Fitch Rates Capital One Multi-asset Execution Trust Class A (2016-4) & Class A (2016-5)

NEW YORK--()--Fitch Ratings has assigned the following ratings to Capital One Multi-asset Execution Trust class A (2016-4) and class A (2016-5):

--$1,100,000,000 class A (2016-4) 'AAAsf'; Outlook Stable;

--$625,000,000 class A (2016-5) '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 (2016-4) and class A (2016-5) 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.

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. 18 Jul 2016)

https://www.fitchratings.com/site/re/884963

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)

https://www.fitchratings.com/site/re/879815

Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)

https://www.fitchratings.com/site/re/875586

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 (2016-4) and Class A (2016-5) Notes -- Appendix

https://www.fitchratings.com/site/re/886635

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1010817

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1010817

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
Director
+1-212-908-0837
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
John Alberici
Associate Director
+1-212-908-0370
or
Committee Chairperson
Herman Poon
Senior Director
+1-212-908-0847
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com

Contacts

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