Fitch Affirms Citibank Omni Master Trust
OREANDA-NEWS. Fitch Ratings has affirmed Citibank Omni Master Trust series 2014-1 and 2014-2 at 'AAAsf'. The Rating Outlook is Stable for both series.
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 25.33% compared to the 12-month average of 25.41% 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 consistent over the past year. Currently the 12-month average is 13.72%, up slightly from 13.70% at the January 2015 reporting period (December 2014 performance).
Net charge-offs have also declined since the last review. As of the January 2016 reporting period (December 2015 performance), the 12-month average is 3.47%, down from 3.75% 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 1.79% compared to the 12-month average of 2.01% this point last 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.
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.