State Street : Liquidity Coverage Ratio Public Disclosure

Liquidity Coverage Ratio Disclosure

February 23, 2021

Main Drivers of SSC Quarterly Average LCR

During the first quarter of 2020, global financial markets experienced significant disruptions as a result of the impact of the COVID-19 pandemic. State Street accommodated large deposit inflows from clients as they shifted out of higher risk investments and left cash balances with State Street in a flight to quality. State Street also facilitated and acted as custodian to several Federal Reserve led stimulus programs aimed at stabilizing the financial markets and the broader economy.

State Street's participation in Federal Reserve programs continued throughout 2020, including during 4Q20, and global central bank stimulus continues to influence broader market liquidity-leading to an elevated level of deposits being placed with State Street. A large portion of these deposits are considered non-operational, which generally increase both the numerator and the denominator in the LCR calculation on a one-to-one basis. The funding outflow rates for these deposits prescribed under the LCR Final Rule (100% in the case of most non-operational deposits) are higher than for operational deposits. Operational deposits have a limited impact on the SSC LCR, as these deposits are considered a stable source of funding and draw only a 25% outflow rate under the LCR Final Rule.

The SSC LCR decreased to 108% in 4Q20 as compared to 109% in 3Q20. State Street Bank and Trust ("SSBT") LCR increased to 129% in 4Q20 from 124% in 3Q20, mainly due to increased HQLA relative to the calculated net cash outflow amounts. SSBT's LCR is significantly higher than SSC's LCR, primarily due to application of the transferability restriction in the LCR Final Rule to the calculation of SSC's LCR. This restriction limits the HQLA used in the calculation of SSC's LCR to the amount of net cash outflows of SSC's principal banking subsidiary (SSBT). This transferability restriction does not apply in the calculation of SSBT's LCR, and therefore SSBT's LCR reflects the full benefit of all of its HQLA holdings. SSBT is SSC's principal banking subsidiary and represents the large majority of SSC's balance sheet.

Average 4Q 2020 ($ millions.)	Average 3Q 2020 ($ millions.)
SSC
Total Deposits	207,327 197,645 151,470	189,080 182,121 142,163
Total Client Deposits Operational Deposits
State Street Corporation LCR State Street Corporation LCR Buffer State Street Bank and Trust LCR	108% 7,006 129% 29,303	109% 7,418 124% 23,261
State Street Bank and Trust LCR Buffer

Notes:

1. LCR Buffer is the excess stock of Liquid Assets that the entity holds over and above the required Net Cash Outflows over the hypothetical 30 days stress period.

2. Deposit balances as reported to the Federal Reserve for the LCR calculation. Balances may differ from the reported deposit balances in other published materials due to period-end adjustments made after the LCR filing date

Eligible HQLA Composition: For 4Q20, SSC's average HQLA was $143.6 billion, of which $99.6 billion was eligible to be included in SSC's LCR. $44.0 billion of HQLA held at subsidiaries was ineligible for inclusion in SSC's LCR calculation due to the transferability restriction under the LCR Final Rule, relative to $36.5 billion of HQLA that was ineligible in 3Q20. Prior to the application of the transferability restriction, SSC's level 1 liquid assets for 4Q20 exceeded $99.6 billion; therefore, we consider SSC's eligible HQLA balance of $99.6 billion to be entirely level 1 assets. These amounts exclude the amount of HQLA at SSBT that is in excess of its standalone 100% minimum LCR requirement and that is not transferable to non-bank affiliates.

Outflow Drivers: Deposits are the most significant driver of SSC's net cash outflows. The deposit outflow rates prescribed in the LCR Final Rule are based on deposit types and requirements for the recognition of operational deposits which may vary from period to period based on client investment and related activities. These variances can be significant and have a corresponding effect on SSC's LCR from period to period. SSC uses a quantitative modeling approach to identify which deposits meet the operational requirements and characteristics as prescribed in the LCR Final Rule. During 4Q20, calculated weighted average outflows of $120.0 billion were primarily driven by deposit outflows of approximately $83.6 billion, outflows of undrawn committed credit and liquidity facilities of approximately $14.0 billion, and outflows related to derivative exposures and other collateral requirements totaling $11.3 billion.

Inflow Drivers: SSC's calculated weighted average inflows of $30.1 billion for 4Q20 were primarily driven by the overnight contractual unwind of securities borrowing and lending transactions as cash and securities were returned to SSC. Placements and nostro balances held at unaffiliated banks and loans maturing within 30 days make up the remaining calculated inflows.

Quantitative Disclosure of SSC 4Q20 Quarterly Average LCR

The data presented in the quantitative disclosure below are averages of daily observations over 4Q20 and are consistent with the LCR Final Rule. In 4Q20, SSC had an average LCR of 108%, with average HQLA of $143.6 billion, of which $99.6 billion was eligible to be included in SSC's LCR numerator, and weighted average total net cash outflows of $92.6 billion (including maturity mismatch add-on of $2.7 billion).

Figure 1: 4Q20 SSC Quarterly Average LCR Quantitative Disclosure

LCR Public Disclosure
10/01/2020 to 12/31/2020 In millions of U.S. Dollars	Average Unweighted Amount	Average Weighted Amount
HIGH-QUALITY LIQUID ASSETS
1	Total eligible high-quality liquid assets (HQLA), of which:	99,616	99,616
2	Eligible level 1 liquid assets	99,616	99,616
3	Eligible level 2A liquid assets	-	-
4	Eligible level 2B liquid assets	-	-
CASH OUTFLOW AMOUNTS
5	Deposit outflow from retail customers and counterparties, of which:	9,682	2,392
6	Stable retail deposit outflow	-	-
7	Other retail funding	188	19
8	Brokered deposit outflow	9,495	2,374
9	Unsecured wholesale funding outflow, of which:	198,918	82,477
10	Operational deposit outflow	151,470	37,807
11	Non-operational funding outflow	46,175	43,404
12	Unsecured debt outflow	1,273	1,266
13	Secured wholesale funding and asset exchange outflow	29,788	6,270
14	Additional outflow requirements, of which:	53,511	25,383
15	Outflow related to derivative exposures and other collateral requirements	15,018	11,338
16	Outflow related to credit and liquidity facilities including unconsolidated structured transactions and	mortgage commitments 38,492	14,045
17	Other contractual funding obligation outflow	3,512	3,512
18	Other contingent funding obligations outflow	-	-
19	TOTAL CASH OUTFLOW	295,412	120,035
CASH INFLOW AMOUNTS
20	Secured lending and asset exchange cash inflow	39,079	19,846
21	Retail cash inflow	-	-
22	Unsecured wholesale cash inflow	9,814	9,576
23	Other cash inflows, of which:	2,340	708
24	Net derivative cash inflow	82	82
25	Securities cash inflow	2,258	626
26	Broker-dealer segregated account inflow	-	-
27	Other cash inflow	-	-
28	TOTAL CASH INFLOW	51,234	30,130
Average Amount1
29	HQLA AMOUNT	99,616
30	TOTAL NET CASH OUTFLOW AMOUNT EXCLUDING THE MATURITY MISMATCH ADD-ON	89,905
31	MATURITY MISMATCH ADD-ON	2,721
32	TOTAL NET CASH OUTFLOW AMOUNT	92,626
33	LIQUIDITY COVERAGE RATIO (%)	108%
1The amounts reported in this column may not equal the calculation of those amounts using component amounts reported in rows 1-28 due to technical factors such as the application of the level 2 liquid asset caps, the total inflow cap, and for depository institution holding companies subject to subpart G, the application of the modification to total net cash outflows.

Forward-Looking Statements (Draft)

This public disclosure contains forward-looking statements within the meaning of United States securities laws, including statements about our expectations and plans regarding SSC's liquidity coverage ratio, factors influencing those ratios and their components and our management of those ratios and their components. Forward-looking statements are often, but not always, identified by such forward-looking terminology as "plan," "forecast," "may," "expect," "project," "intend," "outlook," "priority," "objective," "believe," "anticipate," "estimate," "seek," "will," "trend," "target," "strategy" and "goal," or similar statements or variations of such terms. These statements are not guaranteeing of future performance, are inherently uncertain, are based on current assumptions that are difficult to predict and involve a number of risks and uncertainties. Therefore, actual outcomes and results may differ materially from what is expressed in those statements, and those statements should not be relied upon as representing our expectations or beliefs asof any time subsequent to the time this public disclosure is first issued. Important factors that may affect future results and outcomes include, but are not limited to:

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

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

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The COVID-19 pandemic continues to create significant risks and uncertainties for our business;

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We could be adversely affected by geopolitical, economic and market conditions;

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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;

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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;

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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;

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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;

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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;

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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;

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

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Our businesses may be adversely affected by government enforcement and litigation; The transition away from LIBOR may result in additional costs and increased risk exposure; and

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

Other important factors that could cause actual results to differ materially from those indicated by any forward-looking statements are set forth in our Form 10-K Report and on subsequent SEC filings. We encourage investors to read these filings, particularly the sections on risk factors, for additional information with respect to any forward-looking statements and prior to making any investment decision. The forward-looking statements contained in this public disclosure should not by relied on as representing our expectations or beliefs as of any time subsequent to the time this public disclosure is first issued, and we do not undertake efforts to revise those forward-looking statements to reflect events after that time.