Fitch Rates Capital One Multi-asset Execution Trust Class A (2015-4) & Class A (2015-5)

NEW YORK--()--Fitch Ratings has assigned the following ratings to Capital One Multi-asset Execution Trust, class A (2015-4) and class A (2015-5):

--$275,000,000 class A (2015-4) 'AAAsf'; Outlook Stable;

--$700,000,000 class A (2015-5) 'AAAsf'; Outlook Stable.

KEY RATING DRIVERS

Fitch's rating of the transaction is based on the underlying receivables pool, available credit enhancement, Capital One Bank's underwriting and servicing capabilities, and the transaction's legal and cash flow structures, which employ early redemption triggers.

Credit enhancement (CE) for the class A (2015-4) and class A (2015-5) notes totals 21.00%. The required subordinated amount for the issuance of class A notes, expressed as a percentage of the adjusted outstanding dollar principal amount of class A notes, is 11.3925% of class B notes, 11.3925% of class C notes, and 3.7975% of class D notes.

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 monthly payment rate (MPR).

Increasing defaults alone has no 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 also has no impact on rating migration even in the most severe scenario of a 100% reduction in purchase rate. The harshest scenario assumes increased defaults and reduced MPR simultaneously. All classes could be downgraded under the severe stress of a 75% increase in defaults and 35% reduction in MPR.

To date, the transactions have exhibited strong performance with all performance metrics within Fitch's initial expectations. For further discussion of Fitch's 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.

DUE DILIGENCE USAGE

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

The presale report is available to all investors on Fitch's website at 'www.fitchratings.com'. For more information about Fitch's comprehensive subscription service FitchResearch, which includes all presale reports, surveillance, and credit reports on more than 20 asset classes, contact product sales at +1-212-908-0800 or at 'webmaster@fitchratings.com'.

Additional information is available at www.fitchratings.com.

Applicable Criteria

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

Related Research

Capital One Multi-Asset Execution Trust, Class A (2015-4) and Class A (2015-5) Notes -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=868555

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=988434

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=988434

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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Contacts

Fitch Ratings
Primary Analyst
Harry Kohl
Associate Director
+1-212-908-0837
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Jenny Ovalle
Associate Director
+1-212-908-0849
or
Committee Chairperson
Michael Dean
Managing Director
+1-212-908-9171
or
Media Relations:
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Harry Kohl
Associate Director
+1-212-908-0837
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Jenny Ovalle
Associate Director
+1-212-908-0849
or
Committee Chairperson
Michael Dean
Managing Director
+1-212-908-9171
or
Media Relations:
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com