News Column

Fitch Rates Citibank Credit Card Issuance Trust Citiseries Class 2014-A6 Notes

July 31, 2014

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings assigns the following ratings to Citibank Credit Card Issuance Trust Citiseries class 2014-A6 notes:

--$1.3 billion 2.15%, class 2014-A6 'AAAsf'; Outlook Stable.

KEY RATING DRIVERS

Fitch's rating is 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.

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 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 'webmaster@fitchratings.com'.

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

Applicable Criteria and Related Research:

--'Global Credit Card ABS Rating Criteria' (May 30, 2014);

--'Global Structured Finance Rating Criteria' (May 20, 2014);

--'Citibank Credit Card Issuance Trust, Class 2014-A6 Citiseries Notes' (July 28, 2014);

--'Citibank Credit Card Issuance Trust, Class 2014-A6 Citiseries Notes Representations and Warranties' (July 28, 2014).

Applicable Criteria and Related Research:

Citibank Credit Card Issuance Trust, Class 2014-A6 Citiseries Notes (US ABS)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=753368

Citibank Credit Card Issuance Trust, Class 2014-A6 Citiseries Notes - Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=753527

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748821

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=843215

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.



Fitch Ratings

Primary Analyst

Herman C. Poon, +1 212-908-0847

Director

Fitch Ratings, Inc.

33 Whitehall St.

New York, NY 10004

or

Secondary Analyst

John Alberici, +1 212-908-0370

Associate Director

or

Committee Chairperson

Steve Stubbs, +1 212-908-0676

Senior Director

or

Media Relations:

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com

Source: Fitch Ratings


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