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Direct Agency CMO Spreads

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DIRECT AGENCY CMO SPREADS
Average Life (Yrs.) 0 to 2 2 to 7 7+
PAC
 06/28/06  159.0  171.0  184.0
 Previous Week  160.0  173.0  185.0
 1-Month Average  159.0  172.0  184.0
 12-Month Range  130-170  140-190  150-200
           
TAC
 06/28/06  50.0  116.0  160.0
 Previous Week  50.0  118.0  161.0
 1-Month Average  50.0  118.0  160.0
 12-Month Range  40-90  100-160  130-170
           
SEQ
 06/28/06  115.0  140.0  172.0
 Previous Week  117.0  143.0  175.0
 1-Month Average  115.0  141.0  173.0
 12-Month Range  80-130  120-160  140-190
All nominal spreads are in basis points over the equivalent maturity Treasury and are derived from actual transactions in each of the sectors defined.Source: Capital Management Sciences

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Scorecards

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 […]