Fitch Affirms Citibank Credit Card Issuance Trust

NEW YORK--()--Fitch Ratings has affirmed the long-term ratings and maintained the Ratings Outlooks of the subordinate notes assigned to Citibank Credit Card Issuance Trust as follows:

--2003-A7 at 'AAA'; Outlook Stable;

--2005-A1 at 'AAA'; Outlook Stable;

--2005-A2 at 'AAA'; Outlook Stable;

--2005-C1 at 'BBB'; Outlook Positive;

--2005-C2 at 'BBB'; Outlook Positive;

--2005-A5 at 'AAA'; Outlook Stable;

--2005-A9 at 'AAA'; Outlook Stable;

--2006-A3 at 'AAA'; Outlook Stable;

--2006-A7 at 'AAA'; Outlook Stable;

--2006-A8 at 'AAA'; Outlook Stable;

--2007-A3 at 'AAA'; Outlook Stable;

--2007-A4 at 'AAA'; Outlook Stable;

--2007-A8 at 'AAA'; Outlook Stable;

--2007-A9 at 'AAA'; Outlook Stable;

--2008-A1 at 'AAA'; Outlook Stable;

--2008-A2 at 'AAA'; Outlook Stable;

--2008-A6 at 'AAA'; Outlook Stable;

--2008-A7 at 'AAA'; Outlook Stable;

--2012-A1 at 'AAA'; Outlook Stable;

--2013-A1 at 'AAA'; Outlook Stable;

--2013-A2 at 'AAA'; Outlook Stable;

--2013-A9 at 'AAA'; Outlook Stable;

--2013-A10 at 'AAA'; Outlook Stable;

--2014-A1 at 'AAA'; Outlook Stable;

--2014-A3 at 'AAA'; Outlook Stable;

--2014-A5 at 'AAA'; Outlook Stable;

--2014-A6 at 'AAA'; Outlook Stable;

--2014-A7 at 'AAA'; Outlook Stable.

KEY RATING DRIVERS

The affirmation is based on continued positive trust performance. As of the January 2015 reporting period, the 12-month average gross yield was 17.77%, up slightly from the 12-month average of 17.53% at the January 2014 reporting period.

Monthly payment rate (MPR), a measure of how quickly consumers are paying off their credit card debts, has increased over the past year. Currently, the 12-month average is 25.28%, up from 23.32% at the January 2014 reporting period.

Net charge-offs have declined since the last review. As of January 2015, the 12-month average is 2.37%, down from 2.97% at the January 2014 reporting period. As of the January 2015 reporting period, the 12-month average 60+ day delinquencies were 1.07% compared to the 12-month average of 1.44% at this point last year. 60+ day delinquencies have steadily declined over the past year.

Fitch runs cash flow breakeven analysis by applying stress scenarios to three-, six-, 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, MPR, 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 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 leading to possible downgrades 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' dated Aug. 4, 2014;

--'Global Credit Card ABS Rating Criteria,' dated May 30, 2014.

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Global Credit Card ABS Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748920

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=980164

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Contacts

Fitch Ratings
Primary Analyst
John Alberici, +1-212-908-0370
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Herman Poon, +1-212-908-0847
Director
or
Committee Chairperson
Steven Stubbs, +1-212-908-0676
Senior Director
or
Media Relations
Elizabeth Fogerty, New York, +1-212-908-0526
elizabeth.fogerty@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
John Alberici, +1-212-908-0370
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Herman Poon, +1-212-908-0847
Director
or
Committee Chairperson
Steven Stubbs, +1-212-908-0676
Senior Director
or
Media Relations
Elizabeth Fogerty, New York, +1-212-908-0526
elizabeth.fogerty@fitchratings.com