Cabela's 2009 Annual Report Download - page 93

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84
CABELA’S INCORPORATED AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Dollars in Thousands Except Share and Per Share Amounts)
Another feature, which is applicable to the notes issued from the Trust, is one in which excess cash flows
generated by the transferred loan receivables are held at the Trust for the benefit of the investors, rather than paid to
WFB. This cash reserve account funding is triggered when the three-month average excess spread rate of the Trust
decreases to below 4.50% or 5.50% (depending on the series) with increasing funding requirements as excess spread
levels decline below preset levels. Similar to early amortization, this feature also is designed to protect the investors’
interests from loss. Credit card loans performed within established guidelines and no events which could trigger an
“early amortization” occurred during the years ended 2009, 2008, and 2007.
In 2008, the Trust entered into a $229,850 notional swap agreement in connection with the Series 2008-I
securitization in order to manage interest rate exposure. The exposure is related to changes in cash flows from
funding credit card loans, which include a high percentage of accounts that do not incur monthly finance charges
based on floating rate obligations. The Series 2008-I swap effectively converts the interest rate on the investor notes
from a floating rate based on a spread over a benchmark to a fixed rate of 4.32%. Since the Trust is not consolidated
with WFB, the fair value of the swap is not reflected on the financial statements of WFB. Cabela’s entered into an
interest rate swap agreement with similar terms with the counterparty where the notional amount of Cabela’s swap
is zero unless the notional amount of WFB’s swap falls below a required amount, effectively making Cabela’s a
guarantor of WFB’s swap. WFB pays a fee to Cabela’s for the credit enhancement provided by this swap. In 2003, in
connection with the Series 2003-1 securitization, the Trust entered into a $300,000 notional swap agreement in order
to manage interest rate exposure. The Series 2003-1 swap effectively converted the interest rate on the investor bonds
from a floating rate based on a spread over a benchmark to a fixed rate of 3.699%. The Series 2003-1 securitization
matured in 2008.