Talf Ppip V2

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 Tranche A-1 A-2

Balance ($MM) $357 323

Deal % 24%

Rating (M / S / F) P-1 / A-1+ / F1+

WAL 0.32

Fixed / Floating Fixed

Expected Final 11/16/2009

Legal Final 4/15/2010

Principal Window 1-8

Spread +35

TALF Returns N/A

22%

Aaa / AAA / AAA

0.99

Fixed

7/15/2010

7/15/2011

8-16

+175

5%

A-3

493

33%

Aaa / AAA / AAA

1.98

Fixed

12/15/2011

2/15/2013

16-33

+180

9%

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

Total

$1,485

Deal Color y

Few TALF buyers (2 of 40) due to impact on IRRs from benchmark used for fixed-rate TALF loan pricing (3-year swap rate regardless of bond tenor)

y

Transaction priced well inside of initial price guidance due to large oversubscription (56x)

100%

Citibank Credit Card Issuance Trust 2009-A1 Deal Color Tranche A-1

Balance ($MM) $3,000

Rating (M / S / F) Aaa / AAA / AAA

WAL 2.97

Fixed / Floating Floating

Expected Final 3/15/2012

Legal Final 3/17/2014

Spread +175

TALF Returns 15%

y

Majority TALF buyers (99% by volume) who were largely traditional ABS investors

y

Pricing was half of secondary market spread to LIBOR and represented the lowest cost of funds for 3-year funding of the initial TALF trades

Ford Credit Auto Owner Trust 2009-A Tranche A-1

Balance ($MM) $775

Deal % 22%

Rating (M / S / F) P-1 / A-1+ / F1+

WAL 0.30

Fixed / Floating Fixed

Expected Final 11/16/2009

Legal Final 4/15/2010

Principal Window 1-8

Spread +50

TALF Returns N/A

A-2a

100

3%

Aaa / AAA / AAA

0.99

Fixed

7/15/2010

8/15/2011

8-16

+200

11%

A-2b

508

15%

Aaa / AAA / AAA

0.99

Floating

7/15/2010

8/15/2011

8-16

+200

19% 21%

A-3a

170

5%

Aaa / AAA / AAA

1.99

Fixed

1/15/2012

5/15/2013

16-34

+250

A-3b

910

26%

Aaa / AAA / AAA

1.99

Floating

1/15/2012

5/15/2013

16-34

+250

24%

A-4

491

14%

Aaa / AAA / AAA

3.31

Fixed

12/15/2012

5/15/2014

34-45

+425

49% (2)

Certificate

529

15%

NR

$3,483

100%

Total

Huntington Auto Trust 2009-1 Tranche A-1

Balance ($MM) $217

Deal % 23%

Rating (M / S) P-1 / A-1+

WAL 0.30

Fixed / Floating Fixed

Expected Final 11/16/2009

Legal Final 4/15/2010

Principal Window 1-8

Spread +55

TALF Returns N/A 15%

A-2

139

14%

Aaa / AAA

0.91

Fixed

5/17/2010

7/15/2011

8-14

+225

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

10

$963

100%

(1) -20% approximate return assuming at the end of 3-years, investor surrenders the collateral to the NY Fed (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

Deal Color y

Few TALF buyers (12 total with the 3-year all TALF buyers) due to impact on IRRs from benchmark used for fixed-rate TALF loan pricing (3-year swap rate regardless of bond tenor)

y

Transaction lagged due to late announcement

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 Tranche A-1 A-2 A-3 A-4 Total

Balance ($MM) $163 192 248 147 $750

Deal % 22% 25% 33% 20% 100%

Rating (M / S ) P-1 / A-1+ Aaa / AAA Aaa / AAA Aaa / AAA

WAL 0.31 0.97 1.97 3.17

Fixed / Floating Fixed Fixed Fixed Fixed

Expected Final 11/16/2009 8/16/2010 12/15/2011 2/15/2013

Fixed / Floating Fixed

Expected Final 12/15/2009

Legal Final 4/15/2010

Legal Final 4/15/2010 10/17/2011 5/15/2013 5/15/2014

Principal Window 1-7 7-16 16-32 32-46

TALF Returns N/A 2% 9% 29% (1)

Spread +30 +170 +185 +325

Deal Color y

Transaction features high quality Toyota collateral and 87% new receivables with a weighted average FICO of 743

y

Levels are just wide of the March Nissan deal, and both TALF and non-TALF investors participated

CarMax Auto Owner Trust 2009-1 Principal Window 1-8

TALF Returns

Balance ($MM) $182

Deal % 19%

Rating (M / S / F) P-1 / A-1+ / F1+

WAL 0.29

A-2

254

26%

Aaa / AAA / AAA

0.97

Fixed

9/15/2010

11/15/2011

8-17

+215

10%

A-3

260

26%

Aaa / AAA / AAA

1.97

Fixed

5/16/2011

3/15/2013

17-25

+265

21%

A-4

144

15%

Aaa / AAA / AAA

3.02

Fixed

9/17/2012

12/16/2013

25-41

+400

107 34 $980

11% 3% 100%

-- / A / --- / BBB /--

Tranche A-1

B C Total

Spread +40

N/A

38%

Cabela’s Credit Card Master Note Trust 09-I Tranche A-1 B C Total

Balance ($MM) $425

Deal % 88%

40 21 $486

8% 4% 100%

Rating (S / F / DBRS) AAA / AAA / AAA

WAL 2.92

Fixed / Floating Floating

Expected Final 3/15/2012

Legal Final 3/16/2015

Spread +200

M B C Total 11

Balance ($MM) $560

Deal % 79%

27 34 87 $709

4% 5% 12% 100%

Levels are in line with the Ford TALF transaction

y

Benchmark mismatch remains primary concern for investors looking to gain leverage through TALF for 1-year and 2-year tranches

y

Levered investor participation defined trade levels

y

Last cashflow 4-5x subscribed

(2)

19%

A / A+ / A BBB / BBB+ / BBB

Rating (S / F / DBRS) AAA / AAA / AA

y

TALF Returns

Deal Color

World Financial Network Credit Card Master Note Trust 2009-A Tranche A-1

Deal Color

WAL 2.59

Fixed / Floating Fixed

Expected Final 11/15/2011

Legal Final 9/2015

AA / AA / AA A / A+ / A BBB / BBB / BBB

(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

Spread +280

TALF Returns

y

Cabela’s priced the 2.92-year prime credit card trade 25 bps back of the March Citi TALF trade

y

Both Cabela’s and World Financial did not use Moody’s as a rating agency since the company has downgraded prior trades

y

World Financial required subprime credit card haircut

26%

TALF: May Funding Postmortem Harley Davidson Master Owner Trust 2009-1 Tranche A-1 A-2 A-3 A-4 Total

Balance ($MM) $111 153 176 60 $500

Deal % 22% 25% 33% 20% 100%

Rating (M / S ) P-1 / A-1+ Aaa / AAA Aaa / AAA Aaa / AAA

WAL 0.32 0.99 1.95 2.77

Fixed / Floating Fixed Fixed Fixed Fixed

Expected Final 12/16/2009 10/15/2010 11/15/2011 5/15/2012

Legal Final 5/17/2010 5/15/2012 11/15/2013 1/16/2017

Principal Window 1-7 7-17 17-30 30-36

WAL 0.29 0.99 1.90 2.18

Fixed / Floating Fixed Fixed Fixed Fixed

Expected Final 12/15/2009 10/15/2010 8/15/2011 9/15/2011

Legal Final 5/17/2010 7/15/2011 4/16/2012 3/17/2014

Principal Window 1-7 7-17 17-27 27-28

Spread +35 +185 +200 +300

TALF Returns N/A 10% 11% 17%

Fixed / Floating Fixed Fixed Fixed Fixed

Expected Final 1/15/2010 9/15/2010 1/17/2012 7/16/2012

Legal Final 5/17/2010 4/15/2011 1/15/2013 7/15/2015

Principal Window 1-7 7-16 16-32 32-39

Spread +10 +120 +135 +250

TALF Returns N/A 4% 6% 20%

Spread + 30 +150 +175 +275

TALF Returns N/A 8% 11% 21%

Volkswagen Auto Loan Trust 2009-A Tranche A-1 A-2 A-3 A-4 Total

Balance ($MM) $373 489 774 114 $1,750

Deal % 21% 28% 44% 7% 100%

Rating (M / S ) P-1 / A-1+ Aaa / AAA Aaa / AAA Aaa / AAA

Honda Auto Receivables Owner Trust 2009-2 Tranche A-1 A-2 A-3 A-4 Total

Balance ($MM) $351 400 520 229 $1,500

Deal % 23% 27% 35% 15% 100%

Rating (S / F ) A-1+ / F1+ AAA / AAA AAA / AAA AAA / AAA

WAL 0.34 0.97 1.95 3.05

MMCA Mitsubishi Auto Trust 2009-A Tranche A-1 A-2 A-3 A-4 Total

612

Balance ($MM) $48 40 73 48 $209

Deal % 23% 19% 35% 23% 100%

Rating (M / S / F ) P-1 / A-1+ / F1+ Aaa / AAA / AAA Aaa / AAA / AAA Aaa / AAA / AAA

WAL 0.32 0.97 1.97 3.34

Fixed / Floating Fixed Fixed Fixed Fixed

Expected Final 1/15/2010 8/15/2010 1/15/2012 6/15/2013

Legal Final 6/4/2010 9/15/2011 3/15/2013 11/16/2015

Principal Window 1-8 8-16 16-34 34-52

Spread +50 +225 +250 +425

TALF Returns N/A 22% 24% 43%

Deal Color y 30-40% cash buyers; even 3yr A-4 viable for cash at 275 bps with little/no focus on walk away y 10-12x subscribed; but Issuer chose not to upsize y Higher enhancement than prior trades y Demonstrates return of cash risk appetite and good technicals Deal Color y Appears that there is little focus on residual risk and walk away y ~20% cash buyers; not viable without TALF y Tightened by 10-25 bps; 8-15x oversubscribed before tighter guidance y Upsized to $1.75BN from $1BN y A-4 was whispered at Int. Swaps+425 bps and priced at Int. Swaps+300 bps and saw deepest investor demand y Lease to loan concession was not very large and TALF investors continue to reach for higher yieldy collateral y Did not require floating rate tranches

Deal Color y Mostly cash buyers y Trade was upsized y No Moody’s rating y 30-50 bps through USAA non-TALF y 50 bps through Nissan TALF trade from March

Deal Color y None

TALF: May Funding Postmortem (cont’d) CNH Equipment Trust 2009-B Tranche A-1 A-2 A-3 A-4 Total

Balance ($MM) $217 130 373 281 $1,001

Deal % 22% 13% 37% 28% 100%

Rating (M / S / F ) P-1 / A-1+ / F1+ Aaa / AAA / AAA Aaa / AAA / AAA Aaa / AAA / AAA

WAL 0.29 0.77 1.71 3.31

Fixed / Floating Fixed Fixed Fixed Fixed

Expected Final 12/15/2009 5/17/2010 11/15/2011 3/15/2013

Legal Final 6/4/2010 5/16/2011 3/15/2013 10/15/2014

Principal Window 1-7 7-13 13-32 32-49

Spread +25 +145 +165 +315

TALF Returns N/A 7% 10% 32%

Deal Color y Upsized by ~$250MM y A-4 ~200 bps better than nonTALF trade y Tightened 15-60 bps better from guidance y TALF investors congregated in A-4

GE Capital Credit Master Note Trust 2009-1 Tranche A Total

Balance ($MM) $1,000 $1,000

Deal % 100% 100%

Rating (M / S / F) Aaa / AAA / AAA

WAL 2.93

Fixed / Floating Floating

Expected Final 4/16/2012

Legal Final 4/15/2015

Spread +210

TALF Returns 16%

WAL 2.93

Fixed / Floating Floating

Expected Final 4/16/2012

Legal Final 4/15/2014

Spread +155

TALF Returns 11%

Deal Color y 2+x subscribed y Tightened 15 bps y Mostly TALF buyers y Not viable without TALF

Chase Issuance Trust 2009-2 Tranche A Total

713

Balance ($MM) $5,000 $5,000

Deal % 100% 100%

Rating (M / S / F) Aaa / AAA / AAA

Deal Color y Largest TALF trade to date y Highly concentrated buyers y Mostly traditional ABS who levered y Bonds were pre-placed

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