Capital One Multi-Asset, 2022-1, to raise $500 million in ABS
Receivables from Capital One Bank’s personal and small business revolving credit card accounts will secure the notes to be issued from 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 the lead underwriters in the transaction, according to a pre-sale report from S&P Global Ratings.
Initially, the notes will have a “AAA” rating, according to S&P. They have credit support of 21.0%, provided by the subordinated notes B, C and D, according to S&P. The rating agency believes that this subordination can withstand the simultaneous constraints it applies to its 5.5% loss rate, 20.0% payout rate, 18.0% yield and assumptions of 2.0% purchase rate for credit. card receivables backing the notes.
The subordinate classes – B, C and D – are independent of each other. However, additional tickets cannot be issued from the card series unless the credit enhancement required for that ticket category is available.
The main cash flows are shared between all classes of notes. If a single class is about to repay principal, but its pro rata share of principal cash flows is insufficient, that class may use principal from all other classes that are not repaying principal.
In terms of collateral characteristics, Capital One’s small business segment typically has higher account balances and lines of credit than the consumer agent. Still, a larger percentage of receivables come from highly seasoned accounts and have higher FICO scores, S&P said.
The rating agency noted that approximately 61.0% of consumer segment receivables come from accounts with a FICO score of 720, while 70.0% of small business segment receivables come from accounts with a FICO score. of at least 720. A higher percentage of customers in both segments make at least full payment, with 36.3% of the consumer segment doing so and 47.0% of the small business segment making full payment.
The notes have an expected maturity date of March 17, 2025 and the transaction is expected to close on March 30.