Slide 1: Investment Portfolio as of June 30, 2009
Investment Portfolio (includes effects of ABCP Conduits on 5/15/09) As of June 30, 2009 July 21, 2009
Slide 2: Assets: Investment Portfolio (Period End 06/30/09)
Asset-backed securities (ABS) Mortgage-backed securities Commercial mortgage-backed securities (CMBS) $25 billion $56 billion $9 billion Corporate bonds Municipals Treasuries Agency debentures Agency mortgages Small Business Administration loans OECD governments Title: Investment Portfolio Governmen
Slide 3: Investment Portfolio Detail (Period End 06/30/09)
Assets selected using rigorous credit process Diversified by asset class and geography 79.6% AAA / AA rated at 06/30/09 Constructed to perform well through periods of economic weakness Unrealized after-tax AFS & HTM MTM = $(4.75)B(1) at 06/30/09 INVESTMENT PORTFOLIO DETAIL (PERIOD END 06/30/09) Titl
Slide 4: Investment Portfolio (At Period End)
Investment Portfolio (1) Securities/municipals and corporate issuers added to negative credit watch within the respective quarter, excluding downgrades.(2) Securities/municipals and corporate Issuers downgraded in respective quarter.At 06/30/09: After-Tax Unrealized MTM Gain/(Loss) includes after-ta
Slide 5: Holdings by Asset Class
Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 06/30/09) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. (1) At 06/30/09: After-Tax Unrealized MTM Gain/(Loss) includes after-tax unrealize
Slide 6: Asset-Backed Securities Holdings
Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 06/30/09) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. Consistent with our previously disclosed valuation methodology, State Str
Slide 7: Asset-Backed Securities Collateralized by Sub-Prime First-Lien Mortgages
Investment Portfolio ASSET- BACKED SECURITIES COLLATERALIZED BY SUB-PRIME FIRST- LIEN MORTGAGES (AT PERIOD END) (1) Securities/municipals and corporate issuers added to negative credit watch within the respective quarter, excluding downgrades.(2) Securities/municipals and corporate Issuers downgrade
Slide 8: Stress Coverage: Asset-Backed Securities Portfolio
Investment Portfolio HCL = historic cumulative loss; Avg. CE = average credit enhancement; CRE= Commercial Real Estate; SFL = STT’s stressed future losses; Coverage = Avg. CE/SFL See Appendix for additional information. STRESS COVERAGE: ASSET-BACKED SECURITIES PORTFOLIO (PERIOD END 06/30/09) Govt. s
Slide 9: Mortgage-Backed Securities Holdings
Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 06/30/09) Ratings Book Value ($B) Book Value (% Total) Unrealized After-tax MTM Gain/(Loss) ($M) Investment AAA AA A BBB <BBB NR # CUSIPS Agency MBS 100% 7.6 36.7 70 1,414 Non-Agency MBS 39% 8% 8% 10% 35% 8.9 43.0 (1,263) 428 CMBS
Slide 10: Stress Coverage: Mortgage-Backed Securities Portfolio
Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 06/30/09) 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: $7.6B 100% AAA-backed prim
Slide 11: 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 $3.6B of in
Slide 12: Investment Portfolio—Monoline Insurance Coverage
Investment Portfolio INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 06/30/09) * Estimate based on rating agency methodology. AAA AA A BBB <BBB NR Total Credit quality 67.3% 12.3% 7.1% 4.7% 7.3% 1.3% 100% Credit quality unwrapped* 67.3% 11.2% 7.6% 4.9% 7.3% 1.7% 100% AAA & AA Combined C
Slide 13: Total Monoline Exposure
Investment Portfolio TOTAL MONOLINE EXPOSURE (PERIOD END 06/30/09) Includes Investment Portfolio, Galleon, Clipper, Schooner, Spinaker, and CTEC positions. CTEC and Portfolio muni's are reported in separate columns. # - Number of cusips Alt-A Subprime HELOC BQ Muni Auto Loan Student Loan CLO Other T
Slide 14: Capital Structure (At Period End)
Investment Portfolio CAPITAL STRUCTURE (AT PERIOD END) For a description, and as applicable, a reconciliation of the above ratios, see “Additional Information” in, and the addendum to, the accompanying second quarter 2009 State Street Corporation earnings press release dated July 21, 2009.Minimum “W
Slide 15: TCE Improvement Plan
Investment Portfolio TCE IMPROVEMENT PLAN For a description, and as applicable, a reconciliation of the above ratios, see “Additional Information” in, and the addendum to, the accompanying second quarter 2009 State Street Corporation earnings press release dated July 21, 2009. Q1 ‘09 Q2 ‘09 Q3 ’09 F
Slide 16: TCE Calculations (At Period End) – State Street Corp
Investment Portfolio TCE CALCULATIONS (AT PERIOD END) – STATE STREET CORP Tangible Common Equity Ratio Regulatory Ratios Q1 ‘09 Q2 ‘09 Q1 ‘09 Q2 ‘09 Common equity 11,969 12,103 Tier 1 capital 14,567 10,740 Total goodwill and intangibles 6,302 6,337 Tier 1 common 11,228 9,290 Adjusted equity 5,667 5,
Slide 17: Appendix
Investment Portfolio APPENDIX
Slide 18: 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 19: Appendix: Stress 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 20: Appendix: Stress Assumptions (Subprime, HELOC, MBS)
Subprime: Calculated by applying projected loss assumptions to the remaining pool of mortgages based upon the stage within the delinquency pipeline, (i.e. current to foreclosure), to obtain a projected future gross loss. A 70% severity rate for 2006 and 2007 vintages, a 65% for 2005 vintages, and a
Slide 21: 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 rec