Full text of Warrant Disposition Report : Warrant Disposition Report As of December 31, 2010

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UNITED STATES DEPARTMENT OF THE TREASURY

OFFICE OF FINANCIAL STABILITY

Warrant Disposition Report
Update December 31, 2010

Troubled Asset Relief Program
Office of Financial Stability

Executive Summary
The Emergency Economic Stabilization Act of 2008 (EESA) requires that in most circumstances Treasury receive
warrants in connection with the purchase of troubled assets. Treasury’s warrant sales provide additional returns
beyond dividend payments from Treasury’s preferred stock investments. Treasury’s successful warrant dispositions
have significantly benefited taxpayers. During the six months ending December 31, 2010, Treasury received
more than $1.1 billion in gross proceeds from the disposition of nine warrant positions.2

Executive Summary

The United States Department of the Treasury (Treasury) is pleased to present this supplement to the
Warrant Disposition Report dated January 20, 2010 with information about the seven warrant repurchases and
two warrant auctions that Treasury’s Office of Financial Stability (OFS) conducted under the Troubled Asset
Relief Program (TARP) in the six months ending December 31, 2010.1

Major parts of TARP were the Capital Purchase Program (CPP) and the Targeted Investment Program (TIP). Under
these programs, Treasury invested $245 billion in 707 financial institutions.
Since the program’s inception, Treasury has received more than $8.1 billion in gross proceeds from the disposition
of warrants associated with 59 CPP investments and one TIP investment, consisting of (i) $3.1 billion from issuer
repurchases at agreed upon fair market values and (ii) $5.0 billion from auctions. For the 59 fully repaid CPP
investments representing $137.9 billion in capital, Treasury has received an absolute return of 4.6% from dividends
and an added 5.2% return from the sale of the warrants for a total absolute return of 9.8%.3 For the $20 billion
TIP investment in Bank of America Corporation, Treasury received an absolute return of 7.2% from dividends and
an added 6.3% return from the sale of the warrants for a total absolute return of 13.5%.3 These returns are not
predictive of the eventual returns on the entire CPP and TIP portfolios.

Repurchases
Upon repaying its TARP preferred stock investment, a financial institution may repurchase its warrants at an
agreed upon fair market value. In all such cases, Treasury follows a consistent evaluation process to ensure that
taxpayers receive fair market values for the warrants. In the six months ending December 31, 2010, Treasury
received $191.8 million from seven banks through warrant repurchases at agreed upon fair market values.

Auctions
If an institution decides not to repurchase its warrants, Treasury has determined to dispose of the warrants as soon
as practicable. Treasury has been successful in effectively disposing of warrants at fair market values through public
auctions. In the 16 warrant auctions held to date, investor demand above Treasury’s minimum price has exceeded
the supply of warrant shares by an average of 6.0 times with oversubscription rates ranging from 2.0 to 18.3 times.
Auctioned warrants are actively traded on national exchanges, providing a liquid secondary market and observable
market pricing for long-dated warrants. In the six months ending December 31, 2010, Treasury auctioned two warrant
positions, generating over $930.3 million in proceeds.

Remaining Positions
As of December 31, 2010, Treasury held warrants to purchase common stock in 22 financial institutions that
have fully repaid their CPP investments and in 195 publicly traded companies in which the CPP investment is
1) TARP’s Warrant Disposition Report is posted on the OFS website at the following link: www.treasury.gov/initiatives/financial-stability/briefing-room/
reports/other/Pages/default.aspx
2)  e repurchases of warrant preferred shares associated primarily with private institutions that Treasury exercised at the time of purchase are
Th
excluded from these numbers. In the six months ending December 31, 2010, nine private banks repurchased their warrant preferred shares.
Since the program’s inception, 20 private banks have repurchased their warrant preferred shares. See table on page 15.
3) Returns are not annualized.

Warrant Disposition Report - Update DECEMBER 31, 2010

1

Executive Summary

still outstanding.4 Treasury intends to continue to execute a consistent and transparent disposition process
which achieves fair market values and protects taxpayer interests.
The table below sets forth proceeds from the seven warrant repurchases and two warrant auctions completed
during the last six months of 2010.5

Summary of Gross Proceeds from Sale of Public Warrants since July 1, 2010
Institution Name
REPURCHASES

Preferred
Ticker Redemption Date

Discover Financial Services
Fulton Financial Corporation
The Bancorp, Inc.
Columbia Banking System
Citizens & Northern Corporation
Central Jersey Bancorp
Bar Harbor Bankshares

DFS
FULT
TBBK
COLB
CZNC
CJBK
BHB

TOTAL

4/21/2010
7/14/2010
3/10/2010
8/11/2010
8/4/2010
11/24/2010
2/24/2010

7

Preferred Amount
Warrant Gross Warrant
QEO?
Redeemed Repurchase/Auction
Proceeds (i.e. warrants
($thousands)
Date ($thousands)
cut by 50%)
1,224,558
376,500
45,220
76,898
26,400
11,300
18,751

7/7/2010
9/8/2010
9/8/2010
9/1/2010
9/1/2010
12/1/2010
7/28/2010

Yes
Yes
Yes

$191,825

$1,779,627

$172,000
10,800
4,754
3,302
400
320
250

3

$713,687
216,621

-

$930,308

-

AUCTIONS
Hartford Financial Services Group, Inc. HIG
Lincoln National Corporation
LNC

TOTAL

2

3/31/2010
6/30/2010

3,400,000
950,000

9/21/2010
9/16/2010

$4,350,000

4)  reasury also holds warrants for common shares in public companies in connection with other TARP programs. For example, as of
T
December 31, 2010, Treasury held warrants in Citigroup Inc. associated with CPP (210.1 million shares with an exercise price of $17.85),
TIP (188.5 million shares with an exercise price of $10.61), and AGP (66.5 million shares with an exercise price of $10.61). In addition,
Treasury held exercised warrant preferred shares in 369 CPP institutions as of December 31, 2010.
5)  e repurchase of the warrants by Central Jersey Bancorp was completed as part of a cash acquisition of the bank.
Th

2

Warrant Disposition Report - Update DECEMBER 31, 2010

Background

Background
As required by EESA, Treasury received warrants from TARP banks to provide taxpayers with an additional
potential return on the government’s investment.6
For each CPP and TIP 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 TARP 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.
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 CPP 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. For TIP investments, an institution was required to first redeem its CPP investment before being able to redeem the TIP preferred stock.7
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 one or more QEOs before
December 31, 2009 with aggregate gross proceeds equivalent to the value of Treasury’s CPP investment. Thirtyeight CPP participants completed a QEO in time to reduce their warrants.
The CPP and TIP contracts further provide that once the preferred investment is redeemed or sold by Treasury,
the institution has a right to repurchase its 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.
6)
7)

E
 ESA 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.
B
 ank of America redeemed both its CPP and TIP at the same time on December 9, 2010. Citigroup was able to redeem the TIP preferred
stock on December 23, 2009 and Treasury has sold its CPP investment in the bank which had been exchanged into common stock.

Warrant Disposition Report - Update DECEMBER 31, 2010

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.8 The banks have 15 days from repayment of the preferred stock 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 an 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 warrant auctions in December 2009 and has held 16 auctions to date. 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.

8)

4

P
 rivately-held companies, S-corporations, and certain mutual institutions typically redeem their warrant preferreds or subordinated
debentures at par when redeeming the primary CPP investment. (See Appendix I for table of warrant preferred repurchases as of
December 31, 2010.)

Warrant Disposition Report - Update DECEMBER 31, 2010

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. Treasury
also utilizes the market information from the trading of auctioned TARP warrants as another indication how of
the market values long-dated warrants.

(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.

Treasury’s Evaluation of Issuer’s Bid

Treasury’s Evaluation of Issuer’s Bid

(iii) Model Valuations
Treasury uses a number of financial models to estimate warrant valuations. Primarily, Treasury uses 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.treasury.gov/initiatives/financial-stability/investmentprograms/cpp/Pages/capitalpurchaseprogram.aspx.
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 I 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

Warrant Disposition Report - Update DECEMBER 31, 2010

5

Treasury’s Evaluation of Issuer’s Bid

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

6

Warrant Disposition Report - Update DECEMBER 31, 2010

Treasury began selling warrants back to banks that had repaid the TARP investment in May 2009. In
aggregate, as of December 31, 2010, Treasury has realized $3.1 billion in gross proceeds from 44 warrant repurchases. This compares favorably to initial bids of $1.9 billion and estimates of aggregate value of $2.4 billion
based on market indications, $3.0 billion based on third party estimates, and $2.8 billion based on Treasury’s
internal financial model. Warrants repurchased by the issuer have yielded an extra absolute return of 7.1% on
Treasury’s investment.
When selling warrants back to the issuer, Treasury has achieved fair market values and protected the taxpayer.
Dr. Jarrow noted that “[Treasury’s] valuation process results in a warrant valuation that is fair to both the
participating banks and the U.S. taxpayers.” Further, the Special Inspector General for the Troubled Asset
Relief Program (SIGTARP) audit released on May 15, 2010 entitled Assessing Treasury’s Process to Sell Warrants
Received from TARP Recipients concluded that Treasury successfully negotiated prices from institutions that
wished to repurchase their warrants that were at or above Treasury’s estimated range of fair market value for
such warrants.9 The report also described the valuation methodology to estimate fair market value and offered
no suggestions for modifying that methodology.10

Repurchases of Warrants

Repurchases of Warrants

9) SIGTARP report, Assessing Treasury’s Process to Sell Warrants Received from TARP Recipients, dated May 15, 2010.
10) SIGTARP offered some suggestions regarding documentation of the negotiation process, and regarding insuring consistency in the
information provided to issuers seeking to repurchase their warrants. Treasury reviewed these suggestions carefully and has made
appropriate changes to its procedures for recording Warrant Committee meeting minutes and conversations with banks regarding the
repurchases of their warrants.

Warrant Disposition Report - Update DECEMBER 31, 2010

7

Auctions of Warrants

Auctions of Warrants
Following repayment of its 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 price, Treasury disposes of the warrants, when possible,
through public auctions. Since December 2009, Treasury has auctioned 16 warrant positions in 15 financial
institutions, generating aggregate proceeds of approximately $5.0 billion.11 Demand in the warrant auctions has
exceeded the number of warrant shares being auctioned by an average of 6.0 times with an oversubscription range
of 2.0 to 18.3 times. Warrants sold through auctions have yielded an extra absolute return of 4.4% on Treasury’s
investment.
The auctions have also provided valuable insights into how the market values long-dated warrants, as scores of
different bidders have placed hundreds of unique bids in each auction. The auctions have resulted in estimated
placements of approximately 43% to fundamental institutional investors, 28% to convertible-focused investors,
19% to derivative-focused investors, and 10% to individual investors.12 Typically, many of the fundamental
institutional investors who buy warrants in an given auction are also holders of the bank’s common stock.
Active secondary trading in the warrants has further validated the auction prices and provides ongoing
observable market prices for long-dated warrants. Each of the warrants sold through public auction has been
listed on the New York Stock Exchange or the NASDAQ. Trading volumes tend to be very high during the first
few days following an auction and then to fall into a lower range. Excluding the first five trading days after each
auction, the daily trading volume of the warrants has averaged 0.6% of the outstanding securities. Across the 16
TARP warrant positions currently outstanding with public investors, several million warrants change hands on a
typical trading day.
In a Treasury report entitled Treasury Analysis of Warrant Auction Results, the OFS and the Office of Economic
Policy have also examined three CPP warrant auctions and one TIP warrant auction, each of which generated
proceeds in excess of $100 million.13  This report concluded that no single bidder had a large impact on the
final clearing price in these four auctions.  Further, the report showed that increasing the amount of smaller
bidders participating in the auctions would not have had a material impact on the final clearing price.  These
two conclusions suggest that the auctions were robust and achieved a fair market price.
Treasury has successfully disposed of warrants through the auction process. Clearing prices have been set
through robust competition between a large number of bidders, and fair market value has been achieved for
taxpayers. Additionally, an active and liquid secondary market for the warrants has been established, providing
greater confidence in the market value of the total Treasury warrant portfolio and thereby supporting future
auctions.

11) Treasury held two separate auctions for different Bank of America Corporation CPP and TIP warrants. See footnote 5.
12) The estimated placements to different investor types are calculated exluding any allocations to the issuing institution.
13)  e report Treasury Analysis of Warrant Auction Results can be found on the Treasury website:
Th
www.treasury.gov/resource-center/economic-policy/Documents/Auction-Analysis-3-18-2010.pdf

8

Warrant Disposition Report - Update DECEMBER 31, 2010

Modified “Dutch” Auctions

For the first sixteen 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.

Figure 1:  llustrative Cumulative Auction
I
Demand by Price

30	
  

Example	
  of	
  Cumula-ve	
  Demand	
  by	
  Price	
  

25	
  

20	
  

15	
  

Modified “Dutch” Auctions

Modified “Dutch” Auctions

10	
  

Example	
  Auc7on	
  Clearing	
  Price	
  $5.75	
  	
  

5	
  

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	
  

Figure 2: Illustrative Auction Demand by Price

Deutsche Bank Securities Inc. was
Treasury’s auction agent for the first
sixteen auctions. Deutsche Bank
received fees equal to approximately
1.3% of the gross proceeds ($66.6
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
1 and 2 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.

Warrant Disposition Report - Update DECEMBER 31, 2010

9

10

Ticker

Warrant Disposition Report - Update DECEMBER 31, 2010

CZNC

COLB

TBBK

FULT

CJBK

44

Citizens & Northern Corporation

Columbia Banking System

The Bancorp, Inc.

Fulton Financial Corporation

Central Jersey Bancorp

Total

$43,947,466

11,300

376,500

45,220

76,898

26,400

18,751

1,224,558

235,000

10,000

400,000

214,181

14,700

38,263

215,000

70,000

59,000

75,000

15,000

22,000

75,000

130,000

27,875

1,700

30,000

7,000

1,576,000

10,000,000

3,000,000

3,388,890

10,000,000

3,133,640

6,599,000

2,000,000

25,000

184,011

7,414

40,000

64,779

26,918

78,158

125,000

89,310

90,000

$100,000

11/24/2010

7/14/2010

3/10/2010

8/11/2010

8/4/2010

2/24/2010

4/21/2010

12/23/2009

4/7/2010

$1,868,195

320

8,000

3,546

3,302

400

67

165,000

3,800

1,488

2,055
11,900

3/3/2010

209

431

8,167

597

400

825

500

569

2,161

1,002

168

63

857

175

37,000

500,000

79,000

230,000

600,000

20,854

115,000

60,000

465

1,500

193

875

694

320

880

3,186

1,049

620

$559

Bid #1

2/17/2010

12/23/2009

12/30/2009

12/3/2009

10/28/2009

11/18/2009

9/2/2009

11/18/2009

11/24/2009

11/4/2009

9/2/2009

9/30/2009

9/16/2009

8/5/2009

7/15/2009

6/17/2009

6/17/2009

6/17/2009

6/17/2009

6/17/2009

6/17/2009

6/17/2009

6/17/2009

6/3/2009

5/27/2009

5/20/2009

5/27/2009

5/20/2009

5/13/2009

4/22/2009

4/22/2009

4/8/2009

3/31/2009

3/31/2009

Redemption
Date

9,500

4,852

175

180,000

6,200

17,500

3,610

250

9,200

700

450

950

560

2,650

1,307

212

1,125

205

75,000

800,000

118,000

260,000

900,000

41,707

131,000

600

2,700

275

1,040

1,400

900

2,200

5,025

2,100

1,200

$1,200

Bid #2

10,800

4,754

225

165,000

6,820

18,500

4,250

260

9,600

860

950

1,400

225

87,000

900,000

130,000

340,000

1,100,000

64,925

139,000

650

Bid #3

Issuer Bids

250

172,000

4,500

10,000

900

950,000

136,000

67,010

Bid #4

$3,140,811

320

10,800

4,754

3,302

400

250

172,000

6,820

1,488

18,500

4,500

260

431

10,000

900

450

950

560

569

2,650

1,307

212

63

1,400

225

87,000

950,000

136,000

340,000

1,100,000

67,010

139,000

60,000

650

2,700

275

1,040

1,400

900

2,200

5,025

2,100

1,200

$1,200

Final Price
($thousands)
Bid #1

12/1/2010

8/6/2010

3/15/2010

8/19/2010

8/19/2010

3/10/2010

4/23/2010

2/18/2010

4/7/2010

3/17/2010

3/2/2010

1/6/2010

1/21/2010

12/23/2009

11/10/2009

11/24/2009

9/22/2009

12/4/2009

12/3/2009

11/5/2009

9/17/2009

10/9/2009

9/29/2009

8/19/2009

7/29/2009

6/18/2009

6/30/2009

6/30/2009

7/1/2009

6/17/2009

6/24/2009

6/18/2009

6/22/2009

6/9/2009

6/4/2009

6/4/2009

6/8/2009

6/3/2009

5/26/2009

5/2/2009

5/15/2009

4/21/2009

4/14/2009

4/15/2009

9/2/2010

3/29/2010

4/23/2010

5/4/2010

6/4/2010

4/5/2010

3/19/2010

1/22/2010

12/28/2009

12/14/2009

12/16/2009

10/20/2009

12/8/2009

11/18/2009

10/21/2009

10/20/2009

9/16/2009

8/19/2009

8/17/2009

8/3/2009

7/29/2009

7/20/2009

7/20/2009

7/8/2009

7/1/2009

6/29/2009

6/19/2009

6/17/2009

6/17/2009

6/16/2009

6/12/2009

5/21/2009

5/21/2009

5/19/2009

5/12/2009

5/6/2009

Bid #2

9/3/2010

9/2/2010

7/20/2010

6/9/2010

6/8/2010

4/6/2010

3/22/2010

2/1/2010

12/28/2009

12/23/2009

12/11/2009

9/21/2009

8/20/2009

8/19/2009

8/4/2009

7/30/2009

7/27/2009

7/21/2009

7/14/2009

7/8/2009

6/29/2009

Bid #3

Date of Issuer Bids

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.

BHB

WAIN

Wainwright Bank and Trust

DFS

OZRK

Bank of the Ozarks, Inc.

Bar Harbor Bankshares

CVBF

CVB Financial Corp.

Discover Financial Services

CSFL

CenterState Banks, Inc.

SIVB

MNHN

Manhattan Bancorp

SVB Financial Group

BARI

Bancorp Rhode Island, Inc.

FLFL

OLBK

Old Line Bancshares

First Litchfield Financial Corporation

NTRS

Northern Trust Corporation

CYN

MS

Morgan Stanley

UMPQ

BK

Bank of New York Mellon

City National Corporation

AXP

American Express Company

Umpqua Holdings Corp.

GS

Goldman Sachs Group, Inc.

MNRK

BBT

BB&T Corporation

Monarch Financial Holdings, Inc.

USB

U.S. Bancorp

OCFC

STT

State Street Corporation

OceanFirst Financial Corp.

HFFC

HF Financial Corp.

TRMK

FNFG

First Niagra Financial Group

FFIC

SOMH

Somerset Hills Bancorp

Trustmark Corporation

BHLB

Berkshire Hills Bancorp

Flushing Financial Corporation

SCBT

SCBT Financial Corporation

UBSH

ALNC

Alliance Financial Corporation

Union Bankshares Corporation

INDB

Independent Bank Corp

LSBX

FMER

FirstMerit Corp

WSBC

SNBC

Sun Bancorp

LSB Corporation

IBKC

IBERIABANK Corporation

Wesbanco, Inc.

ONB

Company

Old National Bancorp

CPP
Preferred
($thousands)

Issuer Bids and Warrant Sales Ordered by Sale Date

7/22/2010

6/29/2010

3/22/2010

12/29/2009

12/28/2009

8/5/2009

7/31/2009

7/14/2009

Bid #4

12/1/2010

9/8/2010

9/8/2010

9/1/2010

9/1/2010

7/28/2010

7/7/2010

6/16/2010

4/7/2010

4/7/2010

3/31/2010

2/10/2010

2/3/2010

12/30/2009

12/30/2009

12/23/2009

12/23/2009

12/16/2009

12/16/2009

11/24/2009

10/28/2009

10/28/2009

10/14/2009

9/30/2009

9/2/2009

8/26/2009

8/12/2009

8/5/2009

7/29/2009

7/22/2009

7/22/2009

7/15/2009

7/8/2009

6/30/2009

6/24/2009

6/24/2009

6/24/2009

6/24/2009

6/17/2009

5/27/2009

5/27/2009

5/27/2009

5/20/2009

5/8/2009

Warrant
Repurchase
Date

Appendix I – Detailed Tables of Warrant Repurchases and Auctions

Appendix I – Detailed Tables of Warrant
Repurchases and Auctions

Appendix I – Detailed Tables of Warrant Repurchases and Auctions
Issuer Bids and Warrant Auctions Ordered by Auction Date

JPMorgan Chase & Co.

Capital One Financial Corp.

BAC

TCB

JPM

COF

20,000,000

25,000,000

361,172

25,000,000

3,555,199

3/31/2009

5/27/2009

12/9/2009

12/9/2009

4/22/2009

6/17/2009

6/17/2009

N/A

N/A

N/A

N/A

N/A

N/A

3,200

825,539

46,500

Bid #1

5,572

183,673

324,196

6,709

11,321

15,623

1,255,639

310,572

9,600

950,318

148,731

N/A

1/7/2010

1/7/2010

N/A

N/A

N/A

N/A

N/A

N/A

N/A

5/5/2009

6/17/2009

6/30/2009

Bid #1

Date of Issuer Bids

TCF Financial Corporation
BAC
200,000
5/13/2009
N/A

Auction Proceeds
($thousands)

Issuer Bids

Bank of America Corporation
WFSL
75,000

120,000
2/10/2010
2,291

849,015

6/5/2009

9/21/2010

9/16/2010

6/9/2010

5/6/2010

4/29/2010

3/11/2010

3/10/2010

3/9/2010

3/3/2010

3/3/2010

12/15/2009

12/10/2009

12/3/2009

2/12/2010

2/22/2010

6/2/2010

5/20/2010

5/18/2010

Bid #4 Auction Date

Bank of America Corporation
SBNY

3/17/2010

3,116

N/A

Bid #3

Washington Federal, Inc.
TCBI
7,579,200
12/23/2009

593,600

3,008

N/A

Bid #2

Signature Bank
PNC
300,000

2,250,000

N/A

216,621

Bid #4

Texas Capital Bancshares
CMA
12/23/2009

4,000

713,687

Bid #3

PNC Financial Services Group, Inc.
VLY
25,000,000
2/24/2010

N/A

$5,007,401

Bid #2

Comerica Incorporated

80,000
5/5/2009

N/A

Redemption Date

Valley National Bancorp
WFC
125,198
6/30/2010

NA

Ticker

Wells Fargo & Company
FFBC
950,000

3/31/2010

Company

First Financial Bancorp
SBIB
3,400,000

CPP/TIP Preferred
($thousands)

Sterling Bancshares, Inc.
LNC

113,995,769

750,000

Lincoln National Corporation

16

HIG

700,000

Total

Hartford Financial Services Group, Inc.

11

Warrant Disposition Report - Update DECEMBER 31, 2010

12

Warrant Disposition Report - Update DECEMBER 31, 2010

Ticker

MS

AXP

DFS

USB

BK

NTRS

BBT

STT

CYN

FULT

TRMK

SIVB

FMER

TBBK

UMPQ

COLB

FNFG

OZRK

INDB

SNBC

FLFL

BARI

SCBT

CVBF

IBKC

ONB

BHLB

WSBC

ALNC

FFIC

HFFC

WAIN

CJBK

LSBX

UBSH

OCFC

CZNC

SOMH

MNRK

BHB

OLBK

CSFL

MNHN

44

Goldman Sachs Group, Inc.

Morgan Stanley

American Express Company

Discover Financial Services

U.S. Bancorp

Bank of New York Mellon

Northern Trust Corporation

BB&T Corporation

State Street Corporation

City National Corporation

Fulton Financial Corporation

Trustmark Corporation

SVB Financial Group

FirstMerit Corp

The Bancorp, Inc.

Umpqua Holdings Corp.

Columbia Banking System, Inc.

First Niagra Financial Group

Bank of the Ozarks, Inc.

Indpendent Bank Corp

Sun Bancorp

First Litchfield Financial Corporation

Bancorp Rhode Island, Inc.

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

Central Jersey Bancorp

LSB Corporation

Union Bankshares Corporation

OceanFirst Financial Corp

Citizens & Northern Corporation

Somerset Hills Bancorp

Monarch Financial Holdings

Bar Harbor Bankshares

Old Line Bancshares

CenterState Banks, Inc.

Manhattan Bancorp

TOTAL

-

10/9/2009

10/21/2009

8/20/2009

7/22/2010

2/1/2010

6/17/2009

8/25/2010

1/28/2010

12/16/2009

12/8/2009

12/1/2010

12/11/2009

6/29/2009

12/28/2009

6/12/2009

12/11/2009

6/17/2009

5/6/2009

5/12/2009

10/21/2009

6/16/2009

9/21/2009

4/7/2010

5/19/2009

5/21/2009

11/18/2009

6/19/2009

8/25/2010

3/22/2010

9/2/2010

5/21/2009

6/8/2010

12/29/2009

9/3/2010

4/6/2010

7/1/2009

7/14/2009

8/19/2009

7/31/2009

7/8/2009

6/29/2010

7/27/2009

8/5/2009

7/21/2009

-

10/14/2009

10/28/2009

9/2/2009

7/28/2010

2/10/2010

6/24/2009

9/1/2010

2/3/2010

12/23/2009

12/16/2009

12/1/2010

12/16/2009

6/30/2009

12/30/2009

6/17/2009

12/23/2009

6/24/2009

5/8/2009

5/20/2009

10/28/2009

6/24/2009

9/30/2009

4/7/2010

5/27/2009

5/27/2009

11/24/2009

6/24/2009

9/1/2010

3/31/2010

9/8/2010

5/27/2009

6/16/2010

12/30/2009

9/8/2010

4/7/2010

7/8/2009

7/22/2009

8/26/2009

8/5/2009

7/15/2009

7/7/2010

7/29/2009

8/12/2009

7/22/2009

Payment Date

-

12/5/2018

11/21/2018

12/5/2018

1/16/2019

12/19/2018

1/16/2019

1/16/2019

1/16/2019

12/19/2018

12/12/2018

12/23/2018

12/19/2018

11/21/2018

12/19/2018

12/19/2018

12/5/2018

12/19/2018

12/12/2018

12/5/2018

12/5/2018

1/16/2019

12/19/2018

12/12/2018

1/9/2019

1/9/2019

12/12/2018

11/21/2018

11/21/2018

11/14/2018

12/12/2018

1/9/2019

12/12/2018

11/21/2018

12/23/2018

11/21/2018

10/28/2018

11/14/2018

11/14/2018

10/28/2018

11/14/2018

3/13/2019

1/9/2019

10/28/2018

10/28/2018

Expiration Date

-

8.65

16.67

7.40

26.81

8.33

6.82

20.36

15.07

20.94

10.74

6.31

8.46

12.40

13.97

23.33

25.61

26.51

18.45

48.74

11.68

32.06

23.32

7.53

8.27

24.34

29.62

14.48

14.49

14.46

3.46

19.69

49.78

19.57

10.25

53.16

53.80

33.81

61.81

31.00

30.29

8.96

20.95

22.99

$122.90

Strike Price

14

-

Yes

-

Yes

Yes

-

-

Yes

Yes

-

-

-

-

Yes

-

-

-

-

Yes

Yes

-

-

-

-

-

-

Yes

Yes

Yes

Yes

-

Yes

-

-

-

Yes

-

-

-

-

-

-

-

-

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

-

29,480

125,413

141,892

52,455

132,353

163,065

194,794

190,427

211,318

209,497

268,621

390,071

302,419

375,806

173,069

439,282

226,330

813,008

138,490

834,761

303,083

192,967

199,203

1,620,545

481,664

379,811

953,096

398,023

1,110,897

980,203

952,260

354,058

1,647,931

5,509,756

1,128,668

2,788,104

13,902,573

3,824,624

14,516,129

32,679,102

20,500,413

24,264,129

65,245,759

12,205,045

Final Warrant
Shares

-

2.15

1.69

1.59

4.77

1.96

1.69

2.05

2.26

2.13

2.67

1.19

1.46

2.15

2.39

5.20

2.16

4.60

1.48

8.66

1.57

4.62

7.26

7.47

1.30

4.57

6.98

2.83

8.30

4.05

4.85

5.28

19.26

6.07

1.96

16.39

21.52

4.82

22.75

9.37

4.25

8.39

14.01

14.56

$90.13

Warrant
Repurchase
Price/Share

$3,140,810,600

63,364

212,000

225,000

250,000

260,000

275,000

400,000

430,797

450,000

560,000

319,659

568,700

650,000

900,000

900,000

950,000

1,040,000

1,200,000

1,200,000

1,307,000

1,400,000

1,400,000

1,488,046

2,100,000

2,200,000

2,650,000

2,700,000

3,301,647

4,500,000

4,753,985

5,025,000

6,820,000

10,000,000

10,800,000

18,500,000

60,000,000

67,010,402

87,000,000

136,000,000

139,000,000

172,000,000

340,000,000

950,000,000

$1,100,000,000

Warrant
Repurchase
Proceeds

-

29.7% - 34.8%

34.9% - 38.2%

26.3% - 30.1%

18.2% - 20.9%

27.8% - 32.4%

14.8% - 18.4%

41.9% - 44.4%

31.2% - 34.2%

30.3% - 33.0%

22.1% - 25.3%

N/A

27.8% - 30.7%

18.3% - 21.5%

22.4% - 25.9%

13.8% - 17.0%

38.1% - 40.7%

24.0% - 28.0%

20.3% - 23.6%

17.5% - 20.8%

26.4% - 29.2%

24.1% - 27.4%

21.9% - 26.6%

N/A

16.0% - 19.9%

28.5% - 31.6%

20.9% - 25.1%

28.5% - 31.7%

40.3% - 46.0%

25.1% - 29.4%

46.7% - 55.6%

34.9% - 38.3%

39.2% - 44.7%

19.0% - 22.9%

27.9% - 30.8%

23.5% - 27.9%

37.9% - 43.8%

32.0% - 35.1%

31.1% - 35.9%

35.7% - 39.6%

39.3% - 42.6%

45.6% - 52.7%

37.6% - 40.7%

33.3% - 38.7%

40.6% - 44.5%

Estimated
Implied
Volatility*

-

6.60

7.47

6.10

27.00

6.40

7.80

10.73

10.45

11.93

11.28

7.49

7.00

11.95

11.73

26.61

12.41

20.17

14.33

47.22

8.81

23.16

24.66

14.95

6.25

19.60

27.48

11.93

17.00

13.60

6.89

17.54

42.24

22.80

8.72

55.70

47.35

21.65

60.38

27.34

16.59

13.80

28.38

31.05

$159.80

Stock Price

-

6.53

7.64

6.21

25.61

6.48

7.73

11.12

10.97

11.93

11.00

7.45

6.75

12.08

10.92

25.50

12.71

21.38

14.18

48.23

7.73

23.45

25.57

14.65

6.36

19.92

24.46

12.05

17.21

12.87

6.60

19.27

45.32

20.84

8.52

53.90

46.98

21.64

60.00

27.98

17.69

13.66

25.71

28.16

$148.16

-

0.33

0.23

0.26

0.18

0.31

0.22

0.19

0.22

0.18

0.24

0.16

0.21

0.18

0.20

0.20

0.17

0.23

0.10

0.18

0.18

0.20

0.29

0.50

0.21

0.23

0.25

0.24

0.49

0.30

0.70

0.30

0.46

0.27

0.22

0.29

0.45

0.22

0.38

0.34

0.26

0.61

0.49

0.47

0.56

Warrant Price /
Stock Price

Decision Date
20-day Avg
Stock Price

* 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.

GS

Institution Name

Decision
Date

Warrant Sales Ordered By Amount of Proceeds

-

0.76 x

0.45 x

0.82 x

1.01 x

0.77 x

1.14 x

0.53 x

0.69 x

0.57 x

1.05 x

1.19 x

0.83 x

0.96 x

0.84 x

1.14 x

0.48 x

0.76 x

0.78 x

0.97 x

0.75 x

0.72 x

1.06 x

1.99 x

0.76 x

0.81 x

0.93 x

0.82 x

1.17 x

0.94 x

1.99 x

0.89 x

0.85 x

1.17 x

0.85 x

1.05 x

0.88 x

0.64 x

0.98 x

0.88 x

0.55 x

1.54 x

1.35 x

1.35 x

1.30 x

Underlying / Strike

Appendix I – Detailed Tables of Warrant Repurchases and Auctions

Appendix I – Detailed Tables of Warrant Repurchases and Auctions
Warrant Auctions Ordered by Amount of Proceeds
Warrant
Auction
Gross
Proceeds

Auction Date

1,255,639,099

30.6% - 34.0%

23.8% - 27.5%

32.1% - 36.8%

28.69

41.27

16.37

32.21

42.24

15.59

0.27

0.26

0.51

0.84 x

0.97 x

1.23 x

Stock
Price

Warrant
Shares
8.35

Warrant
Auction
Price
Per Share

849,014,998

950,318,243

Estimated
Implied
Volatilty*

150,375,940

7.70

10.75

QEO? (i.e.
Strike
warrants cut
Price
by 50%)
88,401,697

Expiration
Date
13.30
110,262,688

Auction
Date
1/16/2019
-

-

Announce
Date
3/3/2010
34.01

42.42

Ticker
3/1/2010
10/28/2018

10/28/2018

Institution Name
BAC
5/20/2010

12/10/2009

20-day Warrant
Avg
Price / Underlying /
Stock
Stock
Strike
Price
Price

Bank of America Corporation
5/18/2010

0.98 x

2.37 x

12/8/2009

0.29

0.59

WFC

64.68

21.68

JPM

66.06

23.16

Wells Fargo & Company

27.6% - 31.3%

10.0% - 15.0%

JPMorgan Chase & Co.

324,195,686

2.26 x

0.53 x

713,687,430

0.67

0.16

19.20

23.84

15.59

13.70

24.72

16.37

0.88 x

1.41 x

16,885,192

29.9% - 44.7%

30.9% - 33.5%

0.32

0.39

52,093,973

216,620,887

310,571,615

38.66

42.21

-

2.55

36.92

41.43

-

16.60

34.6% - 38.2%

28.6% - 32.3%

9.79

13,049,451

121,792,790

148,731,030

183,673,472

67.33
-

-

11.75

16.00

6/29/2019

10.92

30.79

12,657,960

11,479,592

1.28 x

1.10 x

12/13/2018
7/10/2019

10/28/2018

-

-

0.49

0.47

4/29/2010
3/3/2010

42.13

29.40

36.83

19.41

9/21/2010

9/16/2010
11/14/2018

11/14/2018

38.75

19.38

4/27/2010
3/1/2010
5/6/2010

23.1% - 29.0%

48.6% - 53.5%

9/20/2010

9/15/2010
12/3/2009

11,320,751

15,623,222

PNC

5/4/2010

9.15

HIG

LNC

BAC

12/1/2009

19.00

PNC Financial Services
Lincoln National Corporation

Bank of America Corporation

COF

CMA

595,829

1,707,456

The Hartford Financial Services Group, Inc.

Capital One Financial Corp.

Comerica Inc.

-

-

1.24 x

0.78 x

30.21

0.48

0.23

17.57

17.06

12.78

12/12/2018

18.41

13.22

11/14/2018

24.4% - 29.9%

28.8% - 32.1%

3/9/2010

6,709,061

9,599,964

3/10/2010

8.85

3.00

3/8/2010

758,086

3,199,988

3/8/2010

-

-

SBNY
14.84

16.93

WFSL

1/16/2019

11/14/2018

Signature Bank
3/11/2010

12/15/2009

Washington Federal, Inc

3/8/2010

1.23 x

0.83 x

12/14/2009

0.42

0.15

TCBI

16.81

15.49

TCB

15.87

14.80

Texas Capital Bancshares, Inc.

39.9% - 43.8%

25.1% - 27.5%

TCF Financial Corporation

3,116,283

5,571,592

-

0.70 x

6.70

-

0.23

2.20

-

5.41

465,117

-

5.00

2,532,542

-

30.1% - 34.2%

-

3,007,891

Yes

$5,007,401,224

12.90

-

1.15

17.77

-

2,615,557

12/23/2010

-

11/14/2018

1

6/2/2010

-

7.18

5/18/2010

-

12/12/2018

6/1/2010

-

6/9/2010

5/17/2010

-

6/7/2010

FFBC
SBIB

VLY

16

First Financial Bancorp
Sterling Bancshares, Inc.

Valley National Bancorp

TOTAL

* 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.

13

Warrant Disposition Report - Update DECEMBER 31, 2010

14

Warrant Disposition Report - Update DECEMBER 31, 2010
Ticker

JPM
TCB
BAC
BAC
WFSL
SBNY
TCBI
PNC
CMA
VLY
WFC
FFBC
SBIB
LNC
HIG

16

Capital One Financial Corp.

JPMorgan Chase & Co.

TCF Financial Corporation

Bank of America Corporation (TIP)

Bank of America Corporation (CPP)

Washington Federal, Inc

Signature Bank

Texas Capital Bancshares, Inc.

PNC Financial Services

Comerica Inc.

Valley National Bancorp

Wells Fargo & Company

First Financial Bancorp

Sterling Bancshares, Inc.

Lincoln National Corporation

Hartford Financial Services Group, Inc.

Total

9/21/2010

9/16/2010

6/9/2010

6/2/2010

5/20/2010

5/18/2010

5/6/2010

4/29/2010

3/11/2010

3/10/2010

3/9/2010

3/3/2010

3/3/2010

12/15/2009

12/10/2009

12/3/2009

Auction
Date

52,093,973

13,049,451

2,615,557

465,117

110,261,688

2,532,542

11,479,592

16,885,192

758,086

595,829

1,707,456

121,792,790

150,375,940

3,199,988

88,401,697

12,657,960

Warrant
Shares

$5,007.4

713.7

216.6

3.0

3.1

849.0

5.6

183.7

324.2

6.7

11.3

15.6

310.6

1,255.6

9.6

950.3

$148.7

$66.635

7.423

2.950

0.150

0.150

8.640

0.150

2.571

3.918

0.150

0.170

0.234

4.659

18.835

0.150

14.255

$2.231

Gross
Underwriting
Proceeds
Fees ($millions)
($millions)

10.50

13.50

0.85

4.00

6.50

1.70

15.00

15.00

6.50

16.00

5.00

1.50

7.00

1.50

8.00

$7.50

Minimum
Bid

13.70

16.60

1.15

6.70

7.70

2.20

16.00

19.20

8.85

19.00

9.15

2.55

8.35

3.00

10.75

$11.75

Clearing
Bid

11,164

1,000

795

211

142

859

183

518

1,450

326

409

708

1,246

1,489

470

754

604

Number
of
Bids

223

263

204

67

66

297

34

120

181

61

68

413

570

535

135

381

174

6.0x

2.0x

5.1x

6.9x

10.3x

3.9x

6.6x

2.7x

5.5x

7.0x

8.2x

14.5x

10.7x

4.4x

18.3x

6.5x

13.3x

Number
Coverage
of
Ratio 1
Bidders

1) Coverage Ratio = Gross Demand / Warrant Shares
2) Market Orders Share of Auction = Total Market Orders / Gross Demand
A market order is a bid that specifies the number of warrants the bidder is willing to purchase without specifying the price it is willing to pay and is
treated as a bid at the highest price received from any other bidder in the auction.
3) Daily Liquidity Turnover = Average Daily Trading Volume / Warrants Outstanding
The liquidity calculation excludes the first five trading days after the auction which typically have higher than normal volume and uses data through June 30, 2010. The data source is Bloomberg.
Note: Totals for Coverage Ratio, Market Orders and Daily Liquidity are weighted averages. Total for Number of Bidders is a simple average.

COF

Institution

Warrant Auction Statistics

1.5%

4.2%

2.1%

3.6%

2.0%

2.3%

1.2%

1.9%

2.5%

0.9%

0.7%

8.3%

1.7%

1.0%

1.8%

0.3%

0.2%

-

2,899,159

-

-

70,165,963

-

-

-

-

-

-

-

-

-

-

-

Market
Warrants
Orders Repurchased
Share of
by Bank
Demand 2
in Auction

0.61%

0.34%

0.31%

0.58%

1.46%

0.45%

0.35%

0.39%

0.65%

0.30%

0.66%

0.57%

0.76%

0.73%

0.62%

0.51%

0.27%

Daily
Liquidity
Turnover 3

Appendix I – Detailed Tables of Warrant Repurchases and Auctions

Institution Name

Repurchase CPP Investment
Date
($thousands)

Warrant Repurchase
Date

Gross Warrant
Proceeds
($thousands)

Centra Financial Holdings, Inc.

3/31/2009

$15,000

4/15/2009

$750

First Manitowoc Bancorp, Inc.

5/27/2009

12,000

5/27/2009

600

First Southern Bancorp, Inc.

6/16/2010

10,900

6/16/2010

545

Midland States Bancorp, Inc.

12/23/2009

10,189

12/23/2009

509

1st United Bancorp, Inc.

11/18/2009

10,000

11/18/2009

500

Leader Bancorp, Inc.

11/24/2010

5,830

11/24/2010

292

4/22/2009

4,900

4/22/2009

245

12/30/2010

4,700

12/30/2010

235

Hilltop Community Bancorp, Inc.

4/21/2010

4,000

4/21/2010

200

Texas National Bancorporation, Inc.

5/19/2010

3,981

5/19/2010

199

California Oaks State Bank

12/8/2010

3,300

12/8/2010

165

FPB Financial Corp.

6/16/2010

3,240

6/16/2010

162

Frontier Bancshares, Inc.

10/6/2010

3,000

10/6/2010

150

Surrey Bancorp

12/29/2010

2,000

12/29/2010

100

Nationwide Bankshares, Inc.

12/29/2010

2,000

12/29/2010

100

Signature Bancshares, Inc.

12/15/2010

1,700

12/15/2010

85

4/14/2010

731

4/14/2010

37

Midwest Regional Bancorp

11/10/2009

700

11/10/2009

35

Green City Bancshares, Inc.

7/14/2010

651

7/14/2010

33

12/29/2010

425

12/29/2010

20

$99,247

First ULB Corp.
Capital Bancorp, Inc.

The First State Bank of Mobeetie

Haviland Bancshares, Inc.

TOTAL

21

$4,963

Warrant Disposition Report - Update DECEMBER 31, 2010

Appendix I – Detailed Tables of Warrant Repurchases and Auctions

Issuer Repurchases of Warrant Preferreds or Warrant Sub Debt

15

Appendix II – Warrant Disposition Details

Appendix II – Warrant Disposition Details
Graphical Representation of Treasury’s Warrant Valuation Analysis

The chart below 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 II presents charts for all of the CPP warrant sales, in which the bank submitted a bid to
repurchase its warrants, as of December 31, 2010. As with the example below, all of the valuation estimates
presented in Appendix II represent the final estimates used by Treasury officials when analyzing a repurchase
request. Appendix II also notes additional relevant factors that were presented to the Warrant Committee.

Example of Treasury’s Warrant Valuation Analysis
$ Millions
$120,000

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

$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

16

Third Party

Model Valuation

Warrant Disposition Report - Update DECEMBER 31, 2010

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

Appendix II – Warrant Disposition Details

Old National Bancorp (ONB)
Repurchase of ONB Warrant

First Bid - $559,000

$500
Market Quotes

ONB
Valuation Estimates
for Warrant ($thousands)

Model Valuation

Third Party

Low

High

Estimate

First Bid

Final Bid

Details

Market Quotes

$1,220

$1,490

$1,353

$559

$1,200

Three market indications

Third Party

$1,969

$3,054

$3,054

$559

$1,200

External asset manager’s valuation estimates

Model Valuation

$1,056

$1,697

$1,393

$559

$1,200

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 - Update DECEMBER 31, 2010

17

Appendix II – Warrant Disposition Details

IBERIABANK Corporation (IBKC)
Repurchase of IBKC Warrant
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.

$ Thousands
$2,500

IBERIABANK Corporation (IBKC)
Fair Market Value Estimates of Treasury's Warrant Position

$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

IBKC
Valuation Estimates
for Warrant ($thousands)

Model Valuation

Third Party

Low

High

Estimate

First Bid

Final Bid

Details

Market Quotes

$1,350

$1,662

$1,566

$620

$1,200

Four market indications

Third Party

$1,370

$2,334

$2,334

$620

$1,200

External asset manager’s valuation estimates

Model Valuation

$1,156

$1,682

$1,421

$620

$1,200

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 - Update DECEMBER 31, 2010

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.

$ Thousands
$4,300

Sun Bancorp (SNBC)
Fair Market Value Estimates of Treasury's Warrant Position

$3,800

$3,300

$2,800

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

$1,800

$1,300

Appendix II – Warrant Disposition Details

Sun Bancorp, Inc. (SNBC)
Repurchase of SNBC Warrant

First Bid - $1,049,000

$800
Market Quotes

SNBC
Valuation Estimates
for Warrant ($thousands)

Model Valuation

Third Party

Low

High

Estimate

First Bid

Final Bid

Details

Market Quotes

$1,080

$2,778

$2,096

$1,049

$2,100

Three market indications

Third Party

$2,000

$4,028

$4,028

$1,049

$2,100

External asset manager’s valuation estimates

Model Valuation

$1,974

$2,771

$2,252

$1,049

$2,100

Binomial option model adjusted for American style options

Warrant Disposition Report - Update DECEMBER 31, 2010

19

Appendix II – Warrant Disposition Details

FirstMerit Corp (FMER)
Repurchase of FMER Warrant
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.

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

$ Thousands
$8,000

$7,000

$6,000

$5,000

Final Bid - $5,025,000

$4,000

First Bid - $3,186,000

$3,000

$2,000
Market Quotes

FMER
Valuation Estimates
for Warrant ($thousands)

Model Valuation

Third Party

Low

High

Estimate

First Bid

Final Bid

Details

Market Quotes

$4,082

$6,543

$4,918

$3,186

$5,025

Four market indications

Third Party

$5,428

$7,532

$6,485

$3,186

$5,025

External asset manager’s valuation estimates

Model Valuation

$4,871

$5,930

$5,400

$3,186

$5,025

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.

20

Warrant Disposition Report - Update DECEMBER 31, 2010

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.

$ Thousands

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

$3,800

$3,300

$2,800

$2,300

Final Bid - $2,200,000

$1,800

$1,300

Appendix II – Warrant Disposition Details

Independent Bank Corp (INDB)
Repurchase of INDB Warrant

First Bid - $880,000

$800
Market Quotes

INDB
Valuation Estimates
for Warrant ($thousands)

Model Valuation

Third Party

Low

High

Estimate

First Bid

Final Bid

Details

Market Quotes

$1,444

$2,432

$2,104

$888

$2,200

Three market indications

Third Party

$2,293

$3,482

$2,885

$888

$2,200

External asset manager’s valuation estimates

Model Valuation

$1,754

$2,965

$2,345

$888

$2,200

Binomial option model adjusted for American style options

Warrant Disposition Report - Update DECEMBER 31, 2010

21

Appendix II – Warrant Disposition Details

Alliance Financial Corporation (ALNC)
Repurchase of ALNC Warrant
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.

$ Thousands

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

$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

Model Valuation

Third Party

ALNC
Valuation Estimates
for Warrant ($thousands)

High

Estimate

First Bid

Final Bid

Market Quotes

$554

$952

$762

$320

$900

Three market indications

Third Party

$899

$1,244

$990

$320

$900

External asset manager’s valuation estimates

Model Valuation

22

Low

$741

$895

$818

$320

$900

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

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.

$ Thousands

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

$3,500

$3,000

$2,500

$2,000

$1,500

Final Bid - $1,400,000

$1,000

Appendix II – Warrant Disposition Details

SCBT Financial Corporation (SCBT)
Repurchase of SCBT Warrant

First Bid - $694,060

$500
Market Quotes

Model Valuation

Third Party

SCBT
Valuation Estimates
for Warrant ($thousands)

Low

High

Estimate

First Bid

Final Bid

Market Quotes

$555

$1,789

$1,159

$694

$1,400

Five market indications

Third Party

$2,322

$3,261

$2,888

$694

$1,400

External asset manager’s valuation estimates

Model Valuation

$1,137

$1,436

$1,281

$694

$1,400

Binomial option model adjusted for American style options

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.

Warrant Disposition Report - Update DECEMBER 31, 2010

23

Appendix II – Warrant Disposition Details

Berkshire Hills Bancorp (BHLB)
Repurchase of BHLB Warrant
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.

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

$ Thousands

$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

Model Valuation

Third Party

BHLB
Valuation Estimates
for Warrant ($thousands)

Low

High

Estimate

First Bid

Final Bid

Market Quotes

$509

$758

$611

$875

$1,040

Three market indications

$1,071

$1,974

$1,494

$875

$1,040

External asset manager’s valuation estimates

$827

$1,116

$971

$875

$1,040

Binomial option model adjusted for American style options

Third Party

Model Valuation

24

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

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

Appendix II – Warrant Disposition Details

Somerset Hills Bancorp (SOMH)
Repurchase of SOMH Warrant

$150
$100
Market Quotes

Model Valuation

Third Party

SOMH
Valuation Estimates
for Warrant ($thousands)

Low

High

Estimate

First Bid

Final Bid

Market Quotes

$122

$406

$266

$193

$275

Five market indications

Third Party

$374

$521

$447

$193

$275

External asset manager’s valuation estimates

Model Valuation

$253

$299

$276

$193

$275

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

25

Appendix II – Warrant Disposition Details

First Niagara Financial Group (FNFG)
Repurchase of FNFG Warrant
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.

$ Thousands

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

$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

Model Valuation

Third Party

FNFG
Valuation Estimates
for Warrant ($thousands)

High

Estimate

First Bid

Final Bid

Market Quotes

$953

$2,383

$1,646

$1,500

$2,700

Five market indications

Third Party

$3,455

$4,995

$4,221

$1,500

$2,700

External asset manager’s valuation estimates

Model Valuation

26

Low

$2,444

$3,175

$2,807

$1,500

$2,700

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

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.

$ Thousands

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

$900

$800

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

$600

$500
First Bid - $464,987

$400

$300

Appendix II – Warrant Disposition Details

HF Financial Corp (HFFC)
Repurchase of HFFC Warrant

$200
Market Quotes

Model Valuation

Third Party

HFFC
Valuation Estimates
for Warrant ($thousands)

Low

High

Estimate

First
Bid

Second
Bid

Final
Bid

Details

Market Quotes

$251

$720

$424

$464

$600

$650

Three market indications

Third Party

$686

$822

$753

$464

$600

$650

External asset manager’s valuation estimates

Model Valuation

$505

$622

$563

$464

$600

$650

Binomial option model adjusted for American style
options

Warrant Disposition Report - Update DECEMBER 31, 2010

27

Appendix II – Warrant Disposition Details

State Street Corporation (STT)
Repurchase of STT Warrant
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
$80,000

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

$70,000

Final Bid - $60,000,000

$60,000

$50,000

$40,000

$30,000

$20,000

$10,000
Market Quotes

Model Valuation

Third Party

STT
Valuation Estimates
for Warrant ($millions)

High

Estimate

Final Bid

Market Quotes

$16

$48

$33

$60

Seven market indications

Third Party

$46

$65

$55

$60

External asset manager’s valuation estimates

Model Valuation

28

Low

$52

$62

$57

$60

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

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.
$ Millions

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

Appendix II – Warrant Disposition Details

U.S. Bancorp (USB)
Repurchase of USB Warrant

$11,000
Market Quotes

Model Valuation

Third Party

USB
Valuation Estimates
for Warrant ($millions)

Low

High

Estimate

First
Bid

Second
Bid

Final
Bid

Details

Market Quotes

$12

$175

$127

$115

$131

$139

Six market indications

Third Party

$108

$183

$144

$115

$131

$139

External asset manager’s valuation estimates

Model Valuation

$117

$164

$140

$115

$131

$139

Binomial option model adjusted for American style
options

Warrant Disposition Report - Update DECEMBER 31, 2010

29

Appendix II – Warrant Disposition Details

BB&T Corporation (BBT)
Repurchase of BBT Warrant
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.
$ Millions

BB&T Corporation (BBT)
Fair Market Value Estimates of Treasury's Warrant Position

$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

Model Valuation

Third Party

BBT
Valuation Estimates
for Warrant ($millions)

High

Estimate

First
Bid

Second
Bid

Third
Bid

Final
Bid

Market Quotes

$23

$58

$36

$20

$41

$65

$67

Five market indications

Third Party

$43

$82

$62

$20

$41

$65

$67

External asset manager’s valuation
estimates

Model Valuation

30

Low

$55

$78

$67

$20

$41

$65

$67

Binomial option model adjusted for
American style options

Warrant Disposition Report - Update DECEMBER 31, 2010

Details

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.
$ Millions

Goldman Sachs (GS)
Fair Market Value Estimates of Treasury's Warrant Position

$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

Appendix II – Warrant Disposition Details

Goldman Sachs Group, Inc. (GS)
Repurchase of GS Warrant

First Bid - $600,000,000

$550,000
Market Quotes

Model Valuation

Third Party

GS
Valuation Estimates
for Warrant ($millions)

Low

High

Estimate

First
Bid

Second
Bid

Final
Bid

Market Quotes

$732

$917

$826

$600

$900

$1,100

Seven market indications

Third Party

$899

$1,058

$993

$600

$900

$1,100

External asset manager’s valuation estimates

Model Valuation

$808

$995

$902

$600

$900

$1,100

Binomial option model adjusted for American style
options

Details

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.

Warrant Disposition Report - Update DECEMBER 31, 2010

31

Appendix II – Warrant Disposition Details

American Express Company (AXP)
Repurchase of AXP Warrant
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.
$ Millions
$450,000

American Express (AXP)
Fair Market Value Estimates of Treasury's Warrant Position

$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

Model Valuation

Third Party

AXP
Valuation Estimates
for Warrant ($millions)

Low

High

Estimate

First
Bid

Second
Bid

Final
Bid

Details

Market Quotes

$175

$298

$219

$230

$260

$340

Six market indications

Third Party

$269

$349

$309

$230

$260

$340

External asset manager’s valuation estimates

Model Valuation

$248

$322

$285

$230

$260

$340

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 - Update DECEMBER 31, 2010

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.

$ Millions

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

Appendix II – Warrant Disposition Details

Bank of New York Mellon Corporation (BK)
Repurchase of BK Warrant

$45,000
Market Quotes

Third Party

Model Valuation

BK
Valuation Estimates
for Warrant ($millions)

Low

High

Estimate

First
Bid

Second
Bid

Third
Bid

Final
Bid

Details

Market Quotes

$55

$137

$94

$79

$118

$130

$136

Seven market indications

Third Party

$108

$164

$136

$79

$118

$130

$136

External asset manager’s valuation
estimates

Model Valuation

$110

$162

$135

$79

$118

$130

$136

Binomial option model adjusted for
American style options

Warrant Disposition Report - Update DECEMBER 31, 2010

33

Appendix II – Warrant Disposition Details

Morgan Stanley (MS)
Repurchase of MS Warrant
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.

$ Millions

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

Third Party

Model Valuation

MS
Valuation Estimates
for Warrant ($millions)

Low

High

Estimate

First
Bid

Second
Bid

Third
Bid

Final
Bid

Details

Market Quotes

$495

$944

$731

$500

$800

$900

$950

Seven market indications

Third Party

$806

$1,002

$900

$500

$800

$900

$950

External asset manager’s valuation
estimates

Model Valuation

$750

$962

$855

$500

$800

$900

$950

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.

34

Warrant Disposition Report - Update DECEMBER 31, 2010

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.

$ Millions

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

Appendix II – Warrant Disposition Details

Northern Trust Corporation (NTRS)
Repurchase of NTRS Warrant

First Bid - $37,000,000

$30,000
Market Quotes

Model Valuation

Third Party

NTRS
Valuation Estimates
for Warrant ($millions)

Low

High

Estimate

First
Bid

Second
Bid

Final
Bid

Market Quotes

$54

$80

$69

$37

$75

$87

Six market indications

Third Party

$71

$101

$86

$37

$75

$87

External asset manager’s valuation estimates

Model Valuation

$72

$97

$84

$37

$75

$87

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

35

Appendix II – Warrant Disposition Details

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

Model Valuation

Third Party

OLBK
Valuation Estimates
for Warrant ($thousands)

High

Estimate

First
Bid

Second
Bid

Final
Bid

Details

Market Quotes

$28

$167

$102

$175

$205

$225

Four market indications

Third Party

$201

$308

$254

$175

$205

$225

External asset manager’s valuation estimates

Model Valuation

36

Low

$172

$257

$214

$175

$205

$225

Binomial option model adjusted for American style options

Warrant Disposition Report - Update DECEMBER 31, 2010

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

$1,400

Final Bid - $1,400,000

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

$1,000

First Bid - $856,773

$800

Appendix II – Warrant Disposition Details

Bancorp Rhode Island, Inc. (BARI)
Repurchase of BARI Warrant

$600
Market Quotes

Model Valuation

Third Party

BARI
Valuation Estimates
for Warrant ($thousands)

Low

High

Estimate

First
Bid

Second
Bid

Final
Bid

Market Quotes

$703

$1,427

$1,166

$857

$1,125

$1,400

Three market indications

Third Party

$1,196

$1,760

$1,476

$857

$1,125

$1,400

External asset manager’s valuation estimates

Model Valuation

$1,200

$1,643

$1,423

$857

$1,125

$1,400

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

37

Appendix II – Warrant Disposition Details

Manhattan Bancorp (MNHN)
Repurchase of MNHN Warrant
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

Model Valuation

Third Party

MNHN
Valuation Estimates
for Warrant ($thousands)

High

Estimate

Final Bid

Market Quotes

$10

$57

$34

$63

Two market indications

Third Party

$45

$54

$50

$63

External asset manager’s valuation estimates

Model Valuation

38

Low

$48

$64

$56

$63

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

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

Appendix II – Warrant Disposition Details

CenterState Banks, Inc. (CSFL)
Repurchase of CSFL Warrant

$90
Market Quotes

Model Valuation

Third Party

CSFL
Valuation Estimates
for Warrant ($thousands)

Low

High

Estimate

First Bid

Final Bid

Market Quotes

$94

$143

$125

$168

$212

Three market indications

Third Party

$159

$268

$236

$168

$212

External asset manager’s valuation estimates

Model Valuation

$153

$269

$206

$168

$212

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

39

Appendix II – Warrant Disposition Details

CVB Financial Corp. (CVBF)
Repurchase of CVBF Warrant
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.

$ Thousands

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

$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

Model Valuation

Third Party

CVBF
Valuation Estimates
for Warrant ($thousands)

High

Estimate

First Bid

Final Bid

Market Quotes

$551

$1,135

$917

$1,002

$1,307

Three market indications

Third Party

$785

$1,436

$1,110

$1,002

$1,307

External asset manager’s valuation estimates

Model Valuation

40

Low

$993

$1,711

$1,349

$1,002

$1,307

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

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.

$ Thousands

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

$3,500

$3,000

Final Bid - $2,650,000

$2,500

First Bid - $2,160,743

$2,000

$1,500

Appendix II – Warrant Disposition Details

Bank of the Ozarks, Inc. (OZRK)
Repurchase of OZRK Warrant

$1,000
Market Quotes

OZRK
Valuation Estimates
for Warrant ($thousands)

Model Valuation

Third Party

Low

High

Estimate

First Bid

Final Bid

Details

Market Quotes

$1,230

$3,240

$2,210

$2,161

$2,650

Three market indications

Third Party

$1,880

$3,110

$2,480

$2,161

$2,650

External asset manager’s valuation estimates

Model Valuation

$1,917

$3,095

$2,509

$2,161

$2,650

Binomial option model adjusted for American style options

Warrant Disposition Report - Update DECEMBER 31, 2010

41

Appendix II – Warrant Disposition Details

LSB Corporation (LSBX)
Repurchase of LSBX Warrant
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.

$ Thousands

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

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

Final Bid - $560,000

$500

First Bid - $500,000

$400
$300
$200
$100
Market Quotes

Model Valuation

Third Party

LSBX
Valuation Estimates
for Warrant ($thousands)

High

Estimate

First Bid

Final Bid

Market Quotes

$157

$883

$446

$500

$560

Four market indications

Third Party

$486

$773

$605

$500

$560

External asset manager’s valuation estimates

Model Valuation

42

Low

$459

$681

$569

$500

$560

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

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.

$ Thousands

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

$800

$700

$600
Final Bid - $568,700

$500

$400

$300

Appendix II – Warrant Disposition Details

Wainwright Bank and Trust Company (WAIN)
Repurchase of WAIN Warrant

$200
Market Quotes

Third Party

Model Valuation

WAIN
Valuation Estimates
for Warrant ($thousands)

Low

High

Estimate

Final Bid

Market Quotes

$289

$780

$532

$569

Four market indications

Third Party

$491

$776

$632

$569

External asset manager’s valuation estimates

Model Valuation

$449

$632

$541

$569

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

43

Appendix II – Warrant Disposition Details

WesBanco, Inc. (WSBC)
Repurchase of WSBC Warrant
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

Third Party

Model Valuation

WSBC
Valuation Estimates
for Warrant ($thousands)

High

Estimate

First Bid

Final Bid

Market Quotes

$132

$1,204

$577

$825

$950

Four market indications

Third Party

$371

$955

$643

$825

$950

External asset manager’s valuation estimates

Model Valuation

44

Low

$585

$1,119

$851

$825

$950

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

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.

$ Thousands

Union Bankshares (UBSH)
Fair Market Value Estimates of Treasury's Warrant Position

$800
$700

$600

$500
Final Bid - $450,000

$400

First Bid - $400,000

$300

$200

Appendix II – Warrant Disposition Details

Union Bankshares Corporation (UBSH)
Repurchase of UBSH Warrant

$100
Market Quotes

Model Valuation

Third Party

UBSH
Valuation Estimates
for Warrant ($thousands)

Low

High

Estimate

First Bid

Final
Bid

Details

Market Quotes

$188

$687

$448

$400

$450

Four market indications

Third Party

$267

$595

$424

$400

$450

External asset manager’s valuation estimates

Model Valuation

$279

$564

$410

$400

$450

Binomial option model adjusted for American style options

Warrant Disposition Report - Update DECEMBER 31, 2010

45

Appendix II – Warrant Disposition Details

Flushing Financial Corporation (FFIC)
Repurchase of FFIC Warrant
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.

$ Thousands

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

$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

Model Valuation

Third Party

FFIC
Valuation Estimates
for Warrant
($thousands)

High

Estimate

First Bid

Second
Bid

Third
Bid

Final
Bid

Details

Market Quotes

$459

$1,240

$742

$597

$700

$860

$900

Four market indications

Third Party

$883

$1,131

$1,007

$597

$700

$860

$900

External asset manager’s valuation
estimates

Model Valuation

46

Low

$623

$1,090

$850

$597

$700

$860

$900

Binomial option model adjusted for
American style options

Warrant Disposition Report - Update DECEMBER 31, 2010

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.

$ Thousands
$12,000

Trustmark Corporation (TRMK)
Fair Market Value Estimates of Treasury's Warrant Position

$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

Appendix II – Warrant Disposition Details

Trustmark Corporation (TRMK)
Repurchase of TRMK Warrant

$4,000
Market Quotes

TRMK
Valuation Estimates
for Warrant
($thousands)

Model Valuation

Third Party

Low

High

Estimate

First Bid

Second
Bid

Third
Bid

Final
Bid

Market Quotes

$4,120

$10,547

$7,601

$8,167

$9,200

$9,600

$10,000

Four market indications

Third Party

$7,103

$10,942

$9,014

$8,167

$9,200

$9,600

$10,000

External asset manager’s valuation
estimates

Model Valuation

$7,876

$11,551

$9,704

$8,167

$9,200

$9,600

$10,000

Binomial option model adjusted for
American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

47

Appendix II – Warrant Disposition Details

OceanFirst Financial Corp. (OCFC)

Repurchase of OCFC Warrant
On January 21, 2010, OceanFirst Financial Corp. (OCFC) agreed to pay $430,797 for the warrant held by
Treasury which entitled the holder of the warrant to purchase 190,427 shares of OCFC at an exercise price of
$15.07 per share. The warrant had an expiration date January 16, 2019.
OceanFirst Financial Corp. (OCFC)
Fair Market Value Estimates of US Treasury's Warrant Position

$ Thousands

$550

$450

Final Bid - $430,797

$350

$250

$150

$50
Market Quotes

Model Valuation

Third Party

OCFC
Valuation Estimates
for Warrant ($thousands)

High

Estimate

Final Bid

Market Quotes

$152

$392

$281

$431

Three market indications

Third Party

$308

$468

$388

$431

External asset manager’s valuation estimates

Model Valuation

48

Low

$269

$508

$381

$431

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

Repurchase of MNRK Warrant
On February 1, 2010, Monarch Financial Holdings, Inc. (MNRK) agreed to pay $260,000 for the warrant
held by Treasury which entitled the holder of the warrant to purchase 132,353 shares of MNRK at an exercise
price of $8.33 per share. The warrant had an expiration date December 19, 2018.

Monarch Financial Holdings, Inc. (MNRK)
Fair Market Value Estimates of US Treasury's Warrant Position

$ Thousands
$450
$400
$350
$300

Final Bid - $260,000

$250

Second Bid - $250,000
First Bid - $209,117.74

$200
$150
$100
$50

Appendix II – Warrant Disposition Details

Monarch Financial Holdings, Inc. (MNRK)

$0
Market Quotes

Model Valuation

Third Party

MNRK
Valuation Estimates
for Warrant ($thousands)

Low

High

Estimate

First Bid

Second
Bid

Final
Bid

Details

Market Quotes

$132

$394

$263

$209

$250

$260

Two market indications

Third Party

$201

$297

$260

$209

$250

$260

External asset manager’s valuation estimates

Model Valuation

$230

$321

$275

$209

$250

$260

Binomial option model adjusted for American style options

Warrant Disposition Report - Update DECEMBER 31, 2010

49

Appendix II – Warrant Disposition Details

Umpqua Holdings Corporation (UMPQ)

Repurchase of UMPQ Warrant
On March 22, 2010, Umpqua Holdings Corporation (UMPQ) agreed to pay $4.5 million for the warrant held by
Treasury which entitled the holder of the warrant to purchase 1,110,898 shares of UMPQ at an exercise price of $14.46
per share. The warrant had an expiration date November 14, 2018.

Umpqua Holdings Corporation (UMPQ)
Fair Market Value Estimates of US Treasury's Warrant Position

$ Thousands
$6,000
$5,500
$5,000

Final Bid - $4,500,000

$4,500

Third Bid - $4,250,000

$4,000
Second Bid - $3,610,419

$3,500
$3,000
$2,500

First Bid - $2,055,161.30

$2,000
$1,500
$1,000
Market Quotes

UMPQ
Valuation Estimates
for Warrant
($thousands)

Model Valuation

Third Party

High

Estimate

First Bid

Second
Bid

Third
Bid

Final
Bid

Market Quotes

$3,210

$3,444

$3,327

$2,055

$3,610

$4,250

$4,500

Two market indications

Third Party

$3,255

$5,088

$4,155

$2,055

$3,610

$4,250

$4,500

External asset manager’s valuation
estimates

Model Valuation

50

Low

$3,361

$5,103

$4,265

$2,055

$3,610

$4,250

$4,500

Binomial option model adjusted for
American style options

Warrant Disposition Report - Update DECEMBER 31, 2010

Details

Repurchase of CYN Warrant
On April 6, 2010, City National Corporation (CYN) agreed to pay $18.5 million for the warrant held by
Treasury which entitled the holder of the warrant to purchase 1,128,668 shares of CYN at an exercise price of
$53.16 per share. The warrant had an expiration date November 21, 2018.

City National Corporation (CYN)
Fair Market Value Estimates of US Treasury's Warrant Position

$ Thousands
$25,000
$23,000
$21,000
$19,000

Final Bid - $18,500,000
Second Bid - $17,500,000

$17,000
$15,000
$13,000

First Bid - $11,900,000

$1 1,000

Appendix II – Warrant Disposition Details

City National Corporation (CYN)

$9,000
Market Quotes

CYN
Valuation Estimates
for Warrant ($thousands)

Model Valuation

Third Party

Low

High

Estimate

First Bid

Second Bid

Final Bid

Details

Market Quotes

$12,585

$15,338

$14,278

$11,900

$17,500

$18,500

Three market indications

Third Party

$14,298

$21,800

$18,016

$11,900

$17,500

$18,500

External asset manager’s valuation
estimates

Model Valuation

$14,816

$21,947

$18,365

$11,900

$17,500

$18,500

Binomial option model adjusted for
American style options

Warrant Disposition Report - Update DECEMBER 31, 2010

51

Appendix II – Warrant Disposition Details

SVB Financial Group (SIVB)

Repurchase of SIVB Warrant
On June 8, 2010, SVB Financial Group (SIVB) agreed to pay $6.8 million for the warrant held by Treasury
which entitled the holder of the warrant to purchase 354,058 shares of SIVB at an exercise price of $49.78 per
share. The warrant had an expiration date December 12, 2018.

SVB Financial Group (SIVB)
Fair Market Value Estimates of US reasury's Warrant Position

$ Thousands
$10,000
$9,000
$8,000
$7,000

Final Bid - $6,820,000
Second Bid - $6,200,000

$6,000
$5,000
$4,000

First Bid - $3,800,000

$3,000
$2,000
Market Quotes

SIVB
Valuation Estimates
for Warrant ($thousands)

Model Valuation

Third Party

High

Estimate

First Bid

Market Quotes

$4,483

$6,289

$5,524

$3,800

$6,200

$6,820

Three market indications

Third Party

$7,690

$9,040

$8,364

$3,800

$6,200

$6,820

External asset manager’s valuation
estimates

Model Valuation

52

Low

Second Bid

Final Bid

$5,704

$7,897

$6,782

$3,800

$6,200

$6,820

Binomial option model adjusted for
American style options

Warrant Disposition Report - Update DECEMBER 31, 2010

Details

Repurchase of DFS Warrant
On June 29, 2010, Discover Financial Services (DFS) agreed to pay $172 million for the warrant held by
Treasury which entitled the holder of the warrant to purchase 20,500,413 shares of DFS at an exercise price of
$8.96 per share. The warrant had an expiration date of March 13, 2019.
$ Millions
$220,000

Discover Financial Services (DFS)
Fair Market Value Estimates of US Treasury's Warrant Position

$210,000
$200,000
$190,000
$180,000
Final Bid - $172,000,000

$170,000

Third Bid - $165,000,000

$160,000
$150,000
$140,000
$130,000

Appendix II – Warrant Disposition Details

Discover Financial Services (DFS)

$120,000
Market Quotes

Model Valuation

Third Party

DFS
Valuation Estimates
for Warrant ($millions)

Low

High

Estimate

Third Bid

Final Bid

Market Quotes

$164

$168

$166

$165

$172

Three market indications

Third Party

$151

$188

$169

$165

$172

External asset manager’s valuation estimates

Model Valuation

$137

$168

$152

$165

$172

Binomial option model adjusted for American style options

Details

Note: The chart above shows Treasury’s warrant valuation analysis at the time of DFS’s last bid in late June 2010.
Two months earlier, DFS had placed bids of $165 million and $180 million on 4/23/10 and 5/4/10, respectively. At
that time, DFS’s stock price was approximately 10% higher than it was in late June 2010. Accordingly, the bids were
below the mid points of Treasury’s various valuation metrics and were not accepted. When considering the $180
million bid in early May 2010, the mid point valuation estimates were as follows: market indications $189 million,
third party $198 million, and Treasury’s model $186 million.

Warrant Disposition Report - Update DECEMBER 31, 2010

53

Appendix II – Warrant Disposition Details

Bar Harbor Bankshares (BHB)

Repurchase of BHB Warrant
On July 22, 2010, Bar Harbor Bankshares (BHB) agreed to pay $250,000 for the warrant held by Treasury which
entitled the holder of the warrant to purchase 52,455 shares of BHB at an exercise price of $26.81 per share. The
warrant had an expiration date of January 16, 2019.
$ Thousands

Bar Harbor Bankshares (BHB)
Fair Market Value Estimates of US Treasury's Warrant Position

$500
$450
$400
$350
$300
$250

Final Bid - $250,000
Third Bid - $225,000

$200
$150
$100
$50
$0
Market Quotes

Model Valuation

Third Party

BHB
Valuation Estimates
for Warrant ($thousands)

Low

High

Estimate

Third Bid

Final Bid

Market Quotes

$189

$196

$193

$225

$250

Two market indications

Third Party

$239

$393

$315

$225

$250

External asset manager’s valuation estimates

Model Valuation

$182

$329

$255

$225

$250

Binomial option model adjusted for American style options

Details

NOTE: The chart above shows Treasury’s warrant valuation analysis at the time of BHB’s last bid in July 2010.
Months earlier, BHB had placed bids of $67,000 and $175,000 on 3/10/10 and 4/23/10, respectively. The bids
were below Treasury’s various valuation metrics at that time and were not accepted.

54

Warrant Disposition Report - Update DECEMBER 31, 2010

Repurchase of CZNC Warrant
On August 25, 2010, Citizens & Northern Corporation (CZNC) agreed to pay $400,000 for the warrant held by
Treasury which entitled the holder of the warrant to purchase 194,794 shares of CZNC at an exercise price of $20.36
per share. The warrant had an expiration date of January 16, 2019.
$ Thousands

Citizens and Northern Corporation (CZNC)
Fair Market Value Estimates of US Treasury's Warrant Position

$900
$800
$700
$600
$500
Final Bid - $400,000

$400
$300
$200
$100

Appendix II – Warrant Disposition Details

Citizens & Northern Corporation (CZNC)

$0
Market Quotes

Model Valuation

Third Party

CZNC
Valuation Estimates
for Warrant ($thousands)

Low

High

Estimate

Final Bid

Market Quotes

$127

$378

$245

$400

Three market indications

Third Party

$620

$890

$753

$400

External asset manager’s valuation estimates

Model Valuation

$217

$415

$316

$400

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

55

Appendix II – Warrant Disposition Details

Columbia Banking System (COLB)

Repurchase of COLB Warrant
On August 25, 2010, Columbia Banking System (COLB) agreed to pay $3.3 million for the warrant held by
Treasury which entitled the holder of the warrant to purchase 398,023 shares of COLB at an exercise price of
$14.49 per share. The warrant had an expiration date of November 21, 2018.
$ Thousands
$4,000

Columbia Banking System, Inc. (COLB)
Fair Market Value Estimates of US Treasury's Warrant Position

$3,500
Final Bid - $3,301,647

$3,000

$2,500

$2,000

$1,500

$1,000

$500

$0
Market Quotes

COLB
Valuation Estimates
for Warrant ($thousands)

Model Valuation

Third Party

High

Estimate

Final Bid

Market Quotes

$1,950

$3,383

$2,632

$3,302

Four market indications

Third Party

$2,639

$3,454

$3,042

$3,302

External asset manager’s valuation estimates

Model Valuation

56

Low

Details

$2,497

$3,299

$2,893

$3,302

Binomial option model adjusted for American style options

Warrant Disposition Report - Update DECEMBER 31, 2010

Repurchase of TBBK Warrant
On September 2, 2010, The Bancorp, Inc. (TBBK) agreed to pay $4.75 million for the warrant held by
Treasury which entitled the holder of the warrant to purchase 980,203 shares of TBBK at an exercise price of
$3.46 per share. The warrant had an expiration date of December 12, 2018.

$ Thousands

The Bancorp, Inc. (TBBK)
Fair Market Value Estimates of US Treasury's Warrant Position

$6,000

$5,500

$5,000
Final Bid for Warrants - $4,753,984.55

$4,500

$4,000

$3,500

$3,000

$2,500

Appendix II – Warrant Disposition Details

The Bancorp, Inc. (TBBK)

$2,000
Market Quotes

TBBK
Valuation Estimates
for Warrant ($thousands)

Model Valuation

Third Party

Low

High

Estimate

Final Bid

Details

Market Quotes

$3,666

$4,578

$4,122

$4,754

Two market indications

Third Party

$4,558

$5,048

$4,960

$4,754

External asset manager’s valuation estimates

Model Valuation

$3,323

$3,881

$3,742

$4,754

Binomial option model adjusted for American style options

Note: The chart above shows Treasury’s warrant valuation analysis at the time of TBBK’s last bid in early
September 2010. Months earlier, TBBK had placed bids of $3.55 million and $4.85 million on 3/15/10 and
3/29/10, respectively. At that time, TBBK’s stock price was more than 20% higher than it was in September
2010. Accordingly, the bids were below some of the mid points of Treasury’s various valuation metrics and were
not accepted. When considering the $4.85 million bid in late March 2010, the mid point valuation estimates
were as follows: market indications $6.0 million, third party $4.6 million, and Treasury’s model $4.8 million.

Warrant Disposition Report - Update DECEMBER 31, 2010

57

Appendix II – Warrant Disposition Details

Fulton Financial Corporation (FULT)

Repurchase of FULT Warrant
On September 3, 2010, Fulton Financial Corporation (FULT) agreed to pay $10.8 million for the warrant held
by Treasury which entitled the holder of the warrant to purchase 5,509,756 shares of FULT at an exercise price
of $10.25 per share. The warrant had an expiration date of December 23, 2018.

$ Thousands

Fulton Financial Corporation (FULT)
Fair Market Value Estimates of US Treasury's Warrant Position

$20,000
$18,000
$16,000
$14,000
$12,000

Final Bid - $10,800,000

$10,000

Second Bid - $9,500,000
First Bid - $8,000,000

$8,000
$6,000
$4,000
$2,000
Market Quotes

FULT
Valuation Estimates
for Warrant ($thousands)

Model Valuation

Third Party

High

Estimate

First
Bid

Second
Bid

Final
Bid

Market Quotes

$8,525

$11,648

$10,288

$8,000

$9,500

$10,800

Four market indications

Third Party

$6,832

$13,168

$9,918

$8,000

$9,500

$10,800

External asset manager’s valuation estimates

Model Valuation

58

Low

$7,976

$13,155

$10,537

$8,000

$9,500

$10,800

Binomial option model adjusted for American style options

Details

Warrant Disposition Report - Update DECEMBER 31, 2010

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.

$ Millions
$160,000

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

$140,000

$120,000

$100,000

$80,000

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

$40,000

$20,000

Appendix II – Warrant Disposition Details

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

$0
Market Quotes

COF
Valuation Estimates
for Warrant ($millions)
Market Quotes

Third Party

Model Valuation

Third Party

Model Valuation

Low

High

Estimate

Final Bid

Details

$2

$70

$30

$46.5

Seven market indications

$107

$148

$124

$46.5

External asset manager’s valuation estimates

$86

$131

$108

$46.5

Binomial option model adjusted for American style options

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.

Warrant Disposition Report - Update DECEMBER 31, 2010

59

Appendix II – Warrant Disposition Details

JP Morgan Chase & Co. (JPM)
Sale of JPM Warrant
On December 10, 2009, Treasury auctioned the JPMorgan Chase & Co. (JPM) warrant 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.
$ Millions
$1,400,000

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

$1,300,000
$1,200,000
$1,100,000
$1,000,000
$900,000
Final Bid - $825,539,247

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

Third Party

Model Valuation

JPM
Valuation Estimates
for Warrant ($millions)

Low

High

Estimate

Final Bid

Market Quotes

$488

$1,137

$658

$825.5

Seven market indications

Third Party

$875

$1,252

$1,063

$825.5

External asset manager’s valuation estimates

Model Valuation

$900

$1,097

$998

$825.5

Binomial option model adjusted for American style options

Details

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%.

60

Warrant Disposition Report - Update DECEMBER 31, 2010

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.

$ Millions

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

$25,000

$20,000

$15,000

$10,000

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

Appendix II – Warrant Disposition Details

TCF Financial Corporation (TCB)
Sale of TCB Warrant

$0
Market Quotes

TCB
Valuation Estimates
for Warrant ($millions)

Model Valuation

Third Party

Low

High

Estimate

Final Bid

Details

Market Quotes

$12.1

$20.5

$15.9

$3.2

Three market indications

Third Party

$13.4

$19.1

$16.2

$3.2

External asset manager’s valuation estimates

Model Valuation

$11.3

$17.2

$14.3

$3.2

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%.

Warrant Disposition Report - Update DECEMBER 31, 2010

61

Appendix II – Warrant Disposition Details

Valley National Bancorp (VLY)

Sale of VLY Warrant
On May 18, 2010, Treasury auctioned the Valley National Bancorp (VLY) warrant for $5.6 million in gross
proceeds. The warrant entitled the holder to purchase 2,532,542 shares of VLY at an exercise price of $17.77 per
share and expired on November 14, 2018.

$ Thousands

Valley National Bancorp (VLY)
Fair Market Value Estimates of US Treasury's Warrant Position

$8,500
$7,500
$6,500
$5,500
$4,500
$3,500
$2,500

Final Bid - $2,291,348

$1,500
$500
Market Quotes

Model Valuation

Third Party

VLY
Valuation Estimates
for Warrant ($thousands)

Low

High

Estimate

Final Bid

Market Quotes

$723

$3,714

$1,801

$2,291

Three market indications

Third Party

$4,607

$7,791

$6,160

$2,291

External asset manager’s valuation estimates

Model Valuation

$2,723

$6,564

$4,616

$2,291

Binomial option model adjusted for American style options

Details

NOTE: The above analysis was done to evaluate VLY’s bid on 1/7/10 and is not directly comparable to the
auction results on 5/18/10 as market conditions changed over the intervening five months.

62

Warrant Disposition Report - Update DECEMBER 31, 2010

Sale of WFC Warrant
On May 20, 2010, Treasury auctioned the Wells Fargo & Company (WFC) warrant for $849 million in gross
proceeds. The warrant entitled the holder to purchase 110,261,688 shares of WFC at an exercise price of $34.01
per share and expired on October 28, 2018. Wells Fargo repurchased 70,165,963
warrant shares in the auction.
$ Millions
$1,200

Wells Fargo & Company (WFC)
Fair Market Value Estimates of US Treasury's Warrant Position

$1,100
$1,000
$900
$800
Final Bid - $750,000,000

$700

Second Bid - $700,000,000

$600

First Bid - $593,600,000

$500
$400

Appendix II – Warrant Disposition Details

Wells Fargo & Company (WFC)

$300
Market Quotes

Model Valuation

Third Party

WFC
Valuation Estimates
for Warrant ($millions)

Low

High

Estimate

First Bid

Second Bid

Final Bid

Market Quotes

$496

$871

$686

$593.6

$700

$750

Seven market indications

Third Party

$690

$1,071

$879

$593.6

$700

$750

External asset manager’s valuation estimates

$5,551

$946

$739

$593.6

$700

$750

Binomial option model adjusted for American style options

Model Valuation

Details

NOTE: The above analysis was done to evaluate WFC’s bid on 2/22/10 and is not directly comparable to the auction
results on 5/20/10 as market conditions changed over the intervening three months. When considering Wells Fargo’s
offer to repurchase its warrant, Treasury concluded the market value realized through an auction would likely be in
the high end of the valuation range. The results of past auctions have indicated that warrants associated with large well
know companies, such as Wells Fargo, attract high levels of investor interest and competitive bidding.

Warrant Disposition Report - Update DECEMBER 31, 2010

63

Appendix II – Warrant Disposition Details

Sterling Bancshares, Inc. (SBIB)

Sale of SBIB Warrant
On June 9, 2010, Treasury auctioned the Sterling Bancshares, Inc. (SBIB) warrant for $3 million in gross
proceeds. The warrant entitled the holder to purchase 2,615,557 shares of SBIB at an exercise price of $7.18 per
share and expired on December 12, 2018.

Sterling Bancshares, Inc. (SBIB)
Fair Market Value Estimates of US Treasury's Warrant Position

$ Thousands
$10,000
$9,000
$8,000
$7,000
$6,000
$5,000
$4,000

Final Bid - $4,000,000

$3,000
$2,000
Market Quotes

SBIB
Valuation Estimates
for Warrant ($thousands)

Model Valuation

Third Party

Low

High

Estimate

Final Bid

Details

Market Quotes

$2,877

$6,120

$4,467

$4,000

Five market indications

Third Party

$6,828

$9,092

$7,9455

$4,000

External asset manager’s valuation estimates

Model Valuation

$5,491

$6,458

$5,988

$4,000

Binomial option model adjusted for American style options

NOTE: The above analysis was done to evaluate SBIB’s bid on 6/5/09 and is not directly comparable to the
auction results on 6/9/10 as market conditions changed over the intervening twelve months. Specifically, SBIB’s
stock price declined 28% from $7.02 on 6/5/09 to $5.00 on 6/9/10.

64

Warrant Disposition Report - Update DECEMBER 31, 2010

Warrants Held in Institutions That Have Fully Redeemed CPP Investment
as of December 31, 2010
QEO? (i.e.
Strike Price warrants cut by
50%)

Preferred
Repurchase Date

Preferred Investment
($thousands)

Warrant Shares

C

12/10/2010

$25,000,000

210,084,034

$17.85

-

HBAN

12/22/2010

$1,398,071

23,562,994

$8.90

-

First Horizon National Corporation

FHN

12/22/2010

$866,540

14,578,136

$8.92

-

Webster Financial Corporation

WBS

12/29/2010

$400,000

3,282,276

$18.28

-

East West Bancorp

EWBC

12/29/2010

$306,546

1,517,555

$15.15

Yes

Susquehanna Bancshares, Inc.

SUSQ

12/22/2010

$300,000

3,028,264

$14.86

-

Wintrust Financial Corporation

WTFC

12/22/2010

$250,000

1,643,295

$22.82

-

Boston Private Financial Holdings Inc

BPFH

6/16/2010

$154,000

2,887,500

$8.00

-

1st Source Corporation

SRCE

12/29/2010

$111,000

837,947

$19.87

-

F.N.B. Corporation

FNB

9/9/2009

$100,000

651,042

$11.52

Yes

Westamerica Bancorporation

WABC

11/18/2009

$83,726

246,640

$50.92

-

Sandy Spring Bancorp, Inc.

SASR

12/15/2010

$83,094

651,547

$19.13

-

Lakeland Financial Corp

LKFN

6/9/2010

$56,044

198,269

$21.20

Yes

First Community Bancshares, Inc.

FCBC

7/8/2009

$41,500

88,273

$35.26

Yes

Bank of Marin Bancorp

BMRC

3/31/2009

$28,000

154,242

$27.23

-

Shore Bancshares, Inc.

SHBI

4/15/2009

$25,000

172,970

$21.68

-

Heritage Fianancial Corporation

HFWA

12/22/2010

$24,000

138,037

$13.04

Yes

Middleburg Financial Corporation

MBRG

12/23/2009

$22,000

104,101

$15.85

Yes

First PacTrust Bancorp, Inc.

FPTB

12/15/2010

$19,300

280,795

$10.31

-

LCNB Corporation

LCNB

10/21/2009

$13,400

217,063

$9.26

-

1st Constitution Bancorp

FCCY

10/27/2010

$12,000

220,745

$8.15

-

Commerce National Bank

CNBF

10/7/2009

$5,000

87,209

$8.60

TOTAL

22

Appendix III – Warrant Portfolio

Appendix III – Warrant Portfolio
Institution Name

Ticker

Citigroup Inc.
Huntington Bancshares

$29,299,221

Warrant Disposition Report - Update DECEMBER 31, 2010

-

6

65