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Declaration of Frank C. Torchio for Settlement Purposes

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Case 2:07-cv-05295-MRP -MAN Document 987-3 Filed 10/11/10 Page 1 <strong>of</strong> 1 Page ID<br />

#:39188<br />

Exhibit C<br />

Estimate <strong>of</strong> Recognized Claims Under the Plan <strong>of</strong> Allocation<br />

Security<br />

Section 10(b)<br />

Notes<br />

Recognized<br />

Claim % <strong>of</strong> Total<br />

Common stock [1] $3,262,954,184 78.20%<br />

7% Capital Securities [1] $48,852,205 1.17%<br />

Bonds:<br />

CUSIP 222372AJ3 (6.25% Notes) [1] $85,221,319 2.04%<br />

CUSIP 22238HGQ7 [1] $53,344,482 1.28%<br />

CUSIP 22237LPA4 [1] $35,995,792 0.86%<br />

CUSIP 22237LPM8 [1] $33,849,673 0.81%<br />

CUSIP 22237LNR9 [1] $29,868,268 0.72%<br />

Bonds sub‐total $238,279,534 5.71%<br />

Exchange‐traded Call and Put Options [2] $208,624,211 5.00%<br />

Total Section 10(b) $3,758,710,133 90.08%<br />

Section 11<br />

Series A Bonds [3] $101,357,344 2.43%<br />

Series B Bonds [3] $312,367,455 7.49%<br />

Total $4,172,434,933 100.00%<br />

Notes<br />

[1] Section 10(b) Recognized Claims estimated using the artificial inflation amounts in the<br />

Plan (see pages 29 ‐ 33) and using multi‐trader trading models. No price limitation set<br />

by the Plan <strong>for</strong> retained/held shares. For Section 10(b) securities that also had Section<br />

11 claims (7% Capital Securities and Bond CUSIP's 222373AJ3 and 22238HGQ7), the<br />

Recognized Claims from the trading model were multiplied by the applicable factor in<br />

the Plan <strong>of</strong> 1.25.<br />

[2] Section 10(b) Recognized Claims <strong>for</strong> Options = Amount <strong>of</strong> Option Open Interest x Per<br />

Option Inflation in Exhibit A to the Plan <strong>of</strong> Allocation (limited to 5% <strong>of</strong> Total Recognized<br />

Losses). The per option inflation in Exhibit A to the Plan <strong>of</strong> Allocation is the same as<br />

the inflation effect in the Jarrell Report.<br />

[3] Section 11 Recognized Claims estimated <strong>for</strong> bonds with maturity dates after the first<br />

alleged corrective disclosure on 7/24/2007 and exclude securities that also have<br />

Section 10(b) damages. Assumes negative causation.<br />

Estimated as: Section 10(b) Bonds Recognized Claims / Section 10(b) Bonds Face<br />

Amounts x Section 11 Bonds Face Amounts x the applicable factor in the Plan <strong>of</strong> 1.25.<br />

Assumes that Bonds with Recognized Claims were not held through the Bank <strong>of</strong><br />

America merger.<br />

Forensic Economics, Inc.

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