State Street : 2022 Annual Stress Test Disclosure

June 27, 2022

State Street Corporation

2022 Dodd-Frank Act

Stress Test Disclosure

Supervisory Severely Adverse Scenario

Overview of the 2022 Stress Test

As part of the Comprehensive Capital Analysis and Review (CCAR), the Federal Reserve conducts annual supervisory stress tests on the largest banking organizations (i.e., banking organizations with $100 billion or greater in average total consolidated assets). These forward-looking exercises assess whether such firms have sufficient capital to absorb losses and continue operating during scenario- based, hypothetical stressful economic and financial conditions over a nine-quarter planning horizon.

The annual CCAR 2022 stress test applies to 34 bank holding companies (BHCs) and U.S. intermediate holding companies (IHCs), 12 of which, including State Street Corporation ("State Street"), are subject to a Counterparty Default Scenario requirement and therefore must include projected losses and related effects on capital associated with the assumed default of their largest stressed counterparty, determined by applying the Global Market Shock (GMS) specified by the Federal Reserve.

The Dodd-Frank Act requires the Federal Reserve, as well as BHCs and IHCs participating in CCAR, to publish a summary of stress test results, including a post-stress capital analysis under the supervisory severely adverse scenario. For CCAR 2022, the Feder al Reserve has used the capital action assumptions set forth in its Capital Planning and Stress Capital Buffer Requirement (SCB) rule1. For this CCAR exercise, the Federal Reserve used the incurred loss approach for measuring provisions for credit loss while State Street has adopted the current expected credit losses (CECL) accounting standard to estimate credit losses. The Federal Reserve

also assumes an unchanged balance sheet in their projections while State Street uses the methodology described under the "Pre-

Provision Net Revenue" capital component on page 11 of this disclosure. The results of these supervisory and company-run stress tests are less comparable than in past years as a result of these differences. These disclosures are being published pursuantto the disclosure requirements of the capital planning rule and include a summary of stress test results, and a post-stress capital analysis under the supervisory severely adverse scenario.

(1) 12 C.F.R. § 225.8

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Required Scenarios

As required under the "Supervisory and Company-Run Stress Test Requirements for Covered Companies" Final Rule, and as applied by State Street, a stress test represents a process to assess the potential impact of scenarios (representing hypothetical economic conditions) on State Street's consolidated financial position and consolidated results of operations and regulatory capital over a defined period (known as a "planning horizon"), taking into account State Street's financial condition (as of December 31, 2021 with respect to the CCAR 2022 stress test), risks, exposures, strategies and activities.

For the CCAR 2022 stress test, State Street was required to execute company-run tests, incorporating hypothetical stress impacts to estimates of its revenues, expenses, trading and counterparty losses, and provisions for credit losses, and the resultant changes in regulatory capital and related capital ratios, over the nine-quarter planning horizon starting on January 1, 2022. To execute the stress tests, State Street applied multiple economic scenarios and parameters, including those prescribed by the Federal Reserve, to its internal stress testing methodol ogies, models, and tools. Although State Street ran stress tests using multiple scenarios, the sections below describe the methodologies used in the stress test as required under the supervisory severely adverse scenario.

The CCAR 2022 supervisory severely adverse scenario, as prescribed by the Federal Reserve, is characterized by a severe global recession accompanied by a period of heightened stress in commercial real estate and corporate debt markets. Over the nine-quarter stress horizon, this supervisory severely adverse scenario includes the following features:

• A peak US unemployment rate of 10.0%;
• A US GDP contraction of 3.6%;
• A decline in 10-yearTreasury yields to about 0.7% followed by a gradual recovery to around 1.3%;
• An equity market decline of 55%;
• From an international standpoint, the scenario features severe recessions in the Eurozone, United Kingdom, Japan, and Developing Asia; and
• The Global Market Shock factors used for the Counterparty Default Scenario reflect sharp curtailment in global economic activity, tightening of financial conditions, and worsening supply-chain disruptions. Rising term risk premia drive an increase in Treasury rates. Lower corporate profits result in substantial public equity price declines and global market volatility. Bankruptcies and asset sales cause corporatebond spreads to widen sharply. The US dollar appreciates against the currencies of most emerging and advanced economies, with Japanese yen asa notable exception.

This scenario, along with the supervisory baseline scenario, is set forth and described in the document titled "2022 Stress Test Scenarios" published

on the Federal Reserve's website on February 10, 2022:https://www.federalreserve.gov/newsevents/pressreleases/files/bcreg20220210a1.pdf

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Assumptions Regarding Capital Actions

All assumptions and results presented in this disclosure document reflect the capital actions prescribed by Section 165 of th e Dodd- Frank Act (Dodd-Frank Act prescribed capital actions) as amended by the Federal Reserve's Capital Planning and SCB rule, including:

• For each of the quarters of the planning horizon:
• • no common stock dividends are reflected in the pro forma estimates;
  • scheduled payments on any other instrument that is eligible for inclusion in the numerator of a regulatory capital ratio are included;
  • no common stock repurchases and redemptions of any capital instrument are included;
  • no issuances of common stock or preferred stock are reflected in the pro forma estimates; and
  • projection of post-stress capital ratios does not include capital actions or other changes in the balance sheet associated with any business plan changes such as planned acquisitions that, though announced, have not been completed

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Pro Forma Projections (1/3)

The tables on this slide and succeeding slides 6 and 7, summarize pro forma estimated results under the supervisory severely adverse scenario with Dodd-Frank Act prescribed capital actions. The stress projections resulted in a decline in most regulatory capital ratios which utilized Basel III standardized risk-weighted assets (RWA) or Leverage Assets; however, State Street exceeded all Basel III minimum regulatory capital ratio requirements throughout the nine-quarter horizon. Changes in regulatory capital were primarily driven by the stressed declines in revenue relative to baseline expectations, counterparty losses, and legal and operational losses.

Actual 4Q21 and projected stressed capital ratios (1Q22 - 1Q24)

	Regulatory	Actual	Stressed Capital	Ratios
	Minimums1	4Q21	Ending	Minimum2
Common Equity Tier 1 (CET 1) Capital Ratio	4.5%	14.3%	16.4%	12.2%
Tier 1 Capital Ratio	6.0%	16.1%	18.3%	13.9%
Total Capital Ratio	8.0%	17.6%	20.1%	15.2%
Tier 1 Leverage Ratio	4.0%	6.1%	7.4%	5.3%
Supplementary Leverage Ratio	3.0%	7.4%	8.4%	7.0%

1. Regulatory minimum ratio requirements as prescribed by the Federal Reserve
2. Represents the projected minimum quarter-end ratio at any point during the nine-quarter planning horizon of the supervisory severely adverse scenario

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