~~0000093751us-gaap:MaterialReconcilingItemsMemberstt:AccountServicingMember2021-04-012021-06-30~~0000093751stt:InvestmentManagementMemberstt:TotalOtherIncomeMemberus-gaap:OperatingSegmentsMember2022-01-012022-09-30

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

Form 10-Q


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

For the quarterly period ended ~~June~~September 30, 2022


☐			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)

04-2456637

(State or other jurisdiction of incorporation)

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

One Lincoln Street

Boston,

02111

(Address of principal executive offices)

(Zip Code)

(617)

786-3000

(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. Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted 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 such files). Yes ☒ 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 accelerated filer", "accelerated filer", "smaller reporting company", and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer

☒

Accelerated filer

☐

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth 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 ☒

The number of shares of the registrant’s common stock outstanding as of ~~July 26, 2022~~October 24, 2022 was ~~367,619,359.~~366,940,147.

STATE STREET CORPORATION

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

~~June~~September 30, 2022

TABLE OF CONTENTS


		Page

PART I	FINANCIAL INFORMATION
	Management's Discussion and Analysis of Financial Condition and Results of Operations	4
	General	4
	Overview of Financial Results	8
	Consolidated Results of Operations	10
	Total Revenue	11
	Net Interest Income	20
	Provision for Credit Losses	23
	Expenses	23
	Acquisition Costs	24
	Restructuring and Repositioning Charges	24
	Income Tax Expense	2425
	Line of Business Information	2425
	Investment Servicing	26
	Investment Management	27
	Financial Condition	2728
	Investment Securities	2829
	Loans	31
	Cross-Border Outstandings	32
	Risk Management	32
	Credit Risk Management	33
	Liquidity Risk Management	33
	Operational Risk Management	37
	Information Technology Risk Management	3738
	Market Risk Management	38
	Model Risk Management	42
	Strategic Risk Management	42
	Capital	43
	Off-Balance Sheet Arrangements	52

	Recent Accounting Developments	52
	Quantitative and Qualitative Disclosures About Market Risk	53
	Controls and Procedures	53
	Consolidated Financial Statements	54
	Consolidated Statement of Income (unaudited)	54
	Consolidated Statement of Comprehensive Income (loss) (unaudited)	55
	Consolidated Statement of Condition	56
	Consolidated Statement of Changes in Shareholders' Equity (unaudited)	57
	Consolidated Statement of Cash Flows (unaudited)	58
	Note 1. Summary of Significant Accounting Policies	59
	Note 2. Fair Value	60
	Note 3. Investment Securities	66
	Note 4. Loans and Allowance for Credit Losses	7170
	Note 5. Goodwill and Other Intangible Assets	7675

State Street Corporation | 2


	Note 6. Other Assets	7876
	Note 7. Derivative Financial Instruments	7977
	Note 8. Offsetting Arrangements	8481
	Note 9. Commitments and Guarantees	8683
	Note 10. Contingencies	8784
	Note 11. Variable Interest Entities	8986
	Note 12. Shareholders' Equity	8986
	Note 13. Regulatory Capital	9390
	Note 14. Net Interest Income	9491
	Note 15. Expenses	9491
	Note 16. Earnings Per Common Share	9592
	Note 17. Line of Business Information	9592
	Note 18. Revenue From Contracts with Customers	9693
	Note 19. Non-U.S. Activities	9895
	Review Report of Independent Registered Public Accounting Firm	9996

PART II	OTHER INFORMATION
Item 2	Unregistered Sales of Equity Securities and Use of Proceeds	~~102~~99
~~Item 5~~	~~Other Information~~	~~102~~
Item 6	Exhibits	~~103~~100
	Signatures	~~104~~101

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.

State Street Corporation | 3

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

PART I. FINANCIAL INFORMATION

GENERAL

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 Quarterly Report on Form 10-Q for the quarter ended ~~June~~September 30, 2022 (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 provide a broad range of financial products and services to institutional investors worldwide, with ~~$38.18~~$35.69 trillion of AUC/A and ~~$3.48~~$3.27 trillion of AUM as of ~~June~~September 30, 2022.

As of ~~June~~September 30, 2022, we had consolidated total assets of ~~$300.22~~$303.57 billion, consolidated total deposits of ~~$241.91~~$238.24 billion, consolidated total shareholders' equity of ~~$25.77~~$25.65 billion and ~~40,354~~ 41,354 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 of the Form 10-Q and updates the Management's Discussion and Analysis in our 2021 Annual Report on Form 10-K for the year ended December 31, 2021 previously filed with the SEC (2021 Form 10-K). You should read the financial information contained in this Management's Discussion and Analysis and elsewhere in this Form 10-Q in conjunction with the financial and other information contained in our 2021 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 fair value measurements;

•allowance for credit losses;

•impairment of goodwill and other intangible assets; and

•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 124 to 126, “Significant Accounting Estimates” included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, in our 2021 Form 10-K. We did not change these significant accounting policies in the first ~~six~~nine months of 2022.

Certain financial information provided in this Form 10-Q, including in this Management's Discussion and Analysis, is prepared on both a U.S. GAAP, or reported basis, and a non-GAAP basis. We measure and compare certain financial information on a non-GAAP basis, including information 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 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 U.S. GAAP-basis measure.

We further believe that our presentation of FTE NII, a non-GAAP measure, which reports non-taxable revenue, such as interest income associated with tax-exempt investment securities, on a FTE basis, 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 risk associated with our trading activities) and the

State Street Corporation | 4

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

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” section of our corporate website at www.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 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, cost savings and transformation initiatives, investment portfolio performance, dividend and stock purchase programs, acquisitions (including, without limitation, our proposed acquisition of the BBH Investor Services business), outcomes of legal proceedings, market growth, joint ventures and divestitures, client growth and new technologies, services 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,~~“anticipate,” "believe", “estimate,” “expect,” ~~“intend,~~“forecast,” “goal,” “guidance,” "intend," “may,” “objective,” ~~“forecast,”~~ “outlook,” ~~“believe,~~“plan,” “priority,” ~~“anticipate,” “estimate,~~“propose,” “seek,” ~~“may,” “will,”~~“strategy” "target," “trend,” ~~“target,” “strategy”~~ and ~~“goal,~~“will,” 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 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

•The consummation of our proposed acquisition of the BBH Investor Services business is subject to the receipt of regulatory approvals and the satisfaction of other closing conditions, the failure or delay of which may prevent or further delay the consummation of the acquisition;

•We have been engaged in ~~discussions~~ongoing dialogue with U.S. and international banking regulators regarding the prolonged regulatory review process for our proposed acquisition of ~~the BBH~~Brown Brothers Harriman’s Investor Services ~~business and~~business. The current regulatory environment for M&A transactions involving G-SIBs is challenging. We have developed with BBH proposed modifications to the ~~proposed acquisition,~~transaction, including changes to the operating model and legal entity structure, a reduction to the purchase price and changes to regulatory approvals required to consummate the transaction. ~~These proposed modifications may facilitate resolution~~We anticipate that a modified transaction would be somewhat more complex and include a delay in timing and amount of ~~the regulatory review process and provide~~deal synergies, resulting in a slower path to ~~consummating the transaction. As part of the~~accretion. While discussions with ~~BBH, State Street~~regulators on the proposed modified transaction are ongoing, the likelihood of a successful outcome is seeking amendments to the transaction terms, including the purchase price. Any modification to the transaction terms would be subject to review and approval by both BBH and our Board of Directors, and thereincreasingly uncertain. There can be no assurance that a mutually acceptable modified transaction will be agreed and entered into, or as to the timing or outcome of any regulatory approvals and other closing conditions for ~~that~~a modified ~~transaction;~~transaction. The modifications to the transaction remain subject to review and ~~absent further agreement~~approval by both BBH’s partners and our Board of Directors. The Sale and Purchase Agreement allows each of State Street and BBH, the ~~parties, after September 6, 2022 either party can~~right to terminate the transaction upon written notice without ~~penalty;~~a contractual penalty at any time;

•Assuming the financial and operational aspects of the proposed modifications to our proposed acquisition of the BBH Investor Services business are timely finalized and contracted, subject to regulatory approval and other closing conditions, the parties are aiming to close the transaction at the end of the fourth quarter of 2022; however, there exists significant timing uncertainty and risk that closing will extend beyond that timeline; and even if we successfully consummate a modified transaction, we may fail to realize some or all of the anticipated benefits of the transaction or the benefits may take longer to realize than expected;

~~State Street Corporation | 5~~

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

~~AND RESULTS OF OPERATIONS~~

•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 Digital and State Street AlphaSM, and the

State Street Corporation | 5

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

enhancement of our infrastructure required to meet increased regulatory and client expectations for resiliency and the systems and process re-engineering necessary to achieve improved productivity and reduced operating risk, may take an extended period to implement, involve costs and expose us to increased risk;

•Our business may be negatively affected by our failure to update and maintain our technology infrastructure;

•The COVID-19 pandemic continues to exacerbate certain risks and uncertainties for our business;

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

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

Financial Market Risks

•We could be adversely affected by geopolitical, economic and market conditions; including, for example, as a result of the ~~present~~ongoing war in ~~Ukraine;~~Ukraine, actions taken by central banks to address inflationary pressures, challenging conditions in global equity markets, and disruptions in fixed income markets such as those impacting the UK gilts;

•We have significant International operations, and disruptions in European and Asian economies could have an adverse effect on our consolidated results of operations or financial condition;

•Our investment securities portfolio, consolidated financial condition and consolidated results of operations could be adversely affected by changes in the financial markets;

•Our business activities expose us to interest rate risk;

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

•Our fee revenue represents a significant portion of our consolidated revenue and is subject to decline based on, among other factors, market conditions, competition,

currency valuation and investment activities of our clients and their business mix;

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

•We may need to raise additional capital or debt in the future, which may not be available to us or may only be available on unfavorable terms; and

•If we experience a downgrade in our credit ratings, or an actual or perceived reduction in our financial strength, our borrowing and capital costs, liquidity and reputation could be adversely affected.

Compliance and Regulatory Risks

•Our business and capital-related activities, including common share repurchases, may be adversely affected by capital and liquidity standards required as a result of capital stress testing;

•We face extensive and changing government regulation in the jurisdictions in which we operate, which may increase our costs and compliance risks;

•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;

•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 that are subject to change, which could materially impact our risk exposures, our total RWA and our capital ratios from period to period;

•Changes in accounting standards may adversely affect our consolidated financial statements;

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

•In addition to income tax, we are subject to audit or other examination, and litigation or other dispute resolution proceedings, with U.S. and non-U.S. tax authorities regarding

State Street Corporation | 6

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

non-income-based tax matters. Our interpretations or application of tax laws and regulations, including with respect to withholding, transfer, wage, use, stamp, service and other non-income taxes, could differ from that of the relevant governmental taxing authority, or we may experience timing or other compliance deficiencies in connection with our efforts to comply with applicable tax laws and regulations, which could result in the requirement to pay additional taxes, penalties and/or interest, which could be material; and

•The transition away from LIBOR may result in additional costs and increased risk exposure.

Operational Risks

•Our control environment may be inadequate, fail or be circumvented, and operational risks could adversely affect our consolidated results of operations;

•Cost shifting to non-U.S. jurisdictions and outsourcing may expose us to increased operational risk, geopolitical risk and reputational harm and may not result in expected cost savings;

•Attacks or unauthorized access to our information technology systems or facilities, or those of the third parties with which we do business, or disruptions to our or their continuous operations, could result in significant costs, reputational damage and impacts on our business activities;

•Long-term contracts expose us to pricing and performance risk;

•Our businesses may be negatively affected by adverse publicity or other reputational harm;

•We may not be able to protect our intellectual property;

•The quantitative models we use to manage our business may contain errors that could result in material harm;

•Our reputation and 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;

•The impacts of climate change, and regulatory responses to such risks, could adversely affect us; and

•We may incur losses as a result of unforeseen events including terrorist attacks,

natural disasters, the emergence of a new pandemic or acts of embezzlement.

Actual outcomes and results may differ materially from what is expressed in our 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 this Form 10-Q should not be relied on as representing our expectations or 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, and our registration statements filed under the Securities Act of 1933, all of which are accessible on the SEC's website at www.sec.gov or on the “Investor Relations” section of our corporate website at investors.statestreet.com.

State Street Corporation | 7

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

OVERVIEW OF FINANCIAL RESULTS


TABLE 1: OVERVIEW OF FINANCIAL RESULTS	TABLE 1: OVERVIEW OF FINANCIAL RESULTS										TABLE 1: OVERVIEW OF FINANCIAL RESULTS
		Three Months Ended June 30,							% Change				Three Months Ended September 30,							% Change
(Dollars in millions, except per share amounts)	(Dollars in millions, except per share amounts)	2022				2021						(Dollars in millions, except per share amounts)	2022				2021
Total fee revenue	Total fee revenue	$	2,370			$	2,514		(6)	%		Total fee revenue	$	2,299			$	2,504		(8)	%
Net interest income	Net interest income	584				467			25			Net interest income	660				487			36
Total other income	Total other income	(1)				53			nm			Total other income	—				(1)			nm
Total revenue	Total revenue	2,953				3,034			(3)			Total revenue	2,959				2,990			(1)
Provision for credit losses	Provision for credit losses	10				(15)			nm			Provision for credit losses	—				(2)			nm
Total expenses	Total expenses	2,108				2,111			—			Total expenses	2,110				2,116			—
Income before income tax expense	Income before income tax expense	835				938			(11)			Income before income tax expense	849				876			(3)
Income tax expense	Income tax expense	88				175			(50)			Income tax expense	159				162			(2)

Net income	Net income	$	747			$	763		(2)			Net income	$	690			$	714		(3)
Adjustments to net income:	Adjustments to net income:											Adjustments to net income:
Dividends on preferred stock(1)	Dividends on preferred stock(1)	$	(35)			$	(34)		3			Dividends on preferred stock(1)	$	(21)			$	(21)		—
Earnings allocated to participating securities(2)	Earnings allocated to participating securities(2)	—				(1)			nm			Earnings allocated to participating securities(2)	—				—			—
Net income available to common shareholders	Net income available to common shareholders	$	712			$	728		(2)			Net income available to common shareholders	$	669			$	693		(3)
Earnings per common share:	Earnings per common share:											Earnings per common share:
Basic	Basic	$	1.94			$	2.11		(8)			Basic	$	1.82			$	1.99		(9)
Diluted	Diluted	1.91				2.07			(8)			Diluted	1.80				1.96			(8)
Average common shares outstanding (in thousands):	Average common shares outstanding (in thousands):											Average common shares outstanding (in thousands):
Basic	Basic	367,375				345,889			6			Basic	367,789				347,718			6
Diluted	Diluted	372,123				351,582			6			Diluted	372,418				353,494			5
Cash dividends declared per common share	Cash dividends declared per common share	$	.57			$	.52		10			Cash dividends declared per common share	$	.63			$	.57		11
Return on average common equity	Return on average common equity	12.1		%		12.6		%	(50) bps			Return on average common equity	11.2		%		11.6		%	(40) bps
Pre-tax margin	Pre-tax margin	28.3				30.9			(260)			Pre-tax margin	28.7				29.3			(60)

		Six Months Ended June 30,							% Change				Nine Months Ended September 30,							% Change
(Dollars in millions, except per share amounts)	(Dollars in millions, except per share amounts)	2022				2021						(Dollars in millions, except per share amounts)	2022				2021
Total fee revenue	Total fee revenue	$	4,943			$	4,997		(1)	%		Total fee revenue	$	7,242			$	7,501		(3)	%
Net interest income	Net interest income	1,093				934			17			Net interest income	1,753				1,421			23
Total other income	Total other income	(2)			—	53			nm			Total other income	(2)			—	52			nm
Total revenue	Total revenue	6,034				5,984			1			Total revenue	8,993				8,974			—
Provision for credit losses	Provision for credit losses	10				(24)			nm			Provision for credit losses	10				(26)			nm
Total expenses	Total expenses	4,435				4,443			—			Total expenses	6,545				6,559			—
Income before income tax expense	Income before income tax expense	1,589				1,565			2			Income before income tax expense	2,438				2,441			—
Income tax expense	Income tax expense	238				283			(16)			Income tax expense	397				445			(11)

Net income	Net income	$	1,351			$	1,282		5			Net income	$	2,041			$	1,996		2
Adjustments to net income:	Adjustments to net income:											Adjustments to net income:
Dividends on preferred stock(1)	Dividends on preferred stock(1)	$	(55)			$	(64)		(14)			Dividends on preferred stock(1)	$	(76)			$	(85)		(11)
Earnings allocated to participating securities(2)	Earnings allocated to participating securities(2)	(1)				(1)			—			Earnings allocated to participating securities(2)	(1)				(1)			—
Net income available to common shareholders	Net income available to common shareholders	$	1,295			$	1,217		6			Net income available to common shareholders	$	1,964			$	1,910		3
Earnings per common share:	Earnings per common share:											Earnings per common share:
Basic	Basic	$	3.53			$	3.49		1			Basic	$	5.35			$	5.49		(3)
Diluted	Diluted	3.48				3.44			1			Diluted	5.28				5.40			(2)
Average common shares outstanding (in thousands):	Average common shares outstanding (in thousands):											Average common shares outstanding (in thousands):
Basic	Basic	366,961				348,303			5			Basic	367,240				348,106			5
Diluted	Diluted	372,080				353,434			5			Diluted	372,194				353,376			5
Cash dividends declared per common share	Cash dividends declared per common share	$	1.14			$	1.04		10			Cash dividends declared per common share	$	1.77			$	1.61		10
Return on average common equity	Return on average common equity	10.8		%		10.5		%	30 bps			Return on average common equity	10.9		%		10.8		%	10 bps
Pre-tax margin	Pre-tax margin	26.3				26.2			10			Pre-tax margin	27.1				27.2			(10)

(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.

nm Not meaningful

The following “Financial Results and Highlights” section provides information related to significant events, as well as highlights of our consolidated financial results for the ~~second~~third quarter of 2022 presented in Table 1: Overview of Financial Results. More detailed information about our consolidated financial results, including the comparison of our financial results for the three and ~~six~~nine months ended ~~June~~September 30, 2022, compared to the same periods in 2021, is provided under “Consolidated Results of Operations”, "Line of Business Information" and "Capital" which follows these sections, as well as in our consolidated financial statements in this Form 10-Q. In this Management’s Discussion and Analysis, where we describe the effects of changes in foreign currency translation, those effects are determined by applying applicable weighted average FX rates from the relevant 2021 period to the relevant 2022 period results.

Financial Results and Highlights

•~~Second~~Third quarter of 2022 financial performance:

◦Earnings per share of ~~$1.91~~ $1.80 in the ~~second~~third quarter of 2022, de~~creased~~decreased 8% compared to ~~$2.07~~$1.96 in the same period in 2021.

◦Total fee revenue and total revenue decreased 6% 8% and 3%1%, respectively, inin the ~~second~~third quarter of 2022, compared to the same period in 2021. Currency translation ~~decreased~~contributed 3% to the decrease in both fee revenue and total revenue ~~by 2%~~ in the ~~second~~third quarter of 2022, relative to the same period in 2021.

◦NII increased ~~25%~~36% in the ~~second~~third quarter of 2022, compared to the same period in 2021.

◦In the ~~second~~third quarter of 2022, return on equity of ~~12.1%~~11.2% decreased from ~~12.6%~~11.6% in the same period in 2021, primarily due to a decrease in net income available to common shareholders. Pre-tax margin of ~~28.3%~~28.7% in the ~~second~~third quarter of 2022, decreased from ~~30.9%~~29.3% in the same period in 2021, primarily due to a decrease in total revenue.

◦Negative operating leverage of ~~2.5%~~ 0.7% points in the ~~second~~third quarter of 2022. Operating leverage represents the difference between the percentage change in total revenue and the percentage change in total expenses, in each case relative to the prior year period.

State Street Corporation | 8

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

◦Negative fee operating leverage of 7.9% ~~5.6%~~points in the ~~second~~third quarter of 2022. 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 prior year period.

•While the ongoing war in Ukraine continued to cause considerable challenges for global markets in the second quarter of 2022, our direct financial exposure to Russia remains very low. As of June 30, 2022, we had no direct credit exposures to Russian-domiciled entities, including the Russian central bank, other than our subcustodian in Russia, which is an affiliate of a large multinational bank.

Revenue

•Total revenue decreased 3%1% in in the ~~second~~third quarter of 2022, compared to the same period in 2021, as the decrease in total fee revenue was partially offset by higher NII. Total fee revenue decreased 6%8% in the ~~second~~third quarter of 2022, compared to the same period in 2021, primarily driven by lower servicing fees, management fees ~~software and processing fees~~ and other fee revenue, partially offset by higher foreign exchange trading services revenue, software and processing fees and securities finance revenue. Currency translation ~~decreased~~contributed 3% to the decrease in both total revenue and total fee revenue ~~by 2%~~ in the ~~second~~third quarter of 2022, relative to the same period in ~~2021~~2021.

•Servicing fee revenue decreased 7%12% in the ~~second~~third quarter of 2022, compared to the same period in 2021, primarily due to lower average ~~equity and fixed income~~ market levels, ~~normal pricing headwinds,~~ lower client activity and adjustments, and ~~the impact of currency translation,~~normal pricing headwinds, partially offset by net new business. Currency translation ~~decreased~~contributed 3% to the decrease in servicing fee revenue ~~by 3%~~ in the ~~second~~third quarter of 2022, relative to the same period in 2021.

•Management fee revenue decreased 3%10% in the ~~second~~third quarter of 2022, compared to the same period in 2021, primarily due to lower average equity and fixed income market levels, a previously reported client-specific pricing adjustment and ~~the impact of currency translation,~~institutional net outflows, partially offset by the absence of the impact of money market fee waivers and net inflows from cash and ETFs. Currency translation ~~decreased~~contributed 3% to the decrease in management ~~fees by 2%~~fee revenue in the ~~second~~third quarter of 2022, relative to the same period in 2021.

•Foreign exchange trading services revenue increased ~~16%~~14% in the ~~second~~third quarter of 2022, compared to the same period in 2021, primarily reflecting higher FX spreads, partially offset by lower client FX volumes.

•Securities finance revenue ~~decreased~~ 2%increased 4% in the ~~second~~third quarter of 2022, compared to the same period in 2021, reflecting higher spreads, partially offset by lower agency and enhanced custody ~~balances, partially offset by higher spreads.~~balances.

•Software and processing fees revenue ~~decreased~~ ~~11%~~increased 2% in the ~~second quarter of 2022, compared to the same period in 2021, primarily due to lower front office software and data revenue associated with CRD.~~

•~~Other fee revenue decreased $53 million in the second quarter of 2022, compared to the same period in 2021, primarily due to negative market-related adjustments.~~

•~~NII increased~~ ~~25%~~ ~~in the second~~third quarter of 2022, compared to the same period in 2021, primarily due to higher ~~market~~front office software and data revenue associated with CRD, partially offset by lower lending fees.

•Other fee revenue decreased $27 million in the third quarter of 2022, compared to the same period in 2021, primarily driven by the absence of fair value adjustments on equity investments and negative market-related adjustments.

•NII increased 36% in the third quarter of 2022, compared to the same period in 2021, primarily due to higher short-term interest rates from U.S. and ~~growth in loan balances.~~international central bank rate hikes, partially offset by lower client deposits.

Provision for Credit Losses

•We recorded ~~a $10 million~~ no provision for credit losses in the ~~second~~third quarter of 2022, compared to a ~~$15~~$2 million reserve release in the same period in 2021, ~~reflecting~~as a downward shift in management's economic outlook ~~partially~~was offset by a ~~decrease~~reduction in ~~expected losses related to leveraged loans within our portfolio.~~loan portfolio risk.

Expenses

•Total expenses were flat in the ~~second~~third quarter of 2022, compared to the same period in 2021, as ~~higher targeted~~continued productivity and optimization savings were offset by continued business investments and ~~wage growth were offset by productivity savings~~higher wages, marketing and ~~ongoing disciplined expense management, and the positive impact of currency translation.~~travel costs. Currency translation ~~decreased~~reduced expenses by 3%4% in the ~~second~~third quarter of 2022, relative to the same period in 2021.

Notable items

•The impact of notable items in the ~~second~~third quarter of 2022 includes acquisition and restructuring costs of approximately ~~$12~~$13 million related to our proposed acquisition of the BBH Investor Services business, which is subject to regulatory review and other closing conditions.

•The impact of notable items in the ~~second~~third quarter of 2021 ~~includes:~~includes acquisition and restructuring costs of approximately $18 million, of which $11 million related to CRD and $7 million related to our proposed acquisition of the BBH Investor Services business.

State Street Corporation | 9

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

◦~~$53 million gain on the sale of a majority share of our Wealth Management Services (WMS) business, recorded in other income;~~

◦~~legal accrual release of approximately $11 million; and~~

◦~~acquisition and restructuring costs of approximately $11 million, primarily related to our 2018 acquisition of CRD.~~

AUC/A and AUM

•AUC/A of ~~$38.18~~$35.69 trillion decreased ~~10%~~18% as of ~~June~~September 30, 2022, compared to ~~June~~September 30, 2021, primarily due to lower market levels, a previously disclosed client transition and the impact of currency translation, partially offset by ~~net~~ new business ~~and client flows.~~installations. In the ~~second~~third quarter of 2022, newly announced asset servicing mandates totaled approximately ~~$972~~$233 billion. Servicing assets remaining to be installed in future periods totaled approximately ~~$3.63~~$3.41 trillion as of ~~June~~September 30, 2022.

•AUM of ~~$3.48~~$3.27 trillion decreased ~~11%~~15% as of ~~June~~September 30, 2022, compared to ~~June~~September 30, 2021, primarily due to lower market levels, ~~and~~institutional net outflows ~~from our Institutional business,~~and the impact of currency translation, partially offset by net inflows from our ~~ETF~~ETFs and ~~Cash businesses.~~cash.

Capital

•We declared common stock dividends of ~~$0.57~~$0.63 per share, totaling ~~$210~~$232 million in the ~~second~~third quarter of 2022, compared to ~~$0.52~~$0.57 per share, totaling ~~$179~~$209 million in the same period in 2021.

•In July ~~2022, we declared third quarter common stock dividends of $0.63 per share, representing a 10% increase on a per share basis from both the third quarter of 2021 and second quarter of 2022.~~

•~~In July~~ 2021, our Board authorized a ~~common~~ share repurchase ~~plan~~program for the repurchase of up to $3.0 billion of our common stock through the end of 2022; however, in connection with our proposed acquisition of the BBH Investor Services business, we did not repurchase any common stock during the last half of 2021, as well as during the first ~~half~~nine months of 2022. ~~In June 2022, we announced our intention~~We intend to ~~resume~~repurchase approximately $1.0 billion of our common ~~share repurchases during~~stock in the fourth quarter of 2022 ~~in an amount reflecting interest rate levels and market conditions at that time.~~under the existing share repurchase program, expiring December 21, 2022.

•Our standardized CET1 capital ratio decreased to ~~12.9%~~13.2% as of ~~June~~September 30, 2022, compared to 14.3% as of December 31, 2021, primarily reflecting lower AOCI related

to AFS securities, largely recognized in the first half of 2022 driven by the significant increase in interest rates across the yield curve and the implementation of the standardized approach for counterparty credit risk (SA-CCR), partially offset by planned RWA reductions and ~~optimization.~~optimizations. However, we anticipate modest RWA increase over the coming quarters as we efficiently deploy capital to our businesses. Our Tier 1 leverage ratio ~~decreased~~increased to ~~6.0%~~6.4% as of ~~June~~September 30, 2022 compared to 6.1% as of December 31, 2021, primarily driven by lower ~~AOCI,~~consolidated average assets, partially offset by lower ~~consolidated average assets.~~

AOCI. During ~~the second quarter of~~ 2022, we completed a number of ~~our previously announced~~ actions to mitigate additional AOCI risk in the current environment including a $21.23 billion transfer of securities from AFS to HTM. Given the ~~reduction in AOCI risk,~~current global economic environment, we ~~have the ability~~currently expect to operate with CET1 and Tier 1 leverage capital ratios ~~at or somewhat below the lower end of~~within our target ranges of 10-11% and 5.25-5.75%, ~~respectively, after the close of the proposed acquisition of the BBH Investor Services business.~~respectively.

Debt Issuances and Redemptions

•On ~~May 13,~~August 4, 2022, we issued ~~$500 million aggregate principal amount of 4.421% fixed-to-floating rate senior notes due 2033.~~

•~~On May 15, 2022, we redeemed~~ $750 million aggregate principal amount of ~~2.653%~~4.164% fixed-to-floating rate senior notes due ~~2023.~~2033.

CONSOLIDATED RESULTS OF OPERATIONS

This section discusses our consolidated results of operations for the three and ~~six~~nine months ended ~~June~~September 30, 2022, compared to the same periods in 2021, and should be read in conjunction with the consolidated financial statements and accompanying notes to the consolidated financial statements in this Form 10-Q.

State Street Corporation | 10

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Total Revenue


TABLE 2: TOTAL REVENUE	TABLE 2: TOTAL REVENUE						TABLE 2: TOTAL REVENUE
		Three Months Ended June 30,				% Change				Three Months Ended September 30,							% Change
(Dollars in millions)	(Dollars in millions)	2022		2021							(Dollars in millions)	2022							% Change
Fee revenue:	Fee revenue:												Fee revenue:
Back office services	Back office services	$	1,205	$	1,290			(7)	%				Back office services	$	1,126		$	1,289			(13)	%
Middle office services	Middle office services	92		104				(12)					Middle office services	93			102				(9)
Servicing fees(1)	Servicing fees(1)	1,297		1,394				(7)					Servicing fees(1)	1,219			1,391				(12)
Management fees	Management fees	490		504				(3)					Management fees	472			526				(10)
Foreign exchange trading services	Foreign exchange trading services	331		286				16					Foreign exchange trading services	319			279				14
Securities finance	Securities finance	107		109				(2)					Securities finance	110			106				4
Front office software and data	Front office software and data	126		148				(15)					Front office software and data	127			116				9
Lending related and other fees	Lending related and other fees	62		63				(2)					Lending related and other fees	57			64				(11)
Software and processing fees(1)	Software and processing fees(1)	188		211				(11)					Software and processing fees(1)	184			180				2
Other fee revenue(1)	Other fee revenue(1)	(43)		10				nm					Other fee revenue(1)	(5)			22				nm
Total fee revenue	Total fee revenue	2,370		2,514				(6)					Total fee revenue	2,299			2,504				(8)
Net interest income:	Net interest income:												Net interest income:
Interest income	Interest income	704		467				51					Interest income	1,101			487				nm
Interest expense	Interest expense	120		—				nm					Interest expense	441			—				nm
Net interest income	Net interest income	584		467				25					Net interest income	660			487				36
Other income:	Other income:												Other income:
Gains (losses) related to investment securities, net	Gains (losses) related to investment securities, net	(1)		—				nm					Gains (losses) related to investment securities, net	—			(1)				nm
Other income		—		53				nm

Total other income	Total other income	(1)		53				nm					Total other income	—			(1)				nm
Total revenue	Total revenue	$	2,953	$	3,034			(3)					Total revenue	$	2,959		$	2,990			(1)

		Six Months Ended June 30,						% Change						Nine Months Ended September 30,							% Change
(Dollars in millions)	(Dollars in millions)	2022		2021							(Dollars in millions)	2022				2021				% Change
Fee revenue:	Fee revenue:												Fee revenue:
Back office services	Back office services	$	2,473	$	2,556			(3)	%				Back office services	$	3,599		$	3,845			(6)	%
Middle office services	Middle office services	192		207				(7)					Middle office services	285			309				(8)
Servicing fees(1)	Servicing fees(1)	2,665		2,763				(4)					Servicing fees(1)	3,884			4,154				(6)
Management fees	Management fees	1,010		997				1					Management fees	1,482			1,523				(3)
Foreign exchange trading services	Foreign exchange trading services	690		632				9					Foreign exchange trading services	1,009			911				11
Securities finance	Securities finance	203		208				(2)					Securities finance	313			314				—
Front office software and data	Front office software and data	264		244				8					Front office software and data	391			360				9
Lending related and other fees	Lending related and other fees	125		127				(2)					Lending related and other fees	182			191				(5)
Software and processing fees(1)	Software and processing fees(1)	389		371				5					Software and processing fees(1)	573			551				4
Other fee revenue(1)	Other fee revenue(1)	(14)		26				nm					Other fee revenue(1)	(19)			48				nm
Total fee revenue	Total fee revenue	4,943		4,997				(1)					Total fee revenue	7,242			7,501				(3)
Net interest income:	Net interest income:												Net interest income:
Interest income	Interest income	1,225		938				31					Interest income	2,326			1,425				63
Interest expense	Interest expense	132		4				nm					Interest expense	573			4				nm
Net interest income	Net interest income	1,093		934				17					Net interest income	1,753			1,421				23
Other income:	Other income:												Other income:
Gains (losses) related to investment securities, net	Gains (losses) related to investment securities, net	(2)		—				nm					Gains (losses) related to investment securities, net	(2)			(1)				nm
Other income	Other income	—		53				nm					Other income	—			53				nm
Total other income	Total other income	(2)		53				nm					Total other income	(2)			52				nm
Total revenue	Total revenue	$	6,034	$	5,984			1					Total revenue	$	8,993		$	8,974			—

(1) In the first quarter of 2022, we reclassified certain fee revenue in our Consolidated Statement of Operations, primarily moving revenues that are not directly associated with software and processing fees to a new Other fee revenue line item. In addition, we provided a disaggregation of servicing fees into Back office services and Middle office services and of software and processing fees into Front office software and data and Lending related and other fees. Prior periods were revised to reflect these changes.

nm Not meaningful

State Street Corporation | 11

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Fee Revenue

Table 2: Total Revenue, provides the breakout of fee revenue for the three and ~~six~~nine months ended ~~June~~September 30, 2022 and 2021. Servicing and management fees collectively made up approximately ~~75% and~~ 74% of the total fee revenue in both the three and ~~six~~nine months ended ~~June~~September 30, 2022, ~~respectively,~~ compared to ~~75%~~77% and 76% in ~~both~~ the ~~same periods in 2021.~~three and nine months ended September 30, 2021, respectively.

~~State Street Corporation | 11~~

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

~~AND RESULTS OF OPERATIONS~~

Servicing Fee Revenue

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 affects 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 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 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.

Over the five years ended December 31, 2021, we estimate that worldwide market valuations impacted our servicing fee revenues by approximately 3% on average with a range of 0% to 7% annually and approximately 7% and 2% in 2021 and 2020, respectively. 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 ~~June~~September 30, 2022 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 ~~June~~September 30, 2022, 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 significantly smaller impact on our servicing fee revenues on average and over time.


TABLE 3: DAILY AVERAGES, MONTH-END AVERAGES AND QUARTER-END EQUITY INDICES(1)	TABLE 3: DAILY AVERAGES, MONTH-END AVERAGES AND QUARTER-END EQUITY INDICES(1)													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					Daily Averages of Indices				Month-End Averages of Indices				Quarter-End Indices
		Three Months Ended June 30,				Three Months Ended June 30,				As of June 30,					Three Months Ended September 30,				Three Months Ended September 30,				As of September 30,
		2022	2021	% Change		2022	2021	% Change		2022	2021	% Change			2022	2021	% Change		2022	2021	% Change		2022	2021	% Change
S&P 500®	S&P 500®	4,106	4,184	(2)	%	4,016	4,228	(5)	%	3,785	4,298	(12)	%	S&P 500®	3,980	4,422	(10)	%	3,890	4,408	(12)	%	3,586	4,308	(17)	%
MSCI EAFE®	MSCI EAFE®	1,998	2,307	(13)		1,973	2,302	(14)		1,846	2,305	(20)		MSCI EAFE®	1,848	2,338	(21)		1,813	2,320	(22)		1,661	2,281	(27)
MSCI® Emerging Markets	MSCI® Emerging Markets	1,055	1,351	(22)		1,052	1,366	(23)		1,001	1,375	(27)		MSCI® Emerging Markets	975	1,295	(25)		955	1,280	(25)		876	1,253	(30)


		Daily Averages of Indices				Month-End Averages of Indices					Daily Averages of Indices				Month-End Averages of Indices
		Six Months Ended June 30,				Six Months Ended June 30,					Nine Months Ended September 30,				Nine Months Ended September 30,
		2022	2021	% Change		2022	2021	% Change			2022	2021	% Change		2022	2021	% Change
S&P 500®	S&P 500®	4,285	4,027	6	%	4,245	4,030	5	%	S&P 500®	4,181	4,162	—	%	4,127	4,156	(1)	%
MSCI EAFE®	MSCI EAFE®	2,105	2,254	(7)		2,084	2,235	(7)		MSCI EAFE®	2,018	2,283	(12)		1,993	2,263	(12)
MSCI® Emerging Markets	MSCI® Emerging Markets	1,120	1,357	(17)		1,113	1,347	(17)		MSCI® Emerging Markets	1,071	1,336	(20)		1,060	1,325	(20)


c

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


TABLE 4: QUARTER-END DEBT INDICES(1)	TABLE 4: QUARTER-END DEBT INDICES(1)					TABLE 4: QUARTER-END DEBT INDICES(1)
		As of June 30,					As of September 30,
		2022	2021	% Change			2022	2021	% Change
Barclays Capital U.S. Aggregate Bond Index®	Barclays Capital U.S. Aggregate Bond Index®	2,111	2,354	(10)	%	Barclays Capital U.S. Aggregate Bond Index®	2,011	2,355	(15)	%
Barclays Capital Global Aggregate Bond Index®	Barclays Capital Global Aggregate Bond Index®	458	541	(15)		Barclays Capital Global Aggregate Bond Index®	427	536	(20)

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

State Street Corporation | 12

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

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, 2021, we estimate that client activity and asset flows, together, impacted our servicing fee revenues by approximately 0% on average with a range of (1)% to 2% annually and approximately 0% and 2% in 2021 and 2020, respectively. 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 flows may differ from those market trends. In addition, our asset classifications may differ from those industry classifications presented.


TABLE 5: INDUSTRY ASSET FLOWS	TABLE 5: INDUSTRY ASSET FLOWS					TABLE 5: INDUSTRY ASSET FLOWS
		Three Months Ended June 30,					Three Months Ended September 30,
(In billions)	(In billions)	2022		2021		(In billions)	2022		2021
North America - (US Domiciled) - Morningstar Direct Market Data(1)(2)(3)	North America - (US Domiciled) - Morningstar Direct Market Data(1)(2)(3)					North America - (US Domiciled) - Morningstar Direct Market Data(1)(2)(3)
Long-Term Funds(4)	Long-Term Funds(4)	$	(275.6)	$	195.7	Long-Term Funds(4)	$	(194.0)	$	149.8
Money Market	Money Market	(54.2)		33.1		Money Market	(24.4)		15.2
Exchange-Traded Fund	Exchange-Traded Fund	93.2		122.6		Exchange-Traded Fund	109.9		77.1
Total Flows	Total Flows	$	(236.6)	$	351.4	Total Flows	$	(108.5)	$	242.1

Europe - Morningstar Direct Market Data(1)(2)(5)	Europe - Morningstar Direct Market Data(1)(2)(5)					Europe - Morningstar Direct Market Data(1)(2)(5)
Long-Term Funds(4)	Long-Term Funds(4)	$	(32.2)	$	225.8	Long-Term Funds(4)	$	(88.7)	$	192.1
Money Market	Money Market	(4.8)		(9.8)		Money Market	11.5		(4.3)
Exchange-Traded Fund	Exchange-Traded Fund	24.0		51.1		Exchange-Traded Fund	(2.9)		36.8

Total Flows	Total Flows	$	(13.0)	$	267.1	Total Flows	$	(80.1)	$	224.6

(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 entire industry.

(2) Source: Morningstar. The data includes long-term mutual funds, ETFs and money market funds. Mutual fund data represents estimates of 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 prevent double counting. Data is from the Morningstar Direct Asset Flows database.

(3) The ~~second~~third quarter of 2022 data for North America (U.S. domiciled) includes Morningstar direct actuals for ~~April~~July and ~~May~~August 2022 and Morningstar direct estimates for ~~June~~September 2022.

(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 Europe, Middle East, and Africa are composed of the European market flows mainly in Equities, Allocation and Fixed-Income asset classes.

(5) The ~~second~~third quarter of 2022 data for Europe is on a rolling three month basis for ~~March~~June 2022 through ~~May~~August 2022, sourced by Morningstar.

Net New Business

Over the five years ended December 31, 2021, net new business, which includes business both won and lost, has affected our servicing fee revenues by approximately 1% on average with a range of 0% to 3% annually and approximately 1% and 0% in 2021 and 2020, respectively.

Gross new investment servicing mandates were ~~$972~~$233 billion in the ~~second~~third quarter of 2022 and $1.8 trillion per year on average over the past five years. Over the five years ended December 31, 2021, gross new annual investment servicing mandates ranged from $750 billion to $3.5 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 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. 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 ~~$3.63~~$3.41 trillion that are yet to be installed as of ~~June~~September 30, 2022, we expect the conversion will occur over the coming 36 months.

State Street Corporation | 13

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Pricing

The industry in which we operate has historically faced pricing pressure, and our 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 can vary materially. On average, over the five years ended December 31, 2021, we estimate that pricing pressure with respect to existing clients has impacted our servicing fees by approximately (2)% annually, with the impact ranging from (1)% to (4)% in any given year, and approximately (2)% in both 2021 and 2020. 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 several factors, including changes in market valuations, client activity and 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 55%, on average, of our servicing fee revenues have been variable due to changes in asset valuations including changes in daily average valuations of 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 30% 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.

Servicing fees, as presented in Table 2: Total Revenue, decreased 7%12% and 6% in the three and nine months ended ~~June~~September 30, 2022, respectively, compared to the same ~~period~~periods in 2021, primarily due to lower average ~~equity and fixed income~~ market levels, ~~normal pricing headwinds,~~ lower client activity and adjustments and ~~the impact of currency translation,~~normal pricing headwinds, partially offset by net new business. Currency translation decreased servicing fee revenue by 3% in both the ~~second quarter of 2022, relative to the same period in 2021. Servicing fees decreased 4% in the six~~three and nine months ended June 30, 2022, compared to the same period in 2021, primarily due to normal pricing headwinds, lower client activity and adjustments and the impact of currency translation, partially offset by net new business. Currency translation decreased servicing fee revenue by 2% in the six months ended JuneSeptember 30, 2022, relative to the same ~~period~~periods in 2021.

Servicing fees generated outside the U.S. were approximately ~~47%~~45% and 46% of total servicing fees in the three and nine months ended September 30, 2022, respectively, compared to approximately 48% in both the three and ~~six~~nine months ended ~~June~~September 30, ~~2022, compared to approximately 49% and 48% in the same periods in 2021, respectively.~~2021.


TABLE 6: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY PRODUCT(1)	TABLE 6: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY PRODUCT(1)							TABLE 6: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY PRODUCT(1)
(In billions)	(In billions)	June 30, 2022		December 31, 2021		June 30, 2021			(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Collective funds, including ETFs	Collective funds, including ETFs	$	13,609	$	15,722	$	15,048		Collective funds, including ETFs	$	11,649	$	15,722	$	15,159
Mutual funds	Mutual funds	9,642		11,575		10,873			Mutual funds	9,289		11,575		11,505
Pension products	Pension products	7,764		8,443		8,291			Pension products	7,669		8,443		8,497
Insurance and other products	Insurance and other products	7,165		7,938		8,385			Insurance and other products	7,081		7,938		8,176
Total	Total	$	38,180	$	43,678	$	42,597		Total	$	35,688	$	43,678	$	43,337


TABLE 7: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY ASSET CLASS(1)	TABLE 7: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY ASSET CLASS(1)							TABLE 7: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY ASSET CLASS(1)
(In billions)	(In billions)	June 30, 2022		December 31, 2021		June 30, 2021			(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Equities	Equities	$	21,953	$	25,974	$	24,792		Equities	$	19,889	$	25,974	$	25,350
Fixed-income	Fixed-income	10,716		12,587		13,079			Fixed-income	10,150		12,587		12,808
Short-term and other investments	Short-term and other investments	5,511		5,117		4,726			Short-term and other investments	5,649		5,117		5,179
Total	Total	$	38,180	$	43,678	$	42,597		Total	$	35,688	$	43,678	$	43,337


TABLE 8: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY GEOGRAPHY(1)(2)	TABLE 8: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY GEOGRAPHY(1)(2)							TABLE 8: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY GEOGRAPHY(1)(2)
(In billions)	(In billions)	June 30, 2022		December 31, 2021		June 30, 2021			(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Americas	Americas	$	28,207	$	32,427	$	31,280		Americas	$	26,051	$	32,427	$	31,934
Europe/Middle East/Africa	Europe/Middle East/Africa	7,498		8,599		8,716			Europe/Middle East/Africa	6,990		8,599		8,748
Asia/Pacific	Asia/Pacific	2,475		2,652		2,601			Asia/Pacific	2,647		2,652		2,655
Total	Total	$	38,180	$	43,678	$	42,597		Total	$	35,688	$	43,678	$	43,337

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

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

State Street Corporation | 14

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Asset servicing mandates newly announced in the ~~second~~third quarter of 2022 totaled approximately ~~$972~~$233 billion. Servicing assets remaining to be installed in future periods totaled approximately ~~$3.63~~$3.41 trillion as of ~~June~~September 30, 2022, 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 (IBOR), 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, 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 compliance and environmental, social and governance (ESG) investment tools. Revenues associated with new servicing mandates may vary based on the breadth of services provided and the timing of installation, and the types of assets.

As a result of a decision to diversify providers, one of our large asset servicing clients has advised us it expects to move a significant 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 business. The transition ~~is expected to begin~~began in 2022, but will principally occur in 2023 and 2024. For the year ended December 31, 2021, the fee revenue associated with the transitioning assets represented approximately 1.9% of our total 2021 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 generally are affected by our level of AUM, which we report based on month-end 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, including performance fee arrangements, as well as our relationship pricing for clients. From the second half of 2020 through the first quarter of 2022, we were in a prolonged low-interest rate environment, and waived certain fees for our clients for money market products. Following the Federal Reserve rate hikes in March and September 2022, money market fee waivers did not have a significant impact on our management fee revenue in the second ~~quarter~~and third quarters of 2022, and we do not expect them to materially impact ~~subsequent quarters in~~the fourth quarter of 2022.

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

State Street Corporation | 15

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

In light of the above, we estimate, using relevant information as of ~~June~~September 30, 2022, 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 management fees are calculated, would result in a corresponding change in our total management fee revenues, on average and over multiple quarters, of approximately 5%; and

•changes in worldwide fixed income markets, which on a weighted average basis and over time are typically less volatile than worldwide equity markets, will have a significantly smaller impact on our management fee revenues on average and over time.

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

Management fees decreased 10% and 3% in the three and nine months ended ~~June~~September 30, 2022, respectively, compared to same ~~period~~periods in 2021, primarily due to lower average equity and fixed income market levels, a previously reported client-specific pricing adjustment and ~~the impact of currency translation,~~institutional net outflows, partially offset by the absence of the impact of money market fee waivers and net inflows from cash and ETFs. Currency translation decreased management fees by 3% and 2% in the ~~second quarter of~~three and nine months ended September 30, 2022, respectively, relative to the same ~~period~~periods in 2021. ~~Management fees increased~~ 1% in the six months ended June 30, 2022 compared to the same period in 2021, primarily due to higher average equity market levels and the absence of the impact of money market fee waivers, partially offset by a client-specific pricing adjustment and the impact of currency translation. Currency translation decreased management fees by 1% in the six months ended June 30, 2022 compared to the same period in 2021.

Management fees generated outside the U.S. were approximately 25% and 26% of total management fees in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to approximately 26% in both the three and ~~six~~nine months ended ~~June~~September 30, 2021.


TABLE 9: ASSETS UNDER MANAGEMENT BY ASSET CLASS AND INVESTMENT APPROACH	TABLE 9: ASSETS UNDER MANAGEMENT BY ASSET CLASS AND INVESTMENT APPROACH								TABLE 9: ASSETS UNDER MANAGEMENT BY ASSET CLASS AND INVESTMENT APPROACH
(In billions)	(In billions)	June 30, 2022		December 31, 2021		June 30, 2021			(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Equity:	Equity:							Equity:
Active	Active	$	62	$	80	$	83		Active	$	53	$	80	$	79
Passive	Passive	2,024		2,594		2,378			Passive	1,890		2,594		2,361
Total equity	Total equity	2,086		2,674		2,461			Total equity	1,943		2,674		2,440
Fixed-income:	Fixed-income:							Fixed-income:
Active	Active	89		103		100			Active	79		103		101
Passive	Passive	461		520		510			Passive	439		520		509
Total fixed-income	Total fixed-income	550		623		610			Total fixed-income	518		623		610
Cash(1)	Cash(1)	403		368		381			Cash(1)	410		368		367
Multi-asset-class solutions:	Multi-asset-class solutions:							Multi-asset-class solutions:
Active	Active	29		34		35			Active	25		34		35
Passive	Passive	173		188		172			Passive	167		188		174
Total multi-asset-class solutions	Total multi-asset-class solutions	202		222		207			Total multi-asset-class solutions	192		222		209
Alternative investments(2):	Alternative investments(2):							Alternative investments(2):
Active	Active	42		56		63			Active	35		56		58
Passive	Passive	192		195		175			Passive	167		195		178
Total alternative investments	Total alternative investments	234		251		238			Total alternative investments	202		251		236
Total	Total	$	3,475	$	4,138	$	3,897		Total	$	3,265	$	4,138	$	3,862

(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®GoldMiniSharesSM Trust, but act as the marketing agent.


TABLE 10: EXCHANGE-TRADED FUNDS BY ASSET CLASS(1)
(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Alternative Investments(2)	$	63	$	72	$	69

Equity	734		970		849
Multi Asset	1		1		1
Fixed-Income	121		135		131
Total Exchange-Traded Funds	$	919	$	1,178	$	1,050

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

(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.

State Street Corporation | 16

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

TABLE 10: EXCHANGE-TRADED FUNDS BY ASSET CLASS(1)
(In billions) June 30, 2022 December 31, 2021 June 30, 2021
Alternative Investments(2)
$ 77 $ 72 $ 73
Equity 791 970 844
Multi Asset 1 1 1
Fixed-Income 130 135 128
Total Exchange-Traded Funds $ 999 $ 1,178 $ 1,046

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

~~(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~~®~~GoldMiniSharesSM Trust, but act as the marketing agent.~~


TABLE 11: GEOGRAPHIC MIX OF ASSETS UNDER MANAGEMENT(1)	TABLE 11: GEOGRAPHIC MIX OF ASSETS UNDER MANAGEMENT(1)							TABLE 11: GEOGRAPHIC MIX OF ASSETS UNDER MANAGEMENT(1)
(In billions)	(In billions)	June 30, 2022		December 31, 2021		June 30, 2021		(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
North America	North America	$	2,525	$	2,931	$	2,749	North America	$	2,396	$	2,931	$	2,732
Europe/Middle East/Africa	Europe/Middle East/Africa	521		592		570		Europe/Middle East/Africa	474		592		558
Asia/Pacific	Asia/Pacific	429		615		578		Asia/Pacific	395		615		572
Total	Total	$	3,475	$	4,138	$	3,897	Total	$	3,265	$	4,138	$	3,862

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


TABLE 12: ACTIVITY IN ASSETS UNDER MANAGEMENT BY PRODUCT CATEGORY	TABLE 12: ACTIVITY IN ASSETS UNDER MANAGEMENT BY PRODUCT CATEGORY													TABLE 12: ACTIVITY IN ASSETS UNDER MANAGEMENT BY PRODUCT CATEGORY
(In billions)	(In billions)	Equity(1)		Fixed-Income(1)		Cash(1)(2)		Multi-Asset-Class Solutions(1)		Alternative Investments(1)(3)		Total		(In billions)	Equity(1)		Fixed-Income(1)		Cash(1)(2)		Multi-Asset-Class Solutions(1)		Alternative Investments(1)(3)		Total
Balance as of December 31, 2020	Balance as of December 31, 2020	$	2,171	$	549	$	349	$	186	$	212	$	3,467	Balance as of December 31, 2020	$	2,171	$	549	$	349	$	186	$	212	$	3,467
Long-term institutional flows, net(4)	Long-term institutional flows, net(4)	(35)		26		(1)		1		1		(8)		Long-term institutional flows, net(4)	(35)		26		(1)		1		1		(8)
Exchange-traded fund flows, net	Exchange-traded fund flows, net	21		9		—		—		(7)		23		Exchange-traded fund flows, net	21		9		—		—		(7)		23
Cash fund flows, net	Cash fund flows, net	—		—		24		—		—		24		Cash fund flows, net	—		—		24		—		—		24
Total flows, net	Total flows, net	(14)		35		23		1		(6)		39		Total flows, net	(14)		35		23		1		(6)		39
Market appreciation (depreciation)	Market appreciation (depreciation)	148		(24)		—		3		(11)		116		Market appreciation (depreciation)	148		(24)		—		3		(11)		116
Foreign exchange impact	Foreign exchange impact	(23)		(6)		—		(1)		(1)		(31)		Foreign exchange impact	(23)		(6)		—		(1)		(1)		(31)
Total market/foreign exchange impact	Total market/foreign exchange impact	125		(30)		—		2		(12)		85		Total market/foreign exchange impact	125		(30)		—		2		(12)		85
Balance as of March 31, 2021	Balance as of March 31, 2021	2,282		554		372		189		194		3,591		Balance as of March 31, 2021	2,282		554		372		189		194		3,591
Long-term institutional flows, net(4)	Long-term institutional flows, net(4)	13		37		—		7		(2)		55		Long-term institutional flows, net(4)	13		37		—		7		(2)		55
Exchange-traded fund flows, net	Exchange-traded fund flows, net	15		5		—		—		1		21		Exchange-traded fund flows, net	15		5		—		—		1		21
Cash fund flows, net	Cash fund flows, net	—		—		7		—		—		7		Cash fund flows, net	—		—		7		—		—		7
Total flows, net	Total flows, net	28		42		7		7		(1)		83		Total flows, net	28		42		7		7		(1)		83
Market appreciation (depreciation)	Market appreciation (depreciation)	152		14		2		11		45		224		Market appreciation (depreciation)	152		14		2		11		45		224
Foreign exchange impact	Foreign exchange impact	(1)		—		—		—		—		(1)		Foreign exchange impact	(1)		—		—		—		—		(1)
Total market/foreign exchange impact	Total market/foreign exchange impact	151		14		2		11		45		223		Total market/foreign exchange impact	151		14		2		11		45		223
Balance as of June 30, 2021	Balance as of June 30, 2021	$	2,461	$	610	$	381	$	207	$	238	$	3,897	Balance as of June 30, 2021	$	2,461	$	610	$	381	$	207	$	238	$	3,897

Long-term institutional flows, net(4)														Long-term institutional flows, net(4)	(10)		—		—		4		—		(6)
Exchange-traded fund flows, net														Exchange-traded fund flows, net	12		4		—		—		(3)		13
Cash fund flows, net														Cash fund flows, net	—		—		(12)		—		—		(12)
Total flows, net														Total flows, net	2		4		(12)		4		(3)		(5)
Market appreciation (depreciation)														Market appreciation (depreciation)	(13)		(1)		(1)		(1)		4		(12)
Foreign exchange impact														Foreign exchange impact	(10)		(3)		(1)		(1)		(3)		(18)
Total market/foreign exchange impact														Total market/foreign exchange impact	(23)		(4)		(2)		(2)		1		(30)
Balance as of September 30, 2021														Balance as of September 30, 2021	$	2,440	$	610	$	367	$	209	$	236	$	3,862

Balance as of December 31, 2021	Balance as of December 31, 2021	$	2,674	$	623	$	368	$	222	$	251	$	4,138	Balance as of December 31, 2021	$	2,674	$	623	$	368	$	222	$	251	$	4,138
Long-term institutional flows, net(4)	Long-term institutional flows, net(4)	(25)		11		4		11		13		14		Long-term institutional flows, net(4)	(25)		11		4		11		13		14
Exchange-traded fund flows, net	Exchange-traded fund flows, net	4		5		—		—		8		17		Exchange-traded fund flows, net	4		5		—		—		8		17
Cash fund flows, net	Cash fund flows, net	—		—		20		—		—		20		Cash fund flows, net	—		—		20		—		—		20
Total flows, net	Total flows, net	(21)		16		24		11		21		51		Total flows, net	(21)		16		24		11		21		51
Market appreciation (depreciation)	Market appreciation (depreciation)	(113)		(34)		1		(3)		(4)		(153)		Market appreciation (depreciation)	(113)		(34)		1		(3)		(4)		(153)
Foreign exchange impact	Foreign exchange impact	(10)		(4)		—		(1)		1		(14)		Foreign exchange impact	(10)		(4)		—		(1)		1		(14)
Total market/foreign exchange impact	Total market/foreign exchange impact	(123)		(38)		1		(4)		(3)		(167)		Total market/foreign exchange impact	(123)		(38)		1		(4)		(3)		(167)
Balance as of March 31, 2022	Balance as of March 31, 2022	2,530		601		393		229		269		4,022		Balance as of March 31, 2022	2,530		601		393		229		269		4,022
Long-term institutional flows, net(4)	Long-term institutional flows, net(4)	(52)		(10)		(3)		2		(6)		(69)		Long-term institutional flows, net(4)	(52)		(10)		(3)		2		(6)		(69)
Exchange-traded fund flows, net	Exchange-traded fund flows, net	(12)		5		—		—		(1)		(8)		Exchange-traded fund flows, net	(12)		5		—		—		(1)		(8)
Cash fund flows, net	Cash fund flows, net	—		—		15		—		—		15		Cash fund flows, net	—		—		15		—		—		15
Total flows, net	Total flows, net	(64)		(5)		12		2		(7)		(62)		Total flows, net	(64)		(5)		12		2		(7)		(62)
Market appreciation (depreciation)	Market appreciation (depreciation)	(337)		(33)		—		(26)		(21)		(417)		Market appreciation (depreciation)	(337)		(33)		—		(26)		(21)		(417)
Foreign exchange impact	Foreign exchange impact	(43)		(13)		(2)		(3)		(7)		(68)		Foreign exchange impact	(43)		(13)		(2)		(3)		(7)		(68)
Total market/foreign exchange impact	Total market/foreign exchange impact	(380)		(46)		(2)		(29)		(28)		(485)		Total market/foreign exchange impact	(380)		(46)		(2)		(29)		(28)		(485)
Balance as of June 30, 2022	Balance as of June 30, 2022	$	2,086	$	550	$	403	$	202	$	234	$	3,475	Balance as of June 30, 2022	$	2,086	$	550	$	403	$	202	$	234	$	3,475
Long-term institutional flows, net(4)														Long-term institutional flows, net(4)	(2)		6		—		3		(7)		—
Exchange-traded fund flows, net														Exchange-traded fund flows, net	(9)		2		—		—		(7)		(14)
Cash fund flows, net														Cash fund flows, net	—		—		5		—		—		5
Total flows, net														Total flows, net	(11)		8		5		3		(14)		(9)
Market appreciation (depreciation)														Market appreciation (depreciation)	(104)		(32)		4		(11)		(12)		(155)
Foreign exchange impact														Foreign exchange impact	(28)		(8)		(2)		(2)		(6)		(46)
Total market/foreign exchange impact														Total market/foreign exchange impact	(132)		(40)		2		(13)		(18)		(201)
Balance as of September 30, 2022														Balance as of September 30, 2022	$	1,943	$	518	$	410	$	192	$	202	$	3,265

(1) The implementation of an improved internal data management system for product level data in the first quarter of 2021 resulted in some AUM reclassifications between the categories presented for prior periods to align with the current presentation. There was no impact to the total level of reported AUM.

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

(3) 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.

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

State Street Corporation | 17

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Foreign Exchange Trading Services

Foreign exchange trading services revenue, as presented in Table 2: Total Revenue, increased ~~16%~~14% and 9%11% in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to the same periods in 2021, primarily due to higher FX spreads, partially offset by lower client FX volumes. Foreign exchange trading services revenue comprises revenue generated by FX trading and revenue generated by brokerage and other trading services, which made up ~~67%~~65% and ~~33%~~35%, respectively, of foreign exchange trading services revenue in the ~~second~~third quarter of 2022, compared to ~~and~~ 66% and 34%, respectively, in the same period in 2021. The impact of gross money market fund fee waivers on foreign exchange trading services was $1 million and ~~$11~~$12 million in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to $15 million and ~~$23~~$38 million in the same periods in 2021, respectively. This represents a reduction in revenue on the Fund Connect platform due to the impact of fee waivers by participating money market funds, including State Street Global Advisors funds.

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.

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

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.

State Street Corporation | 18

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

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.

Securities finance revenue, as presented in Table 2: Total Revenue, ~~decreased 2%~~increased 4% in ~~both~~ the three ~~and six~~ months ended ~~June~~September 30, 2022, compared to the same ~~periods~~period in 2021, primarily driven by higher spreads, partially offset by lower agency and enhanced custody ~~balances, partially~~balances. Securities finance revenue, as presented in Table 2: Total Revenue, was flat in the nine months ended September 30, 2022, compared to the same period in 2021, as higher spreads were offset by ~~higher spreads.~~lower agency and enhanced custody balances.

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

Software and processing fees revenue, presented in Table 2: Total Revenue, de~~creased 11%~~increased 2% in the three months ended ~~June 30, 2022, compared to the same period in~~ ~~2021, primarily driven by lower front office software and data revenue associated with CRD.~~ ~~Software and processing fees revenue~~ ~~increased 5%~~ ~~in the six months ended June~~September 30, 2022, compared to the same period in 2021, primarily driven by higher front office software and data revenue associated with ~~CRD.~~CRD, partially offset by lower lending related and other fees. Software and processing fees revenue increased 4% in the nine months ended September 30, 2022, compared to the same period in 2021, primarily driven by higher front office software and data revenue associated with CRD, partially offset by lower lending related and other fees.

Front office software and data revenue, which includes primarily revenue from CRD, Alpha Data Platform and Alpha Data Services, ~~decreased 15%~~increased 9% in the three months ended ~~June~~September 30, 2022, compared to the same period in 2021, primarily driven by ~~lower on-premises renewals and the absence of episodic fees, partially offset by~~ higher software-enabled ~~revenues.~~revenue related to new client implementations and continued SaaS client conversions. Front office software and data revenue increased 8%9% in the ~~six~~nine months ended ~~June~~September 30, 2022, compared to

the same period in 2021, primarily driven by higher software-enabled and professional services revenue, partially offset by lower on-premises ~~renewals and absence of~~ ~~episodic fees.~~ renewals. Revenue ~~related~~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 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, which decreased ~~by 2%~~11% and 5% in ~~both~~ the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to the same periods in 2021, primarily consists of fee revenue associated with our fund finance, leverage loans, municipal finance, insurance and stable value wrap businesses.

~~Other Fee Revenue~~Provision for Credit Losses

~~Other fee revenue includes market-related adjustments~~•We recorded no provision for credit losses in the third quarter of 2022, compared to a $2 million reserve release in the same period in 2021, as a downward shift in management's economic outlook was offset by a reduction in loan portfolio risk.

Expenses

•Total expenses were flat in the third quarter of 2022, compared to the same period in 2021, as continued productivity and ~~income associated with certain tax-advantaged~~optimization savings were offset by continued business investments and ~~other equity method investments.~~higher wages, marketing and travel costs. Currency translation reduced expenses by 4% in the third quarter of 2022, relative to the same period in 2021.

Notable items

~~Other fee revenue~~•The impact of notable items in the third quarter of 2022 includes acquisition and restructuring costs of approximately $13 million related to our proposed acquisition of the BBH Investor Services business, which is subject to regulatory review and other closing conditions.

•The impact of notable items in the third quarter of 2021 includes acquisition and restructuring costs of approximately $18 million, of which $11 million related to CRD and $7 million related to our proposed acquisition of the BBH Investor Services business.

State Street Corporation | 9

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

AUC/A and AUM

•AUC/A of $35.69 trillion decreased ~~$53 million~~18% as of September 30, 2022, compared to September 30, 2021, primarily due to lower market levels, a previously disclosed client transition and ~~$40~~the impact of currency translation, partially offset by new business installations. In the third quarter of 2022, newly announced asset servicing mandates totaled approximately $233 billion. Servicing assets remaining to be installed in future periods totaled approximately $3.41 trillion as of September 30, 2022.

•AUM of $3.27 trillion decreased 15% as of September 30, 2022, compared to September 30, 2021, primarily due to lower market levels, institutional net outflows and the impact of currency translation, partially offset by net inflows from our ETFs and cash.

Capital

•We declared common stock dividends of $0.63 per share, totaling $232 million in the third quarter of 2022, compared to $0.57 per share, totaling $209 million in the same period in 2021.

•In July 2021, our Board authorized a share repurchase program for the repurchase of up to $3.0 billion of our common stock through the end of 2022; however, in connection with our proposed acquisition of the BBH Investor Services business, we did not repurchase any common stock during the last half of 2021, as well as during the first nine months of 2022. We intend to repurchase approximately $1.0 billion of our common stock in the fourth quarter of 2022 under the existing share repurchase program, expiring December 21, 2022.

•Our standardized CET1 capital ratio decreased to 13.2% as of September 30, 2022, compared to 14.3% as of December 31, 2021, primarily reflecting lower AOCI related to AFS securities, largely recognized in the first half of 2022 driven by the significant increase in interest rates across the yield curve and the implementation of the standardized approach for counterparty credit risk (SA-CCR), partially offset by planned RWA reductions and optimizations. However, we anticipate modest RWA increase over the coming quarters as we efficiently deploy capital to our businesses. Our Tier 1 leverage ratio increased to 6.4% as of September 30, 2022 compared to 6.1% as of December 31, 2021, primarily driven by lower consolidated average assets, partially offset by lower

AOCI. During 2022, we completed a number of actions to mitigate additional AOCI risk in the current environment including a $21.23 billion transfer of securities from AFS to HTM. Given the current global economic environment, we currently expect to operate with CET1 and Tier 1 leverage capital ratios within our target ranges of 10-11% and 5.25-5.75%, respectively.

Debt Issuances and Redemptions

•On August 4, 2022, we issued $750 million aggregate principal amount of 4.164% fixed-to-floating rate senior notes due 2033.

CONSOLIDATED RESULTS OF OPERATIONS

This section discusses our consolidated results of operations for the three and ~~six~~nine months ended ~~June~~September 30, 2022, ~~respectively,~~ compared to the same periods in 2021, ~~primarily driven by market-related adjustments which negatively impacted other fee revenue by approximately $39 million~~ and ~~$54 million~~should be read in conjunction with the ~~three~~consolidated financial statements and ~~six months ended June 30, 2022, respectively, compared~~accompanying notes to the ~~same periods in 2021.~~

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

State Street Corporation | 1910

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

~~Net Interest Income~~

~~See Table 2:~~ Total Revenue ~~for the breakout of interest income and interest expense for the three and six months ended June 30, 2022, compared to the same periods in 2021.~~

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 a FTE basis using the U.S. federal and state statutory income tax rates.

~~NII on an FTE basis~~ ~~increased in the three and six months ended June 30, 2022, compared to the same periods in 2021, primarily due to higher market interest rates and higher loan balances.~~

Investment securities net purchase premium amortization, which is included in interest income, was $66 million and $153 million for the three and six months ended June 30, 2022, compared to $157 million and $326 million in the same periods in 2021, respectively, primarily driven by 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 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 amortizable purchase premium net of discount accretion for the periods indicated:~~

TABLE 13: INVESTMENT SECURITIES NET PREMIUM AMORTIZATION
Three Months Ended June 30,
2022 2021
(Dollars in millions) MBS Non -MBS
Total(1)
MBS Non- MBS Total
Unamortized purchase premiums, net of discounts at period end(2)
$ 586 $ 301 $ 887 $ 895 $ 575 $ 1,470
Net premium amortization(3)
40 26 66 101 56 157


TABLE 2: TOTAL REVENUE
	Three Months Ended September 30,				% Change
(Dollars in millions)	2022		2021
Fee revenue:
Back office services	$	1,126	$	1,289		(13)	%
Middle office services	93		102			(9)
Servicing fees(1)	1,219		1,391			(12)
Management fees	472		526			(10)
Foreign exchange trading services	319		279			14
Securities finance	110		106			4
Front office software and data	127		116			9
Lending related and other fees	57		64			(11)
Software and processing fees(1)	184		180			2
Other fee revenue(1)	(5)		22			nm
Total fee revenue	2,299		2,504			(8)
Net interest income:
Interest income	1,101		487			nm
Interest expense	441		—			nm
Net interest income	660		487			36
Other income:
Gains (losses) related to investment securities, net	—		(1)			nm

Total other income	—		(1)			nm
Total revenue	$	2,959	$	2,990		(1)

	Nine Months Ended September 30,					% Change
(Dollars in millions)	2022		2021
Fee revenue:
Back office services	$	3,599	$	3,845		(6)	%
Middle office services	285		309			(8)
Servicing fees(1)	3,884		4,154			(6)
Management fees	1,482		1,523			(3)
Foreign exchange trading services	1,009		911			11
Securities finance	313		314			—
Front office software and data	391		360			9
Lending related and other fees	182		191			(5)
Software and processing fees(1)	573		551			4
Other fee revenue(1)	(19)		48			nm
Total fee revenue	7,242		7,501			(3)
Net interest income:
Interest income	2,326		1,425			63
Interest expense	573		4			nm
Net interest income	1,753		1,421			23
Other income:
Gains (losses) related to investment securities, net	(2)		(1)			nm
Other income	—		53			nm
Total other income	(2)		52			nm
Total revenue	$	8,993	$	8,974		—

(1) ~~The investment securities portfolio duration is 2.8 years as~~In the first quarter of ~~June 30, 2022.~~2022, we reclassified certain fee revenue in our Consolidated Statement of Operations, primarily moving revenues that are not directly associated with software and processing fees to a new Other fee revenue line item. In addition, we provided a disaggregation of servicing fees into Back office services and Middle office services and of software and processing fees into Front office software and data and Lending related and other fees. Prior periods were revised to reflect these changes.

~~(2)~~nm ~~Excludes any premium or discounts created from the transfer of investment securities at fair value from AFS to HTM during the second quarter of 2022.~~Not meaningful

~~(3)~~ ~~Net of discount accretion on MMLF HTM securities in 2021.~~

State Street Corporation | 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

~~See~~ Fee Revenue

Table ~~14: Average Balances and Interest Rates - Fully Taxable-Equivalent Basis, for~~2: Total Revenue, provides the breakout of ~~NII on a FTE basis~~fee revenue for the three and ~~six~~nine months ended ~~June~~September 30, 2022 and 2021. Servicing and management fees collectively made up approximately 74% of the total fee revenue in both the three and nine months ended September 30, 2022, compared to 77% and 76% in the three and nine months ended September 30, 2021, respectively.

Servicing Fee Revenue

Changes in Market Valuations

Assuming that all other factors remain constant, including client activity, asset flows and pricing, we estimate, using relevant information as of September 30, 2022 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 September 30, 2022, 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 significantly smaller impact on our servicing fee revenues on average and over time.


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 September 30,				Three Months Ended September 30,				As of September 30,
	2022	2021	% Change		2022	2021	% Change		2022	2021	% Change
S&P 500®	3,980	4,422	(10)	%	3,890	4,408	(12)	%	3,586	4,308	(17)	%
MSCI EAFE®	1,848	2,338	(21)		1,813	2,320	(22)		1,661	2,281	(27)
MSCI® Emerging Markets	975	1,295	(25)		955	1,280	(25)		876	1,253	(30)


	Daily Averages of Indices				Month-End Averages of Indices
	Nine Months Ended September 30,				Nine Months Ended September 30,
	2022	2021	% Change		2022	2021	% Change
S&P 500®	4,181	4,162	—	%	4,127	4,156	(1)	%
MSCI EAFE®	2,018	2,283	(12)		1,993	2,263	(12)
MSCI® Emerging Markets	1,071	1,336	(20)		1,060	1,325	(20)


c

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


TABLE 4: QUARTER-END DEBT INDICES(1)
	As of September 30,
	2022	2021	% Change
Barclays Capital U.S. Aggregate Bond Index®	2,011	2,355	(15)	%
Barclays Capital Global Aggregate Bond Index®	427	536	(20)

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

State Street Corporation | 12

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Client Activity and Asset Flows


TABLE 5: INDUSTRY ASSET FLOWS
	Three Months Ended September 30,
(In billions)	2022		2021
North America - (US Domiciled) - Morningstar Direct Market Data(1)(2)(3)
Long-Term Funds(4)	$	(194.0)	$	149.8
Money Market	(24.4)		15.2
Exchange-Traded Fund	109.9		77.1
Total Flows	$	(108.5)	$	242.1

Europe - Morningstar Direct Market Data(1)(2)(5)
Long-Term Funds(4)	$	(88.7)	$	192.1
Money Market	11.5		(4.3)
Exchange-Traded Fund	(2.9)		36.8


Total Flows	$	(80.1)	$	224.6

(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 entire industry.

(3) The third quarter of 2022 data for North America (U.S. domiciled) includes Morningstar direct actuals for July and August 2022 and Morningstar direct estimates for September 2022.

(5) The third quarter of 2022 data for Europe is on a rolling three month basis for June 2022 through August 2022, sourced by Morningstar.

Net New Business

Gross new investment servicing mandates were $233 billion in the third quarter of 2022 and $1.8 trillion per year on average over the past five years. Over the five years ended December 31, 2021, gross new annual investment servicing mandates ranged from $750 billion to $3.5 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 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. 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 $3.41 trillion that are yet to be installed as of September 30, 2022, we expect the conversion will occur over the coming 36 months.

State Street Corporation | 13

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Pricing

Servicing fees, as presented in Table 2: Total Revenue, decreased 12% and 6% in the three and nine months ended September 30, 2022, respectively, compared to the same periods in 2021, primarily due to lower average market levels, lower client activity and adjustments and normal pricing headwinds, partially offset by net new business. Currency translation decreased servicing fee revenue by 3% in both the three and nine months ended September 30, 2022, relative to the same periods in 2021.

TABLE 14: AVERAGE BALANCES AND INTEREST RATES - FULLY TAXABLE-EQUIVALENT BASIS(1)
Three Months Ended June 30,
2022 2021
(Dollars in millions; fully taxable-equivalent basis) Average
Balance Interest
Revenue/Expense Rate Average
Balance Interest
Revenue/Expense Rate
Interest-bearing deposits with banks (2)
$ 76,531 $ 70 .36 % $ 99,438 $ (4) (.02) %
Securities purchased under resale agreements(3)
2,022 38 7.47 3,958 3 .28
Trading account assets 746 — .01 729 — —
Investment securities:
Investment securities available-for-sale 54,767 124 .91 66,225 145 .88
Investment securities held-to-maturity 59,162 230 1.55 45,243 166 1.47
Investment securities held-to-maturity purchased under money market liquidity facility — — — 13 — 1.28
Total investment securities 113,929 354 1.24 111,481 311 1.12
Loans 35,826 200 2.23 29,471 157 2.14
Other interest-earning assets 22,199 45 .83 20,939 3 .07
Average total interest-earning assets $ 251,253 $ 707 1.13 $ 266,016 $ 470 .71
Interest-bearing deposits:
U.S. $ 97,273 $ 63 .26 % $ 110,269 $ 1 — %
Non-U.S.(2)(4)
80,055 (40) (.20) 83,248 (66) (.32)
Total interest-bearing deposits(4)(5)
177,328 23 .05 193,517 (65) (.14)
Securities sold under repurchase agreements 4,486 3 .26 477 — (.02)
Short-term borrowings under money market liquidity facility — — — 13 — 1.25
Other short-term borrowings 680 1 .73 893 1 .27
Long-term debt 13,702 72 2.12 13,461 54 1.60
Other interest-bearing liabilities 2,518 21 3.31 5,682 10 .80
Average total interest-bearing liabilities $ 198,714 $ 120 .24 $ 214,043 $ — —
Interest rate spread .89 % .71 %
Net interest income, fully taxable-equivalent basis $ 587 $ 470
Net interest margin, fully taxable-equivalent basis .94 % .71 %
Tax-equivalent adjustment (3) (3)
Net interest income, GAAP-basis $ 584 $ 467
Six Months Ended June 30,
2022 2021
(Dollars in millions; fully taxable-equivalent basis) Average
Balance Interest
Revenue/Expense Rate Average
Balance Interest
Revenue/Expense Rate
Interest-bearing deposits with banks(2)
$ 76,635 $ 79 .21 % $ 97,348 $ (13) (.03) %
Securities purchased under resale agreements(3)
2,583 48 3.74 4,261 13 .60
Trading account assets 754 — .01 764 — —
Investment securities:
Investment securities available-for-sale 64,940 281 .87 62,728 285 .91
Investment securities held-to-maturity 51,653 401 1.55 46,294 349 1.51
Investment securities held-to-maturity purchased under money market liquidity facility — — — 634 4 1.35
Total investment securities 116,593 682 1.17 109,656 638 1.17
Loans 35,120 372 2.13 28,752 299 2.10
Other interest-earning assets 22,979 50 .44 19,625 8 .09
Average total interest-earning assets $ 254,664 $ 1,231 .97 $ 260,406 $ 945 .73
Interest-bearing deposits:
U.S. $ 98,665 $ 67 .14 % $ 105,647 $ 4 .01 %
Non-U.S.(2)(4)
81,796 (107) (.26) 80,854 (138) (.34)
Total interest-bearing deposits(4)(5)
180,461 (40) (.04) 186,501 (134) (.15)
Securities sold under repurchase agreements 3,389 3 .17 745 — .02
Short-term borrowings under money market liquidity facility — — — 635 4 1.21
Other short-term borrowings 776 1 .32 829 1 .21
Long-term debt 13,982 137 1.97 13,639 114 1.67
Other interest-bearing liabilities 2,698 31 2.34 5,268 19 .77
Average total interest-bearing liabilities $ 201,306 $ 132 .13 $ 207,617 $ 4 —
Interest rate spread .84 % .73 %
Net interest income, fully taxable-equivalent basis $ 1,099 $ 941
Net interest margin, fully taxable-equivalent basis .87 % .73 %
Tax-equivalent adjustment (6) (7)
Net interest income, GAAP-basis $ 1,093 $ 934
Servicing fees generated outside the U.S. were approximately 45% and 46% of total servicing fees in the three and nine months ended September 30, 2022, respectively, compared to approximately 48% in both the three and nine months ended September 30, 2021.


TABLE 6: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY PRODUCT(1)
(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Collective funds, including ETFs	$	11,649	$	15,722	$	15,159
Mutual funds	9,289		11,575		11,505
Pension products	7,669		8,443		8,497
Insurance and other products	7,081		7,938		8,176
Total	$	35,688	$	43,678	$	43,337


TABLE 7: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY ASSET CLASS(1)
(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Equities	$	19,889	$	25,974	$	25,350
Fixed-income	10,150		12,587		12,808
Short-term and other investments	5,649		5,117		5,179
Total	$	35,688	$	43,678	$	43,337


TABLE 8: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY GEOGRAPHY(1)(2)
(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Americas	$	26,051	$	32,427	$	31,934
Europe/Middle East/Africa	6,990		8,599		8,748
Asia/Pacific	2,647		2,652		2,655
Total	$	35,688	$	43,678	$	43,337

(1) ~~Rates earned/paid~~Consistent with past practice, AUC/A values for certain asset classes are based on ~~interest-earning~~a lag, typically one-month.

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

State Street Corporation | 14

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Asset servicing mandates newly announced in the third quarter of 2022 totaled approximately $233 billion. Servicing assets remaining to be installed in future periods totaled approximately $3.41 trillion as of September 30, 2022, which will be reflected in AUC/A in future periods after installation and ~~interest-bearing liabilities~~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 ~~hedge activities~~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.

this client after this transition and ~~liability~~for the client to continue to be meaningful to our business. The transition began in 2022, but will principally occur in 2023 and 2024. For the year ended December 31, 2021, the fee revenue associated with the transitioning assets represented approximately 1.9% of our total 2021 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

~~(2)~~ ~~Negative~~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, including performance fee arrangements, as well as our relationship pricing for clients. From the ~~interest~~second half of 2020 through the first quarter of 2022, we were in a prolonged low-interest rate environment, ~~outside~~and waived certain fees for our clients for money market products. Following the Federal Reserve rate hikes in March and September 2022, money market fee waivers did not have a significant impact on our management fee revenue in the second and third quarters of 2022, and we do not expect them to materially impact the fourth quarter of 2022.

State Street Corporation | 15

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

In light of the ~~U.S. where central bank rates are below zero for several major currencies.~~

~~(3)~~ ~~Reflects~~above, we estimate, using relevant information as of September 30, 2022, and assuming that all other factors remain constant, including the impact of ~~balance sheet netting under enforceable netting agreements~~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 management fees are calculated, would result in a corresponding change in our total management fee revenues, on average and over multiple quarters, of approximately ~~$71.10 billion~~5%; and ~~$126.12 billion~~

Management fees decreased 10% and 3% in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to ~~$61.59 billion~~same periods in 2021, primarily due to lower average equity and ~~$74.41 billion for~~fixed income market levels, a previously reported client-specific pricing adjustment and institutional net outflows, partially offset by the absence of the impact of money market fee waivers and net inflows from cash and ETFs. Currency translation decreased management fees by 3% and 2% in the three and nine months ended September 30, 2022, respectively, relative to the same periods in ~~2021, respectively. Excluding~~2021.

Management fees generated outside the ~~impact~~U.S. were approximately 25% and 26% of ~~netting, the average interest rates would be approximately 0.21% and 0.07%~~total management fees in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to ~~0.02% and 0.03%~~approximately 26% in ~~the same periods in 2021, respectively.~~

~~(4)~~ ~~Average rate includes the impact of FX swap costs of approximately ($3) million and ($16) million for~~both the three and ~~six~~nine months ended ~~June~~September 30, ~~2022, respectively, compared to ($16) million~~2021.


TABLE 9: ASSETS UNDER MANAGEMENT BY ASSET CLASS AND INVESTMENT APPROACH
(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Equity:
Active	$	53	$	80	$	79
Passive	1,890		2,594		2,361
Total equity	1,943		2,674		2,440
Fixed-income:
Active	79		103		101
Passive	439		520		509
Total fixed-income	518		623		610
Cash(1)	410		368		367
Multi-asset-class solutions:
Active	25		34		35
Passive	167		188		174
Total multi-asset-class solutions	192		222		209
Alternative investments(2):
Active	35		56		58
Passive	167		195		178
Total alternative investments	202		251		236
Total	$	3,265	$	4,138	$	3,862

(1) Includes both floating- and ~~($37) million~~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 ~~same periods in 2021, respectively. Average rates for total interest-bearing deposits excluding~~SPDR® Gold Shares and SPDR®GoldMiniSharesSM Trust, but act as the ~~impact~~marketing agent.


TABLE 10: EXCHANGE-TRADED FUNDS BY ASSET CLASS(1)
(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Alternative Investments(2)	$	63	$	72	$	69

Equity	734		970		849
Multi Asset	1		1		1
Fixed-Income	121		135		131
Total Exchange-Traded Funds	$	919	$	1,178	$	1,050

(1) ETFs are a component of ~~FX swap costs were 0.06% and (0.03)%~~AUM presented in the ~~three and six months ended June 30, 2022, respectively, compared to (0.10)% in both the same periods in 2021.~~preceding table.

~~(5)~~(2) Includes real estate investment trusts, currency and commodities, including SPDR® Gold Shares and SPDR® ~~Total deposits averaged $228.42 billion~~Gold MiniSharesSM Trust. We are not the investment manager for the SPDR® Gold Shares and ~~$230.83 billion in~~SPDR®Gold MiniSharesSM Trust, but act as the ~~three and six months ended June 30, 2022, respectively, compared to $242.31 billion and $234.32 billion in the same periods in 2021, respectively.~~marketing agent.

State Street Corporation | 2116

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS


TABLE 11: GEOGRAPHIC MIX OF ASSETS UNDER MANAGEMENT(1)
(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
North America	$	2,396	$	2,931	$	2,732
Europe/Middle East/Africa	474		592		558
Asia/Pacific	395		615		572
Total	$	3,265	$	4,138	$	3,862

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


TABLE 12: ACTIVITY IN ASSETS UNDER MANAGEMENT BY PRODUCT CATEGORY
(In billions)	Equity(1)		Fixed-Income(1)		Cash(1)(2)		Multi-Asset-Class Solutions(1)		Alternative Investments(1)(3)		Total
Balance as of December 31, 2020	$	2,171	$	549	$	349	$	186	$	212	$	3,467
Long-term institutional flows, net(4)	(35)		26		(1)		1		1		(8)
Exchange-traded fund flows, net	21		9		—		—		(7)		23
Cash fund flows, net	—		—		24		—		—		24
Total flows, net	(14)		35		23		1		(6)		39
Market appreciation (depreciation)	148		(24)		—		3		(11)		116
Foreign exchange impact	(23)		(6)		—		(1)		(1)		(31)
Total market/foreign exchange impact	125		(30)		—		2		(12)		85
Balance as of March 31, 2021	2,282		554		372		189		194		3,591
Long-term institutional flows, net(4)	13		37		—		7		(2)		55
Exchange-traded fund flows, net	15		5		—		—		1		21
Cash fund flows, net	—		—		7		—		—		7
Total flows, net	28		42		7		7		(1)		83
Market appreciation (depreciation)	152		14		2		11		45		224
Foreign exchange impact	(1)		—		—		—		—		(1)
Total market/foreign exchange impact	151		14		2		11		45		223
Balance as of June 30, 2021	$	2,461	$	610	$	381	$	207	$	238	$	3,897
Long-term institutional flows, net(4)	(10)		—		—		4		—		(6)
Exchange-traded fund flows, net	12		4		—		—		(3)		13
Cash fund flows, net	—		—		(12)		—		—		(12)
Total flows, net	2		4		(12)		4		(3)		(5)
Market appreciation (depreciation)	(13)		(1)		(1)		(1)		4		(12)
Foreign exchange impact	(10)		(3)		(1)		(1)		(3)		(18)
Total market/foreign exchange impact	(23)		(4)		(2)		(2)		1		(30)
Balance as of September 30, 2021	$	2,440	$	610	$	367	$	209	$	236	$	3,862

Balance as of December 31, 2021	$	2,674	$	623	$	368	$	222	$	251	$	4,138
Long-term institutional flows, net(4)	(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
Long-term institutional flows, net(4)	(52)		(10)		(3)		2		(6)		(69)
Exchange-traded fund flows, net	(12)		5		—		—		(1)		(8)
Cash fund flows, net	—		—		15		—		—		15
Total flows, net	(64)		(5)		12		2		(7)		(62)
Market appreciation (depreciation)	(337)		(33)		—		(26)		(21)		(417)
Foreign exchange impact	(43)		(13)		(2)		(3)		(7)		(68)
Total market/foreign exchange impact	(380)		(46)		(2)		(29)		(28)		(485)
Balance as of June 30, 2022	$	2,086	$	550	$	403	$	202	$	234	$	3,475
Long-term institutional flows, net(4)	(2)		6		—		3		(7)		—
Exchange-traded fund flows, net	(9)		2		—		—		(7)		(14)
Cash fund flows, net	—		—		5		—		—		5
Total flows, net	(11)		8		5		3		(14)		(9)
Market appreciation (depreciation)	(104)		(32)		4		(11)		(12)		(155)
Foreign exchange impact	(28)		(8)		(2)		(2)		(6)		(46)
Total market/foreign exchange impact	(132)		(40)		2		(13)		(18)		(201)
Balance as of September 30, 2022	$	1,943	$	518	$	410	$	192	$	202	$	3,265

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

(3) 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®GoldMiniSharesSM Trust, but act as the marketing agent.

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

State Street Corporation | 17

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

~~Changes~~Foreign Exchange Trading Services

Foreign exchange trading services revenue, as presented in Table 2: Total Revenue, increased 14% and 11% 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 within this Form 10-Q.

~~Average total interest-earning assets were $251.25 billion and $254.66 billion in the~~ three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to ~~$266.02 billion~~the same periods in 2021, primarily due to higher FX spreads, partially offset by lower client FX volumes. Foreign exchange trading services revenue comprises revenue generated by FX trading and ~~$260.41 billion~~revenue generated by brokerage and other trading services, which made up 65% and 35%, respectively, of foreign exchange trading services revenue in the third quarter of 2022, compared to 66% and 34%, respectively, in the same period in 2021. The impact of gross money market fund fee waivers on foreign exchange trading services was $1 million and $12 million in the three and nine months ended September 30, 2022, respectively, compared to $15 million and $38 million in the same periods in 2021, respectively. This represents a reduction in revenue on the Fund Connect platform due to the impact of fee waivers by participating money market funds, including State Street Global Advisors funds.

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

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 ~~both periods are primarily due~~volumes or bid-offer spreads across product mix tend to ~~lower client deposit balances.~~result in increases or decreases, as the case may be, in client-related FX revenue.

~~Interest-bearing deposits~~Our clients that utilize indirect FX trading can, in addition to executing their FX transactions through dealers not affiliated with ~~banks averaged $76.53 billion and $76.64 billion in the~~ ~~three and six months ended June 30, 2022~~, respectively, compared to $99.44 billion and $97.35 billion in the same periods in 2021, respectively. These deposits primarily reflect our maintenance of cash balances at the Federal Reserve, the European Central Bank (ECB) and other non-U.S. central banks. The lower levels of average cash balances reflect lower client deposit balances and a mix shift into securities and loans.

~~Securities repurchased under resale agreements averaged $2.02 billion and $2.58 billion in~~ ~~the three and six months ended June 30, 2022, re~~spectively, compared to $3.96 billion and $4.26 billion in the same periods in 2021, respectively. We maintain an agreement with Fixed Income Clearing Corporation (FICC), a clearing organization that enables us, to net securities sold under repurchase agreements against those repurchased 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 increased to $71.10 billion and $126.12 billion in the three and six months ended June 30, 2022, respectively, compared to $61.59 billion and $74.41 billion in the same periods in 2021, respectively, primarily driven by an increase in FICC repo volumes.

We have been a sponsoring member within FICC since 2005 and continue to expand our client base as program eligibility parameters broaden. 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 interesttransition from ~~our sponsored clients in the high quality securities collateral that they~~indirect

~~receive,~~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 ~~is designed~~we continue to ~~mitigate~~act as a principal market-maker, enables our ~~potential exposure~~clients to ~~FICC.~~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.

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

~~Average investment securities were $113.93 billion and $116.59 billion in the three and six months ended June 30, 2022, respectively, compared~~•Electronic FX services: Our clients may choose to ~~$111.48 billion and $109.66 billion in~~ ~~the same periods in 2021, respectively. The increases in both periods reflect higher U.S. Treasuries and agencies, MBS and CMBS balances, which was primarily driven by~~execute FX transactions through one of our electronic trading platforms. These transactions generate revenue through a ~~mix shift from interest-bearing deposits with banks.~~“click” fee.

~~Loans average~~•~~d $35.83 billion~~Other trading, transition management and ~~$35.12 billion~~ inbrokerage 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 three and six months ended June 30, 2022, respectively, compared to $29.47 billion and $28.75 billion in the same periods in 2021, respectively. Average core loans, which exclude overdrafts and highlight our efforts to grow our lending portfolio over the prior year, averaged ~~$29.28 billion and $29.06 billion~~ ~~in the three and six months ended June 30, 2022, respectively, compared to $25.49 billion and $24.65 billion in the same periods in 2021, respectively.~~ ~~The increases in both periods are primarily due to growth in CLOs in loan form and fund finance loans. Additional information about~~management of these ~~loans is provided in Note 4 to the consolidated financial statements in this Form 10-Q.~~portfolios.

~~Average other interest-earning assets, largely associated~~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

Our securities finance business consists of three components:

(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, increased~~business.

Securities finance revenue earned from our agency lending activities, which is composed of our split of both the spreads related to ~~$22.20 billion and $22.98 billion in the three and six months ended June 30, 2022, respectively, from $20.94 billion and $19.63 billion in the same periods in 2021, respectively, primarily driven by an increase in the level of~~ cash collateral ~~posted. Enhanced custody~~and the fees related to non-cash collateral, is ~~our~~principally a function of the volume of securities ~~financing business where we act as principal with respect to our custody clients~~on loan, the interest rate spreads and ~~generate securities finance revenue. The NII~~fees earned on ~~these transactions is generally lower than the interest earned on other alternative investments.~~

Aggregate average total interest-bearing deposits decreased to $177.33 billion and $180.46 billion in the three and six months ended June 30, 2022, respectively, from $193.52 billion and $186.50 billion in the same periods in 2021, respectively. While average U.S. deposits decreased in both periods, they remain significantly higher than pre-pandemic levels and have not yet been significantly impacted by rising interest rates. Future deposit levels will be influenced by the underlying ~~asset servicing business, client deposit behavior~~collateral and ~~market conditions, including the size~~our share of the ~~Federal Reserve balance sheet and the general levels of U.S. and non-U.S. interest rates.~~

~~Average other short-term borrowings decreased to $0.68 billion and $0.78 billion in the~~ ~~three and six months ended June 30, 2022, respectively, from~~fee split.

State Street Corporation | 2218

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

~~$0.89 billion~~As principal, our enhanced custody business borrows securities from the lending client or other market participants and ~~$0.83 billion~~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.

Securities finance revenue, as presented in Table 2: Total Revenue, increased 4% in the three months ended September 30, 2022, compared to the same period in 2021, primarily driven by higher spreads, partially offset by lower agency and enhanced custody balances. Securities finance revenue, as presented in Table 2: Total Revenue, was flat in the nine months ended September 30, 2022, compared to the same period in 2021, as higher spreads were offset by lower agency and enhanced custody balances.

Software and Processing Fees

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.

Software and processing fees revenue, presented in Table 2: Total Revenue, increased 2% in the three months ended September 30, 2022, compared to the same period in 2021, primarily driven by higher front office software and data revenue associated with CRD, partially offset by lower lending related and other fees. Software and processing fees revenue increased 4% in the nine months ended September 30, 2022, compared to the same period in 2021, primarily driven by higher front office software and data revenue associated with CRD, partially offset by lower lending related and other fees.

Front office software and data revenue, which includes primarily revenue from CRD, Alpha Data Platform and Alpha Data Services, increased 9% in the three months ended September 30, 2022, compared to the same period in 2021, primarily driven by higher software-enabled revenue related to new client implementations and continued SaaS client conversions. Front office software and data revenue increased 9% in the nine months ended September 30, 2022, compared to the same period in 2021, primarily driven by higher software-enabled and professional services revenue, partially offset by lower on-premises renewals. 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 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, which decreased 11% and 5% in the three and nine months ended September 30, 2022, respectively, compared to the same periods in 2021, ~~respectively.~~

Average long-term debt was $13.70 billion and $13.98 billion in the three and six months ended June 30, 2022, respectively, compared to $13.46 billion and $13.64 billion in the same periods in 2021, respectively. These amounts reflect issuances, redemptions and maturitiesprimarily consists of ~~senior debt during the respective periods.~~

~~Average other interest-bearing liabilities were $2.52 billion and $2.70 billion~~ ~~in the three and six months ended June 30, 2022, respectively, compared to $5.68 billion and $5.27 billion in the same periods in 2021, respectively. Other interest-bearing liabilities primarily reflect our level of cash collateral received from clients in connection~~fee revenue associated with our ~~enhanced custody business, which is presented on a net basis where we have enforceable netting agreements.~~

~~Several factors could affect future levels of NII~~fund finance, leverage loans, municipal finance, insurance 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.stable value wrap businesses.

Provision for Credit Losses

•We recorded no provision for credit losses in the third quarter of 2022, compared to a $2 million reserve release in the same period in 2021, as a downward shift in management's economic outlook was offset by a reduction in loan portfolio risk.

Expenses

•Total expenses were flat in the third quarter of 2022, compared to the same period in 2021, as continued productivity and optimization savings were offset by continued business investments and higher wages, marketing and travel costs. Currency translation reduced expenses by 4% in the third quarter of 2022, relative to the same period in 2021.

Notable items

•The impact of notable items in the third quarter of 2022 includes acquisition and restructuring costs of approximately $13 million related to our proposed acquisition of the BBH Investor Services business, which is subject to regulatory review and other closing conditions.

State Street Corporation | 9

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

AUC/A and AUM

•AUC/A of $35.69 trillion decreased 18% as of September 30, 2022, compared to September 30, 2021, primarily due to lower market levels, a previously disclosed client transition and the impact of currency translation, partially offset by new business installations. In the third quarter of 2022, newly announced asset servicing mandates totaled approximately $233 billion. Servicing assets remaining to be installed in future periods totaled approximately $3.41 trillion as of September 30, 2022.

Capital

•We declared common stock dividends of $0.63 per share, totaling $232 million in the third quarter of 2022, compared to $0.57 per share, totaling $209 million in the same period in 2021.

Debt Issuances and Redemptions

•On August 4, 2022, we issued $750 million aggregate principal amount of 4.164% fixed-to-floating rate senior notes due 2033.

CONSOLIDATED RESULTS OF OPERATIONS

This section discusses our consolidated results of operations for the three and nine months ended September 30, 2022, compared to the same periods in 2021, and should be read in conjunction with the consolidated financial statements and accompanying notes to the consolidated financial statements in this Form 10-Q.

State Street Corporation | 10

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Total Revenue


TABLE 2: TOTAL REVENUE
	Three Months Ended September 30,				% Change
(Dollars in millions)	2022		2021
Fee revenue:
Back office services	$	1,126	$	1,289		(13)	%
Middle office services	93		102			(9)
Servicing fees(1)	1,219		1,391			(12)
Management fees	472		526			(10)
Foreign exchange trading services	319		279			14
Securities finance	110		106			4
Front office software and data	127		116			9
Lending related and other fees	57		64			(11)
Software and processing fees(1)	184		180			2
Other fee revenue(1)	(5)		22			nm
Total fee revenue	2,299		2,504			(8)
Net interest income:
Interest income	1,101		487			nm
Interest expense	441		—			nm
Net interest income	660		487			36
Other income:
Gains (losses) related to investment securities, net	—		(1)			nm

Total other income	—		(1)			nm
Total revenue	$	2,959	$	2,990		(1)

	Nine Months Ended September 30,					% Change
(Dollars in millions)	2022		2021
Fee revenue:
Back office services	$	3,599	$	3,845		(6)	%
Middle office services	285		309			(8)
Servicing fees(1)	3,884		4,154			(6)
Management fees	1,482		1,523			(3)
Foreign exchange trading services	1,009		911			11
Securities finance	313		314			—
Front office software and data	391		360			9
Lending related and other fees	182		191			(5)
Software and processing fees(1)	573		551			4
Other fee revenue(1)	(19)		48			nm
Total fee revenue	7,242		7,501			(3)
Net interest income:
Interest income	2,326		1,425			63
Interest expense	573		4			nm
Net interest income	1,753		1,421			23
Other income:
Gains (losses) related to investment securities, net	(2)		(1)			nm
Other income	—		53			nm
Total other income	(2)		52			nm
Total revenue	$	8,993	$	8,974		—

nmNot meaningful

State Street Corporation | 11

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Fee Revenue

Table 2: Total Revenue, provides the breakout of fee revenue for the three and nine months ended September 30, 2022 and 2021. Servicing and management fees collectively made up approximately 74% of the total fee revenue in both the three and nine months ended September 30, 2022, compared to 77% and 76% in the three and nine months ended September 30, 2021, respectively.

Servicing Fee Revenue

Changes in Market Valuations


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 September 30,				Three Months Ended September 30,				As of September 30,
	2022	2021	% Change		2022	2021	% Change		2022	2021	% Change
S&P 500®	3,980	4,422	(10)	%	3,890	4,408	(12)	%	3,586	4,308	(17)	%
MSCI EAFE®	1,848	2,338	(21)		1,813	2,320	(22)		1,661	2,281	(27)
MSCI® Emerging Markets	975	1,295	(25)		955	1,280	(25)		876	1,253	(30)


	Daily Averages of Indices				Month-End Averages of Indices
	Nine Months Ended September 30,				Nine Months Ended September 30,
	2022	2021	% Change		2022	2021	% Change
S&P 500®	4,181	4,162	—	%	4,127	4,156	(1)	%
MSCI EAFE®	2,018	2,283	(12)		1,993	2,263	(12)
MSCI® Emerging Markets	1,071	1,336	(20)		1,060	1,325	(20)


c

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


TABLE 4: QUARTER-END DEBT INDICES(1)
	As of September 30,
	2022	2021	% Change
Barclays Capital U.S. Aggregate Bond Index®	2,011	2,355	(15)	%
Barclays Capital Global Aggregate Bond Index®	427	536	(20)

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

State Street Corporation | 12

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Client Activity and Asset Flows


TABLE 5: INDUSTRY ASSET FLOWS
	Three Months Ended September 30,
(In billions)	2022		2021
North America - (US Domiciled) - Morningstar Direct Market Data(1)(2)(3)
Long-Term Funds(4)	$	(194.0)	$	149.8
Money Market	(24.4)		15.2
Exchange-Traded Fund	109.9		77.1
Total Flows	$	(108.5)	$	242.1

Europe - Morningstar Direct Market Data(1)(2)(5)
Long-Term Funds(4)	$	(88.7)	$	192.1
Money Market	11.5		(4.3)
Exchange-Traded Fund	(2.9)		36.8


Total Flows	$	(80.1)	$	224.6

(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 entire industry.

(3) The third quarter of 2022 data for North America (U.S. domiciled) includes Morningstar direct actuals for July and August 2022 and Morningstar direct estimates for September 2022.

(5) The third quarter of 2022 data for Europe is on a rolling three month basis for June 2022 through August 2022, sourced by Morningstar.

Net New Business

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 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. 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 $3.41 trillion that are yet to be installed as of September 30, 2022, we expect the conversion will occur over the coming 36 months.

State Street Corporation | 13

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Pricing

Servicing fees generated outside the U.S. were approximately 45% and 46% of total servicing fees in the three and nine months ended September 30, 2022, respectively, compared to approximately 48% in both the three and nine months ended September 30, 2021.


TABLE 6: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY PRODUCT(1)
(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Collective funds, including ETFs	$	11,649	$	15,722	$	15,159
Mutual funds	9,289		11,575		11,505
Pension products	7,669		8,443		8,497
Insurance and other products	7,081		7,938		8,176
Total	$	35,688	$	43,678	$	43,337


TABLE 7: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY ASSET CLASS(1)
(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Equities	$	19,889	$	25,974	$	25,350
Fixed-income	10,150		12,587		12,808
Short-term and other investments	5,649		5,117		5,179
Total	$	35,688	$	43,678	$	43,337


TABLE 8: ASSETS UNDER CUSTODY AND/OR ADMINISTRATION BY GEOGRAPHY(1)(2)
(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Americas	$	26,051	$	32,427	$	31,934
Europe/Middle East/Africa	6,990		8,599		8,748
Asia/Pacific	2,647		2,652		2,655
Total	$	35,688	$	43,678	$	43,337

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

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

State Street Corporation | 14

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Asset servicing mandates newly announced in the third quarter of 2022 totaled approximately $233 billion. Servicing assets remaining to be installed in future periods totaled approximately $3.41 trillion as of September 30, 2022, 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.

this client after this transition and for the client to continue to be meaningful to our business. The transition began in 2022, but will principally occur in 2023 and 2024. For the year ended December 31, 2021, the fee revenue associated with the transitioning assets represented approximately 1.9% of our total 2021 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 generally are affected by our level of AUM, which we report based on month-end 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, including performance fee arrangements, as well as our relationship pricing for clients. From the second half of 2020 through the first quarter of 2022, we were in a prolonged low-interest rate environment, and waived certain fees for our clients for money market products. Following the Federal Reserve rate hikes in March and September 2022, money market fee waivers did not have a significant impact on our management fee revenue in the second and third quarters of 2022, and we do not expect them to materially impact the fourth quarter of 2022.

State Street Corporation | 15

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, 2022, and assuming that all other factors remain constant, including the impact of business won and lost and client flows, that:

Management fees decreased 10% and 3% in the three and nine months ended September 30, 2022, respectively, compared to same periods in 2021, primarily due to lower average equity and fixed income market levels, a previously reported client-specific pricing adjustment and institutional net outflows, partially offset by the absence of the impact of money market fee waivers and net inflows from cash and ETFs. Currency translation decreased management fees by 3% and 2% in the three and nine months ended September 30, 2022, respectively, relative to the same periods in 2021.

Management fees generated outside the U.S. were approximately 25% and 26% of total management fees in the three and nine months ended September 30, 2022, respectively, compared to approximately 26% in both the three and nine months ended September 30, 2021.


TABLE 9: ASSETS UNDER MANAGEMENT BY ASSET CLASS AND INVESTMENT APPROACH
(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Equity:
Active	$	53	$	80	$	79
Passive	1,890		2,594		2,361
Total equity	1,943		2,674		2,440
Fixed-income:
Active	79		103		101
Passive	439		520		509
Total fixed-income	518		623		610
Cash(1)	410		368		367
Multi-asset-class solutions:
Active	25		34		35
Passive	167		188		174
Total multi-asset-class solutions	192		222		209
Alternative investments(2):
Active	35		56		58
Passive	167		195		178
Total alternative investments	202		251		236
Total	$	3,265	$	4,138	$	3,862

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


TABLE 10: EXCHANGE-TRADED FUNDS BY ASSET CLASS(1)
(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
Alternative Investments(2)	$	63	$	72	$	69

Equity	734		970		849
Multi Asset	1		1		1
Fixed-Income	121		135		131
Total Exchange-Traded Funds	$	919	$	1,178	$	1,050

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

State Street Corporation | 16

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS


TABLE 11: GEOGRAPHIC MIX OF ASSETS UNDER MANAGEMENT(1)
(In billions)	September 30, 2022		December 31, 2021		September 30, 2021
North America	$	2,396	$	2,931	$	2,732
Europe/Middle East/Africa	474		592		558
Asia/Pacific	395		615		572
Total	$	3,265	$	4,138	$	3,862

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


TABLE 12: ACTIVITY IN ASSETS UNDER MANAGEMENT BY PRODUCT CATEGORY
(In billions)	Equity(1)		Fixed-Income(1)		Cash(1)(2)		Multi-Asset-Class Solutions(1)		Alternative Investments(1)(3)		Total
Balance as of December 31, 2020	$	2,171	$	549	$	349	$	186	$	212	$	3,467
Long-term institutional flows, net(4)	(35)		26		(1)		1		1		(8)
Exchange-traded fund flows, net	21		9		—		—		(7)		23
Cash fund flows, net	—		—		24		—		—		24
Total flows, net	(14)		35		23		1		(6)		39
Market appreciation (depreciation)	148		(24)		—		3		(11)		116
Foreign exchange impact	(23)		(6)		—		(1)		(1)		(31)
Total market/foreign exchange impact	125		(30)		—		2		(12)		85
Balance as of March 31, 2021	2,282		554		372		189		194		3,591
Long-term institutional flows, net(4)	13		37		—		7		(2)		55
Exchange-traded fund flows, net	15		5		—		—		1		21
Cash fund flows, net	—		—		7		—		—		7
Total flows, net	28		42		7		7		(1)		83
Market appreciation (depreciation)	152		14		2		11		45		224
Foreign exchange impact	(1)		—		—		—		—		(1)
Total market/foreign exchange impact	151		14		2		11		45		223
Balance as of June 30, 2021	$	2,461	$	610	$	381	$	207	$	238	$	3,897
Long-term institutional flows, net(4)	(10)		—		—		4		—		(6)
Exchange-traded fund flows, net	12		4		—		—		(3)		13
Cash fund flows, net	—		—		(12)		—		—		(12)
Total flows, net	2		4		(12)		4		(3)		(5)
Market appreciation (depreciation)	(13)		(1)		(1)		(1)		4		(12)
Foreign exchange impact	(10)		(3)		(1)		(1)		(3)		(18)
Total market/foreign exchange impact	(23)		(4)		(2)		(2)		1		(30)
Balance as of September 30, 2021	$	2,440	$	610	$	367	$	209	$	236	$	3,862

Balance as of December 31, 2021	$	2,674	$	623	$	368	$	222	$	251	$	4,138
Long-term institutional flows, net(4)	(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
Long-term institutional flows, net(4)	(52)		(10)		(3)		2		(6)		(69)
Exchange-traded fund flows, net	(12)		5		—		—		(1)		(8)
Cash fund flows, net	—		—		15		—		—		15
Total flows, net	(64)		(5)		12		2		(7)		(62)
Market appreciation (depreciation)	(337)		(33)		—		(26)		(21)		(417)
Foreign exchange impact	(43)		(13)		(2)		(3)		(7)		(68)
Total market/foreign exchange impact	(380)		(46)		(2)		(29)		(28)		(485)
Balance as of June 30, 2022	$	2,086	$	550	$	403	$	202	$	234	$	3,475
Long-term institutional flows, net(4)	(2)		6		—		3		(7)		—
Exchange-traded fund flows, net	(9)		2		—		—		(7)		(14)
Cash fund flows, net	—		—		5		—		—		5
Total flows, net	(11)		8		5		3		(14)		(9)
Market appreciation (depreciation)	(104)		(32)		4		(11)		(12)		(155)
Foreign exchange impact	(28)		(8)		(2)		(2)		(6)		(46)
Total market/foreign exchange impact	(132)		(40)		2		(13)		(18)		(201)
Balance as of September 30, 2022	$	1,943	$	518	$	410	$	192	$	202	$	3,265

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

(3) 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®GoldMiniSharesSM Trust, but act as the marketing agent.

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

State Street Corporation | 17

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Foreign Exchange Trading Services

Foreign exchange trading services revenue, as presented in Table 2: Total Revenue, increased 14% and 11% in the three and nine months ended September 30, 2022, respectively, compared to the same periods in 2021, primarily due to higher FX spreads, partially offset by lower client FX volumes. Foreign exchange trading services revenue comprises revenue generated by FX trading and revenue generated by brokerage and other trading services, which made up 65% and 35%, respectively, of foreign exchange trading services revenue in the third quarter of 2022, compared to 66% and 34%, respectively, in the same period in 2021. The impact of gross money market fund fee waivers on foreign exchange trading services was $1 million and $12 million in the three and nine months ended September 30, 2022, respectively, compared to $15 million and $38 million in the same periods in 2021, respectively. This represents a reduction in revenue on the Fund Connect platform due to the impact of fee waivers by participating money market funds, including State Street Global Advisors funds.

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

Our clients that utilize indirect FX trading can, in addition to executing their FX transactions through dealers not affiliated with us, transition from indirect

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.

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

Our securities finance business consists of three components:

(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.

State Street Corporation | 18

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Software and Processing Fees

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.

Lending related and other fees, which decreased 11% and 5% in the three and nine months ended September 30, 2022, respectively, compared to the same periods in 2021, 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 decreased $27 million in the three months ended September 30, 2022, compared to the same period in 2021, primarily driven by the absence of fair value adjustments on equity

State Street Corporation | 19

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

investments of $17 million, and market-related adjustments which negatively impacted other fee revenue by $9 million compared to the same period in 2021.

Other fee revenue decreased $67 million in the nine months ended September 30, 2022, compared to the same period in 2021, primarily driven by market-related adjustments which negatively impacted other fee revenue by approximately $64 million compared to the same period in 2021, partially offset by larger fair value adjustments on equity investments of $27 million compared to the same period in 2021.

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 three and nine months ended September 30, 2022, compared to the same periods in 2021.

NII on an FTE basis increased in the three and nine months ended September 30, 2022, compared to the same periods in 2021, primarily due to higher short-term interest rates from U.S. and international central bank rate hikes, partially offset by lower client deposits.

Investment securities net purchase premium amortization, which is included in interest income, was $46 million and $199 million for the three and nine months ended September 30, 2022, respectively, compared to $128 million and $454 million in the same periods in 2021, respectively, primarily driven by lower prepayments from higher long-end interest rates.

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


TABLE 13: INVESTMENT SECURITIES NET PREMIUM AMORTIZATION








	Three Months Ended September 30,
	2022						2021
(Dollars in millions)	MBS		Non -MBS		Total(1)		MBS		Non- MBS		Total
Unamortized purchase premiums, net of discounts at period end	$	554	$	239	$	793	$	768	$	497	$	1,265
Net premium amortization	30		16		46		78		50		128

(1) The investment securities portfolio duration is 2.7 years as of September 30, 2022.

State Street Corporation | 20

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 on a FTE basis for the three and nine months ended September 30, 2022, compared to the same periods in 2021.


TABLE 14: AVERAGE BALANCES AND INTEREST RATES - FULLY TAXABLE-EQUIVALENT BASIS(1)
	Three Months Ended September 30,
	2022						2021
(Dollars in millions; fully taxable-equivalent basis)	Average Balance		Interest Revenue/Expense		Rate		Average Balance		Interest Revenue/Expense		Rate
Interest-bearing deposits with banks (2)	$	68,918	$	202	1.16	%	$	79,375	$	—	—	%
Securities purchased under resale agreements(3)	1,470		57		15.55		4,061		6		.65
Trading account assets	701		—		—		733		—		.02
Investment securities:
Investment securities available-for-sale	43,956		178		1.62		69,621		150		.86
Investment securities held-to-maturity	64,919		271		1.67		44,014		161		1.47
Investment securities held-to-maturity purchased under money market liquidity facility	—		—		—		—		—		—
Total investment securities	108,875		449		1.65		113,635		311		1.10
Loans	35,069		256		2.90		32,035		168		2.08
Other interest-earning assets	20,877		139		2.63		24,662		5		.08
Average total interest-earning assets	$	235,910	$	1,103	1.86		$	254,501	$	490	.76
Interest-bearing deposits:
U.S.	$	94,636	$	260	1.09	%	$	104,575	$	6	.02	%
Non-U.S.(2)(4)	72,202		40		.22		82,230		(68)		(.33)
Total interest-bearing deposits(4)(5)	166,838		300		.71		186,805		(62)		(.13)
Securities sold under repurchase agreements	3,814		2		.23		332		—		—
Short-term borrowings under money market liquidity facility	—		—		—		—		—		—
Other short-term borrowings	430		—		.01		837		—		.17
Long-term debt	13,958		97		2.78		13,021		51		1.59
Other interest-bearing liabilities	2,536		42		6.43		5,461		11		.78
Average total interest-bearing liabilities	$	187,576	$	441	.93		$	206,456	$	—	—
Interest rate spread					.92	%					.76	%
Net interest income, fully taxable-equivalent basis			$	662					$	490
Net interest margin, fully taxable-equivalent basis					1.11	%					.76	%
Tax-equivalent adjustment			(2)						(3)
Net interest income, GAAP-basis			$	660					$	487
	Nine Months Ended September 30,
	2022						2021
(Dollars in millions; fully taxable-equivalent basis)	Average Balance		Interest Revenue/Expense		Rate		Average Balance		Interest Revenue/Expense		Rate
Interest-bearing deposits with banks(2)	$	74,034	$	281	.51	%	$	91,291	$	(13)	(.02)	%
Securities purchased under resale agreements(3)	2,208		105		6.39		4,194		19		.61
Trading account assets	736		—		.01		754		—		.01
Investment securities:
Investment securities available-for-sale	57,868		459		1.06		65,051		435		.89
Investment securities held-to-maturity	56,124		672		1.60		45,526		510		1.49
Investment securities held-to-maturity purchased under money market liquidity facility	—		—		—		420		4		1.35
Total investment securities	113,992		1,131		1.32		110,997		949		1.14
Loans	35,103		628		2.39		29,858		467		2.09
Other interest-earning assets	22,271		189		1.14		21,322		13		.08
Average total interest-earning assets	$	248,344	$	2,334	1.26		$	258,416	$	1,435	.74
Interest-bearing deposits:
U.S.	$	97,307	$	327	.45	%	$	105,286	$	10	.01	%
Non-U.S.(2)(4)	78,563		(67)		(.11)		81,318		(206)		(.34)
Total interest-bearing deposits(4)(5)	175,870		260		.20		186,604		(196)		(.14)
Securities sold under repurchase agreements	3,532		5		.19		606		—		.02
Short-term borrowings under money market liquidity facility	—		—		—		421		4		1.21
Other short-term borrowings	660		1		.25		832		1		.20
Long-term debt	13,974		234		2.24		13,431		165		1.64
Other interest-bearing liabilities	2,643		73		3.66		5,332		30		.77
Average total interest-bearing liabilities	$	196,679	$	573	.39		$	207,226	$	4	—
Interest rate spread					.87	%					.74	%
Net interest income, fully taxable-equivalent basis			$	1,761					$	1,431
Net interest margin, fully taxable-equivalent basis					.95	%					.74	%
Tax-equivalent adjustment			(8)						(10)
Net interest income, GAAP-basis			$	1,753					$	1,421

(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) Negative values reflect the interest rate environment outside of the U.S. where central bank rates are below zero for several major currencies.

(3) Reflects the impact of balance sheet netting under enforceable netting agreements of approximately $72.74 billion and $66.35 billion for the three and nine months ended September 30, 2022, respectively, compared to $52.17 billion and $66.92 billion for the same periods in 2021, respectively. Excluding the impact of netting, the average interest rates would be approximately 0.31% and 0.21% in the three and nine months ended September 30, 2022, respectively, compared to 0.05% and 0.04% in the same periods in 2021, respectively.

(4) Average rate includes the impact of FX swap costs of approximately $16 million and nil for the three and nine months ended September 30, 2022, respectively, compared to ($16) million and ($53) million for the same periods in 2021, respectively. Average rates for total interest-bearing deposits excluding the impact of FX swap costs were 0.71% and 0.20% in the three and nine months ended September 30, 2022, respectively, compared to (0.10)% in both the same periods in 2021.

(5) Total deposits averaged $213.30 billion and $224.92 billion in the three and nine months ended September 30, 2022, respectively, compared to $233.27 billion and $233.96 billion in the same periods in 2021, respectively.

State Street Corporation | 21

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

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 within this Form 10-Q.

Average total interest-earning assets were $235.91 billion and $248.34 billion in the three and nine months ended September 30, 2022, respectively, compared to $254.50 billion and $258.42 billion in the same periods in 2021, respectively. The decreases in both periods are primarily due to lower client deposit balances.

Interest-bearing deposits with banks averaged $68.92 billion and $74.03 billion in the three and nine months ended September 30, 2022, respectively, compared to $79.38 billion and $91.29 billion in the same periods in 2021, respectively. These deposits primarily reflect our maintenance of cash balances at the Federal Reserve, the European Central Bank (ECB) and other non-U.S. central banks. The lower levels of average cash balances reflect lower client deposit balances.

Securities repurchased under resale agreements averaged $1.47 billion and $2.21 billion in the three and nine months ended September 30, 2022, respectively, compared to $4.06 billion and $4.19 billion in the same periods in 2021, respectively. As a member of the Fixed Income Clearing Corporation (FICC), we may net securities sold under repurchase agreements against those repurchased 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 increased to $72.74 billion and $66.35 billion in the three and nine months ended September 30, 2022, respectively, compared to $52.17 billion and $66.92 billion in the same periods in 2021, respectively, 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 State Street’s maximum possible exposure under its membership agreement, since this would require an assessment of future claims that may be made against us that have not yet occurred. At September 30, 2022 and December 31, 2021, we did not record any liabilities under these arrangements.

Average investment securities were $108.88 billion and $113.99 billion in the three and nine months ended September 30, 2022, respectively, compared to $113.64 billion and $111.00 billion in the same periods in 2021, respectively. The decrease in the three months relative to prior year was driven by a reduction in credit-sensitive assets, partially offset by an increase in U.S. Treasuries and agencies, MBS and CMBS balances. The increase in the nine months relative to prior year was driven by growth in U.S. Treasuries, MBS and CMBS balances, partially offset by a reduction in credit-sensitive assets.

Loans averaged $35.07 billion and $35.10 billionin the three and nine months ended September 30, 2022, respectively, compared to $32.04 billion and $29.86 billion in the same periods in 2021, respectively. Average core loans, which exclude overdrafts and highlight our efforts to grow our lending portfolio over the prior year, averaged $29.31 billion and $29.14 billion in the three and nine months ended September 30, 2022, respectively, compared to $28.41 billion and $25.92 billion in the same periods in 2021, respectively. The increases in both periods are primarily due to growth in CLOs in loan form and consumer real estate loans, partially offset by a decline in leveraged loans. 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, averaged $20.88 billion and $22.27 billion in the three and nine months ended September 30, 2022, respectively, compared to $24.66 billion and $21.32 billion in the same periods in 2021, respectively. The change in both periods is primarily driven by the levels of cash collateral posted. Enhanced custody is our securities financing business where we act as principal with respect to our custody clients and generate securities finance revenue. The NII earned on these transactions is generally lower than the interest earned on other alternative investments.

State Street Corporation | 22

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Aggregate average total interest-bearing deposits decreased to $166.84 billion and $175.87 billion in the three and nine months ended September 30, 2022, respectively, from $186.81 billion and $186.60 billion in the same periods in 2021, respectively. While average deposits decreased in both periods, they remain significantly higher than pre-pandemic levels. The decrease is driven by higher market rates and 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 size of the Federal Reserve balance sheet and the general levels of U.S. and non-U.S. interest rates.

Average other short-term borrowings decreased to $0.43 billion and $0.66 billion in the three and nine months ended September 30, 2022, respectively, from $0.84 billion and $0.83 billion in the same periods in 2021, respectively.

Average long-term debt was $13.96 billion and $13.97 billion in the three and nine months ended September 30, 2022, respectively, compared to $13.02 billion and $13.43 billion in the same periods in 2021, respectively. These amounts reflect issuances, redemptions and maturities of senior debt during the respective periods.

Average other interest-bearing liabilities were $2.54 billion and $2.64 billion in the three and nine months ended September 30, 2022, respectively, compared to $5.46 billion and $5.33 billion in the same periods in 2021, respectively. Other interest-bearing liabilities primarily reflect our level of cash collateral received from clients in connection with our enhanced custody business, which is presented on a net basis where we have enforceable netting agreements.

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.

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

We recorded ~~a $10 million~~no provision for credit losses in the ~~second~~third quarter of 2022, ~~reflecting~~as a downward shift in management's economic outlook ~~partially~~was offset by a ~~decrease~~reduction in ~~expected losses related to leveraged loans within our portfolio.~~loan portfolio risk. This compares to a ~~$15~~$2 million reserve release in the ~~second~~third quarter of 2021.

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 three and ~~six~~nine months ended ~~June~~September 30, 2022 compared to the same periods in 2021.


TABLE 15: EXPENSES	TABLE 15: EXPENSES					TABLE 15: EXPENSES
		Three Months Ended June 30,					% Change					Three Months Ended September 30,						% Change
(Dollars in millions)	(Dollars in millions)	2022		2021					(Dollars in millions)	2022				2021			% Change
Compensation and employee benefits	Compensation and employee benefits	$	1,046	$	1,077		(3)	%			Compensation and employee benefits	$	1,042		$	1,054		(1)	%
Information systems and communications	Information systems and communications	392		398			(2)				Information systems and communications	399			406			(2)
Transaction processing services	Transaction processing services	240		263			(9)				Transaction processing services	227			253			(10)
Occupancy	Occupancy	96		100			(4)				Occupancy	97			102			(5)
Amortization of other intangible assets	Amortization of other intangible assets	60		63			(5)				Amortization of other intangible assets	58			62			(6)
Acquisition costs	Acquisition costs	12		11			9				Acquisition costs	13			18			(28)
Restructuring charges, net	Restructuring charges, net	—		—			—				Restructuring charges, net	—			—			—
Other:	Other:										Other:
Professional services	Professional services	84		75			12				Professional services	92			91			1
Other	Other	178		124			44				Other	182			130			40
Total other	Total other	262		199			32				Total other	274			221			24
Total expenses	Total expenses	$	2,108	$	2,111		—				Total expenses	$	2,110		$	2,116		—
Number of employees at quarter-end	Number of employees at quarter-end	40,354		39,146			3				Number of employees at quarter-end	41,354			38,932			6

		Six Months Ended June 30,					% Change					Nine Months Ended September 30,						% Change
(Dollars in millions)	(Dollars in millions)	2022		2021					(Dollars in millions)	2022				2021			% Change
Compensation and employee benefits	Compensation and employee benefits	$	2,278	$	2,319		(2)	%			Compensation and employee benefits	$	3,320		$	3,373		(2)	%
Information systems and communications	Information systems and communications	815		819			—				Information systems and communications	1,214			1,225			(1)
Transaction processing services	Transaction processing services	504		533			(5)				Transaction processing services	731			786			(7)
Occupancy	Occupancy	191		209			(9)				Occupancy	288			311			(7)
Amortization of other intangible assets	Amortization of other intangible assets	121		121			—				Amortization of other intangible assets	179			183			(2)
Acquisition costs	Acquisition costs	21		22			(5)				Acquisition costs	34			40			(15)
Restructuring charges, net	Restructuring charges, net	—		(1)			(100)				Restructuring charges, net	—			(1)			(100)
Other:	Other:										Other:
Professional services	Professional services	181		155			17				Professional services	273			246			11
Other	Other	324		266			22				Other	506			396			28
Total other	Total other	505		421			20				Total other	779			642			21
Total expenses	Total expenses	$	4,435	$	4,443		—				Total expenses	$	6,545		$	6,559		—

Compensation and employee benefits expenses decreased 3%1% in the ~~second quarter of~~three months ended September 30, 2022, compared to the same period in 2021, primarily ~~due to lower incentive compensation and~~driven by the impact of currency translation, partially offset by higher ~~merit increases~~headcount and ~~contractor spend.~~higher merit

State Street Corporation | 23

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

increases. Compensation and employee benefits expenses decreased 2% in the ~~six~~nine months ended ~~June~~September 30, 2022, compared to the same period in 2021, primarily due to lower incentive compensation and the impact of currency translation, partially offset by higher headcount, merit increases, contractor spend and seasonal expenses. Currency translation decreased compensation and employee benefits expenses by 4% and 2%3% in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to the same periods in 2021.

Total headcount increased 3%6% as of ~~June~~September 30, 2022 compared to ~~June~~September 30, 2021, primarily driven by hiring in global hubs and insourcing of strategic technology functions from vendors, partially offset by a reduction in high cost locations.

~~State Street Corporation | 23~~

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

~~AND RESULTS OF OPERATIONS~~

Information systems and communications expenses decreased 2% and 1% in the ~~second quarter of~~three and nine months ended September 30, 2022, respectively, compared to the same ~~period~~periods in 2021, primarily due to ~~episodic credits related to~~productivity and vendor ~~pricing optimization~~savings initiatives, partially offset by technology and infrastructure ~~rationalization. Information systems and communications expenses was flat in the six months ended June 30, 2022, compared to the same period in 2021.~~investments.

Transaction processing services expenses decreased 9%10% and 5%7% in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to the same periods in 2021, primarily due to lower sub-custody ~~costs.~~costs and the impact of currency translation which reduced transaction processing services expenses by 2% and 3% in the three and nine months ended September 30, 2022, respectively, compared to the same periods in 2021.

Occupancy expenses decreased 4%5% and 9%7% in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to the same periods in 2021, primarily due to footprint optimization and the impact of currency ~~translation. Currency~~ translation ~~decreased~~which reduced occupancy expenses by 4%6% and 3% in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to the same periods in 2021.

Amortization of other intangible assets decreased 5%6% and ~~was flat~~2% in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to the same periods in 2021, reflecting the impact of currency translation which reduced amortization of other intangible assets by 4% and 3% in ~~both~~ the three and ~~six~~nine months ended ~~June~~September 30, 2022, ~~relative~~respectively, compared to the same periods in 2021.

Other expenses increased ~~32% and 20%~~24% in the three ~~and six~~ months ended ~~June~~September 30, 2022, ~~respectively,~~ compared to the same ~~periods~~period in 2021, primarily ~~driven by~~due to higher marketing expenses, travel costs and State Street Foundation funding. Other expenses increased 21% in the nine months ended September 30, 2022, compared to the same period in 2021, primarily due to higher professional services, recoverable ~~client-related~~client-

related expenses, marketing expenses, travel and ~~travel~~securities processing costs.

Acquisition Costs

We recorded approximately ~~$12~~$13 million and ~~$21~~$34 million of acquisition costs in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to $7 million in each of the same periods in 2021 related to our proposed acquisition of the BBH Investor services business. We expect to incur up to approximately $590 million of ~~total~~ acquisition and integration costs related to the acquisition through the third year following its closing. We anticipate that, should we finalize and agree with BBH upon the presently contemplated proposed modifications to the transaction, we would incur additional acquisition and integration costs in subsequent years. The acquisition is subject to regulatory reviews and other closing conditions. For additional information on the BBH acquisition, refer to "Line of Business Information" included in this Management's Discussion and Analysis.

We recorded approximately $11 million and ~~$22~~$33 million of acquisition costs in the three and ~~six~~nine months ended ~~June~~September 30, 2021, respectively, related to our 2018 acquisition of ~~CRD in 2018.~~CRD. Starting in 2022, we no longer distinguish certain CRD costs as acquisition costs.

Restructuring and Repositioning Charges

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


TABLE 16: RESTRUCTURING AND REPOSITIONING CHARGES	TABLE 16: RESTRUCTURING AND REPOSITIONING CHARGES					TABLE 16: RESTRUCTURING AND REPOSITIONING CHARGES
(In millions)	(In millions)	Employee Related Costs		Real Estate Actions			Total		(In millions)	Employee Related Costs		Real Estate Actions		Total
Accrual Balance at December 31, 2020	Accrual Balance at December 31, 2020	$	190	$	6		$	196	Accrual Balance at December 31, 2020	$	190	$	6	$	196
Accruals for Beacon	Accruals for Beacon	(1)		—			(1)		Accruals for Beacon	(1)		—		(1)
Accruals for Repositioning Charges	Accruals for Repositioning Charges	—		2			2		Accruals for Repositioning Charges	—		2		2
Payments and Other Adjustments	Payments and Other Adjustments	(9)		(2)			(11)		Payments and Other Adjustments	(9)		(2)		(11)
Accrual Balance at March 31, 2021	Accrual Balance at March 31, 2021	180		6			186		Accrual Balance at March 31, 2021	180		6		186

Payments and Other Adjustments	Payments and Other Adjustments	(34)		—			(34)		Payments and Other Adjustments	(34)		—		(34)
Accrual Balance at June 30, 2021	Accrual Balance at June 30, 2021	$	146	$	6		$	152	Accrual Balance at June 30, 2021	146		6		152

Payments and Other Adjustments									Payments and Other Adjustments	(23)		—		(23)
Accrual Balance at September 30, 2021									Accrual Balance at September 30, 2021	$	123	$	6	$	129

Accrual Balance at December 31, 2021	Accrual Balance at December 31, 2021	$	68	$	6		$	74	Accrual Balance at December 31, 2021	$	68	$	6	$	74

Payments and Other Adjustments	Payments and Other Adjustments	(17)		(1)			(18)		Payments and Other Adjustments	(17)		(1)		(18)
Accrual Balance at March 31, 2022	Accrual Balance at March 31, 2022	51		5			56		Accrual Balance at March 31, 2022	51		5		56

Payments and Other Adjustments	Payments and Other Adjustments	(11)		—			(11)		Payments and Other Adjustments	(11)		—		(11)
Accrual Balance at June 30, 2022	Accrual Balance at June 30, 2022	$	40	$	5		$	45	Accrual Balance at June 30, 2022	40		5		45

Payments and Other Adjustments									Payments and Other Adjustments	(5)		—		(5)
Accrual Balance at September 30, 2022									Accrual Balance at September 30, 2022	$	35	$	5	$	40

State Street Corporation | 24

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Income Tax Expense

Income tax expense was ~~$88~~$159 million and ~~$238~~$397 million in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to ~~$175~~$162 million and ~~$283~~$445 million in the same periods in ~~2021, respectively.~~2021. Our effective tax rate was ~~10.5%~~18.7% and ~~15.0%~~16.3% in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to ~~18.6%~~18.5% and ~~18.1%~~18.2% in the same periods in ~~2021, respectively,~~2021. The decrease in the nine month period was primarily due to higher benefits from the reassessment of a deferred tax asset valuation allowance.

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.

Our Investment Servicing line of business provides a range of services to our clients. Through State Street ~~Institutional~~Investment Services, State Street Global Markets, State Street Digital, and ~~CRD,~~State Street Alpha, we provide 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. Our financial services and products allow our large institutional investor clients to execute financial transactions on a daily basis in markets across the

~~State Street Corporation | 24~~

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

~~AND RESULTS OF OPERATIONS~~

globe. As most institutional investors cannot economically or efficiently build their own technology and operational processes necessary to facilitate their global securities settlement needs, our primary role as a global trust and custody bank is to aid our clients to efficiently perform services associated with the clearing, settlement and execution of securities transactions and related payments.

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 IBOR, transaction management, loans, cash, derivatives and collateral services, record keeping, client reporting and investment analytics; foreign exchange, brokerage and other trading services; securities finance and enhanced custody products; deposit and short-term investment facilities; loans and lease financing; investment manager and alternative investment manager operations outsourcing; performance, risk and compliance analytics; and financial data management to support institutional investors.

~~Included within~~

With the acquisition of CRD in 2018, we took the first step in building our ~~Investment Servicing line of business is CRD, which we acquired in October 2018.~~front-to-back platform, State Street Alpha. The Charles River Investment Management ~~System~~Solution is a technology offering which is designed to automate and simplify the institutional investment process across asset classes, from portfolio management and risk analytics through trading and post-trade settlement, with integrated compliance and managed data throughout. ~~With the acquisition of CRD, we took the first step in building our front-to-back platform, State Street Alpha.~~ Today our State Street Alpha platform combines portfolio management, trading and execution, analytics and compliance tools, and advanced data aggregation and integration with other industry platforms and providers. In 2021, we further expanded ~~our~~State Street Alpha's technology offering with the acquisition of Mercatus, Inc., enabling the launch of Alpha for Private Markets.

In 2021, we established State Street Digital to focus on the development of digital assets and technologies, including crypto, central bank digital currency, blockchain and tokenization, including the evolution of a new integrated business and digital operating model designed to support our clients' digital investment cycle.

Following consummation of our proposed acquisition of the BBH Investor Services business, the acquired business ~~will~~would be included within our Investment Servicing line of business. ~~The acquisition is subject to regulatory reviews and other closing conditions.~~

We have been engaged in ~~discussions~~ongoing dialogue with U.S. and international banking regulators regarding ~~our proposed~~

~~acquisition of~~ the ~~BBH Investor Services business and the related~~prolonged regulatory review process ~~and potential modifications to the~~for our proposed ~~transaction that may facilitate resolution~~acquisition of ~~that process. Based on those discussions, we~~Brown Brothers Harriman’s Investor Services business. The current regulatory environment for M&A transactions involving G-SIBs is challenging. We have developed with BBH proposed modifications to the transaction, ~~structure may provide a path to consummating the transaction. The proposed modifications include~~including changes to the operating model and legal entity structure, a reduction to the purchase price and changes to ~~the~~ regulatory approvals required to ~~complete~~consummate the transaction. ~~As part~~We anticipate that a modified transaction would be somewhat more complex and include a delay in timing and amount of ~~the~~deal synergies, resulting in a slower path to accretion. While discussions with BBH, State Street is seeking amendments to the transaction terms, including the purchase price, given the changes to the planned operating model. Any modification to the transaction terms would be subject to review and approval by both BBH and our Board of Directors. We intend during the third quarter to finalizeregulators on the proposed ~~structure and contractual terms and confirm our approach with regulators. Assuming~~modified transaction are ongoing, the ~~financial and operational aspects~~likelihood of the proposed modifications are timely finalized and contracted, subject to regulatory approval and other closing conditions, the parties are aiming to close the transaction at the end of the fourth quarter of 2022. However, there exists significant timing uncertainty and risk that closing will extend beyond that timeline.a successful outcome is increasingly uncertain. There can be no assurance that a mutually acceptable modified transaction will be agreed and entered into, or as to the timing or outcome of any regulatory approvals and other closing conditions for ~~that~~a modified transaction. ~~Absent further agreement~~The modifications to the transaction remain subject to review and approval by both BBH’s partners and our Board of Directors. The Sale and Purchase Agreement allows each of State Street and BBH, the ~~parties, after September 6, 2022 either party can~~right to terminate the transaction upon written notice without ~~penalty.~~a contractual penalty at any time.

State Street Corporation | 25

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Investment Management, through State Street Global Advisors, provides a broad range of investment management strategies and products for our clients. Our investment management strategies and products span the risk/reward spectrum 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. 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 and Global Fiduciary Solutions (formerly Outsourced Chief Investment Officer). State Street Global Advisors is also a provider of ETFs, including the SPDR® ETF brand. While management fees are primarily determined by the values of AUM and the investment strategies employed, management fees reflect other factors as well, including the benchmarks specified in the respective management agreements related to performance fees.

For information about our two lines of business, as well as the revenues, expenses and capital

~~State Street Corporation | 25~~

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

~~AND RESULTS OF OPERATIONS~~

allocation methodologies associated with them, refer to Note 17 to the consolidated financial statements in this Form 10-Q.

Investment Servicing


TABLE 17: INVESTMENT SERVICING LINE OF BUSINESS RESULTS	TABLE 17: INVESTMENT SERVICING LINE OF BUSINESS RESULTS											TABLE 17: INVESTMENT SERVICING LINE OF BUSINESS RESULTS
(Dollars in millions, except where otherwise noted)	(Dollars in millions, except where otherwise noted)	Three Months Ended June 30,							% Change						(Dollars in millions, except where otherwise noted)				Three Months Ended September 30,													% Change
			2022			2021							(Dollars in millions, except where otherwise noted)							2022			2021					% Change

Servicing fees	Servicing fees		$	1,297		$	1,394			(7)	%							Servicing fees									$				1,219				$	1,391					(12)	%
Foreign exchange trading services	Foreign exchange trading services		313			270				16								Foreign exchange trading services									293					266						10
Securities finance	Securities finance		102			106				(4)								Securities finance									105					103						2

Software and processing fees	Software and processing fees		188			211				(11)								Software and processing fees									184					180						2
Other fee revenue	Other fee revenue		(12)			3				nm								Other fee revenue									12					28						(57)
Total fee revenue	Total fee revenue		1,888			1,984				(5)								Total fee revenue									1,813					1,968						(8)
Net interest income	Net interest income		588			468				26								Net interest income									663					491						35
Total other income	Total other income		(1)			—				nm								Total other income									—					(1)						nm
Total revenue	Total revenue		2,475			2,452				1								Total revenue									2,476					2,458						1
Provision for credit losses	Provision for credit losses		10			(15)				nm								Provision for credit losses									—					(2)						nm
Total expenses	Total expenses		1,767			1,755				1								Total expenses									1,760					1,755						—
Income before income tax expense	Income before income tax expense		$	698		$	712			(2)								Income before income tax expense									$	716				$	705					2
Pre-tax margin	Pre-tax margin		28.2		%	29.0		%		(80) bps								Pre-tax margin									28.9		%			28.7		%				20 bps

(Dollars in millions, except where otherwise noted)	(Dollars in millions, except where otherwise noted)	Six Months Ended June 30,							% Change							(Dollars in millions, except where otherwise noted)					Nine Months Ended September 30,													% Change
			2022			2021								(Dollars in millions, except where otherwise noted)								2022		2021						% Change
Servicing fees	Servicing fees		$	2,665		$	2,763			(4)	%						Servicing fees								$	3,884		$	4,154								(6)		%
Foreign exchange trading services	Foreign exchange trading services		655			603				9								Foreign exchange trading services									948					869								9
Securities finance	Securities finance		195			201				(3)								Securities finance									300					304						(1)
Software and processing fees	Software and processing fees		389			371				5								Software and processing fees									573					551						4
Other fee revenue	Other fee revenue		34			17				nm								Other fee revenue									46					45						2
Total fee revenue	Total fee revenue		3,938			3,955				—								Total fee revenue									5,751					5,923						(3)
Net interest income	Net interest income		1,097			941				17								Net interest income									1,760					1,432						23
Total other income	Total other income		(2)			—				nm								Total other income									(2)					(1)						nm
Total revenue	Total revenue		5,033			4,896				3								Total revenue									7,509					7,354						2
Provision for credit losses	Provision for credit losses		10			(24)				nm								Provision for credit losses									10					(26)						nm
Total expenses	Total expenses		3,692			3,634				2								Total expenses									5,452					5,389						1
Income before income tax expense	Income before income tax expense		$	1,331		$	1,286			3								Income before income tax expense									$	2,047				$	1,991					3
Pre-tax margin	Pre-tax margin		26.4		%	26.3		%		10 bps								Pre-tax margin									27.3		%			27.1		%				20 bps

nm Not meaningful

Servicing Fees

Servicing fees, as presented in Table 17: Investment Servicing Line of Business Results, decreased 7%12% and 6% in the three and nine months ended ~~June~~September 30, 2022, respectively, compared to the same ~~period~~periods in 2021, primarily due to lower average ~~equity and fixed income~~ market levels, ~~normal pricing headwinds,~~ lower client activity and adjustments and ~~the impact of currency translation,~~normal pricing headwinds, partially offset by net new business. Currency translation decreased servicing fee revenue by 3% in both the ~~second quarter of 2022, relative to the same period in 2021. Servicing fees decreased 4% in the six~~three and nine months ended June 30, 2022, compared to the same period in 2021, primarily due to normal pricing headwinds, lower client activity and adjustments and the impact of currency translation, partially offset by net new business. Currency translation decreased servicing fee revenue by 2% in the six months ended JuneSeptember 30, 2022, relative to the same ~~period~~periods in 2021.

For additional information about the impact of worldwide equity and fixed-income valuations, 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.

State Street Corporation | 26

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Expenses

Total expenses for Investment Servicing were flat and increased 1% ~~and 2%~~ in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to the same periods in 2021, as expense growth from higher technology infrastructure investments, higher headcount and merit increases was offset or partially offset by productivity savings, on-going expense management initiatives and the benefit of currency translation ~~benefit. Currency translation decreased~~which reduced expenses for Investment Servicing by 3%4% and 2%3% in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, relative to the same periods in 2021. Seasonal deferred incentive compensation expense and payroll taxes were ~~$161~~$143 million in the ~~six~~nine months ended ~~June~~September 30, 2022 compared to ~~$141~~$124 million in the same period in 2021. Additional information about expenses is provided under "Expenses" in "Consolidated Results of Operations" included in this Management's Discussion and Analysis.

~~State Street Corporation | 26~~

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

~~AND RESULTS OF OPERATIONS~~

Investment Management


TABLE 18: INVESTMENT MANAGEMENT LINE OF BUSINESS RESULTS	TABLE 18: INVESTMENT MANAGEMENT LINE OF BUSINESS RESULTS					TABLE 18: INVESTMENT MANAGEMENT LINE OF BUSINESS RESULTS
(Dollars in millions, except where otherwise noted)	(Dollars in millions, except where otherwise noted)	Three Months Ended June 30,								% Change			(Dollars in millions, except where otherwise noted)		Three Months Ended September 30,					% Change
			2022				2021									2022	2021
Management fees(1)	Management fees(1)		$	490			$	504			(3)	%		Management fees(1)			$	472		$	526		(10)	%
Foreign exchange trading services(2)	Foreign exchange trading services(2)		18				16				13			Foreign exchange trading services(2)			26			13			100
Securities finance	Securities finance		5				3				67			Securities finance			5			3			67
Software and processing fees(3)	Software and processing fees(3)		—				—				nm			Software and processing fees(3)			—			—			nm
Other fee revenue(1)	Other fee revenue(1)		(31)				7				nm			Other fee revenue(1)			(17)			(6)			nm
Total fee revenue	Total fee revenue		482				530				(9)			Total fee revenue			486			536			(9)
Net interest income	Net interest income		(4)				(1)				nm			Net interest income			(3)			(4)			25
Total revenue	Total revenue		478				529				(10)			Total revenue			483			532			(9)

Total expenses	Total expenses		327				346				(5)			Total expenses			335			339			(1)
Income before income tax expense	Income before income tax expense		$	151			$	183			(17)			Income before income tax expense			$	148		$	193		(23)
Pre-tax margin	Pre-tax margin		31.6		%		34.6		%		(300) bps			Pre-tax margin			30.6		%	36.3		%	(570) bps

(Dollars in millions, except where otherwise noted)	(Dollars in millions, except where otherwise noted)	Six Months Ended June 30,								% Change			(Dollars in millions, except where otherwise noted)		Nine Months Ended September 30,					% Change
			2022				2021									2022	2021
Management fees(1)	Management fees(1)		$	1,010			$	997			1	%		Management fees(1)			$	1,482		$	1,523		(3)	%
Foreign exchange trading services(2)	Foreign exchange trading services(2)		35				29				21			Foreign exchange trading services(2)			61			42			45
Securities finance	Securities finance		8				7				14			Securities finance			13			10			30
Software and processing fees(3)	Software and processing fees(3)		—				—				nm			Software and processing fees(3)			—			—			nm
Other fee revenue(1)	Other fee revenue(1)		(48)				9				nm			Other fee revenue(1)			(65)			3			nm
Total fee revenue	Total fee revenue		1,005				1,042				(4)			Total fee revenue			1,491			1,578			(6)
Net interest income	Net interest income		(4)				(7)				(43)			Net interest income			(7)			(11)			(36)
Total revenue	Total revenue		1,001				1,035				(3)			Total revenue			1,484			1,567			(5)

Total expenses	Total expenses		716				743				(4)			Total expenses			1,051			1,082			(3)
Income before income tax expense	Income before income tax expense		$	285			$	292			(2)			Income before income tax expense			$	433		$	485		(11)
Pre-tax margin	Pre-tax margin		28.5		%		28.2		%		30 bps			Pre-tax margin			29.2		%	31.0		%	(180) bps

(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 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 ~~10%~~9% and 3%5% in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to the same periods in 2021.

Management Fees

Management fees decreased 10% and 3% in the three and nine months ended ~~June~~September 30, 2022, respectively, compared to the same ~~period~~periods in 2021, primarily due to lower average equity and fixed income market levels, a previously reported client-specific pricing adjustment and ~~the impact of currency translation,~~institutional net outflows, partially offset by the absence of the impact of money market fee waivers and net inflows from cash and ETFs. Currency translation decreased management fees by 3% and 2% in the ~~second quarter of~~three and nine months ended September 30, 2022, respectively, relative to the same ~~period~~periods in 2021. ~~Management fees increased~~ 1% ~~in the six months ended June 30, 2022 compared to the same period in 2021, primarily due to higher average equity market levels and the absence of the impact of money~~

market fee waivers, partially offset by a client-specific pricing adjustment and the impact of currency translation. Currency translation decreased management fees by 1% in the six months ended June 30, 2022 compared to the same period in 2021.

State Street Corporation | 27

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.

Expenses

Total expenses for Investment Management decreased 5%1% and 4%3% in the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, compared to the same periods in 2021, ~~primarily due to~~as savings from on-going expense management initiatives ~~and lower incentive compensation.~~was partially offset by merit increases. Currency translation ~~decreased~~reduced expenses for Investment Management by 1%3% and 2% in ~~both~~ the three and ~~six~~nine months ended ~~June~~September 30, 2022, respectively, relative to the same periods in 2021. Seasonal deferred incentive compensation expense and payroll taxes were ~~$47~~$65 million in the ~~six~~nine months ended ~~June~~September 30, 2022, compared to ~~$35~~$52 million in the same period in 2021.

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

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

~~State Street Corporation | 27~~

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

~~AND RESULTS OF OPERATIONS~~

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.

The following information on our financial condition is based on our average balance sheet, which we believe is the better measure of our balance sheet trends as period-end balances can be impacted by the timing of client activities including deposits and withdrawals.


TABLE 19: AVERAGE STATEMENT OF CONDITION(1)	TABLE 19: AVERAGE STATEMENT OF CONDITION(1)						TABLE 19: AVERAGE STATEMENT OF CONDITION(1)
		Six Months Ended June 30,				Nine Months Ended September 30,
(In millions)	(In millions)	2022		2021			(In millions)	2022		2021
Assets:	Assets:						Assets:
Interest-bearing deposits with banks	Interest-bearing deposits with banks	$	76,635	$	97,348		Interest-bearing deposits with banks	$	74,034	$	91,291
Securities purchased under resale agreements	Securities purchased under resale agreements	2,583		4,261			Securities purchased under resale agreements	2,208		4,194
Trading account assets	Trading account assets	754		764			Trading account assets	736		754
Investment securities:	Investment securities:						Investment securities:

Investment securities available-for-sale	Investment securities available-for-sale	64,940		62,728			Investment securities available-for-sale	57,868		65,051
Investment securities held-to-maturity	Investment securities held-to-maturity	51,653		46,294			Investment securities held-to-maturity	56,124		45,526
Investment securities held-to-maturity purchased under money market liquidity facility	Investment securities held-to-maturity purchased under money market liquidity facility	—		634			Investment securities held-to-maturity purchased under money market liquidity facility	—		420
Total investment securities	Total investment securities	116,593		109,656			Total investment securities	113,992		110,997
Loans	Loans	35,120		28,752			Loans	35,103		29,858
Other interest-earning assets	Other interest-earning assets	22,979		19,625			Other interest-earning assets	22,271		21,322
Average total interest-earning assets	Average total interest-earning assets	254,664		260,406			Average total interest-earning assets	248,344		258,416
Cash and due from banks	Cash and due from banks	3,923		5,065			Cash and due from banks	3,767		5,077
Other non-interest-earning assets	Other non-interest-earning assets	34,626		36,823			Other non-interest-earning assets	35,021		35,150
Average total assets	Average total assets	$	293,213	$	302,294		Average total assets	$	287,132	$	298,643
Liabilities and shareholders’ equity:	Liabilities and shareholders’ equity:						Liabilities and shareholders’ equity:
Interest-bearing deposits:	Interest-bearing deposits:						Interest-bearing deposits:
U.S.	U.S.	$	98,665	$	105,647		U.S.	$	97,307	$	105,286
Non-U.S.	Non-U.S.	81,796		80,854			Non-U.S.	78,563		81,318
Total interest-bearing deposits(2)	Total interest-bearing deposits(2)	180,461		186,501			Total interest-bearing deposits(2)	175,870		186,604
Securities sold under repurchase agreements	Securities sold under repurchase agreements	3,389		745			Securities sold under repurchase agreements	3,532		606
Short-term borrowings under money market liquidity facility	Short-term borrowings under money market liquidity facility	—		635			Short-term borrowings under money market liquidity facility	—		421
Other short-term borrowings	Other short-term borrowings	776		829			Other short-term borrowings	660		832
Long-term debt	Long-term debt	13,982		13,639			Long-term debt	13,974		13,431
Other interest-bearing liabilities	Other interest-bearing liabilities	2,698		5,268			Other interest-bearing liabilities	2,643		5,332
Average total interest-bearing liabilities	Average total interest-bearing liabilities	201,306		207,617			Average total interest-bearing liabilities	196,679		207,226
Non-interest-bearing deposits(2)(3)	Non-interest-bearing deposits(2)(3)	50,368		47,815			Non-interest-bearing deposits(2)(3)	49,052		47,358
Other non-interest-bearing liabilities	Other non-interest-bearing liabilities	15,326		21,269			Other non-interest-bearing liabilities	15,370		18,407
Preferred shareholders’ equity	Preferred shareholders’ equity	1,976		2,177			Preferred shareholders’ equity	1,976		2,110
Common shareholders’ equity	Common shareholders’ equity	24,237		23,416			Common shareholders’ equity	24,055		23,542
Average total liabilities and shareholders’ equity	Average total liabilities and shareholders’ equity	$	293,213	$	302,294		Average total liabilities and shareholders’ equity	$	287,132	$	298,643

(1) Additional information about our average statement of condition, primarily our interest-earning assets and interest-bearing liabilities, is provided in "Net Interest Income" included in this Management's Discussion and Analysis.

(2) Total deposits averaged ~~$230.83~~$224.92 billion in the ~~six~~nine months ended ~~June~~September 30, 2022 compared to ~~$234.32~~$233.96 billion in the same period in 2021.

(3) Average non-interest bearing deposits are primarily composed of deposit balances denominated in U.S. dollars.

State Street Corporation | 28

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Investment Securities


TABLE 20: CARRYING VALUES OF INVESTMENT SECURITIES	TABLE 20: CARRYING VALUES OF INVESTMENT SECURITIES					TABLE 20: CARRYING VALUES OF INVESTMENT SECURITIES

(In millions)	(In millions)	June 30, 2022		December 31, 2021			(In millions)	September 30, 2022		December 31, 2021
Available-for-sale:	Available-for-sale:						Available-for-sale:
U.S. Treasury and federal agencies:	U.S. Treasury and federal agencies:						U.S. Treasury and federal agencies:
Direct obligations	Direct obligations	$	9,411	$	17,939		Direct obligations	$	7,856	$	17,939
Mortgage-backed securities	Mortgage-backed securities	10,271		18,208			Mortgage-backed securities	9,403		18,208
Total U.S. Treasury and federal agencies	Total U.S. Treasury and federal agencies	19,682		36,147			Total U.S. Treasury and federal agencies	17,259		36,147
Non-U.S. debt securities:	Non-U.S. debt securities:						Non-U.S. debt securities:
Mortgage-backed securities	Mortgage-backed securities	1,959		1,995			Mortgage-backed securities	1,662		1,995
Asset-backed securities	Asset-backed securities	1,876		2,087			Asset-backed securities	1,640		2,087
Non-U.S. sovereign, supranational and non-U.S. agency	Non-U.S. sovereign, supranational and non-U.S. agency	14,927		23,547			Non-U.S. sovereign, supranational and non-U.S. agency	13,674		23,547
Other(1)	Other(1)	2,204		3,098			Other(1)	2,084		3,098
Total non-U.S. debt securities	Total non-U.S. debt securities	20,966		30,727			Total non-U.S. debt securities	19,060		30,727
Asset-backed securities:	Asset-backed securities:						Asset-backed securities:
Student loans(2)	Student loans(2)	150		211			Student loans(2)	133		211

Collateralized loan obligations(3)	Collateralized loan obligations(3)	2,334		2,155			Collateralized loan obligations(3)	2,317		2,155
Non-agency CMBS and RMBS(4)	Non-agency CMBS and RMBS(4)	195		52			Non-agency CMBS and RMBS(4)	215		52
Other	Other	89		91			Other	88		91
Total asset-backed securities	Total asset-backed securities	2,768		2,509			Total asset-backed securities	2,753		2,509
State and political subdivisions	State and political subdivisions	1,034		1,272			State and political subdivisions	924		1,272

Other U.S. debt securities(5)	Other U.S. debt securities(5)	1,004		2,744			Other U.S. debt securities(5)	990		2,744

Total available-for-sale securities(6)(7)	Total available-for-sale securities(6)(7)	$	45,454	$	73,399		Total available-for-sale securities(6)(7)	$	40,986	$	73,399
Held-to-maturity:	Held-to-maturity:						Held-to-maturity:
U.S. Treasury and federal agencies:	U.S. Treasury and federal agencies:						U.S. Treasury and federal agencies:
Direct obligations	Direct obligations	$	11,424	$	2,170		Direct obligations	$	11,637	$	2,170
Mortgage-backed securities	Mortgage-backed securities	41,660		33,481			Mortgage-backed securities	42,967		33,481
Total U.S. Treasury and federal agencies	Total U.S. Treasury and federal agencies	53,084		35,651			Total U.S. Treasury and federal agencies	54,604		35,651
Non-U.S. debt securities:	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	6,443		1,564			Non-U.S. sovereign, supranational and non-U.S. agency	6,141		1,564

Total non-U.S. debt securities	Total non-U.S. debt securities	6,443		1,564			Total non-U.S. debt securities	6,141		1,564
Asset-backed securities:	Asset-backed securities:						Asset-backed securities:
Student loans(2)	Student loans(2)	4,468		4,908			Student loans(2)	4,238		4,908

Non-agency CMBS and RMBS(8)	Non-agency CMBS and RMBS(8)	266		307			Non-agency CMBS and RMBS(8)	249		307
Total asset-backed securities	Total asset-backed securities	4,734		5,215			Total asset-backed securities	4,487		5,215

Total held-to-maturity securities(6)(7)	Total held-to-maturity securities(6)(7)	$	64,261	$	42,430		Total held-to-maturity securities(6)(7)	$	65,232	$	42,430

(1) As of ~~June~~September 30, 2022 and December 31, 2021, the carrying value includes non-U.S. corporate bonds of ~~$1.10~~$1.11 billion and $1.53 billion, respectively.

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

(3) Excludes collateralized loan obligations in loan form. Refer to Note 4 for additional information.

(4) Consists entirely of non-agency CMBS as of both ~~June~~September 30, 2022 and December 31, 2021.

(5) As of ~~June~~September 30, 2022 and December 31, 2021, the carrying value of U.S. corporate bonds was ~~$1.00~~$0.99 billion and $2.44 billion, respectively.

(6) An immaterial amount of accrued interest related to HTM and AFS investment securities was excluded from the amortized cost basis for the period ended ~~June~~September 30, 2022.

(7) Approximately $21.23 billion was transferred from AFS to HTM securities in the second quarter of 2022.

(8) As of ~~June~~September 30, 2022 and December 31, 2021, the total amortized cost included ~~$256~~$239 million and $292 million, respectively, of non-agency CMBS and ~~$11~~$10 million and $14 million of non-agency RMBS, respectively.

~~State Street Corporation | 28~~

~~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 in this Form 10-Q.

We manage our investment securities portfolio to align with the interest rate and duration characteristics of our client liabilities and in the context of the overall structure of our consolidated statement of condition, in consideration of the global 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.

During ~~the second quarter of~~ 2022, we completed a number of ~~our previously announced~~ actions to mitigate additional AOCI risk in the current environment including a $21.23 billion transfer of securities from AFS to HTM. While these measures may serve to mitigate additional AOCI risk, we continue to be exposed to risks associated with sudden or significant AOCI deterioration, particularly in an environment of continuing significant, and potentially, historic interest rate increases. There can be no assurance that we will not experience further, potentially material AOCI deterioration.

Average duration of our investment securities portfolio was ~~2.8~~2.7 years and 2.9 years as of ~~June~~September 30, 2022 and December 31, 2021, respectively.

Approximately 96% and 92% of the carrying value of the portfolio was rated “AAA” or “AA” as of ~~June~~September 30, 2022 and December 31, 2021, respectively.


TABLE 21: INVESTMENT PORTFOLIO BY EXTERNAL CREDIT RATING	TABLE 21: INVESTMENT PORTFOLIO BY EXTERNAL CREDIT RATING					TABLE 21: INVESTMENT PORTFOLIO BY EXTERNAL CREDIT RATING
		June 30, 2022		December 31, 2021			September 30, 2022		December 31, 2021
AAA(1)	AAA(1)	84	%	79	%	AAA(1)	84	%	79	%
AA	AA	12		13		AA	12		13
A	A	2		4		A	2		4
BBB	BBB	2		4		BBB	2		4

		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 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 ~~June~~September 30, 2022 and December 31, 2021, the investment portfolio was diversified with respect to asset class composition. The following table presents the composition of these asset classes.

TABLE 22: INVESTMENT PORTFOLIO BY ASSET CLASS
June 30, 2022 December 31, 2021
U.S. Agency
Mortgage-backed securities 35 % 33 %
Foreign sovereign 19 21
U.S. Treasuries 19 17
Asset-backed securities 10 10
Other credit 17 19
100 % 100 %

~~Non-U.S. Debt Securities~~

~~Approximately 25% and 28% of the aggregate carrying value of our investment securities portfolio was non-U.S. debt securities as of June 30, 2022 and December 31, 2021, respectively.~~

TABLE 23: NON-U.S. DEBT SECURITIES(1)
(In millions) June 30, 2022 December 31, 2021
Available-for-sale:
Canada $ 3,874 $ 4,502
Australia 2,601 3,019
United Kingdom 1,628 1,961
Germany 1,342 2,130
France 1,078 2,180
Austria 910 1,478
Hong Kong 778 —
Japan 751 1,332
Netherlands 656 1,109
Finland 432 837
Italy 334 803
Brazil 185 —
Spain 182 1,227
Republic of Korea 146 201
Belgium 16 1,050
Ireland 5 744
Other(2)
6,048 8,154
Total $ 20,966 $ 30,727
Held-to-maturity:
Spain $ 801 $ —
Belgium 691 —
France 602 —
Ireland 441 —
Singapore 346 222
Austria 312 —
Finland 208 —
Netherlands 169 —
Germany 121 —
Other(2)
2,752 1,342
Total $ 6,443 $ 1,564

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

~~(2)~~ ~~As of June 30, 2022, other non-U.S. investments include $5.75 billion of supranational bonds in AFS securities and $2.75 billion of supranational bonds in HTM securities.~~

State Street Corporation | 29

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS


TABLE 22: INVESTMENT PORTFOLIO BY ASSET CLASS
	September 30, 2022		December 31, 2021
U.S. Agency Mortgage-backed securities	38	%	33	%
Foreign sovereign	18		21
U.S. Treasuries	18		17
Asset-backed securities	9		10
Other credit	17		19
	100	%	100	%

Non-U.S. Debt Securities

Approximately ~~87%~~24% and 28% of the aggregate carrying value of our investment securities portfolio was non-U.S. debt securities as of September 30, 2022 and December 31, 2021, respectively.


TABLE 23: NON-U.S. DEBT SECURITIES(1)
(In millions)	September 30, 2022		December 31, 2021
Available-for-sale:
Canada	$	3,614	$	4,502
Australia	2,247		3,019
United Kingdom	1,426		1,961
Germany	1,149		2,130
France	982		2,180
Hong Kong	931		—
Austria	788		1,478
Japan	705		1,332
Netherlands	498		1,109
Italy	290		803
Spain	177		1,227
Finland	173		837
Brazil	170		—
Republic of Korea	139		201
Other(2)	5,771		9,948
Total	$	19,060	$	30,727
Held-to-maturity:
Spain	$	745	$	—
Belgium	647		—
France	563		—
Ireland	410		—
Austria	292		—
Singapore	273		222
Finland	195		—
Netherlands	158		—
Germany	113		—
Other(2)	2,745		1,342
Total	$	6,141	$	1,564

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

(2) As of September 30, 2022, other non-U.S. investments include $5.43 billion of supranational bonds in AFS securities and $2.75 billion of supranational bonds in HTM securities.

Approximately 86% and 81% of the aggregate carrying value of these non-U.S. debt securities was rated “AAA” or “AA” as of ~~June~~September 30, 2022 and December 31, 2021, respectively. 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 ~~June~~September 30, 2022 and December 31, 2021, approximately 26% and 24%, respectively, of the aggregate carrying value of these non-U.S. debt securities was floating-rate.

As of ~~June~~September 30, 2022, our non-U.S. debt securities had an average market-to-book ratio of ~~97.5%~~

96.3%, and an aggregate pre-tax net unrealized loss of ~~$693~~$963 million, composed of gross unrealized gains of ~~$11~~$2 million and gross unrealized losses of ~~$704~~$965 million. These unrealized amounts included:

•a pre-tax net unrealized loss of ~~$565~~$695 million, composed of gross unrealized gains of $6$2 million and gross unrealized losses of ~~$571~~$697 million, associated with non-U.S. AFS debt securities; and

•a pre-tax net unrealized loss of ~~$128~~$268 million, all composed of gross unrealized ~~gains of $5 million and gross unrealized~~ losses, ~~of $133 million,~~ associated with non-U.S. HTM debt securities.

As of ~~June~~September 30, 2022, the underlying collateral for non-U.S. MBS and ABS primarily included Australian, U.K., Netherlands and Italian mortgages. The securities listed under “Canada” were composed of Canadian government securities and provincial bonds, corporate debt and non-U.S. agency securities. The securities listed under “France” were composed of sovereign bonds, corporate debt, covered bonds, ABS and Non-U.S. agency securities. The securities listed under “Japan” were substantially composed of Japanese government securities.

Municipal Obligations

We carried approximately ~~$1.03~~$0.92 billion of municipal securities classified as state and political subdivisions in our investment securities portfolio as of ~~June~~September 30, 2022, as shown in Table 20: Carrying Values of Investment Securities, all of which were classified as AFS. As of ~~June~~September 30, 2022, we also provided approximately ~~$8.44~~$7.69 billion of credit and liquidity facilities to municipal issuers.


TABLE 24: STATE AND MUNICIPAL OBLIGORS(1)	TABLE 24: STATE AND MUNICIPAL OBLIGORS(1)									TABLE 24: STATE AND MUNICIPAL OBLIGORS(1)
(Dollars in millions)	(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
June 30, 2022
September 30, 2022										September 30, 2022
State of Issuer:	State of Issuer:									State of Issuer:
Texas	Texas	$	196	$	2,326	$	2,522	27	%	Texas	$	178	$	2,326	$	2,504	29	%
New York	New York	185		1,607		1,792		19		New York	172		1,607		1,779		21
California	California	86		1,524		1,610		17		California	84		1,297		1,381		16
Tennessee										Tennessee	—		482		482		6
Massachusetts	Massachusetts	217		512		729		8		Massachusetts	178		252		430		5
Tennessee		—		482		482		5

Total	Total	$	684	$	6,451	$	7,135			Total	$	612	$	5,964	$	6,576

December 31, 2021	December 31, 2021									December 31, 2021
State of Issuer:	State of Issuer:									State of Issuer:
Texas	Texas	$	221	$	2,357	$	2,578	25	%	Texas	$	221	$	2,357	$	2,578	25	%
California	California	108		2,005		2,113		21		California	108		2,005		2,113		21
New York	New York	271		1,112		1,383		14		New York	271		1,112		1,383		14
Massachusetts	Massachusetts	245		696		941		9		Massachusetts	245		696		941		9
Tennessee	Tennessee	—		491		491		5		Tennessee	—		491		491		5

Total	Total	$	845	$	6,661	$	7,506			Total	$	845	$	6,661	$	7,506

(1) Represented 5% or more of our aggregate municipal credit exposure of approximately ~~$9.47~~$8.61 billion and $10.22 billion across our businesses as of ~~June~~September 30, 2022 and December 31, 2021, respectively.

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

State Street Corporation | 30

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Our aggregate municipal securities exposure presented in Table 24: State and Municipal Obligors, was concentrated primarily with highly-rated counterparties, with approximately 89% of the obligors rated “AAA” or “AA” as of ~~June~~September 30, 2022. As of that date, approximately ~~28%~~30% and ~~72%~~69% 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.

Additional information with respect to our assessment of impairment of our municipal securities is provided in Note 3 to the consolidated financial statements in this Form 10-Q.

~~State Street Corporation | 30~~

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

~~AND RESULTS OF OPERATIONS~~

Loans


TABLE 25: U.S. AND NON- U.S. LOANS	TABLE 25: U.S. AND NON- U.S. LOANS					TABLE 25: U.S. AND NON- U.S. LOANS
(In millions)	(In millions)	June 30, 2022		December 31, 2021			(In millions)	September 30, 2022		December 31, 2021
Domestic(1):	Domestic(1):						Domestic(1):
Commercial and financial:	Commercial and financial:						Commercial and financial:
Fund Finance(2)	Fund Finance(2)	$	12,363	$	12,396		Fund Finance(2)	$	12,094	$	12,396
Leveraged loans	Leveraged loans	2,468		3,106			Leveraged loans	2,346		3,106

Overdrafts	Overdrafts	2,220		1,796			Overdrafts	2,787		1,796
Other(3)	Other(3)	1,968		2,262			Other(3)	2,133		2,262
Commercial real estate	Commercial real estate	2,682		2,554			Commercial real estate	2,921		2,554

Total domestic	Total domestic	21,701		22,114			Total domestic	22,281		22,114
Foreign(1):	Foreign(1):						Foreign(1):
Commercial and financial:	Commercial and financial:						Commercial and financial:
Fund Finance(2)	Fund Finance(2)	8,131		7,778			Fund Finance(2)	8,454		7,778
Leveraged loans	Leveraged loans	1,123		1,328			Leveraged loans	1,006		1,328

Overdrafts	Overdrafts	2,610		1,312			Overdrafts	4,372		1,312

Total foreign	Total foreign	11,864		10,418			Total foreign	13,832		10,418
Total loans(2)(4)	Total loans(2)(4)	33,565		32,532			Total loans(2)(4)	36,113		32,532
Allowance for loan losses	Allowance for loan losses	(95)		(87)			Allowance for loan losses	(97)		(87)
Loans, net of allowance	Loans, net of allowance	$	33,470	$	32,445		Loans, net of allowance	$	36,016	$	32,445

(1) Domestic and foreign categorization is based on the borrower’s country of domicile.

(2) Fund finance loans include primarily ~~$8.17~~$7.69 billion private equity capital call finance loans, ~~$6.48~~$6.57 billion loans to real money funds, ~~$4.11~~$4.25 billion collateralized loan obligations in loan form and ~~$1.26~~$1.10 billion loans to business development companies as of ~~June~~September 30, 2022, compared to $9.15 billion private equity capital call finance loans, $6.40 billion loans to real money funds, $2.91 billion collateralized loan obligations in loan form and $1.39 billion loans to business development companies as of December 31, 2021.

(3) Includes ~~$1.53~~$1.73 billion securities finance loans, ~~$420~~$389 million loans to municipalities and ~~$21~~$19 million other loans as of ~~June~~September 30, 2022 and $1.78 billion securities finance loans, $455 million loans to municipalities and $23 million other loans as of December 31, 2021.

(4) As of ~~June~~September 30, 2022, excluding overdrafts, floating rate loans totaled ~~$25.98~~$26.05 billion and fixed rate loans totaled ~~$2.75~~$2.90 billion. We have entered into interest rate swap agreements to hedge the forecasted cash flows associated with LIBOR indexed floating-rate loans. Refer to Note 10 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K for additional details.

The increase in foreign loans as of ~~June~~September 30, 2022 compared to December 31, 2021 was primarily driven by higher levels of client overdrafts.

As of ~~June~~September 30, 2022 and December 31, 2021, our leveraged loans totaled approximately ~~$3.59~~$3.35 billion and $4.43 billion, respectively. We sold ~~$770~~

$21 million of leveraged loans in the ~~second~~third quarter of ~~2022, of which $155 million remained unsettled and was held for sale as of June 30,~~ 2022.

In addition, we had binding unfunded commitments as of ~~June~~September 30, 2022 and December 31, 2021 of ~~$53~~$187 million and $124 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.

These leveraged loans, which are primarily rated “speculative” under our internal risk-rating framework (refer to Note 4 to the consolidated financial statements in this Form 10-Q), are externally rated “BBB,” “BB” or “B,” with approximately ~~96%~~97% and 94%

of the loans rated “BB” or “B” as of ~~June~~September 30, 2022 and December 31, 2021, 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 in our portfolio.

Additional information about all of our loan segments, as well as underlying classes, is provided in Note 4 to the consolidated financial statements in this Form 10-Q.

No loans were modified in troubled debt restructurings as of both ~~June~~September 30, 2022 and December 31, 2021.

Allowance for credit losses


TABLE 26: ALLOWANCE FOR CREDIT LOSSES	TABLE 26: ALLOWANCE FOR CREDIT LOSSES					TABLE 26: ALLOWANCE FOR CREDIT LOSSES
		Six Months Ended June 30,					Nine Months Ended September 30,
(In millions)	(In millions)	2022		2021				(In millions)	2022		2021
Allowance for credit losses:	Allowance for credit losses:							Allowance for credit losses:
Beginning balance	Beginning balance	$	108	$	148			Beginning balance	$	108	$	148
Provision for credit losses (funded commitments)	Provision for credit losses (funded commitments)	12		(19)				Provision for credit losses (funded commitments)	14		(22)
Provisions for credit losses (unfunded commitments)	Provisions for credit losses (unfunded commitments)	(2)		(3)				Provisions for credit losses (unfunded commitments)	(4)		(2)
Provisions for credit losses (held-to-maturity securities and all other)	Provisions for credit losses (held-to-maturity securities and all other)	—		(2)				Provisions for credit losses (held-to-maturity securities and all other)	—		(2)
Charge-offs(1)	Charge-offs(1)	(4)		(1)				Charge-offs(1)	(4)		(2)

Other(2)	Other(2)	—		(2)				Other(2)	—		(3)
Ending balance	Ending balance	$	114	$	121			Ending balance	$	114	$	117

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

(2) Consists primarily of foreign currency translation.

We recorded ano provision for credit losses and $10 million provision for credit losses in ~~both~~ the three and ~~six~~nine months ended ~~June~~September 30, 2022, ~~reflecting~~respectively, as a downward shift in management's economic outlook ~~partially~~was offset by a ~~decrease~~reduction in ~~expected losses related to leveraged loans within our~~loan portfolio risk, compared to a ~~$15~~$2 million and ~~$24~~$26 million reserve release in the same periods in 2021, respectively.

State Street Corporation | 31

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

As of ~~June~~September 30, 2022, approximately ~~$69~~$75 million of our allowance for credit losses was related to leveraged loans included in the commercial and financial segment compared to ~~$74~~$68 million as of ~~June~~September 30, 2021. As our view on current and future economic scenarios changes, our allowance for credit losses related to these loans may be impacted through a change to the provisions for credit losses, reflecting credit migration within our loan portfolio, as well as changes in management's economic outlook as of year-end. The remaining ~~$45~~$39 million and ~~$47~~$49 million as of ~~June~~September 30, 2022 and 2021, respectively, was related to other loans, commercial real estate loans, off-balance sheet commitments and other

~~State Street Corporation | 31~~

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

~~AND RESULTS OF OPERATIONS~~

financial assets held at amortized cost, including investment securities.

An allowance for credit losses is recognized on HTM securities upon acquisition of the security, and on AFS securities when the fair value and expected future cash flows of the investment securities are less than their amortized cost basis. Our assessment of impairment involves an evaluation of economic and security-specific factors. Such factors are based on estimates, derived by management, which contemplate current market conditions and security-specific performance. To the extent that market conditions are worse than management's expectations or due to idiosyncratic bond performance, the credit-related component of impairment, in particular, could increase and would be recorded in the provision for credit losses. Additional information with respect to the allowance for credit losses, net impairment losses and gross unrealized losses related to investment securities, is provided in Note 3 to the consolidated financial statements in this Form 10-Q.

Cross-Border Outstandings

Cross-border outstandings are amounts payable 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 FX and interest rate contracts; and securities finance. In addition to credit risk, cross-border outstandings carry 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, FX 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 rely for credit risk mitigation purposes, and may do so again in the future. As a result, we may be exposed to increased counterparty risk, leading to negative ratings volatility.

The cross-border outstandings presented in Table 27: Cross-border outstandings, represented approximately ~~29%~~34% and 27% of our consolidated total assets as of ~~June~~September 30, 2022 and December 31, 2021, respectively.


TABLE 27: CROSS-BORDER OUTSTANDINGS(1)	TABLE 27: CROSS-BORDER OUTSTANDINGS(1)							TABLE 27: CROSS-BORDER OUTSTANDINGS(1)
(In millions)	(In millions)	Investment Securities and Other Assets		Derivatives and Securities on Loan		Total Cross-Border Outstandings		(In millions)	Investment Securities and Other Assets		Derivatives and Securities on Loan		Total Cross-Border Outstandings
June 30, 2022
September 30, 2022								September 30, 2022
Germany	Germany	$	28,465	$	498	$	28,963	Germany	$	31,041	$	478	$	31,519
United Kingdom	United Kingdom	10,326		8,589		18,915		United Kingdom	13,119		8,660		21,779
Japan		7,995		1,315		9,310

Ireland								Ireland	10,739		2,896		13,635
Luxembourg								Luxembourg	12,342		728		13,070
Canada	Canada	6,199		2,170		8,369		Canada	6,849		3,372		10,221
Australia	Australia	5,755		1,357		7,112		Australia	4,552		1,616		6,168
Luxembourg		5,291		978		6,269

Ireland		1,877		3,126		5,003

Japan								Japan	2,919		841		3,760
France	France	1,877		1,881		3,758		France	1,924		1,757		3,681
December 31, 2021	December 31, 2021							December 31, 2021
Germany	Germany	$	30,263	$	202	$	30,465	Germany	$	30,263	$	202	$	30,465
United Kingdom	United Kingdom	13,075		1,287		14,362		United Kingdom	13,075		1,287		14,362
Japan	Japan	10,713		878		11,591		Japan	10,713		878		11,591
Canada	Canada	8,201		999		9,200		Canada	8,201		999		9,200
Australia	Australia	6,862		534		7,396		Australia	6,862		534		7,396
Luxembourg	Luxembourg	6,300		601		6,901		Luxembourg	6,300		601		6,901
Ireland	Ireland	2,822		852		3,674		Ireland	2,822		852		3,674

(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 ~~June~~September 30, 2022, there were no countries whose aggregate cross-border outstandings ~~amount~~amounted to between 0.75% and 1% of our consolidated assets. As of December 31, 2021, aggregate cross-border outstandings in France amounted to between 0.75% and 1% of our consolidated total assets, at approximately $2.83 billion.

Risk Management

In the normal course of our global business activities, we are exposed to a variety of risks, some inherent in the financial services industry, others 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;

State Street Corporation | 32

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

•market risk associated with our trading activities;

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

•model risk;

•strategic risk; and

•reputational, fiduciary and business conduct risk.

~~State Street Corporation | 32~~

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

~~AND RESULTS OF OPERATIONS~~

Many of these risks, as well as certain ~~of the~~ factors underlying each of these risks that could affect our businesses and our consolidated financial statements, are discussed in detail on pages 23 to 51 included under Item 1A, Risk Factors, in our 2021 Form 10-K.

For additional information about our risk management, including our risk appetite framework and risk governance committee structure, refer to pages 83 to 88 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, Risk Management, in our 2021 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 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 and fees receivables.

Allowance for Credit Losses

We maintain an allowance for credit losses to support certain on-balance sheet credit exposures, including financial assets held at amortized cost. We also maintain an allowance for unfunded commitments and letters of credit to support our off-balance sheet credit exposure. The two components together represent the allowance for credit losses. 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 management's forecast of future expected losses.

In the ~~second~~third quarter of 2022, our allowance estimate reflected a downward shift in management's economic outlook, ~~partially~~which was offset by a ~~decrease in expected losses resulting from a~~ reduction in ~~leveraged~~ loan ~~balances within our portfolio.~~portfolio risk. Allowance estimates remain subject to continued model and economic uncertainty 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 ~~June~~September 30, 2022, 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 and controls, refer to pages 88 to 93 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, Credit Risk Management, in our 2021 Form 10-K.

Liquidity Risk Management

Our liquidity framework contemplates areas of potential risk 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.

We manage our liquidity on a global, consolidated basis. We also manage liquidity on a stand-alone basis at our Parent Company, as well as 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. The Parent Company is managed to a more conservative liquidity profile, reflecting narrower market access. 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

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Management's Discussion and Analysis, enough cash to meet its current debt maturities and cash needs, as well as those projected over the next one-year period. Reference our SPOE Strategy as discussed in the "Uses of Liquidity" section of this Management's Discussion and Analysis. Absent financial distress at the Parent Company, the liquid assets available at SSIF continue to be available to the Parent Company. As of ~~June~~September 30, 2022, our Parent Company and State

~~State Street Corporation | 33~~

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

~~AND RESULTS OF OPERATIONS~~

Street Bank had approximately ~~$1.75~~$1.01 billion of senior notes 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 metrics, refer to pages 93 to 98 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, Liquidity Risk Management, in our 2021 Form 10-K. For additional information on our liquidity ratios, including LCR and the net stable funding ratio, refer to page 14 included under Item 1, Business, in our 2021 Form 10-K.

Asset Liquidity

Central to the management of our liquidity is asset liquidity, which consists primarily of HQLA. HQLA is the amount of liquid assets that qualify for inclusion in the LCR. As a banking organization, we are subject to a minimum LCR under the LCR rule approved by U.S. banking regulators. The LCR is intended to promote the short-term resilience of internationally active banking organizations, like 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. HQLA primarily consists of unencumbered cash and certain high quality liquid securities that qualify for inclusion under the LCR rule. We report LCR to the Federal Reserve daily. For the quarters ended ~~June~~September 30, 2022 and December 31, 2021, daily average LCR for the Parent Company was 106% and 105%, respectively. The impact of higher deposits on the

Parent Company's LCR is offset 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 the U.S. LCR Final Rule as it prohibits the upstreaming of liquidity under stress. The average HQLA, post-prescribed haircuts for the Parent Company under the LCR final rule definition was $~~141.22~~130.55 billion ~~and~~for the quarter ended September 30, 2022 compared to $159.36 billion ~~post-prescribed haircuts,~~ for the ~~quarters~~quarter ended ~~June 30, 2022 and~~ December 31, 2021, ~~respectively.~~primarily due to a decrease in client deposits relative to the prior period. For the quarter ended ~~June~~September 30, 2022, LCR for State Street Bank and Trust was approximately ~~122%~~116%. State Street Bank and Trust's LCR is higher than the Parent Company's LCR, primarily due to application of the transferability restriction in the LCR Final Rule to the calculation of the Parent Company's LCR. This restriction limits the HQLA used in the calculation of the Parent Company's LCR to the amount of net cash outflows of its principal banking subsidiary (State Street Bank and Trust). This transferability restriction does not apply in the calculation of State Street Bank and Trust's LCR, and therefore State Street Bank and Trust's LCR reflects the benefit of all of its HQLA holdings.

We maintained average cash balances in excess of regulatory requirements governing deposits with the Federal Reserve of approximately $~~72.53~~65.13 billion at the Federal Reserve, the ECB and other non-U.S. central banks for the quarter ended ~~June~~September 30, 2022, and $83.48 billion for the quarter ended December 31, 2021. The lower levels of average cash balances with central banks reflect lower levels of client deposits.

Liquid securities carried in our asset liquidity include securities pledged without corresponding advances from the 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. As of both ~~June~~September 30, 2022 and December 31, 2021, we had no outstanding borrowings from the FHLB.

Access to primary, intra-day and contingent liquidity provided by these utilities is an important source of contingent liquidity with utilization subject to

State Street Corporation | 34

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

underlying conditions. As of both ~~June~~September 30, 2022 and December 31, 2021, we had no outstanding primary credit borrowings from the ~~FRBB~~FRBB discount window or any other central bank facility.

In addition to the securities included in our asset liquidity, we have significant amounts of other unencumbered investment securities. These securities are available sources of liquidity, although not as rapidly deployed as those included in our asset liquidity.

~~State Street Corporation | 34~~

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

~~AND RESULTS OF OPERATIONS~~

The average fair value of total unencumbered securities was $~~91.34~~85.16 billion for the quarter ended ~~June~~September 30, 2022, compared to $99.47 billion for the quarter ended December 31, 2021.

Uses of Liquidity

Significant uses of our liquidity could result from the following: withdrawals of client deposits; drawdowns 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 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 ~~$32.94~~$31.53 billion and $33.03 billion and standby letters of credit totaling ~~$2.54~~$2.16 billion and $3.24 billion as of ~~June~~September 30, 2022 and December 31, 2021, respectively. These amounts do not reflect the value of any collateral. As of ~~June~~September 30, 2022, approximately ~~78%~~76% of our unfunded commitments to extend credit and ~~38%~~26% 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

Under Section 165(d) of the Dodd-Frank Act, we are required to submit a resolution plan on a biennial basis jointly to the Federal Reserve and the FDIC (the Agencies). The purpose of our resolution plan is to describe our preferred resolution strategy and to demonstrate that we have the resources and capabilities to execute on that strategy in the event of major financial distress. Through resolution planning, we seek to maintain our role as a key infrastructure provider within the financial system, while minimizing risk to the financial system.

The final rule published in the Federal Register on November 1, 2019 requires a full resolution plan

and a targeted resolution plan on an alternating basis in the relevant submission years. We submitted our updated 2021 targeted 165(d) resolution plan by July 1, 2021. The targeted resolution plan included the core elements of resolution planning and some specific firm level information about the impact of the COVID-19 pandemic on resolution planning. In addition, actions taken to remediate the 2019 shortcoming related to the implementation of governance mechanisms were included in the plan. ~~Our next full resolution plan is due July 1, 2023.~~

In the event of material financial distress, our preferred resolution strategy is the SPOE Strategy. 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 direct subsidiary of the Parent Company), our Beneficiary Entities (as defined below) and certain of our other entities, SSIF is obligated, up to its available resources, to recapitalize and/or provide liquidity to State Street Bank and the other 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 subsidiaries would be transferred to a newly organized holding company 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 in marketable securities and other cash and non-cash equivalent investments) to SSIF 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 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 Company Funding Notes) that together are intended to allow the Parent Company to continue to meet its obligations throughout the period prior to the occurrence of a "Recapitalization Event", which is defined under the

State Street Corporation | 35

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

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 obligate SSIF to maintain any specific level of resources and SSIF may not have sufficient resources to implement the SPOE Strategy.

~~State Street Corporation | 35~~

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

~~AND RESULTS OF OPERATIONS~~

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 our policies, we are required to monitor, on an ongoing basis, the capital and liquidity needs of State Street Bank and our other Beneficiary Entities. To support this process, 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 our financial condition occur. The trigger 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 that results in us emerging from resolution as a 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, (which specifically exclude amounts designated to fund expected expenses during a potential bankruptcy proceeding); (3) SSIF would be required to provide capital and liquidity support to the Beneficiary Entities to support such entities’ continued 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 proceedings under the U.S. Bankruptcy Code. No person or entity, other than a party to the support agreement, should rely on any of our affiliates being or remaining a Beneficiary Entity or receiving capital or liquidity support pursuant to the support agreement, including in evaluating any of our entities from a creditor's perspective or determining whether to enter into a contractual relationship with any of our entities.

State Street Bank is also required to submit periodically to the FDIC a plan for resolution in the event of its failure, referred to as an IDI plan. We submitted our last IDI plan before July 1, 2018. In November 2018, the FDIC had announced that until the 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 submit a recovery plan to the Federal Reserve. This plan includes detailed governance triggers and contingency actions that can be implemented in a timely manner in the event of extreme financial distress. We also have recovery planning requirements in certain international jurisdictions where we operate.

Funding

Deposits

We provide products and services including custody, accounting, administration, daily pricing, 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 our entities in various currencies. As of both ~~June~~September 30, 2022 and December 31, 2021, approximately 65% of our average total deposit balances were denominated in U.S. 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 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 ~~$0.95~~$4.25 billion and $1.58 billion as of ~~June~~September 30, 2022 and December 31, 2021, respectively.

~~State Street Bank currently maintains a line of credit with a financial institution of CAD~~ ~~$1.40 billion, or approximately~~ ~~$1.09 billion, as of June 30, 2022, to support its Canadian securities processing operations. The line of credit has~~ no ~~stated termination date and is cancelable by either party with prior notice. As of both June 30, 2022 and~~

State Street Corporation | 36

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

State Street Bank currently maintains a line of credit with a financial institution of CAD $1.40 billion, or approximately $1.02 billion, as of September 30, 2022, to support its Canadian securities processing operations. The line of credit has no stated termination date and is cancelable by either party with prior notice. As of both September 30, 2022 and December 31, 2021, there was no balance outstanding on this line of credit.

Long-Term Funding

We have the ability to issue debt and equity securities under our current universal shelf registration statement to meet current commitments and business needs. In addition, State Street Bank also has current authorization from the Board to issue unsecured senior debt. The total amount remaining for issuance pursuant to this authority is $2.15 billion as of ~~June~~September 30, 2022.

On February 7, 2022, we issued $300 million aggregate principal amount of 1.746% fixed-to-floating rate senior notes due 2026, $650 million aggregate principal amount of 2.203% fixed-to-floating rate senior notes due 2028 and $550 million aggregate principal amount of 2.623% fixed-to-floating rate senior notes due 2033.

On March 30, 2022, we redeemed $750 million aggregate principal amount of 2.825% fixed-to-floating rate senior notes due 2023.

On May 13, 2022, we issued $500 million aggregate principal amount of 4.421% fixed-to-floating rate senior notes due 2033.

On May 15, 2022, we redeemed $750 million aggregate principal amount of 2.653% fixed-to-floating rate senior notes due 2023.

On August 4, 2022, we issued $750 million aggregate principal amount of 4.164% fixed-to-floating rate senior notes due 2033.

Agency Credit Ratings

Our ability to maintain consistent access to liquidity is fostered by the maintenance of high 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

•preparedness for current or future regulatory developments.

High ratings limit borrowing costs and enhance our liquidity by:

•providing assurance for unsecured funding and depositors;

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

•serving markets; and

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

A downgrade or reduction of 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 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 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 provided in Note 7 to the consolidated financial statements 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.

Tight labor markets, challenging conditions in the global equity and fixed income markets, and heightened geopolitical tensions, including the ongoing war in Ukraine, ~~and lingering impacts from the COVID-19 pandemic~~ are resulting in stress on the operating environment and have increased, and may continue to increase, operational risk. The war in Ukraine may also ~~heightens~~heighten information technology risk exposures, including cyber-threats. See also “Information Technology Risk Management” below.

For additional information about our operational risk framework, refer to pages 99 to 102 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, ~~"Operational~~

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

"Operational Risk Management", in our 2021 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.

~~State Street Corporation | 37~~

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

~~AND RESULTS OF OPERATIONS~~

For additional information about our information technology risk framework and associated risks, refer to pages 102 to 103 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, "Information Technology Risk Management" in our 2021 Form 10-K, and pages 46 to 47 included under Item 1A, Risk Factors, in our 2021 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 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 103 to 105 included under Item 7, Management's Discussion and Analysis of Financial Condition and

Results of Operations, "Market Risk Management" in our 2021 Form 10-K.

As part of our trading activities, we assume positions in the foreign exchange and interest rate markets by buying and selling cash instruments and entering into derivative instruments, including foreign exchange forward contracts, foreign exchange and interest rate options and interest rate swaps, interest rate forward contracts and interest rate futures. As of ~~June~~September 30, 2022, the notional amount of these

derivative contracts was ~~$2.23~~$2.09 trillion, of which ~~$2.20~~$2.06 trillion was composed of foreign exchange forward, swap and spot contracts. We seek to match positions closely with the objective of mitigating related currency and interest rate risk. All foreign exchange contracts are valued daily at current market rates.

Value-at-Risk 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.

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 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, and the market volatility triggered by the COVID-19 pandemic in March 2020. As the historical data set used to determine the stress period expands over time, future market stress events will be incorporated.

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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 105 to 110 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, "Value-at-Risk and Stressed VaR" in our 2021 Form 10-K.

~~State Street Corporation | 38~~

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

~~AND RESULTS OF OPERATIONS~~

Stress Testing

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 risk and volatility risk).

Stress testing results and limits are actively monitored on a daily basis by Enterprise Risk Management (ERM) and reported to the 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 CMRC if material. In addition, we have established several action triggers that prompt 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 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 ~~no back-testing exceptions in the quarter ended June 30, 2022,~~ one back-testing exception in the quarter ended ~~March 31,~~September 30, 2022, ~~and~~which was driven by market volatility in GBP towards the end of September. We had no back-testing exceptions in the ~~quarter~~quarters ended June 30, 2022 and September 30, 2021. 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).

The following tables present VaR and stressed VaR associated with our trading activities for covered positions held during the quarters ended September 30, 2022, June 30, 2022 ~~March 31, 2022~~ and ~~June~~September 30, 2021, respectively, as measured by our VaR 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 28: TEN-DAY VALUE-AT-RISK ASSOCIATED WITH TRADING ACTIVITIES FOR COVERED POSITIONS
Three Months Ended As of June 30, 2022 As of March 31, 2022 As of June 30, 2021
June 30, 2022 March 31, 2022 June 30, 2021
(In thousands) Avg. Max. Min. Avg. Max. Min. Avg. Max. Min. VaR VaR VaR
Global Markets $ 8,248

$ 16,319

$ 3,830 $ 11,401 $ 25,779 $ 3,341 $ 15,283 $ 25,020 $ 6,974 $ 9,152 $ 4,474 $ 20,989
Global Treasury 971

1,522

788 776 1,714 559 4,342 9,451 460 1,522 1,079 3,667
Diversification (1,055)

(1,602)

(925) (849)

(1,418)

(399) (2,671) (7,136) 474 (2,366) (1,214) (812)
Total VaR $ 8,164

$ 16,239

$ 3,693 $ 11,328 $ 26,075 $ 3,501 $ 16,954 $ 27,335 $ 7,908 $ 8,308 $ 4,339 $ 23,844
TABLE 29: TEN-DAY STRESSED VALUE-AT-RISK ASSOCIATED WITH TRADING ACTIVITIES FOR COVERED POSITIONS
Three Months Ended As of June 30, 2022 As of March 31, 2022 As of June 30, 2021
June 30, 2022 March 31, 2022 June 30, 2021
(In thousands) Avg. Max. Min. Avg. Max. Min. Avg. Max. Min. VaR VaR VaR
Global Markets $ 42,486

$ 97,420

$ 20,553 $ 37,341 $ 64,435 $ 23,242 $ 36,478 $ 74,475 $ 13,037 $ 43,306 $ 40,529 $ 56,998
Global Treasury 3,125

7,903

1,057 2,977 8,428 778 12,644 29,651 2,042 5,642 5,687 6,462
Diversification (4,491)

(9,384)

(2,690) (3,825) (9,841) (1,365) (6,471) (8,193) 1,690 (5,396) (9,063) 8,473
Total Stressed VaR $ 41,120

$ 95,939

$ 18,920 $ 36,493 $ 63,022 $ 22,655 $ 42,651 $ 95,933 $ 16,769 $ 43,552 $ 37,153 $ 71,933

The three month average of our stressed VaR-based measure was approximately $41 million for the quarter ended June 30, 2022, compared to an average of approximately $36 million for the quarter ended March 31, 2022 and $43 million for the quarter ended June 30, 2021. The increase in the average stressed VaR for the quarter ended June 30, 2022, compared to the quarter ended March 31, 2022, is primarily attributed to higher foreign exchange and interest rate risk positions.


TABLE 28: TEN-DAY VALUE-AT-RISK ASSOCIATED WITH TRADING ACTIVITIES FOR COVERED POSITIONS
	Three Months Ended														As of September 30, 2022		As of June 30, 2022			As of September 30, 2021
	September 30, 2022						June 30, 2022						September 30, 2021
(In thousands)	Avg.		Max.		Min.		Avg.		Max.		Min.		Avg.						Max.			Min.			VaR			VaR	VaR
Global Markets	$	6,851	$	14,063	$	2,631	$	8,248	$	16,319	$	3,830	$	17,071	$	30,485	$	11,417		$	7,407		$	9,152		$	15,314
Global Treasury	4,537		7,255		2,373		971		1,522		788		1,357		5,468		220			4,619			1,522			1,131
Diversification	(4,029)		(8,043)		(1,241)		(1,055)		(1,602)		(925)		(925)		(5,444)		(185)			(4,480)			(2,366)			(1,285)
Total VaR	$	7,359	$	13,275	$	3,763	$	8,164	$	16,239	$	3,693	$	17,503	$	30,509	$	11,452		$	7,546		$	8,308		$	15,160

TABLE 29: TEN-DAY STRESSED VALUE-AT-RISK ASSOCIATED WITH TRADING ACTIVITIES FOR COVERED POSITIONS
	Three Months Ended														As of September 30, 2022		As of June 30, 2022			As of September 30, 2021
	September 30, 2022						June 30, 2022						September 30, 2021
(In thousands)	Avg.		Max.		Min.		Avg.		Max.		Min.		Avg.						Max.			Min.			VaR			VaR	VaR
Global Markets	$	29,428	$	62,994	$	16,413	$	42,486	$	97,420	$	20,533	$	53,508	$	101,535	$	26,874		$	32,798		$	43,306		$	45,720
Global Treasury	6,183		9,526		3,375		3,125		7,903		1,057		4,053		15,424		1,229			7,803			5,642			6,230
Diversification	(7,150)		(15,837)		(3,611)		(4,491)		(9,384)		(2,670)		(2,798)		(5,791)		(1,662)			(12,384)			(5,396)			(7,930)
Total Stressed VaR	$	28,461	$	56,683	$	16,177	$	41,120	$	95,939	$	18,920	$	54,763	$	111,168	$	26,441		$	28,217		$	43,552		$	44,020

State Street Corporation | 39

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

The three month average of our total stressed VaR-based measure was approximately $28 million for the quarter ended September 30, 2022, compared to an average of approximately $41 million for the quarter ended June 30, 2022 and $55 million for the quarter ended September 30, 2021. The decrease in the average total stressed VaR compared to the quarter ended June 30, 2022, is primarily attributed to lower foreign exchange and interest rate risk 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. While overall levels of volatility have varied over the historical observation periods, smaller residual market risk positions during the quarter have led to a reduction in VaR measures presented.

We have in the past and 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 any future modifications and adjustments may result in changes in our VaR-based and stressed VaR-based measures.

The following tables present the VaR and stressed-VaR associated with our trading activities attributable to foreign exchange risk, interest rate risk and volatility risk as of September 30, 2022, June 30, 2022 ~~March 31, 2022~~ and ~~June~~September 30, 2021, respectively. 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 30: TEN-DAY VaR ASSOCIATED WITH TRADING ACTIVITIES BY RISK FACTOR(1)	TABLE 30: TEN-DAY VaR ASSOCIATED WITH TRADING ACTIVITIES BY RISK FACTOR(1)																						TABLE 30: TEN-DAY VaR ASSOCIATED WITH TRADING ACTIVITIES BY RISK FACTOR(1)
		As of June 30, 2022						As of March 31, 2022					As of June 30, 2021								As of September 30, 2022	As of June 30, 2022		As of September 30, 2021
(In thousands)	(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						(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:																								By component:
Global Markets	Global Markets	$	6,109	$	6,010	$	127		$	2,512	$	3,368	$	495	$	6,859	$	16,327	$	701					Global Markets	$	4,278	$	6,669	$	319	$	6,109	$	6,010	$	127	$	7,411	$	16,637	$	549
Global Treasury	Global Treasury	750		1,538		—			889		815		—		97		3,950		—						Global Treasury	4,366		1,151		—		750		1,538		—		246		1,304		—
Diversification	Diversification	(529)		(2,469)		—			(869)		(899)		—		(234)		687		—						Diversification	(3,836)		(1,028)		—		(529)		(2,469)		—		(53)		(1,335)		—
Total VaR	Total VaR	$	6,330	$	5,079	$	127		$	2,532	$	3,284	$	495	$	6,722	$	20,964	$	701					Total VaR	$	4,808	$	6,792	$	319	$	6,330	$	5,079	$	127	$	7,604	$	16,606	$	549


TABLE 31: TEN-DAY STRESSED VaR ASSOCIATED WITH TRADING ACTIVITIES BY RISK FACTOR(1)	TABLE 31: TEN-DAY STRESSED VaR ASSOCIATED WITH TRADING ACTIVITIES BY RISK FACTOR(1)																					TABLE 31: TEN-DAY STRESSED VaR ASSOCIATED WITH TRADING ACTIVITIES BY RISK FACTOR(1)
		As of June 30, 2022						As of March 31, 2022					As of June 30, 2021						As of September 30, 2022				As of June 30, 2022						As of September 30, 2021
(In thousands)	(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				(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:																							By component:
Global Markets	Global Markets	$	7,440	$	39,764	$	200		$	8,352	$	57,507	$	540	$	10,456	$	59,710		$	747			Global Markets	$	8,712	$	36,225		$	524	$	7,440	$	39,764	$	200	$	7,925	$	73,540	$	575
Global Treasury	Global Treasury	1,375		5,766		—			1,076		5,746		—		117		6,350			—				Global Treasury	5,933		7,640			—		1,375		5,766		—		299		6,509		—
Diversification	Diversification	(709)		(6,631)		—			(1,403)		(7,286)		—		(191)		8,450			—				Diversification	(6,135)		(9,412)			—		(709)		(6,631)		—		(177)		(7,058)		—
Total Stressed VaR	Total Stressed VaR	$	8,106	$	38,899	$	200		$	8,025	$	55,967	$	540	$	10,382	$	74,510		$	747			Total Stressed VaR	$	8,510	$	34,453		$	524	$	8,106	$	38,899	$	200	$	8,047	$	72,991	$	575

(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 risk that is captured by the measures used for interest rate risk. Accordingly, the interest rate risk embedded in these foreign exchange instruments is included in the interest rate risk component.

Asset and Liability Management Activities

The primary objective of asset and liability management is to provide sustainable NII under varying economic conditions, while protecting the economic value of the assets and liabilities carried on 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, as well as the currency composition of our significant non-U.S. dollar denominated client 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 rate shocks. Our baseline view of NII is updated on a regular basis. Table 32, Key Interest Rates for Baseline Forecasts, presents the spot and 12-month forward rates used in our baseline forecasts at ~~June~~September 30, 2022 and ~~June~~September 30, 2021. Our ~~June~~September 30, 2022 baseline forecast broadly aligns to the market’s expectations for a rapid increase in global central bank rates in response to rising inflation. In addition to higher interest rates, we are also forecasting gradual deposit balance rotation and reductions along with increasing deposit betas as a result of quantitative tightening and rising interest rates.

TABLE 32: KEY INTEREST RATES FOR BASELINE FORECASTS
June 30, 2022(1)
June 30, 2021
Fed Funds Target
ECB Target(2)
10-Year Treasury Fed Funds Target
ECB Target(2)
10-Year Treasury
Spot rates 1.75 % (0.50) % 3.01 % 0.25 % (0.50) % 1.47 %
12-month forward rates 3.75 1.25 3.40 0.25 (0.50) 1.83

State Street Corporation | 40

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS


TABLE 32: KEY INTEREST RATES FOR BASELINE FORECASTS
	September 30, 2022(1)						September 30, 2021
	Fed Funds Target		ECB Target(2)		10-Year Treasury		Fed Funds Target		ECB Target(2)		10-Year Treasury
Spot rates	3.25	%	0.75	%	3.83	%	0.25	%	(0.50)	%	1.49	%
12-month forward rates	4.50		3.00		3.79		0.25		(0.50)		1.70

(1) This reflects our internal interest rate forecast as of ~~June~~September 30, 2022.

(2) European Central Bank deposit facility rate.

~~State Street Corporation | 40~~

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

~~AND RESULTS OF OPERATIONS~~

In Table 33: Net Interest Income Sensitivity, we report the expected change in NII over the next twelve months from instantaneous shocks to various tenors on the yield curve relative to our baseline rate forecast, including the impacts from U.S. and non-U.S. rates. Each scenario assumes no management action is taken to mitigate the adverse effects of interest rates changes 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 forecast which assumes gradual deposit balance rotation and reductions. In lower rate scenarios, the full impact of the shock is realized for all currencies even if the result is negative interest rates.


TABLE 33: NET INTEREST INCOME SENSITIVITY	TABLE 33: NET INTEREST INCOME SENSITIVITY													TABLE 33: NET INTEREST INCOME SENSITIVITY
		June 30, 2022(1)						June 30, 2021							September 30, 2022(1)						September 30, 2021
(In millions)	(In millions)	U.S. Dollar		All Other Currencies		Total		U.S. Dollar		All Other Currencies		Total		(In millions)	U.S. Dollar		All Other Currencies		Total		U.S. Dollar		All Other Currencies		Total
Rate change:	Rate change:	Benefit (Exposure)						Benefit (Exposure)						Rate change:	Benefit (Exposure)						Benefit (Exposure)
Parallel shifts:	Parallel shifts:													Parallel shifts:
+100 bps shock	+100 bps shock	$	(28)	$	471	$	443	$	644	$	286	$	930	+100 bps shock	$	(181)	$	415	$	234	$	507	$	323	$	830
–100 bps shock	–100 bps shock	13		(356)		(343)		804		155		959		–100 bps shock	155		(380)		(225)		921		96		1,017
Steeper yield curve:	Steeper yield curve:													Steeper yield curve:
'+100 bps shift in long-end rates(2)	'+100 bps shift in long-end rates(2)	22		6		28		134		1		135		'+100 bps shift in long-end rates(2)	23		6		29		136		16		152
'-100 bps shift in short-end rates(2)	'-100 bps shift in short-end rates(2)	38		(350)		(312)		954		156		1,110		'-100 bps shift in short-end rates(2)	178		(374)		(196)		1,070		111		1,181
Flatter yield curve:	Flatter yield curve:													Flatter yield curve:
'+100 bps shift in short-end rates(2)	'+100 bps shift in short-end rates(2)	(50)		465		415		510		284		794		'+100 bps shift in short-end rates(2)	(203)		409		206		371		307		678
'-100 bps shift in long-end rates(2)	'-100 bps shift in long-end rates(2)	(24)		(6)		(30)		(148)		(2)		(150)		'-100 bps shift in long-end rates(2)	(23)		(6)		(29)		(143)		(16)		(159)

(1) Does not reflect any impact of our proposed acquisition of the BBH Investor Services business.

(2) 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. However, our USD balance sheet has become liability driven by rising USD deposit betas and deposit balance rotation. Our NII sensitivities assumes no management actions are taken to change modeled outcomes including the +100 basis point scenario which assumes that the level of Fed Funds reaches 5.5%.

As of ~~June~~September 30, 2022, USD NII ~~from non-U.S.~~benefits in lower rate scenarios and is exposed to higher rates ~~is expected~~primarily driven by our sensitivities on the short-end of the yield curve. Compared to ~~benefit from~~September 30, 2021, our short-end USD sensitivity has changed due to the higher level of market interest rates and the Federal Reserve’s quantitative tightening program resulting in higher deposit betas and deposit balance rotation and reductions. Long-end USD sensitivities have decreased since September 30, 2021 through the implementation of investment portfolio risk reduction strategies resulting in lower securities duration.

As of September 30, 2022, non-USD NII benefits in higher rate scenarios and is exposed to lower ~~rates. The benefit from higher~~ rates isprimarily driven by our sensitivities on the short-end of the yield ~~curve and our deposit beta assumptions in currencies such as EUR and GBP.~~curve. Compared to ~~June~~September 30, 2021, our ~~non-U.S. benefit~~short-end non-USD sensitivity to higher ~~interest~~ rates has increased due to ~~rising ECB rates in our baseline forecast which assumes lower EUR betas once~~ the ECB ~~target rate exceeds 0.25%. Compared~~shifting from negative to ~~June 30, 2021, our non-U.S. exposure~~positive interest rates resulting in lower deposit betas. Our short-end non-USD sensitivity to lower rates has become negative as higher interest rates ~~has also~~and higher forecasted baseline NII have increased ~~as we begin to realize higher levels of NII from non-U.S. currencies in our baseline forecast.~~

~~As of June 30, 2022, our NII sensitivity from U.S. rates is limited in both higher and lower rate shocks and against short and long-end rate changes.This level of U.S. NII sensitivity is primarily driven by our baseline rate forecast which assumes that the Fed Funds target rises to 3.50% by year-end 2022 and 3.75% by June 2023.~~Once U.S. short-end rates reach those levels, the baseline forecast projects significantly higher levels of annual NII and USD deposit betas increase, to the point that the repricing characteristics of our USD assets and liabilities are substantially aligned.Our scenarios assume that deposit betas are higher than the last U.S. rising rate cycle from 2016-2018 due to our current deposit mix and greater quantitative tightening this cycle by the Federal Reserve.

~~As of June 30, 2022, USD NII in the +100bp shock scenario estimates $28 million of~~non-USD NII at risk ~~with the level of Fed Funds reaching 4.75%.Consistent with our interest rate risk simulation methodology, this estimate assumes no management action is taken to reposition the balance sheet.~~While this is our standard modeling approach, in a higher and rising rate environment, management would likely target a neutral asset sensitivity posture by using interest rate swaps and other balance sheet actions.

Compared to June 30, 2021, our reduced benefit to higher rate scenarios is driven by rising deposit betas, expectations for deposit rotation from quantitative tightening and less investment portfolio reinvestment.~~USD NII in the -100bp shock scenario estimates a $13 million benefit.Compared to June 30, 2021, our reduced benefit~~ to lower ~~rates is driven by the higher USD yield curve which is no longer impacted by negative interest rates in the -100bp scenario.The June 30, 2021 sensitivities included a significant NII benefit from negative rates by charging interest on client deposits and the impacts of contractual floors on loans and securities.~~rates.

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 Financial Condition and Results of Operations, “Risk Management”.

State Street Corporation | 41

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Model Risk Management

The use of 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 source of risk. In large banking organizations like 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.

For additional information about our model risk management framework, including our governance and model validation, refer to pages 111 to 112 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, "Model Risk Management", in our 2021 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 business 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.

~~The~~On March 5, 2021, the Intercontinental Exchange Benchmark Administration (IBA), in conjunction with the United Kingdom Financial Conduct Authority (FCA), ~~ceased~~announced that it would cease the publication of ~~GBP,~~all EUR and Swiss Franc LIBOR settings, the overnight, one week, two week, two month and ~~the~~twelve month GBP LIBOR and Japanese Yen (JPY) LIBOR settings, ~~for all tenors, as well as~~and the one week and two months U.S. dollar LIBOR settings, onas of December 31, 2021. Furthermore, the IBA announced that onas of June 30, 2023, it would cease the publication of the overnight and twelve months U.S. dollar LIBOR settings and that as of June 30, 2023 the 1one month, 3three month and 6six month USD LIBOR setting would become non-representative.

~~For~~ 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 settings, ~~the FCA required in September 2021 that the IBA continue publication of rates~~ on a synthetic, non-representative basis from year-end 2021 for a period of at least one year. ~~A decision by~~

On June 30, 2022, the FCA ~~regarding~~issued a consultation on winding down synthetic tenors of GBP LIBOR and on the ~~publication by the IBA~~potential introduction of a synthetic version of certain USD LIBOR settings ~~from~~as of June 30, ~~2023~~2023. On September 29, 2022, the FCA confirmed in conjunction with the IBA, the cessation of all synthetic JPY LIBOR settings as of December 31, 2022 and the cessation of the one month and six month GBP LIBOR setting as of March 2023. The FCA continues to assess the appropriate cessation date for the remaining three month GBP LIBOR setting and whether to compel the publication of any synthetic version of certain USD LIBOR tenors. A decision on ~~a synthetic, non-representative basis has not yet been made and no assumption should be made regarding their availability.~~these matters is expected in the fourth quarter of 2022.

On March 15, 2022, the U.S. Congress adopted, as part of the Consolidated Appropriation Act of 2022, the Adjustable Interest (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 ~~Board of Governors of the~~ Federal Reserve ~~System~~ issued a notice of proposed rulemaking on a ~~proposed regulation~~proposal to implement the LIBOR Act, as required by its terms. ~~The LIBOR Act requires implementing regulations~~A final rule is expected to be issued by the Federal Reserve in ~~place within 180 days~~the fourth quarter of ~~its enactment.~~2022.

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 roles as service provider ~~roles~~ to our customers. This process is led by a ~~wide,~~firm-wide, multidisciplinary LIBOR program management office (“LIBOR PMO”), established in September 2018, that will continue to lead our transition efforts through June 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 of our quantitative models and information technology systems, managing vendors, contracts remediation, ~~adoption of alternative reference rates for various financial products and services,~~ 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 ~~work identified by the~~ LIBOR ~~PMO~~PMO's work for implementation of the transition to alternative reference rates is substantially complete, and contingency plans have been developed with respect to identified uncertainties.

State Street Corporation | 42

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

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 exposure to LIBOR is limited and primarily includes 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 on balance

~~State Street Corporation | 42~~

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

~~AND RESULTS OF OPERATIONS~~

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 June 2023 is largely governed by existing fallback language, or national legislation that 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.

For additional information about our strategic risk management framework and associated risks, refer to pages 112 to 113 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, "Strategic Risk Management", in our 2021 Form 10-K, and page 44 included under Item 1A, Risk Factors, in our 2021 Form 10-K - "The market transition away from broad use of the London Interbank Offered Rate (LIBOR) as an interest rate benchmark may impose additional costs on us and may expose us to increased operational, model and financial risk."

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.

Our designation as a G-SIB is based on a number of 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 2.0% SLR buffer in addition to the required minimum of 3% under the 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 shortfall) regarding capital distributions and discretionary executive bonus payments.

Not all of our competitors have similarly been designated as systemically important nor are all of them subject to the same degree of regulation as a bank or financial holding company, and therefore

some of our competitors may not be subject to the same capital, liquidity and other regulatory requirements.

For additional information about our capital, refer to pages 113 to 121 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, in our 2021 Form 10-K.

Regulatory Capital

We and State Street Bank, as advanced approaches banking organizations, are subject to the U.S. Basel III framework. We are also subject to the final market risk capital rule issued by U.S. banking 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 Act enacted in 2010 and the SCB rule enacted in 2020, we and State Street Bank, as advanced approaches banking organizations, are subject to a "capital floor," also referred to as the Collins Amendment, in the assessment of our regulatory capital adequacy, including the capital conservation buffer (CCB) and the SCB, for the advanced approaches and standardized approach, respectively, and a countercyclical capital buffer. In addition, we are subject to a G-SIB surcharge. Our risk-based capital ratios for regulatory assessment purposes are the lower of each ratio calculated under the advanced approaches and standardized approach.

State Street Corporation | 43

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

The SCB replaced, under the standardized approach, the ~~capital conservation buffer~~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. The countercyclical capital buffer is currently set at zero by U.S. banking regulators.

~~State Street Corporation | 43~~

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

~~AND RESULTS OF OPERATIONS~~

Our minimum risk-based capital ratios as of January 1, 2022, 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 as of December 31, 2021, our G-SIB surcharge beginning January 1, 2024 could increase to 1.5%. Accordingly, we have developed a balance sheet management plan intended to result in a G-SIB surcharge calculation of 1.0% as of December 31, 2022 which, if effective, would result in our maintaining our current G-SIB surcharge of 1.0% through December 31, 2024.

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

The market risk capital 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 rule as “covered positions,” as well as stressed-VaR measures to supplement the VaR measures. The rule also requires a public disclosure composed of qualitative and quantitative information about the market risk associated with our 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.

The following table presents the regulatory capital structure and related regulatory capital ratios for 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.

State Street Corporation | 44

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS


TABLE 34: REGULATORY CAPITAL STRUCTURE AND RELATED REGULATORY CAPITAL RATIOS	TABLE 34: REGULATORY CAPITAL STRUCTURE AND RELATED REGULATORY CAPITAL RATIOS																													TABLE 34: REGULATORY CAPITAL STRUCTURE AND RELATED REGULATORY CAPITAL RATIOS
						State Street Corporation												State Street Bank																	State Street Corporation												State Street Bank
(Dollars in millions)	(Dollars in millions)					Basel III Advanced Approaches June 30, 2022			Basel III Standardized Approach June 30, 2022			Basel III Advanced Approaches December 31, 2021			Basel III Standardized Approach December 31, 2021			Basel III Advanced Approaches June 30, 2022			Basel III Standardized Approach June 30, 2022			Basel III Advanced Approaches December 31, 2021			Basel III Standardized Approach December 31, 2021			(Dollars in millions)					Basel III Advanced Approaches September 30, 2022			Basel III Standardized Approach September 30, 2022			Basel III Advanced Approaches December 31, 2021			Basel III Standardized Approach December 31, 2021			Basel III Advanced Approaches September 30, 2022			Basel III Standardized Approach September 30, 2022			Basel III Advanced Approaches December 31, 2021			Basel III Standardized Approach December 31, 2021
Common shareholders' equity:	Common shareholders' equity:																													Common shareholders' equity:
Common stock and related surplus	Common stock and related surplus					$	11,261		$	11,261		$	11,291		$	11,291		$	13,033		$	13,033		$	13,047		$	13,047		Common stock and related surplus					$	11,264		$	11,264		$	11,291		$	11,291		$	13,033		$	13,033		$	13,047		$	13,047
Retained earnings	Retained earnings					26,115			26,115			25,238			25,238			17,025			17,025			15,700			15,700			Retained earnings					26,552			26,552			25,238			25,238			17,711			17,711			15,700			15,700
Accumulated other comprehensive income (loss)	Accumulated other comprehensive income (loss)					(3,687)			(3,687)			(1,133)			(1,133)			(3,410)			(3,410)			(926)			(926)			Accumulated other comprehensive income (loss)					(4,268)			(4,268)			(1,133)			(1,133)			(3,937)			(3,937)			(926)			(926)
Treasury stock, at cost	Treasury stock, at cost					(9,898)			(9,898)			(10,009)			(10,009)			—			—			—			—			Treasury stock, at cost					(9,876)			(9,876)			(10,009)			(10,009)			—			—			—			—
Total	Total					23,791			23,791			25,387			25,387			26,648			26,648			27,821			27,821			Total					23,672			23,672			25,387			25,387			26,807			26,807			27,821			27,821
Regulatory capital adjustments:	Regulatory capital adjustments:																													Regulatory capital adjustments:
Goodwill and other intangible assets, net of associated deferred tax liabilities	Goodwill and other intangible assets, net of associated deferred tax liabilities					(8,628)			(8,628)			(8,935)			(8,935)			(8,370)			(8,370)			(8,667)			(8,667)			Goodwill and other intangible assets, net of associated deferred tax liabilities					(8,433)			(8,433)			(8,935)			(8,935)			(8,180)			(8,180)			(8,667)			(8,667)
Other adjustments(1)	Other adjustments(1)					(281)			(281)			(505)			(505)			(104)			(104)			(309)			(309)			Other adjustments(1)					(113)			(113)			(505)			(505)			60			60			(309)			(309)
Common equity tier 1 capital	Common equity tier 1 capital					14,882			14,882			15,947			15,947			18,174			18,174			18,845			18,845			Common equity tier 1 capital					15,126			15,126			15,947			15,947			18,687			18,687			18,845			18,845
Preferred stock	Preferred stock					1,976			1,976			1,976			1,976			—			—			—			—			Preferred stock					1,976			1,976			1,976			1,976			—			—			—			—

Tier 1 capital	Tier 1 capital					16,858			16,858			17,923			17,923			18,174			18,174			18,845			18,845			Tier 1 capital					17,102			17,102			17,923			17,923			18,687			18,687			18,845			18,845
Qualifying subordinated long-term debt	Qualifying subordinated long-term debt					1,381			1,381			1,588			1,588			545			545			752			752			Qualifying subordinated long-term debt					1,380			1,380			1,588			1,588			544			544			752			752

Adjusted allowance for credit losses	Adjusted allowance for credit losses					—			113			—			108			—			113			—			108			Adjusted allowance for credit losses					—			112			—			108			—			112			—			108

Total capital	Total capital					$	18,239		$	18,352		$	19,511		$	19,619		$	18,719		$	18,832		$	19,597		$	19,705		Total capital					$	18,482		$	18,594		$	19,511		$	19,619		$	19,231		$	19,343		$	19,597		$	19,705
Risk-weighted assets:	Risk-weighted assets:																													Risk-weighted assets:

Credit risk(2)	Credit risk(2)					$	63,259		$	113,566		$	63,735		$	109,554		$	56,041		$	110,950		$	57,405		$	106,405		Credit risk(2)					$	63,621		$	113,357		$	63,735		$	109,554		$	57,285		$	111,617		$	57,405		$	106,405
Operational risk(3)	Operational risk(3)					45,350			NA			45,550			NA			42,700			NA			42,813			NA			Operational risk(3)					42,825			NA			45,550			NA			42,438			NA			42,813			NA

Market risk	Market risk					1,838			1,838			2,113			2,113			1,838			1,838			2,113			2,113			Market risk					1,325			1,325			2,113			2,113			1,325			1,325			2,113			2,113
Total risk-weighted assets	Total risk-weighted assets					$	110,447		$	115,404		$	111,398		$	111,667		$	100,579		$	112,788		$	102,331		$	108,518		Total risk-weighted assets					$	107,771		$	114,682		$	111,398		$	111,667		$	101,048		$	112,942		$	102,331		$	108,518

Capital Ratios:	Capital Ratios:	2022 Minimum Requirements Including Capital Conservation Buffer and G-SIB Surcharge(4)		2021 Minimum Requirements Including Capital Conservation Buffer and G-SIB Surcharge(4)																										Capital Ratios:	2022 Minimum Requirements Including Capital Conservation Buffer and G-SIB Surcharge(4)		2021 Minimum Requirements Including Capital Conservation Buffer and G-SIB Surcharge(4)
Common equity tier 1 capital	Common equity tier 1 capital	8.0	%	8.0	%	13.5		%	12.9		%	14.3		%	14.3		%	18.1		%	16.1		%	18.4		%	17.4		%	Common equity tier 1 capital	8.0	%	8.0	%	14.0		%	13.2		%	14.3		%	14.3		%	18.5		%	16.5		%	18.4		%	17.4		%
Tier 1 capital	Tier 1 capital	9.5		9.5		15.3			14.6			16.1			16.1			18.1			16.1			18.4			17.4			Tier 1 capital	9.5		9.5		15.9			14.9			16.1			16.1			18.5			16.5			18.4			17.4
Total capital	Total capital	11.5		11.5		16.5			15.9			17.5			17.6			18.6			16.7			19.2			18.2			Total capital	11.5		11.5		17.1			16.2			17.5			17.6			19.0			17.1			19.2			18.2

(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.

(2) Under the advanced approaches, credit risk RWA includes a CVA which reflects the risk of potential fair value adjustments for credit risk reflected in our valuation of OTC derivative contracts. We used a simple CVA approach in conformity with the Basel III advanced approaches.

(3) 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 RWA under the advanced approaches depending on the severity of the loss event and its categorization among the seven Basel-defined UOMs.

(4) Minimum requirements include a CCB of 2.5% and a SCB of 2.5% for the advanced approaches 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 results from the 2022 supervisory stress test. Our ~~preliminary~~ SCB calculated under the 2022 supervisory stress test was well below the 2.5% minimum, resulting in an SCB at that floor, which ~~will go into~~is in effect ~~starting~~from October 1, 2022 ~~and will run~~ through September 30, 2023.

NA Not applicable

State Street Corporation | 45

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Our CET1 capital decreased ~~$1.07~~$0.82 billion as of ~~June~~September 30, 2022, compared to December 31, 2021, primarily due to unrealized losses on AFS securities within AOCI driven by the significant increase in rates across the yield curve, partially offset by net income. Our Tier 1 capital decreased ~~$1.07~~$0.82 billion as of ~~June~~September 30, 2022, compared to December 31, 2021, under both the advanced approaches and standardized approach, primarily due to the decrease in CET1 capital.

Our total capital decreased ~~$1.27~~$1.03 billion as of ~~June~~September 30, 2022, compared to December 31, 2021, under both the advanced approaches and standardized approach, primarily due to the decrease in CET1 capital.

The table below presents a roll-forward of CET1 capital, Tier 1 capital and total capital for the ~~six~~nine months ended ~~June~~September 30, 2022 and for the year ended December 31, 2021.


TABLE 35: CAPITAL ROLL-FORWARD	TABLE 35: CAPITAL ROLL-FORWARD									TABLE 35: CAPITAL ROLL-FORWARD
(In millions)	(In millions)	Basel III Advanced Approaches June 30, 2022		Basel III Standardized Approach June 30, 2022		Basel III Advanced Approaches December 31, 2021		Basel III Standardized Approach December 31, 2021		(In millions)	Basel III Advanced Approaches September 30, 2022		Basel III Standardized Approach September 30, 2022		Basel III Advanced Approaches December 31, 2021		Basel III Standardized Approach December 31, 2021
Common equity tier 1 capital:	Common equity tier 1 capital:									Common equity tier 1 capital:
Common equity tier 1 capital balance, beginning of period	Common equity tier 1 capital balance, beginning of period	$	15,947	$	15,947	$	14,377	$	14,377	Common equity tier 1 capital balance, beginning of period	$	15,947	$	15,947	$	14,377	$	14,377
Net income	Net income	1,351		1,351		2,693		2,693		Net income	2,041		2,041		2,693		2,693
Changes in treasury stock, at cost	Changes in treasury stock, at cost	111		111		600		600		Changes in treasury stock, at cost	134		134		600		600
Dividends declared	Dividends declared	(474)		(474)		(897)		(897)		Dividends declared	(727)		(727)		(897)		(897)
Goodwill and other intangible assets, net of associated deferred tax liabilities	Goodwill and other intangible assets, net of associated deferred tax liabilities	307		307		84		84		Goodwill and other intangible assets, net of associated deferred tax liabilities	502		502		84		84
Accumulated other comprehensive income (loss)(1)	Accumulated other comprehensive income (loss)(1)	(2,554)		(2,554)		(1,320)		(1,320)		Accumulated other comprehensive income (loss)(1)	(3,135)		(3,135)		(1,320)		(1,320)
Other adjustments(1)	Other adjustments(1)	194		194		410		410		Other adjustments(1)	364		364		410		410
Changes in common equity tier 1 capital	Changes in common equity tier 1 capital	(1,065)		(1,065)		1,570		1,570		Changes in common equity tier 1 capital	(821)		(821)		1,570		1,570
Common equity tier 1 capital balance, end of period	Common equity tier 1 capital balance, end of period	14,882		14,882		15,947		15,947		Common equity tier 1 capital balance, end of period	15,126		15,126		15,947		15,947
Additional tier 1 capital:	Additional tier 1 capital:									Additional tier 1 capital:
Tier 1 capital balance, beginning of period	Tier 1 capital balance, beginning of period	17,923		17,923		16,848		16,848		Tier 1 capital balance, beginning of period	17,923		17,923		16,848		16,848
Changes in common equity tier 1 capital	Changes in common equity tier 1 capital	(1,065)		(1,065)		1,570		1,570		Changes in common equity tier 1 capital	(821)		(821)		1,570		1,570
Net issuance (redemption) of preferred stock	Net issuance (redemption) of preferred stock	—		—		(495)		(495)		Net issuance (redemption) of preferred stock	—		—		(495)		(495)

Changes in tier 1 capital	Changes in tier 1 capital	(1,065)		(1,065)		1,075		1,075		Changes in tier 1 capital	(821)		(821)		1,075		1,075
Tier 1 capital balance, end of period	Tier 1 capital balance, end of period	16,858		16,858		17,923		17,923		Tier 1 capital balance, end of period	17,102		17,102		17,923		17,923
Tier 2 capital:	Tier 2 capital:									Tier 2 capital:
Tier 2 capital balance, beginning of period	Tier 2 capital balance, beginning of period	1,588		1,696		962		1,109		Tier 2 capital balance, beginning of period	1,588		1,696		962		1,109
Net issuance and changes in long-term debt qualifying as tier 2	Net issuance and changes in long-term debt qualifying as tier 2	(207)		(207)		627		627		Net issuance and changes in long-term debt qualifying as tier 2	(208)		(208)		627		627

Changes in adjusted allowance for credit losses	Changes in adjusted allowance for credit losses	—		5		(1)		(40)		Changes in adjusted allowance for credit losses	—		4		(1)		(40)

Changes in tier 2 capital	Changes in tier 2 capital	(207)		(202)		626		587		Changes in tier 2 capital	(208)		(204)		626		587
Tier 2 capital balance, end of period	Tier 2 capital balance, end of period	1,381		1,494		1,588		1,696		Tier 2 capital balance, end of period	1,380		1,492		1,588		1,696
Total capital:	Total capital:									Total capital:
Total capital balance, beginning of period	Total capital balance, beginning of period	19,511		19,619		17,810		17,957		Total capital balance, beginning of period	19,511		19,619		17,810		17,957
Changes in tier 1 capital	Changes in tier 1 capital	(1,065)		(1,065)		1,075		1,075		Changes in tier 1 capital	(821)		(821)		1,075		1,075
Changes in tier 2 capital	Changes in tier 2 capital	(207)		(202)		626		587		Changes in tier 2 capital	(208)		(204)		626		587
Total capital balance, end of period	Total capital balance, end of period	$	18,239	$	18,352	$	19,511	$	19,619	Total capital balance, end of period	$	18,482	$	18,594	$	19,511	$	19,619

(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 | 46

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 RWA for the ~~six~~nine months ended ~~June~~September 30, 2022 and for the year ended December 31, 2021.


TABLE 36: ADVANCED & STANDARDIZED APPROACHES RISK-WEIGHTED ASSETS ROLL-FORWARD	TABLE 36: ADVANCED & STANDARDIZED APPROACHES RISK-WEIGHTED ASSETS ROLL-FORWARD									TABLE 36: ADVANCED & STANDARDIZED APPROACHES RISK-WEIGHTED ASSETS ROLL-FORWARD

(In millions)	(In millions)	Basel III Advanced Approaches June 30, 2022		Basel III Standardized Approach June 30, 2022		Basel III Advanced Approaches December 31, 2021		Basel III Standardized Approach December 31, 2021		(In millions)	Basel III Advanced Approaches September 30, 2022		Basel III Standardized Approach September 30, 2022		Basel III Advanced Approaches December 31, 2021		Basel III Standardized Approach December 31, 2021
Total risk-weighted assets, beginning of period	Total risk-weighted assets, beginning of period	$	111,398	$	111,667	$	109,705	$	117,080	Total risk-weighted assets, beginning of period	$	111,398	$	111,667	$	109,705	$	117,080
Changes in credit risk-weighted assets:	Changes in credit risk-weighted assets:									Changes in credit risk-weighted assets:
Net increase (decrease) in investment securities-wholesale	Net increase (decrease) in investment securities-wholesale	(3,904)		(2,796)		(476)		(707)		Net increase (decrease) in investment securities-wholesale	(4,504)		(3,260)		(476)		(707)
Net increase (decrease) in loans	Net increase (decrease) in loans	(2,251)		(2,292)		2,017		946		Net increase (decrease) in loans	(991)		(1,116)		2,017		946
Net increase (decrease) in securitization exposures	Net increase (decrease) in securitization exposures	82		78		(404)		(489)		Net increase (decrease) in securitization exposures	21		20		(404)		(489)
Net increase (decrease) in repo-style transaction exposures	Net increase (decrease) in repo-style transaction exposures	(964)		(6,773)		(440)		(1,658)		Net increase (decrease) in repo-style transaction exposures	(1,332)		(8,286)		(440)		(1,658)
Net increase (decrease) in over-the-counter derivatives exposures(1)	Net increase (decrease) in over-the-counter derivatives exposures(1)	2,848		11,658		(1,353)		(863)		Net increase (decrease) in over-the-counter derivatives exposures(1)	3,056		11,791		(1,353)		(863)
Net increase (decrease) in all other(2)	Net increase (decrease) in all other(2)	3,713		4,137		1,024		(2,567)		Net increase (decrease) in all other(2)	3,636		4,654		1,024		(2,567)
Net increase (decrease) in credit risk-weighted assets	Net increase (decrease) in credit risk-weighted assets	(476)		4,012		368		(5,338)		Net increase (decrease) in credit risk-weighted assets	(114)		3,803		368		(5,338)
Net increase (decrease) in market risk-weighted assets	Net increase (decrease) in market risk-weighted assets	(275)		(275)		(75)		(75)		Net increase (decrease) in market risk-weighted assets	(788)		(788)		(75)		(75)
Net increase (decrease) in operational risk-weighted assets	Net increase (decrease) in operational risk-weighted assets	(200)		N/A		1,400		N/A		Net increase (decrease) in operational risk-weighted assets	(2,725)		N/A		1,400		N/A
Total risk-weighted assets, end of period	Total risk-weighted assets, end of period	$	110,447	$	115,404	$	111,398	$	111,667	Total risk-weighted assets, end of period	$	107,771	$	114,682	$	111,398	$	111,667

(1) Under the advanced approaches, includes CVA RWA.

(2) Includes assets not in a definable category, non-material portfolio, cleared transactions, other wholesale, cash and due from banks, interest-bearing deposits with banks, and equity exposures.

NA Not applicable

As of ~~June~~September 30, 2022, total advanced approaches RWA decreased ~~$0.95~~$3.63 billion compared to December 31, 2021, mainly driven by a decrease in ~~credit~~operational risk and market risk RWA. The decrease in ~~credit~~operational risk RWA was primarily due to a decrease in the frequency of certain operational loss events. The decrease in market risk RWA was mainly driven by defensive positioning given market uncertainty and a ~~net~~ decrease in ~~wholesale investment securities and loans RWA, partially offset by an increase in all other and OTC derivatives RWA.~~volatility of the VaR model.

As of ~~June~~September 30, 2022, total standardized approach RWA increased ~~$3.74~~$3.02 billion compared to December 31, 2021, mainly driven by an increase in credit risk RWA. The increase in credit risk RWA was primarily driven by the implementation of SA-CCR, as expected, which was partially offset by lower repo-style transactions RWA.

The regulatory capital ratios as of ~~June~~September 30, 2022, presented in Table 34: Regulatory Capital Structure and Related Regulatory Capital Ratios, are calculated under the advanced approaches and standardized approach in conformity with the Basel III final rule. The advanced approaches-based ratios reflect calculations and determinations with respect to our capital and related matters as of ~~June~~September 30, 2022, based on our and external data, quantitative formulae, statistical models, historical correlations and assumptions, collectively referred to as “advanced systems,” in effect and used by us for those purposes as of the time we first reported such ratios in a quarterly report on Form 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 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 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, 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. The full effects of the Basel III final rule on us and State Street Bank are therefore subject to further evaluation and also to further regulatory guidance, action or rule-making.

State Street Corporation | 47

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Tier 1 and Supplementary Leverage Ratios

We are subject to a minimum Tier 1 leverage ratio and a supplementary leverage ratio. The Tier 1 leverage ratio is based on Tier 1 capital and adjusted quarterly average on-balance sheet assets. The Tier 1 leverage ratio differs from the SLR primarily in that the denominator of the 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 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 extent of the shortfall.


TABLE 37: TIER 1 AND SUPPLEMENTARY LEVERAGE RATIOS	TABLE 37: TIER 1 AND SUPPLEMENTARY LEVERAGE RATIOS							TABLE 37: TIER 1 AND SUPPLEMENTARY LEVERAGE RATIOS
(Dollars in millions)	(Dollars in millions)	June 30, 2022			December 31, 2021			(Dollars in millions)	September 30, 2022			December 31, 2021
State Street:	State Street:							State Street:
Tier 1 capital	Tier 1 capital	$	16,858		$	17,923		Tier 1 capital	$	17,102		$	17,923
Average assets	Average assets	291,435			303,007			Average assets	275,168			303,007
Less: adjustments for deductions from tier 1 capital and other	Less: adjustments for deductions from tier 1 capital and other	(8,909)			(9,440)			Less: adjustments for deductions from tier 1 capital and other	(8,546)			(9,440)
Adjusted average assets for tier 1 leverage ratio	Adjusted average assets for tier 1 leverage ratio	282,526			293,567			Adjusted average assets for tier 1 leverage ratio	266,622			293,567
Additional SLR exposure	Additional SLR exposure	44,486			32,985			Additional SLR exposure	39,011			32,985
Adjustments for deductions of qualifying central bank deposits	Adjustments for deductions of qualifying central bank deposits	(72,383)			(84,113)			Adjustments for deductions of qualifying central bank deposits	(64,109)			(84,113)
Total assets for SLR	Total assets for SLR	$	254,629		$	242,439		Total assets for SLR	$	241,524		$	242,439
Tier 1 leverage ratio	Tier 1 leverage ratio	6.0		%	6.1		%	Tier 1 leverage ratio	6.4		%	6.1		%
Supplementary leverage ratio	Supplementary leverage ratio	6.6			7.4			Supplementary leverage ratio	7.1			7.4

State Street Bank:	State Street Bank:							State Street Bank:
Tier 1 capital	Tier 1 capital	$	18,174		$	18,845		Tier 1 capital	$	18,687		$	18,845
Average assets	Average assets	288,139			299,379			Average assets	272,124			299,379
Less: adjustments for deductions from tier 1 capital and other	Less: adjustments for deductions from tier 1 capital and other	(8,474)			(8,976)			Less: adjustments for deductions from tier 1 capital and other	(8,120)			(8,976)
Adjusted average assets for tier 1 leverage ratio	Adjusted average assets for tier 1 leverage ratio	279,665			290,403			Adjusted average assets for tier 1 leverage ratio	264,004			290,403
Additional SLR exposure	Additional SLR exposure	44,628			32,985			Additional SLR exposure	41,261			32,985
Adjustments for deductions of qualifying central bank deposits	Adjustments for deductions of qualifying central bank deposits	(72,383)			(84,113)			Adjustments for deductions of qualifying central bank deposits	(64,109)			(84,113)
Total assets for SLR	Total assets for SLR	$	251,910		$	239,275		Total assets for SLR	$	241,156		$	239,275
Tier 1 leverage ratio	Tier 1 leverage ratio	6.5		%	6.5		%	Tier 1 leverage ratio	7.1		%	6.5		%
Supplementary leverage ratio	Supplementary leverage ratio	7.2			7.9			Supplementary leverage ratio	7.7			7.9

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 resiliency and resolvability of 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 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 counter- cyclical 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.

As of April 1, 2020, the TLAC and LTD requirements calibrated to the SLR denominator reflect the deduction of certain central bank balances as prescribed by the regulatory relief implemented under EGRRCPA.

The following table presents external TLAC and external LTD as of ~~June~~September 30, 2022:


TABLE 38: TOTAL LOSS-ABSORBING CAPACITY
TABLE 38: EXTERNAL TOTAL LOSS-ABSORBING CAPACITY										TABLE 38: EXTERNAL TOTAL LOSS-ABSORBING CAPACITY
		As of June 30, 2022									As of September 30, 2022
(Dollars in millions)	(Dollars in millions)	Actual				Requirement				(Dollars in millions)	Actual				Requirement
Total loss-absorbing capacity
Total loss-absorbing capacity:										Total loss-absorbing capacity:
Risk-weighted assets	Risk-weighted assets	$	29,261	25.4	%	$	24,812	21.5	%	Risk-weighted assets	$	30,254	26.4	%	$	24,657	21.5	%
Supplemental leverage ratio		29,261		11.5		24,190		9.5
Total leverage exposure										Total leverage exposure	30,254		12.5		22,945		9.5
Long-term debt:	Long-term debt:									Long-term debt:
Risk-weighted assets	Risk-weighted assets	11,903		10.3		8,078		7.0		Risk-weighted assets	12,653		11.0		8,042		7.0
Supplemental leverage ratio		11,903		4.7		11,458		4.5
Total leverage exposure										Total leverage exposure	12,653		5.2		10,869		4.5

State Street Corporation | 48

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

Regulatory Developments

In April 2018, the Federal Reserve issued a proposed rule which would replace the current 2.0% SLR buffer for G-SIBs, with a buffer equal to 50% of their G-SIB surcharge. This proposal would also make conforming modifications to our TLAC and eligible LTD requirements applicable to G-SIBs. At this point in time, it is unclear whether this proposal will be implemented as proposed.

In November 2019, the Federal Reserve and other U.S. federal banking agencies issued a final rule that, among other things, implemented the standardized approach for counterparty credit risk (SA-CCR), a methodology for calculating the exposure amount for derivative contracts. Under the final rule, which became effective on January 1, 2022, we have the option to use the SA-CCR or the Internal Model Methodology (IMM) to measure the exposure amount of our cleared and uncleared derivative transactions under our advanced approaches calculation. We have elected to use the SA-CCR for purposes of our advanced approaches capital calculations. We are required to determine the amount of these exposures using the SA-CCR under our standardized approach capital calculation. Additionally, we have to apply a revised formula to determine the RWA amount of our central counterparty default fund contributions.

On March 4, 2020, the U.S. federal banking agencies issued the SCB final rule that replaces, under the standardized approach, the capital conservation buffer (2.5%) with a SCB calculated as the difference between an 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. Based on our results from the 2021 supervisory stress test, our SCB for the period of October 1, 2021 through September 2022 is set at the minimum of 2.5% of RWA.

The Federal Reserve and other U.S. federal banking agencies issued an interim final rule effective in March 2020 and later finalized on a permanent basis on August 26, 2020, which revised the definition of eligible retained income for all U.S. banking organizations. The revised definition of eligible retained income makes any automatic limitations on

capital distributions, where a banking organization's regulatory ratios were to decline below the respective minimum requirements, take effect on a more gradual basis.

On March 27, 2020, the BCBS announced the deferral of the implementation of the revisions to the Basel III framework to January 1, 2023. As of now, the U.S. federal banking agencies have not formally proposed the implementation of the BCBS revisions.

Effective April 1, 2020, the Federal Reserve and other U.S. federal banking agencies adopted a final rule as part of EGRRCPA that establishes a deduction for qualifying central bank deposits from a

custodial banking organization’s total leverage exposure equal to the lesser of (i) the total amount of funds the custodial banking organization and its consolidated subsidiaries have on deposit at qualifying central banks and (ii) the total amount of client funds on deposit at the custodial banking organization that are linked to fiduciary or custodial and safekeeping accounts. For the quarter ended ~~June~~September 30, 2022, we deducted ~~$72.4~~$64.1 billion of average balances held on deposit at central banks from the denominator used in the calculation of our SLR, based on this custodial banking deduction.

On October 20, 2020, the Federal Reserve and other U.S. federal banking agencies issued a final rule that requires us and State Street Bank to make certain deductions from regulatory capital for investments in certain unsecured debt instruments, including eligible LTD under the TLAC rule, issued by the Parent Company and other U.S. and foreign G-SIBs. The final rule became effective on April 1, 2021.

Our ~~current~~ SCB requirement ~~is 2.5%~~ for the period from October 1, 2021 through September 30, ~~2022.~~2022 was 2.5%. On June 23, 2022, we were notified by the Federal Reserve of the results from the 2022 supervisory stress test. Our ~~preliminary~~ SCB calculated under the 2022 supervisory stress test was well below the 2.5% minimum, resulting in an SCB at that floor, which ~~will go~~went into effect starting October 1, 2022 and will run through September 30, 2023.

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 coming months.

State Street Corporation | 49

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 ~~June~~September 30, 2022:

TABLE 39: 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 June 30, 2022
(In millions)

Redemption Date(2)

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 September 30, 2022
(In millions)

Redemption Date(2)

Series D

February 2014

30,000,000

750

1/4,000th

100,000

5.9% 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 D

February 2014

30,000,000

750

1/4,000th

100,000

5.9% 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(3)

May 2015

250,000

250

1/100th

100,000

1,000

5.25% to but excluding September 15, 2020, then a floating rate equal to the three-month LIBOR plus 3.597%, or 5.426% effective June 15, 2022

Quarterly: March, June, September and December

247

September 15, 2020

Series F(3)

May 2015

250,000

250

1/100th

100,000

1,000

5.25% to but excluding September 15, 2020, then a floating rate equal to the three-month LIBOR plus 3.597%, or 6.890% effective September 15, 2022

Quarterly: March, June, September and December

247

September 15, 2020

Series G

April 2016

20,000,000

500

1/4,000th

100,000

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 G

April 2016

20,000,000

500

1/4,000th

100,000

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

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

Series H

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

(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.

(3) Series F preferred stock is redeemable on September 15, 2020 and on each succeeding dividend payment date.

The following tables present the dividends declared for each of the series of preferred stock issued and outstanding for the periods indicated:

TABLE 40: PREFERRED STOCK DIVIDENDS


		Three Months Ended June 30,													Three Months Ended September 30,
		2022						2021							2022						2021
(Dollars in millions, except per share amounts)	(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		(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:	Preferred Stock:													Preferred Stock:

Series D	Series D	$	1,475	$	0.37	$	11	$	1,475	$	0.37	$	11	Series D	$	1,475	$	0.37	$	11	$	1,475	$	0.37	$	11

Series F	Series F	1,130		11.30		3		966		9.66		2		Series F	1,387		13.87		3		950		9.50		2
Series G	Series G	1,338		0.33		7		1,338		0.33		7		Series G	1,338		0.33		7		1,338		0.33		7
Series H		2,813		28.13		14		2,813		28.13		14

Total	Total					$	35					$	34	Total					$	21					$	20

		Six Months Ended June 30,													Nine Months Ended September 30,
		2022						2021							2022						2021
(Dollars in millions, except per share amounts)	(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		(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:	Preferred Stock:													Preferred Stock:

Series D	Series D	$	2,950	$	0.74	$	22	$	2,950	$	0.74	$	22	Series D	$	4,425	$	1.11	$	33	$	4,425	$	1.11	$	33

Series F	Series F	2,080		20.80		5		1,919		19.19		9		Series F	3,467		34.67		9		2,869		28.69		11
Series G	Series G	2,676		0.66		14		2,676		0.66		14		Series G	4,014		0.99		20		4,014		0.99		21
Series H	Series H	2,813		28.13		14		2,813		28.13		14		Series H	2,813		28.13		14		2,813		28.13		14
Total	Total					$	55					$	59	Total					$	76					$	79

Common Stock

In September 2021, we completed a public offering of approximately 21.7 million shares of our common stock. The offering price was $87.60 per share and net proceeds totaled approximately $1.9 billion. We expect to use these net proceeds to finance our proposed acquisition of the BBH Investor Services business.

State Street Corporation | 50

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

In December 2020, the Federal Reserve issued results of 2020 resubmission stress tests and authorized us to continue to pay common stock dividends at current levels and to resume repurchasing common shares in the first quarter of 2021. In January 2021, our Board authorized a common share repurchase program for the repurchase of up to $475 million of our common stock through March 31, 2021. We repurchased $475 million of our common stock in the first quarter of 2021. In April 2021, our Board authorized a common share repurchase program for the repurchase of up to $425 million of our common stock through June 30, 2021, in compliance with the limit set by the Federal Reserve. We repurchased $425 million of our common stock in the second quarter of 2021. In July 2021, our Board authorized a share repurchase program for the repurchase of up to $3.0 billion of our common stock through the end of 2022.

In connection with our proposed acquisition of the BBH Investor Services business, we did not repurchase any common stock during the last half of 2021, as well as during the first ~~half~~nine months of 2022. ~~In June 2022, we announced our intention~~We intend to ~~resume~~repurchase approximately $1.0 billion of our common ~~share repurchases during~~stock in the fourth quarter of 2022 ~~in an amount reflecting interest rate levels and market conditions at that time. Additionally, in July 2022, we declared third quarter common stock dividends of $0.63 per~~under the existing share ~~representing a 10% increase on a per share basis from both the third quarter 2021 and second quarter of~~repurchase program, expiring December 21, 2022.

The table below presents the activity under our common share repurchase program for the periods indicated:

TABLE 41: SHARES REPURCHASED
Three Months Ended June 30, 2021 Six Months Ended June 30, 2021
Shares Acquired
(In millions) Average Cost per Share Total Acquired
(In millions) Shares Acquired
(In millions) Average Cost per Share Total Acquired
(In millions)
5.0 $ 84.71 $ 425 11.2 $ 80.00 $ 900


TABLE 41: SHARES REPURCHASED




Three Months Ended September 30, 2021					Nine Months Ended September 30, 2021
Shares Acquired (In millions)	Average Cost per Share		Total Acquired (In millions)		Shares Acquired (In millions)	Average Cost per Share		Total Acquired (In millions)
—	$	—	$	—	11.2	$	80.00	$	900

The table below presents the dividends declared on common stock for the periods indicated:


TABLE 42: COMMON STOCK DIVIDENDS	TABLE 42: COMMON STOCK DIVIDENDS										TABLE 42: COMMON STOCK DIVIDENDS
		Three Months Ended June 30,								Three Months Ended September 30,
		2022				2021						2022				2021
		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	Common Stock	$	0.57	$	210	$	0.52	$	179		Common Stock	$	0.63	$	232	$	0.57	$	209

		Six Months Ended June 30,										Nine Months Ended September 30,
		2022				2021						2022				2021
		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	Common Stock	$	1.14	$	419	$	1.04	$	361		Common Stock	$	1.77	$	651	$	1.61	$	570

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 54 to 56 in "Related Stockholder Matters" included under Item 5, Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities, in our 2021 Form 10-K, and to pages 169 to 171 in Note 15 to the consolidated financial statements included under Item 8. 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 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 and the type of transaction may not be ratable over the duration of the program, may vary from reporting period to reporting period and will depend on several factors, including our capital position and financial performance, investment opportunities, market conditions, the nature and timing of implementation of revisions to the Basel III framework and the amount of common stock 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.

State Street Corporation | 51

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 ~~$345.24~~$339.55 billion and $385.74 billion as of ~~June~~September 30, 2022 and December 31, 2021, 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 ~~$361.38~~$355.85 billion and $404.12 billion as collateral for indemnified securities on loan as of ~~June~~September 30, 2022 and December 31, 2021, 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 ~~$361.38~~$355.85 billion and $404.12 billion, referenced above, ~~$64.18~~$59.79 billion and $61.56 billion was invested in indemnified repurchase agreements as of ~~June~~September 30, 2022 and December 31, 2021, respectively. We or our agents held ~~$69.17~~$64.52 billion and $67.01 billion as collateral for indemnified investments in repurchase agreements as of ~~June~~September 30, 2022 and December 31, 2021, respectively.

Additional information about our securities finance activities and other off-balance sheet arrangements is provided in Notes 7, 9 and 11 to the consolidated financial statements in this Form 10-Q.

RECENT ACCOUNTING DEVELOPMENTS

Information with respect to recent accounting developments is provided in Note 1 to the consolidated financial statements in this Form 10-Q.

State Street Corporation | 52

QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

The information provided under “Market Risk Management” in "Financial Condition" in our Management's Discussion and Analysis in this Form 10-Q, is incorporated by reference herein.

For more information on our market risk refer to pages 103 to 110 included under Item 7, Management's Discussion and Analysis of Financial Condition and Results of Operations, in our 2021 Form 10-K.

CONTROLS AND PROCEDURES

We have established and maintain disclosure controls and procedures that are designed to ensure that information related to us and our subsidiaries on a consolidated basis required to be disclosed in 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 our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosure. For the quarter ended ~~June~~September 30, 2022, 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 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 our disclosure controls and procedures were effective as of ~~June~~September 30, 2022.

We have established and 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, we routinely enhance our internal controls and procedures for financial reporting by either upgrading our current systems or implementing new systems. Changes have been made and may be made to our internal controls and procedures for financial reporting as a result of these efforts. During the quarter ended ~~June~~September 30, 2022, no change occurred in our internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

State Street Corporation | 53

STATE STREET CORPORATION

CONSOLIDATED STATEMENT OF INCOME

(UNAUDITED)

Three Months Ended June 30, Six Months Ended June 30,
(Dollars in millions, except per share amounts) 2022 2021 2022 2021
Fee revenue:
Servicing fees $ 1,297 $ 1,394 $ 2,665 $ 2,763
Management fees 490 504 1,010 997
Foreign exchange trading services 331 286 690 632
Securities finance 107 109 203 208
Software and processing fees 188 211 389 371
Other fee revenue (43) 10 (14) 26
Total fee revenue 2,370 2,514 4,943 4,997
Net interest income:
Interest income 704 467 1,225 938
Interest expense 120 — 132 4
Net interest income 584 467 1,093 934
Other income:
Gains (losses) related to investment securities, net (1) — (2) —
Other income — 53 — 53
Total other income (loss) (1) 53 (2) 53
Total revenue 2,953 3,034 6,034 5,984
Provision for credit losses 10 (15) 10 (24)
Expenses:
Compensation and employee benefits 1,046 1,077 2,278 2,319
Information systems and communications 392 398 815 819
Transaction processing services 240 263 504 533
Occupancy 96 100 191 209
Acquisition and restructuring costs 12 11 21 21
Amortization of other intangible assets 60 63 121 121
Other 262 199 505 421
Total expenses 2,108 2,111 4,435 4,443
Income before income tax expense 835 938 1,589 1,565
Income tax expense 88 175 238 283
Net income $ 747 $ 763 $ 1,351 $ 1,282
Net income available to common shareholders $ 712 $ 728 $ 1,295 $ 1,217
Earnings per common share:
Basic $ 1.94 $ 2.11 $ 3.53 $ 3.49
Diluted 1.91 2.07 3.48 3.44
Average common shares outstanding (in thousands):
Basic 367,375 345,889 366,961 348,303
Diluted 372,123 351,582 372,080 353,434
Cash dividends declared per common share $ .57 $ .52 $ 1.14 $ 1.04


	Three Months Ended September 30,				Nine Months Ended September 30,
(Dollars in millions, except per share amounts)	2022		2021		2022		2021
Fee revenue:


Servicing fees	$	1,219	$	1,391	$	3,884	$	4,154
Management fees	472		526		1,482		1,523
Foreign exchange trading services	319		279		1,009		911
Securities finance	110		106		313		314


Software and processing fees	184		180		573		551
Other fee revenue	(5)		22		(19)		48
Total fee revenue	2,299		2,504		7,242		7,501
Net interest income:
Interest income	1,101		487		2,326		1,425
Interest expense	441		—		573		4
Net interest income	660		487		1,753		1,421
Other income:



Gains (losses) related to investment securities, net	—		(1)		(2)		(1)
Other income	—		—		—		53
Total other income (loss)	—		(1)		(2)		52
Total revenue	2,959		2,990		8,993		8,974
Provision for credit losses	—		(2)		10		(26)
Expenses:
Compensation and employee benefits	1,042		1,054		3,320		3,373
Information systems and communications	399		406		1,214		1,225
Transaction processing services	227		253		731		786
Occupancy	97		102		288		311
Acquisition and restructuring costs	13		18		34		39
Amortization of other intangible assets	58		62		179		183
Other	274		221		779		642
Total expenses	2,110		2,116		6,545		6,559
Income before income tax expense	849		876		2,438		2,441
Income tax expense	159		162		397		445

Net income	$	690	$	714	$	2,041	$	1,996
Net income available to common shareholders	$	669	$	693	$	1,964	$	1,910
Earnings per common share:
Basic	$	1.82	$	1.99	$	5.35	$	5.49
Diluted	1.80		1.96		5.28		5.40
Average common shares outstanding (in thousands):
Basic	367,789		347,718		367,240		348,106
Diluted	372,418		353,494		372,194		353,376
Cash dividends declared per common share	$	.63	$	.57	$	1.77	$	1.61

The accompanying condensed notes are an integral part of these consolidated financial statements.

State Street Corporation | 54

STATE STREET CORPORATION

CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME (LOSS)

(UNAUDITED)

Three Months Ended June 30,
(In millions) 2022 2021
Net income $ 747 $ 763
Other comprehensive income (loss), net of related taxes:
Foreign currency translation, net of related taxes of $53 and ($8), respectively (446) 49
Net unrealized losses on available-for-sale securities, net of reclassification adjustment and net of related taxes of ($233) and ($14), respectively (618) (35)
Net unrealized gains (losses) on available-for-sale securities designated in fair value hedges, net of related taxes of $42 and ($5), respectively 113 (16)
Net unrealized losses on cash flow hedges, net of related taxes of ($17) and ($4), respectively (40) (4)
Net unrealized gains on retirement plans, net of related taxes of $1 and $1, respectively 2 2
Other comprehensive loss (989) (4)
Total comprehensive income (loss) $ (242) $ 759
Six Months Ended June 30,
(In millions) 2022 2021
Net income $ 1,351 $ 1,282
Other comprehensive income (loss), net of related taxes:
Foreign currency translation, net of related taxes of $63 and $45, respectively (544) (151)
Net unrealized losses on available-for-sale securities, net of reclassification adjustment and net of related taxes of ($764) and ($175), respectively (2,063) (460)
Net unrealized gains (losses) on available-for-sale securities designated in fair value hedges, net of related taxes of $99 and ($1), respectively 270 (4)
Net unrealized losses on cash flow hedges, net of related taxes of ($89) and ($4), respectively (234) (4)
Net unrealized gains on retirement plans, net of related taxes of $7 and $4, respectively 17 10
Other comprehensive loss (2,554) (609)
Total comprehensive income (loss) $ (1,203) $ 673


	Three Months Ended September 30,
(In millions)	2022		2021
Net income	$	690	$	714
Other comprehensive income (loss), net of related taxes:
Foreign currency translation, net of related taxes of $101 and $18, respectively	(302)		(156)

Net unrealized losses on available-for-sale securities, net of reclassification adjustment and net of related taxes of ($158) and ($39), respectively	(420)		(107)
Net unrealized gains on available-for-sale securities designated in fair value hedges, net of related taxes of $96 and $4, respectively	256		13

Net unrealized losses on cash flow hedges, net of related taxes of ($44) and ($4), respectively	(116)		(12)
Net unrealized gains on retirement plans, net of related taxes of $1 and $1, respectively	1		2
Other comprehensive loss	(581)		(260)
Total comprehensive income	$	109	$	454

	Nine Months Ended September 30,
(In millions)	2022		2021
Net income	$	2,041	$	1,996
Other comprehensive income (loss), net of related taxes:
Foreign currency translation, net of related taxes of $164 and $63, respectively	(846)		(307)

Net unrealized losses on available-for-sale securities, net of reclassification adjustment and net of related taxes of ($922) and ($214), respectively	(2,483)		(567)
Net unrealized gains on available-for-sale securities designated in fair value hedges, net of related taxes of $195 and $3, respectively	526		9

Net unrealized losses on cash flow hedges, net of related taxes of ($133) and ($8), respectively	(350)		(16)
Net unrealized gains on retirement plans, net of related taxes of $8 and $5, respectively	18		12
Other comprehensive loss	(3,135)		(869)
Total comprehensive income (loss)	$	(1,094)	$	1,127

The accompanying condensed notes are an integral part of these consolidated financial statements.

State Street Corporation | 55

STATE STREET CORPORATION

CONSOLIDATED STATEMENT OF CONDITION


		June 30, 2022		December 31, 2021			September 30, 2022		December 31, 2021

(Dollars in millions, except per share amounts)	(Dollars in millions, except per share amounts)	(UNAUDITED)				(Dollars in millions, except per share amounts)	(UNAUDITED)
Assets:	Assets:					Assets:
Cash and due from banks	Cash and due from banks	$	3,515	$	3,631	Cash and due from banks	$	2,748	$	3,631
Interest-bearing deposits with banks	Interest-bearing deposits with banks	91,360		106,358		Interest-bearing deposits with banks	99,199		106,358
Securities purchased under resale agreements	Securities purchased under resale agreements	5,203		3,012		Securities purchased under resale agreements	1,308		3,012
Trading account assets	Trading account assets	728		758		Trading account assets	685		758
Investment securities available-for-sale (less allowance for credit losses of $2 and $2)		45,454		73,399
Investment securities available-for-sale (less allowance for credit losses of $1 and $2)						Investment securities available-for-sale (less allowance for credit losses of $1 and $2)	40,986		73,399

Investment securities held-to-maturity (less allowance for credit losses of $0 and $0) (fair value of $60,103 and $42,271)		64,261		42,430
Loans (less allowance for credit losses on loans of $95 and $87)		33,470		32,445
Premises and equipment (net of accumulated depreciation of $5,652 and $5,391)		2,240		2,261
Investment securities held-to-maturity (less allowance for credit losses of $0 and $0) (fair value of $58,320 and $42,271)						Investment securities held-to-maturity (less allowance for credit losses of $0 and $0) (fair value of $58,320 and $42,271)	65,232		42,430
Loans (less allowance for credit losses on loans of $97 and $87)						Loans (less allowance for credit losses on loans of $97 and $87)	36,016		32,445
Premises and equipment (net of accumulated depreciation of $5,772 and $5,391)						Premises and equipment (net of accumulated depreciation of $5,772 and $5,391)	2,283		2,261
Accrued interest and fees receivable	Accrued interest and fees receivable	3,403		3,278		Accrued interest and fees receivable	3,526		3,278

Goodwill	Goodwill	7,465		7,621		Goodwill	7,351		7,621
Other intangible assets	Other intangible assets	1,654		1,816		Other intangible assets	1,568		1,816
Other assets	Other assets	41,470		37,615		Other assets	42,666		37,615
Total assets	Total assets	$	300,223	$	314,624	Total assets	$	303,568	$	314,624
Liabilities:	Liabilities:					Liabilities:
Deposits:	Deposits:					Deposits:
Non-interest-bearing	Non-interest-bearing	$	55,062	$	56,461	Non-interest-bearing	$	55,894	$	56,461
Interest-bearing - U.S.	Interest-bearing - U.S.	107,262		102,985		Interest-bearing - U.S.	105,021		102,985
Interest-bearing - non-U.S.	Interest-bearing - non-U.S.	79,589		95,589		Interest-bearing - non-U.S.	77,321		95,589
Total deposits	Total deposits	241,913		255,035		Total deposits	238,236		255,035
Securities sold under repurchase agreements	Securities sold under repurchase agreements	951		1,575		Securities sold under repurchase agreements	4,250		1,575

Other short-term borrowings	Other short-term borrowings	73		128		Other short-term borrowings	109		128
Accrued expenses and other liabilities	Accrued expenses and other liabilities	17,989		17,048		Accrued expenses and other liabilities	21,326		17,048
Long-term debt	Long-term debt	13,530		13,475		Long-term debt	13,999		13,475
Total liabilities	Total liabilities	274,456		287,261		Total liabilities	277,920		287,261
Commitments, guarantees and contingencies (Notes 9 and 10)	Commitments, guarantees and contingencies (Notes 9 and 10)	0		0		Commitments, guarantees and contingencies (Notes 9 and 10)
Shareholders’ equity:	Shareholders’ equity:					Shareholders’ equity:
Preferred stock, no par, 3,500,000 shares authorized:	Preferred stock, no par, 3,500,000 shares authorized:					Preferred stock, no par, 3,500,000 shares authorized:

Series D, 7,500 shares issued and outstanding	Series D, 7,500 shares issued and outstanding	742		742		Series D, 7,500 shares issued and outstanding	742		742

Series F, 2,500 shares issued and outstanding	Series F, 2,500 shares issued and outstanding	247		247		Series F, 2,500 shares issued and outstanding	247		247
Series G, 5,000 shares issued and outstanding	Series G, 5,000 shares issued and outstanding	493		493		Series G, 5,000 shares issued and outstanding	493		493
Series H, 5,000 shares issued and outstanding	Series H, 5,000 shares issued and outstanding	494		494		Series H, 5,000 shares issued and outstanding	494		494
Common stock, $1 par, 750,000,000 shares authorized:	Common stock, $1 par, 750,000,000 shares authorized:					Common stock, $1 par, 750,000,000 shares authorized:
503,879,642 and 503,879,642 shares issued, and 367,619,353 and 365,982,820 shares outstanding		504		504
503,879,642 and 503,879,642 shares issued, and 367,967,505 and 365,982,820 shares outstanding						503,879,642 and 503,879,642 shares issued, and 367,967,505 and 365,982,820 shares outstanding	504		504
Surplus	Surplus	10,757		10,787		Surplus	10,760		10,787
Retained earnings	Retained earnings	26,115		25,238		Retained earnings	26,552		25,238
Accumulated other comprehensive income (loss)	Accumulated other comprehensive income (loss)	(3,687)		(1,133)		Accumulated other comprehensive income (loss)	(4,268)		(1,133)
Treasury stock, at cost (136,260,289 and 137,896,822 shares)		(9,898)		(10,009)
Treasury stock, at cost (135,912,137 and 137,896,822 shares)						Treasury stock, at cost (135,912,137 and 137,896,822 shares)	(9,876)		(10,009)
Total shareholders’ equity	Total shareholders’ equity	25,767		27,363		Total shareholders’ equity	25,648		27,363

Total liabilities and shareholders' equity	Total liabilities and shareholders' equity	$	300,223	$	314,624	Total liabilities and shareholders' equity	$	303,568	$	314,624

The accompanying condensed notes are an integral part of these consolidated financial statements.

State Street Corporation | 56

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, 2020 $ 2,471 503,880 $ 504 $ 10,205 $ 23,442 $ 187 150,723 $ (10,609) $ 26,200
Net income 519 519
Other comprehensive income (loss) (605) (605)
Preferred stock redeemed (495) (5) (500)
Cash dividends declared:
Common stock - $0.52 per share (182) (182)
Preferred stock (25) (25)
Common stock acquired 6,233 (475) (475)
Common stock awards exercised 22 (1,111) 49 71
Other 2 2 2
Balance at March 31, 2021 $ 1,976 503,880 $ 504 $ 10,227 $ 23,751 $ (418) 155,847 $ (11,035) $ 25,005
Net income 763 763
Other comprehensive income (loss) (4) (4)
Cash dividends declared:
Common stock -$0.52 per share (179) (179)
Preferred stock (34) (34)
Common stock acquired 5,017 (425) (425)
Common stock awards exercised 19 (487) 23 42
Other (1) (1)
Balance at June 30, 2021 $ 1,976 503,880 $ 504 $ 10,246 $ 24,300 $ (422) 160,377 $ (11,437) $ 25,167
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
Net income 747 747
Other comprehensive income (loss) (989) (989)
Cash dividends declared:
Common stock - $0.57 per share (210) (210)
Preferred stock (35) (35)
Common stock awards exercised (5) (505) 34 29
Other 1 0 1
Balance at June 30, 2022 $ 1,976 503,880 $ 504 $ 10,757 $ 26,115 $ (3,687) 136,260 $ (9,898) $ 25,767


(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, 2020	$	2,471	503,880	$	504	$	10,205	$	23,442	$	187	150,723	$	(10,609)	$	26,200
Net income								519							519
Other comprehensive income (loss)										(605)					(605)
Preferred stock redeemed	(495)							(5)							(500)
Cash dividends declared:
Common stock - $0.52 per share								(182)							(182)
Preferred stock								(25)							(25)
Common stock acquired												6,233	(475)		(475)
Common stock awards exercised						22						(1,111)	49		71
Other								2				2			2
Balance at March 31, 2021	$	1,976	503,880	$	504	$	10,227	$	23,751	$	(418)	155,847	$	(11,035)	$	25,005
Net income								763							763
Other comprehensive income (loss)										(4)					(4)

Cash dividends declared:
Common stock -$0.52 per share								(179)							(179)
Preferred stock								(34)							(34)
Common stock acquired												5,017	(425)		(425)
Common stock awards exercised						19						(487)	23		42
Other								(1)							(1)
Balance at June 30, 2021	$	1,976	503,880	$	504	$	10,246	$	24,300	$	(422)	160,377	$	(11,437)	$	25,167
Net income								714							714
Other comprehensive income (loss)										(260)					(260)
Common stock issued						516						(21,724)	1,384		1,900
Cash dividends declared:
Common stock - $0.57 per share								(209)							(209)
Preferred stock								(20)							(20)
Common stock acquired															—
Common stock awards exercised						8						(399)	20		28
Other						(7)						(4)	1		(6)
Balance at September 30, 2021	$	1,976	503,880	$	504	$	10,763	$	24,785	$	(682)	138,250	$	(10,032)	$	27,314

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
Net income								747							747
Other comprehensive income (loss)										(989)					(989)

Cash dividends declared:
Common stock - $0.57 per share								(210)							(210)
Preferred stock								(35)							(35)

Common stock awards exercised						(5)						(505)	34		29
Other								1							1
Balance at June 30, 2022	$	1,976	503,880	$	504	$	10,757	$	26,115	$	(3,687)	136,260	$	(9,898)	$	25,767
Net income								690							690
Other comprehensive income (loss)										(581)					(581)

Cash dividends declared:
Common stock - $0.63 per share								(232)							(232)
Preferred stock								(21)							(21)

Common stock awards exercised						3						(348)	22		25

Balance at September 30, 2022	$	1,976	503,880	$	504	$	10,760	$	26,552	$	(4,268)	135,912	$	(9,876)	$	25,648

The accompanying condensed notes are an integral part of these consolidated financial statements.

State Street Corporation | 57

STATE STREET CORPORATION

CONSOLIDATED STATEMENT OF CASH FLOWS

(UNAUDITED)


		Six Months Ended June 30,				Nine Months Ended September 30,
(In millions)	(In millions)	2022		2021			(In millions)	2022		2021
Operating Activities:	Operating Activities:						Operating Activities:
Net income	Net income	$	1,351	$	1,282		Net income	$	2,041	$	1,996
Adjustments to reconcile net income to net cash provided by operating activities:	Adjustments to reconcile net income to net cash provided by operating activities:						Adjustments to reconcile net income to net cash provided by operating activities:
Deferred income tax (benefit)	Deferred income tax (benefit)	57		(15)			Deferred income tax (benefit)	(6)		(52)
Amortization of other intangible assets	Amortization of other intangible assets	121		121			Amortization of other intangible assets	179		183
Other non-cash adjustments for depreciation, amortization and accretion, net	Other non-cash adjustments for depreciation, amortization and accretion, net	420		700			Other non-cash adjustments for depreciation, amortization and accretion, net	558		1,015
Losses (gains) related to investment securities, net	Losses (gains) related to investment securities, net	2		—			Losses (gains) related to investment securities, net	2		1
Provision for credit losses	Provision for credit losses	10		(24)			Provision for credit losses	10		(26)
Change in trading account assets, net	Change in trading account assets, net	30		94			Change in trading account assets, net	73		94
Change in accrued interest and fees receivable, net	Change in accrued interest and fees receivable, net	(125)		(254)			Change in accrued interest and fees receivable, net	(248)		(302)
Change in collateral deposits, net	Change in collateral deposits, net	1,859		(6,520)			Change in collateral deposits, net	4,761		(7,723)
Change in unrealized losses (gains) on foreign exchange derivatives, net	Change in unrealized losses (gains) on foreign exchange derivatives, net	(5,277)		(7,471)			Change in unrealized losses (gains) on foreign exchange derivatives, net	(5,155)		(8,131)
Change in other assets, net	Change in other assets, net	(435)		(1,444)			Change in other assets, net	1,644		279

Change in accrued expenses and other liabilities, net	Change in accrued expenses and other liabilities, net	2,177		1,971			Change in accrued expenses and other liabilities, net	700		1,468

Other, net	Other, net	261		235			Other, net	359		261
Net cash provided by (used in) operating activities	Net cash provided by (used in) operating activities	451		(11,325)			Net cash provided by (used in) operating activities	4,918		(10,937)
Investing Activities:	Investing Activities:						Investing Activities:
Net decrease in interest-bearing deposits with banks	Net decrease in interest-bearing deposits with banks	14,999		3,613			Net decrease in interest-bearing deposits with banks	7,160		9,407
Net (increase) in securities purchased under resale agreements		(2,192)		(891)
Net decrease in securities purchased under resale agreements							Net decrease in securities purchased under resale agreements	1,704		259
Proceeds from sales of available-for-sale securities	Proceeds from sales of available-for-sale securities	4,492		6,854			Proceeds from sales of available-for-sale securities	4,545		9,252
Proceeds from maturities of available-for-sale securities	Proceeds from maturities of available-for-sale securities	10,177		11,090			Proceeds from maturities of available-for-sale securities	14,952		16,281
Purchases of available-for-sale securities	Purchases of available-for-sale securities	(13,899)		(28,565)			Purchases of available-for-sale securities	(15,777)		(39,972)

Proceeds from maturities of held-to-maturity securities under the MMLF program	Proceeds from maturities of held-to-maturity securities under the MMLF program	—		3,299			Proceeds from maturities of held-to-maturity securities under the MMLF program	—		3,299
Proceeds from maturities of held-to-maturity securities	Proceeds from maturities of held-to-maturity securities	5,921		7,886			Proceeds from maturities of held-to-maturity securities	8,098		12,564
Purchases of held-to-maturity securities	Purchases of held-to-maturity securities	(4,402)		(3,070)			Purchases of held-to-maturity securities	(7,755)		(5,984)
Sale of loans	Sale of loans	1,565		40			Sale of loans	1,739		64
Net (increase) in loans	Net (increase) in loans	(2,985)		(2,819)			Net (increase) in loans	(6,134)		(4,873)
Business acquisitions, net of cash acquired	Business acquisitions, net of cash acquired	—		(257)			Business acquisitions, net of cash acquired	—		(346)
Divestitures	Divestitures	—		13			Divestitures	—		13
Purchases of equity investments and other long-term assets	Purchases of equity investments and other long-term assets	(167)		(106)			Purchases of equity investments and other long-term assets	(193)		(122)
Purchases of premises and equipment, net	Purchases of premises and equipment, net	(320)		(359)			Purchases of premises and equipment, net	(530)		(556)

Other, net	Other, net	57		184			Other, net	102		236
Net cash provided by (used in) investing activities	Net cash provided by (used in) investing activities	13,246		(3,088)			Net cash provided by (used in) investing activities	7,911		(478)
Financing Activities:	Financing Activities:						Financing Activities:
Net (decrease) in time deposits	Net (decrease) in time deposits	(1,238)		(1,542)			Net (decrease) in time deposits	(709)		(1,643)
Net (decrease) increase in all other deposits	Net (decrease) increase in all other deposits	(11,884)		25,724			Net (decrease) increase in all other deposits	(16,086)		21,227
Net (decrease) in securities sold under repurchase agreements		(624)		(2,756)
Net increase (decrease) in securities sold under repurchase agreements							Net increase (decrease) in securities sold under repurchase agreements	2,675		(2,776)
Net (decrease) in short-term borrowings under money market liquidity facility	Net (decrease) in short-term borrowings under money market liquidity facility	—		(3,302)			Net (decrease) in short-term borrowings under money market liquidity facility	—		(3,302)
Net (decrease) in other short-term borrowings	Net (decrease) in other short-term borrowings	(55)		(51)			Net (decrease) in other short-term borrowings	(20)		(137)
Proceeds from issuance of long-term debt, net of issuance costs	Proceeds from issuance of long-term debt, net of issuance costs	1,989		844			Proceeds from issuance of long-term debt, net of issuance costs	2,735		844
Payments for long-term debt and obligations under finance leases	Payments for long-term debt and obligations under finance leases	(1,527)		(1,522)			Payments for long-term debt and obligations under finance leases	(1,507)		(1,530)
Payments for redemption of preferred stock	Payments for redemption of preferred stock	—		(500)			Payments for redemption of preferred stock	—		(500)

Proceeds from issuance of common stock, net of issuance costs							Proceeds from issuance of common stock, net of issuance costs	—		1,900
Repurchases of common stock	Repurchases of common stock	—		(900)			Repurchases of common stock	—		(900)

Repurchases of common stock for employee tax withholding	Repurchases of common stock for employee tax withholding	—		(6)			Repurchases of common stock for employee tax withholding	(96)		(6)
Payments for cash dividends	Payments for cash dividends	(474)		(424)			Payments for cash dividends	(704)		(623)

Net cash (used in) provided by financing activities	Net cash (used in) provided by financing activities	(13,813)		15,565			Net cash (used in) provided by financing activities	(13,712)		12,554
Net (decrease) increase	Net (decrease) increase	(116)		1,152			Net (decrease) increase	(883)		1,139
Cash and due from banks at beginning of period	Cash and due from banks at beginning of period	3,631		3,467			Cash and due from banks at beginning of period	3,631		3,467
Cash and due from banks at end of period	Cash and due from banks at end of period	$	3,515	$	4,619		Cash and due from banks at end of period	$	2,748	$	4,606

The accompanying condensed notes are an integral part of these consolidated financial statements.

State Street Corporation | 58

STATE STREET CORPORATION

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, including our principal banking subsidiary, State Street Bank.

The accompanying consolidated financial statements should be read in conjunction with the financial and risk factor information included in our 2021 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, 2021 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.

In September 2021, we announced that we had entered into a definitive agreement to acquire the BBH Investor Services business for $3.5 billion in cash.

Recent Accounting Developments

In March 2022, the SEC staff released Staff Accounting Bulletin No. 121 (SAB 121). SAB 121 expresses the views of the SEC staff regarding the accounting for obligations to safeguard crypto-assets. The guidance requires an entity that has obligations to safeguard crypto-assets held for their platform users to recognize a liability on its balance sheet, along with a corresponding asset, and provide extensive disclosures on the nature and amount of crypto-assets under custody. This guidance was adopted in the second quarter of 2022 and had no financial statement impact. We continue to evaluate the potential impact of the guidance on State Street Digital products and services currently in development.

We did not adopt any other new accounting standards in the ~~second~~third quarter of 2022 that had a material impact to our financial statements.

Relevant standards that were recently issued but not yet adopted


Standard	Description	Date of Adoption	Effects on the financial statements or other significant matters
ASU 2022-02, Financial Instruments—Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures	The standard addresses two topics: 1) eliminates the accounting guidance for TDRs, now requiring an entity to determine whether a modification results in a new loan or a continuation of an existing loan, as well as expanding disclosures related to modifications and 2) requires disclosure of current period gross write-offs of financing receivables within the vintage disclosures table.	January 1, 2023, early adoption permitted	We do not expect the new standard to have a significant impact as, to date, no loans have been modified in troubled debt restructurings and write-offs of financing receivables are insignificant.
ASU 2022-01, Derivatives and Hedging (Topic 815): Fair Value Hedging—Portfolio Layer Method	The standard makes targeted amendments to 1) expand the existing last-of-layer method to allow multiple hedging layers of a single closed portfolio (now renamed portfolio layer method), 2) expand the scope of the portfolio layer method to include nonprepayable financial assets, 3) clarify which hedging instruments are eligible for designation in a portfolio layer hedge, 4) provide additional guidance on the accounting for, and disclosure of, hedge basis adjustments that are applicable to the portfolio layer method and 5) define how hedge basis adjustments should be considered when determining credit losses for the assets included in the closed portfolio.	January 1, 2023, early adoption permitted	We are currently evaluating the impact of the new standard and the early adoption provisions.

State Street Corporation | 59

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 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.

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 137 to 143 in Note 2 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 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:

State Street Corporation | 60

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 June 30, 2022											As of September 30, 2022
(In millions)	(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:											Assets:
Trading account assets:	Trading account assets:											Trading account assets:
U.S. government securities	U.S. government securities	$	39	$	—	$	—			$	39	U.S. government securities	$	39	$	—	$	—			$	39
Non-U.S. government securities	Non-U.S. government securities	—		131		—				131		Non-U.S. government securities	—		118		—				118
Other	Other	—		558		—				558		Other	—		528		—				528

Total trading account assets	Total trading account assets	39		689		—				728		Total trading account assets	39		646		—				685
Available-for-sale investment securities:	Available-for-sale investment securities:											Available-for-sale investment securities:
U.S. Treasury and federal agencies:	U.S. Treasury and federal agencies:											U.S. Treasury and federal agencies:
Direct obligations	Direct obligations	9,411		—		—				9,411		Direct obligations	7,856		—		—				7,856
Mortgage-backed securities	Mortgage-backed securities	—		10,271		—				10,271		Mortgage-backed securities	—		9,403		—				9,403
Total U.S. Treasury and federal agencies	Total U.S. Treasury and federal agencies	9,411		10,271		—				19,682		Total U.S. Treasury and federal agencies	7,856		9,403		—				17,259
Non-U.S. debt securities:	Non-U.S. debt securities:											Non-U.S. debt securities:
Mortgage-backed securities	Mortgage-backed securities	—		1,959		—				1,959		Mortgage-backed securities	—		1,662		—				1,662
Asset-backed securities	Asset-backed securities	—		1,876		—				1,876		Asset-backed securities	—		1,640		—				1,640
Non-U.S. sovereign, supranational and non-U.S. agency	Non-U.S. sovereign, supranational and non-U.S. agency	—		14,927		—				14,927		Non-U.S. sovereign, supranational and non-U.S. agency	—		13,674		—				13,674
Other	Other	—		2,204		—				2,204		Other	—		2,084		—				2,084
Total non-U.S. debt securities	Total non-U.S. debt securities	—		20,966		—				20,966		Total non-U.S. debt securities	—		19,060		—				19,060
Asset-backed securities:	Asset-backed securities:											Asset-backed securities:
Student loans	Student loans	—		150		—				150		Student loans	—		133		—				133

Collateralized loan obligations	Collateralized loan obligations	—		2,334		—				2,334		Collateralized loan obligations	—		2,317		—				2,317
Non-agency CMBS and RMBS(2)	Non-agency CMBS and RMBS(2)	—		195		—				195		Non-agency CMBS and RMBS(2)	—		215		—				215
Other	Other	—		89		—				89		Other	—		88		—				88
Total asset-backed securities	Total asset-backed securities	—		2,768		—				2,768		Total asset-backed securities	—		2,753		—				2,753

State and political subdivisions	State and political subdivisions	—		1,034		—				1,034		State and political subdivisions	—		924		—				924

Other U.S. debt securities	Other U.S. debt securities	—		1,004		—				1,004		Other U.S. debt securities	—		990		—				990

Total available-for-sale investment securities	Total available-for-sale investment securities	9,411		36,043		—				45,454		Total available-for-sale investment securities	7,856		33,130		—				40,986
Other assets:	Other assets:											Other assets:
Derivative instruments:	Derivative instruments:											Derivative instruments:
Foreign exchange contracts	Foreign exchange contracts	3		23,615		15		$	(14,168)	9,465		Foreign exchange contracts	2		30,117		15		$	(18,950)	11,184
Interest rate contracts	Interest rate contracts	11		—		—		—		11		Interest rate contracts	—		—		—		—		—

Total derivative instruments	Total derivative instruments	14		23,615		15		(14,168)		9,476		Total derivative instruments	2		30,117		15		(18,950)		11,184

Other	Other	12		621		—		—		633		Other	7		662		—		—		669
Total assets carried at fair value	Total assets carried at fair value	$	9,476	$	60,968	$	15	$	(14,168)	$	56,291	Total assets carried at fair value	$	7,904	$	64,555	$	15	$	(18,950)	$	53,524
Liabilities:	Liabilities:											Liabilities:
Accrued expenses and other liabilities:	Accrued expenses and other liabilities:											Accrued expenses and other liabilities:

Derivative instruments:	Derivative instruments:											Derivative instruments:
Foreign exchange contracts	Foreign exchange contracts	$	4	$	23,017	$	15	$	(17,100)	$	5,936	Foreign exchange contracts	$	4	$	30,404	$	8	$	(22,346)	$	8,070
Interest rate contracts	Interest rate contracts	—		—		—		—		—		Interest rate contracts	4		—		—		—		4
Other derivative contracts	Other derivative contracts	—		272		—		—		272		Other derivative contracts	—		245		—		—		245
Total derivative instruments	Total derivative instruments	4		23,289		15		(17,100)		6,208		Total derivative instruments	8		30,649		8		(22,346)		8,319

Total liabilities carried at fair value	Total liabilities carried at fair value	$	4	$	23,289	$	15	$	(17,100)	$	6,208	Total liabilities carried at fair value	$	8	$	30,649	$	8	$	(22,346)	$	8,319

(1) Represents counterparty netting against level 2 financial assets and liabilities where a legally enforceable master netting agreement exists between us and the counterparty. Netting also reflects asset and liability reductions of ~~$1.73~~$2.41 billion and ~~$4.66~~$5.81 billion, respectively, for cash collateral received from and provided to derivative counterparties.

(2) Consists entirely of non-agency CMBS.

State Street Corporation | 61

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)


	Fair Value Measurements on a Recurring Basis
	As of December 31, 2021
(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	—		134		—				134
Other	—		585		—				585
Total trading account assets	39		719		—				758
Available-for-sale investment securities:
U.S. Treasury and federal agencies:
Direct obligations	17,939		—		—				17,939
Mortgage-backed securities	—		18,208		—				18,208
Total U.S. Treasury and federal agencies	17,939		18,208		—				36,147
Non-U.S. debt securities:
Mortgage-backed securities	—		1,995		—				1,995
Asset-backed securities	—		2,087		—				2,087
Non-U.S. sovereign, supranational and non-U.S. agency	—		23,547		—				23,547
Other	—		3,098		—				3,098
Total non-U.S. debt securities	—		30,727		—				30,727
Asset-backed securities:
Student loans	—		211		—				211


Collateralized loan obligations	—		2,155		—				2,155
Non-agency CMBS and RMBS(2)	—		52		—				52
Other	—		91		—				91
Total asset-backed securities	—		2,509		—				2,509






State and political subdivisions	—		1,272		—				1,272

Other U.S. debt securities	—		2,744		—				2,744




Total available-for-sale investment securities	17,939		55,460		—				73,399
Other assets:
Derivative instruments:
Foreign exchange contracts	2		15,183		—		$	(11,079)	4,106
Interest rate contracts	2		—		—		—		2

Total derivative instruments	4		15,183		—		(11,079)		4,108
Other	—		667		—		—		667
Total assets carried at fair value	$	17,982	$	72,029	$	—	$	(11,079)	$	78,932
Liabilities:
Accrued expenses and other liabilities:
Trading account liabilities:



Derivative instruments:
Foreign exchange contracts	1		15,824		—		(10,395)		5,430

Other derivative contracts	—		301		—		—		301
Total derivative instruments	1		16,125		—		(10,395)		5,731

Total liabilities carried at fair value	$	1	$	16,125	$	—	$	(10,395)	$	5,731

(1) Represents counterparty netting against level 2 financial assets and liabilities where a legally enforceable master netting agreement exists between us and the counterparty. Netting also reflects asset and liability reductions of $1.97 billion and $1.28 billion, respectively, for cash collateral received from and provided to derivative counterparties.

(2) Consists entirely of non-agency CMBS.

State Street Corporation | 62

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 ~~six~~nine months ended ~~June~~September 30, 2022 and 2021, respectively. Transfers into and out of level 3 are reported as of the beginning of the period presented. During both the three and ~~six~~nine months ended ~~June~~September 30, 2022, there were no transfers into and out of level 3. During the three months ended ~~June~~September 30, 2021, there were no transfers into level 3. During the ~~six~~nine months ended ~~June~~September 30, 2021, transfers into level 3 were primarily related to a U.S. corporate bond, for which fair value was measured using information obtained from third party sources, including non-binding broker/dealer quotes. During the three and ~~six~~nine months ended ~~June~~September 30, 2021, transfers out of level 3 were primarily related to collateralized loan obligations and a U.S. corporate bond, for which fair value was measured using prices for which observable market information became available.


		Fair Value Measurements Using Significant Unobservable Inputs																				Fair Value Measurements Using Significant Unobservable Inputs
		Three Months Ended June 30, 2022																				Three Months Ended September 30, 2022
		Fair Value as of March 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 June 30, 2022(1)			Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of June 30, 2022			Fair Value as of June 30, 2022		Total Realized and Unrealized Gains (Losses)(1)				Purchases		Sales		Settlements		Transfers into Level 3		Transfers out of Level 3		Fair Value as of September 30, 2022(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30, 2022
(In millions)	(In millions)			Recorded in Revenue(1)		Recorded in Other Comprehensive Income(1)										(In millions)			Recorded in Revenue(1)						Recorded in Other Comprehensive Income(1)
Assets:	Assets:																												Assets:

Other assets:	Other assets:																										Other assets:
Derivative instruments:	Derivative instruments:																								Derivative instruments:
Foreign exchange contracts	Foreign exchange contracts	$	6	$	—	$	—	$	9	$	—	$	—	$	—		$	—		$	15		$	2	Foreign exchange contracts	$	15	$	7	$	—	$	5	$	—	$	(12)	$	—	$	—	$	15	$	8

Total derivative instruments	Total derivative instruments	6		—		—		9		—		—		—			—			15			2		Total derivative instruments	15		7		—		5		—		(12)		—		—		15		8
Total assets carried at fair value	Total assets carried at fair value	$	6	$	—	$	—	$	9	$	—	$	—	$	—		$	—		$	15		$	2	Total assets carried at fair value	$	15	$	7	$	—	$	5	$	—	$	(12)	$	—	$	—	$	15	$	8

(1) Total realized and unrealized gains (losses) on derivative instruments are included within foreign exchange trading services.


		Fair Value Measurements Using Significant Unobservable Inputs																				Fair Value Measurements Using Significant Unobservable Inputs
		Six Months Ended June 30, 2022																				Nine Months Ended September 30, 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 June 30, 2022(1)			Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of June 30, 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 September 30, 2022(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30, 2022
(In millions)	(In millions)			Recorded in Revenue(1)		Recorded in Other Comprehensive Income(1)										(In millions)			Recorded in Revenue(1)						Recorded in Other Comprehensive Income(1)
Assets:	Assets:																												Assets:

Other assets:	Other assets:																										Other assets:
Derivative instruments:	Derivative instruments:																								Derivative instruments:
Foreign exchange contracts	Foreign exchange contracts	$	—	$	3	$	—	$	12	$	—	$	—	$	—		$	—		$	15		$	4	Foreign exchange contracts	$	—	$	6	$	—	$	9	$	—	$	—	$	—	$	—	$	15	$	6

Total derivative instruments	Total derivative instruments	—		3		—		12		—		—		—			—			15			4		Total derivative instruments	—		6		—		9		—		—		—		—		15		6
Total assets carried at fair value	Total assets carried at fair value	$	—	$	3	$	—	$	12	$	—	$	—	$	—		$	—		$	15		$	4	Total assets carried at fair value	$	—	$	6	$	—	$	9	$	—	$	—	$	—	$	—	$	15	$	6

(1) Total realized and unrealized gains (losses) on derivative instruments are included within foreign exchange trading services.

~~State Street Corporation | 63~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~


		Fair Value Measurements Using Significant Unobservable Inputs																				Fair Value Measurements Using Significant Unobservable Inputs
		Three Months Ended June 30, 2021																				Three Months Ended September 30, 2021
		Fair Value as of March 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 June 30, 2021(1)			Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of June 30, 2021			Fair Value as of June 30, 2021		Total Realized and Unrealized Gains (Losses)(1)					Purchases		Sales		Settlements		Transfers into Level 3		Transfers out of Level 3		Fair Value as of September 30, 2021(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30, 2021
(In millions)	(In millions)			Recorded in Revenue(1)		Recorded in Other Comprehensive Income(1)										(In millions)			Recorded in Revenue(1)						Recorded in Other Comprehensive Income(1)
Assets:	Assets:																													Assets:
Available-for-sale Investment securities:

Asset-backed securities:
Collateralized loan obligations		$	106	$	—	$	—	$	—	$	—	$	—	$	—		$	(106)		$	—

Total asset-backed securities		106		—		—		—		—		—		—			(106)			—

Other U.S. debt securities		15		—		—		—		—		—		—			(15)			—
Total available-for-sale investment securities		121		—		—		—		—		—		—			(121)			—

Other assets:	Other assets:																								Other assets:
Derivative instruments:	Derivative instruments:																								Derivative instruments:
Foreign exchange contracts	Foreign exchange contracts	6		(5)		—		2		—		(1)		—			—			2			$	—	Foreign exchange contracts	$	2	$	—		$	—	$	1	$	—	$	(1)	$	—	$	—	$	2	$	—
Total derivative instruments	Total derivative instruments	6		(5)		—		2		—		(1)		—			—			2			—		Total derivative instruments	2		—			—		1		—		(1)		—		—		2		—
Total assets carried at fair value	Total assets carried at fair value	$	127	$	(5)	$	—	$	2	$	—	$	(1)	$	—		$	(121)		$	2		$	—	Total assets carried at fair value	$	2	$	—		$	—	$	1	$	—	$	(1)	$	—	$	—	$	2	$	—

(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.

Fair Value Measurements Using Significant Unobservable Inputs
Six Months Ended June 30, 2021
Fair Value as of December 31, 2020
Total Realized and
Unrealized Gains (Losses)(1)
Purchases Sales Settlements Transfers
into
Level 3 Transfers
out of
Level 3
Fair Value
as of June 30, 2021(1)
Change in Unrealized Gains (Losses) Related to Financial Instruments
Held as of
June 30, 2021
(In millions)
Recorded
in
Revenue(1)
Recorded
in Other
Comprehensive
Income(1)
Assets:
Available-for-sale Investment securities:
Asset-backed securities:
Collateralized loan obligations $ 14 $ — $ — $ 106 $ — $ — $ — $ (120) $ —
Total asset-backed securities 14 — — 106 — — — (120) —
Other U.S. debt securities — — — — — — 15 (15) —
Total available-for-sale investment securities 14 — — 106 — — 15 (135) —
Other assets:
Derivative instruments:
Foreign exchange contracts 2 (3) — 3 — — — — 2 $ (1)
Total derivative instruments 2 (3) — 3 — — — — 2 (1)
Total assets carried at fair value $ 16 $ (3) $ — $ 109 $ — $ — $ 15 $ (135) $ 2 $ (1)

State Street Corporation | 63

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)


	Fair Value Measurements Using Significant Unobservable Inputs
	Nine Months Ended September 30, 2021
	Fair Value as of December 31, 2020		Total Realized and Unrealized Gains (Losses)(1)				Purchases		Sales		Settlements		Transfers into Level 3		Transfers out of Level 3		Fair Value as of September 30, 2021(1)		Change in Unrealized Gains (Losses) Related to Financial Instruments Held as of September 30, 2021
(In millions)			Recorded in Revenue(1)		Recorded in Other Comprehensive Income(1)
Assets:
Available-for-sale Investment securities:

Asset-backed securities:
Collateralized loan obligations	$	14	$	—	$	—	$	106	$	—	$	—	$	—	$	(120)	$	—

Total asset-backed securities	14		—		—		106		—		—		—		(120)		—








Other U.S. debt securities	—		—		—		—		—		—		15		(15)		—
Total available-for-sale investment securities	14		—		—		106		—		—		15		(135)		—
Other assets:
Derivative instruments:
Foreign exchange contracts	2		(3)		—		4		—		(1)		—		—		2		$	(1)
Total derivative instruments	2		(3)		—		4		—		(1)		—		—		2		(1)
Total assets carried at fair value	$	16	$	(3)	$	—	$	110	$	—	$	(1)	$	15	$	(135)	$	2	$	(1)

~~State Street Corporation | 64~~

~~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/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						Range				Weighted-Average					Fair Value						Range				Weighted-Average
(Dollars in millions)	(Dollars in millions)	As of June 30, 2022		As of December 31, 2021		Valuation Technique	Significant Unobservable Input(1)	As of June 30, 2022				As of June 30, 2022		As of December 31, 2021		(Dollars in millions)	As of September 30, 2022		As of December 31, 2021		Valuation Technique	Significant Unobservable Input(1)	As of September 30, 2022				As of September 30, 2022		As of December 31, 2021
Significant unobservable inputs readily available to State Street:	Significant unobservable inputs readily available to State Street:															Significant unobservable inputs readily available to State Street:
Assets:	Assets:															Assets:
Derivative Instruments, foreign exchange contracts	Derivative Instruments, foreign exchange contracts	$	15	$	—	Option model	Volatility	5.4	%	-	19.8%	11.9	%	15.2	%	Derivative Instruments, foreign exchange contracts	$	15	$	—	Option model	Volatility	4.7	%	-	24.1%	8.5	%	15.2	%
Total	Total	$	15	$	—											Total	$	15	$	—
Liabilities:	Liabilities:															Liabilities:
Derivative instruments, foreign exchange contracts	Derivative instruments, foreign exchange contracts	$	15	$	—	Option model	Volatility	5.4	%	-	19.7%	11.9	%	14.7	%	Derivative instruments, foreign exchange contracts	$	8	$	—	Option model	Volatility	7.6	%	-	23.9%	8.4	%	14.7	%
Total	Total	$	15	$	—											Total	$	8	$	—

(1) Significant changes in these unobservable inputs may result in significant changes in fair value measurement of the derivative instrument.

State Street Corporation | 64

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 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, as they would be categorized within the fair value hierarchy, as of the dates indicated:


						Fair Value Hierarchy											Fair Value Hierarchy
(In millions)	(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)		(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)
June 30, 2022
September 30, 2022												September 30, 2022
Financial Assets:	Financial Assets:											Financial Assets:
Cash and due from banks	Cash and due from banks	$	3,515	3,515		$	3,515	$	—	$	—	Cash and due from banks	$	2,748	2,748		$	2,748	$	—	$	—
Interest-bearing deposits with banks	Interest-bearing deposits with banks	91,360		91,360		—		91,360		—		Interest-bearing deposits with banks	99,199		99,199		—		99,199		—
Securities purchased under resale agreements	Securities purchased under resale agreements	5,203		5,203		—		5,203		—		Securities purchased under resale agreements	1,308		1,308		—		1,308		—

Investment securities held-to-maturity	Investment securities held-to-maturity	64,261		60,103		11,331		48,772		—		Investment securities held-to-maturity	65,232		58,320		11,268		47,052		—
Net loans(1)	Net loans(1)	33,470		33,209		—		31,009		2,200		Net loans(1)	36,016		35,746		—		33,481		2,265
Other(2)		1		1		—		1		—

Financial Liabilities:	Financial Liabilities:											Financial Liabilities:
Deposits:	Deposits:											Deposits:
Non-interest-bearing	Non-interest-bearing	$	55,062	$	55,062	$	—	$	55,062	$	—	Non-interest-bearing	$	55,894	$	55,894	$	—	$	55,894	$	—
Interest-bearing - U.S.	Interest-bearing - U.S.	107,262		107,262		—		107,262		—		Interest-bearing - U.S.	105,021		105,021		—		105,021		—
Interest-bearing - non-U.S.	Interest-bearing - non-U.S.	79,589		79,589		—		79,589		—		Interest-bearing - non-U.S.	77,321		77,321		—		77,321		—
Securities sold under repurchase agreements	Securities sold under repurchase agreements	951		951		—		951		—		Securities sold under repurchase agreements	4,250		4,250		—		4,250		—

Other short-term borrowings	Other short-term borrowings	73		73		—		73		—		Other short-term borrowings	109		109		—		109		—

Long-term debt	Long-term debt	13,530		12,771		—		12,633		138		Long-term debt	13,999		13,069		—		12,913		156
Other(2)		1		1		—		1		—

(1) ~~Includes $155 million of~~No loans were classified as held-for-sale that were measured at fair value in level 2 as of ~~June~~September 30, 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 | 65~~

~~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, 2021
Financial Assets:
Cash and due from banks	$	3,631	$	3,631	$	3,631	$	—	$	—
Interest-bearing deposits with banks	106,358		106,358		—		106,358		—
Securities purchased under resale agreements	3,012		3,012		—		3,012		—

Investment securities held-to-maturity	42,430		42,271		2,160		40,111		—
Net loans(1)	32,445		32,528		—		29,862		2,666
Other(2)	1		1		—		1		—
Financial Liabilities:
Deposits:
Non-interest-bearing	$	56,461	$	56,461	$	—	$	56,461	$	—
Interest-bearing - U.S.	102,985		102,985		—		102,985		—
Interest-bearing - non-U.S.	95,589		95,589		—		95,589		—
Securities sold under repurchase agreements	1,575		1,575		—		1,575		—

Other short-term borrowings	128		128		—		128		—
Long-term debt	13,475		13,552		—		13,385		167
Other(2)	1		1		—		1		—

(1) Includes $8 million of loans classified as held-for-sale that were measured at fair value in level 2 as of December 31, 2021.

(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 | 65

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 equity securities held at fair value at the time of purchase and reassessed periodically, based on management’s intent. For additional information on our accounting for investment securities, refer to page 144 in Note 3 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K.

Trading assets are carried at fair value. Both realized and unrealized gains and losses on trading assets are recorded in foreign exchange trading services revenue in our consolidated statement of income. AFS securities 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, with any allowance for credit losses recorded through the consolidated statement of income.

State Street Corporation | 66

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:


		June 30, 2022								December 31, 2021									September 30, 2022								December 31, 2021
		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)	(In millions)			Gains		Losses						Gains		Losses				(In millions)			Gains		Losses						Gains		Losses
Available-for-sale:	Available-for-sale:																	Available-for-sale:
U.S. Treasury and federal agencies:	U.S. Treasury and federal agencies:																	U.S. Treasury and federal agencies:
Direct obligations	Direct obligations	$	9,720	$	12	$	321	$	9,411	$	18,111	$	24	$	196	$	17,939	Direct obligations	$	8,150	$	13	$	307	$	7,856	$	18,111	$	24	$	196	$	17,939
Mortgage-backed securities	Mortgage-backed securities	10,409		1		139		10,271		18,154		148		94		18,208		Mortgage-backed securities	9,618		—		215		9,403		18,154		148		94		18,208
Total U.S. Treasury and federal agencies	Total U.S. Treasury and federal agencies	20,129		13		460		19,682		36,265		172		290		36,147		Total U.S. Treasury and federal agencies	17,768		13		522		17,259		36,265		172		290		36,147
Non-U.S. debt securities:	Non-U.S. debt securities:																	Non-U.S. debt securities:
Mortgage-backed securities	Mortgage-backed securities	1,972		5		18		1,959		1,986		12		3		1,995		Mortgage-backed securities	1,680		—		18		1,662		1,986		12		3		1,995
Asset-backed securities(1)	Asset-backed securities(1)	1,901		—		25		1,876		2,087		2		2		2,087		Asset-backed securities(1)	1,671		—		31		1,640		2,087		2		2		2,087
Non-U.S. sovereign, supranational and non-U.S. agency	Non-U.S. sovereign, supranational and non-U.S. agency	15,300		1		374		14,927		23,533		114		100		23,547		Non-U.S. sovereign, supranational and non-U.S. agency	14,142		2		470		13,674		23,533		114		100		23,547
Other(2)	Other(2)	2,358		—		154		2,204		3,113		17		32		3,098		Other(2)	2,262		—		178		2,084		3,113		17		32		3,098
Total non-U.S. debt securities	Total non-U.S. debt securities	21,531		6		571		20,966		30,719		145		137		30,727		Total non-U.S. debt securities	19,755		2		697		19,060		30,719		145		137		30,727
Asset-backed securities:	Asset-backed securities:																	Asset-backed securities:
Student loans(3)	Student loans(3)	152		—		2		150		209		2		—		211		Student loans(3)	134		—		1		133		209		2		—		211

Collateralized loan obligations(4)	Collateralized loan obligations(4)	2,378		—		43		2,334		2,155		2		2		2,155		Collateralized loan obligations(4)	2,371		—		54		2,317		2,155		2		2		2,155
Non-agency CMBS and RMBS(5)	Non-agency CMBS and RMBS(5)	200		—		5		195		52		—		—		52		Non-agency CMBS and RMBS(5)	220		—		5		215		52		—		—		52
Other	Other	90		—		1		89		90		1		—		91		Other	90		—		2		88		90		1		—		91
Total asset-backed securities	Total asset-backed securities	2,820		—		51		2,768		2,506		5		2		2,509		Total asset-backed securities	2,815		—		62		2,753		2,506		5		2		2,509

State and political subdivisions	State and political subdivisions	1,042		2		10		1,034		1,216		59		3		1,272		State and political subdivisions	952		—		28		924		1,216		59		3		1,272

Other U.S. debt securities(6)	Other U.S. debt securities(6)	1,074		—		70		1,004		2,734		23		13		2,744		Other U.S. debt securities(6)	1,073		—		83		990		2,734		23		13		2,744

Total available-for-sale securities(7)(9)	Total available-for-sale securities(7)(9)	$	46,596	$	21	$	1,162	$	45,454	$	73,440	$	404	$	445	$	73,399	Total available-for-sale securities(7)(9)	$	42,363	$	15	$	1,392	$	40,986	$	73,440	$	404	$	445	$	73,399
Held-to-maturity:	Held-to-maturity:																	Held-to-maturity:
U.S. Treasury and federal agencies:	U.S. Treasury and federal agencies:																	U.S. Treasury and federal agencies:
Direct obligations	Direct obligations	$	11,424	$	—	$	75	$	11,349	$	2,170	$	10	$	—	$	2,180	Direct obligations	$	11,637	$	—	$	353	$	11,284	$	2,170	$	10	$	—	$	2,180
Mortgage-backed securities	Mortgage-backed securities	41,660		2		3,854		37,808		33,481		362		578		33,265		Mortgage-backed securities	42,967		—		6,207		36,760		33,481		362		578		33,265
Total U.S. Treasury and federal agencies	Total U.S. Treasury and federal agencies	53,084		2		3,929		49,157		35,651		372		578		35,445		Total U.S. Treasury and federal agencies	54,604		—		6,560		48,044		35,651		372		578		35,445
Non-U.S. debt securities:	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	6,443		5		133		6,315		1,564		—		9		1,555		Non-U.S. sovereign, supranational and non-U.S. agency	6,141		—		268		5,873		1,564		—		9		1,555

Total non-U.S. debt securities	Total non-U.S. debt securities	6,443		5		133		6,315		1,564		—		9		1,555		Total non-U.S. debt securities	6,141		—		268		5,873		1,564		—		9		1,555
Asset-backed securities:	Asset-backed securities:																	Asset-backed securities:
Student loans(3)	Student loans(3)	4,468		1		124		4,345		4,908		48		14		4,942		Student loans(3)	4,238		1		104		4,135		4,908		48		14		4,942

Non-agency CMBS and RMBS(8)	Non-agency CMBS and RMBS(8)	266		20		—		286		307		22		—		329		Non-agency CMBS and RMBS(8)	249		19		—		268		307		22		—		329

Total asset-backed securities	Total asset-backed securities	4,734		21		124		4,631		5,215		70		14		5,271		Total asset-backed securities	4,487		20		104		4,403		5,215		70		14		5,271

Total held-to-maturity securities(7)	Total held-to-maturity securities(7)	$	64,261	$	28	$	4,186	$	60,103	$	42,430	$	442	$	601	$	42,271	Total held-to-maturity securities(7)	$	65,232	$	20	$	6,932	$	58,320	$	42,430	$	442	$	601	$	42,271

(1) As of ~~June~~September 30, 2022 and December 31, 2021, the fair value includes non-U.S. collateralized loan obligations of ~~$0.85~~$0.78 billion and $0.83 billion, respectively.

(2) As of ~~June~~September 30, 2022 and December 31, 2021, the fair value includes non-U.S. corporate bonds of ~~$1.10~~$1.11 billion and $1.53 billion, respectively.

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

(4) Excludes collateralized loan obligations in loan form. Refer to Note 4 for additional information.

(5) Consists entirely of non-agency CMBS as of both ~~June~~September 30, 2022 and December 31, 2021.

(6) As of ~~June~~September 30, 2022 and December 31, 2021, the fair value of U.S. corporate bonds was ~~$1.00~~$0.99 billion and $2.44 billion, respectively.

(7) An immaterial amount of accrued interest related to HTM and AFS investment securities was excluded from the amortized cost basis for the period ended ~~June~~September 30, 2022.

(9) As of both ~~June~~September 30, 2022 and December 31, 2021, total amortized cost included an allowance for credit losses on AFS investment securities of $2$1 million.

State Street Corporation | 67

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Aggregate investment securities with carrying values of approximately ~~$74.57~~$83.71 billion and $80.81 billion as of ~~June~~September 30, 2022 and December 31, 2021, respectively, were designated as pledged for public and trust deposits, short-term borrowings and for other purposes as provided by law.

In the second quarter of 2022, $21.23 billion of investment securities previously classified as AFS were transferred to HTM. These transfers reflect our intent to hold these securities until their maturity. These securities were transferred at fair value, which included a net unrealized loss of $1.29 billion. Upon transfer of a debt security from AFS to HTM, the amortized cost is reset to fair value. Any net unrealized gain or loss at the date of transfer will remain in AOCI and be amortized into net interest income over the remaining life of the security. The amortization of amounts retained in AOCI will offset the effect on net interest income of the amortization of the premium or discount resulting from transferring securities at fair value.

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:

As of June 30, 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 $ 6,778 $ 283 $ 2,062 $ 38 $ 8,840 $ 321
Mortgage-backed securities 9,768 119 278 20 10,046 139
Total U.S. Treasury and federal agencies 16,546 402 2,340 58 18,886 460
Non-U.S. debt securities:
Mortgage-backed securities 1,783 18 41 — 1,824 18
Asset-backed securities 1,637 23 166 2 1,803 25
Non-U.S. sovereign, supranational and non-U.S. agency 12,529 301 1,454 73 13,983 374
Other 1,423 87 637 67 2,060 154
Total non-U.S. debt securities 17,372 429 2,298 142 19,670 571
Asset-backed securities:
Student loans 102 2 16 — 118 2
Collateralized loan obligations 1,902 36 433 7 2,335 43
Non-agency CMBS and RMBS 195 5 — — 195 5
Other 89 1 — — 89 1
Total asset-backed securities 2,288 44 449 7 2,737 51
State and political subdivisions 667 6 43 4 710 10
Other U.S. debt securities 763 48 238 22 1,001 70
Total $ 37,636 $ 929 $ 5,368 $ 233 $ 43,004 $ 1,162

~~State Street Corporation | 68~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~


	As of September 30, 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	$	1,995	$	38	$	5,206	$	269	$	7,201	$	307
Mortgage-backed securities	8,949		180		346		35		9,295		215
Total U.S. Treasury and federal agencies	10,944		218		5,552		304		16,496		522
Non-U.S. debt securities:
Mortgage-backed securities	1,343		14		235		4		1,578		18
Asset-backed securities	1,361		25		245		6		1,606		31
Non-U.S. sovereign, supranational and non-U.S. agency	9,820		271		3,042		199		12,862		470
Other	970		51		1,023		127		1,993		178
Total non-U.S. debt securities	13,494		361		4,545		336		18,039		697
Asset-backed securities:
Student loans	84		1		6		—		90		1
Collateralized loan obligations	1,728		40		591		14		2,319		54
Non-agency CMBS and RMBS	215		5		—		—		215		5
Other	88		2		—		—		88		2
Total asset-backed securities	2,115		48		597		14		2,712		62






State and political subdivisions	860		23		42		5		902		28

Other U.S. debt securities	559		36		431		47		990		83


Total	$	27,972	$	686	$	11,167	$	706	$	39,139	$	1,392


	As of December 31, 2021
	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	$	14,749	$	194	$	1,624	$	2	$	16,373	$	196
Mortgage-backed securities	10,417		80		369		14		10,786		94
Total U.S. Treasury and federal agencies	25,166		274		1,993		16		27,159		290






Non-U.S. debt securities:
Mortgage-backed securities	577		3		30		—		607		3
Asset-backed securities	1,021		2		127		—		1,148		2
Non-U.S. sovereign, supranational and non-U.S. agency	10,406		97		63		3		10,469		100
Other	1,570		31		19		1		1,589		32
Total non-U.S. debt securities	13,574		133		239		4		13,813		137
Asset-backed securities:
Collateralized loan obligations	1,268		2		—		—		1,268		2
Total asset-backed securities	1,268		2		—		—		1,268		2
State and political subdivisions	10		—		45		3		55		3

Other U.S. debt securities	1,214		13		—		—		1,214		13

Total	$	41,232	$	422	$	2,277	$	23	$	43,509	$	445

State Street Corporation | 6968

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 as of ~~June~~September 30, 2022. 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.


		As of June 30, 2022																					As of September 30, 2022
(In millions)	(In millions)	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
		Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value			Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value
Available-for-sale:	Available-for-sale:																					Available-for-sale:
U.S. Treasury and federal agencies:	U.S. Treasury and federal agencies:																					U.S. Treasury and federal agencies:
Direct obligations	Direct obligations	$	2,049	$	2,039	$	7,112	$	6,800	$	559	$	572	$	—	$	—	$	9,720	$	9,411	Direct obligations	$	1,919	$	1,883	$	5,703	$	5,433	$	528	$	540	$	—	$	—	$	8,150	$	7,856
Mortgage-backed securities	Mortgage-backed securities	56		56		549		548		7,862		7,793		1,942		1,874		10,409		10,271		Mortgage-backed securities	53		52		502		498		7,239		7,111		1,824		1,742		9,618		9,403
Total U.S. Treasury and federal agencies	Total U.S. Treasury and federal agencies	2,105		2,095		7,661		7,348		8,421		8,365		1,942		1,874		20,129		19,682		Total U.S. Treasury and federal agencies	1,972		1,935		6,205		5,931		7,767		7,651		1,824		1,742		17,768		17,259
Non-U.S. debt securities:	Non-U.S. debt securities:																					Non-U.S. debt securities:
Mortgage-backed securities	Mortgage-backed securities	174		174		388		386		28		27		1,382		1,372		1,972		1,959		Mortgage-backed securities	123		123		339		336		20		20		1,198		1,183		1,680		1,662
Asset-backed securities	Asset-backed securities	265		260		810		801		459		453		367		362		1,901		1,876		Asset-backed securities	272		266		653		642		422		415		324		317		1,671		1,640
Non-U.S. sovereign, supranational and non-U.S. agency	Non-U.S. sovereign, supranational and non-U.S. agency	3,345		3,335		9,142		8,800		2,813		2,792		—		—		15,300		14,927		Non-U.S. sovereign, supranational and non-U.S. agency	3,929		3,894		7,653		7,244		2,560		2,536		—		—		14,142		13,674
Other	Other	267		266		1,940		1,812		122		103		29		23		2,358		2,204		Other	241		238		1,864		1,715		130		110		27		21		2,262		2,084
Total non-U.S. debt securities	Total non-U.S. debt securities	4,051		4,035		12,280		11,799		3,422		3,375		1,778		1,757		21,531		20,966		Total non-U.S. debt securities	4,565		4,521		10,509		9,937		3,132		3,081		1,549		1,521		19,755		19,060
Asset-backed securities:	Asset-backed securities:																					Asset-backed securities:
Student loans	Student loans	64		65		—		—		—		—		88		85		152		150		Student loans	51		51		—		—		—		—		83		82		134		133

Collateralized loan obligations	Collateralized loan obligations	108		106		485		477		1,197		1,177		588		574		2,378		2,334		Collateralized loan obligations	164		161		422		413		1,240		1,214		545		529		2,371		2,317
Non-agency CMBS and RMBS	Non-agency CMBS and RMBS	—		—		—		—		—		—		200		195		200		195		Non-agency CMBS and RMBS	—		—		—		—		—		—		220		215		220		215
Other	Other	—		—		90		89		—		—		—		—		90		89		Other	—		—		90		88		—		—		—		—		90		88
Total asset-backed securities	Total asset-backed securities	172		171		575		566		1,197		1,177		876		854		2,820		2,768		Total asset-backed securities	215		212		512		501		1,240		1,214		848		826		2,815		2,753

State and political subdivisions	State and political subdivisions	175		175		404		401		407		406		56		52		1,042		1,034		State and political subdivisions	197		195		309		299		390		379		56		51		952		924

Other U.S. debt securities	Other U.S. debt securities	62		61		997		928		15		15		—		—		1,074		1,004		Other U.S. debt securities	91		89		942		864		40		37		—		—		1,073		990
Total	Total	$	6,565	$	6,537	$	21,917	$	21,042	$	13,462	$	13,338	$	4,652	$	4,537	$	46,596	$	45,454	Total	$	7,040	$	6,952	$	18,477	$	17,532	$	12,569	$	12,362	$	4,277	$	4,140	$	42,363	$	40,986
Held-to-maturity:	Held-to-maturity:																					Held-to-maturity:
U.S. Treasury and federal agencies:	U.S. Treasury and federal agencies:																					U.S. Treasury and federal agencies:
Direct obligations	Direct obligations	$	400	$	400	$	10,985	$	10,911	$	24	$	23	$	15	$	15	$	11,424	$	11,349	Direct obligations	$	97	$	96	$	11,502	$	11,152	$	24	$	22	$	14	$	14	$	11,637	$	11,284
Mortgage-backed securities	Mortgage-backed securities	157		151		556		540		4,706		4,141		36,241		32,976		41,660		37,808		Mortgage-backed securities	158		143		622		584		4,549		3,756		37,638		32,277		42,967		36,760
Total U.S. Treasury and federal agencies	Total U.S. Treasury and federal agencies	557		551		11,541		11,451		4,730		4,164		36,256		32,991		53,084		49,157		Total U.S. Treasury and federal agencies	255		239		12,124		11,736		4,573		3,778		37,652		32,291		54,604		48,044

Non-U.S. debt securities:	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	546		543		5,303		5,186		594		586		—		—		6,443		6,315		Non-U.S. sovereign, supranational and non-U.S. agency	638		632		4,945		4,722		558		519		—		—		6,141		5,873

Total non-U.S. debt securities	Total non-U.S. debt securities	546		543		5,303		5,186		594		586		—		—		6,443		6,315		Total non-U.S. debt securities	638		632		4,945		4,722		558		519		—		—		6,141		5,873

Asset-backed securities:	Asset-backed securities:																					Asset-backed securities:
Student loans	Student loans	332		319		13		13		960		941		3,163		3,072		4,468		4,345		Student loans	315		304		12		12		989		973		2,922		2,846		4,238		4,135

Non-agency CMBS and RMBS	Non-agency CMBS and RMBS	181		188		11		12		—		—		74		86		266		286		Non-agency CMBS and RMBS	176		183		—		—		—		—		73		85		249		268
Total asset-backed securities	Total asset-backed securities	513		507		24		25		960		941		3,237		3,158		4,734		4,631		Total asset-backed securities	491		487		12		12		989		973		2,995		2,931		4,487		4,403
Total	Total	$	1,616	$	1,601	$	16,868	$	16,662	$	6,284	$	5,691	$	39,493	$	36,149	$	64,261	$	60,103	Total	$	1,384	$	1,358	$	17,081	$	16,470	$	6,120	$	5,270	$	40,647	$	35,222	$	65,232	$	58,320

~~State Street Corporation | 70~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

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.

State Street Corporation | 69

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Allowance for Credit Losses on Debt Securities and Impairment of AFS Securities

We conduct 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 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 148 to 149 in Note 3 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K.

We monitor the credit quality of the HTM and AFS investment securities using a variety of methods, including both external and internal credit ratings. As of ~~June~~September 30, 2022, 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 ~~June~~both September 30, 2022 and December 31, 2021.

Our allowance for credit losses on our AFS securities was approximately $1 million and $2 million as of ~~both June~~September 30, 2022 and December 31, ~~2021.~~2021, respectively. In the ~~second~~third quarter of 2022, we recorded no$1 million 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 date of payment.

After a review of the investment portfolio, taking into consideration 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 considered the resulting gross pre-tax unrealized losses of ~~$5.35~~$8.32 billion related to ~~2,050~~2,150 securities as of ~~June~~September 30, 2022 to be 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 Allowance for Credit Losses

We segregate our loans into 2two segments: commercial and financial loans and commercial real estate loans. We further classify commercial and financial loans as fund finance loans, leveraged loans, 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, including our internal risk-rating system used to assess our risk of credit loss for each loan, refer to pages 149 to 154 in Note 4 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K.

The following table presents our recorded investment in loans, by segment, as of the dates indicated:


(In millions)	(In millions)	June 30, 2022		December 31, 2021		(In millions)	September 30, 2022		December 31, 2021
Domestic(1):	Domestic(1):					Domestic(1):
Commercial and financial:	Commercial and financial:					Commercial and financial:
Fund Finance(2)	Fund Finance(2)	$	12,363	$	12,396	Fund Finance(2)	$	12,094	$	12,396
Leveraged loans	Leveraged loans	2,468		3,106		Leveraged loans	2,346		3,106

Overdrafts	Overdrafts	2,220		1,796		Overdrafts	2,787		1,796
Other(3)	Other(3)	1,968		2,262		Other(3)	2,133		2,262
Commercial real estate	Commercial real estate	2,682		2,554		Commercial real estate	2,921		2,554

Total domestic	Total domestic	21,701		22,114		Total domestic	22,281		22,114
Foreign(1):	Foreign(1):					Foreign(1):
Commercial and financial:	Commercial and financial:					Commercial and financial:
Fund Finance(2)	Fund Finance(2)	8,131		7,778		Fund Finance(2)	8,454		7,778
Leveraged loans	Leveraged loans	1,123		1,328		Leveraged loans	1,006		1,328

Overdrafts	Overdrafts	2,610		1,312		Overdrafts	4,372		1,312

Total foreign	Total foreign	11,864		10,418		Total foreign	13,832		10,418
Total loans(2)	Total loans(2)	33,565		32,532		Total loans(2)	36,113		32,532
Allowance for credit losses	Allowance for credit losses	(95)		(87)		Allowance for credit losses	(97)		(87)
Loans, net of allowance	Loans, net of allowance	$	33,470	$	32,445	Loans, net of allowance	$	36,016	$	32,445

(1) Domestic and foreign categorization is based on the borrower’s country of domicile.

(3) Includes ~~$1.53~~ $1.73 billion securities finance loans, ~~$420~~$389 million loans to municipalities and ~~$21~~$19 million other loans as of ~~June~~September 30, 2022 and $1.78 billion securities finance loans, $455 million loans to municipalities and $23 million other loans as of December 31, 2021.

State Street Corporation | 7170

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The commercial and financial segment is composed of primarily fund finance loans, purchased leveraged loans, overdrafts and other loans. Fund finance loans are composed of revolving credit lines providing liquidity and leverage to mutual fund and private equity fund clients, as well as collateralized loan obligations in loan form.

Certain loans are pledged as collateral for access to the Federal Reserve's discount window. As of ~~June~~September 30, 2022 and December 31, 2021, the loans pledged as collateral totaled ~~$10.92~~$9.76 billion and $10.08 billion, respectively.

As of both ~~June~~September 30, 2022 and December 31, 2021, we had no loans on non-accrual status.

We sold ~~$1.63 billion~~$21 million of loans in the ~~second~~third quarter of ~~2022, of which $155 million remained unsettled and was held for sale as of June 30,~~ 2022.

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 ~~second~~third quarter of 2022.

Allowance for Credit Losses

We recognize an allowance for credit losses in accordance with ASC 326 for certain on-balance sheet credit exposures, including 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.

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.

We measure expected credit losses of financial assets on a collective (pool) basis when similar risk ~~characteristic~~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 ~~June~~September 30, 2022, we had 511 loans for $130 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 $7$8 million as of ~~June~~September 30, 2022 on these loans.

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 3 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 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

State Street Corporation | 7271

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

existing governance structure and are inherently judgmental.

For additional information on the allowance for credit losses, refer to pages 149 to 154 in Note 4 to the consolidated financial statements included under item 8, Financial Statements and Supplementary Data, in our 2021 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 a formal review and approval process, an internal credit rating based on our credit scale is assigned.

When computing allowance levels, credit loss assumptions are estimated using a model that categorizes 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 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 the earliest possible detection of any concerns with the customer’s credit rating. The results of those evaluations are utilized in underwriting new loans and transactions with counterparties and in our process for estimation of expected credit 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 ~~June~~September 30, 2022.

Our internal risk rating methodology assigns risk ratings to counterparties ranging from Investment Grade, Speculative, Special Mention, Substandard, Doubtful and Loss.

•Investment Grade: Counterparties with strong credit quality and low expected credit risk and probability of default. Approximately ~~86%~~83% of our loans were rated as investment grade as of ~~June~~September 30, 2022 with external credit ratings, or equivalent, of "BBB-" or better.

•Speculative: Counterparties that have the ability to repay but face significant uncertainties, such as adverse business or financial circumstances that could affect credit risk or economic downturns. Loans to counterparties rated as speculative account for approximately ~~12%~~15% of our loans as of ~~June~~September 30, 2022, and are concentrated in leveraged loans. Approximately ~~96%~~97% of those leveraged loans have an external credit rating, or equivalent, of "BB" or "B" as of ~~June~~September 30, 2022.

•Special Mention: Counterparties with potential weaknesses that, if uncorrected, may result in deterioration of repayment prospects.

•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 | 7372

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The following tables present our recorded loans to counterparties by risk rating, as noted above, as of the dates indicated:


June 30, 2022		Commercial and Financial		Commercial Real Estate		Total Loans
September 30, 2022								September 30, 2022	Commercial and Financial		Commercial Real Estate		Total Loans
(In millions)	(In millions)	Commercial and Financial		Commercial Real Estate		Total Loans		(In millions)
Investment grade	Investment grade							Investment grade	$	27,617	$	2,447	$	30,064
Speculative	Speculative	3,851		220		4,071		Speculative	5,128		385		5,513
Special mention	Special mention	162		89		251		Special mention	317		89		406
Substandard	Substandard	166		—		166		Substandard	130		—		130

Total~~(2)~~(1)	Total~~(2)~~(1)	$	30,728	$	2,682	$	33,410	Total~~(2)~~(1)	$	33,192	$	2,921	$	36,113


December 31, 2021	Commercial and Financial		Commercial Real Estate		Total Loans
(In millions)
Investment grade	$	24,974	$	2,222	$	27,196
Speculative	4,714		270		4,984
Special mention	118		62		180
Substandard	164		—		164

Total(1)(2)	$	29,970	$	2,554	$	32,524

(1) Loans Include ~~$4.83~~$7.16 billion and $3.11 billion of overdrafts as of ~~June~~September 30, 2022 and December 31, 2021, respectively. Overdrafts are short-term in nature and do not present a significant credit risk to us. As of ~~June~~September 30, 2022, ~~$4.47~~$5.78 billion overdrafts were investment grade ~~$356 million~~and $1.37 billion overdrafts were ~~speculative and $2 million were substandard.~~speculative.

(2) Total does not include ~~$155 million and~~ $8 million of loans classified as held-for-sale as of ~~June 30, 2022 and~~ December 31, ~~2021, respectively.~~2021.

For additional information about credit quality, refer to pages 151 to 154 in Note 4 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K.

The following table presents the amortized cost basis, by year of origination and credit quality indicator, as of ~~June~~September 30, 2022. 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)	(In millions)	2022		2021		2020		2019		2018		Prior		Revolving Loans		Total(1)		(In millions)	2022		2021		2020		2019		2018		Prior		Revolving Loans		Total(1)
Domestic loans:	Domestic loans:																	Domestic loans:
Commercial and financial:	Commercial and financial:																	Commercial and financial:
Risk Rating:	Risk Rating:																	Risk Rating:
Investment grade	Investment grade	$	2,297	$	185	$	95	$	341	$	—	$	12	$	13,197	$	16,127	Investment grade	$	2,818	$	184	$	88	$	328	$	—	$	10	$	13,165	$	16,593
Speculative	Speculative	129		849		192		486		340		150		363		2,509		Speculative	251		797		176		433		289		147		287		2,380
Special mention	Special mention	—		39		—		96		—		27		—		162		Special mention	—		93		—		155		29		19		—		296
Substandard	Substandard	2		—		5		70		45		6		—		128		Substandard	7		—		5		41		31		7		—		91

Total commercial and financing	Total commercial and financing	$	2,428	$	1,073	$	292	$	993	$	385	$	195	$	13,560	$	18,926	Total commercial and financing	$	3,076	$	1,074	$	269	$	957	$	349	$	183	$	13,452	$	19,360
Commercial real estate:	Commercial real estate:																	Commercial real estate:
Risk Rating:	Risk Rating:																	Risk Rating:
Investment grade	Investment grade	$	134	$	612	$	100	397		$	657	$	473	$	—	$	2,373	Investment grade	$	365	$	612	$	100	331		$	566	$	473	$	—	$	2,447
Speculative	Speculative	—		—		49		124		19		28		—		220		Speculative	—		—		49		197		111		28		—		385
Special mention	Special mention	—		—		—		49		40		—		—		89		Special mention	—		—		—		49		40		—		—		89

Total commercial real estate	Total commercial real estate	$	134	$	612	$	149	$	570	$	716	$	501	$	—	$	2,682	Total commercial real estate	$	365	$	612	$	149	$	577	$	717	$	501	$	—	$	2,921
Non-U.S. loans:	Non-U.S. loans:																	Non-U.S. loans:
Commercial and financial:	Commercial and financial:																	Commercial and financial:
Risk Rating:	Risk Rating:																	Risk Rating:
Investment grade	Investment grade	$	3,505	$	2,783	$	—	$	—	$	—	$	—	$	4,134	$	10,422	Investment grade	$	4,661	$	2,729	$	—	$	—	$	—	$	—	$	3,634	$	11,024
Speculative	Speculative	350		513		122		180		99		65		13		1,342		Speculative	1,291		486		95		166		96		61		553		2,748
Special mention	Special mention	—		—		—		—		—		—		—		—		Special mention	—		—		16		5		—		—		—		21
Substandard	Substandard	—		—		—		—		38		—		—		38		Substandard	1		—		—		—		38		—		—		39

Total commercial and financing	Total commercial and financing	$	3,855	$	3,296	$	122	$	180	$	137	$	65	$	4,147	$	11,802	Total commercial and financing	$	5,953	$	3,215	$	111	$	171	$	134	$	61	$	4,187	$	13,832

Total loans~~(2)~~	Total loans~~(2)~~	$	6,417	$	4,981	$	563	$	1,743	$	1,238	$	761	$	17,707	$	33,410	Total loans~~(2)~~	$	9,394	$	4,901	$	529	$	1,705	$	1,200	$	745	$	17,639	$	36,113

(1) Any reserve associated with accrued interest is not material. As of ~~June~~September 30, 2022, accrued interest receivable of ~~$91~~$137 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 $155 million of loans classified as held-for-sale as of June 30, 2022.~~

State Street Corporation | 7473

STATE STREET CORPORATION

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, 2021:


(In millions)	2021		2020		2019		2018		2017		Prior		Revolving Loans		Total(1)
Domestic loans:
Commercial and financial:
Risk Rating:
Investment grade	$	1,988	$	59	$	347	$	2	$	37	$	—	$	13,591	$	16,024
Speculative	1,096		351		706		425		350		7		343		3,278
Special mention	—		—		70		29		19		—		—		118
Substandard	—		5		71		56		8		—		—		140


Total commercial and financing	$	3,084	$	415	$	1,194	$	512	$	414	$	7	$	13,934	$	19,560
Commercial real estate:
Risk Rating:
Investment grade	$	580	$	129	$	383	$	657	$	276	$	197	$	—	$	2,222
Speculative	24		49		149		20		—		28		—		270
Special mention	—		—		22		40		—		—		—		62



Total commercial real estate	$	604	$	178	$	554	$	717	$	276	$	225	$	—	$	2,554
Non-U.S. loans:
Commercial and financial:
Risk Rating:
Investment grade	$	4,087	$	—	$	—	$	—	$	—	$	—	$	4,863	$	8,950
Speculative	561		201		264		204		120		31		55		1,436


Substandard	—		—		—		24		—		—		—		24

Total commercial and financing	$	4,648	$	201	$	264	$	228	$	120	$	31	$	4,918	$	10,410











Total loans(2)	$	8,336	$	794	$	2,012	$	1,457	$	810	$	263	$	18,852	$	32,524

(1) Any reserve associated with accrued interest is not material. As of December 31, 2021, accrued interest receivable of $86 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 $8 million of loans classified as held-for-sale as of December 31, 2021.

The following tables present the activity in the allowance for credit losses by portfolio and class for the periods indicated:


		Three Months Ended June 30, 2022												Three Months Ended September 30, 2022
		Commercial and Financial																Commercial and Financial
(In millions)	(In millions)	Leveraged Loans		Other Loans(1)		Commercial Real Estate		Available-for-sale Securities		Off-Balance Sheet Commitments		All Other			Total		(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:	Allowance for credit losses:																Allowance for credit losses:
Beginning balance	Beginning balance	$	61	$	11	$	14	$	2	$	19	$	—		$	107	Beginning balance	$	69	$	10	$	16	$	2	$	17	$	—	$	114
Charge-offs	Charge-offs	(3)		—		—		—		—		—			(3)		Charge-offs	—		—		—		—		—		—		—
Provision	Provision	11		(1)		2		—		(2)		—			10		Provision	6		(5)		2		(1)		(2)		—		—

Ending balance	Ending balance	$	69	$	10	$	16	$	2	$	17	$	—		$	114	Ending balance	$	75	$	5	$	18	$	1	$	15	$	—	$	114

(1) Includes $9$4 million allowance for credit losses on Fund Finance loans and $1 million on other loans.


		Six Months Ended June 30, 2022												Nine Months Ended September 30, 2022
		Commercial and Financial																Commercial and Financial
(In millions)	(In millions)	Leveraged Loans		Other Loans(1)		Commercial Real Estate		Available-for-sale Securities		Off-Balance Sheet Commitments		All Other			Total		(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:	Allowance for credit losses:																Allowance for credit losses:
Beginning balance	Beginning balance	$	61	$	12	$	14	$	2	$	19	$	—		$	108	Beginning balance	$	61	$	12	$	14	$	2	$	19	$	—	$	108
Charge-offs	Charge-offs	(4)		—		—		—		—		—			(4)		Charge-offs	(4)		—		—		—		—		—		(4)
Provision	Provision	12		(2)		2		—		(2)		—			10		Provision	18		(7)		4		(1)		(4)		—		10

Ending balance	Ending balance	$	69	$	10	$	16	$	2	$	17	$	—		$	114	Ending balance	$	75	$	5	$	18	$	1	$	15	$	—	$	114

(1) Includes $9$4 million allowance for credit losses on Fund Finance loans and $1 million on other loans.

State Street Corporation | 7574

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)


		Three Months Ended June 30, 2021															Three Months Ended September 30, 2021
		Commercial and Financial															Commercial and Financial
(In millions)	(In millions)	Leveraged Loans		Other Loans(1)		Commercial Real Estate		Held-to-Maturity Securities		Off-Balance Sheet Commitments		All Other		Total		(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:	Allowance for credit losses:															Allowance for credit losses:
Beginning balance	Beginning balance	$	92	$	12	$	14	$	2	$	15	$	—	$	135	Beginning balance	$	74	$	12	$	14	$	2	$	19	$	—	$	121
Charge-offs	Charge-offs	(1)		—		—		—		—		—		(1)		Charge-offs	(1)		—		—		—		—		—		(1)
Provision	Provision	(19)		—		—		—		4		—		(15)		Provision	(4)		—		1		—		1		—		(2)

Foreign currency translation	Foreign currency translation	2		—		—		—		—		—		2		Foreign currency translation	(1)		—		—		—		—		—		(1)

Ending balance	Ending balance	$	74	$	12	$	14	$	2	$	19	$	—	$	121	Ending balance	$	68	$	12	$	15	$	2	$	20	$	—	$	117

(1) Includes $10 million allowance for credit losses on Fund Finance loans and $2 million on other loans.
(1) Includes $11 million allowance for credit losses on Fund Finance loans and $1 million on other loans.																(1) Includes $11 million allowance for credit losses on Fund Finance loans and $1 million on other loans.


		Six Months Ended June 30, 2021															Nine Months Ended September 30, 2021
		Commercial and Financial															Commercial and Financial
(In millions)	(In millions)	Leveraged Loans		Other Loans		Commercial Real Estate		Held-to-Maturity Securities		Off-Balance Sheet Commitments		All Other		Total		(In millions)	Leveraged Loans		Other Loans		Commercial Real Estate		Held-to-Maturity Securities		Off-Balance Sheet Commitments		All Other		Total
Allowance for credit losses:	Allowance for credit losses:															Allowance for credit losses:
Beginning balance	Beginning balance	$	97	$	17	$	8	$	3	$	22	$	1	$	148	Beginning balance	$	97	$	17	$	8	$	3	$	22	$	1	$	148
Charge-offs(1)	Charge-offs(1)	(1)		—		—		—		—		—		(1)		Charge-offs(1)	(2)		—		—		—		—		—		(2)
Provision	Provision	(20)		(5)		6		(1)		(3)		(1)		(24)		Provision	(24)		(5)		7		(1)		(2)		(1)		(26)

Foreign currency translation	Foreign currency translation	(2)		—		—		—		—		—		(2)		Foreign currency translation	(3)		—		—		—		—		—		(3)

Ending balance	Ending balance	$	74	$	12	$	14	$	2	$	19	$	—	$	121	Ending balance	$	68	$	12	$	15	$	2	$	20	$	—	$	117

(1) Includes $10 million allowance for credit losses on Fund Finance loans and $2 million on other loans.
(1) Includes $11 million allowance for credit losses on Fund Finance loans and $1 million on other loans.																(1) Includes $11 million allowance for credit losses on Fund Finance loans and $1 million on other loans.

Loans are reviewed on a regular basis, and any provisions for credit losses that are recorded reflect management's estimate of the amount necessary to maintain the allowance for loan losses at a level considered appropriate to absorb estimated credit losses in the loan portfolio. In the ~~second~~third quarter of 2022, we recorded ~~a $10 million~~no provision for credit losses, ~~reflecting~~as a downward shift in management's economic outlook ~~partially~~was offset by a ~~decrease~~reduction in ~~expected losses related to leveraged loans within our portfolio.~~loan portfolio risk. In the ~~second~~third quarter of 2021, we reduced the allowance for credit losses by ~~$14~~$4 million, principally through a ~~$15~~$2 million reserve release in the provision for credit losses. Allowance estimates remain subject to continued model and 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 ~~June~~September 30, 2022, 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.

Note 5. Goodwill and Other Intangible Assets

The following table presents changes in the carrying amount of goodwill during the periods indicated:


(In millions)	(In millions)	Investment Servicing		Investment Management		Total		(In millions)	Investment Servicing		Investment Management		Total
Goodwill:	Goodwill:							Goodwill:
Ending balance December 31, 2020	Ending balance December 31, 2020	$	7,413	$	270	$	7,683	Ending balance December 31, 2020	$	7,413	$	270	$	7,683
Acquisitions(1)	Acquisitions(1)	66		—		66		Acquisitions(1)	66		—		66
Divestitures(2)	Divestitures(2)	(17)		—		(17)		Divestitures(2)	(17)		—		(17)
Foreign currency translation	Foreign currency translation	(108)		(3)		(111)		Foreign currency translation	(108)		(3)		(111)
Ending balance December 31, 2021	Ending balance December 31, 2021	$	7,354	$	267	$	7,621	Ending balance December 31, 2021	$	7,354	$	267	$	7,621
Acquisitions	Acquisitions	3		—		3		Acquisitions	3		—		3

Foreign currency translation	Foreign currency translation	(155)		(4)		(159)		Foreign currency translation	(265)		(8)		(273)
Ending balance June 30, 2022		$	7,202	$	263	$	7,465
Ending balance September 30, 2022								Ending balance September 30, 2022	$	7,092	$	259	$	7,351

(1) Investment Servicing includes our acquisitions of the depositary bank and fund administrator activities of Fideuram Bank Luxembourg, a subsidiary of Intesa Sanpaolo, in the first quarter of 2021, with a total purchase price of approximately EUR 220 million or approximately $258 million, and our acquisition of Mercatus, Inc. in the third quarter of 2021, with a total purchase price of approximately $88 million. We accounted for these acquisitions as business combinations and, in accordance with ASC Topic 805, Business Combinations, we have recorded assets acquired and liabilities assumed at their respective fair values as of the acquisition date.

(2) In the second quarter of 2021, we sold a majority share of our WMS business.

State Street Corporation | 7675

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

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:
Ending balance December 31, 2020 $ 1,733 $ 94 $ 1,827
Acquisitions(1)
264 — 264
Amortization (221) (24) (245)
Foreign currency translation (30) — (30)
Ending balance December 31, 2021 1,746 70 1,816
Acquisitions — — —
Amortization (110) (11) (121)
Foreign currency translation (41) — (41)
Ending balance June 30, 2022 $ 1,595 $ 59 $ 1,654


(In millions)	Investment Servicing		Investment Management		Total
Other intangible assets:





Ending balance December 31, 2020	$	1,733	$	94	$	1,827
Acquisitions(1)	264		—		264
Amortization	(221)		(24)		(245)


Foreign currency translation	(30)		—		(30)
Ending balance December 31, 2021	1,746		70		1,816
Acquisitions	—		—		—
Amortization	(163)		(16)		(179)
Foreign currency translation	(69)		—		(69)
Ending balance September 30, 2022	$	1,514	$	54	$	1,568

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:


June 30, 2022		Gross Carrying Amount			Accumulated Amortization				Net Carrying Amount
September 30, 2022							September 30, 2022	Gross Carrying Amount					Accumulated Amortization				Net Carrying Amount
(In millions)	(In millions)			Gross Carrying Amount			Accumulated Amortization					Net Carrying Amount			(In millions)
Other intangible assets:	Other intangible assets:				Other intangible assets:
Client relationships	Client relationships	$	2,710					$	(1,535)				$	1,175	Client relationships	$		2,655			$	(1,543)	$	1,112
Technology	Technology	401			(159)				242		Technology	399				(166)			233
Core deposits	Core deposits	679			(457)				222		Core deposits	666				(457)			209
Other	Other	89			(74)				15		Other	86				(72)			14
Total	Total	$	3,879		$	(2,225)			$	1,654	Total	$	3,806			$	(2,238)		$	1,568

December 31, 2021	December 31, 2021	Gross Carrying Amount			Accumulated Amortization				Net Carrying Amount		December 31, 2021	Gross Carrying Amount				Accumulated Amortization			Net Carrying Amount
(In millions)	(In millions)						(In millions)
Other intangible assets:	Other intangible assets:														Other intangible assets:
Client relationships	Client relationships	$	2,786		$	(1,497)			$	1,289	Client relationships	$	2,786			$	(1,497)		$	1,289
Technology	Technology	403			(142)				261		Technology	403				(142)			261
Core deposits	Core deposits	696			(451)				245		Core deposits	696				(451)			245
Other	Other	96			(75)				21		Other	96				(75)			21
Total	Total	$	3,981		$	(2,165)			$	1,816	Total	$	3,981			$	(2,165)		$	1,816

~~State Street Corporation | 77~~

~~STATE STREET CORPORATION~~

~~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)	(In millions)	June 30, 2022		December 31, 2021		(In millions)	September 30, 2022		December 31, 2021
Securities borrowed(1)	Securities borrowed(1)	$	18,194	$	22,300	Securities borrowed(1)	$	16,891	$	22,300
Derivative instruments, net	Derivative instruments, net	9,476		4,108		Derivative instruments, net	11,184		4,108
Bank-owned life insurance	Bank-owned life insurance	3,605		3,554		Bank-owned life insurance	3,628		3,554
Investments in joint ventures and other unconsolidated entities (2)	Investments in joint ventures and other unconsolidated entities (2)	3,256		3,162		Investments in joint ventures and other unconsolidated entities(2)	3,250		3,162
Collateral, net	Collateral, net	1,691		1,011		Collateral, net	2,703		1,011

Deferred tax assets, net of valuation allowance(3)						Deferred tax assets, net of valuation allowance(3)	1,083		254
Receivable for securities settlement	Receivable for securities settlement	1,083		213		Receivable for securities settlement	1,021		213
Deferred tax assets, net of valuation allowance(3)		1,027		254
Prepaid expenses	Prepaid expenses	705		612		Prepaid expenses	642		612

Right-of-use assets	Right-of-use assets	501		542		Right-of-use assets	478		542
Accounts receivable	Accounts receivable	464		236		Accounts receivable	418		236

Income taxes receivable	Income taxes receivable	326		317		Income taxes receivable	161		317
Deposits with clearing organizations	Deposits with clearing organizations	62		62		Deposits with clearing organizations	62		62
Other(4)	Other(4)	1,080		1,244		Other(4)	1,145		1,244
Total	Total	$	41,470	$	37,615	Total	$	42,666	$	37,615

(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 ~~$177~~$174 million and $109 million as of ~~June~~September 30, 2022 and December 31, 2021, respectively. For the three months ended ~~June~~September 30, 2022, there were 0no upward adjustments resulting from observable ~~prices~~pricing changes that were recognized in other fee revenue related to such equity ~~securities~~securities.

(3) Deferred tax assets and liabilities recorded in our consolidated statement of condition are netted within the same tax jurisdiction.

(4) Includes advances of ~~$677~~$740 million and $544 million as of ~~June~~September 30, 2022 and December 31, 2021, respectively.

State Street Corporation | 7876

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 and currency 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 offsetting the risk being hedged are generally designated as hedging instruments in hedge accounting relationships, while others are economic hedges and not designated in hedge accounting relationships. For additional information on our use and accounting policies on derivative financial instruments, including derivatives not designated as hedging instruments, refer to pages 158 to 159 in Note 10 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K.

Derivatives Designated as Hedging Instruments

For additional information on our derivatives designated as hedging instruments, including our risk management objectives and hedging documentation methodologies, refer to page 159 in Note 10 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 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 use interest rate contracts in this manner to manage our exposure to changes in the fair value of hedged items caused by changes in interest rates.

Changes in the fair value of the derivative and changes in fair value of the hedged item due to changes in 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 FX contracts to hedge the change in cash flows attributable to FX movements in foreign currency denominated investment securities. Additionally, we have entered into interest rate swap agreements to hedge the forecasted cash flows associated with LIBOR 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 benchmark rate.

Changes in fair value of the 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 ~~June~~September 30, 2022, is approximately ~~$156~~$233 million. The maximum length of time over which forecasted cash flows are hedged is 5 years.

Net Investment Hedges

Derivatives categorized as net investment hedges are entered into to protect the net investment in our foreign operations against adverse changes in exchange rates. We use FX forward contracts to convert the foreign currency risk to U.S. dollars to mitigate our exposure to fluctuations in FX rates. The changes in fair value of the FX forward contracts are recorded, net of taxes, in the foreign currency translation component of OCI.

State Street Corporation | 7977

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 for trading and asset-and-liability management activities as of the dates indicated:


(In millions)	(In millions)	June 30, 2022		December 31, 2021		(In millions)	September 30, 2022		December 31, 2021
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	Futures	$	4,783	$	9,604	Futures	$	1,856	$	9,604
Foreign exchange contracts:	Foreign exchange contracts:					Foreign exchange contracts:
Forward, swap and spot	Forward, swap and spot	2,190,465		2,569,449		Forward, swap and spot	2,054,428		2,569,449
Options purchased	Options purchased	1,255		328		Options purchased	1,032		328
Options written	Options written	874		210		Options written	697		210
Futures	Futures	1,662		2,359		Futures	1,537		2,359

Other:	Other:					Other:
Stable value contracts(1)	Stable value contracts(1)	33,121		32,868		Stable value contracts(1)	31,749		32,868
Deferred value awards(2)	Deferred value awards(2)	382		308		Deferred value awards(2)	341		308
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	Swap agreements	24,066		15,100		Swap agreements	24,816		15,100
Foreign exchange contracts:	Foreign exchange contracts:					Foreign exchange contracts:
Forward and swap	Forward and swap	7,826		6,700		Forward and swap	8,387		6,700

(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.

(2) Represents grants of deferred value awards to employees; refer to page 158 in Note 10 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K.

Notional amounts are provided here as an indication of the volume of our derivative activity and serve as a reference to calculate the fair values of the derivative.

The following table presents 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.


		Derivative Assets(1)				Derivative Liabilities(2)					Derivative Assets(1)				Derivative Liabilities(2)
(In millions)	(In millions)	June 30, 2022		December 31, 2021		June 30, 2022		December 31, 2021		(In millions)	September 30, 2022		December 31, 2021		September 30, 2022		December 31, 2021
Derivatives not designated as hedging instruments:	Derivatives not designated as hedging instruments:									Derivatives not designated as hedging instruments:
Foreign exchange contracts	Foreign exchange contracts	$	23,415	$	15,216	$	23,031	$	15,790	Foreign exchange contracts	$	29,695	$	15,216	$	30,397	$	15,790

Other derivative contracts	Other derivative contracts	—		—		272		301		Other derivative contracts	—		—		245		301
Total	Total	$	23,415	$	15,216	$	23,303	$	16,091	Total	$	29,695	$	15,216	$	30,642	$	16,091

Derivatives designated as hedging instruments:	Derivatives designated as hedging instruments:									Derivatives designated as hedging instruments:
Foreign exchange contracts	Foreign exchange contracts	$	218	$	59	$	5	$	35	Foreign exchange contracts	$	439	$	59	$	19	$	35
Interest rate contracts	Interest rate contracts	11		2		—		—		Interest rate contracts	—		2		4		—
Total	Total	$	229	$	61	$	5	$	35	Total	$	439	$	61	$	23	$	35

(1) Derivative assets are included within other assets in our consolidated statement of condition.

(2) Derivative liabilities are included within other liabilities in our consolidated statement of condition.

~~State Street Corporation | 80~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

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 June 30,				Six Months Ended June 30,						Three Months Ended September 30,				Nine Months Ended September 30,
			2022		2021		2022		2021				2022		2021		2022		2021
(In millions)	(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								(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:	Derivatives not designated as hedging instruments:										Derivatives not designated as hedging instruments:
Foreign exchange contracts	Foreign exchange contracts	Foreign exchange trading services revenue	$	230	$	188	$	469	$	431	Foreign exchange contracts	Foreign exchange trading services revenue	$	207	$	186	$	676	$	617

Foreign exchange contracts	Foreign exchange contracts	Interest expense	3		16		16		37		Foreign exchange contracts	Interest expense	(16)		16		—		53
Interest rate contracts	Interest rate contracts	Foreign exchange trading services revenue	(6)		1		—		1		Interest rate contracts	Foreign exchange trading services revenue	—		—		—		1

Other derivative contracts	Other derivative contracts	Compensation and employee benefits	(10)		(45)		(64)		(123)		Other derivative contracts	Compensation and employee benefits	(11)		(35)		(75)		(158)
Total	Total		$	217	$	160	$	421	$	346	Total		$	180	$	167	$	601	$	513

State Street Corporation | 78

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:


		June 30, 2022							September 30, 2022
				Cumulative Fair Value Hedging Adjustment Increasing (Decreasing) the carrying amount							Cumulative Fair Value Hedging Adjustment Increasing (Decreasing) the carrying amount
(In millions)	(In millions)	Carrying Amount of Hedged Assets/Liabilities		Active		De-designated(1)		(In millions)	Carrying Amount of Hedged Assets/Liabilities		Active		De-designated(1)
Long-term debt	Long-term debt	$	10,271	$	(403)	$	436	Long-term debt	$	11,018	$	(664)	$	399
Available-for-sale securities(2)(3)	Available-for-sale securities(2)(3)	11,289		(360)		14		Available-for-sale securities(2)(3)	9,884		(709)		11

		December 31, 2021							December 31, 2021
				Cumulative Fair Value Hedging Adjustment Increasing (Decreasing) the carrying amount							Cumulative Fair Value Hedging Adjustment Increasing (Decreasing) the carrying amount
(In millions)	(In millions)	Carrying Amount of Hedged Assets/Liabilities		Active		De-designated(1)		(In millions)	Carrying Amount of Hedged Assets/Liabilities		Active		De-designated(1)
Long-term debt	Long-term debt	$	9,026	$	(64)	$	514	Long-term debt	$	9,026	$	(64)	$	514
Available-for-sale securities	Available-for-sale securities	3,551		—		24		Available-for-sale securities	3,551		—		24

(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 prepayable financial assets designated in last-of-layer hedging relationships (hedged item is the last layer of a closed portfolio of prepayable financial assets expected to remain outstanding at the end of the hedging relationship). At ~~June~~September 30, 2022 and December 31, 2021, the amortized cost of the closed portfolios used in these hedging relationships was ~~$221~~$214 million and 0,zero, respectively, of which ~~$68~~$66 million and 0,zero, respectively, was designated in the last-of-layer hedging relationship. At ~~June~~September 30, 2022 and December 31, 2021, the cumulative adjustment associated with these hedging relationships was ($1)5) million and 0,zero, respectively.

(3) Carrying amount represents amortized cost.

As of ~~June~~September 30, 2022 and December 31, 2021, the total notional amount of the interest rate swaps of fair value hedges was ~~$17.07~~$17.82 billion and $6.95 billion, respectively.

~~State Street Corporation | 81~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

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 June 30,						Three Months Ended June 30,							Three Months Ended September 30,							Three Months Ended September 30,
			2022		2021					2022				2021					2022		2021					2022		2021
(In millions)	(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			(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:	Derivatives designated as fair value hedges:																Derivatives designated as fair value hedges:

Interest rate contracts	Interest rate contracts	Net interest income	$	148	$	(23)		Available-for-sale securities(1)	Net interest income	$	(149)			$	21		Interest rate contracts	Net interest income	$	349	$	15		Available-for-sale securities(1)	Net interest income	$	(349)	$	(17)
Interest rate contracts	Interest rate contracts	Net interest income	(96)		(7)			Long-term debt	Net interest income	96				7			Interest rate contracts	Net interest income	(261)		(7)			Long-term debt	Net interest income	261		8

Total	Total		$	52	$	(30)				$	(53)			$	28		Total		$	88	$	8				$	(88)	$	(9)

			Six Months Ended June 30,							Six Months Ended June 30,									Nine Months Ended September 30,							Nine Months Ended September 30,
			2022		2021					2022				2021					2022		2021					2022		2021
(In millions)	(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							(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:	Derivatives designated as fair value hedges:																Derivatives designated as fair value hedges:

Interest rate contracts	Interest rate contracts	Net interest income	$	358	(6)			Available-for-sale securities(2)	Net interest income	$	(360)			$	5		Interest rate contracts	Net interest income	$	707	9			Available-for-sale securities(2)	Net interest income	$	(709)	$	(12)
Interest rate contracts	Interest rate contracts	Net interest income	(339)		(19)			Long-term debt	Net interest income	339				18			Interest rate contracts	Net interest income	(600)		(26)			Long-term debt	Net interest income	600		26

Total	Total		$	19	$	(25)				$	(21)			$	23		Total		$	107	$	(17)				$	(109)	$	14

(1) In the three months ended ~~June~~September 30, 2022, approximately ~~$113~~$256 million of net unrealized gains on AFS investment securities designated in fair value hedges was recognized in OCI compared to ~~$16~~$13 million of net unrealized ~~losses~~gains in the same period in 2021.

(2) In the ~~six~~nine months ended ~~June~~September 30, 2022, approximately ~~$270~~$526 million of net unrealized gains on AFS investment securities designated in fair value hedges was recognized in OCI compared to $4$9 million of net unrealized ~~losses~~gains in the same period in 2021.

State Street Corporation | 8279

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)


		Three Months Ended June 30,					Three Months Ended June 30,				Three Months Ended September 30,							Three Months Ended September 30,
		2022		2021			Location of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income into Income	2022				2021			2022			2021		Location of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income into Income	2022		2021
(In millions)	(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		(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		Location of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income into Income	Amount of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income into Income
Derivatives designated as cash flow hedges:	Derivatives designated as cash flow hedges:															Derivatives designated as cash flow hedges:
Interest rate contracts(1)	Interest rate contracts(1)	$	(92)	$	10		Net interest income	$	6			$	22	Interest rate contracts(1)	$	(222)		$	(3)	Net interest income	$	(22)	$	22
Foreign exchange contracts	Foreign exchange contracts	129		7			Net interest income	3				3		Foreign exchange contracts	39			12		Net interest income	—		2
Total derivatives designated as cash flow hedges	Total derivatives designated as cash flow hedges	$	37	$	17			$	9			$	25	Total derivatives designated as cash flow hedges	$	(183)		$	9		$	(22)	$	24

Derivatives designated as net investment hedges:	Derivatives designated as net investment hedges:													Derivatives designated as net investment hedges:
Foreign exchange contracts	Foreign exchange contracts	$	264	$	(24)		Gains (Losses) related to investment securities, net	$	—			$	—	Foreign exchange contracts	$	395		$	111	Gains (Losses) related to investment securities, net	$	—	$	—
Total derivatives designated as net investment hedges	Total derivatives designated as net investment hedges	264		(24)				—				—		Total derivatives designated as net investment hedges	395			111			—		—
Total	Total	$	301	$	(7)			$	9			$	25	Total	$	212		$	120		$	(22)	$	24

		Six Months Ended June 30,						Six Months Ended June 30,							Nine Months Ended September 30,						Nine Months Ended September 30,
		2022		2021				2022				2021			2022			2021			2022		2021
(In millions)	(In millions)	Amount of Gain or (Loss) Recognized in Other Comprehensive Income on Derivative					Location of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income into Income	Amount of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income into Income						(In millions)	Amount of Gain or (Loss) Recognized in Other Comprehensive Income on Derivative					Location of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income into Income	Amount of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income into Income
Derivatives designated as cash flow hedges:	Derivatives designated as cash flow hedges:													Derivatives designated as cash flow hedges:
Interest rate contracts	Interest rate contracts	$	(383)	$	(6)		Net interest income	$	25			$	40	Interest rate contracts	$	(604)		$	(9)	Net interest income	$	3	$	62
Foreign exchange contracts	Foreign exchange contracts	176		$	43		Net interest income	6				6		Foreign exchange contracts	215			$	55	Net interest income	6		8
Total derivatives designated as cash flow hedges	Total derivatives designated as cash flow hedges	$	(207)	$	37			$	31			$	46	Total derivatives designated as cash flow hedges	$	(389)		$	46		$	9	$	70

Derivatives designated as net investment hedges:	Derivatives designated as net investment hedges:													Derivatives designated as net investment hedges:
Foreign exchange contracts	Foreign exchange contracts	$	328	$	111		Gains (losses) related to investment securities, net	$	—			$	—	Foreign exchange contracts	$	723		$	222	Gains (losses) related to investment securities, net	$	—	$	—
Total derivatives designated as net investment hedges	Total derivatives designated as net investment hedges	328		111				—				—		Total derivatives designated as net investment hedges	723			222			—		—

Total	Total	$	121	$	148			$	31			$	46	Total	$	334		$	268		$	9	$	70

(1) As of ~~June~~September 30, 2022, the maximum maturity date of the underlying hedged items is approximately ~~4.3~~4.0 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 derivatives could request immediate payment or demand full overnight collateralization on derivatives instruments in net liability positions. The aggregate fair value of all derivatives with credit contingent features and in a liability position as of ~~June~~September 30, 2022 totaled approximately ~~$5.63~~$7.20 billion, against which we provided ~~$4.79~~$5.54 billion of collateral in the normal course of business. If our credit related contingent features underlying these agreements were triggered as of ~~June~~September 30, 2022, the maximum additional collateral we would be required to post to our counterparties is approximately ~~$0.84~~$1.66 billion.

State Street Corporation | 8380

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Note 8. Offsetting Arrangements

For additional information on our offsetting arrangements, refer to page 162 in Note 11 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K.

As of ~~June~~September 30, 2022 and December 31, 2021, the value of securities received as collateral from third parties where we are permitted to transfer or re-pledge the securities totaled ~~$3.71~~$4.08 billion and $1.60 billion, respectively, and the fair value of the portion that had been transferred or re-pledged for both was nil.

The following tables present information about the offsetting of assets related to derivative contracts and secured financing transactions, as of the dates indicated:


Assets:	Assets:	June 30, 2022																		Assets:	September 30, 2022
		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												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)	(In millions)									Cash and Securities Received(4)				Net Amount(5)								(In millions)								Cash and Securities Received(4)					Net Amount(5)
Derivatives:	Derivatives:																						Derivatives:
Foreign exchange contracts	Foreign exchange contracts	$	23,633			$	(12,441)			$	11,192			$	—			$	11,192							Foreign exchange contracts	$	30,134			$	(16,537)		$	13,597		$	—		$	13,597
Interest rate contracts(6)	Interest rate contracts(6)	11		—				11				—				11							Interest rate contracts(6)		—				—				—			—			—

Cash collateral and securities netting	Cash collateral and securities netting	NA		(1,727)				(1,727)				(1,034)				(2,761)							Cash collateral and securities netting	NA				(2,413)				(2,413)			(1,533)			(3,946)
Total derivatives	Total derivatives	23,644		(14,168)				9,476				(1,034)				8,442							Total derivatives	30,134				(18,950)				11,184			(1,533)			9,651
Other financial instruments:	Other financial instruments:																						Other financial instruments:

Resale agreements and securities borrowing(7)(8)	Resale agreements and securities borrowing(7)(8)	100,778		(77,381)				23,397				(22,608)				789							Resale agreements and securities borrowing(7)(8)	104,880				(86,681)				18,199			(17,491)			708
Total derivatives and other financial instruments	Total derivatives and other financial instruments	$	124,422	$	(91,549)			$	32,873			$	(23,642)			$	9,231						Total derivatives and other financial instruments	$	135,014			$	(105,631)			$	29,383		$	(19,024)		$	10,359


Assets:	December 31, 2021
	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	$	15,185	$	(9,113)	$	6,072	$	—	$	6,072
Interest rate contracts(6)	2		—		2		—		2



Cash collateral and securities netting	NA		(1,966)		(1,966)		(723)		(2,689)
Total derivatives	15,187		(11,079)		4,108		(723)		3,385
Other financial instruments:
Resale agreements and securities borrowing(7)(8)	102,375		(77,063)		25,312		(25,096)		216
Total derivatives and other financial instruments	$	117,562	$	(88,142)	$	29,420	$	(25,819)	$	3,601

(1) Amounts include all transactions regardless of whether or not they are subject to an enforceable netting arrangement.

(2) Refer to Note 1 and Note 2 for additional information about the measurement basis of 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 ~~$23.40~~$18.20 billion as of ~~June~~September 30, 2022 were ~~$5.20~~$1.31 billion of resale agreements and ~~$18.20~~$16.89 billion of collateral provided related to securities borrowing. Included in the $25.31 billion as of December 31, 2021 were $3.01 billion of resale agreements and $22.30 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. Refer to Note 9 for additional information with respect to principal securities finance transactions.

(8) Offsetting of resale agreements primarily relates to our involvement in FICC, where we settle transactions on a net basis for payment and delivery through the Fedwire system.

NA Not applicable

State Street Corporation | 8481

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:	Liabilities:	June 30, 2022																		Liabilities:	September 30, 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												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)	(In millions)									Cash and Securities Received(4)				Net Amount(5)								(In millions)								Cash and Securities Received(4)					Net Amount(5)
Derivatives:	Derivatives:																						Derivatives:
Foreign exchange contracts	Foreign exchange contracts	$	23,036			$	(12,441)			$	10,595			$	—			$	10,595							Foreign exchange contracts	$	30,416			$	(16,537)		$	13,879		$	—		$	13,879
Interest rate contracts(6)	Interest rate contracts(6)	—		—				—				—				—							Interest rate contracts(6)		4				—				4			—			4
Other derivative contracts	Other derivative contracts	272		—				272				—				272							Other derivative contracts	245				—				245			—			245
Cash collateral and securities netting	Cash collateral and securities netting	NA		(4,659)				(4,659)				(1,865)				(6,524)							Cash collateral and securities netting	NA				(5,809)				(5,809)			(1,485)			(7,294)
Total derivatives	Total derivatives	23,308		(17,100)				6,208				(1,865)				4,343							Total derivatives	30,665				(22,346)				8,319			(1,485)			6,834
Other financial instruments:	Other financial instruments:																						Other financial instruments:

Repurchase agreements and securities lending(7)(8)	Repurchase agreements and securities lending(7)(8)	80,081		(77,381)				2,700				(1,782)				918							Repurchase agreements and securities lending(7)(8)	94,705				(86,681)				8,024			(7,343)			681
Total derivatives and other financial instruments	Total derivatives and other financial instruments	$	103,389	$	(94,481)			$	8,908			$	(3,647)			$	5,261						Total derivatives and other financial instruments	$	125,370			$	(109,027)			$	16,343		$	(8,828)		$	7,515


Liabilities:	December 31, 2021
	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	$	15,825	$	(9,113)	$	6,712	$	—	$	6,712
Interest rate contracts(6)	—		—		—		—		—
Other derivative contracts	301		—		301		—		301
Cash collateral and securities netting	NA		(1,282)		(1,282)		(989)		(2,271)
Total derivatives	16,126		(10,395)		5,731		(989)		4,742
Other financial instruments:
Repurchase agreements and securities lending(7)(8)	82,674		(77,063)		5,611		(4,066)		1,545
Total derivatives and other financial instruments	$	98,800	$	(87,458)	$	11,342	$	(5,055)	$	6,287

(1) Amounts include all transactions regardless of whether or not they are subject to an enforceable netting arrangement.

(2) Refer to Note 1 and Note 2 for additional information about the measurement basis of 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 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 ~~$2.70~~$8.02 billion as of ~~June~~September 30, 2022 were ~~$0.95~~$4.25 billion of repurchase agreements and ~~$1.75~~$3.77 billion of collateral received related to securities lending transactions. Included in the $5.61 billion as of December 31, 2021 were $1.57 billion of repurchase agreements and $4.04 billion of collateral received related to securities 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. Refer to Note 9 for additional information with respect to principal securities finance transactions.

(8) Offsetting of repurchase agreements primarily relates to our involvement in FICC, where we settle transactions on a net basis for payment and delivery through the Fedwire system.

NA Not applicable

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 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 | 8582

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The following 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 June 30, 2022										As of December 31, 2021											As of September 30, 2022										As of December 31, 2021
(In millions)	(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		(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:	Repurchase agreements:																					Repurchase agreements:
U.S. Treasury and agency securities	U.S. Treasury and agency securities	$	75,758	$	—	$	—	$	—	$	75,758	$	75,266	$	—	$	—	$	—	$	75,266	U.S. Treasury and agency securities	$	87,533	$	—	$	44	$	—	$	87,577	$	75,266	$	—	$	—	$	—	$	75,266
Total	Total	75,758		—		—		—		75,758		75,266		—		—		—		75,266		Total	87,533		—		44		—		87,577		75,266		—		—		—		75,266
Securities lending transactions:	Securities lending transactions:																					Securities lending transactions:
US Treasury and agency securities	US Treasury and agency securities	3		—		—		—		3		—		—		—		—		—		US Treasury and agency securities	1		—		—		—		1		—		—		—		—		—
Corporate debt securities	Corporate debt securities	46		—		5		—		51		92		—		—		—		92		Corporate debt securities	62		—		—		—		62		92		—		—		—		92
Equity securities	Equity securities	3,502		33		25		708		4,268		5,964		24		11		1,316		7,315		Equity securities	5,342		9		—		1,714		7,065		5,964		24		11		1,316		7,315
Other(1)	Other(1)	1		—		—		—		1		1		—		—		—		1		Other(1)	—		—		—		—		—		1		—		—		—		1
Total	Total	3,552		33		30		708		4,323		6,057		24		11		1,316		7,408		Total	5,405		9		—		1,714		7,128		6,057		24		11		1,316		7,408
Gross amount of recognized liabilities for repurchase agreements and securities lending	Gross amount of recognized liabilities for repurchase agreements and securities lending	$	79,310	$	33	$	30	$	708	$	80,081	$	81,323	$	24	$	11	$	1,316	$	82,674	Gross amount of recognized liabilities for repurchase agreements and securities lending	$	92,938	$	9	$	44	$	1,714	$	94,705	$	81,323	$	24	$	11	$	1,316	$	82,674

(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.

Note 9. Commitments and Guarantees

For additional information on the nature of the obligations and related business activities for our commitments and guarantees, refer to page 165 in Note 12 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K.

The following table presents the aggregate gross contractual amounts of our off-balance sheet commitments and guarantees, as of the dates indicated:


(In millions)	(In millions)	June 30, 2022		December 31, 2021		(In millions)	September 30, 2022		December 31, 2021
Commitments:	Commitments:					Commitments:
Unfunded credit facilities	Unfunded credit facilities	$	32,939	$	33,026	Unfunded credit facilities	$	31,534	$	33,026
Guarantees(1):	Guarantees(1):					Guarantees(1):
Indemnified securities financing	Indemnified securities financing	$	345,237	$	385,740	Indemnified securities financing	$	339,548	$	385,740
Standby letters of credit	Standby letters of credit	2,542		3,237		Standby letters of credit	2,162		3,237

(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.

Approximately 76%~~78%~~ of our unfunded commitments to extend credit expire within one year as of ~~June~~September 30, 2022, compared to approximately 76% as of December 31, 2021.

Indemnified Securities Financing

For additional information on our indemnified securities financing, refer to page 165 in Note 12 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 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)	(In millions)	June 30, 2022		December 31, 2021		(In millions)	September 30, 2022		December 31, 2021
Fair value of indemnified securities financing	Fair value of indemnified securities financing	$	345,237	$	385,740	Fair value of indemnified securities financing	$	339,548	$	385,740
Fair value of cash and securities held by us, as agent, as collateral for indemnified securities financing	Fair value of cash and securities held by us, as agent, as collateral for indemnified securities financing	361,380		404,121		Fair value of cash and securities held by us, as agent, as collateral for indemnified securities financing	355,848		404,121
Fair value of collateral for indemnified securities financing invested in indemnified repurchase agreements	Fair value of collateral for indemnified securities financing invested in indemnified repurchase agreements	64,181		61,560		Fair value of collateral for indemnified securities financing invested in indemnified repurchase agreements	59,787		61,560
Fair value of cash and securities held by us or our agents as collateral for investments in indemnified repurchase agreements	Fair value of cash and securities held by us or our agents as collateral for investments in indemnified repurchase agreements	69,168		67,014		Fair value of cash and securities held by us or our agents as collateral for investments in indemnified repurchase agreements	64,515		67,014

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 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 other liabilities, respectively, in our consolidated statement of condition. As of ~~June~~September 30, 2022 and December 31, 2021, we had approximately ~~$18.20~~$16.89 billion and $22.30 billion, respectively, of collateral provided and approximately ~~$1.75~~$3.77 billion and $4.04 billion, respectively, of collateral received from clients in connection with our participation in principal securities finance transactions.

State Street Corporation | 8683

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

FICC Guarantee

As a sponsoring member in the FICC member program, we provide a guarantee to FICC 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. For additional information on our repurchase and reverse repurchase agreements, please refer to Note 8 to the consolidated financial statements in this Form 10-Q.

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 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 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 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 (collectively, "factors influencing reasonable estimates").

As of ~~June~~September 30, 2022, our aggregate accruals for loss contingencies for legal, regulatory and related matters totaled approximately ~~$15~~$15 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.

As of ~~June~~September 30, 2022, for those matters for which we have accrued probable loss contingencies (including the Invoicing Matter described below) and for other matters for which loss is reasonably possible (but not probable) in future periods, and for which we are able to estimate a range of reasonably possible loss, our estimate of the aggregate reasonably possible loss (in excess of any accrued amounts) ranges up to approximately $50 million. Our estimate with respect to the aggregate 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, 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 reasonably possible loss will change from time to time. As a result, actual results may vary significantly from the current estimate.

In certain pending matters, it is not currently feasible to reasonably estimate the amount or a range of reasonably possible loss, and such losses, which may be significant, are not included in the estimate of reasonably possible loss discussed above. This is due to, among other factors, the factors influencing reasonable estimates described above. An adverse outcome in one or more of the matters for which we have not estimated the amount or a range of reasonably possible loss, individually or in the aggregate, 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

State Street Corporation | 8784

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

subject now or in the future, no conclusion as to 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.

Invoicing Matter

In 2015, we determined that we had incorrectly invoiced clients for certain expenses. We have reimbursed most of our 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 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 ~~$350~~$350 million,, 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 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 within our established accruals for loss contingencies. In addition, we have received a purported class action 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.

We resolved potential criminal claims that arose from these matters by entering into a deferred prosecution agreement with the office of the 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 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.~~$40 million. Also in June 2019, we reached an agreement with the Massachusetts Attorney 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.~~$5.5 million. The SEC and Massachusetts Attorney General’s office settlements both recognize that the payment of ~~$48.8~~$48.8 million in disgorgement and interest is satisfied by our direct reimbursements of our customers. We paid fines to resolve claims of the Securities Divisions of the Secretaries of the State of Massachusetts and New Hampshire. The costs associated with the settlements discussed above were within our related 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 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 at all. The aggregate amount of penalties that may potentially be imposed upon us in connection with the resolution of any such matters is not currently known.

Gomes, et al. v. State Street Corp.

~~NaN~~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, 2two 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 Currenex, State Street and others.

State Street Corporation | 8885

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

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 totaled approximately ~~$232~~$236 million and $252 million as of ~~June~~September 30, 2022 and December 31, 2021, respectively.

We are presently under audit by a number of tax authorities. The earliest tax year open to examination in jurisdictions where we have material operations is 2013. Management believes that we have sufficiently accrued liabilities as of ~~June~~September 30, 2022 for potential tax exposures.

Note 11. Variable Interest Entities

For additional information on our accounting policy and our use of variable interest entities (VIEs), refer to pages 168 to 169 in Note 14 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, "Variable Interest Entities", in our 2021 Form 10-K.

Interests in Investment Funds

As of both ~~June~~September 30, 2022 and December 31, 2021, we had no consolidated funds. As of both ~~June~~September 30, 2022 and December 31, 2021, 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 ~~$15~~$15 million and $17 million as of ~~June~~September 30, 2022 and December 31, 2021, respectively, and represented the carrying value of our investments, which are recorded in 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 ~~June~~September 30, 2022 and December 31, 2021, our potential maximum loss exposure related to these unconsolidated entities totaled $1.66 billion~~$1.68 billion~~ and $1.69 billion, respectively, most of which represented the carrying value of our investments, which are recorded in other assets in our consolidated statement of condition.

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 ~~June~~September 30, 2022:

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 June 30, 2022
(In millions)

Redemption Date(2)

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 September 30, 2022
(In millions)

Redemption Date(2)

Series D

February 2014

30,000,000

750

1/4,000th

100,000

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 D

February 2014

30,000,000

750

1/4,000th

100,000

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(3)

May 2015

250,000

250

1/100th

100,000

1,000

5.25% to but excluding September 15, 2020, then a floating rate equal to the three-month LIBOR plus 3.597%, or 5.426% effective June 15, 2022

Quarterly

247

September 15, 2020

Series F(3)

May 2015

250,000

250

1/100th

100,000

1,000

5.25% to but excluding September 15, 2020, then a floating rate equal to the three-month LIBOR plus 3.597%, or 6.890% effective September 15, 2022

Quarterly

247

September 15, 2020

Series G

April 2016

20,000,000

500

1/4,000th

100,000

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 G

April 2016

20,000,000

500

1/4,000th

100,000

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

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

Series H

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

(3) Series F preferred stock is redeemable on September 15, 2020 and on each succeeding dividend payment date.

State Street Corporation | 8986

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

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 June 30,													Three Months Ended September 30,
		2022						2021							2022						2021
(Dollars in millions, except per share amounts)	(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		(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:	Preferred Stock:													Preferred Stock:

Series D	Series D	$	1,475	$	0.37	$	11	$	1,475	$	0.37	$	11	Series D	$	1,475	$	0.37	$	11	$	1,475	$	0.37	$	11

Series F	Series F	1,130		11.30		3		966		9.66		2		Series F	1,387		13.87		3		950		9.50		2
Series G	Series G	1,338		0.33		7		1,338		0.33		7		Series G	1,338		0.33		7		1,338		0.33		7
Series H		2,813		28.13		14		2,813		28.13		14

Total	Total					$	35					$	34	Total					$	21					$	20

		Six Months Ended June 30,													Nine Months Ended September 30,
		2022						2021							2022						2021
(Dollars in millions, except per share amounts)	(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		(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:	Preferred Stock:													Preferred Stock:

Series D	Series D	$	2,950	$	0.74	$	22	$	2,950	$	0.74	$	22	Series D	$	4,425	$	1.11	$	33	$	4,425	$	1.11	$	33

Series F	Series F	2,080		20.80		5		1,919		19.19		9		Series F	3,467		34.67		9		2,869		28.69		11
Series G	Series G	2,676		0.66		14		2,676		0.66		14		Series G	4,014		0.99		20		4,014		0.99		21
Series H	Series H	2,813		28.13		14		2,813		28.13		14		Series H	2,813		28.13		14		2,813		28.13		14
Total	Total					$	55					$	59	Total					$	76					$	79

In ~~July~~October 2022, we declared dividends on our series D, F, G and GH preferred stock of approximately $1,475, ~~$1,387~~$1,742, $1,338 and ~~$1,338,~~$2,813, respectively, per share, or approximately $0.37, ~~$13.87~~$17.42, $0.33 and ~~$0.33,~~$28.13, respectively, per depositary share. These dividends total approximately $11 million, $3$4 million, $7 million and $7$14 million on our series D, F, G and GH preferred stock, respectively, which will be paid in ~~September~~December 2022.

Common Stock

In December 2020, the Federal Reserve issued results of 2020 resubmission stress tests and authorized us to continue to pay common stock dividends at current levels and to resume repurchasing common shares in the first quarter of 2021. In January 2021, our Board authorized a share repurchase program for the repurchase of up to $475 million of our common stock through March 31, 2021. In April 2021, our Board authorized a share repurchase program for the repurchase of up to $425 million of our common stock through June 30, 2021, consistent with the limit set by the Federal Reserve. In July 2021, our Board authorized a share repurchase program for the repurchase of up to $3.0 billion of our common stock through the end of 2022.

In connection with our proposed acquisition of the BBH Investor Services business, we did not ~~purchase~~repurchase any common stock during the last half of 2021, as well as during the first ~~half~~nine months of 2022. ~~In June 2022, we announced our intention~~We intend to ~~resume~~repurchase approximately $1.0 billion of our common ~~share repurchases during~~stock in the fourth quarter of 2022 ~~in an amount reflecting interest rate levels and market conditions at that time. Additionally, in July 2022, we declared third quarter common stock dividends of $0.63 per~~under the existing share ~~representing a 10% increase on a per share basis from both the third quarter 2021 and second quarter of~~repurchase program, expiring December 21, 2022.

State Street Corporation | 87

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The table below presents the activity under our common share repurchase program for the periods indicated:

Three Months Ended June 30, 2021 Six Months Ended June 30, 2021
Shares Acquired
(In millions) Average Cost per Share Total Acquired
(In millions) Shares Acquired (In millions) Average Cost per Share Total Acquired (In millions)
5.0 $ 84.71 $ 425 11.2 $ 80.00 $ 900








Three Months Ended September 30, 2021		Nine Months Ended September 30, 2021
	Shares Acquired (In millions)	Average Cost per Share		Total Acquired (In millions)		Shares Acquired (In millions)	Average Cost per Share		Total Acquired (In millions)
	—	$	—	$	—	11.2	$	80.00	$	900

~~State Street Corporation | 90~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~

The tables below present the dividends declared on common stock for the periods indicated:


		Three Months Ended June 30,								Three Months Ended September 30,
		2022				2021					2022		2021
		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	Common Stock	$	0.57	$	210	$	0.52	$	179			Common Stock	$	0.63	$	232	$	0.57	$	209

		Six Months Ended June 30,								Nine Months Ended September 30,
		2022				2021					2022		2021
		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	Common Stock	$	1.14	$	419	$	1.04	$	361			Common Stock	$	1.77	$	651	$	1.61	$	570

Accumulated Other Comprehensive Income (Loss)

The following table presents the after-tax components of AOCI for the periods indicated:

Six Months Ended June 30,
(In millions) 2022 2021
Net unrealized gains (losses) on cash flow hedges $ (235) $ 53
Net unrealized gains (losses) on available-for-sale securities portfolio (2,954) 467
Net unrealized gains (losses) related to reclassified available-for-sale securities 860 (46)
Net unrealized gains (losses) on available-for-sale securities (2,094) 421
Net unrealized gains (losses) on available-for-sale securities designated in fair value hedges 253 (37)
Net unrealized gains (losses) on hedges of net investments in non-U.S. subsidiaries 396 (93)
Other-than-temporary impairment on held-to-maturity securities related to factors other than credit (1) (2)
Net unrealized (losses) on retirement plans (115) (168)
Foreign currency translation (1,891) (596)
Total $ (3,687) $ (422)

~~The following tables present changes in AOCI by component, net of related taxes, for the periods indicated:~~

(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, 2021 $ (2) $ (48) $ 68 $ (2) $ (130) $ (1,019) $ (1,133)
Other comprehensive income (loss) before reclassifications (211) (1,793) 328 1 (2) (872) (2,549)
Amounts reclassified into (out of) accumulated other comprehensive loss (22) — — — 17 — (5)
Other comprehensive income (loss) (233) (1,793) 328 1 15 (872) (2,554)
Balance as of June 30, 2022 $ (235) $ (1,841) $ 396 $ (1) $ (115) $ (1,891) $ (3,687)


	Nine Months Ended September 30,
(In millions)	2022		2021
Net unrealized gains (losses) on cash flow hedges	$	(352)	$	41
Net unrealized gains (losses) on available-for-sale securities portfolio	(1,711)		227
Net unrealized gains (losses) related to reclassified available-for-sale securities	(803)		39
Net unrealized gains (losses) on available-for-sale securities	(2,514)		266
Net unrealized gains (losses) on available-for-sale securities designated in fair value hedges	509		24

Net unrealized gains (losses) on hedges of net investments in non-U.S. subsidiaries	791		18
Other-than-temporary impairment on held-to-maturity securities related to factors other than credit	(2)		(2)
Net unrealized (losses) on retirement plans	(112)		(166)
Foreign currency translation	(2,588)		(863)
Total	$	(4,268)	$	(682)

(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, 2020 $ 57 $ 848 $ (204) $ (2) $ (178) $ (334) $ 187
Other comprehensive income (loss) before reclassifications 29 (464) 111 — — (262) (586)
Amounts reclassified into (out of) accumulated other comprehensive loss (33) — — — 10 — (23)
Other comprehensive income (loss) (4) (464) 111 — 10 (262) (609)
Balance as of June 30, 2021 $ 53 $ 384 $ (93) $ (2) $ (168) $ (596) $ (422)

State Street Corporation | 9188

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The following tables present changes in AOCI by component, net of related taxes, for the periods indicated:


(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, 2021	$	(2)	$	(48)	$	68	$	(2)	$	(130)	$	(1,019)	$	(1,133)
Other comprehensive income (loss) before reclassifications	(344)		(1,957)		723		—		(1)		(1,569)		(3,148)

Amounts reclassified into (out of) accumulated other comprehensive loss	(6)		—		—		—		19		—		13
Other comprehensive income (loss)	(350)		(1,957)		723		—		18		(1,569)		(3,135)
Balance as of September 30, 2022	$	(352)	$	(2,005)	$	791	$	(2)	$	(112)	$	(2,588)	$	(4,268)


(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, 2020	$	57	$	848	$	(204)	$	(2)	$	(178)	$	(334)	$	187
Other comprehensive income (loss) before reclassifications	35		(558)		222		—		—		(529)		(830)

Amounts reclassified into (out of) accumulated other comprehensive loss	(51)		—		—		—		12		—		(39)
Other comprehensive income (loss)	(16)		(558)		222		—		12		(529)		(869)
Balance as of September 30, 2021	$	41	$	290	$	18	$	(2)	$	(166)	$	(863)	$	(682)

The following tables present after-tax reclassifications into earnings for the periods indicated:


		Three Months Ended June 30,						Three Months Ended September 30,
		2022		2021				2022		2021
(In millions)	(In millions)	Amounts Reclassified (into) out of Earnings				Affected Line Item in Consolidated Statement of Income	(In millions)	Amounts Reclassified (into) out of Earnings				Affected Line Item in Consolidated Statement of Income

Cash flow hedges:	Cash flow hedges:						Cash flow hedges:
(Gain) reclassified from accumulated other comprehensive income into income, net of related taxes of $3 and $7, respectively		$	(6)	$	(18)	Net interest income reclassified from other comprehensive income
(Gain) reclassified from accumulated other comprehensive income into income, net of related taxes of ($6) and $6, respectively							(Gain) reclassified from accumulated other comprehensive income into income, net of related taxes of ($6) and $6, respectively	$	16	$	(18)	Net interest income reclassified from other comprehensive income
Retirement plans:	Retirement plans:						Retirement plans:
Amortization of actuarial losses, net of related taxes of $1 and $1, respectively	Amortization of actuarial losses, net of related taxes of $1 and $1, respectively	2		2		Compensation and employee benefits expenses	Amortization of actuarial losses, net of related taxes of $1 and $1, respectively	2		2		Compensation and employee benefits expenses

Total reclassifications into (out of) Accumulated other comprehensive loss	Total reclassifications into (out of) Accumulated other comprehensive loss	$	(4)	$	(16)		Total reclassifications into (out of) Accumulated other comprehensive loss	$	18	$	(16)

		Six Months Ended June 30,						Nine Months Ended September 30,
		2022		2021				2022		2021
(In millions)	(In millions)	Amounts Reclassified (into) out of Earnings				Affected Line Item in Consolidated Statement of Income	(In millions)	Amounts Reclassified (into) out of Earnings				Affected Line Item in Consolidated Statement of Income

Cash flow hedges:	Cash flow hedges:						Cash flow hedges:
(Gain) reclassified from accumulated other comprehensive income into income, net of related taxes of $9 and $13, respectively		$	(22)	$	(33)	Net interest income reclassified from other comprehensive income
(Gain) reclassified from accumulated other comprehensive income into income, net of related taxes of $3 and $19, respectively							(Gain) reclassified from accumulated other comprehensive income into income, net of related taxes of $3 and $19, respectively	$	(6)	$	(51)	Net interest income reclassified from other comprehensive income
Retirement plans:	Retirement plans:						Retirement plans:
Amortization of actuarial losses, net of related taxes of $7 and $4, respectively		17		10		Compensation and employee benefits expenses
Amortization of actuarial losses, net of related taxes of $8 and $5, respectively							Amortization of actuarial losses, net of related taxes of $8 and $5, respectively	19		12		Compensation and employee benefits expenses

Total reclassifications into (out of) Accumulated other comprehensive loss	Total reclassifications into (out of) Accumulated other comprehensive loss	$	(5)	$	(23)		Total reclassifications into (out of) Accumulated other comprehensive loss	$	13	$	(39)

State Street Corporation | 9289

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Note 13. Regulatory Capital

For additional information on our regulatory capital, including the regulatory capital requirements administered by federal banking agencies, which we are subject to, refer to pages 171 to 172 in Note 16 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K.

As of ~~June~~September 30, 2022, we and State Street Bank exceeded all regulatory capital adequacy requirements to which we were subject to. As of ~~June~~September 30, 2022, 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 ~~June~~September 30, 2022 that have changed the capital categorization of State Street Bank.

The following table presents the regulatory capital structure, total RWA, related regulatory capital ratios and the minimum required regulatory capital ratios for us and State Street Bank as of the dates indicated.


						State Street Corporation												State Street Bank																	State Street Corporation												State Street Bank
(Dollars in millions)	(Dollars in millions)					Basel III Advanced Approaches June 30, 2022			Basel III Standardized Approach June 30, 2022			Basel III Advanced Approaches December 31, 2021			Basel III Standardized Approach December 31, 2021			Basel III Advanced Approaches June 30, 2022			Basel III Standardized Approach June 30, 2022			Basel III Advanced Approaches December 31, 2021			Basel III Standardized Approach December 31, 2021			(Dollars in millions)					Basel III Advanced Approaches September 30, 2022			Basel III Standardized Approach September 30, 2022			Basel III Advanced Approaches December 31, 2021			Basel III Standardized Approach December 31, 2021			Basel III Advanced Approaches September 30, 2022			Basel III Standardized Approach September 30, 2022			Basel III Advanced Approaches December 31, 2021			Basel III Standardized Approach December 31, 2021
Common shareholders' equity:	Common shareholders' equity:																													Common shareholders' equity:
Common stock and related surplus	Common stock and related surplus					$	11,261		$	11,261		$	11,291		$	11,291		$	13,033		$	13,033		$	13,047		$	13,047		Common stock and related surplus					$	11,264		$	11,264		$	11,291		$	11,291		$	13,033		$	13,033		$	13,047		$	13,047
Retained earnings	Retained earnings					26,115			26,115			25,238			25,238			17,025			17,025			15,700			15,700			Retained earnings					26,552			26,552			25,238			25,238			17,711			17,711			15,700			15,700
Accumulated other comprehensive income (loss)	Accumulated other comprehensive income (loss)					(3,687)			(3,687)			(1,133)			(1,133)			(3,410)			(3,410)			(926)			(926)			Accumulated other comprehensive income (loss)					(4,268)			(4,268)			(1,133)			(1,133)			(3,937)			(3,937)			(926)			(926)
Treasury stock, at cost	Treasury stock, at cost					(9,898)			(9,898)			(10,009)			(10,009)			—			—			—			—			Treasury stock, at cost					(9,876)			(9,876)			(10,009)			(10,009)			—			—			—			—
Total	Total					23,791			23,791			25,387			25,387			26,648			26,648			27,821			27,821			Total					23,672			23,672			25,387			25,387			26,807			26,807			27,821			27,821
Regulatory capital adjustments:	Regulatory capital adjustments:																													Regulatory capital adjustments:
Goodwill and other intangible assets, net of associated deferred tax liabilities	Goodwill and other intangible assets, net of associated deferred tax liabilities					(8,628)			(8,628)			(8,935)			(8,935)			(8,370)			(8,370)			(8,667)			(8,667)			Goodwill and other intangible assets, net of associated deferred tax liabilities					(8,433)			(8,433)			(8,935)			(8,935)			(8,180)			(8,180)			(8,667)			(8,667)
Other adjustments(1)	Other adjustments(1)					(281)			(281)			(505)			(505)			(104)			(104)			(309)			(309)			Other adjustments(1)					(113)			(113)			(505)			(505)			60			60			(309)			(309)
Common equity tier 1 capital	Common equity tier 1 capital					14,882			14,882			15,947			15,947			18,174			18,174			18,845			18,845			Common equity tier 1 capital					15,126			15,126			15,947			15,947			18,687			18,687			18,845			18,845
Preferred stock	Preferred stock					1,976			1,976			1,976			1,976			—			—			—			—			Preferred stock					1,976			1,976			1,976			1,976			—			—			—			—

Tier 1 capital	Tier 1 capital					16,858			16,858			17,923			17,923			18,174			18,174			18,845			18,845			Tier 1 capital					17,102			17,102			17,923			17,923			18,687			18,687			18,845			18,845
Qualifying subordinated long-term debt	Qualifying subordinated long-term debt					1,381			1,381			1,588			1,588			545			545			752			752			Qualifying subordinated long-term debt					1,380			1,380			1,588			1,588			544			544			752			752

Allowance for credit losses	Allowance for credit losses					—			113			—			108			—			113			—			108			Allowance for credit losses					—			112			—			108			—			112			—			108

Total capital	Total capital					$	18,239		$	18,352		$	19,511		$	19,619		$	18,719		$	18,832		$	19,597		$	19,705		Total capital					$	18,482		$	18,594		$	19,511		$	19,619		$	19,231		$	19,343		$	19,597		$	19,705
Risk-weighted assets:	Risk-weighted assets:																													Risk-weighted assets:
Credit risk(2)	Credit risk(2)					$	63,259		$	113,566		$	63,735		$	109,554		$	56,041		$	110,950		$	57,405		$	106,405		Credit risk(2)					$	63,621		$	113,357		$	63,735		$	109,554		$	57,285		$	111,617		$	57,405		$	106,405
Operational risk(3)	Operational risk(3)					45,350			NA			45,550			NA			42,700			NA			42,813			NA			Operational risk(3)					42,825			NA			45,550			NA			42,438			NA			42,813			NA
Market risk	Market risk					1,838			1,838			2,113			2,113			1,838			1,838			2,113			2,113			Market risk					1,325			1,325			2,113			2,113			1,325			1,325			2,113			2,113
Total risk-weighted assets	Total risk-weighted assets					$	110,447		$	115,404		$	111,398		$	111,667		$	100,579		$	112,788		$	102,331		$	108,518		Total risk-weighted assets					$	107,771		$	114,682		$	111,398		$	111,667		$	101,048		$	112,942		$	102,331		$	108,518

Adjusted quarterly average assets	Adjusted quarterly average assets					$	282,526		$	282,526		$	293,567		$	293,567		$	279,665		$	279,665		$	290,403		$	290,403		Adjusted quarterly average assets					$	266,622		$	266,622		$	293,567		$	293,567		$	264,004		$	264,004		$	290,403		$	290,403

Capital Ratios:	Capital Ratios:	2022 Minimum Requirements(4)		2021 Minimum Requirements(4)																										Capital Ratios:	2022 Minimum Requirements(4)		2021 Minimum Requirements(4)
Common equity tier 1 capital	Common equity tier 1 capital	8.0	%	8.0	%	13.5		%	12.9		%	14.3		%	14.3		%	18.1		%	16.1		%	18.4		%	17.4		%	Common equity tier 1 capital	8.0	%	8.0	%	14.0		%	13.2		%	14.3		%	14.3		%	18.5		%	16.5		%	18.4		%	17.4		%
Tier 1 capital	Tier 1 capital	9.5		9.5		15.3			14.6			16.1			16.1			18.1			16.1			18.4			17.4			Tier 1 capital	9.5		9.5		15.9			14.9			16.1			16.1			18.5			16.5			18.4			17.4
Total capital	Total capital	11.5		11.5		16.5			15.9			17.5			17.6			18.6			16.7			19.2			18.2			Total capital	11.5		11.5		17.1			16.2			17.5			17.6			19.0			17.1			19.2			18.2
Tier 1 leverage	Tier 1 leverage	4.0		4.0		6.0			6.0			6.1			6.1			6.5			6.5			6.5			6.5			Tier 1 leverage	4.0		4.0		6.4			6.4			6.1			6.1			7.1			7.1			6.5			6.5

(4) Minimum requirements include a CCB of 2.5% and a SCB of 2.5% for the advanced approaches and the standardized approach, respectively, a G-SIB surcharge of 1.0% and a countercyclical buffer of 0%.

NA Not applicable

State Street Corporation | 9390

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 June 30,				Six Months Ended June 30,				Three Months Ended September 30,				Nine Months Ended September 30,
(In millions)	(In millions)	2022		2021		2022		2021			(In millions)	2022		2021		2022		2021
Interest income:	Interest income:										Interest income:
Interest-bearing deposits with banks	Interest-bearing deposits with banks	$	70	$	(4)	$	79	$	(13)		Interest-bearing deposits with banks	$	202	$	—	$	281	$	(13)
Investment securities:	Investment securities:										Investment securities:

Investment securities available-for-sale	Investment securities available-for-sale	122		145		276		285			Investment securities available-for-sale	176		150		452		435
Investment securities held-to-maturity	Investment securities held-to-maturity	230		163		401		343			Investment securities held-to-maturity	271		158		672		501
Investment securities purchased under money market liquidity facility	Investment securities purchased under money market liquidity facility	—		—		—		4			Investment securities purchased under money market liquidity facility	—		—		—		4
Total investment securities	Total investment securities	352		308		677		632			Total investment securities	447		308		1,124		940
Securities purchased under resale agreements	Securities purchased under resale agreements	38		3		48		13			Securities purchased under resale agreements	57		6		105		19
Loans	Loans	199		157		371		298			Loans	256		168		627		466
Other interest-earning assets	Other interest-earning assets	45		3		50		8			Other interest-earning assets	139		5		189		13
Total interest income	Total interest income	704		467		1,225		938			Total interest income	1,101		487		2,326		1,425
Interest expense:	Interest expense:										Interest expense:
Interest-bearing deposits	Interest-bearing deposits	23		(65)		(40)		(134)			Interest-bearing deposits	300		(62)		260		(196)
Short-term borrowings under money market liquidity facility	Short-term borrowings under money market liquidity facility	—		—		—		4			Short-term borrowings under money market liquidity facility	—		—		—		4
Securities sold under repurchase agreements	Securities sold under repurchase agreements	3		—		3		—			Securities sold under repurchase agreements	2		—		5		—
Other short-term borrowings	Other short-term borrowings	1		1		1		1			Other short-term borrowings	—		—		1		1
Long-term debt	Long-term debt	72		54		137		114			Long-term debt	97		51		234		165
Other interest-bearing liabilities	Other interest-bearing liabilities	21		10		31		19			Other interest-bearing liabilities	42		11		73		30
Total interest expense	Total interest expense	120		—		132		4			Total interest expense	441		—		573		4
Net interest income	Net interest income	$	584	$	467	$	1,093	$	934		Net interest income	$	660	$	487	$	1,753	$	1,421

Note 15. Expenses

The following table presents the components of other expenses for the periods indicated:


		Three Months Ended June 30,				Six Months Ended June 30,				Three Months Ended September 30,				Nine Months Ended September 30,
(In millions)	(In millions)	2022		2021		2022		2021			(In millions)	2022		2021		2022		2021
Professional services	Professional services	$	84	$	75	$	181	$	155		Professional services	$	92	$	91	$	273	$	246
Sales advertising public relations		22		16		41		33
Sales advertising and public relations											Sales advertising and public relations	28		13		69		46

Securities processing											Securities processing	21		8		41		22
Regulatory fees and assessments	Regulatory fees and assessments	20		19		40		37			Regulatory fees and assessments	19		16		63		53
Securities processing		12		2		20		14
Bank operations	Bank operations	9		2		13		4			Bank operations	11		3		24		7
Insurance		2		3		6		6

Donations	Donations	7		—		13		0			Donations	7		—		20		1

Other	Other	106		82		191		172			Other	96		90		289		267
Total other expenses	Total other expenses	$	262	$	199	$	505	$	421		Total other expenses	$	274	$	221	$	779	$	642

Acquisition Costs

State Street Corporation | 9491

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Restructuring and Repositioning Charges

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


(In millions)	(In millions)	Employee Related Costs		Real Estate Actions		Asset and Other Write-offs		Total		(In millions)	Employee Related Costs		Real Estate Actions		Total
Accrual Balance at December 31, 2020	Accrual Balance at December 31, 2020	$	190	$	6	$	—	$	196	Accrual Balance at December 31, 2020	$	190	$	6	$	196
Accruals for Beacon	Accruals for Beacon	(1)		—		—		(1)		Accruals for Beacon	(1)		—		(1)
Accruals for Repositioning Charges	Accruals for Repositioning Charges	—		2		—		2		Accruals for Repositioning Charges	—		2		2
Payments and Other Adjustments	Payments and Other Adjustments	(9)		(2)		—		(11)		Payments and Other Adjustments	(9)		(2)		(11)
Accrual Balance at March 31, 2021	Accrual Balance at March 31, 2021	180		6		—		186		Accrual Balance at March 31, 2021	180		6		186

Payments and Other Adjustments	Payments and Other Adjustments	(34)		—		—		(34)		Payments and Other Adjustments	(34)		—		(34)
Accrual Balance at June 30, 2021	Accrual Balance at June 30, 2021	$	146	$	6	$	—	$	152	Accrual Balance at June 30, 2021	146		6		152

Payments and Other Adjustments										Payments and Other Adjustments	(23)		—		(23)
Accrual Balance at September 30, 2021										Accrual Balance at September 30, 2021	$	123	$	6	$	129
Accrual Balance at December 31, 2021	Accrual Balance at December 31, 2021	$	68	$	6	$	—	$	74	Accrual Balance at December 31, 2021	$	68	$	6	$	74

Payments and Other Adjustments	Payments and Other Adjustments	(17)		(1)		—		(18)		Payments and Other Adjustments	(17)		(1)		(18)
Accrual Balance at March 31, 2022	Accrual Balance at March 31, 2022	51		$	5	—		56		Accrual Balance at March 31, 2022	51		$	5	$	56

Payments and Other Adjustments	Payments and Other Adjustments	(11)		—		—		(11)		Payments and Other Adjustments	(11)		—		(11)
Accrual Balance at June 30, 2022	Accrual Balance at June 30, 2022	$	40	$	5	$	—	$	45	Accrual Balance at June 30, 2022	40		5		45

Payments and Other Adjustments										Payments and Other Adjustments	(5)		—		(5)
Accrual Balance at September 30, 2022										Accrual Balance at September 30, 2022	$	35	$	5	$	40

Note 16. Earnings Per Common Share

For additional information on our earnings per share calculation methodologies, refer to page 179 in Note 23 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K.

The following table presents the computation of basic and diluted earnings per common share for the periods indicated:


		Three Months Ended June 30,				Six Months Ended June 30,				Three Months Ended September 30,				Nine Months Ended September 30,
(Dollars in millions, except per share amounts)	(Dollars in millions, except per share amounts)	2022		2021		2022		2021			(Dollars in millions, except per share amounts)	2022		2021		2022		2021
Net income	Net income	$	747	$	763	$	1,351	$	1,282		Net income	$	690	$	714	$	2,041	$	1,996
Less:	Less:										Less:
Preferred stock dividends	Preferred stock dividends	(35)		(34)		(55)		(64)			Preferred stock dividends	(21)		(21)		(76)		(85)
Dividends and undistributed earnings allocated to participating securities(1)	Dividends and undistributed earnings allocated to participating securities(1)	—		(1)		(1)		(1)			Dividends and undistributed earnings allocated to participating securities(1)	—		—		(1)		(1)
Net income available to common shareholders	Net income available to common shareholders	$	712	$	728	$	1,295	$	1,217		Net income available to common shareholders	$	669	$	693	$	1,964	$	1,910
Average common shares outstanding (In thousands):	Average common shares outstanding (In thousands):										Average common shares outstanding (In thousands):
Basic average common shares	Basic average common shares	367,375		345,889		366,961		348,303			Basic average common shares	367,789		347,718		367,240		348,106
Effect of dilutive securities: equity-based awards	Effect of dilutive securities: equity-based awards	4,748		5,693		5,119		5,131			Effect of dilutive securities: equity-based awards	4,629		5,776		4,954		5,270
Diluted average common shares	Diluted average common shares	372,123		351,582		372,080		353,434			Diluted average common shares	372,418		353,494		372,194		353,376
Anti-dilutive securities(2)	Anti-dilutive securities(2)	1,990		176		741		192			Anti-dilutive securities(2)	1,592		97		904		119
Earnings per common share:	Earnings per common share:										Earnings per common share:
Basic	Basic	$	1.94	$	2.11	$	3.53	$	3.49		Basic	$	1.82	$	1.99	$	5.35	$	5.49
Diluted(3)	Diluted(3)	1.91		2.07		3.48		3.44			Diluted(3)	1.80		1.96		5.28		5.40

(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 173 and 175 in Note 18 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 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.

Note 17. Line of Business Information

Our operations are organized into 2two 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 2two lines of business, as well as revenues, expenses and capital allocation methodologies associated with them, refer to pages 179 to 181 in Note 24 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K.

State Street Corporation | 92

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

The following tables summarize our line of business results for the periods indicated. The "Other" columns represent costs incurred that are not allocated to a specific line of business, certain employee costs, including certain severance and restructuring costs, acquisition costs and certain provisions for legal contingencies.

~~State Street Corporation | 95~~

~~STATE STREET CORPORATION~~

~~CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS~~

~~(UNAUDITED)~~


		Three Months Ended June 30,																Three Months Ended September 30,
		Investment Servicing						Investment Management						Other					Total						Investment Servicing								Investment Management							Other					Total
(Dollars in millions)	(Dollars in millions)	2022			2021			2022			2021			2022		2021			2022			2021				(Dollars in millions)	2022			2021				2022			2021				2022		2021			2022			2021
Servicing fees	Servicing fees	$	1,297		$	1,394		$	—		$	—		$	—	$	—		$	1,297		$	1,394			Servicing fees	$	1,219		$	1,391			$	—		$	—			$	—	$	—		$	1,219		$	1,391
Management fees	Management fees	—			—			490			504			—		—			490			504				Management fees	—			—				472			526				—		—			472			526
Foreign exchange trading services	Foreign exchange trading services	313			270			18			16			—		—			331			286				Foreign exchange trading services	293			266				26			13				—		—			319			279
Securities finance	Securities finance	102			106			5			3			—		—			107			109				Securities finance	105			103				5			3				—		—			110			106
Software and processing fees	Software and processing fees	188			211			—			—			—		—			188			211				Software and processing fees	184			180				—			—				—		—			184			180
Other fee revenue	Other fee revenue	(12)			3			(31)			7			—		—			(43)			10				Other fee revenue	12			28				(17)			(6)				—		—			(5)			22
Total fee revenue	Total fee revenue	1,888			1,984			482			530			—		—			2,370			2,514				Total fee revenue	1,813			1,968				486			536				—		—			2,299			2,504
Net interest income	Net interest income	588			468			(4)			(1)			—		—			584			467				Net interest income	663			491				(3)			(4)				—		—			660			487
Total other income	Total other income	(1)			—			—			—			—		53			(1)			53				Total other income	—			(1)				—			—				—		—			—			(1)
Total revenue	Total revenue	2,475			2,452			478			529			—		53			2,953			3,034				Total revenue	2,476			2,458				483			532				—		—			2,959			2,990
Provision for credit losses	Provision for credit losses	10			(15)			—			—			—		—			10			(15)				Provision for credit losses	—			(2)				—			—				—		—			—			(2)

Total expenses	Total expenses	1,767			1,755			327			346			14		10			2,108			2,111				Total expenses	1,760			1,755				335			339				15		22			2,110			2,116
Income before income tax expense	Income before income tax expense	$	698		$	712		$	151		$	183		$	(14)	$	43		$	835		$	938			Income before income tax expense	$	716		$	705			$	148		$	193			$	(15)	$	(22)		$	849		$	876
Pre-tax margin	Pre-tax margin	28		%	29		%	32		%	35		%						28		%	31		%		Pre-tax margin	29		%	29		%		31		%	36		%							29		%	29		%

		Six Months Ended June 30,																Nine Months Ended September 30,
		Investment Servicing						Investment Management						Other					Total						Investment Servicing								Investment Management							Other					Total
(Dollars in millions)	(Dollars in millions)	2022			2021			2022			2021			2022		2021			2022			2021				(Dollars in millions)	2022			2021				2022			2021				2022		2021			2022			2021
Servicing fees	Servicing fees	$	2,665		$	2,763		$	—		$	—		$	—	$	—		$	2,665		$	2,763			Servicing fees	$	3,884		$	4,154			$	—		$	—			$	—	$	—		$	3,884		$	4,154
Management fees	Management fees	—			—			1,010			997			—		—			1,010			997				Management fees	—			—				1,482			1,523				—		—			1,482			1,523
Foreign exchange trading services	Foreign exchange trading services	655			603			35			29			—		—			690			632				Foreign exchange trading services	948			869				61			42				—		—			1,009			911
Securities finance	Securities finance	195			201			8			7			—		—			203			208				Securities finance	300			304				13			10				—		—			313			314
Software and processing fees (1)	Software and processing fees (1)	389			371			—			—			—		—			389			371				Software and processing fees (1)	573			551				—			—				—		—			573			551
Other fee revenue	Other fee revenue	34			17			(48)			9			0		—			(14)			26				Other fee revenue	46			45				(65)			3						—			(19)			48
Total fee revenue	Total fee revenue	3,938			3,955			1,005			1,042			—		—			4,943			4,997				Total fee revenue	5,751			5,923				1,491			1,578				—		—			7,242			7,501
Net interest income	Net interest income	1,097			941			(4)			(7)			—		—			1,093			934				Net interest income	1,760			1,432				(7)			(11)				—		—			1,753			1,421
Total other income	Total other income	(2)			—			—			—			—		53			(2)			53				Total other income	(2)			(1)				—			—				—		53			(2)			52
Total revenue	Total revenue	5,033			4,896			1,001			1,035			—		53			6,034			5,984				Total revenue	7,509			7,354				1,484			1,567				—		53			8,993			8,974
Provision for credit losses	Provision for credit losses	10			(24)			—			—			—		—			10			(24)				Provision for credit losses	10			(26)				—			—				—		—			10			(26)

Total expenses	Total expenses	3,692			3,634			716			743			27		66			4,435			4,443				Total expenses	5,452			5,389				1,051			1,082				42		88			6,545			6,559
Income before income tax expense	Income before income tax expense	$	1,331		$	1,286		$	285		$	292		$	(27)	$	(13)		1,589			$	1,565			Income before income tax expense	$	2,047		$	1,991			$	433		$	485			$	(42)	$	(35)		2,438			$	2,441
Pre-tax margin	Pre-tax margin	26		%	26		%	28		%	28		%						26		%	26		%		Pre-tax margin	27		%	27		%		29		%	31		%							27		%	27		%

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 181 to 183 in Note 25 to the consolidated financial statements included under Item 8, Financial Statements and Supplementary Data, in our 2021 Form 10-K.

Revenue by category

In the following tables, revenue is disaggregated by our 2two 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.

State Street Corporation | 9693

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)


		Three Months Ended June 30, 2022																					Three Months Ended September 30, 2022
		Investment Servicing						Investment Management						Other						Total			Investment Servicing						Investment Management						Other						Total
(Dollars in millions)	(Dollars in millions)	Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		2022		(Dollars in millions)	Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		2022
Servicing fees	Servicing fees	$	1,297	$	—	$	1,297	$	—	$	—	$	—	$	—	$	—	$	—	$	1,297	Servicing fees	$	1,219	$	—	$	1,219	$	—	$	—	$	—	$	—	$	—	$	—	$	1,219
Management fees	Management fees	—		—		—		490		—		490		—		—		—		490		Management fees	—		—		—		472		—		472		—		—		—		472
Foreign exchange trading services	Foreign exchange trading services	90		223		313		18		—		18		—		—		—		331		Foreign exchange trading services	88		205		293		26		—		26		—		—		—		319
Securities finance	Securities finance	61		41		102		—		5		5		—		—		—		107		Securities finance	60		45		105		—		5		5		—		—		—		110
Software and processing fees	Software and processing fees	138		50		188		—		0		—		—		—		—		188		Software and processing fees	138		46		184		—		—		—		—		—		—		184
Other fee revenue	Other fee revenue	—		(12)		(12)		—		(31)		(31)		—		—		—		(43)		Other fee revenue	—		12		12		—		(17)		(17)		—		—		—		(5)
Total fee revenue	Total fee revenue	1,586		302		1,888		508		(26)		482		—		—		—		2,370		Total fee revenue	1,505		308		1,813		498		(12)		486		—		—		—		2,299
Net interest income	Net interest income	—		588		588		—		(4)		(4)		—		—		—		584		Net interest income	—		663		663		—		(3)		(3)		—		—		—		660
Total other income	Total other income	—		(1)		(1)		—		—		—		—		—		—		(1)		Total other income	—		—		—		—		—		—		—		—		—		—
Total revenue	Total revenue	$	1,586	$	889	$	2,475	$	508	$	(30)	$	478	$	—	$	—	$	—	$	2,953	Total revenue	$	1,505	$	971	$	2,476	$	498	$	(15)	$	483	$	—	$	—	$	—	$	2,959

		Six Months Ended June 30, 2022																					Nine Months Ended September 30, 2022
		Investment Servicing						Investment Management						Other						Total			Investment Servicing						Investment Management						Other						Total
(Dollars in millions)	(Dollars in millions)	Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		2022		(Dollars in millions)	Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		2022
Servicing fees	Servicing fees	$	2,665	$	—	$	2,665	$	—	$	—	$	—	$	—	$	—	$	—	$	2,665	Servicing fees	$	3,884	$	—	$	3,884	$	—	$	—	$	—	$	—	$	—	$	—	$	3,884
Management fees	Management fees	—		—		—		1,010		—		1,010		—		—		—		1,010		Management fees	—		—		—		1,482		—		1,482		—		—		—		1,482
Foreign exchange trading services	Foreign exchange trading services	191		464		655		35		—		35		—		—		—		690		Foreign exchange trading services	279		669		948		61		—		61		—		—		—		1,009
Securities finance	Securities finance	115		80		195		—		8		8		—		—		—		203		Securities finance	175		125		300		—		13		13		—		—		—		313
Software and processing fees	Software and processing fees	289		100		389		—		—		—		—		—		—		389		Software and processing fees	427		146		573		—		—		—		—		—		—		573
Other fee revenue	Other fee revenue	—		34		34		—		(48)		(48)		—		—		—		(14)		Other fee revenue	—		46		46		—		(65)		(65)		—		—		—		(19)
Total fee revenue	Total fee revenue	3,260		678		3,938		1,045		(40)		1,005		—		—		—		4,943		Total fee revenue	4,765		986		5,751		1,543		(52)		1,491		—		—		—		7,242
Net interest income	Net interest income	—		1,097		1,097		—		(4)		(4)		—		—		—		1,093		Net interest income	—		1,760		1,760		—		(7)		(7)		—		—		—		1,753
Total other income	Total other income	—		(2)		(2)		—		—		—		—		—		—		(2)		Total other income	—		(2)		(2)		—		—		—		—		—		—		(2)
Total revenue	Total revenue	$	3,260	$	1,773	$	5,033	$	1,045	$	(44)	$	1,001	$	—	$	—	$	—	$	6,034	Total revenue	$	4,765	$	2,744	$	7,509	$	1,543	$	(59)	$	1,484	$	—	$	—	$	—	$	8,993

		Three Months Ended June 30, 2021																					Three Months Ended September 30, 2021
		Investment Servicing						Investment Management						Other						Total			Investment Servicing						Investment Management						Other						Total
(Dollars in millions)	(Dollars in millions)	Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		2021		(Dollars in millions)	Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		2021
Servicing fees	Servicing fees	$	1,394	$	—	$	1,394	$	—	$	—	$	—	$	—	$	—	$	—	$	1,394	Servicing fees	$	1,391	$	—	$	1,391	$	—	$	—	$	—	$	—	$	—	$	—	$	1,391
Management fees	Management fees	—		—		—		504		—		504		—		—		—		504		Management fees	—		—		—		526		—		526		—		—		—		526
Foreign exchange trading services	Foreign exchange trading services	83		187		270		16		—		16		—		—		—		286		Foreign exchange trading services	82		184		266		13		—		13		—		—		—		279
Securities finance	Securities finance	61		45		106		—		3		3		—		—		—		109		Securities finance	60		43		103		—		3		3		—		—		—		106
Software and processing fees	Software and processing fees	161		50		211		—		—		—		—		—		—		211		Software and processing fees	130		50		180		—		—		—		—		—		—		180
Other fee revenue	Other fee revenue	—		3		3		—		7		7		—		—		—		10		Other fee revenue	—		28		28		—		(6)		(6)		—		—		—		22
Total fee revenue	Total fee revenue	1,699		285		1,984		520		10		530		—		—		—		2,514		Total fee revenue	1,663		305		1,968		539		(3)		536		—		—		—		2,504
Net interest income	Net interest income	—		468		468		—		(1)		(1)		—		—		—		467		Net interest income	—		491		491		—		(4)		(4)		—		—		—		487
Total other income	Total other income	—		—		—		—		—		—		—		53		53		53		Total other income	—		(1)		(1)		—		—		—		—		—		—		(1)
Total revenue	Total revenue	$	1,699	$	753	$	2,452	$	520	$	9	$	529	$	—	$	53	$	53	$	3,034	Total revenue	$	1,663	$	795	$	2,458	$	539	$	(7)	$	532	$	—	$	—	$	—	$	2,990

		Six Months Ended June 30, 2021																					Nine Months Ended September 30, 2021
		Investment Servicing						Investment Management						Other						Total			Investment Servicing						Investment Management						Other						Total
(Dollars in millions)	(Dollars in millions)	Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		2021		(Dollars in millions)	Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		Topic 606 revenue		All other revenue		Total		2021
Servicing fees	Servicing fees	$	2,763	$	—	$	2,763	$	—	$	—	$	—	$	—	$	—	$	—	$	2,763	Servicing fees	$	4,154	$	—	$	4,154	$	—	$	—	$	—	$	—	$	—	$	—	$	4,154
Management fees	Management fees	—		—		—		997		—		997		—		—		—		997		Management fees	—		—		—		1,523		—		1,523		—		—		—		1,523
Foreign exchange trading services	Foreign exchange trading services	178		425		603		29		—		29		—		—		—		632		Foreign exchange trading services	260		609		869		42		—		42		—		—		—		911
Securities finance	Securities finance	121		80		201		—		7		7		—		—		—		208		Securities finance	181		123		304		—		10		10		—		—		—		314
Software and processing fees	Software and processing fees	271		100		371		—		—		—		—		—		—		371		Software and processing fees	401		150		551		—		—		—		—		—		—		551
Other fee revenue	Other fee revenue	—		17		17		—		9		9		—		—		—		26		Other fee revenue	—		45		45		—		3		3		—		—		—		48
Total fee revenue	Total fee revenue	3,333		622		3,955		1,026		16		1,042		—		—		—		4,997		Total fee revenue	4,996		927		5,923		1,565		13		1,578		—		—		—		7,501
Net interest income	Net interest income	—		941		941		—		(7)		(7)		—		—		—		934		Net interest income	—		1,432		1,432		—		(11)		(11)		—		—		—		1,421
Total other income	Total other income	—		—		—		—		—		—		—		53		53		53		Total other income	—		(1)		(1)		—		—		—		—		53		53		52
Total revenue	Total revenue	$	3,333	$	1,563	$	4,896	$	1,026	$	9	$	1,035	$	—	$	53	$	53	$	5,984	Total revenue	$	4,996	$	2,358	$	7,354	$	1,565	$	2	$	1,567	$	—	$	53	$	53	$	8,974

State Street Corporation | 9794

STATE STREET CORPORATION

CONDENSED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(UNAUDITED)

Contract balances and contract costs

As of ~~June~~September 30, 2022 and December 31, 2021, net receivables of ~~$2.89~~$2.78 billion and $2.76 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 or liabilities.

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.

Note 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 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 June 30,																Three Months Ended September 30,
		2022						2021										2022						2021
(In millions)	(In millions)	Non-U.S.(1)		U.S.		Total		Non-U.S.(1)		U.S.		Total					(In millions)	Non-U.S.(1)		U.S.		Total		Non-U.S.(1)		U.S.		Total
Total revenue	Total revenue	$	1,336	$	1,617	$	2,953	$	1,325	$	1,709	$	3,034				Total revenue	$	1,216	$	1,743	$	2,959	$	1,337	$	1,653	$	2,990
Income before income tax expense	Income before income tax expense	407		428		835		396		542		938					Income before income tax expense	311		538		849		410		466		876

															Nine Months Ended September 30,
														2022		2021

		Six Months Ended June 30,
		2022						2021
(In millions)	(In millions)	Non-U.S.(1)		U.S.		Total		Non-U.S.(1)		U.S.		Total					(In millions)	Non-U.S.(1)		U.S.		Total		Non-U.S.(1)		U.S.		Total
Total revenue	Total revenue	$	2,715	$	3,319	$	6,034	$	2,670	$	3,314	$	5,984				Total revenue	$	3,903	$	5,090	$	8,993	$	4,002	$	4,972	$	8,974
Income before income tax expense	Income before income tax expense	772		817		1,589		733		832		1,565					Income before income tax expense	1,059		1,379		2,438		1,146		1,295		2,441

(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.

Non-U.S. assets were ~~$93.35~~$91.23 billion and ~~$109.41~~$96.28 billion as of ~~June~~September 30, 2022 and 2021, respectively.

State Street Corporation | 9895

Report of Ernst & Young LLP, 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 ~~June~~September 30, 2022, consolidated statements of income, comprehensive income, changes in shareholders' equity for the three- and ~~six-month~~nine-month periods ended ~~June~~September 30, 2022 and 2021, cash flows for the ~~six-month~~nine-month periods ended ~~June~~September 30, 2022 and 2021 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 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) ("PCAOB"), the consolidated statement of condition of the Corporation as of December 31, 2021, 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 17, 2022, 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, 2021, 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 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 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.

/s/ Ernst & Young LLP

Boston, Massachusetts

~~July 28,~~October 26, 2022

State Street Corporation | 9996


ACRONYMS


ABS	Asset-backed securities	LTD	Long-term debt
AFS	Available-for-sale	MBS	Mortgage-backed securities
AOCI	Accumulated other comprehensive income (loss)	MMLF	Money Market Mutual Fund Liquidity Facility
AUC/A	Assets under custody and/or administration	NII	Net interest income
AUM	Assets under management	NIM	Net interest margin
BBH	Brown Brothers Harriman & Co	OTC	Over-the-counter
bps	Basis points	PCAOB	Public Company Accounting Oversight Board
CCAR	Comprehensive Capital Analysis and Review	RWA(1)	Risk-weighted asset
CRD	Charles River Development	~~SCB~~SaaS	~~Stress Capital Buffer~~Software as a service
CET1(1)	Common equity tier 1	SCB	Stress Capital Buffer
CLO	Collateralized Loan Obligation	SEC	Securities and Exchange Commission
~~CLO~~CVA	~~Collateralized Loan Obligation~~Credit valuation adjustment	SLR(1)	Supplementary leverage ratio
~~CVA~~ETF	~~Credit valuation adjustment~~Exchange-Traded Fund	SPDR	Spider; Standard and Poor's depository receipt
~~ETF~~EUR	~~Exchange-Traded Fund~~Euro	SPOE Strategy	Single Point of Entry Strategy
~~EUR~~FDIC	~~Euro~~Federal Deposit Insurance Corporation	SSIF	State Street Intermediate Funding, LLC
~~FDIC~~FHLB	Federal ~~Deposit Insurance Corporation~~Home Loan Bank of Boston	TLAC(1)	Total loss-absorbing capacity
~~FHLB~~FICC	~~Federal Home Loan Bank of Boston~~Fixed Income Clearing Corporation	UOM	Unit of measure
~~FICC~~FTE	~~Fixed Income Clearing Corporation~~Fully taxable-equivalent	USD	U.S. Dollar
~~FTE~~FX	~~Fully taxable-equivalent~~Foreign exchange	VaR	Value-at-Risk
FX	~~Foreign exchange~~
GAAP	Generally accepted accounting principles
GBP	British ~~pound~~Pound Sterling
G-SIB	Global systemically important bank
HQLA(1)	High-quality liquid assets
HTM	Held-to-maturity
IDI	Insured Depository Institution
LCR(1)	Liquidity coverage ratio
LIBOR	London Interbank Offered Rate

(1) As defined by the applicable U.S. regulations.

State Street Corporation | ~~100~~97

GLOSSARY

Asset-backed securities: A financial security backed by collateralized assets, other than real estate or mortgage backed securities.

Assets under custody 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 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 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. 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 transitioning these assets as the timing can vary significantly.

Beacon: A multi-year program, announced in October 2015, to create cost efficiencies through changes in our operational processes and to further digitize our processes and interfaces with our clients.

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. CRE loans are 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 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 full highly questionable and improbable.

Economic value of equity: 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 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.

Net asset value: The amount of net assets attributable to each share/unit of the 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 | ~~101~~98

PART 2. OTHER INFORMATION

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

In December 2020, the Federal Reserve issued results of 2020 resubmission stress tests and authorized us to continue to pay common stock dividends at current levels and to resume repurchasing common shares in the first quarter of 2021. In January 2021, our Board authorized a share repurchase program for the purchase of up to $475 million of our common stock through March 31, 2021. In April 2021, our Board authorized a share repurchase program for the repurchase of up to $425 million of our common stock through June 30, 2021, consistent with the limit set by the Federal Reserve. In July 2021, our Board authorized a share repurchase program for the repurchase of up to $3.0 billion of our common stock through the end of 2022.

~~ITEM 5. OTHER INFORMATION~~

As previously disclosed, effective May 9, 2022, the Board of Directors appointed Louis D. Maiuri to serve as President and head of Investment Services, and Eric W. Aboaf to serve as Vice Chairman. Mr. Maiuri retains his Chief Operating Officer responsibilities, and Mr. Aboaf continues to serve as Chief Financial Officer and has expanded responsibility for State Street’s Global Markets business.

On July 27, 2022, the Board of Directors’ Human Resources Committee increased the 2022 target incentive compensation of Mr. Maiuri and Mr. Aboaf. Mr. Maiuri’s target was increased from $7,300,000 to $8,300,000 and Mr. Aboaf’s target was increased from $6,300,000 to $7,300,000. In addition, the Committee approved an executive security package consisting of a car and driver and other security benefits for Mr. Maiuri. The Committee considers the total target compensation for each executive to be appropriate based on the scope of his recently expanded role and in light of relevant internal and external benchmarks.

State Street Corporation | ~~102~~99

ITEM 6. EXHIBITS


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.



	~~10.1†~~	~~Francisco Aristeguieta Transition and Separation Agreement dated May 9, 2022~~

	~~10.2†~~	~~Description of Compensation Arrangements for Non-Employee Directors~~

	15	Acknowledgment Letter of Ernst & Young LLP, Independent Registered Public Accounting Firm





	31.1	Rule 13a-14(a)/15d-14(a) Certification of Chairman, President and Chief Executive Officer

	31.2	Rule 13a-14(a)/15d-14(a) Certification of 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 ~~six~~nine months ended ~~June~~September 30, 2022 and 2021, (ii) consolidated statement of comprehensive income for the three and ~~six~~nine months ended ~~June~~September 30, 2022 and 2021, (iii) consolidated statement of condition as of ~~June~~September 30, 2022 and December 31, 2021, (iv) consolidated statement of changes in shareholders' equity for the three and ~~six~~nine months ended ~~June~~September 30, 2022 and 2021, (v) consolidated statement of cash flows for the ~~six~~nine months ended ~~June~~September 30, 2022 and 2021, and (vi) notes to consolidated financial statements.

State Street Corporation | ~~103~~100

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:

~~July 28,~~October 26, 2022

By:

/s/ ERIC W. ABOAF

Eric W. Aboaf,

Vice Chairman and Chief Financial Officer (Principal Financial Officer)

Date:

~~July 28,~~October 26, 2022

By:

/s/ IAN W. APPLEYARD

Ian W. Appleyard,

Executive Vice President, Global Controller and Chief Accounting Officer

(Principal Accounting Officer)

State Street Corporation | ~~104~~101