Slide 1: Investment Portfolio As of September 30, 2010
Investment Portfolio As of September 30, 2010
Slide 2: Assets: Investment Portfolio (Period End 09/30/10)
Asset-backed securities (ABS) Mortgage-backed securities (MBS) Commercial mortgage-backed securities (CMBS) $46 billion $11 billion Corporate bonds Municipals Treasuries Agency debentures Agency mortgages Small Business Administration loans OECD governments FFELP Student Loans Investment Portfolio G
Slide 3: Investment Portfolio Detail (Period End 09/30/10)
Assets selected using rigorous credit process Diversified by asset class and geography 82.4% AAA / AA rated Constructed to perform well through periods of economic weaknessUnrealized after-tax available for sale (AFS) & held to maturity (HTM) mark to market (MTM) loss = $(0.281) B(1) INVESTMENT PORT
Slide 4: Credit watch and downgrades in the investment portfolio
Investment Portfolio (1) Securities/municipals and corporate issuers added to negative credit watch within the respective quarter, excluding downgrades. (2) Securities/municipals and corporate issuers experiencing one or more downgrades in respective quarter. We report credit profiles based on the l
Slide 5: Holdings by Asset Class
Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 09/30/10) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. Certain “other” securities previously categorized as Not Rated, are now included i
Slide 6: Asset-Backed Securities Holdings
Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 09/30/10) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. RMBS = Residential Mortgage Backed Securities; CLO = Collateralized Loan
Slide 7: Asset-Backed Securities Collateralized by Sub-Prime First-Lien Mortgages
Investment Portfolio ASSET- BACKED SECURITIES COLLATERALIZED BY SUB-PRIME FIRST- LIEN MORTGAGES (AT PERIOD END) (1) Securities/municipals and corporate issuers added to negative credit watch within the respective quarter, excluding downgrades.(2) Securities/municipals and corporate Issuers downgrade
Slide 8: Stress Coverage: Asset-Backed Securities Portfolio
Investment Portfolio HCL = historic cumulative loss; Avg. CE = average credit enhancement; CRE= Commercial Real Estate; SFL = STT’s stressed future losses; Coverage = Avg. CE/SFL See Appendix for additional information. STRESS COVERAGE: ASSET-BACKED SECURITIES PORTFOLIO (PERIOD END 09/30/10)
Slide 9: Mortgage-Backed Securities Holdings
Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 09/30/10)
Slide 10: Stress Coverage: Mortgage-Backed Securities Portfolio
Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 09/30/10) HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFLSee Appendix for additional information.
Slide 11: Appendix
Investment Portfolio APPENDIX
Slide 12: Appendix: overview of terms, analysis and surveillance process
Investment Portfolio - Appendix The following is intended to provide a general overview of the terms, analysis and our monthly surveillance process used in the foregoing slides that discuss State Street Corporation’s (“State Street”) investment portfolio. As a general matter, the preceding slides su
Slide 13: Appendix: stress assumptions by asset class
Investment Portfolio - Appendix Government Student Loans: Based on the average Sallie Mae Non-consolidation FFELP vintages 2001-2006.Private Student Loans: Based on forecasted private student loan gross default rates of 17.85% with a recovery rate of approximately 48%.Credit Cards: Based on the aver
Slide 14: Appendix: subprime, HELOC and MBS loss assumptions
Subprime: Calculated by applying projected loss assumptions to the remaining pool of mortgages based upon the stage within the delinquency pipeline, (i.e. current to foreclosure), to obtain a projected future gross loss. A 70% severity rate for 2006 and 2007 vintages, a 65% for 2005 vintages, and a
Slide 15: Appendix: HCL, credit enhancement and coverage definitions
Investment Portfolio – Appendix HCL Historical cumulative loss is determined by State Street based upon data obtained from third party providers. Avg. CE Credit enhancement is determined by State Street based upon data obtained from third party providers. CE can include excess spread for the most re