NEW YORK--(BUSINESS WIRE)--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.
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.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016)
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)
Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)
Global Credit Card ABS Rating Criteria (pub. 21 Jul 2016)
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
Capital One Multi-Asset Execution Trust, Class A (2016-4) and Class A (2016-5) Notes -- Appendix
Dodd-Frank Rating Information Disclosure Form