SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
--------------------------
FORM 8-K/A
Current Report
THIS AMENDMENT IS BEING FILED TO REVISE BEGINNING OF THE MONTH
PRINCIPAL RECEIVABLES AND RESULTING CALCULATIONS
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report: November 12, 2001
CAPITAL ONE MASTER TRUST
CAPITAL ONE BANK
(Exact name of registrant as specified in its charter)
Virginia 0-25762 54-1719855
- ----------------------------- ---------------- ----------------
(State or other jurisdiction of (Commission (IRS Employer
incorporation) File Number) Identification No.)
11013 West Broad Street Road, Glen Allen, Virginia 23060
- -------------------------------------------------- --------------
(Address of principal executive offices) (Zip Code)
(Registrant's telephone number, including area code):
(804) 967-1000
(Former name or former address, if changed since last report):
Not Applicable
ITEM 5. OTHER EVENTS
Pursuant to the terms of the Capital One Master Trust Amended
and Restated Pooling and Servicing Agreement, dated as of
April 9, 2001, a copy of which was filed with the Commission
on April 13, 2001, Capital One Bank, as servicer, prepares
monthly servicing reports which are filed with the Commission
under Form 8-K. In addition, some of the information
contained in those monthly servicing reports is also reported
on Bloomberg. The substance of each Bloomberg report is filed
with the Commission under Form 8-K in an attachment entitled
"Trust Excess Spread Analysis."
While Excess Spread reported in the monthly servicing reports
has been accurate, due to an administrative error, Excess
Spread reported on Bloomberg, and in the related "Trust
Excess Spread Analysis" attachments, for Capital One Master
Trust Series 2000-2 through Series 2001-6 for each month
since June 2000 was overstated by 50 basis points. This error
was limited to the Bloomberg reports and related "Trust
Excess Spread Analysis" attachments.
Attached is the "Trust Excess Spread Analysis," restated as
of November 12, 2001, which corrects the errors contained in
the related Bloomberg reports and Form 8-K filings. This
attachment supersedes in its entirety the "Trust Excess
Spread Analysis" attachment to each of the following Form 8-K
filings:
1. Form 8-K for the period ended July 31, 2000 filed August 24, 2000;
2. Form 8-K for the period ended August 31, 2000 filed September 26, 2000;
3. Form 8-K for the period ended September 30, 2000 filed November 13, 2000;
4. Form 8-K for the period ended October 31, 2000 filed December 7, 2000;
5. Form 8-K for the period ended November 30, 2000 filed December 21, 2000;
6. Form 8-K for the period ended December 31, 2000 filed January 16, 2001;
7. Form 8-K for the period ended January 31, 2001 filed February 15, 2001.
8. Form 8-K for the period ended February 28, 2001 filed March 13, 2001.
9. Form 8-K for the period ended March 31, 2001 filed April 13, 2001.
10. Form 8-K for the period ended April 30, 2001 filed May 11, 2001.
11. Form 8-K for the period ended May 31, 2001 filed June 13, 2001.
12. Form 8-K for the period ended June 30, 2001 filed July 12, 2001.
13. Form 8-K for the period ended July 31, 2001 filed August 13, 2001.
14. Form 8-K for the period ended August 31, 2001 filed September 18, 2001.
15. Form 8-K for the period ended September 30, 2001 filed October 11, 2001.
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act
of 1934, the registrant has duly caused this report to be signed on its behalf
by the undersigned there-unto duly authorized.
CAPITAL ONE MASTER TRUST
By: CAPITAL ONE BANK
Servicer
By:
------------------------------------
David M. Willey
Senior Vice President of Corporate
Financial Management
Date: November 14, 2001
CAPITAL ONE MASTER TRUST
------------------------
TRUST EXCESS SPREAD ANALYSIS - JULY-00
Card Trust COMT 95-3 COMT 96-1 COMT 96-2 COMT 96-3
Deal Size $1050MM $845MM $750MM $500MM
Expected Maturity(Class A): 8/15/00 8/15/01 12/15/01 1/15/04
- -------------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 22.54% 22.54% 22.54% 22.54%
LESS: (Wt Avg) Coupon 6.70% 6.94% 6.86% 6.89%
SVC Fees 2.00% 1.50% 1.50% 1.50%
Charge-Offs 2.85% 2.85% 2.85% 2.85%
Excess Spread: Jul-00 10.99% 11.25% 11.33% 11.30%
Jun-00 10.56% 11.03% 11.09% 11.06%
May-00 10.81% 11.17% 11.34% 11.31%
3-Mo Avg Excess Spread 10.79% 11.15% 11.25% 11.22%
- -------------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.41% 1.41% 1.41% 1.41%
60 to 89 days 0.91% 0.91% 0.91% 0.91%
90+ days 1.62% 1.62% 1.62% 1.62%
Monthly Payment Rate 17.44% 17.44% 17.44% 17.44%
Card Trust COMT 97-1 COMT 97-2 COMT 98-1 COMT 98-3
Deal Size $608MM $502MM $591MM $486MM
Expected Maturity(Class A): 6/15/02 8/15/02 4/15/08 8/16/01
- -------------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 22.54% 22.54% 22.54% 22.54%
LESS: (Wt Avg) Coupon 6.90% 6.89% 6.38% 5.84%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.85% 2.85% 2.85% 2.85%
Excess Spread: Jul-00 11.29% 11.30% 11.81% 12.35%
Jun-00 11.07% 11.08% 11.34% 11.34%
May-00 11.74% 11.22% 11.55% 11.74%
3-Mo Avg Excess Spread 11.37% 11.20% 11.57% 11.81%
- -------------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.41% 1.41% 1.41% 1.41%
60 to 89 days 0.91% 0.91% 0.91% 0.91%
90+ days 1.62% 1.62% 1.62% 1.62%
Monthly Payment Rate 17.44% 17.44% 17.44% 17.44%
Card Trust COMT 98-4 COMT 99-1 COMT 99-2 COMT 99-3
Deal Size $750MM $625MM $625MM $500MM
Expected Maturity(Class A): 11/15/03 05/15/04 05/15/02 7/17/06
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 22.54% 22.54% 22.54% 22.54%
LESS: (Wt Avg) Coupon 5.72% 6.86% 6.89% 7.03%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.85% 2.85% 2.85% 2.85%
Excess Spread: Jul-00 12.47% 11.33% 11.30% 11.16%
Jun-00 11.93% 11.15% 11.06% 10.99%
May-00 12.16% 11.37% 11.31% 11.20%
3-Mo Avg Excess Spread 12.19% 11.28% 11.22% 11.12%
Delinquents: 30 to 59 days 1.41% 1.41% 1.41% 1.41%
60 to 89 days 0.91% 0.91% 0.91% 0.91%
90+ days 1.62% 1.62% 1.62% 1.62%
- -----------------------------------------------------------------------------------------------
Monthly Payment Rate 17.44% 17.44% 17.44% 17.44%
Card Trust COMT 00-1 COMT 00-2
Deal Size $600MM $750MM
Expected Maturity(Class A): 02/17/03 06/15/05
- -------------------------------------------------------------------
Excess Spread:
Portfolio Yield 22.54% 22.54%
LESS: (Wt Avg) Coupon 7.16% 7.44%
SVC Fees 1.50% 0.27%
Charge-Offs 2.85% 2.85%
Excess Spread: 36708 11.03% 11.98%
36678 10.62% #N/A
36647 10.80% #N/A
3-Mo Avg Excess Spread 10.82% #N/A
Delinquents: 30 to 59 days 1.41% 1.41%
60 to 89 days 0.91% 0.91%
90+ days 1.62% 1.62%
- -------------------------------------------------------------------
Monthly Payment Rate 17.44% 17.44%
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.htm
CAPITAL ONE MASTER TRUST
------------------------
TRUST EXCESS SPREAD ANALYSIS - AUGUST-00
Card Trust COMT 96-1 COMT 96-2 COMT 96-3 COMT 97-1
Deal Size $845MM $750MM $500MM $608MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02
- -------------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.45% 23.45% 23.45% 23.45%
LESS: (Wt Avg) Coupon 6.77% 6.72% 6.75% 6.77%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.38% 2.38% 2.38% 2.38%
Excess Spread: Aug-00 12.80% 12.85% 12.82% 12.80%
Jul-00 11.25% 11.33% 11.30% 11.29%
Jun-00 11.03% 11.09% 11.06% 11.07%
3-Mo Avg Excess Spread 11.69% 11.76% 11.73% 11.72%
- -------------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.38% 1.38% 1.38% 1.38%
60 to 89 days 0.88% 0.88% 0.88% 0.88%
90+ days 1.67% 1.67% 1.67% 1.67%
Monthly Payment Rate 17.12% 17.12% 17.12% 17.12%
Card Trust COMT 97-2 COMT 98-1 COMT 98-3 COMT 98-4
Deal Size $502MM $591MM $486MM $750MM
Expected Maturity(Class A): 8/15/02 4/15/08 8/16/01 11/15/03
- -------------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.45% 23.45% 23.45% 23.45%
LESS: (Wt Avg) Coupon 6.72% 6.42% 6.24% 5.80%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.38% 2.38% 2.38% 2.38%
Excess Spread: Aug-00 12.85% 13.15% 13.33% 13.77%
Jul-00 11.30% 11.81% 12.35% 12.47%
Jun-00 11.08% 11.34% 11.34% 11.93%
3-Mo Avg Excess Spread 11.74% 12.10% 12.34% 12.72%
- -------------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.38% 1.38% 1.38% 1.38%
60 to 89 days 0.88% 0.88% 0.88% 0.88%
90+ days 1.67% 1.67% 1.67% 1.67%
Monthly Payment Rate 17.12% 17.12% 17.12% 17.12%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1
Deal Size $625MM $625MM $500MM $600MM
Expected Maturity(Class A): 05/15/04 05/15/02 7/17/06 02/17/03
- -------------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.45% 23.45% 23.45% 23.45%
LESS: (Wt Avg) Coupon 6.68% 6.74% 6.84% 7.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.38% 2.38% 2.38% 2.38%
Excess Spread: Aug-00 12.89% 12.83% 12.73% 12.41%
Jul-00 11.33% 11.30% 11.16% 11.03%
Jun-00 11.15% 11.06% 10.99% 10.62%
3-Mo Avg Excess Spread 11.79% 11.73% 11.63% 11.35%
- -------------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.38% 1.38% 1.38% 1.38%
60 to 89 days 0.88% 0.88% 0.88% 0.88%
90+ days 1.67% 1.67% 1.67% 1.67%
Monthly Payment Rate 17.12% 17.12% 17.12% 17.12%
Card Trust COMT 00-2 COMT 00-3
Deal Size $750MM $1000MM
Expected Maturity(Class A): 06/15/05 08/15/07
- -------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.45% 23.45%
LESS: (Wt Avg) Coupon 7.26% 7.08%
SVC Fees 2.00% 0.47%
Charge-Offs 2.38% 2.38%
Excess Spread: 36739 11.81% 13.52%
36708 11.98% #N/A
36678 #N/A #N/A
3-Mo Avg Excess Spread #N/A #N/A
Delinquents: 30 to 59 days 1.38% 1.38%
60 to 89 days 0.88% 0.88%
90+ days 1.67% 1.67%
- -------------------------------------------------------------------
Monthly Payment Rate 17.12% 17.12%
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.htm
CAPITAL ONE MASTER TRUST
------------------------
TRUST EXCESS SPREAD ANALYSIS - SEPTEMBER-00
Card Trust COMT 96-1 COMT 96-2 COMT 96-3 COMT 97-1
Deal Size $845MM $750MM $500MM $608MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.53% 21.53% 21.53% 21.53%
LESS: (Wt Avg) Coupon 6.77% 6.72% 6.75% 6.65%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.63% 2.63% 2.63% 2.63%
Excess Spread: Sep-00 10.63% 10.68% 10.65% 10.75%
Aug-00 12.80% 12.85% 12.82% 12.80%
Jul-00 11.25% 11.33% 11.30% 11.29%
3-Mo Avg Excess Spread 11.56% 11.62% 11.59% 11.61%
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.34% 1.34% 1.34% 1.34%
60 to 89 days 0.83% 0.83% 0.83% 0.83%
90+ days 1.65% 1.65% 1.65% 1.65%
Monthly Payment Rate 17.12% 17.12% 17.12% 17.12%
Card Trust COMT 97-2 COMT 98-1 COMT 98-3 COMT 98-4
Deal Size $502MM $591MM $486MM $750MM
Expected Maturity(Class A): 8/15/02 4/15/08 8/16/01 11/15/03
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.53% 21.53% 21.53% 21.53%
LESS: (Wt Avg) Coupon 6.72% 6.42% 6.24% 5.80%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.63% 2.63% 2.63% 2.63%
Excess Spread: Sep-00 10.68% 10.98% 11.16% 11.60%
Aug-00 12.85% 13.15% 13.33% 13.77%
Jul-00 11.30% 11.81% 12.35% 12.47%
3-Mo Avg Excess Spread 11.61% 11.98% 12.28% 12.61%
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.34% 1.34% 1.34% 1.34%
60 to 89 days 0.83% 0.83% 0.83% 0.83%
90+ days 1.65% 1.65% 1.65% 1.65%
Monthly Payment Rate 17.12% 17.12% 17.12% 17.12%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1
Deal Size $625MM $625MM $500MM $600MM
Expected Maturity(Class A): 05/15/04 05/15/02 7/17/06 02/17/03
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.53% 21.53% 21.53% 21.53%
LESS: (Wt Avg) Coupon 6.68% 6.75% 6.84% 7.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.63% 2.63% 2.63% 2.63%
Excess Spread: 30 to 59 days 10.72% 10.65% 10.56% 10.24%
60 to 89 days 12.89% 12.83% 12.73% 12.41%
90+ days 11.33% 11.30% 11.16% 11.03%
3-Mo Avg Excess Spread 11.65% 11.59% 11.48% 11.23%
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.34% 1.34% 1.34% 1.34%
60 to 89 days 0.83% 0.83% 0.83% 0.83%
90+ days 1.65% 1.65% 1.65% 1.65%
Monthly Payment Rate 17.12% 17.12% 17.12% 17.12%
Card Trust COMT 00-2 COMT 00-3
Deal Size $750MM $1000MM
Expected Maturity(Class A): 06/15/05 08/15/07
- ------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.53% 21.53%
LESS: (Wt Avg) Coupon 7.26% 6.86%
SVC Fees 2.00% 2.00%
Charge-Offs 2.63% 2.63%
Excess Spread: 30 to 59 days 9.64% 10.04%
60 to 89 days 11.81% 13.52%
90+ days 11.98% #N/A
3-Mo Avg Excess Spread 11.14% #N/A
- ------------------------------------------------------------------
Delinquents: 30 to 59 days 1.34% 1.34%
60 to 89 days 0.83% 0.83%
90+ days 1.65% 1.65%
Monthly Payment Rate 17.12% 17.12%
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.htm
CAPITAL ONE MASTER TRUST
------------------------
TRUST EXCESS SPREAD ANALYSIS - OCTOBER-00
Card Trust COMT 96-1 COMT 96-2 COMT 96-3 COMT 97-1
Deal Size $845MM $750MM $500MM $608MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 22.17% 22.17% 22.17% 22.17%
LESS: (Wt Avg) Coupon 6.84% 6.78% 6.81% 6.71%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.56% 2.56% 2.56% 2.56%
Excess Spread: Oct-00 11.27% 11.33% 11.30% 11.40%
Sep-00 10.63% 10.68% 10.65% 10.75%
Aug-00 12.80% 12.85% 12.82% 12.80%
3-Mo Avg Excess Spread 11.57% 11.62% 11.59% 11.65%
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.42% 1.42% 1.42% 1.42%
60 to 89 days 0.86% 0.86% 0.86% 0.86%
90+ days 1.63% 1.63% 1.63% 1.63%
Monthly Payment Rate 16.96% 16.96% 16.96% 16.96%
Card Trust COMT 97-2 COMT 98-1 COMT 98-3 COMT 98-4
Deal Size $502MM $591MM $486MM $750MM
Expected Maturity(Class A): 8/15/02 4/15/08 8/16/01 11/15/03
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 22.17% 22.17% 22.17% 22.17%
LESS: (Wt Avg) Coupon 6.79% 6.40% 6.04% 5.76%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.56% 2.56% 2.56% 2.56%
Excess Spread: Oct-00 11.32% 11.71% 12.07% 12.35%
Sep-00 10.68% 10.98% 11.16% 11.60%
Aug-00 12.85% 13.15% 13.33% 13.77%
3-Mo Avg Excess Spread 11.62% 11.95% 12.19% 12.57%
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.42% 1.42% 1.42% 1.42%
60 to 89 days 0.86% 0.86% 0.86% 0.86%
90+ days 1.63% 1.63% 1.63% 1.63%
Monthly Payment Rate 16.96% 16.96% 16.96% 16.96%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1
Deal Size $625MM $625MM $500MM $600MM
Expected Maturity(Class A): 05/15/04 05/15/02 7/17/06 02/17/03
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 22.17% 22.17% 22.17% 22.17%
LESS: (Wt Avg) Coupon 6.76% 6.81% 6.93% 7.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.56% 2.56% 2.56% 2.56%
Excess Spread: Oct-00 11.35% 11.30% 11.18% 10.95%
Sep-00 10.72% 10.65% 10.56% 10.24%
Aug-00 12.89% 12.83% 12.73% 12.41%
3-Mo Avg Excess Spread 11.65% 11.59% 11.49% 11.20%
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.42% 1.42% 1.42% 1.42%
60 to 89 days 0.86% 0.86% 0.86% 0.86%
90+ days 1.63% 1.63% 1.63% 1.63%
Monthly Payment Rate 16.96% 16.96% 16.96% 16.96%
Card Trust COMT 00-2 COMT 00-3 COMT 00-4
Deal Size $750MM $1000MM $1200MM
Expected Maturity(Class A): 06/15/05 08/15/07 10/17/05
- ------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 22.17% 22.17% 22.17%
LESS: (Wt Avg) Coupon 7.26% 6.95% 6.74%
SVC Fees 2.00% 2.00% 0.33%
Charge-Offs 2.56% 2.56% 2.56%
Excess Spread: Oct-00 10.35% 10.66% 12.54%
Sep-00 9.64% 10.04% #N/A
Aug-00 11.81% 13.52% #N/A
3-Mo Avg Excess Spread 10.60% 11.41% #N/A
- ------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.42% 1.42% 1.42%
60 to 89 days 0.86% 0.86% 0.86%
90+ days 1.63% 1.63% 1.63%
Monthly Payment Rate 16.96% 16.96% 16.96%
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.htm
CAPITAL ONE MASTER TRUST
TRUST EXCESS SPREAD ANALYSIS - NOVEMBER-00
Card Trust COMT 96-1 COMT 96-2 COMT 96-3 COMT 97-1
Deal Size $845MM $750MM $500MM $608MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.20% 21.20% 21.20% 21.20%
LESS: (Wt Avg) Coupon 6.90% 6.78% 6.81% 6.71%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.78% 2.78% 2.78% 2.78%
Excess Spread: Nov-00 10.02% 10.14% 10.11% 10.21%
Oct-00 11.27% 11.33% 11.30% 11.40%
Sep-00 10.63% 10.68% 10.65% 10.75%
3-Mo Avg Excess Spread 10.64% 10.72% 10.69% 10.79%
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.42% 1.42% 1.42% 1.42%
60 to 89 days 0.91% 0.91% 0.91% 0.91%
90+ days 1.63% 1.63% 1.63% 1.63%
Monthly Payment Rate 16.29% 16.29% 16.29% 16.29%
Card Trust COMT 97-2 COMT 98-1 COMT 98-3 COMT 98-4
Deal Size $502MM $591MM $486MM $750MM
Expected Maturity(Class A): 8/15/02 4/15/08 8/16/01 11/15/03
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.20% 21.20% 21.20% 21.20%
LESS: (Wt Avg) Coupon 6.85% 6.40% 6.04% 5.76%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.78% 2.78% 2.78% 2.78%
Excess Spread: Nov-00 10.07% 10.52% 10.88% 11.16%
Oct-00 11.32% 11.71% 12.07% 12.35%
Sep-00 10.68% 10.98% 11.16% 11.60%
3-Mo Avg Excess Spread 10.69% 11.07% 11.37% 11.70%
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.42% 1.42% 1.42% 1.42%
60 to 89 days 0.91% 0.91% 0.91% 0.91%
90+ days 1.63% 1.63% 1.63% 1.63%
Monthly Payment Rate 16.29% 16.29% 16.29% 16.29%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1
Deal Size $625MM $625MM $500MM $600MM
Expected Maturity(Class A): 05/15/04 05/15/02 7/17/06 02/17/03
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.20% 21.20% 21.20% 21.20%
LESS: (Wt Avg) Coupon 6.76% 6.81% 6.93% 7.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.78% 2.78% 2.78% 2.78%
Excess Spread: Nov-00 10.16% 10.11% 9.99% 9.76%
Oct-00 11.35% 11.30% 11.18% 10.95%
Sep-00 10.72% 10.65% 10.56% 10.24%
3-Mo Avg Excess Spread 10.74% 10.69% 10.58% 10.32%
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.42% 1.42% 1.42% 1.42%
60 to 89 days 0.91% 0.91% 0.91% 0.91%
90+ days 1.63% 1.63% 1.63% 1.63%
Monthly Payment Rate 16.29% 16.29% 16.29% 16.29%
Card Trust COMT 00-2 COMT 00-3 COMT 00-4 COMT 00-5
Deal Size $750MM $1000MM $1200MM $1250MM
Expected Maturity(Class A): 06/15/05 08/15/07 10/17/05 10/15/03
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.20% 21.20% 21.20% 21.20%
LESS: (Wt Avg) Coupon 7.26% 6.95% 6.85% 6.90%
SVC Fees 2.00% 2.00% 2.00% 0.20%
Charge-Offs 2.78% 2.78% 2.78% 2.78%
Excess Spread: Nov-00 9.16% 9.47% 9.57% 11.32%
Oct-00 10.35% 10.66% 12.54% #N/A
Sep-00 9.64% 10.04% #N/A #N/A
3-Mo Avg Excess Spread 9.72% 10.06% #N/A #N/A
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.42% 1.42% 1.42% 1.42%
60 to 89 days 0.91% 0.91% 0.91% 0.91%
90+ days 1.63% 1.63% 1.63% 1.63%
Monthly Payment Rate 16.29% 16.29% 16.29% 16.29%
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.htm
CAPITAL ONE MASTER TRUST
TRUST EXCESS SPREAD ANALYSIS - DECEMBER-00
Card Trust COMT 96-1 COMT 96-2 COMT 96-3 COMT 97-1
Deal Size $845MM $750MM $500MM $608MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02
---------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.70% 21.70% 21.70% 21.70%
LESS: (Wt Avg) Coupon 6.79% 6.75% 6.78% 6.54%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.60% 2.60% 2.60% 2.60%
Excess Spread: Dec-00 10.81% 10.85% 10.82% 11.06%
Nov-00 10.02% 10.14% 10.11% 10.21%
Oct-00 11.27% 11.33% 11.30% 11.40%
3-Mo Avg Excess Spread 10.70% 10.77% 10.74% 10.89%
---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.45% 1.45% 1.45% 1.45%
60 to 89 days 0.92% 0.92% 0.92% 0.92%
90+ days 1.69% 1.69% 1.69% 1.69%
Monthly Payment Rate 16.32% 16.32% 16.32% 16.32%
Card Trust COMT 97-2 COMT 98-1 COMT 98-3 COMT 98-4
Deal Size $502MM $591MM $486MM $750MM
Expected Maturity(Class A): 8/15/02 4/15/08 8/16/01 11/15/03
---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.70% 21.70% 21.70% 21.70%
LESS: (Wt Avg) Coupon 6.74% 6.44% 6.45% 5.86%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.60% 2.60% 2.60% 2.60%
Excess Spread: Dec-00 10.86% 11.16% 11.15% 11.74%
Nov-00 10.07% 10.52% 10.88% 11.16%
Oct-00 11.32% 11.71% 12.07% 12.35%
3-Mo Avg Excess Spread 10.75% 11.13% 11.37% 11.75%
---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.45% 1.45% 1.45% 1.45%
60 to 89 days 0.92% 0.92% 0.92% 0.92%
90+ days 1.69% 1.69% 1.69% 1.69%
Monthly Payment Rate 16.32% 16.32% 16.32% 16.32%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1
Deal Size $625MM $625MM $500MM $600MM
Expected Maturity(Class A): 05/15/04 05/15/02 7/17/06 02/17/03
Excess Spread:
---------------------------------------------------------------------------------------------
Portfolio Yield 21.70% 21.70% 21.70% 21.70%
LESS: (Wt Avg) Coupon 6.68% 6.78% 6.84% 7.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.60% 2.60% 2.60% 2.60%
Excess Spread: Dec-00 10.92% 10.82% 10.76% 10.44%
Nov-00 10.16% 10.11% 9.99% 9.76%
Oct-00 11.35% 11.30% 11.18% 10.95%
3-Mo Avg Excess Spread 10.81% 10.74% 10.64% 10.38%
---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.45% 1.45% 1.45% 1.45%
60 to 89 days 0.92% 0.92% 0.92% 0.92%
90+ days 1.69% 1.69% 1.69% 1.69%
Monthly Payment Rate 16.32% 16.32% 16.32% 16.32%
Card Trust COMT 00-2 COMT 00-3 COMT 00-4 COMT 00-5
Deal Size $750MM $1000MM $1200MM $1250MM
Expected Maturity(Class A): 06/15/05 08/15/07 10/17/05 10/15/03
---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.70% 21.70% 21.70% 21.70%
LESS: (Wt Avg) Coupon 7.26% 6.86% 6.39% 6.31%
SVC Fees 2.00% 2.00% 2.00% 2.00%
Charge-Offs 2.60% 2.60% 2.60% 2.60%
Excess Spread: Dec-00 9.84% 10.24% 10.71% 10.79%
Nov-00 9.16% 9.47% 9.57% 11.32%
Oct-00 10.35% 10.66% 12.54% #N/A
3-Mo Avg Excess Spread 9.78% 10.12% 10.94% #N/A
---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.45% 1.45% 1.45% 1.45%
60 to 89 days 0.92% 0.92% 0.92% 0.92%
90+ days 1.69% 1.69% 1.69% 1.69%
Monthly Payment Rate 16.32% 16.32% 16.32% 16.32%
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
CAPITAL ONE MASTER TRUST
------------------------
TRUST EXCESS SPREAD ANALYSIS - JANUARY-01
Card Trust COMT 96-1 COMT 96-2 COMT 96-3 COMT 97-1
Deal Size $845MM $750MM $500MM $608MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.23% 21.23% 21.23% 21.23%
LESS: (Wt Avg) Coupon 6.75% 6.04% 6.08% 6.50%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.32% 2.32% 2.32% 2.32%
Excess Spread: Jan-01 10.66% 11.37% 11.33% 10.91%
Dec-00 10.81% 10.85% 10.82% 11.06%
Nov-00 10.02% 10.14% 10.11% 10.21%
3-Mo Avg Excess Spread 10.50% 10.79% 10.75% 10.73%
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.53% 1.53% 1.53% 1.53%
60 to 89 days 0.95% 0.95% 0.95% 0.95%
90+ days 1.72% 1.72% 1.72% 1.72%
Monthly Payment Rate 17.26% 17.26% 17.26% 17.26%
Card Trust COMT 98-4 COMT 97-2 COMT 98-1 COMT 98-3
Deal Size $750MM $502MM $591MM $486MM
Expected Maturity(Class A): 11/15/03 8/15/02 4/15/08 8/16/01
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.23% 21.23% 21.23% 21.23%
LESS: (Wt Avg) Coupon 5.66% 6.70% 6.35% 5.92%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.32% 2.32% 2.32% 2.32%
Excess Spread: Jan-01 11.75% 10.71% 11.06% 11.49%
Dec-00 11.74% 10.86% 11.16% 11.15%
Nov-00 11.16% 10.07% 10.52% 10.88%
3-Mo Avg Excess Spread 11.55% 10.55% 10.91% 11.17%
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.53% 1.53% 1.53% 1.53%
60 to 89 days 0.95% 0.95% 0.95% 0.95%
90+ days 1.72% 1.72% 1.72% 1.72%
Monthly Payment Rate 17.26% 17.26% 17.26% 17.26%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1
Deal Size $625MM $625MM $500MM $600MM
Expected Maturity(Class A): 05/15/04 05/15/02 7/17/06 02/17/03
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.23% 21.23% 21.23% 21.23%
LESS: (Wt Avg) Coupon 6.10% 6.07% 6.27% 7.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.32% 2.32% 2.32% 2.32%
Excess Spread: Jan-01 11.31% 11.34% 11.14% 10.25%
Dec-00 10.92% 10.82% 10.76% 10.44%
Nov-00 10.16% 10.11% 9.99% 9.76%
3-Mo Avg Excess Spread 10.80% 10.76% 10.63% 10.15%
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.53% 1.53% 1.53% 1.53%
60 to 89 days 0.95% 0.95% 0.95% 0.95%
90+ days 1.72% 1.72% 1.72% 1.72%
Monthly Payment Rate 17.26% 17.26% 17.26% 17.26%
Card Trust COMT 00-2 COMT 00-3 COMT 00-4 COMT 00-5
Deal Size $750MM $1000MM $1200MM $1250MM
Expected Maturity(Class A): 06/15/05 08/15/07 10/17/05 10/15/03
- -----------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 21.23% 21.23% 21.23% 21.23%
LESS: (Wt Avg) Coupon 7.26% 6.28% 6.71% 6.61%
SVC Fees 2.00% 2.00% 2.00% 2.00%
Charge-Offs 2.32% 2.32% 2.32% 2.32%
Excess Spread: Jan-01 9.65% 10.63% 10.20% 10.30%
Dec-00 9.84% 10.24% 10.71% 10.79%
Nov-00 9.16% 9.47% 9.57% 11.32%
3-Mo Avg Excess Spread 9.55% 10.11% 10.16% 10.80%
- -----------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.53% 1.53% 1.53% 1.53%
60 to 89 days 0.95% 0.95% 0.95% 0.95%
90+ days 1.72% 1.72% 1.72% 1.72%
Monthly Payment Rate 17.26% 17.26% 17.26% 17.26%
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.htm
CAPITAL ONE MASTER TRUST
------------------------
TRUST EXCESS SPREAD ANALYSIS - FEBRUARY-01
Card Trust COMT 96-1 COMT 96-2 COMT 96-3 COMT 97-1
Deal Size $845MM $750MM $500MM $608MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 27.29% 27.29% 27.29% 27.29%
LESS: (Wt Avg) Coupon 5.74% 5.87% 5.91% 6.58%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.48% 2.48% 2.48% 2.48%
Excess Spread: Feb-01 17.57% 17.44% 17.40% 16.73%
Jan-01 10.66% 11.37% 11.33% 10.91%
Dec-00 10.81% 10.85% 10.82% 11.06%
3-Mo Avg Excess Spread 13.01% 13.22% 13.18% 12.90%
- ---------------------------------------------------------------------------------------------
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 15.97% 15.97% 15.97% 15.97%
Card Trust COMT 97-2 COMT 98-1 COMT 98-3 COMT 98-4
Deal Size $502MM $591MM $486MM $750MM
Expected Maturity(Class A): 8/15/02 4/15/08 8/16/01 11/15/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 27.29% 27.29% 27.29% 27.29%
LESS: (Wt Avg) Coupon 5.69% 6.30% 5.48% 5.53%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.48% 2.48% 2.48% 2.48%
Excess Spread: Feb-01 17.62% 17.01% 17.83% 17.78%
Jan-01 10.71% 11.06% 11.49% 11.75%
Dec-00 10.86% 11.16% 11.15% 11.74%
3-Mo Avg Excess Spread 13.06% 13.08% 13.49% 13.76%
- ---------------------------------------------------------------------------------------------
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 15.97% 15.97% 15.97% 15.97%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1
Deal Size $625MM $625MM $500MM $600MM
Expected Maturity(Class A): 05/15/04 05/15/02 7/17/06 02/17/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 27.29% 27.29% 27.29% 27.29%
LESS: (Wt Avg) Coupon 6.01% 5.90% 6.18% 7.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 2.48% 2.48% 2.48% 2.48%
Excess Spread: Feb-01 17.30% 17.41% 17.13% 16.15%
Jan-01 11.31% 11.34% 11.14% 10.25%
Dec-00 10.92% 10.82% 10.76% 10.44%
3-Mo Avg Excess Spread 13.18% 13.19% 13.01% 12.28%
- ---------------------------------------------------------------------------------------------
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 15.97% 15.97% 15.97% 15.97%
Card Trust COMT 00-2 COMT 00-3 COMT 00-4 COMT 00-5
Deal Size $750MM $1000MM $1200MM $1250MM
Expected Maturity(Class A): 06/15/05 08/15/07 10/17/05 10/15/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 27.29% 27.29% 27.29% 27.29%
LESS: (Wt Avg) Coupon 7.26% 6.20% 7.18% 7.08%
SVC Fees 2.00% 2.00% 2.00% 2.00%
Charge-Offs 2.48% 2.48% 2.48% 2.48%
Excess Spread: Feb-01 15.55% 16.61% 15.63% 15.73%
Jan-01 9.65% 10.63% 10.20% 10.30%
Dec-00 9.84% 10.24% 10.71% 10.79%
3-Mo Avg Excess Spread 11.68% 12.49% 12.18% 12.27%
- ---------------------------------------------------------------------------------------------
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 15.97% 15.97% 15.97% 15.97%
Card Trust COMT 01-1
Deal Size $1200MM
Expected Maturity(Class A): 2/17/03
- --------------------------------------------------
Excess Spread:
Portfolio Yield 27.29%
LESS: (Wt Avg) Coupon 6.04%
SVC Fees 0.20%
Charge-Offs 2.48%
Excess Spread: Feb-01 18.57%
Jan-01 #N/A
Dec-00 #N/A
3-Mo Avg Excess Spread #N/A
- --------------------------------------------------
Delinquents: 30 to 59 days 1.89%
60 to 89 days 1.40%
90+ days 2.28%
Monthly Payment Rate 15.97%
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.htm
CAPITAL ONE MASTER TRUST
------------------------
TRUST EXCESS SPREAD ANALYSIS - MARCH-01
Card Trust COMT 96-1 COMT 96-2 COMT 96-3 COMT 97-1
Deal Size $845MM $750MM $500MM $608MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 27.40% 27.40% 27.40% 27.40%
LESS: (Wt Avg) Coupon 5.39% 5.20% 5.23% 4.99%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 3.00% 3.00% 3.00% 3.00%
Excess Spread: Mar-01 17.51% 17.70% 17.67% 17.91%
Feb-01 17.57% 17.44% 17.40% 16.73%
Jan-01 10.66% 11.37% 11.33% 10.91%
3-Mo Avg Excess Spread 15.25% 15.50% 15.47% 15.18%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.62% 1.62% 1.62% 1.62%
60 to 89 days 1.18% 1.18% 1.18% 1.18%
90+ days 2.57% 2.57% 2.57% 2.57%
Monthly Payment Rate 16.40% 16.40% 16.40% 16.40%
Card Trust COMT 97-2 COMT 98-1 COMT 98-3 COMT 98-4
Deal Size $502MM $591MM $486MM $750MM
Expected Maturity(Class A): 8/15/02 4/15/08 8/16/01 11/15/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 27.40% 27.40% 27.40% 27.40%
LESS: (Wt Avg) Coupon 5.34% 6.33% 6.19% 5.60%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 3.00% 3.00% 3.00% 3.00%
Excess Spread: Mar-01 17.56% 16.57% 16.71% 17.30%
Feb-01 17.62% 17.01% 17.83% 17.78%
Jan-01 10.71% 11.06% 11.49% 11.75%
3-Mo Avg Excess Spread 15.30% 14.88% 15.34% 15.61%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.62% 1.62% 1.62% 1.62%
60 to 89 days 1.18% 1.18% 1.18% 1.18%
90+ days 2.57% 2.57% 2.57% 2.57%
Monthly Payment Rate 16.40% 16.40% 16.40% 16.40%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1
Deal Size $625MM $625MM $500MM $600MM
Expected Maturity(Class A): 05/15/04 05/15/02 7/17/06 02/17/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 27.40% 27.40% 27.40% 27.40%
LESS: (Wt Avg) Coupon 5.29% 5.23% 5.45% 7.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 3.00% 3.00% 3.00% 3.00%
Excess Spread: Mar-01 17.61% 17.67% 17.45% 15.74%
Feb-01 17.30% 17.41% 17.13% 16.15%
Jan-01 11.31% 11.34% 11.14% 10.25%
3-Mo Avg Excess Spread 15.41% 15.47% 15.24% 14.05%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.62% 1.62% 1.62% 1.62%
60 to 89 days 1.18% 1.18% 1.18% 1.18%
90+ days 2.57% 2.57% 2.57% 2.57%
Monthly Payment Rate 16.40% 16.40% 16.40% 16.40%
Card Trust COMT 00-2 COMT 00-3 COMT 00-4 COMT 00-5
Deal Size $750MM $1000MM $1200MM $1250MM
Expected Maturity(Class A): 06/15/05 08/15/07 10/17/05 10/15/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 27.40% 27.40% 27.40% 27.40%
LESS: (Wt Avg) Coupon 7.26% 5.46% 6.10% 6.02%
SVC Fees 2.00% 2.00% 2.00% 2.00%
Charge-Offs 3.00% 3.00% 3.00% 3.00%
Excess Spread: Mar-01 15.14% 16.94% 16.30% 16.38%
Feb-01 15.55% 16.61% 15.63% 15.73%
Jan-01 9.65% 10.63% 10.20% 10.30%
3-Mo Avg Excess Spread 13.45% 14.73% 14.04% 14.14%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.62% 1.62% 1.62% 1.62%
60 to 89 days 1.18% 1.18% 1.18% 1.18%
90+ days 2.57% 2.57% 2.57% 2.57%
Monthly Payment Rate 16.40% 16.40% 16.40% 16.40%
Card Trust COMT 01-1
Deal Size $1200MM
Expected Maturity(Class A): 2/17/03
- --------------------------------------------------
Excess Spread:
Portfolio Yield 27.40%
LESS: (Wt Avg) Coupon 5.35%
SVC Fees 2.00%
Charge-Offs 3.00%
Excess Spread: Mar-01 17.05%
Feb-01 18.57%
Jan-01 #N/A
3-Mo Avg Excess Spread #N/A
- --------------------------------------------------
Delinquents: 30 to 59 days 1.62%
60 to 89 days 1.18%
90+ days 2.57%
Monthly Payment Rate 16.40%
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.htm
CAPITAL ONE MASTER TRUST
------------------------
TRUST EXCESS SPREAD ANALYSIS - APRIL-01
Card Trust COMT 96-1 COMT 96-2 COMT 96-3 COMT 97-1
Deal Size $845MM $750MM $500MM $608MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 26.21% 26.21% 26.21% 26.21%
LESS: (Wt Avg) Coupon 5.56% 5.25% 5.29% 5.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 4.03% 4.03% 4.03% 4.03%
Excess Spread: Apr-01 15.12% 15.43% 15.39% 15.52%
Mar-01 17.51% 17.70% 17.67% 17.91%
Feb-01 17.57% 17.44% 17.40% 16.73%
3-Mo Avg Excess Spread 16.73% 16.86% 16.82% 16.72%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.71% 1.71% 1.71% 1.71%
60 to 89 days 1.10% 1.10% 1.10% 1.10%
90+ days 2.62% 2.62% 2.62% 2.62%
Monthly Payment Rate 15.19% 15.19% 15.19% 15.19%
Card Trust COMT 97-2 COMT 98-1 COMT 98-3 COMT 98-4
Deal Size $502MM $591MM $486MM $750MM
Expected Maturity(Class A): 8/15/02 4/15/08 8/16/01 11/15/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 26.21% 26.21% 26.21% 26.21%
LESS: (Wt Avg) Coupon 5.50% 6.28% 5.59% 5.49%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 4.03% 4.03% 4.03% 4.03%
Excess Spread: Apr-01 15.18% 14.40% 15.09% 15.19%
Mar-01 17.56% 16.57% 16.71% 17.30%
Feb-01 17.62% 17.01% 17.83% 17.78%
3-Mo Avg Excess Spread 16.79% 15.99% 16.54% 16.76%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.71% 1.71% 1.71% 1.71%
60 to 89 days 1.10% 1.10% 1.10% 1.10%
90+ days 2.62% 2.62% 2.62% 2.62%
Monthly Payment Rate 15.19% 15.19% 15.19% 15.19%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1
Deal Size $625MM $625MM $500MM $600MM
Expected Maturity(Class A): 05/15/04 05/15/02 7/17/06 02/17/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 26.21% 26.21% 26.21% 26.21%
LESS: (Wt Avg) Coupon 5.42% 5.28% 5.59% 7.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 4.03% 4.03% 4.03% 4.03%
Excess Spread: Apr-01 15.26% 15.40% 15.09% 13.52%
Mar-01 17.61% 17.67% 17.45% 15.74%
Feb-01 17.30% 17.41% 17.13% 16.15%
3-Mo Avg Excess Spread 16.72% 16.83% 16.56% 15.14%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.71% 1.71% 1.71% 1.71%
60 to 89 days 1.10% 1.10% 1.10% 1.10%
90+ days 2.62% 2.62% 2.62% 2.62%
Monthly Payment Rate 15.19% 15.19% 15.19% 15.19%
Card Trust COMT 00-2 COMT 00-3 COMT 00-4 COMT 00-5
Deal Size $750MM $1000MM $1200MM $1250MM
Expected Maturity(Class A): 06/15/05 08/15/07 10/17/05 10/15/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 26.21% 26.21% 26.21% 26.21%
LESS: (Wt Avg) Coupon 7.26% 5.61% 6.80% 6.71%
SVC Fees 2.00% 2.00% 2.00% 2.00%
Charge-Offs 4.03% 4.03% 4.03% 4.03%
Excess Spread: Apr-01 12.92% 14.57% 13.38% 13.47%
Mar-01 15.14% 16.94% 16.30% 16.38%
Feb-01 15.55% 16.61% 15.63% 15.73%
3-Mo Avg Excess Spread 14.54% 16.04% 15.10% 15.19%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.71% 1.71% 1.71% 1.71%
60 to 89 days 1.10% 1.10% 1.10% 1.10%
90+ days 2.62% 2.62% 2.62% 2.62%
Monthly Payment Rate 15.19% 15.19% 15.19% 15.19%
Card Trust COMT 01-1
Deal Size $1200MM
Expected Maturity(Class A): 2/17/03
- --------------------------------------------------
Excess Spread:
Portfolio Yield 26.21%
LESS: (Wt Avg) Coupon 5.41%
SVC Fees 2.00%
Charge-Offs 4.03%
Excess Spread: Apr-01 14.77%
Mar-01 17.05%
Feb-01 18.57%
3-Mo Avg Excess Spread 16.80%
- --------------------------------------------------
Delinquents: 30 to 59 days 1.71%
60 to 89 days 1.10%
90+ days 2.62%
Monthly Payment Rate 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.htm
CAPITAL ONE MASTER TRUST
------------------------
TRUST EXCESS SPREAD ANALYSIS - MAY-01
Card Trust COMT 96-1 COMT 96-2 COMT 96-3 COMT 97-1
Deal Size $845MM $750MM $500MM $608MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 24.61% 24.61% 24.61% 24.61%
LESS: (Wt Avg) Coupon 4.19% 4.22% 4.25% 4.85%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 4.06% 4.06% 4.06% 4.06%
Excess Spread: May-01 14.86% 14.83% 14.80% 14.20%
Apr-01 15.12% 15.43% 15.39% 15.52%
Mar-01 17.51% 17.70% 17.67% 17.91%
3-Mo Avg Excess Spread 15.83% 15.99% 15.95% 15.88%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.78% 1.78% 1.78% 1.78%
60 to 89 days 1.15% 1.15% 1.15% 1.15%
90+ days 2.35% 2.35% 2.35% 2.35%
Monthly Payment Rate 16.24% 16.24% 16.24% 16.24%
Card Trust COMT 97-2 COMT 98-1 COMT 98-3 COMT 98-4
Deal Size $502MM $591MM $486MM $750MM
Expected Maturity(Class A): 8/15/02 4/15/08 8/16/01 11/15/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 24.61% 24.61% 24.61% 24.61%
LESS: (Wt Avg) Coupon 4.14% 6.24% 5.83% 5.40%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 4.06% 4.06% 4.06% 4.06%
Excess Spread: May-01 14.91% 12.81% 13.22% 13.65%
Apr-01 15.18% 14.40% 15.09% 15.19%
Mar-01 17.56% 16.57% 16.71% 17.30%
3-Mo Avg Excess Spread 15.88% 14.59% 15.01% 15.38%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.78% 1.78% 1.78% 1.78%
60 to 89 days 1.15% 1.15% 1.15% 1.15%
90+ days 2.35% 2.35% 2.35% 2.35%
Monthly Payment Rate 16.24% 16.24% 16.24% 16.24%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1
Deal Size $625MM $625MM $500MM $600MM
Expected Maturity(Class A): 05/15/04 05/15/02 7/17/06 02/17/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 24.61% 24.61% 24.61% 24.61%
LESS: (Wt Avg) Coupon 4.43% 4.25% 4.60% 7.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 4.06% 4.06% 4.06% 4.06%
Excess Spread: May-01 14.62% 14.80% 14.45% 11.89%
Apr-01 15.26% 15.40% 15.09% 13.52%
Mar-01 17.61% 17.67% 17.45% 15.74%
3-Mo Avg Excess Spread 15.83% 15.96% 15.66% 13.72%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.78% 1.78% 1.78% 1.78%
60 to 89 days 1.15% 1.15% 1.15% 1.15%
90+ days 2.35% 2.35% 2.35% 2.35%
Monthly Payment Rate 16.24% 16.24% 16.24% 16.24%
Card Trust COMT 00-2 COMT 00-3 COMT 00-4 COMT 00-5
Deal Size $750MM $1000MM $1200MM $1250MM
Expected Maturity(Class A): 06/15/05 08/15/07 10/17/05 10/15/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 24.61% 24.61% 24.61% 24.61%
LESS: (Wt Avg) Coupon 7.26% 4.61% 6.14% 6.04%
SVC Fees 2.00% 2.00% 2.00% 2.00%
Charge-Offs 4.06% 4.06% 4.06% 4.06%
Excess Spread: May-01 11.29% 13.94% 12.41% 12.51%
Apr-01 12.92% 14.57% 13.38% 13.47%
Mar-01 15.14% 16.94% 16.30% 16.38%
3-Mo Avg Excess Spread 13.12% 15.15% 14.03% 14.12%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.78% 1.78% 1.78% 1.78%
60 to 89 days 1.15% 1.15% 1.15% 1.15%
90+ days 2.35% 2.35% 2.35% 2.35%
Monthly Payment Rate 16.24% 16.24% 16.24% 16.24%
Card Trust COMT 01-1 COMT 01-2 COMT 01-3
Deal Size $1200MM $1200MM $750MM
Expected Maturity(Class A): 2/17/03 3/15/06 5/15/06
- -----------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 24.61% 24.61% 24.61%
LESS: (Wt Avg) Coupon 4.37% 4.78% 5.46%
SVC Fees 2.00% 1.93% 0.93%
Charge-Offs 4.06% 4.06% 4.06%
Excess Spread: May-01 14.18% 13.84% 14.16%
Apr-01 14.77% #N/A #N/A
Mar-01 17.05% #N/A #N/A
3-Mo Avg Excess Spread 15.33% #N/A #N/A
- -----------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.78% 1.78% 1.78%
60 to 89 days 1.15% 1.15% 1.15%
90+ days 2.35% 2.35% 2.35%
Monthly Payment Rate 16.24% 16.24% 16.24%
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.htm
CAPITAL ONE MASTER TRUST
------------------------
TRUST EXCESS SPREAD ANALYSIS - JUNE-01
Card Trust COMT 96-1 COMT 96-2 COMT 96-3 COMT 97-1
Deal Size $845MM $750MM $500MM $608MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.28% 23.28% 23.28% 23.28%
LESS: (Wt Avg) Coupon 4.16% 4.08% 4.11% 3.90%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 4.24% 4.24% 4.24% 4.24%
Excess Spread: Jun-01 13.38% 13.46% 13.43% 13.64%
May-01 14.86% 14.83% 14.80% 14.20%
Apr-01 15.12% 15.43% 15.39% 15.52%
3-Mo Avg Excess Spread 14.45% 14.57% 14.54% 14.45%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.78% 1.78% 1.78% 1.78%
60 to 89 days 1.21% 1.21% 1.21% 1.21%
90+ days 2.31% 2.31% 2.31% 2.31%
Monthly Payment Rate 16.13% 16.13% 16.13% 16.13%
Card Trust COMT 97-2 COMT 98-1 COMT 98-3 COMT 98-4
Deal Size $502MM $591MM $486MM $750MM
Expected Maturity(Class A): 8/15/02 4/15/08 8/16/01 11/15/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.28% 23.28% 23.28% 23.28%
LESS: (Wt Avg) Coupon 4.11% 6.23% 5.81% 5.38%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 4.24% 4.24% 4.24% 4.24%
Excess Spread: Jun-01 13.43% 11.31% 11.73% 12.16%
May-01 14.91% 12.81% 13.22% 13.65%
Apr-01 15.18% 14.40% 15.09% 15.19%
3-Mo Avg Excess Spread 14.51% 12.84% 13.35% 13.67%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.78% 1.78% 1.78% 1.78%
60 to 89 days 1.21% 1.21% 1.21% 1.21%
90+ days 2.31% 2.31% 2.31% 2.31%
Monthly Payment Rate 16.13% 16.13% 16.13% 16.13%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1
Deal Size $625MM $625MM $500MM $600MM
Expected Maturity(Class A): 05/15/04 05/15/02 7/17/06 02/17/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.28% 23.28% 23.28% 23.28%
LESS: (Wt Avg) Coupon 4.30% 4.11% 4.47% 7.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 4.24% 4.24% 4.24% 4.24%
Excess Spread: Jun-01 13.24% 13.43% 13.07% 10.38%
May-01 14.62% 14.80% 14.45% 11.89%
Apr-01 15.26% 15.40% 15.09% 13.52%
3-Mo Avg Excess Spread 14.37% 14.54% 14.20% 11.93%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.78% 1.78% 1.78% 1.78%
60 to 89 days 1.21% 1.21% 1.21% 1.21%
90+ days 2.31% 2.31% 2.31% 2.31%
Monthly Payment Rate 16.13% 16.13% 16.13% 16.13%
Card Trust COMT 00-2 COMT 00-3 COMT 00-4 COMT 00-5
Deal Size $750MM $1000MM $1200MM $1250MM
Expected Maturity(Class A): 06/15/05 08/15/07 10/17/05 10/15/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.28% 23.28% 23.28% 23.28%
LESS: (Wt Avg) Coupon 7.26% 4.48% 6.11% 6.02%
SVC Fees 2.00% 2.00% 2.00% 2.00%
Charge-Offs 4.24% 4.24% 4.24% 4.24%
Excess Spread: Jun-01 9.78% 12.56% 10.93% 11.02%
May-01 11.29% 13.94% 12.41% 12.51%
Apr-01 12.92% 14.57% 13.38% 13.47%
3-Mo Avg Excess Spread 11.33% 13.69% 12.24% 12.33%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.78% 1.78% 1.78% 1.78%
60 to 89 days 1.21% 1.21% 1.21% 1.21%
90+ days 2.31% 2.31% 2.31% 2.31%
Monthly Payment Rate 16.13% 16.13% 16.13% 16.13%
Card Trust COMT 01-1 COMT 01-2 COMT 01-3
Deal Size $1200MM $1200MM $750MM
Expected Maturity(Class A): 2/17/03 3/15/06 5/15/06
- -------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.28% 23.28% 23.28%
LESS: (Wt Avg) Coupon 4.23% 5.20% 5.37%
SVC Fees 2.00% 2.00% 2.00%
Charge-Offs 4.24% 4.24% 4.24%
Excess Spread: Jun-01 12.81% 11.84% 11.67%
May-01 14.18% 13.84% 14.16%
Apr-01 14.77% #N/A #N/A
3-Mo Avg Excess Spread 13.92% #N/A #N/A
- -------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.78% 1.78% 1.78%
60 to 89 days 1.21% 1.21% 1.21%
90+ days 2.31% 2.31% 2.31%
Monthly Payment Rate 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.
COMMENTS:
Capital One Master Trust performance statistics are also available at the
Capital One web site: http://www.capitalone.com/invest/financials/abs.htm
CAPITAL ONE MASTER TRUST
------------------------
TRUST EXCESS SPREAD ANALYSIS - JULY-01
Card Trust COMT 96-1 COMT 96-2 COMT 96-3 COMT 97-1
Deal Size $845MM $750MM $500MM $608MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.95% 23.95% 23.95% 23.95%
LESS: (Wt Avg) Coupon 4.19% 3.99% 4.02% 3.94%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 3.91% 3.91% 3.91% 3.91%
Excess Spread: Jul-01 14.35% 14.55% 14.52% 14.60%
Jun-01 13.38% 13.46% 13.43% 13.64%
May-01 14.86% 14.83% 14.80% 14.20%
3-Mo Avg Excess Spread 14.20% 14.28% 14.25% 14.15%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.76% 1.76% 1.76% 1.76%
60 to 89 days 1.27% 1.27% 1.27% 1.27%
90+ days 2.50% 2.50% 2.50% 2.50%
Monthly Payment Rate 15.66% 15.66% 15.66% 15.66%
Card Trust COMT 97-2 COMT 98-1 COMT 98-3 COMT 98-4
Deal Size $502MM $591MM $486MM $750MM
Expected Maturity(Class A): 8/15/02 4/15/08 8/16/01 11/15/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.95% 23.95% 23.95% 23.95%
LESS: (Wt Avg) Coupon 4.14% 6.21% 5.76% 5.32%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 3.91% 3.91% 3.91% 3.91%
Excess Spread: Jul-01 14.40% 12.33% 12.78% 13.22%
Jun-01 13.43% 11.31% 11.73% 12.16%
May-01 14.91% 12.81% 13.22% 13.65%
3-Mo Avg Excess Spread 14.25% 12.15% 12.58% 13.01%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.76% 1.76% 1.76% 1.76%
60 to 89 days 1.27% 1.27% 1.27% 1.27%
90+ days 2.50% 2.50% 2.50% 2.50%
Monthly Payment Rate 15.66% 15.66% 15.66% 15.66%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1
Deal Size $625MM $625MM $500MM $600MM
Expected Maturity(Class A): 05/15/04 05/15/02 7/17/06 02/17/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.95% 23.95% 23.95% 23.95%
LESS: (Wt Avg) Coupon 4.25% 4.02% 4.42% 7.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 3.91% 3.91% 3.91% 3.91%
Excess Spread: Jul-01 14.29% 14.52% 14.12% 11.38%
Jun-01 13.24% 13.43% 13.07% 10.38%
May-01 14.62% 14.80% 14.45% 11.89%
3-Mo Avg Excess Spread 14.05% 14.25% 13.88% 11.22%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.76% 1.76% 1.76% 1.76%
60 to 89 days 1.27% 1.27% 1.27% 1.27%
90+ days 2.50% 2.50% 2.50% 2.50%
Monthly Payment Rate 15.66% 15.66% 15.66% 15.66%
Card Trust COMT 00-2 COMT 00-3 COMT 00-4 COMT 00-5
Deal Size $750MM $1000MM $1200MM $1250MM
Expected Maturity(Class A): 06/15/05 08/15/07 10/17/05 10/15/03
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.95% 23.95% 23.95% 23.95%
LESS: (Wt Avg) Coupon 7.26% 4.44% 6.32% 6.23%
SVC Fees 2.00% 2.00% 2.00% 2.00%
Charge-Offs 3.91% 3.91% 3.91% 3.91%
Excess Spread: Jul-01 10.78% 13.60% 11.72% 11.81%
Jun-01 9.78% 12.56% 10.93% 11.02%
May-01 11.29% 13.94% 12.41% 12.51%
3-Mo Avg Excess Spread 10.62% 13.37% 11.69% 11.78%
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.76% 1.76% 1.76% 1.76%
60 to 89 days 1.27% 1.27% 1.27% 1.27%
90+ days 2.50% 2.50% 2.50% 2.50%
Monthly Payment Rate 15.66% 15.66% 15.66% 15.66%
Card Trust COMT 01-1 COMT 01-2 COMT 01-3 COMT 01-4
Deal Size $1200MM $1200MM $750MM $1000MM
Expected Maturity(Class A): 2/17/03 3/15/06 5/15/06 6/15/04
- ---------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.95% 23.95% 23.95% 23.95%
LESS: (Wt Avg) Coupon 4.15% 5.38% 5.32% 3.44%
SVC Fees 2.00% 2.00% 2.00% 2.27%
Charge-Offs 3.91% 3.91% 3.91% 3.91%
Excess Spread: Jul-01 13.89% 12.66% 12.72% 14.33%
Jun-01 12.81% 11.84% 11.67% #N/A
May-01 14.18% 13.84% 14.16% #N/A
3-Mo Avg Excess Spread 13.63% 12.78% 12.85% #N/A
- ---------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.76% 1.76% 1.76% 1.76%
60 to 89 days 1.27% 1.27% 1.27% 1.27%
90+ days 2.50% 2.50% 2.50% 2.50%
Monthly Payment Rate 15.66% 15.66% 15.66% 15.66%
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.htm
CAPITAL ONE MASTER TRUST
------------------------
TRUST EXCESS SPREAD ANALYSIS - AUGUST-01
Card Trust COMT 96-1 COMT 96-2 COMT 96-3 COMT 97-1
Deal Size $845MM $750MM $500MM $608MM
Expected Maturity(Class A): 8/15/01 12/15/01 1/15/04 6/15/02
- -------------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 24.40% 24.40% 24.40% 24.40%
LESS: (Wt Avg) Coupon 4.19% 3.62% 3.65% 3.72%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 3.73% 3.73% 3.73% 3.73%
Excess Spread: Aug-01 14.98% 15.55% 15.52% 15.45%
Jul-01 14.35% 14.55% 14.52% 14.60%
Jun-01 13.38% 13.46% 13.43% 13.64%
3-Mo Avg Excess Spread 14.24% 14.52% 14.49% 14.56%
- -------------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.75% 1.75% 1.75% 1.75%
60 to 89 days 1.21% 1.21% 1.21% 1.21%
90+ days 2.68% 2.68% 2.68% 2.68%
Monthly Payment Rate 16.06% 16.06% 16.06% 16.06%
Card Trust COMT 97-2 COMT 98-1 COMT 98-3 COMT 98-4
Deal Size $502MM $591MM $486MM $750MM
Expected Maturity(Class A): 8/15/02 4/15/08 8/16/01 11/15/03
- -------------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 24.40% 24.40% 24.40% 24.40%
LESS: (Wt Avg) Coupon 3.52% 6.23% 5.76% 5.37%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 3.73% 3.73% 3.73% 3.73%
Excess Spread: Aug-01 15.65% 12.94% 13.41% 13.80%
Jul-01 14.40% 12.33% 12.78% 13.22%
Jun-01 13.43% 11.31% 11.73% 12.16%
3-Mo Avg Excess Spread 14.49% 12.19% 12.64% 13.06%
- -------------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.75% 1.75% 1.75% 1.75%
60 to 89 days 1.21% 1.21% 1.21% 1.21%
90+ days 2.68% 2.68% 2.68% 2.68%
Monthly Payment Rate 16.06% 16.06% 16.06% 16.06%
Card Trust COMT 99-1 COMT 99-2 COMT 99-3 COMT 00-1
Deal Size $625MM $625MM $500MM $600MM
Expected Maturity(Class A): 05/15/04 05/15/02 7/17/06 02/17/03
- -------------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 24.40% 24.40% 24.40% 24.40%
LESS: (Wt Avg) Coupon 3.84% 3.65% 4.00% 7.16%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 3.73% 3.73% 3.73% 3.73%
Excess Spread: Aug-01 15.33% 15.52% 15.17% 12.01%
Jul-01 14.29% 14.52% 14.12% 11.38%
Jun-01 13.24% 13.43% 13.07% 10.38%
3-Mo Avg Excess Spread 14.29% 14.49% 14.12% 11.26%
- -------------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.75% 1.75% 1.75% 1.75%
60 to 89 days 1.21% 1.21% 1.21% 1.21%
90+ days 2.68% 2.68% 2.68% 2.68%
Monthly Payment Rate 16.06% 16.06% 16.06% 16.06%
Card Trust COMT 00-2 COMT 00-3 COMT 00-4 COMT 00-5
Deal Size $750MM $1000MM $1200MM $1250MM
Expected Maturity(Class A): 06/15/05 08/15/07 10/17/05 10/15/03
- -------------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 24.40% 24.40% 24.40% 24.40%
LESS: (Wt Avg) Coupon 7.26% 4.01% 5.61% 5.52%
SVC Fees 2.00% 2.00% 2.00% 2.00%
Charge-Offs 3.73% 3.73% 3.73% 3.73%
Excess Spread: Aug-01 11.41% 14.66% 13.06% 13.15%
Jul-01 10.78% 13.60% 11.72% 11.81%
Jun-01 9.78% 12.56% 10.93% 11.02%
3-Mo Avg Excess Spread 10.66% 13.61% 11.90% 11.99%
- -------------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.75% 1.75% 1.75% 1.75%
60 to 89 days 1.21% 1.21% 1.21% 1.21%
90+ days 2.68% 2.68% 2.68% 2.68%
Monthly Payment Rate 16.06% 16.06% 16.06% 16.06%
Card Trust COMT 01-1 COMT 01-2 COMT 01-3 COMT 01-4
Deal Size $1200MM $1200MM $750MM $1000MM
Expected Maturity(Class A): 2/17/03 3/15/06 5/15/06 6/15/04
- -------------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 24.40% 24.40% 24.40% 24.40%
LESS: (Wt Avg) Coupon 3.77% 4.75% 5.36% 3.91%
SVC Fees 2.00% 2.00% 2.00% 2.00%
Charge-Offs 3.73% 3.73% 3.73% 3.73%
Excess Spread: Aug-01 14.90% 13.92% 13.31% 14.76%
Jul-01 13.89% 12.66% 12.72% 14.33%
Jun-01 12.81% 11.84% 11.67% #N/A
3-Mo Avg Excess Spread 13.87% 12.81% 12.57% #N/A
- -------------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.75% 1.75% 1.75% 1.75%
60 to 89 days 1.21% 1.21% 1.21% 1.21%
90+ days 2.68% 2.68% 2.68% 2.68%
Monthly Payment Rate 16.06% 16.06% 16.06% 16.06%
Card Trust COMT 01-5
Deal Size $1000MM
Expected Maturity(Class A): 8/15/06
- --------------------------------------------------
Excess Spread:
Portfolio Yield 24.40%
LESS: (Wt Avg) Coupon 5.42%
SVC Fees 0.60%
Charge-Offs 3.73%
Excess Spread: Aug-01 14.65%
Jul-01 #N/A
Jun-01 #N/A
3-Mo Avg Excess Spread #N/A
- --------------------------------------------------
Delinquents: 30 to 59 days 1.75%
60 to 89 days 1.21%
90+ days 2.68%
Monthly Payment Rate 16.06%
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.htm
CAPITAL ONE MASTER TRUST
TRUST EXCESS SPREAD ANALYSIS - SEPTEMBER-01
Card Trust COMT 96-2 COMT 96-3 COMT 97-1 COMT 97-2
Deal Size $750MM $500MM $608MM $502MM
Expected Maturity(Class A): 12/15/01 1/15/04 6/15/02 8/15/02
------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.87% 23.87% 23.87% 23.87%
LESS: (Wt Avg) Coupon 3.79% 3.82% 3.42% 3.82%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 4.26% 4.26% 4.26% 4.26%
Excess Spread: Sep-01 14.32% 14.29% 14.69% 14.29%
Aug-01 15.55% 15.52% 15.45% 15.65%
Jul-01 14.55% 14.52% 14.60% 14.40%
3-Mo Avg Excess Spread 14.81% 14.78% 14.91% 14.78%
------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.77% 1.77% 1.77% 1.77%
60 to 89 days 1.22% 1.22% 1.22% 1.22%
90+ days 2.67% 2.67% 2.67% 2.67%
Monthly Payment Rate 14.32% 14.32% 14.32% 14.32%
Card Trust COMT 98-1 COMT 98-4 COMT 99-1 COMT 99-2
Deal Size $591MM $750MM $625MM $625MM
Expected Maturity(Class A): 4/15/08 11/15/03 05/15/04 05/15/02
------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.87% 23.87% 23.87% 23.87%
LESS: (Wt Avg) Coupon 6.16% 5.22% 4.13% 3.82%
SVC Fees 1.50% 1.50% 1.50% 1.50%
Charge-Offs 4.26% 4.26% 4.26% 4.26%
Excess Spread: Sep-01 11.95% 12.89% 13.98% 14.29%
Aug-01 12.94% 13.80% 15.33% 15.52%
Jul-01 12.33% 13.22% 14.29% 14.52%
3-Mo Avg Excess Spread 12.41% 13.30% 14.53% 14.78%
------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.77% 1.77% 1.77% 1.77%
60 to 89 days 1.22% 1.22% 1.22% 1.22%
90+ days 2.67% 2.67% 2.67% 2.67%
Monthly Payment Rate 14.32% 14.32% 14.32% 14.32%
Card Trust COMT 99-3 COMT 00-1 COMT 00-2 COMT 00-3
Deal Size $500MM $600MM $750MM $1000MM
Expected Maturity(Class A): 7/17/06 02/17/03 06/15/05 08/15/07
-------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.87% 23.87% 23.87% 23.87%
LESS: (Wt Avg) Coupon 4.31% 7.16% 7.26% 4.33%
SVC Fees 1.50% 1.50% 2.00% 2.00%
Charge-Offs 4.26% 4.26% 4.26% 4.26%
Excess Spread: Sep-01 13.80% 10.95% 10.35% 13.28%
Aug-01 15.17% 12.01% 11.41% 14.66%
Jul-01 14.12% 11.38% 10.78% 13.60%
3-Mo Avg Excess Spread 14.36% 11.45% 10.85% 13.85%
-------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.77% 1.77% 1.77% 1.77%
60 to 89 days 1.22% 1.22% 1.22% 1.22%
90+ days 2.67% 2.67% 2.67% 2.67%
Monthly Payment Rate 14.32% 14.32% 14.32% 14.32%
Card Trust COMT 00-4 COMT 00-5 COMT 01-1 COMT 01-2
Deal Size $1200MM $1250MM $1200MM $1200MM
Expected Maturity(Class A): 10/17/05 10/15/03 2/17/03 3/15/06
-------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.87% 23.87% 23.87% 23.87%
LESS: (Wt Avg) Coupon 6.79% 6.69% 3.95% 5.78%
SVC Fees 2.00% 2.00% 2.00% 2.00%
Charge-Offs 4.26% 4.26% 4.26% 4.26%
Excess Spread: Sep-01 10.82% 10.92% 13.66% 11.83%
Aug-01 13.06% 13.15% 14.90% 13.92%
Jul-01 11.72% 11.81% 13.89% 12.66%
3-Mo Avg Excess Spread 11.87% 11.96% 14.15% 12.80%
-------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.77% 1.77% 1.77% 1.77%
60 to 89 days 1.22% 1.22% 1.22% 1.22%
90+ days 2.67% 2.67% 2.67% 2.67%
Monthly Payment Rate 14.32% 14.32% 14.32% 14.32%
Card Trust COMT 01-3 COMT 01-4 COMT 01-5 COMT 01-6
Deal Size $750MM $1000MM $1000MM $1300MM
Expected Maturity(Class A): 5/15/06 6/15/04 8/15/06 8/15/08
-------------------------------------------------------------------------------------------
Excess Spread:
Portfolio Yield 23.87% 23.87% 23.87% 23.87%
LESS: (Wt Avg) Coupon 5.22% 4.01% 5.09% 3.87%
SVC Fees 2.00% 2.00% 2.00% 1.27%
Charge-Offs 4.26% 4.26% 4.26% 4.26%
Excess Spread: Sep-01 12.39% 13.60% 12.52% 14.47%
Aug-01 13.31% 14.76% 14.65% #N/A
Jul-01 12.72% 14.33% #N/A #N/A
3-Mo Avg Excess Spread 12.81% 14.23% #N/A #N/A
-------------------------------------------------------------------------------------------
Delinquents: 30 to 59 days 1.77% 1.77% 1.77% 1.77%
60 to 89 days 1.22% 1.22% 1.22% 1.22%
90+ days 2.67% 2.67% 2.67% 2.67%
Monthly Payment Rate 14.32% 14.32% 14.32% 14.32%
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