<PAGE>
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
____________
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(D) OF THE
SECURITIES EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported) November 5, 1998.
Capital One Bank
(Originator of the Capital One Master Trust)
on behalf of the
Capital One Master Trust
---------------------
(Exact name of registrant as specified in its charter)
Virginia 0-23750 54-1719855
- ----------------------------- ------------------------ ----------
(State or Other Jurisdiction (Commission File Number) (IRS Employer
of Incorporation) Identification Number)
11013 West Broad Street
Glenn Allen, Virginia 23060
--------------------------------------- -----
(Address of Principal Executive Office) (Zip Code)
Registrant's telephone number, including area code (804) 967-1000
N/A
---------------------------------
(Former Name or Former Address, if Changed Since Last Report)
<PAGE>
INFORMATION TO BE INCLUDED IN THE REPORT
Item 1. Not Applicable.
Item 2. Not Applicable.
Item 3. Not Applicable.
Item 4. Not Applicable.
Item 5. On November 5, 1998, the Registrant made available to
prospective investors a series term sheet setting forth a
description of the collateral pool and the proposed structure of
$631,875,000 aggregate principal amount of Class A 5.43% Asset
Backed Certificates, Series 1998-4 of the Capital One Master
Trust. The series term sheet is attached hereto as Exhibit 99.01.
Item 6. Not Applicable.
Item 7. Exhibits.
The following is filed as an Exhibit to this Report under Exhibit
99.01.
Exhibit 99.01 Series Term Sheet dated November 5, 1998, with
respect to the proposed issuance of the Capital One Master Trust,
$631,875,000 Class A 5.43% Asset Backed Certificates, Series
1998-4.
Item 8. Not Applicable.
Item 9. Not Applicable.
2
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Capital One Bank on behalf of the Capital One Master Trust has duly caused this
report to be signed on its behalf by the undersigned hereunto duly authorized.
CAPITAL ONE MASTER TRUST
BY: CAPITAL ONE BANK
By:/s/ Lee J. Jacobson
-----------------------
Name: Lee J. Jacobson
Title: Assistant Treasurer
3
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EXHIBIT INDEX
Exhibit Description
- ------- -----------
Exhibit 99.01 Series Term Sheet dated November 5, 1998, with respect to the
proposed issuance of the Capital One Master Trust,
$631,875,000 Class A 5.43% Asset Backed Certificates, Series
1998-4.
4
<PAGE>
Exhibit 99.01
SUBJECT TO REVISION
SERIES TERM SHEET DATED NOVEMBER 5, 1998
[Logo of Capital One appears here]
Master Trust
$631,875,000 Class A 5.43% Asset Backed Certificates, Series 1998-4
Capital One Bank, Seller and Servicer
THE CLASS A 5.43% ASSET BACKED CERTIFICATES, SERIES 1998-4 (THE "CLASS A
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. A CLASS A 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 CLASS A CERTIFICATES. HOWEVER, THIS SERIES TERM SHEET DOES NOT CONTAIN
COMPLETE INFORMATION ABOUT THE OFFERING OF THE CLASS A CERTIFICATES.
THE INFORMATION PROVIDED HEREIN IS PRELIMINARY AND WILL BE SUPERSEDED
BY THE INFORMATION CONTAINED IN THE 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 CLASS A
CERTIFICATES MAY NOT BE CONSUMMATED UNLESS THE PURCHASER
HAS RECEIVED BOTH THE PROSPECTUS SUPPLEMENT AND THE
PROSPECTUS.
------------
Underwriters
Morgan Stanley Dean Witter
Bear, Stearns & Co. Inc.
Credit Suisse First Boston
J.P. Morgan & Co.
<PAGE>
This Series Term Sheet will be superseded in its entirety by the information
appearing in the Prospectus Supplement, the Prospectus and the Series 1998-4
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.......... $631,875,000 Class A 5.43% Asset Backed
Certificates, Series 1998-4 (the "Class A
Certificates"). In addition, the Trust will
issue $60,000,000 Class B Floating Rate Asset
Backed Certificates, Series 1998-4 (the "Class
B Certificates" and, together with the Class A
Certificates, the "Investor Certificates") and
$58,125,000 Class C Floating Rate Asset Backed
Interests, Series 1998-4 (the "Class C
Interests" and, together with the Investor
Certificates, the "Series 1998-4 Interests").
Only the Class A Certificates are offered
hereby.
THE INVESTOR CERTIFICATES;
THE CLASS C INTERESTS.......
Each of the Series 1998-4 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
1998-4 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 holders of the Class C Interests (the
"Class C Investors' Interest"). The specified
undivided interest in the Trust Assets repre-
sented by the Class C Interests in the initial
amount of $58,125,000 (an amount that repre-
sents 7.75% of the Initial Invested Amount),
together with amounts on deposit in the Cash
Collateral Account, constitute the credit en-
hancement for the Investor Certificates.
The Class A 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 1998-4 Supple-
ment to the Pooling Agreement (the "Series
1998-4 Supplement").
The aggregate amount of principal Receivables
allocated to the Class A Certificateholders'
Interest, the Class B Certificateholders' In-
terest and the Class C Investors' Interest (as
more fully defined in the Prospectus Supple-
ment, the "Invested
2
<PAGE>
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 $631,875,000 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 $60,000,000 on the Series Issuance Date. The
aggregate amount of principal Receivables allo-
cable to the Class C Interests (the "Class C
Invested Amount") will be $58,125,000 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 Class A 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
circumstances).
CLASS A CERTIFICATE RATE.... 5.43%.
RECEIVABLES................. The aggregate amount of Receivables in the Ac-
counts as of September 18, 1998 was
$10,973,123,763.37, consisting of
$10,650,595,706.76 of principal Receivables and
$322,528,056.61 of finance charge Receivables.
SERIES CUT-OFF DATE......... November 1, 1998
SERIES ISSUANCE DATE........ November 17, 1998
INTEREST PAYMENT DATES...... Interest on the Class A 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 December 15, 1998.
The Class A Certificates will accrue interest
for each Distribution Date in an amount equal
to one-twelfth of the product of (a) the Class
A Certificate Rate and (b) the outstanding
principal amount of the Class A Certificates as
of the last day of the preceding calender
month. The "Interest Period" with respect to
any Distribution Date will be the period from
the previous Distribution Date through the day
preceding such Distribution Date, except that
the initial Interest Period will be the period
from the Series Issuance Date through the day
preceding the initial Distribution Date.
PRINCIPAL...................
The principal of the Class A Certificates is
scheduled to be paid on the Class A Expected
Final Payment, but may be paid earlier or later
under certain circumstances.
3
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CLASS A EXPECTED FINAL
PAYMENT DATE................
The November 2003 Distribution Date.
SERIES 1998-4 TERMINATION The final distribution of principal and inter-
DATE........................ est on the Class A Certificates will be made
no later than the January 2007 Distribution
Date.
OTHER SERIES................. As of the date hereof, the Trust has issued
twenty-one other series of investor certifi-
cates, fourteen of which are still outstand-
ing.
SUBORDINATION................ The fractional undivided interest in the Trust
Assets allocable to the Class B Certificates
and the Class C Interests will be subordinated
to the extent necessary to fund payments with
respect to the Class A Certificates. In addi-
tion, the Class C Interests will be subordi-
nated to the extent necessary to fund certain
payments with respect to the Class B Certifi-
cates.
THE CASH COLLATERAL A cash collateral account (the "Cash Collateral
ACCOUNT..................... Account") will be held in the name of the
Trustee for the benefit of the holders of the
Series 1998-4 Interests. The Cash Collateral
Account will be fully funded on the Series Is-
suance Date in the amount of $9,375,000 (the
"Initial Cash Collateral Amount"). Withdrawals
will be made from the Cash Collateral Account
to pay the required amounts on the Class A
Certificates first and then to pay the re-
quired amounts on the Class B Certificates and
then to pay amounts due with respect to the
Class C Interests.
On each Distribution Date, certain excess
spread allocable to the Series 1998-4 Inter-
ests will be deposited in the Cash Collateral
Account, to the extent that the amount on de-
posit in the Cash Collateral Account is less
than the Required Cash Collateral Amount as
established by the Series 1998-4 Supplement.
If on any Distribution Date amounts in the
Cash Collateral Account exceed the Required
Cash Collateral Amount, such excess in the
Cash Collateral Account will be applied in ac-
cordance with the Series 1998-4 Supplement and
the loan agreement entered into in connection
with the Class C Interests and will not be
available to the holders of the Investor Cer-
tificates.
The "Required Cash Collateral Amount" for any
Distribution Date means, subject to certain
limitations more fully described in the Pro-
spectus Supplement, the greater of (I) the
product of (a) the sum of the Class A Adjusted
Invested Amount, the Class B Invested Amount
and the Class C Invested Amount, each as of
such Distribution Date after taking into ac-
count distributions made on such Distribution
Date and (b) 1.25% and (II) $1,041,667. The
"Class A Adjusted Invested Amount" means the
Class A Invested Amount minus the amount de-
posited in a principal funding account to make
principal payments on the Class A Certifi-
cates.
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.
4
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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.
5
<PAGE>
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 "Zero Balance
Accounts"), the recoveries on which will be treated as collections of finance
charge Receivables. The Bank plans to continue to add Zero Balance Accounts to
the Trust from time to time.
The Bank Portfolio is primarily comprised of accounts originated by the Bank
from 1992 to 1998, 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. The annual percentage rate on such receivables is either a
relatively low introductory rate converting to a higher rate at the end of an
introductory period, a low fixed-rate of generally 9% to 13% or a non-
introductory rate generally ranging between approximately 13% and 25%. Low
introductory rates generally range from approximately 5% to 10% for
introductory periods of 6 to 18 months after which the rate converts to an
annual percentage rate generally between approximately 13% and 17%. The annual
percentage rate is either a fixed rate or a variable rate that adjusts
periodically according to an index. Non-introductory rate products (excluding
the low fixed-rate products) are more customized products and generally
include secured 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 with respect to 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. The 1997 impact of these adjustments is
shown as a footnote in the tables that follow.
DELINQUENCY AND LOSS EXPERIENCE
Because new accounts usually initially exhibit lower delinquency rates and
credit losses, the growth of the Bank Portfolio from approximately $1.985
billion at year end 1992, to approximately $14.302 billion as of the end of
September 1998, 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, it is expected that the charge-off rates and
delinquencies will increase over time. The Bank's 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.
6
<PAGE>
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 September 18, 1998,
the Trust Portfolio represented approximately 56% and 77% of the Bank
Portfolio by account and receivables outstanding, respectively. Because the
Trust Portfolio is only a portion of the Bank Portfolio, actual delinquency
and loss experience with respect to 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)(3)
(DOLLARS IN THOUSANDS)
<TABLE>
<CAPTION>
AT YEAR END
MONTH END -----------------------------------------------------------------
SEPTEMBER 30, 1998 1997(4) 1996 1995
--------------------- --------------------- --------------------- ---------------------
NUMBER OF DAYS DELINQUENT DELINQUENT DELINQUENT DELINQUENT
DELINQUENT(2) AMOUNT PERCENTAGE AMOUNT PERCENTAGE AMOUNT PERCENTAGE AMOUNT PERCENTAGE
-------------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
30-59 days.............. $277,734 1.94% $309,440 2.35% $261,165 2.16% $165,306 1.58%
60-89 days.............. 166,654 1.17 202,735 1.54 151,218 1.25 92,665 0.89
90+ days................ 301,315 2.10 323,803 2.46 335,986 2.78 181,243 1.73
-------- ---- -------- ---- -------- ---- -------- ----
TOTAL................. $745,703 5.21% $835,978 6.35% $748,369 6.19% $439,214 4.20%
======== ==== ======== ==== ======== ==== ======== ====
</TABLE>
- --------
(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
1997, 1996 and 1995 were $13,155,103, $12,092,872 and $10,445,480,
respectively. The end of period receivables outstanding as of September
30, 1998 were $14,301,587.
(2) The Bank uses billing cycles to determine delinquency. This table assumes
that each billing cycle is 30 days long, but actual billing cycles range
from 26 to 34 days each.
(3) Figures and percentages in this table are reported on a processing month
basis.
(4) 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)
<TABLE>
<CAPTION>
YEAR ENDED
NINE MONTHS ENDED ------------------------------------
SEPTEMBER 30, 1998 1997(1) 1996 1995
------------------ ----------- ----------- ----------
<S> <C> <C> <C> <C>
Average Receivables
Outstanding............ $13,335,277 $12,103,362 $11,028,180 $9,089,278
Gross Losses............ $ 712,154 $ 895,434 $ 509,689 $ 238,438
Gross Losses as a
Percentage of Average
Receivables Outstanding
(2).................... 7.12% 7.40% 4.62% 2.62%
Recoveries.............. $ 124,243 $ 74,902 $ 37,166 $ 33,610
Net Losses.............. $ 587,911 $ 820,532 $ 472,523 $ 204,828
Net Losses as a
Percentage of Average
Receivables Outstanding
(2).................... 5.88% 6.78% 4.28% 2.25%
</TABLE>
- --------
(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 nine months ended September 1998 are
annualized figures. Annualized figures are not necessarily indicative of
results for the entire year.
7
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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)
<TABLE>
<CAPTION>
YEAR ENDED
NINE MONTHS ENDED ------------------------------------
SEPTEMBER 30, 1998 1997(2) 1996 1995
------------------ ----------- ----------- ----------
<S> <C> <C> <C> <C>
Average Receivables
Outstanding............ $13,335,277 $12,103,362 $11,028,180 $9,089,278
Finance Charges and
Fees(1)................ $ 2,320,152 $ 2,434,650 $ 1,904,885 $1,363,765
Yield from Finance
Charges and Fees (3)... 23.20% 20.12% 17.27% 15.00%
Interchange............. $ 111,182 $ 109,394 $ 97,892 $ 79,128
Yield from Interchange
(3).................... 1.11% 0.90% 0.89% 0.87%
</TABLE>
- --------
(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 nine months ended September 1998 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 with respect to the Receivables is different from that set
forth above for the Bank Portfolio. There can be no assurance that the yield
experience with respect to 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 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.
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 with respect to the Accounts.
8
<PAGE>
ACCOUNTHOLDER MONTHLY PAYMENT RATES
FOR BANK PORTFOLIO(1)
<TABLE>
<CAPTION>
YEAR ENDED
NINE MONTHS ENDED --------------------
SEPTEMBER 30, 1998 1997 1996 1995
------------------ ------ ------ ------
<S> <C> <C> <C> <C>
Lowest Month(2)........................ 10.86% 9.66% 8.54% 8.68%
Highest Month(2)....................... 12.45% 10.74% 10.97% 11.76%
Average Payment Rate for the Period.... 11.74% 10.20% 9.83% 10.17%
</TABLE>
- --------
(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
The Receivables in the Trust Portfolio, as of September 18, 1998, included
$10,650,595,706.76 of principal Receivables and $322,528,056.61 of finance
charge Receivables. The Accounts had an average balance of $1,413.62 and an
average credit limit of $3,484.77. The percentage of the aggregate total
Receivables balance to the aggregate total credit limit was 41%. The average
age of the Accounts was approximately 33 months. As of September 18, 1998, all
of the Accounts in the Trust Portfolio were VISA or MasterCard credit card
accounts, of which 67% were standard accounts and 33% were premium accounts,
and the aggregate Receivables balances of standard accounts and premium
accounts, as a percentage of the total aggregate Receivables, were 38% and
62%, respectively. Since the formation of the Trust and prior to the Series
Issuance Date, the Bank has added approximately $18.46 billion principal
amount of Receivables in additional Accounts to the Trust. The Receivables
arising under such accounts added to the Trust since its formation are
generally assessed finance charges having the following pricing
characteristics. The annual percentage rate on such Receivables is either a
relatively low introductory rate converting to a higher rate at the end of an
introductory period, a low fixed-rate of generally 9% to 13% or a non-
introductory rate generally ranging between approximately 13% and 25%. Low
introductory rates generally range from approximately 5% to 10% for
introductory periods of 6 to 18 months after which the rate converts to an
annual percentage rate generally between approximately 13% and 17%. The annual
percentage rate is either a fixed rate or a variable rate that adjusts
periodically according to an index. Non-introductory rate products (excluding
the low fixed-rate products) are more customized products and generally
include secured 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. 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.
As of September 18, 1998, approximately 41% of the Trust Portfolio accounts
were assessed a variable rate periodic finance charge and approximately 59%
were assessed a fixed rate periodic finance charge.
The following tables summarize the Trust Portfolio by various criteria as of
September 18, 1998. References to "Receivables Outstanding" in the following
tables include both finance charge Receivables and principal 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.
9
<PAGE>
COMPOSITION BY ACCOUNT BALANCE TRUST PORTFOLIO
<TABLE>
<CAPTION>
PERCENTAGE PERCENTAGE
OF TOTAL OF TOTAL
NUMBER OF NUMBER OF RECEIVABLES RECEIVABLES
ACCOUNT BALANCE RANGE ACCOUNTS ACCOUNTS OUTSTANDING OUTSTANDING
--------------------- --------- ---------- ------------------ -----------
<S> <C> <C> <C> <C>
Credit Balance(1)........ 150,456 1.94% $ (12,103,027.23) (0.11)%
No Balance(2)............ 1,450,032 18.68 0.00 0.00
More than $0 and less
than or equal
to $1,500.00........... 4,192,501 54.01 2,120,680,725.69 19.33
$1,500.01-$5,000.00...... 1,324,360 17.06 3,999,709,980.54 36.45
$5,000.01-$10,000.00..... 557,852 7.19 3,744,049,070.57 34.12
Over $10,000.00.......... 87,254 1.12 1,120,787,013.80 10.21
--------- ------ ------------------ ------
TOTAL.................. 7,762,455 100.00% $10,973,123,763.37 100.00%
========= ====== ================== ======
</TABLE>
- --------
(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
<TABLE>
<CAPTION>
PERCENTAGE PERCENTAGE
OF TOTAL OF TOTAL
NUMBER OF NUMBER OF RECEIVABLES RECEIVABLES
CREDIT LIMIT RANGE ACCOUNTS ACCOUNTS OUTSTANDING OUTSTANDING
------------------ --------- ---------- ------------------ -----------
<S> <C> <C> <C> <C>
Less than or equal to
$1,500.00................ 3,882,942 50.02% $ 1,689,484,647.99 15.40%
$1,500.01-$5,000.00....... 1,377,474 17.75 2,024,920,303.40 18.45
$5,000.01-$10,000.00...... 2,217,918 28.57 5,225,451,062.48 47.62
Over $10,000.00........... 284,121 3.66 2,033,267,749.50 18.53
--------- ------ ------------------ ------
TOTAL................... 7,762,455 100.00% $10,973,123,763.37 100.00%
========= ====== ================== ======
</TABLE>
- --------
(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
<TABLE>
<CAPTION>
PERCENTAGE PERCENTAGE
OF TOTAL OF TOTAL
NUMBER OF NUMBER OF RECEIVABLES RECEIVABLES
PAYMENT STATUS(2) ACCOUNTS ACCOUNTS OUTSTANDING OUTSTANDING
----------------- --------- ---------- ------------------ -----------
<S> <C> <C> <C> <C>
Current to 29 days(3)....... 7,263,889 93.58% $10,260,961,617.73 93.51%
Past due 30-59 days......... 207,223 2.67 287,401,237.41 2.62
Past due 60-89 days......... 107,725 1.39 145,295,978.96 1.32
Past due 90+ days........... 183,618 2.36 279,464,929.27 2.55
--------- ------ ------------------ ------
TOTAL..................... 7,762,455 100.00% $10,973,123,763.37 100.00%
========= ====== ================== ======
</TABLE>
- --------
(1) Payment Status is determined as of the prior statement cycle date.
(2) The Bank uses billing cycles to determine delinquency. The table assumes
that each billing cycle is 30 days long, but actual billing cycles range
from 26 to 34 days each.
(3) 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.
10
<PAGE>
COMPOSITION BY ACCOUNT AGE TRUST PORTFOLIO
<TABLE>
<CAPTION>
PERCENTAGE PERCENTAGE
OF TOTAL OF TOTAL
NUMBER OF NUMBER OF RECEIVABLES RECEIVABLES
ACCOUNT AGE ACCOUNTS ACCOUNTS OUTSTANDING OUTSTANDING
----------- --------- ---------- ------------------ -----------
<S> <C> <C> <C> <C>
Not more than 6 months.... 687,628 8.86% $ 1,858,927,811.27 16.94%
Over 6 months to 12
months................... 682,383 8.79 1,527,800,302.92 13.92
Over 12 months to 24
months................... 1,978,255 25.48 1,671,412,720.00 15.23
Over 24 months to 36
months................... 1,903,728 24.52 1,632,133,052.65 14.88
Over 36 months to 48
months................... 1,031,539 13.29 1,499,465,849.87 13.66
Over 48 months to 60
months................... 661,259 8.52 1,268,836,840.21 11.56
Over 60 months............ 817,663 10.54 1,514,547,186.45 13.81
--------- ------ ------------------ ------
TOTAL................... 7,762,455 100.00% $10,973,123,763.37 100.00%
========= ====== ================== ======
</TABLE>
11
<PAGE>
COMPOSITION OF ACCOUNTS BY ACCOUNTHOLDER BILLING ADDRESS
<TABLE>
<CAPTION>
PERCENTAGE PERCENTAGE
OF TOTAL OF TOTAL
NUMBER OF NUMBER OF RECEIVABLES RECEIVABLES
STATE OR TERRITORY ACCOUNTS ACCOUNTS OUTSTANDING OUTSTANDING
- ------------------ --------- ---------- ------------------ -----------
<S> <C> <C> <C> <C>
California.................. 1,041,006 13.41% $ 1,508,240,001.76 13.74%
Texas....................... 597,675 7.70 836,451,450.44 7.62
New York.................... 549,782 7.08 741,365,323.12 6.76
Florida..................... 548,177 7.06 738,558,180.66 6.73
Illinois.................... 339,790 4.38 439,527,508.84 4.01
Pennsylvania................ 307,623 3.96 426,716,156.14 3.89
Virginia.................... 238,556 3.07 405,161,918.82 3.69
Ohio........................ 303,987 3.92 398,814,144.87 3.63
New Jersey.................. 254,531 3.28 358,525,692.09 3.27
Michigan.................... 246,710 3.18 338,749,665.77 3.09
Georgia..................... 214,998 2.77 312,848,869.58 2.85
Massachusetts............... 204,332 2.63 287,949,963.41 2.62
North Carolina.............. 189,328 2.44 277,890,023.78 2.53
Maryland.................... 170,928 2.20 273,044,224.39 2.49
Washington.................. 153,398 1.98 268,332,306.69 2.45
Missouri.................... 151,284 1.95 219,220,911.83 2.00
Indiana..................... 156,576 2.02 212,675,712.99 1.94
Minnesota................... 128,079 1.65 193,584,743.04 1.76
Tennessee................... 147,113 1.90 192,686,664.99 1.76
Colorado.................... 135,085 1.74 188,882,489.46 1.72
Arizona..................... 131,678 1.70 183,914,686.14 1.68
Connecticut................. 104,870 1.35 157,026,030.59 1.43
Alabama..................... 120,669 1.55 154,127,926.03 1.40
Louisiana................... 111,935 1.44 147,911,807.26 1.35
South Carolina.............. 96,730 1.25 133,837,336.32 1.22
Oregon...................... 88,738 1.14 130,884,126.77 1.19
Oklahoma.................... 93,943 1.21 126,555,725.16 1.15
Kentucky.................... 94,683 1.22 116,440,580.56 1.06
Kansas...................... 69,122 0.89 108,288,984.56 0.99
Arkansas.................... 69,351 0.89 95,287,294.11 0.87
Nevada...................... 64,994 0.84 92,831,795.04 0.85
Mississippi................. 73,575 0.95 84,638,046.67 0.77
West Virginia............... 52,366 0.67 72,346,233.71 0.66
New Hampshire............... 48,506 0.62 69,387,728.24 0.63
New Mexico.................. 42,600 0.55 63,189,730.27 0.58
Nebraska.................... 41,384 0.53 58,895,230.16 0.54
Utah........................ 39,871 0.51 53,805,958.15 0.49
Maine....................... 31,812 0.41 53,028,987.86 0.48
Idaho....................... 32,060 0.41 49,299,223.22 0.45
Hawaii...................... 30,568 0.40 47,338,970.87 0.43
Rhode Island................ 32,668 0.42 46,227,956.82 0.42
Iowa........................ 33,038 0.43 40,602,973.28 0.37
Montana..................... 27,075 0.35 40,400,455.13 0.37
Alaska...................... 20,589 0.27 36,060,996.17 0.33
Vermont..................... 22,521 0.29 32,236,586.86 0.29
Delaware.................... 20,977 0.27 29,477,949.18 0.27
South Dakota................ 17,041 0.22 26,739,242.38 0.24
North Dakota................ 16,468 0.21 25,536,765.66 0.23
District of Columbia........ 17,939 0.23 25,010,704.79 0.23
Wyoming..................... 15,707 0.20 23,272,928.47 0.21
Wisconsin................... 7,319 0.10 10,899,920.95 0.10
Other....................... 12,700 0.16 18,394,929.32 0.17
--------- ------ ------------------ ------
TOTAL..................... 7,762,455 100.00% $10,973,123,763.37 100.00%
========= ====== ================== ======
</TABLE>
12
<PAGE>
As of September 18, 1998, the Bank, like many other national credit card
issuers, had a significant concentration of credit card receivables
outstanding in California. Adverse economic conditions affecting
accountholders residing in California 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.
13
