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Table 3 Historical RAC Ratios Pro Forma For New Hybrid Criteria And BICRA Scores (cont.) U.S. Bank of New York Mellon Corp. Sept. 30, 2011 U.S. BB&T Corp. Sept. 30, 2011 U.S. Capital One Financial Corp. Sept. 30, 2011 U.S. Citigroup Inc. Sept. 30, 2011 U.S. Citizens Financial Group, Inc. Sept. 30, 2011 U.S. Comerica Inc. Sept. 30, 2011 U.S. Fifth Third Bancorp Sept. 30, 2011 U.S. JPMorgan Chase & Co. Sept. 30, 2011 U.S. KeyCorp Sept. 30, 2011 U.S. Morgan Stanley Sept. 30, 2011 U.S. PNC Financial Services Group Sept. 30, 2011 U.S. Regions Financial Corp. Sept. 30, 2011 U.S. State Street Corp. Sept. 30, 2011 U.S. SunTrust Banks Inc. Sept. 30, 2011 U.S. The Goldman Sachs Group Inc. Sept. 30, 2011 U.S. U.S. Bancorp Sept. 30, 2011 U.S. UnionBanCal Corp. Sept. 30, 2011 U.S. Wells Fargo & Co. Sept. 30, 2011 Bank Ratings Incorporate Expectations For Improving Capital Assessments Globally 4.8 5.8 U.S. dollar 14,240 297,089 245,163 8.1 8.3 U.S. dollar 14,190 175,020 171,176 7.3 8.2 U.S. dollar 18,168 247,377 220,245 6.7 8.3 U.S. dollar 125,873 1,891,330 1,513,764 11.6 12.3 U.S. dollar 13,476 116,130 109,659 9.2 8.1 U.S. dollar 6,129 66,437 76,050 8.4 8.4 U.S. dollar 11,706 138,851 138,564 6.4 8.2 U.S. dollar 146,646 2,299,875 1,794,526 10.3 10.8 U.S. dollar 9,689 94,032 90,124 8.4 9.2 U.S. dollar 57,616 687,274 627,283 8.2 8.9 U.S. dollar 31,046 378,193 347,572 7.5 8.1 U.S. dollar 8,523 112,898 105,512 6.3 7.4 U.S. dollar 12,623 199,972 169,797 8.1 8.2 U.S. dollar 13,554 167,290 165,192 7.2 7.8 U.S. dollar 69,171 967,184 884,611 8.2 10.2 U.S. dollar 27,489 333,815 270,188 9.6 9.5 U.S. dollar 8,467 88,257 88,775 7.8 9.9 U.S. dollar 112,455 1,440,588 1,134,486 Standard & Poors | RatingsDirect on the Global Credit Portal | February 29, 2012 18 948538 | 300076937
Table 3 Historical RAC Ratios Pro Forma For New Hybrid Criteria And BICRA Scores (cont.) Note: All figures are pro forma for the new BICRA and hybrid capital criteria published in November 2011. BICRAs, economic risk scores, and sovereign ratings are as of Nov. 30, 2011. *RBS' ratios exclude the effect of the Asset Protection Scheme. §We computed our estimated RAC ratio as of year-end 2010 by combining public or confidential information provided on regulatory Pillar 3 data of the sector's key members: Local cooperative banks, DZ Bank Group, Deutsche Apotheker- und Aerztebank eG, and WGZ Bank. Cross holdings and interbank placements within the group have been retreated according to our best efforts to compute an estimate for the consolidated entity. †We computed our estimated RAC ratio as of end-year 2010 by combining public or confidential information provided on regulatory Pillar 3 data of the group's key members: Savings banks in the States of Hesse and Thuringia and Landesbank Hessen-Thueringen Girozentrale. Cross holdings and interbank placements within the group have been retreated according to our best efforts to compute an estimate for the consolidated entity. ‡BBVA pro forma RAC ratio at year-end 2010 includes the consolidation of stake in Turkish bank Garanti. Risk-weighted assets assumptions for U.S. bank holding companies To help preserve consistency, comparability, and transparency of our published RWA, we've made the following assumptions, most of which we've based on publicly and consistently available information for the purpose of assisting reproducibility of this study. The assumptions are nearly identical to the ones we published in "U.S. Banks' Risk-Adjusted Capital Has Improved, But Remains Neutral To Negative For Ratings" on Jan. 18, 2011. We also took into account confidential information, mainly regarding financial collateral and securitization exposures. • The exposure data mostly derive from the FR Y-9C disclosures, using our criteria (see appendix A of "Bank Capital Methodology And Assumptions," published Dec. 6, 2010). • We also took into account assets under management and assets under custody from the 10-Q reports. • When adjusting for tax-loss carry forwards in the numerator of the ACE-to-RWA ratio, we used the U.S. regulators' disallowed portion of the deferred tax assets number disclosed in schedule HC-R. • We did not make explicit adjustments for guarantees obtained. • We used the region "world excluding U.S." to represent U.S. banks' foreign-exposure classes identified in the FR Y-9C. We assumed other exposures were in the U.S. As of September 2010, this translated into a rating of 'A+' for foreign sovereign exposures, a BICRA of '4' for foreign financial institutions exposures, and an economic risk score of '3' for foreign corporate exposures. We assumed all retail exposures were domestic. We assign average GDP-weighted BICRAs, economic risk scores, and long-term foreign-currency sovereign credit ratings to groups of countries and regions. • Equity exposures were split between public and private using FR Y-9C schedules HC-B 7d for public equities and HC-F4 for private equity. We assumed all equity exposures had risk consistent with the equity market group 1 (to which the U.S. belongs). • We did not use any explicit adjustment for latent gains. • We assumed that banks use the internal-model approach (value at risk) to measure all of the general risk in the trading book and use the standardized approach to measure specific risk. • We included information of financial collateral that trust banks provided, recognizing a mitigation of the credit risk, especially for securities-lending portfolios. We applied haircuts (i.e., value reductions) to the financial collateral according to table 11 (below paragraph 76) of our criteria published on Dec. 6, 2011. • We based securitization exposures risk weights on detailed breakdowns of exposures per rating, or on our default values disclosed in paragraph 70. Bank Ratings Incorporate Expectations For Improving Capital Assessments Globally www.standardandpoors.com/ratingsdirect 19 948538 | 300076937
Page 1 and 2: Financial Institutions Research Ban
Page 3 and 4: Our Revised Criteria Clarify The Im
Page 5 and 6: Chart 2 The RAC Ratios Vary Highly
Page 7 and 8: On Dec. 8, 2011, the EBA published
Page 9 and 10: computes under the hybrid criteria.
Page 11 and 12: Table 2 Estimated Capital Ratios Fo
Page 13 and 14: atios (see table 3). In other words
Page 15 and 16: Table 3 Historical RAC Ratios Pro F
Page 17: Table 3 Historical RAC Ratios Pro F

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