Fitch to Rate Cabela's Credit Card Master Note Trust, Series 2016-I; Presale Issued

NEW YORK--()--Fitch Ratings expects to assign the following ratings to Cabela's Credit Card Master Note Trust's asset-backed notes, series 2016-I:

--$TBD class A-1 fixed-rate 'AAAsf'; Outlook Stable;

--$TBD class A-2 floating-rate 'AAAsf'; Outlook Stable;

--$32,000,000 class B fixed-rate 'Asf'; Outlook Stable;

--$17,000,000 class C fixed-rate 'BBB-sf'; Outlook Stable;

--$11,000,000 class D fixed-rate 'BB-sf'; Outlook Stable.

KEY RATING DRIVERS

Fitch's expected 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 2015-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 Monthly Payment Rate (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.

Cabela's Credit Card Master Note Trust, Series 2016-I (US ABS)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883190

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. 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=1007812

Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1007812

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

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Contacts

Fitch Ratings
Primary Analyst:
John Alberici, +1-212-908-0370
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst:
Stephanie Lobaccaro, +1-212-908-0769
Analyst
or
Committee Chairperson:
Herman Poon, +1-212-908-0847
Senior Director
or
Media Relations:
Sandro Scenga, +1-212-908-0278
New York
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst:
John Alberici, +1-212-908-0370
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst:
Stephanie Lobaccaro, +1-212-908-0769
Analyst
or
Committee Chairperson:
Herman Poon, +1-212-908-0847
Senior Director
or
Media Relations:
Sandro Scenga, +1-212-908-0278
New York
sandro.scenga@fitchratings.com