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I AGREE
11 Apr 2011
$366 million of Asset-Backed Securities affected
Toronto, April 11, 2011 -- Moody's has upgraded 12 subordinated classes of asset-backed securities
across nine Series issued out of CARDS II Trust (the "Trust").
These notes are backed by a revolving pool of unsecured credit card receivables
originated and serviced by Canadian Imperial Bank of Commerce (CIBC) (Aa2/P-1).
RATINGS RATIONALE
The upgrade actions are primarily driven by the improvement in the collateral
performance of the pool of credit card receivables which back the issued
notes. The net charge-off rate (monthly, annualized)
has declined meaningfully over the last twelve months, declining
to 5.0% in January 2011 from 6.3% a year earlier
and from the Trust's charge-off rate peak of 7.3%
in May 2009. Similarly, the Trust has experienced a decline
in the delinquency rate, at 2.5% in January 2010 compared
to 2.9% a year ago. Other key performance metrics
including the monthly payment rate and the portfolio yield have remained
stable and further support these ratings actions. The Trust's
payment rate, a measure of the willingness and ability of cardholders
to repay their credit card debt, remained stable throughout the
recent economic recession. For example, in 2008 and 2009
the payment rate averaged 39.4% and 37.1%,
respectively. In 2010, the average payment rate was 38.0%.
In addition, Trust yield has improved modestly, averaging
22.0% in 2010 as compared to 20.0% in 2009.
The improvement in the Trust's collateral performance is consistent
with general Canadian industry trends and also with Moody's Canadian
Credit Card Index performance. Given the improving unemployment
rate and the moderation in the number of bankruptcy filings, two
key drivers of credit card performance, Moody's revised the
outlook on the Canadian credit card ABS sector to stable from negative
in October 2010. In addition, meaningful improvements in
charge-offs and delinquency rates in Moody's Canadian Credit
Card Index have been evident throughout 2010. For example,
the Index charge-off rate for Q4, 2010 was 3.38%
vs. 4.83% for Q4 2009. Moody's expects
loss levels will remain stable and may improve further, although
at a more moderate pace, for both the industry and the Trust.
Moody's expects performance in the range of 4.0%-6.0%
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 the transaction was "Moody's
Approach To Rating Credit Card Receivables-Backed Securities",
published 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.
Complete Rating Actions:
Series 2005-2
$17,391,305 Floating Rate Credit Card Receivables-Backed
Class B Notes, Upgraded to A1 (sf); previously affirmed on
July 22, 2009, A2 (sf)
$17,391,305 Floating Rate Credit Card Receivables-Backed
Class C Notes, Upgraded to Baa1 (sf); previously affirmed on
July 22, 2009, Baa2 (sf)
Series 2006-1
$10,869,566 Floating Rate Credit Card Receivables-Backed
Class B Notes, Upgraded to A1 (sf); previously affirmed on
July 22, 2009, A2 (sf)
$10,869,566 Floating Rate Credit Card Receivables-Backed
Class C Notes, Upgraded to Baa1 (sf); previously affirmed on
July 22, 2009, Baa2 (sf)
Series 2006-2
$4,347,827 Floating Rate Credit Card Receivables-Backed
Class B Notes, Upgraded to A1 (sf); previously affirmed on
July 22, 2009, A2 (sf)
$4,347,827 Floating Rate Credit Card Receivables-Backed
Class C Notes, Upgraded to Baa1 (sf); previously affirmed on
July 22, 2009, Baa2 (sf)
Series 2010-1
$29,694,000 Floating Rate Credit Card Receivables Backed
Class B Notes, Upgraded to Baa1 (sf); previously assigned on
May 21, 2010, Baa2 (sf)
Series 2010-2
$62,534,000, 5.248%, Credit
Card Receivables Backed Fixed Rate Class B Notes, Upgraded to Baa1
(sf); previously assigned on May 21, 2010, Baa2 (sf)
Series 2010-3
$46,901,000, 4.746%, Credit
Card Receivable-Backed Class B Notes, Upgraded to Baa1 (sf);
previously assigned on August 24, 2010, Baa2 (sf)
Series 2011-1
$57,103,000 Floating Rate Credit Card Receivables-Backed
Class B Notes, Upgraded to Baa1 (sf); previously assigned on
January 11, 2011, Baa2 (sf)
Series 2011-2
$57,103,000 Floating Rate Credit Card Receivables-Backed
Class B Notes, Upgraded to Baa1 (sf); previously assigned on
January 11, 2011, Baa2 (sf)
Series 2011-3
$57,103,000 Floating Rate Credit Card Receivables-Backed
Class B Notes, Upgraded to Baa1 (sf); previously assigned on
January 11, 2011, Baa2 (sf)
The seller/servicer for Cards II Trust is Canadian Imperial Bank of Commerce
(CIBC) (Aa2/P-1). CIBC is the largest credit card originator
in Canada. CIBC, headquartered in Toronto, Canada,
is rated B- for bank financial strength and Aa2 for long-term
deposits. The rating outlook on CIBC and its subsidiaries is negative.
The last CIBC rating action was on December 4, 2008 when Moody's
affirmed CIBC's ratings and maintained its negative outlook.
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 satisfactory for the purposes of assigning a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
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independent third-party sources. However, Moody's
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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
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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
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Moody's Canada Inc.
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(416) 214-1635
Moody's upgrades CARDS II Trust's credit card receivables-backed notes
No Related Data.
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