State Street Corporation · NYSE:STT
State Street — Corporate Update (January 2009)
19 slides from State Street's corporate update, Jan 20, 2009
Slide 1: Investment Portfolio as of December 31, 2008
Investment Portfolio As of December 31, 2008 January 20, 2009
Slide 2: Market Events
Investment Portfolio MARKET EVENTS (1) At 12/31/08: After-Tax Unrealized market-to-market (MTM) Gain/(Loss) includes after-tax unrealized loss on securities available for sale of ($4,057)M, after-tax unrealized loss on securities held to maturity of ($869)M and after-tax unrealized loss remaining on
Slide 3: Assets: Investment Portfolio (Period End 12/31/08)
Asset-backed securities (ABS) Mortgage-backed securities Commercial mortgage-backed securities (CMBS) $25 billion $43 billion $10 billion Corporate bonds Municipals Treasuries Agency debentures Agency mortgages Small Business Administration loans OECD Governments Investment Portfolio Government / Ag
Slide 4: Investment Portfolio Detail
Assets selected using rigorous credit process All (9,000+) securities are current as to principal and interest at 12/31/08 Diversified by asset class and geography Body: 89.3% AAA / AA rated at 12/31/08 Constructed to perform well through periods of economic weakness Unrealized after-tax AFS & HTM M
Slide 5: Investment Portfolio (At Period End)
Investment Portfolio (1) Securities added to negative credit watch within the respective quarter, excluding downgrades. (2) Event occurred in respective quarter. (3) At 12/3108: After-Tax Unrealized MTM Gain/(Loss) includes after-tax unrealized loss on securities available for sale of ($4,057)M, aft
Slide 6: Holdings by Asset Class
Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 12/31/08) (1) At 12/31/08: After-Tax Unrealized MTM Gain/(Loss) includes after-tax unrealized loss on securities available for sale of ($4,057)M, after-tax unrealized loss on securities held to maturity of ($869)M and after-tax unrealized loss
Slide 7: Asset-Backed Securities Holdings
Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 12/31/08) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. Consistent with our previously disclosed valuation methodology, State Str
Slide 8: Asset-Backed Securities Collateralized by Sub-Prime First-Lien Mortgages
Investment Portfolio ASSET- BACKED SECURITIES COLLATERALIZED BY SUB-PRIME FIRST-LIEN MORTGAGES (AT PERIOD END) (1) Securities added to negative credit watch within the respective quarter, excluding downgrades. (2) Event occurred in respective quarter. Portfolio amounts are expressed at Book Value; B
Slide 9: Stress Coverage: Asset-Backed Securities Portfolio
Investment Portfolio HCL = historic cumulative loss; Avg. CE = average credit enhancement; CRE= Commercial Real Estate; SFL = STT’s stressed future losses; Coverage = Avg. CE/SFL See Appendix for additional information STRESS COVERAGE: ASSET-BACKED SECURITIES PORTFOLIO (PERIOD END 12/31/08) Govt. st
Slide 10: Mortgage-Backed Securities Holdings
Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 12/31/08) Ratings Book Value ($B) Book Value (% Total) Unrealized After-tax MTM Gain/(Loss) ($M) Investment AAA AA A BBB BB < NR # CUSIPS Agency MBS 100% 0% 0% 0% 0% 0% 11.6 46.0 24 1,530 Non-Agency MBS 75% 9% 8% 2% 6% 0% 9.4 37.3
Slide 11: Stress Coverage: Mortgage-Backed Securities Portfolio
Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 12/31/08) HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFL See Appendix for additional information Agency MBS: $11.6B 100% AAA-backed prim
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 $2.5B of in
Slide 13: Investment Portfolio: Monoline Insurance Coverage
Investment Portfolio INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 12/31/08) * Estimate based on rating agency methodology AAA AA A BBB BB< NR Total Credit quality 78.2% 11.1% 4.9% 3.7% 1.1% 1.0% 100% Credit quality unwrapped* 78.1% 10.1% 5.9% 3.6% 1.0% 1.3% 100% AAA & AA Combined Cre
Slide 14: Total Monoline Exposure Book Value
Investment Portfolio TOTAL MONOLINE EXPOSURE (PERIOD END 12/31/08) BOOK VALUE Subprime HELOC Municipal Auto Loan Student Loan Total Insurer Rating ($mm) # ($mm) # ($mm) # ($mm) # ($mm) # ($mm) % # Moody S&P FSA $22 3 $38 2 $732 1,501 $158 8 $950 38% 1,514 Aa3 AAA/*- MBIA $16 9 $66 3 $437 858 $10 1 $
Slide 15: Appendix
Investment Portfolio APPENDIX
Slide 16: Appendix: Overview of Terms and Analysis
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% with a recovery rate of approximately 50%. Credit Cards: Based on the high
Slide 18: Appendix: Stress Loss Assumptions for Mortgage Securities
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: Definitions of HCL, Avg. CE and Coverage
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