Exhibit 99.3
Investment Portfolio As of March 31, 2009 April 21, 2009
Asset-backed securities (ABS) Mortgage-backed securities Commercial mortgage-backed securities (CMBS) $25 billion $42 billion $10 billion Corporate bonds Municipals Treasuries Agency debentures Agency mortgages Small Business Administration loans OECD governments Investment Portfolio Government / Agency Structured Securities Unsecured Credit Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. OECD=Organization for Economic Co-operation and development ASSETS: INVESTMENT PORTFOLIO (PERIOD END 03/31/09) $26 billion
Assets selected using rigorous credit process All (9,000+) securities are current as to principal and interest at 03/31/09 Diversified by asset class and geography 84.3% AAA / AA rated at 03/31/09 Constructed to perform well through periods of economic weakness Unrealized after-tax AFS & HTM MTM = $(5.85)B(1) at 03/31/09 INVESTMENT PORTFOLIO DETAIL (PERIOD END 03/31/09) Investment Portfolio Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. (1) At 03/31/09: After-Tax Unrealized MTM Gain/(Loss) includes after-tax unrealized loss on securities available for sale of ($3,583)M, after-tax unrealized loss on securities held to maturity of ($1,069)M and after-tax unrealized loss remaining on securities transferred from available for sale to held to maturity of ($1,199)M. US$ in billions AAA AA A BBB <BBB NR Total 12/31/04 $35.2 $0.7 $1.2 $0.1 - $0.5 $37.7 93.4% 1.9% 3.3% 0.3% - 1.1% 100.0% 12/31/07 $67.0 $4.9 $2.2 $0.8 - $0.8 $75.7 88.5% 6.5% 2.9% 1.1% - 1.0% 100.0% 12/31/08 $61.6 $8.8 $3.9 $2.9 $0.8 $0.8 $78.8 78.2% 11.1% 4.9% 3.7% 1.1% 1.0% 100.0% 03/31/09 $56.6 $8.7 $3.8 $3.0 $4.6 $0.8 $77.5 73.1% 11.2% 4.9% 3.8% 6.0% 1.0% 100.0%
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 downgraded in respective quarter. (3) At 03/31/09: After-Tax Unrealized MTM Gain/(Loss) includes after-tax unrealized loss on securities available for sale of ($3,583)M, after-tax unrealized loss on securities held to maturity of ($1,069)M and after-tax unrealized loss remaining on securities transferred from available for sale to held to maturity of ($1,199)M. INVESTMENT PORTFOLIO (AT PERIOD END) Q4 ‘07 Q1 ‘08 Q2 ‘08 Q3 ‘08 Q4 ‘08 Q1 ‘09 Q1 ‘09 Asset Value Size of portfolio $75.7B $75.4B $75.0B $78.0B $78.8B $77.5B — Ratings 88.5% AAA 6.5% AA 86.7% AAA 7.6% AA 84.4% AAA 8.7% AA 84.4% AAA 8.7% AA 78.2% AAA 11.1% AA 73.1% AAA 11.2% AA — Unrealized after-tax MTM gain/(loss) $(684)M $(1,940)M $(2,012)M $(3,282)M $(6,316)M $(5,851)M(3) — Credit watch(1) 375 558 43 789 62 308 $5.7B Credit watch ex Munis(1) 13 7 43 32 21 173 $5.5B Downgrades(2) 9 442 632 49 935 423 $8.5B Downgrades ex Munis(2) 8 15 29 36 164 287 $7.8B Defaults2 0 0 0 0 0 0 $0 Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred.
Investment Portfolio HOLDINGS BY ASSET CLASS (PERIOD END 03/31/09) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. (1) At 03/31/09: After-Tax Unrealized MTM Gain/(Loss) includes after-tax unrealized loss on securities available for sale of ($3,583)M, after-tax unrealized loss on securities held to maturity of ($1,069)M and after-tax unrealized loss remaining on securities transferred from available for sale to held to maturity of ($1,199)M. Ratings Book Value ($B) Book Value (% Total) Unrealized After-tax MTM Gain/(Loss) ($M) Investment AAA AA A BBB <BBB NR # CUSIPS Government/agency securities 100% — — — — — 14.9 19.2 11 503 Asset-backed securities 72% 11% 4% 4% 9% — 29.3 37.8 (3,642) 928 Mortgage-backed securities 78% 4% 4% 4% 10% — 19.7 25.4 (1,499) 1,896 Commercial mortgage-backed securities 98% 1% 1% — — — 4.0 5.2 (445) 141 Corporate bonds 4% 9% 56% 27% 3% 1% 2.6 3.4 (60) 188 Municipal bonds 10% 54% 22% 12% — 2% 2.5 3.2 45 5,074 Clipper tax-exempt bonds/other 18% 65% 0% 1% — 16% 4.5 5.8 (261) 533 TOTAL PORTFOLIO 73.1% 11.2% 4.9% 3.8% 6.0% 1.0% 77.5 100.0 (5,851)(1) 9,263
Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 03/31/09) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. Consistent with our previously disclosed valuation methodology, State Street utilizes a variety of sources of information in determining fair values. During the fourth quarter, the FFELP government guaranteed student loan price source changed to model pricing due to lack of market transactions. Ratings Book Value ($B) Book Value (% Total) Unrealized After-tax MTM Gain/(Loss) ($M) Investment AAA AA A BBB <BBB NR # CUSIPS Student Loans 89% 10% 1% — — — 9.9 33.8 (729) 171 Credit Cards 89% 4% 3% 4% — — 4.9 16.7 (419) 131 Auto/Equipment 66% 20% 5% 9% — — 1.1 3.7 (33) 76 Foreign RMBS 90% 3% 2% 0% 5% — 5.6 19.1 (510) 95 CLOs 84% 7% 6% 3% — — 1.4 4.8 (287) 38 Sub-Prime 17% 28% 9% 10% 36% — 5.7 19.5 (1,458) 372 HELOC 0% 14% 0% 55% 31% — 0.2 0.7 (95) 16 Other 34% 2% 15% 21% 28% 0% 0.5 1.7 (111) 29 TOTAL ABS 72.4% 11.4% 3.6% 3.9% 8.7% 0.0% 29.3 100.0 (3,642) 928
Investment Portfolio TCE IMPROVEMENT PLAN – IMPACT ON PRO FORMA TCE OF AAA SECURITIES ONLY Pro Forma TCE ratio* Mar 31, 2009 *The estimated pro forma impact to State Street Corporation’s TCE assumes: All four State Street-sponsored unconsolidated conduits, with combined assets of approximately $22.5 billion at March 31, 2009, are consolidated onto the balance sheet of State Street Bank and Trust on March 31, 2009; assets of the conduits are recorded at estimated fair value. Impact of Unrealized Mark on Investment Portfolio AAA Securities +42 bps +27 bps +27 bps –7 bps +2 bps +19 bps +21 bps +20 bps +4 bps +10 bps
Investment Portfolio ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 03/31/09) Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. Consistent with our previously disclosed valuation methodology, State Street utilizes a variety of sources of information in determining fair values. During the fourth quarter, the FFELP government guaranteed student loan price source changed to model pricing due to lack of market transactions. Ratings Book Value ($B) Book Value (% Total) Unrealized After-tax MTM Gain/(Loss) ($M) Investment AAA AA A BBB <BBB NR # CUSIPS Student Loans 89% 10% 1% — — — 9.9 33.8 (729) 171 Credit Cards 89% 4% 3% 4% — — 4.9 16.7 (419) 131 Auto/Equipment 66% 20% 5% 9% — — 1.1 3.7 (33) 76 Foreign RMBS 90% 3% 2% 0% 5% — 5.6 19.1 (510) 95 CLOs 84% 7% 6% 3% — — 1.4 4.8 (287) 38 Sub-Prime 17% 28% 9% 10% 36% — 5.7 19.5 (1,458) 372 HELOC 0% 14% 0% 55% 31% — 0.2 0.7 (95) 16 Other 34% 2% 15% 21% 28% 0% 0.5 1.7 (111) 29 TOTAL ABS 72.4% 11.4% 3.6% 3.9% 8.7% 0.0% 29.3 100.0 (3,642) 928
Investment Portfolio ASSET- BACKED SECURITIES COLLATERALIZED BY SUB-PRIME FIRST- LIEN MORTGAGES (AT PERIOD END) Q4 ’07 Q1 ’08 Q2 ’08 Q3 ’08 Q4 ’08 Q1 ’09 Q1 ‘09 Asset Value Size of portfolio $6.2B $5.9B $5.7B $5.5B $5.8B $5.7B — Ratings 71% AAA 29% AA 70% AAA 30% AA 62% AAA 38% AA 57% AAA 34% AA, 5% A 3% BBB, 1% BB 38% AAA 32% AA, 10% A 17% BBB, 3% <BBB 17% AAA 28% AA, 9% A 10% BBB, 36% <BBB Credit enhancement 39.8% 41.4% 42.6% 44.5% 42.7% 42.3% — Unrealized MTMafter-tax gain/(loss) $(314)M $(574)M $(592)M $(801)M $(1,210)M $(1,458)M — Credit watch(1) 3 0 3 12 3 30 $238M Downgrades(2) 0 3 12 19 75 150 $3,707M Defaults 0 0 0 0 0 0 $0 (1) Securities/municipals and corporate issuers added to negative credit watch within the respective quarter, excluding downgrades. (2) Securities/municipals and corporate Issuers downgraded in respective quarter. Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred.
Investment Portfolio HCL = historic cumulative loss; Avg. CE = average credit enhancement; CRE= Commercial Real Estate; SFL = STT’s stressed future losses; Coverage = Avg. CE/SFL See Appendix for additional information. STRESS COVERAGE: ASSET-BACKED SECURITIES PORTFOLIO (PERIOD END 03/31/09) Govt. student loans: $9.2B HCL: < 0.1% Avg. CE: >100% - 98% govt. guarantee + 5.5% CE SFL: 12% - Historic default rate before government guarantees with 0% recoveries With >100% credit enhancement, no risk of loss Private student loans: $0.7B HCL: 2.2% - With insurance Avg. CE: 12.9% SFL: 8.6% - Assumes no insurance; industry/rating agency assumption Coverage 1.5x Credit cards: $4.9B HCL: 7.7% = wgtd. avg. charge-offs Avg. CE: 20.7% SFL: 12% - Industry projected peak charge-offs Coverage: 1.7x Auto/equipment: $1.1B HCL: 1.1% - Excluding wrapped deals Avg. CE: 17.6% - Excluding wrapped deals SFL: 2.5% - Using worst vintage in 10 years (2001) blended by portfolio weighting, excluding wrapped deals Coverage: 7.0x Foreign RMBS: $5.6B HCL: 0.1% Avg. CE: 12.0% SFL: 2.5% - Aggregate regional projection averaged by holdings Coverage: 4.8x CLO/CREs: $1.4B HCL: 2.8% - Estimated on Current Defaults Avg. CE: 27.4% SFL: 7.8% - Industry projection of 12% default rate with only half the long-term recovery rate of 70% Coverage: 3.5x Sub-prime: $5.7B HCL: 5.7% Avg. CE: 42.3% - AAA 54.1%, AA 51.7% SFL: 23.1% - Roll rate analysis average across all vintages Coverage 1.8X HELOC: $0.2B HCL: 0% - With insurance Avg. CE: 2.5% overcollateralization plus monoline insurance SFL: If all monoline wrappers except FSA fail and defaults stay elevated in perpetuity, and we have 0% recoveries, after tax loss is pre-tax = $(23.7)M
Investment Portfolio MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 03/31/09) Ratings Book Value ($B) Book Value (% Total) Unrealized After-tax MTM Gain/(Loss) ($M) Investment AAA AA A BBB <BBB NR # CUSIPS Agency MBS 100% 0% 0% 0% 0% 0% 10.7 45.1 98 1,521 Non-Agency MBS 51% 9% 9% 9% 22% 0% 9.0 38.0 (1,597) 375 CMBS 98% 1% 1% 0% 0% 0% 4.0 16.9 (445) 141 TOTAL MBS 81.2% 3.5% 3.5% 3.3% 8.5% 0.0% 23.7 100.0 (1,944) 2,037
Investment Portfolio STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 03/31/09) HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFL Agency MBS: $10.7B 100% AAA-backed primarily by Fannie Mae, Freddie Mac & Ginnie Mae Securities No losses expected Non-Agency Prime MBS: $7.4B HCL: 0.47% Avg. CE: 8.73% SFL: 3.38% - Roll rate analysis Coverage: 2.6X Alt-A: $1.6B HCL: 0.98% Avg. CE: 11.7% SFL: 6.9% - Roll rate analysis Coverage: 1.7X CMBS: $4.0B HCL: 0.2% Avg. CE: 24.5% SFL: 9% - Highest historic cumulative loss for any single CMBS deal Coverage: 2.7X See Appendix for additional information.
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 $2.4B of insurance covers 4,093 issues Municipal bonds: $1.869B (4,041 issues) Sub-prime asset-backed securities: $80M (25 issues) Home Equity Lines of Credit: $251M (16 issues) If all securities were “unwrapped,” the 84.3% AAA/AA rating would become 82.8% AAA/AA rating* INVESTMENT PORTFOLIO - MONOLINE INSURANCE COVERAGE (PERIOD END 03/31/09) * Estimate based on rating agency methodology.
Investment Portfolio INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 03/31/09) * Estimate based on rating agency methodology. AAA AA A BBB <BBB NR Total Credit quality 73.1% 11.2% 4.9% 3.8% 6.0% 1.0% 100% Credit quality unwrapped* 73.0% 9.8% 5.9% 3.8% 6.0% 1.5% 100% AAA & AA Combined Credit quality 84.3% Credit quality unwrapped* 82.8%
Investment Portfolio TOTAL MONOLINE EXPOSURE (PERIOD END 03/31/09) Investment Portfolio INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 03/31/09) * Estimate based on rating agency methodology. AAA AA A BBB <BBB NR Total Credit quality 73.1% 11.2% 4.9% 3.8% 6.0% 1.0% 100% Credit quality unwrapped* 73.0% 9.8% 5.9% 3.8% 6.0% 1.5% 100% AAA & AA Combined Credit quality 84.3% Credit quality unwrapped* 82.8%
Investment Portfolio APPENDIX
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 summarize key performance statistics including credit enhancement and the stress analysis, as determined by State Street for each asset position. It should be noted that slides represent a point in time depiction and that results can fluctuate each month. We place our securities into asset classes using industry standard nomenclature. Some of the asset classes detailed in the slides include government student loans (“Govt. student loans”), private student loans, credit cards, automobile and equipment (“Auto/equipment”), foreign residential mortgage-backed security (“Foreign RMBS”), collateralized loan obligations (“CLOs”), sub-prime mortgages (“Sub-prime”), Home Equity Line of Credit (“HELOC”), agency mortgage-backed security (“Agency MBS”), non-agency mortgage-backed security, non-alternative A (“Non-Agency MBS, Non-Alt-A”), non-agency mortgage-backed security, alternative A (“Non-Agency MBS, Alt-A”), and commercial mortgage-backed securities (“CMBS”). As noted in the slides, State Street’s investment portfolio contains asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”). ABS represent a secured interest in a pool of assets, while MBS represent ownership of an undivided interest in a group of mortgages. In evaluating each asset position for potential stressed future losses (“SFL”), State Street considers a number of factors including historical cumulative loss (“HCL”), average credit enhancement (“Avg. CE”), and State Street’s coverage amount (“Coverage”). The calculation of each of these factors is discussed in detail and with more specificity below. SFL Stressed future losses are State Street’s estimate of potential future losses under a stressed economic scenario. We can not provide a generic calculation applicable across all asset classes as our estimates for each asset class are unique and in many cases are not a calculation, but a figure based upon our subjective assessment of relevant worst case historical performance. In the cases where we calculate a projected loss ourselves we describe the calculation in the slides. As SFL can be based upon historical worst case scenarios, SFL will vary among the asset classes, which we describe in our slides. Certain assumptions made by State Street in estimating SFL for various asset classes are set forth below. INFORMATION CONCERNING OUR INVESTMENT PORTFOLIO
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 16.6% with a recovery rate of approximately 48%. Credit Cards: Based on the high end of industry projections for peak charge-offs in the current credit cycle. Most projections exceed the historical high of 7.5%. Auto/Equipment: Based on the worst annual cumulative net loss vintage (2001) going back to 1997 using 79% Barclay’s prime auto index, 20% Barclay’s near prime auto index, and 1% Barclay’s sub prime index, consistent with the split of the portfolio’s prime, near prime, and sub prime auto holdings after backing out deals wrapped by monoline insurers. This is combined with the worst experience of an agency international auto index on a 56% US, 44% non-US weighted basis. Foreign RMBS: Applied the following assumptions weighted by regional exposure Australian MBS: 0.0% No losses expected Dutch MBS: 0.5% Based on historical Dutch performance, which in recent years has been 0.05% UK Prime MBS: 2.5% Used a simple average of five worst historical performing vintages, using historical severities UK Non-conforming: 7.5% No historical performance available, so used 3X Prime, which is consistent with that used by rating agencies CLOs: Based on an industry projection of 12% spec. grade default rate with half of the long-term recovery rate on senior secured bank loans of 70%. The average recover rate of 70% is from data covering issues from 1982-2005. 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 60% severity rate for 2006 and 2007 vintages then applied to obtain the stressed future net loss. HELOC: Main assumptions include – 100% loss severity, projected loss rate of current 3-month average loss rate and projected payment rates at current 3-month average payment rates.
Agency MBS: No losses are assumed due to implied (Fannie Mae and Freddie Mac) or explicit (Ginnie Mae) government guarantee. Non-Agency MBS (Prime): 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. An interpolated severity based on current LTV and a future negative HPA assumption. Non-Agency MBS (Alt-A): 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. An interpolated severity based on current LTV and a future negative HPA assumption. CMBS: Based on the worst historical cumulative loss ever experienced by any one CMBS securitized deal. U.S. RMBS: Based on the July 2008 S&P cumulative Alt-A default rate curve. U.S. RMBS-HELOC: Main assumptions include – 100% loss severity, projected loss rate of current 3-month average loss rate and projected payment rates at current 3-month average payment rates. AUS RMBS: Based on twice the average cumulative mortgage insurance claims frequency of 0.72%. UK RMBS: Based on twice the worst annual cumulative net loss experience in the UK (1989). European RMBS: Based on the UK RMBS SFL as a proxy of the European market as a whole. Investment Portfolio – Appendix
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 recent year, over-collateralization, cash reserves, and subordination. Coverage Coverage is calculated by dividing CE by SFL, which results in the coverage multiple. Coverage is provided as a measure of excess enhancement above our projected future losses under a stressed economic scenario. As noted above and in the slides, in performing these calculations we collect and use information provided by third party providers. The information we used to create these slides included information from the latest surveillance reports that included data from servicer reports received during the most recent month. Third party sources use assumptions, judgments and estimates in determining data, and different third parties may provide different data. It should be noted that certain securities report on a quarterly vs. monthly basis. For those securities, the most recent available information was used. It should be noted that industry information, rather than portfolio experience was used in certain instances where industry information resulted in a more conservative approach. State Street does not independently verify the data obtained from third party providers that is used in determining and estimating SFL, HCL, Avg. CE and Coverage and the information is subject to the risk of inaccuracy. As noted above and in the slides, State Street’s estimates are based upon various subjective assumptions, and there is no assurance that these assumptions accurately predict maximum potential or likely future losses.