Fitch Ratings assigns the following ratings to Canadian Imperial Bank of Commerce's CARDS II Trust, series 2015-1 credit card receivables backed floating rate class A and class B notes:
--CAD$495,000,000 class A notes 'AAAsf'; Outlook Stable;
--CAD$51,962,000 class B notes 'BBBsf'; Outlook Stable.
KEY RATING DRIVERS:
Fitch's ratings are based on the underlying receivables pool, available credit enhancement, Canadian Imperial Bank of Commerce's underwriting and servicing capabilities, and the transaction's legal and cash flow structures, which employ early amortization triggers.
RATING SENSITIVITY:
Fitch models three different scenarios when evaluating the rating sensitivity compared to expected performance for credit card asset-backed securities transactions: 1) increased defaults; 2) a reduction in purchase rate, and 3) a combination stress of higher defaults and lower monthly payment rate (MPR).
Increasing default rate alone has the least impact on rating migration even in the most severe scenario of a 75% increase in defaults. The rating sensitivity to a reduced purchase rate is more pronounced with a moderate stress, of a 100% decrease, and leads to possible downgrades of the class A. The harshest scenario assumes both default and MPR stresses occur simultaneously. Similarly, the ratings would only be downgraded under the moderate stress of a 50% increase in defaults and 25% reduction in MPR; however, the severe stress could lead to more drastic downgrades to all classes.
To date, the transactions have exhibited strong performance with all performance metrics within Fitch's initial expectations. For further discussion of Fitch's sensitivity analysis, please see the related presale report. For a discussion of the representations, warranties, and enforcement mechanisms available to investors in this transaction please see the related presale appendix.
The presale report is available to all investors on Fitch's website at 'www.fitchratings.com'. For more information about Fitch's comprehensive subscription service FitchResearch, which includes all presale reports, surveillance, and credit reports on more than 20 asset classes, contact product sales at +1-212-908-0800 or at 'webmaster@fitchratings.com'.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Credit Card ABS Rating Criteria' (May 30, 2014);
--'Global Structured Finance Rating Criteria' (Aug. 4, 2014).
Applicable Criteria and Related Research:
Global Credit Card ABS Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748920
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=978946
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