Slide 1: Asset-Backed Commercial Paper Conduits
1 Asset-Ba cked Commercial Paper Conduits January 15, 2008
Slide 2: ABCP Conduits Multiseller Peer Group Comparison
2 Asset Backed Commercial Paper (ABCP) Conduits Multiseller Peer Group Comparison State Street-Sponsored Conduits Multiseller Peer Group** **Source: Moody’s Investor Service; Data as of 8/31/07 Multiseller Peer Group, identified by Moody’s, consists of 30 domestic and international banks * NR Assets
Slide 3: ABCP Conduits Overview
3 ABCP Conduits Overview State Street sponsors four ABCP conduits Conduit A (A1/P1) US assets, approx. $11.5 billion USD USD denominated ABCP Conduit B (A1/P1) US and European assets, approx. $11.4 billion USD USD, GBP and EUR denominated ABCP Conduit C (A1+) Australian assets, approx. $2.1 billion
Slide 4: ABCP Conduits Asset Composition
4 ABCP Conduits Asset Composition US RMBS Statistics: All AAA Rated 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 obligo
Slide 5: ABCP Conduits Financial Impact
5 ABCP Conduits Financial Impact The Weighted Average Maturity of State Street-sponsored conduit ABCP was approximately 20 days on December 31, 2007, as compared with approximately 15 days on September 30, 2007, and approximately 23 days as of December 31, 2006 State Street held the following amount
Slide 6: ABCP Conduits Impact to Financial Ratios
6 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 December 31, 2007, all of the assets of the State Street-sponsored conduits at f
Slide 7: ABCP Conduits Asset Sourcing and Approval
7 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 at
Slide 8: Conduit Oversight and Approval
8 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 pools of relatively ho
Slide 9: US RMBS
9 Key Credit Characteristics – US RMBS Exposure to US RMBS totals $4.2BN, all of which is rated AAA Collateral pools are comprised of mostly floating rate, Alt-A loans and Home Equity Lines of Credit (HELOCs). Underlying pool characteristics are strong for RMBS (WA FICO score of 714, and WA LTV of 7
Slide 10: AUS RMBS
10 Exposure to AUS RMBS totals $4.7BN (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 and
Slide 11: UK RMBS
11 Key Credit Characteristics – UK RMBS* Exposure to UK RMBS totals $2.3BN, with 22% AAA, 21% AA, 26% A, and 31% 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% and not
Slide 12: European RMBS
12 Key Credit Characteristics – European RMBS* Exposure to European RMBS totals $4.7BN, with 84.8% AAA, 8.3% AA, 6.5% 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 2000 Asse
Slide 13: US Student Loans
13 Key Credit Characteristics – US Student Loans Exposure to US Student Loans totals $3.33BN 83.3%, or $2.78BN, are backed by Federal Family Education Loan Program (FFELP) loans carrying at least a 97% guarantee by the US government Of the $2.78BN FFELP loan transactions, $2.23BN are senior classes,
Slide 14: Credit Cards and Auto/Equipment Loans
14 Key Credit Characteristics – Credit Cards Exposure to Credit Cards totals $2.02BN, with $1.63BN in the US and $393.6MM in Europe 62.4% of Credit Cards rated at least A, with 24.3% of assets rated AAA Significant experience investing in Credit Card asset class Strong sponsors / high quality servic