Duff & Phelps Credit Rating Co. (DCR) has assigned a ‘AAA’ (Triple-A) rating to the $1.25 billion Class A certificates and a ‘AA’ (Double-A) rating to the $80 million Class B certificates issued by Citibank Credit Card Master Trust I Series 1998-7. The Class A certificates have a coupon of one-month LIBOR plus 0.01 percent and the Class B has a coupon of one-month LIBOR plus 0.125 percent. Both classes have a final maturity date of April 10, 2003.
! Given that this series is included in Group One of Citibank Credit Card Master Trust I, the credit enhancement levels for this series are identical to the other series issued by the master trust, relying on 11 percent enhancement for the A class and 7 percent for the B class. 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. The impact upon master trust WAC is measured given the respective coupons and series termination dates. Citibank continues to manage the respective series expenses and staggered maturities to mitigate concerns of spiraling coupon expenses as the trust matures.
For a copy of the New Financing Report Summary on this transaction, please call the DCR Hotline at 312-368-3198 or email [email@example.com].