Slide 1: Investment Portfolio As of March 31, 2011
1 Investment Portfolio As of March 31, 2011
Slide 2: Assets: Investment Portfolio (Period End 03/31/11)
2 Asset-backed securities (ABS) Mortgage-backed securities (MBS) Commercial mortgage-backed securities (CMBS) $40 billion $11 billion Corporate bonds Municipals Treasuries Agency debentures Agency mortgages Small Business Administration loans OECD governments FFELP Student Loans Investment Portfolio
Slide 3: Investment Portfolio Detail (Period End 03/31/11)
3 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 = $(0.352)B(1) INVESTMENT PO
Slide 4: Investment Portfolio
4 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
Slide 5: Investment Portfolio: Holdings by Asset Class
5 Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 03/31/11) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. At 03/31/11: After-tax Unrealized MTM Gain/(Loss) includes after-tax unrealized
Slide 6: Investment Portfolio: Asset-Backed Securities Holdings
6 Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 03/31/11) 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 Loa
Slide 7: Asset-Backed Securities Collateralized by Sub-Prime First-Lien Mortgages
7 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
Slide 8: Stress Coverage: Asset-Backed Securities Portfolio
8 Investment Portfolio STRESS COVERAGE: ASSET-BACKED SECURITIES PORTFOLIO (PERIOD END 03/31/11) 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. Govt.
Slide 9: Investment Portfolio: Mortgage-Backed Securities Holdings
9 Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 03/31/11) Ratings Investment AAA AA A BBB <BBB Not Rated Book Value ($B) (% Total) Unrealized After-tax MTM Gain/(Loss) ($M) # CUSIPS Agency MBS Non-Agency MBS CMBS TOTAL MBS 100% — — — — — 26.9 80.1 166 1,398 48% 6% 4% 9% 33% —
Slide 10: Stress Coverage: Mortgage-Backed Securities Portfolio
10 Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 03/31/11) 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: $26.9B Non-Agency Prime
Slide 11: Appendix
11 Investment Portfolio APPENDIX
Slide 12: Investment Portfolio - Appendix
12 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
Slide 13: Investment Portfolio - Appendix
13 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
Slide 14: Investment Portfolio - Appendix: Subprime, HELOC and MBS assumptions
14 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
Slide 15: Investment Portfolio - Appendix: HCL, Avg. CE, Coverage definitions
15 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