DBRS Confirms Ratings on U.S. ABS Credit Card Transactions

DBRS, Inc. (DBRS) has today confirmed 42 classes from ten publicly rated U.S. structured finance asset-backed securities within one master trust. The 42 classes were confirmed as credit enhancement levels are sufficient to cover DBRS’s expected losses at their current respective rating levels. Additionally, nine classes from one publicly rated U.S. structured finance transaction were discontinued due to repayment.

The following public transactions were discontinued:
-- Cabela’s Credit Card Master Note Trust Series 2010-II
-- Cabela’s Credit Card Master Note Trust Series 2011-II

The following public transactions were confirmed:
-- Cabela’s Credit Card Master Note Trust Series 2011-IV
-- Cabela’s Credit Card Master Note Trust Series 2012-I
-- Cabela’s Credit Card Master Note Trust Series 2012-II
-- Cabela’s Credit Card Master Note Trust Series 2013-I
-- Cabela’s Credit Card Master Note Trust Series 2013-II
-- Cabela’s Credit Card Master Note Trust Series 2014-I
-- Cabela’s Credit Card Master Note Trust Series 2014-II
-- Cabela’s Credit Card Master Note Trust Series 2015-I
-- Cabela’s Credit Card Master Note Trust Series 2015-II

The DBRS ratings are based on DBRS’s review of the following analytical considerations:
-- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement.
-- The transaction parties’ capabilities with regard to origination, underwriting and servicing.
-- Credit quality of the collateral pool and historical performance.

The confirmation of the outstanding ratings outlined below reflects the current credit enhancement levels for the outstanding notes provided by subordination, as well as the cash collateral account. As of the June 2016 payment date, the cumulative net loss ratio was 1.92% of the original collateral balance.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodology is the DBRS Master U.S. ABS Surveillance Methodology, which can be found on our website under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

Please see attached appendix for additional information regarding sensitivity of assumptions used in the rating process.