Exhibit 99.2

Investment Portfolio (includes effects of ABCP Conduits on 5/15/09)   As of June 30, 2009  July 21, 2009

 Asset-backed securities (ABS) Mortgage-backed securities Commercial mortgage-backed securities (CMBS)  $25 billion   $56 billion  $9 billion  Corporate bonds Municipals  Treasuries Agency debentures Agency mortgages Small Business Administration loans OECD governments  Title: 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 06/30/09)  $22 billion

Assets selected using rigorous credit process Diversified by asset class and geography  79.6% AAA / AA rated at 06/30/09 Constructed to perform well through periods of economic weakness Unrealized after-tax AFS & HTM MTM = $(4.75)B(1) at 06/30/09  INVESTMENT PORTFOLIO DETAIL (PERIOD END 06/30/09) Title: 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 06/30/09: After-Tax Unrealized MTM Gain/(Loss) includes after-tax unrealized loss on securities available for sale of ($2,742)M, after-tax unrealized loss on securities held to maturity of ($893)M and after-tax unrealized loss remaining on securities transferred from available for sale to held to maturity of ($1,112)M.  US$ 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% 06/30/09 $58.4 $10.7 $6.1 $4.0 $6.4 $1.1 $86.7  67.3% 12.3% 7.1% 4.7% 7.3% 1.3% 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.At 06/30/09: After-Tax Unrealized MTM Gain/(Loss) includes after-tax unrealized loss on securities available for sale of ($2,742)M, after-tax unrealized loss on securities held to maturity of ($893)M and after-tax unrealized loss remaining on securities transferred from available for sale to held to maturity of ($1,112)M. Due to Syncora wrap  INVESTMENT PORTFOLIO (AT PERIOD END)  Portfolio amounts are expressed at Book Value; Book Value includes the amortized cost of the transferred securities at the time they were transferred. (3) At 06/30/09: After-Tax Unrealized MTM Gain/(Loss) includes after-tax unrealized loss on securities available for sale of ($2,742)M, after-tax unrealized loss on securities held to maturity of ($893)M and after-tax unrealized loss remaining on securities transferred from available for sale to held to maturity of ($1,112)M. (4) Due to Syncora wrap  Q1 ‘08 Q2 ‘08 Q3 ‘08 Q4 ‘08 Q1 ‘09 Q2 ‘09 Q2 ‘09 Asset Value Size of portfolio $75.4B $75.0B $78.0B $78.8B $77.5B $86.7B — Ratings 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 67.3% AAA 12.3% AA — Unrealized after-tax MTM gain/(loss) $(1,940)M $(2,012)M $(3,282)M $(6,316)M $(5,851)M(3) $(4,747)M(3) — Credit watch(1) 558 43 789 62 308 88 $2.6B Credit watch ex Munis(1) 7 43 32 21 173 84 $2.4B Downgrades(2) 442 632 49 935 423 380 $4.1B Downgrades ex Munis(2) 15 29 36 164 287 164 $3.6B Defaults 0 0 0 0 0 7(4)   $0.1B

 Investment Portfolio  HOLDINGS BY ASSET CLASS (PERIOD END 06/30/09)  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 06/30/09: After-Tax Unrealized MTM Gain/(Loss) includes after-tax unrealized loss on securities available for sale of ($2,742)M, after-tax unrealized loss on securities held to maturity of ($893)M and after-tax unrealized loss remaining on securities transferred from available for sale to held to maturity of ($1,112)M.  Ratings Book Value  ($B) Book Value (% Total) Unrealized After-tax  MTM Gain/(Loss) ($M)   Investment AAA AA A BBB <BBB NR     # CUSIPS Government/Agency securities 100% 14.2 16.4 9 489 Asset-backed securities 66% 13% 8% 5% 8% 42.4 48.9 (3,085) 1,460 Mortgage-backed securities 67% 4% 5% 5% 19% 16.5 19.0 (1,193) 1,842 Commercial mortgage-backed securities 97% 2% 1% 4.2 4.8 (350) 143 Corporate bonds 2% 10% 55% 31% 2% 2.4 2.8 (4) 171 Municipal bonds 10% 53% 26% 8% 3% 2.4 2.8 39 4,906 Clipper tax-exempt bonds/other 17% 59% 1% 23% 4.6 5.3 (163) 501 TOTAL PORTFOLIO 67.3% 12.3% 7.1% 4.7% 7.3% 1.3% 86.7 100.0 (4,747) (1) 9,512

 Investment Portfolio  ASSET-BACKED SECURITIES HOLDINGS (PERIOD END 06/30/09)  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 88% 11% 1% 11.9 28.1 (579) 204 Credit Cards 79% 1% 8% 10% 2%    6.2 14.6 (37) 179 Auto/Equipment 61% 13% 17% 7% 2%    2.1 5.0 16 112 Foreign RMBS 69% 14% 12% 3% 2%    12.4 29.2 (590) 407 CLOs 71% 16% 4% 5% 4%    2.2 5.2 (152) 72 Sub-Prime 14% 29% 9% 11% 37%    5.5 13.0 (1,544) 367 HELOC    20% 1% 8% 71%    0.6 1.4 (115) 56 Other 29% 9% 21% 28% 13%    1.5 3.5 (84) 63 TOTAL ABS 66.0% 13.3% 8.0% 5.2% 7.5%    42.4 100.0 (3,085) 1,460 

Investment Portfolio  ASSET- BACKED SECURITIES COLLATERALIZED BY SUB-PRIME FIRST- LIEN MORTGAGES (AT PERIOD END)  (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.  Q1 ’08 Q2 ’08 Q3 ’08 Q4 ’08 Q1 ’09 Q2 ’09 Q2 ‘09 Asset Value Size of portfolio $5.9B $5.7B $5.5B $5.8B $5.7B $5.5B   Ratings 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 14% AAA 29% AA, 9% A 11% BBB, 37% <BBB  Credit enhancement 41.4% 42.6% 44.5% 42.7% 42.3% 41.7%   Unrealized MTM after-tax gain/(loss) $(574)M $(592)M $(801)M $(1,210)M $(1,458)M $(1,544)M   Credit watch(1) 0 3 12 3 30 0 $0 Downgrades(2) 3 12 19 75 150 22 $75M Defaults 0 0 0 0 0 0

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 06/30/09) Govt. student loans: $11.0B 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: $0.9B HCL: 2.1% - With insurance Avg. CE: 13.9% SFL: 9.3% - Assumes no insurance; industry/rating agency assumption Coverage 1.5x Credit cards: $6.2B HCL: 9.6% = wgtd. avg. charge-offs Avg. CE: 23.3% SFL: 12% - Industry projected peak charge-offs Coverage: 1.9x Auto/equipment: $2.1B HCL: 1.1% - Excluding wrapped deals Avg. CE: 14.1% - Excluding wrapped deals SFL: 2.0% - Using worst vintage in 10 years (2001) blended by portfolio weighting, excluding wrapped deals Coverage: 7.0x Foreign RMBS: $12.4B HCL: 0.2% Avg. CE: 8.5% SFL: 1.9% - Aggregate regional projection averaged by holdings Coverage: 4.4x CLO/CREs: $2.2B HCL: 4.4% - Current Gross Defaults Avg. CE: 28.5% SFL: 7.8% - Industry projection of 12% default rate with only half the long-term recovery rate of 70% Coverage: 3.7x Sub-prime: $5.5B HCL: 6.7% Avg. CE: 41.7% - AAA 55.2%, AA 51.3% SFL: 27.3% - Roll rate analysis average across all vintages Coverage 1.5X HELOC: $0.6B HCL: 0% - With insurance Avg. CE: 2.0% overcollateralization plus monoline insurance SFL: If all monoline wrappers except FSA fail and defaults stay elevated in perpetuity, and we have 0% recoveries, pre-tax loss is = $(42.3)M

 Investment Portfolio  MORTGAGE-BACKED SECURITIES HOLDINGS (PERIOD END 06/30/09)  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% 7.6 36.7 70 1,414 Non-Agency MBS 39% 8% 8% 10% 35%    8.9 43.0 (1,263) 428 CMBS 97% 2% 1% 4.2 20.3 (350) 143 TOTAL MBS 73.2% 3.9% 3.6% 4.1% 15.2%    20.7 100.0 (1,543) 1,985

Investment Portfolio  STRESS COVERAGE: MORTGAGE-BACKED SECURITIES PORTFOLIO (PERIOD END 06/30/09)  HCL = historic cumulative loss; Avg. CE = average credit enhancement; SFL = STT’s stressed future losses; Coverage = CE/SFL See Appendix for additional information. Agency MBS: $7.6B 100% AAA-backed primarily by Fannie Mae, Freddie Mac & Ginnie Mae Securities No losses expected Non-Agency Prime MBS: $7.0B      HCL: 0.71% Avg. CE: 9.08% SFL: 3.99% - Roll rate analysis Coverage: 2.3X Alt-A: $1.9B HCL: 1.68% Avg. CE: 19.95% SFL: 13.83% - Roll rate analysis Coverage: 1.4X CMBS: $4.2B HCL: 0.2% Avg. CE: 24.6% SFL: 9% - Highest historic cumulative loss for any single CMBS deal Coverage: 2.7X

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 $3.6B of insurance covers 4,054 issues Municipal bonds: $1.888B (3,931 issues) Sub-prime asset-backed securities: $84M (27 issues) Home Equity Lines of Credit: $624M (58 issues) If all securities were “unwrapped,” the 79.6% AAA/AA rating would become 78.5% AAA/AA rating*  INVESTMENT PORTFOLIO - MONOLINE INSURANCE COVERAGE (PERIOD END 06/30/09)  * Estimate based on rating agency methodology.

Investment Portfolio  INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 06/30/09)  * Estimate based on rating agency methodology.    AAA AA A BBB <BBB NR Total Credit quality 67.3% 12.3% 7.1% 4.7% 7.3% 1.3% 100% Credit quality unwrapped* 67.3% 11.2% 7.6% 4.9% 7.3% 1.7% 100%    AAA & AA Combined Credit quality 79.6% Credit quality unwrapped* 78.5%

 Investment Portfolio  TOTAL MONOLINE EXPOSURE (PERIOD END 06/30/09)  Includes Investment Portfolio, Galleon, Clipper, Schooner, Spinaker, and CTEC positions. CTEC and Portfolio muni's are reported in separate columns. # - Number of cusips  Alt-A Subprime HELOC BQ Muni Auto Loan Student Loan CLO  Other  Total  Insurer Rating  ($M) # ($M) # ($M) # ($M) # ($M) # ($M) # ($M) # ($M) # ($M) % # Moody S&P FSA  $19 3 $124 6 $701 1,429 $118 7  $53 2 $87 2 $1,102 31% 1,449 Aa3 AAA NAT-RE      $472 793       $472 13% 793 Baa1 A MBIA  $16 9 $109 13   $9 1 $3 1   $304 10 $441 12% 34 B3 BBB AMBAC $32 1 $46 12 $200 14 $237 560 $42 2    $207 6 $764 22% 595 Ba3 BBB FGIC  $3 3 $103 16 $8 14     $57 3 $171 5% 36 NR NR Syncora    $66 7 $254 643       $320 9% 650 Ca R CIFG    $22 2 $140 361   $22 1   $184 5% 364 Ba3 CC RADIAN      $2 3       $2 0% 3 Ba1 BBB-/* Assured      $74 128   $41 2   $115 3% 130 Aa2 AAA Total $32 1 $84 27 $624 58 $1,888 3,931 $169 10 $3 1 $116 5 $655 21 $3,571  4,054

Investment Portfolio  CAPITAL STRUCTURE (AT PERIOD END)  For a description, and as applicable, a reconciliation of the above ratios, see “Additional Information” in, and the addendum to, the accompanying second quarter 2009 State Street Corporation earnings press release dated July 21, 2009.Minimum “Well Cap” Tier 1 Leverage applies to State Street Bank only. State Street Corp State Street Bank    "Well Cap"   Q1 ‘09    Q2 ‘09     Q1 ‘09    Q2 ‘09    Tier 1 Leverage 5%   10.44%   7.26%    9.91%   6.62%   Tier 1 Capital 6%   19.13%   14.49%    18.37%   13.34%   Tier 1 Common Ratio    14.75%   12.54%        Total Capital 10%  20.49%  15.83%   19.87%   14.91%   Tangible Common Equity    5.87%   4.96% TCE / RWA 8.50% 8.15%

Investment Portfolio  TCE IMPROVEMENT PLAN  For a description, and as applicable, a reconciliation of the above ratios, see “Additional Information” in, and the addendum to, the accompanying second quarter 2009 State Street Corporation earnings press release dated July 21, 2009.    Q1 ‘09 Q2 ‘09 Q3 ’09 Forecast Q4 ’09 Forecast TCE Ratio at beginning of period 1.19% 2.22% 4.96% 5.68% Organic capital +29 bps +51 bps +43 bps +46 bps Dividend reduction +8 bps +8 bps +8 bps +8 bps Price improvement +30 bps +51 bps +0 bps +0 bps Securities paying down / maturing +21 bps +26 bps +43 bps +37 bps Capital issuance +0 bps +188 bps +0 bps +0 bps TARP repay (include warrant) +0 bps -9 bps -2 bps +2 bps Balance sheet ∆ +15 bps -41 bps -20 bps -12 bps TCE Ratio at end of period 2.22% 4.96% 5.68% 6.49%

 Investment Portfolio  TCE CALCULATIONS (AT PERIOD END) – STATE STREET CORP Tangible Common Equity Ratio Regulatory Ratios Q1 ‘09 Q2 ‘09    Q1 ‘09 Q2 ‘09 Common equity  11,969 12,103    Tier 1 capital  14,567  10,740  Total goodwill and intangibles 6,302  6,337 Tier 1 common  11,228  9,290 Adjusted equity 5,667 5,766    Total capital    15,603 11,728  DTL - nondeductible purchased intangibles 540 532 Tangible common equity 6,207 6,298    Adjusted average assets  139,573 147,846 Risk-weighted assets  76,138   74,103 Total assets - end of period  142,144   153,421 Less: Tier 1 leverage ratio 10.44% 7.26% Total goodwill and intangibles 6,302 6,337 Tier 1 capital ratio 19.13% 14.49%  AMLF Assets 740  300    Tier 1 common ratio 14.75% 12.54%  Deposits with central bank  29,963 20,449    Total capital ratio 20.49% 15.83% Adjusted assets 105,139 126,335 DTL - nondeductible purchased intangibles 540  532 Total tangible assets 105,679 126,867  Tangible common equity ratio 5.87% 4.96%

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 17.85% with a recovery rate of approximately 48%.Credit Cards:  Based on the average industry projections for peak charge-offs in the current credit cycle.Auto/Equipment:  Based on the worst annual cumulative net loss vintage (2001) going back to 1997 using 65% Barclay’s prime auto index, 34% 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 33% US, 67% 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 Spanish MBS: 3.0% Used a 4x multiple to the worst performing Spanish RMBS transaction’s cumulative default rate and a historically   conservative recovery rate. Italian MBS: 1.5% Used a 2x multiple to the worst performing Italian RMBS transaction’s cumulative default rate and a historically   conservative recovery rate. Russian MBS: 8.0% Used a 4x multiple to the worst performing Russian RMBS transaction’s cumulative default rate and a historically   conservative recovery rate. Greek MBS: 1.0% Used an additional 2-3x stress to the worst performing Greek RMBS transaction’s cumulative gross default figure,   which was 0.7% Portuguese MBS: 4.0% Used a 4x multiple to the worst performing Portuguese RMBS transaction’s cumulative default rate and a    historically conservative recovery rate. 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 70% severity rate for 2006 and 2007 vintages, a 65% for 2005 vintages, and a 55% severity rate for vintages prior to 2005 was 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. 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.