DBRS Assigns Provisional Ratings of AAA (sf) and BBB (sf) to CARDS II Trust, Series 2011-4

DBRS has today assigned provisional ratings to the Credit Card Receivables-Backed Notes, Series 2011-4 (the Notes) to be issued by CARDS II Trust (the Trust) as indicated below:

-- AAA (sf) to the Credit Card Receivables-Backed Class A Notes, Series 2011-4
-- BBB (sf) to the Credit Card Receivables-Backed Class B Notes, Series 2011-4

The ratings are based on the following factors:

(1) For the Class A Notes, credit enhancement will be available through subordination of 6.5%, excess spread and the series-specific cash reserve account, which could build up to 5% of the Initial Invested Amount.

(2) For the Class B Notes, credit enhancement will be available through excess spread and the series-specific cash reserve account.

(3) Since 2008, three-month average payment rates generally remained above 35%. While three-month average loss rates increased from 3.7% in July 2008 to 7.1% in July 2009, loss rates and delinquencies are now declining and stabilizing. The removal of the 2% cap on interchange fees on June 25, 2009, also helped mitigate the impact of the increase in loss rates and increased the protection for the investors.

(4) The custodial pool is seasoned and well diversified and is the largest in Canada.

DBRS’s stress testing indicates that simultaneous declines in yield and payment rates and increases in losses would not result in a failure of the Trust in repaying the Notes on a timely basis. The severity of the tests applied is commensurate with the respective ratings of the Notes.

DBRS’s partial commingling policy for revolving asset pools has been incorporated for the Notes. DBRS believes that the partial commingling provisions mitigate potential losses to the Noteholders and also provide clarification to market participants with respect to the collection process if the seller/servicer is financially weakened.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The applicable methodologies are DBRS Criteria for Canadian Credit Card Securitization and Legal Criteria for Canadian Structured Finance, which can be found on our website under Methodologies.

MEDIA CONTACT:
Caroline Creighton
Senior Vice President,
Communications
Tel. +1 416 597 7317
ccreighton@dbrs.com