Scorecards
April 18, 2008, 11:29 a.m. EDT 5 Min Read
| Citibank Credit Card Issuance Trust 2008-A5 |
| Date: 4/15/2008 | Seller: Citibank, N.A. | Amount: $500 million | Sector: credit card ABS | |
| Class | Amount | MDY/S&P/FTC/DBRS | Avg. Life | Benchmark | Guidance | Spread | Coupon | Price | Yield |
| A5 | $500.0 | Aaa/AAA/AAA/NA | 5.00y | SWAPS | n/a | +137.5bp | 4.85% | 99.8680 | 4.88% |
| Credit Enhancement: sr/sub | Manager: Citigroup Global Markets | |
| Notes: Settles: 04/22/08; co-mgrs:Banc of America Securities, RBS Greenwich Capital, Merrill Lynch | |
| American Express Credit Account Master Trust 2008-3 |
| Date: 4/11/2008 | Seller: American Express Centurion Bank | Amount: $1.7 billion | Sector: credit card ABS | |
| Class | Amount | MDY/S&P/FTC/DBRS | Avg. Life | Benchmark | Guidance | Spread | Coupon | Price | Yield |
| A | $1500.0 | Aaa/AAA/NA/NA | n/a | 1M LIBOR | n/a | +95bp | n/a | 100.0000 | 3.67% |
| B | $93.0 | A2/A/NA/NA | n/a | 1M LIBOR | n/a | +350bp | n/a | 100.0000 | 6.22% |
| Sub | $110.0 | Baa2/NA/NA/NA | n/a | 1M LIBOR | n/a | n/a | n/a | n/a | n/a |
| JPMorgan Securities | undefined | undefined | undefined | undefined | undefined | undefined | undefined | undefined | undefined |
| Credit Enhancement: sr/sub | Manager: Barclays Capital, RBS Greenwich Capital Markets, | |
| Notes: Settles: 04/17/08; co-mgrs:Banc of America Securities, BNP Paribas, Citigroup Global Markets, Wachovia Securities, Williams Capital Group, CastleOak Securities; Collateral type: bank/general purpose | |
| American Express Credit Account Master Trust 2008-4 |
| Date: 4/11/2008 | Seller: American Express Centurion Bank | Amount: $607 million | Sector: credit card ABS | |
| Class | Amount | MDY/S&P/FTC/DBRS | Avg. Life | Benchmark | Guidance | Spread | Coupon | Price | Yield |
| A | $535.0 | Aaa/AAA/NA/NA | n/a | 1M LIBOR | n/a | +140bp | n/a | 100.0000 | n/a |
| B | $33.0 | A2/A/NA/NA | n/a | 1M LIBOR | n/a | +425bp | n/a | 100.0000 | n/a |
| Sub | $39.0 | Baa2/NA/NA/NA | n/a | 1M LIBOR | n/a | n/a | n/a | n/a | n/a |
| JPMorgan Securities | undefined | undefined | undefined | undefined | undefined | undefined | undefined | undefined | undefined |
| Credit Enhancement: sr/sub | Manager: Barclays Capital, RBS Greenwich Capital Markets, | |
| Notes: Settles: 04/17/08; co-mgrs: Banc of America Securities, BNP Paribas, Citigroup Global Markets, Wachovia Securities, Williams Capital Group, CastleOak Securities; Collateral type: bank/general purpose | |
| Citigroup Commercial Mortgage Trust 2008-C7 |
| Date: 4/11/2008 | Seller: Citibank, N.A. | Amount: $1.84 billion | Sector: commercial mortgages | |
| Class | Amount | MDY/S&P/FTC/DBRS | Avg. Life | Benchmark | Guidance | Spread | Coupon | Price | Yield |
| A1 | $18.0 | Aaa/AAA/NA/NA | 2.29y | SWAPS | +250bp | n/a | n/a | 100.2492 | 5.15% |
| A2A | $103.0 | Aaa/AAA/NA/NA | 4.16y | SWAPS | +275bp | n/a | n/a | 100.4988 | 5.93% |
| A2B | $225.0 | Aaa/AAA/NA/NA | 5.21y | SWAPS | +275bp | n/a | n/a | 100.0452 | 6.21% |
| A3 | $77.0 | Aaa/AAA/NA/NA | 6.26y | SWAPS | +290bp | n/a | n/a | 98.5881 | 6.52% |
| ASB | $74.0 | Aaa/AAA/NA/NA | 7.12y | SWAPS | +245bp | n/a | n/a | 99.3743 | 6.36% |
| A4 | $623.0 | Aaa/AAA/NA/NA | 9.24y | SWAPS | +225bp | n/a | n/a | 99.9199 | 6.27% |
| AM | $160.0 | Aaa/AAA/NA/NA | 9.38y | SWAPS | +375bp | n/a | n/a | 90.1154 | 7.78% |
| AJ | $124.0 | Aaa/AAA/NA/NA | 9.50y | SWAPS | +600bp | n/a | n/a | 77.4533 | 10.04% |
| B | $18.0 | Aa1/AA+/NA/NA | 9.63y | n/a | n/a | n/a | n/a | n/a | n/a |
| C | $18.0 | Aa2/AA/NA/NA | 9.63y | n/a | n/a | n/a | n/a | n/a | n/a |
| D | $18.0 | Aa3/AA-/NA/NA | 9.63y | n/a | n/a | n/a | n/a | n/a | n/a |
| E | $9.0 | A1/A+/NA/NA | 9.63y | n/a | n/a | n/a | n/a | n/a | n/a |
| F | $16.0 | A2/A/NA/NA | 9.63y | n/a | n/a | n/a | n/a | n/a | n/a |
| G | $18.0 | A3/A-/NA/NA | 9.63y | n/a | n/a | n/a | n/a | n/a | n/a |
| H | $18.0 | Baa1/BBB+/NA/NA | 9.63y | n/a | n/a | n/a | n/a | n/a | n/a |
| J | $16.0 | Baa2/BBB/NA/NA | 9.63y | n/a | n/a | n/a | n/a | n/a | n/a |
| K | $18.0 | Baa3/BBB-/NA/NA | 9.70y | n/a | n/a | n/a | n/a | n/a | n/a |
| L | $11.0 | Ba1/BB+/NA/NA | 9.71y | n/a | n/a | n/a | n/a | n/a | n/a |
| M | $6.0 | Ba2/BB/NA/NA | 9.71y | n/a | n/a | n/a | n/a | n/a | n/a |
| N | $6.0 | Ba3/BB-/NA/NA | 9.71y | n/a | n/a | n/a | n/a | n/a | n/a |
| O | $6.0 | B1/B+/NA/NA | 9.72y | n/a | n/a | n/a | n/a | n/a | n/a |
| P | $6.0 | B1/B/NA/NA | 9.79y | n/a | n/a | n/a | n/a | n/a | n/a |
| Q | $4.0 | B3/B-/NA/NA | 9.79y | n/a | n/a | n/a | n/a | n/a | n/a |
| S | $30.0 | NA/NA/NA/NA | 9.84y | n/a | n/a | n/a | n/a | n/a | n/a |
| A1A | $172.0 | Aaa/AAA/NA/NA | 8.86y | n/a | n/a | n/a | n/a | n/a | n/a |
| AMA | $24.0 | Aaa/AAA/NA/NA | 9.46y | n/a | n/a | n/a | n/a | n/a | n/a |
| AJA | $19.0 | Aaa/AAA/NA/NA | 9.50y | n/a | n/a | n/a | n/a | n/a | n/a |
| X | $0.0 | Aaa/AAA/NA/NA | n/a | n/a | n/a | n/a | n/a | n/a | n/a |
| Credit Enhancement: sr/sub | Manager: Citigroup Global Markets, Goldman Sachs | |
| Notes: Settles: 04/25/08 co-mgrs: Merrill Lynch, Morgan Stanley; Collateral type: commercial MBS | |
| Sallie Mae Student Loan Trust 2008-4 |
| Date: 4/11/2008 | Seller: Sallie Mae | Amount: $998 million | Sector: student loan ABS | |
| Class | Amount | MDY/S&P/FTC/DBRS | Avg. Life | Benchmark | Guidance | Spread | Coupon | Price | Yield |
| A1 | $236.0 | Aaa/AAA/AAA/NA | 1.00y | 3M LIBOR | n/a | +68bp | n/a | n/a | 3.39% |
| A2 | $314.0 | Aaa/AAA/AAA/NA | 3.00y | 3M LIBOR | n/a | +105bp | n/a | n/a | 3.76% |
| A3 | $139.0 | Aaa/AAA/AAA/NA | 5.00y | 3M LIBOR | n/a | +125bp | n/a | n/a | 3.96% |
| A4 | $280.0 | Aaa/AAA/AAA/NA | n/a | 3M LIBOR | n/a | +165bp | n/a | n/a | 4.36% |
| B | $29.0 | Aa1/AA/AA+/NA | 8.80y | 3M LIBOR | n/a | +185bp | n/a | n/a | 4.56% |
| Credit Enhancement: sr/sub | Manager: RBS Greenwich Capital, JPMorgan Securities, Credit Suisse | |
| Notes: Settles: 04/17/08; Collateral type: FFELP | |
| CNH Equipment Trust 2008-A |
| Date: 4/10/2008 | Seller: CNH Global N.V. | Amount: $485 million | Sector: equipment ABS | |
| Class | Amount | MDY/S&P/FTC/DBRS | Avg. Life | Benchmark | Guidance | Spread | Coupon | Price | Yield |
| A1 | $133.0 | Prime-1/A-1+/F1+/NA | 0.42y | SWAPS | n/a | +6bp | 2.75% | 100.0000 | 2.75% |
| A2 | $133.0 | Aaa/AAA/AAA/NA | 1.15y | 1M LIBOR | n/a | +120bp | n/a | 100.0000 | 3.93% |
| A3 | $125.0 | Aaa/AAA/AAA/NA | 2.20y | SWAPS | n/a | +150bp | 4.12% | 99.9847 | 4.16% |
| A4A | $69.0 | Aaa/AAA/AAA/NA | 3.46y | SWAPS | n/a | +195bp | 4.93% | 99.9905 | 4.98% |
| A4B | $25.0 | Aaa/AAA/AAA/NA | 3.46y | 1M LIBOR | n/a | +195bp | n/a | 100.0000 | 4.68% |
| Credit Enhancement: sr/sub | Manager: Banc of America Securities, BNP Paribas | |
| Notes: Settles: 04/18/08; co-mgs: Citigroup Global Markets, Deutsche Bank Securities, Societe Generale Corporate & Investment Banking, Credit Suisse | |
| Consumer Portfolio Services Auto Receivables Trust 2008-A |
| Date: 4/8/2008 | Seller: Consumer Portfolio Services | Amount: $308 million | Sector: auto ABS | |
| Class | Amount | MDY/S&P/FTC/DBRS | Avg. Life | Benchmark | Guidance | Spread | Coupon | Price | Yield |
| A1 | $39.0 | Prime-1/A-1+/NA/NA | 0.13y | n/a | n/a | n/a | 3.47% | n/a | n/a |
| A2 | $95.0 | Aaa/AAA/NA/NA | 1.00y | n/a | n/a | n/a | 4.95% | n/a | n/a |
| A3 | $88.0 | Aaa/AAA/NA/NA | 2.52y | n/a | n/a | n/a | 6.48% | n/a | n/a |
| A4 | $22.0 | Aaa/AAA/NA/NA | 3.95y | n/a | n/a | n/a | 7.13% | n/a | n/a |
| B | $19.0 | NA/NA/NA/NA | n/a | n/a | n/a | n/a | 10.00% | n/a | n/a |
| C | $14.0 | NA/NA/NA/NA | n/a | n/a | n/a | n/a | 10.00% | n/a | n/a |
| D | $31.0 | NA/NA/NA/NA | n/a | n/a | n/a | n/a | 10.00% | n/a | n/ |
| Credit Enhancement: sr/sub | Manager: Bear Stearns, JPMorgan Securities, UBS | |
| Notes: Settles 04/10/08; Collateral type: auto loans | |
