NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings to Capital One Multi-asset Execution Trust class A (2016-6) and class A (2016-7):
--$800,000,000 class A (2016-6) 'AAAsf'; Outlook Stable;
--$475,000,000 class A (2016-7) 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Fitch's rating of the transaction is based on the underlying receivables pool, available credit enhancement (CE), Capital One Bank's underwriting and servicing capabilities, and the transaction's legal and cash flow structures, which employ early redemption triggers.
CE for the class A (2016-6) and class A (2016-7) 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.
CRITERIA VARIATIONS
Eligible Institution: Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness, as per the "Counterparty Criteria for Structured Finance and Covered Bonds", dated Sept. 1, 2016. The definition of eligible institutions for this deal allows for the possibility of using a depository institution not rated by Fitch, which does not meet the Fitch counterparty criteria for a 'AAAsf' rated note. Since The Bank of New York Mellon, as Indenture Trustee currently maintains a 'AA'/'F1+'/Outlook Stable rating, Fitch doesn't believe such a variation currently has a measurable impact upon the ratings assigned.
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. The class C could be downgraded under the severe stress of a 75% increase in defaults and 35% reduction in MPR.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by accessing the appendix referenced under "Related Research" below. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated May 31, 2016.
Additional information is available at www.fitchratings.com.
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)
https://www.fitchratings.com/site/re/886006
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 26 Oct 2016)
https://www.fitchratings.com/site/re/888492
Global Credit Card ABS Rating Criteria (pub. 21 Jul 2016)
https://www.fitchratings.com/site/re/885146
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
https://www.fitchratings.com/site/re/883130
Related Research
Capital One Multi-Asset Execution Trust, Class A (2016-6) and Class A (2016-7) Notes -- Appendix
https://www.fitchratings.com/site/re/891400
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1016177
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1016177
Endorsement Policy
https://www.fitchratings.com/regulatory
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