State Street Corporation · NYSE:STT
State Street — Q3 2007 Earnings Presentation
13 slides from State Street's earnings presentation, Oct 16, 2007
Slide 1: ABCP Conduits Multiseller Peer Group Comparison
All data related to State Street-sponsored conduits as of 9.30.2007, unless otherwise noted. 1 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 6/30/07> Multiseller
Slide 2: ABCP Conduits Overview
All data related to State Street-sponsored conduits as of 9.30.2007, unless otherwise noted. 2 ABCP Conduits Overview> State Street sponsors four ABCP conduits – Conduit A (A1/P1) – US assets, approx. $11.7 billion USD – USD denominated ABCP – Conduit B (A1/P1) – US and European assets, approx. $11.
Slide 3: ABCP Conduits Asset Composition
ABCP Conduits Asset Composition> US RMBS Statistics:> All AAA Rated> WA* FICO: 712 at origination> WA LTV: 75.8% at origination> AUS RMBS Statistics:>> 95% Rated AA or Better> 99.5% insured with mortgage insurance> UK RMBS Statistics:>Nearly all exposure is to owner-occupied homes with prime quality
Slide 4: ABCP Conduits Financial Impact
All data related to State Street-sponsored conduits as of 9.30.2007, unless otherwise noted. 4 ABCP Conduits Financial Impact> The Weighted Average Maturity of State Street-sponsored conduit ABCP was approximately 15 days on September 30, 2007, as compared with approximately 22 days on June 30, 2007
Slide 5: ABCP Conduits Impact to Financial Ratios
All data related to State Street-sponsored conduits as of 9.30.2007, unless otherwise noted. 5 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 bal
Slide 6: ABCP Conduits Asset Sourcing and Approval
All data related to State Street-sponsored conduits as of 9.30.2007, unless otherwise noted. 6 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
Slide 7: Conduit Oversight and Approval
All data related to State Street-sponsored conduits as of 9.30.2007, unless otherwise noted. 7 Conduit Oversight and Approval> ERM Oversight – ERM establishes prudential limits and diversification requirements – ERM monitors asset performance monthly through management’s surveillance reporting> Key
Slide 8: US RMBS
All data related to State Street-sponsored conduits as of 9.30.2007, unless otherwise noted. 8 Key Credit Characteristics – US RMBS> Exposure to US RMBS totals $4.4BN, all of which is rated AAA;> Collateral pools are comprised of mostly floating rate, Alt-A loans and Home Equity Lines of Credit (HEL
Slide 9: AUS RMBS
All data related to State Street-sponsored conduits as of 9.30.2007, unless otherwise noted. 9> Exposure to AUS RMBS totals $5.0BN (US Equiv.), greater than 95% of which is externally rated AA or better, and all of which is externally rated A or better;> Collateral consists of diversified pools of p
Slide 10: UK RMBS
All data related to State Street-sponsored conduits as of 9.30.2007, unless otherwise noted. 10 Key Credit Characteristics – UK RMBS (rate of exchange: 2.04)> 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-t
Slide 11: European (Non-UK) RMBS by Country
All data related to State Street-sponsored conduits as of 9.30.2007, unless otherwise noted. 11 European (Non-UK) RMBS by Country Italy 37.0% Spain 33.8% Netherlands 11.7% 0.0% 0.0% Portugal 7.1% Ireland 4.7% Other 1.2% Greece 4.5% Key Credit Characteristics – EUR RMBS (rate of exchange: 1.42)> Expo
Slide 12: US Student Loans
All data related to State Street-sponsored conduits as of 9.30.2007, unless otherwise noted. 12 Key Credit Characteristics – US Student Loans> Exposure to US Student Loans totals $3.3BN;> 83%, or $2.7BN, are backed by Federal Family Education Loan Program (FFELP) loans carrying at least a 97% guaran
Slide 13: Credit Cards and Auto/Equipment Loans
All data related to State Street-sponsored conduits as of 9.30.2007, unless otherwise noted. 13 Key Credit Characteristics – Credit Cards> Exposure to Credit Cards totals $2.1BN, with $1.6BN in the US and $474MM in Europe;> 61% of Credit Cards rated at least A, with 24% of assets rated AAA;> Signifi