1. David Hendler Head of Financial Services - Americas dhendler@creditsights.com Banks: ALM & Interest Rate Risk Presentation to Capital Markets Credit Analysts Society

2. 22 Source: SNL, CreditSights Represents median of CreditSights’ bank universe Net Interest Margin – Pressure Point

3. 3 Securities Growing as Yields Decline Source: SNL, FFIEC, CreditSights Securities as % of total assets represents aggregate of CreditSights’ bank universe. As of 2Q13.

4. 4 Securities Portfolio Yield Source: SNL, FFIEC, CreditSights As of 2Q13

5. 55 Source: SNL, Company reports, CreditSights As of 2Q13 MBS as % of Securities

6. 6 Duration Trends Source: Company reports, CreditSights Change in years as of 2Q13. Duration measures vary by company Sorted from left to right by size of securities portfolio

7. 7 Rate/Volume Variance Trends: Big Banks Source: Company reports, SNL, CreditSights

8. 88 Source: Company reports, CreditSights In $ mn BofA IRR Derivatives Impact

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