State Street Corporation · NYSE:STT
State Street — Barclays conference (September 2012)
10 slides from State Street's conference presentation, Sep 11, 2012
Slide 1: Appendix ‒ Supplementary Materials
1 Appendix ‒ Supplementary Materials Exhibit 99.2
Slide 2: Investment Portfolio Securities Impacted by SSFA
2 Investment Portfolio Securities Impacted by SSFA Book Value ($BN) Avg. Rating Avg. Book Yield 6/30 RWA before SSFA ($BN) 6/30 RWA w/SSFA ($BN) 1/1/15 SSFA RWA ($BN) w/ Runoff and Reinvestment UK RMBS $8.6 AAA 2.84% $1.4 $2.9 $2.8 Australian RMBS 2.8 AA 5.68% 1.9 18.1 7.6 Netherlands RMBS 2.7 AAA 1
Slide 3: Support for High Quality Assets: UK and Australian RMBS
3 Appendix Support for High Quality Assets Asset Class Commentary Book Value ($BN) (6/30/12) Avg. Mkt/Bk (6/30/12) After-Tax Unreal MTM Gain (Loss) ($MN) 6/30/12 3/31/12 UK RMBS • AAA average credit quality: 89% AAA, 5% AA, 6% A • Predominantly prime mortgages loans with sound performance history. O
Slide 4: Support for High Quality Assets: Netherlands RMBS
4 Appendix Support for High Quality Assets Asset Class Commentary Book Value ($BN) (6/30/12) Avg. Mkt/Bk (6/30/12) After-Tax Unreal MTM Gain (Loss) ($MN) 6/30/12 3/31/12 Netherlands RMBS • AAA average credit quality: 98% AAA, 2% AA • Prime mortgage portfolio. Historically one of the best performing
Slide 5: Support for High Quality Assets: Government Student Loans (FFELP)
5 Asset Class Commentary Book Value ($BN) (6/30/12) Avg. Mkt/Bk (6/30/12) After-Tax Unreal MTM Gain (Loss) ($MN) 6/30/12 3/31/12 Govt. Student Loans (FFELP) • AA average credit quality: 26% AAA, 73% AA, 1% A, <1% BB • FFELP loans are reinsured by the U.S. Department of Education for at least 97% of
Slide 6: Appendix Definitions
6 Appendix Definitions SFL Stressed future losses, or SFL, are State Street’s estimate of potential future losses under a stressed economic scenario. State Street can not provide a generic calculation applicable across all asset classes as our estimates for each asset class are unique and in many ca
Slide 7: Appendix Definitions
7 Appendix Definitions In performing these calculations, State Street collects and uses information provided by third-party providers. The information we used to create these slides included information from the latest surveillance reports that included data from servicer reports received during the
Slide 8: Appendix ‒ Non-GAAP Measures
8 Appendix ‒ Non-GAAP Measures
Slide 9: Non-GAAP Reconciliation: Revenue, Expenses and Diluted EPS
9 Appendix (Dollars in millions, except per share amounts) Total Revenue: Total revenue, GAAP basis $ 4,844 $ 4,852 $ 2,423 $ 2,421 Add: Tax-equivalent adjustment not included in reported results 62 64 31 31 Loss on sale of Greek investment securities 46 - 46 - Less: Discount accretion related to fo
Slide 10: Reconciliation of Tier 1 Common Ratio
10 (Dollars in millions) Current Requirements (1) (Basel I) Original Basel III Requirements (2) (Basel Committee) Basel III NPRs with Impact of SSFA (3) Basel III NPRs with SSFA, Run- Off/Reinvestment and GSAS (4) Tier 1 risk-based capital 13,976$ A 13,359$ 13,435$ 12,885$ Less: Trust preferred secu