Slide 1: Investment Portfolio As of March 31, 2010
Investment Portfolio As of March 31, 2010 State Street
Slide 2: Investment Portfolio Assets
2 Asset-backed securities (ABS)Mortgage-backed securitiesCommercial mortgage-backed securities (CMBS) $57 billion $10 billion $29 billion Corporate bonds Municipals Treasuries Agency debentures Agency mortgages Small Business Administration loans OECD governments Investment Portfolio ASSETS: INVESTM
Slide 3: Investment Portfolio Detail by Rating
3 Assets selected using rigorous credit process Diversified by asset class and geography 80.2% 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 = $(1.435)B(1) US$ in billio
Slide 4: Investment Portfolio at Period End
4 Investment Portfolio INVESTMENT PORTFOLIO (AT PERIOD END) Q4 ‘08 Q1 ‘09 Q2 ‘09 Q3 ‘09 Q4 ‘09 Q1 ‘10 Q1 ‘10 Asset Value Size of portfolio $78.8B $77.5B $86.7B $97.6B $97.3B $95.6B — Ratings 78.2% AAA 11.1% AA 73.1% AAA 11.2% AA 67.3% AAA 12.3% AA 68.8% AAA 11.6% AA 68.6% AAA 11.6% AA 68.5% AAA 11.7
Slide 5: Holdings by Asset Class
5 Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 03/31/10) Ratings Book Value ($B) Book Value (% Total) Unrealized After-tax MTM Gain/(Loss) ($M) Investment AAA AA A BBB <BBB NR # CUSIPS Government/Agency securities 96% — 4% — — — 13.3 13.9 4 488 Asset-backed securities 70% 13% 7% 3% 7% —
Slide 6: Asset-Backed Securities Holdings
6 Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 03/31/10) Ratings Book Value ($B) Book Value (% Total) Unrealized After-tax MTM Gain/(Loss) ($M) Investment AAA AA A BBB <BBB NR # CUSIPS Student Loans 89% 10% 1% — — — 13.3 29.6 (325) 229 Credit Cards 90% 2% 4% 2% 2% — 7.1 15.8 38
Slide 7: ABS Collateralized by Sub-Prime First-Lien Mortgages
7 Investment Portfolio ASSET- BACKED SECURITIES COLLATERALIZED BY SUB-PRIME FIRST- LIEN MORTGAGES (AT PERIOD END) Q4 ’08 Q1 ’09 Q2 ’09 Q3 ’09 Q4 ’09 Q1 ’10 Q1 ‘10 Asset Value Size of portfolio $5.8B $5.7B $5.5B $5.2B $5.1B $4.8B — Ratings 38% AAA 32% AA, 10% A 17% BBB, 3% <BBB 17% AAA 28% AA, 9% A 1
Slide 8: Stress Coverage: Asset-Backed Securities Portfolio
8 Investment Portfolio STRESS COVERAGE: ASSET-BACKED SECURITIES PORTFOLIO (PERIOD END 03/31/10) Govt. student loans: $12.4B HCL: < 0.2% Avg. CE: >100% - 97% govt. guarantee + 7.0% CE SFL: 12% - Historic default rate before government guarantees with 0% recoveries With >100% credit enhancement, no ri
Slide 9: Mortgage-Backed Securities Holdings
9 Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 03/31/10) Ratings Book Value ($B) Book Value (% Total) Unrealized After-tax MTM Gain/(Loss) ($M) Investment AAA AA A BBB <BBB NR # CUSIPS Agency MBS 100% — — — — — 15.5 57.0 102 1,321 Non-Agency MBS 17% 7% 6% 10% 60% — 7.7 28.3 (
Slide 10: Stress Coverage: Mortgage-Backed Securities Portfolio
10 Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 03/31/10) Agency MBS: $15.5B 100% AAA-backed primarily by Fannie Mae, Freddie Mac & Ginnie Mae Securities No losses expected Non-Agency Prime MBS: $6.0B HCL: 1.59% Avg. CE: 8.45% SFL: 11.75% - Roll rate analysi
Slide 11: Monoline Insurance Coverage
11 Investment Portfolio INVESTMENT PORTFOLIO - MONOLINE INSURANCE COVERAGE (PERIOD END 03/31/10) 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 s
Slide 12: Monoline Insurance Coverage Credit Quality
12 Investment Portfolio INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 03/31/10) AAA AA A BBB <BBB NR Total Credit quality 68.5% 11.7% 7.1% 3.2% 8.3% 1.2% 100% Credit quality unwrapped* 68.3% 10.8% 7.8% 3.3% 8.3% 1.5% 100% AAA & AA Combined Credit quality 80.2% Credit quality unwrapped
Slide 13: Total Monoline Exposure
13 Investment Portfolio TOTAL MONOLINE EXPOSURE (PERIOD END 03/31/10) # - Number of cusips
Slide 14: Appendix
14 Investment Portfolio APPENDIX
Slide 15: Information Concerning Our Investment Portfolio
15 Investment Portfolio – Appendix INFORMATION CONCERNING OUR INVESTMENT PORTFOLIO 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 port
Slide 16: Appendix: Stress Assumptions by Asset Class
16 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 17: Appendix: Subprime, HELOC and MBS Assumptions
17 Investment Portfolio - Appendix 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 vintag
Slide 18: Appendix: Definitions of HCL, Avg. CE and Coverage
18 Investment Portfolio - Appendix HCLHistorical cumulative loss is determined by State Street based upon data obtained from third party providers.Avg. CECredit enhancement is determined by State Street based upon data obtained from third party providers. CE can include excess spread for the most re