Investment Portfolio

>

As of September 30, 2008

October 15, 2008

Exhibit 99.3

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

After-tax Unrealized MTM Gain/(Loss)

(4,000)

(3,500)

(3,000)

(2,500)

(2,000)

(1,500)

(1,000)

(500)

0

FOMC

Cuts

75 bps

Bearns

Stearns

Collapse

Monolines

Downgraded

Fannie and

Freddie

Takeover

Lehman

Fails

Milllions

%

FOMC

Cuts

50 bps

Northern

Rock

Takeover

FOMC

Cuts

75 bps

Widespread        

Writedowns and     

Capital Issuances

IndyMac

Collapse

Housing Bill

Signed

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 Securities

Unsecured Credit

Portfolio

amounts

are

expressed

at

Book

Value.

ASSETS: INVESTMENT PORTFOLIO (PERIOD END 9/30/08)

$26 billion

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%

$0.1

-

-

-

-

BB

100.0%

1.0%

1.1%

2.9%

6.5%

88.5%

$75.7

$0.8

$0.8

$2.2

$4.9

$67.0

2007

100.0%

1.0%

1.5%

4.3%

8.7%

84.4%

$78.0

$0.8

$1.2

$3.3

$6.8

$65.8

Q3 ‘08

100.0%

1.1%

0.3%

3.3%

1.9%

93.4%

$37.7

$0.5

$0.1

$1.2

$0.7

$35.2

2004

Total

NR

BBB

A

AA

AAA

$ in billions

INVESTMENT PORTFOLIO DETAIL (PERIOD END 9/30/08)

Portfolio

amounts

are

expressed

at

Book

Value.

Investment Portfolio

5

Investment Portfolio

$1,356M

36

29

15

8

5

Downgrades ex Munis

2

$847M

32

43

7

13

1

Credit watch ex Munis

1

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

Downgrades

2

0

375

$(684)M

88.5% AAA

6.5% AA

$75.7B

Q4 ‘07

43

1

Credit watch

1

0

0

Defaults

2

$(2,012)M

$(513)M

Unrealized after-tax MTM gain/(loss)

84.4% AAA

8.7% AA

89.3% AAA

5.6% AA

Ratings

$75.0B

$77.9B

Size of portfolio

Q2 ‘08

Q3 ‘07

1

Securities

added

to

negative

credit

watch

within

the

respective

quarter,

excluding

downgrades

2

Event

occurred

in

respective

quarter

Portfolio

amounts

are

expressed

at

Book

Value.

INVESTMENT PORTFOLIO (PERIOD END 9/30/08)

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%

Corporate bonds

149

(173)

5.4

4.2

—

—

—

—

1%

99%

Commercial

mortgage-

backed securities

1,853

(764)

26.1

20.4

—

—

—

1%

1%

98%

Mortgage-backed

securities

762

(2,091)

37.6

29.3

—

0%

1%

3%

12%

84%

Asset-backed securities

531

17

18.6

14.5

—

—

—

—

—

100%

Government/Agency

securities

# CUSIPS

NR

BB

BBB

A

AA

AAA

Investment

Unrealized After-tax 

MTM Gain/(Loss)

($M)

Book Value

(% Total)

Book Value 

($B)

Ratings

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%

96%

CLOs

101

(171)

20.1

5.9

—

—

—

1%

3%

96%

Foreign RMBS

40

(15)

3.5

1.0

—

—

5%

9%

9%

77%

Auto/Equipment

110

(213)

16.7

4.9

—

—

4%

6%

2%

88%

Credit Cards

181

(653)

33.1

9.7

—

—

—

1%

9%

90%

Student Loans

# CUSIPS

NR

BB

BBB

A

AA

AAA

Investment

Unrealized After-tax 

MTM Gain/(Loss)

($M)

Book Value

(% Total)

Book Value 

($B)

Ratings

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% AAA

30% AA

$5.9B

Q1 ’08

3

0

Credit watch¹

0

0

Defaults

0

0

Downgrades²

$(314)M

$(149)M

Unrealized MTM

after-tax gain/(loss)

39.8%

37.6%

Credit enhancement

71% AAA

29% AA

73% AAA

27% AA

Ratings

$6.2B

$6.6B

Size of portfolio

Q4 ’07

Q3 ’07

1

Securities

added

to

negative

credit

watch

within

the

respective

quarter,

excluding

downgrades

2

Event

occurred

in

respective

quarter

Portfolio

amounts

are

expressed

at

Book

Value.

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: < 0.1%

Avg. CE: 10.7%

Foreign RMBS: $5.9B

SFL:

7.5%

(worst

single

month

annualized-November

2005)

Coverage: 2.5x

HCL: 6.1% (= wgtd. avg. charge-offs)

Avg. CE: 19.0%

Credit cards $4.9B

SFL:

7.2%

(assumes

no

insurance;

industry/rating

agency

assumption)

Coverage 2.0x

HCL: 0.6% (with insurance)

Avg. CE: 14.7% (excluding excess spread)

Private student loans: $0.7B

SFL:

if

all

monoline

wrappers

except

FSA

fail

and

default

spreads

stay

elevated

in

perpetuity

and

we

have

0%

recoveries,

after

tax

loss

$(29)M

SFL:21.2%

(roll

rate

analysis,

previous

worst

is

4%-2000)

Coverage 2.1X

SFL:

4.5%

(double

the

average

default

rate

of

3.5%

with

half

the

long-term

recovery

rate

of

70%)

Coverage: 5.8x

SFL:

2.8%

(using

worst

vintage

in

10

years-2000)

Coverage: 5.0x

SFL:

12%

(historic

default

rate

before

government

guarantees

with

0%

recoveries)

With

100%

credit

enhancement,

no

risk

of

loss

HCL: 0% (with insurance)

Avg.

CE:

3.5%

overcollateralization

plus

monoline

insurance

HELOC: $269M

HCL: 3.7%

Avg. CE: 44.5% (AAA 44.6, AA 47.8)

Sub-Prime $5.5B

HCL: <1.0%

Avg. CE: 26.3%

CLO/CREs: $1.5B

HCL: 0.8%

Avg. CE: 13.9%

Auto/equipment: $1.0B

HCL: < 0.1%

Avg. CE: +100% (98% govt. guarantee + 5.5%  CE)

Govt. student loans: $9.0B

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

Unrealized After-tax 

MTM Gain/(Loss)

($M)

Book Value

(% Total)

Book Value 

($B)

Ratings

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%

AAA-backed

primarily

by

Fannie

Mae,

Freddie

Mac

&

Ginnie

Mae

Securities

Agency MBS: $12.1B

STRESS

COVERAGE:

MORTGAGE-BACKED

SECURITIES

PORTFOLIO

(PERIOD

END

9/30/08)

HCL

=

historic

cumulative

loss;

Avg.

CE

=

average

credit

enhancement;

SFL

=

STT’s

stressed

future

losses;

Coverage

=

CE/SFL

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

>

$2.3B

of

insurance

covers

4,269

issues

–

Municipal

bonds:

$1.953B

(4,242

issues)

–

Sub-prime

asset-backed

securities:

$27.6M

(10

issues)

–

Home

Equity

Lines

of

Credit:

$269M

(16

issues)

>

If

all

securities

were

“unwrapped,”

the

93.1%

AAA/AA

rating

would

become

91.7%

AAA/AA

rating

INVESTMENT PORTFOLIO—MONOLINE INSURANCE COVERAGE (PERIOD END 9/30/08)

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 & AA Combined

14

Investment Portfolio

TOTAL

MONOLINE

EXPOSURE

(PERIOD

END

9/30/08)

#

-

Number

of

cusips

*

-

On

Rating

Watch

negative

*

+

On

Rating

Watch

positive

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

CIFG

BBB-/*-

B2/*+

687

12%

$268

687

$268

Syncora

BB/*-

B1

249

9%

$192

242

$159

4

$29

3

$4

FGIC

AA

Aa3/*-

621

17%

$386.2

613

$257

7

$129

1

$0.2

AMBAC

AA

A2/*-

671

17%

$376.4

1

$3

664

$303

3

$70

3

$0.4

MBIA

AAA

Aaa/*-

1,547

36%

$813

1,542

$749

2

$41

3

$23

FSA

S&P

Moody

#

%

($mm)

#

($mm)

#

($mm)

#

($mm)

#

($mm)

Insurer Rating

Total

Student Loan

Municipal

HELOC

Subprime