Nov 21 - Fitch Ratings has assigned IM CITI TARJETAS 1, FTA's notes an expected rating, as
EUR840m Series A notes: 'Asf(EXP)'; Outlook Stable
The final rating is contingent upon the receipt of final documents conforming to information
The expected rating is based on the quality of the collateral, the underwriting and
servicing of the portfolio of credit cards, the integrity of the transaction's legal and
financial structure, the isolation of counterparty risk provided by the structure, available
credit enhancement and the management company's administrative capabilities.
The rating addresses payment of interest on the notes according to the terms and conditions
set in the documentation and repayment of principal by final maturity of the transaction in May
The transaction is a cash flow securitisation of a credit card portfolio granted to
individuals located in Spain for consumption purposes, originated and serviced by Citibank
Espana S.A. (the seller, unrated). The transaction has a three-year revolving period during
which repayments can be used to buy new credit card uses but within a closed universe of
borrowers as per the closing date (ie. no new borrowers will be added).
The class A notes benefit from credit enhancement in the form of subordination of unrated
Class B (16%) and two purpose specific cash reserve accounts to mitigate potential dilution and
commingling / payment interruption risk in the event of servicer disruption issues. The balance
of these two reserves at closing will be EUR10.6m and EUR8.8m, respectively.
Fitch primarily applied its "Global Credit Card ABS Rating Criteria". Under the 'Asf' stress
scenario, the agency accommodates a charge-off rate of 19.7%, an annual yield rate of 16.5%, a
purchase rate of 25% and a monthly payment rate of 4.2%. No recovery rate is credited within the
analysis under this stress scenario.
The stressed variables are derived from the agency's analysis of current and historic
performance data provided by the seller. Under a base case economic scenario, Fitch has assumed
a 7.5% charge off rate, 22% yield rate, 100% purchase rate and 14% monthly payment rate.
The revolving period will be terminated earlier than the initially anticipated three years
if any of the defined performance triggers are breached. These key triggers include excess
spread being higher than 3% during three consecutive months, the seller not being under
insolvency proceedings, and the balance of the acquisition reserve (used to keep additional cash
not used to purchase new credit card receivables) not exceeding 30% of the collateral initial
In terms of counterparty exposure, Fitch considers the structure provides adequate mitigants
against potential deterioration against Citibank Espana S.A. as collateral administrator and SPV
bank account provider, as a full, unconditional and first demand guarantee is being provided by
the parent company Citibank NA ('A'/Stable/'F1') with 'BBB+'/'F2' counterparty triggers
to cover for all the obligations undertaken by Citibank Espana SA under the collateral servicing
agreement and the SPV bank account agreement. The transaction paying agent is Citibank
International plc ('A'/Stable/'F1'), Spanish branch, which also is being addressed
with similar counterparty triggers as per Fitch's criteria.
Moreover, Fitch believes the potential commingling risk of this transaction, in the event of
Citibank Espana S.A. as collateral servicer suffering any type of disruption, to be immaterial.
This is because payments made by the borrowers will be placed in the SPV bank account account on
a daily basis, the existence of the guarantee agreement from Citibank NA and the availability of
the EUR8.8m commingling reserve which would cover up to three months of stressed senior expenses
and Series A due amounts.
Fitch believes the rating of the Series A notes could potentially become excessively exposed
to Citibank NA counterparty risk if the balance of the acquisition reserve exceeds 10% of the
initial collateral balance during the revolving period. If this occurs, Fitch will credit link
the rating of the Series A to the Issuer Default Rating of Citibank NA so any change in
Citibank's rating could trigger an immediate change to the Series A rating.
There is no interest rate swap agreement in place. However, Fitch does not consider this
material as the liabilities of the SPV will be paid a fixed rate coupon that is substantially
lower than the fixed rate charged on the assets.
Fitch's stress and rating sensitivity analysis is discussed in the new issue report, which
will shortly be available at www.fitchratings.com.