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