Despite slight weakness in recent performances among Capital One account holders, the Capital One Multi-Asset Execution Trust (COMET) is preparing to issue $500 million in asset-backed securities, backed by a pool of credit card receivables.
In a trailing twelve-month (TTM) period leading up to March 2023 collections, the card accounts that underpin the COMET 2023-1's collateral, some 1.04% of accounts experienced 60-plus day delinquencies, up from 0.72% in the same period the previous year, according to FitchRatings, which will assign ratings to the notes issued from the trust.
The collateral underwent a number of other performance changes, according to Fitch. Net chargeoffs for May, apparently, had increased 1.56%, up 10 basis points from the previous month, Fitch said. Gross yield for the trust reached 28.00%, up from 26.26% one year before. The monthly payment rate, meanwhile, had decreased to 49.11% from 50.57% as of March 2022.
COMET's collateral pool continues to exhibit stable performance, however, which it considers to be a neutral credit risk. In the March collection period the 12-month average for chargeoffs was 2.02%, lower than the average of 2.12% from one year ago. Also, monthly payment rates have increased in recent years, currently at 49.11%, up from 48.69%. Despite these positive performance trends, Fitch says it is remaining vigilant about the higher costs of living and record high debt to put added pressure on households as they try to keep up payments on their outstanding balances. The backdrop of rising interest rates further offsets the 12-month average chargeoffs.
While the Federal Reserve is still considering rate hikes to tame inflation, Fitch noted that credit enhancement would mitigate any interest rate risk. The rating agency also said the current notes are part of a multi-issuance series consisting of classes A, B, C, and D. Credit enhancement on the class A notes is 21.00%. Further, Fitch said, the required subordinated amount for the class A notes is 11.39% of class B notes, 11.39% of class C notes, and 3.79% of the class D notes.
RBS Capital Markets, J.P. Morgan Securities and Wells Fargo Securities are underwriters on the deal, which will issue one class of notes rated 'AAA'. They have a legal final maturity of May 15, 2028.
None of the notes have any Libor or Secured Overnight Financing Rate (SOFR) exposure.
