Capital One is selling another $1.25 billion in bonds backed by Visa and Mastercard credit-card receivables of consumer and small-business accounts in a master-trust securitization.
Both S&P Global Ratings and Fitch Ratings have assigned triple-A ratings to the new 2017-A4, 2017-A5 and 2017-A6 issuances out of the Capital One Multi-Asset Execution Trust (or COMET) platform.
The new notes are in the second group issuance this year from the lender, which usually structures its ABS deals with senior bonds in both fixed- and floating-rate terms and with staggering maturities.
The Class 2017-A4 notes totaling $500 million have an expected maturity of 2020 and the $500 million Class 2017-A6 will pay off in 2022 through the trust’s planned payment waterfall. The $250 million in Class 2017-A5 notes will have a variable rate and will mature in 2024.
The accounts assigned to the collateral pool represent Capital One’s more mature accounts. None are younger than five years and the card users have an average FICO of 720 and a utilization rate of under 20% (average balance of $1,632 on average credit lines of $8,717). Over 52% of carholders have a FICO over 720.
More than one-fifth are “convenience” users who pay off balances in full every month, usually to maximize rewards points gained through purchase activity on the cards.
As of Aug. 15, the consumer segment of Capital One’s managed receivables totaled $23.3 billion while the small business accounts added up to about $3 billion.
S&P has a base-case net loss assumption of 5.5%. COMET losses are about 0.2% below the industry average of issuers in S&P’s credit card quality index. The yield assumption is 18%.
Exclused are private-label charge accounts of Cabela’s outdoors and sporting goods chain, which Capital One acquired last month through Synovus Bank after Synovus bought out Cabela’s finance subsidiary World’s Foremost Bank. (Cabela’s retail business was sold to Bass Pro Group in a $4 billion deal that closed on Sept. 25.)
The new Capital One series is the second bank-card issuance so far in the fourth quarter. On Monday, Discover Financial Services closed on an $825 million bond issuance out of its Discover Card Execution Note Trust, its seventh issuance of 2017.
Capital One and Discover are the first two bank-card securitization deals in the fourth quarter of an active year in the asset-backed market for issuers. According to regulatory filings with the Securities and Exchange Commission, 11 bank-card lenders have issued $37.8 billion in ABS volume in 2017 (including Capital One’s latest offering).
The volume well exceeds the 2016 full-year volume $29 billion, led by Citibank and American Express as the market’s top issuers: Citi with 10 transactions totaling $11.01 billion and American Express with five deals worth $6.92 billion.