Fitch Rates Citi Held for Asset Issuance 2015-PM3

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has assigned the following ratings for Citi Held for Asset Issuance 2015-PM3 notes as indicated:

--Class A Notes 'A+sf'; Outlook Stable;

--Class B Notes 'BBB+sf'; Outlook Stable;

--Class C Notes 'BB-sf'; Outlook Stable.

KEY RATING DRIVERS

Adequate Collateral Quality: The 2015-PM3 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 705 and a weighted average borrower rate of 13.61%.

Sufficient Credit Enhancement and Liquidity Support: The initial hard credit enhancement (CE) for class A, B and C is expected to be 46.50%, 26.50% 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.

Satisfactory Servicing Capabilities: Prosper will service all the loans in the 2015-PM3 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

There were no third-party due diligence provided, as Citi conducted all the due diligence in-house.

Key Rating Drivers and Rating Sensitivities are further described in the presale report titled 'Citi Held for Asset Issuance 2015-PM3', dated Dec. 4, 2015, 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 2015-PM3 - Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=874787

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=997065

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=997065

Endorsement Policy

https://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/20151218005768/en/

Fitch Ratings
Primary Analyst
Charlene M. Davis
Director
+1-212-908-0213
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Melvin Zhou
Director
+1-212-908-0503
or
Committee Chairperson
Michael Dean
Managing Director
+1-212-908-0556
or
Media Relations:
Sandro Scenga, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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