NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings to Canadian Imperial Bank of Commerce's (CIBC) CARDS II Trust, series 2016-1 credit card receivables-backed USD floating-rate class A and CAD floating-rate class B notes:
--USD750,000,000 class A notes 'AAAsf'; Outlook Stable;
--CAD76,512,000 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.
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
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884963
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=879815
Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875586
Global Credit Card ABS Rating Criteria (pub. 21 Jul 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=885146
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1009555
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1009555
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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