State Street Corporation · NYSE:STT
State Street — Q4 2009 Earnings Presentation
21 slides from State Street's earnings presentation, Jan 20, 2010
Slide 1: Investment Portfolio and Selected Capital Data
Investment Portfolio and Selected Capital Data As of December 31, 2009 January 20, 2010
Slide 2: Assets: Investment Portfolio
Asset-backed securities (ABS)Mortgage-backed securitiesCommercial mortgage-backed securities (CMBS) $25 billion $57 billion $10 billion Corporate bondsMunicipals TreasuriesAgency debenturesAgency mortgagesSmall Business Administration loansOECD governments Investment Portfolio Government / Agency St
Slide 3: Investment Portfolio Detail
Assets selected using rigorous credit processDiversified by asset class and geography 80.2% AAA / AA ratedConstructed to perform well through periods of economic weaknessUnrealized after-tax available for sale (AFS) & held to maturity (HTM) mark to market (MTM) loss = $(2.286)B(1) INVESTMENT PORTFOL
Slide 4: Investment Portfolio credit watch and downgrades
Investment Portfolio (1) Securities/municipals and corporate issuers added to negative credit watch within the respective quarter, excluding downgrades. (2) Securities/municipals and corporate issuers downgraded in respective quarter. We report downgrades based on the lower of the Moody’s or S & P r
Slide 5: Investment Portfolio Holdings by Asset Class
I Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 12/31/09) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. (1) At 12/31/09: After-Tax Unrealized MTM Gain/(Loss) includes after-tax unreali
Slide 6: Asset-Backed Securities Holdings
Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 12/31/09) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. RMBS = Residential Mortgage Backed Securities; CLO = Collateralized Loan
Slide 7: Asset-Backed Securities Collateralized by Sub-Prime First-Lien Mortgages
Investment Portfolio ASSET- BACKED SECURITIES COLLATERALIZED BY SUB-PRIME FIRST- LIEN MORTGAGES (AT PERIOD END) (1) Securities/municipals and corporate issuers added to negative credit watch within the respective quarter, excluding downgrades.(2) Securities/municipals and corporate Issuers downgrade
Slide 8: Stress Coverage: Asset-Backed Securities Portfolio
Investment Portfolio HCL = historic cumulative loss; Avg. CE = average credit enhancement; CRE= Commercial Real Estate; SFL = STT’s stressed future losses; Coverage = Avg. CE/SFLSee Appendix for additional information. STRESS COVERAGE: ASSET-BACKED SECURITIES PORTFOLIO (PERIOD END 12/31/09) Govt. st
Slide 9: Mortgage-Backed Securities Holdings
Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 12/31/09) Ratings Book Value ($B) Book Value (% Total) Unrealized After-tax MTM Gain/(Loss) ($M) Investment AAA AA A BBB <BBB NR # CUSIPS Agency MBS 100% — — — — — 15.5 56.0 45 1,315 Non-Agency MBS 19% 9% 7% 12% 53% — 8.1 29.2 (825
Slide 10: Stress Coverage: Mortgage-Backed Securities Portfolio
Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 12/31/09) HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFLSee Appendix for additional information. Agency MBS: $15.5B 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 $3.3B of in
Slide 12: Investment Portfolio—Monoline Insurance Coverage
Investment Portfolio INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 12/31/09) AAA AA A BBB <BBB NR Total Credit quality 68.6% 11.6% 7.0% 3.6% 7.8% 1.4% 100% Credit quality unwrapped* 68.5% 10.8% 7.7% 3.8% 7.7% 1.5% 100% AAA & AA Combined Credit quality 80.2% Credit quality unwrapped* 7
Slide 13: Total Monoline Exposure
Investment Portfolio TOTAL MONOLINE EXPOSURE (PERIOD END 12/31/09) Includes Investment Portfolio, Galleon, Clipper, Schooner, Spinaker, and CTEC positions. CTEC and Portfolio muni's are reported in separate columns. # - Number of cusips
Slide 14: Selected Capital Data: Capital Structure
Selected Capital Data 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 fourth quarter 2009 State Street Corporation earnings press release dated January 20, 2010.Minimu
Slide 15: Selected Capital Data: TCE Improvement Plan
Selected Capital Data 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 fourth quarter 2009 State Street Corporation earnings press release dated January 20, 2010. Q1 ‘09 Q2 ‘09 Q3 ’
Slide 16: Selected Capital Data: TCE Calculations
Selected Capital Data TCE CALCULATIONS (AT PERIOD END) – STATE STREET CORP Tangible Common Equity Ratio Regulatory Ratios Q3 ‘09 Q4 ‘09 Q3 ‘09 Q4 ‘09 Common equity 13,440 14,491 Tier 1 capital 11,271 12,005 Total goodwill and intangibles 6,399 6,360 Tier 1 common 9,821 10,555 Adjusted equity 7,041 8
Slide 17: Appendix
Investment Portfolio APPENDIX
Slide 18: Appendix: overview of terms 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 19: Appendix: stress loss 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 20: Appendix: stress assumptions for subprime, HELOC and 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, credit enhancement 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 re