Fitch Affirms Cabela's Credit Card Master Note Trust

NEW YORK--()--Fitch Ratings has affirmed the long-term ratings and Outlooks assigned to Cabela's Credit Card Master Note trust. A full list of rating actions follows at the end of this press release.

KEY RATING DRIVERS

The affirmation is based on continued robust trust performance. Gross Yield has remained stable since last review. As of the January 2016 reporting period, the 12-month average gross yield was 20.06%, marginally higher from the 12-month average of 19.62% at the January 2015 reporting period.

Monthly payment rate (MPR), which measures how quickly consumers are paying off their credit card balance, has decreased over the past year. The current 12-month average is 38.54%, down from 41.19% at the January 2015 reporting period. Despite the recent decline, Cabela's MPR is well over the industry average due to high concentration of prime borrowers. The Fitch Prime Credit Card Index was 29.80% for the January 2016 reporting period.

Gross chargeoffs have continued to remain within healthy ranges over the past year. Currently the 12-month average is 2.04%, up from 1.95% at the January 2015 reporting period. Year over year, 60+ day delinquencies are up 26.32% to 0.48% from this point last year. Fitch expects chargeoff levels to remain stable in the near term given the high quality of the credit card portfolio.

Fitch runs cash flow breakeven analysis by applying stress scenarios to three-, six-, and 12-month performance averages to evaluate the breakeven loss multiples at different rating levels. The performance variables that Fitch stresses are the gross yield, monthly payment rate, gross charge-off, and purchase rates. Fitch's analysis included a comparison of observed performance trends over the past few months to Fitch's base case expectations for each outstanding rating category. The affirmations are based on the performance of the trusts in line with expectations. The Stable Outlook indicates that Fitch expects the ratings will remain stable for the next one to two years.

Fitch's analysis included a comparison of observed performance trends over the past few months to Fitch's base case expectations for each outstanding rating category. As part of its ongoing surveillance efforts, Fitch will continue to monitor the performance of this trust. For further information, please review the U.S. Credit Card ABS Issuance updates published on a monthly basis.

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 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 our sensitivity analysis, please see the new issue report related to one of the transactions listed below.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

Fitch has affirmed the following ratings:

Cabela's Credit Card Master Note Trust Series 2011-II:

--Class A-1 at 'AAAsf'; Outlook Stable;

--Class A-2 at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Stable;

--Class C at 'BBB+sf'; Outlook Stable;

--Class D at 'BB+sf'; Outlook Stable.

Cabela's Credit Card Master Note Trust Series 2011-IV:

--Class A-1 at 'AAAsf'; Outlook Stable;

--Class A-2 at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Stable;

--Class C at 'BBB+sf'; Outlook Stable;

--Class D at 'BB+sf'; Outlook Stable.

Cabela's Credit Card Master Note Trust Series 2012-I:

--Class A-1 at 'AAAsf'; Outlook Stable;

--Class A-2 at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Stable;

--Class C at 'BBB+sf'; Outlook Stable;

--Class D at 'BB+sf'; Outlook Stable.

Cabela's Credit Card Master Note Trust Series 2012-II:

--Class A-1 at 'AAAsf'; Outlook Stable;

--Class A-2 at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Stable;

--Class C at 'BBB+sf'; Outlook Stable;

--Class D at 'BB+sf'; Outlook Stable.

Cabela's Credit Card Master Note Trust Series 2013-I:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Stable;

--Class C at 'BBB+sf'; Outlook Stable;

--Class D at 'BB+sf'; Outlook Stable.

Cabela's Credit Card Master Note Trust Series 2013-II:

--Class A-1 at 'AAAsf'; Outlook Stable;

--Class A-2 at 'AAAsf'; Outlook Stable;

--Class B at 'Asf'; Outlook Stable;

--Class C at 'BBBsf'; Outlook Stable;

--Class D at 'BBsf'; Outlook Stable.

Cabela's Credit Card Master Note Trust Series 2014-I:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'Asf'; Outlook Stable;

--Class C at 'BBBsf'; Outlook Stable;

--Class D at 'BBsf'; Outlook Stable.

Cabela's Credit Card Master Note Trust Series 2014-II:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'Asf'; Outlook Stable;

--Class C at 'BBBsf'; Outlook Stable;

--Class D at 'BBsf'; Outlook Stable.

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

--Class A-1 at 'AAAsf'; Outlook Stable;

--Class A-2 at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Stable;

--Class C at 'BBB+sf'; Outlook Stable;

--Class D at 'BB+sf'; Outlook Stable.

Cabela's Credit Card Master Note Trust Series 2015-II:

--Class A-1 at 'AAAsf'; Outlook Stable;

--Class A-2 at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Stable;

--Class C at 'BBB+sf'; Outlook Stable;

--Class D at 'BB+sf'; Outlook Stable.

Additional Information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

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. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=998824

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=998824

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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Contacts

Fitch Ratings
Primary Analyst
John Alberici
Associate Director
+1-212-908-1370
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Secondary Analyst
Jenny Ovalle
Associate Director
+1-212-908-1849
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1-212-908-9156
or
Media Relations:
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
John Alberici
Associate Director
+1-212-908-1370
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Secondary Analyst
Jenny Ovalle
Associate Director
+1-212-908-1849
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1-212-908-9156
or
Media Relations:
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com