Capital One Bank upsized and launched its securitization of approximately $950 million of credit card receivables under its Capital One multi-asset execution trust (COMET). The class A, 2014-1 floating rate notes, with an expected three-year maturity, were upsized by $200 million.
The notes, rated Aaa’/ AAA’ by Moody’s Investors Service and Standard & Poor’s, respectively, launched at 20 basis points over three-month Libor. By comparison, Chase bank, three-year note issued from its Chase Issuance Trust in January, priced at 27 basis points.
JP Morgan, Credit Suisse and RBC Capital Markets are the lead underwriters on the deal.
Capital One manages an aggregate credit card portfolio of approximately $73.2 billion. Roughly $33.6 billion of that has been sold the securitization trust, according to the Moody’s presale report.
Around 23% of the receivables backing the securitization trust were generated by cardholders with a FICO score of less than 660; the largest such concentration of subprime collateral in the Big 6 group of card issuers.“Cardholders with a lower FICO score have a greater likelihood of becoming delinquent on their payments and defaulting,” according to Moody’s.
Most of the COMET’s receivables are tied to card accounts, which Capital One originated at least four years ago. The pool’s weighted average account balance was $2,578 as of the end of November 2013, the lowest compared to COMET’s Big 6 competitors. COMET’s weighted average credit limit was also the lowest among its peers. “A lower balance requires a lower minimum payment, making it easier for cardholders to stay current,” explained Moody’s.