Slide 1: Investment Portfolio As of September 30, 2011
Investment Portfolio As of September 30, 2011
Slide 2: Assets: Investment Portfolio
Asset-backed securities (ABS) Mortgage-backed securities (MBS) Commercial mortgage-backed securities (CMBS) $43 billion $12 billion Corporate bonds Municipals TreasuriesAgency debentures Agency mortgages Small Business Administration loans OECD governmentsFFELP Student Loans Investment Portfolio Gov
Slide 3: Investment Portfolio Detail
Assets selected using rigorous credit processDiversified by asset class and geography 89.3% AAA / AA rated Constructed to perform well through periods of economic weakness Unrealized after-tax available for sale (AFS) & held to maturity (HTM) mark to market (MTM) loss = $(0.259)B(1) INVESTMENT PORTF
Slide 4: Investment Portfolio Detail (continued)
Investment Portfolio US Treasuries and Agencies/Agency MBS are split rated - AAA by Moody’s and AA+ by S&P. These securities are classified separately in the table above and not included in either the AAA or AA classifications. At 09/30/11: After-tax Unrealized MTM Gain/(Loss) includes after-tax unr
Slide 5: Holdings by Asset Class
Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 09/30/11) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of transferred securities at the time they were transferred. US Treasuries and Agencies/Agency MBS are split rated - AAA by Moody’s and AA+ by S&P.
Slide 6: Asset-Backed Securities Holdings
Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 09/30/11) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of transferred securities at the time they were transferred. (1) US Treasuries and Agencies/Agency MBS are split rated - AAA by Moody’s an
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. Securities/municipals and corporate Issuers downgraded i
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 09/30/11) Govt. s
Slide 9: Mortgage-Backed Securities Holdings
Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 09/30/11) (1) US Treasuries and Agencies/Agency MBS are split rated - AAA by Moody’s and AA+ by S&P. These securities are classified separately in the table above and not included in either the AAA or AA classifications. Ratings Bo
Slide 10: Stress Coverage: Mortgage-Backed Securities Portfolio
Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 09/30/11) HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFLSee Appendix for additional information. Agency MBS: $27.6B 100% AA-backed prima
Slide 11: Non-US Investment Summary
Investment Portfolio NON-US INVESTMENT SUMMARY (PERIOD END 09/30/11) Non-US Investments: Ratings Non-US Investments: Asset Class (1) Country of Collateral except for Corporates, where Country of Issuer is used Excludes equity securities of approximately $0.2 billion United Kingdom 9.9 AAA - 7.9 1.8
Slide 12: Appendix
Investment Portfolio APPENDIX 12
Slide 13: 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 14: 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 17.85% with a recovery rate of approximately 48%.Credit Cards: Based on the aver
Slide 15: Appendix: Stress Loss Assumptions (CLOs, Subprime, HELOC, Agency MBS)
CLOs: Based on Moody’s average issuer-weighted default rate of 4% for B2-rated issuers during 1983-2009 period over assumed WAL of 4 years with 60% loss severity. According to Moody’s, the highest loss severity rate on 1st lien loans in the 1990-2009 period was 46.6% in 1993.Subprime: Calculated by
Slide 16: Appendix: HCL, Avg. CE 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