SUBJECT TO REVISION
SERIES TERM SHEET DATED AUGUST 16, 2000
[LOGO OF CAPITAL ONE]
Capital One Master Trust
Issuer
Capital One Bank
Seller and Servicer
$605,625,000 Class A Floating Rate Asset Backed Certificates, Series 2000-3
$69,375,000 Class B Floating Rate Asset Backed Certificates, Series 2000-3
The Class A Floating Rate Asset Backed Certificates, Series 2000-3 (the
"Class A Certificates") and the Class B Floating Rate Asset Backed
Certificates, Series 2000-3 (the "Class B Certificates" and, together
with the Class A Certificates, the "Investor Certificates") represent
interests in the Capital One Master Trust (the "Trust") and do not
represent interests in or obligations of Capital One Bank or any
affiliate thereof. An Investor Certificate is not a deposit and
is not insured by the Federal Deposit Insurance Corporation
(the "FDIC"). The receivables are not insured or
guaranteed by the FDIC or any other governmental agency
or instrumentality.
THIS SERIES TERM SHEET CONTAINS STRUCTURAL AND COLLATERAL INFORMATION ABOUT
THE INVESTOR CERTIFICATES. HOWEVER, THIS SERIES TERM SHEET DOES NOT
CONTAIN COMPLETE INFORMATION ABOUT THE OFFERING OF THE INVESTOR
CERTIFICATES. THE INFORMATION PROVIDED HEREIN IS PRELIMINARY AND WILL
BE SUPERSEDED BY THE INFORMATION CONTAINED IN THE FINAL PROSPECTUS
SUPPLEMENT AND THE PROSPECTUS. PURCHASERS ARE URGED TO READ BOTH
THE PROSPECTUS SUPPLEMENT AND THE PROSPECTUS.
THIS SERIES TERM SHEET SHALL NOT CONSTITUTE AN OFFER TO SELL OR THE
SOLICITATION OF AN OFFER TO BUY, NOR SHALL THERE BE ANY SALE OF THESE
SECURITIES IN ANY STATE IN WHICH SUCH OFFER, SOLICITATION OR SALE WOULD
BE UNLAWFUL PRIOR TO REGISTRATION OR QUALIFICATION UNDER THE
SECURITIES LAWS OF ANY SUCH STATE. SALES OF THE INVESTOR
CERTIFICATES MAY NOT BE CONSUMMATED UNLESS THE PURCHASER HAS
RECEIVED BOTH THE FINAL PROSPECTUS SUPPLEMENT AND THE
PROSPECTUS.
------------
Underwriters of the Class A Certificates
Salomon Smith Barney
Banc One Capital Markets, Inc.
Chase Securities Inc.
Deutsche Banc Alex. Brown
Underwriters of the Class B Certificates
Salomon Smith Barney Deutsche Banc Alex. Brown
Transaction Summary
Trust and Issuer: Capital One Master Trust
Seller: Capital One Bank
Servicer: Capital One Bank
Trustee: The Bank of New York
Series Issuance Date: , 2000
Servicing Fee Rate: 2.0% per year
Clearance and Settlement: DTC/Clearstream/Euroclear
Receivables originated in MasterCard(R) and
Primary Trust Assets: VISA(R)* accounts
Class A Class B
------- -------
Principal Amount: $605,625,000 $69,375,000
Percentage of
Series** 80.75% 9.25%
Anticipated
Ratings Aaa/AAA/AAA A2/A/A
(Moody's/Standard
&
Poor's/Fitch):***
Credit subordination of Class B Certificates subordination of Collateral Interest
Enhancement: and Collateral Interest
Certificate Rate: One-Month LIBOR plus % per One-Month LIBOR plus % per
year year
Interest Accrual
Method: actual/360 actual/360
Distribution
Dates: monthly (15th) monthly (15th)
First
Distribution
Date: September 15, 2000 September 15, 2000
Certificate Rate 2 London business days before each 2 London business days before each
Index Reset Date: Distribution Date Distribution Date
Commencement of December 1, 2005 December 1, 2005
Accumulation
Period (subject
to adjustment):
Expected Final August 15, 2007 August 15, 2007
Payment Date:
Series 2000-3 October 15, 2010 October 15, 2010
Termination
Date:
ERISA eligibility Yes, subject to important No, except in limited circumstances
(investors considerations described under described in "ERISA Considerations"
should consult "ERISA Considerations" in the in the Prospectus Supplement.
with their Prospectus Supplement and the
counsel): Prospectus.
Debt for United Yes, subject to important Yes, subject to important
States Federal considerations described under considerations described under
Income Tax "Federal Income Tax "Federal Income Tax
Purposes Consequences" in the Prospectus. Consequences" in the Prospectus.
(investors
should consult
with their tax
counsel):
- --------
* MasterCard(R) and VISA(R) are federally registered servicemarks of
MasterCard International Incorporated and VISA U.S.A., Inc., respectively.
** The percentage of Series 2000-3 comprised by the Collateral Interest is
10.0%.
*** It is a condition to issuance of the Investor Certificates that one of
these ratings be obtained.
2
This Series Term Sheet will be superseded in its entirety by the information
appearing in the final Prospectus Supplement, the Prospectus and the Series
2000-3 Supplement to the Pooling Agreement.
Trust........................ Capital One Master Trust (the "Trust"). The as-
sets of the Trust (the "Trust Assets") include
receivables (the "Receivables") generated from
time to time in a portfolio of consumer re-
volving credit card accounts and other con-
sumer revolving accounts (the "Accounts"),
funds collected or to be collected from
accountholders in respect of the Receivables,
the right to receive certain interchange at-
tributed to accountholder charges for merchan-
dise and services in certain of the Accounts,
recoveries (net of collection expenses) and
proceeds of credit insurance policies relating
to the Receivables, monies on deposit in cer-
tain accounts of the Trust, monies on deposit
as collateral, if any, relating to secured Ac-
counts and any credit enhancement with respect
to a particular series or class.
Title of Securities.......... $605,625,000 Class A Floating Rate Asset Backed
Certificates, Series 2000-3 (the "Class A
Certificates") and $69,375,000 Class B
Floating Rate Asset Backed Certificates,
Series 2000-3 (the "Class B Certificates" and,
together with the Class A Certificates, the
"Investor Certificates"). In addition, the
Trust will issue $75,000,000 of its Collateral
Interest, Series 2000-3 (the "Collateral
Interest" and, together with the Investor
Certificates, the "Series 2000-3 Interests").
Only the Investor Certificates are offered
hereby.
The Investor Certificates;
the Collateral Interest..... Each of the Series 2000-3 Interests represents
a specified undivided interest in certain as-
sets of the Trust. The portion of the Trust
Assets allocated to the holders of the Series
2000-3 Interests will be allocated among the
holders of the Class A Certificates (the
"Class A Certificateholders' Interest"), the
holders of the Class B Certificates (the
"Class B Certificateholders' Interest") and
the holder of the Collateral Interest (the
"Collateral Interest Holder's Interest"). The
specified undivided interest in the Trust As-
sets represented by the Collateral Interest in
the initial amount of $75,000,000 (an amount
that represents 10.0% of the Initial Invested
Amount) constitutes the credit enhancement for
the Investor Certificates.
The Investor Certificates will be issued pursu-
ant to a Pooling and Servicing Agreement (the
"Pooling Agreement") between a predecessor of
Capital One Bank (the "Bank"), as seller and
servicer, and The Bank of New York, as trustee
(the "Trustee"), and a Series 2000-3 Supple-
ment to the Pooling Agreement (the "Series
2000-3 Supplement").
The aggregate amount of principal Receivables
allocated to the Class A Certificateholders'
Interest, the Class B Certificateholders' In-
terest and the Collateral Interest Holder's
Interest (as more fully defined in the Pro-
spectus Supplement, the "Invested
3
Amount") will be $750,000,000 on the Series Is-
suance Date (the "Initial Invested Amount").
The aggregate amount of principal Receivables
allocable to the Class A Certificateholders'
Interest (the "Class A Invested Amount") will
be $605,625,000 on the Series Issuance Date.
The aggregate amount of principal Receivables
allocable to the Class B Certificateholders'
Interest (the "Class B Invested Amount") will
be $69,375,000 on the Series Issuance Date. The
aggregate amount of principal Receivables allo-
cable to the Collateral Interest Holder's In-
terest (the "Collateral Invested Amount") will
be $75,000,000 on the Series Issuance Date.
The Class A Certificates will represent the
right to receive from the assets of the Trust
allocated to the Class A Certificateholders'
Interest funds up to (but not in excess of) the
amounts required to make payments of interest
on the Class A Certificates at the Class A Cer-
tificate Rate, and the payment of principal on
the Expected Final Payment Date to the extent
of the Class A Invested Amount (which may be
less than the aggregate unpaid principal amount
of the Class A Certificates, in certain circum-
stances).
The Class B Certificates will represent the
right to receive from the assets of the Trust
allocated to the Class B Certificateholders'
Interest funds up to (but not in excess of) the
amounts required to make payments of interest
on the Class B Certificates at the Class B Cer-
tificate Rate, and the payment of principal on
the Expected Final Payment Date to the extent
of the Class B Invested Amount (which may be
less than the aggregate unpaid principal amount
of the Class B Certificates, in certain circum-
stances).
Class A Certificate Rate.... One-Month LIBOR plus [ ]% per year.
Class B Certificate Rate.... One-Month LIBOR plus [ ]% per year.
Receivables................. The aggregate amount of Receivables in the Ac-
counts as of August 4, 2000 was
$13,175,579,504, consisting of $12,781,649,599
of principal Receivables and $393,929,905 of
finance charge Receivables.
Series Cut-Off Date......... August 1, 2000
Series Issuance Date........ , 2000
Interest Payment Dates...... Interest on the Investor Certificates will be
distributed on the 15th day of each calendar
month or, if such day is not a business day, on
the next succeeding business day (each, a "Dis-
tribution Date"), commencing September 15,
2000. The Class A Certificates will accrue in-
terest for each Distribution Date in an amount
equal to the product of (a) the actual number
of days in the related Interest Period divided
by 360, (b) the Class A Certificate Rate
4
and (c) the outstanding principal amount of the
Class A Certificates as of the last day of the
preceding calendar month. The Class B Certifi-
cates will accrue interest for each Distribu-
tion Date in an amount equal to the product of
(a) the actual number of days in the related
Interest Period divided by 360, (b) the Class B
Certificate Rate and (c) the outstanding prin-
cipal amount of the Class B Certificates as of
the last day of the preceding calendar month.
The "Interest Period" with respect to any Dis-
tribution Date will be the period from the pre-
vious Distribution Date through the day preced-
ing such Distribution Date, except that the
initial Interest Period will be the period from
the Series Issuance Date through the day pre-
ceding the initial Distribution Date. "LIBOR"
means the London interbank offered quotations
for one-month United States dollar deposits
prevailing on the date that LIBOR is deter-
mined. The Trustee will determine LIBOR on Au-
gust [ ], 2000 for the period from the Series
Issuance Date through and including September
14, 2000 and on the second London business day
prior to each Distribution Date thereafter for
the period from and including such Distribution
Date through the day preceding the next suc-
ceeding Distribution Date.
Principal................... The principal of the Class A Certificates and
the Class B Certificates is scheduled to be
paid on the Expected Final Payment Date, but
may be paid earlier or later under certain cir-
cumstances.
Expected Final Payment
Date....................... The August 2007 Distribution Date.
Series 2000-3 Termination
Date....................... The final distribution of principal and interest
on the Investor Certificates will be made no
later than the October 2010 Distribution Date.
Other Series................ As of the date hereof, the Trust has issued
nineteen series of investor certificates which
are still outstanding.
Subordination............... The fractional undivided interest in the Trust
Assets allocable to the Class B Certificates
and the Collateral Interest will be subordi-
nated to the extent necessary to fund payments
with respect to the Class A Certificates. In
addition, the Collateral Interest will be sub-
ordinated to the extent necessary to fund cer-
tain payments with respect to the Class B Cer-
tificates.
If the Collateral Invested Amount is reduced to
zero, the holders of the Class B Certificates
will bear directly the credit and other risks
associated with their undivided interest in the
Trust. To the extent the Class B Invested
Amount is reduced, the percentage of collec-
tions of finance charge Receivables allocated
to the Class B Certificateholders' Interest in
subsequent months will be reduced. Moreover, to
the extent the amount of such reduction in the
Class B Invested Amount is not reimbursed, the
amount of principal distributable to the hold-
ers of the Class B Certificates will be re-
duced.
5
ERISA Considerations......... Subject to important considerations described
in the Prospectus Supplement and in the
Prospectus, the Class A Certificates are
eligible for purchase by persons investing
assets of employee benefit plans or individual
retirement accounts.
For the reasons discussed in the Prospectus
Supplement and the Prospectus, the Class B
Certificates are not eligible for purchase by
persons investing assets of employee benefit
plans or individual retirement accounts other
than an insurance company investing assets of
its general account.
Class A Certificate Rating... It is a condition to the issuance of the Class
A Certificates that they be rated in the
highest rating category by at least one
nationally recognized rating agency.
Class B Certificate Rating... It is a condition to the issuance of the Class
B Certificates that they be rated in one of
the three highest rating categories by at
least one nationally recognized rating agency.
6
Composition and Historical Performance of the Bank Credit Card Portfolio
General
The Accounts included in the Trust (the "Trust Portfolio") were selected
from the Bank's consumer revolving receivable portfolio (the "Bank Portfolio")
based on the eligibility criteria specified in the Pooling Agreement. The
Trust Portfolio is comprised of the majority of eligible Receivables in the
Bank Portfolio as of the Series Cut-Off Date. The Trust Portfolio also
includes certain charged-off accounts with zero balances, the recoveries on
which will be treated as collections of finance charge Receivables. The Bank
may add such zero balance accounts to the Trust from time to time.
The Bank Portfolio is primarily comprised of accounts originated by the Bank
since 1992, regardless of whether such accounts meet the eligibility
requirements specified in the Pooling Agreement. Although such accounts were
not originated using identical underwriting criteria, the receivables arising
under such accounts are assessed finance charges having the following pricing
characteristics:
Fixed Rate or Variable Rate
An annual percentage rate is either a fixed rate or a variable rate that
adjusts periodically according to an index. Some accounts have a low fixed
rate.
Introductory Period or Non-introductory Period
An account may have an introductory period during which a relatively low
annual percentage rate is charged. The annual percentage rate is converted to
a higher rate at the end of the introductory period. Non-introductory rate
products (excluding certain low fixed-rate products) are more customized
products and generally include secured cards, low fixed-rate cards, affinity
and joint account cards, college student cards and other cards targeted to
certain other market segments. Historically, these non-introductory rate cards
tend to have lower credit lines, balances that build over time, less
attrition, higher margins (including fees) and, in some cases, higher
delinquencies and credit losses than the Bank's traditional low introductory
rate products.
The number of low fixed-rate products and non-introductory rate products in
the Bank Portfolio has been increasing, and as the number of these accounts
increases and as such accounts season, the characteristics of these accounts
as described in the preceding sentence will have a more significant effect on
the Bank Portfolio. Receivables added to the Trust have and will include such
low fixed-rate and non-introductory rate credit card receivables, which at the
Series Issuance Date constitute, and at any given time thereafter may
constitute, a material portion of the Trust Portfolio.
In the fourth quarter of 1997, the Bank adopted a more conservative
accounting methodology for charge-offs and made an adjustment to its
recognition of finance charges and fee income. The Bank modified its
methodology for charging off credit card loans (net of any collateral) to 180
days past-due, from the prior practice of charging off loans during the
billing cycle after 180 days past-due. This resulted in adjustments to
delinquencies and losses, as well as a reduction in revenue as a result of a
reversal of previously accrued finance charges and fee income. In addition,
the Bank also began recognizing the estimated uncollectible portion of finance
charges and fee income receivables, which resulted in a decrease in loans and
a corresponding decrease in revenue.
Delinquency and Loss Experience
Because new accounts usually initially exhibit lower delinquency rates and
credit losses, the growth of the Bank Portfolio from approximately $13.155
billion at year end 1997, to approximately $18.130 billion as of the end of
June 2000 has had the effect of significantly lowering the charge-off and
delinquency rates for the entire portfolio from what they otherwise would have
been. However, as the proportion of new accounts to seasoned accounts becomes
smaller, this effect should be lessened. As seasoning occurs or if new account
origination slows, the Bank expects that the charge-off rates and
delinquencies will increase over time. The Bank's
7
delinquency and net loss rates at any time reflect, among other factors, the
quality of the credit card loans, the average seasoning of the Bank's
accounts, the success of the Bank's collection efforts, the product mix of the
portfolio and general economic conditions.
The following tables set forth the delinquency and loss experience for the
Bank Portfolio for each of the periods shown. The Bank Portfolio includes
groups of accounts each created in connection with a particular solicitation,
which may, when taken individually, have delinquency and loss characteristics
different from those of the overall Bank Portfolio. As of August 4, 2000, the
Trust Portfolio represented approximately 45% and 69% of the Bank Portfolio by
accounts and receivables outstanding, respectively. Because the Trust
Portfolio is only a portion of the Bank Portfolio, actual delinquency and loss
experience for the Receivables is different from that set forth below for the
Bank Portfolio. There can be no assurance that the delinquency and loss
experience for the Receivables will be similar to the historical experience
set forth below for the Bank Portfolio.
Delinquencies as a Percentage of the Bank Portfolio(1)(2)
(Dollars in Thousands)
At Year End At Year End At Year End
--------------------- --------------------- ---------------------
At June 30, 2000 1999 1998 1997(3)
--------------------- --------------------- --------------------- ---------------------
Delinquent Delinquent Delinquent Delinquent
Number of Days Delinquent Amount Percentage Amount Percentage Amount Percentage Amount Percentage
- ------------------------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
30 - 59 days............. $371,977 2.05% $328,161 1.96% $276,021 1.83% $309,440 2.35%
60 - 89 days............. 224,927 1.24 211,372 1.26 164,696 1.09 202,735 1.54
90 + days................ 396,472 2.19 373,072 2.23 286,135 1.89 323,803 2.46
-------- ---- -------- ---- -------- ---- -------- ----
TOTAL.................. $993,376 5.48% $912,605 5.45% $726,852 4.81% $835,978 6.35%
======== ==== ======== ==== ======== ==== ======== ====
- --------
(1) The percentages are the result of dividing the delinquent amount by end of
period receivables outstanding for the applicable period. The delinquent
amount is the dollar amount of month end delinquencies in each category
for the period. The end of period receivables outstanding at year end
1999, 1998 and 1997 were $16,759,833, $15,108,050 and $13,155,103,
respectively. The end of period receivables outstanding at June 30, 2000
were $18,129,525.
(2) Figures and percentages in this table are reported on a processing month
basis.
(3) The total delinquencies greater than or equal to 30 days as a percentage
of the Bank Portfolio would have been 7.13% without the adjustments
discussed above under "--General."
Loss Experience for the Bank Portfolio
(Dollars in Thousands)
Six Months
Ended Year Ended
----------- -------------------------------------
June 30,
2000 1999 1998 1997(1)
----------- ----------- ----------- -----------
Average Receivables
Outstanding.............. $17,011,666 $15,150,906 $13,618,769 $12,103,362
Gross Losses.............. $ 487,155 $ 820,310 $ 930,334 $ 895,434
Gross Losses as a
Percentage of Average
Receivables
Outstanding(2)........... 5.73% 5.41% 6.83% 7.40%
Recoveries................ $ 172,868 $ 253,933 $ 174,713 $ 74,902
Net Losses................ $ 314,287 $ 566,377 $ 755,621 $ 820,532
Net Losses as a Percentage
of Average Receivables
Outstanding(2)........... 3.69% 3.74% 5.55% 6.78%
- --------
(1) Net Losses as a percentage of Average Receivables Outstanding would have
been 6.40% without the change in charge-off methodology discussed above
under "--General."
(2) The percentages reflected for the six months ended June 30, 2000 are
annualized figures. Annualized figures are not necessarily indicative of
results for the entire year.
8
Revenue Experience
The following table sets forth the revenues from finance charges and fees
billed and interchange received with respect to the Bank Portfolio for the
periods shown.
Revenue Experience for the Bank Portfolio
(Dollars in Thousands)
Six Months
Ended Year Ended
----------- -------------------------------------
June 30,
2000 1999 1998 1997(2)
----------- ----------- ----------- -----------
Average Receivables
Outstanding.............. $17,011,666 $15,150,906 $13,618,769 $12,103,362
Finance Charges and
Fees(1).................. $ 2,315,905 $ 3,908,913 $ 3,165,960 $ 2,434,650
Yield from Finance Charges
and Fees(3).............. 27.23% 25.80% 23.25% 20.12%
Interchange............... $ 203,335 $ 293,378 $ 165,115 $ 109,394
Yield from
Interchange(3)........... 2.39% 1.94% 1.21% 0.90%
- --------
(1) Finance Charges and Fees does not include interest on subsequent
collections on accounts previously charged off. Finance Charges and Fees
includes monthly periodic rate finance charges, the portion of the annual
membership fees amortized on a monthly basis, cash advance fees, late
charges, overlimit charges and other miscellaneous fees.
(2) Yield from Finance Charges and Fees would have been 20.66% without the
adjustments discussed above under "--General."
(3) The percentages reflected for the six months ended June 30, 2000 are
annualized figures. Annualized figures are not necessarily indicative of
results for the entire year.
Because the Trust Portfolio is only a portion of the Bank Portfolio, actual
revenue experience for the Receivables is different from that set forth above
for the Bank Portfolio. There can be no assurance that the yield experience
for the Receivables in the future will be similar to the historical experience
set forth above for the Bank Portfolio. In addition, revenue from the
Receivables will depend on the types of fees and charges assessed on the
Accounts, and could be adversely affected by future changes made by the Bank
or the servicer in such fees and charges or by other factors.
The revenue from finance charges and fees for the accounts in the Bank
Portfolio shown in the above table is comprised of three primary components:
monthly periodic rate finance charges, the amortized portion of annual
membership fees and other service charges, such as cash advance fees, late
charges, overlimit fees and other miscellaneous fees. If payment rates
decline, the balances subject to monthly periodic rate finance charges tend to
grow, assuming no change in the level of purchasing activity. Accordingly,
under these circumstances, the yield related to monthly periodic rate finance
charges normally increases. Conversely, if payment rates increase, the
balances subject to monthly periodic rate finance charges tend to fall,
assuming no change in the level of purchasing activity. Accordingly, under
these circumstances, the yield related to monthly periodic rate finance
charges normally decreases.
Furthermore, as the Bank Portfolio experiences growth in receivables through
account origination and account management balance transfer programs which are
assessed low introductory periodic rate finance charges and to the extent the
Bank chooses to waive all or part of the rate increase for selected accounts
in an effort to profitably retain balances, the yield related to monthly
periodic rate finance charges would be adversely affected. The yield related
to service charges varies with the type and volume of activity in and the
amount of each account, as well as with the number of delinquent accounts. As
account balances increase, annual membership fees, which remain constant,
represent a smaller percentage of the aggregate account balances.
9
Payment Rates
The following table sets forth the highest and lowest accountholder monthly
payment rates for the Bank Portfolio during any single month in the periods
shown and the average accountholder monthly payment rates for all months
during the periods shown, in each case calculated as a percentage of average
monthly account balances during the periods shown. Payment rates shown in the
table are based on amounts which would be payments of principal Receivables
and finance charge Receivables on the Accounts.
Accountholder Monthly Payment Rates
for the Bank Portfolio(1)
Six Months
Ended Year Ended
------------- --------------------
June 30, 2000 1999 1998 1997
------------- ------ ------ ------
Lowest Month(2)............................. 15.84% 12.09% 10.86% 9.66%
Highest Month(2)............................ 17.36% 14.97% 12.64% 10.74%
Average Payment Rate for the Period......... 16.62% 14.23% 11.71% 10.20%
- --------
(1) The monthly payment rates include amounts which are payments of principal
Receivables and finance charge Receivables with respect to the Accounts.
(2) The monthly payment rates are calculated as the total amount of payments
received during the month divided by the average monthly receivables
outstanding for each month.
The Receivables
As of August 4, 2000:
. the Trust Portfolio included $12,781,649,599 of principal Receivables
and $393,929,905 of finance charge Receivables;
. the Accounts had an average principal Receivable balance of $1,181 and
an average credit limit of $3,944;
. the percentage of the aggregate total Receivable balance to the
aggregate total credit limit was 29.94%;
. the average age of the Accounts was approximately 37 months;
. all of the Accounts in the Trust Portfolio were VISA or MasterCard
credit card accounts, of which 62% were standard accounts and 38% were
premium accounts; and
. approximately 47% of the Accounts in the Trust Portfolio were assessed a
variable rate periodic finance charge and approximately 53% were
assessed a fixed rate periodic finance charge.
The following tables summarize the Trust Portfolio by various criteria as of
August 4, 2000. References to "Receivables Outstanding" in the following
tables include both principal Receivables and finance charge Receivables.
Because the future composition and product mix of the Trust Portfolio may
change over time, these tables are not necessarily indicative of the
composition of the Trust Portfolio at any subsequent time.
10
Composition by Account Balance
Trust Portfolio
Percentage Percentage
of Total of Total
Number of Number of Receivables Receivables
Account Balance Range Accounts Accounts Outstanding Outstanding
- --------------------- ---------- ---------- ------------------ -----------
Credit Balance(1)....... 152,320 1.37% $ (15,345,465.58) (0.12)%
No Balance(2)........... 2,132,528 19.11 0.00 0.00
More than $0 and less
than or equal to
$1,500.00.............. 6,697,153 60.03 3,312,347,283.27 25.14
$1,500.01-$5,000.00..... 1,450,276 13.00 4,170,625,783.51 31.65
$5,000.01-$10,000.00.... 601,621 5.39 4,105,420,532.06 31.16
Over $10,000.00......... 122,891 1.10 1,602,531,370.55 12.17
---------- ------ ------------------ ------
TOTAL................. 11,156,789 100.00% $13,175,579,503.81 100.00%
========== ====== ================== ======
- --------
(1) Credit balances are a result of cardholder payments and credit adjustments
applied in excess of the unpaid balance on an Account. Accounts which
currently have a credit balance are included because Receivables may be
generated with respect thereto in the future.
(2) Accounts which currently have no balance are included because Receivables
may be generated with respect thereto in the future. Zero balance accounts
are not included in these figures.
Composition by Credit Limit(1)
Trust Portfolio
Percentage Percentage
of Total of Total
Number of Number of Receivables Receivables
Credit Limit Range Accounts Accounts Outstanding Outstanding
- ------------------ ---------- ---------- ------------------ -----------
Less than or equal to
$1,500.00............... 6,105,041 54.72% $ 2,524,011,246.42 19.16%
$1,500.01-$5,000.00...... 1,485,340 13.31 1,763,952,992.36 13.39
$5,000.01-$10,000.00..... 2,602,137 23.32 5,110,404,539.26 38.79
Over $10,000.00.......... 964,271 8.65 3,777,210,725.77 28.66
---------- ------ ------------------ ------
TOTAL.................. 11,156,789 100.00% $13,175,579,503.81 100.00%
========== ====== ================== ======
- --------
(1) References to "Credit Limit" herein include both the line of credit
established for purchases, cash advances and balance transfers as well as
receivables originated under temporary extensions of credit through
account management programs. Credit limits relating to these temporary
extensions decrease as cardholder payments are applied to these
receivables.
Composition by Payment Status(1)
Trust Portfolio
Percentage Percentage
of Total of Total
Number of Number of Receivables Receivables
Payment Status Accounts Accounts Outstanding Outstanding
- -------------- ---------- ---------- ------------------ -----------
Current to 29 days(2)...... 10,544,500 94.52% $12,525,578,884.46 95.07%
Past due 30 - 59 days...... 272,754 2.44 271,006,794.20 2.06
Past due 60 - 89 days...... 142,986 1.28 142,813,131.01 1.08
Past due 90+ days.......... 196,549 1.76 236,180,694.14 1.79
---------- ------ ------------------ ------
TOTAL.................... 11,156,789 100.00% $13,175,579,503.81 100.00%
========== ====== ================== ======
- --------
(1) Payment Status is determined as of the prior statement cycle date.
(2) Accounts designated as current include accounts on which the minimum
payment has not been received prior to the second billing date following
the issuance of the related bill.
11
Composition by Account Age
Trust Portfolio
Percentage Percentage
of Total of Total
Number of Number of Receivables Receivables
Account Age Accounts Accounts Outstanding Outstanding
- ----------- ---------- ---------- ------------------ -----------
Not More than 6 Months... 436,716 3.91% $ 1,152,686,096.21 8.75%
Over 6 Months to 12
Months.................. 703,857 6.31 1,415,540,067.33 10.74
Over 12 Months to 24
Months.................. 2,592,506 23.24 2,932,220,255.95 22.25
Over 24 Months to 36
Months.................. 2,913,856 26.12 3,056,652,684.15 23.20
Over 36 Months to 48
Months.................. 1,635,212 14.66 1,095,295,385.99 8.31
Over 48 Months to 60
Months.................. 1,269,134 11.38 1,165,973,289.00 8.85
Over 60 Months........... 1,605,508 14.38 2,357,211,725.18 17.90
---------- ------ ------------------ ------
TOTAL.................. 11,156,789 100.00% $13,175,579,503.81 100.00%
========== ====== ================== ======
Composition of Accounts by Accountholder Billing Address
Percentage Percentage
of Total of Total
Number of Number of Receivables Receivables
State or Territory Accounts Accounts Outstanding Outstanding
- ------------------ ---------- ---------- ------------------ -----------
California............... 1,522,785 13.65% $ 1,674,050,148.76 12.71%
Texas.................... 820,766 7.36 899,523,718.21 6.83
Florida.................. 788,950 7.07 852,008,185.80 6.47
New York................. 769,531 6.90 822,403,641.18 6.24
Illinois................. 477,221 4.28 571,462,902.80 4.34
Ohio..................... 426,364 3.82 520,490,209.14 3.95
Pennsylvania............. 434,676 3.90 519,119,331.40 3.94
Virginia................. 345,005 3.09 482,290,256.40 3.66
Michigan................. 350,025 3.14 450,777,322.14 3.42
New Jersey............... 376,419 3.37 434,597,427.26 3.30
Others(1)................ 4,845,047 43.42 5,948,856,360.72 45.14
---------- ------ ------------------ ------
TOTAL.................. 11,156,789 100.00% $13,175,579,503.81 100.00%
========== ====== ================== ======
- --------
(1) No other state individually accounts for more than 3.30% of the Percentage
of Total Receivables Outstanding.
Since the largest number of accountholders (based on billing addresses)
whose Accounts were included in the Trust as of August 4, 2000 were in
California, Texas, Florida and New York, adverse economic conditions affecting
accountholders residing in these areas could affect timely payment by such
accountholders of amounts due on the Accounts and, accordingly, the actual
rates of delinquencies and losses with respect to the Trust Portfolio.
12