State Street Corporation · NYSE:STT
State Street — Q3 2008 Earnings Presentation
14 slides from State Street's earnings presentation, Oct 15, 2008
Slide 1: Investment Portfolio as of September 30, 2008
Investment Portfolio > As of September 30, 2008 October 15, 2008
Slide 2: Market Events
2 Investment Portfolio MARKET EVENTS 3 Mo LIBOR vs Fed Funds -0.50 0.00 0.50 1.00 1.50 2.00 2.50 3.00 12/31/07 1/31/08 2/29/08 3/31/08 4/30/08 5/31/08 6/30/08 7/31/08 8/31/ 0 8 9/30/08 After-tax Unrealized MTM Gain/(Loss) (4,000) (3,500) (3,000) (2,500) (2,000) (1,500) (1,000) (500) 0 12/31/07 1/31/
Slide 3: Assets: Investment Portfolio (Period End 9/30/08)
3 Asset-backed securities Mortgage-backed securities Commercial mortgage-backed securities $42 billion $10 billion Corporate bonds Municipals Treasuries Agency debentures Agency mortgages Small Business Administration loans OECD Governments Investment Portfolio Government/Agency Structured Securitie
Slide 4: Investment Portfolio Detail
4 > Assets selected using rigorous credit process > Performing within expectations at 9/30/08 > Diversified by asset class and geography > 93.1% AAA / AA rated at 9/30/08 > Constructed to perform well through periods of economic weakness > Unrealized after-tax AFS & HTM MTM = $(3.3)B at 9/30/08 0.1%
Slide 5: Investment Portfolio
5 Investment Portfolio $1,356M 36 29 15 8 5 Downgrades ex Munis2 $847M 32 43 7 13 1 Credit watch ex Munis1 0 49 789 $(3,282)M 84.4% AAA 8.7% AA $78.0B Q3 ‘08 0 442 558 $(1,940)M 86.7% AAA 7.6% AA $75.4B Q1 ‘08 $0 $1,364M $2,384M — — — Q3 ‘08 Asset Value 632 9 16 Downgrades2 0 375 $(684)M 88.5% AAA 6
Slide 6: Holdings by Asset Class
6 Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 9/30/08) 9,354 (3,282) 100.0 78.0 1.0% 0.1% 1.5% 4.3% 8.7% 84.4% TOTAL PORTFOLIO 572 (209) 5.9 4.6 17% — 1% 1% 50% 31% Clipper tax-exempt bonds/other 5,326 (6) 3.2 2.5 — — 4% 25% 31% 40% Municipal bonds 161 (56) 3.2 2.5 — — 25% 59% 10% 6% Co
Slide 7: Asset-Backed Securities Holdings
7 Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 9/30/08) 762 (2,091) 100.0 29.3 0.0% 0.2% 1.4% 3.1% 11.5% 83.8% TOTAL ABS 22 (79) 1.7 0.5 0% — — — 12% 88% Other 16 (59) 1.0 0.3 — 7% 4% 26% 48% 15% HELOC 253 (801) 18.8 5.5 — 1% 3% 5% 34% 57% Sub-Prime 39 (100) 5.1 1.5 — — — 2% 2%
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 (PERIOD END 9/30/08) 0 19 12 $(801)M 44.5% 57% AAA 34% AA, 5% A 3% BBB, 1% BB $5.5B Q3’08 0 12 3 $(592)M 42.6% 62% AAA 38% AA $5.7B Q2’08 $0 $706 $287M — — — — Q3 ‘08 Asset Value 0 3 0 $(574)M 41.4% 70%
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 9/30/08) SFL: 1.1% (worst historic loss experience- UK 1989) Coverage: 9.7x HCL: < 0.
Slide 10: Mortgage-Backed Securities Holdings
10 Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 9/30/08) 2,002 (937) 100.0 24.6 1.0% 0.6% 98.4% TOTAL MBS 149 (173) 17.1 4.2 0.0% 0.5% 99.5% CMBS 314 (732) 33.7 8.3 3.0% 1.5% 95.5% Non-Agency MBS 1,539 (32) 49.2 12.1 0.0% 0.0% 100.0% Agency MBS # CUSIPS A AA AAA Investment Un
Slide 11: Stress Coverage: Mortgage-Backed Securities Portfolio
11 Investment Portfolio SFL: 4.6% (2X S&P Alt-A curve) Coverage: 2.6X HCL: 0.4% Avg. CE: 11.8% Alt-A: $1.1B SFL: 4.4% (1999 Snyderman Study long-term avg.) Coverage: 5.5X SFL: 2.3% Coverage: 4X No losses expected HCL: 0.2% Avg. CE: 24.2% CMBS: $4.2B HCL: 0.2% Avg. CE: 9.14% Non-Agency MBS: $7.2B 100
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 >
Slide 13: Investment Portfolio—Monoline Insurance Coverage
13 Investment Portfolio 0.1% 0.1% BB 100% 1.0% 1.5% 4.3% 8.7% 84.4% Credit quality 100% 1.4% 1.9% 4.9% 9.0% 82.7% Credit quality unwrapped Total NR BBB A AA AAA As of 9/30/08 INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 9/30/08) 91.7% Credit quality unwrapped 93.1% Credit quality AAA
Slide 14: Total Monoline Exposure
14 Investment Portfolio TOTAL MONOLINE EXPOSURE (PERIOD END 9/30/08) # - Number of cusips * - On Rating Watch negative * + On Rating Watch positi ve 4,269 $2,252.6 1 $3 4,242 $1,953 16 $269 10 $27.6 Total AAA Aaa/*- 113 3% $70 113 $70 Assured A/*- A3 6 0% $3 6 $3 RADIAN B Ba2 375 6% $144 375 $144 CI