State Street Corporation · NYSE:STT
State Street — Q4 2008 Earnings Presentation
25 slides from State Street's earnings presentation, Jan 20, 2009
Slide 1: Asset-Backed Commercial Paper As of December 31, 2008
Asset-Backed Commercial Paper As of December 31, 2008 January 20, 2009
Slide 2: Asset Backed Commercial Paper (ABCP) Conduits
Asset Backed Commercial Paper (ABCP) Conduits State Street-Sponsored Conduits 2 Multiseller Peer Group** **Source: Moody’s Investor Service; Data as of 9/30/08 Multiseller Peer Group, identified by Moody’s, consists of 51 domestic and international banks * NR Assets in State Street-Sponsored Conduit
Slide 3: ABCP Conduits: Monoline Wrap Exposure
ABCP Conduits Body: Approximately $2.5 billion (10%) of all conduit assets are wrapped by a monoline insurer Wrap exposure is diversified across 7 insurers Wrap Exposure by Asset Class Wrap Exposure by Insurer ASSET WRAP EXPOSURE AS OF 12/31/2008
Slide 4: Key Metrics as of 12/31/2008
ABCP Conduits KEY METRICS AS OF 12/31/2008 (1)Excluding AMLF holdings at period end MTM= Mark-to market Q4 ’07 Q1 ’08 Q2 ’08 Q3 ’08 Q4 ’08 Q4 ’08 Asset Value Total Conduit Assets Outstanding $28.8B $28.3B $28.4B $25.5B $23.9B - CPFF - - - - $5.7B - AMLF Holdings - - - $1.63B - - State Street Balance
Slide 5: Unrealized Gain/(Loss) in the Conduit Assets
ABCP Conduits UNREALIZED GAIN/(LOSS) IN THE CONDUIT ASSETS AS OF 12/31/2008 Investment Ratings Non- Investment Grade Not Rated Face Value ($M) Face Value (% Total) Unrealized After-tax MTM (Loss) ($M) # Pools AAA AA A BBB Mortgage-backed securities 53% 27% 8% 8% 4% — 11,970 50.1 (2,091) 432 Asset-ba
Slide 6: Unrealized Gain/(Loss) in the Asset-Backed Securities
ABCP Conduits UNREALIZED GAIN/(LOSS) IN THE ASSET-BACKED SECURITIES (ABS) IN THE CONDUIT ASSETS AS OF 12/31/2008 Investment Ratings Not Rated Face Value ($M) Face Value (% of Total) Unrealized After-tax MTM (Loss) ($M) # Pools Downgrades AAA AA A BBB Non-Investment Grade Auto 26% 3% 15% 4% 4% 48% 2,
Slide 7: Stress Coverage: Asset-Backed Securities in the Conduit Assets
ABCP Conduits STRESS COVERAGE: ASSET-BACKED SECURITIES IN THE CONDUIT ASSETS AS OF 12/31/2008 HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFL See Appendix for additional information ABCP Conduits STRESS COVERAGE: ASSET-BACKE
Slide 8: Unrealized Gain/(Loss) in the Mortgage-Backed Securities
ABCP Conduits UNREALIZED GAIN/(LOSS) IN THE MORTGAGE-BACKED SECURITIES IN THE CONDUIT ASSETS AS OF 12/31/2008 Investment Ratings Face Value ($M) Face Value (% Total) Unrealized After-tax MTM (Loss) ($M) # Pools Downgrades AAA AA A BBB Non-Investment Grade Australian RMBS 31% 66% 3% — — 3,028 25.3 (9
Slide 9: Stress Coverage: Mortgage-Backed Securities in the Conduit Assets
ABCP Conduits STRESS COVERAGE: MORTGAGE-BACKED SECURITIES IN THE CONDUIT ASSETS AS OF 12/31/2008 HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFL US RMBS (non-HELOC): $2.3B HCL: 0.8% Avg. CE: 32.2% SFL: 12.7% (1x S&P July 200
Slide 10: Estimated Pro-Forma Impact on Capital Ratios
ABCP Conduits Estimated pro-forma impact to State Street Corporation’s and State Street Bank and Trust’s capital ratios had State Street Bank and Trust consolidated onto its balance sheet on December 31, 2008, all of the assets of the State Street-sponsored conduits at fair value (1) : (1) The estim
Slide 11: State Street Sponsors Four ABCP Conduits
ABCP Conduits State Street sponsors four ABCP conduits Conduit A (A1/P1) US assets, approx. $9.8 billion USD USD denominated ABCP Conduit B (A1/P1) US and European assets, approx. $10.2 billion USD USD, GBP and EUR denominated ABCP Conduit C (A1+) Australian assets, approx. $1.4 billion USD AUD deno
Slide 12: Asset Composition
ABCP Conduits US RMBS Statistics: WA FICO: 713 at origination WA LTV: 75.1% at origination AUS RMBS Statistics: 97% Rated AA- or Better 99.4% insured with mortgage insurance UK RMBS Statistics: Nearly all exposure is to owner-occupied homes with prime quality obligors EUR RMBS Statistics: 80% AAA Ra
Slide 13: Asset Sourcing and Approval
ABCP Conduits Conduit assets are originated through public security purchases and existing client relationships All assets and associated State Street liquidity facilities are approved by State Street’s Enterprise Risk Management (ERM), either through a formal review at the time of purchase or throu
Slide 14: Conduit Oversight and Approval
CONDUIT OVERSIGHT AND APPROVAL ERM Oversight ERM establishes prudential limits and diversification requirements ERM monitors asset performance monthly through management’s surveillance reporting Key Credit Characteristics Strong overall asset quality supported by diversified pools of relatively homo
Slide 15: Key Credit Characteristics – US RMBS
KEY CREDIT CHARACTERISTICS – US RMBS Exposure to US RMBS totals $3.5BN, consisting entirely of senior positions in the capital structure Collateral pools are comprised of mostly floating rate, Alt-A loans and Home Equity Lines of Credit (HELOCs). Underlying pool characteristics are strong for RMBS (
Slide 16: Key Credit Characteristics – AUS RMBS
Exposure to AUS RMBS totals $3.0BN (US Equiv.), greater than 97% of which is externally rated AA- or better, and all of which is externally rated A or better Collateral consists of diversified pools of prime obligors supported by private mortgage insurance policies (99.4%) that cover principal and i
Slide 17: Key Credit Characteristics – UK RMBS
KEY CREDIT CHARACTERISTICS – UK RMBS* Exposure to UK RMBS totals $1.6BN, with 21% AAA, 17% AA, 28% A, and 34% BBB Majority of exposure is to UK Master Trusts from AA rated top-tier issuers Collateral consists of diversified pools of conforming loans to prime obligors with a range of current weighted
Slide 18: Key Credit Characteristics – European RMBS
KEY CREDIT CHARACTERISTICS – EURO EAN RMBS* Body: Ex osure to Euro ean RMBS totals $3.9BN, with 80% AAA, 13% AA, 6% A, and 1% BBB Collateral consists of diversified ools of rime mortgage loans Sellers/Servicers are well-rated Euro ean banks urchase of first Euro ean RMBS occurred in 2000 Assets orig
Slide 19: Key Credit Characteristics – US Student Loans
KEY CREDIT CHARACTERISTICS – US STUDENT LOANS Exposure to US Student Loans totals $2.9BN 83%, or $2.4BN, are backed by Federal Family Education Loan Program (FFELP) loans carrying at least a 97% guarantee by the US government Of the $2.4BN FFELP loan transactions, $2.0BN are senior classes, with the
Slide 20: Program Asset Characteristics
PROGRAM ASSET CHARACTERISTICS ABCP Conduits ($ in billions) 30-Sep-08 31-Dec-07 Program Assets by Collateral Type 31-Dec-08 $ % $ % $ % AUS RMBS $3.0 13% $3.6 14% $4.7 16% US RMBS $3.5 15% $3.6 14% $4.2 15% EUR RMBS $3.9 16% $4.0 16% $4.7 16% UK RMBS $1.6 7% $1.8 7% $2.3 8% Student Loans $2.9 12% $3
Slide 21: Program Assets by Asset Origin
PROGRAM ASSET CHARACTERISTICS ABCP Conduits Program Assets by Asset Origin 31-Dec-08 30-Sep-08 31-Dec-07 $ % $ % $ % United States $11.1 46% $11.2 44% $12.2 42% Australia $4.3 17% $5.0 20% $6.1 21% Great Britain $2.0 8% $2.3 9% $2.9 10% Spain $1.7 7% $1.8 7% $1.9 7% Italy $1.7 7% $1.7 6% $1.9 7% Por
Slide 22: Appendix
STATE STREET. ABCP Conduits > APPENDIX 22
Slide 23: Appendix: Overview of Terms and Surveillance Process
ABCP Conduits - 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”) asset-backed commercial paper conduit program. As a general matter, the p
Slide 24: Stress Assumptions by Asset Class
Autos: Based on the worst annual cumulative net loss vintage (2000) going back to 1997 using 80% Lehman Prime Auto Index and 20% Lehman Near Prime Auto Index U.S. Credit Cards: Based on the high end of industry projections for peak charge-offs in the current credit cycle. Most projections exceed the
Slide 25: Appendix: Definitions of HCL, Avg. CE and Coverage
ABCP Conduits - Appendix Body: 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