Fitch Affirms Ratings on Capital One Multi-asset Execution Trust; Outlook Stable

Fitch Ratings has affirmed all classes and Rating Outlooks of Capital One Multi-asset Execution Trust. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The affirmations are based on continued positive trust performance. The current 12-month average gross yield is 22.56% as of the April 2016 reporting period, slightly lower than the 12-month average of 22.91% the previous year.

Monthly payment rate (MPR), a measure of how quickly consumers are paying off their credit card debts, has improved over the past year. Currently, the 12-month average is 28.67%, higher than the 12-month average of 27.26% the previous year.

Gross charge-offs have experienced a slight decline over the past year. As of the April 2016 reporting period the 12-month average is 3.64%, compared to 4.15% as of the April 2015 reporting period. Twelve-month averages for 60+ day delinquencies also declined to 1.47% from 1.70% over the same period.

Fitch runs cash flow breakeven analysis by applying stress scenarios to three-, six-, and 12-month performance averages to evaluate the breakeven loss multiples at different rating levels. The performance variables that Fitch stresses are the gross yield, MPR, gross charge-off, and purchase rates. 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. For further information, please review the U.S. Credit Card ABS Issuance updates published on a monthly basis, available at www.fitchratings.com.

The affirmations are based on the performance of the trust, which is line with expectations. The Stable Outlook indicates that Fitch expects the ratings will remain stable for the next one to two years.

RATING SENSITIVITIES

Fitch models three different scenarios when evaluating the rating sensitivity compared to expected performance for credit card asset-backed securities transactions: 1) increased defaults; 2) a reduction in purchase rate, and 3) a combination stress of higher defaults and lower MPR.

Increasing defaults alone has the least impact on rating migration even in the most severe scenario of a 75% increase in defaults. The rating sensitivity to a reduction in purchase rate also does not result in any rating migration in the most severe scenario of a 100% decrease in purchase rate. The harshest scenario assumes both stresses to defaults and MPR to occur simultaneously. The ratings would only be downgraded under the severe stress of a 75% increase in defaults and 35% reduction in MPR. To date, the transactions have exhibited strong performance with all performance metrics within Fitch's initial expectations. For further discussion of sensitivity analysis, please see the new issue report related to one of the transactions listed below.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to this rating action.

Fitch has affirmed the following ratings:

-- 2006-11A at 'AAAsf'; Outlook Stable;

-- 2007-1A at 'AAAsf'; Outlook Stable;

-- 2007-2A at 'AAAsf'; Outlook Stable;

-- 2007-5A at 'AAAsf'; Outlook Stable;

-- 2007-7A at 'AAAsf'; Outlook Stable;

-- 2013-3A at 'AAAsf'; Outlook Stable;

-- 2014-1A at 'AAAsf'; Outlook Stable;

-- 2014-2A at 'AAAsf'; Outlook Stable;

-- 2014-3A at 'AAAsf'; Outlook Stable;

-- 2014-4A at 'AAAsf'; Outlook Stable;

-- 2014-5A at 'AAAsf'; Outlook Stable;

-- 2015-A1 at 'AAAsf'; Outlook Stable;

-- 2015-A2 at 'AAAsf'; Outlook Stable;

-- 2015-A3 at 'AAAsf'; Outlook Stable;

-- 2015-A4 at 'AAAsf'; Outlook Stable;

-- 2015-A5 at 'AAAsf'; Outlook Stable;

-- 2015-A6 at 'AAAsf'; Outlook Stable;

-- 2015-A7 at 'AAAsf'; Outlook Stable;

-- 2015-A8 at 'AAAsf'; Outlook Stable

-- 2004-3B at 'Asf'; Outlook Stable;

-- 2005-3B at 'Asf'; Outlook Stable;

-- 2007-1B at 'Asf'; Outlook Stable

-- 2009-C (B) at 'Asf'; Outlook Stable;

-- 2007-1C at 'BBBsf'; Outlook Stable;

-- 2009-A (C) at 'BBBsf'; Outlook Stable;

-- 2002-1D at 'BBsf'; Outlook Stable.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Global Credit Card ABS Rating Criteria (pub. 26 Jun 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867482

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1003640

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1003640

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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