Slide 1: Investment Portfolio As of June 30, 2010
Investment Portfolio As of June 30, 2010
Slide 2: Assets: Investment Portfolio (Period End 06/30/10)
Asset-backed securities (ABS)Mortgage-backed securities (MBS)Commercial mortgage-backed securities (CMBS) $44 billion $11 billion Corporate bondsMunicipals TreasuriesAgency debenturesAgency mortgagesSmall Business Administration loansOECD governmentsFFELP Student Loans Investment Portfolio Governmen
Slide 3: Investment Portfolio Detail (Period End 06/30/10)
Assets selected using rigorous credit processDiversified by asset class and geography 82.3% 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 = $(0.994)B(1) INVESTMENT PORTFOL
Slide 4: Credit watch and downgrades in the quarter
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 lo
Slide 5: Holdings by Asset Class
Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 06/30/10) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. Certain “other” securities previously categorized as Not Rated, are now included i
Slide 6: Asset-Backed Securities Holdings
Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 06/30/10) 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 O
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.Securities/municipals and corporate Issuers downgraded in
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 06/30/10)
Slide 9: Mortgage-Backed Securities Holdings
Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 06/30/10)
Slide 10: Stress Coverage: Mortgage-Backed Securities
PORTFOLIO (PERIOD END 06/30/10) HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFLSee Appendix for additional information. Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES
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” providedAs a result, our exposure to “wraps” for protection is secondary and is relatively small Diversified by monoline insurer$3.03B of ins
Slide 12: Investment Portfolio - Monoline Insurance Coverage
Investment Portfolio INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 06/30/10) * Estimate based on rating agency methodology.
Slide 13: Total Monoline Exposure
Investment Portfolio TOTAL MONOLINE EXPOSURE (PERIOD END 06/30/10) # - Number of cusips
Slide 14: Appendix
Investment Portfolio APPENDIX
Slide 15: Appendix: Terms, analysis 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 16: Appendix: Stress 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 aver
Slide 17: Appendix: Subprime, HELOC and MBS loss assumptions
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 18: 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 rec