and market risk, partially offset by an increase in operational risk and credit valuation adjustment. The decrease in credit risk was mainly due to a decrease in securitization exposures

as a result of sell-offs and maturities as well as calls of agency debt securities within our wholesale investment portfolio, partially offset by an increase in derivatives exposure from marked-to-market FX contracts stemming from a stronger dollar and an increase in securities finance agency lending. The market risk decrease was a result of reduced end of day positions in FX and interest rate risk. Operational risk increased approximately $700 million mainly due to an increase in loss event frequency. The increase in credit valuation adjustment was driven by an increase in the market valuation FX contracts.

~~The following table presents a roll-forward of the Basel III standardized approach risk-weighted assets for the quarter ended September 30, 2017 and year ended December 31, 2016.~~

TABLE 40: STANDARDIZED APPROACH RWA ROLL-FORWARD
State Street
(In millions) September 30,
2017 December 31, 2016
Total estimated risk-weighted assets, beginning of period⁽¹⁾
$ 99,876
$ 95,893
Changes in credit risk-weighted assets:
Net increase (decrease) in investment securities-wholesale 2,068
(1,471 )
Net increase (decrease) in loans and leases 3,523
998
Net increase (decrease) in securitization exposures (216 ) (3,144 )
Net increase (decrease) in repo-style transaction exposures 3,128
4,994
Net increase (decrease) in OTC derivatives exposures (1,268 ) 3,462
Net increase (decrease) in all other⁽²⁾
1,017
(229 )
Net increase (decrease) in credit risk-weighted assets 8,252
4,610
Net increase (decrease) in market risk-weighted assets (548 ) (627 )
Total risk-weighted assets, end of period $ 107,580
$ 99,876

⁽¹⁾ ~~Standardized approach risk-weighted assets as of the periods noted above were calculated using State Street’s estimates, based on our then current interpretation of the Basel III final rule.~~

⁽²⁾ ~~Includes assets not in a definable category,~~ cleared transactions, other wholesale, cash and due from ~~and~~banks, interest-bearing deposits with banks, and equity exposures.

NA Not applicable

As of ~~September 30, 2017,~~March 31, 2023, total ~~standardized approach risk-weighted assets~~advanced approaches RWA increased ~~$7.70~~$2.94 billion compared to December 31, ~~2016, primarily the result of~~2022, mainly due to an increase in credit risk RWA. The increase in credit risk RWA primarily reflects higher repo-style transactions, driven by increased volume and higher equity markets, and higher all other RWA, related to higher cash and deposits, which was partially offset by a decrease in ~~market risk resulting from a lower stressed VaR. The main drivers~~investment securities RWA, related to agency securities.

As of ~~the credit risk change are an increase in equities within the securities finance portfolio, an increase in the investment portfolio due~~March 31, 2023, total standardized approach RWA increased $8.36 billion compared to ~~purchases exceeding sales and an increase in overdrafts~~December 31, 2022, mainly due to an increase in ~~U.S. short-duration advances to clients, offset by a decrease in FX contracts due to a shift to counterparties with a lower weighted-average risk-weight.~~

~~State Street Corporation | 44~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

~~As of December 31, 2016, total standardized approach risk-weighted assets increased $3.98 billion compared to December 31, 2015, primarily the result of an~~credit risk RWA. The increase in ~~securities finance agency lending, an increase in market values of FX contracts, partially offset~~credit risk RWA primarily reflects higher repo-style transactions, driven by ~~a decrease in securitization exposures, wholesale investments~~increased volume and ~~market risk. The decrease in securitization was due~~higher equity markets, and higher loans RWA, related to ~~sell-offs and maturities while the decrease in wholesale investments was due to calls of agency debt securities. Market risk reduction resulted from a lower stressed VaR.~~new capital call commitments.

The regulatory capital ratios as of ~~September 30, 2017,~~March 31, 2023, presented in Table ~~37:~~32: Regulatory Capital Structure and Related Regulatory Capital Ratios, are calculated under the advanced approaches and standardized approach ~~and advanced approaches~~ in conformity with the Basel III final rule. The advanced approaches-based ratios ~~(actual and estimated pro forma)~~ reflect calculations and determinations with respect to our capital and related matters as of ~~September 30, 2017,~~March 31, 2023, based on ~~State Street~~our and external data, quantitative formulae, statistical models, historical correlations and assumptions, collectively referred to as “advanced systems,” in effect and used by ~~State Street~~us for those purposes as of the time we first reported such ratios in a quarterly report on Form ~~10-Q.~~10-Q or an annual report on Form 10-K. Significant components of these advanced systems involve the exercise of judgment by us and our regulators, and our advanced systems may not, individually or collectively, precisely represent or calculate the scenarios, circumstances, outputs or other results for which they are designed or intended.

Our advanced systems are subject to update and periodic revalidation in response to changes in our business activities and our historical experiences, forces and events experienced by the market broadly or by individual financial institutions, changes in regulations and regulatory interpretations and other factors, and are also subject to continuing regulatory review and approval. For example, a significant operational loss experienced by another financial institution, even if we do not experience a related loss, could result in a material change in the output of our advanced systems and a corresponding material change in our risk exposures, our total ~~risk-weighted assets~~RWA and our capital ratios compared to prior periods. An operational loss that we experience could also result in a material change in our capital requirements for operational risk under the advanced approaches, depending on the severity of the loss event, its characterization among the seven Basel-defined ~~UOMs,~~UOM, and the stability of the distributional approach for a particular UOM, and without direct correlation to the effects of the loss event, or the timing of such effects, on our results of operations.

Due to the influence of changes in these advanced systems, whether resulting from changes in data inputs, regulation or regulatory supervision or interpretation, ~~State Street-specific~~specific to us or market activities or experiences or other updates or factors, we expect that our advanced systems and our capital ratios calculated in conformity with the Basel III final rule will change and may be volatile over time, and that those latter changes or volatility could be material as calculated and measured from period to period. ~~Models implemented under the Basel III final rule, particularly those implementing the advanced approaches, remain subject to regulatory review and approval.~~ The full effects of the Basel III final rule on ~~State Street~~us and State Street Bank are therefore subject to further evaluation and also to further regulatory guidance, action or rule-making.

State Street Corporation | 4541

~~Table of Contents~~

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

~~Estimated Basel III Fully Phased-in Capital~~

Tier 1 and Supplementary Leverage Ratios

~~Table 41: Regulatory Capital Structure~~We are subject to a minimum Tier 1 leverage ratio and ~~Related Regulatory Capital Ratios - State Street,~~SLR. The Tier 1 leverage ratio is based on Tier 1 capital and Table 42: Regulatory Capital Structure and Related Regulatory Capital Ratios - State Street Bank, present our capital ratios for State Street and State Street Bank as of September 30, 2017, calculatedadjusted quarterly average on-balance sheet assets. The Tier 1 leverage ratio differs from the SLR primarily in ~~conformity with~~that the ~~advanced approaches provisions and standardized approach~~denominator of the ~~Basel III final rule~~Tier 1 leverage ratio is a quarterly average of on-balance sheet assets, while the SLR additionally includes off-balance sheet exposures. We must maintain a minimum Tier 1 leverage ratio of 4%.

We are also subject to a minimum SLR of 3%, and as a U.S. G-SIB, we must maintain a 2% SLR buffer in order to avoid any limitations on ~~a pro forma basis under~~distributions to shareholders and discretionary bonus payments to certain executives. If we do not maintain this buffer, limitations on these distributions and discretionary bonus payments would be increasingly stringent based upon the ~~fully phased-in provisions~~extent of the ~~Basel III final rule.~~shortfall.

TABLE 41: REGULATORY CAPITAL STRUCTURE AND RELATED REGULATORY CAPITAL RATIOS - STATE STREET
September 30, 2017
(In millions) Basel III Advanced Approaches Phase-In Provisions Basel III Advanced Approaches Fully Phased-In Pro-Forma Estimate Basel III Standardized Approach Phase-In Provisions Basel III Standardized Approach Fully Phased-In Pro-Forma Estimate
Total common shareholders' equity $ 19,300
$ 3
$ 19,303
$ 19,300
$ 3
$ 19,303
Regulatory capital adjustments:
Goodwill and other intangible assets, net of associated deferred tax liabilities (6,739 ) (270 ) (7,009 ) (6,739 ) (270 ) (7,009 )
Other adjustments (122 ) (30 ) (152 ) (122 ) (30 ) (152 )
Common equity tier 1 capital 12,439
(297 ) 12,142
12,439
(297 ) 12,142
Additional tier 1 capital:
Preferred stock 3,196
—
3,196
3,196
—
3,196
Trust preferred capital securities —
—
—
—
—
—
Other adjustments (29 ) 29
—
(29 ) 29
—
Additional tier 1 capital 3,167
29
3,196
3,167
29
3,196
Tier 1 capital 15,606
(268 ) 15,338
15,606
(268 ) 15,338
Tier 2 capital:
Qualifying subordinated long-term debt 1,072
1
1,073
1,072
1
1,073
Trust preferred capital securities —
—
—
—
—
—
ALLL and other 5
1
6
79
—
79
Other 1
(1 ) —
1
(1 ) —
Tier 2 capital 1,078
1
1,079
1,152
—
1,152
Total capital $ 16,684
$ (267 ) $ 16,417
$ 16,758
$ (268 ) $ 16,490
Risk weighted assets $ 98,997
$ (57 ) $ 98,940
$ 107,580
$ (54 ) $ 107,526
Adjusted average assets 211,396
(184 ) 211,212
211,396
(184 ) 211,212
Total assets for SLR 240,636
(270 ) 240,366
240,636
(270 ) 240,366

Capital ratios⁽¹⁾:
Minimum Requirement Minimum Requirement Including Capital Conservation Buffer and G-SIB Surcharge 2017 Minimum Requirement Including Capital Conservation Buffer and G-SIB Surcharge 2019
Common equity tier 1 capital⁽²⁾
4.5 % 6.5 % 8.5 % 12.6 % 12.3 % 11.6 %
11.3 %
Tier 1 capital 6.0
8.0
10.0
15.8
15.5
14.5

14.3
Total capital 8.0
10.0
12.0
16.9
16.6
15.6

15.3
Tier 1 leverage 4.0
NA
NA
7.4
7.3
7.4

7.3
Supplementary leverage 5.0
NA
NA
6.5
6.4
6.5

6.4


TABLE 35: TIER 1 AND SUPPLEMENTARY LEVERAGE RATIOS
(Dollars in millions)	March 31, 2023			December 31, 2022
State Street:
Tier 1 capital	$	16,005		$	16,523
Average assets	277,492			284,346
Less: adjustments for deductions from tier 1 capital and other	(8,745)			(8,668)
Adjusted average assets for tier 1 leverage ratio	268,747			275,678
Additional SLR exposure	40,522			40,126
Adjustments for deductions of qualifying central bank deposits	(73,965)			(78,455)
Total assets for SLR	$	235,304		$	237,349
Tier 1 leverage ratio(1)	6.0		%	6.0		%
Supplementary leverage ratio	6.8			7.0

State Street Bank(2):
Tier 1 capital	$	17,997		$	18,273
Average assets	274,568			281,527
Less: adjustments for deductions from tier 1 capital and other	(8,376)			(8,307)
Adjusted average assets for tier 1 leverage ratio	266,192			273,220
Additional SLR exposure	42,119			42,043
Adjustments for deductions of qualifying central bank deposits	(73,965)			(78,455)
Total assets for SLR	$	234,346		$	236,808
Tier 1 leverage ratio(1)	6.8		%	6.7		%
Supplementary leverage ratio	7.7			7.7

⁽¹⁾ ~~CET1 ratio is calculated by dividing common equity tier~~Tier 1 capital (numerator) by risk-weighted assets (denominator); tier 1 capital ratio is calculated by dividing tier 1 capital (numerator) by risk-weighted assets (denominator); total capital ratio is calculated by dividing total capital (numerator) by risk-weighted assets (denominator); tier 1 leverage ratio is calculated by dividing tier 1 capital (numerator) by adjusted average assets (denominator); and supplementary leverage ratio, or SLR, is calculated by dividing tier 1 capital (numerator) by total assets for SLR (denominator).

⁽²⁾~~CET1~~ ratios were calculated in conformity with the ~~provisions of the~~ Basel III final ~~rule; refer to Table 37: Regulatory Capital Structure and Related Regulatory Capital Ratios.~~rule.

^NA~~Not applicable~~

~~State Street Corporation | 46~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

TABLE 42: REGULATORY CAPITAL STRUCTURE AND RELATED REGULATORY CAPITAL RATIOS - STATE STREET BANK
September 30, 2017
(In millions) Basel III Advanced Approaches Phase-In Provisions Basel III Advanced Approaches Fully Phased-In Pro-Forma Estimate Basel III Standardized Approach Phase-In Provisions Basel III Standardized Approach Fully Phased-In Pro-Forma Estimate
Total common shareholders' equity $ 22,860
$ 5
$ 22,865
$ 22,860
$ 5
$ 22,865
Regulatory capital adjustments:
Goodwill and other intangible assets, net of associated deferred tax liabilities (6,447 ) (260 ) (6,707 ) (6,447 ) (260 ) (6,707 )
Other adjustments (90 ) (1 ) (91 ) (90 ) (1 ) (91 )
Common equity tier 1 capital 16,323
(256 ) 16,067
16,323
(256 ) 16,067
Additional tier 1 capital:
Preferred stock —
—
—
—
—
—
Other adjustments —
—
—
—
—
—
Additional tier 1 capital —
—
—
—
—
—
Tier 1 capital 16,323
(256 ) 16,067
16,323
(256 ) 16,067
Tier 2 capital:
Qualifying subordinated long-term debt 1,076
—
1,076
1,076
—
1,076
ALLL and other —
—
—
79
—
79
Tier 2 capital 1,076
—
1,076
1,155
—
1,155
Total capital $ 17,399
$ (256 ) $ 17,143
$ 17,478
$ (256 ) $ 17,222
Risk weighted assets $ 95,557
$ (100 ) $ 95,457
$ 104,227
$ (95 ) $ 104,132
Adjusted average assets 208,308
(176 ) 208,132
208,308
(176 ) 208,132
Total assets for SLR 237,579
(260 ) 237,319
237,579
(260 ) 237,319

Capital ratios⁽¹⁾:
Minimum Requirement Minimum Requirement Including Capital Conservation Buffer and G-SIB Surcharge 2017 Minimum Requirement Including Capital Conservation Buffer and G-SIB Surcharge 2019
Common equity tier 1 capital⁽²⁾
4.5 % 6.5 % 8.5 % 17.1 %
16.8 % 15.7 %
15.4 %
Tier 1 capital 6.0
8.0
10.0
17.1

16.8
15.7

15.4
Total capital 8.0
10.0
12.0
18.2

18.0
16.8

16.5
Tier 1 leverage 4.0
NA
NA
7.8

7.7
7.8

7.7
Supplementary leverage 6.0
NA
NA
6.9

6.8
6.9

6.8

⁽¹⁾CET1 capital ratio is calculated by dividing common equity tier 1 capital (numerator) by risk-weighted assets (denominator); tier 1 capital ratio is calculated by dividing tier 1 capital (numerator) by risk-weighted assets (denominator); total capital ratio is calculated by dividing total capital (numerator) by risk-weighted assets (denominator); tier 1 leverage ratio is calculated by dividing tier 1 capital (numerator) by adjusted average assets (denominator); and supplementary leverage ratio is calculated by dividing tier 1 capital (numerator) by total assets for(2) The SLR ~~(denominator).~~

⁽²⁾~~CET1 ratios were calculated in conformity with the provisions of the Basel III final rule; refer to Table 37: Regulatory Capital Structure and Related Regulatory Capital Ratios.~~

^NA ~~Not applicable~~

Fully phased-in pro-forma estimates of common shareholders' equity include 100% of AOCI, including AOCI attributable to AFS securities, cash flow hedges and defined benefit pension plans. Fully phased-in pro-forma estimates of CET1 capital reflect 100% of applicable deductions, including but not limited to, intangible assets net of deferred tax liabilities. Fully phased-in tier 1 capital reflects the transition of trust preferred capital securities from tier 1 capital to tier 2 capital. For both Basel III advanced and standardized approaches, fully phased-in pro-forma estimates of risk-weighted assets reflect the exclusion of intangible assets, offset by additions related to non-significant equity exposures and deferred tax assets related to temporary differences.

The Volcker rule, including the required capital deduction for investments in a covered fund, became effective on July 21, 2015, for investments in and relationships with a covered fund made after December 31, 2013. For legacy covered funds, the Volcker rule capital deduction became effective on July 21, 2017. For additional information on the Volcker rule, refer to pages 9 to 10 included under Item 1, Business, in our 2016 Form 10-K.

~~State Street Corporation | 47~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

~~Supplementary Leverage Ratio~~

In 2014, U.S. banking regulators issued final rules implementing an SLR, for certain bank holding companies, like State Street, and their insured depository institution subsidiaries, like State Street Bank, which we refer to as the SLR final rule. Upon implementation, the SLR final rule requires that, as of January 1, 2018, (i) State Street Bank ~~maintain~~maintains an SLR of at least 6%6.0% to be well capitalized under the U.S. banking regulators’ ~~PCA framework~~Prompt Corrective Action Framework and (ii) ~~State Street~~we maintain an SLR of at least 5%5.0% to avoid

limitations on capital distributions and discretionary bonus payments. In addition to the SLR, State Street Bank is subject to a ~~minimum tier~~well capitalized Tier 1 leverage ratio requirement of ~~4%, which differs from~~5.0%.

Total Loss-Absorbing Capacity (TLAC)

The Federal Reserve's final rule on TLAC, LTD and clean holding company requirements for U.S. domiciled G-SIBs, such as us, is intended to improve the ~~SLR primarily in that the denominator~~resiliency and resolvability of ~~the~~certain U.S. banking organizations through enhanced prudential standards, and requires us, among other things, to comply with minimum requirements for external TLAC (combined eligible tier 1 ~~leverage ratio is only a quarterly average~~regulatory capital and LTD) and LTD. Specifically, we must hold:


			Amount equal to:
External TLAC			Greater of: •21.5% of total RWA (18.0% minimum plus 2.5% plus a G-SIB surcharge calculated for these purposes under Method 1 of 1.0% plus any applicable countercyclical buffer, which is currently 0%); and •9.5% of total leverage exposure (7.5% minimum plus the SLR buffer of 2.0%), as defined by the SLR final rule.
Qualifying external LTD			Greater of: •7.0% of RWA (6.0% minimum plus a G-SIB surcharge calculated for these purposes under method 2 of 1.0%); and •4.5% of total leverage exposure, as defined by the SLR final rule.

The following table presents external TLAC and external LTD as of ~~on-balance sheet assets and does not include any off-balance sheet exposures. Beginning with reporting for~~ March 31, ~~2015, State Street was required to include SLR disclosures, calculated on a transitional basis, with its other Basel disclosures.~~2023:


TABLE 36: EXTERNAL TOTAL LOSS-ABSORBING CAPACITY
	As of March 31, 2023
(Dollars in millions)	Actual				Requirement
Total loss-absorbing capacity:
Risk-weighted assets	$	30,408	26.3	%	$	24,850	21.5	%
Total leverage exposure	30,408		12.9		22,354		9.5
Long-term debt:
Risk-weighted assets	13,653		11.8		8,091		7.0
Total leverage exposure	13,653		5.8		10,589		4.5

State Street Corporation | 42

TABLE 43: SUPPLEMENTARY LEVERAGE RATIO
September 30, 2017 Transitional SLR Phase-In Provisions Fully Phased-in Pro-Forma SLR Estimate
(Dollars in millions)
State Street:
Tier 1 capital $ 15,606
$ (268 ) $ 15,338

On-and off-balance sheet leverage exposure 247,527
—
247,527
Less: regulatory deductions (6,891 ) (270 ) (7,161 )
Total assets for SLR $ 240,636
$ (270 ) $ 240,366
Supplementary leverage ratio 6.5 % (0.1 )% 6.4 %

State Street Bank:
Tier 1 capital $ 16,323
$ (256 ) $ 16,067

On-and off-balance sheet leverage exposure 244,114
—
244,114
Less: regulatory deductions (6,535 ) (260 ) (6,795 )
Total assets for SLR $ 237,579
$ (260 ) $ 237,319
Supplementary leverage ratio 6.9 % (0.1 )% 6.8 %

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Capital Actions

Preferred Stock

The following table summarizes selected terms of each of the series of the preferred stock issued and outstanding as of ~~September 30, 2017:~~March 31, 2023:


TABLE 37: PREFERRED STOCK ISSUED AND OUTSTANDING
Preferred Stock(1):	Issuance Date	Depositary Shares Issued	Amount outstanding (In millions)		Ownership Interest Per Depositary Share	Liquidation Preference Per Share		Liquidation Preference Per Depositary Share		Per Annum Dividend Rate	Dividend Payment Frequency	Carrying Value as of March 31, 2023 (In millions)		Redemption Date(2)

Series D(3)	February 2014	30,000,000	$	750	1/4,000th	$	100,000	$	25	5.90% to but excluding March 15, 2024, then a floating rate equal to the three-month LIBOR plus 3.108%	Quarterly: March, June, September and December	$	742	March 15, 2024
Series F(4)(5)	May 2015	250,000	250		1/100th	100,000		1,000		Floating rate equal to the three-month LIBOR plus 3.597%, or 8.463% effective March 15, 2023	Quarterly: March, June, September and December	247		September 15, 2020
Series G(6)	April 2016	20,000,000	500		1/4,000th	100,000		25		5.35% to but excluding March 15, 2026, then a floating rate equal to the three-month LIBOR plus 3.709%	Quarterly: March, June, September and December	493		March 15, 2026
Series H(7)	September 2018	500,000	500		1/100th	100,000		1,000		5.625% to but excluding December 15, 2023, then a floating rate equal to the three-month LIBOR plus 2.539%	Semi-annually: June and December	494		December 15, 2023

TABLE 44: PREFERRED STOCK ISSUED AND OUTSTANDING
Issuance Date Depositary Shares Issued Ownership Interest Per Depositary Share Liquidation Preference Per Share Liquidation Preference Per Depositary Share Net Proceeds of Offering (In millions)
Redemption Date⁽¹⁾
Preferred Stock⁽²⁾:

Series C August 2012 20,000,000

1/4,000th
$ 100,000

$ 25

$ 488

September 15, 2017
Series D February 2014 30,000,000

1/4,000th
100,000

25

742

March 15, 2024
Series E November 2014 30,000,000

1/4,000th
100,000

25

728

December 15, 2019
Series F May 2015 750,000

1/100th
100,000

1,000

742

September 15, 2020
Series G April 2016 20,000,000

1/4,000th
100,000

25

493

March 15, 2026

⁽¹⁾On the redemption date, or any dividend declaration date thereafter, the preferred stock and corresponding depositary shares may be redeemed by us, in whole or in part, at the liquidation price per share and liquidation price per depositary share plus any declared and unpaid dividends, without accumulation of any undeclared dividends.

⁽²⁾(1) The preferred stock and corresponding depositary shares may be redeemed at our option in whole, but not in part, prior to the redemption date upon the occurrence of a regulatory capital treatment event, as defined in the certificate of designation, at a redemption price equal to the liquidation price per share and liquidation price per depositary share plus any declared and unpaid dividends, without accumulation of any undeclared dividends.

(2) On the redemption date, or any dividend payment date thereafter, the preferred stock and corresponding depositary shares may be redeemed by us, in whole or in part, at the liquidation price per share and liquidation price per depositary share plus any declared and unpaid dividends, without accumulation of any undeclared dividends.

~~State Street Corporation | 48~~(3) The dividend rate for the floating rate period of the Series D preferred stock that begins on March 15, 2024 and all subsequent floating rate periods will transition to a new, fixed rate in accordance with the LIBOR Act and the contractual terms of the Series D preferred stock.

(4) Series F preferred stock is redeemable on September 15, 2020 and on each succeeding dividend payment date.

~~Table~~(5) In accordance with the LIBOR Act, the benchmark interest rate used to calculate the dividend rate of ~~Contents~~the Series F preferred stock issued and outstanding will transition from LIBOR to CME Term SOFR, plus 0.26161%, beginning with the September 15, 2023 dividend period.

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~(6) The dividend rate for the floating rate period of the Series G preferred stock that begins on March 15, 2026 and all subsequent floating rate periods will remain at the current fixed rate in accordance with the LIBOR Act and the contractual terms of the Series G preferred stock.

~~AND RESULTS OF OPERATIONS~~

(7) In accordance with the LIBOR Act, the benchmark interest rate to be used to calculate the dividend rate during the floating rate period of the Series H preferred stock that begins on December 15, 2023 will transition from LIBOR to CME Term SOFR, plus 0.26161%.

The following ~~tables present~~table presents the dividends declared for each of the series of preferred stock issued and outstanding for the periods indicated:

TABLE 45: PREFERRED STOCK DIVIDENDS QUARTERS TO DATE
Quarters Ended September 30,
2017 2016
Dividends Declared per Share Dividends Declared per Depositary Share
Total
(In millions)⁽¹⁾
Dividends Declared per Share Dividends Declared per Depositary Share Total
(In millions)
Preferred Stock:
Series C $ 1,313

$ 0.33

$ 6

$ 1,313

$ 0.33

$ 6
Series D 1,475

0.37

11

1,475

0.37

11
Series E 1,500

0.38

11

1,500

0.38

11
Series F 2,625

26.25

20

2,625

26.25

20
Series G 1,338

0.33

7

1,338

0.33

7
Total $ 55
$ 55

TABLE 46: PREFERRED STOCK DIVIDENDS
Nine Months Ended September 30,
2017 2016
Dividends Declared per Share Dividends Declared per Depositary Share Total
(In millions) Dividends Declared per Share Dividends Declared per Depositary Share Total
(In millions)
Preferred Stock:
Series C $ 3,939
$ 0.99
$ 19
$ 3,939
$ 0.99
$ 19
Series D 4,425
1.11
33
4,425
1.11
33
Series E 4,500
1.14
33
4,500
1.14
33
Series F 5,250
52.50
40
5,250
52.50
40
Series G 4,014
0.99
21
2,289
0.57
12
Total $ 146
$ 137

TABLE 38: PREFERRED STOCK DIVIDENDS

⁽¹⁾ ~~Dividends were paid in September 2017.~~















	Three Months Ended March 31,
	2023						2022
(Dollars in millions, except per share amounts)	Dividends Declared per Share		Dividends Declared per Depositary Share		Total		Dividends Declared per Share		Dividends Declared per Depositary Share		Total
Preferred Stock:

Series D	$	1,475	$	0.37	$	11	$	1,475	$	0.37	$	11

Series F	2,092		20.92		5		950		9.50		2
Series G	1,338		0.33		7		1,338		0.33		7

Total					$	23					$	20

In October 2017, we declared dividends on our Series C, D, E and G preferred stock of approximately $1,313, $1,475, $1,500 and $1,338, respectively, per share, or approximately $0.33, $0.37, $0.38 and $0.33, respectively, per depositary share. These dividends total approximately $6 million, $11 million, $11 million and $7 million on our Series C, D, E and G preferred stock, respectively, which will be paid in December 2017.

Common Stock

In ~~June 2017,~~January 2023, our Board approved a ~~common stock purchase~~share repurchase program authorizing the purchase of up to ~~$1.4~~$4.5 billion of our common stock through ~~June 30, 2018 (the 2017 Program).~~

~~In June 2016, our Board approved a common stock purchase program authorizing the purchase of up to$1.4~~December 31, 2023. We repurchased $1.25 billion of our common stock ~~through June 30, 2017 (the 2016 Program).~~ in the first quarter of 2023 under our 2023 share repurchase authorization.

The table below presents the activity under ~~both~~our common share repurchase program for the ~~2017 Program and 2016 Program during the periods~~period indicated:


TABLE 39: SHARES REPURCHASED




	Three Months Ended March 31, 2023

	Shares Acquired (In millions)	Average Cost per Share		Total Acquired (In millions)
2023 Program	13.6	$	91.57	$	1,250

TABLE 47: SHARES REPURCHASED
Quarter Ended September 30, 2017 Nine Months Ended September 30, 2017
Shares Acquired
(In millions) Average Cost per Share Total Acquired
(In millions) Shares Acquired
(In millions) Average Cost per Share Total Acquired
(In millions)
2016 Program⁽¹⁾
—
$ —
$ —
9.4
$ 79.93
$ 750
2017 Program 3.7
93.39
350
3.7
93.39
350
Total 3.7
$ 93.39
$ 350
13.1
$ 83.77
$ 1,100

⁽¹⁾ Includes $158 million relating to shares acquired in exchange for BFDS stock during the first quarter of 2017. Additional information about the exchange is provided in Note 1 to the consolidated financial statements included in this Form 10-Q.

State Street Corporation | 4943

~~Table of Contents~~

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

The table below presents the dividends declared on common stock for the periods indicated:


TABLE 40: COMMON STOCK DIVIDENDS																	TABLE 40: COMMON STOCK DIVIDENDS

TABLE 48: COMMON STOCK DIVIDENDS

	Quarters Ended September 30,								Nine Months Ended September 30,									Three Months Ended March 31,
	Dividends Declared per Share		Total (In millions)		Dividends Declared per Share		Total (In millions)		Dividends Declared per Share		Total (In millions)		Dividends Declared per Share		Total (In millions)			2023				2022
	2017				2016				2017				2016					Dividends Declared per Share		Total (In millions)		Dividends Declared per Share		Total (In millions)
Common Stock	$	0.42	$	156	$	0.38	$	147	$	1.18	$	442	$	1.06	$	414	Common Stock	$	0.63	$	212	$	0.57	$	209

Federal and state banking regulations place certain restrictions on dividends paid by subsidiary banks to the parent holding company. In addition, banking regulators have the authority to prohibit bank holding companies from paying dividends. For information concerning limitations on dividends from our subsidiary banks, refer to pages 4956 to 5058 in "Related Stockholder Matters" included under Item 5, Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities,, and pages 165 to 167 in Note 15 ~~on pages 176 to 178~~ to the consolidated financial statements ~~included under Item 8, Financial Statements and Supplementary Data,~~ in ~~our 2016~~the 2022 Form 10-K. Our common stock and preferred stock dividends, including the declaration, timing and amount thereof, are subject to consideration and approval by the Board at the relevant times.

Stock purchases under our common share repurchase program may be made using various types of ~~mechanisms,~~transactions, including open market purchases, accelerated share repurchases or other transactions off the market, and may be made under Rule 10b5-1 trading programs. The timing and amount of any stock purchases ~~types~~and the type of ~~transactions~~transaction may not be ratable over the duration of the program, may vary from reporting period to reporting period and ~~number of shares purchased~~ will depend on several factors, including our capital position and our financial performance, investment opportunities, market conditions, the nature and ~~State Street’s capital positions, its financial performance~~timing of implementation of revisions to the Basel III framework and ~~investment opportunities.~~the amount of common stock issued as part of employee compensation programs. The common ~~stock purchase~~share repurchase program does not have specific price targets and may be suspended at any time.

~~State Street Corporation | 50~~

~~Table of Contents~~

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION~~

~~AND RESULTS OF OPERATIONS~~

OFF-BALANCE SHEET ARRANGEMENTS

On behalf of clients enrolled in our securities lending program, we lend securities to banks, broker/dealers and other institutions. In most circumstances, we indemnify our clients for the fair market value of those securities against a failure of the borrower to return such securities. Though these transactions are collateralized, the substantial volume of these activities necessitates detailed credit-based underwriting and monitoring processes. The aggregate amount of indemnified securities on loan totaled ~~$379.46~~$349.97 billion and $348.92 billion as of ~~September 30, 2017, compared to $360.45 billion as of~~March 31, 2023 and December 31, ~~2016.~~2022, respectively. We require the borrower to provide collateral in an amount in excess of 100% of the fair market value of the securities borrowed. We hold the collateral received in connection with these securities lending services as agent, and the collateral is not recorded in our consolidated statement of condition. We revalue the securities on loan and the collateral daily to determine if additional collateral is necessary or if excess collateral is required to be returned to the borrower. We held, as agent, cash and securities totaling ~~$396.12~~$364.02 billion and ~~$377.92~~$366.90 billion as collateral for indemnified securities on loan as of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016,~~2022, respectively.

The cash collateral held by us as agent is invested on behalf of our clients. In certain cases, the cash collateral is invested in third-party repurchase agreements, for which we indemnify the client against loss of the principal invested. We require the counterparty to the indemnified repurchase agreement to provide collateral in an amount in excess of 100% of the amount of the repurchase agreement. In our role as agent, the indemnified repurchase agreements and the related collateral held by us are not recorded in our consolidated statement of condition. Of the collateral of ~~$396.12~~$364.02 billion and ~~$377.92~~$366.90 billion, referenced above, ~~$68.24~~$56.57 billion and ~~$60.00~~$54.11 billion was invested in indemnified repurchase agreements as of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016,~~2022, respectively. We or our agents held ~~$73.16~~$60.94 billion and ~~$63.96~~$57.90 billion as collateral for indemnified investments in repurchase agreements as of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016,~~2022, respectively.

Additional information about our securities finance activities and other off-balance sheet arrangements is provided in Notes 7, 9 and 911 to the consolidated financial statements ~~included~~ in this Form 10-Q.

OTHER MATTERS

Closures of Silicon Valley Bank and Signature Bank and Related FDIC Matters

On March 12 and 13, 2023, following the closures of Silicon Valley Bank (“SVB”) and Signature Bank and the appointment of the FDIC as the receiver for those banks, the FDIC announced that, under the systemic risk exception set forth in the Federal Deposit Insurance Act (“FDIA”), all insured and uninsured deposits of those banks were transferred to the respective bridge banks for SVB and Signature Bank.

The FDIC also announced that, as required by the FDIA, any losses to the Deposit Insurance Fund (“DIF”) to support uninsured depositors would be recovered by a special assessment. Under the FDIA, the assessment may be on insured depository institutions, depository institution holding companies (with the concurrence of the Treasury

State Street Corporation | 44

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Secretary), or both, as the FDIC determines to be appropriate. In its semiannual update on the Restoration Plan for the DIF, released on April 18, 2023, the FDIC estimated the losses to the DIF of resolving SVB and Signature Bank to be $22.5 billion in the aggregate, of which $19.2 billion was attributable to the cost of covering uninsured deposits pursuant to the systemic risk exception. The FDIA provides that the special assessment will be prescribed through regulation, and the FDIC also noted in the same semiannual update on the Restoration Plan that the FDIC intends to issue a proposed rulemaking for the assessment in May 2023. The FDIC has discretion with respect to the design and timeframe for any special assessment, and, under the FDIA, the FDIC may consider the types of entities that benefit from the action taken, economic conditions, the effects on the industry, and such other factors as the FDIC deems appropriate. The timing, amount and allocation of the special assessment that will be imposed on banking organizations, including State Street Bank, is uncertain, but the impact of the special assessment on our expenses and results of operations may be material.

United States Federal Debt Ceiling

In January 2023, the outstanding national debt of the U.S. government reached its statutory limit. The U.S. Treasury Department has announced that, since then, it has been using extraordinary measures to prevent the U.S. government’s default on its payment obligations, and to extend the time that the U.S. government has to raise its statutory debt limit or otherwise resolve its funding situation. Further delays by Congress to raise the Federal debt ceiling could have severe repercussions within the U.S. and to global credit and financial markets and could exacerbate concerns over the sovereign debt of other countries. If Congress does not raise the debt ceiling, the U.S. government could default on its payment obligations, or experience delays in making payments when due, including in respect of U.S. Treasury securities that play an integral role in financial markets. A payment default or delay by the U.S. government, or continued uncertainty surrounding or other developments relating to the U.S. debt ceiling, could result in a variety of adverse effects for financial markets and market participants, including our clients and counterparties, as well as our business, results of operations, liquidity and financial condition.

Replacement of Interbank Offered Rates including LIBOR

On March 5, 2021, the Intercontinental Exchange Benchmark Administration (IBA) announced, in conjunction with the United Kingdom FCA, that it would cease the publication of all EUR and Swiss Franc LIBOR settings, the overnight, one week, two week, two month and twelve month GBP LIBOR and Japanese yen (JPY) LIBOR settings, and the one week and two month USD LIBOR settings, as of December 31, 2021. Furthermore, the IBA announced that as of June 30, 2023, it would cease the publication of the overnight and twelve month USD LIBOR settings and that as of June 30, 2023 the one month, three month and six month USD LIBOR settings would become non-representative.

On September 29, 2021, the FCA announced that it would compel the IBA to continue the publication of the one month, three month and six month GBP and JPY LIBOR settings, on a synthetic, non-representative basis from year-end 2021 for a period of at least one year. On June 30, 2022, the FCA issued a consultation on winding down synthetic tenors of GBP LIBOR and on the potential introduction of a synthetic version of certain USD LIBOR settings as of June 30, 2023. On September 29, 2022, the FCA confirmed the cessation of all synthetic JPY LIBOR settings as of December 31, 2022, and the cessation of the one month and six month synthetic GBP LIBOR settings as of March 30, 2024. On November 23, 2022, the FCA issued a proposal to compel publication of a synthetic version of the one month, three month and six month USD LIBOR settings until September 30, 2024. Final confirmation of the availability of synthetic USD LIBOR for the one month, three month and six month settings was issued by the FCA on March 4, 2023.

On March 15, 2022, the U.S. Congress adopted, as part of the Consolidated Appropriation Act of 2022, the Adjustable Interest Rate (LIBOR) Act which provides certain statutory requirements and guidance for the selection and use of alternative reference rates in legacy financial contracts governed by U.S. law that do not provide for the use of a clearly defined or practicable alternative reference rate. On July 19, 2022, the Federal Reserve issued a notice of proposed rulemaking on a proposal to implement the LIBOR Act, as required by its terms. On December 16, 2022, the Federal Reserve adopted a final rule implementing the LIBOR Act. The final rule became effective February 27, 2023.

We have established a process to identify, assess, plan for and remediate the use of LIBOR and other reference rates affected by reference rate reform that addresses both direct exposures on our balance sheet, and, more importantly, the use of LIBOR in our various service provider roles to our customers.

This process is led by a multidisciplinary LIBOR program management office (LIBOR PMO), established in September 2018. The LIBOR PMO will continue to drive firm-wide results throughout 2023. The LIBOR PMO reports regularly to executive management of the firm, and our key regulators, on progress with respect to the adoption of alternative reference rates for various financial products and services, client communications, updating

State Street Corporation | 45

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

of our quantitative models and information technology systems, managing third-party vendors, contracts remediation, evaluation of fallback provisions contained in LIBOR-priced loans, investment securities, derivatives and long-term debt and general operational readiness for each stage of the transition.

Most of the LIBOR PMO's work for implementation of the transition to alternate reference rates is substantially complete, and contingency plans have been developed with respect to identified uncertainties. No incremental material investments are expected to be needed for systems and processes related to the transition. Potential risks that could impact our remediation efforts include overall transition readiness across the industry, third-party vendor dependencies and resource constraints from the concentration of remediation activities at key points in the transition process.

Our direct on-balance sheet exposures to LIBOR are limited and primarily include assets held in the investment portfolio, certain loans made through Global Credit Finance and issuances of long-term debt and preferred stock. We have planned for, and are prepared to transition, our remaining balance sheet exposures in a manner consistent with regulatory guidance and the availability of interim solutions for various legacy LIBOR contracts. We will not originate or issue new LIBOR-based loans or long-term debt, and any purchases of LIBOR-based investment securities will be screened for adequate fallback language. Our remaining exposure outstanding at the end of June 2023 is largely governed by existing fallback language or the LIBOR Act which provides for appropriate fallback provisions. Substantial risks and uncertainties are associated with the market transition away from the use of LIBOR as an interest rate benchmark in financial instruments and contracts. Our financial performance depends, in part, on our ability to adapt to market changes promptly, while avoiding increased related expenses or operational errors.

RECENT ACCOUNTING DEVELOPMENTS

Information with respect to recent accounting developments is provided in Note 1 to the consolidated financial statements ~~included~~ in this Form 10-Q.

State Street Corporation | 5146

~~Table of Contents~~

QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

The information provided under ~~Financial Condition - Market~~“Market Risk ~~Management~~Management” in ~~Management’s~~"Financial Condition" in our Management's Discussion and Analysis ~~included~~ in this Form 10-Q, is incorporated by reference herein.

For more information on our market risk refer to pages 98101 to ~~105~~108 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, in our ~~2016~~2022 Form 10-K.

CONTROLS AND PROCEDURES

~~State Street has~~We have established and ~~maintains~~maintain disclosure controls and procedures that are designed to ensure that information related to ~~State Street~~us and ~~its~~our subsidiaries on a consolidated basis required to be disclosed in ~~its~~our reports filed or submitted under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the SEC's rules and forms, and that such information is accumulated and communicated to ~~State Street's~~our management, including ~~its~~our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosure. For the quarter ended ~~September 30, 2017, State Street's~~March 31, 2023, our management carried out an evaluation, with the participation of the Chief Executive Officer and Chief Financial Officer, of the effectiveness of the design and operation of ~~State Street's~~our disclosure controls and procedures. Based on the evaluation of these disclosure controls and procedures, the Chief Executive Officer and Chief Financial Officer concluded that ~~State Street's~~our disclosure controls and procedures were effective as of ~~September 30, 2017.~~March 31, 2023.

~~State Street has also~~We have established and ~~maintains~~maintain internal control over financial reporting as a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of consolidated financial statements for external purposes in conformity with U.S. GAAP. In the ordinary course of business, ~~State Street~~we routinely ~~enhances its~~enhance our internal controls and procedures for financial reporting by either upgrading ~~its~~our current systems or implementing new systems. Changes have been made and may be made to ~~State Street's~~our internal controls and procedures for financial reporting as a result of these efforts. During the quarter ended ~~September 30, 2017,~~March 31, 2023, no change occurred in ~~State Street's~~our internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, ~~State Street's~~our internal control over financial reporting.

State Street Corporation | 5247

STATE STREET CORPORATION

CONSOLIDATED STATEMENT OF INCOME

(UNAUDITED)


	Three Months Ended March 31,
(Dollars in millions, except per share amounts)	2023		2022
Fee revenue:


Servicing fees	$	1,217	$	1,368
Management fees	457		520
Foreign exchange trading services	342		359
Securities finance	109		96


Software and processing fees	165		201
Other fee revenue	45		29
Total fee revenue	2,335		2,573
Net interest income:
Interest income	2,027		521
Interest expense	1,261		12
Net interest income	766		509
Other income:



Gains (losses) from sales of available-for-sale securities, net	—		(1)

Total other income (loss)	—		(1)
Total revenue	3,101		3,081
Provision for credit losses	44		—
Expenses:
Compensation and employee benefits	1,292		1,232
Information systems and communications	414		423
Transaction processing services	239		264
Occupancy	94		95
Acquisition and restructuring costs	—		9
Amortization of other intangible assets	60		61
Other	270		243
Total expenses	2,369		2,327
Income before income tax expense	688		754
Income tax expense	139		150

Net income	$	549	$	604
Net income available to common shareholders	$	525	$	583
Earnings per common share:
Basic	$	1.54	$	1.59
Diluted	1.52		1.57
Average common shares outstanding (in thousands):
Basic	341,106		366,542
Diluted	345,472		372,037
Cash dividends declared per common share	$	0.63	$	0.57

Three Months Ended September 30, Nine Months Ended September 30,
(Dollars in millions, except per share amounts) 2017 2016 2017 2016
Fee revenue:
Servicing fees $ 1,351
$ 1,303
$ 3,986
$ 3,784
Management fees 419
368
1,198
931
Trading services 259
267
823
806
Securities finance 147
136
459
426
Processing fees and other 66
5
209
155
Total fee revenue 2,242
2,079
6,675
6,102
Net interest income:
Interest income 761
647
2,111
1,896
Interest expense 158
110
423
326
Net interest income 603
537
1,688
1,570
Gains (losses) related to investment securities, net:
Gains (losses) from sales of available-for-sale securities, net 1
6
(39 ) 7
Losses from other-than-temporary impairment —
(2 ) —
(2 )
Gains (losses) related to investment securities, net 1
4
(39 ) 5
Total revenue 2,846
2,620
8,324
7,677
Provision for loan losses 3
—
4
8
Expenses:
Compensation and employee benefits 1,090
1,013
3,327
3,109
Information systems and communications 296
285
866
827
Transaction processing services 215
200
619
601
Occupancy 118
107
344
331
Acquisition and restructuring costs 33
42
133
166
Professional services 71
95
262
270
Amortization of other intangible assets 54
55
160
153
Other 144
187
427
437
Total expenses 2,021
1,984
6,138
5,894
Income before income tax expense 822
636
2,182
1,775
Income tax expense (benefit) 137
72
375
226
Net income from non-controlling interest —
(1 ) —
1
Net income $ 685
$ 563
$ 1,807
$ 1,550
Net income available to common shareholders $ 629
$ 507
$ 1,659
$ 1,411
Earnings per common share:
Basic $ 1.69
$ 1.31
$ 4.41
$ 3.58
Diluted 1.66
1.29
4.35
3.54
Average common shares outstanding (in thousands):
Basic 372,765
388,358
376,430
393,959
Diluted 378,518
393,212
381,779
398,413
Cash dividends declared per common share $ .42
$ .38
$ 1.18
$ 1.06

The accompanying condensed notes are an integral part of these consolidated financial statements.

State Street Corporation | 5348

STATE STREET CORPORATION

CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME

(UNAUDITED)
















	Three Months Ended March 31,
(In millions)	2023		2022
Net income	$	549	$	604
Other comprehensive income (loss), net of related taxes:
Foreign currency translation, net of related taxes of ($12) and $10, respectively	130		(98)

Net unrealized gains (losses) on investment securities, net of reclassification adjustment and net of related taxes of $92 and ($474), respectively	246		(1,288)


Net unrealized gains (losses) on cash flow hedges, net of related taxes of $19 and ($72), respectively	51		(194)
Net unrealized gains on retirement plans, net of related taxes of $5, and $6, respectively	12		15
Other comprehensive income (loss)	439		(1,565)
Total comprehensive income (loss)	$	988	$	(961)

Three Months Ended September 30,
(In millions) 2017 2016
Net income $ 685
$ 563
Other comprehensive income (loss), net of related taxes:
Foreign currency translation, net of related taxes of ($7) and ($14), respectively 259
38
Net unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment and net of related taxes of $28 and ($11), respectively 47
(13 )
Net unrealized gains (losses) on available-for-sale securities designated in fair value hedges, net of related taxes of $4 and $9, respectively 4
13
Other-than-temporary impairment on held-to-maturity securities related to factors other than credit, net of related taxes of $1 and $1, respectively 1
2
Net unrealized gains (losses) on cash flow hedges, net of related taxes of ($15) and ($27), respectively (27 ) (39 )
Net unrealized gains (losses) on retirement plans, net of related taxes of $0 and ($1), respectively 2
3
Other comprehensive income (loss) 286
4
Total comprehensive income $ 971
$ 567

Nine Months Ended September 30,
(In millions) 2017 2016
Net income $ 1,807
$ 1,550
Other comprehensive income (loss), net of related taxes:
Foreign currency translation, net of related taxes of $6 and ($24), respectively 785
132
Net unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment and net of related taxes of $336 and $347, respectively 519
533
Net unrealized gains (losses) on available-for-sale securities designated in fair value hedges, net of related taxes of $9 and ($6), respectively 13
(9 )
Other-than-temporary impairment on held-to-maturity securities related to factors other than credit, net of related taxes of $2 and $3, respectively 3
5
Net unrealized gains (losses) on cash flow hedges, net of related taxes of ($179) and ($144), respectively (274 ) (213 )
Net unrealized gains (losses) on retirement plans, net of related taxes of $2 and $2, respectively 10
1
Other comprehensive income (loss) 1,056
449
Total comprehensive income $ 2,863
$ 1,999

The accompanying condensed notes are an integral part of these consolidated financial statements.

State Street Corporation | 5449

STATE STREET CORPORATION

CONSOLIDATED STATEMENT OF CONDITION

~~(UNAUDITED)~~


	March 31, 2023		December 31, 2022

(Dollars in millions, except per share amounts)	(UNAUDITED)
Assets:
Cash and due from banks	$	3,698	$	3,970
Interest-bearing deposits with banks (less allowance for credit losses of $29 and $0)	87,935		101,593
Securities purchased under resale agreements	1,134		5,215
Trading account assets	695		650
Investment securities available-for-sale (less allowance for credit losses of $2 and $2)	42,841		40,579

Investment securities held-to-maturity (less allowance for credit losses of $0 and $0) (fair value of $59,139 and $57,913)	65,027		64,700
Loans (less allowance for credit losses on loans of $115 and $97)	33,801		32,053
Premises and equipment (net of accumulated depreciation of $5,918 and $5,745)	2,337		2,315
Accrued interest and fees receivable	3,570		3,434

Goodwill	7,530		7,495
Other intangible assets	1,493		1,544
Other assets	40,755		37,902
Total assets	$	290,816	$	301,450
Liabilities:
Deposits:
Non-interest-bearing	$	45,856	$	46,755
Interest-bearing - U.S.	108,623		111,384
Interest-bearing - non-U.S.	69,152		77,325
Total deposits	223,631		235,464
Securities sold under repurchase agreements	3,695		1,177

Short-term borrowings	8		2,097
Accrued expenses and other liabilities	22,427		22,525
Long-term debt	16,305		14,996
Total liabilities	266,066		276,259
Commitments, guarantees and contingencies (Notes 9 and 10)
Shareholders’ equity:
Preferred stock, no par, 3,500,000 shares authorized:

Series D, 7,500 shares issued and outstanding	742		742

Series F, 2,500 shares issued and outstanding	247		247
Series G, 5,000 shares issued and outstanding	493		493
Series H, 5,000 shares issued and outstanding	494		494
Common stock, $1 par, 750,000,000 shares authorized:
503,879,642 and 503,879,642 shares issued, and 336,461,072 and 349,024,167 shares outstanding	504		504
Surplus	10,724		10,730
Retained earnings	27,342		27,028
Accumulated other comprehensive income (loss)	(3,272)		(3,711)
Treasury stock, at cost (167,418,570 and 154,855,475 shares)	(12,524)		(11,336)
Total shareholders’ equity	24,750		25,191


Total liabilities and shareholders' equity	$	290,816	$	301,450

(Dollars in millions, except per share amounts) September 30, 2017 December 31, 2016
Assets: (Unaudited)
Cash and due from banks $ 3,939
$ 1,314
Interest-bearing deposits with banks 60,956
70,935
Securities purchased under resale agreements 3,465
1,956
Trading account assets 1,135
1,024
Investment securities available-for-sale 56,238
61,998
Investment securities held-to-maturity (fair value of $36,836 and $34,994) 36,850
35,169
Loans and leases (less allowance for losses of $57 and $53) 23,581
19,704
Premises and equipment (net of accumulated depreciation of $3,750 and $3,333) 2,167
2,062
Accrued interest and fees receivable 3,043
2,644
Goodwill 5,997
5,814
Other intangible assets 1,658
1,750
Other assets 36,957
38,328
Total assets $ 235,986
$ 242,698
Liabilities:
Deposits:
Non-interest-bearing $ 49,850
$ 59,397
Interest-bearing—U.S. 49,394
30,911
Interest-bearing—non-U.S. 80,019
96,855
Total deposits 179,263
187,163
Securities sold under repurchase agreements 3,867
4,400
Other short-term borrowings 1,253
1,585
Accrued expenses and other liabilities 17,390
16,901
Long-term debt 11,716
11,430
Total liabilities 213,489
221,479
Commitments, guarantees and contingencies (Notes 9 and 10)

Shareholders’ equity:
Preferred stock, no par, 3,500,000 shares authorized:
Series C, 5,000 shares issued and outstanding 491
491
Series D, 7,500 shares issued and outstanding 742
742
Series E, 7,500 shares issued and outstanding 728
728
Series F, 7,500 shares issued and outstanding 742
742
Series G, 5,000 shares issued and outstanding 493
493
Common stock, $1 par, 750,000,000 shares authorized:
503,879,642 and 503,879,642 shares issued 504
504
Surplus 9,803
9,782
Retained earnings 18,675
17,459
Accumulated other comprehensive income (loss) (984 ) (2,040 )
Treasury stock, at cost (133,038,955 and 121,940,502 shares) (8,697 ) (7,682 )
Total shareholders’ equity 22,497
21,219
Total liabilities and shareholders' equity $ 235,986
$ 242,698

The accompanying condensed notes are an integral part of these consolidated financial statements.

State Street Corporation | 5550

STATE STREET CORPORATION

CONSOLIDATED STATEMENT OF CHANGES IN SHAREHOLDERS' EQUITY

(UNAUDITED)


(Dollars in millions, except per share amounts, shares in thousands)	Preferred Stock		Common Stock			Surplus		Retained Earnings		Accumulated Other Comprehensive Income (Loss)		Treasury Stock			Total
			Shares	Amount								Shares	Amount


































































Balance at December 31, 2021	$	1,976	503,880	$	504	$	10,787	$	25,238	$	(1,133)	137,897	$	(10,009)	$	27,363
Net income								604							604
Other comprehensive income (loss)										(1,565)					(1,565)

Cash dividends declared:
Common stock - $0.57 per share								(209)							(209)
Preferred stock								(20)							(20)

Common stock awards exercised						(11)						(1,132)	77		66
Other						(14)		(1)							(15)
Balance at March 31, 2022	$	1,976	503,880	$	504	$	10,762	$	25,612	$	(2,698)	136,765	$	(9,932)	$	26,224





















Balance at December 31, 2022	$	1,976	503,880	$	504	$	10,730	$	27,028	$	(3,711)	154,855	$	(11,336)	$	25,191
Net income								549							549
Other comprehensive income (loss)										439					439

Cash dividends declared:
Common stock - $0.63 per share								(212)							(212)
Preferred stock								(23)							(23)
Common stock acquired												13,647	(1,262)		(1,262)
Common stock awards exercised						(6)						(1,085)	75		69
Other												1	(1)		(1)
Balance at March 31, 2023	$	1,976	503,880	$	504	$	10,724	$	27,342	$	(3,272)	167,418	$	(12,524)	$	24,750

(Dollars in millions, except per share amounts, shares in thousands)
PREFERRED
STOCK
COMMON STOCK Surplus
Retained
Earnings

Accumulated
Other
Comprehensive
Income (Loss)
TREASURY STOCK Total
Shares Amount Shares Amount
Balance as of December 31, 2015 $ 2,703
503,880
$ 504
$ 9,746
$ 16,049
$ (1,442 ) 104,228
$ (6,457 ) $ 21,103
Net income 1,550
1,550
Other comprehensive income (loss) 449
449
Preferred stock issued 493
493
Cash dividends declared:
Common stock - $1.06 per share (414 ) (414 )
Preferred stock (137 ) (137 )
Common stock acquired 16,861
(1,040 ) (1,040 )
Common stock awards and options exercised, including income tax benefit of $6 32
(2,765 ) 114
146
Other

(1 ) (15 ) 1
—
Balance as of September 30, 2016 $ 3,196
503,880
$ 504
$ 9,778
$ 17,047
$ (993 ) 118,309
$ (7,382 ) $ 22,150
Balance as of December 31, 2016 $ 3,196
503,880
$ 504
$ 9,782
$ 17,459
$ (2,040 ) 121,941
$ (7,682 ) $ 21,219
Net income 1,807

1,807
Other comprehensive income (loss) 1,056
1,056
Cash dividends declared:
Common stock - $1.18 per share (442 ) (442 )
Preferred stock (146 ) (146 )
Common stock acquired 13,131
(1,100 ) (1,100 )
Common stock awards exercised 21

(2,033 ) 85
106
Other (3 )

(3 )
Balance as of September 30, 2017 $ 3,196
503,880
$ 504
$ 9,803
$ 18,675
$ (984 ) 133,039
$ (8,697 ) $ 22,497

The accompanying condensed notes are an integral part of these consolidated financial statements.

State Street Corporation | 5651

STATE STREET CORPORATION

CONSOLIDATED STATEMENT OF CASH FLOWS

(UNAUDITED)


	Three Months Ended March 31,
(In millions)	2023		2022
Operating Activities:
Net income	$	549	$	604
Adjustments to reconcile net income to net cash provided by operating activities:
Deferred income tax (benefit)	32		7
Amortization of other intangible assets	60		61
Other non-cash adjustments for depreciation, amortization and accretion, net	171		232
Losses (gains) related to investment securities, net	—		1
Provision for credit losses	44		—
Change in trading account assets, net	(45)		4
Change in accrued interest and fees receivable, net	(136)		(168)
Change in collateral deposits, net	(2,962)		(187)
Change in unrealized losses (gains) on foreign exchange derivatives, net	(156)		(1,075)
Change in other assets, net	282		(955)

Change in accrued expenses and other liabilities, net	(796)		5,862

Other, net	95		200
Net cash (used in) provided by operating activities	(2,862)		4,586
Investing Activities:
Net decrease in interest-bearing deposits with banks	13,630		2,348
Net decrease in securities purchased under resale agreements	4,082		2,209
Proceeds from sales of available-for-sale securities	232		1,600
Proceeds from maturities of available-for-sale securities	3,436		4,494
Purchases of available-for-sale securities	(5,239)		(11,689)




Proceeds from maturities of held-to-maturity securities	1,363		3,632
Purchases of held-to-maturity securities	(1,557)		(4,119)
Sale of loans	273		38
Net (increase) in loans	(1,914)		(2,648)


Purchases of equity investments and other long-term assets	—		(71)
Purchases of premises and equipment, net	(182)		(138)

Other, net	188		8
Net cash provided by (used in) investing activities	14,312		(4,336)
Financing Activities:
Net increase (decrease) in time deposits	728		(1,298)
Net decrease in all other deposits	(12,560)		(2,696)
Net increase in securities sold under repurchase agreements	2,518		2,702

Net decrease in other short-term borrowings	(2,089)		(111)
Proceeds from issuance of long-term debt, net of issuance costs	1,244		1,492
Payments for long-term debt and obligations under finance leases	(11)		(765)



Repurchases of common stock	(1,250)		—

Repurchases of common stock for employee tax withholding	(59)		—
Payments for cash dividends	(243)		(229)

Net cash (used in) provided by financing activities	(11,722)		(905)
Net decrease in cash and due from banks	(272)		(655)
Cash and due from banks at beginning of period	3,970		3,631
Cash and due from banks at end of period	$	3,698	$	2,976

Supplemental disclosure:
Interest paid (received)	$	1,212	$	(22)
Income taxes paid, net	75		121

Nine Months Ended September 30,
(In millions) 2017 2016
Operating Activities:
Net income $ 1,807
$ 1,550
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Deferred income tax (benefit) (217 ) 31
Amortization of other intangible assets 160
153
Other non-cash adjustments for depreciation, amortization and accretion, net 636
517
Losses (gains) related to investment securities, net 39
(5 )
Change in trading account assets, net (111 ) (214 )
Change in accrued interest and fees receivable, net (399 ) (248 )
Change in collateral deposits, net (1,232 ) (615 )
Change in unrealized losses on foreign exchange derivatives, net 1,136
853
Change in other assets, net (2,063 ) (457 )
Change in accrued expenses and other liabilities, net 1,733
399
Other, net 368
312
Net cash provided by operating activities 1,857
2,276
Investing Activities:
Net decrease in interest-bearing deposits with banks 9,979
(3,752 )
Net (increase) decrease in securities purchased under resale agreements (1,509 ) 962
Proceeds from sales of available-for-sale securities 7,122
424
Proceeds from maturities of available-for-sale securities 21,619
21,564
Purchases of available-for-sale securities (20,891 ) (22,625 )
Proceeds from maturities of held-to-maturity securities 2,647
7,184
Purchases of held-to-maturity securities (3,961 ) (5,581 )
Net (increase) in loans and leases (3,859 ) (2,678 )
Business acquisitions —
(437 )
Purchases of equity investments and other long-term assets (32 ) (265 )
Purchases of premises and equipment, net (485 ) (477 )
Proceeds from sale of joint venture investment 172
—
Other, net 77
129
Net cash provided by (used in) investing activities 10,879
(5,552 )
Financing Activities:
Net (decrease) increase in time deposits (16,790 ) 9,077
Net increase (decrease) in all other deposits 8,890
(1,938 )
Net (decrease) in other short-term borrowings (865 ) (476 )
Proceeds from issuance of long-term debt, net of issuance costs 747
1,492
Payments for long-term debt and obligations under capital leases (482 ) (1,430 )
Proceeds from issuance of preferred stock, net —
493
Purchases of common stock (942 ) (1,029 )
Excess tax benefit related to stock-based compensation —
6
Repurchases of common stock for employee tax withholding (101 ) (95 )
Payments for cash dividends (577 ) (541 )
Other, net 9
—
Net cash (used in) provided by financing activities (10,111 ) 5,559
Net increase 2,625
2,283
Cash and due from banks at beginning of period 1,314
1,207
Cash and due from banks at end of period $ 3,939
$ 3,490

The accompanying condensed notes are an integral part of these consolidated financial statements.

State Street Corporation | 5752

~~Table of Contents~~

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

~~TABLE OF CONTENTS~~

~~We use acronyms and other defined terms for certain business terms and abbreviations, as defined in the acronyms list and glossary accompanying these consolidated financial statements.~~

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~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

Note 1. Summary of Significant Accounting Policies

Basis of Presentation

The accounting and financial reporting policies of State Street Corporation conform to U.S. GAAP. State Street Corporation, the Parent Company, is a financial holding company headquartered in Boston, Massachusetts. Unless otherwise indicated or unless the context requires otherwise, all references in these notes to consolidated financial statements to “State Street,” “we,” “us,” “our” or similar references mean State Street Corporation and its subsidiaries on a consolidated ~~basis. Our~~basis, including our principal banking subsidiary, is State Street Bank.

The accompanying ~~Consolidated Financial Statements~~consolidated financial statements should be read in conjunction with the financial and risk factor information included in our ~~2016~~2022 Form 10-K, which we previously filed with the SEC.

The consolidated financial statements accompanying these condensed notes are unaudited. In the opinion of management, all adjustments, consisting only of normal recurring adjustments, which are necessary for a fair statement of the consolidated results of operations in these financial statements, have been made. Certain previously reported amounts presented in this Form 10-Q have been reclassified to conform to current-period presentation. Events occurring subsequent to the date of our consolidated statement of condition were evaluated for potential recognition or disclosure in our

consolidated financial statements through the date we filed this Form 10-Q with the SEC.

The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions in the application of certain of our significant accounting policies that may materially affect the reported amounts of assets, liabilities, equity, revenue and expenses. As a result of unanticipated events or circumstances, actual results could differ from those estimates. These accounting estimates reflect the best judgment of management, but actual results could differ.

Our consolidated statement of condition as of December 31, ~~2016~~2022 included in the accompanying consolidated financial statements was derived from the audited financial statements as of that date, but does not include all notes required by U.S. GAAP for a complete set of consolidated financial statements.

~~Dispositions~~Cash and Cash Equivalents

InSanctions programs or government intervention may inhibit our ability to access cash and due from banks in certain accounts. For example, as of March 31, 2023 and December 31, 2022, we held such accounts in Russia, inclusive of $1.1 billion and $767 million, respectively, with our subcustodian, which is an affiliate of a large multinational bank, and with western European-based clearing agencies, for a total of approximately $1.6 billion and $1.3 billion, respectively. Cash and due from banks is evaluated as part of our allowance for credit losses.

Recent Accounting Developments

Relevant standards that were adopted in the first quarter of ~~2017,~~2023:

In January 2023, we ~~completed the sale~~adopted ASU 2022-01, Derivatives and Hedging (Topic 815): Fair Value Hedging – Portfolio Layer Method; as well as ASU 2022-02, Financial Instruments – Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures. There were no material impacts to our financial statements as a result of ~~our joint venture interest in IFDS U.K. for approximately $175 million in cash and the exchange~~either of ~~our joint venture interest in BFDS stock for $158 million in State Street's common stock. We recognized a pre-tax gain~~these adoptions.

Relevant standards that were recently issued but not yet adopted as of ~~$30 million, in the aggregate, in the nine months ended September 30, 2017 on these dispositions.~~

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~~(UNAUDITED)~~

~~Recent Accounting Developments~~

March 31, 2023:



~~Relevant standards that were issued but not yet adopted~~
~~Standard~~	~~Description~~			~~Date of Adoption~~	~~Effects on the financial statements or other significant matters~~
~~ASU 2014-09, Revenue from Contracts with Customers (Topic 606)~~	The standard, and its related amendments, will replace existing revenue recognition standards and expand the disclosure requirements for revenue arrangements with customers. Under the new standard, revenue is recognized when a customer obtains control of promised goods or services and is recognized in an amount that reflects the consideration which the entity expects to receive in exchange for those goods or services. The guidance permits two methods of adoption: retrospectively to each prior reporting period presented (full retrospective method), or retrospectively with the cumulative effect of initially applying the guidance recognized at the date of initial application (the modified retrospective method).	~~January 1, 2018~~	Based on our efforts to date, we expect both the timing and amount of our material revenue streams, including servicing fees, management fees, trading services, and securities finance, to remain substantially unchanged as these revenues likely will continue to be recognized over time. Specifically, under the new standard we expect to recognize revenue related to these activities ratably over the term of the related agreements with customers as the customer simultaneously benefits from the services as they are performed. Due to the complexity of certain of our agreements, the actual revenue recognition treatment required under the standard will be dependent on contract-specific terms, and certain aspects may vary in some instances from recognition ratably over the contract term. The standard does not apply to revenue associated with financial instruments, including loans and securities, or revenue recognized under other U.S. GAAP standards. Therefore NII, securities gains/ losses and revenue related to derivative instruments are not impacted by the standard. Our implementation efforts include the scoping of material revenue streams into cohorts, analysis of underlying contracts for each cohort, business unit workshops to further assess specific contracts and products, and the development of updated disclosures. We continue to monitor industry developments and focus our assessment on areas such as costs that may require capitalization under the new standard and the impact of changes to the principal and agent guidance. The new standard modified the principal and agent guidance which we expect to result in recognition of certain expenses on a gross basis, rather than offset against revenue. We are still assessing the completeness and materiality of these changes. We continue to assess the operational and disclosure impacts of each transition method and have not yet finalized the transition method to be applied.
~~ASU 2016-01, Financial Instruments-Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities~~	The standard makes limited amendments to the guidance on the classification and measurement of financial instruments. Under the new standard, all equity securities will be measured at fair value through earnings with certain exceptions, including investments accounted for under the equity method of accounting. In addition, the FASB clarified the guidance related to valuation allowance assessments when recognizing deferred tax assets on unrealized losses on available-for-sale debt securities. This standard must be applied on a retrospective basis.	~~January 1, 2018~~	Based on our assessment, we do not anticipate this standard to have a material impact on our consolidated financial statements due to the limited number of investments on our consolidated statement of condition that are within scope of the standard.
~~ASU 2016-02, Leases (Topic 842)~~	The standard represents a wholesale change to lease accounting and requires all leases, other than short-term leases, to be reported on balance sheet through recognition of a right-of-use asset and a corresponding liability for future lease obligations. The standard also requires extensive disclosures for assets, expenses, and cash flows associated with leases, as well as a maturity analysis of lease liabilities.	~~January 1, 2019~~	We are currently assessing the impact of the standard on our consolidated financial statements, but we anticipate an increase in assets and liabilities due to the recognition of the required right-of-use asset and corresponding liability for all lease obligations that are currently classified as operating leases, primarily real estate leases for office space, as well as additional disclosure on all our lease obligations.

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~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~



~~Relevant standards that were issued but not yet adopted~~
~~Standard~~	~~Description~~			~~Date of Adoption~~	~~Effects on the financial statements or other significant matters~~
~~ASU 2016-13, Financial Instruments-Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments~~	The standard requires immediate recognition of expected credit losses for financial assets carried at amortized cost, including trade and other receivables, loans and commitments, held-to-maturity debt securities and other financial assets, held at the reporting date to be measured based on historical experience, current conditions and reasonable supportable forecasts. Credit losses on available-for-sale securities will be recorded as an allowance versus a write-down of the amortized cost basis of the security and will allow for a reversal of impairment loss when the credit of the issuer improves.	~~January 1, 2020~~	We are currently assessing the impact of the standard on our consolidated financial statements, and a significant implementation project is in place to ensure that expected credit losses are calculated in accordance with the standard. We have established a steering committee to provide cross-functional governance over the project plan and key decisions, and are currently developing key accounting policies, assessing existing credit loss models against the new guidance and processes and identifying a complete set of data requirements and sources. We have commenced the development of new or modified credit loss models and based on our analysis to date, we expect the timing of the allowance for credit losses to accelerate under the new standard. We are continuing to assess the extent of the impact on the allowance for credit losses.
~~ASU 2016-15, Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments (a consensus of the Emerging Issues Task Force)~~	~~The standard amends the statement of cash flow guidance to address specific cash flow issues with the objective of reducing the existing diversity in practice.~~	~~January 1, 2018~~	~~Based on our current presentation we do not anticipate a significant change to our presentation of the statement of cash flows.~~
~~ASU 2017-01, Business Combinations (Topic 805): Clarifying the Definition of a Business~~	The standard incorporates gating criteria to determine when an integrated set of assets and activities is not a business. When substantially all the fair value of gross assets acquired (or group of similar identifiable assets) is concentrated in a single identifiable asset, it would not represent a business.	~~January 1, 2018, early adoption permitted~~	~~We will apply this standard prospectively to transactions occurring after January 1, 2018, as applicable.~~
~~ASU 2017-04, Intangibles-Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment~~	The standard simplifies the subsequent measurement of goodwill by eliminating Step 2 from the goodwill impairment test. The ASU requires an entity to compare the fair value of a reporting unit with its carrying amount and recognize an impairment charge for the amount by which the carrying value exceeds the fair value of the reporting unit. Additionally, an entity should consider income tax effects from any tax deductible goodwill on the carrying amount of the reporting unit when measuring the goodwill impairment loss.	~~January 1, 2020, early adoption permitted~~	~~We are evaluating the impacts of early adoption, and will apply this standard prospectively upon adoption.~~
~~ASU 2017-08, Receivables - Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium amortization on Purchased Callable Debt Securities~~	~~The standard shortens the amortization period for certain purchased callable debt securities to the earliest call date.~~	~~January 1, 2019, early adoption permitted~~	~~We are currently evaluating the impact of the new standard and the early adoption provisions.~~
~~ASU 2017-12, Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities~~	The standard amends the hedge accounting model to better portray the economics of risk management activities in the financial statements and enhances the presentation of hedge results. The amendments also make targeted changes to simplify the application of hedge accounting in certain situations.	~~January 1, 2019, early adoption permitted~~	~~We are currently evaluating the impact of the new standard and the early adoption provisions.~~

~~We adopted ASU 2016-09,~~ ~~Compensation - Stock Compensation (Topic 718): Improvements~~In March 2023, the Financial Accounting Standards Board (FASB) issued an update which will permit the use of the Proportional Amortization Method to ~~Employee Share-Based Payment Accounting~~,all tax equity investments, regardless of the tax credit program from which the income tax credits are received. This update is effective for State Street beginning on January 1, ~~2017. Starting~~2024, although early adoption is allowed. We are planning to early adopt the guidance in 2023, and are evaluating which method of adoption will be applied and the ~~quarter ended~~impact to our financial statements as a result of the adoption.

Additionally, we continue to evaluate other accounting standards that were recently issued, but not yet adopted as of March 31, ~~2017, we reclassified excess tax benefits related~~2023; none are expected to stock-based compensation from financing activities to other operating activities. We continued to present repurchases of common stock for employee tax withholding in financing activities in the consolidated statements of cash flows for all periods presented.

As required by the transition provisions of the standard, excess tax benefits previously recognized in surplus prior to January 1, 2017 remain in surplus, and excess tax benefits recognized after January 1, 2017 are included in income tax expense. In connection with this change, we recognizedhave a ~~tax benefit of $18.6 million in the first nine months of 2017. We elected to make no changes~~material impact to our ~~current policy of estimating forfeitures. Lastly, we did not make any changes to tax withholding rates.~~financial statements.

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~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

Note 2. Fair Value

Fair Value Measurements

We carry trading account assets and liabilities, AFS ~~investment~~debt securities, certain equity 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.

State Street Corporation | 53

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

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 pages ~~135~~133 to ~~142~~139 in Note 2 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our ~~2016~~2022 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. During the nine months ended September 30, 2017, approximately $9 million of assets were transferred between levels 1 and 2. No transfers of financial assets or liabilities between levels 1 and 2 occurred during the year ended December 31, 2016.indicated:

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~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

Fair Value Measurements on a Recurring Basis
as of September 30, 2017
(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 $ 39
$ —
$ —
$ 39
Non-U.S. government securities 387
174
—
561
Other 20
515
—
535
Total trading account assets 446
689
—
1,135
AFS investment securities:
U.S. Treasury and federal agencies:
Direct obligations 231
389
—
620
Mortgage-backed securities —
10,975
25
11,000
Asset-backed securities:
Student loans —
4,626
200
4,826
Credit cards —
1,548
—
1,548
Other⁽²⁾
—
35
1,186
1,221
Total asset-backed securities —
6,209
1,386

7,595
Non-U.S. debt securities:
Mortgage-backed securities —
6,956
118
7,074
Asset-backed securities —
2,742
97
2,839
Government securities —
6,658
—
6,658
Other⁽³⁾
—
5,617
201
5,818
Total non-U.S. debt securities —
21,973
416
22,389
State and political subdivisions —
9,700
38
9,738
Collateralized mortgage obligations —
1,528
—
1,528
Other U.S. debt securities —
2,909
19
2,928
U.S. equity securities —
46
—
46
U.S. money-market mutual funds —
394
—
394
Total AFS investment securities 231
54,123
1,884

56,238
Other assets:
Derivative instruments:
Foreign exchange contracts —
11,735
2
$ (7,026 ) 4,711
Interest-rate contracts —
3
—
(2 ) 1
Total derivative instruments —
11,738
2
(7,028 ) 4,712
Other 22
—
—
—
22
Total assets carried at fair value $ 699
$ 66,550
$ 1,886
$ (7,028 ) $ 62,107
Liabilities:
Accrued expenses and other liabilities:
Trading account liabilities:
Other $ 19
$ —
$ —
$ —
$ 19
Derivative instruments:
Foreign exchange contracts —
11,581
2
(7,465 ) 4,118
Interest-rate contracts 10
97
—
(1 ) 106
Other derivative contracts —
319
—
—
319
Total derivative instruments 10
11,997
2
(7,466 ) 4,543
Other 22
—
—
—
22
Total liabilities carried at fair value $ 51
$ 11,997
$ 2
$ (7,466 ) $ 4,584


	Fair Value Measurements on a Recurring Basis
	As of March 31, 2023
(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	$	36	$	—	$	—			$	36
Non-U.S. government securities	—		137		—				137
Other	—		522		—				522

Total trading account assets	36		659		—				695
Available-for-sale investment securities:
U.S. Treasury and federal agencies:
Direct obligations	7,627		—		—				7,627
Mortgage-backed securities	—		9,180		—				9,180
Total U.S. Treasury and federal agencies	7,627		9,180		—				16,807
Non-U.S. debt securities:
Mortgage-backed securities	—		1,563		—				1,563
Asset-backed securities	—		1,678		—				1,678
Non-U.S. sovereign, supranational and non-U.S. agency	—		15,850		—				15,850
Other	—		2,315		—				2,315
Total non-U.S. debt securities	—		21,406		—				21,406
Asset-backed securities:
Student loans	—		110		—				110



Collateralized loan obligations	—		2,406		—				2,406
Non-agency CMBS and RMBS(2)	—		260		—				260
Other	—		90		—				90
Total asset-backed securities	—		2,866		—				2,866






State and political subdivisions	—		777		—				777

Other U.S. debt securities	—		985		—				985





Total available-for-sale investment securities	7,627		35,214		—				42,841
Other assets:
Derivative instruments:
Foreign exchange contracts	—		15,993		4		$	(11,336)	4,661


Total derivative instruments	—		15,993		4		(11,336)		4,661


Other	10		557		—		—		567
Total assets carried at fair value	$	7,673	$	52,423	$	4	$	(11,336)	$	48,764
Liabilities:
Accrued expenses and other liabilities:




Derivative instruments:
Foreign exchange contracts	$	4	$	15,379	$	2	$	(10,754)	$	4,631
Interest rate contracts	2		—		—		—		2
Other derivative contracts	—		223		—		—		223
Total derivative instruments	6		15,602		2		(10,754)		4,856

Total liabilities carried at fair value	$	6	$	15,602	$	2	$	(10,754)	$	4,856

⁽¹⁾Represents counterparty netting against level 2 financial assets and liabilities where a legally enforceable master netting agreement exists between ~~State Street~~us and the counterparty. Netting also reflects asset and liability reductions of ~~$637 million~~$1.81 billion and ~~$1,074 million,~~$1.23 billion, respectively, for cash collateral received from and provided to derivative counterparties.

⁽²⁾As Consists entirely of ~~September 30, 2017, the fair value of other ABS was primarily composed of $1,221 million of CLOs.~~non-agency CMBS.

⁽³⁾~~As of September 30, 2017, the fair value of other non-U.S. debt securities was primarily composed of $3,600 million of covered bonds and $1,503 million of corporate bonds.~~

State Street Corporation | 6354

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STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)


	Fair Value Measurements on a Recurring Basis												Fair Value Measurements on a Recurring Basis
	as of December 31, 2016												As of December 31, 2022
(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		(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:												Assets:
Trading account assets:												Trading account assets:
U.S. government securities	$	30	$	—	$	—				$	30	U.S. government securities	$	40	$	—	$	—			$	40
Non-U.S. government securities	495		174		—					669		Non-U.S. government securities	—		142		—				142
Other	—		325		—					325		Other	—		468		—				468
Total trading account assets	525		499		—					1,024		Total trading account assets	40		610		—				650
AFS investment securities:
Available-for-sale investment securities:												Available-for-sale investment securities:
U.S. Treasury and federal agencies:												U.S. Treasury and federal agencies:
Direct obligations	3,824		439		—					4,263		Direct obligations	7,981		—		—				7,981
Mortgage-backed securities	—		13,257		—					13,257		Mortgage-backed securities	—		8,509		—				8,509
Asset-backed securities:
Student loans	—		5,499		97					5,596
Credit cards	—		1,351		—					1,351
Sub-prime	—		272		—					272
Other⁽²⁾	—		—		905					905
Total asset-backed securities	—		7,122		1,002					8,124
Total U.S. Treasury and federal agencies												Total U.S. Treasury and federal agencies	7,981		8,509		—				16,490
Non-U.S. debt securities:												Non-U.S. debt securities:
Mortgage-backed securities	—		6,535		—					6,535		Mortgage-backed securities	—		1,623		—				1,623
Asset-backed securities	—		2,484		32					2,516		Asset-backed securities	—		1,669		—				1,669
Government securities	—		5,836		—					5,836
Other⁽³⁾	—		5,365		248					5,613
Non-U.S. sovereign, supranational and non-U.S. agency												Non-U.S. sovereign, supranational and non-U.S. agency	—		14,089		—				14,089
Other												Other	—		2,091		—				2,091
Total non-U.S. debt securities	—		20,220		280					20,500		Total non-U.S. debt securities	—		19,472		—				19,472
Asset-backed securities:												Asset-backed securities:
Student loans												Student loans	—		115		—				115

Collateralized loan obligations												Collateralized loan obligations	—		2,355		—				2,355
Non-agency CMBS and RMBS(2)												Non-agency CMBS and RMBS(2)	—		231		—				231
Other												Other	—		88		—				88
Total asset-backed securities												Total asset-backed securities	—		2,789		—				2,789

State and political subdivisions	—		10,283		39					10,322		State and political subdivisions	—		823		—				823
Collateralized mortgage obligations	—		2,577		16					2,593

Other U.S. debt securities	—		2,469		—					2,469		Other U.S. debt securities	—		1,005		—				1,005
U.S. equity securities	—		42		—					42
Non-U.S. equity securities	—		3		—					3
U.S. money-market mutual funds	—		409		—					409
Non-U.S. money-market mutual funds	—		16		—					16
Total AFS investment securities	3,824		56,837		1,337					61,998

Total available-for-sale investment securities												Total available-for-sale investment securities	7,981		32,598		—				40,579
Other assets:												Other assets:
Derivatives instruments:
Derivative instruments:												Derivative instruments:
Foreign exchange contracts	—		16,476		8		$	(9,163	)	7,321		Foreign exchange contracts	9		26,173		4		$	(18,522)	7,664
Interest-rate contracts	—		68		—		(68		)	—
Interest rate contracts												Interest rate contracts	—		—		—		—		—

Total derivative instruments	—		16,544		8		(9,231		)	7,321		Total derivative instruments	9		26,173		4		(18,522)		7,664
Other												Other	6		600		—		—		606
Total assets carried at fair value	$	4,349	$	73,880	$	1,345	$	(9,231	)	$	70,343	Total assets carried at fair value	$	8,036	$	59,981	$	4	$	(18,522)	$	49,499
Liabilities:												Liabilities:
Accrued expenses and other liabilities:												Accrued expenses and other liabilities:
Trading account liabilities:												Trading account liabilities:

Derivative instruments:												Derivative instruments:
Foreign exchange contracts	$	—	$	15,948	$	8	$	(10,456	)	$	5,500	Foreign exchange contracts	2		25,745		2		(17,951)		7,798
Interest-rate contracts	—		348		—		(226		)	122
Interest rate contracts												Interest rate contracts	1		—		—		—		1
Other derivative contracts	—		380		—		—			380		Other derivative contracts	—		216		—		—		216
Total derivative instruments	—		16,676		8		(10,682		)	6,002		Total derivative instruments	3		25,961		2		(17,951)		8,015

Total liabilities carried at fair value	$	—	$	16,676	$	8	$	(10,682	)	$	6,002	Total liabilities carried at fair value	$	3	$	25,961	$	2	$	(17,951)	$	8,015

⁽¹⁾Represents counterparty netting against level 2 financial assets and liabilities where a legally enforceable master netting agreement exists between ~~State Street~~us and the counterparty. Netting also reflects asset and liability reductions of ~~$906 million~~$3.30 billion and ~~$2,356 million,~~$2.73 billion, respectively, for cash collateral received from and provided to derivative counterparties.

⁽²⁾AsConsists entirely of ~~December 31, 2016, the fair value of other ABS was primarily composed of $905 million of CLOs.~~non-agency CMBS.

⁽³⁾~~As of December 31, 2016, the fair value of other non-U.S. debt securities was primarily composed of $3,769 million of covered bonds and $988 million of corporate bonds.~~

State Street Corporation | 6455

~~Table of Contents~~

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The following tables present activity related to our level 3 financial assets during the three ~~and nine~~ months ended ~~September 30, 2017~~March 31, 2023 and ~~2016,~~2022, respectively. Transfers into and out of level 3 are reported as of the beginning of the period presented. During both the three ~~and nine~~ months ended ~~September 30, 2017,~~March 31, 2023 and 2022, there were no transfers into ~~level 3 were mainly related to certain ABS~~ and MBS, including non-U.S. debt securities, for which fair value was measured using information obtained from third-party sources, including non-binding broker or dealer quotes. During the nine months ended September 30, 2017 and 2016, transfers out of level ~~3 were mainly related to certain MBS and ABS, 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, 2017
Fair Value as of June 30, 2017 Total Realized and
Unrealized Gains (Losses) Purchases Sales Settlements Transfers into Level 3
Fair Value as of
September 30, 2017⁽²⁾
Change in
Unrealized
Gains
(Losses)
Related to
Financial
Instruments
Held as of
September 30, 2017
(In millions)
Recorded in Revenue⁽¹⁾

Recorded in Other Comprehensive Income⁽¹⁾

Assets:
AFS Investment securities:
U.S. Treasury and federal agencies:
Mortgage-backed securities $ —
$ —
$ —
$ —
—
$ —
$ 25
$ 25

Asset-backed securities:
Student loans —
—
—
200
—
—
—
200

Other 951
1
1
60
—
(2 ) 175
1,186

Total asset-backed securities 951
1
1
260
—
(2 ) 175
1,386

Non-U.S. debt securities:
Mortgage-backed securities —
—
—
118
—
—
—
118

Asset-backed securities 63
—
—
29
(10 ) —
15
97

Other 274
—
—
—
(80 ) 7
—
201

Total non-U.S. debt securities 337
—
—
147

(90 ) 7
15
416

State and political subdivisions 38
—
—
—
—
—
—
38

Other U.S. debt securities 19
—
—
—
—
—
—
19

Total AFS investment securities 1,345

1

1

407

(90 )
5

215

1,884

Other assets:
Derivative instruments:
Foreign exchange contracts 5
—
—
2
—
(5 ) —
2
$ (2 )
Total derivative instruments 5
—
—
2
—
(5 ) —
2
(2 )
Total assets carried at fair value $ 1,350

$ 1

$ 1

$ 409

$ (90 )
$ —

$ 215

$ 1,886
$ (2 )


	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2023
	Fair Value as of December 31, 2022		Total Realized and Unrealized Gains (Losses)(1)				Purchases		Sales		Settlements		Transfers into Level 3		Transfers out of Level 3		Fair Value as of March 31, 2023(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of March 31, 2023
(In millions)			Recorded in Revenue(1)		Recorded in Other Comprehensive Income(1)
Assets:















Other assets:
Derivative instruments:
Foreign exchange contracts	$	4	$	(2)	$	—	$	5	$	—	$	(3)	$	—	$	—	$	4	$	(2)


Total derivative instruments	4		(2)		—		5		—		(3)		—		—		4		(2)
Total assets carried at fair value	$	4	$	(2)	$	—	$	5	$	—	$	(3)	$	—	$	—	$	4	$	(2)

(1) Total realized and unrealized gains (losses) on derivative instruments are included within foreign exchange trading services.


	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31, 2022
	Fair Value as of December 31, 2021		Total Realized and Unrealized Gains (Losses)(1)				Purchases		Sales		Settlements		Transfers into Level 3		Transfers out of Level 3		Fair Value as of March 31, 2022(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of March 31, 2022
(In millions)			Recorded in Revenue(1)		Recorded in Other Comprehensive Income(1)
Assets:
















Other assets:
Derivative instruments:
Foreign exchange contracts	$	—	$	3	$	—	$	3	$	—	$	—	$	—	$	—	$	6	$	3
Total derivative instruments	—		3		—		3		—		—		—		—		6		3
Total assets carried at fair value	$	—	$	3	$	—	$	3	$	—	$	—	$	—	$	—	$	6	$	3

⁽¹⁾(1)Total realized and unrealized gains (losses) on AFS investment securities are included within gains (losses) related to investment securities, net. Total realized and unrealized gains (losses) on derivative instruments are included within foreign exchange trading services.

⁽²⁾ ~~There were no transfers of assets out of level 3 during the three months ended September 30, 2017.~~

~~State Street Corporation | 65~~

~~Table of Contents~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

Fair Value Measurements Using Significant Unobservable Inputs
Nine Months Ended September 30, 2017
Fair Value as of
December 31,
2016 Total Realized and
Unrealized Gains (Losses) Purchases Sales Settlements Transfers into Level 3 Transfers out of Level 3
Fair Value as of
September 30, 2017
Change in
Unrealized
Gains
(Losses)
Related to
Financial
Instruments
Held as of
September 30, 2017
(In millions)
Recorded in Revenue⁽¹⁾

Recorded in Other Comprehensive Income⁽¹⁾

Assets:
AFS Investment securities:
U.S. Treasury and federal agencies:
Mortgage-backed securities $ —
$ —
$ —
$ —
$ —
$ —
$ 25
$ —
$ 25

Asset-backed securities:
Student loans 97
—
1
200
—
—
—
(98 ) 200

Other 905
2
—
415
—
(412 ) 276
—
1,186

Total asset-backed securities 1,002

2

1

615
—

(412 )
276

(98 )
1,386

Non-U.S. debt securities:
Mortgage-backed securities —
—
—
118
—
—
—
—
118

Asset-backed securities 32
1
(1 ) 60
(10 ) (21 ) 67
(31 ) 97

Other 248
—
—
5
(80 ) 28
—
—
201

Total non-U.S. debt securities 280

1

(1 )
183
(90 )
7

67

(31 )
416

State and political subdivisions 39
—
—
—
—
(1 ) —
—
38

Collateralized mortgage obligations 16
—
—
23
—
—
—
(39 ) —

Other U.S. debt securities —
—
—
19
—
—
—
—
19

Total AFS investment securities 1,337

3

—

840
(90 )
(406 )
368

(168 )
1,884

Other assets:
Derivative instruments:
Foreign exchange contracts 8
(6 ) —
4
—
(4 ) —
—
2
$ (1 )
Total derivative instruments 8
(6 ) —
4
—
(4 ) —
—
2
(1 )
Total assets carried at fair value $ 1,345

$ (3 )
$ —

$ 844
$ (90 )
$ (410 )
$ 368

$ (168 )
$ 1,886
$ (1 )

⁽¹⁾Total realized and unrealized gains (losses) on AFS investment securities are included within gains (losses) related to investment securities, net. Total realized and unrealized gains (losses) on derivative instruments are included within trading services.

Fair Value Measurements Using Significant Unobservable Inputs
Three Months Ended September 30, 2016
Fair Value as of
June 30, 2016 Total Realized and
Unrealized Gains (Losses) Purchases Settlements Transfers
out of
Level 3
Fair Value as of September 30,
2016⁽²⁾
Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30,
2016
(In millions)
Recorded in Revenue⁽¹⁾

Recorded in Other Comprehensive Income⁽¹⁾

Assets:
AFS Investment securities:
U.S. Treasury and federal agencies, mortgage-backed securities $ 25
$ —
$ —
$ 25
$ —
$ —
$ 50

Asset-backed securities:
Student loans 190
—
2
—
—
—
192

Other 1,710
13
(8 ) 118
(560 ) —
1,273

Total asset-backed securities 1,900
13
(6 ) 118
(560 ) —
1,465

Non-U.S. debt securities:
Mortgage-backed securities —
—
—
90
—
—
90

Asset-backed securities 111
—
—
90
(9 ) (54 ) 138

Other 261
—
—
194
3
—
458

Total non-U.S. debt securities 372
—
—
374
(6 ) (54 ) 686

State and political subdivisions 33
—
7
—
—
—
40

Collateralized mortgage obligations 68
—
1
36
(3 ) —
102

Total AFS investment securities 2,398
13
2
553
(569 ) (54 ) 2,343

Total assets carried at fair value $ 2,398
$ 13
$ 2
$ 553
$ (569 ) $ (54 ) $ 2,343
$ —

⁽²⁾~~There were no transfers of assets into level 3 during the three months ended September 30, 2016.~~

~~State Street Corporation | 66~~

~~Table of Contents~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

Fair Value Measurements Using Significant Unobservable Inputs
Nine Months Ended September 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 September 30, 2016⁽²⁾
Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30,
2016
(In millions)
Recorded
in
Revenue⁽¹⁾

Recorded
in Other
Comprehensive
Income⁽¹⁾

Assets:
AFS Investment securities:
U.S. Treasury and federal agencies, mortgage-backed securities $ —
$ —
$ —
$ 325
$ —
$ (275 ) $ 50

Asset-backed securities:
Student loans 189
1
2
—
—
—
192

Other 1,764
29
(21 ) 250
(749 ) —
1,273

Total asset-backed securities 1,953
30
(19 ) 250
(749 ) —
1,465

Non-U.S. debt securities:
Mortgage-backed securities —
—
—
90
—
—
90

Asset-backed securities 174
—
(1 ) 196
(43 ) (188 ) 138

Other 255
—
—
223
9
(29 ) 458

Total non-U.S. debt securities 429
—
(1 ) 509
(34 ) (217 ) 686

State and political subdivisions 33
—
9
—
(2 ) —
40

Collateralized mortgage obligations 39
—
2
86
(25 ) —
102

Other U.S. debt securities 10
—
—
—
(10 ) —
—

Total AFS investment securities 2,464
30
(9 ) 1,170
(820 ) (492 ) 2,343

Other assets:
Derivative instruments:
Foreign exchange contracts 5
3
—
—
(8 ) —
—
$ —
Total derivative instruments 5
3
—
—
(8 )
—
—
—
Total assets carried at fair value $ 2,469
$ 33
$ (9 ) $ 1,170
$ (828 ) $ (492 ) $ 2,343
$ —

Fair Value Measurements Using Significant Unobservable Inputs
Nine Months Ended September 30, 2016

Fair Value as of December 31,
2015
Total Realized and
Unrealized (Gains) Losses Settlements
Fair Value as of September 30,
2016⁽³⁾

Change in Unrealized
(Gains) Losses Related to
Financial Instruments Held as of September 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⁾ Total realized and unrealized gains (losses) on AFS investment securities are included within gains (losses) related to investment securities, net. Total realized and unrealized gains (losses) on derivative instruments are included within trading services.

⁽²⁾~~There were no transfers of assets into level 3 during the nine months ended September 30, 2016.~~

⁽³⁾~~There were no transfers of liabilities into or out of level 3 during the nine months ended September 30, 2016.~~

~~State Street Corporation | 67~~

~~Table of Contents~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

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~~ broker/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											Quantitative Information about Level 3 Fair Value Measurements
	Fair Value						Weighted-Average					Fair Value						Range				Weighted-Average
(Dollars in millions)	As of September 30, 2017		As of December 31, 2016		Valuation Technique	Significant Unobservable Input⁽¹⁾	As of September 30, 2017		As of December 31, 2016		(Dollars in millions)	As of March 31, 2023		As of December 31, 2022		Valuation Technique	Significant Unobservable Input(1)	As of March 31, 2023				As of March 31, 2023		As of December 31, 2022
Significant unobservable inputs readily available to State Street:											Significant unobservable inputs readily available to State Street:
Assets:											Assets:
Asset-backed securities, other	$	—	$	1	Discounted cash flows	Credit spread	—	%	0.3	%
State and political subdivisions	38		39		Discounted cash flows	Credit spread	1.7		1.8
Derivative instruments, foreign exchange contracts	2		8		Option model	Volatility	8.3		14.4
Derivative Instruments, foreign exchange contracts											Derivative Instruments, foreign exchange contracts	$	4	$	4	Option model	Volatility	5.6	%	-	17.4%	10.9	%	11.4	%
Total	$	40	$	48							Total	$	4	$	4
Liabilities:											Liabilities:
Derivative instruments, foreign exchange contracts	$	2	$	8	Option model	Volatility	8.3		14.4		Derivative instruments, foreign exchange contracts	$	2	$	2	Option model	Volatility	8.1	%	-	16.4%	10.1	%	9.8	%
Total	$	2	$	8							Total	$	2	$	2

(1) Significant changes in these unobservable inputs ~~would~~may result in significant changes in fair value ~~measurement.~~measurement of the derivative instrument.

State Street Corporation | 56

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

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.~~indicated:


					Fair Value Hierarchy
(In millions)	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)
March 31, 2023
Financial Assets:
Cash and due from banks	$	3,698	3,698		$	3,698	$	—	$	—
Interest-bearing deposits with banks	87,935		87,935		—		87,935		—
Securities purchased under resale agreements	1,134		1,134		—		1,134		—

Investment securities held-to-maturity	65,027		59,139		11,475		47,664		—
Net loans(1)	33,801		33,581		—		31,541		2,040
Other(2)	3,626		3,626		—		3,626		—
Financial Liabilities:
Deposits:
Non-interest-bearing	$	45,856	$	45,856	$	—	$	45,856	$	—
Interest-bearing - U.S.	108,623		108,623		—		108,623		—
Interest-bearing - non-U.S.	69,152		69,152		—		69,152		—
Securities sold under repurchase agreements	3,695		3,695		—		3,695		—

Other short-term borrowings	8		8		—		8		—

Long-term debt	16,305		15,590		—		15,428		162
Other(2)	3,626		3,626		—		3,626		—

Fair Value Hierarchy
(In millions) 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)
September 30, 2017
Financial Assets:
Cash and due from banks $ 3,939
$ 3,939
$ 3,939
$ —
$ —
Interest-bearing deposits with banks 60,956
60,956
—
60,956
—
Securities purchased under resale agreements 3,465
3,465
—
3,465
—
Investment securities held-to-maturity 36,850
36,836
17,362
19,351
123
Net loans (excluding leases) 22,868
22,866
—
22,811
55
Financial Liabilities:
Deposits:
     Non-interest-bearing $ 49,850
$ 49,850
$ —
$ 49,850
$ —
     Interest-bearing - U.S. 49,394
49,394
—
49,394
—
     Interest-bearing - non-U.S. 80,019
80,019
—
80,019
—
Securities sold under repurchase agreements 3,867
3,867
—
3,867
—
Other short-term borrowings 1,253
1,253
—
1,253
—
Long-term debt 11,716
12,022
—
11,725
297

(1) Includes $12 million of loans classified as held-for-sale that were measured at fair value in level 2 as of March 31, 2023.

(2) Represents a portion of underlying client assets related to our enhanced custody business, which clients have allowed us to transfer and re-pledge.


					Fair Value Hierarchy
(In millions)	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)
December 31, 2022
Financial Assets:
Cash and due from banks	$	3,970	$	3,970	$	3,970	$	—	$	—
Interest-bearing deposits with banks	101,593		101,593		—		101,593		—
Securities purchased under resale agreements	5,215		5,215		—		5,215		—

Investment securities held-to-maturity	64,700		57,913		11,336		46,577		—
Net loans(1)	32,053		31,794		—		29,679		2,115
Other(2)	3,626		3,626		—		3,626		—
Financial Liabilities:
Deposits:
Non-interest-bearing	$	46,755	$	46,755	$	—	$	46,755	$	—
Interest-bearing - U.S.	111,384		111,384		—		111,384		—
Interest-bearing - non-U.S.	77,325		77,325		—		77,325		—
Securities sold under repurchase agreements	1,177		1,177		—		1,177		—

Other short-term borrowings	2,097		2,097		—		2,097		—
Long-term debt	14,996		14,273		—		14,102		171
Other(2)	3,626		3,626		—		3,626		—

(1) Includes $5 million of loans classified as held-for-sale that were measured at fair value in level 2 as of December 31, 2022.

(2) Represents a portion of underlying client assets related to our enhanced custody business, which clients have allowed us to transfer and re-pledge.

State Street Corporation | 6857

~~Table of Contents~~

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Fair Value Hierarchy
(In millions) 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)
December 31, 2016
Financial Assets:
Cash and due from banks $ 1,314
$ 1,314
$ 1,314
$ —
$ —
Interest-bearing deposits with banks 70,935
70,935
—
70,935
—
Securities purchased under resale agreements 1,956
1,956
—
1,956
—
Investment securities held-to-maturity 35,169
34,994
17,400
17,439
155
Net loans (excluding leases) 18,862
18,877
—
18,781
96
Financial Liabilities:
Deposits:
     Non-interest-bearing $ 59,397
$ 59,397
$ —
$ 59,397
$ —
     Interest-bearing - U.S. 30,911
30,911
—
30,911
—
     Interest-bearing - non-U.S. 96,855
96,855
—
96,855
—
Securities sold under repurchase agreements 4,400
4,400
—
4,400
—
Other short-term borrowings 1,585
1,585
—
1,585
—
Long-term debt 11,430
11,618
—
11,282
336

~~State Street Corporation | 69~~

~~Table of Contents~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

Note 3. Investment Securities

Investment securities held by us are classified as either trading account assets, AFS, HTM or ~~HTM~~equity securities held at fair value at the time of purchase and reassessed periodically, based on management’s intent.

~~Generally, trading assets are debt and equity securities purchased in connection with~~ For additional information on our trading activities and, as such, are expected to be sold in the near term. Our trading activities typically involve active and frequent buying and selling with the objective of generating profits on short-term movements. AFSaccounting for investment securities, ~~are those securities that we intend~~refer to ~~hold for an indefinite period of time. AFS investment securities include securities utilized as part of~~page 140 in Note 3 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our asset-and-liability management activities that may be sold in response to changes in interest rates, prepayment risk, liquidity needs or other factors. HTM securities are debt securities that management has the intent and the ability to hold to maturity.2022 Form 10-K.

Trading assets are carried at fair value. Both realized and unrealized gains and losses on trading assets are recorded in ~~trading services~~other fee revenue in our consolidated statement of income. ~~Debt and marketable equity~~AFS securities ~~classified as AFS~~ are carried at fair value, with any allowance for credit losses recorded through the consolidated statement of income and after-tax net unrealized gains and losses are recorded in AOCI. Gains or losses realized on sales of AFS investment securities are computed using the specific identification method and are recorded in gains (losses) related to investment securities, net, in our consolidated statement of income. HTM investment securities are carried at cost, adjusted for amortization of premiums and accretion of ~~discounts.~~

discounts, with any allowance for credit losses recorded through the consolidated statement of income.

State Street Corporation | 7058

~~Table of Contents~~

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The following table presents the amortized cost, fair value and associated unrealized gains and losses of AFS and HTM investment securities as of the dates indicated:


	September 30, 2017								December 31, 2016									March 31, 2023												December 31, 2022
	Amortized Cost		Gross Unrealized				Fair Value		Amortized Cost		Gross Unrealized				Fair Value			Amortized Cost			Gross Unrealized						Fair Value			Amortized Cost			Gross Unrealized						Fair Value
(In millions)			Gains		Losses						Gains		Losses				(In millions)				Gains			Losses									Gains			Losses
Available-for-sale:																	Available-for-sale:
U.S. Treasury and federal agencies:																	U.S. Treasury and federal agencies:
Direct obligations	$	617	$	4	$	1	$	620	$	4,265	$	7	$	9	$	4,263	Direct obligations	$	7,834		$	11		$	218		$	7,627		$	8,232		$	10		$	261		$	7,981
Mortgage-backed securities	11,044		51		95		11,000		13,340		76		159		13,257
Asset-backed securities:
Student loans⁽¹⁾	4,795		39		8		4,826		5,659		12		75		5,596
Credit cards	1,567		3		22		1,548		1,377		—		26		1,351
Sub-prime	—		—		—		—		289		1		18		272
Other⁽²⁾⁽³⁾	1,213		8		—		1,221		895		10		—		905
Total asset-backed securities	7,575		50		30		7,595		8,220		23		119		8,124
Mortgage-backed securities(1)																	Mortgage-backed securities(1)	9,345			4			169			9,180			8,767			2			260			8,509
Total U.S. Treasury and federal agencies																	Total U.S. Treasury and federal agencies	17,179			15			387			16,807			16,999			12			521			16,490
Non-U.S. debt securities:																	Non-U.S. debt securities:
Mortgage-backed securities	7,041		36		3		7,074		6,506		35		6		6,535		Mortgage-backed securities	1,576			1			14			1,563			1,642			—			19			1,623
Asset-backed securities	2,833		6		—		2,839		2,513		4		1		2,516
Government securities	6,666		8		16		6,658		5,834		8		6		5,836
Other⁽³⁾	5,783		39		4		5,818		5,587		31		5		5,613
Asset-backed securities(2)																	Asset-backed securities(2)	1,702			—			24			1,678			1,696			—			27			1,669
Non-U.S. sovereign, supranational and non-U.S. agency																	Non-U.S. sovereign, supranational and non-U.S. agency	16,202			6			358			15,850			14,512			1			424			14,089
Other⁽²⁾⁽³⁾																	2,454			2			141			2,315			2,255			—			164			2,091
Total non-U.S. debt securities	22,323		89		23		22,389		20,440		78		18		20,500		Total non-U.S. debt securities	21,934			9			537			21,406			20,105			1			634			19,472
Asset-backed securities:																	Asset-backed securities:
Student loans(4)																	Student loans(4)	110			—			—			110			116			—			1			115

Collateralized loan obligations(5)																	Collateralized loan obligations(5)	2,437			—			31			2,406			2,394			—			39			2,355
Non-agency CMBS and RMBS(6)																	Non-agency CMBS and RMBS(6)	266			—			6			260			237			—			6			231
Other																	Other	90			—			—			90			90			—			2			88
Total asset-backed securities																	Total asset-backed securities	2,903			—			37			2,866			2,837			—			48			2,789

State and political subdivisions	9,444		322		28		9,738		10,233		201		112		10,322		State and political subdivisions	786			3			12			777			839			1			17			823
Collateralized mortgage obligations	1,522		15		9		1,528		2,610		18		35		2,593
Other U.S. debt securities	2,923		20		15		2,928		2,481		18		30		2,469
U.S. equity securities	40		8		2		46		39		6		3		42
Non-U.S. equity securities	—		—		—		—		3		—		—		3
U.S. money-market mutual funds	394		—		—		394		409		—		—		409
Non-U.S. money-market mutual funds	—		—		—		—		16		—		—		16
Total	$	55,882	$	559	$	203	$	56,238	$	62,056	$	427	$	485	$	61,998

Other U.S. debt securities(7)																	Other U.S. debt securities(7)	1,049			—			64			985			1,078			—			73			1,005

Total available-for-sale securities(8)(9)																	Total available-for-sale securities(8)(9)	$	43,851		$	27		$	1,037		$	42,841		$	41,858		$	14		$	1,293		$	40,579
Held-to-maturity:																	Held-to-maturity:
U.S. Treasury and federal agencies:																	U.S. Treasury and federal agencies:
Direct obligations	$	17,456	$	20	$	37	$	17,439	$	17,527	$	17	$	58	$	17,486	Direct obligations	$	11,747		$	—		$	258		$	11,489		$	11,693		$	—		$	341		$	11,352
Mortgage-backed securities	12,375		38		169		12,244		10,334		20		221		10,133
Mortgage-backed securities(10)																	Mortgage-backed securities(10)	42,262			11			5,294			36,979			42,307			3			6,030			36,280
Total U.S. Treasury and federal agencies																	Total U.S. Treasury and federal agencies	54,009			11			5,552			48,468			54,000			3			6,371			47,632
Non-U.S. debt securities:																	Non-U.S. debt securities:

Non-U.S. sovereign, supranational and non-U.S. agency																	Non-U.S. sovereign, supranational and non-U.S. agency	7,228			1			259			6,970			6,603			—			304			6,299

Total non-U.S. debt securities																	Total non-U.S. debt securities	7,228			1			259			6,970			6,603			—			304			6,299
Asset-backed securities:																	Asset-backed securities:
Student loans⁽¹⁾	3,116		25		13		3,128		2,883		5		30		2,858
Credit cards	798		3		—		801		897		2		—		899
Other	1		—		—		1		35		—		—		35
Student loans(4)																	Student loans(4)	3,740			1			108			3,633			3,955			1			134			3,822

Non-agency CMBS and RMBS(11)																	Non-agency CMBS and RMBS(11)	50			18			—			68			142			18			—			160

Total asset-backed securities	3,915		28		13		3,930		3,815		7		30		3,792		Total asset-backed securities	3,790			19			108			3,701			4,097			19			134			3,982
Non-U.S. debt securities:
Mortgage-backed securities	1,000		84		7		1,077		1,150		70		15		1,205
Asset-backed securities	325		1		—		326		531		—		—		531
Government securities	483		2		—		485		286		3		—		289
Other	47		—		—		47		113		1		—		114
Total non-U.S. debt securities	1,855		87		7		1,935		2,080		74		15		2,139
Collateralized mortgage obligations	1,249		44		5		1,288		1,413		42		11		1,444
Total	$	36,850	$	217	$	231	$	36,836	$	35,169	$	160	$	335	$	34,994

Total held-to-maturity securities(8)																	Total held-to-maturity securities(8)	$	65,027		$	31		$	5,919		$	59,139		$	64,700		$	22		$	6,809		$	57,913

(1) As of March 31, 2023 and December 31, 2022, the total fair value included $6.53 billion and $6.78 billion, respectively, of agency CMBS and $2.65 billion and $1.73 billion, respectively, of agency MBS.

⁽¹⁾(2) As of March 31, 2023 and December 31, 2022, the fair value includes non-U.S. collateralized loan obligations of $0.90 billion and $0.86 billion, respectively.

(3) As of March 31, 2023 and December 31, 2022, the fair value includes non-U.S. corporate bonds of $1.39 billion and $1.14 billion, respectively.

(4)Primarily ~~composed~~comprised of securities guaranteed by the federal government with respect to at least 97% of defaulted principal and accrued interest on the underlying loans.

⁽²⁾As(5) Excludes collateralized loan obligations in loan form. Refer to Note 4 for additional information.

(6) Consists entirely of ~~September 30, 2017~~non-agency CMBS as of both March 31, 2023 and December 31, ~~2016,~~2022.

(7) As of March 31, 2023 and December 31, 2022, the fair value of ~~other~~ ~~ABS~~U.S. corporate bonds was ~~primarily composed~~$0.99 billion and $1.01 billion, respectively.

(8) An immaterial amount of ~~$1,221~~accrued interest related to HTM and AFS investment securities was excluded from the amortized cost basis for the period ended March 31, 2023.

(9) As of both March 31, 2023 and December 31, 2022, total amortized cost included an allowance for credit losses on AFS investment securities of $2 million.

(10) As of March 31, 2023 and December 31, 2022, the total amortized cost included $5.29 billion and $4.99 billion of agency CMBS, respectively.

(11) As of March 31, 2023 and December 31, 2022, the total amortized cost included $42 million and ~~$905~~$133 million, respectively, of ~~CLOs.~~

⁽³⁾~~As of September 30, 2017~~non-agency CMBS and ~~December 31, 2016, the fair value of other non-U.S. debt securities was primarily composed of $3,600~~$8 million and ~~$3,769~~$9 million, respectively, of ~~covered bonds and $1,503 million and $988 million, as of September 30, 2017 and December 31, 2016, respectively, of corporate bonds.~~non-agency RMBS.

State Street Corporation | 7159

~~Table of Contents~~

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Aggregate investment securities with carrying values of approximately ~~$52~~$80.70 billion and ~~$46~~$70.52 billion as of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016,~~2022, respectively, were designated as pledged for public and trust deposits, short-term borrowings and for other purposes as provided by law.

In the first quarter of 2017, we sold $2.7 billion of AFS, primarily Agency MBS and U.S. Treasury securities in our investment portfolio, in response to the current interest rate environment resulting in a pre-tax loss of $40 million.

The following tables present the aggregate fair values of AFS investment securities that have been in a continuous unrealized loss position for less than 12 months, and those that have been in a continuous unrealized loss position for 12 months or longer, as of the dates indicated:


	March 31, 2023
	Less than 12 months				12 months or longer				Total
(In millions)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations	$	127	$	—	$	6,536	$	218	$	6,663	$	218
Mortgage-backed securities	3,682		41		4,859		128		8,541		169
Total U.S. Treasury and federal agencies	3,809		41		11,395		346		15,204		387
Non-U.S. debt securities:
Mortgage-backed securities	394		2		965		12		1,359		14
Asset-backed securities	276		1		1,275		23		1,551		24
Non-U.S. sovereign, supranational and non-U.S. agency	4,738		29		8,539		329		13,277		358
Other	440		7		1,657		134		2,097		141
Total non-U.S. debt securities	5,848		39		12,436		498		18,284		537
Asset-backed securities:

Collateralized loan obligations	426		5		1,851		26		2,277		31
Non-agency CMBS and RMBS	143		3		96		3		239		6

Total asset-backed securities	569		8		1,947		29		2,516		37






State and political subdivisions	199		3		241		9		440		12

Other U.S. debt securities	66		4		919		60		985		64


Total	$	10,491	$	95	$	26,938	$	942	$	37,429	$	1,037

Less than 12 months 12 months or longer Total
September 30, 2017
Fair
Value

Gross
Unrealized
Losses

Fair
Value

Gross
Unrealized
Losses

Fair
Value

Gross
Unrealized
Losses
(In millions)
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations $ —
$ —
$ 153
$ 1
$ 153
$ 1
Mortgage-backed securities 4,382
51
1,880
44
6,262
95
Asset-backed securities:
Student loans —
—
1,191
8
1,191
8
Credit cards 499
22
—
—
499
22
Total asset-backed securities 499

22

1,191

8

1,690

30
Non-U.S. debt securities:
Mortgage-backed securities 780
2
569
1
1,349
3
Government securities 4,965
16
—
—
4,965
16
Other 447
3
229
1
676
4
Total non-U.S. debt securities 6,192

21

798

2

6,990

23
State and political subdivisions 1,052
15
525
13
1,577
28
Collateralized mortgage obligations 550
7
56
2
606
9
Other U.S. debt securities 1,141
14
75
1
1,216
15
U.S. equity securities —
—
6
2
6
2
Total $ 13,816
$ 130
$ 4,684
$ 73
$ 18,500
$ 203
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations $ 9,660
$ 36
$ 77
$ 1
$ 9,737
$ 37
Mortgage-backed securities 6,939
152
493
17
7,432
169
Asset-backed securities:

Student loans 544
8
389
5
933
13
Total asset-backed securities 544
8
389
5

933

13
Non-U.S. debt securities:
Mortgage-backed securities —
—
259
7
259
7
Total non-U.S. debt securities —

—

259

7

259

7
Collateralized mortgage obligations 245
2
176
3
421
5
Total $ 17,388

$ 198

$ 1,394

$ 33

$ 18,782

$ 231


	December 31, 2022
	Less than 12 months				12 months or longer				Total
(In millions)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations	$	1,337	$	15	$	5,745	$	246	$	7,082	$	261
Mortgage-backed securities	5,524		130		2,815		130		8,339		260
Total U.S. Treasury and federal agencies	6,861		145		8,560		376		15,421		521






Non-U.S. debt securities:
Mortgage-backed securities	1,278		15		272		4		1,550		19
Asset-backed securities	859		11		765		16		1,624		27
Non-U.S. sovereign, supranational and non-U.S. agency	6,750		108		5,800		316		12,550		424
Other	771		27		1,233		137		2,004		164
Total non-U.S. debt securities	9,658		161		8,070		473		17,728		634
Asset-backed securities:
Student loans	89		1		—		—		89		1
Collateralized loan obligations	1,577		27		710		12		2,287		39
Non-agency CMBS and RMBS	193		6		3		—		196		6
Other	88		2		—		—		88		2
Total asset-backed securities	1,947		36		713		12		2,660		48
State and political subdivisions	669		12		42		5		711		17

Other U.S. debt securities	294		15		708		58		1,002		73

Total	$	19,429	$	369	$	18,093	$	924	$	37,522	$	1,293

State Street Corporation | 7260

~~Table of Contents~~

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Less than 12 months 12 months or longer Total
December 31, 2016
Fair
Value

Gross
Unrealized
Losses

Fair
Value

Gross
Unrealized
Losses

Fair
Value

Gross
Unrealized
Losses
(In millions)
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations $ 651
$ 8
$ 180
$ 1
$ 831
$ 9
Mortgage-backed securities 7,072
131
1,114
28
8,186
159
Asset-backed securities:
Student loans 54
—
3,745
75
3,799
75
Credit cards 795
1
494
25
1,289
26
Sub-prime 1
—
252
18
253
18
Other 75
—
—
—
75
—
Total asset-backed securities 925
1
4,491
118
5,416
119
Non-U.S. debt securities:
Mortgage-backed securities 442
1
893
5
1,335
6
Asset-backed securities 253
—
276
1
529
1
Government securities 1,314
6
—
—
1,314
6
Other 670
4
218
1
888
5
Total non-U.S. debt securities 2,679
11
1,387
7
4,066
18
State and political subdivisions 3,390
102
304
10
3,694
112
Collateralized mortgage obligations 1,259
31
162
4
1,421
35
Other U.S. debt securities 944
24
157
6
1,101
30
U.S. equity securities 8
—
5
3
13
3
Total $ 16,928
$ 308
$ 7,800
$ 177
$ 24,728
$ 485
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations $ 8,891
$ 57
$ 86
$ 1
$ 8,977
$ 58
Mortgage-backed securities 6,838
221
—
—
6,838
221
Asset-backed securities:
Student loans 705
9
1,235
21
1,940
30
Credit cards 33
—
—
—
33
—
Other 18
—
9
—
27
—
Total asset-backed securities 756
9
1,244
21
2,000
30
Non-U.S. debt securities:
Mortgage-backed securities 54
2
330
13
384
15
Asset-backed securities 28
—
35
—
63
—
Government securities 180
—
—
—
180
—
Total non-U.S. debt securities 262
2
365
13
627
15
Collateralized mortgage obligations 537
4
204
7
741
11
Total $ 17,284
$ 293
$ 1,899
$ 42
$ 19,183
$ 335

~~State Street Corporation | 73~~

~~Table of Contents~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

The following table presents the amortized cost and the fair value of contractual maturities of debt investment securities ~~by carrying amount~~ as of ~~September 30, 2017.~~March 31, 2023. The maturities of certain ABS, MBS and collateralized mortgage obligations are based on expected principal payments. Actual maturities may differ from these expected maturities since certain borrowers have the right to prepay obligations with or without prepayment penalties.

Under 1
Year

1 to 5
Years

6 to 10
Years

Over 10
Years
Total
(In millions)
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations $ 232
$ 7
$ 55
$ 326
$ 620
Mortgage-backed securities 270
1,311
3,424
5,995
11,000
Asset-backed securities:
Student loans 408
1,634
1,159
1,625
4,826
Credit cards —
1,296
252
—
1,548
Other —
120
1,101
—
1,221
Total asset-backed securities 408
3,050
2,512
1,625
7,595
Non-U.S. debt securities:
Mortgage-backed securities 837

4,128

1,046

1,063
7,074
Asset-backed securities 395

2,182

262

—
2,839
Government securities 3,000

2,288

1,370

—
6,658
Other 1,485

3,607

726

—
5,818
Total non-U.S. debt securities 5,717
12,205
3,404
1,063
22,389
State and political subdivisions 433

2,525

5,020

1,760
9,738
Collateralized mortgage obligations 7

148

343

1,030
1,528
Other U.S. debt securities 404

1,052

1,472

—
2,928
Total $ 7,471
$ 20,298
$ 16,230
$ 11,799
$ 55,798
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations $ 1,827

$ 15,552

$ 14

$ 63
$ 17,456
Mortgage-backed securities —

172

1,427

10,776
12,375
Asset-backed securities:

Student loans 87

240

298

2,491
3,116
Credit cards 178

620

—

—
798
Other —

—

—

1
1
Total asset-backed securities 265
860
298
2,492
3,915
Non-U.S. debt securities:
Mortgage-backed securities 173

221

49

557
1,000
Asset-backed securities 84

241

—

—
325
Government securities 364

119

—

—
483
Other —

47

—

—
47
Total non-U.S. debt securities 621
628
49
557
1,855
Collateralized mortgage obligations 9

117

373

750
1,249
Total $ 2,722
$ 17,329
$ 2,161
$ 14,638
$ 36,850

~~State Street Corporation | 74~~

~~Table of Contents~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

~~The following table presents a roll-forward with respect to net impairment losses that have been recognized in income for the periods indicated.~~

Nine Months Ended September 30,
(In millions) 2017 2016
Balance, beginning of period $ 66
$ 92
Additions:
Losses for which OTTI was previously recognized —
2
Deductions:
Previously recognized losses related to securities sold or matured (2 ) (26 )
Balance, end of period $ 64
$ 68


	March 31, 2023
(In millions)	Under 1 Year				1 to 5 Years				6 to 10 Years				Over 10 Years				Total
	Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations	$	1,505	$	1,492	$	5,781	$	5,577	$	548	$	558	$	—	$	—	$	7,834	$	7,627
Mortgage-backed securities	56		55		633		627		5,987		5,914		2,669		2,584		9,345		9,180
Total U.S. Treasury and federal agencies	1,561		1,547		6,414		6,204		6,535		6,472		2,669		2,584		17,179		16,807
Non-U.S. debt securities:
Mortgage-backed securities	120		120		321		320		—		—		1,135		1,123		1,576		1,563
Asset-backed securities	340		335		545		537		487		481		330		325		1,702		1,678
Non-U.S. sovereign, supranational and non-U.S. agency	5,815		5,759		7,371		7,100		3,016		2,991		—		—		16,202		15,850
Other	290		285		1,949		1,834		206		188		9		8		2,454		2,315
Total non-U.S. debt securities	6,565		6,499		10,186		9,791		3,709		3,660		1,474		1,456		21,934		21,406
Asset-backed securities:
Student loans	37		37		—		—		—		—		73		73		110		110
Collateralized loan obligations	118		117		383		377		1,292		1,274		644		638		2,437		2,406
Non-agency CMBS and RMBS	—		—		20		20		—		—		246		240		266		260
Other	—		—		90		90		—		—		—		—		90		90
Total asset-backed securities	155		154		493		487		1,292		1,274		963		951		2,903		2,866






State and political subdivisions	126		125		269		264		347		349		44		39		786		777

Other U.S. debt securities	231		225		789		734		29		26		—		—		1,049		985
Total	$	8,638	$	8,550	$	18,151	$	17,480	$	11,912	$	11,781	$	5,150	$	5,030	$	43,851	$	42,841
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations	$	5,771	$	5,681	$	5,940	$	5,774	$	24	$	23	$	12	$	11	$	11,747	$	11,489
Mortgage-backed securities	144		133		583		550		4,579		3,883		36,956		32,413		42,262		36,979
Total U.S. Treasury and federal agencies	5,915		5,814		6,523		6,324		4,603		3,906		36,968		32,424		54,009		48,468








Non-U.S. debt securities:


Non-U.S. sovereign, supranational and non-U.S. agency	2,119		2,083		4,398		4,221		711		666		—		—		7,228		6,970

Total non-U.S. debt securities	2,119		2,083		4,398		4,221		711		666		—		—		7,228		6,970


Asset-backed securities:
Student loans	266		258		7		7		892		873		2,575		2,495		3,740		3,633

Non-agency CMBS and RMBS	43		49		—		—		—		—		7		19		50		68
Total asset-backed securities	309		307		7		7		892		873		2,582		2,514		3,790		3,701
Total	$	8,343	$	8,204	$	10,928	$	10,552	$	6,206	$	5,445	$	39,550	$	34,938	$	65,027	$	59,139

Interest income related to debt securities is recognized in our consolidated statement of income using the effective interest method, or on a basis approximating a level rate of return over the contractual or estimated life of the security. The level rate of return considers any non-refundable fees or costs, as well as purchase premiums or discounts, adjusted as prepayments occur, resulting in amortization or accretion, accordingly.

~~For debt securities acquired~~

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Allowance for ~~which we consider it probable as~~Credit Losses on Debt Securities and Impairment of the date of acquisition that we will be unable to collect all contractually required principal, interest and other payments, the excess of our estimate of undiscounted future cash flows from these securities over their initial recorded investment is accreted into interest income on a level-yield basis over the securities’ estimated remaining terms. Subsequent decreases in these securities’ expected future cash flows are either recognized prospectively through an adjustment of the yields on the securities over their remaining terms, or are evaluated for other-than-temporary impairment. Increases in expected future cash flows are recognized prospectively over the securities’ estimated remaining terms through the recalculation of their yields.

For certain debt securities acquired which are considered to be beneficial interests in securitized financial assets, the excess of our estimate of undiscounted future cash flows from these securities over their initial recorded investment is accreted into interest income on a level-yield basis over the securities’ estimated remaining terms. Subsequent decreases in these securities’ expected future cash flows are either recognized prospectively through an adjustment of the yields on the securities over their remaining terms, or are evaluated for OTTI. Increases in expected future cash flows are recognized prospectively over the securities’ estimated remaining terms through the recalculation of their yields.

~~Impairment~~AFS Securities

We conduct ~~periodic~~quarterly reviews of HTM and AFS securities on a collective (pool) basis when similar risk characteristics exist to determine whether an allowance for credit losses should be recognized. We review individual AFS securities periodically to assess ~~whether OTTI exists.~~if additional impairment is required. For additional information about the Current Expected Credit Loss methodology and the review of investment securities for expected credit losses or impairment, refer to pages ~~149~~144 to ~~152~~145 in Note 3 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our ~~2016~~2022 Form 10-K.

We ~~recorded less than $1 million~~monitor the credit quality of ~~OTTI in~~ the ~~nine months ended September 30, 2017~~HTM and AFS investment securities using a variety of methods, including both external and internal credit ratings. As of March 31, 2023, 99% of our HTM and AFS investment portfolio is publicly rated investment grade.

We had no allowance for credit losses on our HTM securities as of both March 31, 2023 and December 31, 2022.

Our allowance for credit losses on our AFS securities was approximately $2 million as of ~~OTTI in~~both March 31, 2023 and December 31, 2022. In the ~~nine months ended September 30, 2016, which resulted from adverse changes in the timing~~first quarter of ~~expected future cash flows~~2023, we recorded no provision for credit losses and no charge-offs on AFS securities.

We have elected to not record an allowance on accrued interest for HTM and AFS securities. Accrued interest on these securities is reversed against interest income when payment on a security is delinquent for greater than 90 days from the ~~securities.~~date of payment.

After a review of the investment portfolio, taking into consideration ~~current~~then-current economic conditions, adverse situations that might affect our ability to fully collect principal and interest, the timing of future payments, the credit quality and performance of the collateral underlying MBS and ABS and other relevant factors, management ~~considers the aggregate decline in fair value of the investment securities portfolio and~~considered the resulting gross pre-tax unrealized losses of ~~$434 million~~$6.96 billion related to ~~1,151~~2,061 securities as of ~~September 30, 2017~~March 31, 2023 to be ~~temporary,~~primarily related to changes in interest rates, and not the result of any material changes in the credit characteristics of the securities.

Note 4. Loans and ~~Leases~~Allowance for Credit Losses

We segregate our loans ~~and leases~~ into ~~three~~two segments: commercial and financial loans and commercial real estate ~~loans, and lease financing.~~loans. We further classify commercial and financial loans as fund finance loans, ~~to investment funds, senior secured bank~~leveraged loans, ~~loans to municipalities,~~collateralized loan obligations in loan form, overdrafts and other. These classifications reflect their risk characteristics, their initial measurement attributes and the methods we use to monitor and assess credit risk. For additional information on our loans, ~~and leases,~~ including our internal risk-rating system used to assess our risk of credit loss for each loan, ~~or lease,~~ refer to pages ~~152~~145 to ~~155~~150 in Note 4 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our ~~2016~~2022 Form 10-K.

The following table presents our recorded investment in loans, by segment, as of the dates indicated:


(In millions)	March 31, 2023		December 31, 2022
Domestic(1):
Commercial and financial:
Fund Finance(2)	$	12,184	$	12,154
Leveraged loans	2,278		2,431

Overdrafts	2,418		1,707
CLOs	100		100
Other(3)	1,992		1,871
Commercial real estate	2,901		2,985

Total domestic	$	21,873	$	21,248
Foreign(1):
Commercial and financial:
Fund Finance(2)	$	4,556	$	3,949
Leveraged loans	1,114		1,118
Overdrafts	1,389		1,094
CLOs	4,984		4,741






Total foreign	12,043		10,902
Total loans(4)	33,916		32,150
Allowance for credit losses	(115)		(97)
Loans, net of allowance	$	33,801	$	32,053

(1) Domestic and foreign categorization is based on the borrower’s country of domicile.

(2) Fund finance loans include primarily $8.99 billion private equity capital call finance loans, $5.97 billion loans to real money funds and $1.21 billion loans to business development companies as of March 31, 2023, compared to $7.57 billion private equity capital call finance loans, $6.61 billion loans to real money funds and $1.11 billion loans to business development companies as of December 31, 2022.

(4) As of March 31, 2023, excluding overdrafts, floating rate loans totaled $27.34 billion and fixed rate loans totaled $2.77 billion. We have entered into interest rate swap agreements to hedge the forecasted cash flows associated with EURIBOR indexed floating-rate loans. See Note 10 to the consolidated financial statements in our 2022 Form 10-K for additional details.

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STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

~~The following table presents our recorded investment in loans and leases, by segment, as of the dates indicated:~~

(In millions) September 30, 2017 December 31, 2016
Domestic:
Commercial and financial:
Loans to investment funds $ 12,886
$ 11,734
Senior secured bank loans 3,377
3,256
Loans to municipalities 1,955
1,352
Other 55
70
Commercial real estate —
27
Lease financing 283
338
Total domestic 18,556
16,777
Non-U.S.:
Commercial and financial:
Loans to investment funds 4,138
2,224
Senior secured bank loans 514
252
Lease financing 430
504
Total non-U.S. 5,082
2,980
Total loans and leases 23,638
19,757
Allowance for loan and lease losses (57 ) (53 )
Loans and leases, net of allowance $ 23,581
$ 19,704

The commercial and financial segment is composed of primarily ~~floating-rate~~fund finance loans, ~~to mutual fund clients,~~ purchased ~~senior secured bank~~leveraged loans, purchased collateralized loan obligations in loan form, overdrafts and other loans. Fund finance loans ~~to municipalities. Investment fund lending is~~are composed of ~~short-duration~~ revolving credit lines providing liquidity and leverage to mutual fund ~~clients in support of~~and private equity fund clients. These classifications reflect their ~~transaction flows associated with securities' settlement activities.~~risk characteristics, their initial measurement attributes and the methods we use to monitor and assess credit risk.

Certain loans are pledged as collateral for access to the Federal Reserve's discount window. As of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016,~~2022, the loans pledged as collateral totaled ~~$1.7~~$9.71 billion and ~~$1.5~~$10.17 billion, respectively.

As of March 31, 2023, we had one $45 million loan on non-accrual status and as of December 31, 2022, we had no loans on non-accrual status.

We sold $283 million of loans in the first quarter of 2023, of which $12 million remained unsettled and was held-for-sale as of March 31, 2023. We recorded a charge-off against the allowance for these loans of $3 million in the first quarter of 2023.

Allowance for Credit Losses

We recognize an allowance for credit losses in accordance with ASC 326 for financial assets held at amortized cost and off-balance sheet commitments. The allowance for credit losses is reviewed on a regular basis, and any provision for credit losses is recorded to reflect the amount necessary to maintain the allowance for expected credit losses at a level which represents what management does not expect to recover due to expected credit losses. For additional discussion on the allowance for credit losses for investment securities, please refer to Note 3, to the consolidated financial statements in this Form 10-Q.

When the allowance is recorded, a provision for credit loss expense is recognized in net income. The allowance for credit losses for financial assets (excluding investment securities, as discussed in Note 3) represents the portion of the amortized cost basis, including accrued interest for financial assets held at amortized cost, which management does not expect to recover due to expected credit losses and is presented on the statement of condition as an offset to the amortized cost basis. The accrued interest balance is presented separately on the statement of condition within accrued interest and fees receivable. The allowance for off-balance sheet commitments is presented within other liabilities. Loans are charged off to the allowance for credit losses in the reporting period in which either an event occurs that confirms the existence of a loss on a loan, including a sale of a loan below its carrying value, or a portion of a loan is determined to be uncollectible.

The allowance for credit losses may be determined using various methods, including discounted cash flow methods, loss-rate methods, probability-of-default methods, and other quantitative or qualitative methods as determined by us. The method used to estimate expected credit losses may vary depending on the type of financial asset, our ability to predict the timing of cash flows, and the information available to us.

The allowance for credit losses as reported in our consolidated statement of condition is adjusted by provision for credit losses, which is reported in earnings, and reduced by the charge-off of principal amounts, net of recoveries.

We measure expected credit losses of financial assets on a collective (pool) basis when similar risk characteristics exist. Each reporting period, we assess whether the assets in the pool continue to display similar risk characteristics.

For a financial asset that does not share risk characteristics with other assets, expected credit losses are measured separately using one or more of the methods noted above. As of March 31, 2023, we had 7 loans for $174 million in the commercial and financial segment that no longer met the similar risk characteristics of their collective pool. We recorded an allowance for credit losses of $23 million as of March 31, 2023 on these loans. Additionally, as of March 31, 2023, we had one interest-bearing deposit with banks for $1 billion that did not meet the similar risk characteristics of the collective pool. We recorded an allowance for credit losses of $29 million as of March 31, 2023 for this deposit.

When the asset is collateral dependent, which means when the borrower is experiencing financial difficulty and repayment is expected to be provided substantially through the operation or sale of the collateral, expected credit losses are measured as the difference between the amortized cost basis of the asset and the fair value of the collateral, adjusted for the estimated costs to sell.

Determining the appropriateness of the allowance is complex and requires judgment by management about the effect of matters that are inherently uncertain. In future periods, factors and forecasts then prevailing may result in significant changes in the allowance for credit losses in those future periods.

We estimate credit losses over the contractual life of the financial asset, while factoring in prepayment activity, where supported by data, over a three year reasonable and supportable forecast period. We utilize a baseline, upside and downside scenario which are applied based on a probability weighting, in order to better reflect management’s expectation of expected credit losses given existing

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(UNAUDITED)

market conditions and the changes in the economic environment. The multiple scenarios are based on a three year horizon (or less depending on contractual maturity) and then revert linearly over a two year period to a ten-year historical average thereafter. The contractual term excludes expected extensions, renewals and modifications, but includes prepayment assumptions where applicable.

As part of our allowance methodology, we establish qualitative reserves to address any risks inherent in our portfolio that are not addressed through our quantitative reserve assessment. These factors may relate to, among other things, legislation changes or new regulation, credit concentration, loan markets, scenario weighting and overall model limitations. The qualitative adjustments are applied to our portfolio of financial instruments under the existing governance structure and are inherently judgmental.

For additional information on the allowance for credit losses, refer to pages 145 to 150 in Note 4 to the consolidated financial statements included under item 8, Financial Statements and Supplementary Data, in our 2022 Form 10-K.

Credit Quality

Credit quality for financial assets held at amortized cost is continuously monitored by management and is reflected within the allowance for credit losses.

We use an internal risk-rating system to assess our risk of credit loss for each loan. This risk-rating process incorporates the use of risk-rating tools in conjunction with management judgment. Qualitative and quantitative inputs are captured in a systematic manner, and following ~~tables present~~a formal review and approval process, an internal credit rating based on our ~~recorded investment~~credit scale is assigned.

When computing allowance levels, credit loss assumptions are estimated using models that categorize asset pools based on loss history, delinquency status and other credit trends and risk characteristics, including current conditions and reasonable and supportable forecasts about the future. Determining the appropriateness of the allowance is complex and requires judgment by management about the effect of matters that are inherently uncertain. In future periods evaluations of the overall asset portfolio, in ~~each class~~light of the factors and forecasts then prevailing, may result in significant changes in the allowance and credit loss expense in those future periods.

Credit quality is assessed and monitored by evaluating various attributes in order to enable timely detection of any concerns with the customer’s credit rating. The results of those evaluations are utilized in

underwriting new loans and ~~leases by~~transactions with counterparties and in our process for estimation of expected credit ~~quality indicator~~losses.

In assessing the risk rating assigned to each individual loan, among the factors considered are the borrower's debt capacity, collateral coverage, payment history and delinquency experience, financial flexibility and earnings strength, the expected amounts and source of repayment, the level and nature of contingencies, if any, and the industry and geography in which the borrower operates. These factors are based on an evaluation of historical and current information, and involve subjective assessment and interpretation. Credit counterparties are evaluated and risk-rated on an individual basis at least annually. Management considers the ratings to be current as of ~~the dates indicated:~~March 31, 2023.

Our internal risk rating methodology assigns risk ratings to counterparties ranging from Investment Grade, Speculative, Special Mention, Substandard, Doubtful and Loss.

September 30, 2017 Commercial and Financial Commercial Real Estate
Lease
Financing
Total Loans and Leases
(In millions)
Investment grade⁽¹⁾
$ 18,270
$ —
$ 713
$ 18,983
Speculative⁽²⁾
4,655
—
—
4,655
Total $ 22,925
$ —
$ 713
$ 23,638

December 31, 2016 Commercial and Financial Commercial Real Estate
Lease
Financing
Total Loans and Leases
(In millions)
Investment grade⁽¹⁾
$ 14,889
$ 27
$ 842
$ 15,758
Speculative⁽²⁾
3,984
—
—
3,984
Substandard⁽³⁾
15
—
—
15
Total $ 18,888
$ 27
$ 842
$ 19,757

⁽¹⁾~~Investment-grade loans and leases consist of counterparties~~•Investment Grade: Counterparties with strong credit quality and low expected credit risk and probability of default. ~~Ratings apply~~Approximately 86% of our loans were rated as investment grade as of March 31, 2023 with external credit ratings, or equivalent, of "BBB-" or better.

•Speculative: Counterparties that have the ability to ~~counterparties with a strong capacity to support the timely repayment of any~~repay but face significant uncertainties, such as adverse business or financial ~~commitment.~~

⁽²⁾~~Speculative loans and leases consist of counterparties~~circumstances that ~~face ongoing uncertainties or exposure to business, financial,~~could affect credit risk or economic downturns. ~~However, these~~Loans to counterparties rated as speculative account for approximately 12% of our loans as of March 31, 2023, and are concentrated in leveraged loans. Approximately 95% of those leveraged loans have an external credit rating, or equivalent, of "BB" or "B" as of March 31, 2023.

•Special Mention: Counterparties with potential weaknesses that, if uncorrected, may ~~have financial flexibility or access to financial alternatives, which allow for financial commitments to be met.~~result in deterioration of repayment prospects.

⁽³⁾ ~~Substandard loans and leases consist of counterparties~~•Substandard: Counterparties with well-defined weakness that jeopardizes repayment with the possibility we will sustain some loss.

•Doubtful: Counterparties with well-defined weakness which make collection or liquidation in full highly questionable and improbable.

•Loss: Counterparties which are uncollectible or have little value.

State Street Corporation | 7664

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STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The following ~~table presents~~tables present our recorded ~~investment in~~ loans ~~and leases, disaggregated based on our impairment methodology,~~to counterparties by risk rating, as noted above, as of the dates indicated:


March 31, 2023	Commercial and Financial		Commercial Real Estate		Total Loans
(In millions)
Investment grade	$	27,003	$	2,226	$	29,229
Speculative	3,516		542		4,058
Special mention	355		88		443
Substandard	129		—		129
Doubtful	—		45		45

Total(1)(2)	$	31,003	$	2,901	$	33,904

September 30, 2017 December 31, 2016
(In millions) Commercial and Financial Commercial Real Estate Lease Financing Total Loans and Leases Commercial and Financial Commercial Real Estate Lease Financing Total Loans and Leases
Loans and leases⁽¹⁾:

Individually evaluated for impairment $ —
$ —
$ —
$ —
$ 15
$ —
$ —
$ 15
Collectively evaluated for impairment 22,925
—
713
23,638
18,873
27
842
19,742
Total $ 22,925
$ —
$ 713
$ 23,638
$ 18,888
$ 27
$ 842
$ 19,757


December 31, 2022	Commercial and Financial		Commercial Real Estate		Total Loans
(In millions)
Investment grade	$	24,667	$	2,509	$	27,176
Speculative	4,103		388		4,491
Special mention	291		88		379
Substandard	99		—		99

Total(1)(2)	$	29,160	$	2,985	$	32,145

(1) Loans Include $3.81 billion and $2.80 billion of overdrafts as of March 31, 2023 and December 31, 2022, respectively. Overdrafts are short-term in nature and do not present a significant credit risk to us. As of March 31, 2023, $3.66 billion overdrafts were investment grade and $0.15 billion overdrafts were speculative.

(2) Total does not include $12 million and $5 million of loans classified as held-for-sale as of March 31, 2023 and December 31, 2022, respectively.

For additional information about credit quality, refer to pages 146 to 150 in Note 4 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2022 Form 10-K.

The following table presents the amortized cost basis, by year of origination and credit quality indicator, as of March 31, 2023. For origination years before the fifth annual period, we present the aggregate amortized cost basis of loans. For purchased loans, the date of issuance is used to determine the year of origination, not the date of acquisition. For modified, extended or renewed lending arrangements, we evaluate whether a credit event has occurred which would consider the loan to be a new arrangement.


(In millions)	2023		2022		2021		2020		2019		Prior		Revolving Loans		Total(1)
Domestic loans:
Commercial and financial:
Risk Rating:
Investment grade	$	2,341	$	161	$	185	$	66	$	300	$	7	$	13,088	$	16,148
Speculative	117		218		710		133		436		327		469		2,410
Special mention	5		4		160		—		129		—		—		298
Substandard	—		—		30		5		42		38		—		115


Total commercial and financing	$	2,463	$	383	$	1,085	$	204	$	907	$	372	$	13,557	$	18,971

Commercial real estate:
Risk Rating:
Investment grade	$	—	$	520	$	528	100		$	330	$	748	$	—	$	2,226
Speculative	—		—		—		50		163		329		—		542
Special mention	—		—		—		—		48		40		—		88

Doubtful	—		—		—		—		—		45		—		45

Total commercial real estate	$	—	$	520	$	528	$	150	$	541	$	1,162	$	—	$	2,901

Non-U.S. loans:
Commercial and financial:
Risk Rating:
Investment grade	$	1,534	$	1,993	$	2,815	$	—	$	—	$	—	$	4,513	$	10,855
Speculative	74		143		516		76		189		108		—		1,106
Special mention	—		—		—		29		5		23		—		57
Substandard	—		—		—		—		—		14		—		14


Total commercial and financing	$	1,608	$	2,136	$	3,331	$	105	$	194	$	145	$	4,513	$	12,032











Total loans(2)	$	4,071	$	3,039	$	4,944	$	459	$	1,642	$	1,679	$	18,070	$	33,904

(1) Any reserve associated with accrued interest is not material.As of March 31, 2023, accrued interest receivable of $268 million included in the amortized cost basis of loans has been excluded from the amortized cost basis within this table.

(2) Total does not include $12 million of loans classified as held-for-sale as of March 31, 2023.

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CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The following table presents the amortized cost basis, by year of origination and credit quality indicator as of December 31, 2022:


(In millions)	2022		2021		2020		2019		2018		Prior		Revolving Loans		Total(1)
Domestic loans:
Commercial and financial:
Risk Rating:
Investment grade	$	1,577	$	185	$	72	$	300	$	—	$	9	$	12,843	$	14,986
Speculative	523		859		168		461		236		151		545		2,943
Special mention	—		120		—		105		19		—		—		244
Substandard	—		—		5		42		31		7		—		85


Total commercial and financing	$	2,100	$	1,164	$	245	$	908	$	286	$	167	$	13,388	$	18,258
Commercial real estate:
Risk Rating:
Investment grade	$	519	$	612	$	100	$	330	$	511	$	436	$	—	$	2,508
Speculative	—		—		49		163		111		65		—		388
Special mention	—		—		—		49		40		—		—		89



Total commercial real estate	$	519	$	612	$	149	$	542	$	662	$	501	$	—	$	2,985
Non-U.S. loans:
Commercial and financial:
Risk Rating:
Investment grade	$	2,986	$	2,799	$	—	$	—	$	—	$	—	$	3,897	$	9,682
Speculative	234		529		100		181		107		—		9		1,160

Special mention	—		—		18		5		23		—		—		46
Substandard	—		—		—		—		14		—		—		14

Total commercial and financing	$	3,220	$	3,328	$	118	$	186	$	144	$	—	$	3,906	$	10,902











Total loans(2)	$	5,839	$	5,104	$	512	$	1,636	$	1,092	$	668	$	17,294	$	32,145

(1) Any reserve associated with accrued interest is not material.As of December 31, 2022, accrued interest receivable of $200 million included in the amortized cost basis of loans has been excluded from the amortized cost basis within this table.

(2) Total does not include $5 million of loans classified as held-for-sale as of December 31, 2022.

The following tables present the activity in the allowance for credit losses by portfolio and class for the periods indicated:


	Three Months Ended March 31, 2023
	Commercial and Financial
(In millions)	Leveraged Loans		Other Loans(1)		Commercial Real Estate		Available-for-sale Securities		Off-Balance Sheet Commitments		All Other		Total
Allowance for credit losses:
Beginning balance	$	73	$	5	$	19	$	2	$	23	$	(1)	$	121
Charge-offs	(3)		—		—		—		—		—		(3)
Provision	12		(1)		10		—		(7)		30		44



Ending balance	$	82	$	4	$	29	$	2	$	16	$	29	$	162

(1) Includes $3 million allowance for credit losses on Fund Finance loans and $1 million on other loans.

⁽¹⁾For those portfolios where there are a small number of loans each with a large balance, we review each loan annually for indicators of impairment. For those loans where no such indicators are identified, the loans are collectively evaluated for impairment. As of September 30, 2017, no loans were individually evaluated for impairment. As of December 31, 2016, $0.2 million of the allowance for loan and lease loss related to commercial and financial loans were individually evaluated for impairment.

As of September 30, 2017, we had no impaired loans and leases. As of December 31, 2016, we identified one commercial and financial loan as impaired, with both a recorded investment and unpaid principal balance of $15 million. The impaired loan had zero related interest income and an associated allowance for loan losses of $0.2 million.

In certain circumstances, we restructure troubled loans by granting concessions to borrowers experiencing financial difficulty. Once restructured, the loans are generally considered impaired until their maturity, regardless of whether the borrowers perform under the modified terms of the loans. There were no loans modified in troubled debt restructurings during the nine months ended September 30, 2017 and the year ended December 31, 2016.

As of September 30, 2017, there were no loans or leases on non-accrual status. As of December 31, 2016, there was one commercial and financial loan on non-accrual status and no CRE loans or leases were on non-accrual status. There were no loans and leases 90 days or more contractually past due as of September 30, 2017 and December 31, 2016.

~~Allowance for loan and lease losses~~

~~The following table presents activity in the allowance for loan and lease losses for the periods indicated:~~

Three Months Ended September 30,
2017 2016
(In millions) Total Loans and Leases Total Loans and Leases
Allowance for loan and lease losses⁽¹⁾:

Beginning balance $ 54
$ 51
Provision for loan and lease losses 3
—
Charge-offs —
—
Ending balance $ 57
$ 51

Nine Months Ended September 30,
2017 2016
(In millions) Total Loans and Leases Total Loans and Leases
Allowance for loan and lease losses⁽¹⁾:

Beginning balance $ 53
$ 46
Provision for loan and lease losses 4
8
Charge-offs —
(3 )
Ending balance $ 57
$ 51

⁽¹⁾The provisions and charge-offs for loans and leases were attributable to exposure to senior secured loans to non-investment grade borrowers, purchased in connection with our participation in syndicated loans.


	Three Months Ended March 31, 2022
	Commercial and Financial
(In millions)	Leveraged Loans		Other Loans(1)		Commercial Real Estate		Held-to-Maturity Securities		Off-Balance Sheet Commitments		All Other		Total
Allowance for credit losses:
Beginning balance	$	61	$	12	$	14	$	2	$	19	$	—	$	108
Charge-offs	(1)		—		—		—		—		—		(1)
Provision	1		(1)		—		—		—		—		—



Ending balance	$	61	$	11	$	14	$	2	$	19	$	—	$	107

(1) Includes $10 million allowance for credit losses on Fund Finance loans and $1 million on other loans.

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STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Loans ~~and leases~~ are reviewed on a regular basis, and any provisions for ~~loan and lease~~credit losses that are recorded reflect management's estimate of the amount necessary to maintain the allowance for loan ~~and lease~~ losses at a level considered appropriate to absorb ~~estimated incurred~~expected credit losses in the loan portfolio. In the first quarter of 2023, we recorded $44 million provision for credit losses, driven by an episodic provision of $29 million associated with industry support for a U.S. financial institution, as well as an increase in loan loss reserves driven by credit portfolio rating changes. In the first quarter of 2022, we recorded no provision for credit losses. Allowance estimates remain subject to continued model and ~~lease portfolio.~~

economic uncertainty and management may use qualitative adjustments in the allowance estimates. If future data and forecasts deviate relative to the forecasts utilized to determine our allowance for credit losses as of March 31, 2023, or if credit risk migration is higher or lower than forecasted for reasons independent of the economic forecast, our allowance for credit losses will also change.

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~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

Note 5. Goodwill and Other Intangible Assets

The following table presents changes in the carrying amount of goodwill during the periods indicated:

(In millions)
Investment
Servicing

Investment
Management
Total
Goodwill:
Beginning balance January 1, 2016 $ 5,641
$ 30
$ 5,671
Acquisitions⁽¹⁾
—
236
236
Divestitures and other reductions (11 ) —
(11 )
Foreign currency translation (80 ) (2 ) (82 )
Ending balance December 31, 2016 $ 5,550
$ 264
$ 5,814
Acquisitions 17
—
17
Divestitures and other reductions (9 ) —
(9 )
Foreign currency translation 170
5
175
Ending balance September 30, 2017 $ 5,728
$ 269
$ 5,997


(In millions)	Investment Servicing		Investment Management		Total
Goodwill:
Ending balance December 31, 2021	$	7,354	$	267	$	7,621
Acquisitions	3		—		3

Foreign currency translation	(125)		(4)		(129)
Ending balance December 31, 2022	$	7,232	$	263	$	7,495
Acquisitions	—		—		—

Foreign currency translation	34		1		35
Ending balance March 31, 2023	$	7,266	$	264	$	7,530

⁽¹⁾ ~~Investment Management includes our acquisition of GEAM on July 1, 2016.~~

The following table presents changes in the net carrying amount of other intangible assets during the periods indicated:

(In millions)
Investment
Servicing

Investment
Management
Total
Other intangible assets:
Beginning balance January 1, 2016 $ 1,753
$ 15
$ 1,768
Acquisitions⁽¹⁾
—
217
217
Divestitures (8 ) —
(8 )
Amortization (186 ) (21 ) (207 )
Foreign currency translation and other, net (20 ) —
(20 )
Ending balance December 31, 2016 $ 1,539
$ 211
$ 1,750
Acquisitions 16
—
16
Divestitures (11 ) —
(11 )
Amortization (137 ) (23 ) (160 )
Foreign currency translation and other, net 63
—
63
Ending balance September 30, 2017 $ 1,470
$ 188
$ 1,658


(In millions)	Investment Servicing		Investment Management		Total
Other intangible assets:





Ending balance December 31, 2021	$	1,746	$	70	$	1,816

Amortization	(217)		(21)		(238)


Foreign currency translation	(34)		—		(34)
Ending balance December 31, 2022	1,495		49		1,544

Amortization	(54)		(6)		(60)
Foreign currency translation	9		—		9
Ending balance March 31, 2023	$	1,450	$	43	$	1,493

State Street Corporation | 67

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

⁽¹⁾~~Investment Management includes our acquisition of GEAM on July 1, 2016.~~

The following table presents the gross carrying amount, accumulated amortization and net carrying amount of other intangible assets by type as of the dates indicated:


March 31, 2023	Gross Carrying Amount		Accumulated Amortization		Net Carrying Amount
(In millions)
Other intangible assets:
Client relationships	$	2,745	$	(1,677)	$	1,068
Technology	402		(188)		214
Core deposits	687		(488)		199
Other	86		(74)		12
Total	$	3,920	$	(2,427)	$	1,493

December 31, 2022	Gross Carrying Amount		Accumulated Amortization		Net Carrying Amount
(In millions)
Other intangible assets:
Client relationships	$	2,728	$	(1,626)	$	1,102
Technology	402		(178)		224
Core deposits	683		(477)		206
Other	84		(72)		12
Total	$	3,897	$	(2,353)	$	1,544

September 30, 2017 December 31, 2016
(In millions)
Gross
Carrying
Amount

Accumulated
Amortization

Net
Carrying
Amount

Gross
Carrying
Amount

Accumulated
Amortization

Net
Carrying
Amount
Other intangible assets:
Client relationships $ 2,654
$ (1,418 ) $ 1,236
$ 2,620
$ (1,306 ) $ 1,314
Core deposits 683
(311 ) 372
661
(277 ) 384
Other 141
(91 ) 50
132
(80 ) 52
Total $ 3,478
$ (1,820 ) $ 1,658
$ 3,413
$ (1,663 ) $ 1,750

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~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

Note 6. Other Assets

The following table presents the components of other assets as of the dates indicated:


(In millions)	September 30, 2017		December 31, 2016		(In millions)	March 31, 2023		December 31, 2022
Receivable - securities lending⁽¹⁾	$	23,628	$	21,204
Securities borrowed(1)					Securities borrowed(1)	$	21,627	$	16,489
Derivative instruments, net	4,712		7,321		Derivative instruments, net	4,661		7,664
Bank-owned life insurance	3,219		3,158		Bank-owned life insurance	3,674		3,649
Investments in joint ventures and other unconsolidated entities	2,099		2,363

Collateral, net	902		2,236		Collateral, net	3,087		1,833
Accounts receivable	393		886
Investments in joint ventures and other unconsolidated entities(2)					Investments in joint ventures and other unconsolidated entities(2)	3,025		3,245
Deferred tax assets, net of valuation allowance(3)					Deferred tax assets, net of valuation allowance(3)	989		1,127
Prepaid expenses	422		333		Prepaid expenses	679		558
Receivable for securities settlement	441		40		Receivable for securities settlement	536		383

Right-of-use assets					Right-of-use assets	478		500
Accounts receivable					Accounts receivable	446		404

Income taxes receivable	368		106		Income taxes receivable	273		235
Deferred tax assets, net of valuation allowance⁽²⁾	213		210
Deposits with clearing organizations	125		132		Deposits with clearing organizations	62		62
Other⁽³⁾	435		339
Other(4)					Other(4)	1,218		1,753
Total	$	36,957	$	38,328	Total	$	40,755	$	37,902

⁽¹⁾ Refer to Note 8, for further information on the impact of collateral on our financial statement presentation of securities borrowing and securities lending transactions.

⁽²⁾ Includes equity securities without readily determinable fair values that are accounted for under the ASC 321 measurement alternative of $176 million and $179 million as of March 31, 2023 and December 31, 2022, respectively. For the three months ended March 31, 2023, a gain of $19 million resulting from an observable transaction was recognized in other fee revenue related to such equity securities.

(3)Deferred tax assets and liabilities recorded in our consolidated statement of condition are netted within the same tax jurisdiction.

⁽³⁾(4) Includes ~~amounts held in escrow accounts at third parties related to the negotiated settlements in the transition management legal matter presented in Note 10.~~advances of $505 million and $1,201 million as of March 31, 2023 and December 31, 2022, respectively.

State Street Corporation | 68

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Note 7. Derivative Financial Instruments

We use derivative financial instruments to support our clients' needs and to manage our ~~interest-rate~~interest rate and currency ~~risk. In undertaking these activities, we assume positions~~risks. These financial instruments consist of FX contracts such as forwards, futures and options contracts; interest rate contracts such as interest rate swaps (cross currency and single currency) and futures; and other derivative contracts. Derivative instruments used for risk management purposes that are highly effective in ~~both~~offsetting the ~~foreign exchange~~risk being hedged are generally designated as hedging instruments in hedge accounting relationships, while others are economic hedges and ~~interest-rate markets by buying~~not designated in hedge accounting relationships. For additional information on our use and ~~selling cash instruments and using~~accounting policies on derivative financial instruments, including ~~foreign exchange forward contracts, foreign exchange options and interest-rate contracts. For information on our derivative~~derivatives not designated as hedging instruments, ~~including the related accounting policies,~~ refer to pages ~~160 to 166~~154 in Note 10 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our ~~2016~~2022 Form 10-K.

Derivative financial instruments are also subject to credit and counterparty risk, which we manage by performing credit reviews, maintaining individual counterparty limits, entering into netting arrangements and requiring the receipt of collateral. Cash collateral received from and provided to counterparties in connection with derivative financial instruments is recorded in accrued expenses and other liabilities and other assets, respectively, in our consolidated statement of condition. As of September 30, 2017 and December 31, 2016, we had recorded approximately $1.18 billion and $1.99 billion, respectively, of cash collateral received from counterparties and approximately $1.85 billion and

~~$4.39 billion, respectively, of cash collateral provided to counterparties in connection with derivative financial instruments in our consolidated statement of condition.~~

Certain of our derivative assets and liabilities as of September 30, 2017 and December 31, 2016 are subject to master netting agreements with our derivative counterparties. Certain of these agreements contain credit risk-related contingent features in which the counterparty has the right to declare us in default and accelerate cash settlement of our net derivative liabilities with the counterparty in the event that our credit rating falls below specified levels. The aggregate fair value of all derivative instruments with credit risk-related contingent features that were in a net liability position as of September 30, 2017 totaled approximately $1.94 billion, against which we provided no underlying collateral. If our credit rating were downgraded below levels specified in the agreements, the maximum additional amount of payments related to termination events that could have been required pursuant to these contingent features, assuming no change in fair value, as of September 30, 2017 was approximately $1.94 billion. Such accelerated settlement would be at fair value and therefore not affect our consolidated results of operations.

~~Derivatives Not Designated as Hedging Instruments~~

In connection with our trading activities, we use derivative financial instruments in our role as a financial intermediary and as both a manager and servicer of financial assets, in order to accommodate our clients' investment and risk management needs. In addition, we use derivative financial instruments for risk management purposes as economic hedges, which are not formally designated as accounting hedges, in order to contribute to our overall corporate earnings and liquidity. These activities are designed to generate trading services revenue and to manage volatility in our NII. The level of market risk that we assume is a function of our overall objectives and liquidity needs, our clients' requirements and market volatility. For additional information on derivative not designated as hedging instruments, refer to pages 161 to 162 in Note 10 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2016 Form 10-K.

Derivatives Designated as Hedging Instruments

In connection with our asset-and-liability management activities, we use derivative financial instruments to manage our interest rate risk and foreign currency risk. Interest rate risk, defined as the sensitivity of income or financial condition to

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~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

variations in interest rates, is a significant non-trading market risk to which our assets and liabilities are exposed. We manage our interest rate risk by identifying, quantifying and hedging our exposures, using fixed-rate portfolio securities and a variety of derivative financial instruments, most frequently interest-rate swaps. Interest rate swap agreements alter the interest-rate characteristics of specific balance sheet assets or liabilities. We use foreign exchange forward and swap contracts to hedge foreign exchange exposure to various foreign currencies with respect to certain assets and liabilities. Our hedging relationships are formally designated, and qualify for hedge accounting, as fair value, cash flow or net investment hedges. For additional information on our derivatives designated as hedging instruments, including our risk management objectives and hedging documentation methodologies, refer to ~~pages 162~~page 154 to ~~166~~155 in Note 10 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our ~~2016~~2022 Form 10-K.

Fair Value Hedges

Derivatives designated as fair value hedges are utilized to mitigate the risk of changes in the fair values of recognized assets and liabilities, including long-term debt and AFS securities. We ~~have entered into~~use interest rate ~~swap agreements~~contracts in this manner to modify our interest income from certain AFS investment securities from a fixed rate to a floating rate. The hedged AFS investment securities included hedged trusts that had a weighted-average life of approximately 4.4 years as of September 30, 2017, compared to ~~4.5 years~~ ~~as of~~ ~~December 31, 2016~~.

We have entered into interest rate swap agreements to modify our interest expense on eight senior notes and one subordinated note from fixed rates to floating rates. The senior and subordinated notes are hedged with interest rate swap contracts with notional amounts, maturities and fixed-rate coupon terms that effectively hedge the fixed-rate notes. The table below summarizes the maturities and the paid fixed interest rates for the hedged senior and subordinated notes:

September 30, 2017 Maturity Paid Fixed Interest Rate
Senior Notes
2020 2.55%
2021 4.38
2021 1.95
2022 2.65
2023 3.70
2024 3.30
2025 3.55
2026 2.65

Subordinated Notes
2023 3.10

We have entered into foreign exchange swap contracts to hedge the change in fair value attributable to foreign exchange movements in our foreign currency denominated investment securities and deposits. These forward contracts convert the foreign currency risk to U.S. dollars, thereby mitigatingmanage our exposure to ~~fluctuations~~changes in the fair value of hedged items caused by changes in interest rates.

Changes in the fair value of the ~~securities~~derivative and ~~deposits attributable~~changes in fair value of the hedged item due to changes in ~~foreign exchange rates.~~the hedged risk are recognized in earnings in the same line item. If a hedge is terminated, but the hedged item was not derecognized, all remaining adjustments to the carrying amount of the hedged item are amortized over a period that is consistent with the amortization of other discounts or premiums associated with the hedged item.

Cash Flow Hedges

Derivatives designated as cash flow hedges are utilized to offset the variability of cash flows of recognized assets, liabilities or forecasted transactions. We have entered into ~~foreign exchange~~FX contracts to hedge the change in cash flows attributable to ~~foreign exchange~~FX movements in foreign currency denominated investment securities. These foreign exchange contracts convert the foreign currency risk to U.S. dollars, thereby mitigating our exposure to fluctuations in the cash flows of the securities attributable to changes in foreign exchange rates.

WeAdditionally, we have entered into an interest rate swap ~~agreement~~agreements to hedge the forecasted cash flows associated with ~~LIBOR-indexed~~EURIBOR indexed floating-rate loans. The interest rate swaps synthetically convert the loan interest receipts from a variable-rate to a fixed-rate, thereby mitigating the risk attributable to changes in the ~~LIBOR~~EURIBOR benchmark rate. ~~As of September 30, 2017, the maximum maturity date~~

Changes in fair value of the ~~underlying loans~~derivatives designated as cash flow hedges are initially recorded in AOCI and then reclassified into earnings in the same period or periods during which the hedged forecasted transaction affects earnings and are presented in the same income statement line item as the earnings effect of the hedged item. If the hedge relationship is terminated, the change in fair value on the derivative recorded in AOCI is reclassified into earnings consistent with the timing of the hedged item. For hedge relationships that are discontinued because a forecasted transaction is not expected to occur according to the original hedge terms, any related derivative values recorded in AOCI are immediately recognized in earnings. The net loss associated with cash flow hedges expected to be reclassified from AOCI within 12 months of March 31, 2023, is approximately ~~5.0~~$209 million. The maximum length of time over which forecasted cash flows are hedged is 5 years.

Net Investment Hedges

~~We have~~Derivatives categorized as net investment hedges are entered into ~~foreign exchange contracts~~ to protect the net investment in our foreign operations against adverse changes in exchange rates. ~~These~~We use FX forward contracts to convert the foreign currency risk to U.S. dollars ~~thereby mitigating~~to mitigate our exposure to fluctuations in ~~the fair value of our net investments in our foreign operations attributable to changes in foreign exchange~~FX rates. The changes in fair value of the ~~foreign exchange~~FX forward contracts are recorded, net of taxes, in the foreign currency translation component of other comprehensive ~~income. Effectiveness of net investment hedges is based on the overall changes in the fair value of the forward contracts.~~income (OCI).

State Street Corporation | 8069

~~Table of Contents~~

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The following table presents the aggregate contractual, or notional, amounts of derivative financial instruments, including those entered into ~~in connection with our~~for trading and asset-and-liability management activities as of the dates indicated:


(In millions)	September 30, 2017		December 31, 2016		(In millions)	March 31, 2023		December 31, 2022
Derivatives not designated as hedging instruments:	Derivatives not designated as hedging instruments:				Derivatives not designated as hedging instruments:
Interest-rate contracts:
Interest rate contracts:					Interest rate contracts:

Futures	$	14,262	$	13,455	Futures	$	6,345	$	8,683
Foreign exchange contracts:					Foreign exchange contracts:
Forward, swap and spot	1,618,670		1,414,765		Forward, swap and spot	2,414,003		2,267,221
Options purchased	455		337		Options purchased	745		607
Options written	262		202		Options written	257		445
Futures	—		—		Futures	1,560		1,550

Other:					Other:
Stable value contracts	25,351		27,182
Deferred value awards⁽¹⁾⁽²⁾	531		409
Stable value contracts(1)					Stable value contracts(1)	31,094		31,391
Deferred value awards(2)					Deferred value awards(2)	384		300
Derivatives designated as hedging instruments:	Derivatives designated as hedging instruments:				Derivatives designated as hedging instruments:
Interest-rate contracts:
Interest rate contracts:					Interest rate contracts:
Swap agreements	10,616		10,169		Swap agreements	18,659		22,566
Foreign exchange contracts:					Foreign exchange contracts:
Forward and swap	27,429		8,564		Forward and swap	8,924		8,213

(1) The notional value of the stable value contracts represents our maximum exposure. However, exposure to various stable value contracts is generally contractually limited to substantially lower amounts than the notional values.

⁽¹⁾(2)Represents grants of deferred value awards to employees; refer to ~~discussion~~page 158 in ~~this note under "Derivatives Not Designated as Hedging Instruments."~~

⁽²⁾ ~~Amount as of December 31, 2016 reflects $249 million related~~Note 10 to the ~~acceleration of expense associated with certain cash settled deferred incentive compensation awards.~~consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2022 Form 10-K.

~~In connection with our asset-and-liability management activities, we have entered into interest-rate contracts designated~~Notional amounts are provided here as fair value and cash flow hedges to manage our interest rate risk. The following tables present the aggregate notional amounts of these interest rate contracts and the related assets or liabilities being hedged asan indication of the ~~dates indicated:~~

September 30, 2017
(In millions) Fair Value Hedges Cash
Flow
Hedges Total
Investment securities available-for-sale $ 1,323
$ —
$ 1,323
Long-term debt⁽¹⁾
8,493
—
8,493
Floating-rate loans —
800
800
Total $ 9,816
$ 800
$ 10,616

December 31, 2016⁽²⁾
(In millions) Fair Value Hedges
Investment securities available-for-sale $ 1,444
Long-term debt⁽¹⁾
8,725
Total $ 10,169

⁽¹⁾ Asvolume of ~~September 30, 2017, these~~our derivative activity and serve as a reference to calculate the fair ~~value hedges decreased~~values of the carrying value of LTD presented in our consolidated statement of condition by $1 million. As of December 31, 2016, these fair value hedges decreased the carrying value of long-term debt presented in our consolidated statement of condition by $15 million.derivative.

⁽²⁾~~As of December 31, 2016, there were no interest-rate contracts designated as cash flow hedges.~~

The following table presents ~~the contractual and weighted-average interest rates for long-term debt, which include the effects of the fair value hedges presented in the table above, for the periods indicated:~~

Three Months Ended September 30,
2017 2016

Contractual
Rates

Rate
Including
Impact of Hedges

Contractual
Rates

Rate
Including
Impact of Hedges
Long-term debt 3.30 % 2.67 % 3.37 % 2.27 %

Nine Months Ended September 30,
2017 2016
Contractual
Rates Rate
Including
Impact of Hedges Contractual
Rates Rate
Including
Impact of Hedges
Long-term debt 3.35 % 2.61 % 3.41 % 2.24 %

~~The following tables present~~ the fair value of derivative financial instruments, excluding the impact of master netting agreements, recorded in our consolidated statement of condition as of the dates indicated. The impact of master netting agreements is provided in Note ~~8 to the consolidated financial statements in this Form 10-Q.~~8.

Derivative Assets⁽¹⁾
Fair Value
(In millions) September 30,
2017 December 31, 2016
Derivatives not designated as hedging instruments:
Foreign exchange contracts $ 11,667
$ 15,982
Total $ 11,667
$ 15,982

Derivatives designated as hedging instruments:
Foreign exchange contracts $ 70
$ 502
Interest-rate contracts 3
68
Total $ 73
$ 570


	Derivative Assets(1)				Derivative Liabilities(2)
(In millions)	March 31, 2023		December 31, 2022		March 31, 2023		December 31, 2022
Derivatives not designated as hedging instruments:
Foreign exchange contracts	$	15,841	$	26,081	$	15,306	$	25,407


Other derivative contracts	—		—		223		216
Total	$	15,841	$	26,081	$	15,529	$	25,623

Derivatives designated as hedging instruments:
Foreign exchange contracts	$	156	$	105	$	79	$	342
Interest rate contracts	—		—		2		1
Total	$	156	$	105	$	81	$	343

⁽¹⁾Derivative assets are included within other assets in our consolidated statement of condition.

Derivative Liabilities⁽¹⁾
Fair Value
(In millions) September 30,
2017 December 31, 2016
Derivatives not designated as hedging instruments:
Foreign exchange contracts $ 11,506
$ 15,881
Other derivative contracts 319
380
Total $ 11,825
$ 16,261

Derivatives designated as hedging instruments:
Foreign exchange contracts $ 77
$ 75
Interest-rate contracts 107
348
Total $ 184
$ 423

⁽¹⁾(2) Derivative liabilities are included within other liabilities in our consolidated statement of condition.

The following table presents the impact of our use of derivative financial instruments on our consolidated statement of income for the periods indicated:


		Three Months Ended March 31,
		2023		2022
(In millions)	Location of Gain (Loss) on Derivative in Consolidated Statement of Income	Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income
Derivatives not designated as hedging instruments:
Foreign exchange contracts	Foreign exchange trading services revenue	$	232	$	239

Foreign exchange contracts	Interest expense	5		13
Interest rate contracts	Foreign exchange trading services revenue	1		6





Other derivative contracts	Compensation and employee benefits	(55)		(54)
Total		$	183	$	204

State Street Corporation | 8170

~~Table of Contents~~

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The following table shows the carrying amount and associated cumulative basis adjustments related to the application of hedge accounting that is included in the carrying amount of hedged assets and liabilities in fair value hedging relationships:


	March 31, 2023
			Cumulative Fair Value Hedging Adjustment Increasing (Decreasing) the carrying amount
(In millions)	Carrying Amount of Hedged Assets/Liabilities		Active		De-designated(1)
Long-term debt	$	13,760	$	(434)	$	225
Available-for-sale securities(2)(3)	10,330		(562)		7

	December 31, 2022
			Cumulative Fair Value Hedging Adjustment Increasing (Decreasing) the carrying amount
(In millions)	Carrying Amount of Hedged Assets/Liabilities		Active		De-designated(1)
Long-term debt	$	12,513	$	(644)	$	362
Available-for-sale securities(2)(3)	9,801		(675)		8

(1) Represents hedged items no longer designated in qualifying fair value hedging relationships for which an associated basis adjustment exists at the balance sheet date.

(2) Included in these amounts is the amortized cost of the financial assets designated under the portfolio layer hedging relationships (hedged item is the hedged layer of a closed portfolio of financial assets expected to remain outstanding at the end of the hedging relationship). At March 31, 2023 and December 31, 2022, the amortized cost of the closed portfolios used in these hedging relationships was $724 million and $207 million, respectively, of which $400 million and $64 million, respectively, was designated under the portfolio layer hedging relationship. At March 31, 2023 and December 31, 2023, the cumulative adjustment associated with these hedging relationships was ($5) million and ($4) million, respectively.

(3) Carrying amount represents amortized cost.

As of March 31, 2023 and December 31, 2022, the total notional amount of the interest rate swaps of fair value hedges was $18.65 billion and $20.32 billion, respectively.

The following tables present the impact of our use of derivative financial instruments on our consolidated statement of income for the periods indicated:


		Three Months Ended March 31,							Three Months Ended March 31,
		2023		2022					2023		2022
(In millions)	Location of Gain (Loss) on Derivative in Consolidated Statement of Income	Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income				Hedged Item in Fair Value Hedging Relationship	Location of Gain (Loss) on Hedged Item in Consolidated Statement of Income	Amount of Gain (Loss) on Hedged Item Recognized in Consolidated Statement of Income
Derivatives designated as fair value hedges:


Interest rate contracts	Net interest income	$	(113)	$	210		Available-for-sale securities(1)	Net interest income	$	113	$	(210)
Interest rate contracts	Net interest income	108		(243)			Long-term debt	Net interest income	(108)		243


Total		$	(5)	$	(33)				$	5	$	33

Location of Gain (Loss) on
Derivative in Consolidated
Statement of Income

Amount of Gain (Loss) on Derivative Recognized
in Consolidated Statement of Income
Three Months Ended September 30, Nine Months Ended September 30,
(In millions) 2017 2016 2017 2016
Derivatives not designated as hedging instruments:
Foreign exchange contracts Trading services revenue $ 152
$ 161
$ 485
$ 477
Interest-rate contracts Processing fees and other revenue —
—
—
1
Foreign exchange contracts Processing fees and other revenue (9 ) (3 ) (11 ) (13 )
Interest-rate contracts Trading services revenue (2 ) (1 ) 7
(6 )
Credit derivative contracts Trading services revenue —
—
—
(1 )
Other derivative contracts Trading services revenue —
1
—
(2 )
Other derivative contracts Compensation and employee benefits (25 ) 41
(120 ) 168
Total $ 116
$ 199
$ 361
$ 624

Location of Gain (Loss) on Derivative in Consolidated Statement of Income
Amount of Gain
(Loss) on Derivative
Recognized in
Consolidated
Statement of Income
Hedged Item in Fair Value Hedging Relationship Location of Gain (Loss) on Hedged Item in Consolidated Statement of Income
Amount of Gain
(Loss) on Hedged
Item Recognized in
Consolidated
Statement of Income
Three Months Ended September 30, Three Months Ended September 30,
(In millions) 2017 2016 2017 2016
Derivatives designated as fair value hedges:
Foreign exchange contracts Processing fees and
other revenue $ 19
$ 24
Investment securities Processing fees and
other revenue $ (19 ) $ (24 )
Foreign exchange contracts Processing fees and other revenue 200
1
FX deposit Processing fees and other revenue (200 ) (1 )
Interest-rate contracts
Processing fees and
other revenue
9
22
Available-for-sale securities
Processing fees and
other revenue⁽¹⁾
(9 ) (22 )
Interest-rate contracts Processing fees and
other revenue (8 ) (79 ) Long-term debt Processing fees and
other revenue 5
78
Total $ 220
$ (32 ) $ (223 ) $ 31

Location of Gain (Loss) on Derivative in Consolidated Statement of Income Amount of Gain
(Loss) on Derivative
Recognized in
Consolidated
Statement of Income Hedged Item in Fair Value Hedging Relationship Location of Gain (Loss) on Hedged Item in Consolidated Statement of Income Amount of Gain
(Loss) on Hedged
Item Recognized in
Consolidated
Statement of Income
Nine Months Ended September 30, Nine Months Ended September 30,
2017 2016 2017 2016
Derivatives designated as fair value hedges:
Foreign exchange contracts Processing fees and
other revenue $ 21
$ 43
Investment securities Processing fees and
other revenue $ (21 ) $ (43 )
Foreign exchange contracts Processing fees and other revenue 1,282
247
FX deposit Processing fees and other revenue (1,282 ) (247 )
Interest-rate contracts Processing fees and
other revenue 23
(15 ) Available-for-sale securities
Processing fees and
other revenue⁽²⁾
(21 ) 15
Interest-rate contracts Processing fees and
other revenue 37
297
Long-term debt Processing fees and
other revenue (39 ) (282 )
Total $ 1,363
$ 572
$ (1,363 ) $ (557 )

(1) In the ~~three months ended September 30, 2017 and 2016, $4~~first quarter of March 31, 2023, approximately $81 million ~~and $13 million, respectively,~~ of net unrealized ~~(losses) gains~~losses on AFS investment securities designated in fair value hedges were recognized in ~~OCI.~~

⁽²⁾~~In the nine months ended September 30, 2017 and 2016, $13~~OCI compared to $157 million ~~and $(9) million, respectively,~~ of net unrealized ~~(losses)~~ gains ~~on AFS investment securities designated~~ in ~~fair value hedges were recognized in OCI.~~the same period of 2022.

State Street Corporation | 8271

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STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)


	Three Months Ended March 31,					Three Months Ended March 31,
	2023		2022			Location of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income into Income	2023		2022
(In millions)	Amount of Gain or (Loss) Recognized in Other Comprehensive Income on Derivative				Amount of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income into Income
Derivatives designated as cash flow hedges:
Interest rate contracts(1)	$	3	$	(291)		Net interest income	$	(51)	$	19
Foreign exchange contracts	16		47			Net interest income	—		3
Total derivatives designated as cash flow hedges	$	19	$	(244)			$	(51)	$	22

Derivatives designated as net investment hedges:
Foreign exchange contracts	$	(41)	$	64		Gains (Losses) related to investment securities, net	$	—	$	—
Total derivatives designated as net investment hedges	(41)		64				—		—
Total	$	(22)	$	(180)			$	(51)	$	22

~~Differences between~~

(1) As of March 31, 2023, the ~~gains (losses)~~maximum maturity date of the underlying hedged items is approximately 5.0 years.

Derivatives Netting and Credit Contingencies

Netting

Derivatives receivable and payable as well as cash collateral from the same counterparty are netted in the consolidated statement of condition for those counterparties with whom we have legally binding master netting agreements in place. In addition to cash collateral received and transferred presented on a net basis, we also receive and transfer collateral in the form of securities, which mitigate credit risk but are not eligible for netting. Additional information on netting is provided in Note 8.

Credit Contingencies

Certain of our derivatives are subject to master netting agreements with our derivative counterparties containing credit risk-related contingent features, which requires us to maintain an investment grade credit rating with the various credit rating agencies. If our rating falls below investment grade, we would be in violation of the provisions, and counterparties to the ~~gains (losses)~~derivatives could request immediate payment or demand full overnight collateralization on derivatives instruments in liability positions. The aggregate fair value of all derivatives with credit contingent features and in a net liability position as of March 31, 2023 totaled approximately $2.33 billion, against which we provided $0.87 billion of collateral in the ~~hedged item, excluding any amounts recorded in NII, represent hedge ineffectiveness.~~normal course of business. If our credit related contingent features underlying these agreements were triggered as of March 31, 2023, the maximum additional collateral we would be required to post to our counterparties is approximately $1.46 billion.

Amount of Gain
(Loss) on Derivative
Recognized in Other
Comprehensive
Income
Location of Gain (Loss) Reclassified from OCI to Consolidated Statement of Income
Amount of Gain
(Loss) Reclassified
from OCI to
Consolidated
Statement of Income
Location of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income
Amount of Gain
(Loss) on Derivative
Recognized in
Consolidated
Statement of Income
Three Months Ended September 30, Three Months Ended September 30, Three Months Ended September 30,
(In millions) 2017 2016 2017 2016 2017 2016
Derivatives designated as cash flow hedges:
Interest-rate contracts $ (1 ) $ —
Net interest income $ —
$ —
Net interest income $ —
$ —
Foreign exchange contracts (1 ) (65 ) Net interest income —
—
Net interest income 5
6
Total $ (2 ) $ (65 ) $ —
$ —
$ 5
$ 6

Derivatives designated as net investment hedges:
Foreign exchange contracts $ (47 ) $ 4
Gains (Losses) related to investment securities, net $ —
$ —
Gains (Losses) related to investment securities, net $ —
$ —
Total $ (47 ) $ 4
$ —
$ —
$ —
$ —

Amount of Gain
(Loss) on Derivative
Recognized in Other
Comprehensive
Income
Location of Gain (Loss) Reclassified from OCI to Consolidated Statement of Income
Amount of Gain
(Loss) Reclassified
from OCI to
Consolidated
Statement of Income
Location of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income
Amount of Gain
(Loss) on Derivative
Recognized in
Consolidated
Statement of Income
Nine Months Ended September 30,

Nine Months Ended September 30,

Nine Months Ended September 30,
(In millions) 2017
2016

2017
2016

2017
2016
Derivatives designated as cash flow hedges:
Interest-rate contracts $ (2 ) $ —
Net interest income $ —
$ —
Net interest income $ —
$ —
Foreign exchange contracts (93 ) (293 ) Net interest income —
—
Net interest income 18
17
Total $ (95 ) $ (293 ) $ —
$ —
$ 18
$ 17

Derivatives designated as net investment hedges:
Foreign exchange contracts $ (148 ) $ 55
Gains (Losses) related to investment securities, net $ —
$ —
Gains (Losses) related to investment securities, net $ —
$ —
Total $ (148 ) $ 55
$ —
$ —
$ —
$ —

State Street Corporation | 8372

~~Table of Contents~~

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Note 8. Offsetting Arrangements

We manage credit and counterparty risk by entering into enforceable netting agreements and other collateral arrangements with counterparties to derivative contracts and secured financing transactions, including resale and repurchase agreements, and principal securities borrowing and lending agreements. These netting agreements mitigate our counterparty credit risk by providing for a single net settlement with a counterparty of all financial transactions covered by the agreement in an event of default as defined under such agreement. In limited cases, a netting agreement may also provide for the periodic netting of settlement payments with respect to multiple different transaction types in the

~~normal course of business.~~ For additional information on our offsetting arrangements, refer to ~~pages 166 to 170~~page 158 in Note 11 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our ~~2016~~2022 Form 10-K.

As of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016,~~2022, the ~~fair~~ value of securities received as collateral from third parties where we are permitted to transfer or re-pledge the securities totaled ~~$2.96~~$6.45 billion and ~~$1.77~~$8.14 billion, respectively, and the fair value of the portion that had been transferred or re-pledged as of the same dates was ~~$41.2 million~~$3.00 billion and ~~$166 million, respectively.~~

$3.63 billion, respectively.

The following tables present information about the offsetting of assets related to derivative contracts and secured financing transactions, as of the dates indicated:


Assets:	March 31, 2023
	Gross Amounts of Recognized Assets(1)(2)		Gross Amounts Offset in Statement of Condition(3)		Net Amounts of Assets Presented in Statement of Condition		Gross Amounts Not Offset in Statement of Condition
(In millions)							Cash and Securities Received(4)		Net Amount(5)
Derivatives:
Foreign exchange contracts	$	15,997	$	(9,526)	$	6,471	$	—	$	6,471
Interest rate contracts(6)	—		—		—		—		—



Cash collateral and securities netting	NA		(1,810)		(1,810)		(1,187)		(2,997)
Total derivatives	15,997		(11,336)		4,661		(1,187)		3,474
Other financial instruments:


Resale agreements and securities borrowing(7)(8)	212,605		(189,844)		22,761		(21,927)		834
Total derivatives and other financial instruments	$	228,602	$	(201,180)	$	27,422	$	(23,114)	$	4,308

Assets: September 30, 2017
Gross Amounts Not Offset in Statement of Condition
(In millions)
Gross Amounts of Recognized Assets⁽¹⁾⁽²⁾

Gross Amounts Offset in Statement of Condition⁽³⁾
Net Amounts of Assets Presented in Statement of Condition
Cash and Securities Received⁽⁴⁾

Net Amount⁽⁵⁾
Derivatives:
Foreign exchange contracts $ 11,737
$ (6,389 ) $ 5,348
$ 5,348
Interest-rate contracts 3
(2 ) 1
1
Cash collateral and securities netting NA
(637 ) (637 ) $ (106 ) (743 )
Total derivatives 11,740
(7,028 ) 4,712
(106 ) 4,606
Other financial instruments:
Resale agreements and securities borrowing⁽⁶⁾
63,821
(36,728 ) 27,093
(27,093 ) —
Total derivatives and other financial instruments $ 75,561
$ (43,756 ) $ 31,805
$ (27,199 ) $ 4,606


Assets:	December 31, 2016														Assets:	December 31, 2022
									Gross Amounts Not Offset in Statement of Condition							Gross Amounts of Recognized Assets(1)(2)		Gross Amounts Offset in Statement of Condition(3)		Net Amounts of Assets Presented in Statement of Condition			Gross Amounts Not Offset in Statement of Condition
(In millions)	Gross Amounts of Recognized Assets⁽¹⁾⁽²⁾		Gross Amounts Offset in Statement of Condition⁽³⁾			Net Amounts of Assets Presented in Statement of Condition			Cash and Securities Received⁽⁴⁾			Net Amount⁽⁵⁾			(In millions)							Cash and Securities Received(4)			Net Amount(5)
Derivatives:															Derivatives:
Foreign exchange contracts	$	16,484	$	(8,257	)	$	8,227					$	8,227		Foreign exchange contracts	$	26,186	$	(15,224)	$	10,962		$	—		$	10,962
Interest-rate contracts	68		(68		)	—						—
Interest rate contracts(6)															Interest rate contracts(6)	—		—		—			—			—

Cash collateral and securities netting	NA		(906		)	(906		)	$	(247	)	(1,153		)	Cash collateral and securities netting	NA		(3,298)		(3,298)			(1,717)			(5,015)
Total derivatives	16,552		(9,231		)	7,321			(247		)	7,074			Total derivatives	26,186		(18,522)		7,664			(1,717)			5,947
Other financial instruments:															Other financial instruments:
Resale agreements and securities borrowing⁽⁶⁾	58,677		(35,517		)	23,160			(22,939		)	221
Resale agreements and securities borrowing(7)(8)															Resale agreements and securities borrowing(7)(8)	125,797		(104,093)		21,704			(20,960)			744
Total derivatives and other financial instruments	$	75,229	$	(44,748	)	$	30,481		$	(23,186	)	$	7,295		Total derivatives and other financial instruments	$	151,983	$	(122,615)	$	29,368		$	(22,677)		$	6,691

⁽¹⁾Amounts include all transactions regardless of whether or not they are subject to an enforceable netting arrangement.

⁽²⁾~~Derivative amounts are carried at fair value~~Refer to Note 1 and ~~securities financing amounts are carried at amortized cost, except~~Note 2 for ~~securities collateral which is also carried at fair value. For~~ additional information about the measurement basis of ~~these instruments, refer to pages 131 to 142 in Notes 1 and 2 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2016 Form 10-K.~~derivative instruments.

⁽³⁾Amounts subject to netting arrangements which have been determined to be legally enforceable and eligible for netting in the consolidated statement of condition.

⁽⁴⁾ Includes securities in connection with our securities borrowing transactions.

⁽⁵⁾Includes amounts secured by collateral not determined to be subject to enforceable netting arrangements.

⁽⁶⁾ Variation margin payments presented as settlements rather than collateral.

(7) Included in the ~~$27,093 million~~$22.76 billion as of ~~September 30, 2017~~March 31, 2023 were ~~$3,465 million~~$1.13 billion of resale agreements and ~~$23,628 million~~$21.63 billion of collateral provided related to securities borrowing. Included in the ~~$23,160 million~~$21.70 billion as of December 31, ~~2016~~2022 were ~~$1,956 million~~$5.21 billion of resale agreements and ~~$21,204 million~~$16.49 billion of collateral provided related to securities borrowing. Resale agreements and collateral provided related to securities borrowing were recorded in securities purchased under resale agreements and other assets, respectively, in our consolidated statement of condition. ~~Additional~~Refer to Note 9 for additional information ~~about~~with respect to principal securities finance transactions.

(8) Offsetting of resale agreements primarily relates to our involvement in FICC, where we settle transactions ~~is provided in Note 9 to~~on a net basis for payment and delivery through the ~~consolidated financial statements in this Form 10-Q.~~Fedwire system.

^NA Not applicable

State Street Corporation | 8473

~~Table of Contents~~

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The following tables present information about the offsetting of liabilities related to derivative contracts and secured financing transactions, as of the dates indicated:


Liabilities:	March 31, 2023
	Gross Amounts of Recognized Liabilities(1)(2)		Gross Amounts Offset in Statement of Condition(3)		Net Amounts of Liabilities Presented in Statement of Condition		Gross Amounts Not Offset in Statement of Condition
(In millions)							Cash and Securities Received(4)		Net Amount(5)
Derivatives:
Foreign exchange contracts	$	15,385	(9,526)		$	5,859	$	—	$	5,859
Interest rate contracts(6)	2		—		2		—		2
Other derivative contracts	223		—		223		—		223
Cash collateral and securities netting	NA		(1,228)		(1,228)		(515)		(1,743)
Total derivatives	15,610		(10,754)		4,856		(515)		4,341
Other financial instruments:


Repurchase agreements and securities lending(7)(8)	203,445		(189,844)		13,601		(12,399)		1,202
Total derivatives and other financial instruments	$	219,055	$	(200,598)	$	18,457	$	(12,914)	$	5,543

Liabilities: September 30, 2017
Gross Amounts Not Offset in Statement of Condition
(In millions)
Gross Amounts of Recognized Liabilities⁽¹⁾⁽²⁾

Gross Amounts Offset in Statement of Condition⁽³⁾
Net Amounts of Liabilities Presented in Statement of Condition
Cash and Securities Provided⁽⁴⁾

Net Amount⁽⁵⁾
Derivatives:
Foreign exchange contracts $ 11,583
$ (6,390 ) $ 5,193
$ 5,193
Interest-rate contracts⁽⁶⁾
107
(1 ) 106
106
Other derivative contracts 319
—
319
319
Cash collateral and securities netting NA
(1,074 ) (1,074 ) $ (262 ) (1,336 )
Total derivatives 12,009
(7,465 ) 4,544
(262 ) 4,282
Other financial instruments:

Repurchase agreements and securities lending⁽⁷⁾
45,864
(36,728 ) 9,136
(6,564 ) 2,572
Total derivatives and other financial instruments $ 57,873
$ (44,193 ) $ 13,680
$ (6,826 ) $ 6,854

Liabilities: December 31, 2016
Gross Amounts Not Offset in Statement of Condition
(In millions)
Gross Amounts of Recognized Liabilities⁽¹⁾⁽²⁾

Gross Amounts Offset in Statement of Condition⁽³⁾
Net Amounts of Liabilities Presented in Statement of Condition
Cash and Securities Provided⁽⁴⁾

Net Amount⁽⁵⁾
Derivatives:
Foreign exchange contracts $ 15,956
$ (8,253 ) $ 7,703
$ 7,703
Interest-rate contracts 348
(73 ) 275
275
Other derivative contracts 380
—
380
380
Cash collateral and securities netting NA
(2,356 ) (2,356 ) $ (180 ) (2,536 )
Total derivatives 16,684
(10,682 ) 6,002
(180 ) 5,822
Other financial instruments:
Resale agreements and securities lending⁽⁷⁾
44,933
(35,517 ) 9,416
(7,059 ) 2,357
Total derivatives and other financial instruments $ 61,617
$ (46,199 ) $ 15,418
$ (7,239 ) $ 8,179


Liabilities:	December 31, 2022
	Gross Amounts of Recognized Liabilities(1)(2)		Gross Amounts Offset in Statement of Condition(3)		Net Amounts of Liabilities Presented in Statement of Condition		Gross Amounts Not Offset in Statement of Condition
(In millions)							Cash and Securities Received(4)		Net Amount(5)
Derivatives:
Foreign exchange contracts	$	25,749	$	(15,224)	$	10,525	$	—	$	10,525
Interest rate contracts(6)	1		—		1		—		1
Other derivative contracts	216		—		216		—		216
Cash collateral and securities netting	NA		(2,727)		(2,727)		(908)		(3,635)
Total derivatives	25,966		(17,951)		8,015		(908)		7,107
Other financial instruments:
Repurchase agreements and securities lending(7)(8)	111,653		(104,093)		7,560		(6,433)		1,127
Total derivatives and other financial instruments	$	137,619	$	(122,044)	$	15,575	$	(7,341)	$	8,234

⁽¹⁾Amounts include all transactions regardless of whether or not they are subject to an enforceable netting arrangement.

⁽³⁾Amounts subject to netting arrangements which have been determined to be legally enforceable and eligible for netting in the consolidated statement of condition.

⁽⁴⁾Includes securities provided in connection with our securities lending transactions.

⁽⁵⁾Includes amounts secured by collateral not determined to be subject to enforceable netting arrangements.

⁽⁶⁾Variation margin payments presented as settlements rather than collateral.

⁽⁷⁾Included in the ~~$9,136 million~~$13.60 billion as of ~~September 30, 2017~~March 31, 2023 were ~~$3,867 million~~$3.69 billion of repurchase agreements and ~~$5,269 million~~$9.91 billion of collateral received related to securities ~~lending.~~lending transactions. Included in the ~~$9,416 million~~$7.56 billion as of December 31, ~~2016~~2022 were ~~$4,400 million~~$1.18 billion of repurchase agreements and ~~$5,016 million~~$6.38 billion of collateral received related to securities ~~lending.~~lending transactions. Repurchase agreements and collateral received related to securities lending were recorded in securities sold under repurchase agreements and accrued expenses and other liabilities, respectively, in our consolidated statement of condition. ~~Additional~~Refer to Note 9 for additional information ~~about~~with respect to principal securities finance transactions.

(8) Offsetting of repurchase agreements primarily relates to our involvement in FICC, where we settle transactions ~~is provided in Note 9 to~~on a net basis for payment and delivery through the ~~consolidated financial statements in this Form 10-Q.~~Fedwire system.

^NANot applicable

~~State Street Corporation | 85~~

~~Table of Contents~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

The securities transferred under resale and repurchase agreements typically are U.S. Treasury, agency and agency MBS. In our principal securities borrowing and lending arrangements, the securities transferred are predominantly equity securities and some corporate debt securities. The fair value of the securities transferred may increase in value to an amount greater than the amount received under our repurchase and securities lending arrangements, which exposes ~~the Company with~~us to counterparty risk. We require the review of the price of the underlying

securities in relation to the carrying value of the repurchase agreements and securities lending arrangements on a daily basis and when appropriate, adjust the cash or security to be obtained or returned to counterparties that is reflective of the required collateral levels.

State Street Corporation | 74

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The following ~~tables summarize~~table summarizes our repurchase agreements and securities lending transactions by category of collateral pledged and remaining maturity of these agreements, as of the periods indicated:




	As of March 31, 2023										As of December 31, 2022
(In millions)	Overnight and Continuous		Up to 30 Days		30-90 days		Greater than 90 Days		Total		Overnight and Continuous		Up to 30 Days		30-90 days		Greater than 90 Days		Total
Repurchase agreements:
U.S. Treasury and agency securities	$	189,481	$	—	$	197	$	—	$	189,678	$	100,899	$	—	$	200	$	—	$	101,099
Non-U.S. sovereign debt	336		—		—		—		336		702		—		—		—		702
Total	189,817		—		197		—		190,014		101,601		—		200		—		101,801
Securities lending transactions:
US Treasury and agency securities	8		—		—		—		8		44		—		—		—		44
Corporate debt securities	121		—		—		—		121		67		—		—		—		67
Equity securities	6,614		—		1		3,061		9,676		4,509		—		—		1,606		6,115
Other(1)	3,626		—		—		—		3,626		3,626		—		—		—		3,626
Total	10,369		—		1		3,061		13,431		8,246		—		—		1,606		9,852
Gross amount of recognized liabilities for repurchase agreements and securities lending	$	200,186	$	—	$	198	$	3,061	$	203,445	$	109,847	$	—	$	200	$	1,606	$	111,653

(1) Represents a security interest in underlying client assets related to our enhanced custody business, which clients have allowed us to transfer and re-pledge.

Remaining Contractual Maturity of the Agreements
As of September 30, 2017
(In millions) Overnight and Continuous Up to 30 days 30 – 90 days Total
Repurchase agreements:
U.S. Treasury and agency securities $ 35,009

$ 35,009
Total 35,009
—
—
35,009
Securities lending transactions:
Corporate debt securities 103

103
Equity securities 10,433

297
10,730
Non-U.S. sovereign debt 22

22
Total 10,558
—
297
10,855
Gross amount of recognized liabilities for repurchase agreements and securities lending $ 45,567
$ —
$ 297
$ 45,864

Remaining Contractual Maturity of the Agreements
As of December 31, 2016
(In millions) Overnight and Continuous Up to 30 days 30 – 90 days Total
Repurchase agreements:
U.S. Treasury and agency securities $ 35,509
$ —
$ —
$ 35,509
Total 35,509
—
—
35,509
Securities lending transactions:
Corporate debt securities 53
—
—
53
Equity securities 8,337
—
1,034
9,371
Total 8,390
—
1,034
9,424
Gross amount of recognized liabilities for repurchase agreements and securities lending $ 43,899
$ —
$ 1,034
$ 44,933

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~~(UNAUDITED)~~

Note 9. Commitments and Guarantees

For additional information ~~about~~on the nature of the obligations and related business activities for our commitments and guarantees, refer to ~~pages 171 to 172~~page 161 in Note 12 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our ~~2016~~2022 Form 10-K.

The following table presents the aggregate gross contractual amounts of our off-balance sheet commitments and ~~off-balance sheet~~ guarantees, as of the dates ~~indicated.~~indicated:


(In millions)	September 30, 2017		December 31, 2016		(In millions)	March 31, 2023		December 31, 2022
Commitments:					Commitments:
Unfunded credit facilities	$	27,008	$	26,993	Unfunded credit facilities	$	32,990	$	31,208

Guarantees⁽¹⁾:					Guarantees(1):
Indemnified securities financing	$	379,459	$	360,452	Indemnified securities financing	$	349,966	$	348,924
Stable value protection	25,351		27,182
Standby letters of credit	3,255		3,459		Standby letters of credit	1,859		2,125

⁽¹⁾The potential losses associated with these guarantees equal the gross contractual amounts and do not consider the value of any collateral or reflect any participations to independent third parties.

~~Unfunded Credit Facilities~~

~~Unfunded credit facilities consist of liquidity facilities for our fund and municipal lending clients and undrawn lines of credit related to senior secured bank loans.~~

~~As of September 30, 2017, approximately 73%~~ Approximately 76%of our unfunded commitments to extend credit expire within one ~~year. Since many~~year as of ~~these commitments are expected~~March 31, 2023, compared to ~~expire or renew without being drawn upon, the gross contractual amounts do not necessarily represent our future cash requirements.~~approximately 77% as of December 31, 2022.

Indemnified Securities Financing

~~On behalf of~~For additional information on our ~~clients, we lend their~~indemnified securities ~~as agent,~~financing, refer to ~~brokers~~page 161 in Note 12 to the consolidated financial statements included under Item 8, Financial Statements and ~~other institutions. In most circumstances, we indemnify~~Supplementary Data, in our ~~clients for the fair market value of those securities against a failure of the borrower to return such securities.~~2022 Form 10-K.

The following table summarizes the aggregate fair values of indemnified securities financing and related collateral, as well as collateral invested in indemnified repurchase agreements, as of the dates indicated:


(In millions)	March 31, 2023		December 31, 2022
Fair value of indemnified securities financing	$	349,966	$	348,924
Fair value of cash and securities held by us, as agent, as collateral for indemnified securities financing	364,016		366,895
Fair value of collateral for indemnified securities financing invested in indemnified repurchase agreements	56,569		54,114
Fair value of cash and securities held by us or our agents as collateral for investments in indemnified repurchase agreements	60,935		57,903

(In millions) September 30, 2017 December 31, 2016
Fair value of indemnified securities financing $ 379,459
$ 360,452
Fair value of cash and securities held by us, as agent, as collateral for indemnified securities financing 396,123
377,919
Fair value of collateral for indemnified securities financing invested in indemnified repurchase agreements 68,243
60,003
Fair value of cash and securities held by us or our agents as collateral for investments in indemnified repurchase agreements 73,157
63,959

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In certain cases, we participate in securities finance transactions as a principal. As a principal, we borrow securities from the lending client and then lend such securities to the subsequent borrower, either ~~a State Street~~our client or a broker/dealer. Our right to receive and obligation to return collateral in connection with our securities lending transactions are recorded in other assets and ~~accrued expenses and~~ other liabilities, respectively, in our consolidated statement of condition. As of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016,~~2022, we had approximately ~~$23.63~~$21.63 billion and ~~$21.20~~$16.49 billion, respectively, of collateral provided and approximately ~~$5.27~~$9.91 billion and ~~$5.02~~$6.38 billion, respectively, of collateral received from clients in connection with our participation in principal securities finance transactions.

~~Stable Value Protection~~FICC Guarantee

InAs a sponsoring member in the ~~normal course of our business,~~FICC member program, we ~~offer products that~~ provide ~~book-value protection, primarily~~a guarantee to plan participants in stable value funds managed by non-affiliated investment managers of post-retirement defined contribution benefit plans, particularly 401(k) plans. The book-value protection is provided on portfolios of intermediate investment grade fixed-income securities, and is intended to provide safety and stable growth of principal invested. The protection is intended to cover any shortfallFICC in the event a customer fails to perform its obligations under a transaction. In order to minimize the risk associated with this guarantee, sponsored members acting as buyers generally grant a security interest in the subject securities received under and held on their behalf by State Street.

Additionally, as a member of FICC, we may be required to pay a pro rata share of the losses incurred by the organization and provide liquidity support in the event of the default of another member to the extent that ~~a significant number of plan participants withdraw funds when book value exceeds market value~~the defaulting member’s clearing fund obligation and the ~~liquidation~~prescribed loss allocation to FICC is depleted. It is difficult to estimate our maximum possible exposure under the membership agreement, since this would require an assessment of ~~the assets is~~future claims that may be made against us that have not ~~sufficient~~yet occurred. At March 31, 2023 and December 31, 2022, we did not record any liabilities under these arrangements.

For additional information on our repurchase and reverse repurchase agreements, please refer to redeem the participants. The investment parameters of the underlying portfolios, combined with structural protections, are designed to provide cushion and guard against payments even under extreme stress scenarios.

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These contingencies are individually accounted for as derivative financial instruments. The notional amounts of the stable value contracts are presented as “derivatives not designated as hedging instruments” in the table of aggregate notional amounts of derivative financial instruments provided in Note 78 to the consolidated financial statements in this Form 10-Q. We have not made a payment under these contingencies that we consider material to our consolidated financial condition, and management believes that the probability of payment under these contingencies in the future, that we would consider material to our consolidated financial condition, is remote.

~~Standby Letters of Credit~~

~~Standby letters of credit provide credit enhancement to our municipal clients to support the issuance of capital markets financing.~~

Note 10. Contingencies

Legal and Regulatory Matters

In the ordinary course of business, we and our subsidiaries are involved in disputes, litigation, and governmental or regulatory inquiries and investigations, both pending and threatened. These matters, if resolved adversely against us or settled, may result in monetary ~~damages,~~awards or payments, fines and penalties or require changes in our business practices. The resolution or settlement of these matters is inherently difficult to predict. Based on our assessment of these pending matters, we do not believe that the amount of any judgment, settlement

or other action arising from any pending matter is likely to have a material adverse effect on our consolidated financial condition. However, an adverse outcome or development in certain of the matters described below could have a material adverse effect on our consolidated results of operations for the period in which such matter is resolved, or an accrual is determined to be required, on our consolidated financial condition, or on our reputation.

We evaluate our needs for accruals of loss contingencies related to legal and regulatory proceedings on a case-by-case basis. When we have a liability that we deem probable, and we deem the amount of such liability can be reasonably estimated as of the date of our consolidated financial statements, we accrue ~~for~~ our estimate of the amount of loss. We also consider a loss probable and establish an accrual when we make, or intend to make, an offer of settlement. Once established, an accrual is subject to subsequent adjustment as a result of additional information. The resolution of legal and regulatory proceedings and the amount of reasonably estimable loss (or range thereof) are

inherently difficult to predict, especially in the early stages of proceedings. Even if a loss is probable, an amount (or range) of loss might not be reasonably estimated until the later stages of the proceeding due to many factors ~~(collectively, "factors influencing reasonable estimates"),~~ such as the presence of complex or novel legal theories, the discretion of governmental authorities in seeking sanctions or negotiating resolutions in civil and criminal matters, the pace and timing of discovery and other assessments of facts and the procedural posture of the ~~matter.~~matter (collectively, "factors influencing reasonable estimates").

As of ~~September 30, 2017,~~March 31, 2023, our aggregate accruals for loss contingencies for legal, regulatory and ~~regulatory~~related matters totaled approximately ~~$15 million.~~$16 million, including potential fines by government agencies and civil litigation with respect to the matters specifically discussed below. To the extent that we have established accruals in our consolidated statement of condition for probable loss contingencies, such accruals may not be sufficient to cover our ultimate financial exposure associated with any settlements or judgments. Any such ultimate financial exposure, or proceedings to which we may become subject in the future, could have a material adverse effect on our businesses, on our future consolidated financial statements or on our reputation. ~~Except where otherwise noted below,~~

As of March 31, 2023, for those matters for which we have ~~not established accruals with respect to~~accrued probable loss contingencies (including the ~~claims discussed~~Invoicing Matter described below) and ~~do not believe that potential exposure is probable and can be reasonably estimated.~~

~~We have identified certain~~for other matters for which loss is reasonably possible (but not probable) in future periods, ~~whether in excess of an accrued liability or where there is no accrued liability,~~ and for which we are able to estimate a range of reasonably possible ~~loss. As of September 30, 2017,~~loss, our estimate of the ~~range of~~aggregate reasonably possible loss ~~for these matters is from zero~~(in excess of any accrued amounts)

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ranges up to approximately ~~$15 million in the aggregate.~~$55 million. Our estimate with respect to the aggregate ~~range of~~ reasonably possible loss is based upon currently available information and is subject to significant judgment and a variety of assumptions and known and unknown ~~uncertainties. The~~uncertainties, which may change quickly and significantly from time to time, particularly if and as we engage with applicable governmental agencies or plaintiffs in connection with a proceeding. Also, the matters underlying the ~~estimated range~~reasonably possible loss will change from time to ~~time, and~~time. As a result, actual results may vary significantly from the current estimate.

In certain ~~other~~ pending matters, ~~, including the Invoicing Matter, Federal Reserve/Massachusetts Division of Banks Written Agreement and Shareholder Litigation discussed below,~~ it is not currently feasible to reasonably estimate the amount or a range of reasonably possible loss, ~~(including reasonably possible loss in excess of amounts accrued),~~ and such losses, which may be significant, are not included in the estimate of reasonably possible loss discussed above. This is due to,

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among other factors, ~~one or more considerations consistent with~~ the factors influencing reasonable estimates described in the above discussion of probable loss accruals. These considerations are particularly prevalent in governmental and regulatory inquiries and investigations and, as a result, reasonably possible loss estimates often are not feasible until the later stages of the inquiry or investigation or of any related legal or regulatory proceeding.above. An adverse outcome in one or more of the matters for which we dohave not ~~estimate~~estimated the amount or a range of reasonably possible loss, individually or in theaggregate, could have a material adverse effect on our businesses, on our future consolidated financial statements or on our reputation. Given that our actual losses from any legal or regulatory proceeding for which we have provided an estimate of the reasonably possible loss could significantly exceed such estimate, and given that we cannot estimate reasonably possible loss for all legal and regulatory proceedings as to which we may be subject now or in the future, ~~including matters that if adversely concluded may present material financial, regulatory and reputational risks,~~ no conclusion as to ~~the~~our ultimate exposure from current pending or potential legal or regulatory proceedings should be drawn from the current estimate of reasonably possible loss.

The following discussion provides information with respect to significant legal, governmental and regulatory matters.

~~Transition Management~~

In January 2014, we entered into a settlement with the FCA, pursuant to which we paid a fine of £22.9 million (approximately $37.8 million), as a result of our having charged six clients of our U.K. transition management business during 2010 and 2011 amounts in excess of the contractual terms. The SEC and the DOJ opened separate investigations into this matter. The U.S. Attorney’s office in Boston has charged three former employees in our transition management business with criminal fraud in connection with their alleged role in this matter. Two of these individuals have pled guilty to one count of criminal conspiracy. Charges remain pending against the third individual. The SEC has also commenced a parallel civil enforcement proceeding against that individual.

On January 18, 2017, we announced that we had entered into a settlement agreement with the DOJ and the United States Attorney for the District of Massachusetts to resolve their investigation. Under the terms of the agreement, we, among other things, paid a fine of $32.3 million and entered into a deferred prosecution agreement. Under the deferred prosecution agreement, we agreed to retain an independent compliance and ethics monitor for a term of three years (subject to extension) which will, among other things, review and monitor the

~~effectiveness of our compliance controls and business ethics and make related recommendations.~~

In September 2017, we entered into a settlement with the SEC and paid a penalty of $32.3 million (equal to the fine paid to the DOJ). The SEC settlement also required us to retain an independent ethics and compliance consultant. The monitor appointed in connection with the previously announced DOJ settlement will fulfill that role.

~~Federal Reserve/Massachusetts Division of Banks Written Agreement~~

On June 1, 2015, we entered into a written agreement with the Federal Reserve and the Massachusetts Division of Banks relating to deficiencies identified in our compliance programs with the requirements of the Bank Secrecy Act, AML regulations and U.S. economic sanctions regulations promulgated by OFAC. As part of this enforcement action, we are required to, among other things, implement improvements to our compliance programs and to retain an independent firm to conduct a review of account and transaction activity covering a prior three-month period to evaluate whether any suspicious activity not previously reported should have been identified and reported in accordance with applicable regulatory requirements. To the extent deficiencies in our historical reporting are identified as a result of the transaction review or if we fail to comply with the terms of the written agreement, we may become subject to fines and other regulatory sanctions, which may have a material adverse effect on us.

Invoicing Matter

In ~~December~~ 2015, we announced a review of the manner in which we invoiced certain expenses to some of our Investment Servicing clients, primarily in the United States, during an 18-year period going back to 1998, and our determinationdetermined that we had incorrectly invoiced clients for certain expenses. We ~~informed~~have reimbursed most of our ~~clients~~affected customers for those expenses, and we have implemented enhancements to our billing processes. In connection with our enhancements to our billing processes, we continue to review historical billing practices and may from time to time identify additional remediation. In 2017, we identified an additional area of incorrect expense billing associated with mailing services in ~~December 2015 that we will pay to them the amounts we concluded were incorrectly invoiced to them, plus interest.~~our retirement services business. We currently expect the cumulative total of our payments to customers for these invoicing errors, including the error in the retirement services business, to be at least ~~$340~~$350 million, ~~(including interest), in connection with~~all of which has been paid or is accrued. However, we may identify additional remediation costs.

In March 2017, a purported class action was commenced against us alleging that ~~review, which~~our invoicing practices violated duties owed to retirement plan customers under the Employee Retirement Income Security Act. We have agreed, subject to court approval, to resolve this matter and pay a cost that is ~~ongoing. We are implementing enhancements to~~within our ~~billing processes, and~~established accruals for loss contingencies. In addition, we are reviewing the conduct of our employees and have taken appropriate steps to address conduct inconsistent with our standards, including, in some cases, termination of employment. We are also evaluating other billing practices relating to our Investment Servicing clients, including calculation of asset-based fees.

We have received a purported class action

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demand letter alleging that our invoicing practices were unfair and deceptive under Massachusetts law. A class of customers, or particular customers, may assert that we have not paid to them all amounts incorrectly invoiced, and may seek double or treble damages under Massachusetts law. ~~In addition, in March 2017, a purported class action was commenced against us alleging that our invoicing practices violated duties owed to retirement plan customers under ERISA.~~

We ~~are also responding to requests for information~~resolved potential criminal claims that arose from ~~and are cooperating with investigations by, governmental and regulatory authorities on~~ these matters ~~including~~by entering into a deferred prosecution agreement with the ~~civil and criminal divisions~~office of the ~~DOJ,~~United States Attorney for the District of Massachusetts and paying a $115 million penalty in May 2021. In June 2019, we reached an agreement with the SEC to settle its claims that we violated the ~~DOL,~~recordkeeping provisions of Section 34(b) of the Investment Company Act of 1940 and caused violations of Section 31(a) of the Investment Company Act and Rules 31a-1(a) and 31a-1(b) thereunder in connection with our overcharges of customers which are registered investment companies. In reaching this settlement, we neither admitted nor denied the claims contained in the SEC’s order, and agreed to pay a civil monetary penalty of $40 million. Also in June 2019, we reached an agreement with the Massachusetts Attorney ~~General,~~General’s office to resolve its claims related to this matter. In reaching this settlement, we neither admitted nor denied the claims in the order, and agreed to pay a civil monetary penalty of $5.5 million. The SEC and Massachusetts Attorney General’s office settlements both recognize that the ~~New Hampshire Bureau~~payment of ~~Securities Regulation, which could result~~$48.8 million in ~~significant~~disgorgement and interest is satisfied by our direct reimbursements of our customers. We paid fines ~~or other sanctions, civil and criminal, against us. If these governmental or regulatory authorities were~~ to ~~conclude that all or a portion~~resolve claims of the ~~billing error merited civil or criminal sanctions, any fine or other penalty could be a significant percentage or a multiple~~Securities Divisions of the ~~portion~~Secretaries of the ~~overcharging serving as~~State of Massachusetts and New Hampshire. The costs associated with the ~~basis~~settlements discussed above were within our related and previously established accruals for loss contingencies.

We have not resolved certain claims that may be made by the U.S. Department of Labor. We do not know whether any such ~~a claim~~claims will be brought, and there can be no assurance that any settlement of any such claims will be reached on financial terms acceptable to us or ~~of the full~~at all. The aggregate amount of ~~the overcharging. The governmental and regulatory authorities have significant discretion in civil and criminal matters as to the fines and other~~ penalties they seek to impose. The severity of such fines or other penalties could take into account factors such as the amount and duration of our incorrect invoicing, the government’s or regulator's assessment of the conduct of our employees, as well as prior conduct such as that ~~which resulted in our January 2017 deferred prosecution agreement~~may potentially be imposed upon us in connection with ~~transition management services and our recent settlement of civil claims regarding our indirect foreign exchange business.~~

~~Any governmental or regulatory proceeding or sanction or~~ the ~~outcome~~resolution of any litigation could have a material adverse effect on our reputation or business, including the imposition of restrictions on the operation of our business or a reduction in client demand. Resolution of these matters could also have a material adverse effect on our consolidated results of operations for the period or periods in which such matters ~~are resolved or an accrual~~ is ~~determined to be required. No accrual, other than a reserve for client reimbursement, is reflected on our consolidated statement of condition as of September 30, 2017.~~not currently known.

~~Shareholder Litigation~~

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Gomes, et al. v. State Street Corp.

Eight participants in our Salary Savings Program filed a purported class action complaint in May 2021 on behalf of participants and beneficiaries who participated in the Program and invested in our proprietary investment fund options between May 2015 and the present. The complaint names the Plan Sponsor as well as the committees overseeing the Plan and their respective members as defendants, and alleges breach of fiduciary duty and violations of other duties owed to retirement plan participants under the Employee Retirement Income and Security Act. We and the other named defendants deny the alleged claims and are proceeding with a defense of the matter.

Edmar Financial Company, LLC et al v. Currenex, Inc. et al

In August 2021, two former Currenex clients filed a putative civil class action lawsuit in the Southern District of New York alleging antitrust violations, fraud and a civil Racketeer Influenced and Corrupt Organization Act violation against ~~the Company alleging that the Company’s financial statements in its annual reports for the 2011-14 period were misleading due to~~

~~the inclusion of revenues associated with the Transition Management and Invoicing matters. In addition, a~~Currenex, State Street ~~shareholder has filed a derivative complaint against the Company's past~~ and present officers and directors to recover alleged losses incurred by the Company relating to the Invoicing Matter and to our January 2016 settlement with the SEC concerning Ohio public retirement plans. others.

Income Taxes

In determining our provision for income taxes, we make certain judgments and interpretations with respect to tax laws in jurisdictions in which we have business operations. Because of the complex nature of these laws, in the normal course of our business, we are subject to challenges from U.S. and non-U.S. income tax authorities regarding the amount of income taxes due. These challenges may result in adjustments to the timing or amount of taxable income or deductions or the allocation of taxable income among tax jurisdictions. We recognize a tax benefit when it is more likely than not that our position will result in a tax deduction or credit. Unrecognized tax benefits oftotaled approximately ~~$63~~$280 million and $285 million as of ~~September 30, 2017 decreased from $71 million as of~~March 31, 2023 and December 31, ~~2016.~~2022, respectively.

We are presently under audit by a number of tax ~~authorities and the Internal Revenue Service is currently reviewing our U.S. income tax returns for the tax years 2014 and 2015.~~authorities. The earliest tax year open to examination in jurisdictions where we have material operations is ~~2010.~~2013. Management believes that we have sufficiently accrued liabilities as of ~~September 30, 2017~~March 31, 2023 for potential tax exposures.

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Note 11. Variable Interest Entities

For additional information on our ~~VIEs,~~accounting policy and our use of variable interest entities (VIEs), refer to pages ~~174~~164 to ~~175~~165 in Note 14 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, "Variable Interest Entities", in our ~~2016~~2022 Form 10-K.

~~Tax-Exempt Investment Program~~

In the normal course of our business, we structure and sell certificated interests in pools of tax-exempt investment-grade assets, principally to our mutual fund clients. We structure these pools as partnership trusts, and the assets and liabilities of the trusts are recorded in our consolidated statement of condition as AFS investment securities and other short-term borrowings. As of September 30, 2017 and December 31, 2016, we carried AFS investment securities, composed of securities related to state and political subdivisions, with a fair value of $1.29 billion and $1.35 billion, respectively, and other short-term borrowings of $1.10 billion and $1.16 billion, respectively, in our consolidated statement of condition in connection with these trusts. The interest income and interest expense generated by the investments and certificated interests, respectively, are recorded as components of NII when earned or incurred.

~~The trusts had a weighted-average life of approximately 4.4 years as of September 30, 2017, compared to approximately 4.5 years as of December 31, 2016.~~

Under separate legal agreements, we provide liquidity facilities to these trusts and, with respect to certain securities, letters of credit. As of September 30, 2017, our commitments to the trusts under these liquidity facilities and letters of credit totaled $1.12 billion and $351 million, respectively, and none of the liquidity facilities were utilized.

Interests in Investment Funds

As of ~~September 30, 2017, the average assets~~both March 31, 2023 and ~~liabilities of our consolidated sponsored investment funds totaled $119.82 million and $19.44 million, respectively. As of~~ December 31, ~~2016,~~2022, we had no consolidated funds.

As of September 30, 2017, our potential maximum total exposure associated with the consolidated sponsored investment funds totaled $100 million and represented the value of our economic ownership interest in the funds.

~~As of September 30, 2017~~both March 31, 2023 and December 31, ~~2016,~~2022, we managed certain funds, considered VIEs, in which we held a variable interest but for which we were not deemed to be the primary beneficiary. Our potential maximum loss exposure related to these unconsolidated funds totaled ~~$79~~$16 million and ~~$121~~

$15 million as of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016,~~2022, respectively, and represented the carrying value of our investments, which are recorded in ~~either AFS investment securities or~~ other assets in our consolidated statement of condition. The amount of loss we may recognize during any period is limited to the carrying amount of our investments in the unconsolidated funds.

We also held investments in low-income housing, production and investment tax credit entities, considered VIEs for which we were not deemed to be the primary beneficiary. As of March 31, 2023 and December 31, 2022, our potential maximum loss exposure related to these unconsolidated entities totaled $1.54 billion and $1.60 billion, respectively, most of which represented the carrying value of our investments, which are recorded in other assets in our consolidated statement of condition.

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Note 12. Shareholders' Equity

Preferred Stock

The following table summarizes selected terms of each of the series of the preferred stock issued and outstanding as of ~~September 30, 2017:~~March 31, 2023:

Issuance Date Depositary Shares Issued Ownership Interest Per Depositary Share Liquidation Preference Per Share Liquidation Preference Per Depositary Share
Net Proceeds of Offering
(In millions)

Redemption Date⁽¹⁾
Preferred Stock⁽²⁾:

Series C August 2012 20,000,000
1/4,000th $ 100,000
$ 25
$ 488
September 15, 2017
Series D February 2014 30,000,000
1/4,000th 100,000
25
742
March 15, 2024
Series E November 2014 30,000,000
1/4,000th 100,000
25
728
December 15, 2019
Series F May 2015 750,000
1/100th 100,000
1,000
742
September 15, 2020
Series G April 2016 20,000,000
1/4,000th 100,000
25
493
March 15, 2026


Preferred Stock(1):	Issuance Date	Depositary Shares Issued	Amount outstanding (in millions)		Ownership Interest Per Depositary Share	Liquidation Preference Per Share		Liquidation Preference Per Depositary Share		Per Annum Dividend Rate	Dividend Payment Frequency	Carrying Value as of March 31, 2023 (In millions)		Redemption Date(2)

Series D(3)	February 2014	30,000,000	$	750	1/4,000th	$	100,000	$	25	5.9% to but excluding March 15, 2024, then a floating rate equal to the three-month LIBOR plus 3.108%	Quarterly	$	742	March 15, 2024
Series F(4)(5)	May 2015	250,000	250		1/100th	100,000		1,000		Floating rate equal to the three-month LIBOR plus 3.597%, or 8.463% effective March 15, 2023	Quarterly	247		September 15, 2020
Series G(6)	April 2016	20,000,000	500		1/4,000th	100,000		25		5.35% to but excluding March 15, 2026, then a floating rate equal to the three-month LIBOR plus 3.709%	Quarterly	493		March 15, 2026
Series H(7)	September 2018	500,000	500		1/100th	100,000		1,000		5.625% to but excluding December 15, 2023, then a floating rate equal to the three-month LIBOR plus 2.539%	Semi-annually	494		December 15, 2023

⁽²⁾The preferred stock and corresponding depositary shares may be redeemed at our option in whole, but not in part, prior to the redemption date upon the occurrence of a regulatory capital treatment event, as defined in the certificate of designation, at a redemption price equal to the liquidation price per share and liquidation price per depositary share plus any declared and unpaid dividends, without accumulation of any undeclared dividends.

(3) The dividend rate for the floating rate period of the Series D preferred stock that begins on March 15, 2024 and all subsequent floating rate periods will transition to a new, fixed rate in accordance with the LIBOR Act and the contractual terms of the Series D preferred stock.

(4) Series F preferred stock is redeemable on September 15, 2020 and on each succeeding dividend payment date.

(5) In accordance with the LIBOR Act, the benchmark interest rate used to calculate the dividend rate of the Series F preferred stock issued and outstanding will transition from LIBOR to CME Term SOFR, plus 0.26161%, beginning with the September 15, 2023 dividend period.

(6) The dividend rate for the floating rate period of the Series G preferred stock that begins on March 15, 2026 and all subsequent floating rate periods will remain at the current fixed rate in accordance with the LIBOR Act and the contractual terms of the Series G preferred stock.

The following tables present the dividends declared for each of the series of preferred stock issued and outstanding for the periods indicated:















	Three Months Ended March 31,
	2023						2022
(Dollars in millions, except per share amounts)	Dividends Declared per Share		Dividends Declared per Depositary Share		Total		Dividends Declared per Share		Dividends Declared per Depositary Share		Total
Preferred Stock:

Series D	$	1,475	$	0.37	$	11	$	1,475	$	0.37	$	11

Series F	2,092		20.92		5		950		9.50		2
Series G	1,338		0.33		7		1,338		0.33		7

Total					$	23					$	20

Three Months Ended September 30,
2017 2016
Dividends Declared per Share Dividends Declared per Depositary Share
Total
(In millions)⁽¹⁾
Dividends Declared per Share Dividends Declared per Depositary Share
Total
(In millions)
Preferred Stock:
Series C $ 1,313
$ 0.33
$ 6
$ 1,313
$ 0.33
$ 6
Series D 1,475
0.37
11
1,475
0.37
11
Series E 1,500
0.38
11
1,500
0.38
11
Series F 2,625
26.25
20
2,625
26.25
20
Series G 1,338
0.33
7
1,338
0.33
7
Total $ 55
$ 55

Nine Months Ended September 30,
2017 2016
Dividends Declared per Share Dividends Declared per Depositary Share
Total
(In millions)
Dividends Declared per Share Dividends Declared per Depositary Share
Total
(In millions)
Preferred Stock:
Series C $ 3,939
$ 0.99
$ 19
$ 3,939
$ 0.99
$ 19
Series D 4,425
1.11
33
4,425
1.11
33
Series E 4,500
1.14
33
4,500
1.14
33
Series F 5,250
52.50
40
5,250
52.50
40
Series G 4,014
0.99
21
2,289
0.57
12
Total $ 146
$ 137

⁽¹⁾ ~~Dividends were paid in September 2017.~~Common Stock

In ~~October 2017, we declared dividends on~~January 2023, our ~~Series C, D, E and G preferred~~Board approved a share repurchase program authorizing the purchase of up to $4.5 billion of our common stock through December 31, 2023. We repurchased $1.25 billion of ~~approximately $1,313, $1,475, $1,500 and $1,338, respectively, per~~our common stock in the first quarter of 2023 under our 2023 share ~~or approximately $0.33, $0.37, $0.38 and $0.33, respectively,~~repurchase authorization.

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STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

per depositary share. These dividends total approximately $6 million, $11 million, $11 million and $7 million on our Series C, D, E and G preferred stock, respectively, which will be paid in December 2017.

~~Common Stock~~

~~In June 2017, our Board approved a common stock purchase program authorizing the purchase of up to $1.4 billion of our common stock through June 30, 2018 (the 2017 Program).~~

~~In June 2016, our Board approved a common stock purchase program authorizing the purchase of up to$1.4 billion of our common stock through June 30, 2017 (the 2016 Program).~~ The table below presents the activity under ~~both~~our common share repurchase program for the ~~2017 Program and 2016 Program during the periods~~period indicated:

Three Months Ended September 30, 2017 Nine Months Ended September 30, 2017
Shares Acquired
(In millions) Average Cost per Share Total Acquired
(In millions) Shares Acquired
(In millions) Average Cost per Share Total Acquired
(In millions)
2016 Program⁽¹⁾
—
$ —
$ —
9.4
$ 79.93
$ 750
2017 Program 3.7
93.39
350
3.7
93.39
350
Total 3.7
$ 93.39
$ 350
13.1
$ 83.77
$ 1,100








	Three Months Ended March 31, 2023

	Shares Acquired (In millions)	Average Cost per Share		Total Acquired (In millions)
2023 Program	13.6	$	91.57	$	1,250

The ~~table~~tables below ~~presents~~present the dividends declared on common stock for the periods indicated:

Three Months Ended September 30, Nine Months Ended September 30,
2017 2016 2017 2016
Dividends Declared per Share
Total
(In millions)
Dividends Declared per Share
Total
(In millions)
Dividends Declared per Share
Total
(In millions)
Dividends Declared per Share
Total
(In millions)
Common Stock $ 0.42
$ 156
$ 0.38
$ 147
$ 1.18
$ 442
$ 1.06
$ 414







	Three Months Ended March 31,
	2023				2022
	Dividends Declared per Share		Total (In millions)		Dividends Declared per Share		Total (In millions)
Common Stock	$	0.63	$	212	$	0.57	$	209

Accumulated Other Comprehensive Income (Loss)

The following table presents the after-tax components of AOCI and changes for the periods indicated, net of related taxes:


(In millions)	Net Unrealized Gains (Losses) on Cash Flow Hedges		Net Unrealized Gains (Losses) on Investment Securities(1)		Net Unrealized Losses on Retirement Plans		Foreign Currency Translation		Net Unrealized Gains (Losses) on Hedges of Net Investments in Non-U.S. Subsidiaries		Total
Balance as of December 31, 2021	$	(2)	$	(50)	$	(130)	$	(1,019)	$	68	$	(1,133)
Other comprehensive income (loss) before reclassifications	(178)		(1,288)		—		(162)		64		(1,564)
Increase (decrease) due to amounts reclassified from accumulated other comprehensive income	(16)		—		15		—		—		(1)
Other comprehensive income (loss)	(194)		(1,288)		15		(162)		64		(1,565)
Balance as of March 31, 2022	$	(196)	$	(1,338)	$	(115)	$	(1,181)	$	132	$	(2,698)









Balance as of December 31, 2022	$	(359)	$	(1,817)	$	(143)	$	(1,751)	$	359	$	(3,711)
Other comprehensive income (loss) before reclassifications	14		194		—		172		(42)		338

Increase (decrease) due to amounts reclassified from accumulated other comprehensive income	37		52		12		—		—		101
Other comprehensive income (loss)	51		246		12		172		(42)		439
Balance as of March 31, 2023	$	(308)	$	(1,571)	$	(131)	$	(1,579)	$	317	$	(3,272)

(1) Includes after-tax net unamortized unrealized gains (losses) related to AFS investment securities that have been transferred to HTM of ($697) million and ($749) million as of ~~the dates indicated:~~March 31, 2023 and December 31, 2022, respectively.

(In millions) September 30, 2017 December 31, 2016
Net unrealized gains (losses) on cash flow hedges $ (45 ) $ 229
Net unrealized gains (losses) on available-for-sale securities portfolio 301
(225 )
Net unrealized gains (losses) related to reclassified available-for-sale securities 18
25
Net unrealized gains (losses) on available-for-sale securities 319
(200 )
Net unrealized losses on available-for-sale securities designated in fair value hedges (73 ) (86 )
Net unrealized gains (losses) on hedges of net investments in non-U.S. subsidiaries (52 ) 95
Other-than-temporary impairment on held-to-maturity securities related to factors other than credit (6 ) (9 )
Net unrealized losses on retirement plans (184 ) (194 )
Foreign currency translation (943 ) (1,875 )
Total $ (984 ) $ (2,040 )

The following ~~table presents changes in AOCI by component, net of related taxes,~~tables present after-tax reclassifications into earnings for the periods indicated:





















	Three Months Ended March 31,
	2023		2022
(In millions)	Amounts Reclassified into Earnings				Affected Line Item in Consolidated Statement of Income



Investment securities:





Losses reclassified from accumulated other comprehensive income into income, net of related taxes of $19 and $0, respectively	$	52	$	—	Net interest income
Cash flow hedges:
(Gains) losses reclassified from accumulated other comprehensive income into income, net of related taxes of $14 and $(6), respectively	37		(16)		Net interest income
Retirement plans:
Amortization of actuarial losses, net of related taxes of $5 and $6, respectively	12		15		Compensation and employee benefits expenses



Total amounts reclassified from accumulated other comprehensive income	$	101	$	(1)

Nine Months Ended September 30, 2017
(In millions) Net Unrealized Gains (Losses) on Cash Flow Hedges Net Unrealized Gains (Losses) on Available-for-Sale Securities Net Unrealized Gains (Losses) on Hedges of Net Investments in Non-U.S. Subsidiaries Other-Than-Temporary Impairment on Held-to-Maturity Securities Net Unrealized Losses on Retirement Plans Foreign Currency Translation Total
Balance as of December 31, 2016 $ 229
$ (286 ) $ 95
$ (9 ) $ (194 ) $ (1,875 ) $ (2,040 )
Other comprehensive income (loss) before reclassifications (274 ) 555
(147 ) 3
—
932
1,069
Amounts reclassified into (out of) earnings —
(23 ) —
—
10
—
(13 )
Other comprehensive income (loss) (274 ) 532
(147 ) 3
10
932
1,056
Balance as of September 30, 2017 $ (45 ) $ 246
$ (52 ) $ (6 ) $ (184 ) $ (943 ) $ (984 )

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CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Nine Months Ended September 30, 2016
(In millions) Net Unrealized Gains (Losses) on Cash Flow Hedges Net Unrealized Gains (Losses) on Available-for-Sale Securities Net Unrealized Gain (Losses) on Hedges of Net Investments in Non-U.S. Subsidiaries Other-Than-Temporary Impairment on Held-to-Maturity Securities Net Unrealized Losses on Retirement Plans Foreign Currency Translation Total
Balance as of December 31, 2015 $ 293
$ (128 ) $ (14 ) $ (16 ) $ (183 ) $ (1,394 ) $ (1,442 )
Other comprehensive income (loss) before reclassifications (213 ) 520
55
6
—
77
445
Amounts reclassified into (out of) earnings —
4
—
(1 ) 1
—
4
Other comprehensive income (loss) (213 ) 524
55
5
1
77
449
Balance as of September 30, 2016 $ 80
$ 396
$ 41
$ (11 ) $ (182 ) $ (1,317 ) $ (993 )

~~The following table presents after-tax reclassifications into earnings for the periods indicated:~~

Three Months Ended September 30,
2017 2016
(In millions)
Amounts Reclassified into
(out of) Earnings
Affected Line Item in Consolidated Statement of Income
Available-for-sale securities:
Net realized gains from sales of available-for-sale securities, net of related taxes of ($1) and ($2), respectively $ 4
$ 2
Net gains (losses) from sales of available-for-sale securities
Retirement plans:
Amortization of actuarial losses, net of related taxes of $0 and $1, respectively 2
(1 ) Compensation and employee benefits expenses
Total reclassifications (out of) into AOCI $ 6
$ 1

Nine Months Ended September 30,
2017 2016
(In millions)
Amounts Reclassified into
(out of) Earnings
Affected Line Item in Consolidated Statement of Income
Available-for-sale securities:
Net realized gains (losses) from sales of available-for-sale securities, net of related taxes of $15 and ($3), respectively $ (23 ) $ 4
Net gains (losses) from sales of available-for-sale securities
Held-to-maturity securities:
Other-than-temporary impairment on held-to-maturity securities related to factors other than credit, net of related taxes of $0 and $1, respectively —
(1 ) Losses reclassified (from) to other comprehensive income
Retirement plans:
Amortization of actuarial losses, net of related taxes of ($2) and ($2), respectively 10
1
Compensation and employee benefits expenses
Total reclassifications (out of) into AOCI $ (13 ) $ 4

~~State Street Corporation | 94~~

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~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

Note 13. Regulatory Capital

~~We are subject to various~~For additional information on our regulatory capital, including the regulatory capital requirements administered by federal banking agencies. Failure to meet minimum regulatory capital requirements can initiate certain mandatory and discretionary actions by regulators that, if undertaken, could have a direct material effect on our consolidated financial condition. Under current regulatory capital adequacy guidelines, we must meet specified capital requirements that involve quantitative measures of our consolidated assets, liabilities and off-balance sheet exposures calculated in conformity with regulatory accounting practices. Our capital components and their classifications are subject to qualitative judgments by regulators about components, risk weightings and other factors. For additional information on regulatory capital, and the requirements toagencies, which we are subject to, refer to pages ~~179~~167 to ~~180~~168 in Note 16 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our ~~2016~~2022 Form 10-K.

As ~~required by the Dodd-Frank Act, State Street and State Street Bank, as advanced approaches banking organizations, are subject to a permanent "capital floor" in the calculation and assessment~~ of ~~their regulatory capital adequacy by U.S. banking regulators. Beginning on January 1, 2015,~~March 31, 2023, we were required to calculate our risk-based capital ratios using both the advanced approaches and the standardized approach. As a result, from January 1, 2015 going forward, our risk-based capital ratios for regulatory assessment purposes are the lower of each ratio calculated under the standardized approach and the advanced approaches.

The methods for the calculation of our and State Street Bank's risk-based capital ratios will change as the provisions of the Basel III final rule related to the numerator (capital) and denominator (risk-weighted assets) are phased in, and as we begin calculating our risk-weighted assets using the advanced approaches. These ongoing methodological changes will result in differences in our reported capital ratios from one reporting period to the next that are independent of applicable changes to our capital base, our asset composition, our off-balance sheet exposures or our risk profile.

~~As of September 30, 2017, State Street~~ and State Street Bank exceeded all regulatory capital adequacy requirements to which ~~they~~we were ~~subject.~~subject to. As of ~~September 30, 2017,~~March 31, 2023, State Street Bank was categorized as “well capitalized” under the applicable regulatory capital adequacy framework, and exceeded all “well capitalized” ratio guidelines to which it was subject. Management believes that no conditions or events have occurred since ~~September 30, 2017~~March 31, 2023 that have changed the capital categorization of State Street Bank.

The following table presents the regulatory capital structure, total ~~risk-weighted assets,~~RWA, related regulatory capital ratios and the minimum required regulatory capital ratios for ~~State Street~~us and State Street Bank as of the dates indicated. As a result of changes in the methodologies used to calculate our regulatory capital ratios from period to period as the provisions of the Basel III final rule are phased in, the ratios presented in the table for each period-end are not directly comparable. Refer to the footnotes following the table.

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~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~


																																				State Street Corporation																State Street Bank
					State Street												State Street Bank
(In millions)					Basel III Advanced Approaches September 30, 2017⁽¹⁾			Basel III Standardized Approach September 30, 2017⁽²⁾			Basel III Advanced Approaches December 31, 2016⁽¹⁾			Basel III Standardized Approach December 31, 2016⁽²⁾			Basel III Advanced Approaches September 30, 2017⁽¹⁾			Basel III Standardized Approach September 30, 2017⁽²⁾			Basel III Advanced Approaches December 31, 2016⁽¹⁾			Basel III Standardized Approach December 31, 2016⁽²⁾
(Dollars in millions)																													(Dollars in millions)							Basel III Advanced Approaches March 31, 2023				Basel III Standardized Approach March 31, 2023				Basel III Advanced Approaches December 31, 2022				Basel III Standardized Approach December 31, 2022				Basel III Advanced Approaches March 31, 2023				Basel III Standardized Approach March 31, 2023				Basel III Advanced Approaches December 31, 2022				Basel III Standardized Approach December 31, 2022
Common shareholders' equity:	Common shareholders' equity:																												Common shareholders' equity:
Common stock and related surplus	Common stock and related surplus				$	10,307		$	10,307		$	10,286		$	10,286		$	11,382		$	11,382		$	11,376		$	11,376		Common stock and related surplus							$	11,228			$	11,228			$	11,234			$	11,234			$	13,033			$	13,033			$	13,033			$	13,033
Retained earnings	Retained earnings				18,675			18,675			17,459			17,459			12,286			12,286			12,285			12,285			Retained earnings							27,342				27,342				27,028				27,028				16,340				16,340				16,975				16,975
Accumulated other comprehensive income (loss)	Accumulated other comprehensive income (loss)				(985		)	(985		)	(1,936		)	(1,936		)	(808		)	(808		)	(1,648		)	(1,648		)	Accumulated other comprehensive income (loss)							(3,272)				(3,272)				(3,711)				(3,711)				(3,000)				(3,000)				(3,428)				(3,428)
Treasury stock, at cost	Treasury stock, at cost				(8,697		)	(8,697		)	(7,682		)	(7,682		)	—			—			—			—			Treasury stock, at cost							(12,524)				(12,524)				(11,336)				(11,336)				—				—				—				—
Total					19,300			19,300			18,127			18,127			22,860			22,860			22,013			22,013			Total							22,774				22,774				23,215				23,215				26,373				26,373				26,580				26,580
Regulatory capital adjustments:	Regulatory capital adjustments:																												Regulatory capital adjustments:
Goodwill and other intangible assets, net of associated deferred tax liabilities⁽³⁾					(6,739		)	(6,739		)	(6,348		)	(6,348		)	(6,447		)	(6,447		)	(6,060		)	(6,060		)
Other adjustments					(122		)	(122		)	(155		)	(155		)	(90		)	(90		)	(148		)	(148		)
Goodwill and other intangible assets, net of associated deferred tax liabilities																													Goodwill and other intangible assets, net of associated deferred tax liabilities							(8,527)				(8,527)				(8,545)				(8,545)				(8,268)				(8,268)				(8,288)				(8,288)
Other adjustments(1)																													Other adjustments(1)							(218)				(218)				(123)				(123)				(108)				(108)				(19)				(19)
Common equity tier 1 capital	Common equity tier 1 capital				12,439			12,439			11,624			11,624			16,323			16,323			15,805			15,805			Common equity tier 1 capital							14,029				14,029				14,547				14,547				17,997				17,997				18,273				18,273
Preferred stock	Preferred stock				3,196			3,196			3,196			3,196			—			—			—			—			Preferred stock							1,976				1,976				1,976				1,976				—				—				—				—
Trust preferred capital securities subject to phase-out from tier 1 capital					—			—			—			—			—			—			—			—
Other adjustments					(29		)	(29		)	(103		)	(103		)	—			—			—			—

Tier 1 capital	Tier 1 capital				15,606			15,606			14,717			14,717			16,323			16,323			15,805			15,805			Tier 1 capital							16,005				16,005				16,523				16,523				17,997				17,997				18,273				18,273
Qualifying subordinated long-term debt	Qualifying subordinated long-term debt				1,072			1,072			1,172			1,172			1,076			1,076			1,179			1,179			Qualifying subordinated long-term debt							1,369				1,369				1,376				1,376				541				541				542				542
Trust preferred capital securities phased out of tier 1 capital					—			—			—			—			—			—			—			—
ALLL and other					5			79			19			77			—			79			15			77
Other adjustments					1			1			1			1			—			—			—			—

Allowance for credit losses																													Allowance for credit losses							—				161				—				120				—				161				—				120

Total capital	Total capital				$	16,684		$	16,758		$	15,909		$	15,967		$	17,399		$	17,478		$	16,999		$	17,061		Total capital							$	17,374			$	17,535			$	17,899			$	18,019			$	18,538			$	18,699			$	18,815			$	18,935
Risk-weighted assets:	Risk-weighted assets:																												Risk-weighted assets:
Credit risk					$	50,197		$	106,377		$	50,900		$	98,125		$	47,282		$	103,024		$	47,383		$	94,413
Operational risk⁽⁴⁾					45,795			NA			44,579			NA			45,270			NA			44,043			NA
Market risk⁽⁵⁾					3,005			1,203			3,822			1,751			3,005			1,203			3,822			1,751
Credit risk(2)																													Credit risk(2)							$	64,034			$	113,869			$	61,108			$	105,739			$	57,476			$	112,093			$	54,675			$	104,184
Operational risk(3)																													Operational risk(3)							42,549				NA				42,763				NA				42,192				NA				42,325				NA
Market risk																													Market risk							1,713				1,713				1,488				1,488				1,713				1,713				1,488				1,488
Total risk-weighted assets	Total risk-weighted assets				$	98,997		$	107,580		$	99,301		$	99,876		$	95,557		$	104,227		$	95,248		$	96,164		Total risk-weighted assets							$	108,296			$	115,582			$	105,359			$	107,227			$	101,381			$	113,806			$	98,488			$	105,672

Adjusted quarterly average assets	Adjusted quarterly average assets				$	211,396		$	211,396		$	226,310		$	226,310		$	208,308		$	208,308		$	222,584		$	222,584		Adjusted quarterly average assets							$	268,747			$	268,747			$	275,678			$	275,678			$	266,192			$	266,192			$	273,220			$	273,220

Capital Ratios:	2017 Minimum Requirements Including Capital Conservation Buffer and G-SIB Surcharge⁽⁶⁾		2016 Minimum Requirements Including Capital Conservation Buffer and G-SIB Surcharge⁽⁷⁾																										Capital Ratios:	2023 Minimum Requirements(4)			2022 Minimum Requirements(4)
Common equity tier 1 capital	6.5	%	5.5	%	12.6		%	11.6		%	11.7		%	11.6		%	17.1		%	15.7		%	16.6		%	16.4		%	Common equity tier 1 capital	8.0		%	8.0		%	13.0		%		12.1		%		13.8		%		13.6		%		17.8		%		15.8		%		18.6		%		17.3		%
Tier 1 capital	8.0		7.0		15.8			14.5			14.8			14.7			17.1			15.7			16.6			16.4			Tier 1 capital	9.5			9.5			14.8				13.8				15.7				15.4				17.8				15.8				18.6				17.3
Total capital	10.0		9.0		16.9			15.6			16.0			16.0			18.2			16.8			17.8			17.7			Total capital	11.5			11.5			16.0				15.2				17.0				16.8				18.3				16.4				19.1				17.9
Tier 1 leverage(5)	4.0		4.0		7.4			7.4			6.5			6.5			7.8			7.8			7.1			7.1			4.0		4.0			6.0					6.0				6.0				6.0				6.8				6.8				6.7				6.7

(1) Other adjustments within CET1 capital primarily include AOCI hedges that are not recognized at fair value on the balance sheet, the overfunded portion of our defined benefit pension plan obligation net of associated deferred tax liabilities, disallowed deferred tax assets, and other required credit risk-based deductions.

⁽¹⁾~~Common equity tier 1 capital, tier 1 capital and total capital ratios as of September 30, 2017 and December 31, 2016 were calculated in conformity with~~(2) Under the advanced approaches, ~~provisions~~credit risk RWA includes a CVA which reflects the risk of ~~the Basel III final rule. Tier 1 leverage ratio as~~potential fair value adjustments for credit risk reflected in our valuation of ~~September 30, 2017 and December 31, 2016 were calculated~~OTC derivative contracts. We used a simple CVA approach in conformity with the Basel III ~~final rule.~~advanced approaches.

⁽²⁾Common equity tier 1 capital, tier 1 capital and total capital ratios as of September 30, 2017 and December 31, 2016 were calculated in conformity with the standardized approach provisions of the Basel III final rule. Tier 1 leverage ratio as of September 30, 2017 and December 31, 2016 were calculated in conformity with the Basel III final rule.

(5)State Street Bank is required to maintain a minimum Tier 1 leverage ratio of 5% as it is the ~~Basel III final rule. We used~~insured depository institution subsidiary of State Street Corporation, a ~~simple CVA approach in conformity with the Basel III advanced approaches.~~U.S. G-SIB.

⁽⁶⁾~~Minimum requirements will be phased in up to full implementation beginning on January 1, 2019; minimum requirements listed are as of September 30, 2017.~~

⁽⁷⁾~~Minimum requirements will be phased in up to full implementation beginning on January 1, 2019; minimum requirements listed are as of December 31, 2016.~~

^NANot applicable

State Street Corporation | 9681

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STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Note 14. Net Interest Income

The following table presents the components of interest income and interest expense, and related NII, for the periods indicated:


	Three Months Ended March 31,
(In millions)	2023		2022
Interest income:
Interest-bearing deposits with banks	$	641	$	9
Investment securities:



Investment securities available-for-sale	347		154
Investment securities held-to-maturity	321		171

Total investment securities	668		325
Securities purchased under resale agreements	76		10
Loans	397		172
Other interest-earning assets	245		5
Total interest income	2,027		521
Interest expense:
Interest-bearing deposits	953		(63)

Securities sold under repurchase agreements	9		—
Federal funds purchased	1		—
Short-term borrowings	11		—
Long-term debt	184		65
Other interest-bearing liabilities	103		10
Total interest expense	1,261		12
Net interest income	$	766	$	509

Three Months Ended September 30, Nine Months Ended September 30,
(In millions) 2017 2016 2017 2016
Interest income:
Deposits with banks $ 45
$ 29
$ 121
$ 101
Investment securities:
U.S. Treasury and federal agencies 207
200
627
620
State and political subdivisions 56
55
171
162
Other investments 173
208
495
581
Securities purchased under resale agreements 74
40
189
112
Loans and leases 139
97
362
281
Other interest-earning assets 67
18
146
39
Total interest income 761
647
2,111
1,896
Interest expense:
Deposits 39
20
96
73
Securities sold under repurchase agreements 1
—
2
1
Short-term borrowings 3
2
7
4
Long-term debt 78
68
227
191
Other interest-bearing liabilities 37
20
91
57
Total interest expense 158
110
423
326
Net interest income $ 603
$ 537
$ 1,688
$ 1,570

Note 15. Expenses

The following table presents the components of other expenses for the periods indicated:


	Three Months Ended September 30,				Nine Months Ended September 30,						Three Months Ended March 31,
(In millions)	2017		2016		2017			2016		(In millions)	2023		2022
Insurance	$	27	$	31	$	84		$	74
Professional services										Professional services	$	106	$	97
Regulatory fees and assessments	24		28		77			65		Regulatory fees and assessments	26		20
Sales advertising and public relations										Sales advertising and public relations	23		19
Bank operations										Bank operations	11		4

Securities processing	4		10		20			20		Securities processing	10		8
Litigation	3		47		(15		)	47

Donations										Donations	7		6
Other	86		71		261			231		Other	87		89

Total other expenses	$	144	$	187	$	427		$	437	Total other expenses	$	270	$	243

Acquisition and Restructuring ~~Charges~~Costs

InAcquisition and restructuring costs were nil in the ~~third~~first quarter ~~and first nine months~~ of ~~2017, we recorded restructuring charges of $33 million and $112 million, respectively,~~2023 compared to ~~$10~~$9 million ~~and $120 million~~ in the ~~same periods~~first quarter of ~~2016. The charges were primarily~~2023 related to ~~Beacon.~~

the BBH Investor Services acquisition transaction that we are no longer pursuing.

Repositioning Charges

The following table presents aggregate ~~restructuring~~ activity for repositioning charges for the periods indicated:


(In millions)	Employee Related Costs		Real Estate Actions		Total
Accrual Balance at December 31, 2021	$	68	$	6	$	74


Payments and Other Adjustments	(17)		(1)		(18)
Accrual Balance at March 31, 2022	$	51	$	5	$	56



Accrual Balance at December 31, 2022	$	83	$	5	$	88

Payments and other adjustments	(14)		(1)		(15)
Accrual Balance at March 31, 2023	$	69	$	4	$	73

(In millions) Employee
Related Costs Real Estate
Actions Asset and Other Write-offs Total
Accrual Balance at December 31, 2015 $ 9
$ 11
$ 3
$ 23
Accruals for Beacon 86
—
11
97
Payments and Other Adjustments (4 ) (1 ) (7 ) (12 )
Accrual Balance at March 31, 2016 $ 91
$ 10
$ 7
$ 108
Accruals for Beacon (1 ) 15
(1 ) 13
Payments and Other Adjustments (35 ) (3 ) (1 ) (39 )
Accrual Balance at June 30, 2016 $ 55
$ 22
$ 5
$ 82
Accruals for Beacon 8
3
(1 ) 10
Payments and Other Adjustments (14 ) (3 ) (1 ) (18 )
Accrual Balance at September 30, 2016 $ 49
$ 22
$ 3
$ 74
Accrual Balance at December 31, 2016 $ 37
$ 17
$ 2
$ 56
Accruals for Beacon 14
—
2
16
Payments and Other Adjustments (13 ) (3 ) (2 ) (18 )
Accrual Balance at March 31, 2017 $ 38
$ 14
$ 2
$ 54
Accruals for Beacon 60
—
2
62
Payments and other adjustments (11 ) (3 ) (2 ) (16 )
Accrual Balance at June 30, 2017 $ 87
$ 11
$ 2
$ 100
Accruals for Beacon 23
9
1
33
Payments and Other Adjustments (10 ) (5 ) (1 ) (16 )
Accrual Balance at September 30, 2017 $ 100
$ 15
$ 2
$ 117

~~Note 16. Earnings Per Common Share~~

Basic EPS is calculated pursuant to the “two-class” method, by dividing net income available to common shareholders by the weighted-average common shares outstanding during the period. Diluted EPS is calculated pursuant to the two-class method, by dividing net income available to common shareholders by the total weighted-average number of common shares outstanding for the period plus the shares representing the dilutive effect of equity-based awards. The effect of equity-based awards is excluded from the calculation of diluted EPS in periods in which their effect would be anti-dilutive.

The two-class method requires the allocation of undistributed net income between common and participating shareholders. Net income available to common shareholders, presented separately in our consolidated statement of income, is the basis for the calculation of both basic and diluted EPS. Participating securities are composed of unvested and fully vested SERP shares and fully vested deferred director stock awards, which are equity-based awards that contain non-forfeitable rights to

State Street Corporation | 9782

~~Table of Contents~~

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Note 16. Earnings Per Common Share

~~dividends,~~For additional information on our EPS calculation methodologies, refer to page 175 in Note 23 to the consolidated financial statements included under Item 8, Financial Statements and ~~are considered to participate with the common stock~~Supplementary Data, in ~~undistributed earnings.~~our 2022 Form 10-K.

The following table presents the computation of basic and diluted earnings per common share for the periods indicated:

Three Months Ended September 30,
(Dollars in millions, except per share amounts) 2017
2016
Net income $ 685
$ 563
Less:
Preferred stock dividends (55 ) (55 )
Dividends and undistributed earnings allocated to participating securities⁽¹⁾
(1 ) (1 )
Net income available to common shareholders $ 629
$ 507
Average common shares outstanding (In thousands):
Basic average common shares 372,765
388,358
Effect of dilutive securities: equity-based awards 5,753
4,854
Diluted average common shares 378,518
393,212
Anti-dilutive securities⁽²⁾
—
2,166
Earnings per Common Share:
Basic $ 1.69
$ 1.31
Diluted⁽³⁾
1.66
1.29

Nine Months Ended September 30,
(Dollars in millions, except per share amounts) 2017 2016
Net income $ 1,807
$ 1,550
Less:
Preferred stock dividends (146 ) (137 )
Dividends and undistributed earnings allocated to participating securities⁽¹⁾
(2 ) (2 )
Net income available to common shareholders $ 1,659
$ 1,411
Average common shares outstanding (In thousands):
Basic average common shares 376,430
393,959
Effect of dilutive securities: equity-based awards 5,349
4,454
Diluted average common shares 381,779
398,413
Anti-dilutive securities⁽²⁾
250
3,027
Earnings per Common Share:
Basic $ 4.41
$ 3.58
Diluted⁽³⁾
4.35
3.54


	Three Months Ended March 31,
(Dollars in millions, except per share amounts)	2023		2022
Net income	$	549	$	604
Less:
Preferred stock dividends	(23)		(20)
Dividends and undistributed earnings allocated to participating securities(1)	(1)		(1)
Net income available to common shareholders	$	525	$	583
Average common shares outstanding (In thousands):
Basic average common shares	341,106		366,542
Effect of dilutive securities: equity-based awards	4,366		5,495
Diluted average common shares	345,472		372,037
Anti-dilutive securities(2)	23		8
Earnings per common share:
Basic	$	1.54	$	1.59
Diluted(3)	1.52		1.57

⁽¹⁾Represents the portion of net income available to common equity allocated to participating securities, composed of unvested and fully vested SERP (Supplemental executive retirement plans) shares and fully vested deferred director stock awards, which are equity-based awards that contain non-forfeitable rights to dividends, and are considered to participate with the common stock in undistributed earnings.

⁽²⁾Represents equity-based awards outstanding but not included in the computation of diluted average common shares, because their effect was anti-dilutive. Additional information about equity-based awards is provided on pages 169 to 171 in Note 18 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our ~~2016~~2022 Form 10-K.

⁽³⁾Calculations reflect allocation of earnings to participating securities using the two-class method, as this computation is more dilutive than the treasury stock method.

~~State Street Corporation | 98~~

~~Table of Contents~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

Note 17. Line of Business Information

Our operations are organized into two lines of business: Investment Servicing and Investment Management, which are defined based on products and services provided. The results of operations for these lines of business are not necessarily comparable with those of other companies, including companies in the financial services industry. For information about our two lines of business, as well as revenues, expenses and capital allocation methodologies associated with them, refer to pages ~~188~~175 to ~~189~~177 in Note 24 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our ~~2016~~2022 Form 10-K.

The following ~~is a summary~~tables summarize our line of ~~our line-of-business~~business results for the periods indicated. The "Other" ~~column represents costs incurred~~columns represent amounts that are not allocated to ~~a specific line~~our two lines of business, including ~~certain severance and restructuring~~repositioning charges, employee costs, acquisition costs, revenue-related recoveries and certain ~~provisions for~~ legal ~~contingencies.~~accruals.


	Three Months Ended March 31,
	Investment Servicing						Investment Management						Other				Total
(Dollars in millions)	2023			2022			2023			2022			2023		2022		2023			2022
Servicing fees	$	1,217		$	1,368		$	—		$	—		$	—	$	—	$	1,217		$	1,368
Management fees	—			—			457			520			—		—		457			520
Foreign exchange trading services	321			342			21			17			—		—		342			359
Securities finance	103			93			6			3			—		—		109			96
Software and processing fees	165			201			—			—			—		—		165			201
Other fee revenue	28			46			17			(17)			—		—		45			29
Total fee revenue	1,834			2,050			501			523			—		—		2,335			2,573
Net interest income	762			509			4			—			—		—		766			509
Total other income	—			(1)			—			—			—		—		—			(1)
Total revenue	2,596			2,558			505			523			—		—		3,101			3,081
Provision for credit losses	44			—			—			—			—		—		44			—




Total expenses	1,978			1,925			386			389			5		13		2,369			2,327
Income before income tax expense	$	574		$	633		$	119		$	134		$	(5)	$	(13)	$	688		$	754
Pre-tax margin	22		%	25		%	24		%	26		%					22		%	24		%

Three Months Ended September 30,
Investment
Servicing Investment
Management Other Total
(Dollars in millions) 2017 2016 2017 2016 2017 2016 2017 2016
Servicing fees $ 1,351
$ 1,303
$ —
$ —
$ —
$ —
$ 1,351
$ 1,303
Management fees —
—
419
368
—
—
419
368
Trading services 239
248
20
19
—
—
259
267
Securities finance 147
136
—
—
—
—
147
136
Processing fees and other 65
12
1
(7 ) —
—
66
5
Total fee revenue 1,802
1,699
440
380
—
—
2,242
2,079
Net interest income 606
536
(3 ) 1
—
—
603
537
Gains (losses) related to investment securities, net 1
4
—
—
—
—
1
4
Total revenue 2,409
2,239
437
381
—
—
2,846
2,620
Provision for loan losses 3
—
—
—
—
—
3
—
Total expenses 1,673
1,634
314
317
34
33
2,021
1,984
Income before income tax expense $ 733
$ 605
$ 123
$ 64
$ (34 ) $ (33 ) $ 822
$ 636
Pre-tax margin 30 % 27 % 28 % 17 % 29 % 24 %

Nine Months Ended September 30,
Investment
Servicing Investment
Management Other Total
(Dollars in millions) 2017 2016 2017 2016 2017 2016 2017 2016
Servicing fees $ 3,986
$ 3,784
$ —
$ —
$ —
$ —
$ 3,986
$ 3,784
Management fees —
—
1,198
931
—
—
1,198
931
Trading services 768
760
55
46
—
—
823
806
Securities finance 459
426
—
—
—
—
459
426
Processing fees and other 203
164
6
(9 ) —
—
209
155
Total fee revenue 5,416
5,134
1,259
968
—
—
6,675
6,102
Net interest income 1,691
1,567
(3 ) 3
—
—
1,688
1,570
Gains (losses) related to investment securities, net (39 ) 5
—
—
—
—
(39 ) 5
Total revenue 7,068

6,706

1,256

971
—
—
8,324
7,677
Provision for loan losses 4
8
—
—
—
—
4
8
Total expenses 5,050
4,920
954
817
134
157
6,138
5,894
Income before income tax expense $ 2,014
$ 1,778
$ 302
$ 154
$ (134 ) $ (157 ) $ 2,182
$ 1,775
Pre-tax margin 28 % 27 % 24 % 16 % 26 % 23 %

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STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Note 18. Revenue from Contracts with Customers

For additional information on the nature of services and our revenue from contracts with customers, including revenues associated with both our Investment Servicing and Investment Management lines of business, refer to pages 177 to 180 in Note 25 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2022 Form 10-K.

Revenue by category

In the following tables, revenue is disaggregated by our two lines of business and by revenue stream for which the nature, amount, timing and uncertainty of revenue and cash flows are affected by economic factors.


	Three Months Ended March 31, 2023
	Investment Servicing						Investment Management						Total
(Dollars in millions)	Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total			2023
Servicing fees	$	1,217	$	—	$	1,217	$	—	$	—	$	—		$	1,217
Management fees	—		—		—		457		—		457			457
Foreign exchange trading services	90		231		321		21		—		21			342
Securities finance	63		40		103		—		6		6			109
Software and processing fees	120		45		165		—		—		—			165
Other fee revenue	—		28		28		—		17		17			45
Total fee revenue	1,490		344		1,834		478		23		501			2,335
Net interest income	—		762		762		—		4		4			766
Total other income	—		—		—		—		—		—			—
Total revenue	$	1,490	$	1,106	$	2,596	$	478	$	27	$	505		$	3,101















	Three Months Ended March 31, 2022
	Investment Servicing						Investment Management						Total
(Dollars in millions)	Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total			2022
Servicing fees	$	1,368	$	—	$	1,368	$	—	$	—	$	—		$	1,368
Management fees	—		—		—		520		—		520			520
Foreign exchange trading services	101		241		342		17		—		17			359
Securities finance	54		39		93		—		3		3			96
Software and processing fees	151		50		201		—		—		—			201
Other fee revenue	—		46		46		—		(17)		(17)			29
Total fee revenue	1,674		376		2,050		537		(14)		523			2,573
Net interest income	—		509		509		—		—		—			509
Total other income	—		(1)		(1)		—		—		—			(1)
Total revenue	$	1,674	$	884	$	2,558	$	537	$	(14)	$	523		$	3,081

Contract balances and contract costs

As of March 31, 2023 and December 31, 2022, net receivables of $2.68 billion and $2.63 billion, respectively, are included in accrued interest and fees receivable, representing amounts billed or currently billable related to revenue from contracts with customers. As performance obligations are satisfied, we have an unconditional right to payment and billing is generally performed monthly or quarterly; therefore, we do not have significant contract assets.

We had $138 million of deferred revenue as of both March 31, 2023 and December 31, 2022. Deferred revenue is a contract liability which represents payments received and accounts receivable recorded in advance of providing services and is included in accrued expenses and other liabilities in the consolidated statement of condition. In the first quarter of 2023, we recognized revenue of $57 million relating to deferred revenue as of December 31, 2022.

Transaction price allocated to the remaining performance obligations represents future, non-cancelable contracted revenue that has not yet been recognized, inclusive of deferred revenue that has been invoiced and non-cancelable amounts that will be invoiced and recognized as revenue in future periods. As of March 31, 2023, total remaining non-cancelable performance obligations for services and products not yet delivered, primarily comprised of software license sales and SaaS, were approximately $1.5 billion. We expect to recognize approximately half of this amount in revenue over the next three years, with the remainder to be recognized thereafter.

No adjustments are made to the promised amount of consideration for the effects of a significant financing component as the period between when we transfer a promised service to a customer and when the customer pays for that service is expected to be one year or less.

State Street Corporation | 84

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Note ~~18.~~19. Non-U.S. Activities

We define our non-U.S. activities as those revenue-producing business activities that arise from clients which are generally serviced or managed outside the U.S. Due to the integrated nature of our business, precise segregation of our U.S. and non-U.S. activities is not possible.

Subjective estimates, assumptions and other judgments are applied to quantify the financial results and assets related to our non-U.S. activities, including our application of funds transfer pricing, our ~~asset-and-liability~~asset and liability management policies and our allocation of certain indirect corporate expenses. Management periodically reviews and updates its processes for quantifying the financial results and assets related to our non-U.S. activities.

The following table presents our U.S. and non-U.S. financial results for the periods indicated:


	Three Months Ended March 31,
	2023						2022
(In millions)	Non-U.S.(1)		U.S.		Total		Non-U.S.(1)		U.S.		Total
Total revenue	$	1,283	$	1,818	$	3,101	$	1,380	$	1,701	$	3,081
Income before income tax expense	252		436		688		362		392		754

Three Months Ended September 30, 2017 Three Months Ended September 30, 2016
(In millions) Non-U.S. U.S. Total Non-U.S. U.S. Total
Total revenue $ 1,219
$ 1,627
$ 2,846
$ 1,117
$ 1,503
$ 2,620
Income before income taxes 342
480
822
314
322
636

Nine Months Ended September 30, 2017 Nine Months Ended September 30, 2016
(In millions) Non-U.S. U.S. Total Non-U.S. U.S. Total
Total revenue $ 3,494
$ 4,830
$ 8,324
$ 3,278
$ 4,399
$ 7,677
Income before income taxes 919
1,263
2,182
835
940
1,775

(1) Geographic mix is generally based on the domicile of the entity servicing the funds and is not necessarily representative of the underlying asset mix.

Management fees generated outside the U.S. were approximately 25% and 27% of total management fees in the first quarter of 2023 and 2022, respectively.

Servicing fees generated outside the U.S. were approximately 46% and 47% of total servicing fees in the first quarter of 2023 and 2022, respectively.

Non-U.S. assets were ~~$81.5~~$81.76 billion and ~~$86.7~~$94.68 billion as of ~~September 30, 2017~~March 31, 2023 and ~~2016,~~2022, respectively.

State Street Corporation | ~~100~~85

~~Table of Contents~~

Report of Independent Registered Public Accounting Firm

~~REVIEW REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM~~

The Shareholders and Board of Directors of

State Street Corporation

Results of Review of Interim Financial Statements

We have reviewed the accompanying consolidated statement of condition of State Street Corporation (the “Corporation”) as of ~~September 30, 2017, and~~March 31, 2023, the related consolidated statements of income, ~~and~~ comprehensive income, ~~for the three-and-nine month periods ended September 30, 2017 and 2016, and~~ changes in shareholders' equity and cash flows for the ~~nine-month~~three-month periods ended ~~September 30, 2017~~March 31, 2023 and ~~2016. These~~2022 and the related condensed notes (collectively referred to as the “condensed consolidated interim financial statements”). Based on our reviews, we are not aware of any material modifications that should be made to the condensed consolidated interim financial statements ~~are the responsibility of the Corporation's management.~~for them to be in conformity with U.S. generally accepted accounting principles.

We ~~conducted our review~~have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States). ("PCAOB"), the consolidated statement of condition of the Corporation as of December 31, 2022, the related consolidated statements of income, comprehensive income, changes in shareholders' equity and cash flows for the year then ended, and the related notes (not presented herein); and in our report dated February 16, 2023, we expressed an unqualified audit opinion on those consolidated financial statements. In our opinion, the information set forth in the accompanying consolidated statement of condition as of December 31, 2022, is fairly stated, in all material respects, in relation to the consolidated statement of condition from which it has been derived.

Basis for Review Results

These financial statements are the responsibility of the Corporation’s management. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Corporation in accordance with the U.S. federal securities laws and the applicable rules and regulations of the SEC and the PCAOB. We conducted our review in accordance with the standards of the PCAOB. A review of interim financial ~~information~~statements consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the ~~Public Company Accounting Oversight Board (United States),~~PCAOB, the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.

Based on our review, we are not aware of any material modifications that should be made to the condensed consolidated financial statements referred to above for them to be in conformity with U.S. generally accepted accounting principles.

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the consolidated statement of condition of State Street Corporation as of December 31, 2016, and the related consolidated statements of income, comprehensive income, changes in shareholders' equity, and cash flows for the year then ended, not presented herein and we expressed an unqualified audit opinion on those consolidated financial statements in our report dated February 16, 2017. In our opinion, the information set forth in the accompanying consolidated statement of condition of State Street Corporation as of December 31, 2016, is fairly stated, in all material respects, in relation to the consolidated statement of condition from which it has been derived.

/s/ Ernst & Young LLP

Boston, Massachusetts

~~November 1, 2017~~April 27, 2023

State Street Corporation | ~~101~~86

~~Table of Contents~~


ACRONYMS


~~ACRONYMS~~
ABS
~~2016 Form 10-K~~	~~State Street Corporation Annual Report on Form 10-K for the year ended December 31, 2016, as amended~~	~~GAAP~~	~~Generally accepted accounting principles~~
~~ABS~~	Asset-backed securities	~~GEAM~~G-SIB		~~General Electric Asset Management~~
~~AFS~~	~~Available-for-sale~~	~~G-SIB~~	Global systemically important bank
~~ALLL~~AFS			~~Allowance for loan and lease losses~~Available-for-sale		HQLA⁽¹⁾		High-quality liquid assets
~~AML~~AOCI			~~Anti-money laundering~~		~~HTM~~	~~Held-to-maturity~~
~~AOCI~~	Accumulated other comprehensive income (loss)	~~IDI~~HTM		~~Insured depository institution~~Held-to-maturity
~~ASU~~AUC/A			~~Accounting Standards Update~~		~~IFDS U.K.~~	~~International Financial Data Services Limited U.K.~~
~~AUCA~~	Assets under custody ~~and~~and/or administration	IDI		Insured Depository Institution
AUM			Assets under management		LCR⁽¹⁾		Liquidity coverage ratio
~~AUM~~BBH			~~Assets under management~~Brown Brothers Harriman & Co		~~LGD~~LIBOR		~~Loss given default~~London Interbank Offered Rate
~~BCBS~~bps			~~Basel Committee on Banking Supervision~~Basis points		LTD		~~Long term~~Long-term debt
~~BFDS~~CAD			~~Boston Financial Data Services, Inc.~~Canadian Dollar		MBS		Mortgage-backed securities
~~Board~~CCAR			~~Board of Directors~~		~~MRAC~~	~~Management Risk and Capital Committee~~
~~bps~~	~~Basis points~~	~~NII~~	~~Net interest income~~
~~CAP~~	~~Capital adequacy process~~	~~NIM~~	~~Net interest margin~~
~~CCAR~~	Comprehensive Capital Analysis and Review	~~NSFR~~⁽¹⁾ MMLF		~~Net stable funding ratio~~Money Market Mutual Fund Liquidity Facility
CDCCB			~~Certificates of deposit~~Capital Conservation Buffer		~~OCI~~NII		~~Other comprehensive~~Net interest income ~~(loss)~~
CMBS			Commercial Mortgage backed Security		NIM		Net interest margin
CRD			Charles River Development		OTC		Over-the-counter
CET1⁽¹⁾			Common equity tier 1		~~OCIO~~PCAOB		~~Outsourced Chief Investment Officer~~Public Company Accounting Oversight Board
CLO			Collateralized ~~loan obligations~~Loan Obligation		~~OFAC~~ RWA(1)		~~Office of Foreign Assets Control~~Risk-weighted assets
~~CRE~~CVA			~~Commercial real estate~~		~~OTC~~	~~Over-the-counter~~
~~CVA~~	Credit valuation adjustment	~~OTTI~~SaaS		~~Other-than-temporary-impairment~~Software as a service
~~Dodd-Frank Act~~ECB			~~Dodd-Frank Wall Street Reform and Consumer Protection Act~~		~~Parent Company~~	~~State Street Corporation~~
~~DOJ~~	~~Department of Justice~~	~~PCA~~	~~Prompt corrective action~~
~~DOL~~	~~Department of Labor~~	~~P&L~~	~~Profit-and-loss~~
~~ECB~~	European Central Bank	RCSA-CCR		Standardized Approach for Counterparty Credit Risk ~~Committee~~
~~EPS~~ESG			~~Earnings per share~~Environmental, Social and Governance		~~ROE~~SCB		~~Return on average common equity~~Stress Capital Buffer
~~ERISA~~ETF			~~Employee Retirement Income Security Act~~Exchange-Traded Fund		~~RWA~~⁽¹⁾ SEC		~~Risk-weighted assets~~
~~ERM~~	~~Enterprise Risk Management~~	~~SEC~~	Securities and Exchange Commission
~~ETF~~EUR			~~Exchange-Traded Fund~~		~~SERP~~	~~Supplemental executive retirement plans~~
~~EVE~~	~~Economic value of equity~~Euro	SLR⁽¹⁾		Supplementary leverage ratio
~~FASB~~EURIBOR			Euro Interbank Offered Rate		SPDR		Spider; Standard and Poor's depository receipt
FCA			Financial ~~Accounting Standards Board~~Conduct Authority (UK)		SPOE Strategy		Single Point of Entry Strategy
~~FCA~~FDIC			~~Financial Conduct Authority~~		~~SSGA~~	~~State Street Global Advisors~~
~~FDIC~~	Federal Deposit Insurance Corporation	SSIF		State Street Intermediate Funding, LLC
~~Federal Reserve~~FHLB			~~Board of Governors of the Federal Reserve System~~		~~State Street Bank~~	~~State Street Bank and Trust Company~~
~~FHLB~~	Federal Home Loan Bank of Boston	TLAC⁽¹⁾		Total loss-absorbing capacity
~~FHLMC~~FICC			~~Federal Home Loan Mortgage~~Fixed Income Clearing Corporation		~~TMRC~~UOM		~~Trading and Markets Risk Committee~~
~~FNMA~~	~~Federal National Mortgage Association~~	~~UOM~~	Unit of measure
~~FRBB~~FTE			~~Federal Reserve Bank of Boston~~Fully taxable-equivalent		~~VaR~~USD		~~Value-at-Risk~~U.S. Dollar
~~FSB~~FX			~~Financial Stability Board~~Foreign exchange		~~VIE~~VaR		~~Variable interest entity~~Value-at-Risk
FXGAAP			~~Foreign exchange~~Generally accepted accounting principles
GBP			British Pound Sterling

(1) As defined by the applicable U.S. regulations.

State Street Corporation | ~~102~~87

~~Table of Contents~~

GLOSSARY

~~GLOSSARY~~

Asset-backed securities: A financial security backed by collateralized assets, other than real estate or mortgage backed securities.

Assets under custody ~~and~~and/or administration:Assets that we hold directly or indirectly on behalf of clients under a safekeeping or custody arrangement or for which we provide administrative services for clients. To the extent that we provide more than one ~~AUCA~~AUC/A service (including back and middle office services) for a client’s assets, the value of the asset is only counted once in the total amount of ~~AUCA.~~

AUC/A.

Assets under management: The total market value of client assets for which we provide investment management strategy services, advisory services and/or distribution services generating management fees based on a percentage of the assets’ market values. These client assets are not included on our balance sheet.

~~Beacon:~~ ~~A multi-year program, announced~~ Assets under management include managed assets lost but not liquidated. Lost business occurs from time to time and it is difficult to predict the timing of client behavior in ~~October 2015, to create cost efficiencies through changes in our operational processes and to further digitize our processes and interfaces with our clients.~~

transitioning these assets as the timing can vary significantly.

Certificates of deposit: A savings certificate with a fixed maturity date, specified fixed interest rate and can be issued in any denomination aside from minimum investment requirements. A CD restricts access to the funds until the maturity date of the investment.

Collateralized loan obligations:A loan or security backed by a pool of debt, primarily senior secured leveraged loans. CLOs are similar to collateralized mortgage obligations, except for the different type of underlying loan. With a CLO, the investor receives scheduled loan or debt payments from the underlying loans, assuming most of the risk in the event borrowers default, but is offered greater diversity and the potential for higher-than-average returns.

Commercial real estate: Property intended to generate profit from capital gains or rental income. ~~Our~~ CRE loans are ~~composed~~term loans secured by commercial and multifamily properties. We seek CRE loans with strong competitive positions in major domestic markets, stable cash flows, modest leverage and experienced institutional ownership.

Deposit beta: A measure of how much of an interest rate increase is expected to be passed on to client interest-bearing accounts, on average.

Depot bank: A German term, specified by the country's law on investment companies, which essentially corresponds to 'custodian'.

Doubtful: Doubtful loans ~~acquired~~and leases meet the same definition of substandard loans and leases (i.e., well-defined weaknesses that jeopardize repayment with the possibility that we will sustain some loss) with the added characteristic that the weaknesses make collection or liquidation in ~~2008 pursuant to indemnified repurchase agreements with an affiliate of Lehman Brothers.~~
full highly questionable and improbable.

Economic value of equity: ~~Long-term interest rate risk~~ A measure designed to estimate the fair value of assets, liabilities and off-balance sheet instruments based on a discounted cash flow model.

Exchange-Traded Fund:A type of exchange-traded investment product that offer investors a way to pool their money in a fund that makes investments in stocks, bonds, or other assets and, in return, to receive an interest in that investment pool. ETF shares are traded on a national stock exchange and at market prices that may or may not be the same as the net asset value.

Exposure-at-default: A measure used in the calculation of regulatory capital under Basel III final rule. It can be defined as the expected amount of loss a bank may be exposed to upon default of an obligor.

Global systemically important bank:A financial institution whose distress or disorderly failure, because of its size, complexity and systemic interconnectedness, would cause significant disruption to the wider financial system and economic activity, which will be subject to additional capital requirements.

Held-to-maturity investment securities: We classify investments in debt securities as held-to-maturity only if we have the positive intent and ability to hold those securities to maturity. Investments in debt securities classified as held-to-maturity are measured subsequently at amortized cost in the statement of financial position.

High-quality liquid assets: Cash or assets that can be converted into cash at little or no loss of value in private markets and are considered unencumbered.

Investment grade: A rating of loans and leases to counterparties with strong credit quality and low expected credit risk and probability of default. It applies to counterparties with a strong capacity to support the timely repayment of any financial commitment.

Liquidity coverage ratio: The ratio of encumbered high-quality liquid assets divided by expected total net cash outflows over a 30-day stress period. A Basel III framework requirement for banks and bank holding companies to measure ~~liquidity. It~~liquidity, it is designed to ensure that certain banking institutions, including us, maintain a minimum amount of unencumbered HQLA sufficient to withstand the net cash outflow under a hypothetical standardized acute liquidity stress scenario for a 30-day stress period. ~~The ratio of our encumbered high-quality liquid assets divided by our total net cash outflows over a 30-day stress period.~~

Net asset value: The amount of net assets attributable to each ~~share of capital stock (other than senior securities, such as, preferred stock) outstanding at the close~~share/unit of the ~~period.~~

fund at a specific date or time.

Net stable funding ratio: The ratio of the amount of available stable funding relative to the amount of required stable funding. This ratio should be equal to at least 100% on an ongoing basis.

Other-than-temporary-impairment: Impairment charge taken on a security whose fair value has fallen below its carrying value on balance sheet and its value is not expected to recover through the holding period of the security.

Probability of default: A measure of the likelihood that a credit obligor will enter into default status.

Qualified financial contracts:Securities contracts, commodity contracts, forward contracts, repurchase agreements, swap agreements and any other contract determined by the FDIC to be a qualified financial contract.

Risk-weighted assets: A measurement used to quantify risk inherent in our on and off-balance sheet assets by adjusting the asset value for risk. RWA is used in the calculation of our risk-based capital ratios.

Special mention: Loans and leases that consist of counterparties with potential weaknesses that, if uncorrected, may result in deterioration of repayment prospects.

Speculative: Loans and leases that consist of counterparties that face ongoing uncertainties or exposure to business, financial, or economic downturns. However, these counterparties may have financial flexibility or access to financial alternatives, which allow for financial commitments to be met.

Substandard: Loans and leases that consist of counterparties with well-defined weakness that jeopardizes repayment with the possibility we will sustain some loss.

Supplementary leverage ratio: The ratio of our tier 1 capital to our total leverage exposure, which measures our capital adequacy relative to our on and off-balance sheet assets.

Total loss-absorbing capacity: The sum of our tier 1 regulatory capital plus eligible external long-term debt issued by us.

Value-at-Risk: Statistical model used to measure the potential loss in value of a portfolio that could occur in normal markets condition, over a defined holding period, within a certain confidence level.

Variable interest entity: An entity that: (1) lacks enough equity investment at risk to permit the entity to finance its activities without additional financial support from other parties; (2) has equity owners that lack the right to make significant decisions affecting the entity’s operations; and/or (3) has equity owners that do not have an obligation to absorb or the right to receive the entity’s losses or return.

State Street Corporation | ~~103~~88

~~Table of Contents~~

PART ~~II.~~2. OTHER INFORMATION

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

~~(c)~~ In ~~June 2017,~~January 2023, our Board approved a ~~common stock purchase~~share repurchase program authorizing the purchase of up to ~~$1.4~~$4.5 billion of our common stock through ~~June 30, 2018 (the 2017 Program).~~December 31, 2023. We repurchased $1.25 billion of our common stock in the first quarter of 2023 under our 2023 share repurchase authorization.

The following table presents the activity under our common share repurchase program for each of the months in the quarter ended March 31, 2023.


(Dollars in millions except per share amounts; shares in thousands)	Total number of shares purchased	Average price paid per share		Total number of shares purchased as part of publicly announced program	Approximate dollar value of shares that may yet be purchased under publicly announced program
Period:
January 1 - January 31, 2023	4,545	$	89.15	4,545	$	4,095
February 1 - February 28, 2023	9,102	92.78		9,102	3,250
March 1 - March 31, 2023	—	—		—	3,250
Total	13,647	$	91.57	13,647	$	3,250

~~shares purchased~~ will depend on several factors, including our capital position and our financial performance, investment opportunities, market conditions, the nature and ~~State Street’s capital positions, financial performance~~timing of implementation of revisions to the Basel III framework and ~~investment opportunities. Our~~the amount of common stock ~~purchase programs do~~issued as part of employee compensation programs. The common share repurchase program does not have specific price targets and may be suspended at any time.

~~The following table presents purchases~~

ITEM 5. OTHER INFORMATION

Securities Trading Plans of Directors and Executive Officers

A significant portion of the compensation of our executive officers is delivered in the form of deferred equity awards, including deferred stock and performance-based restricted stock unit awards. This compensation design is intended to align executive compensation with the performance experienced by our shareholders. Following the delivery of shares of our common stock under those equity awards, once any applicable service-, time- or performance-based vesting standards have been satisfied, our executive officers from time to time engage in the ~~2017 Program and related information~~open-market sale of some of those shares. Our executive officers may also engage from time to time in other transactions involving our securities.

Transactions in our securities by our executive officers are required to be made in accordance with our Securities Trading Policy, which, among other things, requires that the transactions be in accordance with applicable U.S. federal securities laws that prohibit trading while in possession of material nonpublic information. Rule 10b5-1 under the Exchange Act provides an affirmative defense that enables prearranged transactions in securities in a manner that avoids concerns about initiating transactions at a future date while possibly in possession of material nonpublic information. Our Securities Trading Policy permits our executive officers to enter into trading plans designed to comply with Rule 10b5-1.

The following table describes contracts, instructions or written plans for the sale or purchase of our securities adopted by our executive officers during the first quarter of 2023, each of which is intended to satisfy the ~~months~~affirmative defense conditions of Rule 10b5-1(c), referred to as Rule 10b5-1 trading plans. As noted above, a significant portion of the compensation of the executives identified in the ~~quarter ended September 30, 2017. We may employ third-party broker/dealers~~table is delivered in the form of deferred equity awards, including deferred stock and performance-based restricted stock unit awards. For example, for the 2022 annual performance year each of these executives received 65% of their total incentive compensation in the form of those awards, consistent with the description of our incentive compensation program in the Compensation Discussion and Analysis section of the proxy statement for our 2023 annual meeting of shareholders (CD&A). In addition, the executives identified in the table are required to ~~acquire~~maintain an ownership of State Street common stock with a value equal to at least a multiple of their annual salary (5 times for Mr. Aboaf and Mr. Maiuri and 3 times for Mr. Richards) under our stock ownership guidelines, as further described in our CD&A. In the event that the executives identified below sell the maximum number of shares contemplated in the table, and no additional shares, upon expiration of their respective 10b5-1 trading plan each executive would still hold at least 70% of the total shares directly or indirectly owned on the ~~open market in connection with~~date of the adoption of that plan and, assuming consistent stock price levels, also are expected to continue to satisfy our ~~common~~ stock ~~purchase programs.~~

ownership guideline requirements.

(Dollars in millions, except per share amounts, shares in thousands) Total Number of Shares Purchased Average Price Paid Per Share Total Number of Shares Purchased as Part of Publicly Announced Program Approximate Dollar Value of Shares That May Yet be Purchased Under Publicly Announced Program
Period:
July 1 - July 31, 2017 158
$ 93.42
158
$ 1,385
August 1 - August 31, 2017 2,399
93.38
2,399
1,161
September 1 - September 30, 2017 1,191
93.41
1,191
1,050
Total 3,748
$ 93.39
3,748
$ 1,050

State Street Corporation | ~~104~~89

Name and Title

Date of Adoption of Rule 10b5-1 Trading Plan

Scheduled Expiration Date of Rule 10b5-1 Trading Plan(1)

Aggregate Number of Securities to Be Purchased or Sold

Eric W. Aboaf

Vice Chairman and Chief Financial Officer

2/17/2023

12/29/2023

Sale of up to 33,785 shares of common stock in several transactions during 2023

Louis D. Maiuri

President, Chief Operating Officer and Head of Investment Services

2/21/2023

11/30/2023

Sale of up to 26,400 shares of common stock in several transactions during 2023

Michael L. Richards

Executive Vice President and Chief Administrative Officer

2/21/2023

12/29/2023

Sale of up to 3,455 shares of common stock in several transactions during 2023

(1) In each case, a trading plan may also expire on such earlier date as all transactions under the trading plan are completed.

During the first quarter of 2023, none of our directors adopted Rule 10b5-1 trading plans and none of our directors or executive officers terminated a Rule 10b5-1 trading plan or adopted or terminated a non-Rule 10b5-1 trading arrangement (as defined in Item 408(c) of Regulation S-K).

~~Table of Contents~~

State Street Corporation | 90

ITEM 6. EXHIBITS


Exhibit No.				Exhibit Description


~~Exhibit No.~~			~~Exhibit Description~~

Note: None of the instruments defining the rights of holders of State Street’s outstanding long-term debt are in respect of indebtedness in excess of 10% of the total assets of State Street and its subsidiaries on a consolidated basis. State Street hereby agrees to furnish to the SEC upon request a copy of any other instrument with respect to long-term debt of State Street and its subsidiaries.

		1210.1 †		~~Statement~~Supplemental Cash Incentive Plan, as amended, First and Second Amendments thereto, and form of ~~Ratios of Earnings to Fixed Charges~~award agreement thereunder

		1510.2†		~~Letter regarding unaudited interim financial information~~State Street's 2017 Stock Incentive Plan

		10.3†		Forms of award agreements under State Street's 2017 Stock Incentive Plan

		15		Acknowledgment Letter of Ernst & Young LLP, Independent Registered Public Accounting Firm





		31.1		Rule 13a-14(a)/15d-14(a) Certification of Chairman and Chief Executive Officer

	~~31.2~~	~~Rule 13a-14(a)/15d-14(a) Certification of Chief Financial Officer~~

	32	~~Section 1350 Certifications~~

*	~~101.INS~~	~~XBRL Instance Document~~

*	~~101.SCH~~	~~XBRL Taxonomy Extension Schema Document~~

*	~~101.CAL~~	~~XBRL Taxonomy Calculation Linkbase Document~~

*	~~101.DEF~~	~~XBRL Taxonomy Extension Definition Linkbase Document~~

*	~~101.LAB~~	~~XBRL Taxonomy Label Linkbase Document~~

*	~~101.PRE~~	~~XBRL Taxonomy Presentation Linkbase Document~~



	31.2	Rule 13a-14(a)/15d-14(a) Certification of Vice Chairman and Chief Financial Officer

	32	Section 1350 Certifications

	101.INS	The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document

*	101.SCH	Inline XBRL Taxonomy Extension Schema Document

*	101.CAL	Inline XBRL Taxonomy Calculation Linkbase Document

*	101.DEF	Inline XBRL Taxonomy Extension Definition Linkbase Document

*	101.LAB	Inline XBRL Taxonomy Label Linkbase Document

*	101.PRE	Inline XBRL Taxonomy Presentation Linkbase Document

*	104	Cover Page Interactive Data File (formatted as Inline XBRL and included within the Exhibit 101 attachments)


†						Denotes management contract or compensatory plan or arrangement

*						Submitted electronically herewith

Attached as Exhibit 101 to this report are the following formatted in Inline XBRL (Extensible Business Reporting Language): (i) consolidated statement of income for the three ~~and nine~~ months ended ~~September 30, 2017~~March 31, 2023 and ~~2016,~~2022, (ii) consolidated statement of comprehensive income for the three ~~and nine~~ months ended ~~September 30, 2017~~March 31, 2023 and ~~2016,~~2022, (iii) consolidated statement of condition as of ~~September 30, 2017~~March 31, 2023 and December 31, ~~2016,~~2022, (iv) consolidated statement of changes in shareholders' equity for the ~~nine~~three months ended ~~September 30, 2017~~March 31, 2023 and ~~2016,~~2022, (v) consolidated statement of cash flows for the ~~nine~~three months ended ~~September 30, 2017~~March 31, 2023 and ~~2016,~~2022, and (vi) notes to consolidated financial statements.

State Street Corporation | ~~105~~91

~~Table of Contents~~

SIGNATURES

Pursuant to the requirement of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

STATE STREET CORPORATION

(Registrant)

Date:

April 27, 2023

By:

~~STATE STREET CORPORATION~~

~~(Registrant)~~

~~Date:~~

~~November 1, 2017~~

~~By:~~

/s/ ERIC W. ABOAF

Eric W. Aboaf,

~~Executive~~ Vice ~~President~~Chairman and Chief Financial Officer (Principal Financial Officer)

Date:

~~November 1, 2017~~April 27, 2023

By:

/s/ E~~LIZABETH~~ MIAN W. S~~CHAEFER~~ APPLEYARD

~~Elizabeth M. Schaefer,~~Ian W. Appleyard,

~~Senior~~Executive Vice President, ~~Deputy~~Global Controller and ~~Interim~~ Chief Accounting Officer

(Principal Accounting Officer)

State Street Corporation | ~~106~~92





~~General~~		4
~~Overview of Financial Results~~		8
~~Consolidated Results of Operations~~		10
~~Total Revenue~~		10
~~Fee Revenue~~		10
~~Net Interest Income~~	12
~~Expenses~~	15
~~Income Tax Expense~~	16
~~Line of Business Information~~	17
~~Financial Condition~~	24
~~Investment Securities~~	25
~~Loans and Leases~~	28
~~Cross-Border Outstandings~~	28
~~Risk Management~~	29
~~Credit Risk Management~~	29
~~Liquidity Risk Management~~	29
~~Operational Risk Management~~	34
~~Market Risk Management~~	34
~~Model Risk Management~~	37
~~Capital~~	37
~~Off-Balance Sheet Arrangements~~	51
~~Recent Accounting Developments~~	51



TABLE 3: DAILY, MONTH-END AND QUARTER-END EQUITY INDICES⁽¹⁾
	Daily Averages of Indices				Averages of Month-End Indices				Quarter-End Indices
	Quarters Ended September 30,				Quarters Ended September 30,				As of September 30,
	2017	2016	% Change		2017	2016	% Change		2017	2016	% Change
S&P 500^®	2,467	2,162	14	%	2,487	2,171	15	%	2,519	2,168	16	%
MSCI EAFE^®	1,934	1,678	15		1,947	1,692	15		1,974	1,702	16
MSCI^® Emerging Markets	1,068	887	20		1,079	890	21		1,082	903	20
HFRI Asset Weighted Composite^®	NA	NA	NA		1,358	1,274	7		1,361	1,277	7



TABLE 4: QUARTER-END DEBT INDICES⁽¹⁾
	Quarter-End Indices
	As of September 30,
	2017	2016	% Change
Barclays Capital U.S. Aggregate Bond Index^®	2,038	2,037	—	%
Barclays Capital Global Aggregate Bond Index^®	480	486	nm



TABLE 7: EXPENSES
	Quarters Ended September 30,
(Dollars in millions)	2017		2016		% Change
Compensation and employee benefits	$	1,090	$	1,013	8	%
Information systems and communications	296		285		4
Transaction processing services	215		200		8
Occupancy	118		107		10
Acquisition costs	—		33		(100	)
Restructuring charges, net	33		9		267
Other:
Professional services	71		95		(25	)
Amortization of other intangible assets	54		55		(2	)
Securities processing costs	4		10		(60	)
Regulatory fees and assessments	24		28		(14	)
Other	116		149		(22	)
Total other	269		337		(20	)
Total expenses	$	2,021	$	1,984	2
Number of employees at quarter-end	36,303		33,332		9

	Nine Months Ended September 30,
(Dollars in millions)	2017		2016		% Change
Compensation and employee benefits	$	3,327	$	3,109	7	%
Information systems and communications	866		827		5
Transaction processing services	619		601		3
Occupancy	344		331		4
Acquisition costs	21		47		(55	)
Restructuring charges, net	112		119		(6	)
Other:
Professional services	262		270		(3	)
Amortization of other intangible assets	160		153		5
Securities processing costs	20		20		—
Regulatory fees and assessments	77		65		18
Other	330		352		(6	)
Total other	849		860		(1	)
Total expenses	$	6,138	$	5,894	4



TABLE 8: RESTRUCTURING CHARGES
(In millions)	Employee Related Costs			Real Estate Actions			Asset and Other Write-offs			Total
Accrual Balance at December 31, 2015	$	9		$	11		$	3		$	23
Accruals for Beacon	86			—			11			97
Payments and Other Adjustments	(4		)	(1		)	(7		)	(12		)
Accrual Balance at March 31, 2016	$	91		$	10		$	7		$	108
Accruals for Beacon	(1		)	15			(1		)	13
Payments and Other Adjustments	(35		)	(3		)	(1		)	(39		)
Accrual Balance at June 30, 2016	$	55		$	22		$	5		$	82
Accruals for Beacon	8			3			(1		)	10
Payments and Other Adjustments	(14		)	(3		)	(1		)	(18		)
Accrual Balance at September 30, 2016	$	49		$	22		$	3		$	74
Accrual Balance at December 31, 2016	$	37		$	17		$	2		$	56
Accruals for Beacon	14			—			2			16
Payments and Other Adjustments	(13		)	(3		)	(2		)	(18		)
Accrual Balance at March 31, 2017	$	38		$	14		$	2		$	54
Accruals for Beacon	60			—			2			62
Payments and Other Adjustments	(11		)	(3		)	(2		)	(16		)
Accrual Balance at June 30, 2017	$	87		$	11		$	2		$	100
Accruals for Beacon	23			9			1			33
Payments and Other Adjustments	(10		)	(5		)	(1		)	(16		)
Accrual Balance at September 30, 2017	$	100		$	15		$	2		$	117



TABLE 13: TRADING SERVICES REVENUE
	Quarters Ended September 30,
(Dollar in millions)	2017		2016		% Change
Foreign exchange trading:
Direct sales and trading	$	84	$	94	(11	)%
Indirect foreign exchange trading	66		65		2
Total foreign exchange trading	150		159		(6	)
Brokerage and other trading services:
Electronic foreign exchange services	39		41		(5	)
Other trading, transition management and brokerage	50		48		4
Total brokerage and other trading services	89		89		—
Total trading services revenue	$	239	$	248	(4	)

	Nine Months Ended September 30,
(Dollars in millions)	2017		2016		% Change
Foreign exchange trading:
Direct sales and trading	$	282	$	271	4	%
Indirect foreign exchange trading	210		201		4
Total foreign exchange trading	492		472		4
Brokerage and other trading services:
Electronic foreign exchange services	119		128		(7	)
Other trading, transition management and brokerage	157		160		(2	)
Total brokerage and other trading services	276		288		(4	)
Total trading services revenue	$	768	$	760	1



TABLE 22: NON-U.S. DEBT SECURITIES
(In millions)	September 30, 2017		December 31, 2016
Available-for-sale:
United Kingdom	$	5,320	$	5,093
Australia	4,461		4,272
Canada	3,749		2,989
France	1,658		1,013
Netherlands	1,338		1,283
Japan	1,020		1,388
Italy	999		676
Belgium	774		360
Hong Kong	633		664
Germany	488		713
Sweden	479		188
Spain	424		266
Norway	419		508
South Korea	201		634
Finland	124		223
Other⁽¹⁾	302		230
Total	$	22,389	$	20,500
Held-to-maturity:
United Kingdom	$	452	$	504
Netherlands	390		473
Singapore	364		180
Australia	250		374
Germany	171		329
Spain	104		98
Other⁽²⁾	124		122
Total	$	1,855	$	2,080



TABLE 27: CROSS-BORDER OUTSTANDINGS⁽¹⁾
(In millions)	Investment Securities and Other Assets		Derivatives and Securities on Loan		Total Cross-Border Outstandings
September 30, 2017
United Kingdom	$	17,808	$	1,225	$	19,033
Germany	18,727		267		18,994
Japan	15,607		674		16,281
Australia	5,344		631		5,975
Canada	4,334		1,060		5,394
France	2,273		300		2,573
Switzerland	2,023		457		2,480
December 31, 2016
United Kingdom	$	18,712	$	1,761	$	20,473
Japan	17,922		1,171		19,093
Germany	13,812		484		14,296
Australia	5,122		986		6,108
Luxembourg	3,389		762		4,151
Canada	3,179		781		3,960



TABLE 28: COMPONENTS OF AVERAGE HQLA BY TYPE OF ASSET
	Quarters Ended
(In millions)	September 30, 2017		December 31, 2016
Excess central bank balances	$	38,222	$	48,407
U.S. Treasuries	10,804		17,770
Other investment securities	11,796		15,442
Foreign government	6,409		5,585
Total	$	67,231	$	87,204



TABLE 29: TOTAL DEPOSITS
					Average Balance
	September 30,				Nine Months Ended September 30,
(In millions)	2017		2016		2017		2016
Client deposits	$	176,263	$	183,900	$	159,564	$	153,612
Wholesale CDs	3,000		14,865		5,160		15,595
Total deposits	$	179,263	$	198,765	$	164,724	$	169,207



TABLE 30: TEN-DAY VaR ASSOCIATED WITH TRADING ACTIVITIES FOR COVERED POSITIONS
	Quarter Ended September 30, 2017						Quarter Ended June 30, 2017						As of September 30, 2017		As of June 30, 2017
(In thousands)	Average		Maximum		Minimum		Average		Maximum		Minimum		VaR		VaR
Global Markets	$	7,592	$	13,703	$	3,295	$	7,759	$	16,160	$	4,590	$	9,524	$	7,577
Global Treasury	342		790		145		433		1,408		89		723		528
Total VaR	$	7,546	$	13,652	$	3,337	$	7,740	$	16,119	$	4,598	$	9,463	$	7,481



TABLE 34: NII SENSITIVITY
(In millions)	September 30, 2017			December 31, 2016
Rate change:	Benefit (Exposure)
+100 bps shock	$	515		$	585
–100 bps shock	(352		)	(265		)
+100 bps ramp	198			284
–100 bps ramp	(119		)	(161		)



TABLE 35: EVE SENSITIVITY
(In millions)	September 30, 2017			December 31, 2016
Rate change:	Benefit (Exposure)
+200 bps shock	$	(924	)	$	(1,092	)
–200 bps shock	118			877



TABLE 36: BASEL III FINAL RULES TRANSITION ARRANGEMENTS AND MINIMUM RISK-BASED CAPITAL RATIOS⁽¹⁾

	2015		2016		2017		2018		2019
Capital conservation buffer (CET1)	—	%	0.625	%	1.250	%	1.875	%	2.500	%
G-SIB surcharge (CET1)⁽²⁾	—		0.375		0.750		1.125		1.500

Minimum common equity tier 1⁽³⁾	4.500		5.500		6.500		7.500		8.500
Minimum tier 1 capital⁽³⁾	6.000		7.000		8.000		9.000		10.000
Minimum total capital⁽³⁾	8.000		9.000		10.000		11.000		12.000



TABLE 38: CAPITAL ROLL-FORWARD
	State Street
(In millions)	Basel III Advanced Approaches September 30, 2017			Basel III Standardized Approach September 30, 2017			Basel III Advanced Approaches December 31, 2016			Basel III Standardized Approach December 31, 2016
Common equity tier 1 capital:
Common equity tier 1 capital balance, beginning of period	$	11,624		$	11,624		$	12,433		$	12,433
Net income	1,807			1,807			2,143			2,143
Changes in treasury stock, at cost	(1,015		)	(1,015		)	(1,225		)	(1,225		)
Dividends declared	(588		)	(588		)	(732		)	(732		)
Goodwill and other intangible assets, net of associated deferred tax liabilities	(391		)	(391		)	(421		)	(421		)
Effect of certain items in accumulated other comprehensive income (loss)	951			951			(514		)	(514		)
Other adjustments	51			51			(60		)	(60		)
Changes in common equity tier 1 capital	815			815			(809		)	(809		)
Common equity tier 1 capital balance, end of period	12,439			12,439			11,624			11,624
Additional tier 1 capital:
Tier 1 capital balance, beginning of period	14,717			14,717			15,264			15,264
Change in common equity tier 1 capital	815			815			(809		)	(809		)
Net issuance of preferred stock	—			—			493			493
Trust preferred capital securities phased out of tier 1 capital	—			—			(237		)	(237		)
Other adjustments	74			74			6			6
Changes in tier 1 capital	889			889			(547		)	(547		)
Tier 1 capital balance, end of period	15,606			15,606			14,717			14,717
Tier 2 capital:
Tier 2 capital balance, beginning of period	1,192			1,250			2,085			2,139
Net issuance and changes in long-term debt qualifying as tier 2	(100		)	(100		)	(186		)	(186		)
Trust preferred capital securities phased into tier 2 capital	—			—			(713		)	(713		)
Changes in ALLL and other	(14		)	2			7			11
Change in other adjustments	—			—			(1		)	(1		)
Changes in tier 2 capital	(114		)	(98		)	(893		)	(889		)
Tier 2 capital balance, end of period	1,078			1,152			1,192			1,250
Total capital:
Total capital balance, beginning of period	15,909			15,967			17,349			17,403
Changes in tier 1 capital	889			889			(547		)	(547		)
Changes in tier 2 capital	(114		)	(98		)	(893		)	(889		)
Total capital balance, end of period	$	16,684		$	16,758		$	15,909		$	15,967



TABLE 41: REGULATORY CAPITAL STRUCTURE AND RELATED REGULATORY CAPITAL RATIOS - STATE STREET
September 30, 2017 (In millions)							Basel III Advanced Approaches			Phase-In Provisions			Basel III Advanced Approaches Fully Phased-In Pro-Forma Estimate			Basel III Standardized Approach			Phase-In Provisions			Basel III Standardized Approach Fully Phased-In Pro-Forma Estimate
Total common shareholders' equity							$	19,300		$	3		$	19,303		$	19,300		$	3		$	19,303
Regulatory capital adjustments:
Goodwill and other intangible assets, net of associated deferred tax liabilities							(6,739		)	(270		)	(7,009		)	(6,739		)	(270		)	(7,009		)
Other adjustments							(122		)	(30		)	(152		)	(122		)	(30		)	(152		)
Common equity tier 1 capital							12,439			(297		)	12,142			12,439			(297		)	12,142
Additional tier 1 capital:
Preferred stock							3,196			—			3,196			3,196			—			3,196
Trust preferred capital securities							—			—			—			—			—			—
Other adjustments							(29		)	29			—			(29		)	29			—
Additional tier 1 capital							3,167			29			3,196			3,167			29			3,196
Tier 1 capital							15,606			(268		)	15,338			15,606			(268		)	15,338
Tier 2 capital:
Qualifying subordinated long-term debt							1,072			1			1,073			1,072			1			1,073
Trust preferred capital securities							—			—			—			—			—			—
ALLL and other							5			1			6			79			—			79
Other							1			(1		)	—			1			(1		)	—
Tier 2 capital							1,078			1			1,079			1,152			—			1,152
Total capital							$	16,684		$	(267	)	$	16,417		$	16,758		$	(268	)	$	16,490
Risk weighted assets							$	98,997		$	(57	)	$	98,940		$	107,580		$	(54	)	$	107,526
Adjusted average assets							211,396			(184		)	211,212			211,396			(184		)	211,212
Total assets for SLR							240,636			(270		)	240,366			240,636			(270		)	240,366

Capital ratios⁽¹⁾:	Minimum Requirement		Minimum Requirement Including Capital Conservation Buffer and G-SIB Surcharge 2017		Minimum Requirement Including Capital Conservation Buffer and G-SIB Surcharge 2019
Common equity tier 1 capital⁽²⁾	4.5	%	6.5	%	8.5	%	12.6		%				12.3		%	11.6		%				11.3		%
Tier 1 capital	6.0		8.0		10.0		15.8						15.5			14.5						14.3
Total capital	8.0		10.0		12.0		16.9						16.6			15.6						15.3
Tier 1 leverage	4.0		NA		NA		7.4						7.3			7.4						7.3
Supplementary leverage	5.0		NA		NA		6.5						6.4			6.5						6.4



TABLE 43: SUPPLEMENTARY LEVERAGE RATIO
September 30, 2017	Transitional SLR			Phase-In Provisions			Fully Phased-in Pro-Forma SLR Estimate
(Dollars in millions)	Transitional SLR			Phase-In Provisions			Fully Phased-in Pro-Forma SLR Estimate
State Street:
Tier 1 capital	$	15,606		$	(268	)	$	15,338

On-and off-balance sheet leverage exposure	247,527			—			247,527
Less: regulatory deductions	(6,891		)	(270		)	(7,161		)
Total assets for SLR	$	240,636		$	(270	)	$	240,366
Supplementary leverage ratio	6.5		%	(0.1		)%	6.4		%

State Street Bank:
Tier 1 capital	$	16,323		$	(256	)	$	16,067

On-and off-balance sheet leverage exposure	244,114			—			244,114
Less: regulatory deductions	(6,535		)	(260		)	(6,795		)
Total assets for SLR	$	237,579		$	(260	)	$	237,319
Supplementary leverage ratio	6.9		%	(0.1		)%	6.8		%



TABLE 46: PREFERRED STOCK DIVIDENDS
	Nine Months Ended September 30,
	2017						2016
	Dividends Declared per Share		Dividends Declared per Depositary Share		Total (In millions)		Dividends Declared per Share		Dividends Declared per Depositary Share		Total (In millions)
Preferred Stock:
Series C	$	3,939	$	0.99	$	19	$	3,939	$	0.99	$	19
Series D	4,425		1.11		33		4,425		1.11		33
Series E	4,500		1.14		33		4,500		1.14		33
Series F	5,250		52.50		40		5,250		52.50		40
Series G	4,014		0.99		21		2,289		0.57		12
Total					$	146					$	137



TABLE 47: SHARES REPURCHASED
	Quarter Ended September 30, 2017					Nine Months Ended September 30, 2017
	Shares Acquired (In millions)	Average Cost per Share		Total Acquired (In millions)		Shares Acquired (In millions)	Average Cost per Share		Total Acquired (In millions)
2016 Program⁽¹⁾	—	$	—	$	—	9.4	$	79.93	$	750
2017 Program	3.7	93.39		350		3.7	93.39		350
Total	3.7	$	93.39	$	350	13.1	$	83.77	$	1,100



~~Note 1. Summary of Significant Accounting Policies~~	59

~~Note 2. Fair Value~~	62

~~Note 3. Investment Securities~~	70

~~Note 4. Loans and Leases~~	75

~~Note 5. Goodwill and Other Intangible Assets~~	78

~~Note 6. Other Assets~~	79

~~Note 7. Derivative Financial Instruments~~	79

~~Note 8. Offsetting Arrangements~~	84

~~Note 9. Commitments and Guarantees~~	87

~~Note 10. Contingencies~~	88

~~Note 11. Variable Interest Entities~~	91

~~Note 12. Shareholders’ Equity~~	92

~~Note 13. Regulatory~~ ~~Capital~~	95

~~Note 14. Net Interest Income~~	97

~~Note 15. Expenses~~	97

~~Note 16. Earnings Per Common Share~~	97

~~Note 17. Line of Business Information~~	99

~~Note 18. Non-U.S. Activities~~	~~100~~



	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended September 30, 2017
	Fair Value as of June 30, 2017		Total Realized and Unrealized Gains (Losses)				Purchases		Sales			Settlements			Transfers into Level 3		Fair Value as of September 30, 2017⁽²⁾		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30, 2017
(In millions)			Recorded in Revenue⁽¹⁾		Recorded in Other Comprehensive Income⁽¹⁾
Assets:
AFS Investment securities:
U.S. Treasury and federal agencies:
Mortgage-backed securities	$	—	$	—	$	—	$	—	—			$	—		$	25	$	25
Asset-backed securities:
Student loans	—		—		—		200		—			—			—		200
Other	951		1		1		60		—			(2		)	175		1,186
Total asset-backed securities	951		1		1		260		—			(2		)	175		1,386
Non-U.S. debt securities:
Mortgage-backed securities	—		—		—		118		—			—			—		118
Asset-backed securities	63		—		—		29		(10		)	—			15		97
Other	274		—		—		—		(80		)	7			—		201
Total non-U.S. debt securities	337		—		—		147		(90		)	7			15		416
State and political subdivisions	38		—		—		—		—			—			—		38
Other U.S. debt securities	19		—		—		—		—			—			—		19
Total AFS investment securities	1,345		1		1		407		(90		)	5			215		1,884
Other assets:
Derivative instruments:
Foreign exchange contracts	5		—		—		2		—			(5		)	—		2		$	(2	)
Total derivative instruments	5		—		—		2		—			(5		)	—		2		(2		)
Total assets carried at fair value	$	1,350	$	1	$	1	$	409	$	(90	)	$	—		$	215	$	1,886	$	(2	)



	Fair Value Measurements Using Significant Unobservable Inputs
	Nine Months Ended September 30, 2017
	Fair Value as of December 31, 2016		Total Realized and Unrealized Gains (Losses)						Purchases		Sales			Settlements			Transfers into Level 3		Transfers out of Level 3			Fair Value as of September 30, 2017		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30, 2017
(In millions)			Recorded in Revenue⁽¹⁾			Recorded in Other Comprehensive Income⁽¹⁾
Assets:
AFS Investment securities:
U.S. Treasury and federal agencies:
Mortgage-backed securities	$	—	$	—		$	—		$	—	$	—		$	—		$	25	$	—		$	25
Asset-backed securities:
Student loans	97		—			1			200		—			—			—		(98		)	200
Other	905		2			—			415		—			(412		)	276		—			1,186
Total asset-backed securities	1,002		2			1			615		—			(412		)	276		(98		)	1,386
Non-U.S. debt securities:
Mortgage-backed securities	—		—			—			118		—			—			—		—			118
Asset-backed securities	32		1			(1		)	60		(10		)	(21		)	67		(31		)	97
Other	248		—			—			5		(80		)	28			—		—			201
Total non-U.S. debt securities	280		1			(1		)	183		(90		)	7			67		(31		)	416
State and political subdivisions	39		—			—			—		—			(1		)	—		—			38
Collateralized mortgage obligations	16		—			—			23		—			—			—		(39		)	—
Other U.S. debt securities	—		—			—			19		—			—			—		—			19
Total AFS investment securities	1,337		3			—			840		(90		)	(406		)	368		(168		)	1,884
Other assets:
Derivative instruments:
Foreign exchange contracts	8		(6		)	—			4		—			(4		)	—		—			2		$	(1	)
Total derivative instruments	8		(6		)	—			4		—			(4		)	—		—			2		(1		)
Total assets carried at fair value	$	1,345	$	(3	)	$	—		$	844	$	(90	)	$	(410	)	$	368	$	(168	)	$	1,886	$	(1	)



	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended September 30, 2016
	Fair Value as of June 30, 2016		Total Realized and Unrealized Gains (Losses)					Purchases		Settlements			Transfers out of Level 3			Fair Value as of September 30, 2016⁽²⁾		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30, 2016
(In millions)			Recorded in Revenue⁽¹⁾		Recorded in Other Comprehensive Income⁽¹⁾
Assets:
AFS Investment securities:
U.S. Treasury and federal agencies, mortgage-backed securities	$	25	$	—	$	—		$	25	$	—		$	—		$	50
Asset-backed securities:
Student loans	190		—		2			—		—			—			192
Other	1,710		13		(8		)	118		(560		)	—			1,273
Total asset-backed securities	1,900		13		(6		)	118		(560		)	—			1,465
Non-U.S. debt securities:
Mortgage-backed securities	—		—		—			90		—			—			90
Asset-backed securities	111		—		—			90		(9		)	(54		)	138
Other	261		—		—			194		3			—			458
Total non-U.S. debt securities	372		—		—			374		(6		)	(54		)	686
State and political subdivisions	33		—		7			—		—			—			40
Collateralized mortgage obligations	68		—		1			36		(3		)	—			102
Total AFS investment securities	2,398		13		2			553		(569		)	(54		)	2,343
Total assets carried at fair value	$	2,398	$	13	$	2		$	553	$	(569	)	$	(54	)	$	2,343	$	—



	Fair Value Measurements Using Significant Unobservable Inputs
	Nine Months Ended September 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 September 30, 2016⁽²⁾		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30, 2016
(In millions)			Recorded in Revenue⁽¹⁾		Recorded in Other Comprehensive Income⁽¹⁾
Assets:
AFS Investment securities:
U.S. Treasury and federal agencies, mortgage-backed securities	$	—	$	—	$	—		$	325	$	—		$	(275	)	$	50
Asset-backed securities:
Student loans	189		1		2			—		—			—			192
Other	1,764		29		(21		)	250		(749		)	—			1,273
Total asset-backed securities	1,953		30		(19		)	250		(749		)	—			1,465
Non-U.S. debt securities:
Mortgage-backed securities	—		—		—			90		—			—			90
Asset-backed securities	174		—		(1		)	196		(43		)	(188		)	138
Other	255		—		—			223		9			(29		)	458
Total non-U.S. debt securities	429		—		(1		)	509		(34		)	(217		)	686
State and political subdivisions	33		—		9			—		(2		)	—			40
Collateralized mortgage obligations	39		—		2			86		(25		)	—			102
Other U.S. debt securities	10		—		—			—		(10		)	—			—
Total AFS investment securities	2,464		30		(9		)	1,170		(820		)	(492		)	2,343
Other assets:
Derivative instruments:
Foreign exchange contracts	5		3		—			—		(8		)	—			—		$	—
Total derivative instruments	5		3		—			—		(8		)	—			—		—
Total assets carried at fair value	$	2,469	$	33	$	(9	)	$	1,170	$	(828	)	$	(492	)	$	2,343	$	—



	Fair Value Measurements Using Significant Unobservable Inputs
	Nine Months Ended September 30, 2016
	Fair Value as of December 31, 2015		Total Realized and Unrealized (Gains) Losses		Settlements			Fair Value as of September 30, 2016⁽³⁾		Change in Unrealized (Gains) Losses Related to Financial Instruments Held as of September 30, 2016
(In millions)	Fair Value as of December 31, 2015		Recorded in Revenue		Settlements			Fair Value as of September 30, 2016⁽³⁾
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	)	$	—	$	—



	Under 1 Year		1 to 5 Years		6 to 10 Years		Over 10 Years		Total
(In millions)	Under 1 Year		1 to 5 Years		6 to 10 Years		Over 10 Years		Total
Available-for-sale:
U.S. Treasury and federal agencies:
Direct obligations	$	232	$	7	$	55	$	326	$	620
Mortgage-backed securities	270		1,311		3,424		5,995		11,000
Asset-backed securities:
Student loans	408		1,634		1,159		1,625		4,826
Credit cards	—		1,296		252		—		1,548
Other	—		120		1,101		—		1,221
Total asset-backed securities	408		3,050		2,512		1,625		7,595
Non-U.S. debt securities:
Mortgage-backed securities	837		4,128		1,046		1,063		7,074
Asset-backed securities	395		2,182		262		—		2,839
Government securities	3,000		2,288		1,370		—		6,658
Other	1,485		3,607		726		—		5,818
Total non-U.S. debt securities	5,717		12,205		3,404		1,063		22,389
State and political subdivisions	433		2,525		5,020		1,760		9,738
Collateralized mortgage obligations	7		148		343		1,030		1,528
Other U.S. debt securities	404		1,052		1,472		—		2,928
Total	$	7,471	$	20,298	$	16,230	$	11,799	$	55,798
Held-to-maturity:
U.S. Treasury and federal agencies:
Direct obligations	$	1,827	$	15,552	$	14	$	63	$	17,456
Mortgage-backed securities	—		172		1,427		10,776		12,375
Asset-backed securities:
Student loans	87		240		298		2,491		3,116
Credit cards	178		620		—		—		798
Other	—		—		—		1		1
Total asset-backed securities	265		860		298		2,492		3,915
Non-U.S. debt securities:
Mortgage-backed securities	173		221		49		557		1,000
Asset-backed securities	84		241		—		—		325
Government securities	364		119		—		—		483
Other	—		47		—		—		47
Total non-U.S. debt securities	621		628		49		557		1,855
Collateralized mortgage obligations	9		117		373		750		1,249
Total	$	2,722	$	17,329	$	2,161	$	14,638	$	36,850



September 30, 2017	Maturity	Paid Fixed Interest Rate
Senior Notes
	2020	2.55%
	2021	4.38
	2021	1.95
	2022	2.65
	2023	3.70
	2024	3.30
	2025	3.55
	2026	2.65

Subordinated Notes
	2023	3.10



	December 31, 2016⁽²⁾
(In millions)	Fair Value Hedges
Investment securities available-for-sale	$	1,444
Long-term debt⁽¹⁾	8,725
Total	$	10,169



	Derivative Assets⁽¹⁾
	Fair Value
(In millions)	September 30, 2017		December 31, 2016
Derivatives not designated as hedging instruments:
Foreign exchange contracts	$	11,667	$	15,982
Total	$	11,667	$	15,982

Derivatives designated as hedging instruments:
Foreign exchange contracts	$	70	$	502
Interest-rate contracts	3		68
Total	$	73	$	570



	Derivative Liabilities⁽¹⁾
	Fair Value
(In millions)	September 30, 2017		December 31, 2016
Derivatives not designated as hedging instruments:
Foreign exchange contracts	$	11,506	$	15,881
Other derivative contracts	319		380
Total	$	11,825	$	16,261

Derivatives designated as hedging instruments:
Foreign exchange contracts	$	77	$	75
Interest-rate contracts	107		348
Total	$	184	$	423