1
CAPITAL ONE MASTER TRUST
TRUST EXCESS SPREAD ANALYSIS - APRIL-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 26.21% 26.21% 26.21% 26.21% 26.21% 26.21% 26.21% 26.21%
LESS: (Wt Avg) Coupon 5.56% 5.25% 5.29% 5.16% 5.50% 6.28% 5.59% 5.49%
SVC Fees 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50% 1.50%
Charge-Offs 4.03% 4.03% 4.03% 4.03% 4.03% 4.03% 4.03% 4.03%
Excess Spread: Apr-01 15.12% 15.43% 15.39% 15.52% 15.18% 14.40% 15.09% 15.19%
Mar-01 17.51% 17.70% 17.67% 17.91% 17.56% 16.57% 16.71% 17.30%
Feb-01 17.57% 17.44% 17.40% 16.73% 17.62% 17.01% 17.83% 17.78%
3-Mo Avg Excess Spread 16.73% 16.86% 16.82% 16.72% 16.79% 15.99% 16.54% 16.76%
- -----------------------------------------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71%
60 to 89 days 1.10% 1.10% 1.10% 1.10% 1.10% 1.10% 1.10% 1.10%
90+ days 2.62% 2.62% 2.62% 2.62% 2.62% 2.62% 2.62% 2.62%
Monthly Payment Rate 15.19% 15.19% 15.19% 15.19% 15.19% 15.19% 15.19% 15.19%
Card Trust
Deal Size COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1 COMT 00-2 COMT 00-3 COMT 00-4 COMT 00-5 COMT 01-1
Expected Maturity $625MM $625MM $500MM $600MM $750MM $1000MM $1200MM $1250MM $1200MM
(Class A): 05/15/04 05/15/02 07/15/06 02/17/03 06/15/05 08/15/07 10/17/05 10/15/03 2/15/08
- ------------------------------------------------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 26.21% 26.21% 26.21% 26.21% 26.21% 26.21% 26.21% 26.21% 28.21%
LESS: (Wt Avg) Coupon 5.42% 5.28% 5.59% 7.16% 6.76% 5.11% 6.30% 6.21% 4.91%
SVC Fees 1.50% 1.50% 1.50% 1.50% 2.00% 2.00% 2.00% 2.00% 2.00%
Charge-Offs 4.03% 4.03% 4.03% 4.03% 4.03% 4.03% 4.03% 4.03% 4.03%
Excess Spread: Apr-01 15.26% 15.40% 15.09% 13.52% 13.42% 15.07% 13.88% 13.97% 15.27%
Mar-01 17.61% 17.67% 17.45% 15.74% 15.64% 17.44% 16.80% 16.88% 17.55%
Feb-01 17.30% 17.41% 17.13% 16.15% 16.05% 17.11% 16.13% 16.23% N/A
3-Mo Avg Excess Spread 16.72% 16.83% 16.56% 15.14% 15.04% 16.54% 15.60% 15.69% N/A
- ------------------------------------------------------------------------------------------------------------------------------------
Delinquents:
30 to 59 days 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71% 1.71%
60 to 89 days 1.10% 1.10% 1.10% 1.10% 1.10% 1.10% 1.10% 1.10% 1.10%
90+ days 2.62% 2.62% 2.62% 2.62% 2.62% 2.62% 2.62% 2.62% 2.62%
Monthly Payment Rate 15.19% 15.19% 15.19% 15.19% 15.19% 15.19% 15.19% 15.19% 15.19%
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.
COMMENTS:
Capital One Master Trust performance statistics are also available at the
Capital One web site: http://www.capitalone.com/invest/financials/abs.html
* Represents Non-US Denominated Transactions
* Consistent with the announcement in Capital One Financial Corporation's fourth
quarter 2000 earnings call held on January 16, 2001, Capital One Bank added a
broader cross section of accounts to the Capital One Master Trust (the "Master
Trust") in February 2001 (the "Account Addition"). As a result, the reported
gross yield, excess spread and delinquency and loss rates for the Master Trust
are higher than prior to the Account Addition.
On accounts in Capital One Bank's managed portfolio with characteristics similar
to accounts in the Account Addition, gross yield and delinquency and loss rates
historically have decreased over time to a level more consistent with the
historical gross yield and delinquency and loss rates on accounts in the Master
Trust. Over time, gross yield and excess spread for the Master Trust should
differ materially from the April 2001 performance.
Changes in the Master Trust's performance subsequent to the Account Addition do
not reflect a material change in the performance of Capital One Bank's managed
portfolio.