Meeting Between Staff of the Federal Reserve Board, the Office of the Comptroller of the Currency, the Federal Deposit Insurance Corporation, and Representatives of the American Forum February 12, 2013

Participants: David Emmel, April Snyder, Dafina Stewart (Federal Reserve Board) FDIC and OCC staff

Scott Stengel, Stewart Cutler, Reginald Imamura, Debbie Toennies, Eric Wise, and Tom Deutsch (American Securitization Forum)

Summary: Staff of the Federal Reserve Board, Federal Deposit Insurance Corporation, and the Office of the Comptroller of the Currency met with Scott Stengel and other representatives of the American Securitization Forum to discuss implementation of the Basel III liquidity standards in the United States, including the treatment of securitized financing facilities and residential mortgage backed securities. A copy of the handout provided by the American Securitization Forum representatives is attached. Logo of American Securitization Forum

ASF Proposal for Treatment of Securitization Exposures in the Liquidity Coverage Ratio

FEBRUARY 12,2013 ASF Proposal for Treatment of Securitization Exposures in the Liquidity Coverage Ratio

Look-Through Approach for Committed or Conditionally Revocable Facilities in Qualifying Bank Customer Proposal: Look-Through Approach for Committed or Conditionally Revocable Facilities in Qualifying Bank Customer Securitizations

Adopt a look-through approach for committed or conditionally revocable facilities in Qualifying Bank Customer Securitizations ("QBCS")

Ensures internationally consistent treatment in the LCR for facilities to the same type of bank client and enables banks to continue to supply reasonably priced committed credit and liquidity facilities to real-economy businesses For QBCS (as defined in Appendix IV), look through to the bank client entity to determine the drawdown rate QBCS Non-Financial Corporate committed facilities - 10% drawdown treatment QBCS Financial Institutions committed facilities - 40% drawdown treatment

Under this approach, QBCS would receive the same drawdown treatment as other committed facilities

Heading row column 1 Entity Type column 2:Guidance Ref LCREntitycolumn Drawdown:5% Type:Retail 3:LCR Drawdown and Proposed Small column Business LCR 4:Proposed Drawdown:5% Guidance LCR Ref:131a. Drawdown end heading row EntityLCR Drawdown:10% Type:BanksType:Non-Financial subject Proposed toCorporates Prudential LCR Drawdown:10% Guidance Supervision Ref:131b. LCREntityProposedGuidance Drawdown:40% Type:Other LCRRef:13 Drawdown:40% Id. Financial LCR Proposed Drawdown:40% Institutions LCR Drawdown:40% Guidance Ref:13 le. EntityLCR Drawdown:100% Type:QBCSType:Other Legal Non-Financial Proposed Entities GuidanceLCR Corporates Drawdown:100% Ref:131g ProposedEntity Type:QBCS LCR Drawdown:40%Drawdown:10% Financial Institutions Proposal: Look-Through Approach for Committed or Conditionally Revocable Facilities in Qualifying Bank Customer Securitizations

Rationale Customer-sponsored securitizations and other forms of bank client commitments should receive uniform treatment under the LCR guidelines Data provided by the ASF (Appendix III) support this conclusion The significance of customer-sponsored securitizations has rightly prompted separate look-through treatment, to the underlying servicer, bank client, in the current draft of CRD IV (Appendix I) Paramount to acknowledge in the United States, where debtor-friendly bankruptcy laws compel the use of Special Purpose Entities ("SPEs") to mitigate (Appendix II)

Use of a conservatively tailored definition, QBCS, would ensure that the look-through approach cannot be abused Overly complex securitizations that contributed to the recent financial crises would not meet the definition of qualifying bank customer securitizations

Combined cost of the LCR will be significant for securitized financing - Cost for acquisition and regulatory capital on the HQLAs In developing and managing their financing plans, the treasurers of companies driving the real economy rely on committed credit and liquidity facilities from banks.

Real economy fueled by credit extended in the ordinary course Standard Corporate Revolver of consumer and commercial business Includes sale of machinery, use of autos loans, and use of credit cards Banking Organization interact with U.S. Corporations, captive-finance companies, and financial- AutomotiveU.S.Engine Automotive & Machinery Captive Company;U.S. Finance(Auto Company(Trade Loans); Receivables); SMEs,AllU.S. companies Regional and Large Bank(Credit-Cardabove Corporations. interact with Receivables). Consumers, services providers that extend credit rely on banks for financing through committed unsecured, secured, or securitized facilities

Unsecured and secured financing exposes banks to bankruptcy and general of the bank client (e.g. corporation, captive-finance company, or financial-services counterparty) For this risk, banks (1) prudently provide smaller commitments and (2) require higher pricing Securitized financing facilities, in contrast, enable banks to expand credit availability and lower pricing.

Securitized financing improves a bank's risk profile through the Comparison - Securitized Financing vs. use of a bankruptcy remote SPE Corporate Revolver - Enables banks to provide larger credit limits and charge lower rates and fees - benefitting clients and the real economy SecuritizedFinancingBanking Organization and Financing Non-Securitized interactinclude withSecuritized Financing. U.S. fromIsolatesEngine the &the client's Machinery underlying bankruptcy SPE(Benefits assets and (e.g. credit receivables) of using risk an SPE (aSecuritized first loss exposurefinancing retainedrequires byovercollateralization the borrower) supportavailableExcess receivablesthe borrowing client's financingare base required to needs to provide the poolgeneratedObligations of receivables from are collectionsrepaid that by exceed the on cashflows a thediversified Receivables);Consumers,U.S.amount Engine financed.)(Trade & Machinery Receivables); SMEs, Company(Trade and Large Corporations. Consumers,MachineryNon-Securitized Company(Trade SMEs, Financing.U.S. and Large Receivables); Corporations. Engine &

As currently written, the LCR treatment for securitized financing has negative implications - Creates incentives for banks to engage in higher risk lending even when the opportunity to provide securitized financing is available - Contradicts policy objectives of broader financial system safety and soundness The essential features that set securitized financing facilities apart also lessen their .

Working capital needs, not the structure of the transaction, Comparison - Securitized Financing vs. drive usage decisions in unsecured, secured, and securitized Corporate Revolver client facilities

FinancingBanking Organization and Non-Securitized include Securitized Financing. U.S.EngineSecuritized Engine & Machinery Financing & Machinery SPE(Trade interact Company(Draw with Receivables); U.S. constraints Customer draws on securitized financing facilities are assetsandBorrowing otherwise owned base by unencumbered) -the pool customer's of eligible receivables (performing and other lossRequiredSPE positionestablishes overcollateralization/first - limits a limit the on available draws availablee.g.borrowing in a securitized amount amount of to financingthe the borrowing bank the client constrained during periods of liquidity stress or economic borrowingdoesis a percentage not equal for a aof dollardollar receivables ofof receivables - InReceivablesneedsWorking an economicof thecapital arebank downturn, generatedand client other dictate throughfinancingslowing draw business decisions sales shock Receivables);Consumers,tosales support generate funding fewer - furtherreceivables SMEs, constraining and Large availability(Trade Corporations. Consumers,MachineryNon-Securitized Company(Trade SMEs, Financing.U.S. and Large Receivables); Corporations. Engine & American SECURITIZATION In circumstances where the Borrower Decision-Maker is the same entity, ===== FORUIYT there is a clear asymmetry in the LCR with regard to drawdown rates.

Example to the right demonstrates the asymmetric treatment for client-treasurerScenario:BorrowerScenario:UnfundedScenario:BorrowedScenario:Commitment Decision-MakerAmount $100MM $75MM$25MM Bank securitized financing relative to an unsecured revolver with the same bank client Current LCR required drawdown for facilities with an SPE increases columnHeading 2:Unsecured row column Revolver1 Non-Financial Corporate SecuritizedUnsecuredNon-FinancialFinancingcolumn 3:Securitized end Revolver:BankFinancing:Bank headingCorporate:Borrower row Client Client's by: SecuritizedPrecedentNon-Financial to Financing:F.ligibleFinancing:SPE Unsecured Corporate:Conditions Revolver:None Assets Non-FinancialSecuritized Financing:(Borrowing Corporate:Corporate:Borrow Base) $67.5MM for Non-Financial Corporates securitization.(FootnoteAvailable Borrowing1. Required End footnote.) Base to borrow under AvailableNon-FinancialSecuritizedUnsecured Borrowing Revolver:N/AFinancing:$25MM Corporate: Capacity Non-FinancialMMUnsecured Securitized Revolver:$75 Current Financing:$0 LCR Drawdown (para. 131) $45MM for Financial Institutions Non-Financial7.5MMUnsecured Securitized Revolver:10%=$ Corporate:Proposed Financing:100% LCR =$75MM Financing:10%Revolver:10%Drawdown Look-Through =$7.5 =$7.5 MM M SecuritizedApproach Unsecured The SPE does not change the borrower decision maker and does not impact the client's liquidity needs No change to the client's working capital needs Improves the overall credit quality of a bank's committed facility Proposed look-through approach applies LCR treatment more consistently for the same type of bank client Heading row column 1 Financial Institution SecuritizedUnsecuredFinancialcolumn 3:Securitized2:Unsecured Institution:Borrower Revolver:BankFinancing:Bank RevolverFinancing Client Client's end heading row SecuritizedUnsecuredFinancial Institution:Conditions Revolver:NoneFinancing:EligibleFinancing:SPE Assets, Precedent to Base(Footnote1.FinancialSecuritized Institution:AvailableInstitution:Borrow Financing:(Borrowing Required to borrow Borrowing Base) under Language effecting this look-through approach for committed and FinancialUnsecuredsecuritization. Institution:Available Revolver:N/A End footnote.) Securitized Borrowing Financing:S25MM Capacity FinancialUnsecured Institution:Current Revolver:S75MM LCR Securitized Drawdown Financing:$0' FinancialSecuritized(para. 131) Institution:Proposed UnsecuredFinancing:100% Revolver:40% =$75MMj| LCR Drawdown =$30MM conditionally revocable credit and liquidity facilities could be as simple SecuritizedUnsecuredLook-Through Revolver:40%Financing:40% Approach- =S30MM =S30MM as the following: "In a qualifying bank customer securitization, the banking organization should assume the drawdown percentage that would be applicable if the facility were provided directly to the customer" ASF Proposal for Treatment of Securitization Exposures in the Liquidity Coverage Ratio

Agency and Non-Agency Mortgage-Backed Securities as High-Quality Liquid Assets Agency RMBS

Under the Basel LCR released on January 7, 2013, Fannie Mae ("FNMA") and Freddie Mac ("FHLMC") securities, which receive a risk weight for capital purposes of 20%, fail to qualify as a Level One High Quality Liquid Assets ("HQLA"). Instead these securities will qualify as Level 2A assets which will result in an overall limitation in their inclusion as follows: • Total HQLA may include no more than 40% (when combined with all other Level 2 Assets) for these assets. • In addition, due to the limitation on Level 2 Assets, banks will be required to haircut values for these securities by 15% prior to calculating these caps. This will have a significant impact on bank's desire to own these securities especially when combined with the proposed treatment of AOCI where banks will be subject to capital risk as a result of owning these securities. There are a total of $2.4 Bin FNMA and $ 1.4 Bin FHLMC securities currently outstanding in the market of which currently 15-20% is held by banks with most of these securities held in the Available-for-sale classification. Private Label RMBS LCR Eligibility

Under Basel LCR released on January 7, 2013, "Higher Quality" private label MBS can count against short- term liabilities, but NOT MBS backed by ANY mortgage loans that do have full legal recourse back to the borrower.

12 US States do not allow mortgage loan recourse back to the borrower

LCR also requires AA credit rating or above for eligibility of private label RMBS as HQLA.

Credit ratings or other measures of credit worthiness appropriately account for non-recourse & severities without separate recourse requirement above credit worthiness requirement. 2012 Private Label RMBS Deals-Totals App. US $3.5 Billion

Redwood SEMT 2012-1 $420,354,886.38

SEMT 2012-2 $329,546,692.09

SEMT 2012-3 $294,579,853.47

SEMT 2012-4 $315,334,199.16

SEMT 2012-5 $321,521,985.00

SEMT 2012-6 $301,969,084.00

Credit Suisse MC 2012 CIM1 $753,860,776.43

CSMC 2012-CIM2 $429,895,338.95

CSMC 2012-CIM 3 $331,677,448.67 Non-Recourse Mortgage States

US States with non-recourse mortgage loan laws and the percentage of the aggregate principal balance of Redwood SEMT 2012-6 pool: Alaska - 0% Arizona - 0% California - 44.90% Connecticut - 0.64% Idaho - 0% Minnesota - 0.26% North Carolina - 1.47% North Dakota - 0% Oregon - 0.75% Texas-10.74% Utah - 0.35% Washington - 6.24%

Total % of principal balance of pool in non-recourse states: 65.35% ASF Proposal for Treatment of Securitization Exposures in the Liquidity Coverage Ratio

Appendix I Look-through Language of CRD IV Securitized financing facilities do not appear to have been specifically considered in the LCR. But their significance has rightly prompted separate look-through treatment in the current draft of CRD IV.

We are not aware of the BCBS having considered customer-sponsored securitizations in Securitized Financing finalizing the LCR.

Entities with a "special purpose" are discussed indiscriminately and at times inconsistently: e.g., 1109 uses special purpose vehicle and conduit individually; Banking Organization include U.S. U.S.(TradeEngine Engine Receivables);& Machinery & Machinery SPE 125 uses special purpose vehicle, conduit, and structured investment vehicle as LargeConsumers,Company(Trade Corporations. SMEs, Receivables); and examples of a special purpose entity; 129 uses special purpose entity and conduit as examples of a special purpose funding vehicle; ^f 131(g) uses special purpose entity, conduit, and special purpose vehicle individually; and Annex 4 uses "ABCP, SIVs, conduits, SPVs, etc."

It is for this reason, we believe, that a look-through approach is found in the European Union's current draft of CRD IV: "The committed amount of a liquidity facility that has been provided to an SSPE for the purpose of enabling such SSPE to purchase assets other than securities from clients that are not financial customers shall be multiplied by 10% to the extent that it exceeds the amount of assets currently purchased from clients and where the maximum amount that can be drawn is contractually limited to the amount of assets currently purchased." (Article 412(3a).)

With the revised LCR now specifying a 40% drawdown for banks subject to prudential supervision, it would be reasonable to expect that this look-through approach will be expanded accordingly. ASF Proposal for Treatment of Securitization Exposures in the Liquidity Coverage Ratio

Appendix II Bankruptcy Law References The need to distinguish securitized financing facilities in the LCR is even more paramount in the United States, where debtor-friendly bankruptcy laws compel the use of special purpose entities to mitigate risk.

The need for a look-through approach is especially acute in the United States.

Despite recent changes to the insolvency laws of some European jurisdictions to facilitate the rescue of troubled companies, the U.S. Bankruptcy Code is still by far the most debtor-friendly. (See, e.g., Marco Polo Seatrade (Netherlands), Banking Organization include U.S. U.S.(TradeEngine Engine Receivables);& Machinery & Machinery SPE Almatis (Germany/Netherlands), Yukos Oil (Russia), and Lyondell LargeConsumers,Company(Trade Corporations. SMEs, Receivables); and (Netherlands).)

"In some jurisdictions it may be possible to achieve the goal of isolating the assets from the insolvency risk of an originator by structuring transactions using secured loans (first-priority perfected security interest) as opposed to a true sale of assets." S&P EUROPEAN LEGAL CRITERIA FOR STRUCTURED FINANCE TRANSACTIONS § 4.4 (2008).

For a banking organization operating in the United States, a customer-sponsored special purpose entity is usually the only viable means of reducing the risk profile presented by its customer and, in that way, supplying more available credit with lower pricing. ASF Proposal for Treatment of Securitization Exposures in the Liquidity Coverage Ratio

Appendix III Look-Through Consistent With Quantitative Analysis This reduced liquidity risk is borne out in analyses of data taken from before, during, and after the recent financial crises.

Such a look-through approach is consistent as well with our quantitative findings, which Securitized Financing also were presented last year, that actual surges in draws in customer-sponsored securitizations were limited even during the recent crises.

Based on our analyses of data supplied by 12 North American and European Banking Organization include U.S. U.S.(TradeEngine Engine Receivables);& Machinery & Machinery SPE banks that sponsored ABCP conduits between January 2005 and December LargeConsumers,Company(Trade Corporations. SMEs, Receivables); and 2010, we found that the aggregate monthly change in customer usage as a percentage of total commitments never exceeded 3.84% (August 2007).

Based on this same data, we discovered that the monthly change in usage as a percentage of total commitments never exceeded 4.63% for financial-institution customer sponsors (December 2006) and 4.39% for non-financial customer sponsors (September 2006).

Our analyses also highlighted the idiosyncratic (non-systemic) nature of usage in customer-sponsored securitizations.

Dividing 3.84% by 31.32% (the average unused percentage of total commitments in the data set) yields a draw-down of 12.26% at the worst of the crises. This limited risk of a surge in draws is borne out by our analysis of the aggregate change in customer usage of committed ABCP facilities.

Based on data supplied by 12 North American and European banks that sponsored ABCP conduits between January 2005 and December 2010, we found that the aggregate change in customer usage as a percentage of total commitments - even during periods of significant liquidity stress - never exceeded 3.84% (August 2007).

AggregateLineLCR chart.Minimum beginsIn percent. Liquidity at about Date Buffer. negative range is 1 1/1/05-12/1/10. percent. From 2/1/05 to 7/1/07 it fluctuates between BearAggregateabout Stearns 4 percent Maximum in 3/1/08and about occurred at about negative during2.5 percent.2.5 Mortgage percent. Panic in 8/1/07 at about 4 percent. Dodd-FrankChryslerFannie, Freddie, in 4/1/09 in 7/1/10 Lehman, at about at about et 2 al.percent. 0 in percent. 9/1/08 atSeries about ends 2 percent. at about 2 percent. We also found no meaningful variance in the risk of a surge in draws when separating out customer-sponsor types.

Based on this same data, we found that the change in usage was not volatile and did not meaningfully vary by the type of customer-sponsor. The change in usage as a percentage of total commitments never exceeded 4.63% for financial institutions (December 2006) and 4.39% for non-financial corporate entities (September 2006).

InLCR prcent. Minimum Date rangeLiquidity is 1/1/05-12/1/10.Line Buffer. chart with two lines aboutFromFinancial(Financial 2/1/053 percent Institutions Institutions to 8/1/06and about begins andit fluctuates negativeNon-Financial at about between2 percent.negative Corporate 1 percent. Entities) MortgageFINon-FI Maximum Maximum Panic in 12/1/06in in8/1/07 9/1/06 at at about aboutat about 5 4.9percent. 0 percent. percent. ChryslerFannie,Bear Stearns Freddie, in 4/1/09 in 3/1/08 Lehman, at about at about et negative al. 2.5in 9/1/08 percent. 2.5 percent. at about 3 percent. SeriesDodd-FrankGM in ends6/1/09 at in atabout 7/1/10 about 4 percent.at3 percent.about negative 2 percent. Non-FIaboutFromNon-Financial 2/1/053 Maximumpercent to Corporate 8/1/06and in about 9/1/06 it fluctuates Entities negative at about begins between3.5 5 percent.percent. at about 0 percent. BearMortgageFI Maximum Stearns Panic inin 3/1/0812/1/06in 8/1/07 at atabout at about about 2.5 1 2.5percent. percent. ChryslerinFannie, 9/1/08 Freddie, inat 4/1/09about Lehman, negative at about et 1negative al.percent. 0.5 percent. SeriesDodd-FrankGM in ends6/1/09 at in atabout 7/1/10 about negative at0 percent.about 1 0.5percent. percent. Client draw activity is uncorrected across time and not associated with market pressures.

In order to utilize capacity under conduit commitments, clients must source and deliver assets subject to borrowing base calculations.

In times of market stress, clients are not likely to draw more than in normal markets.

As a result, draws are uncorrected or negatively correlated to market stress conditions.

Borrower Draw as a % of Unused Commitments InFinancialDate Apr range 05 crisisseries is Jun line at 05- about chart Oct 30.00 begins10.Month percent; at about Over 0.00Month percent. % Change. In JanOctJul 05 0605 series seriesseries at atat about aboutabout negative negativenegative 20 25125 percent;percent; percent; In OctJulApr 06 0606 series seriesseries at atat about aboutabout 30 negativenegative percent; 2580 percent;percent; In OctAprJan 070707 seriesseriesseries atatat aboutaboutabout negativenegativenegative 502540 percent;percent;percent; In JulAprJun 08 0808 series seriesseries at atat about aboutabout 40 negativenegative percent; 2525 percent;percent; In AprJanOct 090809 seriesseriesseries atatat aboutaboutabout negativenegativenegative 11030115 percent; percent;percent; In JanOctJul 09 1009 series seriesseries at atat about aboutabout negative negativenegative 40 3550 percent; percent;percent; In OctJulApr 10 1010 series seriesseries at atat about aboutabout negative negativenegative 210 3025 percent;percent;percent; ASF Proposal for Treatment of Securitization Exposures in the Liquidity Coverage Ratio

Appendix IV Definition of Qualifying Bank Customer Securitization A conservatively tailored definition of securitized financing facilities - which we call "qualifying bank customer securitizations" - would ensure that the look-through approach cannot be abused.

To ensure that such a look-through approach could not be used inappropriately, we have Securitized Financing proposed that a "qualifying bank customer securitization" be conservatively defined as a traditional securitization:

(a) that is sponsored by a financial or non-financial customer of one or more banks, Banking Organization include U.S. U.S.(TradeEngine Engine Receivables);& Machinery & Machinery SPE LargeConsumers,Company(Trade Corporations. SMEs, Receivables); and (b) through which the customer obtains financing either (i) directly from one or more of such banks or (ii) through one or more ABCP conduits that are supported with liquidity facilities from one or more of such banks with commitment amounts (together with commitment amounts from other financial institutions, governmental agencies and government-sponsored entities) that at least cover the face amount of the ABCP used to fund such financing,

(c) where the customer is not one of such banks, or an affiliate of one of such banks, extending the financing or providing a liquidity facility to an ABCP conduit that is extending the financing,

(d) where one or more of such banks or ABCP conduits, or an agent on its or their behalf, negotiates and agrees to the terms of the financing directly with the customer or its special purpose entity, A conservatively tailored definition of securitized financing facilities - which we call "qualifying bank customer securitizations" - would ensure that the look-through approach cannot be abused.

(e) where the eligible primary underlying exposures have been originated or acquired Securitized Financing by the customer to further a long-term business objective,

[(f) where, for at least 95% of the eligible primary underlying exposures, the obligor

is not a bank,] Banking Organization include U.S. U.S.(TradeEngine Engine Receivables);& Machinery & Machinery SPE LargeConsumers,Company(Trade Corporations. SMEs, Receivables); and (g) where the terms of the financing are not subject to market value triggers that require eligible primary underlying exposures to be sold,

(h) that contains terms requiring compliance with all applicable laws governing credit risk retention by sponsors of traditional securitizations, and

(i) where, after its initial financing is extended, none of such banks or ABCP conduits are required to fund any commitment to such customer or its special purpose entity unless eligible primary underlying exposures exist and are available to secure such additional funding as required by the terms of the financing (which is called the "available borrowing base"). Securitization structures in the context of the "qualifying bank customer securitization" definition.

Securitization:BankSecuritizationHeading row column Criteria Sponsored 1 column Proposed 2:Qualifying Multi-Seller Qualifying Bank Conduit'Bank Customer Customer DirectEndFunded(Footnote footnote) Bank Funded column 1. Includescolumn 3:Qualifying 4:Conduitsboth on- Bank and with Customer off-balance Repo Features:Securitization: sheet. TraditionalCollateralizedNon-Bank Multi- Repo CP Conduit Sellercolumn column column6:Conduits 5:Conduits 7:Securities with Repo with Arbitrage Features:Repo Features: end heading row Securitization:BankitProposed have unfunded Qualifying exposure? Sponsored Bank Customer Qualifying Multi-Seller Securitization Bank Conduit' Customer Criteria:Does Funded:YES ConduitsQualifying with Bank Repo Customer Features:Non-Bank Securitization:Direct Multi- Seller:YES Bank Funded:YES Conduits unfundedprogramwith Repo with exposure. Features:Collateralized a liquidity End footnote.)facility in CP:DEPENDS(FootnoteplaceConduits has withability Repo to have Features: 2. Note one QualifyingProposedTraditional Qualifying BankRepo CustomerConduit:NO Bank CustomerSecuritization:Bank Securities Securitization Arbitrage:DEPENDS Sponsored Criteria:A) Multi- Bank customer Securitization:DirectSeller Conduit' Funded:PASS Bank Funded:PASS Qualifying BankConduits Customer with Repo Features: fundCollateralizedNon-Bank repo assets Multi- CP:DEPENDS(footnote from Seller:FAIL-Not a bank's balance Bank sheet3. Conduits Note or thatnewly with some originated Repo programs Features: may ProposedReporepo assets Features:Traditional Qualifying directly from Bank a Repoclient.Customer Conduit:PASS End Securitization footnote.) Securities Conduits Criteria:B) withArbitrage:FAIL Securitization:BankbusinessUnderlying objective, exposures not Sponsored acquired market arbitrage Multi-Sellerby customer Qualifying Conduit'for long Bank termFunded:PASS Customer withConduitsQualifying Repo with Features:CollateralizedBank Repo Customer Features:Non-Bank Securitization:Direct CP:DEPENDS(Footnote Multi- Seller:PASS Bank Funded:PASS 3.) Conduits ProposedSecuritiesConduits with QualifyingArbitrage:FAIL Repo Features:Traditional Bank Customer Securitization Repo Conduit:PASS Criteria:C) Securitization:BankwithFinanced min 100%directly liquidity through Sponsored facility bank Multi-Selleror Qualifying ABCP conduit(s) BankConduit' Customer supported Funded: Seller:PASSFunded:PASSPASS Qualifying Conduits Conduits Bank with Customerwith Repo Repo Features:CollateralizedSecuritization:Direct Features:Non-Bank Multi-Bank ProposedRepoCP:DEPENDS-Not Features:Traditional Qualifying all Bank have RepoCustomer liquidity Conduit:FAIL Securitizationfacilities ConduitsSecurities Criteria:D) with Arbitrage:PASS BankNot financing Sponsored own Multi-Seller bank's assets Conduit' Qualifying Funded:PASS Bank Customer Securitization: ConduitsQualifying with Bank Repo Customer Features:Non-Bank Securitization:Direct Multi- Seller:PASS Bank Funded:PASS Conduits SecuritiesConduitswith Repo with Arbitrage:DEPENDSFeatures:Collateralized Repo Features:Traditional CP:DEPENDS(Footnote Repo Conduit:PASS 3) Securitization:BankIndividuallyProposed Qualifying negotiated Sponsored Bank customer Customer Multi-Seller transactions Securitization Conduit' Qualifying Criteria:E) Funded:PASS Bank Customer ConduitsQualifying with Bank Repo Customer Features:Non-Bank Securitization:Direct Multi- Seller:PASS Bank Funded:PASS Conduits SecuritiesConduitswith Repo with Arbitrage:FAILFeatures:Collateralized Repo Features:Traditional Proposed CP:DEPENDS(Footnote Qualifying Repo Conduit:PASS Bank Customer 3) Securitization:BankrequiredSecuritization before Criteria:F) funding Sponsored occurs Transaction QualifyingMulti-Seller level Bank bank Conduit' Customercredit approval BankFunded:PASS Funded:PASS Qualifying Conduits Bank with Customer Repo Features:Non-Bank Securitization:Direct Multi- RepoCP:DEPENDS(FootnoteSeller:FAIL Conduit:FAIL - Not Bank Securities Conduits 3) Conduits Arbitrage:FAIL with with Repo Repo Features:Collateralized Features:Traditional QualifyingActiveProposed performance Qualifying Bank Customer monitoring Bank CustomerSecuritization:Bank of underlying Securitization assets Sponsored Criteria:G) Securitization:DirectMulti-Seller Conduit' BankFunded:PASS Funded:PASS Qualifying Conduits Bank with Customer Repo TraditionalFeatures:CollateralizedFeatures:Non-Bank Repo Conduit:PASS Multi- CP:PASS Seller:PASS Securities Conduits Conduits Arbitrage:PASSwith Repo with Features:Repo CustomerNoProposed market QualifyingSecuritization:Bank value triggers Bank forcing Customer Sponsored liquidation Securitization Multi-Seller Qualifying Criteria:H) Conduit' Bank BankFunded:PASS Funded:PASS Qualifying Conduits Bank with Customer Repo Features:Non-Bank Securitization:Direct SecuritiesConduitsMulti- Seller:PASS with Arbitrage:PASS Repo ConduitsFeatures:Traditional with Repo Features:Collateralized Repo Conduit:PASS CP:PASS Securitization:BankcomplianceProposed Qualifying with credit Sponsored Bank risk Customerretention Multi-Seller lawsSecuritization Qualifying Conduit' Criteria:I) Funded:PASSBank Customer Requires ConduitsQualifying with Bank Repo Customer Features:CollateralizedFeatures:Non-Bank Securitization:Direct Multi- CP:FAIL Seller:DEPENDS Bank - Funded:PASS Not funding securitizations ProposedNotConduits funding withQualifying securitizations Repo Features:Traditional Bank CustomerSecurities Securitization Arbitrage:PASS Repo Conduit:FAIL Criteria:J) - BankagainstAvailable Sponsored unused borrowing commitment Multi-Seller base required Qualifying Conduit' for additionalFunded:PASS Bank Customer funding Securitization: withQualifying Repo Features:Non-BankBank Customer Securitization:Direct Multi- Seller:PASS Bank Conduits Funded:PASS with Repo Conduits SecuritiesFeatures:TraditionalFeatures:Collateralized Arbitrage:DEPENDS Repo CP:DEPENDS(Footnote Conduit:FAIL-No unfunded 2) Conduits commitments with Repo SponsoredAllProposed Categories? Qualifying Multi-Seller Qualifying Bank Conduit' CustomerBank Funded:PASSCustomer Securitization Securitization:Bank Qualifying Criteria:Passes Bank Customer ConduitsNon-BankSecuritization:Direct with Multi- Repo Seller:FAIL Features:Traditional Bank Funded:PASS Conduits with Repo Conduits Repo Conduit:FAIL Features:Collateralizedwith Repo SecuritiesFeatures: Arbitrage:FAIL CP:FAIL Securitization structures in the context of the "qualifying bank customer securitization" definition.

SecuritizationHeading row column Criteriacolumn 1 Proposed 2:Qualifying Qualifying Bank Bank Customer bothConduit(FootnoteCustomer on- and Securitization:Bank off-balance 1. Includes sheet. Sponsored End footnote.) Multi-Seller Fundedcolumn Partycolumn3:Qualifying Liquidity 4:Single Bank Provider(Footnote Seller Customer Entities:100% Securitization:Direct 2. Liquidity Liquidity to Structure:3nd Ford's Bank Funded Entities:100%100%FCAR Liquidity Program. Liquidity Structure:Bank End footnote) Structure: column Sponsor Non-bank 5:Single column Sponsor Seller6:Single ;Entities: Seller Structure:Non-bankSponsorcolumn 7:Single column 8:SingleSeller Sponsor Entities:100% Seller end Entities:100% heading Liquidity row Liquidity Structure:Bank Securitization:BankitProposed have unfunded Qualifying exposure? Sponsored Bank Customer Qualifying Multi-Seller Securitization Bank Conduit1 Customer Criteria:Does Funded:YES LiquiditySingleQualifying Seller Provider:YES Bank Entities:100% Customer Single Securitization:DirectLiquidity Seller Entities:100%Structure:3rd Bank Party Liquidity Funded:YES LiquidityStructure:Structure:Bank Structure:BankNon-bank Sponsor:YES Sponsor:YES Sponsor:YES Single Single Seller Single Seller Entities:100% Seller Entities:100% Entities: Liquidity BankProposed100% customerLiquidity Qualifying Qualifying Structure:Non-bank Bank BankCustomer Customer Sponsor:YES Securitization Securitization:Bank Criteria:A) Entities:100%CustomerSponsored Securitization:Direct Multi-Seller Liquidity Conduit1 Structure:3rd Bank Funded:PASS Funded:PASS Party Liquidity Qualifying Single Provider:PASS Seller Bank FAIL-NotSingle Seller Bank Entities:100% Single Seller Liquidity Entities:100% Structure:Structure:Bank Liquidity Non-bank Sponsor:FAIL Sponsor: ProposedLiquidityStructure:Bank QualifyingStructure:Non-bank Sponsor:FAIL Bank Customer Sponsor:FAILSingle SecuritizationSeller Entities:100% - Not Bank Criteria:B) CustomerbusinessUnderlying objective, Securitization:Bank exposures not acquired market Sponsoredarbitrage by customer Qualifying Multi-Seller for long Bank term Conduit Structure:3rdBankFunded:PASS Funded:PASS Party Qualifying Liquidity Single Bank Seller Provider:PASS Customer Entities:100% Securitization:Direct Liquidity Single Seller Entities:100% Liquidity Structure:BankStructure: Non-bank Sponsor:PASS Sponsor:PASS FinancedProposedSingle Seller directlyQualifying Entities:100% through Bank bank Customer Liquidity or ABCP SecuritizationStructure:Non-bank conduit(s) Criteria:C)supported Sponsor:PASS with min 100% CustomerSponsoredliquidity facility Securitization:Direct Multi-Seller Qualifying Conduit1 Bank Bank Funded:PASSCustomer Funded:PASS Securitization:Bank Qualifying Single Seller Bank SingleEntities:100% Seller Entities:100% Liquidity Structure:3rd Liquidity Structure:Structure:BankParty Liquidity Non-bank Sponsor:PASSProvider:PASS Sponsor:PASS ProposedSingle Seller Qualifying Entities:100% Bank Customer Liquidity SecuritizationStructure:Non-bankStructure:Bank Criteria:D) Sponsor:FAIL Sponsor:FAIL Not Bankfinancing Sponsored own bank's Multi-Seller assets Qualifying Conduit1 BankFunded:PASS Customer Securitization: LiquidityPASSQualifying Single Provider:PASS Bank Seller Customer Entities:100% Single Securitization:Direct Seller Liquidity Entities:100% Structure:3rd Bank Liquidity Funded: Party Entities:100%LiquidityStructure:Bank Structure: Liquidity Sponsor:FAIL Non-bank Structure:Bank SingleSponsor:PASS Seller Sponsor:FAIL Entities:100% Single Seller IndividuallyProposedSingle Seller Qualifying negotiated Entities:100% Bank customer Customer Liquidity transactions SecuritizationStructure:Non-bank Criteria:E) Sponsor:PASS DirectConduit1Qualifying Bank Funded:PASS Bank Funded:PASS Customer Qualifying SingleSecuritization:Bank Seller Bank Entities:100% Customer Sponsored Securitization: Liquidity Multi-Seller 100%Structure:3rd Liquidity Party Structure:Structure:Bank Liquidity Non-bank Provider:PASS Sponsor:FAIL Sponsor:FAIL Single Single SingleSeller Seller Entities:Seller Entities: ProposedSingleEntities:100% Seller Qualifying Entities:100% Liquidity Bank Structure:Bank Customer Liquidity SecuritizationStructure:Non-bank Sponsor:FAIL Criteria:F) Sponsor:FAIL Conduit1QualifyingTransaction Funded:PASS Bank level Customerbank credit Qualifying Securitization:Bank approval Bank required Customer beforeSponsored Securitization:Direct funding Multi-Seller occurs Entities:100%Structure:3rdBank Funded:PASS Party Liquidity Liquidity Single Structure:Bank Seller Provider:PASS Entities:100% Sponsor:PASS Single Liquidity Seller BankFAIL-NotSingle Sponsor:PASS Seller Bank Entities:100% Single Single Seller LiquiditySeller Entities:100% Entities:100% Structure: Liquidity Non-bank Liquidity Structure: Sponsor:Structure: ActiveProposedNon-bank performance Qualifying Sponsor:FAIL monitoring Bank - NotCustomer Bank of underlying Securitization assets Criteria:G) Securitization:DirectMulti-SellerQualifying Bank Conduit1 Customer Bank Funded:PASS Funded:PASSSecuritization:Bank Qualifying Single Sponsored BankSeller Customer Entities: Single100% LiquiditySeller Entities:100% Structure:3rd Liquidity Party Liquidity Structure:Structure:Bank Provider:PASS Non-bank Sponsor:PASS Sponsor:PASS ProposedSingle Seller Qualifying Entities:100% Bank Customer Liquidity SecuritizationStructure:Non-bankStructure:Bank Criteria:H) Sponsor:PASS Sponsor:PASS No market QualifyingSecuritization:Bankvalue triggers Bank forcing Customer Sponsored liquidation Securitization:Direct Multi-Seller Qualifying Conduit1Bank Bank Customer Funded:PASSFunded:PASS Single Seller Entities:100% Liquidity Structure:Structure:BankStructure:3rd Non-bank Party Sponsor:PASS Liquidity Sponsor:PASS Provider:PASS BankCashSingle FlowSponsor:FAIL-if Seller structure Entities:100% Single MV SellerstructureLiquidity Entities:100% Single Structure:Bank Seller Liquidity Entities:100% Sponsor:PASS- Structure: if FAIL-ifSingleLiquidity Seller MV Structure:Non-bank structureEntities:100% Proposed Liquidity Sponsor:PASS-if Qualifying Structure:Non-bank Bank Cash Customer Flow Sponsor: structureSecuritization Conduit1QualifyingCriteria:I) Funded:PASS Requires Bank Customer compliance Qualifying Securitization:Bank with Bank credit Customer risk retentionSponsored Securitization: laws Multi-Seller Structure:Bank3rdDirect Party Bank Liquidity Funded:PASS Sponsor:DEPENDS(footnote Provider:PASS Single Seller Single Entities:100% Seller 3. Depends Entities:100% Liquidity if entities Liquidity Structure: fund DEPENDS(Footnote3.)Singlesecuritizations Seller Entities:100% or other structures. Single Liquidity Seller End Entities:100%Structure: footnote.) Non-bank Liquidity Sponsor: ProposedEntities:100%Structure:Bank Qualifying Liquidity Sponsor:DEPENDS(Footnote3.) Bank Structure:Non-bank Customer Securitization Sponsor:DEPENDS(Footnote3.) Single Criteria:J) Seller SponsoredcommitmentAvailable borrowing Multi-Seller Qualifying base Conduit1 Bank required Customer Funded:PASS for additional Securitization:Bank funding on unused LiquiditySingleQualifying Seller Provider:PASS Bank Entities:100% Customer Single Securitization:DirectLiquidity Seller Structure:3rd Entities:100% Bank Party Liquidity Funded:PASS Entities:100%LiquidityStructure:Bank Structure: Liquidity Sponsor:PASS Non-bank Structure:Bank Sponsor:PASSSingle Seller Sponsor:PASS Entities:100% Single Seller QualifyingProposedSingle Seller Qualifying Bank Entities:100% Customer Bank Customer Securitization:BankLiquidity SecuritizationStructure:Non-bank Sponsored Criteria:Passes Sponsor:PASS Multi-Seller All Categories? Structure:3rdBankConduit1 Funded:PASS Funded:PASS Party Liquidity Single Qualifying Seller Provider:PASS Entities:100% Bank Customer FAI Liquidity Securitization:Direct Securitization structures in the context of the "qualifying bank customer securitization" definition.

Conduit(FootnotecolumnHeading 2:Qualifying row column 1 Includes Bank1 Proposed Customer both Qualifying on- Securitization:Bankand off-balance Bank Customer sheet. Sponsored EndSecuritization footnote.) Multi-Seller CriteriaFunded column 54:Qualifying3:Qualifying :Qualifying BankBank CustomerCustomer Securitization:CashSecuritization:DirectSecuritization:Market Flow Bank Value ABS Funded ABS CDO CDO Proposedcolumn 7:Qualifying6:Qualifying Qualifying BankBank CustomerCustomer SecuritizationSecuritization:SIV-liteSecuritization:S1V Criteria:Does end heading it row Securitization:DirectSponsoredhave unfunded Multi-Seller exposure? Bank Conduit1 Qualifying Funded:YES Funded:YES Bank Qualifying Customer Qualifying Bank Securitization:Bank Customer Bank Customer Securitization:SIV:NOSecuritization:MarketSecuritization:Cash Flow Value Qualifying ABS ABS CDO:NO CDO:YESBank Customer Qualifying Qualifying Securitization:SIV-lite:NO Bank Bank Customer Customer SponsoredBankProposed customer Qualifying Multi-Seller Qualifying Bank Conduit1 BankCustomer Customer Funded:PASS Securitization Securitization:Bank Criteria:A) FAILPASSQualifying QualifyingQualifying Bank Customer BankBank CustomerCustomer Securitization:Direct Securitization:MarketSecuritization:Cash Bank FlowFunded: Value ABS ABS CDO: CDO:FAIL ProposedQualifying Qualifying Bank Customer Bank CustomerSecuritization:SIV-lite:FAILSecuritization:SIV:FAIL Securitization Criteria:B) Securitization:Bankobjective,Underlying not exposures market Sponsored arbitrage acquired QualifyingMulti-Sellerby customer Bank Conduit1for longCustomer term Funded:PASS business Qualifying Bank Customer Securitization:MarketSecuritization:CashSecuritization:Direct Flow Bank Value ABS Funded:PASS ABS CDO:FAIL CDO:FAIL ProposedQualifying Qualifying Bank Customer Bank CustomerSecuritization:SIV-lite:FAILSecuritization:SIV:FAIL Securitization Criteria:C) Securitization:BankwithFinanced min 100%directly liquidity through Sponsored facility bank Multi-Selleror Qualifying ABCP conduit(s) BankConduit1 Customer supported Funded:PASS Qualifying Bank Customer Securitization:MarketSecuritization:CashSecuritization:Direct Flow Bank Value ABS Funded:PASS ABS CDO:FAIL CDO:FAIL ProposedQualifying Qualifying Bank Customer Bank CustomerSecuritization:SIV-lite:FAILSecuritization:SIV:FAIL Securitization Criteria:D) Securitization:BankNot financing own bank's Sponsored assets Multi-Seller Qualifying BankConduit1 Customer Funded: FlowFunded:PASSPASS ABS Qualifying CDO:PASS Qualifying Bank QualifyingCustomer Bank Customer Securitization:Direct Bank Customer Securitization:Cash Securitization:Market Bank ProposedQualifyingValue ABS Qualifying Bank CDO:PASS Customer Bank Qualifying CustomerSecuritization:SIV-lite:PASS Bank Securitization Customer Criteria:D)Securitization:SIV:PASS Funded:PASSCustomerIndividually Securitization:Bank negotiated Qualifying customer Bank Sponsored Customer transactions Multi-SellerSecuritization:Direct Qualifying Conduit1 Bank ValueFlowBank ABSFunded:PASS ABS CDO:FAIL CDO:FAIL Qualifying Qualifying Qualifying Bank Bank Bank Customer Customer Customer Securitization:Cash Securitization:Market Securitization:SIV:FAIL TransactionProposedQualifying Qualifying Bank level Customerbank Bank credit CustomerSecuritization:SIV-lite:FAIL approval Securitization required before Criteria:F) funding Securitization:DirectMulti-Selleroccurs Qualifying Conduit1 Bank Bank Funded:PASS Customer Funded:PASS Securitization:Bank Qualifying Qualifying Bank Bank CustomerSponsored Customer Securitization:SIV:FAILSecuritization:MarketSecuritization:Cash Flow Value QualifyingABS ABS CDO:FAIL CDO:FAIL Bank Qualifying Qualifying Bank Bank Customer Customer ActiveProposedCustomer performance QualifyingSecuritization:SIV-lite:FAIL monitoring Bank Customer of underlying Securitization assets Criteria:G) Securitization:DirectMulti-SellerQualifying Bank Conduit1 Customer Bank Funded:PASS Funded:PASSSecuritization:Bank Qualifying Qualifying Sponsored Bank Bank Customer Customer Securitization:SIV:PASSSecuritization:MarketSecuritization:Cash Flow Value QualifyingABS ABS CDO:PASS CDO:PASS Bank Qualifying Qualifying Bank Bank Customer Customer NoProposedCustomer market QualifyingSecuritization:SIV-lite:PASS value triggers Bank forcing Customer liquidation Securitization Criteria:H) BankConduit1Qualifying Funded:PASS Funded:PASS Bank Customer Qualifying Qualifying Securitization:Bank Bank Bank Customer Customer SponsoredSecuritization:Cash Securitization:Direct Multi-Seller QualifyingABSFlow CDO:FAILABS CDO:PASSBank CustomerQualifying Qualifying Securitization:SIV-lite:FAIL Bank CustomerBank Customer Securitization:SIV:FAIL Securitization:Market Value Securitization:BankcomplianceProposed Qualifying with credit Sponsored Bank risk Customerretention Multi-Seller lawsSecuritization Qualifying Conduit1 Criteria:I) BankFunded:PASS Customer Requires Qualifying Bank Customer Securitization:MarketSecuritization:CashSecuritization:Direct Flow Bank Value ABS Funded:PASS ABS CDO:PASS CDO:PASS ProposedQualifying Qualifying Bank Customer Bank CustomerSecuritization:SIV-lite:PASSSecuritization:SIV:PASS Securitization Criteria:J) BankunusedAvailable Sponsored commitment borrowing Multi-Seller Qualifyingbase required Conduit1 Bank for Customeradditional Funded:PASS Securitization: funding on NoQualifying unfunded Bank commitments Customer Securitization:CashSecuritization:DirectQualifying Bank Customer Flow Bank ABS Funded:PASS Securitization: CDO:FAIL - QualifyingSecuritization:SIV:FAILMarket Value Bank ABS Customer CDO:YES - No Securitization:SIV-lite: unfunded Qualifying commitments Bank Customer PassesProposedFAIL - AllNo Qualifying Categories?unfunded commitmentsBank Qualifying Customer Bank Securitization Customer Securitization: Criteria: QualifyingBank Sponsored Bank Multi-SellerCustomer Securitization:MarketSecuritization:Direct Conduit1 Funded:PASS Bank Value Funded:PASS ABS CDO: Fail