Fitch Rates Citi Held for Asset Issuance 2016-PM1

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings assigns the following ratings to the Citi Held for Asset Issuance 2016-PM1 notes:

--Class A notes 'A-sf'; Outlook Stable;

--Class B notes 'BBB-sf'; Outlook Stable;

--Class C notes 'Bsf'; Outlook Stable.

KEY RATING DRIVERS

Adequate Collateral Quality: The 2016-PM1 trust pool consists of 100% unsecured, fixed-rate, fully amortizing, consumer loans that have either 36- or 60-month original loan terms, as well as originated and serviced on Prosper's marketplace online lending platform. The pool exhibits a weighted average FICO score of 704 and a weighted average borrower rate of 13.57%.

Sufficient Credit Enhancement and Liquidity Support: The initial hard credit enhancement (CE) for class A, B and C is expected to be 33.00%, 25.10% and 12.00%, respectively. Liquidity support is provided by a non-declining reserve account, which will be fully funded at closing at 0.50% of the initial pool balance. Transaction cash flows were satisfactory under all stressed scenarios, commensurate with the ratings.

Untested Performance through a Full Economic Cycle: Loans originated and serviced via online platforms, such as Prosper's, do not yet have a performance history through a recessionary environment. Furthermore, as the underlying consumer loans are unsecured and primarily intended for debt consolidation, Fitch expects borrowers to treat paying down these loans as a lower priority relative to other borrowings, such as an auto loan or a mortgage. As such, the pool could experience especially elevated default frequency in an economic downturn. Fitch placed a rating cap on this transaction of 'Asf'.

Satisfactory Servicing Capabilities: Prosper will service all the loans in the 2016-PM1 trust, and Citibank, N.A. will act as the backup servicer. Fitch considers the servicing operations of Prosper of consumer loans to be acceptable and Citibank, as a backup servicer, to be effective.

RATING SENSITIVITIES

As Fitch's base case default proxy is derived primarily from historical collateral performance, actual performance may differ from the expected performance, resulting in higher loss levels and/or prepayment speeds than the base case. This will result in a decline in available CE and the remaining loss coverage levels available to the notes. Therefore, note ratings may be susceptible to potential negative rating actions, depending on the extent of the decline in the coverage.

Rating sensitivity results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. Rating sensitivity should not be used as an indicator of future rating performance.

DUE DILIGENCE USAGE

No third party due diligence was provided to or reviewed by Fitch in relation to this rating action.

Key Rating Drivers and Rating Sensitivities are further described in the presale report titled 'Citi Held for Asset Issuance 2016-PM1', dated March 16, 2016, available on www.fitchratings.com, or by clicking on the link.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 28 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748781

Global Consumer ABS Rating Criteria (pub. 03 Dec 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=874105

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Related Research

Citi Held for Asset Issuance 2016-PM1 -- Appendixhttps://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=878955

Additional Disclosures

Dodd-Frank Rating Information Disclosure Formhttps://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1001822

Solicitation Statushttps://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1001822

Endorsement Policyhttps://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20160331006385/en/

Fitch Ratings
Primary Analyst:
Charlene M. Davis, +1-212-908-0213
Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst:
Eric Orenstein, +1-646-582-4816
Analyst
or
Committee Chairperson:
Steven Stubbs, +1-212-908-0676
Senior Director
or
Media Relations:
Sandro Scenga, +1-212-908-0278
New York
[email protected]

Source: Fitch Ratings

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