Toronto, January 12, 2011 -- Moody's Investors Service has assigned definitive ratings to the Class
A and Class B Floating Rate Series 2011-1, Series 2011-2
and Series 2011-3 Notes (the "Series 2011 Notes") to
be issued by CARDS II Trust.
$500,000,000 Floating Rate Credit Card Receivables-Backed
Class A Notes, Series 2011-1 Definitive Rating Assigned Aaa
(sf)
$57,103,000 Floating Rate Credit Card Receivables-Backed
Class B Notes, Series 2011-1 Definitive Rating Assigned Baa2
(sf)
$500,000,000 Floating Rate Credit Card Receivables-Backed
Class A Notes, Series 2011-2 Definitive Rating Assigned Aaa
(sf)
$57,103,000 Floating Rate Credit Card Receivables-Backed
Class B Notes, Series 2011-2 Definitive Rating Assigned Baa2
(sf)
$500,000,000 Floating Rate Credit Card Receivables-Backed
Class A Notes, Series 2011-3 Definitive Rating Assigned Aaa
(sf)
$57,103,000 Floating Rate Credit Card Receivables-Backed
Class B Notes, Series 2011-3 Definitive Rating Assigned Baa2
(sf)
RATINGS RATIONALE
The ratings are based on the quality of the underlying pool of credit
card receivables, the expertise of the seller/servicer, Canadian
Imperial Bank of Commerce (Aa2/P-1), the transaction's legal
and structural protections, including early amortization triggers,
and credit enhancement in the form of excess spread.
The Floating Rate Series 2011-1, Series 2011-2 and
Series 2011-3 Class A Notes constitute 89.75% of
the total invested amount and are enhanced by Series 2011-1,
Series 2011-2 and Series 2011-3 subordinate Class B Notes
which constitutes 10.25% of the total invested amount.
The Series 2011-1, Series 2011-2 and Series 2011-3
Notes have January 16, 2012, July 16, 2012 and January
15, 2013 expected principal payment dates, respectively.
Additional enhancement may be provided by retention of excess spread in
the series specific cash reserve account, which will initially be
unfunded. If the three-month average excess spread of a
series falls below specified levels that start at 4.0%,
the size of the cash reserve account for that series should progressively
increase after each level is breached.
Moody's expects performance in the range of 4.5%-6.5%
for net charge-offs, 20.0%-23.0%
for yield and 34.0%-38.0% for the payment
rate.
Moody's performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted,
change these expectations. Performance that falls outside the given
range may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities were rated.
Even so, a deviation from the expected range will not necessarily
result in a rating action nor does performance within expectations preclude
such actions. The decision to take (or not take) a rating action
is dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
The principal methodology used in rating notes issued by CARDS II Trust
was "Moody's Approach To Rating Credit Card Receivables-Backed
Securities" rating methodology published on April 16, 2007.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments in this transaction.
Parameter Sensitivities provide a quantitative, model-indicated
calculation of the number of notches that a Moody's-rated structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the deal has
not aged. It is not intended to measure how the rating of the security
might migrate over time, but rather how the initial rating of the
security might differ as certain key parameters vary.
In rating Canadian Credit Card ABS, the payment rate, charge-off
rate, purchase rate, yield and certain other inputs are used
to calculate the median expected loss and the Aaa enhancement.
These two, in turn, are the inputs used to determine a new
lognormal loss distribution. Three new lognormal loss distributions
were calculated for each rating class by assuming the following three
payment and gross charge-off rate combinations: (1) 29%/10%,
(2) 23%/13% and (3) 16%/16% from the base
case of 36%/7%. For the Series 2011-1,
Series 2011-2 and Series 2011-3 Class A Notes, the
ratings for the respective combinations from the base case of Aaa are
(1) Aa1 (one notch) (2) Aa2 (two notches) and (3) A1 (four notches).
The Volatility Score ("V Score") for this transaction is Low/Medium,
which is the same as the V Score assigned to the Canadian Credit Card
ABS sector. On December 19, 2008, Moody's published
a report introducing V Scores and Parameter Sensitivities for the global
credit card ABS sector. Moody's V Scores provide a relative assessment
of the quality of available credit information and the potential variability
around the various inputs to a rating determination. V Scores are
intended to rank transactions by the potential for significant rating
changes owing to uncertainty around the assumptions due to data quality,
historical performance, the level of disclosure, transaction
complexity, the modeling and the transaction governance that underlie
the ratings. V Scores apply to the entire transaction (rather than
individual tranches).
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service's information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Additional research, including a pre-sale report, is
available at www.moodys.com. A special report entitled
"V Scores and Parameter Sensitivities in the Global Credit Card ABS Sector"
is also available on moodys.com. In addition, Moody's
publishes a weekly summary of structured finance credit, ratings
and methodologies, available to all registered users of our website,
at www.moodys.com/SFQuickCheck.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Toronto
Michael Buzanis
VP - Senior Credit Officer
Structured Finance Group
Moody's Canada Inc.
(416) 214-1635
New York
Luisa De Gaetano
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Canada Inc.
70 York Street
Suite 1400
Toronto, ON M5J 1S9
Canada
(416) 214-1635
Moody's assigns definitive ratings to the CARDS II Trust, Series 2011-1, 2011-2 and 2011-3 Notes