Citibank Credit Card Issuance Trust's issuance is an ABS transaction backed by undivided investor interest in Citibank Credit Card Master Trust I's series 2000 collateral certificate


  • Citibank Credit Card Issuance Trust's issuance is an ABS transaction backed by undivided investor interest in Citibank Credit Card Master Trust I's series 2000 collateral certificate, which in turn is collateralized by credit card receivables from VISA, MasterCard, and American Express revolving credit card accounts that are originated and serviced by Citibank N.A.
  • We assigned our 'AAA (sf)' rating to the class 2017-A9 notes.
  • The rating reflects our view of the transaction's credit support, underlying payment structure, cash flow mechanics, and legal structure, among other factors.

The note issuance is an asset-backed securities transaction backed by 
undivided investor interest in Citibank Credit Card Master Trust I's series 
2000 collateral certificate, which in turn is collateralized by credit card 
receivables from VISA, MasterCard, and American Express revolving credit card 
accounts that are originated and serviced by Citibank N.A.


  • Our view that the 18.50% credit support provided by the class B and C notes and the series 2009 credit card participation certificate is sufficient to withstand the simultaneous stresses we apply to our 6.25% base-case loss rate, 16.50% base-case payment rate, 15.00% base-case yield, and 3.00%-to-flat purchase rate assumptions. In addition, we used stressed excess spread to assess whether, in our opinion, the available credit support is commensurate with the assigned 'AAA (sf)' rating on the class 2017-A9 notes. We based all of the stress assumptions outlined above on our current criteria and assumptions for credit card transactions
  • Our view that the 5.00% minimum seller's interest is sufficient in our stress assumptions to absorb dilutions or noncash reductions in the receivables.
  • Our expectation that under a moderate ('BBB') stress scenario, all else being equal, our rating on the notes will remain within one rating category of the assigned 'AAA (sf)' rating for the next 12 months, based on our credit stability criteria
  • Our view of the credit risk inherent in the collateral loan pool, which is based on our economic forecast, the trust portfolio's historical performance, the collateral characteristics, and vintage performance data.
  • Our view of Citibank N.A.'s (A+/Stable/A-1) servicing experience and our opinion of the quality and consistency of its account origination, underwriting, account management, collections, and general operational practices.
  • Our expectation of timely interest and ultimate principal payments by the legal final maturity date, based on stressed cash flow modeling scenarios using assumptions that are commensurate with the assigned rating.
  • Our view of the notes' underlying payment structure, cash flow mechanics, and legal structure.