State Street Corporation · NYSE:STT
State Street — Earnings Presentation (July 2008)
21 slides from State Street's earnings presentation, Jul 15, 2008
Slide 1: Asset-Backed Commercial Paper As of 6/30/08
1 Title: Asset-Backed Commercial Paper As of 6/30/08
Slide 2: ABCP Conduits Multiseller Peer Group Comparison
2 Title: Asset Backed Commercial Paper (ABCP) Conduits Multiseller Peer Group Comparison State Street-Sponsored Conduits 2 Multiseller Peer Group** **Source: Moody’s Investor Service; Data as of 12/31/07 Multiseller Peer Group, identified by Moody’s, consists of 30 domestic and international banks *
Slide 3: ABCP Conduits Asset Wrap Exposure as of 6/30/08
3 ABCP Conduits Asset Wrap Exposure as of 6/30/08 Approximately $3.0 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 Exp
Slide 4: ABCP Conduits Key Metrics
ATE STREE ABCP Conduits KEY METRICS Q107 Q2'07 Q307 = 407 108 a2 08 Downgrades Credit Related a a a a a a Insurer Related a a Q a 28 125 Credit watch Credit Related 1 1 1 1 1 3 Insurer Related a a a 26 112 22 Unrealized after-tax MTM gaini(loss) $13M $19M = -$(215)M_—${530)M$(1.495)B$(1.827)B CP fun
Slide 5: Unrealized Gain/(Loss) in the Conduit Assets
5 ABCP Conduits UNREALIZED GAIN/(LOSS) IN THE CONDUIT ASSETS
Slide 6: Unrealized Gain/(Loss) in the Asset-Backed Securities
6 ABCP Conduits UNREALIZED GAIN/(LOSS) IN THE ASSET-BACKED SECURITIES IN THE CONDUIT ASSETS
Slide 7: Stress Coverage: Asset-Backed Securities in the Conduit Assets
7 ABCP Conduits STRESS COVERAGE: ASSET-BACKED SECURITIES IN THE CONDUIT ASSETS HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFL
Slide 8: Unrealized Gain/(Loss) in the Mortgage-Backed Securities
8 Title: ABCP Conduits UNREALIZED GAIN/(LOSS) IN THE MORTGAGE-BACKED SECURITIES IN THE CONDUIT ASSETS
Slide 9: Stress Coverage: Mortgage-Backed Securities in Conduit Assets
9 ABCP Conduits STRESS COVERAGE: MORTGAGE-BACKED SECURITIES IN CONDUIT ASSETS HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFL
Slide 10: Impact to Financial Ratios
10 ABCP Conduits Impact to Financial Ratios 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 June 30, 2008, all of the assets of the State Street-sponsored conduits at fair
Slide 11: ABCP Conduits Overview
11 Title: ABCP Conduits Overview Body: State Street sponsors four ABCP conduits Conduit A (A1/P1) US assets, approx. $10.5 billion USD USD denominated ABCP Conduit B (A1/P1) US and European assets, approx. $12.0 billion USD USD, GBP and EUR denominated ABCP Conduit C (A1+) Australian assets, approx.
Slide 12: ABCP Conduits Asset Composition
12 ABCP Conduits Asset Composition US RMBS Statistics: WA FICO: 714 at origination WA LTV: 74.8% at origination AUS RMBS Statistics: > 97% Rated AA- or Better 99.5% insured with mortgage insurance UK RMBS Statistics: Nearly all exposure is to owner-occupied homes with prime quality obligors 67% rate
Slide 13: Asset Sourcing and Approval
13 ABCP Conduits Asset Sourcing and Approval Body: 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 re
Slide 14: Conduit Oversight and Approval
14 Conduit Oversight and Approval Body: 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 pools of relati
Slide 15: Key Credit Characteristics – US RMBS
15 Key Credit Characteristics – US RMBS Exposure to US RMBS totals $3.8BN, 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 strong for RMB
Slide 16: Key Credit Characteristics – AUS RMBS
16 Exposure to AUS RMBS totals $4.6BN (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 mortgage insurance policies (99.5%) that cover principal an
Slide 17: Key Credit Characteristics – UK RMBS
17 Key Credit Characteristics – UK RMBS* Body: Exposure to UK RMBS totals $2.1BN, with 21% AAA, 18% AA, 29% 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 from 62% a
Slide 18: Key Credit Characteristics – European RMBS
18 Key Credit Characteristics – European RMBS* Body: Exposure to European RMBS totals $4.6BN, with 84.6% AAA, 9.4% AA, 5.6% A, and 0.4% BBB Collateral consists of diversified pools of prime mortgage loans Sellers/Servicers are well-rated European banks Purchase of first European RMBS occurred in 200
Slide 19: Key Credit Characteristics – US Student Loans
19 Key Credit Characteristics – US Student Loans Body: Exposure to US Student Loans totals $3.1BN 79.9%, or $2.5BN, are backed by Federal Family Education Loan Program (FFELP) loans carrying at least a 97% guarantee by the US government Of the $2.5BN FFELP loan transactions, $1.9BN are senior classe
Slide 20: Program Asset Characteristics
20 Program Asset Characteristics
Slide 21: Program Asset Characteristics
21 Program Asset Characteristics