State Street Corporation · NYSE:STT
State Street — Q3 2009 Earnings Presentation
21 slides from State Street's earnings presentation, Oct 20, 2009
Slide 1: Investment Portfolio State Street
Investment Portfolio State Street As of September 30, 2009 October 20, 2009
Slide 2: Assets: Investment Portfolio (Period End 09/30/09)
Asset-backed securities (ABS) Mortgage-backed securities Commercial mortgage-backed securities (CMBS) $31 billion $57 billion $10 billion Corporate bonds Municipals Treasuries Agency debentures Agency mortgages Small Business Administration loans OECD governments Investment Portfolio Government/Agen
Slide 3: Investment Portfolio Detail
State Street Assets selected using rigorous credit process Diversified by asset class and geography 80.4% AAA / AA rated at 09/30/09 Constructed to perform well through periods of economic weakness Unrealized after-tax AFS & HTM MTM = $(2.985)B(1) at 09/30/09 INVESTMENT PORTFOLIO DETAIL (PERIOD END
Slide 4: Investment Portfolio (At Period End)
State Street Investment Portfolio (1) Securities/municipals and corporate issuers added to negative credit watch within the respective quarter, excluding downgrades. (2) Securities/municipals and corporate Issuers downgraded in respective quarter. We report downgrades based on the lower of the Moody
Slide 5: Holdings by Asset Class
State Street Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 09/30/09) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. (1) At 09/30/09: After-Tax Unrealized MTM Gain/(Loss) includes after-
Slide 6: Asset-Backed Securities Holdings
State Street Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 09/30/09) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. Unrealized After-tax Ratings Book Value ($B) Book Value (% T
Slide 7: Asset-Backed Securities Collateralized by Sub-Prime First-Lien Mortgages
State Street 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 Iss
Slide 8: Stress Coverage: Asset-Backed Securities Portfolio
State Street 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 09/3
Slide 9: Mortgage-Backed Securities Holdings
State Street Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 09/30/09) 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% — — — — — 16.0 55.6 66 1,408 Non-Agency MBS 19% 9% 7% 12% 53% — 8
Slide 10: Stress Coverage: Mortgage-Backed Securities Portfolio
State Street Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 09/30/09) 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: $16.0B 100% A
Slide 11: Investment Portfolio - Monoline Insurance Coverage
State Street Investment Portfolio Philosophy: Assets are purchased based on an independent assessment of their underlying credit quality, not based on the insurance “wrap” provided As a result, our exposure to “wraps” for protection is secondary and is relatively small Diversified by monoline insure
Slide 12: Investment Portfolio - Monoline Insurance Coverage
State Street Investment Portfolio INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 09/30/09) * Estimate based on rating agency methodology.AAA AA A BBB <BBB NR Total Credit quality 68.8% 11.6% 6.5% 3.9% 8.0% 1.2% 100% Credit quality unwrapped* 68.7% 10.7% 7.1% 4.1% 8.0% 1.4% 100% AAA & A
Slide 13: Total Monoline Exposure
State Street Investment Portfolio TOTAL MONOLINE EXPOSURE (PERIOD END 09/30/09) Includes Investment Portfolio, Galleon, Clipper, Schooner, Spinaker, and CTEC positions. CTEC and Portfolio muni's are reported in separate columns. # - Number of cusips BOOK VALUE ($M) # ($M) # ($M) # ($M) # ($M) # ($M)
Slide 14: Capital Structure (At Period End)
State Street Investment Portfolio 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 third quarter 2009 State Street Corporation earnings press release dated October 20,
Slide 15: TCE Improvement Plan
State Street Investment Portfolio 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 third quarter 2009 State Street Corporation earnings press release dated October 20, 2009. Q1 ‘09
Slide 16: TCE Calculations (At Period End) – State Street Corp
State Street Investment Portfolio TCE CALCULATIONS (AT PERIOD END) – STATE STREET CORP Tangible Common Ratio Regulatory Ratios Q2 ‘09 Q3 ‘09 Q2 ‘09 Q3 ’09 Common equity 12,103 13,629 Tier 1 capital 10,740 11,461 Total goodwill and intangibles 6,337 6,399 Tier 1 common 9,290 10,011 Adjusted equity 5,
Slide 17: Appendix
State Street Investment Portfolio APPENDIX 17
Slide 18: Information Concerning Our Investment Portfolio
State Street 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”) inves
Slide 19: Stress Assumptions by Asset Class
State Street 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: Ba
Slide 20: Stress Assumptions (continued)
State Street 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 vin
Slide 21: HCL, Avg. CE and Coverage Definitions
State Street 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 fo