Talf Ppip V2
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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 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 $5,000
Deal % 100% 100%
Rating (M / S / F) Aaa / AAA / AAA
Deal Color y Largest TALF trade to date y Highly concentrated buyers y Mostly traditional ABS who levered y Bonds were pre-placed
Balance ($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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