S&P: Capital One Multi-Asset Execution Trust $250 Million Class A(2016-5) Notes Assigned Preliminary 'AAA (sf)' Rating
The note issuance is an asset-backed securities transaction backed by a collateral certificate issued by Capital One Master Trust, which is collateralized by receivables generated by revolving consumer and small business credit card accounts owned by Capital One Bank (USA) N. A. or one of its affiliates.
The preliminary rating is based on information as of Aug. 18, 2016. Subsequent information may result in the assignment of a final rating that differs from the preliminary rating.
The preliminary rating reflects: Our view of the 21% credit support provided by the subordinated class B, C, and D notes, which we believe is sufficient to withstand the simultaneous stresses we apply to our 5.5% base-case loss rate, 18.0% base-case payment rate, 18.0% base-case yield, and 2.0% purchase rate assumptions for the credit card receivables backing the notes. In addition, we used stressed excess spread and note interest rate assumptions to assess whether, in our opinion, sufficient credit support is available for the notes. All of these stress assumptions are based on our current criteria and assumptions (for more information, see "General Methodology And Assumptions For Rating U. S. ABS Credit Card Securitizations," published April 19, 2010, and "Revised Purchase And Payment Rate Assumptions For U. S. Credit Card ABS," Sept. 14, 2011).Our view that the 5% minimum seller's interest is sufficient in our stress scenarios to absorb dilutions, or noncash reductions, in the receivables. Our expectation that under a moderate ('BBB') stress scenario, all else being equal, the 'AAA (sf)' rating on the class A(2016-5) notes will remain within one rating category of the assigned preliminary rating in the next 12 months, based on our credit stability criteria (see "Methodology: Credit Stability Criteria," May 3, 2010).Our view of the credit risk that is inherent in the collateral loan pool (based on our economic forecast), the master trust portfolio's historical performance, the collateral characteristics, and vintage performance data. Our view of Capital One Bank (USA) N. A.'s ('BBB+/Stable/A-2') servicing experience and our opinion of its account origination, underwriting, account management, collections, and general operational practices. Our expectation of the timely interest and ultimate principal payments by the series final maturity date, based on stressed cash flow modeling scenarios using assumptions that are commensurate with the assigned preliminary rating. Our view of the notes' underlying payment structure, cash flow mechanics, and legal structure.