Fitch Rates Cabela's Credit Card Master Note Trust 2015-I

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings assigns the following ratings to Cabela's Credit Card Master Note Trust's asset-backed notes series 2015-I as follows:

--$218,750,000 class A-1 fixed-rate 'AAAsf'; Outlook Stable;

--$100,000,000 class A-2 floating-rate 'AAAsf'; Outlook Stable;

--$30,000,000 class B fixed-rate 'A+sf'; Outlook Stable;

--$15,937,000 class C fixed-rate 'BBB+sf'; Outlook Stable;

--$10,313,000 class D fixed-rate 'BB+sf'; Outlook Stable.

KEY RATING DRIVERS

Fitch's ratings are based on the underlying receivables pool, available credit enhancement, 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 2014-II, with credit enhancement totaling 15% for class A, credit enhancement of 7% for the class B, credit enhancement of 2.75% plus an amount from a spread account for the class C, and credit enhancement 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. Similarly, the ratings would only be downgraded under the moderate stress of a 40% increase in defaults and 20% 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 corporate site '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 '[email protected]'.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Credit Card ABS Rating Criteria' (May 2014);

--'Global Structured Finance Rating Criteria' (August 2014);

--'Cabela's Credit Card Master Note Trust, Series 2015-I;

--'Cabela's Credit Card Master Note Trust, Series 2015-I - Appendix'.

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=981390

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Fitch Ratings
Primary Analyst
Jenny Ovalle
Associate Director
+1 212-908-0849
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Herman Poon
Director
+1 212-908-0847
or
Committee Chairperson
Steven Stubbs
Senior Director
+1 212-908-0676
or
Media Relations, New York
Sandro Scenga
+1 212-908-0278
[email protected]

Source: Fitch Ratings

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