State Street Corporation · NYSE:STT
State Street — Q1 2008 Earnings Presentation
15 slides from State Street's earnings presentation, Apr 15, 2008
Slide 1: Asset-Backed Commercial Paper As of 3/31/08
1 Asset-Backed Commercial Paper As of 3/31/08
Slide 2: ABCP Conduits Multiseller Peer Group Comparison
2 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 12/31/07 Multiseller Peer Group, identified by Moody’s, consists of 30 domestic and international banks NR Assets in S
Slide 3: Conduit Update Key Metrics
3 Conduit Update Key Metrics All data as of period quarter-end
Slide 4: ABCP Conduits Asset Wrap Exposure
4 ABCP Conduits Asset Wrap Exposure Approximately $3.3 billion (12%) of all conduit assets are wrapped by a monoline insurer Wrap exposure is diversified across a variety of insurers and asset classes, with no material concentration in any one area Wrap Exposure by Asset Class Wrap Exposure by Insur
Slide 5: ABCP Conduits Impact to Financial Ratios
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 balance sheet on March 31, 2008, all of the assets of the State Street-sponsored conduits at fair
Slide 6: ABCP Conduits Overview
6 ABCP Conduits Overview State Street sponsors four ABCP conduits Conduit A (A1/P1) US assets, approx. $10.8 billion USD USD denominated ABCP Conduit B (A1/P1) US and European assets, approx. $11.6 billion USD USD, GBP and EUR denominated ABCP Conduit C (A1+) Australian assets, approx. $2.1 billion
Slide 7: ABCP Conduits Asset Composition
7 ABCP Conduits Asset Composition US RMBS Statistics: WA FICO: 714 at origination WA LTV: 74.8% at origination AUS RMBS Statistics: 97% Rated AA or Better 99.5% insured with mortgage insurance UK RMBS Statistics: Nearly all exposure is to owner-occupied homes with prime quality obligors 67% rated at
Slide 8: ABCP Conduits Asset Sourcing and Approval
8 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 approved by State Street’s Enterprise Risk Management (ERM), either through a formal review at
Slide 9: Conduit Oversight and Approval
9 Conduit Oversight and Approval ERM Oversight ERM establishes prudential limits and diversification requirements ERM monitors asset performance monthly through management’s surveillance reporting Key Credit Characteristics Strong overall asset quality supported by diversified pools of relatively ho
Slide 10: US RMBS
10 Key Credit Characteristics – US RMBS Exposure to US RMBS totals $3.98BN, consisting entirely of senior positions in the capital structure Collateral pools are comprised of mostly floating rate, Alt-A loans and Home Equity Lines of Credit (HELOCs). Underlying pool characteristics are strong for RM
Slide 11: AUS RMBS
11 Exposure to AUS RMBS totals $4.7BN (US Equiv.), greater than 97% of which is externally rated AA or better, and all of which is externally rated A or better Collateral consists of diversified pools of prime obligors supported by private mortgage insurance policies (99.5%) that cover principal and
Slide 12: UK RMBS
12 Key Credit Characteristics – UK RMBS Exposure to UK RMBS totals $2.1BN, with 21% AAA, 17% AA, 29% A, and 33% BBB Majority of exposure is to UK Master Trusts from AA rated top-tier issuers Collateral consists of diversified pools of conforming loans to prime obligors with a range from 62% and not
Slide 13: European RMBS
13 Key Credit Characteristics – European RMBS Exposure to European RMBS totals $4.7BN, with 84.9% AAA, 9.19% AA, 5.5% A, and 0.4% BBB Collateral consists of diversified pools of prime mortgage loans Sellers/Servicers are well-rated European banks Purchase of first European RMBS occurred in 2000 Asse
Slide 14: US Student Loans
14 Key Credit Characteristics – US Student Loans Exposure to US Student Loans totals $2.99BN 82.0%, or $2.46BN, are backed by Federal Family Education Loan Program (FFELP) loans carrying at least a 97% guarantee by the US government Of the $2.46BN FFELP loan transactions, $1.91BN are senior classes,
Slide 15: Credit Cards and Auto/Equipment Loans
15 Key Credit Characteristics – Credit Cards Exposure to Credit Cards totals $1.89BN, with $1.53BN in the US and $356.7MM in Europe 60.3% of Credit Cards rated at least A Significant experience investing in Credit Card asset class Strong sponsors / high quality servicers Key Credit Characteristics –