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Announcement:

Moody's announces Counterparty Instrument Rating to the Swap Agreement relating to credit card backed notes issued by Capital One Multi-asset Execution Trust Class C(2004-3)

22 Oct 2010

New York, October 22, 2010 -- Moody's Investors Service announces the following Counterparty Instrument Rating: Ba1 (sf), under review for possible downgrade, to the Swap Agreement dated June 30, 2008 in relation to the Capital One Multi-asset Execution Trust ("COMET") Class C(2004-3) credit card receivables-backed notes (the "Swap").

Moody's originally assigned a counterparty instrument rating of Baa2 (sf) to the Swap on June 30, 2008. It was Moody's intention to make this rating public at the time it was assigned, however due to technical and administrative oversight, this original rating was not released to the public.

Subsequent to the June 30, 2008 assignment of Baa2 (sf) rating on the swap, the ratings of the COMET C(2004-3) notes (originally rated Baa2 (sf) on June 24, 2004) were subject to several ratings actions. Pursuant to the rating rationale outlined below, the ratings history of the Swap coincides directly with that of the Class C(2004-3) notes.

At this time, Moody's is announcing the following ratings history for the Swap:

June 30, 2008:

Swap Agreement dated June 30, 2008 in relation to the Capital One Multi-asset Execution Trust Class C(2004-3) credit card receivables-backed notes, rated Baa2 (sf)

April 20, 2009:

Swap Agreement dated June 30, 2008 in relation to the Capital One Multi-asset Execution Trust Class C(2004-3) credit card receivables-backed notes, rated Baa2 (sf), placed under review for possible downgrade

July 1, 2009:

Swap Agreement dated June 30, 2008 in relation to the Capital One Multi-asset Execution Trust Class C(2004-3) credit card receivables-backed notes, downgraded to Ba1 (sf) from Baa2 (sf)

July 28, 2010:

Swap Agreement dated June 30, 2008 in relation to the Capital One Multi-asset Execution Trust Class C(2004-3) credit card receivables-backed notes, rated Ba1 (sf), placed under review for possible downgrade

Rating Rationale

Counterparty Instrument Ratings measure the risk posed to a counterparty on an expected loss basis arising from the special purpose vehicle's (SPV's) inability to honor its obligations under the referenced financial contract. The ratings do not address potential losses in relation to any market risk associated with the transaction.

Capital One Multi-asset Execution Trust ("COMET"), Class C(2004-3) is a U.S. credit card-backed securities transaction, backed by a revolving pool of consumer and small business credit card receivables originated and serviced by Capital One Bank USA, N.A. ("Capital One Bank").

The ratings of Capital One Bank are as follows: long-term bank deposits rated A2, under review for possible downgrade; short-term bank deposits rated P-1, under review for possible downgrade; bank financial strength rated C. In order to hedge interest rate and currency mismatches between the underlying credit card receivables denominated in U.S. dollars, and the outstanding notes denominated in British pounds, COMET has entered into a swap with Barclays Bank PLC ("Barclays"; long-term bank deposits rated Aa3, short-term bank deposits rated P-1, bank financial strength rated C).

The assigned Counterparty Instrument Rating is based upon the pari passu ranking of swap payments relative to the payments to Class C(2004-3) noteholders in the transaction waterfall. Consequently, in the ordinary course of events, the ability of COMET to honor its obligations to make the swap payments is considered equal to its ability to make the scheduled payments on the underlying notes. The ratings history of the Swap is highly correlated to the ratings history of the related COMET Class C(2004-3) notes.

In some scenarios, termination payments could be placed subordinate to noteholder interests. However, based in part on the ratings of Capital One Bank and Barclays Bank PLC the scenario of events that would trigger such subordination of termination payments is considered beyond the risk profile of the current rating on the Class C(2004-3) notes.

Moody's initially analyzed and will monitor this rating using the methodologies for hedge counterparty risks and credit card ABS transactions as described in the reports, "Framework for De-Linking Hedge Counterparty Risks from Global Structured Finance Cashflow Transactions Moody's Methodology", and "Moody's Approach to Rating Credit-Card Receivables Backed Securities" which are both available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website.

Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments in this transaction.

Regulatory Disclosures

Sources of Information used to prepare the credit rating are the following: parties involved in the ratings, public information and confidential and proprietary Moody's Investors Service's information.

Moody's Investors Service considers the quality of information available on the issuer satisfactory for the purposes of assigning a credit rating.

Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

Moody's ratings are subject to revision, suspension or withdrawal at any time at our absolute discretion. The ratings are expressions of opinion and not recommendations to purchase, sell or hold securities. Moody's issues provisional ratings in advance of the final sale of securities and these ratings reflect Moody's preliminary credit opinion regarding the transaction. Upon a conclusive review of the final versions of all the documents and legal opinions, Moody's will endeavor to assign a definitive rating to the transaction. A definitive rating may differ from a provisional rating.

Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

Please see the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer page on Moodys.com for the rating history.

New York
Jeffrey Hibbs
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
William Black
MD - Structured Finance
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.

Moody's announces Counterparty Instrument Rating to the Swap Agreement relating to credit card backed notes issued by Capital One Multi-asset Execution Trust Class C(2004-3)
No Related Data.
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