Fitch Rates Cabela's Credit Card Master Note Trust, Series 2016-I
June 29 2016 - 2:02PM
Business Wire
Fitch Ratings assigns the following ratings to Cabela's Credit
Card Master Note Trust's asset-backed notes, series 2016-I, as
follows:
--$570,000,000 class A-1 fixed-rate 'AAAsf'; Outlook Stable;
--$280,000,000 class A-2 floating-rate 'AAAsf'; Outlook
Stable;
--$80,000,000 class B fixed-rate 'Asf'; Outlook Stable;
--$42,500,000 class C fixed-rate 'BBBsf'; Outlook Stable;
--$27,500,000 class D fixed-rate 'BBsf'; Outlook Stable.
KEY RATING DRIVERS
Fitch's ratings are based on the underlying receivables pool,
available credit enhancement (CE), World's Foremost Bank's
underwriting and servicing capabilities, and the transaction's
legal and cash flow structures, which employ early redemption
triggers.
The transaction structure is similar to series 2015-II, with CE
totalling 15% for class A, 7% for the class B, 2.75% plus an amount
from a spread account for the class C, and CE of an amount from a
spread account for the class D notes only.
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 monthly payment rate (MPR), and 3) a combination
stress of higher defaults and lower MPR.
Increasing defaults 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 reduction in MPR is more
pronounced with a moderate stress, of a 25% reduction, leading to
possible downgrades across all classes. The harshest scenario
assumes both stresses occur simultaneously. The severe stress could
lead to more drastic downgrades to all classes.
To date, the transaction has exhibited strong performance with
all performance metrics within Fitch's initial expectations. For
further discussion of Fitch's sensitivity analysis, please see the
presale report related to the transaction listed above.
The presale report is available 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'.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in
relation to this rating action.
Additional information is available at www.fitchratings.com.
Applicable Criteria
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
Exposure Draft: Counterparty Criteria for Structured Finance and
Covered Bonds (pub. 14 Apr 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=878412
Global Credit Card ABS Rating Criteria (pub. 26 Jun 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867482
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=1008182
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1008182
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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Fitch RatingsPrimary AnalystJohn AlbericiAssociate Director+1
212-908-0370Fitch Ratings, Inc.33 Whitehall StreetNew York, NY
10004orSecondary AnalystStephanie LobaccaroAnalyst+1
212-908-1769orCommittee ChairpersonHerman PoonSenior Director+1
212-908-0847orMedia Relations, New YorkSandro Scenga, +1
212-908-0278sandro.scenga@fitchratings.com