State Street Europe Holdings Germany S.à.r.l. & Co. KG ... · State Street Europe Holdings Germany...

State Street Europe Holdings Germany S.à.r.l. & Co. KG Group

Disclosure Report

As of June 30, 2015

According to Part 8 CRR

DISCLOSURE REPORT STATE STREET EUROPE HOLDINGS S.À.R.L. & CO. KG GROUP AS OF JUNE 30, 2015

Table of Contents

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List of Tables and Illustrations

Illustration 1: Geographical distribution of investments, branch offices and branches ................ 6

Table 1: Own funds and capital ratios according to Art. 437 CRR .................................................. 8

Table 2: Risk weighted exposure amounts and Own funds requirements for Credit Risks

according to Art. 438 c) CRR ................................................................................... 10

Table 3: Risk exposure amounts and Own funds requirements for Market and Settlement Risks

according to Art. 438 e) und 445 CRR ..................................................................... 11

Table 4: Risk exposure amounts and Own funds requirements for Operational Risks according

to CRR ..................................................................................................................... 11

Table 5: Risk exposure amounts and Own funds requirements for Credit Valuation Adjustment

Risks according to CRR .......................................................................................... 12

Table 6: Total Risk exposure amounts and Own Funds requirements according to CRR ........... 12

Table 7: Leverage Ratio according to the Commission Delegated Regulation (EU/2015/62) ...... 13


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1 Scope

Legal requirements on disclosure of credit institutions and investment firms have been enhanced with

the European implementation of Basel III, more specifically the Directive 2013/36/EU (Access to the

activity of credit institutions, the prudential supervision of credit institutions and investment firms,

herewith “CRD IV”) as well as the Regulation EU No. 575/2013 (Prudential requirements for credit

institutions and investment firms, herewith “CRR”), and became effective on January 1, 2014.

Part 8 of the CRR requires institutions to disclose a set of statutory information at least on an annual

basis. Furthermore institutions are obliged to assess the necessity of disclosing specific information

more frequently than annually.

The Circular of the Federal Agency for Financial Services Supervision („BaFin“) 2015/05 (BA) (herewith

“Circular”), the national implementation of the EBA Guidelines to Disclosure (EBA/GL/2014/14),

determines the relevant indicators for assessment of the disclosure frequency and points out which

items should be considered to be relevant for disclosure during the year. A disclosure more frequently

than annually has to be especially considered if the institution’s total consolidated assets exceed 30

billion Euro.

State Street Europe Holdings Germany S.à.r.l. & Co. KG Group („SSEHG KG Group“ or „Group“) fulfills

the above mentioned criteria with total assets of 36 billion Euro as of June 30, 2015. Therefore a

consolidated disclosure report is being disclosed during the year, in addition to the required annual

disclosure.

The State Street Europe Holdings Germany S.à.r.l. & Co. KG Group was newly established on May 04,

2015 by merging several European business entities of the former State Street Bank Luxembourg S.A.

Group. State Street Europe Holdings Germany S.à.r.l. & Co. KG („SSEHG KG“) is a financial holding

company in accordance with Art. 4 (1) No. 20 CRR and at the same time the EU parent financial holding

company in accordance with Art. 4 (1) No. 31 CRR.

The Group consists amongst others especially of two credit institutions, State Street Bank GmbH (“SSB

GmbH”) as well as State Street Bank S.p.A. (“SSB S.p.A.”), which are both governed by the regulation of

the CRR. SSB GmbH, being the superordinate bank in accordance with Art. 11 (2) Sent. 2 CRR, prepares

this consolidated disclosure report.

Figures shown in this disclosure report are based on the regulatory scope of consolidation and on the

German accounting standards according to the German Commercial Code (“HGB”).

Due to the fact, that none of the two credit institutions of the Group, SSB GmbH and SSB S.p.A., fulfil one

of the criteria or indicators mentioned in the Circular, no separate disclosure report will be prepared on

a stand-alone basis for these institutions as of June 30, 2015.

This disclosure report of SSEHG KG Group aims to fulfil the prudential transparency rules to allow

market participants to evaluate the Group’s capital adequacy and risk profile by means of disclosure of

information regarding risk positions and own funds.


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Figures are based on the monthly financial statement as of June 30, 2015 and are therefore consistent to

the regulatory reports.

Quantitative data presented in this report may show differences due to rounding. Additionally, in case of

any ambiguity in the descriptions contained in this report, the German version of this report is binding.

1.1 Organizational structure

1.1.1 Group background

One of the main objectives of establishing the SSEHG KG Group was to enhance operational, capital and

governance efficiency and optimize the use of capital.

The SSEHG KG Group consists of the following entities as of reporting date:

SSEHG KG, Munich

State Street Europe Holdings Luxembourg S.à.r.l., Luxembourg

State Street Holdings Germany GmbH, Munich

State Street Bank GmbH, Munich

State Street Holdings Italy S.r.l., Milan

State Street Bank S.p.A., Milan

State Street Fondsleitung AG, Zurich1

The SSEHG KG has a 100% participation in State Street Europe Holdings Luxembourg S.à.r.l and holds

through this entity a 100% indirect participation in State Street Holdings Germany GmbH. SSB GmbH is

in turn directly owned by State Street Holdings Germany GmbH.

As of reporting date, SSB GmbH holds the stake directly in State Street Fondsleitung AG, Zurich,

Switzerland as well as in State Street Holdings Italy S.r.l, Milan, Italy. Through State Street Holdings Italy

S.r.l. the Bank is the indirect stakeholder of SSB S.p.A, Milan, Italy. Until the end of 2015, SSB S.p.A. and

State Street Holdings Italy S.r.l. will merge into SSB GmbH.

As of June 30, 2015, SSB GmbH falls under the supervision by the European Central Bank (“ECB”) at the

level of the former EU parent company State Street Bank Luxembourg S.A. The SSEHG KG Group is

supervised by the German Authorities, BaFin as well as by the German Central Bank (“Deutsche

Bundesbank”).

The direct supervision of the newly established SSEHG KG Group by the ECB has already been advised.

Additionally, subsidiaries of SSEHG KG are supervised by the authorities of the respective countries,

where they are located or maintain any branches (cf. next section).

Indirect shareholders of the Group are State Street Corporation (“SSC”), Boston, USA as well as State

Street Bank and Trust Company (“SSBT”), Boston, USA; State Street International Holdings (“SSIH”),

1State Street Fondsleitung AG has been renamed to State Street Finanz AG as of July 28, 2015.


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Boston, USA, as well as State Street International Holdings Switzerland GmbH, Steinhausen,

Switzerland. SSEHG KG is directly owned by State Street Europe Holdings Switzerland GmbH, Zug,

Switzerland.

SSC, SSBT and SSIH are subject to the supervision and regulation of the Board of Governors of the U.S.

Federal Reserve System as well as other regulatory authorities in the U.S. As a subsidiary of a U.S. bank,

the Group has to comply not only with the rules of the national supervisory authorities, but also with the

U.S. rules and laws applicable to subsidiaries of U.S. banks.

1.2 Consolidation

1.2.1 Consolidation requirements from a regulatory and balance sheet point of view

A consolidation from a regulatory point of view (according to Art. 18 CRR) as well as from a view

comparable to German Commercial Law is conducted on the level of the EU parent financial holding

company, SSEHG KG. The scope of consolidation with the parent company of SSEHG KG includes all of

the above mentioned participations of SSEHG KG, except of State Street Fondsleitung AG. There is no

consolidation of State Street Fondsleitung AG from a regulatory point of view due to an exemption in

accordance with Art. 19 (1) CRR i. c. w. § 31 (3) Sent. 1 and 2 KWG2. A consolidation with respect to

German Commercial Law3 is likewise not necessary and is due to materiality reasons not conducted.

1.2.2 Restrictions and other significant limits concerning the transfer of funds or own funds within

the group

In principle, and subject to any applicable regulatory approvals, there are no restrictions or other

significant barriers concerning the transfer of funds or own funds within the group of entities, which are

consolidated from a regulatory point of view at the level of SSEHG KG. The Group may furthermore

obtain funds or own funds from its parent companies or subsidiaries at any time, if necessary, or if the

circumstances justify this, subject to obtaining any applicable regulatory approvals.

The capability of the Group and/or the capabilities of the parent companies and subsidiaries with regard

to such a transfer of funds would be subject to existing regulatory capital requirements and other legal

obligations or regulations, to which the Group, its parent companies [or the single entities within the

Group] might be subject. As an example, capabilities of SSC and SSBT to invest in international groups

such as SSIH (which is the indirect parent company of the Group) may be restricted (e.g., in the case of

SSBT, pursuant to “Regulation K”); similarly, the capability of SSIH to transfer equity to its subsidiaries

may also be subject to regulatory approval.

1.2.3 Structure and Business Model of the credit institutions of the Group

The principal activity of SSEHG KG and the other financial holding companies of the Group consist of

holding the investments in affiliates. As the operation of the Group is essentially affected by the two

2 German Banking Act in the version valid until January 1, 2014. 3 SSB GmbH consolidated its annual financial statements in accordance with the specifications of the German

Commercial Code (“HGB”).


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credit institutions of the Group, SSB GmbH and SSB S.p.A., the following section presents an overview on

the business model and background of these entities.

State Street Bank GmbH

SSB GmbH, Munich, Germany, was founded in 1970 as a provider of innovative solutions for the global

custody and management of securities. It has been a deposit bank since 1994 and, since 1996, it has

offered the full range of services expected of a custodian bank/depositary to the German and European

market.

With its headquarters in Munich, SSB GmbH maintains a branch office in Frankfurt am Main and one

non-EU branch in Zurich, and EU branches in Amsterdam, Milan (with an additional site in Turin),

London, Luxembourg, Krakow and Vienna with a total of 3,228 employees. The branch in Krakow does

not conduct any regulated banking business. As of June 30, 2015, the Milan Branch has not yet started its

operational business.

Illustration 1: Geographical distribution of investments, branch offices and branches

SSB GmbH concentrates on the specific requirements of institutional customers over the entire

investment cycle. The core business consists of custody-only business, the related custody bank

business/custodian activities including reporting services for asset managers and supporting activities

for the middle and back office of investment/investment management companies. Associated with the


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core business, SSB GmbH provides a series of supplementary services, amongst others investment

services according to WpHG. SSB GmbH also invests in securities in the form of proprietary business.

SSB GmbH received in 2014 an external rating of AA- by Standard & Poor’s Financial Services LLC.

State Street Bank S.p.A.

SSB S.p.A. was formed in 2010 in connection with the acquisition of Intesa Sanpaolo S.p.A.’s “Securities

Services” business. As of June 30, 2015, SSB S.p.A. has 672 employees and is headquartered in Milan

with a local office in Turin.

Similar to SSB GmbH’s business model, SSB S.p.A.’s core business activities consist of the Global

Custody and the Depositary Bank services offered to funds domiciled in Italy, Fund Administration (such

as fund accounting services and fund services in the form of outsourcing services for asset

managers/other administrative services for collective investment vehicles and individual investment

products), and Local Paying Agent (Soggetto incaricato dei Pagamenti/“SIP”) services.

SSB S.p.A. further offers a number of add-on services to its customers and, like SSB GmbH, maintains a

proprietary investment portfolio.


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2 Own funds

2.1 Structure of Own funds and Capital ratios

The following table shows the Own funds and Capital ratios of the Group according to Art. 437 CRR i.c.w.

No. 23 a) of the Circular 05/2015 (BA) as of June 30, 2015:

Table 1: Own funds and capital ratios according to Art. 437 CRR

Disclosure of Own funds

Amount as of

June 30, 2015

(in kEUR)

Regulation (EU)

No 575/2013

Article reference

Amounts subject to pre-

regulation (EU) No

575/2013 treatment or

prescribed residual

amount of regulation

(EU) No 575/2013

(in kEUR)

Capital instruments and the related share

premium accounts1,000

26 (1), 27, 28, 29,

EBA list 26 (3) 1,000

of which: subscribed capital 1,000 1,000

Accumulated other comprehensive income

(and other reserves, to include unrealised

gains and losses under the applicable

accounting standards)

3,487,628 26 (1) 3,487,628

Funds for general banking risk 46,000 26 (1) (f ) 46,000

Common Equity Tier 1 (CET1) capital before

regulatory adjustments3,534,628 3,534,628

Intangible assets (net of related tax liability)

(negative amount)-1,709,145 36 (1) (b), 37, 472 (4) -1,709,145

Total regulatory adjustments to Common equity

Tier 1 (CET1)-1,709,145 -1,709,145

Common Equity Tier 1 (CET1) capital 1,825,483 1,825,483

Common Equity Tier 1 (CET1) capital: regulatory adjustments

Common Equity Tier 1 capital: instruments and reserves


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Own funds of the Group consists 100% of Common Equity Tier (CET 1) items. The CET 1 as well as the

Total capital ratio of the Group amount to 35.09% as of June 30, 2015.

CET 1 capital of the Group is composed of share capital, other reserves as well as reserves for general

banking risks in accordance with § 340g HGB. Deductions from Tier 1 capital, pursuant to Art. 36 (1) b)

CRR, consist only of intangible assets in their full amount, including the goodwill of the entities subject to

merger in the course of the establishment of the Group in May, 2015.

All conditions in respect to the eligibility of capital instruments according to Art. 28 CRR have been met.

2.2 Own funds requirements

The calculation of Own funds requirements for Credit Risks is based on Credit Risk Standardized

Approach (CRSA).

The respective corresponding standardized approach is also used for the determination of Market and

Settlements Risks, Operational Risks as well as Credit Valuation Adjustment Risks (“CVA”).

Tier 1 capital (T1 = CET1 + AT1) 1,825,483 1,825,483

Total capital (TC = T1 + T2) 1,825,483 1,825,483

Total risk weighted assets 5,202,222

Common Equity Tier 1

(as a percentage of risk exposure amount)35.09 92 (2) (a), 465

Tier 1

(as a percentage of risk exposure amount)35.09 92 (2) (b), 465

Total capital

(as a percentage of risk exposure amount)35.09 92 (2) (c)

Capital ratios and buffers


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2.2.1 Credit Risks

The following table presents the Group’s Risk weighted exposures and Own funds requirements for

Credit Risks, broken down by asset class in accordance with CRR as of June 30, 2015:

Table 2: Risk weighted exposure amounts and Own funds requirements for Credit Risks according to Art. 438 c) CRR

Exposure Class/ Risk exposure

Risk weighted

exposure amounts

(in kEUR)

Own funds

requirements

(in kEUR)

Central governments or central banks - -

Regional governments or local authorities - -

Public sector entities - -

Multilateral development banks - -

International organisations - -

Institutions 449,712 35,976.934

Corporates 1,755,140 140,411.185

Retail exposures - -

Exposures secured by mortgages on immovable property - -

Exposures in default - -

Exposures associated with particularly high risk - -

Covered bonds 116,334 9,306.742

Exposures to institutions and corporates with a short-term

credit assesment - -

Collective Investment Undertakings (CIUs) 4,230 338.436

Equity exposures 25,612 2,048.923

Other items 121,404 9,712.301

Securitisations 1,518,292 121,463.363

Contributions to the default fund of a Central Counterparty

("CCP") 688 55.075

Total for Credit Risks 3,991,412 319,313


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2.2.2 Market and Settlement Risks

The Risk exposure amounts and Own funds requirements in accordance with CRR as of June 30, 2015

were as follows:

Table 3: Risk exposure amounts and Own funds requirements for Market and Settlement Risks according to Art. 438 e) und 445 CRR

2.2.3 Operational Risks

The Risk exposure amounts and Own funds requirements as of June 30, 2015 were as follows:

Table 4: Risk exposure amounts and Own funds requirements for Operational Risks according to CRR

Risk positionRisk exposure amounts

(in kEUR)

Own funds requirements

(in kEUR)

Position risk resulting from the trading-book 34,050 2,724

Traded debt instruments 34,050 2,724

Equity - -

Specific interest rate risk of securitisation positions - -

Large exposures exceeding the limits specified

in Art. 395 -401 CRR - -

Foreign Exchange 75,248 6,020

Commodities 0 0

Total for Market Risks 109,298 8,744

Total for Settlement Risks - -

Risk typeRisk exposure amounts

(in kEUR)


(in kEUR)

Operational Risks 1,042,951 83,436

Total for Operational Risks 1,042,951 83,436


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(in kEUR)


(in kEUR)

Credit Valuation Adjustment Risks 58,561 4,685

Total for Credit Valuation Adjustment Risks (CVA) 58,561 4,685

2.2.4 Credit Valuation Adjustment Risks (CVA)

The following table presents the Risk exposure amounts and Own funds requirements as of June 30,

2015:

Table 5: Risk exposure amounts and Own funds requirements for Credit Valuation Adjustment Risks according to CRR

2.2.5 Overview

The following table presents the Total Risk exposure amounts and Own Funds requirements for all risk

types considered under CRR as of June 30, 2015:

Table 6: Total Risk exposure amounts and Own Funds requirements according to CRR


(in kEUR)


(in kEUR)

Credit Risks

(incl. Contributions to a Default Fund of a CCP) 3,991,412 319,313

Market Risks 109,298 8,744

Settlement Risks - -

Credit Valuation Adjustment Risks 58,561 4,685

Operational Risks 1,042,951 83,436

Total Own Funds requirements 5,202,222 416,178


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3 Leverage Ratio

The calculation of the Leverage Ratio is based on the requirements of the Commission Delegated

Regulation (EU/2015/62) of the Commission from October 10, 2014 changing the Art. 429 CRR. According

to this regulation, the ratio represents the statement of the cutoff-date of June 30, 2015 and is as

follows:

Table 7: Leverage Ratio according to the Commission Delegated Regulation (EU/2015/62)

4 Other information

After the establishment of the SSEHG KG Group, SSB GmbH became the superordinate entity of the

Group. SSB GmbH holds the majority of the financial assets and is also predominantly liable for the risks

of the Group.

67% of the total assets of the Group belong to SSB GmbH and 75% of the total risk positions amounting

to EUR 5,202,222k can be assigned to SSB GmbH.

In a separate, consolidated risk identification process on the level of SSEHG KG only immaterial

differences have been identified regarding the relevance and materiality of risks in comparison to the

SSB GmbH.

Credit risks, market risks, operational risks, investment risks, business risks, liquidity risks,

concentration risks, reputational risks, and pension obligation risks have been assessed as relevant and

with the exception of investment risks and pension obligations risks, also defined as material.

The fundamental structure and the organization of risk management at Group level remains unchanged

as of June 30, 2015 compared to the standalone level as of December 31, 2014.

The methodology and processes used for the management and the quantification of the single risk

categories at the level of SSB GmbH are basically identical to those at the Group level. Additionally, risk

reporting at the SSB GmbH level is also consistent to the Group level.

The first consolidated risk bearing capacity calculation at the level of SSEHG KG has been conducted as

of the reporting date June 30, 2015. The ICAAP utilization at Group level amounts to 27.12%. The

utilization at the SSB GmbH level is 26.49% as of June 30, 2015 compared to a utilization of 49.20% as of

December 31, 2014. The significant drop of the utilization at both levels is a result of a respectively

Components Amount (in kEUR)

Tier 1 capital 1,825,483

Total risk position 42,915,316

Leverage Ratio 4.25%


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higher capital base and to a smaller degree also of a decrease of capital requirements for market risks.

Additionally, investment risks are lower at Group level.

Due to comparable investment guidelines of the Group entities, the Group’s investment portfolio shows a

similar risk structure compared to SSB GmbH’s investment portfolio.

Securitization holdings of the Group consist of the portfolios of SSB GmbH and SSB S.p.A. As a result the

size of the securitization portfolio increased from EUR 4,438,411k as of December 31, 2014 at the SSB

GmbH level to EUR 5,670,611k as of June 30, 2015 at the Group level.

The Group is also still acting – like SSB GmbH and SSB S.p.A.– as an investor only and not as an

originator or sponsor of securitizations. Securities are assigned to the banking book according to Art.

102 CRR and valued as fixed assets in accordance with § 253 (3) HGB.

Encumbered assets at the Group and SSB GmbH levels are identical, as all of the Group’s encumbered

assets are currently held by SSB GmbH.

SSEHG KG Group is fully integrated into the group-wide compensation strategy of State Street

Corporation (“SSC”) and subject to the global and regional governing body structure of SSC to provide

appropriate and effective control of the remuneration system (including compliance with the relevant

remuneration regulations) across the State Street group of affiliated entities. The remuneration

principles of SSEHG KG Group do not differ from the remuneration principles of SSB GmbH. This is also

reflected in the remuneration policies for SSB GmbH whose scope explicitly includes the SSEHG KG

Group.

The remuneration policies are designed to comply with CRD IV and were coordinated in close

consultation with human resource employees in State Street’s global total rewards function (“GTR”) to

maintain a high degree of consistency of compensation strategy across the State Street group of

affiliated entities. As the regulatory remuneration requirements did not change for the period between

December 31, 2014 and June 30, 2015 and variable pay for the 2015 performance year will not be paid out

before the first quarter of 2016, there were no significant changes for the remuneration principles and

structure of SSB GmbH and SSB S.p.A. Qualitative and quantitative information around the remuneration

of SSB GmbH4 and SSB S.p.A.5 can be found in the relevant disclosure reports as of December 31, 2014

that are publicly available on State Street’s website.

4 http://www.statestreet.com/about/office-locations/germany/disclosure-report.html 5 http://www.statestreet.com/content/dam/statestreet/officelocations/Pillar3DisclosureReport_StateStreetBankSpA_12.31.2014.pdf


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5 Glossary

AG Stock corporation (Aktiengesellschaft)

AT 1

BaFin

Additional Tier 1 Capital

German Federal Financial Supervisory Authority (Bundesanstalt für

Finanzdienstleistungsaufsicht)

CET 1

CRD IV

CRR

CRSA

CVA

EBA

ECB

EU

Common Equity Tier 1

Capital Requirements Directive IV

Capital Requirements Regulation

Credit Risk Standardized Approach

Credit Valuation Adjustment

European Banking Authority

European Central Bank

European Union

GmbH Limited Liability Company according to German law (Gesellschaft

mit beschränkter Haftung)

GS Global Services

GTR

HGB

ICAAP

KG

Global Total Rewards

German Commercial Code (Handelsgesetzbuch)

Internal Capital Adequacy Assessment Process

Limited partnership (Kommanditgesellschaft)

KWG

LLC

German Banking Act (Kreditwesengesetz)

Limited Liability Company

S.A.

S.p.A.

Stock corporation according to Luxemburg law

Stock corporation according to Italian law

S.r.l. Limited Liability Company according to Italian law

SSB GmbH State Street Bank GmbH

SSBT State Street Bank & Trust Company

SSC

SSEHG KG

State Street Corporation

State Street Europe Holdings Germany S.à.r.l. & Co. KG

SSIH State Street International Holdings

US

WpHG

United States

Securities Trading Act (Wertpapierhandelsgesetz)


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State Street State Street Corporation (NYSE: STT)

is one of the world's leading provider of financial

services to institutional investors including

investment servicing, investment management and

investment research and trading. With $28.19

trillion in assets under custody and administration

and $2.45 trillion* in assets under management as

of December 31, 2014, State Street operates in

more than 100 geographic markets worldwide,

including the US, Canada, Europe, the Middle East

and Asia. For more information, visit State Street’s

web site at www statestreet.com.

*Assets under management include the assets of the SPDR® Gold

ETF (approximately $27.3 billion as of December 31, 2014), for which

State Street Global Markets, LLC, an affiliate of SSgA, serves as the

distribution agent.

statestreet.com

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