State Street Corporation · NYSE:STT
State Street — Q1 2009 Earnings Presentation
25 slides from State Street's earnings presentation, Apr 21, 2009
Slide 1: Asset-Backed Commercial Paper As of March 31, 2009
Asset-Backed Commercial Paper As of March 31, 2009 April 21, 2009
Slide 2: Asset Backed Commercial Paper (ABCP) Conduits: Multiseller Peer Group Comparison
Asset Backed Commercial Paper (ABCP) Conduits State Street-Sponsored Conduits 2 Multiseller Peer Group** **Source: Moody’s Investor Service; Data as of 12/31/08 Multiseller Peer Group, identified by Moody’s, consists of 53 domestic and international banks * NR Assets in State Street-Sponsored Condui
Slide 3: Approximately $2.4 billion (11%) of conduit assets are wrapped by a monoline insurer
ABCP Conduits Approximately $2.4 billion (11%) of all conduit assets are wrapped by a monoline insurer Wrap exposure is diversified across 7 insurers Wrap Exposure by Asset Class Wrap Exposure by Insurer ASSET WRAP EXPOSURE AS OF 3/31/2009
Slide 4: Key Metrics as of Period-End
ABCP Conduits KEY METRICS AS OF PERIOD-END 1Excluding AMLF holdings at period end Q1 ’08 Q2 ’08 Q3 ’08 Q4 ’08 Q1 ’09 Q1 ’09 Asset Value Total Conduit Assets Outstanding $28.3B $28.4B $25.5B $23.9B $22.5B - CPFF - - - $5.7B $8.5B - AMLF Holdings - - $1.63B - - - State Street Balance Sheet ABCP holdin
Slide 5: Unrealized Gain/(Loss) in the Conduit Assets
ABCP Conduits UNREALIZED GAIN/(LOSS) IN THE CONDUIT ASSETS AS OF 3/31/2009 Investment Ratings Non-Investment Grade Not Rated Face Value ($M) Face Value (% Total) Unrealized After-tax MTM (Loss) ($M) # Pools AAA AA A BBB Mortgage-backed securities 35% 19% 15% 9% 22% — 11,164 49.6 (2,275) 424 Asset-ba
Slide 6: Unrealized Gain/(Loss) in the Asset-Backed Securities in the Conduit Assets
ABCP Conduits UNREALIZED GAIN/(LOSS) IN THE ASSET-BACKED SECURITIES IN THE CONDUIT ASSETS AS OF 3/31/2009 Investment Ratings Not Rated Face Value ($M) Face Value (% Total) Unrealized After-tax MTM (Loss) ($M) # Pools Downgrades AAA AA A BBB Non-Investment Grade Auto 26% 4% 14% 4% 4% 48% 2,532 34.8 (
Slide 7: Stress Coverage: Asset-Backed Securities in the Conduit Assets
ABCP Conduits STRESS COVERAGE: ASSET-BACKED SECURITIES IN THE CONDUIT ASSETS AS OF 03/31/2009 HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFL See Appendix for additional information Autos: $2.5B HCL: 2.2% Avg. CE: 9.7% SFL:
Slide 8: Unrealized Gain/(Loss) in the Mortgage-Backed Securities in the Conduit Assets
ABCP Conduits UNREALIZED GAIN/(LOSS) IN THE MORTGAGE-BACKED SECURITIES IN THE CONDUIT ASSETS AS OF 3/31/2009 Investment Ratings Face Value ($M) Face Value (% Total) Unrealized After-tax MTM (Loss) ($M) # Pools Downgrades AAA AA A BBB Non-Investment Grade Australian RMBS 30% 33% 37% — — 2,796 25.1 (1
Slide 9: Stress Coverage: Mortgage-Backed Securities in the Conduit Assets
ABCP Conduits STRESS COVERAGE: MORTGAGE-BACKED SECURITIES IN THE CONDUIT ASSETS AS OF 3/31/2009 HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFL See appendix for additional information US RMBS (non-HELOC): $2.3B HCL: 1.6% Avg
Slide 10: Estimated pro-forma impact on capital ratios if conduits consolidated
ABCP Conduits 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 March 31, 2009, all of the assets of the State Street-sponsored conduits at fair value (1) : (1) The estimate
Slide 11: State Street sponsors four ABCP conduits
ABCP Conduits State Street sponsors four ABCP conduits Conduit A (A1/P1) US assets, approx. $9.5 billion USD USD denominated ABCP Conduit B (A1/P1) US and European assets, approx. $9.4 billion USD USD, GBP and EUR denominated ABCP Conduit C (A1+) Australian assets, approx. $1.2 billion USD AUS denom
Slide 12: Asset Composition
ABCP Conduits US RMBS Statistics: WA FICO: 713 at origination WA LTV: 75.1% at origination AUS RMBS Statistics: 63% Rated AA- or Better 99.4% insured with mortgage insurance UK RMBS Statistics: Nearly all exposure is to owner-occupied homes with prime quality obligors EUR RMBS Statistics: 77% AAA Ra
Slide 13: Asset Sourcing and Approval
ABCP Conduits 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 the time of purchase or throu
Slide 14: Conduit Oversight and Approval
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 homo
Slide 15: Key Credit Characteristics – US RMBS
KEY CREDIT CHARACTERISTICS – US RMBS Exposure to US residential mortgages totals $3.4BN, consisting entirely of senior positions in the capital structure Collateral pools are comprised of mostly floating rate, Alt-A RMBS and Home Equity Lines of Credit (HELOCs). Underlying pool characteristics are s
Slide 16: Key Credit Characteristics – AUS RMBS
Exposure to AUS RMBS totals $2.8BN (US Equiv.), of which greater than 63.2% is externally rated AA- or higher, and all of which is externally rated A or higher Collateral consists of diversified pools of prime obligors supported by private mortgage insurance policies (99.4%) that cover principal and
Slide 17: Key Credit Characteristics – UK RMBS
KEY CREDIT CHARACTERISTICS – UK RMBS* Exposure to UK RMBS totals $1.53BN, with 21% AAA, 17% AA, 28% A, and 34% BBB Majority of exposure is to UK Master Trusts from highly rated top-tier issuers Collateral consists of diversified pools of conforming loans to prime obligors with a range of current wei
Slide 18: Key Credit Characteristics – European RMBS
KEY CREDIT CHARACTERISTICS – EUROPEAN RMBS* Exposure to European RMBS totals $3.46BN, with 77% AAA, 16.7% AA, 4.7% A, 0.6% BBB and 1.2% BB Collateral consists of diversified pools of prime mortgage loans Sellers/Servicers are well-rated European banks Purchase of first European RMBS occurred in 2000
Slide 19: Key Credit Characteristics – US Student Loans
KEY CREDIT CHARACTERISTICS – US STUDENT LOANS Exposure to US Student Loans totals $2.9BN 83%, or $2.4BN, are backed by Federal Family Education Loan Program (FFELP) loans carrying at least a 97% guarantee by the US government Of the $2.4BN FFELP loan transactions, $1.95BN are senior classes, with th
Slide 20: Program Asset Characteristics
PROGRAM ASSET CHARACTERISTICS ABCP Conduits
Slide 21: Program Asset Characteristics
PROGRAM ASSET CHARACTERISTICS ABCP Conduits
Slide 22: Appendix
STATE STREET. ABCP Conduits > APPENDIX 22
Slide 23: Appendix
ABCP Conduits – 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”) asset-backed commercial paper conduit program. As a general matter, the p
Slide 24: Appendix – Stress Assumptions
ABCP Conduits – Appendix Autos: Based on the worst annual cumulative net loss vintage (2000) going back to 1997 using 80% Lehman Prime Auto Index and 20% Lehman Near Prime Auto Index U.S. Credit Cards: Based on the high end of industry projections for peak charge-offs in the current credit cycle. Mo
Slide 25: Appendix – Definitions
ABCP Conduits – 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 recent ye