Capital One Prime is launching a $1.899 billion asset-backed security (ABS) that pools vehicle loans across the United States.
Capital One Prime Auto Receivables Trust 2022-1 (COPAR 2022-1) has eight tranches of which seven were rated by FitchRatings in a Thursday presale report. Three were rated ‘AAA,’ including two tranches for $663.19 million and one for $150.73 million. Another $18.99-million tranche is rated ‘A+’ and a second $18.99-million tranche is rated ‘AA+.’ A ‘BBB+’- rated tranche is $18.98 million. FitchRatings analysts Katrina Broski and Pasquale Giordano authored the report.
The principal balance for the collateral of COPAR 2022-1 is $2.025 billion, compared to COPAR 2021-1, the previous transaction, at $1.356 billion.
Capital One, NA (CONA) is the sponsor, originator and administrator of the receivables, FitchRatings said.
FitchRatings wrote that since 2012, CONA’s managed portfolios’ performances have been strong, with low delinquencies and losses. Absolute loss levels remain below .50%.
The lead arranger is Wells Fargo Securities LLC and the owner trustee is BNY Mellon Trust of Delaware.
The 87,939 loans have an average principal balance of $23,037. Texas, California, Florida, Illinois and Georgia are highly represented states.
The noted vehicle brands in COPAR 2022-1 are Toyotas (13.8%), Fords (10.8%) and Chevrolets (10.8%). New vehicles make up 34.35% and used automobiles are 65.65%.The weighted average APR is 3.62. Utility vehicles make up a little more than half.
More than sixty-seven percent of the weighted average FICO scores are above 750, and no borrower has a score below 700.
FitchRatings said that 77.2% of the loans are longer than 61 months. FitchRatings said that the extended-term loans are available to borrowers with an average FICO score of 770.
Overall, FitchRatings’s 2022 asset performance and rating for prime auto loan ABS’ are ‘neutral’ and ‘positive,’ respectively, the report said.
