State Street Corporation · NYSE:STT
State Street — Q1 2009 Earnings Presentation
19 slides from State Street's earnings presentation, Apr 21, 2009
Slide 1: Investment Portfolio As of March 31, 2009
Investment Portfolio As of March 31, 2009 April 21, 2009
Slide 2: Assets: Investment Portfolio (Period End 03/31/09)
Asset-backed securities (ABS) Mortgage-backed securities Commercial mortgage-backed securities (CMBS) $25 billion $42 billion $10 billion Corporate bonds Municipals Treasuries Agency debentures Agency mortgages Small Business Administration loans OECD governments Investment Portfolio Government / Ag
Slide 3: Investment Portfolio Detail (Period End 03/31/09)
Assets selected using rigorous credit process All (9,000+) securities are current as to principal and interest at 03/31/09 Diversified by asset class and geography 84.3% AAA / AA rated at 03/31/09 Constructed to perform well through periods of economic weakness Unrealized after-tax AFS & HTM MTM = $
Slide 4: Investment Portfolio (At Period End)
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 downgraded in respective quarter. (3) At 03/31/09: After-Tax Unrealized MTM Gain/(Loss) includes af
Slide 5: Holdings by Asset Class
Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 03/31/09) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. (1) At 03/31/09: After-Tax Unrealized MTM Gain/(Loss) includes after-tax unrealize
Slide 6: Asset-Backed Securities Holdings
Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 03/31/09) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. Consistent with our previously disclosed valuation methodology, State Str
Slide 7: Asset-Backed Securities Holdings
Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 03/31/09) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. Consistent with our previously disclosed valuation methodology, State Str
Slide 8: 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) Q4 ’07 Q1 ’08 Q2 ’08 Q3 ’08 Q4 ’08 Q1 ’09 Q1 ‘09 Asset Value Size of portfolio $6.2B $5.9B $5.7B $5.5B $5.8B $5.7B — Ratings 71% AAA 29% AA 70% AAA 30% AA 62% AAA 38% AA 57% AAA 34% AA, 5%
Slide 9: Stress Coverage: Asset-Backed Securities Portfolio
Investment Portfolio HCL = historic cumulative loss; Avg. CE = average credit enhancement; CRE= Commercial Real Estate; SFL = STT’s stressed future losses; Coverage = Avg. CE/SFL See Appendix for additional information. STRESS COVERAGE: ASSET-BACKED SECURITIES PORTFOLIO (PERIOD END 03/31/09) Govt. s
Slide 10: Mortgage-Backed Securities Holdings
Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 03/31/09) Ratings Book Value ($B) Book Value (% Total) Unrealized After-tax MTM Gain/(Loss) ($M) Investment AAA AA A BBB <BBB NR # CUSIPS Agency MBS 100% 0% 0% 0% 0% 0% 10.7 45.1 98 1,521 Non-Agency MBS 51% 9% 9% 9% 22% 0% 9.0 38.0
Slide 11: Stress Coverage: Mortgage-Backed Securities Portfolio
Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 03/31/09) HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFL Agency MBS: $10.7B 100% AAA-backed primarily by Fannie Mae, Freddie Mac & Ginni
Slide 12: Investment Portfolio - Monoline Insurance Coverage
Investment Portfolio Philosophy: Assets are purchased based on an independent assessment of their underlying credit quality, not based on the insurance “wrap” provided As a result, our exposure to “wraps” for protection is secondary and is relatively small Diversified by monoline insurer $2.4B of in
Slide 13: Investment Portfolio—Monoline Insurance Coverage
Investment Portfolio INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 03/31/09) * Estimate based on rating agency methodology. AAA AA A BBB <BBB NR Total Credit quality 73.1% 11.2% 4.9% 3.8% 6.0% 1.0% 100% Credit quality unwrapped* 73.0% 9.8% 5.9% 3.8% 6.0% 1.5% 100% AAA & AA Combined Cr
Slide 14: Total Monoline Exposure
Investment Portfolio TOTAL MONOLINE EXPOSURE (PERIOD END 03/31/09) Investment Portfolio INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 03/31/09) * Estimate based on rating agency methodology. AAA AA A BBB <BBB NR Total Credit quality 73.1% 11.2% 4.9% 3.8% 6.0% 1.0% 100% Credit quality
Slide 15: Appendix
Investment Portfolio APPENDIX
Slide 16: Appendix: Overview of Terms 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 17: Appendix: Stress Loss 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 16.6% with a recovery rate of approximately 48%. Credit Cards: Based on the hig
Slide 18: Appendix: Mortgage Stress Loss Assumptions
Agency MBS: No losses are assumed due to implied (Fannie Mae and Freddie Mac) or explicit (Ginnie Mae) government guarantee. Non-Agency MBS (Prime): Calculated by applying projected loss assumptions to the remaining pool of mortgages based upon the stage within the delinquency pipeline, (i.e. curren
Slide 19: 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