State Street Corporation · NYSE:STT

State Street — Q2 2008 Earnings Presentation

14 slides from State Street's earnings presentation, Jul 15, 2008

  1. Slide 1: Conference Call Second Quarter July 15, 2008

    1 Conference Call Second Quarter July 15, 2008

  2. Slide 2: Investment Portfolio As of June 30, 2008

    2 Investment Portfolio As of June 30, 2008

  3. Slide 3: Assets: Investment Portfolio (Period End 6/30/08)

    3 Asset-backed securities Mortgage-backed securities Commercial mortgage-backed securities $25 billion $42 billion $11 billion Corporate bonds Municipals Treasuries Agency debentures Agency mortgages Small Business Administration loans European Governments Investment Portfolio Government / Agency St

  4. Slide 4: Investment Portfolio Detail

    4 Assets selected using rigorous credit process Performing within expectations at 6/30/08 Diversified by asset class and geography Impact of downgrades in Q2 2008 - minimal 93.1% AAA / AA rated at 6/30/08 Constructed to perform well through periods of economic weakness Unrealized after-tax AFS MTM =

  5. Slide 5: Investment Portfolio (End of Period)

    5 Investment Portfolio Portfolio amounts are expressed at Book Value. INVESTMENT PORTFOLIO (END OF PERIOD)

  6. Slide 6: Unrealized Gain/(Loss) by Asset Type

    6 Investment Portfolio UNREALIZED GAIN/(LOSS) BY ASSET TYPE (PERIOD END 6/30/08)

  7. Slide 7: Unrealized Gain/(Loss) in Asset-Backed Securities

    7 Investment Portfolio UNREALIZED GAIN/(LOSS) IN ASSET-BACKED SECURITIES (PERIOD END 6/30/08)

  8. Slide 8: Asset-Backed Securities Collateralized by Sub-Prime First-Lien Mortgages

    8 Investment Portfolio ASSET- BACKED SECURITIES COLLATERALIZED BY SUB-PRIME FIRST-LIEN MORTGAGES (END OF PERIOD)

  9. Slide 9: Stress Coverage: Asset-Backed Securities Portfolio

    9 Investment Portfolio HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = Avg. CE/SFL STRESS COVERAGE: ASSET-BACKED SECURITIES PORTFOLIO (PERIOD END 6/30/08)

  10. Slide 10: Unrealized Gains/(Losses) in Mortgage-Backed Securities

    10 Investment Portfolio UNREALIZED GAINS/(LOSSES) IN MORTGAGE-BACKED SECURITIES (PERIOD END 6/30/08)

  11. Slide 11: Stress Coverage: Mortgage-Backed Securities Portfolio

    11 Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 6/30/08) HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFL

  12. Slide 12: Investment Portfolio—Monoline Insurance Coverage

    12 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 $2.3B pr

  13. Slide 13: Investment Portfolio—Monoline Insurance Coverage

    13 Investment Portfolio As of 6/30/08 INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 6/30/08)

  14. Slide 14: Total Monoline Exposure

    14 Investment Portfolio TOTAL MONOLINE EXPOSURE (PERIOD END 6/30/08)

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