Fitch Affirms Citibank Credit Card Omni Trust

NEW YORK--()--Fitch Ratings has affirmed the long-term ratings and Outlooks assigned to Citibank Omni Master Trust as follows:

Citibank Omni Master Trust

--2009-A13 at 'AAA'; Outlook Stable;

--2009-A14 at 'AAA'; Outlook Stable;

--2009-A17 at 'AAA'; Outlook Stable.

KEY RATING DRIVERS

The affirmation is based on continued positive trust performance. As of the January 2014 reporting period, the 12-month average gross yield was 25.56% compared to the 12-month average of 25.88% at the January 2013 reporting period.

Monthly payment rate (MPR), a measure of how quickly consumers are paying off their credit card debts, has remained consistent over the past year. Currently the 12-month average is 13.36%, up slightly from 13.51% at the January 2013 reporting period.

Net charge offs have also declined since the last review. As of the January 2014 reporting period the 12-month average is 4.23%, down from 6.43% at the January 2013 reporting period. As of the January 2014 reporting period, the 12-month average 60+ day delinquencies were 2.33% compared to the 12-month average of 3.07% this point last year.

Fitch runs cash flow breakeven analysis by applying stress scenarios to 3-, 6-, and 12-month averages performances to test that under the stressed conditions, the transaction can withstand a level of losses commensurate with the risk associated to a rating level with the available credit enhancement. The variables that Fitch stresses are the gross yield, monthly payment rate, gross charge-off, and purchase rates. The break-even loss level output for the notes provides an indication of the remoteness of the class of notes to stressed performance deterioration. For further information, please review the U.S. Credit Card ABS Issuance updates published on a monthly basis.

RATING SENSITIVITIES

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 monthly payment rate (MPR), and 3) a combination stress of higher defaults and lower MPR. Decreasing MPR alone has the least impact on rating migration even in the most severe scenario of a 35% increase in defaults. The rating sensitivity to an increase in defaults is more pronounced with a moderate stress, of a 50% increase, but is not in lower rating categories across all classes. The harshest scenario assumes both 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 our sensitivity analysis, please see the new issue report related to one of the transactions listed above.

Additional information is available at 'www.fitchratings.com'

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 24, 2013);

--'Global Credit Card ABS Rating Criteria' (June 7, 2013).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661

Global Credit Card ABS Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709356

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=824100

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Contacts

Fitch Ratings
Primary Analyst
John Alberici
Associate Director
+1-212-908-0370
One State Street Plaza
New York, NY 10004
or
Secondary Analyst
Herman Poon
Director
+1-212-908-0847
or
Committee Chairperson
Steven Stubbs
Senior Director
+1-212-908-0676
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Sharing

Contacts

Fitch Ratings
Primary Analyst
John Alberici
Associate Director
+1-212-908-0370
One State Street Plaza
New York, NY 10004
or
Secondary Analyst
Herman Poon
Director
+1-212-908-0847
or
Committee Chairperson
Steven Stubbs
Senior Director
+1-212-908-0676
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com