State Street Corporation · NYSE:STT
State Street — Corporate Update (November 2008)
21 slides from State Street's corporate update, Nov 10, 2008
Slide 1: Asset-Backed Commercial Paper
Exhibit 99.4 Asset-Backed Commercial Paper As of September 30, 2008 October 15, 2008
Slide 2: Asset Backed Commercial Paper (ABCP) Conduits: Multiseller Peer Group Comparison
Asset Backed Commercial Paper (ABCP) Conduits MULTISELLER PEER GROUP COMPARISON AS OF 09/30/2008 > Multiseller Peer Group, identified by Moody’s, consists of 51 domestic and international banks State Street-Sponsored Conduits Multiseller Peer Group** B/B Other Aaa NR 1% 1% 7% 11% BB/Ba Aa 1% 12% BBB
Slide 3: ABCP Conduits: Asset Wrap Exposure
ABCP Conduits ASSET WRAP EXPOSURE AS OF 9/30/2008 > Approximately $2.7 billion (11%) of all conduit assets are wrapped by a monoline insurer > Wrap exposure is diversified across a variety of insurers and asset classes, with no material concentration in any one area Wrap Exposure by Asset Class Wrap
Slide 4: ABCP Conduits: Key Metrics
ABCP Conduits KEY METRICS AS OF 9/30/2008 Q3 ’08 Q3 ’07 Q4 ’07 Q1 ’08 Q2 ’08 Q3 ’08 Asset Value Downgrades Credit Related 0 0 0 0 3 $86M Insurer Related 0 0 28 125 18 $572M Credit watch Credit Related 1 1 2 1 22 $1.31B Insurer Related 0 26 88 6 72 $1.71B Defaults 0 0 0 0 0 $0 Unrealized after-tax MT
Slide 5: Unrealized Gain/(Loss) in the Conduit Assets
ABCP Conduits UNREALIZED GAIN/(LOSS) IN THE CONDUIT ASSETS AS OF 9/30/2008 Ratings Non- Investment Not Face Value Face Value Unrealized After-tax Investment AAA AA A BBB Grade Rated ($M) (% Total) MTM (Loss) ($M) # Pools Mortgage-backed 58% 25% 7% 8% 2% — 13,066 51.2 (1,410) 440 securities Asset-bac
Slide 6: Unrealized Gain/(Loss) in the Asset-Backed Securities
ABCP Conduits UNREALIZED GAIN/(LOSS) IN THE ASSET-BACKED SECURITIES IN THE CONDUIT ASSETS AS OF 9/30/2008 Ratings Unrealized Non- Face After-tax Investment Not Value Face Value MTM Investment AAA AA A BBB Grade Rated ($M) (% Total) (Loss) ($M) # Pools Downgrades Auto 26% 3% 18% 4% — 49% 2,993 37.8 (
Slide 7: Stress Coverage: Asset-Backed Securities in the Conduit Assets
ABCP Conduits STRESS COVERAGE: ASSET-BACKED SECURITIES IN THE CONDUIT ASSETS AS OF 09/30/2008 Autos: $3.0B HCL: 1.0% SFL: 2.8% (using worst vintage in 10 years) Avg. CE: 6.9% Coverage: 2.5x US Credit Cards: $1.7B HCL: 6.0% (weighted avg. charge-offs) SFL: 7.5% (worst single month annualized) Avg. CE
Slide 8: Unrealized Gain/(Loss) in the Mortgage-Backed Securities
ABCP Conduits UNREALIZED GAIN/(LOSS) IN THE MORTGAGE-BACKED SECURITIES IN THE CONDUIT ASSETS AS OF 09/30/2008 Ratings Non- Face Unrealized Investment Value Face Value After-tax MTM Investment AAA AA A BBB Grade ($M) (% Total) (Loss) ($M) # Pools Downgrades Australian RMBS 33% 64% 3% — — 3,600 27.6 (
Slide 9: Stress Coverage: Mortgage-Backed Securities in the Conduit Assets
ABCP Conduits STRESS COVERAGE: MORTGAGE-BACKED SECURITIES IN THE CONDUIT ASSETS AS OF 09/30/2008 US RMBS HCL: 0.5% SFL: 12.5% (1x S&P July 2008 revised default curve) (non-HELOC): $2.4B Avg. CE: 31.9% Coverage: 2.5x US RMBS HCL: 0.0% (with insurance) SFL: if all monolines fail except FSA (HELOC): $1
Slide 10: Estimated Pro-Forma Impact to Financial Ratios
ABCP Conduits ESTIMATED PRO-FORMA IMPACT TO FINANCIAL RATIOS AS OF 09/30/2008 > Estimated pro-forma impact to State Street Corporation’s and State Street Bank and Trust’s capital ratios had State Street Bank and Trust consolidated onto its balance sheet on September 30, 2008, all of the assets of th
Slide 11: Overview
ABCP Conduits OVERVIEW > State Street sponsors four ABCP > Country of Asset Origin: conduits – Conduit A (A1/P1) Netherlands Other – US assets, approx. $9.9 billion USD Germany 2% 7% 3% – USD denominated ABCP Portugal – Conduit B (A1/P1) 2% – US and European assets, approx. $11.0 billion Italy USD 6
Slide 12: Asset Composition
ABCP Conduits ASSET COMPOSITION > US RMBS Statistics: AUS RMBS > WA FICO: 713 at origination Other 14% > WA LTV: 75.1% at origination 17% > AUS RMBS Statistics: > 97% Rated AA- or Better Credit Cards US RMBS > 99.4% insured with mortgage 8% 14% insurance > UK RMBS Statistics: Auto/Equipment > Nearly
Slide 13: Asset Sourcing and Approval
ABCP Conduits ASSET SOURCING AND APPROVAL > Conduit assets are originated through public security purchases and existing client relationships > All assets and associated State Street liquidity facilities are approved by State Street’s Enterprise Risk Management (ERM), either through a formal review
Slide 14: Conduit Oversight and Approval
ABCP Conduits CONDUIT OVERSIGHT AND APPROVAL > ERM Oversight – ERM establishes prudential limits and diversification requirements – ERM monitors asset performance monthly through management’s surveillance reporting > Key Credit Characteristics – Strong overall asset quality supported by diversified
Slide 15: Key Credit Characteristics – US RMBS
ABCP Conduits KEY CREDIT CHARACTERISTICS– US RMBS > Exposure to US RMBS totals $3.6BN, consisting entirely of senior positions in the capital structure > Collateral pools are comprised of mostly floating rate, Alt-A loans and Home Equity Lines of Credit (HELOCs). Underlying pool characteristics are
Slide 16: Key Credit Characteristics – AUS RMBS
ABCP Conduits KEY CREDIT CHARACTERISTICS– AUS RMBS* > Exposure to AUS RMBS totals $3.6BN (US Equiv.), greater than 97% of which is externally rated AA- or better, and all of which is externally rated A or better > Collateral consists of diversified pools of prime obligors supported by private mortga
Slide 17: Key Credit Characteristics – UK RMBS
ABCP Conduits KEY CREDIT CHARACTERISTICS– UK RMBS* > Exposure to UK RMBS totals $1.8BN, with 22% AAA, 18% AA, 28% A, and 32% BBB > Majority of exposure is to UK Master Trusts from AA rated top-tier issuers > Collateral consists of diversified pools of conforming loans to prime obligors with a range
Slide 18: Key Credit Characteristics – European RMBS
ABCP Conduits KEY CREDIT CHARACTERISTICS– EUROPEAN RMBS* > Exposure to European RMBS totals $4.0BN, with 84% AAA, 9% AA, 6% A, Germany Greece and 1% BBB 5% 1% Ireland > Collateral consists of diversified pools 5% of prime mortgage loans Portugal 7% Spain 37% > Sellers/Servicers are well-rated Nether
Slide 19: Key Credit Characteristics – US Student Loans
ABCP Conduits KEY CREDIT CHARACTERISTICS– US STUDENT LOANS > Exposure to US Student Loans totals $2.94BN > 82.4%, or $2.42BN, are backed by Federal Family Education Loan Program (FFELP) loans carrying at least a 97% guarantee by the US government > Of the $2.42BN FFELP loan transactions, $1.97BN are
Slide 20: Program Asset Characteristics
ABCP Conduits PROGRAM ASSET CHARACTERISTICS ($ in billions) Program Assets by Collateral Type 30-Sep-08 30-Jun-08 30-Sep-07 $ % $ % $ % AUS RMBS $3.6 14% $4.6 16% $5.0 18% US RMBS $3.6 14% $3.8 14% $4.4 15% EUR RMBS $4.0 16% $4.6 16% $4.5 15% UK RMBS $1.8 7% $2.1 7% $2.3 8% Student Loans $3.0 12% $3
Slide 21: Program Asset Characteristics: Asset Origin
ABCP Conduits PROGRAM ASSET CHARACTERISTICS Program Assets by Asset Origin 30-Sep-08 30-Jun-08 30-Sep-07 $ % $ % $ % United States $11.2 44% $11.7 41% $12.4 42% Australia $5.0 20% $6.2 22% $6.3 22% Great Britain $2.3 9% $2.7 9% $3.2 11% Spain $1.8 7% $2.0 7% $1.9 7% Italy $1.7 6% $2.0 7% $1.8 6% Por