Fitch Rates Capital One Multi-asset Execution Trust Class A (2015-7) & Class A (2015-8)
--$425,000,000 class A (2015-7) 'AAAsf'; Outlook Stable;
--$500,000,000 class A (2015-8) '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 (2015-7) and class A (2015-8) 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.
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.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
For a discussion of the representations, warranties, and enforcement mechanisms available to investors in this transaction please see the related presale appendix.
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