Supplemental Public Disclosure of Basel III Regulatory Capital (03/31/2025 00: 00

Published: 2025-05-09 11:55:08 ET STT

Published on 05/09/2025 at 11:55

SUPPLEMENTAL PUBLIC DISCLOSURE BASEL III REGULATORY CAPITAL

AS OF MARCH 31, 2025

Regulatory Developments 7

Regulatory Restrictions 7

Regulatory Capital Requirements 8

Regulatory Capital Structure 9

Supplementary Leverage Ratio 10

Regulatory Capital Instruments 12

Total Risk-Weighted Assets 14

Governance and Structure 15

Agency Credit Ratings 15

Credit Ratings 18

Credit Risk Mitigation 19

Credit Limits 20

Advanced Internal Ratings-Based Approach 20

Impairment Analysis and Allowance for Credit Losses 24

Credit Risk Monitoring 31

Significant Accounting Policies 32

Significant Accounting Policies 33

Trading Activities 34

The advanced internal ratings-based approach to calculating risk-based capital requirements for credit risk and the advanced measurement approach to calculating risk-based capital requirements for operational risk under the Basel III final rule

A banking organization subject to the advanced approaches requirements of the Basel III final rule

BCBS

Basel Committee on Banking Supervision

LIBOR

London Inter-Bank Offered Rate

BHC

Bank Holding Company

LTD

Long-Term Debt

Board

Board of Directors

MRAC

Management Risk and Capital Committee

BOLI

Bank-Owned Life Insurance

MRC

Model Risk Committee

bps

Basis points

MRM

Model Risk Management

CAP

Capital Adequacy Process

MRRS

Model Risk Rating System

CCAR

Comprehensive Capital Analysis and Review

MVG

Model Validation Group

CCB

Capital Conservation Buffer

NII

Net Interest Income

consolidation of its subsidiaries

is expected to be passed on to client interest-bearing accounts, on average

Dodd-Frank Wall Street Reform and Consumer Protection Act

Credit Risk

EAD(1) Exposure at Default SA-CCR Standardized Approach for Counterparty

Economic Growth, Regulatory Relief, and Consumer Protection Act

Institution

ERM Enterprise Risk Management SIFI Systematically Important Financial

FDIC

Federal Deposit Insurance Corporation

SPV

Special Purpose Vehicle

Federal Reserve

Board of Governors of the Federal Reserve System

SRWA(1)

Simple Risk-Weight Approach

the Basel III final rule

FRC

Financial Risk Committee

State Street

State Street Corporation and its subsidiaries on a consolidated basis

FSB

Financial Stability Board

State Street Bank

State Street Bank and Trust Company

Foreign Exchange

Stressed VaR

Stressed Value-at-Risk

GAAP

Generally Accepted Accounting Principles

TLAC

Total Loss-Absorbing Capacity

GCR

Global Credit Review group

TMC

Trading Methodology Committee

GCF

Global Credit Finance

TMRC

Trading and Market Risk Committee

G-SIB

Global Systemically Important Bank

UOM

Unit of Measure

HRC

Human Resources Committee

VaR

Value-at-Risk

(1)As defined by the applicable U.S. regulations.

Table 1

Regulatory Capital Structure and Related Regulatory Capital Ratios

Table 2

Supplementary Leverage Ratio

Table 3

Total Loss-Absorbing Capacity

Table 4

Regulatory Capital Instruments

Table 5

Preferred Stock

Table 6

Components of Total Risk-Weighted Assets

Table 7

General Masterscale

Table 8

Allowance for Credit Losses

Table 9

Wholesale Credit Risk Exposure at Default

Table 10

Wholesale Credit Risk Exposure at Default - Geographic Mix

Table 11

Wholesale Credit Risk Exposure at Default - Counterparty Type

Table 12

Wholesale Credit Risk Exposure at Default - Remaining Contractual Maturity

Table 13

Wholesale Credit Risk Exposure - Probability of Default

Table 14

Over-the-Counter (OTC) Derivative Contracts

Table 15

Reverse Repurchase and Repurchase Agreements

Table 16

Indemnified Agency Lending and Prime Services

Table 17

Eligible Margin Loans

Table 18

Securitization Exposures

Table 19

Securitization Exposures - Range of Risk Weights

Table 20

Equity Exposures

Table 21

Ten-Day Value-at-Risk Associated with Trading Activities for Covered Positions

Table 22

Ten-Day Stressed Value-at-Risk Associated with Trading Activities for Covered Positions

Table 23

Ten-Day Value-at-Risk Associated with Trading Activities by Risk Factor

Table 24

Ten-Day Stressed Value-at-Risk Associated with Trading Activities by Risk Factor

Table 25

Key Interest Rates for Baseline Forecasts

Table 26

Net Interest Income Sensitivity

The table below highlights where sections of this Public Disclosure can be referenced to in State Street's March 31, 2025 From 10-Q and December 31, 2024 Form 10-K.

General Overview 4 4

Forward-Looking Statements

Regulation and Overview

34-35

9-10

Supervision Regulatory Developments

10-14

Overview

34-36

109-110

Regulatory Capital Components of Regulatory Capital

111

Supplementary Leverage Ratio

114

Regulatory Capital Instruments

40-41

115-116

Risk Management Overview

25-26

81-82

Credit Risk Core Policies and Principles

Impairment Analysis and ACL

Operational Risk Overview

Market Risk Overview

Value-at-Risk, Stressed Value-at-Risk and Stress Testing

30-31

101-103

Interest-Rate Risk for Non- Asset-and-Liability Management Activities

105-106

Trading Activities Net Interest Income

105-106

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. For purposes of this Public Disclosure, unless the context requires otherwise, references to "State Street," "we," "us," "our" or similar terms mean State Street Corporation and its subsidiaries on a consolidated basis. The Parent Company is a source of financial and managerial strength to our subsidiaries. Through our subsidiaries, including our principal banking subsidiary, State Street Bank and Trust Company, referred to as State Street Bank, we operate in more than 100 geographic markets worldwide, including in the United States, Canada, Latin America, Europe, the Middle East and Asia. We provide a broad range of financial products and services to institutional investors worldwide.

The Public Disclosure provided herein is required by the Basel III regulatory capital rules issued by the Board of Governors of the Federal Reserve System, referred to as the Federal Reserve, which we refer to as the Basel III final rule. This Public Disclosure provides qualitative and quantitative information about regulatory capital, calculated in conformity with the advanced approaches provisions (and the standardized approach provisions, as applicable) of the Basel III final rule, for State Street and, where applicable, State Street Bank, as of March 31, 2025.

We expect to update this Public Disclosure on a quarterly basis and make it available on the "Investor Relations" section of our corporate website, https://www.statestreet.com. The information presented in this Public Disclosure may not be consistent with Generally Accepted Accounting Principles (GAAP), and may differ, in presentation, form or otherwise, from similar information, or disclosures on similar topics, provided in our Securities and Exchange Commission (SEC) filings. In addition, the information provided in this Public Disclosure may also differ from, and may not be comparable to, similar disclosures made by other banking organizations. The information provided in this Public Disclosure is not required to be, and has not been, audited by our independent registered public accounting firm.

The regulatory capital ratios as of March 31, 2025 presented in this Public Disclosure were calculated in conformity with the advanced approaches provisions (and the standardized approach provisions as applicable) of the Basel III final rule as well as the final rules implementing the Supplementary Leverage Ratio (SLR). These ratios reflect calculations and determinations with respect to our capital and related matters as of March 31, 2025, based on State Street and external data, quantitative

formulae, statistical models, historical correlations and assumptions, collectively referred to as "advanced systems," in effect and used by State Street for those purposes as of the time we made this Public Disclosure available on our corporate website. Significant components of these advanced systems involve the exercise of judgment by us and our regulators, and our advanced systems may not accurately represent or calculate the scenarios, circumstances, outputs or other results for which they are designed or intended.

Due to the influence of changes in these advanced systems, whether resulting from changes in data inputs, regulation or regulatory supervision or interpretation, State Street-specific or market activities or experiences or other updates or factors, we expect that our advanced systems and our capital ratios calculated in conformity with the Basel III final rule will change and may be volatile over time, and that those latter changes or volatility could be material as calculated and measured from period to period.

Models implemented under the Basel III final rule, particularly those implementing the advanced approaches, remain subject to regulatory review and approval. The full effects of the Basel III final rule on State Street and State Street Bank are therefore subject to further evaluation and also to further regulatory guidance, action or rule-making.

We use acronyms and other defined terms for certain business terms and abbreviations which are defined in the Glossary of this Public Disclosure.

The disclosures provided within this document should be read in conjunction with our 2024 Form 10-K and our Q1 2025 Form 10-Q, which can be found on our corporate website at https://www.statestreet.com.

This Public Disclosure, 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, outcomes of legal proceedings, market growth, joint ventures and divestitures, client growth, new technologies, services and opportunities, sustainability and impact, human capital and climate, 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. For more information about the risks and uncertainties to which forward-looking statements are subject, refer to our 2024 Form 10-K and our Q1 2025 Form 10-Q.

The Basel III final rule provides for two frameworks: the standardized approach, which replaced Basel I, and the advanced approaches, applicable to advanced approaches banking organizations, like State Street, as originally defined under Basel II.

As required by the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) enacted in 2010, we and State Street Bank, as advanced approaches banking organizations, are subject to a "capital floor," also referred to as the Collins Amendment, in the assessment of our regulatory capital adequacy, such that our risk-based capital ratios for regulatory assessment purposes are the lower of each ratio calculated under the advanced approaches and the standardized approach.

Under the advanced approaches, State Street and State Street Bank are subject to a 2.5% Capital Conservation Buffer (CCB) requirement, plus any applicable countercyclical capital buffer requirement, which is currently set at 0%. Under the standardized approach, State Street Bank is subject to the same CCB and countercyclical capital buffer requirements, but for State Street, the 2.5% CCB requirement is replaced by the Stress Capital Buffer (SCB) requirement according to the SCB rule issued in 2020. In addition, State Street is subject to a Global Systemically Important Bank (G-SIB) surcharge. Our current G-SIB surcharge, through December 31, 2025, is 1.0%. Based upon calculations using data as of December 31, 2024, our surcharge will remain at 1.0% through December 31, 2026.

Together with the other capital requirements for us, 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.

‌Failure to meet these minimum requirements would result in restriction on capital distributions and certain discretionary bonus payments based on a percentage of State Street's eligible retained income. We calculate eligible retained income as the greater of (i) net income for the four preceding quarters, net of any distributions and associated tax effects not already reflected in net income, and (ii) the average of net income over the four preceding quarters. As of March 31, 2025, the eligible retained income for State Street was $717 million. For more information on regulation and supervision, refer to our 2024 Form 10-K and our Q1 2025 Form 10-Q.

On June 26, 2024, we were notified by the Federal Reserve of the results from the 2024 supervisory stress test. Our SCB calculated under the 2024 supervisory stress test was well below the 2.5% minimum, resulting in an SCB at that floor, which remains in effect for the period from October 1, 2024, through September 30, 2025.

On July 27, 2023, U.S. Agencies issued a proposed rule to implement the Basel III endgame agreement (2023 Basel III Endgame Proposal) for large banks, and separately proposed revisions to the

U.S. G-SIB capital surcharge framework (2023 G-SIB Surcharge Proposal). The 2023 Basel III Endgame Proposal would, among other things, eliminate the advanced approaches for monitoring risk-based capital adequacy in favor of a new standardized expanded risk-based approach that includes new standardized approaches for credit risk, operational risk and Credit Valuation Adjustment (CVA) risk RWA components, and would also replace the existing market risk rule with the new fundamental review of the trading book framework. The G-SIB Surcharge Proposal would, among other things, measure the G-SIB surcharge in more granular 0.1% increments as opposed to the 0.5% increments that currently apply.

Recent public statements by U.S. banking officials indicate that the 2023 Basel III Endgame Proposal and 2023 G-SIB Surcharge Proposal are under reconsideration. However, the timing and content of any potential re-proposal, and the effects of any re-proposal on State Street, remain uncertain at this stage.

On April 17, 2025, the Fed issued a proposed rule to reduce volatility in the stress capital buffer requirement, primarily through the averaging of the decline in a firm's CET1 capital over a two-year horizon (current and prior year). The proposal would also extend the annual effective date of each firm's stress capital buffer requirement by one quarter, from October 1 to January 1. The proposal is intended to be effective as of the 2025 stress testing cycle. State Street does not expect the proposal to materially impact its stress capital buffer requirement, which is currently at the 2.5% floor.

For additional information about regulatory developments, refer to the "Regulatory Capital" section in Management's Discussion and Analysis of Financial Condition and Results of Operations in our 2024 Form 10-K and our Q1 2025 Form 10-Q.

Our and State Street Bank's primary federal banking regulator in the U.S. is the Federal Reserve. Federal banking regulations place certain restrictions on dividend payments by banking subsidiaries to their parent company. The Federal Reserve has the authority to prohibit or to limit dividend payments by the banking organizations it supervises, including us

and State Street Bank, if, in the Federal Reserve's opinion, the payment of such a dividend would constitute an unsafe or unsound practice in light of the financial condition of the banking organization. All of these policies and other requirements could affect our ability to declare dividend payments and repurchase our common stock, or require us to provide capital assistance to State Street Bank and/or any other banking subsidiary. For more information, refer to our 2024 Form 10-K and our Q1 2025 Form 10-Q.

Our objective with respect to regulatory capital management is to maintain a capital base and structure that is sized to support our unique business model and material risks. Our strong capital position provides us the financial flexibility to meet our business needs, including maintaining access to financial markets to support our clients' activity and to fund corporate growth, and to provide protection against loss to depositors and creditors. We strive to maintain an appropriate level of capital, commensurate with our risk profile, on which an appropriate return to shareholders is expected to be realized over both the short- and long-term, while protecting our obligations to depositors and creditors and complying with regulatory capital adequacy requirements. For more information, refer to our 2024 Form 10-K and our Q1 2025 Form 10-Q.

Under the Basel III rule, our total regulatory capital is composed of three tiers: CET1 capital, Tier 1 capital (which includes CET1 capital), and Tier 2 capital. The total of Tier 1 and Tier 2 capital, adjusted as applicable, is referred to as total regulatory capital.

CET1 capital is composed of core capital elements, such as qualifying common shareholders' equity and related surplus plus retained earnings and the cumulative effect of foreign currency translation plus net unrealized gains (losses) on debt and equity securities classified as AFS, less treasury stock and less goodwill and other intangible assets, net of related deferred tax liabilities. Tier 1 capital is composed of CET1 capital plus additional Tier 1 capital instruments which, for us, includes four series of preferred equity outstanding as of March 31, 2025. Tier 2 capital includes certain eligible subordinated long-term debt instruments. Total regulatory capital consists of Tier 1 capital and Tier 2 capital.

Certain other items, if applicable, must be deducted from Tier 1 and Tier 2 capital, including certain investments in the capital of unconsolidated banking, financial and insurance entities and the amount of expected credit losses that exceeds recorded allowances for loan and other credit losses. Expected credit losses are calculated for wholesale

credit exposures by formula in conformity with the Basel III rule.

The CET1 risk-based capital ratio is a principal measure of capital adequacy for internationally active banking organizations. Under the Basel III framework, the ratio compares a banking organization's CET1 capital with the sum of its total RWA associated with credit risk, operational risk and market risk. In conformity with the Basel III final rule, we calculate our required capital and total RWA associated with credit risk, operational risk and market risk primarily through the use of internal models.

As an advanced approaches banking organization in the U.S., we are required by the Basel III final rule to apply the Advanced Internal Ratings-Based (AIRB) approach in the calculation of our RWA related to credit risk. We calculate RWA for over 90% of our on- and off-balance sheet exposures associated with credit risk using internal risk-rating models under the AIRB approach.

The AIRB approach categorizes credit exposures into five types for the calculation of RWA:

Wholesale

Securitizations

Equity

Retail

All Other

Our credit exposures fall predominantly into the "wholesale" categories. We have no credit exposures in the "retail" category. The "all other" category consists of exposures not categorized as any of the other types listed above, as well as any credit exposures defined by us as "not material," where we do not apply the AIRB approach to calculate related RWA. As required by the Basel III final rule, RWA for the above-described categories are aggregated and multiplied by a scaling factor of 1.06.

As an advanced approaches banking organization in the U.S., we are required by the Basel

III final rule to apply the Advanced Measurement Approach (AMA) in the calculation of our RWA related to operational risk. Additional information about our process to manage operational risk and quantify required operational risk capital and RWA is provided under "Operational Risk" in this Public Disclosure.

We calculate our RWA related to market risk associated with our trading activities based on our measures of Value-at-Risk (VaR) and stressed VaR in conformity with the requirements of the final market risk capital rule. Additional information about the market risk associated with our trading activities and our related VaR and stressed-VaR measures is provided under "Market Risk" in this Public Disclosure.

‌The following table presents the regulatory capital structure, total RWA and related risk-based capital ratios for State Street and State Street Bank, calculated under the advanced approach and the standardized approach provisions of the Basel III final rule as of the date indicated:

Common Stock and related surplus

11,197

13,333

Retained earnings

Accumulated other

29,959

16,208

comprehensive income (loss)

(1,792)

(1,521)

Treasury stock, at cost

(16,231)

Total

23,133

28,020

Regulatory capital adjustments:

Goodwill and other intangible assets, net of associated

deferred tax liabilities

(8,343)

(8,076)

Other adjustments

(428)

(314)

Common equity tier 1 capital

14,362

19,630

Preferred stock

3,559

Tier 1 capital

17,921

19,630

Qualifying subordinated longterm debt

1,871

529

Adjusted Allowance for Credit

Losses

186

Total capital(1)

$ 19,799

$ 19,978

$ 20,166

$ 20,345

Credit risk(3)

$ 62,541

$ 127,888

$ 59,213

$ 125,857

Operational risk

49,413

47,625

Market risk

2,320

Total

$ 114,274 $ 130,208

$ 109,158

128,177

Minimum

Capital Ratios:

Requirement(4)

Common equity

tier 1 capital

8.0 %

12.6 %

11.0 %

18.0 %

15.3 %

Tier 1 capital

9.5

15.7

13.8

18.0

15.3

Total capital

11.5

17.3

15.3

18.5

15.9

(1)As of March 31, 2025, State Street has one insurance subsidiary, which has a surplus capital of $350 million that is included in the total capital of the consolidated group.

(2)Refer to "Table 6: Components of Total Risk-Weighted Assets" for details

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

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 26, 2024, we were notified by the Federal Reserve of the results from the 2024 supervisory stress test. Our SCB calculated under the 2024 supervisory stress test was well below the 2.5% minimum, resulting in an SCB at that floor, which will continue to remain in effect for the period from October 1, 2024, through September 30, 2025.

NANot applicable

The following table presents the SLR for State Street using Tier 1 capital as calculated under the SLR provisions of the Basel III final rule as of the date indicated:

Total consolidated assets as reported in published financial statements(1)

372,693

Derivative exposure adjustments

22,190

Repo-Style exposure adjustments

5,208

Other off-balance sheet exposures adjustments

12,329

Other Adjustments(2)

(8,771)

Adjustments for frequency calculations(1)

(35,948)

Adjustments for deductions of qualifying central bank deposits for custodial banking organizations

(90,437)

Total Leverage Exposure

277,264

Part 2: Supplementary Leverage Ratio(3)

On-balance sheet assets (excluding on-balance sheet assets for repo-style transactions and derivative exposures, but including collateral)

287,847

LESS: Amounts deducted from tier 1 capital 8,771

LESS: Deductions of qualifying central bank deposits from total on-balance sheet exposures for custodial banking organizations

90,437

Total on-balance sheet exposures 188,639

Derivative exposures

Replacement cost for derivative exposures

11,371

Add-on amounts for potential future exposure (PFE) for derivative exposures

20,544

Gross-up for collateral posted if deducted from the on-balance sheet assets

1,795

LESS: Deductions of receivable assets for cash variation margin posted in derivative

transactions, if included in on-balance sheet assets 191

Total derivative exposures 33,519

Repo-style transactions

On-balance sheet assets for repo-style transactions 277,522

LESS: Reduction of the gross value of receivables in reverse repurchase transactions by cash payables in repurchase transactions under netting agreements

239,953

Counterparty credit risk for all repo-style transactions

5,094

Exposure for repo-style transactions where a banking organization acts as an agent

114

Total exposures for repo-style transactions

42,777

Other off-balance sheet exposures

Off-balance sheet exposures at gross notional amounts

36,266

LESS: Adjustments for conversion to credit equivalent amounts(4)

23,937

Off-balance sheet exposures

12,329

Capital and total leverage exposure

Total leverage exposure

277,264

Tier 1 capital

17,921

Supplementary leverage ratio(3)

6.5 %

(1)In accordance with the SLR rule, total consolidated assets are reported as quarter-end balances, whereas certain other line items in Part 1 are reported as average balances for the quarter. To account for this timing difference, a frequency adjustment has been included.

(2)"Other Adjustments" primarily includes goodwill and other intangible assets, net of associated deferred tax liabilities, with all such adjustments applied in conformity with the Basel III final rule as well as other applicable regulatory adjustments.

(3)Supplementary Leverage Ratio is calculated by dividing tier 1 capital (numerator) by total leverage exposure for SLR (denominator). Total leverage exposure is calculated as the quarterly average of total on-balance sheet assets plus the average of each of the three month's period-end balances for specified off-balance sheet amounts.

(4)Credit equivalent amounts are calculated using the credit conversion factors in accordance with the Basel III standardized approach.

Disclaimer

State Street Corporation published this content on May 09, 2025, and is solely responsible for the information contained herein. Distributed via Public Technologies (PUBT), unedited and unaltered, on May 09, 2025 at 15:54 UTC.