Fitch Affirms Discover Card Execution Note Trust

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed Discover Card Execution Note Trust's long-term ratings. The Rating Outlooks remain Stable. A full list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The affirmation is based on continued positive trust performance and robust breakeven multiples.

The current 12-month average gross yield for Discover Card Execution Note Trust is 18.26% as of the March 2016 distribution period.

Monthly payment rate (MPR), a measure of how quickly consumers are paying off their debt, has improved over the past year. Currently the 12-month average is 23.00%, up from 22.74% at the March 2015 distribution period.

Gross chargeoffs have declined since last review. Currently, the 12-month average is 2.57%, down from 2.79% at last year's review. As of the March 2016 reporting period, the 12-month average 60+ day delinquencies were 0.96% compared to the 12 -month average of 1.06% at 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 stress are gross yield, monthly payment rate, gross charge-off, and purchase rates. For further information, please review the U.S. Credit Card ABS Issuance updates published on a monthly basis.

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 these trusts.

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 purchase rate, and 3) a combination stress of higher defaults and lower MPR. The default and MPR stresses are stressed off the Fitch steady state levels.

Decreasing purchase rate alone has the least impact on rating migration even in the most severe scenario of a 100% decrease in purchase rate. The rating sensitivity to an increase in defaults from the steady state level also does not have any rating migration. The harshest scenario assumes both stresses to defaults and MPR to occur simultaneously. The ratings would only be downgraded under the severe stress of a 75% increase in defaults and 35% reduction in MPR from steady state levels.

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 any of the transactions.

DUE DILIGENCE USAGE

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

Fitch has affirmed the following ratings:

Discover Card Execution Note Trust

--2007-1A at 'AAAsf'; Outlook Stable;

--2010-E A at 'AAAsf'; Outlook Stable;

--2011-B A at 'AAAsf'; Outlook Stable;

--2011-4A at 'AAAsf'; Outlook Stable;

--2012-4A at 'AAAsf'; Outlook Stable;

--2012-6A at 'AAAsf'; Outlook Stable;

--2013-1A at 'AAAsf'; Outlook Stable;

--2013-3A at 'AAAsf'; Outlook Stable;

--2013-4A at 'AAAsf'; Outlook Stable;

--2013-5A at 'AAAsf'; Outlook Stable;

--2013-6A at 'AAAsf'; Outlook Stable;

--2014-A1 at 'AAAsf'; Outlook Stable;

--2014-A2 at 'AAAsf'; Outlook Stable;

--2014-A3 at 'AAAsf'; Outlook Stable;

--2014-A4 at 'AAAsf'; Outlook Stable;

--2014-A5 at 'AAAsf'; Outlook Stable;

--2015-A1 at 'AAAsf'; Outlook Stable;

--2015-A2 at 'AAAsf'; Outlook Stable;

--2015-A3 at 'AAAsf'; Outlook Stable;

--2015-A4 at 'AAAsf'; Outlook Stable;

--2015-A (VFN) at 'AAAsf'; Outlook Stable;

--2016-A1 at 'AAAsf'; 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=1001509

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1001509

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.

View source version on businesswire.com: http://www.businesswire.com/news/home/20160324006196/en/

Fitch Ratings
Primary Analyst
John Alberici
Associate Director
+1-212-908-0370
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Harry Kohl
Director
+1-212-908-0837
or
Committee Chairperson
Herman Poon
Senior Director
+1-212-908-0847
or
Media Relations:
Sandro Scenga, +1-212-908-0278
[email protected]

Source: Fitch Ratings

---

Serious News for Serious Traders! Try StreetInsider.com Premium Free!

---

You May Also Be Interested In

• AM Best Revises Issuer Credit Rating Outlook to Stable for Brotherhood Mutual Insurance Company
• Green Builder Media Announces "Leading from the Front," a National Leadership Initiative to Advance Sustainable Housing
• Alpha and Omega Semiconductor Unveils AmpStack™ Packaging: A Leap Forward in MOSFET Power Density