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UNITED STATES DEPARTMENT OF THE TREASURY

OFFICE OF FINANCIAL STABILITY

Warrant Disposition Report

Troubled Asset Relief Program
Office of Financial Stability

Executive Summary .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  . 1
Background  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  . 3
Warrant Disposition Process .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  . 4
Treasury’s Evaluation of Issuer’s Bid  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  . 5
Repurchases of Warrants .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  . 8
Auctions of Warrants .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  . 9
Warrant Portfolio as of December 31, 2009 .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  . 11
	

Appendix I – Legislative Background .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  . 13

	

Appendix II – Detailed Tables of Warrant Repurchases and Auctions .  .  .  .  .  .  . 14

	

Appendix III – Warrant Disposition Details  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  . 17

	

Appendix IV – Changes in Market Conditions from Issuer Bid to Auction .  .  .  .  .  .  .  . 52

	

Table of Contents

Table of Contents

Appendix V – Qualified Equity Offerings  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  .  . 53

Warrant Disposition Report

iii

Executive Summary
The Emergency Economic Stabilization Act of 2008 (EESA) requires that Treasury receive warrants in
connection with the purchase of troubled assets.
A major part of the TARP was the CPP. It was created in October 2008 to stabilize the financial system by providing
capital to viable banks of all sizes nationwide. Under this program, Treasury invested $205 billion in 707 banks.

Executive Summary

The U.S. Department of the Treasury (Treasury) is pleased to present its TARP Warrant Disposition
Report as of December 31, 2009. This report provides an overview of the warrants received by
Treasury under the Capital Purchase Program (CPP) of the Troubled Asset Relief Program (TARP)
and an explanation of the warrant disposition process and the results achieved on behalf of taxpayers.

Under the CPP, Treasury purchased shares of senior preferred stock or other securities from qualifying U.S.controlled banks, savings associations, and other financial institutions. As part of its investment, Treasury also
received warrants to purchase shares of common stock or other securities from the banks. The purpose of the
warrants was to provide taxpayers with an additional potential return on the government’s investment.
To date, the disposition of warrants has succeeded in significantly increasing taxpayer returns on the CPP preferred
investments that have been repaid. As of December 31, 2009, Treasury has received $4 billion in gross proceeds on
the disposition of warrants in 34 banks, consisting of (i) $2.9 billion from repurchases by the issuers at agreed upon
fair market values and (ii) $1.1 billion from auctions.1 For those 34 institutions, Treasury received an absolute return
of 3.1% from dividends and an added 5.7% return from the sale of the warrants for a total absolute return of 8.8%.2
These returns are not predictive of the eventual return on the entire CPP portfolio.
When a bank repays the CPP investment, it has the right to repurchase its warrants at an agreed upon fair market
value. The warrants do not trade on any market and do not have observable market prices. Accordingly, Treasury has
established a methodology for evaluating a company’s determination of fair market value. If a bank chooses not to
repurchase its warrants, then Treasury intends to sell the warrants to a third party.
The first CPP warrant repurchase was completed in May 2009, and Treasury began the public sale of warrants
to third parties in December 2009. Treasury follows a consistent process to dispose of the CPP warrants for all
banks, regardless of the size of the institution or the warrant position. This process is designed to ensure that
taxpayers receive fair market value for the CPP warrants whether they are repurchased by the issuer or sold to a
third party.
At the end of 2009, Treasury held warrants in 18 institutions that have fully redeemed the CPP investment, and
Treasury intends to sell those positions in the near future. Treasury also holds warrants in 230 public companies
that have not repaid the CPP investments. In addition, Treasury also holds warrants in public companies in
connection with other TARP programs, such as the Targeted Investment Program (TIP) and the Asset Guarantee
Program (AGP). For example, Treasury holds warrants in Bank of America Corporation associated with both
CPP (121,792,790 shares with an exercise price of $30.79) and TIP (150,375,940 shares with an exercise price of
$13.30). Treasury’s disposition process is the same for warrants acquired under all TARP programs.

1	

Six private banks have also repurchased the warrant preferred shares that Treasury exercised at the time of purchase.
See Footnote 4 and the last table in Appendix II.

2	

Returns not annualized.

Warrant Disposition Report

1

Executive Summary

The table below shows the proceeds from the eight largest warrant repurchases and the three warrant auctions as
of December 31, 2009.
Figure 1 : Summary of Gross Proceeds from Sale of Public Warrants as of December 31, 2009

Institution Name
REPURCHASES
Goldman Sachs Group, Inc.
Morgan Stanley
American Express Company
U.S. Bancorp
Bank of New York Mellon
Northern Trust Corporation
BB&T Corporation
State Street Corporation
Others
Total
AUCTIONS
JPMorgan Chase & Co.
Capital One Financial Corp.
TCF Financial Corporation
Total

2

Ticker

Preferred
Repurchase
Date

Preferred
Amount
($millions)

GS
MS
AXP
USB
BK
NTRS
BBT
STT

6/17/09
6/17/09
6/17/09
6/17/09
6/17/09
6/17/09
6/17/09
6/17/09

$10,000.0
$10,000.0
$3,388.9
$6,599.0
$3,000.0
$1,576.0
$3,133.6
$2,000.0
$1,558.2

31
JPM
COF
TCF
3

Warrant Disposition Report

Warrant
Repurchase/
Auction
Date
7/22/09
8/12/09
7/29/09
7/15/09
8/5/09
8/26/09
7/22/09
7/8/09

$41,255.7
6/17/09
6/17/09
4/22/09

$25,000.0
$3,555.2
$361.2
$28,916.4

Gross
Warrant
Proceeds
($millions)
$1,100.0
$950.0
$340.0
$139.0
$136.0
$87.0
$67.0
$60.0
$38.0
$2,917.0

12/10/09
12/3/09
12/15/09

$950.3
$148.7
$9.6
$1,108.6

As required by EESA, Treasury received warrants from CPP banks to provide taxpayers with an additional
potential return on the government’s investment.3
For each CPP investment in a publicly traded company, Treasury received warrants to purchase, at a fixed exercise price,
shares of common stock equal to 15 percent of the aggregate liquidation preference of the senior preferred investment.
The per share exercise price was set at the 20-trading day trailing average of the bank’s common stock price as of the
time it was given preliminary approval for the CPP investment. The warrants may be exercised at any time over a ten
year period. These public warrants include certain customary anti-dilution provisions for Treasury’s protection.

Background

Background

For CPP investments in a privately-held company, an S-corporation, or certain mutual institutions, Treasury received
warrants to purchase, at a nominal cost, additional preferred stock (warrant preferreds) or subordinated debentures
(warrant sub debt) equivalent to five percent of the aggregate liquidation preference of the primary CPP investment.
These warrant preferreds and warrant sub debt securities pay a higher dividend or interest rate than the primary CPP
investment. Treasury exercised these kinds of warrants at the closings of the investments.
Institutions may repay Treasury for its investment under the conditions established in the CPP purchase agreements
as amended by the American Recovery and Reinvestment Act of 2009 (ARRA). The repayment price is equal to what
Treasury invested, plus any unpaid dividends or interest. Originally, the CPP contracts provided that an institution
could not redeem the investment within the first three years except with the proceeds of a “qualified equity offering”
(QEO), which is an offering of securities that would qualify as Tier 1 capital. The repayment terms of the contracts
were later effectively amended by the ARRA, which provides that an institution can repay from any source of funds and
without regard to any waiting period.
In addition, in order to encourage institutions to seek additional private capital, the CPP contracts provided that
participants could halve the number of shares subject to their warrants by completing before December 31, 2009 one
or more QEOs with aggregate gross proceeds equivalent to the value of Treasury’s CPP investment. Thirty-eight CPP
participants completed a QEO in time to reduce their warrants. (See Appendix V for a list of all completed QEOs.)
The CPP contracts further provide that once the preferred investment is redeemed or sold by Treasury, the institution has a
right to repurchase the warrants at the fair market value. In addition, Treasury has the contractual right to sell the warrants.
The ARRA affected Treasury’s authority to dispose of warrants, as it provided that when an institution repaid,
“the Secretary shall liquidate warrants [of such institution]… at the current market price.” The ARRA was
subsequently amended in May 2009 through the Helping Families Save Their Homes Act of 2009 (HFSTHA),
which provides that the Secretary “may liquidate the warrants” following repayment. (See Appendix I for excerpts
from EESA, AARA, and HFSTHA, which govern the warrant sales.)

3	

EESA provides that the Secretary may establish a “de minimus” exception to the requirement to issue warrants in the case of an institution
that receives less than $100 million in TARP funds. Treasury has exercised that authority by not requiring warrants in the case of investments in Community Development Financial Institutions in order to encourage their participation in CPP.

Warrant Disposition Report

3

Warrant Disposition Process

Warrant Disposition Process
Upon redemption of the preferred stock issued to Treasury, an institution has a contractual right to repurchase its
warrants at the fair market value.4 The banks have 15 days from repayment of the preferred to submit a bid, and
Treasury then has 10 days to respond. In June 2009, Treasury announced that, in the event that an issuer does
not repurchase its warrants, Treasury would sell the warrants to third parties “as quickly as practicable” and, when
possible, by public auction.

Issuer Repurchases
If a company wishes to repurchase its warrants, the issuer and Treasury must agree on the warrants’ fair market
value. Accordingly, Treasury has established a methodology for evaluating a bank’s determination of fair market
value. As described below, Treasury’s evaluation of an issuer’s bid is based on three categories of input: (i) market
quotes, (ii) independent, third party valuations, and (iii) model valuations.
If the issuer and Treasury fail to agree on a price, an appraisal procedure may be invoked by either party within
30 days following Treasury’s response to the issuer’s first bid. In the appraisal process, each party selects an
independent appraiser. These independent appraisers conduct their own valuations and attempt to agree upon
the fair market value. If they agree on a fair market value, that valuation becomes the basis for repurchase. If
these appraisers fail to agree, a third appraiser is hired, and subject to some limitations, a composite valuation of
the three appraisals is used to establish the fair market value. To date, no institution has invoked the appraisal
procedure.
Even if agreement is not reached within the specified timeframe, a bank that has repaid its preferred stock may
bid to repurchase its warrants at any time, and Treasury will determine whether to accept the bid.

Sale to Third Party
Treasury retains the right to sell the warrants to a third party at a mutually agreed upon price. Following
repayment of the preferred stock, if a bank notifies Treasury that it does not intend to repurchase its warrants or
cannot agree with Treasury on the fair market value, Treasury intends to dispose of the warrants, when possible,
through public auctions.
Treasury held the first three of such auctions in December 2009. These auctions were conducted as public
modified “Dutch” auctions which were registered under the Securities Act of 1933. Only one bank’s warrants
were sold in each auction. In this format, bidders were able to submit one or more independent bids at different
price-quantity combinations and the warrants were sold at a uniform price that cleared the auction.

4	

4

Privately-held companies, S-corporations, and certain mutual institutions typically redeem their warrant preferred or subordinated
debentures at par when redeeming the primary CPP investment. (See Appendix II for table of warrant preferred repurchases as of
December 31, 2009.)

Warrant Disposition Report

Treasury adheres to a consistent process for evaluating bids from institutions to repurchase their warrants.
Upon receiving a bid for a warrant repurchase, Treasury utilizes (i) market quotes, (ii) independent, third party
valuations, and (iii) model valuations to assess the bid.

(i) Market Quotes
There is little comparable market data for long-dated options. In order to perform its valuation analysis, Treasury
seeks indications of value from various market participants active in the options markets. The range of estimated
valuations is included in Treasury’s analysis along with the average of the market indications collected. In the
future, Treasury will utilize the market information from the trading of the recently auctioned CPP warrants
as some indication of the market’s expectations for long-term volatility, as well as continue to collect valuation
estimates from market participants.

(ii) Third Party Valuations
Treasury engages outside consultants or external asset managers to provide independent, third party valuations for
the warrants. The third party provides Treasury with an estimated valuation along with a range of potential values
given a reasonable variance in the assumptions underlying their models.

(iii) Model Valuations
Treasury uses a number of financial models to estimate warrant valuations. The primary model that
Treasury uses is a binomial option model adjusted for American style options, which is a well-accepted
method for valuing options by both academics and market participants. Valuation estimates generated
from the binomial model are presented in the Treasury’s analysis along with a range of potential values given
a reasonable variance in key model inputs, such as assumptions about the expected future volatility and
dividend yield of the underlying stock. Treasury’s internal valuation modeling was reviewed by Dr. Robert
Jarrow, an options expert and professor at Cornell University, who concluded that “the Treasury’s modeling
methodology for valuing the warrants is consistent with industry best practice and the highest academic
standards.” More information on Treasury’s internal valuation modeling and the report written by Dr.
Jarrow can be found at www.FinancialStability.gov/roadtostability/CapitalPurchaseProgram.html.

Treasury’s Evaluation of Issuer’s Bid

Treasury’s Evaluation of Issuer’s Bid

Treasury and its external asset managers use the 20-trading day trailing average stock price of a company in their
valuations to minimize the effects of day-to-day market fluctuations. Market participants who provide Treasury
with market indications utilize the stock price at the time that they provide the valuation. If the discussions with
an institution continue over an extended period of time, Treasury and its external asset managers will update their
estimates as necessary. Treasury may also collect new market quotes or adjust the market quotes based on changes
in market conditions from when the quotes were collected. (See Appendix II for information on the timing of
issuers’ bids.)

Determination by Warrant Committee
Based on the range of estimated warrant values provided by these sources, a committee of Treasury officials within
the Office of Financial Stability (OFS), who comprise the OFS Warrant Committee, makes a recommendation to
the Assistant Secretary for Financial Stability as to whether to agree with the bank’s determination of fair market
value. Each member of the Warrant Committee and the Assistant Secretary weigh the three valuation metrics as
they deem appropriate.

Warrant Disposition Report

5

Treasury’s Evaluation of Issuer’s Bid
6

Additional factors presented to the Warrant Committee, along with the three valuation metrics discussed above
include:
•	
how quickly Treasury would have to monetize the warrants if the issuer does not repurchase based on
legislation in place at the time as discussed in the “Background” section of this report,
•	 the expertise and experience of the outside consultant providing the third party valuation,
•	 the quality and number of market indications received,
•	 any significant movements in the stock price of the issuer since market indications were collected,
•	 deviations of the current stock price from the 20-trading day trailing average of the company’s stock price,
•	 the size of the warrant position and potential investor interest in the warrants,
•	 the liquidity of the underlying common stock, and
•	 fixed transaction costs associated with selling the warrants to a third party.

Warrant Disposition Report

Figure 2 demonstrates the three elements of Treasury’s warrant valuation analysis together with an institution’s
bid for the warrants, using Northern Trust Corporation as an example. The market quotes are presented
as a range from the low to the high estimate of value provided by market participants (black bar) as well as
the average of all the market indications collected (red point). The third party estimate of value (red point)
is presented along with a reasonable range (black bar) that is also prepared by the third party. Treasury’s
estimate of value (red point) based on its internal model is presented along with a reasonable range (black
bar). The ranges of estimates presented below show the final estimates utilized by Treasury officials to analyze
the bank’s final bid.
Appendix III presents charts for all of the CPP warrant sales conducted as of December 31, 2009. As with
the example below, all of the valuation estimates presented in Appendix III represent the final estimates used
by Treasury officials when analyzing a repurchase request. Appendix III also notes additional relevant factors
that were presented to the Warrant Committee.
Figure 2: Example of Treasury’s Warrant Valuation Analysis

$ Thousands
$120,000

Northern Trust (NTRS)
Fair Market Value Estimates of Treasury's Warrant Position

$110,000

Treasury’s Evaluation of Issuer’s Bid

Graphical Representation of Treasury’s Warrant Valuation Analysis

$100,000
$90,000

Final Bid - $87,000,000

$80,000
Second Bid - $75,000,000

$70,000
$60,000
$50,000
$40,000

First Bid - $37,000,000

$30,000
Market Quotes

Third Party

Model Valuation

Warrant Disposition Report

7

Repurchases of Warrants

Repurchases of Warrants
Treasury began the sale of warrants back to banks that had repaid the CPP investment and wanted to repurchase
their warrants in May 2009. In aggregate, as of December 31, 2009, Treasury has realized $2.9 billion in gross
proceeds from 31 warrant repurchases, which compares favorably to initial bids of $1.7 billion and estimates of
aggregate value of $2.2 billion based on market indications, $2.7 billion based on third party estimates, and $2.6
billion based on Treasury’s internal financial models.
The initial repurchases that took place in May 2009 and their accompanying warrant valuations should be viewed in light of two
factors particular to those transactions. First, the expertise and experience of the outside third parties affected the independent
valuations provided. Second, at that time, Treasury was required to liquidate the warrants upon an issuer’s repayment pursuant
to the terms of ARRA. Although it was not clear how quickly liquidation was required, Treasury believed that sales should be
made promptly and attempted to complete sales expeditiously. This standard was later modified by HFSTHA to provide that
Treasury “may liquidate” the warrants following repayment. (See Appendix I – Legislative Background.).
In all cases, Treasury has agreed to let an issuer repurchase its warrants only when the issuer’s bid was within the
range of what Treasury determined to be fair market value.
The table below shows all of the warrant the repurchases as of December 31, 2009, arrayed by amount of proceeds.
Figure 3: Issuer Repurchases of Public Warrants as of December 31, 2009

Institution Name
Goldman Sachs Group, Inc.
Morgan Stanley
American Express Company
U.S. Bancorp
Bank of New York Mellon
Northern Trust Corporation
BB&T Corporation
State Street Corporation
Trustmark Corporation
FirstMerit Corp
First Niagra Financial Group
Bank of the Ozarks, Inc.
Indpendent Bank Corp
Sun Bancorp, Inc.
SCBT Financial Corporation
Bancorp Rhode Island, Inc.
CVB Financial Corp.
Old National Bancorp
IBERIABANK Corporation
Berkshire Hills Bancorp
Wesbanco, Inc.
Alliance Financial Corporation
Flushing Financial Corporation
HF Financial Corp.
Wainwright Bank and Trust
LSB Corporation
Union Bankshares Corporation
Somerset Hills Bancorp
Old Line Bancshares, Inc.
CenterState Banks, Inc.
Manhattan Bancorp
TOTAL

8

Ticker
GS
MS
AXP
USB
BK
NTRS
BBT
STT
TRMK
FMER
FNFG
OZRK
INDB
SNBC
SCBT
BARI
CVBF
ONB
IBKC
BHLB
WSBC
ALNC
FFIC
HFFC
WAIN
LSBX
UBSH
SOMH
OLBK
CSFL
MNHN

Preferred
Redemption Date

Preferred Amount
Redeemed
($thousands)

6/17/09
6/17/09
6/17/09
6/17/09
6/17/09
6/17/09
6/17/09
6/17/09
12/9/09
4/22/09
5/27/09
11/4/09
4/22/09
4/8/09
5/20/09
8/5/09
9/2/09
3/31/09
3/31/09
5/27/09
9/9/09
5/13/09
10/28/09
6/3/09
11/24/09
11/18/09
11/18/09
5/20/09
7/15/09
9/30/09
9/16/09

$10,000,000
10,000,000
3,388,890
6,599,000
3,000,000
1,576,000
3,133,640
2,000,000
215,000
125,000
184,011
75,000
78,158
89,310
64,779
30,000
130,000
100,000
90,000
40,000
75,000
26,918
70,000
25,000
22,000
15,000
59,000
7,414
7,000
27,875
1,700

31

Warrant Disposition Report

$41,255,695

Warrant
Repurchase Date
7/22/09
8/12/09
7/29/09
7/15/09
8/5/09
8/26/09
7/22/09
7/8/09
12/30/09
5/27/09
6/24/09
11/24/09
5/27/09
5/27/09
6/24/09
9/30/09
10/28/09
5/8/09
5/20/09
6/24/09
12/23/09
6/17/09
12/30/09
6/30/09
12/16/09
12/16/09
12/23/09
6/24/09
9/2/09
10/28/09
10/14/09

Gross Warrant
Proceeds
($thousands)

QEO? (i.e.
warrants cut
by 50%)

$1,100,000
950,000
340,000
139,000
136,000
87,000
67,010
60,000
10,000
5,025
2,700
2,650
2,200
2,100
1,400
1,400
1,307
1,200
1,200
1,040
950
900
900
650
569
560
450
275
225
212
63

Yes
Yes
Yes
Yes
Yes
Yes
Yes
-

$2,916,986

7

In the event an issuer does not repurchase its warrants, Treasury sells each institution’s warrants as quickly
as practicable and, when possible, by public auctions. Treasury’s public auctions of CPP warrants began in
December 2009 with the auctions of its warrants in JPMorgan Chase & Co., Capital One Financial Corp., and
TCF Financial Corporation. These auctions generated $1.109 billion in gross proceeds ($1.092 billion net of
underwriting fees). The net proceeds of the auctions exceeded the issuers’ bids by an aggregate amount of $217
million. (See tables in Appendix II for details on individual bank’s bids and the auction proceeds received.)
Market conditions had changed between the time of the banks’ bids to repurchase their warrants directly from
Treasury and the commencement of the auctions. In the case of JPMorgan and Capital One Financial, their share
prices increased from the time of their bids to the auctions; however, this beneficial effect on the value of the
warrants held by Treasury was at least partially offset by declines in the expected future volatility of their stocks.
For TCF Financial, both its stock price and the expected future volatility of its stock declined, but Treasury still
received about three times as much as the issuer’s bid for the warrants. (See Appendix IV for charts detailing
the change in stock prices and the implied volatilities of the underlying stock for the three auctioned warrants
between the date of the issuer’s bid to Treasury and the date of the auction.)

Auctions of Warrants

Auctions of Warrants

These auctions demonstrate Treasury’s ability to dispose of the warrants at fair market values if an issuer chooses
not to repurchase.
The table below shows the warrants sold to third parties as of December 31, 2009.
Figure 4: Warrant Auctions

Institution Name
JPMorgan Chase & Co
Capital One Financial Corp.
TCF Financial Corporation
TOTAL

Ticker

Preferred
Redemption Date

Preferred Amount
Redeemed
($thousands)

Auction
Date

Gross Warrant
Proceeds
($thousands)

QEO? (i.e.
warrants cut
by 50%)

JPM
COF
TCF

6/17/09
6/17/09
4/22/09

$25,000,000
3,555,199
361,172

12/10/09
12/3/09
12/15/09

$950,318
148,731
9,600

-

$1,108,649

0

3

$28,916,371

Warrant Disposition Report

9

Deutsche Bank Securities Inc. was
Treasury’s auction agent for the first
three auctions. Deutsche Bank received
fees equal to approximately 1.5% of the
gross proceeds ($16.6 million) which
is significantly below typical secondary
equity offering fees that run around
3.5% to 4.5% depending on the size of
the offering.
For illustrative purposes only, Figures 5
and 6 are example charts of the demand
in a theoretical auction of an 8 million
share position with a minimum price of
$3.00 per share and a clearing price of
$5.75 per share.

10

Figure 5: Illustrative Cumulative Auction

Demand by Price
3.5

Example of Cumulative Demand by Price

3.0

2.5
# of shares (millions)

For the first three warrant auctions,
Treasury utilized modified “Dutch”
auctions to dispose of the warrants.
The public auctions were registered
under the Securities Act of 1933. Only
one bank’s warrants were sold in each
auction. With advice from its external
asset managers and the auction agent,
Treasury publicly disclosed a minimum
bid and privately set a reserve price
for each auction. Bidders were able to
submit one or more independent bids
at different price-quantity combinations
at or above the set minimum price. The
auction agent did not provide bidders
with any information about the bids
of other bidders or auction trends, or
with advice regarding bidding strategies,
in connection with the auction. The
issuers of the warrants were able to bid
for their warrants in the auctions. Bids
were accepted by the auction agent from
8:00 a.m. to 6:30 p.m. on the day of the
auction. The warrants were sold to all
winning bids at the uniform price that
cleared the auction.

2.0

1.5

Example Auction Clearing Price $5.75

1.0

0.0
$3.00 $3.25 $3.50 $3.75 $4.00 $4.25 $4.50 $4.75 $5.00 $5.25 $5.50 $5.75 $6.00 $6.25 $6.50 $6.75 $7.00 $7.25 $7.50 $7.75 $8.00
price per share

Figure 6: Illustrative Auction Demand by Price

3.5

Example of Demand by Price

3.0

2.5

Example Auction Clearing Price $5.75
# of shares (millions)

Auctions of Warrants

Modified “Dutch” Auctions

2.0

1.5

1.0

0.5

0.0

Warrant Disposition Report

$3.00 $3.25 $3.50 $3.75 $4.00 $4.25 $4.50 $4.75 $5.00 $5.25 $5.50 $5.75 $6.00 $6.25 $6.50 $6.75 $7.00 $7.25 $7.50 $7.75 $8.00
price per share

At the end of 2009, Treasury continued to hold warrants in 18 institutions that have fully redeemed the CPP
investment as wells as warrants in 230 public companies that have not repaid.
The table below shows the warrants still held in institutions that have redeemed their CPP investment.
Figure 7:  arrants Held in Institutions that have Fully Redeemed
W
CPP Investment as of December 31, 2009

Institution Name

Ticker

Preferred
Repurchase Date

Bank of America Corporation
Wells Fargo & Company
Valley National Bancorp
SVB Financial Group
Washington Federal, Inc.
Sterling Bancshares, Inc
Signature Bank
F.N.B. Corporation
Westamerica Bancorporation
Texas Capital Bancshares, Inc.
First Community Bancshares, Inc.
OceanFirst Financial Corp.
Bank of Marin Bancorp
Shore Bancshares, Inc.
Middleburg Financial Corporation
Monarch Financial Holdings, Inc.
LCNB Corporation
Commerce National Bank

BAC
WFC
VLY
SIVB
WFSL
SBIB
SBNY
FNB
WABC
TCBI
FCBC
OCFC
BMRC
SHBI
MBRG
MNRK
LCNB
CNBF

12/9/09
12/23/09
12/23/09
12/23/09
5/27/09
5/5/09
3/31/09
9/9/09
11/18/09
5/13/09
7/8/09
12/30/09
3/31/09
4/15/09
12/23/09
12/23/09
10/21/09
10/7/09

TOTAL

18

Preferred
Investment
($thousands)
$25,000,000
$25,000,000
$300,000
$235,000
$200,000
$125,198
$120,000
$100,000
$83,726
$75,000
$41,500
$38,263
$28,000
$25,000
$22,000
$14,700
$13,400
$5,000
$51,426,787

Warrant Shares
121,792,790
110,261,688
2,411,945
354,058
1,707,456
2,615,557
595,829
651,042
246,640
758,086
88,273
190,427
154,242
172,970
104,101
132,353
217,063
87,209

Strike Price

QEO? (i.e.
warrants cut
by 50%)

$30.79
$34.01
$18.66
$49.78
$17.57
$7.18
$30.21
$11.52
$50.92
$14.84
$35.26
$15.07
$27.23
$21.68
$15.85
$8.33
$9.26
$8.60

Yes
Yes
Yes
Yes
Yes
Yes
6

Warrant Disposition Report

Warrant Portfolio as of December 31, 2009

Warrant Portfolio as of December 31, 2009

11

This page is intentionally left blank.

12

Warrant Disposition Report

Emergency Economic Stabilization Act of 2008			

October 3, 2008

http://frwebgate.access.gpo.gov/cgibin/getdoc.cgi?dbname=110_cong_public_laws&docid=f:publ343.110.pdf
Section 113 (d)(1). In general.--The Secretary may not purchase, or make any commitment to purchase, any
troubled asset under the authority of this Act, unless the Secretary receives from the financial institution from
which such assets are to be purchased—
	 in the case of a financial institution, the securities of which are traded on a national securities
(A)
exchange, a warrant giving the right to the Secretary to receive nonvoting common stock or preferred
stock in such financial institution, or voting stock with respect to which, the Secretary agrees not to
exercise voting power, as the Secretary determines appropriate; or
	 in the case of any financial institution other than one described in subparagraph (A), a warrant for
(B)
common or preferred stock, or a senior debt instrument from such financial institution, as described in
paragraph (2)(C).

American Recovery and Reinvestment Act of 2009		

February 17, 2009

http://frwebgate.access.gpo.gov/cgibin/getdoc.cgi?dbname=111_cong_public_laws&docid=f:publ005.111.pdf
Section 7001. “(g) NO IMPEDIMENT TO WITHDRAWAL BY TARP RECIPIENTS.— Subject to
consultation with the appropriate Federal banking agency (as that term is defined in section 3 of the Federal
Deposit Insurance Act), if any, the Secretary shall permit a TARP recipient to repay any assistance previously
provided under the TARP to such financial institution, without regard to whether the financial institution has
replaced such funds from any other source or to any waiting period, and when such assistance is repaid, the
Secretary shall liquidate warrants associated with such assistance at the current market price.”

Helping Families Save Their Homes Act of 2009			

Appendix I – Legizlative Background

Appendix I – Legislative Background

May 20, 2009

http://frwebgate.access.gpo.gov/cgi-bin/getdoc.cgi?dbname=111_cong_public_laws&docid=f:publ022.111.pdf
Section 403. REMOVAL OF REQUIREMENT TO LIQUIDATE WARRANTS UNDER THE TARP. Section
111(g) of the Emergency Economic Stabilization Act of 2008 (12 U.S.C. 5221(g)) is amended by striking ‘‘shall
liquidate warrants associated with such assistance at the current market price’’ and inserting ‘‘, at the market price,
may liquidate warrants associated with such assistance’’.

Warrant Disposition Report

13

14

Warrant Disposition Report

Ticker
ONB
IBKC
SNBC
FMER
INDB
ALNC
SCBT
BHLB
SOMH
FNFG
HFFC
STT
USB
BBT
GS
AXP
BK
MS
NTRS
OLBK
BARI
MNHN
CSFL
CVBF
OZRK
WAIN
LSBX
WSBC
UBSH
FFIC
TRMK

Redemption
Date
Bid #1
3/31/09
$559
3/31/09
620
4/8/09
1,049
4/22/09
3,186
4/22/09
880
5/13/09
320
5/20/09
694
5/27/09
875
5/20/09
193
5/27/09
1,500
6/3/09
465
6/17/09
60,000
6/17/09
115,000
6/17/09
20,854
6/17/09
600,000
6/17/09
230,000
6/17/09
79,000
6/17/09
500,000
6/17/09
37,000
7/15/09
175
8/5/09
857
9/16/09
63
9/30/09
168
9/2/09
1,002
11/4/09
2,161
11/24/09
569
11/18/09
500
9/9/09
825
11/18/09
400
10/28/09
597
12/9/09
8,167
$1,667,679
Bid #3

560
950
450
700
9,200

860
9,600

950

139,000
64,925
1,100,000
340,000
130,000
900,000
87,000
225
1,400

131,000
41,707
900,000
260,000
118,000
800,000
75,000
205
1,125
212
1,307
2,650

650

Bid #2
$1,200
1,200
2,100
5,025
2,200
900
1,400
1,040
275
2,700
600

Issuer Bids

900
10,000

136,000
950,000

67,010

Bid #4

Company
Capital One Financial Corp.
JPMorgan Chase & Co.
TCF Financial Corporation
Total

Ticker
COF
JPM
TCB

CPP
Preferred
Redemption
($thousands)
Date
3,555,199
6/17/09
25,000,000
6/17/09
361,172
4/22/09
28,916,371

Bid #1
46,500
825,539
3,200
875,239

Bid #2

Issuer Bids

Bid #3

Final Price
($thousands)
$1,200
1,200
2,100
5,025
2,200
900
1,400
1,040
275
2,700
650
60,000
139,000
67,010
1,100,000
340,000
136,000
950,000
87,000
225
1,400
63
212
1,307
2,650
569
560
950
450
900
10,000
$2,916,986

Auction
Proceeds
Bid #4 ($thousands)
148,731
950,318
9,600
1,108,649

Note: The first bid date is the date that an issuer submitted its bid. Subsequent bid dates are the dates the Warrant Committee met to consider those bids.

Company
Old National Bancorp
IBERIABANK Corporation
Sun Bancorp, Inc.
FirstMerit Corp
Indpendent Bank Corp
Alliance Financial Corporation
SCBT Financial Corporation
Berkshire Hills Bancorp
Somerset Hills Bancorp
First Niagra Financial Group
HF Financial Corp.
State Street Corporation
U.S. Bancorp
BB&T Corporation
Goldman Sachs Group, Inc.
American Express Company
Bank of New York Mellon
Morgan Stanley
Northern Trust Corporation
Old Line Bancshares, Inc
Bancorp Rhode Island, Inc.
Manhattan Bancorp
CenterState Banks, Inc.
CVB Financial Corp.
Bank of the Ozarks, Inc.
Wainwright Bank and Trust
LSB Corporation
Wesbanco, Inc.
Union Bankshares Corporation
Flushing Financial Corporation
Trustmark Corporation
Total

CPP
Preferred
($thousands)
$100,000
90,000
89,310
125,000
78,158
26,918
64,779
40,000
7,414
184,011
25,000
2,000,000
6,599,000
3,133,640
$10,000,000
3,388,890
3,000,000
10,000,000
1,576,000
7,000
30,000
1,700
27,875
130,000
75,000
22,000
15,000
75,000
59,000
70,000
215,000
$41,255,695

Issuer Bids and Warrant Sales Ordered by Sale Date

Bid #1
6/30/09
6/17/09
5/5/09

Bid #1
4/15/09
4/14/09
4/21/09
5/15/09
5/2/09
5/26/09
6/3/09
6/8/09
6/4/09
6/4/09
6/9/09
6/22/09
6/18/09
6/24/09
6/17/09
7/1/09
6/30/09
6/30/09
6/18/09
7/29/09
8/19/09
9/29/09
10/9/09
9/17/09
11/5/09
12/3/09
12/4/09
9/22/09
11/24/09
11/10/09
12/23/09
12/23/09
12/28/09

12/11/09

7/8/09
7/14/09
7/21/09
7/27/09
7/30/09
8/4/09
8/19/09
8/20/09
9/21/09

6/29/09

Bid #3

Bid #2

Bid #3

Date of Issuer Bids

12/8/09
10/20/09
12/16/09
12/14/09
12/28/09

10/20/09
10/21/09
11/18/09

7/1/09
7/8/09
7/20/09
7/20/09
7/29/09
8/3/09
8/17/09
8/19/09
9/16/09

Bid #2
5/6/09
5/12/09
5/19/09
5/21/09
5/21/09
6/12/09
6/16/09
6/17/09
6/17/09
6/19/09
6/29/09

Date of Issuer Bids

Bid #4

12/28/09
12/29/09

7/31/09
8/5/09

7/14/09

Bid #4

Auction
Date
12/3/09
12/10/09
12/15/09

Warrant
Repurchase
Date
5/8/09
5/20/09
5/27/09
5/27/09
5/27/09
6/17/09
6/24/09
6/24/09
6/24/09
6/24/09
6/30/09
7/8/09
7/15/09
7/22/09
7/22/09
7/29/09
8/5/09
8/12/09
8/26/09
9/2/09
9/30/09
10/14/09
10/28/09
10/28/09
11/24/09
12/16/09
12/16/09
12/23/09
12/23/09
12/30/09
12/30/09

Appendix II – Detailed Tables of Warrant Repurchases and Auctions

Appendix II –  etailed Tables of Warrant
D
Repurchases and Auctions

7/21/09
8/5/09
7/27/09
7/8/09
7/31/09
8/19/09
7/14/09
7/1/09
12/29/09
5/21/09
6/19/09
11/18/09
5/21/09
5/19/09
9/21/09
6/16/09
10/21/09
5/12/09
5/6/09
6/17/09
12/11/09
6/12/09
12/28/09
6/29/09
12/11/09
12/8/09
12/16/09
6/17/09
8/20/09
10/21/09
10/9/09
-

GS
MS
AXP
USB
BK
NTRS
BBT
STT
TRMK
FMER
FNFG
OZRK
INDB
SNBC
BARI
SCBT
CVBF
IBKC
ONB
BHLB
WSBC
ALNC
FFIC
HFFC
WAIN
LSBX
UBSH
SOMH
OLBK
CSFL
MNHN

31

Ticker

-

7/22/09
8/12/09
7/29/09
7/15/09
8/5/09
8/26/09
7/22/09
7/8/09
12/30/09
5/27/09
6/24/09
11/24/09
5/27/09
5/27/09
9/30/09
6/24/09
10/28/09
5/20/09
5/8/09
6/24/09
12/23/09
6/17/09
12/30/09
6/30/09
12/16/09
12/16/09
12/23/09
6/24/09
9/2/09
10/28/09
10/14/09

Payment
Date

-

10/28/18
10/28/18
1/9/19
11/14/18
10/28/18
11/14/18
11/14/18
10/28/18
11/21/18
1/9/19
11/21/18
12/12/18
1/9/19
1/9/19
12/19/18
1/16/19
12/5/18
12/5/18
12/12/18
12/19/18
12/5/18
12/19/18
12/19/18
11/21/18
12/19/18
12/12/18
12/19/18
1/16/19
12/5/18
11/21/18
12/5/18

Expiration
Date

-

$122.90
22.99
20.95
30.29
31.00
61.81
33.81
53.80
19.57
19.69
14.48
29.62
24.34
8.27
23.32
32.06
11.68
48.74
18.45
26.51
25.61
23.33
13.97
12.40
8.46
10.74
20.94
6.82
7.40
16.67
8.65

Strike
Price

7

Yes
Yes
Yes
Yes
Yes
Yes
Yes
-

12,205,045
65,245,759
24,264,129
32,679,102
14,516,129
3,824,624
13,902,573
2,788,104
1,647,931
952,260
953,096
379,811
481,664
1,620,545
192,967
303,083
834,761
138,490
813,008
226,330
439,282
173,069
375,806
302,419
390,071
209,497
211,318
163,065
141,892
125,413
29,480
-

$90.13
14.56
14.01
4.25
9.37
22.75
4.82
21.52
6.07
5.28
2.83
6.98
4.57
1.30
7.26
4.62
1.57
8.66
1.48
4.60
2.16
5.20
2.39
2.15
1.46
2.67
2.13
1.69
1.59
1.69
2.15

Warrant
Repurchase
Price/Share

$2,916,986,466

$1,100,000,000
950,000,000
340,000,000
139,000,000
136,000,000
87,000,000
67,010,402
60,000,000
10,000,000
5,025,000
2,700,000
2,650,000
2,200,000
2,100,000
1,400,000
1,400,000
1,307,000
1,200,000
1,200,000
1,040,000
950,000
900,000
900,000
650,000
568,700
560,000
450,000
275,000
225,000
212,000
63,364

Warrant
Repurchase
Proceeds

-

-

3

JPM
COF
TCB

Ticker

-

12/8/09
12/1/09
12/14/09
-

12/10/09
12/3/09
12/15/09

Auction
Date

-

10/28/18
11/14/18
11/14/18

Expiration
Date

0

-

$42.42
42.13
16.93
-

QEO? (i.e.
warrants cut by
50%)

Strike
Price

-

88,401,697
12,657,960
3,199,988

Warrant
Shares

-

$10.75
11.75
3.00

Warrant
Auction
Price Per Share

$1,108,649,237

$950,318,243
148,731,030
9,599,964

Warrant Auction
Gross Proceeds

-

23.8% - 27.5%
34.6% - 38.2%
28.8% - 32.1%

Estimated
Implied
Volatilty*

* Volatility implied by the repurchase price using stock price on auction date and UST estimates for dividend yield and borrow cost; reflects discounts to a modeled valuation for illiquidity, risk of cash takeout, etc.

TOTAL

JPMorgan Chase & Co.
Capital One Financial Corp.
TCF Financial Corporation

Institution Name

Announce
Date

-

$148.16
28.16
25.71
17.69
27.98
60.00
21.64
46.98
20.84
19.27
12.05
24.46
19.92
6.36
25.57
23.45
7.73
48.23
14.18
21.38
12.71
25.50
10.92
12.08
6.75
11.00
11.93
7.73
6.21
7.64
6.53

-

$41.27
36.92
13.22

-

$42.24
38.66
12.78

-

0.56
0.47
0.49
0.26
0.34
0.38
0.22
0.45
0.27
0.30
0.24
0.25
0.23
0.21
0.29
0.20
0.18
0.18
0.10
0.23
0.17
0.20
0.20
0.18
0.21
0.24
0.18
0.22
0.26
0.23
0.33

Warrant
Price / Stock
Price

-

1.30 x
1.35 x
1.35 x
0.55 x
0.88 x
0.98 x
0.64 x
0.88 x
1.17 x
0.89 x
0.82 x
0.93 x
0.81 x
0.76 x
1.06 x
0.72 x
0.75 x
0.97 x
0.78 x
0.76 x
0.48 x
1.14 x
0.84 x
0.96 x
0.83 x
1.05 x
0.57 x
1.14 x
0.82 x
0.45 x
0.76 x

Underlying /
Strike

-

0.26
0.32
0.23
-

-

0.97 x
0.88 x
0.78 x

Warrant Price / Underlying
Stock Price
/ Strike

Decision Date

20-day Avg
Stock Price

Decision Date

20-day Avg
Stock Price Stock Price

$159.80
31.05
28.38
16.59
27.34
60.38
21.65
47.35
22.80
17.54
11.93
27.48
19.60
6.25
24.66
23.16
8.81
47.22
14.33
20.17
12.41
26.61
11.73
11.95
7.00
11.28
11.93
7.80
6.10
7.47
6.60

Stock
Price

40.6% - 44.5%
33.3% - 38.7%
37.6% - 40.7%
39.3% - 42.6%
35.7% - 39.6%
31.1% - 35.9%
32.0% - 35.1%
37.9% - 43.8%
19.0% - 22.9%
34.9% - 38.3%
28.5% - 31.7%
20.9% - 25.1%
28.5% - 31.6%
16.0% - 19.9%
21.9% - 26.6%
24.1% - 27.4%
26.4% - 29.2%
17.5% - 20.8%
20.3% - 23.6%
24.0% - 28.0%
38.1% - 40.7%
13.8% - 17.0%
22.4% - 25.9%
18.3% - 21.5%
27.8% - 30.7%
22.1% - 25.3%
30.3% - 33.0%
14.8% - 18.4%
26.3% - 30.1%
34.9% - 38.2%
29.7% - 34.8%

Estimated
Implied
Volatility*

* Volatility implied by the repurchase price using stock price on decision date and UST estimates for dividend yield and borrow cost; reflects discounts to a modeled valuation for illiquidity, risk of cash takeout, etc.

TOTAL

Goldman Sachs Group, Inc.
Morgan Stanley
American Express Company
U.S. Bancorp
Bank of New York Mellon
Northern Trust Corporation
BB&T Corporation
State Street Corporation
Trustmark Corporation
FirstMerit Corp.
First Niagra Financial Group
Bank of the Ozarks, Inc.
Independent Bank Corp.
Sun Bancorp, Inc.
Bancorp Rhode Island
SCBT Financial Corporation
CVB Financial Corp.
IBERIABANK Corporation
Old National Bancorp
Berkshire Hills Bancorp
Wesbanco, Inc.
Alliance Financial Corporation
Flushing Financial Corporation
HF Financial Corp.
Wainwright Bank and Trust
LSB Corporation
Union Bankshares Corporation
Somerset Hills Bancorp
Old Line Bancshares
CenterState Banks, Inc.
Manhattan Bancorp

Institution Name

Decision
Date

QEO? (i.e.
warrants cut Final Warrant
by 50%)
Shares

Warrant Sales Ordered by Amount of Proceeds

Appendix II – Detailed Tables of Warrant Repurchases and Auctions

Warrant Disposition Report

15

Appendix II – Detailed Tables of Warrant Repurchases and Auctions
16

Issuer Repurchases of Warrant Preferreds or Warrant Sub Debt

Institution Name
Centra Financial Holdings, Inc.
First Manitowoc Bancorp, Inc.
Midland States Bancorp, Inc.
1st United Bancorp, Inc.
First ULB Corp.
Midwest Regional Bancorp, Inc.

Repurchase
Date
3/31/09
5/27/09
12/23/09
11/18/09
4/22/09
11/10/09

TOTAL

Warrant Disposition Report

CPP Investment
($thousands)
$15,000
$12,000
$10,189
$10,000
$4,900
$700
$52,789

Warrant
Repurchase
4/15/09
5/27/09
12/23/09
11/18/09
4/22/09
11/10/09

Gross Warrant
Proceeds
($thousands)
$750
600
509
500
245
35
$2,639

Decision Date on
Issuer's Final Bid

Institution

Ticker

Old National Bank

ONB

May 6, 2009

IBERIABANK

IBKC

May 12, 2009

Sun Bancorp

SNBC

May 19, 2009

FirstMerit

FMER

May 21, 2009

Indpendent Bank

INDB

May 21, 2009

Alliance Financial

ALNC

June 12, 2009

SCBT Financial

SCBT

June 16, 2009

Berkshire Hills

BHLB

June 17, 2009

Somerset Hills

SOMH

June 17, 2009

First Niagra

FNFG

June 19, 2009

HF Financial

HFFC

June 29, 2009

State Street

STT

July 1, 2009

U.S. Bancorp

USB

July 8, 2009

BB&T

BBT

July 14, 2009

Goldman Sachs

GS

July 21, 2009

American Express

AXP

July 27, 2009

Bank of New York Mellon

BK

July 31, 2009

Morgan Stanley

MS

August 5, 2009

Northern Trust

NTRS

August 19, 2009

Old Line Bancshares

OLBK

August 20, 2009

Bancorp Rhode Island

BARI

September 21, 2009

Manhattan Bancorp

MNHN

CenterState Banks, Inc.

CSFL

October 20, 2009

CVB Financial

CVBF

October 21, 2009

Bank of the Ozarks

OZRK

November 18, 2009

LSB Corporation

LSBX

December 8, 2009

Wainwright Bank and Trust

WAIN

December 11, 2009

Wesbanco, Inc.

WSBC

December 11, 2009

Union Bankshares Corporation

UBSH

December 16, 2009

Flushing Financial Corporation

FFIC

December 28, 2009

Trustmark Corporation

TRMK

December 29, 2009

Institution

Ticker

Capital One Financial

COF

December 3, 2009

JPMorgan

JPM

December 10, 2009

TCF Financial

TCB

Appendix III – Warrant Disposition Details

Appendix III – Warrant Disposition Details

December 15, 2009

October 9, 2009

Auction Date

Warrant Disposition Report

17

Appendix III – Warrant Disposition Details

Old National Bancorp (ONB)
Repurchase of ONB Warrant
On May 6, 2009, Old National Bancorp (ONB) agreed to pay $1.2 million for the warrant held by Treasury
which entitled the holder of the warrant to purchase 813,008 shares of ONB at a strike price of $18.45 per share.
The warrant had an expiration date of December 12, 2018.
$ Thousands

Old National Bancorp (ONB)
Fair Market Value Estimates of Treasury's Warrant Position

$3,500

$3,000

$2,500

$2,000

$1,500
Final Bid - $1,200,000

$1,000

First Bid - $559,000

$500
Market Quotes

Valuation Estimates for Warrant
($thousands)
Market Quotes

Third Party

Model Valuation

Third Party

Model Valuation

Low

High

Estimate

Details

$1,220

$1,490

$1,353

Three market indications.

$1969

$3,054

$3,054

Binomial option model adjusted for American style options

$1,070

$1,652

$1,326

Binomial option model adjusted for American style options

NOTE: 1) At the time of the decision, the external asset managers had not been hired. Treasury relied on financial modeling
consultants to provide third party input. The modeling consultants may not have had market expertise necessary to make reasonable assumptions for key inputs such as volatility and dividend yield. 2) At that time, legislation may have required that Treasury
dispose of the warrants immediately. The fixed cost of disposing of the warrants was taken into consideration when analyzing the
company’s determination of fair market value.

18

Warrant Disposition Report

On May 12, 2009, IBERIABANK Corporation (IBKC) agreed to pay $1.2 million for the warrant held by
Treasury which entitled the holder of the warrant to purchase 138,490 shares of IBKC at a strike price of $48.74
per share. The warrant had an expiration date of December 5, 2018.

IBERIABANK Corporation (IBKC)

$ Thousands

Fair Market Value Estimates of Treasury's Warrant Position

$2,500
$2,300
$2,100
$1,900
$1,700
$1,500
$1,300

Final Bid - $1,200,000

$1,100
$900
$700

First Bid - $620,000

$500
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

Low

High

Estimate

Market Quotes

$1,350

$1,662

$1,566

Four market indications.

Third Party

$1,370

$2,334

$2,334

Binomial option model adjusted for American style options

Model Valuation

$1,156

$1,682

$1,421

Appendix III – Warrant Disposition Details

IBERIABANK Corporation (IBKC)
Repurchase of IBKC Warrant

Details

Binomial option model adjusted for American style options

NOTE: 1) At the time of the decision, the external asset managers had not been hired. Treasury relied on financial modeling
consultants to provide third party input. The modeling consultants may not have had market expertise necessary to make reasonable assumptions for key inputs such as volatility and dividend yield. 2) At that time, legislation may have required that Treasury
dispose of the warrants immediately. The fixed cost of disposing of the warrants was taken into consideration when analyzing the
company’s determination of fair market value.

Warrant Disposition Report

19

Appendix III – Warrant Disposition Details

Sun Bancorp, Inc. (SNBC)
Repurchase of SNBC Warrant
On May 19, 2009, Sun Bancorp, Inc. (SNBC) agreed to pay $2.1 million for the warrant held by Treasury which
entitled the holder of the warrant to purchase 1,620,545 shares of SNBC at a strike price of $8.27 per share. The
warrant had an expiration date of January 9, 2019.

Sun Bancorp (SNBC)

$ Thousands

Fair Market Value Estimates of Treasury's Warrant Position
$4,300

$3,800

$3,300

$2,800

$2,300
Final Bid - $2,100,000

$1,800

$1,300
First Bid - $1,049,000

$800
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Low

High

Estimate

Market Quotes

$1,080

$2,778

$2,096

Three market indications.

Third Party

$2,000

$4,028

$4,028

Binomial option model adjusted for American style options

Model Valuation

$1,974

$2,771

$2,252

Model Valuation

Details

Binomial option model adjusted for American style options

NOTE: The third party valuation assumed volatility of over 50% and provided no discount for the illiquidity, take out risk or bankruptcy. Treasury’s volatility inputs more closely reflected market assumptions. Treasury also considered the large size of the SNBC
warrant position (7% of outstanding shares) and the relative illiquidity of the stock (the position represented 30X the average
trading volume of 60,000 shares) in determining a liquidity discount.

20

Warrant Disposition Report

On May 21, 2009, FirstMerit Corp (FMER) agreed to pay $5.025 million for the warrant held by Treasury which
entitled the holder of the warrant to purchase 952,260 shares of FMER at a strike price of $19.69 per share. The
warrant had an expiration date of January 9, 2019.

$ Thousands
$8,000

FirstMerit Corp (FMER)
Fair Market Value Estimates of Treasury's Warrant Position

$7,000

$6,000

$5,000

Final Bid - $5,025,000

$4,000

First Bid - $3,186,000

$3,000

$2,000
Market Quotes

Valuation Estimates for Warrant
($thousands)

Model Valuation

Third Party

Low

High

Estimate

Market Quotes

$4,082

$6,543

$4,918

Four market indications.

Third Party

$5,428

$7,532

$6,485

Binomial option model adjusted for American style options

Model Valuation

$4,871

$5,930

$5,400

Appendix III – Warrant Disposition Details

FirstMerit Corp (FMER)
Repurchase of FMER Warrant

Details

Binomial option model adjusted for American style options

NOTE: At the time of the decision, the common share price of FMER was $17.54 compared to the 20 day average price of $19.27.
This difference was taken under consideration in Treasury’s analysis of the company’s determination of fair market value.

Warrant Disposition Report

21

Appendix III – Warrant Disposition Details

Independent Bank Corp (INDB)
Repurchase of INDB Warrant
On May 21, 2009, Independent Bank Corp (INDB) agreed to pay $2.2 million for the warrant held by Treasury
which entitled the holder of the warrant to purchase 481,664 shares of INDB at a strike price of $24.34 per
share. The warrant had an expiration date of January 9, 2019.

Independent Bank (INDB)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands
$3,800

$3,300

$2,800

$2,300

Final Bid - $2,200,000

$1,800

$1,300

First Bid - $880,000

$800
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

High

Estimate

Market Quotes

$1,444

$2,432

$2,104

Three market indications.

Third Party

$2,293

$3,482

$2,885

Binomial option model adjusted for American style options

Model Valuation

22

Low

$1,754

$2,965

$2,345

Binomial option model adjusted for American style options

Warrant Disposition Report

Details

On June 12, 2009, Alliance Financial Corporation (ALNC) agreed to pay $900,000 for the warrant held by
Treasury which entitled the holder of the warrant to purchase 173,069 shares of ALNC at a strike price of $23.33
per share. The warrant had an expiration day of December 19, 2018.

Alliance Financial (ALNC)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands
$1,300
$1,200
$1,100
$1,000

Final Bid - $900,000

$900
$800
$700
$600
$500
$400

First Bid - $320,000

$300
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

Low

High

Estimate

Market Quotes

$554

$952

$762

Three market indications.

Third Party

$899

$1,244

$990

Binomial option model adjusted for American style options

Model Valuation

$741

$895

$818

Appendix III – Warrant Disposition Details

Alliance Financial Corporation (ALNC)
Repurchase of ALNC Warrant

Details

Binomial option model adjusted for American style options

Warrant Disposition Report

23

Appendix III – Warrant Disposition Details

SCBT Financial Corporation (SCBT)
Repurchase of SCBT Warrant
On June 16, 2009, SCBT Financial Corporation (SCBT) agreed to pay $1.4 million for the warrant held by
Treasury which entitled the holder of the warrant to purchase 303,083 shares of SCBT at a strike price of $32.06
per share. The warrant had an expiration date of January 16, 2019.

SCBT Financial Corporation (SCBT)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands
$3,500

$3,000

$2,500

$2,000

$1,500

Final Bid - $1,400,000

$1,000
First Bid - $694,060

$500
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

Low

High

Estimate

$555

$1,789

$1,159

Five market indications.

Third Party

$2,322

$3,261

$2,888

Binomial option model adjusted for American style options

Model Valuation

$1,137

$1,436

$1,281

Binomial option model adjusted for American style options

Market Quotes

Details

NOTE: The third party modeled valuation assumed volatility of 46%. Treasury’s model assumed a significantly lower volatility
closer to the historic volatility of the company and observable market prices.

24

Warrant Disposition Report

On June 17, 2009, Berkshire Hills Bancorp (BHLB) agreed to pay $1.04 million for the warrant held by Treasury
which entitled the holder of the warrant to purchase 226,330 shares of BHLB at a strike price of $26.51 per
share. The warrant had an expiration date of December 19, 2018.

$ Thousands

Berkshire Hills (BHLB)
Fair Market Value Estimates of Treasury's Warrant Position

$2,100
$1,900
$1,700
$1,500
$1,300
$1,100

Final Bid - $1,040,000

$900

First Bid - $875,000

$700
$500
Market Quotes

Valuation Estimates for Warrant
($thousands)
Market Quotes

Third Party

Model Valuation

Third Party

Model Valuation

Low

High

Estimate

$509

$758

$611

$1,071

$1,974

$1,494

Binomial option model adjusted for American style options

$827

$1,116

$971

Appendix III – Warrant Disposition Details

Berkshire Hills Bancorp (BHLB)
Repurchase of BHLB Warrant

Details

Binomial option model adjusted for American style options

Three market indications.

Warrant Disposition Report

25

Appendix III – Warrant Disposition Details

Somerset Hills Bancorp (SOMH)
Repurchase of SOMH Warrant
On June 17, 2009, Somerset Hills Bancorp (SOMH) agreed to pay $275,000 for the warrant held by Treasury
which entitled the holder of the warrant to purchase 163,065 shares of SOMH at a strike price of $6.82 per
share. The warrant had an expiration date of January 16, 2019.

Somerset Hills (SOMH)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands
$600
$550
$500
$450
$400
$350
$300

Final Bid - $275,000

$250
$200

First Bid - $193,000

$150
$100
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

High

Estimate

Market Quotes

$122

$406

$266

Five market indications.

Third Party

$374

$521

$447

Binomial option model adjusted for American style options

Model Valuation

26

Low

$253

$299

$276

Binomial option model adjusted for American style options

Warrant Disposition Report

Details

On June 19, 2009, First Niagara Financial Group (FNFG) agreed to pay $2.7 million for the warrant held by
Treasury which entitled the holder of the warrant to purchase 953,096 shares of FNFG at a strike price of $14.48
per share. The warrant had an expiration date of November 21, 2018.

First Niagara (FNFG)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands
$5,400
$4,900
$4,400
$3,900
$3,400
$2,900

Final Bid - $2,700,000

$2,400
$1,900
First Bid - $1,500,000

$1,400
$900
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

Low

High

Estimate

$953

$2,383

$1,646

Five market indications.

Third Party

$3,455

$4,995

$4,221

Binomial option model adjusted for American style options

Model Valuation

$2,444

$3,175

$2,807

Appendix III – Warrant Disposition Details

First Niagara Financial Group (FNFG)
Repurchase of FNFG Warrant

Binomial option model adjusted for American style options

Market Quotes

Details

Warrant Disposition Report

27

Appendix III – Warrant Disposition Details

HF Financial Corp (HFFC)
Repurchase of HFFC Warrant
On June 29, 2009, HF Financial Corp (HFFC) agreed to pay $650,000 for the warrant held by Treasury which
entitled the holder of the warrant to purchase 302,419 shares of HFFC at a strike price of $12.40 per share. The
warrant had an expiration date of November 21, 2018.

HF Financial (HFFC)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands
$900

$800

$700
Final Bid - $650,000
Second Bid - $600,000

$600

$500
First Bid - $464,987

$400

$300

$200
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

High

Estimate

Market Quotes

$251

$720

$424

Three market indications.

Third Party

$686

$822

$753

Binomial option model adjusted for American style options

Model Valuation

28

Low

$505

$622

$563

Binomial option model adjusted for American style options

Warrant Disposition Report

Details

On July 1, 2009, State Street Corporation (STT) agreed to pay $60 million for the warrant held by Treasury
which entitled the holder of the warrant to purchase 2,788,104 shares of STT at a strike price of $53.80 per
share. The warrant had an expiration date of October 28, 2018.

$ Thousands

State Street (STT)
Fair Market Value Estimates of Treasury's Warrant Position

$80,000

$70,000

Final Bid - $60,000,000

$60,000

$50,000

$40,000

$30,000

$20,000

$10,000
Market Quotes

Valuation Estimates for Warrant
($millions)

Third Party

Model Valuation

Low

High

Estimate

Market Quotes

$16

$48

$33

Seven market indications.

Third Party

$46

$65

$55

Binomial option model adjusted for American style options

Model Valuation

$52

$62

$57

Appendix III – Warrant Disposition Details

State Street Corporation (STT)
Repurchase of STT Warrant

Details

Binomial option model adjusted for American style options

Warrant Disposition Report

29

Appendix III – Warrant Disposition Details

U.S. Bancorp (USB)
Repurchase of USB Warrant
On July 8, 2009, U.S. Bancorp (USB) agreed to pay $139 million for the warrant held by Treasury which entitled
the holder of the warrant to purchase 32,679,102 shares of USB at a strike price of $30.29 per share. The warrant had an expiration date of November 14, 2018.

$ Thousands

US Bancorp (USB)
Fair Market Value Estimates of Treasury's Warrant Position

$191,000
$171,000
$151,000
Final Bid - $139,000,000
Second Bid - $131,000,000

$131,000

First Bid - $115,000,000

$111,000
$91,000
$71,000
$51,000
$31,000
$11,000
Market Quotes

Valuation Estimates for Warrant
($millions)

Third Party

Model Valuation

High

Estimate

Market Quotes

$12

$175

$127

Six market indications.

Third Party

$108

$183

$144

Binomial option model adjusted for American style options

Model Valuation

30

Low

$117

$164

$140

Binomial option model adjusted for American style options

Warrant Disposition Report

Details

On July 14, 2009, BB&T Corporation (BBT) agreed to pay $67 million for the warrant held by Treasury which
entitled the holder of the warrant to purchase 13,902,573 shares of BBT at a strike price of $33.81 per share.
The warrant had an expiration date of November 14, 2018.
BB&T Corporation (BBT)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands
$88,000

$78,000

$68,000

Final Bid - $67,010,402
Third Bid - $64,925,016

$58,000

$48,000
Second Bid - $41,707,719

$38,000

$28,000
First Bid - $20,853,860

$18,000
Market Quotes

Valuation Estimates for Warrant
($millions)

Third Party

Model Valuation

Low

High

Estimate

Market Quotes

$23

$58

$36

Five market indications.

Third Party

$43

$82

$62

Binomial option model adjusted for American style options

Model Valuation

$55

$78

$67

Appendix III – Warrant Disposition Details

BB&T Corporation (BBT)
Repurchase of BBT Warrant

Details

Binomial option model adjusted for American style options

Warrant Disposition Report

31

Appendix III – Warrant Disposition Details

Goldman Sachs Group, Inc. (GS)
Repurchase of GS Warrant
On July 21, 2009, Goldman Sachs Group, Inc. (GS) agreed to pay $1.1 billion for the warrant held by Treasury
which entitled the holder of the warrant to purchase 12,205,045 shares of GS at a strike price of $122.90 per
share. The warrant had an expiration date of October 28, 2018.
Goldman Sachs (GS)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands

$1,150,000
Final Bid - $1,100,000,000

!T,T##,###,###"

$1,050,000

$950,000
Second Bid - $900,000,000

$850,000

$750,000

$650,000
First Bid - $600,000,000

$550,000
Market Quotes

Valuation Estimates for Warrant
($millions)

Third Party

Model Valuation

Low

High

Estimate

Details

Market Quotes

$732

$917

$826

Seven market indications.

Third Party

$899

$1,058

$993

Binomial option model adjusted for American style options

Model Valuation

$808

$995

$902

Binomial option model adjusted for American style options

NOTE: At the time of the decision, the common share price of GS was $159.80 compared to the 20-day average price of $148.16.
This difference was taken under consideration in Treasury’s analysis of the company’s determination of fair market value.

32

Warrant Disposition Report

On July 27, 2009, American Express Company (AXP) agreed to pay $340 million for the warrant held by
Treasury which entitled the holder of the warrant to purchase 24,264,129 shares of AXP at a strike price of
$20.95 per share. The warrant had an expiration date of January 9, 2019.
American Express (AXP)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands
$450,000

$400,000

$350,000

Final Bid - $340,000,000

$300,000

Second Bid - $260,000,000

$250,000
First Bid - $230,000,000

$200,000

$150,000
Market Quotes

Valuation Estimates for Warrant
($millions)

Model Valuation

Third Party

Low

High

Estimate

Market Quotes

$175

$298

$219

Six market indications.

Third Party

$269

$349

$309

Binomial option model adjusted for American style options

Model Valuation

$248

$322

$285

Appendix III – Warrant Disposition Details

American Express Company (AXP)
Repurchase of AXP Warrant

Details

Binomial option model adjusted for American style options

NOTE: At the time of the decision, the common share price of AXP was $28.32 compared to the 20-day average price of $25.71.
This difference was taken under consideration in Treasury’s analysis of the company’s determination of fair market value.

Warrant Disposition Report

33

Appendix III – Warrant Disposition Details

Bank of New York Mellon Corporation (BK)
Repurchase of BK Warrant
On July 31, 2009, Bank of New York Mellon Corporation (BK) agreed to pay $136 million for the warrant held
by Treasury which entitled the holder of the warrant to purchase 14,516,129 shares of BK at a strike price of
$31.00 per share. The warrant had an expiration date of October 28, 2018.

$ Thousands

Bank of New York Mellon (BK)
Fair Market Value Estimates of Treasury's Warrant Position

$165,000

$145,000
Final Bid - $136,000,000
Third Bid - $130,000,000

$125,000
Second Bid - $118,000,000

$105,000

$85,000
First Bid - $79,000,000

$65,000

$45,000
Market Quotes

Valuation Estimates for Warrant
($millions)

Third Party

Model Valuation

High

Estimate

Market Quotes

$55

$137

$94

Seven market indications.

Third Party

$108

$164

$136

Binomial option model adjusted for American style options

Model Valuation

34

Low

$110

$162

$135

Binomial option model adjusted for American style options

Warrant Disposition Report

Details

On August 5, 2009, Morgan Stanley (MS) agreed to pay $950 million for the warrant held by Treasury which
entitled the holder of the warrant to purchase 65,245,759 shares of MS at a strike price of $22.99 per share. The
warrant had an expiration date of October 28, 2018.

$ Thousands

Morgan Stanley (MS)
Fair Market Value Estimates of Treasury's Warrant Position

$1,100,000

$1,000,000
Final Bid - $950,000,000

$900,000

Third Bid - $900,000,000

$800,000

Second Bid - $800,000,000

$700,000

$600,000

First Bid - $500,000,000

$500,000

$400,000
Market Quotes

Valuation Estimates for Warrant
($millions)

Third Party

Model Valuation

Low

High

Estimate

Market Quotes

$495

$944

$731

Seven market indications.

Third Party

$806

$1,002

$900

Binomial option model adjusted for American style options

Model Valuation

$750

$962

$855

Appendix III – Warrant Disposition Details

Morgan Stanley (MS)
Repurchase of MS Warrant

Details

Binomial option model adjusted for American style options

NOTE: At the time of the decision, the common share price of MS was $31.05 compared to the 20-day average price of $28.16.
This difference was taken under consideration in Treasury’s analysis of the company’s determination of fair market value.

Warrant Disposition Report

35

Appendix III – Warrant Disposition Details

Northern Trust Corporation (NTRS)
Repurchase of NTRS Warrant
On August 19, 2009, Northern Trust Corporation (NTRS) agreed to pay $87 million for the warrant held by
Treasury which entitled the holder of the warrant to purchase 3,824,624 shares of NTRS at a strike price of
$61.81 per share. The warrant had an expiration date of November 14, 2018.

$ Thousands

Northern Trust (NTRS)
Fair Market Value Estimates of Treasury's Warrant Position

$120,000
$110,000
$100,000
$90,000

Final Bid - $87,000,000

$80,000
Second Bid - $75,000,000

$70,000
$60,000
$50,000
$40,000

First Bid - $37,000,000

$30,000
Market Quotes

Valuation Estimates for Warrant
($millions)
Low

Third Party

High

Estimate

Model Valuation

Details

Market Quotes

$80

$69

Six market indications.

Third Party

$71

$101

$86

Binomial option model adjusted for American style options

Model Valuation

36

$54

$71

$97

$84

Binomial option model adjusted for American style options

Warrant Disposition Report

On August 20, 2009, Old Line Bancshares, Inc. (OLBK) agreed to pay $225,000 for the warrants held by
Treasury which entitled the holder of the warrant to purchase 141,892 shares of OLBK at a strike price of $7.40
per share. The warrant had an expiration date of December 5, 2018.

$ Thousands

Old Line Bancshares (OLBK)
Fair Market Value Estimates of Treasury's Warrant Position

$360

$310

$260
Final Bid - $225,000

$210

Second Bid - $205,000
First Bid - $175,000

$160

$110

$60

$10
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

Low

High

Estimate

Market Quotes

$28

$167

$102

Four market indications.

Third Party

$201

$308

$254

Binomial option model adjusted for American style options

Model Valuation

$172

$257

$214

Appendix III – Warrant Disposition Details

Old Line Bancshares, Inc. (OLBK)
Repurchase of OLBK Warrant

Details

Binomial option model adjusted for American style options

Warrant Disposition Report

37

Appendix III – Warrant Disposition Details

Bancorp Rhode Island, Inc. (BARI)
Repurchase of BARI Warrant
On September 21, 2009, Bancorp Rhode Island, Inc. (BARI) agreed to pay $1.4 million for the warrant held by
Treasury which entitled the holder of the warrant to purchase 192,967 shares of BARI at a strike price of $23.32
per share. The warrant had an expiration date of December 19, 2018.

Bancorp Rhode Island (BARI)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands

$1,800

$1,600

Final Bid - $1,400,000

$1,400

$1,200
Second - $1,125,000

$1,000
First Bid - $856,773

$800

$600
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Low

High

Estimate

$703

$1,427

$1,166

Three market indications.

Third Party

$1,196

$1,760

$1,476

Binomial option model adjusted for American style options

Model Valuation

$1,200

$1,643

$1,423

Binomial option model adjusted for American style options

Market Quotes

38

Warrant Disposition Report

Details

Model Valuation

On October 9, 2009, Manhattan Bancorp (MNHN) agreed to pay $63,363.90 for the warrant held by Treasury
which entitled the holder of the warrant to purchase 29,480 shares of MNHN at a strike price of $8.65 per share.
The warrant had an expiration date of December 5, 2018.

$ Thousands

Manhattan Bancorp (MNHN)
Fair Market Value Estimates of Treasury's Warrant Position

$78

$68
Final Bid - $63,363.90

$58

$48

$38

$28

$18

$8
Market Quotes

Valuation Estimates for Warrant
($thousands)

Model Valuation

Third Party

Low

High

Estimate

Market Quotes

$10

$57

$34

Two market indications.

Third Party

$45

$54

$50

Binomial option model adjusted for American style options

Model Valuation

$48

$64

$56

Appendix III – Warrant Disposition Details

Manhattan Bancorp (MNHN)
Repurchase of MNHN Warrant

Details

Binomial option model adjusted for American style options

Warrant Disposition Report

39

Appendix III – Warrant Disposition Details

CenterState Banks, Inc. (CSFL)
Repurchase of CSFL Warrant
On October 20, 2009, CenterState Banks, Inc. (CSFL) agreed to pay $212,000 for the warrants held by Treasury
which entitled the holder of the warrant to purchase 125,413 shares of CSFL at a strike price of $16.67 per share.
The warrant had an expiration date of November 21, 2018.

$ Thousands

CenterState Banks, Inc. (CSFL)
Fair Market Value Estimates of Treasury's Warrant Position

$290

$240

Final Bid - $212,000

$190
First Bidnts - $168,053

$140

$90
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

High

Estimate

Market Quotes

$94

$143

$125

Three market indications.

Third Party

$159

$268

$236

Binomial option model adjusted for American style options

Model Valuation

40

Low

$153

$269

$206

Binomial option model adjusted for American style options

Warrant Disposition Report

Details

On October 21, 2009, CVB Financial Corp. (CVBF) agreed to pay $1.307 million for the warrant held by
Treasury which entitled the holder of the warrant to purchase 834,761 shares of CVBF at a strike price of $11.68
per share. The warrant had an expiration date of December 5, 2018.

CVB Financial (CVBF)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands
$1,800

$1,600

$1,400
Final Bid - $1,307,000

$1,200

First Bid - $1,002,000

$1,000

$800

$600

$400
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

Low

High

Estimate

Market Quotes

$551

$1,135

$917

Third Party

$785

$1,436

$1,110

Binomial option model adjusted for American style options

Model Valuation

$993

$1,711

$1,349

Appendix III – Warrant Disposition Details

CVB Financial Corp. (CVBF)
Repurchase of CVBF Warrant

Details

Binomial option model adjusted for American style options

Three market indications.

Warrant Disposition Report

41

Appendix III – Warrant Disposition Details

Bank of the Ozarks, Inc. (OZRK)
Repurchase of OZRK Warrant
On November 18, 2009, Bank of the Ozarks, Inc. (OZRK) agreed to pay $2.65 million for the warrant held by
Treasury which entitled the holder of the warrant to purchase 379,811 shares of OZRK at a strike price of $29.62
per share. The warrant had an expiration date of December 12, 2018.

Bank of the Ozarks (OZRK)
Fair Market Value Estimates of US Treasury's Warrant Position

$ Thousands
$3,500

$3,000

Final Bid - $2,650,000

$2,500

First Bid - $2,160,743

$2,000

$1,500

$1,000
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

High

Estimate

Market Quotes

$1,230

$3,240

$2,210

Three market indications.

Third Party

$1,880

$3,110

$2,480

Binomial option model adjusted for American style options

Model Valuation

42

Low

$1,917

$3,095

$2,509

Binomial option model adjusted for American style options

Warrant Disposition Report

Details

On December 8, 2009, LSB Corporation (LSBX) agreed to pay $560,000 for the warrant held by Treasury which
entitled the holder of the warrant to purchase 209,497 shares of LSBX at a strike price of $10.74 per share. The
warrant had an expiration date of December 12, 2018.

LSB Corporation (LSBX)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands
$1,000
$900
$800
$700
$600

Final Bid - $560,000

$500

First Bid - $500,000

$400
$300
$200
$100
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

Low

High

Estimate

Market Quotes

$157

$883

$446

Four market indications.

Third Party

$486

$773

$605

Binomial option model adjusted for American style options

Model Valuation

$459

$681

$569

Appendix III – Warrant Disposition Details

LSB Corporation (LSBX)
Repurchase of LSBX Warrant

Details

Binomial option model adjusted for American style options

Warrant Disposition Report

43

Appendix III – Warrant Disposition Details

Wainwright Bank and Trust Company (WAIN)
Repurchase of WAIN Warrant
On December 11, 2009, Wainwright Bank and Trust Company (WAIN) agreed to pay $568,700 for the warrants
held by Treasury, which entitled the holder of the warrant to purchase 390,071 shares of WAIN at a strike price of
$8.46 per share. The warrant had an expiration date of December 19, 2018.

Wainwright Bank and Trust (WAIN)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands
$800

$700

$600
Final Bid - $568,700

$500

$400

$300

$200
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

High

Estimate

Market Quotes

$289

$780

$532

Three market indications.

Third Party

$491

$776

$632

Binomial option model adjusted for American style options

Model Valuation

44

Low

$449

$632

$541

Binomial option model adjusted for American style options

Warrant Disposition Report

Details

Model Valuation

On December 11, 2009, WesBanco, Inc. (WSBC) agreed to pay $950,000 for the warrant held by Treasury
which entitled the holder of the warrant to purchase 439,282 shares of WSBC at a strike price of $25.61 per
share. The warrant had an expiration date of December 5, 2018.

$ Thousands

WesBanco, Inc. (WSBC)
Fair Market Value Estimates of Treasury's Warrant Position

$1,400

$1,200

$1,000

Final Bid - $950,000
First Bid - $825,000

$800

$600

$400

$200

$0
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

Low

High

Estimate

Market Quotes

$132

$1,204

$577

Four market indications.

Third Party

$371

$955

$643

Binomial option model adjusted for American style options

Model Valuation

$585

$1,119

$851

Appendix III – Warrant Disposition Details

WesBanco, Inc. (WSBC)
Repurchase of WSBC Warrant

Details

Binomial option model adjusted for American style options

Warrant Disposition Report

45

Appendix III – Warrant Disposition Details

Union Bankshares Corporation (UBSH)
Repurchase of UBSH Warrant
On December 16, 2009, Union Bankshares Corporation (UBSH) agreed to pay $450,000 for the warrant held
by Treasury which entitled the holder of the warrant to purchase 211,318 shares of UBSH at a strike price of
$20.94 per share. The warrant had an expiration date of December 19, 2018.
Union Bankshares (UBSH)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands
$800
$700

$600

$500
Final Bid - $450,000

$400

First Bid - $400,000

$300

$200

$100
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

High

Estimate

Market Quotes

$188

$687

$448

Four market indications.

Third Party

$267

$595

$424

Binomial option model adjusted for American style options

Model Valuation

46

Low

$279

$564

$410

Binomial option model adjusted for American style options

Warrant Disposition Report

Details

On December 28, 2009, Flushing Financial Corporation (FFIC) agreed to pay $900,000 for the warrant held by
Treasury which entitled the holder of the warrant to purchase 375,806 shares of FFIC at a strike price of $13.97
per share. The warrant had an expiration date of December 19, 2018.

Flushing Financial (FFIC)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands

$1,400

$1,200

$1,000
Final Bid - $900,000
Third Bid - $860,000

$800
Second Bid - $700,000

$600

First Bid - $597,000

$400
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

Model Valuation

Low

High

Estimate

Market Quotes

$459

$1,240

$742

Third Party

$883

$1,131

$1,007

Binomial option model adjusted for American style options

Model Valuation

$623

$1,090

$850

Appendix III – Warrant Disposition Details

Flushing Financial Corporation (FFIC)
Repurchase of FFIC Warrant

Details

Binomial option model adjusted for American style options

Three market indications.

Warrant Disposition Report

47

Appendix III – Warrant Disposition Details

Trustmark Corporation (TRMK)
Repurchase of TRMK Warrant
On December 29, 2009, Trustmark Corporation (TRMK) agreed to pay $10,000,000 for the warrant held by
Treasury which entitled the holder of the warrant to purchase 1,647,931 shares of TRMK at a strike price of
$19.57 per share. The warrant had an expiration date of November 21, 2018.
Trustmark Corporation (TRMK)
Fair Market Value Estimates of Treasury's Warrant Position

$ Thousands
$12,000

$11,000
Final Bid - $10,000,000

$10,000

Third Bid - $9,600,000
Second Bid - $9,200,000

$9,000

First Bid - $8,167,000

$8,000

$7,000

$6,000

$5,000

$4,000
Market Quotes

Valuation Estimates for Warrant
($thousands)

Third Party

High

Estimate

Market Quotes

$4,120

$10,547

$7,601

Four market indications.

Third Party

$7,103

$10,942

$9,014

Binomial option model adjusted for American style options

Model Valuation

48

Low

$7,876

$11,551

$9,704

Binomial option model adjusted for American style options

Warrant Disposition Report

Details

Model Valuation

On December 3, 2009, Treasury auctioned the Capital One Financial Corp. (COF) warrant for $149 million in
gross proceeds. The warrant entitled the holder to purchase 12,657,960 shares of COF at a strike price of $42.13
per share and expired on November 14, 2018.

$ Thousands

Capital One Financial (COF)
Fair Market Value Estimates of Treasury's Warrant Position

$160,000

$140,000

$120,000

$100,000

$80,000

$60,000
Bid - $46,500,000

$40,000

$20,000

$0
Market Quotes

Valuation Estimates for Warrant
($millions)

Third Party

Low

High

$2

$70

$30

Third Party

$107

$148

$124

Binomial option model adjusted for American style options

Model Valuation

$86

$131

$108

Binomial option model adjusted for American style options

Market Quotes

Estimate

Model Valuation

Appendix III – Warrant Disposition Details

Capital One Financial Corp. (COF)
Sale of COF Warrant

Details
Seven market indications.

NOTE: Above analysis was done to evaluate COF’s bid on 6/30/09 and is not directly comparable to the auction results on 12/3/09
as market conditions changed over the intervening five months. In particular, COF’s stock price appreciated 69% while short-term
implied volatility in the stock declined slightly. See charts in Appendix IV.

Warrant Disposition Report

49

Appendix III – WCarrant Disposition Details

JP Morgan Chase & Co. (JPM)
Sale of JPM Warrant
On December 10, 2009, Treasury auctioned the JPMorgan Chase & Co. (JPM) for $950 million in gross proceeds. The warrant entitled the holder to purchase 88,401,697 shares of JPM at a strike price of $42.42 per share
and expired on October 28, 2018.

$ Thousands

JPMorgan (JPM)
Fair Market Value Estimates of Treasury's Warrant Position

$1,400,000
$1,300,000
$1,200,000
$1,100,000
$1,000,000
$900,000

Bid - $825,539,247

$800,000
$700,000
$600,000
$500,000
$400,000
Market Quotes

Valuation Estimates for Warrant
($millions)

Third Party

Model Valuation

Low

High

Estimate

Details

Market Quotes

$488

$1,137

$658

Third Party

$875

$1,252

$1,063

Binomial option model adjusted for American style options

Model Valuation

$900

$1,097

$998

Binomial option model adjusted for American style options

Seven market indications.

NOTE: Above analysis was done to evaluate JPM’s bid on 6/17/09 and is not directly comparable to the auction results on
12/10/09 as market conditions changed over the intervening six months. In particular, JPM’s stock price appreciated 26% while
short-term implied volatility in the stock declined more than 25%. See charts in Appendix IV.

50

Warrant Disposition Report

On December 15, 2009, Treasury auctioned the TCF Financial Corporation (TCB) warrant for $9.6 million in
gross proceeds. The warrant entitled the holder to purchase 3,199,988 shares of TCB at a strike price of $16.93
per share and expired on November 14, 2018.

$ Thousands

TCF Financial (TCB)
Fair Market Value Estimates of Treasury's Warrant Position

$25,000

$20,000

$15,000

$10,000

$5,000
Bid - $3,200,000

$0
Market Quotes

Valuation Estimates for Warrant
($millions)

Third Party

Model Valuation

Low

High

Estimate

Market Quotes

$12.1

$20.5

$15.9

Three market indications.

Third Party

$13.4

$19.1

$16.2

Binomial option model adjusted for American style options

Model Valuation

$11.3

$17.2

$14.3

Appendix III – Warrant Disposition Details

TCF Financial Corporation (TCB)
Sale of TCB Warrant

Details

Binomial option model adjusted for American style options

NOTE: Above analysis was done to evaluate TCB’s bid on 5/5/09 and is not directly comparable to the auction results on 12/15/09
as market conditions changed over the intervening seven months. In particular, TCB’s stock price declined 16% while short-term
implied volatility in the stock declined more than 40%. See charts in Appendix IV.

Warrant Disposition Report

51

Appendix IV – Changes in Market Conditions from Issuer Bid to Auction

Appendix IV –  hanges in Market Conditions 	
C
from Issuer Bid to Auction
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Institution Name
State Street
East West Bancorp
PrivateBancorp, Inc.
SVB Financial Group
Umpqua Holdings Corp.
MB Financial Inc.
First Niagara Financial Group
United Community Banks, Inc.
National Penn Bancshares, Inc.
Western Alliance Bancorporation
CVB Financial Corp
F.N.B. Corporation
First Busey Corporation
Pinnacle Financial Partners, Inc.
Iberiabank Corporation
First Financial Bancorp
Columbia Banking System Inc.
Flushing Financial Corporation
Nara Bancorp, Inc.
First Financial Holdings Inc.
Union Bankshares Corporation
Lakeland Financial Corporation
Center Financial Corporation
Home Bancshares, Inc.
Seacoast Banking Corporation of Florida
The Bancorp, Inc.
First Community Bancshares Inc.
OceanFirst Financial Corp.
Eagle Bancorp, Inc.*
Centerstate Banks of Florida Inc.
Washington Banking Company
Heritage Financial Corporation
Middleburg Financial Corporation
MidSouth Bancorp, Inc.
Bar Harbor Bankshares**
Monarch Financial Holdings, Inc.
Center Bancorp, Inc.
Central Valley Community Bancorp
Total

Ticker
STT
EWBC
PVTB
SIVB
UMPQ
MBFI
FNFG
UCBI
NPBC
WAL
CVBF
FNB
BUSE
PNFP
IBKC
FFBC
COLB
FFIC
NARA
FFCH
UBSH
LKFN
CLFC
HOMB
SBCF
TBBK
FCBC
OCFC
EGBN
CSFL
WBCO
HFWA
MBRG
MSL
BHB
MNRK
CNBC
CVCY

CPP
Investment
Date
10/28/08
12/5/08
1/30/09
12/12/08
11/14/08
12/5/08
11/21/08
12/5/08
12/12/08
11/21/08
12/5/08
1/9/09
3/6/09
12/12/08
12/5/08
12/23/08
11/21/08
12/19/08
11/21/08
12/5/08
12/19/08
2/27/09
12/12/08
1/16/09
12/19/08
12/12/08
11/21/08
1/16/09
12/5/08
11/21/08
1/16/09
11/21/08
1/30/09
1/9/09
1/16/09
12/19/08
1/9/09
1/30/09

38

CPP
Investment Size
($millions)
2,000.0
306.5
243.8
235.0
214.2
196.0
184.0
180.0
150.0
140.0
130.0
100.0
100.0
95.0
90.0
80.0
76.9
70.0
67.0
65.0
59.0
56.0
55.0
50.0
50.0
45.2
41.5
38.3
38.2
27.9
26.4
24.0
22.0
20.0
18.8
14.7
10.0
7.0
5,327.4

Repurchased
Date of CPP
Investment
6/17/09
N/A
N/A
12/23/09
N/A
N/A
5/27/09
N/A
N/A
N/A
9/2/09
9/9/09
N/A
N/A
3/31/09
N/A
N/A
10/28/09
N/A
N/A
11/18/09
N/A
N/A
N/A
N/A
N/A
7/8/09
12/30/09
12/23/09
9/30/09
N/A
N/A
12/23/09
N/A
N/A
12/23/09
N/A
N/A

CPP Investment
Outstanding
($millions)
306.5
243.8
214.2
196.0
180.0
150.0
140.0
100.0
95.0
80.0
76.9
67.0
65.0
56.0
55.0
50.0
50.0
45.2
23.2
26.4
24.0
18.8
10.0
7.0

Adjusted
Warrant
Number of
Exercise Price Warrant Shares
WARRANT REPURCHASED
15.15
1,517,555
28.35
645,013
49.78
354,058
14.46
1,110,898
29.05
506,024
WARRANT REPURCHASED
12.28
1,099,542
15.30
735,294
13.34
787,107
WARRANT REPURCHASED
11.52
651,042
13.07
573,833
26.64
267,455
WARRANT REPURCHASED
12.90
465,117
14.49
398,023
WARRANT REPURCHASED
9.64
521,266
20.17
241,696
WARRANT REPURCHASED
21.20
198,269
9.54
432,390
26.03
144,065
6.36
589,623
3.46
980,203
35.26
88,273
15.07
190,427
7.44
385,434
WARRANT REPURCHASED
8.04
246,082
13.04
138,037
15.85
104,101
14.37
104,384
26.81
52,455
8.33
132,353
8.65
86,705
6.64
79,067

2,280.1

*Eagle Bancorp has partially redeemed the CPP preferred.
** Bar Harbor has not yet provided an official notice of its QEO for Treasury approval.

Warrant Disposition Report

Appendix V – Qualified Equity Offerings Sufficient to Halve Warrants

Appendix V – Qualified Equity Offerings

Sufficient to Halve Warrants

53

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