Receivables from Capital One Bank’s revolving consumer and small business credit card accounts will collateralize notes to be issued from the Capital One Multi-Asset Execution Trust A, 2022-1, raising $500 million in the process.
BofA Securities, Citigroup Global Markets, RBC Capital Markets, and Capital One Securities, are lead underwriters on the transaction, according to a pre-sale report from S&P Global Ratings.
Preliminarily, the notes will have a rating of ‘AAA’, according to S&P. They have credit support of 21.0%, provided by the subordinated B, C and D notes, according to S&P. The rating agency believes this subordination can withstand simultaneous stresses that it applies to its 5.5% base-case loss rate, the 20.0% base-case payment rate, the 18.0% base-case yield, and the 2.0% purchase rate assumptions for the credit card receivables backing the notes.
The subordinated classes—B, C, and D—are independent of each other. Additional notes cannot be issued from the card series, however, unless the required credit enhancement for that class of notes is available.
Principal cash flows are shared across all classes of notes. If any single class is poised to repay principal, but its pro rata share of principal cash flows falls short, that class can use principal from all other classes that are not repaying principal.
In terms of the collateral’s characteristics, the small business segment of Capital One’s business usually exhibits higher account balances and credit lines than the consumer agent. Yet a larger percentage of the receivables are from highly seasoned accounts and have higher FICO scores, S&P said.
The rating agency noted that about 61.0% of receivables in the consumer segment are from accounts with a FICO score of 720, while 70.0% of the receivables in the small business segment are from accounts with a FICO score of at least 720. A higher percentage of customers in both segments make at least the full payment, with 36.3% of the consumer segment doing so, and 47.0% of the small business segment makes the full payment.
The notes have an expected maturity date of March 17, 2025, and the deal is expected to close on March 30.
