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Bank Monitor System
a product of Lord Whalen LLC, Copyright 2009, All Rights Reserved Email inquiries to info@institutionalriskanalytics.com

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IRA EXCLUSIVE:
Bank Holding Company Profile
Data Source: Instutitional Risk Analytics. IRA BHC data is synthesized using using Federal Deposit Insurance Corporation (FDIC) Call Report data and
represents a bank assets only view of the subject institution. Values reported cumulative to the reporting quarter. Data in thousands unless otherwise noted.
Selected rates pre-computed by FDIC are factored by the agency to annual rates.

Holding Company

CITIGROUP INC.
As of: December-2008
Links: Surveillance Matrix, Lending Matrix, BHC Tearsheet, Individual Units,
FRB Reference Reports: BHC - Perf Report, Y9C - Consolidated, Y9LP - ParentOnly

PRESENT MARKET VALUE METRICS

Ticker Last Price One Year Volatility 90 Day Volatility
C $1.50 147.0% 47.0%

Key Safety and Soundness Indicators

IRA Letter This institution exhibits significantly higher stress than the industry
Grade F average.
Indexed measurements of each
institutions for this period Loan Lending
compared to overall industry Overall ROE Capital Efficiency
Defaults Capacity
benchmarks brought together into a
IRA overall index where 1995 = 1 and
Stress
Surveillance numbers > 1 evidence stress Index 21.5 > 100.0 4.0 1.2 1.5 1.0
above that level. Each index
Benchmarks component can have a maximum
stress value of 100 corresponding
to a two order of magnitude shift in Industry
the underlying computations versus Benchmark
1.8 3.4 2.2 1.0 1.0 1.2
the industry index for the period.

LEVERAGE RATIO Tier 1 to RWA RBC to RWA

According to federal regulations, a

Capital bank is said to be "well capitalized" 6.30% 10.53% 15.65%
Adequacy if the following conditions are
satisfied: If Tier 1 Risk Based Capital is If Total Risk Based Capital is
If Tier 1 Leverage Capital Ratio is
greater than 6% of Total Risk greater than 10% of Total Risk
greater than 5%.
Weighted Assets. Weighted Assets.

Banks have internal limits as to

how much lending they can
support. Actual exposure is the
combination of the loans
outstanding ("LN") plus the unused
commitments ("UC") of the bank, Regular Credit Total
including overdrafts, home equity
Exposure
Lending Cards Lending
lines, commercial credit facilities
and unused credit card lines. We Exp-to-
Lending define Total Exposure ("EXP") as UC-to-LN $0.55 $15.47 $2.24
Assets 154.51%
LN + UC. LN and UC for credit
Capacity cards is tracked separately. In Exposure
general, banks with EXP Commitments $313,638,159 $1,118,563,346 $1,432,201,505 $2,071,727,085
percentages above 100% tend to (LN+UC)
be more aggressive than Loans $567,232,852 $72,292,728 $639,525,580 Assets $1,340,816,121
depository institutions with EXP
below 100%. Tracking the change
in EXP over time can provide
insights into business model
change by your bank.

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Efficiency is a measure of how

hard a bank has to work. This is a
number that is particularly
monitored by Wall Street because
it serves as an indicator of how Bank Holding Company
Efficiency hard a bank is having to work in Efficiency Ratio 71.8%
order to maintain the market
*as synthesized by IRA
position of it's business case
model. Higher numbers indicate
that more must be spent to stay in
place.

Technical Measures:

Performance
ASSETS IRA Computed Estimated Return LENDING RETURN RETURN ON TANGIBLE
ASSETS
$1,340,816,121
Gross Income 814 bps
Net Income
SD = 1.30 Tangible Assets
Bank unit's total assets in Interest $1,305,519,208
thousands as reported in the $70,405,355 $88,452
official FDIC CALL/TFR Report.
Income Gross return per lending dollar in
basis points is estimated by IRA as
less Interest the annualized lending interest Tangible Assets as
Hint: Click on the $29,497,925 ROA
Expense earned divided by loans and Percent of Total Assets
metric titles to see leases. Service fees are not
Net Interest included in the earnings efficiency 97.4%
multi-year trend charts. $40,907,430 0.01 %
Revenue calculation. SD = 3.46
Limited charts available SD = -0.65
in demo. Non-Interest
Return on Tangible
Revenue, $12,334,395 ROE Lending
Assets
Gross Profile
FLAGS: Standard 0.01%
Deviation (SD) indicates Computed 0.09 % SD = 0.38
distance from Gross $53,241,825 SD = -0.78
dynamically generated Income During periods of drastic profile
IRA reports Return on Assets as change it is often better to track
peer norm based on computed by the FDIC as the banks by looking at their tangible
total asset matches. Annualized annualized Net Income over Total assets. For example, immediately
$53,241,825 Assets. Standard Deviation following an acquisition when the
SD's greater than 1.0 Estimate comparisons are versus asset intangibles profile is in flux.
are flagged. peers either within +/- 10% of the
bank's assets or against all over
Often overlooked, IRA computes $10B as applicable. IRA also
this critical revenue benchmark reports Return on Equity as
using a consisent formula for all computed by the FDIC as the
institutions based on netting interest annualized Net Income over Total
and other earnings. Equity.
Bank
Operations
Efficiency 71.8%
Ratio
Excludes parent-only
effects.

Basel II Credit Risk Benchmarks

P(D) Rating
Method A: BB
Method B: B 3.59 years
IRA benchmarks a bank's lending portfolio
P(D) based on actual loss rates. The
marked rating should correspond to the bank
unit's internal target risk rating for the loan
portfolio. Note that rating category
breakpoints vary both among rating agencies
and over time. See the tearsheet for loan
portfolio detail. %>
Gross Defaults: $15,905,138
Recoveries: $1,693,400
Net Loss After
Recoveries: $14,211,738
LGD Wtd. Avg. EAD
Maturity
LGD = 89.35 % 223.9 percent
SD = 1.01
Default Rate: 249 bps SD = -0.00
SD = 1.03 At default the average loan will have the
above remaining unused percentage of the
After Recovery: 222 bps IRA reports the aggregate portfolio weighted
committed credit line. The bank risks that
maturity as the amalgam of all loans and
SD = 0.95 leases including single-family residential borrower could access these amounts and
loans. expose the institution to additional losses. A
bank's ability to contain this exposure via
Quarterly benchmark estimates for Loss contractual covenants varies by loan or line
Given Default are reported as the actual YTD Click here to view the Term Structure
of credit type.
default rate of the outstanding loans and Detail. Not all banks report their term
leases. Banks estimate this factor matrices.
continously. When examined, the spot risk
estimate should tie closely to the actual at
each CALL/TFR submittal point.
Loss Provisions,
Reported: $25,421,616

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Provisions Based LGD: 159.83

%
Actual-to-Provision
Ratio: 0.56-to-1

Risk Management: Economic Capital and RAROC

Calculations
Operations Components EC RAROC

Economic Capital, Economic Capital, Trading Economic Capital, Economic Capital, RAROC
Lending Operations Operations Securities Exposure Benchmark

$23,821,863 $248,965,797 $114,624,644 $387,412,303 1.244%

def. - EC attributed to def. - EC attributed to trading def. - EC attributed to Standardized EC computed where,
credit operations must should cover 90% of the risk securities should cover the by IRA to enable direct
cover the risk spread spread from the potential spread from the potential comparisons between Interest
between Maximum losses in the non-securitized loss of 90% of the Risk institution risk management Income
Probable Loss (MPL) portion trading book balance. Bearing Securities book strategies. $70,405,355
and Expected Loss This ensures the capital balance. This coverage Trading
(EL). quality remains at a B or spread ensures the risk Key Ratios: Income
higher equivalent investment bearing portfolio never falls $7,213,896
EC to Total
grade. below investment grade 0.289-to-1 Securities
MPL Assets Ratio
372.5 bp risk. Income
Factor
EC to Tangible $7,113,011
Portion of 0.297-to-1
EL Assets Ratio Service
123.3 bp Trading Securities
Factor $165,750,829 Fees
Book $276,628,663 Total EC to Equity
3.763-to-1 $2,026,332
Loans requiring EC Ratio
less Other Fees
and $639,525,580 Coverage
Treasury $471,802 EC to Risk $11,889
Leases 3.088-to-1
consisting Securities Based Capital less Interest
of, Expenses
less Govt EC to Tier 1 4.588-to-1
$29,497,925
IRA computations use hard Domestic Obligation $172,065
less
numbers from as-filed Trading $8,244,663 Securities Reference Data:
CALL/TFR reports to develop Salaries and
risk spread factors using Assets
less Total Benefits
proprietary statistical formulae. $1,340,816,121
These formulae locate the Foreign Agency $22,009,247 Assets $16,607,911
Extreme Risk kurtosis point (1 in Trading $69,257,000 Securities less
1000) based on the data Tangible Premesis
measurements used. This report Assets less $1,305,519,208
delivers an aggregate figure of
Assets Expenses
merit. Contact IRA consulting if Domestic Municipal
$15,737,000 Equity $102,955,509 $4,341,147
you are interested in detail data Positive Fair Securities
on EC's by credit category. $73,958,000 less Other
Value Trade Total Non-Interest
Derivatives Risk Regulatory Expenses
Bearing $127,360,715 Risk $125,477,437 $17,291,506
Foreign Based
Securities less Charge
Positive Fair Capital
$45,299,000 for Current
Value Trade consisting
Tier 1 Risk Period Net
Derivatives of,
Based $84,444,971 Lending
Short Held to Capital Losses
Position $0 Maturity $47,458,207 $14,211,738
Liabilities Securities divided by
Economic
Negative Private Capital
Fair Value MBS $8,068,074
$107,079,000 RAROC - Risk Adjusted
Trade Securities
Return On Capital is also
Derivatives known as Return On
Other Economic Capital
Other Debt $7,170,000 (ROEC).
Trading $3,477,000 Securities
Liabilities
Foreign
Traded Debt $62,560,800
Bankers $0 Securities
Acceptances

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Traded
Certificates $0
of Deposit
Traded
Commercial $0
Paper
less
$-30,686,000
Adjustment
Interest Rate Risk Management Metrics
Income Buffering
LOAN BASE EXPOSURE SENSITIVE FEES
Repriced Commercial and Securitization and
Agricultural Loans versus Underwriting Fees to
Total Loans and Leases Total Gross Income
22.7 % of loans and 8.8 % of total gross
leases. income
SD = -0.08 SD = -0.11
Banks that maintain a base of Reliance on securitization and
business loans that feature regular underwriting fee income is
repricing features are considered considered a risk for banks as
less vulnerable to interest rate interest rates shifts. Specifically, as
shifts. Unlike mortgage lending and interest rates rise the opportunity to
consumer debt, businesses tend to generate this fee income tends to
sustain their operating debt diminish. The bank reported fee
regardless of interest rates income from this as $5,941,640.
providing banks with a steady Total income includes interest and
margin of income from employing service charges from loans and
these assets. The bank reported leases as well as profits from
an aggregate Agricultural, investing activities.
Commecial & Industrial and
Commercial Real loan base of
$145,127,888.
Safety and Soundness
Reliance on FHLB GSE Securities Exposure
Advances
GSE Securities Holdings
Advances-to-Assets: $172,065
6.22%
Percent of Securities
Total FHLB Advances Portfolio
$83,389,000 0.10%
Detail, if available: GSE percent of
UNDER 1 YR: $58,017,000
1 TO 3 YRS: $0 Total Assets: 0.01%
OVER 3 YRS: $0 Tangible Assets: 0.01%
Qualifying institutions may borrow
funds from the Federal Home Loan
Bank (FHLB) system to fund GSE securities are booked as
mortgage landing. Opinions as to risk-free investments by banks
proper safety and soundness owing to an "implicit guarantee"
assumption attributed to the
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Mutual
Fund $152,118
Securities
ABS
$1,951,516
Securities
IRA would have previously made
allowances for the CALL redemption
value of bonds but the increasing
ownership of below investment grade
residual securities and suspect
commercial paper by institutions and
the unknown factors in determining
YTE for junk class securities
indicates that the MPL computation
for securities EC needs to cover the
book value below a grade-B
allowance. A 1,000 bp EL allowance
constitutes the average B cut-off line
for the NRSRO's surveyed by IRA.
This benchmark rule is applied
consistently across all institutions.
Expense Buffering
OPERATING
LIABILITIES
Non-Interest Deposits to
Total Deposits
11.8 % of total deposits
SD = -0.37
Banks insulate themselves from
interest rate risk by maintaining a
fraction of their deposits in
non-interest paying accounts.
The reported non-interest paying
deposit base for this bank is
$95,327,910.
Off Balance Sheet
Derivatives
$32,052,079,332
SD = 2.47
Banks that enter into derivative
contracts face additional position
risks. This figure identifies the
"notional value" of the derivative
contracts that have been entered
by the bank.
Based on this figure, the bank can
tolerate a 39 bp realized loss
across it's aggregate OBS position
before losing the equivalent of its
regulatory Risk Based Capital
(RBC).
Asset Buffering
EQUITY CUSHION
Equity to Assets
7.7 % of assets
SD = -0.84
Banks with greater equity
components in their asset base are
considered more insulated from
interest rate shifts bacause they
can use equity to buffer market
shocks. Current total equity is
$102,955,509.
IRA analytics focus on
measuring indicators that
provide insight into bank
management policies.
Lending Support
Analysis
47.7 % of assets
SD = -0.88
Banks are exposed to credit risk
from their lending and leasing
operations. This figure identifies the
percentage of the bank's assets
allocated to lending and leasing
reported as $639,525,580.
Deposits Support:
Deposits support provides
additional clarity on the banks
lending support. This bank's
lending is fully supported by
deposits and there is presently an
PASSIVE EXPOSURE
MBS Securities and
REPO Holdings Exposure
15.9 % of assets
SD = -0.27
Banks face portfolio exposure risk
from their mortgage-backed and
non-mortgage-backed bond
holdings as well as their fed funds
and repo activity. We report the
percentage of the unit's assets
primarily exposed to this type of
interest rate risk reported.
These assets are worth
$212,709,896. And an amount
equivalent to 1.70 times the
regulatory Risk Based Capital
(RBC) of the unit.
Counterparty
Risk
6.2 % of lending
SD = 3.53
Banks are exposed to counterparty
risk from lending funds to other
institutions. This figure identifies
the percentage of the bank's
assets allocated to depository
institution loans.
The actual amount reported is
$39,936,780.
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thresholds differ however the GSE's. This relief is theoretical and overfunding surplus of $0.27
Federal Reserve generally changes in regulation may affect deposit dollars for every lending
considers reliance on FHLB this assumption. dollar.
Advances in excess of 15% of
assets to be cause for concern.
Banking regulators identify
over-heated used of FHLB
Advances as "perverse
consequence" of regulatory
structure and worry that downside
defaults constitute an unpriced
"moral hazard" within the banking
system.

Business Design and Operational Risk

Deposit-to-Asset
Analysis
60.5 %
SD = -0.49
A bank's deposits-to-assets ratio provides
insight into how the bank seeks to generate
income and insulate itelf from risk. Three
schools of thought dominate.
The classic design rule for a bank is a
deposit-to-asset target ratio of 0.8:1 to fund
lending operations and generate service
charge revenue with minimal exposure to
market risk.
A second class of banks engages in a
mix of lending and investing activities. They
make greater use of counter-party and
market instruments and are thus more
exposed to market risks but benefit from
increased diversification.
A third form of bank design involves
institutions that rely almost exclusively on an
asset securitization approach to generate
revenue. These institutions tend to grow and
shrink in response to market conditons.
Trading Desk
Risk
15.0 % of assets
SD = 1.39
Banks face risks from their trading
operations. This figure identifies the
percentage of the unit's assets allocated to
trading. The reported trading account value
is $200,522,459 which is 1.60 times the
bank's regulatory Risk Based capital (RBC).
This bank's trading desk reported positive
economic value add at 360 bp per trading
asset dollar employed.
Misc. Loans
6.6%
SD = 0.20
This figure measures miscellaneous loans
as a percentage of total lending. Excessive
miscellaneous lending can be as sign that
the bank is engaged in substandard lending
practices.
One item to monitor here is the degree to
which a bank originates margin loans to
support trading and/or derivative activities.
The important figure to observe is the
Standard Deviation that tells how far this unit
is from its asset class peers. An SD greater
than +/- 2 is an outlier.
Other Liabilities
21.6 %
SD = 0.51
This figure measures other liabilities as a
percentage of total liabilities. Excessive
non-categorized liabilities may be an
indication that the operational side of the
business is vulnerable to business cycle
stress.
One important stress combination to monitor
is a bank that issues loans in excess of
supporting deposits where these loans start
to distress or otherwise underperform.
Cross checking, this bank reports YTD loan
servicing fee income of $2,026,332K.
Again, an important figure to observe is the
Standard Deviation that tells how far this unit
is operating versus its asset class peers.

Bank holding companies act as vehicles to

both concentrate and mix these designs into
overall business models.

Statistical Peering Cluster

Used by Institutional Risk Analytics for Red Flag standard deviation
IRA Bank Analysis is a product of Institutional Risk Analytics, a unit of Lord, testing. Dynamically constructed based on bank unit asset base specific
Whalen LLC (“LW”) and may not be reproduced, disseminated, or distributed, in to each reporting quarter.
part or in whole, by any means, outside of the recipient's organization without
ALLIED IRISH BANKS, P.L.C.
express written authorization from LW. It is a violation of federal copyright law to AMERICAN EXPRESS COMPANY
reproduce all or part of this publication or its contents by any means. This ARVEST BANK GROUP, INC.
material does not constitute a solicitation for the purchase or sale of any ASSOCIATED BANC-CORP
securities or investments. The opinions expressed herein are based on publicly BANCO BILBAO VIZCAYA ARGENTARIA, S.A.
BANCO SANTANDER, S.A.
available information and are considered reliable. However, LW makes NO BANCORPSOUTH, INC.
WARRANTIES OR REPRESENTATIONS OF ANY SORT with respect to this BANK OF AMERICA CORPORATION
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BANK OF NEW YORK MELLON CORPORATION, THE
thereof. BARCLAYS PLC
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For more information on our products and services contact us at BNP PARIBAS
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CATHAY GENERAL BANCORP
Office (310) 676-3300
CITIGROUP INC.
CITIZENS REPUBLIC BANCORP, INC.
Data mining and analytics methods are the intellectual property of CITY NATIONAL CORPORATION
Institutional Risk Analytics, a unit of Lord, Whalen LLC. Copyright 2006. All COLONIAL BANCGROUP, INC., THE
rights reserved. COMERICA INCORPORATED
COMMERCE BANCSHARES, INC.
CULLEN/FROST BANKERS, INC.
DEUTSCHE BANK AKTIENGESELLSCHAFT
EAST WEST BANCORP, INC.
FBOP CORPORATION
FIFTH THIRD BANCORP
FIRST BANCORP

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FIRST BANKS, INC.

FIRST CITIZENS BANCSHARES, INC.
FIRST HORIZON NATIONAL CORPORATION
FIRSTMERIT CORPORATION
FULTON FINANCIAL CORPORATION
GMAC LLC
GOLDMAN SACHS GROUP, INC., THE
HSBC HOLDINGS PLC
HUNTINGTON BANCSHARES INCORPORATED
INTERNATIONAL BANCSHARES CORPORATION
JPMORGAN CHASE & CO.
KEYCORP
LAURITZEN CORPORATION
MARSHALL & ILSLEY CORPORATION
METLIFE, INC.
MITSUBISHI UFJ FINANCIAL GROUP, INC.
MORGAN STANLEY
NEW YORK COMMUNITY BANCORP, INC.
NEW YORK PRIVATE BANK & TRUST CORPORATION
NORTHERN TRUST CORPORATION
PNC FINANCIAL SERVICES GROUP, INC., THE
POPULAR, INC.
PRIVATEBANCORP, INC.
REGIONS FINANCIAL CORPORATION
ROYAL BANK OF CANADA
ROYAL BANK OF SCOTLAND GROUP PLC, THE
SOUTH FINANCIAL GROUP, INC., THE
STATE STREET CORPORATION
STERLING FINANCIAL CORPORATION
SUNTRUST BANKS, INC.
SUSQUEHANNA BANCSHARES, INC.
SYNOVUS FINANCIAL CORP.
TCF FINANCIAL CORPORATION
TORONTO-DOMINION BANK, THE
U.S. BANCORP
UBS AG
UCBH HOLDINGS, INC.
UMB FINANCIAL CORPORATION
VALLEY NATIONAL BANCORP
W HOLDING COMPANY, INC.
WEBSTER FINANCIAL CORPORATION
WELLS FARGO & COMPANY
WHITNEY HOLDING CORPORATION
WILMINGTON TRUST CORPORATION
WINTRUST FINANCIAL CORPORATION
ZIONS BANCORPORATION

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