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CAPITAL ONE MASTER TRUST
Trust Excess Spread Analysis - Feb-01
Card Trust COMT 96-1* COMT 96-2 COMT 96-3 COMT 97-1* COMT 97-2* COMT 98-1 COMT 98-3* COMT 98-4
Deal Size $845MM $750MM $500MM $608MM $502MM $591MM $486MM $750MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02 8/15/02 4/15/08 08/16/01 11/15/03
Excess Spread:
Portfolio Yield ** 27.50% 27.50% 27.50% 27.50% 27.50% 27.50% 27.50% 27.50%
LESS: (Wt Avg) Coupon 5.74% 5.87% 5.91% 6.58% 5.69% 6.30% 5.48% 5.53%
SVC Fees 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.50% 2.50% 2.50% 2.50% 2.50% 2.50% 2.50% 2.50%
Excess Spread: ** Feb-01 17.76% 17.63% 17.59% 16.92% 17.81% 17.20% 18.02% 17.97%
Jan-01 10.66% 11.37% 11.33% 10.91% 10.71% 11.06% 11.49% 11.75%
Dec-00 10.81% 10.85% 10.82% 11.06% 10.86% 11.16% 11.15% 11.74%
3-Mo Avg Excess Spread 13.08% 13.28% 13.25% 12.96% 13.13% 13.14% 13.55% 13.82%
Delinquents: 30 to 59 days 1.89% 1.89% 1.89% 1.89% 1.89% 1.89% 1.89% 1.89%
60 to 89 days 1.40% 1.40% 1.40% 1.40% 1.40% 1.40% 1.40% 1.40%
90+ days 2.28% 2.28% 2.28% 2.28% 2.28% 2.28% 2.28% 2.28%
Monthly Payment Rate 16.13% 16.13% 16.13% 16.13% 16.13% 16.13% 16.13% 16.13%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1 COMT 00-2
Deal Size $625MM $625MM $500MM $600MM $750MM
Expected Maturity(Class A): 05/15/04 05/15/02 07/15/06 02/17/03 06/15/05
Excess Spread:
Portfolio Yield ** 27.50% 27.50% 27.50% 27.50% 27.50%
LESS: (Wt Avg) Coupon 6.01% 5.90% 6.18% 7.16% 6.76%
SVC Fees 1.50% 1.50% 1.50% 1.50% 2.00%
Charge-Offs 2.50% 2.50% 2.50% 2.50% 2.50%
Excess Spread: ** Feb-01 17.49% 17.60% 17.32% 16.34% 16.24%
Jan-01 11.31% 11.34% 11.14% 10.25% 10.15%
Dec-00 10.92% 10.82% 10.76% 10.44% 10.34%
3-Mo Avg Excess Spread 13.24% 13.25% 13.07% 12.34% 12.24%
Delinquents: 30 to 59 days 1.89% 1.89% 1.89% 1.89% 1.89%
60 to 89 days 1.40% 1.40% 1.40% 1.40% 1.40%
90+ days 2.28% 2.28% 2.28% 2.28% 2.28%
Monthly Payment Rate 16.13% 16.13% 16.13% 16.13% 16.13%
Card Trust COMT 00-3 COMT 00-4 COMT 00-5 COMT 01-1
Deal Size $1000MM $1200MM $1250MM $1250MM
Expected Maturity(Class A): 08/15/07 10/17/05 10/15/03 2/15/08
Excess Spread:
Portfolio Yield ** 27.50% 27.50% 27.50% 27.50%
LESS: (Wt Avg) Coupon 5.70% 6.68% 6.58% 5.54%
SVC Fees 2.00% 2.00% 2.00% 0.20%
Charge-Offs 2.50% 2.50% 2.50% 2.50%
Excess Spread: ** Feb-01 17.30% 16.32% 16.42% 19.26%
Jan-01 11.13% 10.70% 10.80% N/A
Dec-00 10.74% 11.21% 11.29% N/A
3-Mo Avg Excess Spread 13.06% 12.74% 12.84% N/A
Delinquents: 30 to 59 days 1.89% 1.89% 1.89% 1.89%
60 to 89 days 1.40% 1.40% 1.40% 1.40%
90+ days 2.28% 2.28% 2.28% 2.28%
Monthly Payment Rate 16.13% 16.13% 16.13% 16.13%
* This material is for informational purposes only and is not an offer of
securities for sale in the United States. These securities will not be and
have not been registered under the Securities Act of 1933 and may not be
offered or sold in the United States absent registration or an applicable
exemption from the registration requirements.
** Consistent with the announcement in Capital One Financial Corporation's
fourth quarter 2000 earnings call held on January 16, 2001, Capital One Bank
added accounts to the Capital One Master Trust (the "Master Trust") in
February 2001 (the "Account Addition"), resulting in a broader cross-section
of accounts in the Master Trust. As a result, the gross yield, excess spread
and delinquency rate for the Master Trust for February 2001 are higher in
comparison to recent Master Trust performance.
For accounts in Capital One Bank's managed portfolio with characteristics
similar to accounts in the Account Addition, the gross yield and delinquency
rate historically have decreased over time to a level more consistent with the
historical gross yield and delinquency rate on accounts in the Master Trust.
Over time, gross yield and excess spread for the Master Trust should differ
materially from the February 2001 performance.
Changes in the Master Trust's February 2001 performance do not reflect a
material change in the performance of Capital One Bank's managed portfolio.
Comments:
Capital One Master Trust performance statistics are also available at the
Capital One web site: http://www.capitalone.com/invest/financials/abs.html [ ]