Slide 1: Investment Portfolio As of June 30, 2011
Investment Portfolio As of June 30, 2011
Slide 2: Assets: Investment Portfolio (Period End 06/30/11)
Asset-backed securities (ABS) Mortgage-backed securities (MBS)Commercial mortgage-backed securities (CMBS) $43 billion $11 billion Corporate bondsMunicipals TreasuriesAgency debenturesAgency mortgagesSmall Business Administration loansOECD governmentsFFELP Student Loans Investment Portfolio Governme
Slide 3: Investment Portfolio Detail (Period End 06/30/11)
Assets selected using rigorous credit process Diversified by asset class and geography 89.7% 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 = $(0.094)B(1) INVESTMENT PORT
Slide 4: Credit watch and downgrades footnotes
Investment Portfolio (1) Securities/municipals and corporate issuers added to negative credit watch within the respective quarter, excluding downgrades. (2) Securities/municipals and corporate issuers experiencing one or more downgrades in respective quarter. We report credit profiles based on the l
Slide 5: Holdings by Asset Class
Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 06/30/11) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. At 06/30/11: After-tax Unrealized MTM Gain/(Loss) includes after-tax unrealized ga
Slide 6: Asset-Backed Securities Holdings
Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 06/30/11) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. RMBS = Residential Mortgage Backed Securities; CLO = Collateralized Loan
Slide 7: Asset-Backed Securities Collateralized by Sub-Prime First-Lien Mortgages
Investment Portfolio ASSET- BACKED SECURITIES COLLATERALIZED BY SUB-PRIME FIRST- LIEN MORTGAGES (AT PERIOD END) (1) Securities/municipals and corporate issuers added to negative credit watch within the respective quarter, excluding downgrades. Securities/municipals and corporate Issuers downgraded i
Slide 8: Stress Coverage: Asset-Backed Securities Portfolio
Investment Portfolio HCL = historic cumulative loss; Avg. CE = average credit enhancement; CRE= Commercial Real Estate; SFL = STT’s stressed future losses; Coverage = Avg. CE/SFL See Appendix for additional information. STRESS COVERAGE: ASSET-BACKED SECURITIES PORTFOLIO (PERIOD END 06/30/11) Govt. s
Slide 9: Mortgage-Backed Securities Holdings
Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 06/30/11) Ratings Book Value ($B) Book Value (% Total) Unrealized After-tax MTM Gain/(Loss) ($M) Investment AAA AA A BBB <BBB Not Rated # CUSIPS Agency MBS 100% — — — — — 25.4 78.6 275 1,379 Non-Agency MBS 38% 4% 13% 13% 32% — 2.5
Slide 10: Stress Coverage: Mortgage-Backed Securities Portfolio
Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 06/30/11) 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: $25.4B 100% AAA-backed pri
Slide 11: Appendix
Investment Portfolio APPENDIX
Slide 12: Appendix: overview of terms, analysis 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 13: 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 av
Slide 14: Appendix: CLO, subprime, HELOC and agency MBS assumptions
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 15: 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