Fitch Rates CIBC's CARDS II Trust Series 2015-2
--USD\\$450,000,000 class A notes 'AAAsf'; Outlook Stable;
--CAD\\$46,132,000 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 SENSITIVITIES
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 severe stress of a 100% decrease, and leads to possible downgrades of the class A notes. 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 CARDS II Trust 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.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
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