Fitch Rates COPAR 2007-1.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch rates Capital One Prime Auto Receivables Trust (COPAR COPAR Council for the Preservation of Anthropological Records (US) ) 2007-1 asset-backed notes as follows: --$279,000,000 5.3444% class A-1 'F1+'; --$325,000,000 5.43% class A-2 'AAA'; --$308,000,000 5.47% class A-3 'AAA'; --$283,090,000 LIBOR LIBOR See: London Interbank Offered Rate LIBOR See London interbank offered rate (LIBOR). + 0.02% class A-4 'AAA'; --$54,910,000 5.76% class B 'A'. The ratings are based on the high quality of the retail auto receivables originated and serviced by Capital One Auto Finance, Inc. (COAF), available credit enhancement Credit Enhancement A method whereby a company attempts to improve its debt or credit worthiness. Notes: Credit enhancements take many different forms. An example of a credit enhancement would be conversion rights added on to a debt instrument in order to lower the issuing , and the transaction's sound legal and cash flow structures. Initial credit enhancement for the class A notes is 8.50% (4.25% subordination from the class B notes, 3.25% YSOC, and 1.00% initial deposit to the reserve account) and 4.25% for the class B notes. The YSOC represents overcollateralization equal to 3.25% of the current outstanding collateral balance. Enhancement is expected to grow through the application of excess spread to fund the reserve account to its target level of 2.00% of the outstanding collateral balance. The reserve account has a floor of 0.50% of the initial pool balance. A change from previous transactions, the reserve account also includes a step-down trigger that will step down the reserve floor to 0.25% if certain performance triggers are met. Compared with COPAR 2006-2, initial and target enhancement to the 2007-1 notes increased by 3.25% and 1.75% for the class A and class B notes, respectively. Interest on the notes is expected to be distributed on the 15th of each month (or the next business day if the 15th is not a business day) beginning Aug. 15, 2007. As with the past six COPAR securitizations, principal on the notes is paid sequentially, beginning with the class A-1 notes. One notable difference between the 2007-1 collateral and that securitized in the 2006-2 transaction is the exclusion of prime loans originated by COAF and Onyx Acceptance Corporation (Onyx). The 2007-1 transaction consists only of Capital One's Internet originated 'super-prime' loans. The 2006-2 transaction included Onyx originated prime loans and Capital One prime and 'super-prime' loans. The 'super-prime' segment displays a high credit quality as measured by Fair, Isaac, and Co. (FICO FICO See: Financing corporation ) scores, resulting in a higher weighted average FICO score FICO Score A standard credit score which makes up a substantial portion of a credit report that credit bureaus sell to lenders so they can asses an applicant's credit risk and whether to extend them credit. on the 2007-1 portfolio. The 2007-1 transaction has slightly higher seasoning compared to that of the 2006-2 transaction and an increased percentage of new vehicles (43.2%). The weighted average APR APR See: Annual Percentage Rate has decreased to 7.54% (from 7.69% in 2006-2). Fitch expects strong performance from the 2007-1 transaction based on Capital One's retail portfolio's historical performance and past securitizations. Capital One Financial Corp. (rated 'A-', with a Positive Outlook by Fitch as of March 20, 2007) is a nonbank financial services holding company whose principal subsidiaries are Capital One Bank and Capital One Bank FSB (FrontSide Bus) See system bus. FSB - front side bus . Through acquisitions of Summit Acceptance Corp. in 1998, PeopleFirst.com in 2001, and Onyx Acceptance Corp. in September 2004, COAF now underwrites auto loans to a broad spectrum of borrowers, from 'nonprime' to 'super-prime'. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. |
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