Fitch Ratings has affirmed all classes of Capital One Multi-asset Execution Trust and revised the Outlook on the class B, C and D notes to Stable from Negative as a result of positive performance trends, as follows:
-- 2004-1A at 'AAAsf'; Outlook Stable;
-- 2004-4A at 'AAAsf'; Outlook Stable;
-- 2004-7A at 'AAAsf'; Outlook Stable;
-- 2004-8A at 'AAAsf'; Outlook Stable;
-- 2005-1A at 'AAAsf'; Outlook Stable;
-- 2005-6A at 'AAAsf'; Outlook Stable;
-- 2005-7A at 'AAAsf'; Outlook Stable;
-- 2005-9A at 'AAAsf'; Outlook Stable;
-- 2005-10A at 'AAAsf'; Outlook Stable;
-- 2006-1A at 'AAAsf'; Outlook Stable;
-- 2006-3A at 'AAAsf'; Outlook Stable;
-- 2006-5A at 'AAAsf'; Outlook Stable;
-- 2006-8A at 'AAAsf'; Outlook Stable;
-- 2006-10A at 'AAAsf'; Outlook Stable;
-- 2006-11A at 'AAAsf'; Outlook Stable;
-- 2006-12A at 'AAAsf'; Outlook Stable;
-- 2007-1A at 'AAAsf'; Outlook Stable;
-- 2007-2A at 'AAAsf'; Outlook Stable;
-- 2007-4A at 'AAAsf'; Outlook Stable;
-- 2007-5A at 'AAAsf'; Outlook Stable;
-- 2007-7A at 'AAAsf'; Outlook Stable;
-- 2007-8A at 'AAAsf'; Outlook Stable;
-- 2008-3A at 'AAAsf'; Outlook Stable;
-- 2004-3B at 'Asf'; Outlook revised to Stable from Negative;
-- 2004-7B at 'Asf'; Outlook revised to Stable from Negative;
-- 2005-1B at 'Asf'; Outlook revised to Stable from Negative;
-- 2005-3B at 'Asf'; Outlook revised to Stable from Negative;
-- 2006-1B at 'Asf'; Outlook revised to Stable from Negative;
-- 2007-1B at 'Asf'; Outlook revised to Stable from Negative;
-- 2009-C (B) at 'Asf'; Outlook revised to Stable from Negative;
-- 2003-3C at 'BBBsf'; Outlook revised to Stable from Negative;
-- 2004-2C at 'BBBsf'; Outlook revised to Stable from Negative;
-- 2004-3C at 'BBBsf'; Outlook revised to Stable from Negative;
-- 2006-2C at 'BBBsf'; Outlook revised to Stable from Negative;
-- 2006-3C at 'BBBsf'; Outlook revised to Stable from Negative;
-- 2007-1C at 'BBBsf'; Outlook revised to Stable from Negative;
-- 2007-2C at 'BBBsf'; Outlook revised to Stable from Negative;
-- 2007-4C at 'BBBsf'; Outlook revised to Stable from Negative;
-- 2009-A (C) at 'BBBsf'; Outlook revised to Stable from Negative;
-- 2002-1D at 'BBsf'; Outlook revised to Stable from Negative.
Sixty plus day delinquency numbers have steadily decreased since the peak of 4.96% in January 2010 to 2.37% in the July 2011 reporting period. As a result, Fitch expects chargeoffs to improve in the coming months. Chargeoff numbers have continued to decrease from the peak of 12.66% in April 2010. A year ago, the 12 month average gross chargeoffs was 11.22% compared to 8.62% as of July 2011.
Monthly payment rate (MPR), a measure of how quickly consumers are paying off their credit card debts, has improved over the past year to a 12 month average of 20.55% compared to 18.16% in July 2010.
Excess spread has grown substantially in the past year, reaching historical levels. The three-month average excess spread has not caused the spread account to trap since August 2010.
The class D notes, which benefit from a dedicated spread account, were initially placed on Rating Watch Negative on May 11, 2009 due to their sole reliance on the spread account for credit enhancement and declining breakeven multiples. At the time, excess spread was volatile and experiencing intermittent compression. At the time of last review in August 2010, the class D spread account was fully funded at 0.25%. The increase in excess spread as well as the improved performance both contributed to the revision to Outlook Negative from Watch Negative at that time.
As a result of the positive performance trends, Fitch is able to revise its performance expectations for the trust. Based on the revised performance expectations, the Class B, C and D notes now have a breakeven multiple consistent with a Stable Outlook.
Fitch runs cash flow breakeven analysis by applying stress scenarios to three and 12-month averages performances to test that under the stressed conditions, the transaction can withstand a level of losses commensurate with the risk associated to a rating level with the available credit enhancement. The variables that Fitch stresses are the gross yield, monthly payment rate, gross charge-off, and purchase rates. For further information, please review the U.S. Credit Card ABS Issuance updates published on a monthly basis.
Fitch's analysis included a comparison of observed performance trends over the past few months to Fitch's base case expectations for each outstanding rating category. As part of its ongoing surveillance efforts, Fitch will continue to monitor the performance of these trusts.
Additional information is available at 'www.fitchratings.com'
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' dated Aug. 13, 2010;
--'Global Credit Card ABS Rating Criteria' dated June 28, 2011.
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326
Global Credit Card ABS Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=639672
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