State Street Corporation · NYSE:STT
State Street — Q1 2012 Earnings Presentation
7 slides from State Street's earnings presentation, Apr 17, 2012
Slide 1: Investment Portfolio As of March 31, 2012
1 Investment Portfolio As of March 31, 2012
Slide 2: Assets: Investment Portfolio (Period End 03/31/12)
2 Asset-backed securities (ABS) Mortgage-backed securities (MBS) Commercial mortgage-backed securities (CMBS) Covered bonds $47 billion $15 billion Corporate bonds Municipals Treasuries Agency debentures Agency mortgages Small Business Administration loans OECD governments FFELP Student Loans Invest
Slide 3: Investment Portfolio Detail (Period End 03/31/12)
3 Assets selected using rigorous credit process Diversified by asset class and geography 88.8% 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 = $(0.081)B(1) INVESTMENT PO
Slide 4: Investment Portfolio: Holdings by Asset Class
4 Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 03/31/12) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of transferred securities at the time they were transferred. US Treasuries and Agencies/Agency MBS are split rated - AAA by Moody’s and AA+ by S&
Slide 5: Investment Portfolio: Asset-Backed Securities Holdings
5 Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 03/31/12) Ratings Book Value Book Value Unrealized After-tax MTM Gain/(Loss) Investment Not (1) ($B) (% Total) ($M) UST/AGY AAA AA A BBB <BBB Rated Student Loans — 27% 69% 3% 1% — — 17.4 31.8 (396) Credit Cards — 98% — 1% 1% — — 11.
Slide 6: Investment Portfolio: Mortgage-Backed Securities Holdings
6 Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 03/31/12) Ratings Book Value ($B) Book Value (% Total) Unrealized Aftertax MTM Gain/(Loss) ($M) Investment UST/AGY AAA AA A BBB <BBB Not Rated (1) Agency MBS 100% — — — — — — 32.4 81.0 344 Non-Agency MBS — 32% 5% 25% 8% 30% — 2.8
Slide 7: Investment Portfolio: Non-US Investment Summary
7 Investment Portfolio NON-US INVESTMENT SUMMARY (PERIOD END 03/31/12) Non-US Investments: Ratings A BBB 2.5% BB 0.6% <BB 0.3% NR 0.0% March 31, 2012 Book Book Value ($B) Value Average Gov't/ ABS ABS Corporate Covered ($B) Rating Agency FRMBS All Other Bonds Bonds Other United Kingdom 11.9 AAA - 9.3