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TALF 1.

0: Initial Funding Postmortem


Initial TALF-eligible issues labored under tight timelines and challenging investor negotiations, but ultimately four
deals were priced. TALF investors comprised 57% of offered notes volume.

Nissan Auto Receivables 2009-A Owner Trust


Balance Rating Fixed / Expected Principal TALF
Tranche ($MM) Deal % (M / S / F) WAL Floating Final Legal Final Window Spread Returns Deal Color
A-1 $357 24% P-1 / A-1+ / F1+ 0.32 Fixed 11/16/2009 4/15/2010 1-8 +35 N/A
y Few TALF buyers (2 of 40) due to impact on
A-2 323 22% Aaa / AAA / AAA 0.99 Fixed 7/15/2010 7/15/2011 8-16 +175 5% IRRs from benchmark used for fixed-rate
A-3 493 33% Aaa / AAA / AAA 1.98 Fixed 12/15/2011 2/15/2013 16-33 +180 9% TALF loan pricing (3-year swap rate
regardless of bond tenor)
A-4 197 13% Aaa / AAA / AAA 3.16 Fixed 11/15/2012 8/17/2015 33-44 +300 29% (1)
Certificate 116 8% NR y Transaction priced well inside of initial price
guidance due to large oversubscription (5-
Total $1,485 100% 6x)
Citibank Credit Card Issuance Trust 2009-A1
Deal Color
Balance Rating TALF
Tranche ($MM) (M / S / F) WAL Fixed / Floating Expected Final Legal Final Spread Returns y Majority TALF buyers (99% by volume) who
were largely traditional ABS investors
A-1 $3,000 Aaa / AAA / AAA 2.97 Floating 3/15/2012 3/17/2014 +175 15%
y Pricing was half of secondary market spread
to LIBOR and represented the lowest cost
Ford Credit Auto Owner Trust 2009-A of funds for 3-year funding of the initial
Balance Rating Fixed / Expected Principal TALF TALF trades
Tranche ($MM) Deal % (M / S / F) WAL Floating Final Legal Final Window Spread Returns
A-1 $775 22% P-1 / A-1+ / F1+ 0.30 Fixed 11/16/2009 4/15/2010 1-8 +50 N/A Deal Color

A-2a 100 3% Aaa / AAA / AAA 0.99 Fixed 7/15/2010 8/15/2011 8-16 +200 11% y Few TALF buyers (12 total with the 3-year
all TALF buyers) due to impact on IRRs
A-2b 508 15% Aaa / AAA / AAA 0.99 Floating 7/15/2010 8/15/2011 8-16 +200 19% from benchmark used for fixed-rate TALF
A-3a 170 5% Aaa / AAA / AAA 1.99 Fixed 1/15/2012 5/15/2013 16-34 +250 21% loan pricing (3-year swap rate regardless of
A-3b 910 26% Aaa / AAA / AAA 1.99 Floating 1/15/2012 5/15/2013 16-34 +250 24% bond tenor)
A-4 491 14% Aaa / AAA / AAA 3.31 Fixed 12/15/2012 5/15/2014 34-45 +425 49% (2) y Transaction lagged due to late
Certificate 529 15% NR announcement

Total $3,483 100%

Huntington Auto Trust 2009-1


Balance Rating Fixed / Principal TALF
Tranche ($MM) Deal % (M / S) WAL Floating Expected Final Legal Final Window Spread Returns
A-1 $217 23% P-1 / A-1+ 0.30 Fixed 11/16/2009 4/15/2010 1-8 +55 N/A
A-2 139 14% Aaa / AAA 0.91 Fixed 5/17/2010 7/15/2011 8-14 +225 15%
A-3 366 38% Aaa / AAA 1.87 Fixed 12/15/2011 6/17/2013 14-33 +250 20%
A-4 108 11% Aaa / AAA 2.98 Fixed 7/06/2012 1/15/2014 33-40 +400 43% (3)
B 40 4% NR
C 44 5% NR
D 48 5% NR
Total $963 100%
(1) -20% approximate return assuming at the end of 3-years, investor surrenders the collateral to the NY Fed
10 (2) 10% approximate return assuming at the end of 3-years, investor surrenders the collateral to the NY Fed
(3) 11% approximate return assuming at the end of 3-years, investor surrenders the collateral to the NY Fed
TALF 1.0: April Fundings Postmortem
In the second round of TALF-eligible ABS issuance, spreads appear to be holding prior levels, but investors
continue to be faced with the bond / loan benchmark mismatch issue. TALF loans were taken out on approximately
51% of the auto bonds and 91% of the credit card bonds
World Omni Auto Receivables Trust 2009-A
Balance Rating Fixed / Expected Principal TALF Deal Color
Tranche ($MM) Deal % (M / S ) WAL Floating Final Legal Final Window Spread Returns
y Transaction features high quality
A-1 $163 22% P-1 / A-1+ 0.31 Fixed 11/16/2009 4/15/2010 1-7 +30 N/A
Toyota collateral and 87% new
A-2 192 25% Aaa / AAA 0.97 Fixed 8/16/2010 10/17/2011 7-16 +170 2% receivables with a weighted
A-3 248 33% Aaa / AAA 1.97 Fixed 12/15/2011 5/15/2013 16-32 +185 9% average FICO of 743
A-4 147 20% Aaa / AAA 3.17 Fixed 2/15/2013 5/15/2014 32-46 +325 29% (1) y Levels are just wide of the March
Total $750 100% Nissan deal, and both TALF and
non-TALF investors participated
CarMax Auto Owner Trust 2009-1
Balance Rating Fixed / Expected Principal TALF Deal Color
Tranche ($MM) Deal % (M / S / F) WAL Floating Final Legal Final Window Spread Returns
A-1 $182 19% P-1 / A-1+ / F1+ 0.29 Fixed 12/15/2009 4/15/2010 1-8 +40 y Levels are in line with the Ford
N/A
TALF transaction
A-2 254 26% Aaa / AAA / AAA 0.97 Fixed 9/15/2010 11/15/2011 8-17 +215 10%
y Benchmark mismatch remains
A-3 260 26% Aaa / AAA / AAA 1.97 Fixed 5/16/2011 3/15/2013 17-25 +265 21%
primary concern for investors
A-4 144 15% Aaa / AAA / AAA 3.02 Fixed 9/17/2012 12/16/2013 25-41 +400 38% (2)
looking to gain leverage through
B 107 11% -- / A / -- TALF for 1-year and 2-year
C 34 3% -- / BBB /-- tranches
Total $980 100% y Levered investor participation
defined trade levels
Cabela’s Credit Card Master Note Trust 09-I y Last cashflow 4-5x subscribed
Balance Rating Fixed / Expected TALF
Tranche ($MM) Deal % (S / F / DBRS) WAL Floating Final Legal Final Spread Returns
A-1 $425 88% AAA / AAA / AAA 2.92 Floating 3/15/2012 3/16/2015 +200 19%
B 40 8% A / A+ / A
C 21 4% BBB / BBB+ / BBB Deal Color
Total $486 100% y Cabela’s priced the 2.92-year
prime credit card trade 25 bps
back of the March Citi TALF trade
World Financial Network Credit Card Master Note Trust 2009-A
y Both Cabela’s and World Financial
Balance Rating Fixed / Expected TALF
Tranche ($MM) Deal % (S / F / DBRS) WAL Floating Final Legal Final Spread Returns did not use Moody’s as a rating
agency since the company has
A-1 $560 79% AAA / AAA / AA 2.59 Fixed 11/15/2011 9/2015 +280 26% downgraded prior trades
M 27 4% AA / AA / AA
y World Financial required subprime
B 34 5% A / A+ / A credit card haircut
C 87 12% BBB / BBB / BBB
Total $709 100%

11 (1) -13% approximate return assuming investor receives no principal, and at the end of 3-years surrenders the collateral to the NY Fed
(2) 2% approximate return assuming investor receives no principal, and at the end of 3-years surrenders the collateral to the NY Fed
TALF: May Funding Postmortem
Harley Davidson Master Owner Trust 2009-1
Balance Rating Fixed / Expected Principal TALF
Tranche ($MM) Deal % (M / S ) WAL Floating Final Legal Final Window Spread Returns Deal Color
A-1 $111 22% P-1 / A-1+ 0.32 Fixed 12/16/2009 5/17/2010 1-7 y 30-40% cash buyers; even 3yr A-4
+ 30 N/A
viable for cash at 275 bps with
A-2 153 25% Aaa / AAA 0.99 Fixed 10/15/2010 5/15/2012 7-17 +150 8% little/no focus on walk away
A-3 176 33% Aaa / AAA 1.95 Fixed 11/15/2011 11/15/2013 17-30 +175 11% y 10-12x subscribed; but Issuer chose
A-4 60 20% Aaa / AAA 2.77 Fixed 5/15/2012 1/16/2017 30-36 +275 21% not to upsize
Total $500 100% y Higher enhancement than prior
trades
y Demonstrates return of cash risk
Volkswagen Auto Loan Trust 2009-A appetite and good technicals

Tranche Balance TALF


($MM) Rating Fixed / Expected Principal
Deal % (M / S ) WAL Floating Final Legal Final Window Spread Returns Deal Color
A-1 P-1 / A-1+ Fixed 12/15/2009 5/17/2010 1-7 y Appears that there is little focus on
$373 21% 0.29 +35 N/A
residual risk and walk away
A-2 489 28% Aaa / AAA 0.99 Fixed 10/15/2010 7/15/2011 7-17 +185 10%
y ~20% cash buyers; not viable without
A-3 774 44% Aaa / AAA 1.90 Fixed 8/15/2011 4/16/2012 17-27 +200 11% TALF
A-4 114 7% Aaa / AAA 2.18 Fixed 9/15/2011 3/17/2014 27-28 +300 17% y Tightened by 10-25 bps; 8-15x
Total $1,750 100% oversubscribed before tighter guidance
y Upsized to $1.75BN from $1BN
y A-4 was whispered at Int. Swaps+425
Honda Auto Receivables Owner Trust 2009-2 bps and priced at Int. Swaps+300 bps
and saw deepest investor demand
Balance Rating Fixed / Expected Principal TALF y Lease to loan concession was not very
Tranche
($MM) Deal % (S / F ) WAL Floating Final Legal Final Window Spread Returns large and TALF investors continue to
A-1 $351 23% A-1+ / F1+ 0.34 Fixed 1/15/2010 5/17/2010 1-7 +10 N/A reach for higher yieldy collateral
A-2 400 27% AAA / AAA 0.97 Fixed 9/15/2010 4/15/2011 7-16 +120 4% y Did not require floating rate tranches
A-3 520 35% AAA / AAA 1.95 Fixed 1/17/2012 1/15/2013 16-32 +135 6%
A-4 229 15% AAA / AAA 3.05 Fixed 7/16/2012 7/15/2015 32-39 +250 20%
Total $1,500 100% Deal Color
y Mostly cash buyers
y Trade was upsized
MMCA Mitsubishi Auto Trust 2009-A y No Moody’s rating
y 30-50 bps through USAA non-TALF
Balance Rating Fixed / Expected Principal TALF
Tranche y 50 bps through Nissan TALF trade
($MM) Deal % (M / S / F ) WAL Floating Final Legal Final Window Spread Returns
from March
A-1 $48 23% P-1 / A-1+ / F1+ 0.32 Fixed 1/15/2010 6/4/2010 1-8 +50 N/A
A-2 40 19% Aaa / AAA / AAA 0.97 Fixed 8/15/2010 9/15/2011 8-16 +225 22%
A-3 73 35% Aaa / AAA / AAA 1.97 Fixed 1/15/2012 3/15/2013 16-34 +250 24%
Deal Color
A-4 48 23% Aaa / AAA / AAA 3.34 Fixed 6/15/2013 11/16/2015 34-52 +425 43%
y None
Total $209 100%

612
TALF: May Funding Postmortem (cont’d)
CNH Equipment Trust 2009-B
Balance Rating Fixed / Expected Principal TALF Deal Color
Tranche y Upsized by ~$250MM
($MM) Deal % (M / S / F ) WAL Floating Final Legal Final Window Spread Returns
A-1 $217 22% P-1 / A-1+ / F1+ 0.29 Fixed 12/15/2009 6/4/2010 1-7 +25 N/A y A-4 ~200 bps better than non-
A-2 130 13% Aaa / AAA / AAA 0.77 Fixed 5/17/2010 5/16/2011 7-13 +145 7% TALF trade
A-3 Fixed 11/15/2011 3/15/2013 +165 10% y Tightened 15-60 bps better from
373 37% Aaa / AAA / AAA 1.71 13-32
guidance
A-4 281 28% Aaa / AAA / AAA 3.31 Fixed 3/15/2013 10/15/2014 32-49 +315 32%
y TALF investors congregated in A-4
Total $1,001 100%

GE Capital Credit Master Note Trust 2009-1


Balance Rating Fixed / TALF
Tranche ($MM) Deal % (M / S / F) WAL Floating Expected Final Legal Final Spread Returns Deal Color
A $1,000 100% Aaa / AAA / AAA 2.93 Floating 4/16/2012 4/15/2015 +210 16% y 2+x subscribed
Total $1,000 100% y Tightened 15 bps
y Mostly TALF buyers
y Not viable without TALF
Chase Issuance Trust 2009-2
Balance Rating Fixed / TALF Deal Color
Tranche ($MM) Deal % (M / S / F) WAL Floating Expected Final Legal Final Spread Returns y Largest TALF trade to date
A $5,000 100% Aaa / AAA / AAA 2.93 Floating 4/16/2012 4/15/2014 +155 11% y Highly concentrated buyers
Total $5,000 100%
y Mostly traditional ABS who levered
y Bonds were pre-placed

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