gpe talf am services 03 09 v1.4

ABS Asset Evaluation & Purchases in TALFForming A TALF Fund

Advised by GPE

March 20, 2009

Globalprivatequity.com, Inc.

www.gpe-inc.com

http://www.gpe-inc.com/

Globalprivatequity.com, Inc. All Rights Reserved 2006-2009 2

GPE: This Is Who We Are

‘GPE’ (Globalprivatequity.com, Inc. ) is a financial data services and technology company offering on demand fair value pricing and data solutions for structured and illiquid fixed income assets to high quality concerned, select professional Level 2 data users.

GPE offers asset selection and advisory services for TALF asset purchases for asset management programs using our iFVS® proprietary models & algorithms

Our Independent Fair Value Services (iFVS®) offers solutions for asset price valuation support for asset-backed securities (ABS), mortgage-backed securities (MBS), loans, corporate debt, distressed debt, and all structured credit products.

GPE emphasizes modeling techniques and unique algorithms running through our core proprietary technology Financial Business Intelligent System (FBIS™) server network.


Management Bios

Douglas Miles, Founder, Chairman & CEO: Over 20-year Wall Street investment banking career, Mr. Miles has held senior positions at Merrill Lynch Capital Markets, Deutsche Morgan Grenfell, and Kleinwort Benson

William Santangelo: Asset Financing Director & Federal Reserve Bank Liaison: Mr. Santangelo leverages over 40 years of practical experience in fixed income trade financing, administration and operations management to assist clients in managing capital and resources. He recently concluded a two year term on the US Treasury Market Practices Group.

William Kister, Operations Director: Mr. Kister possesses a 25 year plus Wall St. operations career specializing in fixed income derivative and structured financial products operations and client support at Citigroup, JPMorgan Chase, and Merrill Lynch Capital Services.


Management Bios(2)

Gary Mitchell, Senior ABS Valuation Analyst: Mr. Mitchell is a 10 year veteran analytics professional and price modeling engineer specializing in all segments and aspects of ABS and MBS products. Bank One and Cambridge Partners are among his prior employers. He has modeled pricing of hundreds of complex fixed income and ABS products.

Jake Ginder, Chief Data Officer: Mr. Ginder is an experienced entrepreneur with strong business development and operations management skills in technology, healthcare, and logistics

Stephen L'Heureux, ABS & Structured Finance Solutions Manager: Mr. L’Heureux is co-founder of Chatham Analytics and Chatham Research and Proprietor of Zealand Mortgage Technologies. He possesses over 16 years or both trading and valuation modeling in the entire ABS & MBS sector.


TALF Primer & Essentials TALF is intended to assist credit markets

in accommodating credit needs of consumers and small businesses by facilitating issuance of asset-backed securities (ABS) and improving market conditions for ABS products

Under TALF the Federal Reserve Bank of New York (“FRBNY”) may lend up to $1 trillion & will provide 3-year non-recourse/non-MTM loans to eligible buyers of AAA-rated ABS backed by newly originated consumer and small business loans

The FRBNY has announced that it plans to expand TALF to include additional asset classes. Previous programs aimed at providing relief to financial institutions -- this facility is targeted at providing credit to investors


TALF Primer & Essentials (2)

TALF presents a significant investment opportunity for many investor types The FRBNY released the program terms including haircuts and funding costs on February 6, 2009 and launched TALF on March 3, 2009

Haircuts range from 5% - 16% based on the asset type and the average-life of the ABS Funding costs will initially be 1MLIBOR + 50-100 bps for floating rate loans and 3Y Swaps + 50-100 bps for fixed rate loans

Subscription for the first TALF loan was completed on March 19, 2009 and it will fund on March 25, 2009


Consumer Finance – Dearth of $

US markets are operating at a fraction of the credit available over the last decade for major to purchases like autos, college tuition, & credit card purchases.


Understanding the Need for

Asset Selection & Fair Value Analysis Guidance in new issue TALF purchases …

Fair valuation due diligence under the new TALF program is not merely a post trade phenomenon, it becomes an essential pre-trade or pre-purchase discipline in this complex asset class:

Clients desiring manager guidance & advice have approached GPE seeking ASSET SELECTION advisory agreements.


Investment Steps – Auto Loans

The auto sector offers one of the preferred sectors with the added defense of AAA tranche ratings with FICO scores of 680 or higher and 30 day + delinquency is historically 1.5 to 2.2%.

Here are the six steps involved in the purchase decision for a TALF eligible security of pooled auto finance loans.


Key Business Process STEPS in Creating a TALF Fund

1. Form Investment Mgt. & Valuation Policy

TALF Target Asset Groups or Asset Allocation for Three

Year or More Term

2. GPE Review Process iFVS® Team

for ABSProduct Evaluation ofAll Target Investments

3. GPEOn-Going Monitoringof Risk & Performance

in Asset Portfolio & Identification of DirectAsset Acquisition Paths


Investment Step 1a. – Auto Loan (example)

GPE & AM review eligible Auto Credit Issuer loan collateral on offer:

EXAMPLE : FORD O 2008-A A3A maturity of 15-Oct-2011 fixed rate deal at a price of 97.00 yielding 6.30%

Funding cost is 3.06% with haircut of 7% offering levered return of 49.35% over WAL of 1.39 yrs.

Loan amount begins at $453,184,000 – controlled with $31,722,880 investment yielding a net positive C/F of $33,519,920 including received at maturity of $8,287,973.99

See Stress Test Scenarios – Appendix 1.


Investment Step 1b. – Auto Loan (example)

GPE & AM review eligible Auto Credit Issuer loan collateral on offer:

EXAMPLE : CARAT 2008-2 A2B maturity of 15-May-2010 floating rate deal at a price of 98.50 yielding 4.30%

Funding cost is 1.60% (Li +105) with haircut of 6% offering levered return of 46.60% over WAL of 0.55 yrs.

Loan amount begins at $335,151,083 – controlled with $19,907,429 investment yielding a net positive C/F of $5,099,008.00 including int. received of $71,742.22


Investment Step 2. – Auto Loan (example)

GPE runs Intex analysis on current assumptions and create fair value for target CUSIP Compare to current relevant &

comparable secondary market prices of like assets or like sectors

Confirm & normalize data & fair value results on all assets reviewed



GPE Asset Selection Committee reviews results and recommends purchase of target CUSIP Returns report to

analyst/strategist and AM for review

Denotes whether asset is of future interest at different price and/or reason for rejection of asset proposed



Transaction Management will review all documentation to insure compliance with all TALF

requirements.



Once approved by GPE Selection Committee, AM executes purchase order at Primary Broker/Dealer account

AM receives purchase confirm with financing details from Primary Broker/Dealer at designated order execution price and position is entered into record of FRBNY at their custodian or financial agent.



At AM level, perform on-going independent operations and financial oversight of Prime Broker’s administration of TALF asset & financing positions. Ensure effective controls are in place.

On date of settlement, confirm recording of TALF transaction & agree to final order execution & settlement reflected in FRBNY’s custodian reports

Reconcile all AM general ledger accounts and financial statements to Prime Broker subsidiary records, bank accounts, and custodial statements.


The Fair Value Process


Plan Steps for a TALF Fund

1. Review & execute GPE advisory engagement agreement 2. Create SPV Investment Co. (optional)3. Create Year One operating budget (optional)4. Create appropriate legal structure and staff (optional)5. Open necessary banking, custody, and prime brokerage

accts. 6. Review & execute all necessary TALF documentation and

agreements


Appendix 1.– Stress TestGPETALF Advisory ProgramFORD O 2008-A A3A Stress Scenarios

BaselinesScenario 1

(2007)Scenario 2(Baseline -

Current state)

Scenario 3 Scenario 4 Scenario 5 Scenario 6

Average Unemployment Rate 5.00% 8.00% 10.00% 20.00% 23.00% 30.00%

Gross Pool Default Rate 4.00% 9.00% 11.00% 25.40% 29.00% 38.00%

Cumulative Pool Loss 2.40% 5.40% 6.60% 15.24% 17.40% 22.80%

Bond Writedown Percentage 0.00% 0.00% 0.00% 0.54% 5.12% 22.74%

Investor Principal Loss (Haircut of 7%) 0.00% 0.00% 0.00% 7.71% 73.14% 100.00%

Definitions:Average Unemployment Rate - unemployment rate during the first three years of the loanGross Pool Default Rate - percentage of the loan pool by balance that defaults during the lives of the underlying loansCumulative Pool Loss - percentage of the loan pool by balance that is written off net of recoveriesBond Writedown Percentage - percentage of the bond's principal that is not returned to bondholdersInvestor Principal Loss (Haircut of 7%) - percentage of investor's haircut lost as a result of a writedown on the underlying bond


Independent Fair Value & Asset Selection Services

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Economy & Finance

talf asset purchases

abs asset evaluation

issuance of asset

asset type

abs products

talf primer essentials

launched talf

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