Fitch Affirms Citibank Credit Card Issuance Trust

NEW YORK--()--Fitch Ratings has affirmed the Citibank Credit Card Issuance Trust notes at 'AAAsf' with a Stable Rating Outlook. A full list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The affirmation is based on continued positive trust performance. As of the January 2016 reporting period (December 2015 performance), the 12-month average gross yield was 18.12%, up slightly from the 12-month average of 17.90% at the January 2015 reporting period (December 2014 performance).

Monthly payment rate (MPR), a measure of how quickly consumers are paying off their credit card debts, has remained steady over the past year. Currently the 12-month average is 25.99%, up from 25.19% at the January 2015 reporting period (December 2014 performance).

Net charge-offs have increased slightly since the last review. As of January 2016 reporting period (December 2015 performance), the 12-month average is 2.50%, up from 2.43% at the January 2015 reporting period (December 2014 performance). As of the January 2016 reporting period (December 2015 performance), the 12-month average 60+ day delinquencies were 1.10% compared to the 12-month average of 1.07% at this point last year. 60+ day delinquencies have remained steady 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, 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 leading to possible downgrades across all classes. The harshest scenario assumes both stresses occur simultaneously. Similarly, the ratings would only be downgraded under the severe stress of a 75% increase in defaults and 35% 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.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

Fitch has affirmed the following ratings:

--Citibank Credit Card Issuance Trust Series 2006-A3 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2006-A7 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2006-A8 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2007-A3 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2007-A4 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2007-A8 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2007-A9 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2008-A1 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2008-A2 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2008-A7 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2013-A2 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2013-A9 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2013-A10 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2014-A1 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2014-A3 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2014-A5 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2014-A6 at 'AAAsf'; Outlook Stable;

--Citibank Credit Card Issuance Trust Series 2014-A7 at 'AAAsf'; Outlook Stable.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Global Credit Card ABS Rating Criteria (pub. 26 Jun 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867482

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=999551

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=999551

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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Contacts

Fitch Ratings
Primary Analyst
John Alberici
Associate Director
+1-212-908-0370
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Stephanie Lobaccaro
Analyst
+1-212-908-0769
or
Committee Chairperson
Michael R. Dean
Managing Director
+1-212-908-0556
or
Media Relations:
Hannah James, +1-646-582-4947
hannah.james@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
John Alberici
Associate Director
+1-212-908-0370
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Stephanie Lobaccaro
Analyst
+1-212-908-0769
or
Committee Chairperson
Michael R. Dean
Managing Director
+1-212-908-0556
or
Media Relations:
Hannah James, +1-646-582-4947
hannah.james@fitchratings.com