Credit Benchmarks from the RMA/AFS Risk Analysis Service

We are pleased to provide second-quarter of key metrics that tracks risk ratings 2011 metrics for this Journal feature, which provides (PD and LGD), expected loss, delinquencies, an up-to-date view of C&I credit quality and trends. nonaccruals, and charge-offs. The data in the Comparing portfolio composition and performance consortium currently represents over half of the to industry benchmarks is one of the keys to effective U.S. middle market in terms of total exposure and credit . The graphs presented on continues to grow. the following pages are based on data reported in The RMA/AFS Risk Analysis Service includes the RMA/AFS Risk Analysis Service, global banking’s analytical capabilities for portfolio segmentation only comprehensive, industry-standard credit risk and in-depth analysis by line of business, industry, benchmark. Consistent with its “global reach, local location, deal size, collateral, product type, and time markets” approach, RAS is currently offered in U.S. period. For more information please contact Stacy Commercial and Industrial, U.S. Commercial Real Germano at RMA at +1 215-446-4089 or Doug Estate, and European versions of the service. The Skinner at AFS at +1 484-875-1562, or visit www. service is an industry-led credit-data consortium rmahq.org or www.afsvision.com.

Trend in the Weighted-Average Probability of Relative to Outstanding Loan Balances

600

500

400 WAPD: Overall 300 WAPD: Accruing Loans Basis Points 200

100

0 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11

Quarter over quarter, the weighted average probability of default of the C&I portfolio declined nearly 6%, reflecting continued improvements in asset quality and optimism in terms of projected default levels over the coming 12 months.

Probability of default (PD) reflects the ’s estimate of the likelihood that a loan will not be repaid as expected. It is calculated using a one-year time horizon. The graph on the top of the next page shows the PD distribution in the middle market.

The RMA Journal December 2011–January 2012 45 Probability of Default Distribution as Percentage of Loans Outstanding

16%

12%

8%

4%

0% 100% < 0.15% 2.0% < 2.7% 2.7% < 4.0% 4.0% < 5.5% 5.5% < 7.0% 1.35% < 2.0% 7.0% < 10.0% 20.0% < 100% 0.15% < 0.25% 0.25% < 0.35% 0.35% < 0.50% 0.50% < 0.85% 0.85% < 1.35% 10.0% < 20.0%

No PD Available Reflecting modest improvement 2.0% in2.7% < the 2.7%4.0% overall< 4.0%5.5% < economy,5.5% < 7.0% the preponderance of PDs 0.15% 0.25% < 0.35% 0.25% < 0.50% 0.35% < 0.85% 0.50% < 1.35%0.85% < 1.35% < 2.0% 7.0% 10.0% < 20.0%10.0% < 20.0% < 100% continues to trend toward materially lower levels.

Middle Market Loan Quality: Percentage of Total Outstandings 22.5% 20.0% 17.5% 15.0% Classified 12.5% Criticized 10.0% 7.5% 5.0% 2.5% 0.0% 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11

The level of distressed loans continues to improve from the peak in 2010.

46 December 2011–January 2012 The RMA Journal RAS Performance Indicator for Selected Deal Size 7%

6%

5% $100,000-$249,999 $500,000 $999,999 4% - $1,000,000-$2,999,999 3% $10,000,000-$24.9 million 2% Participation/syndication

1%

0% 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 Throughout the most recent credit cycle, larger deals performed better than smaller deals, on average. Although all sizes experienced an improvement in the second quarter, the largest deals showed the biggest improvement.

RAS Performance Indicator for Selected Industries 8% 7% 6% All Industries 5% Manufacturing 4% Retail Trade 3% Real Estate and Rental & Leasing 2% Educational Services 1%

0% 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 Building on positive signs in the economy, which started in mid-2010, certain key industry sectors contributed to improvement in credit quality in the last quarter.

The RAS Performance Indicator represents a combination of past-due and nonaccruing loan balances as a percentage of the outstanding balances of the specific portfolio dimension cited. The RAS Performance Indicator includes the sum of loans past due 30 days and over and still accruing interest, and loans placed on nonaccrual, to present an overall view of potential and realized problem assets in specific portfolio segments.

The RMA Journal December 2011–January 2012 47 RAS Performance Indicator for Selected Regions 7%

6%

5% Eastern Midwest

4% North East

3% South

2% West

1%

0% 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 Non-performing loans were down across every major geographic region in the second quarter.

RAS Performance Indicator for Selected Collateral 14%

12% All Collateral 10% Commercial Real Estate (Building) 8% Residential Real Estate 6% Unsecured 4% Working Assets 2%

0% 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 Unsecured loans and loans secured by working assets, i.e., receivables and inventory, remained strong relative to the whole, a pattern that started in mid-2009 and continued to improve through early 2011.

48 December 2011–January 2012 The RMA Journal RAS Line-Usage Trend for Selected Products 60%

55%

Line <= 1 year 50% Line > 1 year 45% Demand Facility 40% Asset-based Commitment 35%

30% 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11

Despite moderate gains in the economic picture, usage for most products remained flat. However, asset-based facilities have been on the rise, perhaps owing to more conservative structuring.

Credit-Quality Comparison by Market Segment

Business Banking Middle Market Large Corporate % 30–89 days past due 0.83% 0.55% 0.28% % on nonaccrual 4.08% 3.12% 0.66% % noncurrent (90 days + nonaccrual) 4.27% 3.16% 0.72% Weighted-average risk rating (10 pt RMA scale) 5.59 5.14 4.39 Weighted-average PD 6.21% 5.05% 2.44% Weighted-average PD: Nondefaulted portfolio 2.96% 3.41% 1.86% % Classified 11.53% 8.42% 3.67% % Criticized 19.50% 13.57% 7.19% LOC utilization rate 61% 46% 28%

Within the Risk Analysis Service, the business banking segment provides loans to private companies with annual sales of less than $20 million, the middle market serves companies with annual sales of between $20 million and $200 million, and the large corporate segment serves companies with annual sales of more than $200 million.

The RMA Journal December 2011–January 2012 49