Duff & Phelps Credit Rating Co. (DCR) has assigned a ‘AAA’ (Triple-A) rating to the $750 million Class A certificates and a ‘A+’ (Single-A-Plus) rating to the $48 million Class B certificates issued by Citibank Credit Card Master Trust I Series 1999-1. The Class A certificates have a coupon of 5.50 percent and the Class B has a coupon of 5.75 percent. Both classes have a final maturity date of February 15, 2006.
This first series for 1999 represents the 37th outstanding deal and features a fixed-coupon and five-year tenor and is included in Group One of Citibank Credit Card Master Trust I. The credit enhancement levels for this series are identical to that of Series 1998-9 issued last year, relying on 11 percent enhancement for class A and 6 percent for class B. However, the 6 percent shared enhancement for both class A and B of Series 1999-1 comes in the form of the Letter of Credit instead of the Cash Collateral Account of Series 1998-9.
The enhancement contemplates supporting the weighted-average coupon (WAC) of the master trust, and therefore, does not vary from uncapped floating-rate deals to fixed-rate coupon deals. Based upon DCR’s modeling, current credit enhancement more than covers potential investor loss caused by either a rapid and sustained increase in losses or coupon expenses, or the simultaneous occurrence of both.
This transaction requires enhancement levels that recognize the carrying costs of the entire trust, including the WAC. DCR computes the WAC of the trust over the legal final life-span of all currently outstanding series and a worst case assumption of each index used on every floating rate deal. The master trust currently supports 36 other deals, 28 of which carry a fixed rate, two of which are zero-coupon series with the balance floating with one of number of different indices.
For a copy of the New Financing Report Summary on this transaction, please call the DCR Hotline at 312-368-3198 or e-mail, [firstname.lastname@example.org].