NEW YORK--(BUSINESS WIRE)--Fitch Ratings rates Discover Card Execution Note Trust, Class A (2011-B) as follows:
--$500,000,000 class A (2011-B) 'AAAsf'; Outlook Stable.
Fitch's ratings are based on the underlying receivables pool, available credit enhancement, Discover Bank's underwriting and servicing capabilities, and the transaction's legal and cash flow structures, which employ early redemption triggers.
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 MPR.
Increasing defaults alone has little impact on rating migration even in the most severe scenario of a 75% increase in defaults. The rating sensitivity to a reduction in purchase rate is less pronounced with a severe stress, of a 100% reduction, leading to possible downgrades across all classes. The harshest scenario assumes that an increase in defaults and reduction in monthly payment rate occur simultaneously. Similarly, the ratings could be downgraded under the moderate stress of a 50% increase in defaults and 25% reduction in MPR; however, the severe stress could lead to more drastic downgrades to all classes.
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 related presale report. For a discussion of the representations, warranties, and enforcement mechanisms available to investors in this transaction please see the related presale appendix.
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Applicable Criteria and Related Research:
--'Global Credit Card ABS Rating Criteria' (June 2013);
--'Global Structured Finance Rating Criteria' (May 2013).
Applicable Criteria and Related Research: Discover Card Execution Note Trust, Class A (2011-B), DiscoverSeries Notes
Global Credit Card ABS Rating Criteria
Global Structured Finance Rating Criteria