<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) July 15, 1999.
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)
<TABLE>
<S> <C> <C>
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)
</TABLE>
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 July 15, 1999, the Registrant made available to
prospective investors a series term sheet setting forth a
description of the collateral pool and the proposed
structure of $400,000,000 aggregate principal amount of
Class A Floating Rate Asset Backed Certificates, Series
1999-3 and $50,000,000 Class B Floating Rate Asset Backed
Certificates, Series 1999-3 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 June 7, 1999, with respect to the
proposed issuance of the Capital One Master Trust, $400,000,000 Class
A Floating Rate Asset Backed Certificates, Series 1999-3 and
$50,000,000 Class B Floating Rate Asset Backed Certificates, Series
1999-3.
Item 8. Not Applicable.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as
amended, 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/ Charles Y. Kim
----------------------
Name: Charles Y. Kim
Title: Director of Securitization
<PAGE>
EXHIBIT INDEX
Exhibit Description
- ------- -----------
Exhibit 99.01 Series Term Sheet dated July 15, 1999, with respect to the
proposed issuance of the Capital One Master Trust,
$400,000,000 Class A Floating Rate Asset Backed Certificates,
Series 1999-3 and $50,000,000 Class B Floating Rate Asset
Backed Certificates, Series 1999-3.
<PAGE>
SUBJECT TO REVISION
SERIES TERM SHEET DATED JULY 15, 1999
[Logo of Capital One appears here]
Master Trust
$400,000,000 Class A Floating Rate Asset Backed Certificates, Series 1999-3
$50,000,000 Class B Floating Rate Asset Backed Certificates, Series 1999-3
Capital One Bank, Seller and Servicer
The Class A Floating Rate Asset Backed Certificates, Series 1999-3 (the
"Class A Certificates") and the Class B Floating Rate Asset Backed
Certificates, Series 1999-3 (the "Class B Certificates" and, together
with the Class A Certificates, the "Investor Certificates") represent
interests in the Capital One Master Trust (the "Trust") and do not
represent interests in or obligations of Capital One Bank or any
affiliate thereof. An Investor Certificate is not a deposit and
is not insured by the Federal Deposit Insurance Corporation
(the "FDIC"). The receivables are not insured or guaranteed
by the FDIC or any other governmental agency or
instrumentality.
THIS SERIES TERM SHEET CONTAINS STRUCTURAL AND COLLATERAL INFORMATION ABOUT
THE INVESTOR CERTIFICATES. HOWEVER, THIS SERIES TERM SHEET DOES NOT CONTAIN
COMPLETE INFORMATION ABOUT THE OFFERING OF THE INVESTOR CERTIFICATES. THE
INFORMATION PROVIDED HEREIN IS PRELIMINARY AND WILL BE SUPERSEDED BY
THE INFORMATION CONTAINED IN THE FINAL PROSPECTUS SUPPLEMENT AND THE
PROSPECTUS. PURCHASERS ARE URGED TO READ BOTH THE PROSPECTUS
SUPPLEMENT AND THE PROSPECTUS.
THIS SERIES TERM SHEET SHALL NOT CONSTITUTE AN OFFER TO SELL OR THE
SOLICITATION OF AN OFFER TO BUY, NOR SHALL THERE BE ANY SALE OF THESE
SECURITIES IN ANY STATE IN WHICH SUCH OFFER, SOLICITATION OR SALE WOULD
BE UNLAWFUL PRIOR TO REGISTRATION OR QUALIFICATION UNDER THE
SECURITIES LAWS OF ANY SUCH STATE. SALES OF THE INVESTOR
CERTIFICATES MAY NOT BE CONSUMMATED UNLESS THE PURCHASER HAS
RECEIVED BOTH THE FINAL PROSPECTUS SUPPLEMENT AND THE
PROSPECTUS.
------------
Underwriters of the Class A Certificates
Credit Suisse First Boston
Barclays Capital
Lehman Brothers
Morgan Stanley Dean Witter
Underwriters of the Class B Certificates
Credit Suisse First Boston Lehman Brothers
<PAGE>
This Series Term Sheet will be superseded in its entirety by the information
appearing in the final Prospectus Supplement, the Prospectus and the Series
1999-3 Supplement to the Pooling Agreement.
Trust........................ Capital One Master Trust (the "Trust"). The as-
sets of the Trust (the "Trust Assets") include
receivables (the "Receivables") generated from
time to time in a portfolio of consumer re-
volving credit card accounts and other con-
sumer revolving accounts (the "Accounts"),
funds collected or to be collected from
accountholders in respect of the Receivables,
the right to receive certain interchange at-
tributed to accountholder charges for merchan-
dise and services in certain of the Accounts,
recoveries (net of collection expenses) and
proceeds of credit insurance policies relating
to the Receivables, monies on deposit in cer-
tain accounts of the Trust, monies on deposit
as collateral, if any, relating to secured Ac-
counts and any credit enhancement with respect
to a particular series or class.
Title of Securities.......... $400,000,000 Class A Floating Rate Asset Backed
Certificates, Series 1999-3 (the "Class A
Certificates") and $50,000,000 Class B
Floating Rate Asset Backed Certificates,
Series 1999-3 (the "Class B Certificates" and,
together with the Class A Certificates, the
"Investor Certificates"). In addition, the
Trust will issue $50,000,000 of its Collateral
Interest, Series 1999-3 (the "Collateral
Interest" and, together with the Investor
Certificates, the "Series 1999-3 Interests").
Only the Investor Certificates are offered
hereby.
The Investor Certificates;
the Collateral Interest..... Each of the Series 1999-3 Interests represents
a specified undivided interest in certain as-
sets of the Trust. The portion of the Trust
Assets allocated to the holders of the Series
1999-3 Interests will be allocated among the
holders of the Class A Certificates (the
"Class A Certificateholders' Interest"), the
holders of the Class B Certificates (the
"Class B Certificateholders' Interest") and
the holder of the Collateral Interest (the
"Collateral Interest Holder's Interest"). The
specified undivided interest in the Trust As-
sets represented by the Collateral Interest in
the initial amount of $50,000,000 (an amount
that represents 10.0% of the Initial Invested
Amount) constitutes the credit enhancement for
the Investor Certificates.
The Investor Certificates will be issued pursu-
ant to a Pooling and Servicing Agreement (the
"Pooling Agreement") between a predecessor of
Capital One Bank (the "Bank"), as seller and
servicer, and The Bank of New York, as trustee
(the "Trustee"), and a Series 1999-3 Supple-
ment to the Pooling Agreement (the "Series
1999-3 Supplement").
The aggregate amount of principal Receivables
allocated to the Class A Certificateholders'
Interest, the Class B Certificateholders' In-
terest and the Collateral Interest Holder's
Interest (as more fully defined in the Pro-
spectus Supplement, the "Invested
2
<PAGE>
Amount") will be $500,000,000 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 $400,000,000 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 $50,000,000 on the Series Issuance Date. The
aggregate amount of principal Receivables allo-
cable to the Collateral Interest Holder's In-
terest (the "Collateral Invested Amount") will
be $50,000,000 on the Series Issuance Date.
The Class A Certificates will represent the
right to receive from the assets of the Trust
allocated to the Class A Certificateholders'
Interest funds up to (but not in excess of) the
amounts required to make payments of interest
on the Class A Certificates at the Class A Cer-
tificate Rate, and the payment of principal on
the Expected Final Payment Date to the extent
of the Class A Invested Amount (which may be
less than the aggregate unpaid principal amount
of the Class A Certificates, in certain circum-
stances).
The Class B Certificates will represent the
right to receive from the assets of the Trust
allocated to the Class B Certificateholders'
Interest funds up to (but not in excess of) the
amounts required to make payments of interest
on the Class B Certificates at the Class B Cer-
tificate Rate, and the payment of principal on
the Expected Final Payment Date to the extent
of the Class B Invested Amount (which may be
less than the aggregate unpaid principal amount
of the Class B Certificates, in certain circum-
stances).
Class A Certificate Rate.... One-Month LIBOR plus [ ]%.
Class B Certificate Rate.... One-Month LIBOR plus [ ]%.
Receivables................. The aggregate amount of Receivables in the Ac-
counts as of July 2, 1999 was
$10,958,535,065.12, consisting of
$10,622,083,908.92 of principal Receivables and
$336,451,156.20 of finance charge Receivables.
Series Cut-off Date......... July 1, 1999
Series Issuance Date........ July , 1999
Interest Payment Dates...... Interest on the Investor Certificates will be
distributed on the 15th day of each calendar
month or, if such day is not a business day, on
the next succeeding business day (each, a "Dis-
tribution Date"), commencing August 16, 1999.
The Class A Certificates will accrue interest
for each Distribution Date in an amount equal
to the product of (a) the actual number of days
in the related Interest Period divided by 360,
(b) the Class A Certificate Rate
3
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and (c) the outstanding principal amount of the
Class A Certificates as of the last day of the
preceding calendar month. The Class B Certifi-
cates will accrue interest for each Distribu-
tion Date in an amount equal to the product of
(a) the actual number of days in the related
Interest Period divided by 360, (b) the Class B
Certificate Rate and (c) the outstanding prin-
cipal amount of the Class B Certificates as of
the last day of the preceding calendar month.
The "Interest Period" with respect to any Dis-
tribution Date will be the period from the pre-
vious Distribution Date through the day preced-
ing such Distribution Date, except that the
initial Interest Period will be the period from
the Series Issuance Date through the day pre-
ceding the initial Distribution Date. "LIBOR"
means the London interbank offered quotations
for one-month United States dollar deposits
prevailing on the date that LIBOR is deter-
mined. The Trustee will determine LIBOR on July
, 1999 for the period from the Series Issuance
Date through and including August 15, 1999 and
on the second business day prior to each Dis-
tribution Date thereafter for the period from
and including such Distribution Date through
the day preceding the next succeeding Distribu-
tion Date.
Principal................... The principal of the Class A Certificates and
the Class B Certificates is scheduled to be
paid on the Expected Final Payment Date, but
may be paid earlier or later under certain cir-
cumstances.
Expected Final Payment
Date....................... The July 2006 Distribution Date.
Series 1999-3 Termination
Date....................... The final distribution of principal and interest
on the Investor Certificates will be made no
later than the September 2009 Distribution
Date.
Other Series................ As of the date hereof, the Trust has issued
twenty-six other series of investor certifi-
cates, seventeen of which are still outstand-
ing.
Subordination............... The fractional undivided interest in the Trust
Assets allocable to the Class B Certificates
and the Collateral Interest will be subordi-
nated to the extent necessary to fund payments
with respect to the Class A Certificates. In
addition, the Collateral Interest will be sub-
ordinated to the extent necessary to fund cer-
tain payments with respect to the Class B Cer-
tificates.
If the Collateral Invested Amount is reduced to
zero, the holders of the Class B Certificates
will bear directly the credit and other risks
associated with their undivided interest in the
Trust. To the extent the Class B Invested
Amount is reduced, the percentage of collec-
tions of finance charge Receivables allocated
to the Class B Certificateholders' Interest in
subsequent months will be reduced. Moreover, to
the extent the amount of such reduction in the
Class B Invested Amount is not reimbursed, the
amount of principal distributable to the hold-
ers of the Class B Certificates will be re-
duced.
4
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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.
The Class B Certificates are not eligible for
purchase by persons investing assets of
employee benefit plans or individual
retirement accounts other than an insurance
company investing assets of its general
account.
Class A Certificate Rating... It is a condition to the issuance of the Class
A Certificates that they be rated in the
highest rating category by at least one
nationally recognized rating agency.
Class B Certificate Rating... It is a condition to the issuance of the Class
B Certificates that they be rated in one of
the three highest rating categories by at
least one nationally recognized rating agency.
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 1999, 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 for charge-offs and made an adjustment to its
recognition of finance charges and fee income. The Bank modified its
methodology for charging off credit card loans (net of any collateral) to 180
days past-due, from the prior practice of charging off loans during the
billing cycle after 180 days past-due. This resulted in adjustments to
delinquencies and losses, as well as a reduction in revenue as a result of a
reversal of previously accrued finance charges and fee income. In addition,
the Bank also began recognizing the estimated uncollectible portion of finance
charges and fee income receivables, which resulted in a decrease in loans and
a corresponding decrease in revenue. 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 $14.906 billion as of the end of
June 1999, 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 July 2, 1999, the
Trust Portfolio represented approximately 48% and 73% 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 for the Receivables is different from that set forth below for the
Bank Portfolio. There can be no assurance that the delinquency and loss
experience for the Receivables will be similar to the historical experience
set forth below for the Bank Portfolio.
Delinquencies as a Percentage of the Bank Portfolio(1)(2)
(Dollars in Thousands)
<TABLE>
<CAPTION>
At Year End
-----------------------------------------------------------------
Month End
June 30, 1999 1998 1997(3) 1996
--------------------- --------------------- --------------------- ---------------------
Number of Days Delinquent Delinquent Delinquent Delinquent
Delinquent Amount Percentage Amount Percentage Amount Percentage Amount Percentage
- -------------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
30 - 59 days............ $277,591 1.86% $276,021 1.83% $309,440 2.35% $261,165 2.16%
60 - 89 days............ 166,997 1.12 164,696 1.09 202,735 1.54 151,218 1.25
90 + days............... 280,733 1.89 286,135 1.89 323,803 2.46 335,986 2.78
-------- ---- -------- ---- -------- ---- -------- ----
Total.................. $725,321 4.87% $726,852 4.81% $835,978 6.35% $748,369 6.19%
======== ==== ======== ==== ======== ==== ======== ====
</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
1998, 1997 and 1996 were $15,108,050, $13,155,103 and $12,092,872,
respectively. The end of period receivables outstanding as of June 30,
1999 were $14,906,220.
(2) Figures and percentages in this table are reported on a processing month
basis.
(3) The total delinquencies greater than or equal to 30 days as a percentage
of the Bank Portfolio would have been 7.13% without the adjustments
discussed above under "--General."
Loss Experience for the Bank Portfolio
(Dollars in Thousands)
<TABLE>
<CAPTION>
Year Ended
-------------------------------------
Six Months
Ended
June
30, 1999 1998 1997(1) 1996
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Average Receivables
Outstanding.............. $14,825,758 $13,618,769 $12,103,362 $11,028,180
Gross Losses.............. $ 404,540 $ 930,334 $ 895,434 $ 509,689
Gross Losses as a
Percentage of Average
Receivables
Outstanding(2)........... 5.46% 6.83% 7.40% 4.62%
Recoveries................ $ 128,639 $ 174,713 $ 74,902 $ 37,166
Net Losses................ $ 275,901 $ 755,621 $ 820,532 $ 472,523
Net Losses as a Percentage
of Average Receivables
Outstanding(2)........... 3.72% 5.55% 6.78% 4.28%
</TABLE>
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(1) Net Losses as a percentage of Average Receivables Outstanding would have
been 6.40% without the change in charge-off methodology discussed above
under "--General."
(2) The percentages reflected for the six months ended June 30, 1999 are
annualized figures. Annualized figures are not necessarily indicative of
results for the entire year.
7
<PAGE>
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
-------------------------------------
Six Months
Ended
June
30, 1999 1998 1997(2) 1996
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Average Receivables
Outstanding.............. $14,825,758 $13,618,769 $12,103,362 $11,028,180
Finance Charges and
Fees(1).................. $ 1,868,113 $ 3,165,960 $ 2,434,650 $ 1,904,885
Yield from Finance Charges
and Fees(3).............. 25.20% 23.25% 20.12% 17.27%
Interchange............... $ 119,942 $ 165,115 $ 109,394 $ 97,892
Yield from
Interchange(3)........... 1.62% 1.21% 0.90% 0.89%
</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 six months ended June 30, 1999 are
annualized figures. Annualized figures are not necessarily indicative of
results for the entire year.
Because the Trust Portfolio is only a portion of the Bank Portfolio, actual
revenue experience for the Receivables is different from that set forth above
for the Bank Portfolio. There can be no assurance that the yield experience
for the Receivables in the future will be similar to the historical experience
set forth above for the Bank Portfolio. In addition, revenue from the
Receivables will depend on the types of fees and charges assessed on the
Accounts, and could be adversely affected by future changes made by the Bank
or the servicer in such fees and charges or by other factors.
The revenue 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 for the Accounts.
8
<PAGE>
Accountholder Monthly Payment Rates
for the Bank Portfolio(1)
<TABLE>
<CAPTION>
Six Months Year Ended
Ended -------------------
June 30, 1999 1998 1997 1996
------------- ----- ----- -----
<S> <C> <C> <C> <C>
Lowest Month(2).............................. 12.10% 10.86% 9.66% 8.54%
Highest Month(2)............................. 14.93% 12.64% 10.74% 10.97%
Average Payment Rate for the Period.......... 13.67% 11.71% 10.20% 9.83%
</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 July 2, 1999 included
$10,622,083,908.92 of principal Receivables and $336,451,156.20 of finance
charge Receivables. The Accounts had an average balance of $1,215.94 and an
average credit limit of $3,770.68. The percentage of the aggregate total
Receivables balance to the aggregate total credit limit was 34%. The average
age of the Accounts was approximately 36 months. As of July 2, 1999, 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 37% and
63%, respectively. Since the formation of the Trust, and prior to the Series
Issuance Date, the Bank has added approximately $21.0 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. The number of low fixed-rate products and non-
introductory rate products in the Trust 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 Trust 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.
As of July 2, 1999, approximately 40% of the Trust Portfolio accounts were
assessed a variable rate periodic finance charge and approximately 60% were
assessed a fixed rate periodic finance charge.
The following tables summarize the Trust Portfolio by various criteria as of
July 2, 1999. 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)........ 149,630 1.73% $ (14,007,950.06) (0.13)%
No Balance(2)............ 1,672,417 19.40 0.00 0.00
More than $0 and less
than or equal to
$1,500.00............... 4,908,223 56.93 2,457,985,023.81 22.43
$1,500.01-$5,000.00...... 1,264,704 14.67 3,737,728,333.53 34.11
$5,000.01-$10,000.00..... 536,782 6.23 3,622,187,756.84 33.05
Over $10,000.00.......... 89,931 1.04 1,154,641,901.00 10.54
--------- ------ ------------------ ------
TOTAL.................. 8,621,687 100.00% $10,958,535,065.12 100.00%
========= ====== ================== ======
</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................ 4,471,361 51.86% $ 1,916,815,815.49 17.49%
$1,500.01-$5,000.00....... 1,290,637 14.97 1,747,183,758.26 15.94
$5,000.01-$10,000.00...... 2,335,355 27.09 4,851,380,132.18 44.27
Over $10,000.00........... 524,334 6.08 2,443,155,359.19 22.30
--------- ------ ------------------ ------
TOTAL................... 8,621,687 100.00% $10,958,535,065.12 100.00%
========= ====== ================== ======
</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 Accounts Accounts Outstanding Outstanding
- -------------- --------- ---------- ------------------ -----------
<S> <C> <C> <C> <C>
Current to 29 days(2)....... 8,144,172 94.46% $10,347,005,528.97 94.42%
Past due 30 - 59 days....... 213,602 2.48 251,152,438.43 2.29
Past due 60 - 89 days....... 105,672 1.22 128,236,284.93 1.17
Past due 90+ days........... 158,241 1.84 232,140,812.79 2.12
--------- ------ ------------------ ------
Total..................... 8,621,687 100.00% $10,958,535,065.12 100.00%
========= ====== ================== ======
</TABLE>
- --------
(1) Payment Status is determined as of the prior statement cycle date.
(2) Accounts designated as current include accounts on which the minimum
payment has not been received prior to the second billing date following
the issuance of the related bill.
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...... 316,721 3.67% $ 715,169,024.08 6.53%
Over 6 to 12 Months......... 649,685 7.54 1,607,933,262.06 14.67
Over 12 to 24 Months........ 2,315,461 26.86 2,886,392,329.03 26.34
Over 24 to 36 Months........ 1,814,639 21.05 1,209,735,632.27 11.04
Over 36 to 48 Months........ 1,553,822 18.02 1,408,226,032.91 12.85
Over 48 to 60 Months........ 833,023 9.66 1,102,581,545.37 10.06
Over 60 Months.............. 1,138,336 13.20 2,028,497,239.40 18.51
--------- ------ ------------------ ------
Total..................... 8,621,687 100.00% $10,958,535,065.12 100.00%
========= ====== ================== ======
</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.................. 1,178,997 13.67% $ 1,447,297,024.28 13.21%
Texas....................... 659,598 7.65 808,518,185.68 7.38
Florida..................... 614,679 7.13 734,135,354.32 6.70
New York.................... 588,764 6.83 707,696,480.56 6.46
Illinois.................... 379,306 4.40 449,628,413.53 4.10
Pennsylvania................ 334,257 3.88 425,882,317.36 3.89
Ohio........................ 337,854 3.92 414,284,775.40 3.78
Virginia.................... 259,584 3.01 408,042,739.26 3.72
New Jersey.................. 276,276 3.20 352,768,684.19 3.22
Michigan.................... 276,331 3.21 352,497,287.30 3.22
Georgia..................... 235,647 2.73 317,724,925.05 2.90
North Carolina.............. 215,937 2.50 285,966,604.36 2.61
Massachusetts............... 223,441 2.59 284,828,922.07 2.60
Maryland.................... 189,282 2.20 275,400,364.37 2.51
Washington.................. 170,003 1.97 263,763,334.62 2.41
Indiana..................... 173,506 2.01 219,146,946.96 2.00
Missouri.................... 165,858 1.92 211,877,468.34 1.93
Minnesota................... 146,186 1.70 197,753,645.45 1.80
Tennessee................... 159,597 1.85 194,386,393.98 1.77
Colorado.................... 154,703 1.79 193,859,280.86 1.77
Arizona..................... 151,621 1.76 184,079,347.26 1.68
Alabama..................... 132,186 1.53 157,334,316.05 1.44
Connecticut................. 114,868 1.33 156,132,784.19 1.42
Louisiana................... 122,376 1.42 147,399,466.61 1.35
Oregon...................... 99,116 1.15 133,137,198.62 1.21
South Carolina.............. 105,108 1.22 132,909,448.75 1.21
Oklahoma.................... 103,296 1.20 124,602,404.79 1.14
Kentucky.................... 103,506 1.20 120,761,474.94 1.10
Kansas...................... 76,095 0.88 106,721,668.01 0.97
Nevada...................... 75,991 0.88 94,302,098.05 0.86
Arkansas.................... 75,386 0.87 93,816,905.79 0.86
Mississippi................. 80,811 0.94 85,716,432.85 0.78
West Virginia............... 55,087 0.64 71,852,832.62 0.66
New Hampshire............... 52,663 0.61 69,420,451.00 0.63
New Mexico.................. 46,690 0.54 61,972,662.75 0.57
Wisconsin................... 31,135 0.36 59,774,987.41 0.55
Nebraska.................... 45,578 0.53 57,652,173.36 0.53
Iowa........................ 42,015 0.49 55,254,480.92 0.50
Maine....................... 37,526 0.44 54,504,182.36 0.50
Utah........................ 43,223 0.50 54,251,534.70 0.50
Idaho....................... 34,962 0.41 48,713,305.80 0.44
Hawaii...................... 34,314 0.40 48,088,784.65 0.44
Rhode Island................ 35,608 0.41 46,091,367.97 0.42
Montana..................... 29,243 0.34 39,911,460.68 0.36
Alaska...................... 22,817 0.26 35,323,385.75 0.32
Vermont..................... 23,934 0.28 32,032,270.89 0.29
Delaware.................... 21,505 0.25 26,810,178.44 0.24
South Dakota................ 18,352 0.21 25,304,939.68 0.23
District of Columbia........ 19,438 0.23 25,146,500.00 0.23
North Dakota................ 17,731 0.21 24,700,166.48 0.23
Wyoming..................... 17,090 0.20 22,696,817.99 0.21
Other....................... 12,610 0.15 16,659,887.82 0.15
--------- ------ ------------------ ------
TOTAL..................... 8,621,687 100.00% $10,958,535,065.12 100.00%
========= ====== ================== ======
</TABLE>
12
<PAGE>
As of July 2, 1999, 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
