NEW YORK--(BUSINESS WIRE)--Fitch Ratings expects to assign the following ratings to Citibank Credit Card Issuance Trust Citiseries class A, (2014-3) notes:
--$850 million one-month LIBOR + 0.20%, class A (2014-3) 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS:
Fitch's expected ratings are based on the underlying receivables pool, available credit enhancement, Citibank, N.A.'s underwriting and servicing capabilities, as well as the transaction's legal structures, which employ early amortization triggers.
Fitch models three different scenarios when evaluating the rating sensitivity compared to expected performance for credit card asset-backed securities transactions: 1) increased defaults; 2) a reduction in purchase rate, and 3) a combination stress of higher defaults and lower monthly payment rate (MPR).
Increasing default rate alone has the least impact on rating migration even in the most severe scenario of a 75% increase in defaults. The rating sensitivity to a reduced purchase rate is more pronounced with a moderate stress, of a 100% decrease, and leads to possible downgrades of the class A. The harshest scenario assumes both default and MPR stresses occur simultaneously. Similarly, the ratings would only be downgraded under the moderate stress of a 50% increase in defaults and 25% reduction in MPR; however, the severe stress could lead to more drastic downgrades to all classes.
To date, the transactions have exhibited strong performance with all performance metrics within Fitch's initial expectations. For further discussion of Fitch's sensitivity analysis, please see the related presale report. For a discussion of the representations, warranties, and enforcement mechanisms available to investors in this transaction please see the related presale appendix.
The presale report is available to all investors on Fitch's website at 'www.fitchratings.com'. For more information about Fitch's comprehensive subscription service FitchResearch, which includes all presale reports, surveillance, and credit reports on more than 20 asset classes, contact product sales at +1-212-908-0800 or at 'firstname.lastname@example.org'.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Credit Card ABS Rating Criteria' (June 7, 2013);
--'Global Structured Finance Rating Criteria' (May 24, 2013);
--'Citibank Credit Card Issuance Trust, Class 2014-A3 Citiseries Notes' (March 6, 2014);
-- Citibank Credit Card Issuance Trust, Class 2014-A3 Citiseries Notes Representations and Warranties' (March 6, 2014).
Applicable Criteria and Related Research: Citibank Credit Card Issuance
Trust, Class 2014-A3 Citiseries Notes (US ABS)
Global Credit Card ABS Rating Criteria
Global Structured Finance Rating Criteria