State Street Corporation · NYSE:STT
State Street — Investor Presentation (November 2008)
14 slides from State Street's investor presentation, Nov 10, 2008
Slide 1: Investment Portfolio
Exhibit 99.3 Investment Portfolio > As of September 30, 2008 October 15, 2008
Slide 2: Market Events and Unrealized MTM Gain/(Loss)
Investment Portfolio MARKET EVENTS Milllions After-tax Unrealized MTM Gain/(Loss) 0 FOMC Bearns Cuts Stearns Housing Bill Monolines Signed (500) 75 bps Collapse Downgraded Fannie and IndyMac Freddie (1,000) Widespread Takeover Collapse Writedowns and Capital Issuances (1,500) FOMC Lehman Cuts Fails
Slide 3: Assets: Investment Portfolio
Investment Portfolio ASSETS: INVESTMENT PORTFOLIO (PERIOD END 9/30/08) Government/Agency Structured Securities Unsecured Credit Treasuries Asset-backed securities Corporate bonds Agency debentures Mortgage-backed securities Municipals Agency mortgages Commercial mortgage- backed securities Small Bus
Slide 4: Investment Portfolio Detail
Investment Portfolio INVESTMENT PORTFOLIO DETAIL (PERIOD END 9/30/08) > 93.1% AAA / AA rated at 9/30/08 > Assets selected using rigorous credit > Constructed to perform well through process periods of economic weakness > Performing within expectations at 9/30/08 > Unrealized after-tax AFS & HTM MTM
Slide 5: Investment Portfolio
Investment Portfolio INVESTMENT PORTFOLIO (PERIOD END 9/30/08) Q3 ‘08 Q3 ‘07 Q4 ‘07 Q1 ‘08 Q2 ‘08 Q3 ‘08 Asset Value Size of portfolio $77.9B $75.7B $75.4B $75.0B $78.0B — Ratings 89.3% AAA 88.5% AAA 86.7% AAA 84.4% AAA 84.4% AAA — 5.6% AA 6.5% AA 7.6% AA 8.7% AA 8.7% AA $(513)M $(684)M $(1,940)M $(
Slide 6: Holdings by Asset Class
Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 9/30/08) Ratings Unrealized After-tax Book Value Book Value MTM Gain/(Loss) Investment AAA AA A BBB BB NR ($B) (% Total) ($M) # CUSIPS Government/Agency 100% — — — — — 14.5 18.6 17 531 securities Asset-backed securities 84% 12% 3% 1% 0% — 29.3
Slide 7: Asset-Backed Securities Holdings
Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 9/30/08) Ratings Unrealized After-tax Book Value Book Value MTM Gain/(Loss) Investment AAA AA A BBB BB NR ($B) (% Total) ($M) # CUSIPS Student Loans 90% 9% 1% — — — 9.7 33.1 (653) 181 Credit Cards 88% 2% 6% 4% — — 4.9 16.7 (213) 110 A
Slide 8: Asset-Backed Securities Collateralized by Sub-Prime First-Lien Mortgages
Investment Portfolio ASSET- BACKED SECURITIES COLLATERALIZED BY SUB-PRIME FIRST-LIEN MORTGAGES (PERIOD END 9/30/08) Q3 ‘08 Q3 ’07 Q4 ’07 Q1 ’08 Q2’08 Q3’08 Asset Value Size of portfolio $6.6B $6.2B $5.9B $5.7B $5.5B — Ratings 57% AAA 73% AAA 71% AAA 70% AAA 62% AAA 34% AA, 5% A — 27% AA 29% AA 30% A
Slide 9: Stress Coverage: Asset-Backed Securities Portfolio
Investment Portfolio STRESS COVERAGE: ASSET-BACKED SECURITIES PORTFOLIO (PERIOD END 9/30/08) Govt. student loans: $9.0B HCL: < 0.1% SFL: 12% (historic default rate before government Avg. CE: +100% (98% govt. guarantee + 5.5% CE) guarantees with 0% recoveries) With 100% credit enhancement, no risk of
Slide 10: Mortgage-Backed Securities Holdings
Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 9/30/08) Ratings Unrealized After-tax Book Value Book Value MTM Gain/(Loss) Investment AAA AA A ($B) (% Total) ($M) # CUSIPS Agency MBS 100.0% 0.0% 0.0% 12.1 49.2 (32) 1,539 Non-Agency MBS 95.5% 1.5% 3.0% 8.3 33.7 (732) 314 CMBS 99
Slide 11: Stress Coverage: Mortgage-Backed Securities Portfolio
Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 9/30/08) Agency MBS: $12.1B 100% AAA-backed primarily by Fannie Mae, No losses expected Freddie Mac & Ginnie Mae Securities Non-Agency MBS: $7.2B HCL: 0.2% SFL: 2.3% Avg. CE: 9.14% Coverage: 4X Alt-A: $1.1B HCL: 0
Slide 12: Investment Portfolio—Monoline Insurance Coverage
Investment Portfolio INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 9/30/08) > Philosophy: Assets are purchased based on an independent assessment of their underlying credit quality, not based on the insurance “wrap” provided > As a result, our exposure to “wraps” for protection is sec
Slide 13: Investment Portfolio—Monoline Insurance Coverage
Investment Portfolio INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 9/30/08) As of 9/30/08 AAA AA A BBB BB NR Total Credit quality 84.4% 8.7% 4.3% 1.5% 0.1% 1.0% 100% Credit quality unwrapped 82.7% 9.0% 4.9% 1.9% 0.1% 1.4% 100% AAA & AA Combined Credit quality 93.1% Credit quality unwr
Slide 14: Total Monoline Exposure
Investment Portfolio TOTAL MONOLINE EXPOSURE (PERIOD END 9/30/08) Subprime HELOC Municipal Student Loan Total Insurer Rating ($mm) # ($mm) # ($mm) # ($mm) # ($mm) % # Moody S&P FSA $23 3 $41 2 $749 1,542 $813 36% 1,547 Aaa/*- AAA MBIA $0.4 3 $70 3 $303 664 $3 1 $376.4 17% 671 A2/*- AA AMBAC $0.2 1 $