Fitch Rates Capital One Auto Finance Trust 2004-B 'F1+/AAA'

Business Wire, Oct 8, 2004

NEW YORK -- Fitch rates Capital One Auto Finance Trust (COAFT) 2004-B as follows:

-- $287,000,000 class A-1 floating-rate asset-backed notes 'F1+';

-- $440,000,000 class A-2 2.51% asset-backed notes 'AAA';

-- $284,000,000 class A-3 2.96% asset-backed notes 'AAA';

-- $489,000,000 class A-4 floating-rate asset-backed notes 'AAA'.

The ratings are based on the terms of the financial guaranty policy of MBIA Insurance Corp. (MBIA), whose insurer financial strength is rated 'AAA' by Fitch. The ratings are also based on the transaction's sounds legal and cash flow structure and the strength of Capital One Auto Finance, Inc. (COAF) as an originator and servicer of nonprime and subprime auto loans.

The initial credit enhancement for the class A notes is 11.75% and consists of 9.75% in overcollateralization (OC) and a 2% non-declining reserve account. Enhancement is expected to grow through the application of available excess spread to amortize the notes until a target OC of 16% of the outstanding pool balance is reached. If cumulative net losses are below a specified schedule, OC will step-down to 13.50% of the outstanding pool balance.

As of the statistical cutoff date, the receivables had a weighted average APR of 13.47%. The weighted average original term of the pool was 65.67 months and the weighted average remaining term was 62.38 months resulting in approximately 3.29 months of seasoning. Approximately 40.09% of the pool consists of loans secured by new vehicles, versus 59.91% used vehicles. Loans have been originated from various channels, including indirect, direct, refinance, and internet originations, representing approximately 65%, 7%, 6%, and 22% of the pool, respectively.

Interest is distributed on the fifteenth of each month beginning Nov. 15, 2004. Principal payment is sequential, starting with class A-1 notes, unless a triggering event occurs; in which case the class A-1 notes is paid in full and the remainder of the class A notes is paid pro-rata.

Capital One Financial Corp. (COF, rated 'BBB', Rating Outlook Stable, by Fitch) is a non-bank financial services holding company whose principal subsidiaries are Capital One Bank and Capital One Bank FSB. COF is the sixth largest credit card issuer in the United States. The auto finance business is conducted under Capital One Auto Finance, a non-bank subsidiary of COF. COF's entry into the auto finance business began with the company's purchase, in 1998, of Summit Acceptance Corp., a subprime lender. In 2001, COF acquired PeopleFirst.com, an internet-based auto lender focused on 'superprime' customers. With the acquisition of Onyx Acceptance Corp., perceived as a 'mid-prime' lender, on Sept. 22, 2004, COF is enhancing its auto lending offerings and its geographic footprint, especially on the West Coast.