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UNITED STATES DEPARTMENT OF THE TREASURY OFFICE OF FINANCIAL STABILITY Warrant Disposition Report Update June 30, 2011 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. 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. Executive Summary The United States Department of the Treasury (Treasury) is pleased to present this supplement to the Warrant Disposition Report dated December 31, 2010 with information about the 15 warrant repurchases and 5 warrant auctions that Treasury’s Office of Financial Stability (OFS) conducted under the Troubled Asset Relief Program (TARP) in the six months ending June 30, 2011.1 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 June 30, 2011, Treasury received more than $886 million in gross proceeds from the disposition of 20 warrant positions through repurchases and auctions.2 Since the program’s inception, Treasury has received more than $9 billion in gross proceeds from the disposition of warrants associated with 78 CPP investments and 2 TIP investments,3 consisting of (i) $3.7 billion from issuer repurchases at agreed upon fair market values and (ii) $5.4 billion from auctions. For the 78 fully repaid CPP investments representing $213.2 billion in capital, Treasury has received an absolute return of 8.50% from dividends and capital appreciation on Citigroup common stock and an added 4.34% return from the sale of the warrants for a total absolute return of 12.85%. For the $40 billion TIP investment in Bank of America Corporation and Citigroup, Treasury received an absolute return of 3.62% from dividends and an added 6.4% return from the sale of the warrants for a total absolute return of 10.0%.4 Repurchases Upon repaying its TARP preferred stock investment, a financial institution may repurchase its warrants at an agreed upon fair market value. In all cases, Treasury follows a consistent evaluation process to ensure that taxpayers receive fair market values for the warrants. In the six months ending June 30, 2011, Treasury received $521.7 million from 15 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 21 warrant auctions held to date, investor demand above Treasury’s minimum price has exceeded the supply of warrant shares by an average of 5.5 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 longdated warrants. In the six months ending June 30, 2011, Treasury auctioned 5 warrant positions, generating over $365.2 million in proceeds. 1) TARP’s Warrant Disposition Report is posted on the OFS website at the following link: www.treasury.gov/initiatives/financial-stability/briefing-room/ reports/other/Pages/default.aspx 2) These numbers exclude repurchases of preferred shares acquired by Treasury pursuant to the exercise of warrants issued by private institutions, which warrants are exercised by Treasury at the time of purchase. In the six months ending June 30, 2011, 5 private banks repurchased their warrant preferred shares. Since the program inception, 25 private banks have repurchased their warrant preferred shares. See table on page 15. 3) For the purposes of this report, warrants in Citigroup acquired in connection with the Asset Guarantee Program are incorporated with the Citigroup TIP warrants. 4) Returns are not annualized. WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 1 Executive Summary Remaining Positions As of June 30, 2011, Treasury held warrants to purchase common stock in 19 financial institutions that have fully repaid their CPP investments and in 171 publicly traded companies in which the CPP investment is still outstanding. Treasury intends to continue to execute a consistent and transparent disposition process which achieves fair market values and protects taxpayer interests. The table below sets forth proceeds from 15 warrant repurchases and 5 warrant auctions completed during the six months ending June 30, 2011. Summary of Gross Proceeds from Sale of Public Warrants since December 31, 2010 Institution Name Ticker Preferred Redemption Date Preferred Amount Warrant Gross Warrant Redeemed Repurchase/ Proceeds ($thousands) Auction Date ($thousands) QEO? (i.e. warrants cut by 50%) REPURCHASES Fifth Third Bancorp FITB 2/2/11 First Horizon National Corporation FHN 12/22/10 KeyCorp KEY 3/30/11 Huntington Bancshares Incorporated HBAN 12/22/10 East West Bancorp, Inc. EWBC 12/29/10 Whitney Holding Company / Hancock HBHC Susquehanna Bancshares, Inc. Sandy Spring Bancorp, Inc. $3,408,000 3/16/11 $280,026 - 866,540 3/9/11 79,700 - 2,500,000 4/20/11 70,000 - 1,398,071 1/19/11 49,100 - 306,546 1/26/11 14,500 Yes 6/3/11 300,000 6/3/11 6,900 - SUSQ 12/22/10 300,000 1/19/11 5,269 - SASR 12/15/10 83,094 2/23/11 4,450 - 1st Source Corporation SRCE 12/29/10 111,000 3/9/11 3,750 - Financial Institutions, Inc. FISI 3/30/11 37,515 5/11/11 2,080 Washington Banking Company WBCO 1/12/11 26,380 3/2/11 1,625 Yes Bridge Capital Holdings BBNK 3/16/11 23,864 4/20/11 1,395 - First PacTrust Bancorp, Inc. FPTB 12/15/10 19,300 1/5/11 1,003 - National Penn Bancshares, Inc. NPBC 3/16/11 150,000 4/13/11 1,000 Yes Sterling Bancorp STL 4/27/11 42,000 5/18/11 946 - TOTAL 15 $521,744 3 $9,572,310 AUCTIONS 2 Citigroup, Inc. (TIP/AGP) C 12/23/09 $20,000,000 1/25/11 $257,583 - Citigroup, Inc. (CPP) C 12/6/10 25,000,000 1/25/11 54,622 - Wintrust Financial Corporation WTFC 12/22/10 250,000 2/8/11 25,964 - Webster Financial Corporation WBS 12/29/10 400,000 6/2/11 20,678 - Boston Private Financial Holdings, Inc. BPFH 6/16/10 154,000 2/1/11 6,353 - TOTAL 5 $365,200 0 $45,804,000 WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 As required by EESA, Treasury received warrants from TARP banks to provide taxpayers with an additional potential return on the government’s investment.5 Background Background 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.6 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. 5) EESA provides that the Secretary may establish a “de minimis” 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. 6) T reasury received warrants in Citigroup to purchase, at a fixed exercise price, shares of common stock equal to 10 percent of the aggregate liquidation preference of the senior preferred stock received by Treasury in connection with Citigroup’s participation in the Asset Guarantee Program. 7) Bank of America redeemed both its CPP and TIP on December 9, 2009. With regards to Citigroup, i) on December 23, 2009, Citigroup redeemed the trust preferred securities that Treasury had received in exchange for the original TIP preferred stock in Citigroup, ii) on September 30, 2010, Treasury sold its remaining trust preferred securities in Citigroup that Treasury had received in exchange for the original AGP preferred stock, and iii) on December 6, 2010, Treasury completed the sale of the common stock that it had received in exchange for its CPP investment in the Citigroup. WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 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 21 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 Privately-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 June 30, 2011.) WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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.FinancialStability.gov/roadtostability/CapitalPurchaseProgram.html. 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 value. Each member of the Warrant Committee and the Assistant Secretary weigh the three valuation metrics as they deem appropriate. WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 5 Treasury’s Evaluation of Issuer’s Bid 6 Additional factors presented to the Warrant Committee, along with the three valuation metrics discussed above include: • h ow quickly Treasury would have to monetize the warrants if the issuer does not repurchase based on legislation in place at the time as discussed in the “Background” section of this report, • the expertise and experience of the outside consultant providing the third party valuation, • the quality and number of market indications received, • any significant movements in the stock price of the issuer since market indications were collected, • deviations of the current stock price from the 20-trading day trailing average of the company’s stock price, • the size of the warrant position and potential investor interest in the warrants, • the liquidity of the underlying common stock, and • fixed transaction costs associated with selling the warrants to a third party. WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 Treasury began selling warrants back to banks that had repaid the TARP investment in May 2009. In aggregate, as of June 30, 2011, Treasury has realized $3.7 billion in gross proceeds from 59 warrant repurchases. This compares favorably to initial bids of $2.4 billion and estimates of aggregate value of $2.9 billion based on market indications, $3.5 billion based on third party estimates, and $3.3 billion based on Treasury’s internal financial model. Warrants repurchased by the issuer have yielded an extra absolute return of 7.2% 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 9) Repurchases of Warrants Repurchases of Warrants 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 JUNE 30, 2011 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 21 warrant positions in 19 financial institutions, generating aggregate proceeds of approximately $5.4 billion.11 Demand in the warrant auctions has exceeded the number of warrant shares being auctioned by an average of 5.5 times with an oversubscription range of 2.0 to 18.3 times. Warrants sold through auctions have yielded an extra absolute return of 3.4% 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 46% to fundamental institutional investors, 25% 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 any 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 0.43% of the outstanding securities. Across the 21 TARP warrant positions currently outstanding with public investors, four 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 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 results 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 excluding any allocations to the issuing institution. 13) The report Treasury Analysis of Warrant Auction Results can be found on the Treasury website: http://www.ustreas.gov/offices/economic-policy/reports/Auction-Analysis-3-18-2010.pdf 8 WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 Modified “Dutch” Auctions For the warrant auctions completed to date, 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: Illustrative Cumulative Auction 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 ($71.5 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 JUNE 30, 2011 9 10 WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 ONB IBKC SNBC FMER INDB ALNC SCBT BHLB SOMH FNFG HFFC STT USB BBT GS AXP BK MS NTRS OLBK BARI MNHN CSFL CVBF OZRK WAIN LSBX WSBC UBSH FFIC TRMK OCFC MNRK UMPQ CYN FLFL SIVB DFS BHB CZNC COLB TBBK FULT CJBK FPTB HBAN SUSQ EWBC SASR WBCO SRCE FHN FITB NPBC BBNK KEY FISI STL WTNY 59 Old National Bancorp IBERIABANK Corporation Sun Bancorp FirstMerit Corp Independent Bank Corp Alliance Financial Corporation SCBT Financial Corporation Berkshire Hills Bancorp Somerset Hills Bancorp First Niagra Financial Group HF Financial Corp. State Street Corporation U.S. Bancorp BB&T Corporation Goldman Sachs Group, Inc. American Express Company Bank of New York Mellon Morgan Stanley Northern Trust Corporation Old Line Bancshares Bancorp Rhode Island, Inc. Manhattan Bancorp CenterState Banks, Inc. CVB Financial Corp. Bank of the Ozarks, Inc. Wainwright Bank and Trust LSB Corporation Wesbanco, Inc. Union Bankshares Corporation Flushing Financial Corporation Trustmark Corporation OceanFirst Financial Corp. Monarch Financial Holdings, Inc. Umpqua Holdings Corp. City National Corporation First Litchfield Financial Corporation SVB Financial Group Discover Financial Services Bar Harbor Bankshares Citizens & Northern Corporation Columbia Banking System The Bancorp, Inc. Fulton Financial Corporation Central Jersey Bancorp First PacTrust Bancorp Inc. Huntington Bancshares Incorporated Susquehanna Bancshares, Inc. East West Bancorp, Inc. Sandy Spring Bancorp, Inc. Washington Banking Company 1st Source Corporation First Horizon National Corporation Fifth Third Bancorp National Penn Bancshares, Inc. Bridge Capital Holdings KeyCorp Financial Institutions, Inc. Sterling Bancorp Whitney Holding Corporation Total $100,000 90,000 89,310 125,000 78,158 26,918 64,779 40,000 7,414 184,011 25,000 2,000,000 6,599,000 3,133,640 10,000,000 3,388,890 3,000,000 10,000,000 1,576,000 7,000 30,000 1,700 27,875 130,000 75,000 22,000 15,000 75,000 59,000 70,000 215,000 38,263 14,700 214,181 400,000 10,000 235,000 1,224,558 18,751 26,400 76,898 45,220 376,500 11,300 19,300 1,398,071 300,000 306,546 83,094 26,380 111,000 866,540 3,408,000 150,000 23,864 25,000 37,515 42,000 300,000 $51,044,776 3/31/09 3/31/09 4/8/09 4/22/09 4/22/09 5/13/09 5/20/09 5/27/09 5/20/09 5/27/09 6/3/09 6/17/09 6/17/09 6/17/09 6/17/09 6/17/09 6/17/09 6/17/09 6/17/09 7/15/09 8/5/09 9/16/09 9/30/09 9/2/09 11/4/09 11/24/09 11/18/09 9/2/09 11/18/09 10/28/09 12/3/09 12/30/09 12/23/09 2/17/10 3/3/10 4/7/10 12/23/09 4/21/10 2/24/10 8/4/10 8/11/10 3/10/10 7/14/10 11/24/10 12/15/10 12/22/10 12/29/10 12/29/10 12/15/10 1/12/11 12/29/10 12/22/10 2/2/11 3/16/11 2/23/11 3/30/11 3/30/11 4/27/11 4/29/11 CPP Preferred Redemption ($thousands) Date Bid #2 Bid #3 $559 $1,200 620 1,200 1,049 2,100 3,186 5,025 880 2,200 320 900 694 1,400 875 1,040 193 275 1,500 2,700 465 600 650 60,000 115,000 131,000 139,000 20,854 41,707 64,925 600,000 900,000 1,100,000 230,000 260,000 340,000 79,000 118,000 130,000 500,000 800,000 900,000 37,000 75,000 87,000 175 205 225 857 1,125 1,400 63 168 212 1,002 1,307 2,161 2,650 569 500 560 825 950 950 400 450 597 700 860 8,167 9,200 9,600 431 209 250 260 2,055 3,610 4,250 11,900 17,500 18,500 1,488 3,800 6,200 6,820 165,000 180,000 172,000 67 175 225 400 3,302 3,546 4,852 4,754 8,000 9,500 10,800 320 291 1,003 49,100 4,482 5,269 12,000 14,500 3,077 3,430 3,750 1,370 1,575 1,625 3,250 3,750 3,750 51,948 79,700 273,919 280,026 280,026 486 765 882 1,150 1,395 63,000 70,000 1,418 1,853 2,080 946 6,000 6,900 $2,340,633 Bid #1 1,000 4,200 250 4,500 900 10,000 136,000 950,000 67,010 Bid #4 Issuer Bids 4,450 $1,200 1,200 2,100 5,025 2,200 900 1,400 1,040 275 2,700 650 60,000 139,000 67,010 1,100,000 340,000 136,000 950,000 87,000 225 1,400 63 212 1,307 2,650 569 560 950 450 900 10,000 431 260 4,500 18,500 1,488 6,820 172,000 250 400 3,302 4,754 10,800 320 1,003 49,100 5,269 14,500 4,450 1,575 3,750 79,700 280,026 1,000 1,395 70,000 2,080 946 6,900 $3,662,505 Bid # 5 Final Price ($thousands) 4/15/09 4/14/09 4/21/09 5/15/09 5/2/09 5/26/09 6/3/09 6/8/09 6/4/09 6/4/09 6/9/09 6/22/09 6/18/09 6/24/09 6/17/09 7/1/09 6/30/09 6/30/09 6/18/09 7/29/09 8/19/09 9/29/09 10/9/09 9/17/09 11/5/09 12/3/09 12/4/09 9/22/09 11/24/09 11/10/09 12/23/09 1/21/10 1/6/10 3/2/10 3/17/10 4/7/10 2/18/10 4/23/10 3/10/10 8/19/10 8/19/10 3/15/10 8/6/10 12/1/10 12/17/10 1/6/11 12/29/10 1/11/11 12/29/10 1/28/11 1/20/11 1/26/11 2/16/11 3/23/11 3/30/11 4/6/11 4/8/11 5/5/11 4/26/11 Bid #1 Bid #3 7/8/09 7/14/09 7/14/09 7/21/09 7/27/09 7/30/09 7/31/09 8/4/09 8/5/09 8/19/09 8/20/09 9/21/09 Bid #4 9/2/10 9/3/10 5/13/11 1/12/11 1/21/11 1/21/11 2/2/11 2/11/11 2/8/11 2/16/11 1/31/11 3/2/11 3/4/11 3/8/11 3/14/11 4/5/11 4/6/11 4/8/11 4/8/11 4/18/11 4/21/11 5/2/11 12/30/10 3/29/10 9/2/10 6/4/10 6/8/10 5/4/10 6/29/10 4/23/10 7/20/10 7/22/10 1/22/10 2/1/10 3/19/10 3/22/10 3/22/10 4/5/10 4/6/10 12/8/09 10/20/09 12/11/09 12/16/09 12/14/09 12/23/09 12/28/09 12/28/09 12/28/09 12/29/09 10/20/09 10/21/09 11/18/09 7/1/09 7/8/09 7/20/09 7/20/09 7/29/09 8/3/09 8/17/09 8/19/09 9/16/09 5/6/09 5/12/09 5/19/09 5/21/09 5/21/09 6/12/09 6/16/09 6/17/09 6/17/09 6/19/09 6/29/09 6/29/09 Bid #2 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. Ticker Company Issuer Bids and Warrant Sales Ordered by Sale Date 2/11/11 Bid #5 5/8/09 5/20/09 5/27/09 5/27/09 5/27/09 6/17/09 6/24/09 6/24/09 6/24/09 6/24/09 6/30/09 7/8/09 7/15/09 7/22/09 7/22/09 7/29/09 8/5/09 8/12/09 8/26/09 9/2/09 9/30/09 10/14/09 10/28/09 10/28/09 11/24/09 12/16/09 12/16/09 12/23/09 12/23/09 12/30/09 12/30/09 2/3/10 2/10/10 3/31/10 4/7/10 4/7/10 6/16/10 7/7/10 7/28/10 9/1/10 9/1/10 9/8/10 9/8/10 12/1/10 1/5/11 1/19/11 1/19/11 1/26/11 2/23/11 3/2/11 3/9/11 3/9/11 3/16/11 4/13/11 4/20/11 4/20/11 5/11/11 5/18/11 6/3/11 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 $46,500 Bid #1 310,572 9,600 950,318 $148,731 Auction Proceeds ($thousands) N/A N/A N/A 5/5/09 6/17/09 6/30/09 Bid #1 3/10/10 3/9/10 3/3/10 3/3/10 12/15/09 12/10/09 12/3/09 Date of Issuer Bids 6/17/09 CPP/TIP Redemption Preferred Date ($thousands) 825,539 1,255,639 N/A Issuer Bids 6/17/09 N/A 3,200 15,623 3/11/10 Auction Date $3,555,199 4/22/09 N/A 11,321 N/A 5/6/10 4/29/10 Bid #4 25,000,000 12/9/09 N/A N/A Bid #3 COF 361,172 12/9/09 N/A 6,709 N/A Wells Fargo & Company Valley National Bancorp Comerica Incorporated PNC Financial Services Group, Inc. Texas Capital Bancshares Signature Bank Washington Federal, Inc. FFBC WFC VLY CMA PNC TCBI 950,000 125,198 80,000 25,000,000 300,000 2,250,000 7,579,200 12/23/09 3/31/10 6/30/10 5/5/09 2/24/10 12/23/09 12/23/09 N/A N/A N/A N/A 4,000 N/A 593,600 6,353 54,622 257,583 713,687 216,621 3,008 7/12/10 N/A N/A N/A N/A 6/5/09 2/1/11 1/25/11 1/25/11 9/21/10 9/16/10 6/9/10 WBS WTFC 400,000 250,000 12/29/10 12/22/10 N/A N/A N/A $5,372,602 20,678 25,964 N/A N/A 6/2/11 2/8/11 6/2/10 5/20/10 5/18/10 First Financial Bancorp LNC SBIB 3,400,000 4,300 2/12/10 Bid #2 JPM 25,000,000 5/27/09 324,196 Bid #4 Capital One Financial Corp. TCB 20,000,000 3/31/09 N/A 183,673 Bid #3 JPMorgan Chase & Co. BAC 200,000 N/A Bid #2 TCF Financial Corporation BAC 120,000 5/13/09 N/A 1/7/10 Ticker Bank of America Corporation (CPP) WFSL 2/10/10 5,572 Company Bank of America Corporation (TIP) SBNY 75,000 3/17/10 2,291 N/A 1/7/10 Sterling Bancshares, Inc. 20,000,000 12/6/10 2/22/10 3,116 849,015 Lincoln National Corporation C HIG 6/16/10 750,000 Hartford Financial Services Group, Inc. 154,000 25,000,000 700,000 Citigroup, Inc. (TIP) C Citigroup, Inc. (CPP) Wintrust Financial Corporation $159,799,769 Boston Private Financial Holdings, Inc. BPFH Webster Financial Corporation 21 Total 11 WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 12 WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 GS MS AXP FITB DFS USB BK NTRS FHN KEY BBT STT HBAN CYN EWBC FULT TRMK HBHC SIVB SUSQ FMER TBBK UMPQ SASR SRCE COLB FNFG OZRK INDB SNBC FISI WBCO FLFL BARI SCBT BBNK CVBF IBKC ONB BHLB FPTB NPBC WSBC STL ALNC FFIC HFFC WAIN CJBK LSBX UBSH OCFC CZNC SOMH MNRK BHB OLBK CSFL MNHN 59 7/21/09 8/5/09 7/27/09 3/14/11 6/29/10 7/8/09 7/31/09 8/19/09 3/4/11 4/18/11 7/14/09 7/1/09 1/13/11 4/6/10 1/21/11 9/3/10 12/29/09 5/13/11 6/8/10 1/12/11 5/21/09 9/2/10 3/22/10 2/11/11 3/2/11 8/25/10 6/19/09 11/18/09 5/21/09 5/19/09 5/2/11 2/16/11 4/7/10 9/21/09 6/16/09 4/8/11 10/21/09 5/12/09 5/6/09 6/17/09 12/30/10 4/8/11 12/11/09 5/13/11 6/12/09 12/28/09 6/29/09 12/11/09 12/1/10 12/8/09 12/16/09 1/28/10 8/25/10 6/17/09 2/1/10 7/22/10 8/20/09 10/21/09 10/9/09 - 7/22/09 8/12/09 7/29/09 3/16/11 7/7/10 7/15/09 8/5/09 8/26/09 3/9/11 4/20/11 7/22/09 7/8/09 1/19/11 4/7/10 1/26/11 9/8/10 12/30/09 6/3/11 6/16/10 1/19/11 5/27/09 9/8/10 3/31/10 2/23/11 3/9/11 9/1/10 6/24/09 11/24/09 5/27/09 5/27/09 5/11/11 3/2/11 4/7/10 9/30/09 6/24/09 4/20/11 10/28/09 5/20/09 5/8/09 6/24/09 1/5/11 4/13/11 12/23/09 5/18/11 6/17/09 12/30/09 6/30/09 12/16/09 12/1/10 12/16/09 12/23/09 2/3/10 9/1/10 6/24/09 2/10/10 7/28/10 9/2/09 10/28/09 10/14/09 - 10/28/18 10/28/18 1/9/19 12/31/18 3/13/19 11/14/18 10/28/18 11/14/18 11/14/18 11/14/18 11/14/18 10/28/18 11/14/18 11/21/18 12/5/18 12/23/18 11/21/18 12/19/18 12/12/18 12/12/18 1/9/19 12/12/18 11/14/18 12/5/18 1/23/19 11/21/18 11/21/18 12/12/18 1/9/19 1/9/19 12/23/18 1/16/19 12/12/18 12/19/18 1/16/19 12/23/18 12/5/18 12/5/18 12/12/18 12/19/18 11/21/18 12/12/18 12/5/18 12/23/18 12/19/18 12/19/18 11/21/18 12/19/18 12/23/18 12/12/18 12/19/18 1/16/19 1/16/19 1/16/19 12/19/18 1/16/19 12/5/18 11/21/18 12/5/18 - Ticker Decision Payment Expiration Date Date Date $122.90 22.99 20.95 11.72 8.96 30.29 31.00 61.81 8.76 10.64 33.81 53.80 8.90 53.16 15.15 10.25 19.57 40.91 49.78 14.86 19.69 3.46 14.46 19.13 19.87 14.49 14.48 29.62 24.34 8.27 14.88 8.04 7.53 23.32 32.06 9.03 11.68 48.74 18.45 26.51 10.31 15.30 25.61 12.19 23.33 13.97 12.40 8.46 6.31 10.74 20.94 15.07 20.36 6.82 8.33 26.81 7.40 16.67 8.65 Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes 17 Yes Yes Yes Yes Yes Yes Yes - 12,205,045 65,245,759 24,264,129 43,617,747 20,500,413 32,679,102 14,516,129 3,824,624 14,842,321 35,244,361 13,902,573 2,788,104 23,562,994 1,128,668 1,517,555 5,509,756 1,647,931 1,100,000 354,058 3,028,264 952,260 980,203 1,110,897 651,547 837,947 398,023 953,096 379,811 481,664 1,620,545 378,175 246,082 199,203 192,967 303,083 396,412 834,761 138,490 813,008 226,330 280,795 735,294 439,282 516,817 173,069 375,806 302,419 390,071 268,621 209,497 211,318 190,427 194,794 163,065 132,353 52,455 141,892 125,413 29,480 - $90.13 14.56 14.01 6.42 8.39 4.25 9.37 22.75 5.37 1.99 4.82 21.52 2.08 16.39 9.55 1.96 6.07 6.27 19.26 1.74 5.28 4.85 4.05 6.83 4.48 8.30 2.83 6.98 4.57 1.30 5.50 6.60 7.47 7.26 4.62 3.52 1.57 8.66 1.48 4.60 3.57 1.36 2.16 1.83 5.20 2.39 2.15 1.46 1.19 2.67 2.13 2.26 2.05 1.69 1.96 4.77 1.59 1.69 2.15 - Strike QEO? - (i.e. Final Warrant Warrant Price warrants Shares Repurchase cut by 50%) Price/Share $1,100,000,000 950,000,000 340,000,000 280,025,936 172,000,000 139,000,000 136,000,000 87,000,000 79,700,000 70,000,000 67,010,402 60,000,000 49,100,000 18,500,000 14,500,000 10,800,000 10,000,000 6,900,000 6,820,000 5,269,179 5,025,000 4,753,985 4,500,000 4,450,000 3,750,000 3,301,647 2,700,000 2,650,000 2,200,000 2,100,000 2,079,963 1,625,000 1,488,046 1,400,000 1,400,000 1,395,000 1,307,000 1,200,000 1,200,000 1,040,000 1,003,227 1,000,000 950,000 945,775 900,000 900,000 650,000 568,700 319,659 560,000 450,000 430,797 400,000 275,000 260,000 250,000 225,000 212,000 63,364 $3,662,554,680 Warrant Repurchase Proceeds 40.6% - 44.5% 33.3% - 38.7% 37.6% - 40.7% 30.1% - 37.4% 45.6% - 52.7% 39.3% - 42.6% 35.7% - 39.6% 31.1% - 35.9% 24.9% - 34.0% 31.4% - 34.4% 32.0% - 35.1% 37.9% - 43.8% 35.1% - 38.6% 23.5% - 27.9% 25.8% - 33.5% 27.9% - 30.8% 19.0% - 22.9% 30.0% - 32.6% 39.2% - 44.7% 33.3% - 36.0% 34.9% - 38.3% 46.7% - 55.6% 25.1% - 29.4% 29.8% - 34.5% 25.8% - 28.7% 40.3% - 46.0% 28.5% - 31.7% 20.9% - 25.1% 28.5% - 31.6% 16.0% - 19.9% 30.7% - 34.1% 21.8% - 30.2% N/A 21.9% - 26.6% 24.1% - 27.4% 20.1% - 25.5% 26.4% - 29.2% 17.5% - 20.8% 20.3% - 23.6% 24.0% - 28.0% 18.4% - 22.0% 33.5% - 36.1% 38.1% - 40.7% 30.9% - 33.5% 13.8% - 17.0% 22.4% - 25.9% 18.3% - 21.5% 27.8% - 30.7% N/A 22.1% - 25.3% 30.3% - 33.0% 31.2% - 34.2% 41.9% - 44.4% 14.8% - 18.4% 27.8% - 32.4% 18.2% - 20.9% 26.3% - 30.1% 34.9% - 38.2% 29.7% - 34.8% - $159.80 31.05 28.38 13.90 13.80 16.59 27.34 60.38 11.43 8.59 21.65 47.35 7.12 55.70 20.78 8.72 22.80 31.76 42.24 9.18 17.54 6.89 13.60 19.35 9.15 17.00 11.93 27.48 19.60 6.25 16.55 13.63 14.95 24.66 23.16 9.82 8.81 47.22 14.33 20.17 13.01 7.96 12.41 9.50 26.61 11.73 11.95 7.00 7.49 11.28 11.93 10.45 10.73 7.80 6.40 27.00 6.10 7.47 6.60 - $148.16 28.16 25.71 14.37 13.66 17.69 27.98 60.00 11.62 8.80 21.64 46.98 6.92 53.90 20.28 8.52 20.84 32.32 45.32 9.47 19.27 6.60 12.87 18.97 9.01 17.21 12.05 24.46 19.92 6.36 16.88 13.69 14.65 25.57 23.45 9.41 7.73 48.23 14.18 21.38 12.60 7.73 12.71 10.06 25.50 10.92 12.08 6.75 7.45 11.00 11.93 10.97 11.12 7.73 6.48 25.61 6.21 7.64 6.53 - Decision Date 0.56 0.47 0.49 0.46 0.61 0.26 0.34 0.38 0.47 0.23 0.22 0.45 0.29 0.29 0.46 0.22 0.27 0.20 0.46 0.19 0.30 0.70 0.30 0.35 0.49 0.49 0.24 0.25 0.23 0.21 0.33 0.48 0.50 0.29 0.20 0.36 0.18 0.18 0.10 0.23 0.27 0.17 0.17 0.19 0.20 0.20 0.18 0.21 0.16 0.24 0.18 0.22 0.19 0.22 0.31 0.18 0.26 0.23 0.33 - 1.30 x 1.35 x 1.35 x 1.19 x 1.54 x 0.55 x 0.88 x 0.98 x 1.30 x 0.81 x 0.64 x 0.88 x 0.80 x 1.05 x 1.37 x 0.85 x 1.17 x 0.78 x 0.85 x 0.62 x 0.89 x 1.99 x 0.94 x 1.01 x 0.46 x 1.17 x 0.82 x 0.93 x 0.81 x 0.76 x 1.11 x 1.70 x 1.99 x 1.06 x 0.72 x 1.09 x 0.75 x 0.97 x 0.78 x 0.76 x 1.26 x 0.52 x 0.48 x 0.78 x 1.14 x 0.84 x 0.96 x 0.83 x 1.19 x 1.05 x 0.57 x 0.69 x 0.53 x 1.14 x 0.77 x 1.01 x 0.82 x 0.45 x 0.76 x - Estimated Stock Price 20-day Avg Warrant Underlying / Implied Stock Price Price / Stock Strike Volatility* 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. Goldman Sachs Group, Inc. Morgan Stanley American Express Company Fifth Third Bancorp Discover Financial Services U.S. Bancorp Bank of New York Mellon Northern Trust Corporation First Horizon National Corporation KeyCorp BB&T Corporation State Street Corporation Huntington Bancshares Incorporated City National Corporation East West Bancorp, Inc. Fulton Financial Corporation Trustmark Corporation Whitney Holding Company / Hancock SVB Financial Group Susquehanna Bancshares, Inc. FirstMerit Corp The Bancorp, Inc. Umpqua Holdings Corp. Sandy Spring Bancorp, Inc. 1st Source Corporation Columbia Banking System, Inc. First Niagara Financial Group Bank of the Ozarks, Inc. Independent Bank Corp Sun Bancorp Financial Institutions, Inc. Washington Banking Company First Litchfield Financial Corporation Bancorp Rhode Island, Inc. SCBT Financial Corporation Bridge Capital Holdings CVB Financial Corp. IBERIABANK Corporation Old National Bancorp Berkshire Hills Bancorp First PacTrust Bancorp, Inc. National Penn Bancshares, Inc. Wesbanco, Inc. Sterling Bancorp 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 Institution Name Warrant Sales Ordered By Amount of Proceeds Appendix I – Detailed Tables of Warrant Repurchases and Auctions - 150,375,940 88,401,697 110,262,688 52,093,973 16,885,192 121,792,790 255,033,142 13,049,451 11,479,592 12,657,960 210,084,034 1,643,295 3,282,726 1,707,456 595,829 3,199,988 758,086 2,887,500 2,532,542 465,117 2,615,557 - $8.35 10.75 7.70 13.70 19.20 2.55 1.01 16.60 16.00 11.75 0.26 15.80 6.30 9.15 19.00 3.00 8.85 2.20 2.20 6.70 1.15 Warrant Warrant Auction Shares Price Per Share $5,372,601,446 $1,255,639,099 950,318,243 849,014,998 713,687,430 324,195,686 310,571,615 257,583,473 216,620,887 183,673,472 148,731,030 54,621,849 25,964,061 20,678,339 15,623,222 11,320,751 9,599,964 6,709,061 6,352,500 5,571,592 3,116,283 3,007,891 Warrant Auction Gross Proceeds - 32.1% - 36.8% 23.8% - 27.5% 30.6% - 34.0% 14.4% - 24.8% 27.6% - 31.3% 30.9% - 33.5% 34.8% - 37.9% 29.9% - 44.7% 28.6% - 32.3% 34.6% - 38.2% 31.9% - 33.7% 21.9% - 32.0% 28.2% - 32.1% 48.6% - 53.5% 23.1% - 29.0% 28.8% - 32.1% 24.4% - 29.9% 27.1% - 31.9% 25.1% - 27.5% 39.9% - 43.8% 30.1% - 34.2% Estimated Implied Volatilty* Auction Date - $16.37 41.27 28.69 23.16 66.06 16.37 4.82 24.72 41.43 36.92 4.82 33.24 19.86 19.38 38.75 13.22 18.41 6.98 14.80 15.87 5.00 - $15.59 42.24 32.21 21.68 64.68 15.59 4.89 23.84 42.21 38.66 4.89 32.96 20.62 19.41 36.83 12.78 17.06 6.66 15.49 16.81 5.41 - 0.51 0.26 0.27 0.59 0.29 0.16 0.21 0.67 0.39 0.32 0.05 0.48 0.32 0.47 0.49 0.23 0.48 0.32 0.15 0.42 0.23 - 1.23 x 0.97 x 0.84 x 2.37 x 0.98 x 0.53 x 0.45 x 2.26 x 1.41 x 0.88 x 0.27 x 1.46 x 1.09 x 1.10 x 1.28 x 0.78 x 1.24 x 0.87 x 0.83 x 1.23 x 0.70 x Stock Price 20-day Avg Warrant Underlying / Stock Price Price / Stock Strike Price Appendix I – Detailed Tables of Warrant Repurchases and Auctions 1 Yes Expiration Strike Price QEO? (i.e. Date warrants cut by 50%) Warrant Auctions Ordered by Amount of Proceeds Institution Name Auction Date $13.30 42.42 34.01 9.79 67.33 30.79 10.61 10.92 29.40 42.13 17.85 22.82 18.28 17.57 30.21 16.93 14.84 8.00 17.77 12.90 7.18 Ticker Announce Date 1/16/19 10/28/18 10/28/18 6/29/19 12/13/18 10/28/18 1/4/19 7/10/19 11/14/18 11/14/18 10/28/18 12/19/18 11/21/18 11/14/18 12/12/18 11/14/18 1/16/19 11/21/18 11/14/18 12/23/10 12/12/18 - 3/3/10 12/10/09 5/20/10 9/21/10 4/29/10 3/3/10 1/25/11 9/16/10 5/6/10 12/3/09 1/25/11 2/8/11 6/2/11 3/9/10 3/10/10 12/15/09 3/11/10 2/1/11 5/18/10 6/2/10 6/9/10 - 3/1/10 12/8/09 5/18/10 9/20/10 4/27/10 3/1/10 1/24/11 9/15/10 5/4/10 12/1/09 1/24/11 2/7/11 6/1/11 3/8/10 3/8/10 12/14/09 3/8/10 1/31/11 5/17/10 6/1/10 6/7/10 - BAC JPM WFC HIG PNC BAC C LNC CMA COF C WTFC WBS WFSL SBNY TCB TCBI BPFH VLY FFBC SBIB - Bank of America Corporation (TIP) JPMorgan Chase & Co. Wells Fargo & Company The Hartford Financial Services Group, Inc. PNC Financial Services Bank of America Corporation (CPP) Citigroup, Inc. (TIP) Lincoln National Corporation Comerica Inc. Capital One Financial Corp. Citigroup, Inc. (CPP) Wintrust Financial Corporation Webster Financial Corporation Washington Federal, Inc Signature Bank TCF Financial Corporation Texas Capital Bancshares, Inc. Boston Private Financial Holdings, Inc. Valley National Bancorp First Financial Bancorp Sterling Bancshares, Inc. 21 * Volatility implied by the repurchase price using stock price on auction date and UST estimates for dividend yield and borrow cost; reflects discounts to a modeled valuation for illiquidity, risk of cash takeout, etc. TOTAL 13 WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 14 WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 COF JPM TCB BAC BAC WFSL SBNY TCBI PNC CMA VLY WFC FFBC SBIB LNC HIG C C BPFH WTFC WBS 21 Ticker 12/3/09 12/10/09 12/15/09 3/3/10 3/3/10 3/9/10 3/10/10 3/11/10 4/29/10 5/6/10 5/18/10 5/20/10 6/2/10 6/9/10 9/16/10 9/21/10 1/25/11 1/25/11 2/1/11 2/8/11 6/2/11 Auction Date 12,657,960 88,401,697 3,199,988 150,375,940 121,792,790 1,707,456 595,829 758,086 16,885,192 11,479,592 2,532,542 110,261,688 465,117 2,615,557 13,049,451 52,093,973 255,033,142 210,084,034 2,887,500 1,643,295 3,282,276 $148.7 950.3 9.6 1,255.6 310.6 15.6 11.3 6.7 324.2 183.7 5.6 849.0 3.1 3.0 216.6 713.7 257.6 54.6 6.4 26.0 20.7 $5,372.6 $2.231 14.255 0.150 18.835 4.659 0.234 0.170 0.150 3.918 2.571 0.150 8.640 0.150 0.150 2.950 7.423 3.318 0.765 0.150 0.363 0.289 $71.520 Warrant Shares Gross Proceeds Underwriting ($millions) Fees ($millions) $7.50 8.00 1.50 7.00 1.50 5.00 16.00 6.50 15.00 15.00 1.70 6.50 4.00 0.85 16.00 12.40 0.60 0.15 1.40 13.50 5.50 Minimum Bid $11.75 10.75 3.00 8.35 2.55 9.15 19.00 8.85 19.20 16.00 2.20 7.70 6.70 1.15 16.60 13.70 1.01 0.26 2.20 15.80 6.30 604 754 470 1,489 1,246 708 409 326 1,450 518 183 859 142 211 795 635 1,557 1,064 369 340 144 680 174 381 135 535 570 413 68 61 181 120 34 297 66 67 204 87 472 398 89 64 30 212 Clearing Number Number of Bid of Bidders Bids 13.3x 6.5x 18.3x 4.4x 10.7x 14.5x 8.2x 7.0x 5.5x 2.7x 6.6x 3.9x 10.3x 6.9x 5.1x 2.0x 5.2x 4.2x 7.9x 7.0x 3.9x 5.5x Coverage Ratio1 Market Warrants Orders Repurchased Share of by Bank Demand2 in Auction 0.2% 0.3% 1.8% 1.0% 1.7% 8.3% 0.7% 0.9% 2.5% 1.9% 1.2% 2.3% 70,165,963 2.0% 3.6% 2.1% 2,899,159 4.2% 2.4% 3.4% 1.8% 1.6% 1.8% 2,282,276 2.0% 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. 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. Citigroup (TIP) Citigroup (CPP) Boston Private Financial Holdings, Inc. Wintrust Financial Corporation Webster Financial Corporation Total/Average Institution Warrant Auction Data 0.24% 0.43% 0.76% 0.55% 0.68% 0.51% 0.61% 0.32% 0.55% 0.32% 0.28% 0.47% 1.41% 0.69% 0.22% 0.22% 0.44% 0.23% 0.23% 0.17% 0.13% 0.43% Daily Liquidity Turnover3 Appendix I – Detailed Tables of Warrant Repurchases and Auctions Institution Name Repurchase Date CPP Investment ($thousands) Warrant Repurchase Gross Warrant Proceeds Date ($thousands) State Bankshares, Inc. 6/29/11 $50,000 6/29/11 $2,500 Stockmens Financial Corporation 3/16/11 15,568 3/16/11 778 Centra Financial Holdings, Inc. 3/31/09 15,000 4/15/09 750 First Manitowoc Bancorp, Inc. 5/27/09 12,000 5/27/09 600 First Southern Bancorp, Inc. 6/16/10 10,900 6/16/10 545 Midland States Bancorp, Inc. 12/23/09 10,189 12/23/09 509 1st United Bancorp, Inc. 11/18/09 10,000 11/18/09 500 Georgia Commerce Bancshares, Inc. 2/16/11 8,700 2/16/11 435 Hamilton State Bancshares 4/13/11 7,000 4/13/11 350 Leader Bancorp, Inc. 11/24/10 5,830 11/24/10 292 First ULB Corp. 4/22/09 4,900 4/22/09 245 Capital Bancorp, Inc. 12/30/10 4,700 12/30/10 235 Hilltop Community Bancorp, Inc. 4/21/10 4,000 4/21/10 200 Texas National Bancorporation, Inc. 5/19/10 3,981 5/19/10 199 California Oaks State Bank 12/8/10 3,300 12/8/10 165 FPB Financial Corp. 6/16/10 3,240 6/16/10 162 Frontier Bancshares, Inc. 10/6/10 3,000 10/6/10 150 Surrey Bancorp 12/29/10 2,000 12/29/10 100 Nationwide Bankshares, Inc. 12/29/10 2,000 12/29/10 100 American Premier Bancorp 1/26/11 1,800 1/26/11 90 Signature Bancshares, Inc. 12/15/10 1,700 12/15/10 85 The First State Bank of Mobeetie 4/14/10 731 4/14/10 37 Midwest Regional Bancorp 11/10/09 700 11/10/09 35 Green City Bancshares, Inc. 7/14/10 651 7/14/10 33 Haviland Bancshares, Inc. 12/29/10 425 12/29/10 21 TOTAL 25 $182,315 $9,116 WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 Model Valuation 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 JUNE 30, 2011 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 JUNE 30, 2011 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 JUNE 30, 2011 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 JUNE 30, 2011 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 JUNE 30, 2011 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 $300 Market Quotes 22 Model Valuation Third Party ALNC Valuation Estimates for Warrant ($thousands) Low 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 $741 $895 $818 $320 $900 Binomial option model adjusted for American style options Details WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 JUNE 30, 2011 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 $500 Market Quotes BHLB Valuation Estimates for Warrant ($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 Model Valuation Third Party Details WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 JUNE 30, 2011 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 $900 Market Quotes 26 Model Valuation Third Party FNFG Valuation Estimates for Warrant ($thousands) Low 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 $2,444 $3,175 $2,807 $1,500 $2,700 Binomial option model adjusted for American style options Details WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 JUNE 30, 2011 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 $10,000 Market Quotes 28 Model Valuation Third Party STT Valuation Estimates for Warrant ($millions) Low 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 $52 $62 $57 $60 Binomial option model adjusted for American style options Details WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 JUNE 30, 2011 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 $18,000 Market Quotes 30 Model Valuation Third Party BBT Valuation Estimates for Warrant ($millions) Low 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 $55 $78 $67 $20 $41 $65 $67 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 JUNE 30, 2011 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 JUNE 30, 2011 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 JUNE 30, 2011 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 JUNE 30, 2011 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 JUNE 30, 2011 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 $10 Market Quotes 36 Model Valuation Third Party OLBK Valuation Estimates for Warrant ($thousands) Low 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 $172 $257 $214 $175 $205 $225 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 JUNE 30, 2011 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 $8 Market Quotes 38 Model Valuation Third Party MNHN Valuation Estimates for Warrant ($thousands) Low 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 $48 $64 $56 $63 Binomial option model adjusted for American style options Details WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 JUNE 30, 2011 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 $400 Market Quotes 40 Model Valuation Third Party CVBF Valuation Estimates for Warrant ($thousands) Low 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 $993 $1,711 $1,349 $1,002 $1,307 Binomial option model adjusted for American style options Details WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 JUNE 30, 2011 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 $100 Market Quotes 42 Model Valuation Third Party LSBX Valuation Estimates for Warrant ($thousands) Low 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 $459 $681 $569 $500 $560 Binomial option model adjusted for American style options Details WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 JUNE 30, 2011 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 $0 Market Quotes 44 Third Party Model Valuation WSBC Valuation Estimates for Warrant ($thousands) Low 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 $585 $1,119 $851 $825 $950 Binomial option model adjusted for American style options Details WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 JUNE 30, 2011 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 $400 Market Quotes 46 Model Valuation Third Party FFIC Valuation Estimates for Warrant ($thousands) Low 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 $623 $1,090 $850 $597 $700 $860 $900 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 JUNE 30, 2011 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 $50 Market Quotes 48 Model Valuation Third Party OCFC Valuation Estimates for Warrant ($thousands) Low 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 $269 $508 $381 $431 Binomial option model adjusted for American style options Details WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 JUNE 30, 2011 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) 50 Model Valuation Third Party Low 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 $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 JUNE 30, 2011 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 JUNE 30, 2011 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) 52 Model Valuation Third Party Low High Estimate First Bid Second 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 $5,704 $7,897 $6,782 $3,800 $6,200 $6,820 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 Final Bid 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 JUNE 30, 2011 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 $500 Bar Harbor Bankshares (BHB) Fair Market Value Estimates of US Treasury's Warrant Position $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 JUNE 30, 2011 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) $0 Market Quotes Third Party Model Valuation CZNC Valuation Estimates for Warrant ($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 JUNE 30, 2011 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 Columbia Banking System, Inc. (COLB) Fair Market Value Estimates of US Treasury's Warrant Position $4,000 $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) 56 Model Valuation Third Party Low High Estimate Final Bid Details 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 $2,497 $3,299 $2,893 $3,302 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 JUNE 30, 2011 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) 58 Model Valuation Third Party Low 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 $7,976 $13,155 $10,537 $8,000 $9,500 $10,800 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 Details On December 30, 2010, First PacTrust Bancorp, Inc. agreed to pay $1.0 million for the warrant held by Treasury which entitled the holder of the warrant to purchase 280,795 shares of FPTB at an exercise price of $10.31 per share. The warrant had an expiration date of November 21, 2018. First PacTrust Bancorp, Inc. (FPTB) Fair Market Value Estimates of US Treasury's Warrant Position $ 000s $1,400 $1,200 Final Bid - $1,003,227 $1,000 $800 $600 $400 First Bid - $291,152 Appendix II – Warrant Disposition Details First PacTrust Bancorp, Inc. (FPTB) Repurchase of FPTB Warrant $200 Market Quotes FPTB Valuation Estimates for Warrant ($thousands) Low High Market Quotes $686 $1,253 Third Party $848 Model Valuation $693 Third Party Estimate Model Valuation First Bid Final Bid Details $966 $291 $1,003 Three market indications $1,231 $1,034 $291 $1,003 External asset manager's valuation estimates $989 $837 $291 $1,003 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 59 Appendix II – Warrant Disposition Details Huntington Bancshares Incorporated (HBAN) Repurchase of HBAN Warrant On January 13, 2011, Huntington Bancshares Incorporated (HBAN) agreed to pay $49.1 million for the warrant held by Treasury which entitled the holder of the warrant to purchase 23,562,994 shares of HBAN at an exercise price of $8.90 per share. The warrant had an expiration date of November 14, 2018. Huntington Bancshares Incorporated (HBAN) $ 000s $70,000 Fair Market Value Estimates of US Treasury's Warrant Position $65,000 $60,000 $55,000 $50,000 Final Bid - $49,100,000 $45,000 $40,000 $35,000 $30,000 $25,000 $20,000 $15,000 $10,000 Market Quotes HBAN Valuation Estimates for Warrant ($thousands) 60 Third Party Model Valuation Low High Estimate Final Bid Details Market Quotes $41,235 $63,149 $48,125 $49,100 Four market indications Third Party $32,069 $52,284 $42,038 $49,100 External asset manager’s valuation estimates Model Valuation $37,220 $57,182 $46,895 $49,100 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 On January 12, 2011, Susquehanna Bancshares, Inc. (SUSQ) agreed to pay $5.3 million for the warrant held by Treasury which entitled the holder of the warrant to purchase 3,028,264 shares of SUSQ at an exercise price of $14.86 per share. The warrant had an expiration date of December 12, 2018. $ 000s Susquehanna Bancshares, Inc. (SUSQ) $8,000 Fair Market Value Estimates of US Treasury's Warrant Position $7,000 $6,000 Final Bid - $5,269,179 $5,000 First Bid - $4,481,804 $4,000 $3,000 Appendix II – Warrant Disposition Details Susquehanna Bancshares, Inc. (SUSQ) Repurchase of SUSQ Warrant $2,000 Third Party Market Quotes SUSQ Valuation Estimates for Warrant ($thousands) Low High Estimate Market Quotes $4,282 $4,777 Third Party $4,421 Model Valuation $3,350 Model Valuation First Bid Final Bid Details $4,572 $4,482 $5,269 Three market indications $7,235 $5,441 $4,482 $5,269 External asset manager’s valuation estimates $6,720 $5,029 $4,482 $5,269 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 61 Appendix II – Warrant Disposition Details East West Bancorp, Inc. (EWBC) Repurchase of EWBC Warrant On January 21, 2011, East West Bancorp, Inc. (EWBC) agreed to pay $14.5 million for the warrant held by Treasury which entitled the holder of the warrant to purchase 1,517,555 shares of EWBC at an exercise price of $15.15 per share. The warrant had an expiration date of December 5, 2018. East West Bancorp, Inc. (EWBC) $ 000s Fair Market Value Estimates of US Treasury's Warrant Position $18,000 $17,000 $16,000 $15,000 Final Bid - $14,500,000 $14,000 $13,000 First Bid - $12,000,000 $12,000 $11,000 $10,000 Market Quotes EWBC Valuation Estimates for Warrant ($thousands) 62 Third Party Model Valuation Low High Estimate First Bid Final Bid Details Market Quotes $12,645 $14,596 $13,655 $12,000 $14,500 Three market indications Third Party $12,701 $16,585 $14,588 $12,000 $14,500 External asset manager’s valuation estimates Model Valuation $12,036 $15,754 $13,851 $12,000 $14,500 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 On February 11, 2011, Sandy Spring Bancorp, Inc. (SASR) agreed to pay $4.5 million for the warrant held by Treasury which entitled the holder of the warrant to purchase 651,547 shares of SASR at an exercise price of $19.13 per share. The warrant had an expiration date of December 5, 2018. Sandy Spring Bancorp, Inc. (SASR) Fair Market Value Estimates of US Treasury's Warrant Position $ 000s $6,000 $5,500 $5,000 Final Bid - $4,450,000 $4,500 Fourth Bid - $4,200,000 $4,000 Third Bid - $3,750,000 $3,500 Second Bid - $3,430,000 $3,000 First Bid - $3,076,946 $2,500 $2,000 $1,500 Appendix II – Warrant Disposition Details Sandy Spring Bancorp, Inc. (SASR) Repurchase of SASR Warrant $1,000 SASR Valuation Estimates for Warrant ($thousands) Model Valuation Third Party Market Quotes Low High Estimate First Bid Second Bid Third Bid Fourth Bid Final Bid Market Quotes $3,999 $4,291 $4,140 $3,077 $3,430 $3,750 $4,200 $4,450 Three market indications Third Party $3,538 $5,021 $4,277 $3,077 $3,430 $3,750 $4,200 $4,450 External asset manager’s valuation estimates Model Valuation $3,582 $5,073 $4,323 $3,077 $3,430 $3,750 $4,200 $4,450 Binomial option model adjusted for American style options Details WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 63 Appendix II – Warrant Disposition Details Washington Banking Company (WBCO) Repurchase of WBCO Warrant On February 16, 2011, Washington Banking Company (WBCO) agreed to pay $1.6 million for the warrant held by Treasury which entitled the holder of the warrant to purchase 246,082 shares of WBCO at an exercise price of $8.04 per share. The warrant had an expiration date of January 16, 2019. $ 000s Washington Banking Company (WBCO) Fair Market Value Estimates of US Treasury's Warrant Position $1,900 $1,800 $1,700 Final Bid - $1,625,000 $1,600 Second Bid - $1,575,000 $1,500 $1,400 First Bid - $1,370,000 $1,300 $1,200 $1,100 Market Quotes WBCO Valuation Estimates for Warrant ($thousands) 64 Third Party Low High Estimate Market Quotes $1,599 $1,696 Third Party $1,405 Model Valuation $1,430 Model Valuation First Bid Second Bid Final Bid Details $1,647 $1,370 $1,575 $1,625 Four market indications $1,773 $1,585 $1,370 $1,575 $1,625 External asset manager’s valuation estimates $1,708 $1,559 $1,370 $1,575 $1,625 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 On March 2, 2011, 1st Source Corporation (SRCE) agreed to pay $3.8 million for the warrant held by Treasury which entitled the holder of the warrant to purchase 837,947 shares of SRCE at an exercise price of $19.87 per share. The warrant had an expiration date of January 23, 2019. 1st Source Corporation (SRCE) Fair Market Value Estimates of US Treasury's Warrant Position $ 000s $5,500 $5,000 $4,500 $4,000 Second and Final Bids $3,750,000 $3,500 First Bid - $3,250,000 $3,000 $2,500 Appendix II – Warrant Disposition Details 1st Source Corporation (SRCE) Repurchase of SRCE Warrant $2,000 Market Quotes SRCE Valuation Estimates for Warrant ($thousands) Third Party Model Valuation First Bid Second Bid Final Bid Details $3,755 $3,250 $3,750 $3,750 four market indications $4,528 $3,527 $3,250 $3,750 $3,750 External asset manager’s valuation estimates $4,820 $3,996 $3,250 $3,750 $3,750 Binomial option model adjusted for American style options Low High Estimate Market Quotes $3,233 $4,019 Third Party $2,566 Model Valuation $3,173 WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 65 Appendix II – Warrant Disposition Details First Horizon National Corporation (FHN) Repurchase of FHN Warrant On March 4, 2011, First Horizon National Corporation (FHN) agreed to pay $79.7 million for the warrant held by Treasury which entitled the holder of the warrant to purchase 14,842,321 shares of FHN at an exercise price of $8.76 per share. The warrant had an expiration date of November 14, 2018. First Horizon National Corporation (FHN) Fair Market Value Estimates of US Treasury's Warrant Position $ 000s $110,000 $105,000 $100,000 $95,000 $90,000 $85,000 Final Bid - $79,700,000 $80,000 $75,000 $70,000 $65,000 $60,000 $55,000 $50,000 First Bid - $51,948,124 $45,000 $40,000 Market Quotes FHN Valuation Estimates for Warrant ($thousands) 66 Third Party Model Valuation Low High Estimate First Bid Final Bid Details Market Quotes $57,240 $84,085 $70,318 $51,948 $79,700 Four market indications Third Party $64,119 $79,258 $74,063 $51,948 $79,700 External asset manager’s valuation estimates Model Valuation $74,165 $95,802 $84,485 $51,948 $79,700 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 On March 14, 2011, Fifth Third Bancorp (FITB) agreed to pay $280.0 million for the warrant held by Treasury which entitled the holder of the warrant to purchase 43,617,747 shares of FITB at an exercise price of $11.72 per share. The warrant had an expiration date of December 31, 2018. Fifth Third Bancorp (FITB) Fair Market Value Estimates of US Treasury's Warrant Position $ 000s $400,000 $380,000 $360,000 $340,000 $320,000 $300,000 Second and Final Bids - $280,025,936 $280,000 First Bid - $273,919,451 $260,000 $240,000 $220,000 Appendix II – Warrant Disposition Details Fifth Third Bancorp (FITB) Repurchase of FITB Warrant $200,000 Market Quotes FITB Valuation Estimates for Warrant ($thousands) Third Party Model Valuation Low High Estimate First Bid Final Bid Details Market Quotes $260,454 $298,019 $275,665 $273,919 $280,026 Three market indications Third Party $237,281 $312,739 $278,717 $273,919 $280,026 External asset manager’s valuation estimates Model Valuation $250,920 $333,588 $291,403 $273,919 $280,026 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 67 Appendix II – Warrant Disposition Details National Penn Bancshares, Inc. (NPBC) Repurchase of NPBC Warrant On April 8, 2011, National Penn Bancshares, Inc. (NPBC) agreed to pay $1.0 million for the warrant held by Treasury which entitled the holder of the warrant to purchase 735,294 shares of NPBC at an exercise price of $15.30 per share. The warrant had an expiration date of December 12, 2018. $1,800 $1,600 $1,400 $1,200 Final Bid - $1,000,000 $1,000 Third Bid - $882,353 $800 Second Bid - $764,705 $600 First Bid - $485,924 $400 $200 68 National Penn Bancshares, Inc. (NPBC) Fair Market Value Estimates of US Treasury's Warrant Position $ 000s Market Quotes Third Party Model Valuation NPBC Valuation Estimates for Warrant ($thousands) Low High Estimate First Bid Second Bid Third Bid Final Bid Details Market Quotes $791 $1,717 $1,187 $486 $765 $882 $1,000 Thrree market indications Third Party $538 $1,187 $847 $486 $765 $882 $1,000 External asset manager’s valuation estimates Model Valuation $494 $1,142 $816 $486 $765 $882 $1,000 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 On April 8, 2011, Bridge Capital Holdings (BBNK) agreed to pay $1.4 million for the warrant held by Treasury which entitled the holder of the warrant to purchase 396,412 shares of BBNK at an exercise price of $9.03 per share. The warrant had an expiration date of December 23, 2018. Bridge Capital Holdings (BBNK) Fair Market Value Estimates of US Treasury's Warrant Position $ 000s $2,000 $1,800 $1,600 Final Bid - $1,395,000 $1,400 $1,200 First Bid - $1,150,000 $1,000 $800 $600 Market Quotes Appendix II – Warrant Disposition Details Bridge Capital Holdings (BBNK) Repurchase of BBNK Warrant Model Valuation Third Party BBNK Valuation Estimates for Warrant ($thousands) Low High Estimate First Bid Final Bid Details Market Quotes $949 $1,700 $1,295 $1,150 $1,395 Thrree market indications Third Party $960 $1,323 $1,182 $1,150 $1,395 External asset manager’s valuation estimates Model Valuation $999 $1,305 $1,193 $1,150 $1,395 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 69 Appendix II – Warrant Disposition Details KeyCorp (KEY) Repurchase of KEY Warrant On April 18, 2011, KeyCorp (KEY) agreed to pay $70.0 million for the warrant held by Treasury which entitled the holder of the warrant to purchase 35,244,361 shares of KEY at an exercise price of $10.64 per share. The warrant had an expiration date of November 14, 2018. KeyCorp (KEY) Fair Market Value Estimates of US Treasury's Warrant Position $ 000s $100,000 $90,000 $80,000 Final Bid - $70,000,000 $70,000 First Bid - $63,000,000 $60,000 $50,000 $40,000 $30,000 Market Quotes KEY Valuation Estimates for Warrant ($thousands) 70 Model Valuation Third Party Low High Estimate First Bid Final Bid Details Market Quotes $56,623 $69,843 $62,763 $63,000 $70,000 Three market indications Third Party $43,498 $80,467 $61,658 $63,000 $70,000 External asset manager’s valuation estimates Model Valuation $46,886 $84,263 $65,537 $63,000 $70,000 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 On May 2, 2011, Financial Institutions, Inc. (FISI) agreed to pay $2.1 million for the warrant held by Treasury which entitled the holder of the warrant to purchase 378,175 shares of FISI at an exercise price of $14.88 per share. The warrant had an expiration date of December 23, 2018. Financial Institutions, Inc. (FISI) Fair Market Value Estimates of US Treasury's Warrant Position $ 000s $3,500 $3,000 $2,500 Final Bid - $2,079,963 $2,000 Second Bid - $1,853,058 $1,500 First Bid - $1,418,156 $1,000 Appendix II – Warrant Disposition Details Financial Institutions, Inc. (FISI) Repurchase of FISI Warrant $500 Market Quotes FSI Valuation Estimates for Warrant ($thousands) Third Party Model Valuation Low High Estimate First Bid Second Bid Final Bid Details Market Quotes $1,275 $1,940 $1,669 $1,418 $1,853 $2,080 Five market indications Third Party $2,090 $2,769 $2,428 $1,418 $1,853 $2,080 External asset manager’s valuation estimates Model Valuation $1,763 $2,391 $2,075 $1,418 $1,853 $2,080 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 71 Appendix II – Warrant Disposition Details Sterling Bancorp (STL) Repurchase of STL Warrant On May 13, 2011, Sterling Bancorp (STL) agreed to pay $945,775 for the warrant held by Treasury which entitled the holder of the warrant to purchase 516,817 shares of STL at an exercise price of $12.19 per share. The warrant had an expiration date of December 23, 2018. Sterling Bancorp (STL) Fair Market Value Estimates of US Treasury's Warrant Position $ 000s $1,500 $1,300 $1,100 Final Bid - $945,775 $900 $700 $500 $300 Market Quotes 72 Third Party Model Valuation STL Valuation Estimates for Warrant ($thousands) Low High Estimate Final Bid Market Quotes $444 $734 $633 $946 Four market indications Third Party $673 $1,193 $926 $946 External asset manager’s valuation estimates Model Valuation $657 $1,214 $935 $946 Binomial option model adjusted for American style options Details WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 On May 13, 2011, Hancock Holding Company (HBHC) agreed to pay $6.9 million for the Whitney Holding Company (WTNY) warrant held by Treasury which entitled the holder of the warrant to purchase 1,100,000 shares of HBHC at an exercise price of $40.91 per share. The warrant had an expiration date of December 19, 2018. $ 000s Whitney Holding Corporation (WTNY) $10,000 Fair Market Value Estimates of US Treasury's Warrant Position $9,000 $8,000 Final Bid - $6,900,000 $7,000 $6,000 First Bid - $6,000,000 $5,000 $4,000 Appendix II – Warrant Disposition Details Whitney Holding Company / Hancock Holding Company WTNY/HBHC Repurchase of WTNCY/HBHC Warrant $3,000 Market Quotes WTNY/HBHC Valuation Estimates for Warrant ($thousands) Model Valuation Third Party Low High Estimate First Bid Final Bid Details Market Quotes $3,810 $6,259 $4,920 $6,000 $6,900 Three market indications Third Party $4,290 $8,360 $6,193 $6,000 $6,900 External asset manager’s valuation estimates Model Valuation $4,411 $8,334 $6,367 $6,000 $6,900 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 73 Appendix II – Warrant Disposition Details Capital One Financial Corp. (COF) Sale of COF Warrant 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 $0 Market Quotes COF Valuation Estimates for Warrant ($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. 74 WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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. JPMorgan (JPM) Fair Market Value Estimates of Treasury's Warrant Position $ Millions $1,400,000 $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 Appendix II – Warrant Disposition Details JP Morgan Chase & Co. (JPM) Sale of JPM Warrant $400,000 Market Quotes Third Party Model Valuation JPM Valuation Estimates for Warrant ($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%. WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 75 Appendix II – Warrant Disposition Details TCF Financial Corporation (TCB) Sale of TCB Warrant 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 $25,000 TCF Financial (TCB) Fair Market Value Estimates of Treasury's Warrant Position $20,000 $15,000 $10,000 $5,000 Final Bid - $3,200,000 $0 Market Quotes TCB Valuation Estimates for Warrant ($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%. 76 WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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. Valley National Bancorp (VLY) Fair Market Value Estimates of US Treasury's Warrant Position $ Thousands $8,500 $7,500 $6,500 $5,500 $4,500 $3,500 $2,500 Final Bid - $2,291,348 $1,500 Appendix II – Warrant Disposition Details Valley National Bancorp (VLY) $500 Market Quotes Third Party Model Valuation VLY Valuation Estimates for Warrant ($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. WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 77 Appendix II – Warrant Disposition Details Wells Fargo & Company (WFC) 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. Wells Fargo & Company (WFC) Fair Market Value Estimates of US Treasury's Warrant Position $ Millions $1,200 $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 $300 Market Quotes Model Valuation Third Party WFC Valuation Estimates for Warrant ($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. 78 WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 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 Appendix II – Warrant Disposition Details Sterling Bancshares, Inc. (SBIB) $2,000 Market Quotes SBIB Valuation Estimates for Warrant ($thousands) Third Party Model Valuation 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. WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 79 Appendix II – Warrant Disposition Details Boston Private Financial Holdings, Inc. (BPFH) Sale of BPFH Warrant On February 1, 2011, Treasury auctioned the Boston Private Financial Holdings, Inc. (BPFH) warrant for $6.4 million in gross proceeds. The warrant entitled the holder to purchase 2,887,500 shares of BPFH at a strike price of $8.00 per share and expired on November 21, 2018. Boston Private Financial Holdings (BPFH) Fair Market Value Estimates of US Treasury's Warrant Position $ 000s $11,000 $10,000 $9,000 $8,000 $7,000 $6,000 $5,000 $4,000 First Bid - $4,300,000 $3,000 $2,000 $1,000 Market Quotes BPFH Valuation Estimates for Warrant ($thousands) 80 Third Party Model Valuation Low High Estimate Details Market Quotes $7,125 $9,818 $8,391 Three market indications Third Party $4,780 $6,950 $5,852 External asset manager’s valuation estimates Model Valuation $6,073 $8,493 $7,273 Binomial option model adjusted for American style options WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 Warrants Held in Institutions That Have Fully Redeemed CPP Investment as of December 31, 2010 Institution Name Ticker Preferred Repurchase Date Preferred Investment ($thousands) Warrant Shares QEO? (i.e. Strike Price warrants cut by 50%) SunTrust Banks, Inc. STI 3/30/11 $3,500,000 11,891,280 $44.15 SunTrust Banks, Inc. STI 3/30/11 1,350,000 6,008,902 33.70 - F.N.B. Corporation FNB 9/9/09 100,000 651,042 11.52 Yes Westamerica Bancorporation WABC 11/18/09 83,726 246,640 50.92 - Lakeland Financial Corp LKFN 6/9/10 56,044 198,269 21.20 Yes First Community Bancshares, Inc. FCBC 7/8/09 41,500 88,273 35.26 Yes West Bancorporation, Inc. WTBA 6/29/11 36,000 474,100 11.39 - First M&F Corporation* FMFC 9/29/10 30,000 513,113 8.77 - Bank of Marin Bancorp BMRC 3/31/09 28,000 154,242 27.23 - Shore Bancshares, Inc. SHBI 4/15/09 25,000 172,970 21.68 - Heritage Financial Corporation HFWA 12/22/10 24,000 138,037 13.04 Yes Middleburg Financial Corporation MBRG 12/23/09 22,000 104,101 15.85 Yes Security Federal Corporation* SFDL 9/29/10 18,000 137,966 19.57 - LCNB Corporation LCNB 10/21/09 13,400 217,063 9.26 - 1st Constitution Bancorp FCCY 10/27/10 12,000 220,745 8.15 - BCSB Bancorp, Inc. BCSB 1/26/11 10,800 183,465 8.83 - United Bancorporation of Alabama, Inc.* UBAB 9/3/10 10,300 108,264 14.27 - Commerce National Bank CNBF 10/7/09 5,000 87,209 8.60 - First Bancshares, Inc.* FBMS 9/29/10 5,000 54,705 13.71 TOTAL 19 $5,370,770 Appendix III – Warrant Portfolio Appendix III – Warrant Portfolio - 5 *Institution converted to the Community Development Capital Initiative program; warrants are still held by the CPP WARRANT DISPOSITION REPORT - UPDATE JUNE 30, 2011 81
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